UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09491
Allianz Variable Insurance Products Trust
(Exact name of registrant as specified in charter)
5701 Golden Hills Drive, Minneapolis, MN 55416-1297
(Address of principal executive offices) (Zip code)
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219-8000
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-624-0197
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
Item 1. Reports to Stockholders.
AZL® DFA Five-Year Global Fixed Income Fund
Annual Report
December 31, 2020
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® DFA Five-Year Global Fixed Income Fund Review (Unaudited)
| | | | |
Allianz Investment Management LLC serves as the Manager for the AZL® DFA Five-Year Global Fixed Income Fund and Dimensional Fund Advisors LP serves as Subadviser to the Fund. | | | | |
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What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® DFA Five-Year Global Fixed Income Fund (the “Fund”) returned 0.57%. That compared to a 3.21% total return for its benchmark, the FTSE World Government Bond Index, 1-5 Years, Currency-Hedged in USD Terms1.
In global developed markets, yield curves were mostly flat in the short-term segment, suggesting smaller expected term premiums. Realized term premiums were, however, positive across the U.S. and non-U.S. developed markets, as longer-term bonds outperformed their shorter-term counterparts.
The Fund underperformed its benchmark during the period. In response to the flat short-term segment of eligible yield curves, the Fund was positioned with a duration shorter than that of its benchmark due to lower expected term premiums. The Fund’s shorter duration detracted from relative performance, as interest rates decreased significantly during the period and longer-term bonds outperformed shorter-term bonds. The Fund was also underweight U.S. dollar-denominated bonds relative to the benchmark. This underweight position also detracted from the Fund’s relative performance as U.S. dollar-denominated bonds generally outperformed other foreign counterparts in the benchmark during the period.*
By contrast, an underweight position in Japanese yen-denominated bonds contributed positively to relative performance, as these issues generally underperformed in the period. An overweight position in Australian dollar-denominated bonds, which performed well during the period, also contributed positively to the Fund’s performance.*
The Fund used forward currency contracts to hedge its foreign currency exposure during the period. Given that, the Fund’s benchmark index is also currency hedged; this strategy did not affect the Fund’s relative performance.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® DFA Five-Year Global Fixed Income Fund Review (Unaudited)
| | |
Fund Objective The Fund’s investment objective is to seek to provide a market rate of return for a fixed income portfolio with low relative volatility of returns, and seeks to focus the eligible universe on securities with relatively less expected upward or downward movement in market value. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in fixed income securities that mature within five years from the date of settlement. Investment Concerns Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Debt securities held by the Fund may decline in value due to rising interest rates. Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. | | |
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Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | Since
Inception
(4/27/15) | |
AZL® DFA Five-Year Global Fixed Income Fund | | | 0.57 | % | | | 1.74 | % | | | 1.61 | % | | | 1.25 | % |
FTSE World Government Bond Index,
1-5 Years, Currency-Hedged in USD Terms | | | 3.21 | % | | | 3.06 | % | | | 2.36 | % | | | 2.12 | % |
|
| Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com. | |
| | | | |
Expense Ratio | | | | | | | | | | | Gross | |
AZL® DFA Five-Year Global Fixed Income Fund | | | | 0.92 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.50% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.95% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the FTSE World Government Bond Index, 1-5 Years, Currency-Hedged in USD Terms, an unmanaged index that is designed to measure the performance of fixed-rate; local currency, investment-grade sovereign bonds, and currently comprises sovereign debt from over 20 countries. This index follows the same inclusion criteria and methodology as the FTSE (Non-USD) World Government Bond Index, which is a market capitalization-weighted index that tracks 10 government bond indexes, excluding the U.S. (“WGBI”), but only includes the securities from the WGBI with a weighted average life of greater than or equal to 1 and less than 5 years. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL DFA Five-Year Global Fixed Income Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 1,000.00 | | | | $ | 1,001.60 | | | | $ | 4.23 | | | | | 0.84 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 1,000.00 | | | | $ | 1,020.91 | | | | $ | 4.27 | | | | | 0.84 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Foreign Bonds | | | | 80.3 | % |
| |
Yankee Debt Obligations | | | | 12.3 | |
| |
Corporate Bonds | | | | 6.0 | |
| |
Unaffiliated Investment Companies | | | | 3.0 | |
| |
Certificates of Deposit | | | | 1.0 | |
| | | | | |
| |
Total Investment Securities | | | | 102.6 | |
| |
Net other assets (liabilities) | | | | (2.6 | ) |
| | | | | |
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Net Assets | | | | 100.0 | % |
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3
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Corporate Bonds (6.0%): | |
| Consumer Finance (0.1%): | |
| $ | 200,000 | | | Toyota Motor Credit Corp., 0.75%, 7/21/22 | | $ | 248,120 | |
| | 257,000 | | | Toyota Motor Credit Corp., 2.38%, 2/1/23 | | | 330,875 | |
| | | | | | | | |
| | | | | | | 578,995 | |
| | | | | | | | |
| Diversified Financial Services (0.8%): | |
| | 2,400,000 | | | Berkshire Hathaway, Inc., 0.63%, 1/17/23, Callable 11/17/22 @ 100 | | | 2,982,594 | |
| | 500,000 | | | Berkshire Hathaway, Inc., 0.75%, 3/16/23, Callable 12/16/22 @ 100 | | | 622,412 | |
| | | | | | | | |
| | | | | | | 3,605,006 | |
| | | | | | | | |
| Food & Staples Retailing (0.3%): | |
| | 1,000,000 | | | Walmart, Inc., 1.90%, 4/8/22, Callable 1/8/22 @ 100 | | | 1,249,295 | |
| | | | | | | | |
| Food Products (0.2%): | |
| | 799,000 | | | Nestle Holdings, Inc., 1.88%, 3/9/21 | | | 800,990 | |
| | | | | | | | |
| Household Products (1.5%): | |
| | 4,700,000 | | | Procter & Gamble Co. (The), 2.00%, 8/16/22 | | | 5,954,700 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 500,000 | | | Tennessee Valley Authority, 5.35%, 6/7/21 | | | 698,696 | |
| | | | | | | | |
| Industrial Conglomerates (0.6%): | |
| | 1,850,000 | | | 3M Co., 0.38%, 2/15/22, Callable 11/15/21 @ 100 | | | 2,273,411 | |
| | 200,000 | | | 3M Co., Series E, 0.95%, 5/15/23 | | | 251,717 | |
| | | | | | | | |
| | | | | | | 2,525,128 | |
| | | | | | | | |
| Pharmaceuticals (1.6%): | |
| | 750,000 | | | Johnson & Johnson, 0.25%, 1/20/22, Callable 12/20/21 @ 100 | | | 921,736 | |
| | 4,521,000 | | | Pfizer, Inc., 0.25%, 3/6/22, Callable 2/6/22 @ 100 | | | 5,556,775 | |
| | | | | | | | |
| | | | | | | 6,478,511 | |
| | | | | | | | |
| Software (0.1%): | |
| | 250,000 | | | Oracle Corp., Series E, 2.25%, 1/10/21, MTN | | | 305,477 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.6%): | |
| | 2,000,000 | | | Apple, Inc., 1.00%, 11/10/22 | | | 2,502,156 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $23,728,308) | | | 24,698,954 | |
| | | | | | | | |
| Foreign Bonds (80.3%): | |
| Banks (26.2%): | |
| | 500,000 | | | Australia & New Zealand Banking Group, Ltd., 1.15%(BBSW3M+113bps), 8/16/21, MTN+ | | | 387,875 | |
| | 500,000 | | | Australia & New Zealand Banking Group, Ltd., 0.90%(BBSW3M+88bps), 2/8/22, MTN+ | | | 388,604 | |
| | 500,000 | | | Australia & New Zealand Banking Group, Ltd., 1.02%(BBSW3M+100bps), 3/7/22, MTN+ | | | 389,363 | |
| | 500,000 | | | Australia & New Zealand Banking Group, Ltd., 0.79%(BBSW3M+77bps), 8/29/24, MTN+ | | | 392,543 | |
| | 3,000,000 | | | Australia & New Zealand Banking Group, Ltd., 0.84%(BBSW3M+76bps), 1/16/25, MTN+ | | | 2,356,966 | |
| | 1,000,000 | | | Bank of Montreal, 0.79%(BBSW3M+77bps), 9/7/21, MTN+ | | | 774,170 | |
| | 2,000,000 | | | Bank of Montreal, 1.61%, 10/28/21+ | | | 1,588,324 | |
| | 500,000 | | | Bank of Montreal, 0.25%, 11/17/21, MTN+ | | | 614,509 | |
| | 2,000,000 | | | Bank of Montreal, 1.01%(BBSW3M+99bps), 9/7/23, MTN+ | | | 1,569,091 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Foreign Bonds, continued | |
| Banks, continued | |
| $ | 500,000 | | | Bank of Nova Scotia, 0.38%, 4/6/22, MTN+ | | $ | 615,938 | |
| | 14,000,000 | | | Bank of Nova Scotia (The), 1.90%, 12/2/21+ | | | 11,160,509 | |
| | 2,700,000 | | | Canadian Imperial Bank of Commerce, 1.90%, 4/26/21+ | | | 2,132,357 | |
| | 11,800,000 | | | Canadian Imperial Bank of Commerce, 2.90%, 9/14/21+ | | | 9,437,960 | |
| | 450,000 | | | Canadian Imperial Bank of Commerce, 0.75%, 3/22/23+ | | | 561,847 | |
| | 1,500,000 | | | Commonwealth Bank of Australia, 2.90%, 7/12/21, MTN+ | | | 1,172,818 | |
| | 1,200,000 | | | Commonwealth Bank of Australia, 2.75%, 8/16/21+ | | | 939,716 | |
| | 1,000,000 | | | Commonwealth Bank of Australia, Series E, 0.50%, 7/11/22+ | | | 1,236,921 | |
| | 1,000,000 | | | Commonwealth Bank of Australia, 0.94%(BBSW3M+88bps), 7/25/22, MTN+ | | | 779,651 | |
| | 2,948,000 | | | Cooperatieve Rabobank UA, Series G, 4.00%, 1/11/22, MTN+ | | | 3,763,294 | |
| | 2,389,000 | | | Cooperatieve Rabobank UA, Series E, 4.75%, 6/6/22+ | | | 3,128,575 | |
| | 2,093,000 | | | Cooperatieve Rabobank UA, 0.50%, 12/6/22+ | | | 2,597,721 | |
| | 1,000,000 | | | DBS Bank, Ltd./Australia, 0.65%(BBSW3M+63bps), 9/13/22, MTN+ | | | 776,267 | |
| | 1,750,000 | | | Dexia Credit Local SA, 2.00%, 1/22/21, MTN+ | | | 2,140,072 | |
| | 500,000 | | | Dexia Credit Local SA, 0.20%, 3/16/21, MTN+ | | | 611,590 | |
| | 1,800,000 | | | Dexia Credit Local SA, Series E, 1.13%, 6/15/22+ | | | 2,498,888 | |
| | 5,200,000 | | | Dexia Credit Local SA, 0.25%, 6/1/23, MTN+ | | | 6,459,237 | |
| | 2,000,000 | | | DNB Bank ASA, 0.24%(EUR003M+75bps), 7/25/22, MTN+ | | | 2,468,247 | |
| | 500,000 | | | Euroclear Bank SA, 0.25%, 9/7/22, MTN+ | | | 616,182 | |
| | 200,000 | | | Kreditanstalt fuer Wiederaufbau, 1.38%, 2/1/21, MTN+ | | | 273,747 | |
| | 500,000 | | | Kreditanstalt fuer Wiederaufbau, 5.55%, 6/7/21, MTN+ | | | 699,824 | |
| | 500,000 | | | National Australia Bank, Ltd., 3.00%, 5/12/21, MTN+ | | | 389,264 | |
| | 3,000,000 | | | National Australia Bank, Ltd., Series G, 0.88%, 1/20/22+ | | | 3,712,630 | |
| | 500,000 | | | National Australia Bank, Ltd., 0.99%(BBSW3M+90bps), 7/5/22, MTN+ | | | 389,910 | |
| | 500,000 | | | National Australia Bank, Ltd., 0.35%, 9/7/22+ | | | 617,593 | |
| | 1,000,000 | | | National Australia Bank, Ltd., 0.82%(BBSW3M+80bps), 2/10/23, MTN+ | | | 780,984 | |
| | 3,000,000 | | | National Australia Bank, Ltd., 0.95%(BBSW3M+93bps), 9/26/23, MTN+ | | | 2,358,932 | |
| | 2,000,000 | | | National Australia Bank, Ltd., 0.83%(BBSW3M+77bps), 1/21/25, MTN+ | | | 1,572,020 | |
| | 250,000 | | | Nordea Bank Abp, Series E, 2.00%, 2/17/21, MTN+ | | | 306,241 | |
| | 1,164,000 | | | Oesterreichische Kontrollbank AG, Series E, 0.75%, 3/7/22+ | | | 1,604,298 | |
| | 1,400,000 | | | Royal Bank of Canada, 2.03%, 3/15/21+ | | | 1,103,830 | |
| | 420,000 | | | Royal Bank of Canada, 1.65%, 7/15/21+ | | | 332,456 | |
| | 4,000,000 | | | Royal Bank of Canada, 1.58%, 9/13/21+ | | | 3,170,331 | |
| | 3,700,000 | | | Royal Bank of Canada, Series DPNT, 1.97%, 3/2/22+ | | | 2,961,105 | |
See accompanying notes to the financial statements.
4
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Foreign Bonds, continued | |
| Banks, continued | |
| $ | 1,300,000 | | | Royal Bank of Canada, 2.00%, 3/21/22+ | | $ | 1,041,502 | |
| | 1,190,000 | | | Skandinaviska Enskilda Banken AB, 1.25%, 8/5/22+ | | | 1,654,923 | |
| | 1,500,000 | | | State of North Rhine-Westphalia Germany, 0.00%, 2/16/21+ | | | 1,833,376 | |
| | 4,400,000 | | | State of North Rhine-Westphalia Germany, 0.11%(BP0003M+6bps), 10/29/21, MTN+ | | | 6,011,234 | |
| | 2,318,000 | | | Svenska Handelsbanken AB, Series E, 0.25%, 2/28/22+ | | | 2,853,167 | |
| | 1,000,000 | | | Svenska Handelsbanken AB, 2.63%, 8/23/22+ | | | 1,280,931 | |
| | 1,100,000 | | | Svenska Handelsbanken AB, 1.13%, 12/14/22+ | | | 1,382,810 | |
| | 607,000 | | | Toronto-Dominion Bank (The), 0.63%, 3/8/21+ | | | 742,848 | |
| | 600,000 | | | Toronto-Dominion Bank (The), 1.08%(BBSW3M+100bps), 7/10/24+ | | | 469,395 | |
| | 2,500,000 | | | United Overseas Bank, Ltd./Sydney, 0.59%(BBSW3M+53bps), 7/25/22, MTN+ | | | 1,936,597 | |
| | 1,500,000 | | | Westpac Banking Corp., 3.10%, 6/3/21, MTN+ | | | 1,170,248 | |
| | 300,000 | | | Westpac Banking Corp., Series E, 0.25%, 1/17/22+ | | | 368,947 | |
| | 500,000 | | | Westpac Banking Corp., 1.13%(BBSW3M+111bps), 2/7/22, MTN+ | | | 389,602 | |
| | 1,000,000 | | | Westpac Banking Corp., 0.97%(BBSW3M+95bps), 11/16/23, MTN+ | | | 787,305 | |
| | 3,500,000 | | | Westpac Banking Corp., 1.20%(BBSW3M+114bps), 4/24/24, MTN+ | | | 2,776,798 | |
| | 2,000,000 | | | Westpac Banking Corp., 0.90%(BBSW3M+88bps), 8/16/24, MTN+ | | | 1,575,982 | |
| | | | | | | | |
| | | | 108,108,065 | |
| | | | | | | | |
| Capital Markets (3.3%): | |
| | 2,000,000 | | | Canada Housing Trust No 1, 0.65%(CDOR03+16bps), 3/15/22+(a) | | | 1,579,697 | |
| | 2,000,000 | | | Canada Housing Trust No 1, 0.59%(CDOR03+10bps), 9/15/22+(a) | | | 1,579,980 | |
| | 6,000,000 | | | Canada Housing Trust No 1, 0.43%(CDOR03-(6)bps), 9/15/23+(a) | | | 4,733,432 | |
| | 2,000,000 | | | Canada Housing Trust No 1, 0.44%(CDOR03-(5)bps), 3/15/24+(a) | | | 1,578,487 | |
| | 2,500,000 | | | Canada Housing Trust No 1, 0.45%(CDOR03-(4)bps), 3/15/25+(a) | | | 1,977,842 | |
| | 300,000 | | | FMS Wertmanagement, 1.13%, 9/7/23+ | | | 421,182 | |
| | 500,000 | | | International Finance Corp., 2.70%, 2/5/21, MTN+ | | | 386,247 | |
| | 1,000,000 | | | International Finance Corp., 0.31%(SONIA+25bps), 1/18/22+ | | | 1,368,924 | |
| | | | | | | | |
| | | | 13,625,791 | |
| | | | | | | | |
| Consumer Finance (2.5%): | |
| | 1,000,000 | | | Toyota Credit Canada, Inc., 2.20%, 2/25/21+ | | | 787,876 | |
| | 5,368,000 | | | Toyota Finance Australia, Ltd., 0.00%, 4/9/21, MTN+ | | | 6,562,878 | |
| | 1,355,000 | | | Toyota Finance Australia, Ltd., Series E, 0.50%, 4/6/23, MTN+ | | | 1,681,556 | |
| | 905,000 | | | Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22, MTN+ | | | 1,111,288 | |
| | | | | | | | |
| | | | 10,143,598 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Foreign Bonds, continued | |
| Diversified Financial Services (23.0%): | |
| $ | 1,000,000 | | | Agence Francaise de Developpement, 0.13%, 4/30/22+ | | $ | 1,231,400 | |
| | 1,500,000 | | | Agence Francaise de Developpement, 0.50%, 10/25/22+ | | | 1,864,231 | |
| | 700,000 | | | Agence Francaise de Developpement EPIC, 2.13%, 2/15/21, MTN+ | | | 857,576 | |
| | 1,000,000 | | | Agence Francaise de Developpement EPIC, 0.13%, 3/31/21, MTN+ | | | 1,223,411 | |
| | 5,700,000 | | | ASB Finance, Ltd., Series E, 0.50%, 6/10/22+ | | | 7,040,144 | |
| | 400,000 | | | Bank Nederlandse Gemeenten NV, Series E, 1.00%, 3/15/22+ | | | 553,154 | |
| | 1,100,000 | | | Bank Nederlandse Gemeenten NV, 0.25%, 2/22/23+ | | | 1,366,471 | |
| | 1,500,000 | | | BNG Bank NV, 1.13%, 5/24/21, MTN+ | | | 2,059,641 | |
| | 6,334,000 | | | BNG Bank NV, 0.05%, 7/11/23, MTN+ | | | 7,852,761 | |
| | 2,050,000 | | | Caisse d’Amortissement de la Dette Sociale, 3.38%, 4/25/21, MTN+ | | | 2,534,110 | |
| | 200,000 | | | Caisse d’Amortissement de la Dette Sociale, Series E, 0.50%, 5/25/23, MTN+ | | | 250,327 | |
| | 5,600,000 | | | Caisse d’Amortissement de la Dette Sociale, 0.13%, 10/25/23+ | | | 6,971,494 | |
| | 700,000 | | | Caisse des Depots et Consignations, Series E, 1.00%, 1/25/21, MTN+ | | | 957,615 | |
| | 258,000 | | | European Bank for Reconstruction & Development, 0.30%(SONIO/N+25bps), 2/27/23, MTN+ | | | 353,320 | |
| | 4,832,000 | | | European Bank for Reconstruction & Development, Series G, 0.35%(SONIO/N+30bps), 2/28/24, MTN+ | | | 6,625,872 | |
| | 200,000 | | | European Bank for Reconstruction & Development, 0.36%(SONIO/N+31bps), 11/13/24, MTN+ | | | 274,482 | |
| | 4,000,000 | | | European Investment Bank, Series E, 3.50%, 1/14/21+ | | | 486,797 | |
| | 8,800,000 | | | European Investment Bank, Series E, 1.50%, 5/12/22, MTN+ | | | 1,042,125 | |
| | 1,600,000 | | | European Investment Bank, 0.40%(SONIO/N+35bps), 6/29/23, MTN+ | | | 2,197,914 | |
| | 4,167,000 | | | European Investment Bank, 0.37%(SONIO/N+31bps), 1/15/25, MTN+ | | | 5,728,179 | |
| | 2,171,000 | | | European Investment Bank, 1.05%(SONIO/N+100bps), 9/8/25, MTN+ | | | 3,079,242 | |
| | 4,000,000 | | | European Stability Mechanism, 1.38%, 3/4/21, MTN+ | | | 4,900,045 | |
| | 400,000 | | | Kommunalbanken AS, 1.13%, 11/30/22+ | | | 558,081 | |
| | 846,000 | | | Kommunekredit, 0.13%, 8/28/23, MTN+ | | | 1,050,889 | |
| | 87,940,000 | | | Kommuninvest I Sverige AB, 0.25%, 6/1/22+ | | | 10,750,241 | |
| | 15,600,000 | | | Kommuninvest I Sverige AB, 0.75%, 2/22/23+ | | | 1,930,433 | |
| | 1,500,000 | | | Kommuninvest I Sverige AB, 1.00%, 11/13/23, MTN+ | | | 187,744 | |
| | 200,000 | | | Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.88%, 3/7/22+ | | | 276,126 | |
| | 1,466,000 | | | Municipality Finance plc, 1.25%, 12/7/22+ | | | 2,049,437 | |
| | 500,000 | | | Nestle Finance International, Ltd., Series E, 0.75%, 11/8/21, MTN+ | | | 616,677 | |
| | 500,000 | | | Nestle Finance International, Ltd., 1.75%, 9/12/22+ | | | 632,080 | |
| | 500,000 | | | NRW.Bank, 0.13%, 3/10/23+ | | | 619,401 | |
See accompanying notes to the financial statements.
5
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Foreign Bonds, continued | |
| Diversified Financial Services, continued | |
| $ | 2,150,000 | | | NRW.Bank, 0.13%, 7/7/23+ | | $ | 2,669,884 | |
| | 4,680,000 | | | OP Corporate Bank plc, Series E, 0.75%, 3/3/22+ | | | 5,786,732 | |
| | 700,000 | | | Roche Finance Europe BV, 0.50%, 2/27/23, Callable 11/27/22 @ 100+ | | | 869,402 | |
| | 1,640,000 | | | Shell International Finance BV, 1.63%, 3/24/21, MTN+ | | | 2,011,823 | |
| | 1,500,000 | | | Temasek Financial I, Ltd., Series E, 0.50%, 3/1/22+ | | | 1,841,401 | |
| | 800,000 | | | Temasek Financial I, Ltd., Series G, 4.63%, 7/26/22+ | | | 1,167,628 | |
| | 600,000 | | | Total Capital Canada, Ltd., Series E, 1.13%, 3/18/22+ | | | 745,942 | |
| | 900,000 | | | Total Capital International SA, 0.25%, 7/12/23+ | | | 1,114,537 | |
| | | | | | | | |
| | | | 94,328,769 | |
| | | | | | | | |
| Electric Utilities (1.2%): | |
| | 6,000,000 | | | Hydro-Quebec, 0.70%(CDOR03+20bps), 4/14/23+ | | | 4,759,881 | |
| | | | | | | | |
| Insurance (1.0%): | |
| | 600,000 | | | UNEDIC ASSEO, 0.13%, 5/25/22+ | | | 739,104 | |
| | 2,600,000 | | | UNEDIC ASSEO, 0.88%, 10/25/22+ | | | 3,254,835 | |
| | | | | | | | |
| | | | 3,993,939 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.5%): | |
| | 2,647,000 | | | Shell International Finance BV, Series E, 1.25%, 3/15/22+ | | | 3,294,629 | |
| | 1,150,000 | | | Shell International Finance BV, Series E, 1.00%, 4/6/22+ | | | 1,427,797 | |
| | 1,300,000 | | | Statoil ASA, 0.88%, 2/17/23, Callable 11/17/22 @ 100+ | | | 1,621,622 | |
| | | | | | | | |
| | | | 6,344,048 | |
| | | | | | | | |
| Pharmaceuticals (3.8%): | |
| | 750,000 | | | Novartis Finance SA, 0.75%, 11/9/21+ | | | 924,640 | |
| | 2,000,000 | | | Novartis Finance SA, 0.50%, 8/14/23, Callable 5/14/23 @ 100+ | | | 2,489,404 | |
| | 500,000 | | | Sanofi, 1.13%, 3/10/22, Callable 12/10/21 @ 100+ | | | 619,114 | |
| | 300,000 | | | Sanofi, Series E, 0.00%, 3/21/22, Callable 2/21/22 @ 100, MTN+ | | | 367,793 | |
| | 1,100,000 | | | Sanofi, 0.00%, 9/13/22, Callable 6/13/22 @ 100+ | | | 1,349,971 | |
| | 7,900,000 | | | Sanofi, 0.50%, 3/21/23, Callable 12/21/22 @ 100+ | | | 9,807,765 | |
| | | | | | | | |
| | | | 15,558,687 | |
| | | | | | | | |
| Road & Rail (0.2%): | |
| | 667,000 | | | Transport For London, 2.25%, 8/9/22, MTN+ | | | 939,812 | |
| | | | | | | | |
| Sovereign Bond (16.7%): | |
| | 1,000,000 | | | African Development Bank, 5.25%, 3/23/22, MTN+ | | | 817,736 | |
| | 643,000 | | | Asian Development Bank, 0.34%(SONIO/N+29bps), 3/19/24+ | | | 880,798 | |
| | 300,000 | | | Bpifrance Financement SA, Series E, 0.10%, 2/19/21+ | | | 366,778 | |
| | 1,800,000 | | | Bpifrance Financement SA, 0.75%, 10/25/21, MTN+ | | | 2,218,564 | |
| | 3,000,000 | | | European Stability Mechanism Treasury Bill, 0.00%, 2/4/21+(b) | | | 3,666,422 | |
| | 500,000 | | | European Stability Mechanism Treasury Bill, 0.00%, 3/4/21+(b) | | | 611,328 | |
| | 3,000,000 | | | Export Development Canada, 2.40%, 6/7/21, MTN+ | | | 2,334,650 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Foreign Bonds, continued | |
| Sovereign Bond, continued | |
| $ | 1,000,000 | | | Export Development Canada, Series E, 0.36%(SONIO/N+31bps), 5/29/24, MTN+ | | $ | 1,368,924 | |
| | 1,000,000 | | | Export Development Canada, 0.39%(SONIO/N+33bps), 1/17/25, MTN+ | | | 1,369,991 | |
| | 500,000 | | | Finland T-Bill, 0.00%, 2/9/21+(b) | | | 611,070 | |
| | 5,925,000 | | | International Bank for Reconstruction & Development, 0.32%(SONIO/N+27bps), 5/15/24+ | | | 8,118,815 | |
| | 500,000 | | | Kommunalbanken AS, Series E, 1.50%, 12/15/23, MTN+ | | | 710,769 | |
| | 4,400,000 | | | Land Baden-Wuerttemberg, 0.55%(EUR006M+90bps), 7/22/25+ | | | 5,606,107 | |
| | 4,000,000 | | | Monetary Authority of Singapore Bill, 0.34%, 1/15/21+(b) | | | 3,026,897 | |
| | 4,000,000 | | | Monetary Authority of Singapore Bill, 0.39%, 2/15/21+(b) | | | 3,025,808 | |
| | 3,000,000 | | | Monetary Authority of Singapore Bill, 0.40%, 2/19/21+(b) | | | 2,269,220 | |
| | 4,000,000 | | | Monetary Authority of Singapore Bill, 0.40%, 3/12/21+(b) | | | 3,024,960 | |
| | 2,000,000 | | | Province of Alberta Canada, 1.00%, 11/15/21, MTN+ | | | 2,755,350 | |
| | 450,000 | | | Province of Manitoba Canada, 1.50%, 12/15/22+ | | | 630,684 | |
| | 10,500,000 | | | Province of Ontario Canada, 0.75%(CDOR03+26bps), 10/27/21+ | | | 8,287,467 | |
| | 2,000,000 | | | Province of Ontario Canada, 0.63%(CDOR03+15bps), 6/27/22+ | | | 1,580,938 | |
| | 1,000,000 | | | Province of Ontario Canada, 0.54%(CDOR03+5bps), 8/21/23+ | | | 790,257 | |
| | 950,000 | | | Province of Quebec Canada, 0.88%, 5/24/22+ | | | 1,312,727 | |
| | 1,500,000 | | | Province of Quebec Canada, 1.04%(CDOR03+54.5bps), 10/19/23, MTN+ | | | 1,203,948 | |
| | 8,500,000 | | | Province of Quebec Canada, 0.91%(CDOR03+40.5bps), 10/13/24+ | | | 6,820,036 | |
| | 35,000,000 | | | Sweden Treasury Bill, 0.00%, 3/17/21+(a)(b) | | | 4,257,557 | |
| | 500,000 | | | Swedish Export Credit AB, Series E, 1.38%, 12/15/23, MTN+ | | | 707,057 | |
| | | | | | | | |
| | | | 68,374,858 | |
| | | | | | | | |
| Transportation Infrastructure (0.9%): | |
| | 2,200,000 | | | SNCF Reseau, 0.10%, 5/27/21+ | | | 2,693,009 | |
| | 721,000 | | | SNCF Reseau, 5.50%, 12/1/21, MTN+ | | | 1,033,821 | |
| | | | | | | | |
| | | | | | | 3,726,830 | |
| | | | | | | | |
| | Total Foreign Bonds (Cost $312,477,459) | | | 329,904,278 | |
| | | | | | | | |
| Yankee Debt Obligations (12.3%): | |
| Banks (0.7%): | |
| | 3,000,000 | | | Oesterreichische Kontrollbank AG, 0.22% (US0003M+1 bps), 11/22/21 | | | 2,999,664 | |
| | | | | | | | |
| Diversified Financial Services (6.0%): | |
| | 2,000,000 | | | EUROFIMA, 0.31% (US0003M+9 bps), 11/15/21 | | | 2,000,320 | |
| | 3,800,000 | | | EUROFIMA, 0.32% (US0003M+10 bps), 3/11/22, MTN | | | 3,799,848 | |
| | 2,000,000 | | | European Bank For Reconstruction & Development, 0.34% (SOFR+26 bps), 3/13/23, MTN | | | 2,003,510 | |
See accompanying notes to the financial statements.
6
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Yankee Debt Obligations, continued | |
| Diversified Financial Services, continued | |
| $ | 2,125,000 | | | European Bank For Reconstruction & Deveploment, 0.34% (SOFR+26 bps), 8/19/22, MTN | | $ | 2,128,139 | |
| | 2,000,000 | | | Kommunalbanken AS, 0.28% (US0003M+8 bps), 2/24/22(a) | | | 1,999,996 | |
| | 3,000,000 | | | Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.37% (US0003M+12 bps), 9/27/21, MTN | | | 3,001,500 | |
| | 3,000,000 | | | Landeskreditbank Baden-Wuerttemberg Foerderbank, 0.43% (SOFR+35 bps), 3/15/22, MTN | | | 3,003,630 | |
| | 6,000,000 | | | Nederlandse Waterschapsbank NV, 0.29% (US0003M+7 bps), 12/15/21(a) | | | 5,998,860 | |
| | 650,000 | | | Total Capital International SA, 2.88%, 2/17/22 | | | 668,739 | |
| | | | | | | | |
| | | | | | | 24,604,542 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.2%): | |
| | 710,000 | | | Shell International Finance BV, 2.38%, 8/21/22 | | | 733,137 | |
| | | | | | | | |
| Sovereign Bond (5.4%): | |
| | 2,000,000 | | | African Development Bank, 0.23% (US0003M+1 bps), 12/15/21, MTN | | | 1,999,796 | |
| | 2,000,000 | | | Agence Francaise de Developpement EPIC, 0.35% (US0003M+12 bps), 6/7/21, MTN | | | 2,000,120 | |
| | 1,630,000 | | | Asian Development Bank, 0.41% (US0003M+19 bps), 6/16/21, MTN | | | 1,631,332 | |
| | 7,000,000 | | | Asian Development Bank, 0.34% (FEDL01+25 bps), 5/28/24, MTN | | | 7,000,000 | |
| | 537,000 | | | Inter-American Development Bank, 0.24% (US0003M ), 1/15/22 | | | 536,907 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| | | | | | | | |
| Yankee Debt Obligations, continued | |
| Sovereign Bond, continued | |
| $ | 4,000,000 | | | Inter-American Invest Corp., 0.31% (US0003M+9 bps), 10/12/21, MTN | | $ | 4,000,279 | |
| | 839,000 | | | International Bank For Reconstruction & Development, 0.47% (SOFR+39 bps), 6/17/24 | | | 843,945 | |
| | 3,000,000 | | | Svensk Exportkredit AB, 1.10% (SOFR+100 bps), 5/25/23 | | | 3,052,944 | |
| | 1,000,000 | | | Swedish Export Credit AB, Series E, 0.34% (US0003M+12 bps), 12/13/21, MTN | | | 1,000,530 | |
| | | | | | | | |
| | | | | | | 22,065,853 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $50,336,006) | | | 50,403,196 | |
| | | | | | | | |
| Certificates of Deposit (1.0%): | |
| | 4,000,000 | | | Svenska Handelsbanken AB,, 0.33%, 5/11/21(a) | | | 4,001,484 | |
| | | | | | | | |
| | Total Certificates of Deposit (Cost $4,000,000) | | | 4,001,484 | |
| | | | | | | | |
| Unaffiliated Investment Companies (3.0%): | |
| Money Markets (3.0%): | |
| | 12,119,739 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 12,119,739 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $12,119,739) | | | 12,119,739 | |
| | | | | | | | |
| | Total Investment Securities (Cost $402,661,512) —102.6%(c) | | | 421,127,651 | |
| | Net other assets (liabilities) — (2.6)% | | | (10,756,799 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 410,370,852 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
BP0003M—3 Month GBP LIBOR
CDOR03—Canadian Dollar LIBOR Rate
EUR003M—3 Month EUR LIBOR
EUR006M—6 Month EUR LIBOR
FEDL01—Effective Federal Fund Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Interbank Average Rate
US0003M—3 Month US Dollar LIBOR
| + | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | The rate represents the effective yield at December 31, 2020. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
7
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2020
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of December 31, 2020:
(Unaudited)
| | | | |
| Country | | Percentage | |
| |
Australia | | | 7.9 | % |
Austria | | | 1.1 | % |
Belgium | | | 0.1 | % |
Canada | | | 20.0 | % |
Denmark | | | 0.2 | % |
Finland | | | 2.0 | % |
France | | | 12.7 | % |
Germany | | | 5.8 | % |
Luxembourg | | | 1.1 | % |
Netherlands | | | 8.7 | % |
New Zealand | | | 1.7 | % |
Norway | | | 1.8 | % |
Singapore | | | 4.1 | % |
Supernational | | | 15.8 | % |
Sweden | | | 8.0 | % |
United Kingdom | | | 0.2 | % |
United States | | | 8.8 | % |
| | | | |
| | | 100.0 | % |
| | | | |
Forward Currency Contracts
At December 31, 2020, the Fund’s open forward currency contracts were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
Norwegian Krone | | | 15,441,496 | | | U.S. Dollar | | | 1,621,482 | | | Bank of America | | | 1/4/21 | | | $ | 182,267 | |
British Pound | | | 1,507,219 | | | U.S. Dollar | | | 2,010,204 | | | Barclays Bank | | | 1/7/21 | | | | 50,704 | |
British Pound | | | 499,335 | | | U.S. Dollar | | | 669,124 | | | BNY Mellon | | | 1/7/21 | | | | 13,645 | |
British Pound | | | 505,174 | | | U.S. Dollar | | | 688,402 | | | State Street | | | 1/7/21 | | | | 2,352 | |
Canadian Dollar | | | 85,547 | | | U.S. Dollar | | | 65,379 | | | Bank of America | | | 1/19/21 | | | | 1,845 | |
Canadian Dollar | | | 307,313 | | | U.S. Dollar | | | 234,711 | | | Bank of America | | | 1/19/21 | | | | 6,779 | |
Canadian Dollar | | | 1,021,421 | | | U.S. Dollar | | | 784,022 | | | Bank of America | | | 1/19/21 | | | | 18,624 | |
Canadian Dollar | | | 528,371 | | | U.S. Dollar | | | 408,605 | | | Bank of America | | | 1/19/21 | | | | 6,596 | |
Canadian Dollar | | | 516,914 | | | U.S. Dollar | | | 405,234 | | | BNY Mellon | | | 1/19/21 | | | | 964 | |
Canadian Dollar | | | 2,768,875 | | | U.S. Dollar | | | 2,107,499 | | | State Street | | | 1/19/21 | | | | 68,320 | |
Canadian Dollar | | | 83,964 | | | U.S. Dollar | | | 63,943 | | | State Street | | | 1/19/21 | | | | 2,037 | |
Canadian Dollar | | | 4,086,941 | | | U.S. Dollar | | | 3,193,327 | | | State Street | | | 1/19/21 | | | | 18,246 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 372,379 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Dollar | | | 2,644,244 | | | Norwegian Krone | | | 24,485,606 | | | Bank of America | | | 1/4/21 | | | $ | (215,963 | ) |
U.S. Dollar | | | 9,808,731 | | | British Pound | | | 7,572,614 | | | State Street | | | 1/4/21 | | | | (545,545 | ) |
U.S. Dollar | | | 1,576,114 | | | British Pound | | | 1,218,571 | | | State Street | | | 1/4/21 | | | | (90,077 | ) |
U.S. Dollar | | | 2,410,949 | | | European Euro | | | 2,047,148 | | | Bank of America | | | 1/6/21 | | | | (89,978 | ) |
U.S. Dollar | | | 1,188,371 | | | European Euro | | | 984,168 | | | Bank of America | | | 1/6/21 | | | | (13,951 | ) |
U.S. Dollar | | | 3,564,453 | | | European Euro | | | 2,982,863 | | | Bank of America | | | 1/6/21 | | | | (79,603 | ) |
U.S. Dollar | | | 1,096,824 | | | European Euro | | | 925,650 | | | Bank of America | | | 1/6/21 | | | | (34,009 | ) |
U.S. Dollar | | | 11,551,678 | | | European Euro | | | 9,525,690 | | | Barclays Bank | | | 1/6/21 | | | | (85,511 | ) |
U.S. Dollar | | | 2,100,656 | | | European Euro | | | 1,729,589 | | | Barclays Bank | | | 1/6/21 | | | | (12,320 | ) |
U.S. Dollar | | | 587,743 | | | European Euro | | | 483,027 | | | BNY Mellon | | | 1/6/21 | | | | (2,353 | ) |
U.S. Dollar | | | 3,121,025 | | | European Euro | | | 2,565,651 | | | State Street | | | 1/6/21 | | | | (13,337 | ) |
U.S. Dollar | | | 2,751,252 | | | European Euro | | | 2,358,225 | | | State Street | | | 1/6/21 | | | | (129,706 | ) |
U.S. Dollar | | | 39,899,367 | | | British Pound | | | 30,891,353 | | | State Street | | | 1/7/21 | | | | (2,340,174 | ) |
U.S. Dollar | | | 54,430,883 | | | European Euro | | | 46,288,110 | | | Bank of America | | | 1/12/21 | | | | (2,125,496 | ) |
U.S. Dollar | | | 12,544,476 | | | Swedish Krona | | | 110,267,402 | | | Bank of America | | | 1/13/21 | | | | (866,516 | ) |
U.S. Dollar | | | 4,117,987 | | | Swedish Krona | | | 34,975,016 | | | State Street | | | 1/13/21 | | | | (135,760 | ) |
U.S. Dollar | | | 629,510 | | | Canadian Dollar | | | 838,202 | | | Bank of America | | | 1/15/21 | | | | (29,146 | ) |
See accompanying notes to the financial statements.
8
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
U.S. Dollar | | | 23,704 | | | Canadian Dollar | | | 31,104 | | | BNY Mellon | | | 1/15/21 | | | $ | (738 | ) |
U.S. Dollar | | | 42,865 | | | Canadian Dollar | | | 56,675 | | | Citigroup | | | 1/15/21 | | | | (1,670 | ) |
U.S. Dollar | | | 789,020 | | | Canadian Dollar | | | 1,031,571 | | | State Street | | | 1/15/21 | | | | (21,584 | ) |
U.S. Dollar | | | 3,955,761 | | | Canadian Dollar | | | 5,103,714 | | | State Street | | | 1/15/21 | | | | (54,717 | ) |
U.S. Dollar | | | 68,350,381 | | | Canadian Dollar | | | 89,960,954 | | | State Street | | | 1/19/21 | | | | (2,342,128 | ) |
U.S. Dollar | | | 1,193,554 | | | European Euro | | | 1,013,882 | | | Bank of America | | | 1/25/21 | | | | (45,615 | ) |
U.S. Dollar | | | 1,174,742 | | | European Euro | | | 992,351 | | | State Street | | | 1/25/21 | | | | (38,112 | ) |
U.S. Dollar | | | 27,448,344 | | | European Euro | | | 23,174,162 | | | State Street | | | 1/25/21 | | | | (875,177 | ) |
U.S. Dollar | | | 5,540,015 | | | British Pound | | | 4,274,825 | | | Bank of America | | | 1/27/21 | | | | (305,947 | ) |
U.S. Dollar | | | 26,861,892 | | | Australian Dollar | | | 36,563,557 | | | Bank of America | | | 1/27/21 | | | | (1,329,781 | ) |
U.S. Dollar | | | 2,687,395 | | | British Pound | | | 2,021,187 | | | State Street | | | 1/27/21 | | | | (76,644 | ) |
U.S. Dollar | | | 265,668 | | | British Pound | | | 197,825 | | | State Street | | | 1/27/21 | | | | (4,864 | ) |
U.S. Dollar | | | 1,354,946 | | | British Pound | | | 1,039,857 | | | State Street | | | 1/27/21 | | | | (67,092 | ) |
U.S. Dollar | | | 8,250,594 | | | Singapore Dollar | | | 10,993,950 | | | BNY Mellon | | | 1/28/21 | | | | (71,019 | ) |
U.S. Dollar | | | 2,999,663 | | | Singapore Dollar | | | 3,997,180 | | | Citigroup | | | 1/28/21 | | | | (25,909 | ) |
U.S. Dollar | | | 50,777,852 | | | European Euro | | | 41,688,257 | | | State Street | | | 1/28/21 | | | | (177,193 | ) |
U.S. Dollar | | | 11,976,795 | | | British Pound | | | 8,805,520 | | | State Street | | | 2/3/21 | | | | (65,534 | ) |
U.S. Dollar | | | 1,053,468 | | | Norwegian Krone | | | 9,027,108 | | | State Street | | | 2/3/21 | | | | (1,082 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (12,314,251 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Net Forward Currency Contracts | | | | | | | | | | | | | | | $ | (11,941,872 | ) |
| | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
| | | | | | | | | | |
| | | Unrealized
Appreciation | | Unrealized
Depreciation |
Forward currency contracts | | | $ | 372,379 | | | | $ | (12,314,251 | ) |
See accompanying notes to the financial statements.
9
AZL DFA Five-Year Global Fixed Income Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 402,661,512 | |
| | | | | |
Investment securities, at value | | | $ | 421,127,651 | |
Interest and dividends receivable | | | | 1,376,705 | |
Foreign currency, at value (cost $65,988) | | | | 68,648 | |
Unrealized appreciation on forward currency contracts | | | | 372,379 | |
Unrealized appreciation on spot currency contracts | | | | 66,915 | |
Prepaid expenses | | | | 2,144 | |
| | | | | |
Total Assets | | | | 423,014,442 | |
| | | | | |
Liabilities: | | | | | |
Unrealized depreciation on forward currency contracts | | | | 12,314,251 | |
Payable for capital shares redeemed | | | | 806 | |
Manager fees payable | | | | 171,636 | |
Administration fees payable | | | | 30,610 | |
Distribution fees payable | | | | 85,818 | |
Custodian fees payable | | | | 15,609 | |
Administrative and compliance services fees payable | | | | 1,272 | |
Transfer agent fees payable | | | | 1,087 | |
Trustee fees payable | | | | 4,605 | |
Other accrued liabilities | | | | 17,896 | |
| | | | | |
Total Liabilities | | | | 12,643,590 | |
| | | | | |
Net Assets | | | $ | 410,370,852 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 404,359,245 | |
Total distributable earnings | | | | 6,011,607 | |
| | | | | |
Net Assets | | | $ | 410,370,852 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 42,531,973 | |
Net Asset Value (offering and redemption price per share) | | | $ | 9.65 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 1,898,506 | |
Dividends | | | | 22,177 | |
Income from securities lending | | | | 161 | |
| | | | | |
Total Investment Income | | | | 1,920,844 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,374,448 | |
Administration fees | | | | 163,053 | |
Distribution fees | | | | 989,356 | |
Custodian fees | | | | 62,780 | |
Administrative and compliance services fees | | | | 7,045 | |
Transfer agent fees | | | | 6,234 | |
Trustee fees | | | | 23,715 | |
Professional fees | | | | 19,583 | |
Shareholder reports | | | | 11,606 | |
Other expenses | | | | 8,117 | |
| | | | | |
Total expenses before reductions | | | | 3,665,937 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (395,737 | ) |
| | | | | |
Net expenses | | | | 3,270,200 | |
| | | | | |
Net Investment Income/(Loss) | | | | (1,349,356 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | (9,978,604 | ) |
Net realized gains/(losses) on forward currency contracts | | | | (2,694,607 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 23,551,465 | |
Change in net unrealized appreciation/depreciation on forward currency contracts | | | | (6,993,274 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 3,884,980 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 2,535,624 | |
| | | | | |
See accompanying notes to the financial statements.
10
AZL DFA Five-Year Global Fixed Income Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | (1,349,356 | ) | | | $ | 526,595 | |
Net realized gains/(losses) on investments | | | | (12,673,211 | ) | | | | 14,211,856 | |
Change in unrealized appreciation/depreciation on investments | | | | 16,558,191 | | | | | 987,038 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 2,535,624 | | | | | 15,725,489 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (9,025,103 | ) | | | | (24,665,739 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (9,025,103 | ) | | | | (24,665,739 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 65,979,498 | | | | | 12,381,360 | |
Proceeds from dividends reinvested | | | | 9,025,103 | | | | | 24,665,739 | |
Value of shares redeemed | | | | (92,427,834 | ) | | | | (54,717,556 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (17,423,233 | ) | | | | (17,670,457 | ) |
| | | | | | | | | | |
Change in net assets | | | | (23,912,712 | ) | | | | (26,610,707 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 434,283,564 | | | | | 460,894,271 | |
| | | | | | | | | | |
End of period | | | $ | 410,370,852 | | | | $ | 434,283,564 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 6,746,246 | | | | | 1,218,558 | |
Dividends reinvested | | | | 935,244 | | | | | 2,514,346 | |
Shares redeemed | | | | (9,378,049 | ) | | | | (5,333,251 | ) |
| | | | | | | | | | |
Change in shares | | | | (1,696,559 | ) | | | | (1,600,347 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
11
AZL DFA Five-Year Global Fixed Income Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 9.82 | | | | $ | 10.06 | | | | $ | 10.00 | | | | $ | 9.96 | | | | $ | 9.91 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | (0.03 | )(a) | | | | 0.01 | (a) | | | | 0.06 | | | | | 0.11 | | | | | 0.11 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.09 | | | | | 0.34 | | | | | 0.06 | | | | | 0.05 | | | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.06 | | | | | 0.35 | | | | | 0.12 | | | | | 0.16 | | | | | 0.13 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.23 | ) | | | | (0.59 | ) | | | | (0.06 | ) | | | | (0.12 | ) | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.23 | ) | | | | (0.59 | ) | | | | (0.06 | ) | | | | (0.12 | ) | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.65 | | | | $ | 9.82 | | | | $ | 10.06 | | | | $ | 10.00 | | | | $ | 9.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 0.57 | % | | | | 3.50 | % | | | | 1.17 | % | | | | 1.57 | % | | | | 1.28 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 410,371 | | | | $ | 434,284 | | | | $ | 460,894 | | | | $ | 506,088 | | | | $ | 482,830 | |
Net Investment Income/(Loss) | | | | (0.34 | )% | | | | 0.12 | % | | | | 0.45 | % | | | | 1.11 | % | | | | 1.01 | % |
Expenses Before Reductions(c) | | | | 0.93 | % | | | | 0.92 | % | | | | 0.91 | % | | | | 0.90 | % | | | | 0.90 | % |
Expenses Net of Reductions | | | | 0.83 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.80 | % | | | | 0.80 | % |
Portfolio Turnover Rate | | | | 62 | % | | | | 35 | % | | | | 69 | % | | | | 83 | % | | | | 52 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
12
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral
13
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $16 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had no open securities lending transactions as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the year ended December 31, 2020, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the year ended December 31, 2020, the monthly average notional amount for long contracts was $19.2 million and the monthly average notional amount for short contracts was $342.8 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
Foreign Exchange Risk | | | | | | | | | | |
| | | | |
| Forward Currency Contracts | | Unrealized appreciation on forward currency contracts | | $ | 372,379 | | | Unrealized depreciation on forward currency contracts | | $ | 12,314,251 | |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
Foreign Exchange Risk | | | | | | | | |
| | | |
| Forward Currency Contracts | | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | | $ | (2,694,607 | ) | | $ | (6,993,274 | ) |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at December 31, 2020. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020.
14
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
As of December 31, 2020, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
Derivative Financial Instruments: | | | | | | | | | | |
Forward currency contracts | | | $ | 372,379 | | | | $ | 12,314,251 | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | 372,379 | | | | | 12,314,251 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | (14,609 | ) | | | | (74,110 | ) |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | 357,770 | | | | $ | 12,240,141 | |
| | | | | | | | | | |
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Assets
Subject to a MNA
by Counterparty | | Derivatives
Available
for Offset | | Non-cash
Collateral
Received* | | Cash
Collateral
Received* | | Net Amount
of Derivative
Assets |
Bank of America | | | $ | 216,111 | | | | $ | (216,111 | ) | | | $ | — | | | | $ | — | | | | $ | — | |
Barclays | | | | 50,704 | | | | | (50,704 | ) | | | | — | | | | | — | | | | | — | |
State Street | | | | 90,955 | | | | | (90,955 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 357,770 | | | | $ | (357,770 | ) | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Liabilities
Subject to a MNA
by Counterparty | | Derivatives
Available
for Offset | | Non-cash
Collateral
Pledged* | | Cash
Collateral
Pledged* | | Net Amount
of Derivative
Liabilities |
Bank of America | | | $ | 5,136,005 | | | | $ | (216,111 | ) | | | $ | — | | | | $ | — | | | | $ | 4,919,894 | |
Barclays | | | | 97,831 | | | | | (50,704 | ) | | | | — | | | | | — | | | | | 47,127 | |
Citigroup | | | | 27,579 | | | | | — | | | | | — | | | | | — | | | | | 27,579 | |
State Street | | | | 6,978,726 | | | | | (90,955 | ) | | | | — | | | | | — | | | | | 6,887,771 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 12,240,141 | | | | $ | (357,770 | ) | | | $ | — | | | | $ | — | | | | $ | 11,882,371 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) —Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL DFA Five-Year Global Fixed Income Fund | | | | 0.60 | % | | | | 0.95 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.50% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
15
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $2,197 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the forward foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become
16
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Corporate Bonds+ | | | $ | — | | | | $ | 24,698,954 | | | | $ | — | | | | $ | 24,698,954 | |
Foreign Bonds+ | | | | — | | | | | 329,904,278 | | | | | — | | | | | 329,904,278 | |
Yankee Debt Obligations+ | | | | — | | | | | 50,403,196 | | | | | — | | | | | 50,403,196 | |
Certificates of Deposit | | | | — | | | | | 4,001,484 | | | | | — | | | | | 4,001,484 | |
Unaffiliated Investment Companies | | | | 12,119,739 | | | | | — | | | | | — | | | | | 12,119,739 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 12,119,739 | | | | | 409,007,912 | | | | | — | | | | | 421,127,651 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | — | | | | | (11,941,872 | ) | | | | — | | | | | (11,941,872 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 12,119,739 | | | | $ | 397,066,040 | | | | $ | — | | | | $ | 409,185,779 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as forward currency contracts. These investments are generally presented in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 198,967,909 | | | | $ | 239,594,353 | |
For the year ended December 31, 2020, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 18,993,316 | | | | $ | 30,511,807 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of
17
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $402,661,512. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 18,512,952 | |
Unrealized (depreciation) | | | (46,813 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 18,466,139 | |
| | | | |
As of the end of its tax year ended December 31, 2020, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
CLCFs not subject to expiration:
| | | | | | | | | | | | | | | |
| | | Short-Term
Amount | | Long-Term
Amount | | Total Amount |
| | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 2,377,644 | | | | $ | 5,973,059 | | | | $ | 8,350,703 | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 9,025,103 | | | | $ | — | | | | $ | 9,025,103 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 24,665,739 | | | | $ | — | | | | $ | 24,665,739 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
18
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2020
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | — | | | | $ | — | | | | $ | (8,350,703 | ) | | | $ | 18,423,068 | | | | $ | 10,072,365 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to mark-to-market of currency contracts and straddles. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 85% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL DFA Five-Year Global Fixed Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL DFA Five-Year Global Fixed Income Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
20
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
21
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
22
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
23
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
24
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
25
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
26
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® DFA International Core Equity Fund
Annual Report
December 31, 2020
Table of Contents
Management Discussion and Analysis
Page 1
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 35
Statement of Operations
Page 35
Statements of Changes in Net Assets
Page 36
Financial Highlights
Page 37
Notes to the Financial Statements
Page 38
Report of Independent Registered Public Accounting Firm
Page 43
Other Information
Page 44
Approval of Investment Advisory and Subadvisory Agreements
Page 45
Information about the Board of Trustees and Officers
Page 48
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® DFA International Core Equity Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® DFA International Core Equity Fund and Dimensional Fund Advisors LP serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® DFA International Core Equity Fund (the “Fund”) returned 7.25%. That compared to a 8.28% and 8.09% total return for its benchmarks, the MSCI EAFE Index1 and the MSCI World Ex-USA Index1 respectively, each gross of withholding taxes.
Developed market equities outside the United States posted positive performance for the year, but trailed both U.S. and emerging markets equities. Overall, currencies in developed markets appreciated relative to the U.S. dollar. Both the Australian dollar and the euro performed particularly strongly. These currency movements had a positive impact on the Fund’s returns in U.S. dollar-denominated terms.*
Within the developed ex-U.S. equity universe, small-cap stocks outperformed both mid-cap and large-cap stocks during the period, and mid-cap stocks outperformed large-cap stocks. Growth stocks outperformed value stocks across all market cap sizes.
The Fund’s performance trailed that of both of its benchmarks during the period. The Fund’s bias toward value stocks hurt relative performance. However, the Fund’s
tilt toward small-cap stocks offset some of this negative impact, as small-cap outperformed their mid- and large-cap counterparts.*
The Fund also includes exposure to Canadian equities, which are not included in the MSCI EAFE Index. Canada underperformed the overall benchmark for the period, detracting from relative returns.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
1
AZL® DFA International Core Equity Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek long-term capital appreciation. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in equity securities.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations.
Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility.
Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value.
Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmarks and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | Since
Inception
(4/27/15) | |
AZL® DFA International Core Equity Fund | | | 7.25 | % | | | 2.16 | % | | | 6.76 | % | | | 4.04 | % |
MSCI EAFE Index (gross of withholding taxes) | | | 8.28 | % | | | 4.79 | % | | | 7.97 | % | | | 4.97 | % |
MSCI EAFE Index (net of withholding taxes) | | | 7.82 | % | | | 4.28 | % | | | 7.45 | % | | | 4.47 | % |
MSCI World Ex-USA Index (gross of withholding taxes) | | | 8.09 | % | | | 4.76 | % | | | 8.19 | % | | | 4.89 | % |
MSCI World Ex-USA Index (net of withholding taxes) | | | 7.59 | % | | | 4.22 | % | | | 7.64 | % | | | 4.37 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® DFA International Core Equity Fund | | | 1.33 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.75% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 1.39% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Morgan Stanley Capital International, Europe, Australasia and Far East (“MSCI EAFE”) Index and the Morgan Stanley Capital International World Ex-USA (“MSCI World Ex-USA”) Index. The MSCI EAFE Index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI World Ex-USA Index captures a large- and mid-capitalization representation across 22 of 23 developed markets countries, excluding the United States. The Indexes are unmanaged and do not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Index noted as “gross of withholding taxes” reflects the maximum possible reinvestment of dividends with no adjustment for withholding tax deductions or tax credits. The Index noted as “net of withholding taxes” reflects the reinvestment of dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL DFA International Core Equity Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL DFA International Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA International Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,248.30 | | | | $ | 6.50 | | | | | 1.15 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA International Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,019.36 | | | | $ | 5.84 | | | | | 1.15 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Industrials | | | | 19.9 | % |
| |
Financials | | | | 14.6 | |
| |
Consumer Discretionary | | | | 14.2 | |
| |
Materials | | | | 11.6 | |
| |
Consumer Staples | | | | 8.3 | |
| |
Health Care | | | | 7.7 | |
| |
Information Technology | | | | 7.3 | |
| |
Communication Services | | | | 5.9 | |
| |
Energy | | | | 4.5 | |
| |
Utilities | | | | 3.5 | |
| |
Real Estate | | | | 2.7 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 100.2 | |
| |
Rights | | | | — | † |
| |
Warrant | | | | — | † |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.4 | |
| | | | | |
| |
Total Investment Securities | | | | 100.6 | |
| |
Net other assets (liabilities) | | | | (0.6 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.9%): | |
| Aerospace & Defense (1.0%): | |
| | 4,047 | | | Airbus SE* | | $ | 444,504 | |
| | 982 | | | Avon Rubber plc | | | 42,525 | |
| | 44,779 | | | BAE Systems plc | | | 299,448 | |
| | 6,187 | | | CAE, Inc. | | | 171,459 | |
| | 3,081 | | | Chemring Group plc | | | 12,005 | |
| | 15 | | | Dassault Aviation SA* | | | 16,453 | |
| | 504 | | | Elbit Systems, Ltd. | | | 66,462 | |
| | 89 | | | Facc AG* | | | 925 | |
| | 1,604 | | | Kongsberg Gruppen ASA | | | 33,011 | |
| | 9,452 | | | Leonardo SpA | | | 67,490 | |
| | 1,132 | | | LISI* | | | 27,973 | |
| | 20,980 | | | Meggitt plc | | | 134,019 | |
| | 873 | | | MTU Aero Engines AG | | | 227,431 | |
| | 19,005 | | | QinetiQ Group plc | | | 83,555 | |
| | 99,289 | | | Rolls-Royce Holdings plc* | | | 151,144 | |
| | 2,553 | | | Saab AB* | | | 74,314 | |
| | 2,582 | | | Safran SA* | | | 366,133 | |
| | 20,156 | | | Senior plc* | | | 24,609 | |
| | 25,500 | | | Singapore Technologies Engineering, Ltd. | | | 73,642 | |
| | 1,841 | | | Thales SA | | | 168,619 | |
| | 2,146 | | | Ultra Electronics Holdings plc | | | 60,833 | |
| | | | | | | | |
| | | | | | | 2,546,554 | |
| | | | | | | | |
| Air Freight & Logistics (0.6%): | | | |
| | 31,587 | | | Bollore, Inc. | | | 130,604 | |
| | 6,117 | | | BPOST SA* | | | 63,475 | |
| | 2,399 | | | Cia de Distribucion Integral Logista Holdings SA | | | 46,502 | |
| | 6,355 | | | CTT-Correios de Portugal SA* | | | 18,151 | |
| | 10,513 | | | Deutsche Post AG | | | 520,198 | |
| | 5,994 | | | Freightways, Ltd. | | | 43,408 | |
| | 73 | | | ID Logistics Group* | | | 20,193 | |
| | 37,500 | | | Kerry Network, Ltd. | | | 82,403 | |
| | 2,300 | | | Kintetsu World Express, Inc. | | | 54,549 | |
| | 1,800 | | | Konoike Transport Co., Ltd. | | | 17,910 | |
| | 1,541 | | | Mainfreight, Ltd. | | | 77,023 | |
| | 1,800 | | | Mitsui-Soko Holdings Co., Ltd. | | | 40,198 | |
| | 1,146 | | | Oesterreichische Post AG^ | | | 40,231 | |
| | 27,139 | | | PostNL NV* | | | 92,563 | |
| | 35,743 | | | Royal Mail plc* | | | 165,175 | |
| | 900 | | | SBS Holdings, Inc. | | | 22,834 | |
| | 3,000 | | | SG Holdings Co., Ltd. | | | 81,906 | |
| | 27,700 | | | Singapore Post, Ltd. | | | 14,795 | |
| | 5,312 | | | Wincanton plc* | | | 18,512 | |
| | 36 | | | XPO Logistics Europe SADIR* | | | 12,313 | |
| | 3,700 | | | Yamato Holdings Co., Ltd. | | | 94,525 | |
| | | | | | | | |
| | | | | | | 1,657,468 | |
| | | | | | | | |
| Airlines (0.3%): | | | |
| | 1,985 | | | Air France-KLM*^ | | | 12,432 | |
| | 26,921 | | | Air New Zealand, Ltd. | | | 34,840 | |
| | 1,200 | | | ANA Holdings, Inc. | | | 26,535 | |
| | 57,347 | | | Cathay Pacific Airways, Ltd.* | | | 53,042 | |
| | 9,717 | | | Deutsche Lufthansa AG, Registered Shares* | | | 128,408 | |
| | 4,978 | | | easyJet plc | | | 56,777 | |
| | 1,728 | | | Exchange Income Corp. | | | 49,748 | |
| | 13,156 | | | International Consolidated Airlines Group SA | | | 28,788 | |
| | 4,400 | | | Japan Airlines Co., Ltd.* | | | 85,258 | |
| | 6,945 | | | JET2 plc* | | | 134,648 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Airlines, continued | | | |
| | 10,411 | | | Qantas Airways, Ltd. | | $ | 38,973 | |
| | 29,100 | | | Singapore Airlines, Ltd.* | | | 94,079 | |
| | | | | | | | |
| | | | | | | 743,528 | |
| | | | | | | | |
| Auto Components (2.1%): | | | |
| | 1,000 | | | Aisan Industry Co., Ltd. | | | 4,669 | |
| | 2,900 | | | Aisin Sieki Co., Ltd. | | | 87,166 | |
| | 7,300 | | | Akebono Brake Industry Co., Ltd.* | | | 8,847 | |
| | 1,027 | | | Akwel | | | 28,752 | |
| | 2,343 | | | Arb Corp., Ltd. | | | 55,656 | |
| | 266 | | | Autoneum Holding AG* | | | 48,349 | |
| | 3,367 | | | Brembo SpA* | | | 44,185 | |
| | 10,600 | | | Bridgestone Corp. | | | 348,250 | |
| | 1,647 | | | Bulten AB* | | | 17,803 | |
| | 11 | | | Burelle SA | | | 10,720 | |
| | 3,874 | | | CIE Automotive SA | | | 104,489 | |
| | 3,565 | | | Compagnie Generale des Establissements Michelin SCA, Class B | | | 457,469 | |
| | 1,922 | | | Continental AG | | | 284,764 | |
| | 2,800 | | | Daido Metal Co., Ltd. | | | 13,876 | |
| | 2,400 | | | Daikyonishikawa Corp. | | | 19,413 | |
| | 2,000 | | | Denso Corp. | | | 119,096 | |
| | 11,875 | | | Dometic Group AB(a) | | | 157,184 | |
| | 1,800 | | | Eagle Industry Co., Ltd. | | | 17,307 | |
| | 673 | | | Edag Engineering Group AG* | | | 7,423 | |
| | 1,724 | | | ElringKlinger AG* | | | 33,409 | |
| | 1,700 | | | Exedy Corp. | | | 20,906 | |
| | 3,980 | | | Faurecia SA* | | | 204,013 | |
| | 2,300 | | | FCC Co., Ltd. | | | 39,814 | |
| | 1,000 | | | F-Tech, Inc. | | | 6,025 | |
| | 4,000 | | | Futaba Industrial Co., Ltd. | | | 20,518 | |
| | 1,400 | | | G-Tekt Corp. | | | 20,431 | |
| | 4,119 | | | Gud Holdings, Ltd. | | | 37,288 | |
| | 1,786 | | | Hella GmbH & Co. KGaA* | | | 115,517 | |
| | 1,600 | | | Hi-Lex Corp. | | | 23,834 | |
| | 700 | | | H-One Co., Ltd. | | | 5,627 | |
| | 300 | | | Imasen Electric Industrial | | | 2,177 | |
| | 1,800 | | | Kasai Kogyo Co., Ltd. | | | 6,602 | |
| | 800 | | | Koito Manufacturing Co., Ltd. | | | 54,419 | |
| | 250,591 | | | Kongsberg Automotive ASA* | | | 10,061 | |
| | 1,400 | | | KYB Corp.* | | | 32,157 | |
| | 2,493 | | | Leoni AG* | | | 20,254 | |
| | 2,733 | | | Linamar Corp. | | | 144,778 | |
| | 9,928 | | | Magna International, Inc. | | | 702,902 | |
| | 1,150 | | | Magna Internationl, Inc. | | | 81,423 | |
| | 6,366 | | | Martinrea International, Inc. | | | 74,329 | |
| | 2,000 | | | Mitsuba Corp.* | | | 8,860 | |
| | 3,200 | | | Musashi Seimitsu Industry Co., Ltd. | | | 50,848 | |
| | 4,800 | | | NGK Spark Plug Co., Ltd. | | | 82,192 | |
| | 6,600 | | | NHK SPRING Co., Ltd. | | | 45,402 | |
| | 600 | | | Nichirin Co., Ltd. | | | 9,732 | |
| | 3,600 | | | Nifco, Inc. | | | 141,389 | |
| | 2,200 | | | Nippon Seiki Co., Ltd. | | | 24,895 | |
| | 2,700 | | | NOK Corp. | | | 29,089 | |
| | 5,985 | | | Nokian Renkaat OYJ | | | 209,128 | |
| | 800 | | | Ohashi Technica, Inc. | | | 11,241 | |
| | 2,600 | | | Pacific Industrial Co., Ltd. | | | 27,054 | |
| | 1,800 | | | Piolax, Inc. | | | 27,669 | |
See accompanying notes to the financial statements.
4
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Auto Components, continued | | | |
| | 13,329 | | | Pirelli & C SpA*(a) | | $ | 72,100 | |
| | 2,839 | | | Plastic Omnium SA | | | 98,545 | |
| | 6,300 | | | Press Kogyo Co., Ltd. | | | 18,719 | |
| | 3,582 | | | PWR Holdings, Ltd. | | | 12,483 | |
| | 400 | | | Riken Corp. | | | 8,263 | |
| | 4,208 | | | SAF-Holland SE* | | | 57,615 | |
| | 1,900 | | | Sanoh Industrial Co., Ltd. | | | 17,361 | |
| | 2,535 | | | Schaeffler AG | | | 21,172 | |
| | 1,200 | | | Shoei Co., Ltd. | | | 48,260 | |
| | 1,800 | | | Stanley Electric Co., Ltd. | | | 58,095 | |
| | 12,500 | | | Sumitomo Electric Industries, Ltd. | | | 165,845 | |
| | 2,900 | | | Sumitomo Riko Co., Ltd. | | | 17,117 | |
| | 7,700 | | | Sumitomo Rubber Industries, Ltd. | | | 66,366 | |
| | 300 | | | T RAD Co., Ltd. | | | 3,893 | |
| | 1,400 | | | Tachi-S Co., Ltd. | | | 15,975 | |
| | 800 | | | Taiho Kogyo Co., Ltd. | | | 5,558 | |
| | 8,119 | | | TI Fluid Systems plc(a) | | | 27,147 | |
| | 2,500 | | | Tokai Rika Co., Ltd. | | | 42,366 | |
| | 2,500 | | | Topre Corp. | | | 38,391 | |
| | 6,800 | | | Toyo Tire Corp. | | | 103,600 | |
| | 1,700 | | | Toyoda Gosei Co., Ltd. | | | 49,425 | |
| | 3,500 | | | Toyota Boshoku Corp. | | | 56,899 | |
| | 700 | | | Toyota Industries Corp. | | | 55,647 | |
| | 1,500 | | | TPR Co., Ltd. | | | 20,622 | |
| | 1,400 | | | TS Tech Co., Ltd. | | | 43,352 | |
| | 2,000 | | | Unipres Corp. | | | 18,836 | |
| | 2,847 | | | Valeo SA | | | 112,425 | |
| | 66,000 | | | Xinyi Glass Holdings, Ltd. | | | 184,704 | |
| | 6,500 | | | Yokohama Rubber Co., Ltd. (The) | | | 96,884 | |
| | 600 | | | Yorozu Corp. | | | 6,025 | |
| | | | | | | | |
| | | | | | | 5,703,091 | |
| | | | | | | | |
| Automobiles (2.4%): | | | |
| | 7,259 | | | Bayerische Motoren Werke AG (BMW) | | | 640,641 | |
| | 12,614 | | | Daimler AG, Registered Shares | | | 890,584 | |
| | 1,019 | | | Ferrari NV | | | 233,881 | |
| | 28,375 | | | Fiat Chrysler Automobiles NV* | | | 507,335 | |
| | 12,300 | | | Honda Motor Co., Ltd. | | | 343,567 | |
| | 8,600 | | | Isuzu Motors, Ltd. | | | 81,889 | |
| | 7,900 | | | Mazda Motor Corp. | | | 53,147 | |
| | 8,800 | | | Mitsubishi Motors Corp. | | | 18,556 | |
| | 24,000 | | | Nissan Motor Co., Ltd.* | | | 130,585 | |
| | 2,700 | | | Nissan Shatai Co., Ltd. | | | 22,425 | |
| | 14,678 | | | Piaggio & C SpA | | | 48,293 | |
| | 23,694 | | | PSA Peugeot Citroen SA* | | | 648,354 | |
| | 3,686 | | | Renault SA* | | | 161,264 | |
| | 4,600 | | | Subaru Corp. | | | 92,186 | |
| | 2,800 | | | Suzuki Motor Corp. | | | 130,014 | |
| | 28,624 | | | Toyota Motor Corp. | | | 2,195,177 | |
| | 28 | | | Toyota Motor Corp., ADR | | | 4,328 | |
| | 358 | | | Volkswagen AG | | | 74,405 | |
| | 5,100 | | | Yamaha Motor Co., Ltd. | | | 104,300 | |
| | | | | | | | |
| | | | | | | 6,380,931 | |
| | | | | | | | |
| Banks (7.0%): | | | |
| | 3,000 | | | 77th Bank | | | 41,147 | |
| | 3,666 | | | ABN AMRO Group NV*(a) | | | 35,957 | |
| | 15,084 | | | AIB Group plc | | | 31,026 | |
| | 500 | | | Aichi Bank, Ltd. (The) | | | 14,281 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 1,500 | | | Akita Bank, Ltd. (The) | | $ | 20,024 | |
| | 3,329 | | | Aktia Bank OYJ* | | | 39,799 | |
| | 1,200 | | | Aomori Bank, Ltd. (The) | | | 27,956 | |
| | 3,300 | | | Aozora Bank, Ltd.^ | | | 60,973 | |
| | 12,908 | | | Australia & New Zealand Banking Group, Ltd. | | | 226,146 | |
| | 2,000 | | | Awa Bank, Ltd. (The) | | | 45,570 | |
| | 19,504 | | | Banca Monte dei Paschi di Siena SpA*^ | | | 24,780 | |
| | 21,166 | | | Banca Popolare di Sondrio SCPA* | | | 56,397 | |
| | 48,272 | | | Banco Bilbao Vizcaya Argentaria SA | | | 236,603 | |
| | 36,557 | | | Banco Bilbao Vizcaya Argentaria SA, ADR | | | 180,592 | |
| | 44,790 | | | Banco Bpm SpA* | | | 98,324 | |
| | 106,975 | | | Banco Comercial Portugues SA, Class R* | | | 15,938 | |
| | 238,968 | | | Banco de Sabadell SA | | | 105,195 | |
| | 6,287 | | | Banco Santander SA, ADR | | | 19,175 | |
| | 75,653 | | | Banco Santander SA | | | 234,863 | |
| | 8,101 | | | Bank Hapoalim BM | | | 55,645 | |
| | 16,175 | | | Bank Leumi Le-Israel Corp. | | | 95,560 | |
| | 36,738 | | | Bank of East Asia, Ltd. (The) | | | 78,747 | |
| | 974 | | | Bank of Georgia Group plc* | | | 16,257 | |
| | 29,096 | | | Bank of Ireland Group plc* | | | 118,182 | |
| | 900 | | | Bank of Iwate, Ltd. (The) | | | 17,544 | |
| | 1,200 | | | Bank of Kyoto, Ltd. (The) | | | 62,837 | |
| | 6,527 | | | Bank of Montreal | | | 496,248 | |
| | 1,617 | | | Bank of Montreal | | | 122,962 | |
| | 500 | | | Bank of Nagoya, Ltd. (The) | | | 12,455 | |
| | 9,618 | | | Bank of Nova Scotia | | | 519,757 | |
| | 820 | | | Bank of Okinawa, Ltd. (The) | | | 21,918 | |
| | 23,359 | | | Bank of Queensland, Ltd. | | | 139,454 | |
| | 1,100 | | | Bank of Saga, Ltd. (The) | | | 14,031 | |
| | 2,000 | | | Bank of The Ryukyus, Ltd. | | | 14,873 | |
| | 50,112 | | | Bankia SA | | | 88,809 | |
| | 23,015 | | | Bankinter SA | | | 124,524 | |
| | 71 | | | Banque Cantonale de Geneve | | | 12,765 | |
| | 916 | | | Banque Cantonale Vaudois, Registered Shares | | | 99,641 | |
| | 35,666 | | | Barclays plc, ADR | | | 284,971 | |
| | 21,540 | | | Bendigo & Adelaide Bank, Ltd. | | | 154,845 | |
| | 218 | | | Berner Kantonalbank AG | | | 56,167 | |
| | 4,368 | | | BNP Paribas SA* | | | 230,357 | |
| | 38,542 | | | BOC Hong Kong Holdings, Ltd. | | | 117,133 | |
| | 34,804 | | | BPER Banca* | | | 63,019 | |
| | 59,686 | | | CaixaBank SA | | | 153,360 | |
| | 200 | | | Canadian Imperial Bank of Commerce | | | 17,085 | |
| | 5,889 | | | Canadian Imperial Bank of Commerce | | | 503,333 | |
| | 4,227 | | | Canadian Western Bank | | | 95,055 | |
| | 11,600 | | | Chiba Bank, Ltd. (The) | | | 63,983 | |
| | 4,300 | | | Chiba Kogyo Bank, Ltd. (The) | | | 10,393 | |
| | 10,000 | | | Chong Hing Bank, Ltd. | | | 12,125 | |
| | 6,200 | | | Chugoku Bank, Ltd. (The) | | | 50,037 | |
| | 700 | | | Chukyo Bank, Ltd. (The) | | | 13,268 | |
| | 31,551 | | | Commerzbank AG* | | | 203,002 | |
| | 11,410 | | | Commonwealth Bank of Australia | | | 722,903 | |
| | 12,500 | | | Concordia Financial Group, Ltd. | | | 44,343 | |
| | 8,297 | | | Credit Agricole SA | | | 104,756 | |
| | 5,165 | | | Credito Emiliano SpA* | | | 27,936 | |
| | 3,488 | | | Credito Valtellinese SpA* | | | 49,121 | |
| | 16,000 | | | Dah Sing Banking Group, Ltd. | | | 16,434 | |
| | 5,600 | | | Dah Sing Financial Holdings, Ltd. | | | 15,793 | |
See accompanying notes to the financial statements.
5
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 1,900 | | | Daishi Hokuetsu Financial Group, Inc. | | $ | 41,169 | |
| | 11,388 | | | Danske Bank A/S | | | 188,883 | |
| | 7,944 | | | DBS Group Holdings, Ltd. | | | 150,294 | |
| | 7,483 | | | DNB ASA* | | | 147,561 | |
| | 1,600 | | | Ehime Bank, Ltd. (The) | | | 15,472 | |
| | 2,450 | | | Erste Group Bank AG* | | | 73,957 | |
| | 6,500 | | | Fidea Holdings Co., Ltd. | | | 6,682 | |
| | 13,601 | | | Finecobank Banca Fineco SpA* | | | 221,935 | |
| | 3,600 | | | First Bank of Toyama, Ltd. (The) | | | 9,848 | |
| | 1,816 | | | First International Bank of Israel | | | 48,268 | |
| | 1,000 | | | Fukui Bank, Ltd. (The) | | | 18,440 | |
| | 5,800 | | | Fukuoka Financial Group, Inc. | | | 103,975 | |
| | 2,200 | | | Fukushima Bank, Ltd. (The) | | | 4,186 | |
| | 19,400 | | | Gunma Bank, Ltd. (The) | | | 60,185 | |
| | 9,200 | | | Hachijuni Bank, Ltd. (The) | | | 30,802 | |
| | 5,105 | | | Hang Seng Bank, Ltd. | | | 88,214 | |
| | 28,400 | | | Heartland Group Holdings Npv | | | 33,904 | |
| | 11,800 | | | Hirogin Holdings, Inc. | | | 66,398 | |
| | 1,000 | | | Hokkoku Bank, Ltd. (The) | | | 25,408 | |
| | 6,000 | | | Hokuhoku Financial Group, Inc. | | | 57,402 | |
| | 27,566 | | | HSBC Holdings plc, ADR* | | | 714,235 | |
| | 9,400 | | | Hyakugo Bank, Ltd. (The) | | | 27,308 | |
| | 1,000 | | | Hyakujushi Bank, Ltd. (The) | | | 14,413 | |
| | 17,920 | | | ING Groep NV* | | | 169,741 | |
| | 127,279 | | | Intesa Sanpaolo SpA* | | | 296,909 | |
| | 15,332 | | | Isreal Discount Bank | | | 59,204 | |
| | 9,500 | | | Iyo Bank, Ltd. (The) | | | 59,947 | |
| | 620 | | | Jimoto Holdings, Inc. | | | 4,967 | |
| | 1,200 | | | Juroku Bank, Ltd. (The) | | | 21,951 | |
| | 2,048 | | | Jyske Bank A/S* | | | 77,756 | |
| | 4,842 | | | Kansai Mirai Financial Group,Inc. | | | 23,622 | |
| | 3,511 | | | KBC Group NV* | | | 246,045 | |
| | 5,800 | | | Keiyo Bank, Ltd. (The) | | | 23,464 | |
| | 400 | | | Kita-Nippon Bank, Ltd. (The) | | | 7,906 | |
| | 2,500 | | | Kiyo Bank, Ltd. (The) | | | 35,945 | |
| | 16,490 | | | Kyushu Financial Group, Inc. | | | 68,089 | |
| | 1,296 | | | Laurentian Bank of Canada | | | 31,771 | |
| | 120,273 | | | Liberbank SA* | | | 37,076 | |
| | 562 | | | Liechtensteinische Landesbank AG | | | 33,336 | |
| | 149,457 | | | Lloyds Banking Group plc* | | | 75,328 | |
| | 96,996 | | | Lloyds TSB Group plc, ADR | | | 190,112 | |
| | 162 | | | Luzerner Kantonalbank AG | | | 73,389 | |
| | 24,670 | | | Mebuki Financial Group, Inc. | | | 48,905 | |
| | 9,651 | | | Mediobanca SpA* | | | 88,194 | |
| | 700 | | | Michinoku Bank, Ltd. (The) | | | 6,795 | |
| | 62,500 | | | Mitsubishi UFJ Financial Group, Inc. | | | 276,830 | |
| | 800 | | | Miyazaki Bank, Ltd. (The) | | | 17,114 | |
| | 3,605 | | | Mizrahi Tefahot Bank, Ltd. | | | 83,632 | |
| | 12,880 | | | Mizuho Financial Group, Inc. | | | 164,206 | |
| | 1,300 | | | Musashino Bank, Ltd. (The) | | | 18,865 | |
| | 800 | | | Nagano Bank, Ltd. (The) | | | 10,530 | |
| | 1,300 | | | Nanto Bank, Ltd. (The) | | | 22,086 | |
| | 25,880 | | | National Australia Bank, Ltd. | | | 451,423 | |
| | 9,441 | | | National Bank of Canada | | | 531,432 | |
| | 19,782 | | | Natwest Group plc, ADR* | | | 89,415 | |
| | 50,252 | | | Natwest Group plc | | | 116,205 | |
| | 7,200 | | | Nishi-Nippon Holdings, Inc. | | | 46,425 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 24,588 | | | Nordea Bank AB* | | $ | 200,869 | |
| | 17,400 | | | North Pacific Bank, Ltd. | | | 36,993 | |
| | 7,556 | | | Norwegian Finans Holding ASA* | | | 64,104 | |
| | 1,800 | | | Ogaki Kyoritsu Bank, Ltd. (The) | | | 36,794 | |
| | 1,000 | | | Oita Bank, Ltd. (The) | | | 19,737 | |
| | 16,822 | | | Oversea-Chinese Banking Corp., Ltd. | | | 127,922 | |
| | 28,000 | | | Public Financial Holdings, Ltd. | | | 7,595 | |
| | 7,184 | | | Raiffeisen International Bank-Holding AG* | | | 145,075 | |
| | 26,700 | | | Resona Holdings, Inc. | | | 94,033 | |
| | 1,393 | | | Ringkjoebing Landbobank A/S | | | 126,808 | |
| | 12,263 | | | Royal Bank of Canada | | | 1,006,302 | |
| | 10,941 | | | Royal Bank of Canada | | | 899,127 | |
| | 1,190 | | | San Ju San Financial Group, Inc. | | | 14,575 | |
| | 6,200 | | | San-In Godo Bank, Ltd. (The) | | | 29,771 | |
| | 4,451 | | | Sbanken ASA*(a) | | | 35,821 | |
| | 11,600 | | | Senshu Ikeda Holdings, Inc. | | | 16,646 | |
| | 24,500 | | | Seven Bank, Ltd. | | | 51,805 | |
| | 1,300 | | | Shiga Bank, Ltd. (The) | | | 26,574 | |
| | 1,000 | | | Shikoku Bank, Ltd. (The) | | | 6,623 | |
| | 400 | | | Shimizu Bank, Ltd. (The) | | | 6,657 | |
| | 5,900 | | | Shinsei Bank, Ltd. | | | 73,228 | |
| | 3,800 | | | Shizuoka Bank, Ltd. (The) | | | 27,996 | |
| | 7,610 | | | Skandinaviska Enskilda Banken AB, Class A* | | | 78,156 | |
| | 12,213 | | | Societe Generale | | | 254,391 | |
| | 4,543 | | | Spar Nord Bank A/S* | | | 44,685 | |
| | 8,634 | | | Sparebank 1 Sr-Bank ASA* | | | 91,987 | |
| | 121 | | | St. Galler Kantonalbank AG | | | 56,833 | |
| | 42,689 | | | Standard Chartered plc | | | 273,695 | |
| | 7,000 | | | Sumitomo Mitsui Financial Group, Inc. | | | 216,633 | |
| | 1,900 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 58,923 | |
| | 1,500 | | | Suruga Bank, Ltd. | | | 4,949 | |
| | 12,310 | | | Svenska Handelsbanken AB, Class A* | | | 123,572 | |
| | 3,421 | | | Swedbank AB, Class A* | | | 60,176 | |
| | 3,208 | | | Sydbank A/S* | | | 70,818 | |
| | 8,700 | | | Tochigi Bank, Ltd. (The) | | | 14,498 | |
| | 6,500 | | | Toho Bank, Ltd. (The) | | | 13,167 | |
| | 1,100 | | | Tokyo Kiraboshi Financial Group, Inc. | | | 11,835 | |
| | 7,500 | | | Tomony Holdings, Inc. | | | 22,874 | |
| | 2,200 | | | Toronto-Dominion Bank (The) | | | 124,322 | |
| | 7,456 | | | Toronto-Dominion Bank (The) | | | 420,668 | |
| | 2,100 | | | Towa Bank, Ltd. (The) | | | 12,912 | |
| | 6,200 | | | Tsukuba Bank, Ltd. | | | 11,111 | |
| | 60,591 | | | Unicaja Banco SA*(a) | | | 52,981 | |
| | 35,794 | | | Unicredit SpA | | | 331,189 | |
| | 8,727 | | | United Overseas Bank, Ltd. | | | 149,021 | |
| | 682 | | | Valiant Holding AG | | | 66,926 | |
| | 764 | | | Van Lanschot Kempen NV* | | | 19,607 | |
| | 34,734 | | | Virgin Money UK plc* | | | 64,870 | |
| | 582 | | | Walliser Kantonalbank, Registered Shares | | | 69,056 | |
| | 26,371 | | | Westpac Banking Corp. | | | 393,391 | |
| | 1,600 | | | Yamagata Bank, Ltd. (The) | | | 16,022 | |
| | 7,200 | | | Yamaguchi Financial Group, Inc. | | | 40,838 | |
| | 1,800 | | | Yamanashi Chuo Bank, Ltd. (The) | | | 13,493 | |
| | 6 | | | Zuger Kantonalbank AG | | | 43,342 | |
| | | | | | | | |
| | | | | | | 18,575,924 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Beverages (1.3%): | | | |
| | 1,900 | | | Andrew Peller, Ltd. | �� | $ | 15,645 | |
| | 8,852 | | | Anheuser-Busch InBev NV | | | 618,521 | |
| | 4,300 | | | Asahi Breweries, Ltd. | | | 177,265 | |
| | 10,973 | | | Britvic plc | | | 121,889 | |
| | 11,716 | | | C&C Group plc* | | | 36,470 | |
| | 1,053 | | | Carlsberg A/S, Class B | | | 168,843 | |
| | 11,116 | | | Coca-Cola Amatil, Ltd. | | | 110,840 | |
| | 2,200 | | | Coca-Cola Bottlers Japan Holdings, Inc. | | | 34,378 | |
| | 4,383 | | | Coca-Cola European Partners plc | | | 211,601 | |
| | 3,906 | | | Coca-Cola HBC AG | | | 127,021 | |
| | 5,510 | | | David Campari-Milano NV | | | 63,017 | |
| | 4,082 | | | Diageo plc, ADR | | | 648,262 | |
| | 1,644 | | | Fevertree Drinks plc | | | 56,924 | |
| | 1,838 | | | Heineken NV | | | 204,947 | |
| | 900 | | | ITO EN, Ltd. | | | 56,957 | |
| | 4,900 | | | Kirin Holdings Co., Ltd. | | | 115,708 | |
| | 109 | | | Laurent-Perrier | | | 9,986 | |
| | 653 | | | Olvi OYJ | | | 38,676 | |
| | 412 | | | Pernod Ricard SA | | | 78,965 | |
| | 4,250 | | | Primo Water Corp. | | | 66,653 | |
| | 307 | | | Remy Cointreau SA | | | 57,052 | |
| | 1,549 | | | Royal Unibrew A/S | | | 179,619 | |
| | 4,000 | | | Sapporo Breweries, Ltd. | | | 77,317 | |
| | 3,457 | | | Stock Spirits Group plc | | | 12,708 | |
| | 1,000 | | | Suntory Beverage & Food, Ltd. | | | 35,399 | |
| | 2,800 | | | Takara Holdings, Inc. | | | 35,029 | |
| | 6,474 | | | Treasury Wine Estates, Ltd. | | | 46,953 | |
| | | | | | | | |
| | | | | | | 3,406,645 | |
| | | | | | | | |
| Biotechnology (0.4%): | | | |
| | 143 | | | Argenx SE* | | | 42,148 | |
| | 788 | | | Bavarian Nordic A/S* | | | 24,175 | |
| | 906 | | | Biogaia AB | | | 59,160 | |
| | 486 | | | Biotest AG | | | 16,682 | |
| | 3,023 | | | CSL, Ltd. | | | 660,422 | |
| | 225 | | | Galapagos NV* | | | 22,137 | |
| | 470 | | | Genmab A/S* | | | 190,137 | |
| | 634 | | | Genus plc | | | 36,420 | |
| | 5,747 | | | Knight Therapeutics, Inc.* | | | 24,158 | |
| | 6,442 | | | Mesoblast, Ltd.* | | | 11,093 | |
| | 300 | | | Peptidream, Inc.* | | | 15,249 | |
| | 475 | | | Pharma Mar SA | | | 41,269 | |
| | 1,008 | | | Swedish Orphan Biovitrum AB* | | | 20,236 | |
| | 1,155 | | | Zealand Pharma A/S* | | | 41,964 | |
| | | | | | | | |
| | | | | | | 1,205,250 | |
| | | | | | | | |
| Building Products (1.2%): | | | |
| | 4,300 | | | AGC, Inc. | | | 150,194 | |
| | 1,100 | | | AICA Kogyo Co., Ltd. | | | 38,120 | |
| | 2,028 | | | Arbonia AG | | | 32,428 | |
| | 1,049 | | | ASSA Abloy AB, Class B | | | 25,814 | |
| | 12 | | | Belimo Holding AG, Registered Shares | | | 104,263 | |
| | 2,400 | | | Bunka Shutter Co., Ltd. | | | 22,653 | |
| | 1,800 | | | Central Glass Co., Ltd. | | | 39,324 | |
| | 11,276 | | | Compagnie de Saint-Gobain SA* | | | 516,973 | |
| | 2,400 | | | Daikin Industries, Ltd. | | | 534,598 | |
| | 114 | | | dorma kaba Holding AG | | | 64,709 | |
| | 567 | | | Geberit AG, Registered Shares | | | 354,878 | |
| | 12,489 | | | Gwa Group, Ltd. | | | 33,774 | |
| | 3,298 | | | Inrom Construction Industries, Ltd. | | | 16,096 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Building Products, continued | | | |
| | 2,938 | | | Inwido AB* | | $ | 42,867 | |
| | 2,479 | | | Kingspan Group plc* | | | 174,004 | |
| | 4,017 | | | Lindab International AB | | | 83,202 | |
| | 3,900 | | | Lixil Corp. | | | 84,718 | |
| | 600 | | | Maeda Kosen Co., Ltd. | | | 15,798 | |
| | 1,796 | | | Nibe Industrier AB, Class B | | | 59,003 | |
| | 3,200 | | | Nichias Corp. | | | 76,375 | |
| | 1,100 | | | Nichiha Corp. | | | 34,692 | |
| | 1,600 | | | Nippon Hume Corp. | | | 12,446 | |
| | 2,401 | | | Nordic Waterproofing Holding AB* | | | 47,913 | |
| | 1,500 | | | Noritz Corp. | | | 23,464 | |
| | 1,400 | | | Okabe Co., Ltd. | | | 10,524 | |
| | 5,784 | | | Polypipe Group plc* | | | 47,533 | |
| | 144 | | | Rockwool International A/S | | | 48,535 | |
| | 290 | | | ROCKWOOL International A/S, Class B | | | 108,609 | |
| | 1,900 | | | Sankyo Tateyama, Inc. | | | 14,993 | |
| | 7,800 | | | Sanwa Holdings Corp. | | | 90,835 | |
| | 47 | | | Schweiter Technologies AG | | | 77,741 | |
| | 900 | | | Shin Nippon Air Technologies Co., Ltd. | | | 19,589 | |
| | 1,800 | | | Sinko Industries, Ltd. | | | 31,033 | |
| | 1,211 | | | Systemair AB* | | | 37,972 | |
| | 1,800 | | | Takara Standard Co., Ltd. | | | 26,491 | |
| | 2,310 | | | Tarkett SA* | | | 40,836 | |
| | 7,093 | | | Tyman plc* | | | 33,875 | |
| | 3,400 | | | Uponor OYJ | | | 75,402 | |
| | 638 | | | Zehnder Group AG | | | 42,582 | |
| | | | | | | | |
| | | | | | | 3,294,856 | |
| | | | | | | | |
| Capital Markets (2.8%): | | | |
| | 12,426 | | | 3i Group plc | | | 198,494 | |
| | 24,792 | | | ABG Sundal Collier Holding ASA | | | 18,480 | |
| | 3,200 | | | AGF Management, Ltd. | | | 15,287 | |
| | 1,600 | | | Aizawa Securities Co., Ltd. | | | 11,468 | |
| | 2,242 | | | AJ Bell plc | | | 13,303 | |
| | 143 | | | Alantra Partners SA | | | 2,324 | |
| | 2,800 | | | Alaris Equity Partners Income | | | 33,243 | |
| | 1,655 | | | Altamir | | | 40,357 | |
| | 817 | | | Amundi SA(a) | | | 66,704 | |
| | 7,128 | | | Anima Holding SpA(a) | | | 33,624 | |
| | 9,209 | | | Ashmore Group plc | | | 54,346 | |
| | 670 | | | ASX, Ltd. | | | 37,210 | |
| | 4,255 | | | Avanza Bank Holding AB | | | 119,869 | |
| | 5,188 | | | Azimut Holding SpA | | | 112,480 | |
| | 2,819 | | | Banca Generali SpA* | | | 93,698 | |
| | 521 | | | Bellevue Group AG | | | 18,131 | |
| | 8,900 | | | Brewin Dolphin Holdings plc | | | 37,350 | |
| | 1,678 | | | Brookfield Asset Management, Inc., Class A | | | 69,251 | |
| | 2,865 | | | Bure Equity AB | | | 102,648 | |
| | 2,497 | | | Canaccord Genuity Group, Inc. | | | 21,896 | |
| | 7,682 | | | CI Financial Corp. | | | 95,248 | |
| | 117 | | | Cie Financiere Tradition SA | | | 14,552 | |
| | 5,230 | | | Close Brothers Group plc | | | 98,881 | |
| | 20,849 | | | Credit Suisse Group AG | | | 268,305 | |
| | 18,300 | | | Daiwa Securities Group, Inc. | | | 83,477 | |
| | 4,462 | | | Dea Capital SpA | | | 6,177 | |
| | 10,467 | | | Deutsche Bank AG, Registered Shares* | | | 114,090 | |
| | 12,602 | | | Deutsche Bank AG, Registered Shares* | | | 137,181 | |
| | 1,138 | | | Deutsche Beteiligungs AG | | | 46,017 | |
See accompanying notes to the financial statements.
7
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Capital Markets, continued | | | |
| | 1,924 | | | Deutsche Boerse AG | | $ | 326,596 | |
| | 1,252 | | | Eastnine AB | | | 19,032 | |
| | 5,622 | | | EFG International AG | | | 37,081 | |
| | 258,000 | | | Emperor Capital Group, Ltd.* | | | 4,293 | |
| | 2,588 | | | Euronext NV(a) | | | 285,117 | |
| | 2,000 | | | Fiera Capital Corp. | | | 16,783 | |
| | 2,372 | | | Flow Traders(a) | | | 78,401 | |
| | 10,649 | | | GAM Holding AG* | | | 26,023 | |
| | 2,674 | | | Georgia Capital plc* | | | 19,679 | |
| | 795 | | | Gimv NV | | | 48,574 | |
| | 2,400 | | | GMO Financial Holdings, Inc. | | | 16,592 | |
| | 1,675 | | | Guardian Capital Group, Ltd., Class A | | | 35,469 | |
| | 142,000 | | | Guotai Junan International Hol^ | | | 19,064 | |
| | 135,243 | | | Haitong International Securities | | | 32,650 | |
| | 5,422 | | | Hargreaves Lansdown plc | | | 113,176 | |
| | 8,194 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 450,688 | |
| | 11,954 | | | IG Group Holdings plc | | | 140,953 | |
| | 1,732 | | | IGM Financial, Inc. | | | 46,964 | |
| | 218 | | | Ina Invest Holding AG* | | | 4,807 | |
| | 5,941 | | | Intermediate Capital Group plc | | | 140,367 | |
| | 22,533 | | | Investec plc | | | 58,246 | |
| | 28,134 | | | IOOF Holdings, Ltd. | | | 76,434 | |
| | 60,525 | | | IP Group plc* | | | 82,083 | |
| | 1,700 | | | IwaiCosmo Holdings, Inc. | | | 21,616 | |
| | 1,400 | | | JAFCO Group Co., Ltd. | | | 69,964 | |
| | 4,800 | | | Japan Exchange Group, Inc. | | | 122,750 | |
| | 4,092 | | | Julius Baer Group, Ltd. | | | 237,107 | |
| | 17,082 | | | Jupiter Fund Management plc | | | 65,572 | |
| | 138,000 | | | Kingston Financial Group, Ltd. | | | 12,106 | |
| | 800 | | | Kyokuto Securities Co., Ltd. | | | 5,364 | |
| | 760 | | | London Stock Exchange Group plc | | | 93,667 | |
| | 2,447 | | | Macquarie Group, Ltd. | | | 261,418 | |
| | 2,131 | | | Magellan Financial Group, Ltd. | | | 88,699 | |
| | 50,276 | | | Man Group plc/Jersey | | | 95,424 | |
| | 2,300 | | | Marusan Securities Co., Ltd. | | | 10,338 | |
| | 1,180,000 | | | Mason Group Holdings, Ltd.* | | | 4,563 | |
| | 2,900 | | | Mito Securities Co., Ltd. | | | 6,418 | |
| | 3,035 | | | MLP SE | | | 20,021 | |
| | 7,700 | | | Monex Group, Inc. | | | 28,998 | |
| | 33,189 | | | Natixis* | | | 114,221 | |
| | 4,265 | | | Navigator Global Investments, Ltd. | | | 5,722 | |
| | 5,522 | | | Netwealth Group, Ltd. | | | 68,349 | |
| | 11,266 | | | Ninety One plc | | | 35,689 | |
| | 19,100 | | | Nomura Holdings, Inc. | | | 101,125 | |
| | 21,388 | | | NZX, Ltd. | | | 30,183 | |
| | 9,500 | | | Okasan Securities Group, Inc. | | | 34,604 | |
| | 2,701 | | | Pacific Current Group, Ltd. | | | 12,834 | |
| | 253 | | | Partners Group Holding AG | | | 295,627 | |
| | 8,321 | | | Pendal Group, Ltd. | | | 41,931 | |
| | 1,616 | | | Perpetual, Ltd. | | | 43,348 | |
| | 11,593 | | | Platinum Asset Management, Ltd. | | | 36,489 | |
| | 2,595 | | | Polar Capital Holdings plc | | | 24,833 | |
| | 56,593 | | | Quilter plc(a) | | | 118,976 | |
| | 565 | | | Rathbone Brothers plc | | | 11,907 | |
| | 9,785 | | | Ratos AB, Class B | | | 45,755 | |
| | 1,549 | | | Rothschild & Co.* | | | 48,775 | |
| | 2,800 | | | SBI Holdings, Inc. | | | 66,529 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Capital Markets, continued | | | |
| | 1,783 | | | Schroders plc | | $ | 81,428 | |
| | 1,368 | | | Schroders plc | | | 42,643 | |
| | 11,400 | | | Singapore Exchange, Ltd. | | | 80,253 | |
| | 430 | | | Sprott, Inc. | | | 12,488 | |
| | 8,652 | | | St. James Place plc | | | 134,212 | |
| | 700 | | | Strike Co., Ltd. | | | 34,728 | |
| | 667 | | | Swissquote Group Holding SA | | | 64,832 | |
| | 2,584 | | | Tamburi Investment Partners SP | | | 21,731 | |
| | 331 | | | TMX Group, Ltd. | | | 33,066 | |
| | 8,500 | | | Tokai Tokyo Financial Holdings, Inc. | | | 25,185 | |
| | 4,000 | | | Toyo Securities Co., Ltd. | | | 5,166 | |
| | 22,042 | | | TP ICAP plc | | | 72,054 | |
| | 15,471 | | | UBS Group AG | | | 216,457 | |
| | 18,081 | | | Uob-Kay Hian Holdings, Ltd. | | | 19,435 | |
| | 1,325 | | | Vontobel Holding AG | | | 104,364 | |
| | 245 | | | Vp Bank AG, Registered Shares | | | 30,993 | |
| | 550 | | | VZ Holding AG | | | 50,241 | |
| | | | | | | | |
| | | | | | | 7,353,361 | |
| | | | | | | | |
| Chemicals (4.0%): | | | |
| | 900 | | | Achilles Corp. | | | 12,357 | |
| | 3,300 | | | Adeka Corp. | | | 57,875 | |
| | 3,982 | | | Air Liquide SA | | | 653,477 | |
| | 7,800 | | | Air Water, Inc. | | | 139,187 | |
| | 2,028 | | | Akzo Nobel NV | | | 217,818 | |
| | 700 | | | Arakawa Chemical Industries, Ltd. | | | 8,032 | |
| | 3,549 | | | Arkema SA | | | 405,609 | |
| | 28,500 | | | Asahi Kasei Corp. | | | 293,183 | |
| | 1,100 | | | ASAHI YUKIZAI Corp. | | | 16,122 | |
| | 3,175 | | | BASF SE | | | 250,682 | |
| | 3,760 | | | Borregaard ASA | | | 62,306 | |
| | 52,400 | | | China Sunsine Chemical Holdings, Ltd. | | | 19,629 | |
| | 1,540 | | | Christian Hansen Holding A/S* | | | 158,475 | |
| | 1,600 | | | CI Takiron Corp. | | | 10,708 | |
| | 10,241 | | | Clariant AG | | | 217,659 | |
| | 2,528 | | | Corbion NV | | | 142,188 | |
| | 4,483 | | | Covestro AG(a) | | | 276,488 | |
| | 2,733 | | | Croda International plc | | | 246,879 | |
| | 1,000 | | | Dai Nippon Toryo Co., Ltd. | | | 9,351 | |
| | 7,200 | | | Daicel Corp. | | | 52,821 | |
| | 900 | | | Dainichiseika Color & Chemical | | | 21,026 | |
| | 4,300 | | | Dainippon Ink & Chemicals, Inc. | | | 109,081 | |
| | 4,000 | | | Denka Co., Ltd. | | | 156,416 | |
| | 18,377 | | | Elementis plc* | | | 28,767 | |
| | 108 | | | EMS-Chemie Holding AG | | | 104,219 | |
| | 8,516 | | | Ercros SA | | | 22,372 | |
| | 9,485 | | | Essentra plc* | | | 39,758 | |
| | 60,321 | | | Evolva Holding SA* | | | 13,689 | |
| | 1,699 | | | Evonik Industries AG | | | 55,345 | |
| | 1,728 | | | Fuchs Petrolub AG | | | 98,078 | |
| | 624 | | | FUCHS Petrolub SE | | | 28,852 | |
| | 300 | | | Fujimori Kogyo Co., Ltd. | | | 13,881 | |
| | 1,400 | | | Fuso Chemical Co., Ltd. | | | 50,431 | |
| | 37 | | | Givaudan SA, Registered Shares | | | 155,907 | |
| | 29 | | | Gurit Holding AG | | | 81,530 | |
| | 835 | | | H&R GMBH & Co. KGAA* | | | 5,571 | |
| | 4,570 | | | Hexpol AB | | | 48,863 | |
| | 700 | | | Hodogaya Chemical Co., Ltd. | | | 34,520 | |
See accompanying notes to the financial statements.
8
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Chemicals, continued | | | |
| | 11,243 | | | ICL Group, Ltd. | | $ | 57,437 | |
| | 27,517 | | | Incitec Pivot, Ltd.* | | | 48,528 | |
| | 1,500 | | | Ishihara Sangyo Kaisha, Ltd. | | | 9,085 | |
| | 1,000 | | | JCU Corp. | | | 38,574 | |
| | 6,711 | | | Johnson Matthey plc | | | 222,767 | |
| | 700 | | | Jsp Corp. | | | 11,739 | |
| | 2,000 | | | JSR Corp. | | | 55,871 | |
| | 5,063 | | | K+S AG, Registered Shares | | | 48,084 | |
| | 2,000 | | | Kaneka Corp. | | | 70,275 | |
| | 1,100 | | | Kansai Paint Co., Ltd. | | | 33,899 | |
| | 5,000 | | | Kanto Denka Kogyo Co., Ltd. | | | 38,433 | |
| | 4,999 | | | Kemira OYJ | | | 78,313 | |
| | 1,400 | | | Kh Neochem Co., Ltd. | | | 37,180 | |
| | 1,500 | | | Koatsu Gas Kogyo Co., Ltd. | | | 11,574 | |
| | 2,070 | | | Koninklijke DSM NV | | | 356,545 | |
| | 1,000 | | | Konishi Co., Ltd. | | | 16,243 | |
| | 11,800 | | | Kuraray Co., Ltd. | | | 126,048 | |
| | 800 | | | Kureha Corp. | | | 56,465 | |
| | 3,627 | | | Lanxess AG | | | 278,095 | |
| | 671 | | | Lenzing AG* | | | 68,131 | |
| | 1,300 | | | Lintec Corp. | | | 28,834 | |
| | 2,350 | | | Methanex Corp. | | | 108,288 | |
| | 12,300 | | | Mitsubishi Chemical Holdings Corp. | | | 74,835 | |
| | 3,200 | | | Mitsubishi Gas Chemical Co., Inc. | | | 73,689 | |
| | 3,400 | | | Mitsui Chemicals, Inc. | | | 99,900 | |
| | 800 | | | Nihon Kagaku Sangyo Co., Ltd. | | | 8,548 | |
| | 2,300 | | | Nihon Nohyaku Co., Ltd. | | | 11,269 | |
| | 2,600 | | | Nihon Parkerizing Co., Ltd. | | | 27,049 | |
| | 600 | | | Nippon Chemical Industrial Co., Ltd. | | | 16,382 | |
| | 5,500 | | | Nippon Kayaku Co., Ltd. | | | 51,010 | |
| | 1,400 | | | Nippon Pillar Packing Co., Ltd. | | | 21,907 | |
| | 3,000 | | | Nippon Sanso Holdings Corp. | | | 55,823 | |
| | 700 | | | Nippon Shokubai Co., Ltd. | | | 39,383 | |
| | 800 | | | Nippon Soda Co., Ltd. | | | 23,877 | |
| | 2,400 | | | Nissan Chemical Corp. | | | 150,444 | |
| | 1,500 | | | Nitto Denko Corp. | | | 134,709 | |
| | 700 | | | NOF Corp. | | | 35,599 | |
| | 1,831 | | | Novozymes A/S, Class B | | | 105,100 | |
| | 14,367 | | | Nufarm, Ltd.* | | | 45,451 | |
| | 2,200 | | | Nutrien, Ltd. | | | 105,860 | |
| | 4,481 | | | Nutrien, Ltd. | | | 215,805 | |
| | 1,600 | | | OCI NV* | | | 30,843 | |
| | 500 | | | Okamoto Industries, Inc. | | | 19,206 | |
| | 600 | | | Okura Industrial Co., Ltd. | | | 11,118 | |
| | 3,258 | | | Orica, Ltd. | | | 38,095 | |
| | 1,000 | | | Osaka Organic Chemical Industry, Ltd. | | | 31,080 | |
| | 2,613 | | | Recticel SA | | | 34,226 | |
| | 2,800 | | | Riken Technos Corp. | | | 12,252 | |
| | 500 | | | Sakai Chemical Industry Co., Ltd. | | | 9,567 | |
| | 2,400 | | | Sakata Inx Corp. | | | 26,976 | |
| | 700 | | | Sanyo Chemical Industries, Ltd. | | | 37,426 | |
| | 900 | | | Sekisui Plastics Co., Ltd. | | | 4,626 | |
| | 1,100 | | | Shikoku Chemicals Corp. | | | 12,816 | |
| | 1,200 | | | Shin-Etsu Chemical Co., Ltd. | | | 210,107 | |
| | 1,800 | | | Shin-Etsu Polymer Co., Ltd. | | | 16,467 | |
| | 5,600 | | | Showa Denko K.K. | | | 120,018 | |
| | 1,873 | | | Sika AG | | | 511,506 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Chemicals, continued | | | |
| | 1,754 | | | SOL SpA | | $ | 29,966 | |
| | 1,166 | | | Solvay SA | | | 138,164 | |
| | 400 | | | Stella Chemifa Corp. | | | 12,886 | |
| | 1,500 | | | Sumitomo Bakelite Co., Ltd. | | | 51,865 | |
| | 19,100 | | | Sumitomo Chemical Co., Ltd. | | | 76,960 | |
| | 300 | | | Sumitomo Seika Chemicals Co. Ltd. | | | 11,952 | |
| | 2,031 | | | Symrise AG | | | 268,591 | |
| | 18,622 | | | Synthomer plc | | | 114,559 | |
| | 700 | | | T Hasegawa Co., Ltd. | | | 14,733 | |
| | 1,200 | | | T&K Toka Co., Ltd. | | | 10,192 | |
| | 300 | | | Taiyo Holdings Co., Ltd. | | | 17,785 | |
| | 600 | | | Takasago International Corp. | | | 13,851 | |
| | 600 | | | Tayca Corp. | | | 8,798 | |
| | 9,600 | | | Teijin, Ltd. | | | 181,043 | |
| | 500 | | | Tenma Corp. | | | 9,902 | |
| | 1,223 | | | Tessenderlo Group SA* | | | 48,793 | |
| | 2,007 | | | Tikkurila OYJ | | | 61,038 | |
| | 4,900 | | | Toagosei Co., Ltd. | | | 57,834 | |
| | 8,100 | | | Tokai Carbon Co., Ltd. | | | 101,645 | |
| | 4,100 | | | Tokuyama Corp. | | | 92,274 | |
| | 600 | | | Tokyo Ohka Kogyo Co., Ltd. | | | 42,249 | |
| | 29,500 | | | Toray Industries, Inc. | | | 175,073 | |
| | 5,100 | | | Tosoh Corp. | | | 79,921 | |
| | 1,200 | | | Toyo Ink SC Holdings Co., Ltd. | | | 23,040 | |
| | 5,000 | | | Toyobo Co., Ltd. | | | 66,979 | |
| | 6,000 | | | Ube Industries, Ltd. | | | 109,377 | |
| | 3,116 | | | Umicore SA | | | 149,671 | |
| | 1,909 | | | Victrex plc | | | 61,291 | |
| | 329 | | | Wacker Chemie AG | | | 46,923 | |
| | 997 | | | Yara International ASA | | | 41,455 | |
| | 2,900 | | | Zeon Corp. | | | 41,838 | |
| | | | | | | | |
| | | | | | | 10,703,177 | |
| | | | | | | | |
| Commercial Services & Supplies (1.5%): | | | |
| | 800 | | | AEON Delight Co., Ltd. | | | 20,842 | |
| | 17,026 | | | Aggreko plc | | | 145,847 | |
| | 26,048 | | | Babcock International Group plc* | | | 100,054 | |
| | 748 | | | Befesa SA(a) | | | 47,246 | |
| | 1,800 | | | Bell System24 Holdings, Inc. | | | 28,252 | |
| | 13,069 | | | Biffa plc*(a) | | | 40,833 | |
| | 896 | | | Bilfinger SE | | | 28,307 | |
| | 13,431 | | | Bingo Industries, Ltd. | | | 25,283 | |
| | 1,670 | | | Black Diamond Group, Ltd.* | | | 3,569 | |
| | 14,490 | | | Brambles, Ltd. | | | 118,691 | |
| | 5,960 | | | Bravida Holding AB(a) | | | 79,466 | |
| | 800 | | | Calian Group, Ltd. | | | 41,587 | |
| | 2,850 | | | Caverion Corp.* | | | 20,225 | |
| | 300 | | | Central Security Patrols Co., Ltd. | | | 10,447 | |
| | 338 | | | Cewe Stiftung & Co. KGAA | | | 38,231 | |
| | 46,000 | | | Cleanaway Waste Management, Ltd. | | | 83,595 | |
| | 10,948 | | | Collection House, Ltd.* | | | 3,434 | |
| | 1,829 | | | Coor Service Management Holding AB*(a) | | | 16,097 | |
| | 2,400 | | | CTS Co., Ltd. | | | 22,310 | |
| | 4,400 | | | Dai Nippon Printing Co., Ltd. | | | 79,378 | |
| | 1,000 | | | Daiseki Co., Ltd. | | | 29,356 | |
| | 6,041 | | | De La Rue plc* | | | 13,961 | |
| | 3,731 | | | Derichebourg SA | | | 26,811 | |
| | 2,180 | | | Dexterra Group, Inc. | | | 11,117 | |
See accompanying notes to the financial statements.
9
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Commercial Services & Supplies, continued | | | |
| | 35,378 | | | Downer EDI, Ltd. | | $ | 145,568 | |
| | 1,100 | | | Duskin Co., Ltd. | | | 30,660 | |
| | 2,064 | | | Edenred | | | 117,095 | |
| | 1,700 | | | EF-ON, Inc. | | | 20,532 | |
| | 9,528 | | | Elis SA* | | | 159,575 | |
| | 79,627 | | | G4S plc* | | | 276,330 | |
| | 435 | | | GL Events* | | | 5,339 | |
| | 16,464 | | | HomeServe plc | | | 230,929 | |
| | 900 | | | Inaba Seisakusho Co., Ltd. | | | 12,123 | |
| | 2,297 | | | Intrum AB | | | 59,736 | |
| | 5,989 | | | ISS A/S* | | | 103,525 | |
| | 1,800 | | | Itoki Corp. | | | 5,843 | |
| | 38,566 | | | IWG plc* | | | 181,176 | |
| | 800 | | | Japan Elevator Service Holdings Co., Ltd. | | | 20,371 | |
| | 3,300 | | | Kokuyo Co., Ltd. | | | 44,763 | |
| | 400 | | | Kyodo Printing Co., Ltd. | | | 11,223 | |
| | 2,302 | | | Lassila & Tikanoja OYJ | | | 42,129 | |
| | 4,748 | | | Loomis AB | | | 130,505 | |
| | 700 | | | Matsuda Sangyo Co., Ltd. | | | 12,139 | |
| | 5,449 | | | Mears Group plc* | | | 11,494 | |
| | 72,758 | | | Mitie Group plc* | | | 40,805 | |
| | 2,100 | | | Mitsubishi Pencil Co., Ltd. | | | 27,996 | |
| | 1,400 | | | NAC Co., Ltd. | | | 12,654 | |
| | 15,900 | | | Nippon Parking Development Co., Ltd. | | | 23,739 | |
| | 1,600 | | | Okamura Corp. | | | 14,351 | |
| | 1,100 | | | Oyo Corp. | | | 13,071 | |
| | 2,700 | | | Park24 Co., Ltd. | | | 47,007 | |
| | 2,696 | | | PayPoint plc | | | 24,048 | |
| | 1,400 | | | Pilot Corp. | | | 39,432 | |
| | 2,400 | | | Prestige International, Inc. | | | 21,218 | |
| | 13,654 | | | Prosegur Cia de Seguridad SA | | | 40,684 | |
| | 2,400 | | | Relia, Inc. | | | 29,877 | |
| | 11,583 | | | Renewi plc* | | | 6,478 | |
| | 23,855 | | | Rentokil Initial plc* | | | 166,332 | |
| | 2,500 | | | Ritchie Bros Auctioneers, Inc. | | | 173,804 | |
| | 3,299 | | | RPS Group plc* | | | 3,159 | |
| | 900 | | | Sato Holdings Corp. | | | 19,460 | |
| | 400 | | | SECOM Co., Ltd. | | | 36,937 | |
| | 6,430 | | | Securitas AB, Class B | | | 103,733 | |
| | 3,267 | | | Smartgroup Corp., Ltd. | | | 17,213 | |
| | 787 | | | Societe BIC SA | | | 44,489 | |
| | 400 | | | Sohgo Security Services Co., Ltd. | | | 20,764 | |
| | 4,477 | | | Spie SA* | | | 97,516 | |
| | 1,300 | | | Takeei Corp. | | | 16,007 | |
| | 1,769 | | | Tomra Systems ASA | | | 87,308 | |
| | 2,600 | | | Toppan Forms Co., Ltd. | | | 26,666 | |
| | 3,280 | | | Toppan Printing Co., Ltd. | | | 46,320 | |
| | 4,470 | | | Transcontinental, Inc. | | | 72,036 | |
| | 980 | | | Waste Connections, Inc. | | | 100,519 | |
| | 290 | | | Waste Connections, Inc. | | | 29,741 | |
| | | | | | | | |
| | | | | | | 4,059,358 | |
| | | | | | | | |
| Communications Equipment (0.2%): | | | |
| | 2,792 | | | Adva Optical Networking Se* | | | 24,081 | |
| | 700 | | | Aiphone Co., Ltd. | | | 11,544 | |
| | 700 | | | DKK Co., Ltd. | | | 18,154 | |
| | 500 | | | Icom, Inc. | | | 13,185 | |
| | 36,947 | | | Nokia OYJ* | | | 140,890 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Communications Equipment, continued | | | |
| | 10,200 | | | Quarterhill, Inc. | | $ | 20,517 | |
| | 418 | | | RTX A/S* | | | 16,120 | |
| | 2,600 | | | Sierra Wireless, Inc.* | | | 37,835 | |
| | 13,461 | | | Spirent Communications plc | | | 48,499 | |
| | 8,280 | | | Telefonaktiebolaget LM Ericsson, Class B | | | 98,239 | |
| | 9,300 | | | VTech Holdings, Ltd. | | | 72,180 | |
| | | | | | | | |
| | | | | | | 501,244 | |
| | | | | | | | |
| Construction & Engineering (2.2%): | | | |
| | 4,558 | | | ACS Actividades de Construccion y Servicios SA | | | 151,310 | |
| | 3,143 | | | Adapteo OYJ* | | | 36,282 | |
| | 3,353 | | | Aecon Group, Inc. | | | 43,101 | |
| | 1,894 | | | AF Gruppen ASA | | | 38,850 | |
| | 4,247 | | | Arcadis NV* | | | 140,392 | |
| | 300 | | | Asanuma Corp. | | | 11,602 | |
| | 1,130 | | | Ashtrom Group, Ltd. | | | 22,409 | |
| | 1,410 | | | Badger Daylighting, Ltd. | | | 42,133 | |
| | 20,372 | | | Balfour Beatty plc* | | | 75,352 | |
| | 375 | | | Bauer AG* | | | 4,820 | |
| | 3,929 | | | Boskalis Westminster* | | | 108,253 | |
| | 16,800 | | | Boustead Singapore, Ltd. | | | 10,315 | |
| | 7,647 | | | Bouygues SA | | | 314,569 | |
| | 209 | | | Burkhalter Holding AG | | | 15,613 | |
| | 14,759 | | | Cardno, Ltd.* | | | 3,869 | |
| | 1,700 | | | Chudenko Corp. | | | 36,429 | |
| | 589 | | | CIE d’Entreprises CFE SA* | | | 60,255 | |
| | 2,026 | | | Cimic Group, Ltd.* | | | 38,101 | |
| | 1,721 | | | ComSys Holdings Corp. | | | 53,661 | |
| | 6,098 | | | Costain Group plc* | | | 4,936 | |
| | 500 | | | Dai-Dan Co., Ltd. | | | 14,440 | |
| | 1,200 | | | Daiho Corp. | | | 42,344 | |
| | 4,223 | | | Eiffage SA | | | 408,158 | |
| | 2,783 | | | Elecnor SA | | | 37,476 | |
| | 44 | | | Electra, Ltd./Israel | | | 24,115 | |
| | 7,737 | | | Eltel AB*(a) | | | 21,173 | |
| | 37,002 | | | Empresas ICA SAB de C.V.* | | | 156 | |
| | 2,086 | | | Ferrovial SA | | | 57,634 | |
| | 1,664 | | | FLSmidth & Co. A/S* | | | 63,781 | |
| | 1,925 | | | Fomento de Construcciones y Contratas SA | | | 20,707 | |
| | 440 | | | Fudo Tetra Corp. | | | 7,450 | |
| | 200 | | | Fukuda Corp. | | | 10,922 | |
| | 4,363 | | | Galliford Try Holdings plc | | | 7,373 | |
| | 6,000 | | | Hazama Ando Corp. | | | 41,960 | |
| | 1,713 | | | Heijmans NV* | | | 19,533 | |
| | 600 | | | Hibiya Engineering, Ltd. | | | 11,038 | |
| | 373 | | | Hochtief AG | | | 36,255 | |
| | 1,093 | | | Implenia AG | | | 29,678 | |
| | 14,759 | | | Intega Group, Ltd.* | | | 3,127 | |
| | 7,400 | | | JGC Holdings Corp. | | | 69,616 | |
| | 15,905 | | | John Laing Group plc(a) | | | 72,246 | |
| | 8,879 | | | Johns Lyng Group, Ltd. | | | 21,634 | |
| | 8,000 | | | Kajima Corp. | | | 107,374 | |
| | 3,000 | | | Kandenko Co., Ltd. | | | 25,456 | |
| | 400 | | | Kawada Technologies, Inc. | | | 16,625 | |
| | 3,807 | | | Keller Group plc | | | 36,290 | |
| | 5,100 | | | Kinden Corp. | | | 83,233 | |
| | 15,900 | | | Koninklijke BAM Groep NV* | | | 33,152 | |
| | 1,600 | | | Kumagai Gumi Co., Ltd. | | | 40,446 | |
See accompanying notes to the financial statements.
10
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Construction & Engineering, continued | | | |
| | 2,500 | | | Kyowa Exeo Corp. | | $ | 70,585 | |
| | 2,200 | | | Kyudenko Corp. | | | 71,058 | |
| | 7,400 | | | Lian Beng Group, Ltd. | | | 2,465 | |
| | 5,300 | | | Maeda Corp. | | | 47,339 | |
| | 1,200 | | | Maeda Road Construction Co., Ltd. | | | 20,178 | |
| | 9,546 | | | Maire Tecnimont SpA | | | 21,315 | |
| | 1,700 | | | Meisei Industrial Co., Ltd. | | | 12,913 | |
| | 3,300 | | | Mirait Holdings Corp. | | | 56,524 | |
| | 2,500 | | | Monadelphous Group, Ltd. | | | 25,987 | |
| | 1,922 | | | Morgan Sindall Group plc | | | 39,968 | |
| | 1,375 | | | NCC AB, Class B | | | 25,126 | |
| | 1,000 | | | Nichireki Co., Ltd. | | | 15,924 | |
| | 1,900 | | | Nippo Corp. | | | 52,187 | |
| | 1,600 | | | Nippon Densetsu Kogyo Co., Ltd. | | | 33,189 | |
| | 700 | | | Nippon Koei Co., Ltd. | | | 19,233 | |
| | 200 | | | Nippon Road Co., Ltd. (The) | | | 14,945 | |
| | 2,800 | | | Nishimatsu Construction Co., Ltd. | | | 57,513 | |
| | 20,879 | | | NRW Holdings, Ltd. | | | 47,064 | |
| | 14,300 | | | Obayashi Corp. | | | 123,896 | |
| | 4,863 | | | Obrascon Huarte Lain SA* | | | 3,658 | |
| | 1,100 | | | Okumura Corp. | | | 27,277 | |
| | 8,600 | | | OSJB Holdings Corp. | | | 23,244 | |
| | 10,581 | | | Peab AB* | | | 115,289 | |
| | 14,700 | | | Penta-Ocean Construction Co., Ltd. | | | 126,537 | |
| | 726 | | | Per Aarsleff Holding A/S | | | 36,757 | |
| | 21,961 | | | Sacyr SA | | | 54,046 | |
| | 1,900 | | | Sanki Engineering Co., Ltd. | | | 22,399 | |
| | 1,700 | | | Seikitokyu Kogyo Co., Ltd. | | | 13,814 | |
| | 26,757 | | | Service Stream, Ltd. | | | 37,403 | |
| | 3,211 | | | Shapir Engineering And Indus | | | 24,415 | |
| | 8,724 | | | Shikun & Binui, Ltd.* | | | 50,933 | |
| | 13,000 | | | Shimizu Corp. | | | 94,960 | |
| | 1,500 | | | Shinnihon Corp. | | | 12,068 | |
| | 8,714 | | | Skanska AB, Class B | | | 222,014 | |
| | 5,800 | | | SNC-Lavalin Group, Inc. | | | 99,029 | |
| | 881 | | | Strabag Se | | | 30,510 | |
| | 6,980 | | | Sumitomo Mitsui Construction | | | 29,058 | |
| | 4,463 | | | Sweco AB | | | 81,943 | |
| | 700 | | | Taihei Dengyo Kaisha, Ltd. | | | 15,953 | |
| | 800 | | | Taikisha, Ltd. | | | 21,027 | |
| | 5,400 | | | Taisei Corp. | | | 186,898 | |
| | 1,400 | | | Takamatsu Construction Group C | | | 27,767 | |
| | 400 | | | Tekken Corp. | | | 7,100 | |
| | 900 | | | TOA Corp. | | | 17,436 | |
| | 400 | | | TOA Road Corp. | | | 14,680 | |
| | 1,630 | | | Tobishima Corp. | | | 17,082 | |
| | 8,900 | | | Toda Corp. | | | 59,135 | |
| | 400 | | | Toenec Corp. | | | 15,670 | |
| | 1,000 | | | Tokyo Energy & Systems, Inc. | | | 8,796 | |
| | 5,100 | | | Tokyu Construction Co., Ltd. | | | 24,495 | |
| | 1,100 | | | Totetsu Kogyo Co., Ltd. | | | 29,125 | |
| | 4,300 | | | Toyo Construction Co., Ltd. | | | 18,308 | |
| | 2,100 | | | Toyo Engineering Corp.* | | | 8,287 | |
| | 3,109 | | | Veidekke ASA | | | 40,051 | |
| | 8,943 | | | Vinci SA | | | 889,727 | |
| | 355 | | | WSP Global, Inc. | | | 33,637 | |
| | 1,700 | | | Yahagi Construction Co., Ltd. | | | 14,611 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Construction & Engineering, continued | | | |
| | 7,664 | | | YIT OYJ | | $ | 46,154 | |
| | 1,200 | | | Yokogawa Bridge Holdings Corp. | | | 25,445 | |
| | 1,200 | | | Yurtec Corp. | | | 9,698 | |
| | | | | | | | |
| | | | | | | 5,969,489 | |
| | | | | | | | |
| Construction Materials (0.9%): | | | |
| | 13,883 | | | Adbri, Ltd. | | | 35,922 | |
| | 1,800 | | | Asia Pile Holdings Corp. | | | 8,272 | |
| | 35,662 | | | Boral, Ltd. | | | 136,187 | |
| | 3,704 | | | Brickworks, Ltd. | | | 54,870 | |
| | 1,663 | | | Buzzi Unicem SpA | | | 39,716 | |
| | 1,147 | | | Buzzi Unicem SpA | | | 18,366 | |
| | 16,084 | | | CRH plc, ADR | | | 684,857 | |
| | 22,791 | | | CSR, Ltd. | | | 91,960 | |
| | 14,576 | | | Fletcher Building, Ltd. | | | 62,002 | |
| | 1,160 | | | H+H International A/S, Class B* | | | 24,905 | |
| | 2,326 | | | HeidelbergCement AG | | | 173,969 | |
| | 13,005 | | | Ibstock plc*(a) | | | 36,747 | |
| | 1,243 | | | Imerys SA | | | 58,738 | |
| | 5,016 | | | James Hardie Industries SE* | | | 148,349 | |
| | 400 | | | Krosaki Harima Corp. | | | 15,306 | |
| | 7,702 | | | LafargeHolcim, Ltd., Registered Shares | | | 422,808 | |
| | 10,675 | | | Marshalls plc* | | | 109,383 | |
| | 2,500 | | | Nippon Concrete Industries Co., Ltd. | | | 7,599 | |
| | 500 | | | Shinagawa Refractories Co., Ltd. | | | 12,179 | |
| | 123 | | | STO SE & Co KGaA | | | 19,444 | |
| | 1,500 | | | Sumitomo Osaka Cement Co., Ltd. | | | 44,035 | |
| | 7,200 | | | Taiheiyo Cement Corp. | | | 181,169 | |
| | 1,300 | | | TYK Corp. | | | 4,427 | |
| | 998 | | | Vicat | | | 41,636 | |
| | | | | | | | |
| | | | | | | 2,432,846 | |
| | | | | | | | |
| Consumer Finance (0.3%): | | | |
| | 3,700 | | | AEON Financial Service Co., Ltd. | | | 44,787 | |
| | 15,300 | | | Aiful Corp.* | | | 36,848 | |
| | 9,830 | | | Arrow Global Group plc* | | | 27,490 | |
| | 6,358 | | | Axactor SE* | | | 7,945 | |
| | 1,148 | | | Cembra Money Bank AG | | | 139,656 | |
| | 2,404 | | | Credit Corp. Group, Ltd. | | | 55,130 | |
| | 6,600 | | | Credit Saison Co., Ltd. | | | 76,657 | |
| | 18,226 | | | Eclipx Group, Ltd.* | | | 24,954 | |
| | 1,185 | | | Gruppo MutuiOnline SpA | | | 50,233 | |
| | 2,616 | | | H&T Group plc | | | 9,214 | |
| | 3,200 | | | Hitachi Capital Corp. | | | 77,393 | |
| | 5,740 | | | Hoist Finance AB*(a) | | | 25,436 | |
| | 17,800 | | | Hong Leong Finance, Ltd. | | | 32,198 | |
| | 23,958 | | | Humm Group, Ltd.* | | | 20,796 | |
| | 14,415 | | | International Personal Finance* | | | 15,962 | |
| | 577 | | | Isracard, Ltd. | | | 1,954 | |
| | 4,300 | | | J Trust Co., Ltd. | | | 8,467 | |
| | 1,800 | | | Jaccs Co., Ltd. | | | 31,930 | |
| | 8,490 | | | Money3 Corp., Ltd. | | | 19,054 | |
| | 15,200 | | | Orient Corp. | | | 17,108 | |
| | 213,600 | | | Oshidori International Holdings, Ltd.* | | | 16,801 | |
| | 4,742 | | | Provident Financial plc* | | | 20,054 | |
| | 4,452 | | | Resurs Holding AB*(a) | | | 24,351 | |
| | 38,000 | | | Sun Hung Kai & Co., Ltd. | | | 16,076 | |
| | | | | | | | |
| | | | | | | 800,494 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Containers & Packaging (0.7%): | | | |
| | 6,394 | | | BillerudKorsnas AB | | $ | 113,330 | |
| | 4,231 | | | Cascades, Inc. | | | 48,370 | |
| | 1,780 | | | CCL Industries, Inc. | | | 80,825 | |
| | 41,250 | | | DS Smith plc | | | 212,327 | |
| | 1,600 | | | FP Corp. | | | 67,189 | |
| | 1,900 | | | Fuji Seal International, Inc. | | | 37,305 | |
| | 1,000 | | | Hokkan Holdings, Ltd. | | | 13,574 | |
| | 4,430 | | | Huhtamaki OYJ | | | 228,631 | |
| | 3,327 | | | Intertape Polymer Group, Inc. | | | 63,105 | |
| | 276 | | | Mayr Melnhof Karton AG | | | 55,653 | |
| | 47,217 | | | Orora, Ltd. | | | 98,343 | |
| | 6,607 | | | Pact Group Holdings, Ltd. | | | 13,498 | |
| | 8,600 | | | Rengo Co., Ltd. | | | 72,049 | |
| | 8,406 | | | SIG Combibloc Group AG | | | 194,742 | |
| | 8,090 | | | Smurfit Kappa Group plc | | | 376,214 | |
| | 500 | | | Taisei Lamick Co., Ltd. | | | 14,851 | |
| | 600 | | | Tomoku Co., Ltd. | | | 9,948 | |
| | 5,400 | | | Toyo Seikan Group Holdings, Ltd. | | | 59,331 | |
| | 750 | | | Vetropack Holding AG* | | | 50,583 | |
| | 931 | | | Vidrala SA | | | 107,948 | |
| | 300 | | | Winpak, Ltd. | | | 10,094 | |
| | | | | | | | |
| | | | | | | 1,927,910 | |
| | | | | | | | |
| Distributors (0.3%): | | | |
| | 600 | | | Arata Corp. | | | 28,516 | |
| | 11,493 | | | Bapcor, Ltd. | | | 69,160 | |
| | 1,900 | | | Canon Marketing Japan, Inc. | | | 43,381 | |
| | 500 | | | Chori Co., Ltd. | | | 7,597 | |
| | 1,234 | | | D’ieteren SA/NV | | | 102,346 | |
| | 1,000 | | | Doshisha Co., Ltd. | | | 18,889 | |
| | 1,600 | | | Happinet Corp. | | | 24,304 | |
| | 4,313 | | | Headlam Group plc* | | | 21,104 | |
| | 29,210 | | | Inchcape plc* | | | 257,275 | |
| | 3,000 | | | Jardine Cycle & Carriage, Ltd. | | | 44,331 | |
| | 7,157 | | | John Menzies plc* | | | 25,708 | |
| | 400 | | | Paltac Corp. | | | 21,772 | |
| | 3,025 | | | Uni-Select, Inc.* | | | 19,276 | |
| | | | | | | | |
| | | | | | | 683,659 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 23,128 | | | AA plc* | | | 10,652 | |
| | 3,986 | | | Academedia AB(a) | | | 41,187 | |
| | 2,000 | | | Benesse Holdings, Inc. | | | 39,050 | |
| | 4,259 | | | Dignity plc* | | | 36,955 | |
| | 44,648 | | | G8 Education, Ltd. | | | 40,648 | |
| | 1,700 | | | IBJ, Inc. | | | 12,927 | |
| | 2,783 | | | IDP Education, Ltd. | | | 42,623 | |
| | 4,801 | | | InvoCare, Ltd. | | | 42,406 | |
| | 900 | | | QB Net Holdings Co., Ltd.* | | | 12,250 | |
| | 2,600 | | | Riso Kyoiku Co., Ltd. | | | 7,695 | |
| | 700 | | | Studio Alice Co., Ltd. | | | 13,085 | |
| | 900 | | | Take And Give Needs Co., Ltd. | | | 4,844 | |
| | | | | | | | |
| | | | | | | 304,322 | |
| | | | | | | | |
| Diversified Financial Services (1.0%): | | | |
| | 863 | | | Ackermans & Van Haaren NV | | | 129,763 | |
| | 376 | | | Aker ASA | | | 24,590 | |
| | 101,535 | | | AMP, Ltd. | | | 122,180 | |
| | 3,396 | | | Banca Farmafactoring SpA*(a) | | | 20,585 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Diversified Financial Services, continued | | | |
| | 1,140 | | | Banca Ifis SpA* | | $ | 12,694 | |
| | 4,759 | | | Burford Capital, Ltd.* | | | 46,295 | |
| | 6,216 | | | Cerved Group SpA* | | | 56,722 | |
| | 21,477 | | | Challenger, Ltd. | | | 106,732 | |
| | 7,600 | | | Ecn Capital Corp. | | | 38,636 | |
| | 700 | | | eGuarantee, Inc. | | | 15,274 | |
| | 20,244 | | | Element Fleet Management Corp. | | | 212,827 | |
| | 3,300 | | | Financial Products Group Co., Ltd. | | | 16,214 | |
| | 108,669 | | | First Pacific Co., Ltd. | | | 34,686 | |
| | 1,200 | | | Fuyo General Lease Co., Ltd. | | | 79,954 | |
| | 1,236,000 | | | G-Resources Group, Ltd.* | | | 7,653 | |
| | 167 | | | Hypoport SE* | | | 105,086 | |
| | 800 | | | Japan Investment Adviser Co., Ltd. | | | 10,360 | |
| | 4,600 | | | Japan Securities Finance Co., Ltd. | | | 24,109 | |
| | 114,599 | | | M&G plc | | | 310,380 | |
| | 23,000 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 111,008 | |
| | 1,800 | | | Mizuho Leasing Co., Ltd. | | | 54,228 | |
| | 900 | | | NEC Capital Solutions, Ltd. | | | 16,495 | |
| | 16,085 | | | Ofx Group, Ltd. | | | 15,258 | |
| | 7,289 | | | Omni Bridgeway, Ltd. | | | 24,176 | |
| | 2,247 | | | Onex Corp. | | | 128,990 | |
| | 18,800 | | | ORIX Corp. | | | 291,800 | |
| | 5,100 | | | Plus500, Ltd. | | | 101,152 | |
| | 1,100 | | | Ricoh Leasing Co., Ltd. | | | 32,758 | |
| | 42,370 | | | Standard Life Aberdeen plc | | | 164,216 | |
| | 1,900 | | | Tokyo Century Corp. | | | 150,948 | |
| | 2,200 | | | Zenkoku Hosho Co., Ltd. | | | 101,197 | |
| | | | | | | | |
| | | | | | | 2,566,966 | |
| | | | | | | | |
| Diversified Telecommunication Services (2.2%): | | | |
| | 974 | | | BCE, Inc. | | | 41,687 | |
| | 644 | | | BCE, Inc. | | | 27,542 | |
| | 36,348 | | | Bezeq Israeli Telecommunication Corp., Ltd. (The)* | | | 36,538 | |
| | 323,265 | | | BT Group plc* | | | 585,042 | |
| | 1,474 | | | Cellnex Telecom SAU(a) | | | 88,479 | |
| | 25,863 | | | Chorus, Ltd. | | | 147,136 | |
| | 90,000 | | | CITIC Telecom International Holdings, Ltd. | | | 28,335 | |
| | 45,198 | | | Deutsche Telekom AG, Registered Shares | | | 825,871 | |
| | 4,161 | | | Elisa OYJ | | | 227,115 | |
| | 4,460 | | | Euskaltel SA(a) | | | 47,652 | |
| | 2,209 | | | Gamma Communications plc | | | 49,690 | |
| | 27,500 | | | HKBN, Ltd. | | | 42,578 | |
| | 82,295 | | | HKT Trust & HKT, Ltd. | | | 106,833 | |
| | 426 | | | Iliad SA | | | 87,503 | |
| | 3,200 | | | Internet Initiative Japan, Inc. | | | 63,100 | |
| | 121,735 | | | Koninklijke KPN NV | | | 369,027 | |
| | 41,300 | | | NetLink NBN Trust | | | 30,173 | |
| | 7,000 | | | Nippon Telegraph & Telephone Corp. | | | 179,515 | |
| | 46,684 | | | Orange SA | | | 555,543 | |
| | 215,202 | | | PCCW, Ltd. | | | 129,607 | |
| | 5,067 | | | Proximus SADP | | | 100,486 | |
| | 48,100 | | | Singapore Telecommunications, Ltd. | | | 83,995 | |
| | 35,868 | | | Spark New Zealand, Ltd. | | | 121,237 | |
| | 13,084 | | | Speedcast International, Ltd.* | | | 1,494 | |
| | 9,426 | | | Superloop, Ltd.* | | | 7,720 | |
| | 977 | | | Swisscom AG, Registered Shares | | | 526,476 | |
| | 29,050 | | | Talktalk Telecom Group plc | | | 39,096 | |
| | 210,041 | | | Telecom Italia SpA | | | 108,672 | |
See accompanying notes to the financial statements.
12
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Diversified Telecommunication Services, continued | | | |
| | 334,376 | | | Telecom Italia SpA | | $ | 153,970 | |
| | 45,006 | | | Telefonica Deutschland Holding AG | | | 124,048 | |
| | 51,894 | | | Telefonica SA | | | 207,453 | |
| | 4,768 | | | Telekom Austria AG | | | 36,823 | |
| | 5,872 | | | Telenor ASA | | | 99,601 | |
| | 34,540 | | | Telia Co AB | | | 142,997 | |
| | 41,906 | | | Telstra Corp., Ltd. | | | 96,336 | |
| | 10,034 | | | TPG Telecom, Ltd.* | | | 55,894 | |
| | 7,091 | | | Tuas, Ltd.*^ | | | 4,101 | |
| | 6,450 | | | United Internet AG, Registered Shares | | | 271,759 | |
| | 1,800 | | | Vision, Inc.* | | | 18,123 | |
| | 25,928 | | | Vocus Group, Ltd.* | | | 80,803 | |
| | | | | | | | |
| | | | | | | 5,950,050 | |
| | | | | | | | |
| Electric Utilities (1.8%): | | | |
| | 1,186 | | | Acciona SA | | | 169,991 | |
| | 33,016 | | | AusNet Services | | | 44,872 | |
| | 523 | | | BKW AG | | | 58,729 | |
| | 3,200 | | | Chubu Electric Power Co., Inc. | | | 38,535 | |
| | 2,800 | | | Chugoku Electric Power Co., Inc. (The) | | | 32,992 | |
| | 7,000 | | | CK Infrastructure Holdings, Ltd. | | | 37,623 | |
| | 9,564 | | | CLP Holdings, Ltd. | | | 88,539 | |
| | 5,549 | | | Contact Energy, Ltd. | | | 35,609 | |
| | 25,791 | | | EDP—Energias de Portugal SA | | | 162,500 | |
| | 12,898 | | | Electricite de France* | | | 204,265 | |
| | 633 | | | Elia Group SA/NV | | | 75,423 | |
| | 2,200 | | | Emera, Inc. | | | 93,518 | |
| | 4,746 | | | Endesa SA | | | 130,114 | |
| | 57,903 | | | Enel SpA | | | 584,651 | |
| | 1,538 | | | EVN AG | | | 33,656 | |
| | 2,553 | | | Fortis, Inc. | | | 104,213 | |
| | 8,437 | | | Fortum OYJ | | | 202,936 | |
| | 19,185 | | | Genesis Energy, Ltd. | | | 50,015 | |
| | 30,000 | | | HK Electric Investments, Ltd. | | | 29,527 | |
| | 7,700 | | | Hokkaido Electric Power Co., Inc. | | | 28,014 | |
| | 3,500 | | | Hokuriku Electric Power Co. | | | 22,980 | |
| | 3,000 | | | Hydro One, Ltd.(a) | | | 67,534 | |
| | 74,435 | | | Iberdrola SA | | | 1,064,400 | |
| | 15,779 | | | Infratil, Ltd. | | | 82,822 | |
| | 3,500 | | | Kansai Electric Power Co., Inc. (The) | | | 33,286 | |
| | 7,200 | | | Kyushu Electric Power Co., Inc. | | | 62,352 | |
| | 1,391 | | | Okinawa Electric Power Co., Inc. | | | 18,770 | |
| | 986 | | | Orsted A/S(a) | | | 201,694 | |
| | 11,500 | | | Power Assets Holdings, Ltd. | | | 62,382 | |
| | 8,090 | | | Red Electrica Corp SA | | | 166,318 | |
| | 11 | | | Romande Energie Holding SA, Registered Shares | | | 14,051 | |
| | 19,193 | | | Scottish & Southern Energy plc | | | 395,530 | |
| | 3,300 | | | Shikoku Electric Power Co., Inc. | | | 21,608 | |
| | 1,640 | | | Siemens Energy AG* | | | 60,182 | |
| | 24,540 | | | Spark Infrastructure Group | | | 39,944 | |
| | 13,794 | | | Terna SpA | | | 105,231 | |
| | 3,900 | | | Tohoku Electric Power Co., Inc. | | | 32,326 | |
| | 20,300 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 53,584 | |
| | 284 | | | Verbund AG, Class A | | | 24,296 | |
| | | | | | | | |
| | | | | | | 4,735,012 | |
| | | | | | | | |
| Electrical Equipment (1.4%): | | | |
| | 12,613 | | | ABB, Ltd. | | | 352,922 | |
| | 600 | | | Chiyoda Integre Co., Ltd. | | | 10,163 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Electrical Equipment, continued | | | |
| | 1,300 | | | Denyo Co., Ltd. | | $ | 27,120 | |
| | 2,000 | | | Fuji Electric Co., Ltd. | | | 72,184 | |
| | 16,000 | | | Fujikura, Ltd. | | | 73,955 | |
| | 3,100 | | | Furukawa Electric Co., Ltd. (The) | | | 83,736 | |
| | 1,200 | | | Futaba Corp. | | | 10,388 | |
| | 38 | | | Gavazzi Carlo Holding AG* | | | 7,793 | |
| | 3,400 | | | GS Yuasa Corp. | | | 97,905 | |
| | 400 | | | Hirakawa Hewtech Corp. | | | 4,733 | |
| | 815 | | | Huber & Suhner AG | | | 64,499 | |
| | 1,600 | | | Idec Corp./Japan | | | 28,368 | |
| | 23,000 | | | Johnson Electric Holdings, Ltd. | | | 56,992 | |
| | 254 | | | Kendrion NV | | | 5,140 | |
| | 4,095 | | | Legrand SA | | | 365,445 | |
| | 1,100 | | | Mabuchi Motor Co., Ltd. | | | 48,093 | |
| | 57,704 | | | Melrose Industries plc | | | 140,709 | |
| | 346 | | | Mersen* | | | 10,468 | |
| | 9,100 | | | Mitsubishi Electric Corp. | | | 137,779 | |
| | 1,227 | | | Nexans SA | | | 89,145 | |
| | 400 | | | Nidec Corp. | | | 50,405 | |
| | 500 | | | Nippon Carbon Co., Ltd. | | | 19,136 | |
| | 1,500 | | | Nitto Kogyo Corp. | | | 29,795 | |
| | 1,094 | | | NKT A/S* | | | 48,812 | |
| | 4,617 | | | Nordex Se* | | | 125,016 | |
| | 17 | | | Phoenix Mecano AG | | | 8,922 | |
| | 6,311 | | | PNE AG | | | 61,533 | |
| | 2,643 | | | Prysmian SpA | | | 94,211 | |
| | 400 | | | Sanyo Denki Co., Ltd. | | | 21,539 | |
| | 2,369 | | | Schneider Electric SA | | | 342,621 | |
| | 200 | | | SEC Carbon, Ltd. | | | 10,696 | |
| | 2,150 | | | SGL Carbon SE* | | | 9,399 | |
| | 1,924 | | | Siemens Gamesa Renewable Energy | | | 78,097 | |
| | 6,301 | | | Signify NV*(a) | | | 266,914 | |
| | 1,000 | | | Sinfonia Technology Co., Ltd. | | | 13,595 | |
| | 417 | | | Somfy SA | | | 70,456 | |
| | 2,200 | | | SwCC Showa Holdings Co., Ltd. | | | 37,451 | |
| | 900 | | | Takaoka Toko Co., Ltd. | | | 14,407 | |
| | 2,137 | | | TKH Group NV | | | 103,260 | |
| | 600 | | | Toyo Tanso Co., Ltd. | | | 11,739 | |
| | 4,400 | | | Ushio, Inc. | | | 57,304 | |
| | 2,084 | | | Vestas Wind Systems A/S | | | 493,309 | |
| | 690 | | | XP Power, Ltd. | | | 44,382 | |
| | | | | | | | |
| | | | | | | 3,700,536 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.7%): | | | |
| | 1,300 | | | Ai Holdings Corp. | | | 26,189 | |
| | 7,060 | | | Alps Alpine Co., Ltd. | | | 93,202 | |
| | 408 | | | ALSO Holding AG, Registered Shares | | | 116,590 | |
| | 2,300 | | | Amano Corp. | | | 55,105 | |
| | 1,400 | | | Anritsu Corp. | | | 31,170 | |
| | 1,200 | | | Arisawa Manufacturing Co., Ltd. | | | 11,178 | |
| | 3,172 | | | Austria Technologie & Systemte | | | 101,407 | |
| | 981 | | | Barco NV | | | 21,375 | |
| | 225 | | | Basler AG | | | 19,701 | |
| | 900 | | | Canon Electronics, Inc. | | | 13,086 | |
| | 5,004 | | | Celestica, Inc.* | | | 40,380 | |
| | 157 | | | Cicor Technologies, Ltd. | | | 8,247 | |
| | 13,600 | | | Citizen Watch Co., Ltd. | | | 38,843 | |
| | 3,400 | | | CMK Corp. | | | 13,291 | |
See accompanying notes to the financial statements.
13
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 5,568 | | | Codan, Ltd./Australia | | $ | 48,169 | |
| | 1,300 | | | Conexio Corp. | | | 18,022 | |
| | 46,000 | | | Cowell e Holdings, Inc. | | | 34,877 | |
| | 1,000 | | | Daiwabo Holdings Co., Ltd. | | | 89,057 | |
| | 3,500 | | | Dexerials Corp. | | | 45,816 | |
| | 19,374 | | | Electrocomponents plc | | | 230,806 | |
| | 1,100 | | | Elematec Corp. | | | 10,807 | |
| | 700 | | | Evertz Technologies, Ltd. | | | 7,271 | |
| | 148,000 | | | FIH Mobile, Ltd.* | | | 18,146 | |
| | 7,452 | | | Fingerprint Cards AB* | | | 15,771 | |
| | 2,100 | | | Furuno Electric Co., Ltd. | | | 24,752 | |
| | 400 | | | Hagiwara Electric Co., Ltd. | | | 9,465 | |
| | 500 | | | Hakuto Co., Ltd. | | | 5,210 | |
| | 2,269 | | | Halma plc | | | 76,015 | |
| | 400 | | | Hamamatsu Photonics KK | | | 22,905 | |
| | 347 | | | Hexagon AB, Class B | | | 31,614 | |
| | 200 | | | Hirose Electric Co., Ltd. | | | 30,326 | |
| | 3,500 | | | Hitachi, Ltd. | | | 138,128 | |
| | 1,200 | | | Hochiki Corp. | | | 14,842 | |
| | 700 | | | Horiba, Ltd. | | | 41,130 | |
| | 2,600 | | | Hosiden Corp. | | | 25,044 | |
| | 1,200 | | | Ibiden Co., Ltd. | | | 55,782 | |
| | 47 | | | Inficon Holding AG | | | 42,889 | |
| | 400 | | | I-PEX, Inc. | | | 7,673 | |
| | 500 | | | Iriso Electronics Co., Ltd. | | | 21,625 | |
| | 2,300 | | | Japan Aviation Electronics Industry, Ltd. | | | 35,292 | |
| | 1,100 | | | Japan Cash Machine Co., Ltd. | | | 5,655 | |
| | 21,200 | | | Japan Display, Inc.* | | | 9,254 | |
| | 1,679 | | | Jenoptik AG | | | 51,527 | |
| | 1,000 | | | Kaga Electronics Co., Ltd. | | | 23,146 | |
| | 100 | | | Keyence Corp. | | | 56,286 | |
| | 1,200 | | | Koa Corp. | | | 17,173 | |
| | 2,388 | | | Kudelski SA | | | 9,302 | |
| | 800 | | | Kyocera Corp. | | | 49,109 | |
| | 3,500 | | | Kyosan Electric Manufacturing Co., Ltd. | | | 14,325 | |
| | 5,505 | | | Lagercrantz Group AB | | | 50,862 | |
| | 365 | | | Landis+Gyr Group AG | | | 28,608 | |
| | 26 | | | Lem Holding SA, Registered Shares | | | 50,766 | |
| | 2,200 | | | Macnica Fuji Electronics Holdings | | | 43,280 | |
| | 400 | | | Maruwa Co., Ltd./Aichi | | | 44,862 | |
| | 2,000 | | | Meiko Electronics Co., Ltd. | | | 37,454 | |
| | 2,366 | | | Micronic Mydata AB | | | 70,578 | |
| | 2,156 | | | Midwich Group plc* | | | 14,671 | |
| | 4,600 | | | Murata Manufacturing Co., Ltd. | | | 414,341 | |
| | 267 | | | Nederland Apparatenfabriek | | | 16,656 | |
| | 2,800 | | | Nichicon Corp. | | | 35,487 | |
| | 600 | | | Nippon Chemi-Con Corp. | | | 10,666 | |
| | 3,500 | | | Nippon Electric Glass Co., Ltd. | | | 76,643 | |
| | 3,400 | | | Nippon Signal Co., Ltd. | | | 31,042 | |
| | 1,800 | | | Nissha Co., Ltd. | | | 26,192 | |
| | 600 | | | Nohmi Bosai, Ltd. | | | 13,098 | |
| | 3,600 | | | OKI Electric Industry Co., Ltd. | | | 31,819 | |
| | 700 | | | Omron Corp. | | | 62,482 | |
| | 1,200 | | | Optex Group Co., Ltd. | | | 21,969 | |
| | 3,000 | | | Osaki Electric Co., Ltd. | | | 16,846 | |
| | 3,519 | | | Oxford Instruments plc | | | 95,383 | |
| | 8,300 | | | Pricer AB | | | 38,908 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 464 | | | Renishaw plc | | $ | 36,540 | |
| | 1,100 | | | Restar Holdings Corp. | | | 23,694 | |
| | 1,400 | | | Ryoden Corp. | | | 21,041 | |
| | 1,100 | | | Ryosan Co., Ltd. | | | 19,906 | |
| | 700 | | | Shibaura Electronics Co., Ltd. | | | 21,186 | |
| | 900 | | | Shimadzu Corp. | | | 35,060 | |
| | 1,200 | | | Shinko Shoji Co., Ltd. | | | 8,718 | |
| | 2,000 | | | Siix Corp. | | | 29,940 | |
| | 3,154 | | | Smart Metering Systems plc | | | 30,672 | |
| | 2,172 | | | Spectris plc | | | 83,765 | |
| | 6,120 | | | Strix Group plc | | | 18,378 | |
| | 2,000 | | | Sumida Corp.* | | | 20,890 | |
| | 700 | | | Tachibana Eletech Co., Ltd. | | | 11,372 | |
| | 2,600 | | | Taiyo Yuden Co., Ltd. | | | 122,041 | |
| | 2,500 | | | Tamura Corp. | | | 13,890 | |
| | 2,900 | | | TDK Corp. | | | 437,467 | |
| | 4,100 | | | Topcon Corp. | | | 51,044 | |
| | 1,300 | | | Toyo Corp. | | | 14,698 | |
| | 7,103 | | | TT Electronics plc* | | | 19,916 | |
| | 400 | | | V Technology Co., Ltd. | | | 22,850 | |
| | 312 | | | Vaisala OYJ, Class A | | | 15,381 | |
| | 7,400 | | | Venture Corp., Ltd. | | | 109,204 | |
| | 56,000 | | | Vstecs Holdings, Ltd. | | | 46,015 | |
| | 2,800 | | | Yokogawa Electric Corp. | | | 55,890 | |
| | 1,100 | | | Yokowo Co., Ltd. | | | 33,092 | |
| | | | | | | | |
| | | | | | | 4,462,238 | |
| | | | | | | | |
| Energy Equipment & Services (0.4%): | | | |
| | 7,314 | | | Akastor ASA* | | | 6,080 | |
| | 5,393 | | | Aker Solutions ASA | | | 10,360 | |
| | 1,137 | | | Bonheur ASA | | | 32,139 | |
| | 2,991 | | | BW Offshore, Ltd. | | | 13,018 | |
| | 5,874 | | | Ces Energy Solutions Corp.* | | | 5,908 | |
| | 29,491 | | | CGG SA* | | | 29,197 | |
| | 4,726 | | | Computer Modelling Group, Ltd. | | | 18,121 | |
| | 6,058 | | | Enerflex, Ltd. | | | 31,225 | |
| | 8,606 | | | Ensign Energy Services, Inc.* | | | 6,153 | |
| | 106,730 | | | Ezion Holdings, Ltd.* | | | 654 | |
| | 4,141 | | | Fugro NV* | | | 38,284 | |
| | 6,704 | | | Hunting plc | | | 20,468 | |
| | 22,482 | | | John Wood Group plc* | | | 95,435 | |
| | 8,257 | | | Lamprell plc* | | | 5,647 | |
| | 1,000 | | | Modec, Inc. | | | 18,191 | |
| | 4,500 | | | Mullen Group, Ltd. | | | 38,540 | |
| | 2,400 | | | North American Construction Group, Ltd. | | | 23,459 | |
| | 3,324 | | | Ocean Yield ASA | | | 10,266 | |
| | 7,269 | | | Odfjell Drilling, Ltd.* | | | 14,549 | |
| | 2,900 | | | Pason Systems, Inc. | | | 17,956 | |
| | 6,196 | | | Petrofac, Ltd.* | | | 11,702 | |
| | 18,993 | | | Petroleum Geo-Services ASA* | | | 11,467 | |
| | 818 | | | Precision Drilling Corp.* | | | 13,452 | |
| | 2,400 | | | Raiznext Corp. | | | 28,616 | |
| | 15,278 | | | Saipem SpA^ | | | 40,776 | |
| | 7,701 | | | SBM Offshore NV | | | 145,917 | |
| | 174 | | | Schoeller-Blackman Oilfield Equipment AG | | | 6,554 | |
| | 8,377 | | | Secure Energy Services, Inc. | | | 16,192 | |
| | 3,900 | | | ShawCor, Ltd. | | | 10,787 | |
| | 11,387 | | | Subsea 7 SA* | | | 116,811 | |
See accompanying notes to the financial statements.
14
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Energy Equipment & Services, continued | | | |
| | 1,677 | | | Tecnicas Reunidas SA* | | $ | 22,042 | |
| | 1,938 | | | Tenaris SA | | | 15,654 | |
| | 5,241 | | | TGS NOPEC Geophysical Co. ASA | | | 80,140 | |
| | 421 | | | The Drilling Co of 1972 A/S* | | | 13,268 | |
| | 900 | | | Total Energy Services, Inc.* | | | 2,319 | |
| | 400 | | | Toyo Kanetsu KK | | | 8,160 | |
| | 13,311 | | | Trican Well Service, Inc.*^ | | | 17,571 | |
| | 268 | | | Vallourec SA*^ | | | 8,852 | |
| | 10,270 | | | Worley, Ltd. | | | 90,990 | |
| | | | | | | | |
| | | | | | | 1,096,920 | |
| | | | | | | | |
| Entertainment (0.5%): | | | |
| | 800 | | | Akatsuki, Inc. | | | 32,091 | |
| | 2,500 | | | Avex, Inc. | | | 27,744 | |
| | 3,818 | | | Borussia Dortmund GMBH & Co. KGaA* | | | 25,252 | |
| | 1,400 | | | Capcom Co., Ltd. | | | 91,035 | |
| | 4,665 | | | Cineplex, Inc. | | | 33,979 | |
| | 50,738 | | | Cineworld Group plc^ | | | 43,981 | |
| | 2,160 | | | CTS Eventim AG & Co. KGaA* | | | 143,548 | |
| | 1,600 | | | Daiichikosho Co., Ltd. | | | 55,261 | |
| | 1,900 | | | DeNA Co., Ltd. | | | 33,919 | |
| | 4,107 | | | Event Hospitality And Entertainment, Ltd. | | | 29,962 | |
| | 1,590 | | | Gungho Online Enetertainment, Inc. | | | 35,595 | |
| | 38,000 | | | IGG, Inc. | | | 39,929 | |
| | 594 | | | Kinepolis Group NV* | | | 25,250 | |
| | 1,300 | | | KLab, Inc.* | | | 11,323 | |
| | 2,000 | | | Konami Holdings Corp. | | | 112,589 | |
| | 900 | | | Nexon Co., Ltd. | | | 27,722 | |
| | 400 | | | Nintendo Co., Ltd. | | | 255,313 | |
| | 200 | | | Square Enix Holdings Co., Ltd. | | | 12,138 | |
| | 510 | | | Technicolor SA* | | | 1,135 | |
| | 400 | | | Toei Animation Co., Ltd. | | | 31,382 | |
| | 200 | | | Toei Co., Ltd. | | | 32,708 | |
| | 2,585 | | | UbiSoft Entertainment SA* | | | 249,052 | |
| | 700 | | | UUUM, Inc.* | | | 10,841 | |
| | 2,949 | | | Vivendi Universal SA | | | 95,089 | |
| | 5,570 | | | WildBrain, Ltd.* | | | 7,834 | |
| | | | | | | | |
| | | | | | | 1,464,672 | |
| | | | | | | | |
| Food & Staples Retailing (2.4%): | | | |
| | 5,600 | | | AEON Co., Ltd. | | | 183,850 | |
| | 500 | | | Ain Holdings, Inc. | | | 30,913 | |
| | 3,200 | | | Alcanna, Inc.* | | | 14,885 | |
| | 8,272 | | | Alimentation Couche-Tard, Inc. | | | 281,951 | |
| | 1,309 | | | Amsterdam Commodities NV | | | 33,423 | |
| | 2,400 | | | Arcs Co., Ltd. | | | 53,979 | |
| | 1,537 | | | Axfood AB | | | 35,842 | |
| | 800 | | | Axial Retailing, Inc. | | | 38,956 | |
| | 600 | | | Belc Co., Ltd. | | | 36,295 | |
| | 16,444 | | | Carrefour SA | | | 281,924 | |
| | 1,395 | | | Casino Guichard-Perrachon SA*^ | | | 42,955 | |
| | 1,100 | | | Cawachi, Ltd. | | | 31,338 | |
| | 400 | | | Cocokara Fine, Inc. | | | 29,596 | |
| | 12,379 | | | Coles Group, Ltd. | | | 173,170 | |
| | 1,589 | | | Colruyt SA | | | 94,136 | |
| | 400 | | | Cosmos Pharmaceutical Corp. | | | 64,630 | |
| | 1,300 | | | Create SD Holdings Co., Ltd. | | | 48,858 | |
| | 500 | | | Daikokutenbussan Co., Ltd. | | | 33,388 | |
| | 4,900 | | | Dairy Farm International Holdings, Ltd. | | | 20,416 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Food & Staples Retailing, continued | | | |
| | 3,691 | | | Empire Co., Ltd., Class A | | $ | 100,896 | |
| | 1,600 | | | Heiwado Co., Ltd. | | | 34,385 | |
| | 890 | | | ICA Gruppen AB | | | 44,490 | |
| | 200 | | | Itochu-Shokuhin Co., Ltd. | | | 10,686 | |
| | 64,976 | | | J Sainsbury plc | | | 200,418 | |
| | 600 | | | JM Holdings Co., Ltd. | | | 13,367 | |
| | 600 | | | Kato Sangyo Co., Ltd. | | | 20,345 | |
| | 5,020 | | | Kesko OYJ, Class A | | | 122,645 | |
| | 8,384 | | | Kesko OYJ, Class B | | | 215,392 | |
| | 2,400 | | | Kobe Bussan Co., Ltd. | | | 74,090 | |
| | 25,566 | | | Koninklijke Ahold Delhaize NV | | | 721,896 | |
| | 400 | | | Kusuri NO Aoki Holdings Co., Ltd. | | | 34,840 | |
| | 900 | | | LAWSON, Inc. | | | 41,945 | |
| | 800 | | | Life Corp. | | | 27,751 | |
| | 2,011 | | | Loblaw Cos., Ltd. | | | 99,246 | |
| | 700 | | | Matsumotokiyoshi Holdings Co., Ltd. | | | 29,882 | |
| | 61,030 | | | Metcash, Ltd. | | | 159,126 | |
| | 8,784 | | | METRO AG | | | 98,685 | |
| | 3,317 | | | Metro, Inc. | | | 148,036 | |
| | 600 | | | Ministop Co., Ltd. | | | 8,189 | |
| | 900 | | | Mitsubishi Shokuhin Co., Ltd. | | | 24,974 | |
| | 1,200 | | | Nihon Chouzai Co., Ltd. | | | 17,355 | |
| | 1,801 | | | North West Co., Inc. | | | 45,906 | |
| | 9,500 | | | Olam International, Ltd. | | | 10,991 | |
| | 1,200 | | | Qol Holdings Co., Ltd. | | | 13,101 | |
| | 1,094 | | | Rallye SA* | | | 7,727 | |
| | 337 | | | Rami Levy Chain Stores Hashikm | | | 23,637 | |
| | 1,000 | | | Retail Partners Co., Ltd. | | | 14,191 | |
| | 600 | | | San-A Co., Ltd. | | | 25,449 | |
| | 12,300 | | | Seven & I Holdings Co., Ltd. | | | 436,856 | |
| | 28,900 | | | Sheng Siong Group, Ltd. | | | 33,948 | |
| | 6,398 | | | Shufersal, Ltd. | | | 49,435 | |
| | 1,454 | | | Sligro Food Group NV* | | | 30,102 | |
| | 38,447 | | | Sonae SGPS SA | | | 31,075 | |
| | 500 | | | Sugi Holdings Co., Ltd. | | | 33,466 | |
| | 1,300 | | | Sundrug Co., Ltd. | | | 51,888 | |
| | 149,644 | | | Tesco plc | | | 472,379 | |
| | 400 | | | Tsuruha Holdings, Inc. | | | 57,037 | |
| | 2,100 | | | United Supermarkets Holdings | | | 23,011 | |
| | 2,200 | | | Valor Holdings Co., Ltd. | | | 56,379 | |
| | 1,400 | | | Watahan & Co., Ltd. | | | 18,415 | |
| | 1,400 | | | Welcia Holdings Co., Ltd. | | | 52,824 | |
| | 9,068 | | | Wesfarmers, Ltd. | | | 352,544 | |
| | 1,793 | | | Weston (George), Ltd. | | | 133,950 | |
| | 91,434 | | | William Morrison Supermarkets plc | | | 221,755 | |
| | 9,117 | | | Woolworths Group, Ltd. | | | 276,451 | |
| | 800 | | | YAKUODO Holdings Co., Ltd. | | | 19,169 | |
| | 700 | | | Yamatane Corp. | | | 9,242 | |
| | 700 | | | Yaoko Co., Ltd. | | | 48,803 | |
| | 2,800 | | | Yokohama Reito Co., Ltd. | | | 23,407 | |
| | | | | | | | |
| | | | | | | 6,352,282 | |
| | | | | | | | |
| Food Products (3.1%): | | | |
| | 5,898 | | | A2 Milk Co., Ltd.* | | | 51,138 | |
| | 364 | | | Agrana Beteiligungs AG | | | 7,150 | |
| | 2,400 | | | Ajinomoto Co., Inc. | | | 54,396 | |
| | 44,180 | | | Aryzta AG* | | | 33,991 | |
| | 3,921 | | | Associated British Foods plc* | | | 121,465 | |
See accompanying notes to the financial statements.
15
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Food Products, continued | | | |
| | 772 | | | Atria OYJ | | $ | 9,254 | |
| | 4,083 | | | Austevoll Seafood ASA | | | 41,822 | |
| | 23,247 | | | Australian Agricultural Co., Ltd.* | | | 19,723 | |
| | 363 | | | Bakkafrost P/F* | | | 25,967 | |
| | 53 | | | Barry Callebaut AG, Registered Shares | | | 125,936 | |
| | 8,561 | | | Bega Cheese, Ltd. | | | 33,757 | |
| | 125 | | | Bell AG | | | 33,622 | |
| | 854 | | | Bonduelle S.C.A. | | | 21,708 | |
| | 2,000 | | | Calbee, Inc. | | | 60,249 | |
| | 1 | | | Chocoladefabriken Lindt & Spruengli AG | | | 99,964 | |
| | 800 | | | Chubu Shiryo Co., Ltd. | | | 10,852 | |
| | 12,278 | | | Cloetta AB | | | 36,594 | |
| | 13,015 | | | Costa Group Holdings, Ltd. | | | 40,963 | |
| | 2,217 | | | Cranswick plc | | | 106,742 | |
| | 6,062 | | | Danone SA | | | 398,380 | |
| | 1,700 | | | Delfi, Ltd. | | | 902 | |
| | 16,123 | | | Devro plc | | | 33,873 | |
| | 500 | | | DyDo Group Holdings, Inc. | | | 25,988 | |
| | 2,372 | | | Ebro Foods SA | | | 54,897 | |
| | 7,504 | | | Elders, Ltd. | | | 57,052 | |
| | 80 | | | Emmi AG | | | 82,378 | |
| | 27,100 | | | First Resources, Ltd. | | | 26,223 | |
| | 1,616 | | | Forfarmers NV | | | 10,546 | |
| | 9,500 | | | Fraser & Neave, Ltd. | | | 10,572 | |
| | 3,739 | | | Freedom Foods Group, Ltd. | | | 6,506 | |
| | 1,000 | | | Fuji Oil Holdings, Inc. | | | 28,546 | |
| | 260,400 | | | Golden Agri-Resources, Ltd. | | | 31,295 | |
| | 11,957 | | | GrainCorp, Ltd. | | | 38,737 | |
| | 17,127 | | | Greencore Group plc | | | 27,060 | |
| | 1,923 | | | Hilton Food Group plc | | | 29,311 | |
| | 1,600 | | | Hokuto Corp. | | | 32,434 | |
| | 700 | | | House Foods Group, Inc. | | | 26,583 | |
| | 15,498 | | | Inghams Group, Ltd. | | | 37,293 | |
| | 2,700 | | | Itoham Yonekyu Holdings, Inc. | | | 17,627 | |
| | 300 | | | Iwatsuka Confectionery Co., Ltd. | | | 12,700 | |
| | 300 | | | J-Oil Mills, Inc. | | | 10,303 | |
| | 800 | | | Kagome Co., Ltd. | | | 28,247 | |
| | 800 | | | Kakiyasu Honten Co., Ltd. | | | 20,217 | |
| | 400 | | | Kameda Seika Co., Ltd. | | | 18,791 | |
| | 700 | | | Kenko Mayonnaise Co., Ltd. | | | 12,552 | |
| | 492 | | | Kerry Group plc, Class A | | | 71,265 | |
| | 2,800 | | | Kewpie Corp. | | | 61,648 | |
| | 400 | | | Kikkoman Corp. | | | 27,786 | |
| | 900 | | | Kotobuki Spirits Co., Ltd. | | | 46,849 | |
| | 295 | | | KWS Saat SE | | | 23,429 | |
| | 500 | | | Kyokuyo Co., Ltd. | | | 14,308 | |
| | 147 | | | Lassonde Industries, Inc. | | | 19,985 | |
| | 3,154 | | | Leroy Seafood Group ASA | | | 22,308 | |
| | 17 | | | Lotus Bakeries | | | 76,426 | |
| | 2,349 | | | Maple Leaf Foods, Inc. | | | 52,085 | |
| | 1,200 | | | Marudai Food Co., Ltd. | | | 19,688 | |
| | 2,600 | | | Maruha Nichiro Corp. | | | 56,047 | |
| | 1,700 | | | Megmilk Snow Brand Co., Ltd. | | | 36,370 | |
| | 41 | | | Mehadrin, Ltd.* | | | 1,739 | |
| | 1,500 | | | Meiji Holdings Co., Ltd. | | | 105,493 | |
| | 800 | | | Mitsui Sugar Co., Ltd. | | | 14,086 | |
| | 1,300 | | | Morinaga & Co., Ltd. | | | 48,920 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Food Products, continued | | | |
| | 2,400 | | | Morinaga Milk Industry Co., Ltd. | | $ | 118,232 | |
| | 2,943 | | | Mowi ASA | | | 65,650 | |
| | 30,559 | | | Nestle SA, Registered Shares | | | 3,598,897 | |
| | 1,200 | | | NH Foods, Ltd. | | | 52,829 | |
| | 2,600 | | | Nichirei Corp. | | | 73,101 | |
| | 1,200 | | | Nippn Corp. | | | 18,745 | |
| | 800 | | | Nippon Beet Sugar Manufacturing Co., Ltd. | | | 12,463 | |
| | 20,100 | | | Nippon Suisan Kaisha, Ltd. | | | 83,067 | |
| | 1,200 | | | Nisshin Oillio Group, Ltd. (The) | | | 35,311 | |
| | 900 | | | Nisshin Seifun Group, Inc. | | | 14,329 | |
| | 300 | | | Nissin Foods Holdings Co., Ltd. | | | 25,713 | |
| | 326 | | | Orior AG | | | 27,770 | |
| | 51,099 | | | Premier Foods plc* | | | 70,065 | |
| | 1,488 | | | Premium Brands Holdings Corp. | | | 117,770 | |
| | 1,300 | | | Prima Meat Packers, Ltd. | | | 41,289 | |
| | 33,700 | | | PT Tiga Pilar Sejahtera Food Tbk* | | | 937 | |
| | 3,268 | | | Raisio Oyj, Class V | | | 12,731 | |
| | 11,830 | | | Ridley Corp., Ltd. | | | 8,346 | |
| | 600 | | | S Foods, Inc. | | | 19,576 | |
| | 1,029 | | | Salmar ASA | | | 60,252 | |
| | 2,346 | | | Sanford, Ltd. | | | 8,824 | |
| | 3,223 | | | Saputo, Inc. | | | 90,230 | |
| | 127 | | | Savencia SA | | | 9,382 | |
| | 3,496 | | | Scales Corp., Ltd. | | | 12,522 | |
| | 3,767 | | | Scandi Standard AB* | | | 31,371 | |
| | 619 | | | Schouw & Co. | | | 62,590 | |
| | 2,846 | | | Select Harvests, Ltd. | | | 11,456 | |
| | 800 | | | Showa Sangyo Co., Ltd. | | | 23,609 | |
| | 306 | | | Sipef SA* | | | 16,152 | |
| | 300 | | | Starzen Co., Ltd. | | | 12,309 | |
| | 1,353 | | | Strauss Group, Ltd. | | | 40,637 | |
| | 2,659 | | | Suedzucker AG | | | 37,915 | |
| | 2,839 | | | Synlait Milk, Ltd.* | | | 10,663 | |
| | 11,672 | | | Tassal Group, Ltd. | | | 30,245 | |
| | 14,193 | | | Tate & Lyle plc | | | 130,995 | |
| | 700 | | | Toyo Suisan Kaisha, Ltd. | | | 34,064 | |
| | 58 | | | United International Enterprises | | | 13,356 | |
| | 13,688 | | | United Malt Grp, Ltd. | | | 43,298 | |
| | 1,635 | | | Viscofan SA | | | 116,121 | |
| | 22,000 | | | Vitasoy International Holdings, Ltd. | | | 85,877 | |
| | 400 | | | Warabeya Nichiyo Holdings Co., Ltd. | | | 5,496 | |
| | 264,612 | | | WH Group, Ltd.(a) | | | 221,886 | |
| | 200 | | | Yakult Honsha Co., Ltd. | | | 10,083 | |
| | 1,000 | | | Yamazaki Baking Co., Ltd. | | | 16,713 | |
| | | | | | | | |
| | | | | | | 8,245,605 | |
| | | | | | | | |
| Gas Utilities (0.4%): | | | |
| | 7,684 | | | AltaGas, Ltd. | | | 113,023 | |
| | 12,578 | | | APA Group | | | 93,633 | |
| | 7,208 | | | Gas Natural SDG SA | | | 168,188 | |
| | 28,295 | | | Hong Kong & China Gas Co., Ltd. | | | 42,336 | |
| | 16,993 | | | Italgas SpA | | | 108,424 | |
| | 800 | | | K&O Energy Group, Inc. | | | 11,556 | |
| | 2,000 | | | Nippon Gas Co., Ltd. | | | 107,925 | |
| | 2,600 | | | Osaka Gas Co., Ltd. | | | 53,269 | |
| | 2,476 | | | Rubis SCA | | | 114,949 | |
| | 1,300 | | | Saibu Gas Co., Ltd. | | | 39,364 | |
| | 1,300 | | | Shizuoka Gas Co. Ltd. | | | 13,039 | |
See accompanying notes to the financial statements.
16
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Gas Utilities, continued | | | |
| | 10,212 | | | Superior Plus Corp. | | $ | 97,731 | |
| | 800 | | | Toho Gas Co., Ltd. | | | 53,158 | |
| | 2,200 | | | Tokyo Gas Co., Ltd. | | | 51,150 | |
| | | | | | | | |
| | | | | | | 1,067,745 | |
| | | | | | | | |
| Health Care Equipment & Supplies (1.8%): | | | |
| | 4,403 | | | Alcon, Inc.* | | | 294,042 | |
| | 343 | | | Alcon, Inc.* | | | 22,631 | |
| | 1,070 | | | Ambu A/S, Class B | | | 46,208 | |
| | 3,762 | | | Ansell, Ltd. | | | 101,041 | |
| | 8,458 | | | Arjo AB, Class B | | | 64,615 | |
| | 3,200 | | | Asahi Intecc Co., Ltd. | | | 116,836 | |
| | 314 | | | BioMerieux | | | 44,275 | |
| | 478 | | | Cochlear, Ltd. | | | 69,689 | |
| | 600 | | | Coloplast A/S, Class B | | | 91,672 | |
| | 251 | | | Coltene Holding AG | | | 24,390 | |
| | 21,988 | | | Convatec Group plc(a) | | | 59,706 | |
| | 2,381 | | | Demant A/S* | | | 94,006 | |
| | 781 | | | DiaSorin SpA | | | 162,582 | |
| | 509 | | | Draegerwerk AG & Co. KGaA | | | 39,083 | |
| | 238 | | | Draegerwerk AG & Co. KGaA | | | 17,387 | |
| | 740 | | | Eckert & Ziegler AG | | | 40,537 | |
| | 2,223 | | | Elekta AB, Class B | | | 29,845 | |
| | 1,137 | | | EssilorLuxottica SA | | | 177,299 | |
| | 3,206 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 76,112 | |
| | 3,411 | | | Getinge AB, Class B | | | 79,654 | |
| | 5,227 | | | GN Store Nord A/S | | | 415,494 | |
| | 405 | | | Guerbet | | | 16,257 | |
| | 800 | | | Hogy Medical Co., Ltd. | | | 26,038 | |
| | 3,200 | | | HOYA Corp. | | | 442,397 | |
| | 1,300 | | | Jeol, Ltd. | | | 61,470 | |
| | 1,157 | | | Koninklijke Philips Electronics NV, NYS | | | 62,675 | |
| | 6,055 | | | Koninklijke Philips NV | | | 324,000 | |
| | 700 | | | Mani, Inc. | | | 19,067 | |
| | 500 | | | Menicon Co., Ltd. | | | 30,309 | |
| | 1,200 | | | Nakanishi, Inc. | | | 26,351 | |
| | 1,100 | | | Nihon Kohden Corp. | | | 40,991 | |
| | 2,300 | | | Nikkiso Co., Ltd. | | | 22,413 | |
| | 8,900 | | | Nipro Corp. | | | 104,810 | |
| | 10,300 | | | Olympus Corp. | | | 225,501 | |
| | 900 | | | Paramount Bed Holdings Co., Ltd. | | | 41,056 | |
| | 457 | | | Revenio Group OYJ | | | 27,942 | |
| | 957 | | | Sartorius AG | | | 401,067 | |
| | 1,077 | | | Sectra AB | | | 96,027 | |
| | 700 | | | Shofu, Inc. | | | 12,907 | |
| | 3,702 | | | Smith & Nephew plc | | | 77,294 | |
| | 819 | | | Sonova Holding AG, Registered Shares* | | | 210,917 | |
| | 360 | | | Stratec Se | | | 53,977 | |
| | 1,200 | | | Sysmex Corp. | | | 144,338 | |
| | 3,800 | | | Terumo Corp. | | | 158,957 | |
| | 180 | | | Ypsomed Holding AG | | | 30,143 | |
| | | | | | | | |
| | | | | | | 4,724,008 | |
| | | | | | | | |
| Health Care Providers & Services (1.0%): | | | |
| | 2,400 | | | Alfresa Holdings Corp. | | | 44,013 | |
| | 5,072 | | | Amplifon SpA* | | | 210,152 | |
| | 15,973 | | | Arvida Group, Ltd. | | | 20,563 | |
| | 6,164 | | | Attendo AB*(a) | | | 33,257 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Health Care Providers & Services, continued | | | |
| | 18,377 | | | Australian Pharmaceutical Industries, Ltd. | | $ | 17,428 | |
| | 700 | | | BML, Inc. | | | 21,768 | |
| | 3,715 | | | CareTech Holdings plc | | | 26,493 | |
| | 6,200 | | | CRH Medical Corp.* | | | 14,517 | |
| | 862 | | | CVS Group plc* | | | 17,708 | |
| | 3,665 | | | Ebos Group, Ltd. | | | 75,642 | |
| | 1,000 | | | Elan Corp. | | | 14,549 | |
| | 14,050 | | | Estia Health, Ltd. | | | 19,182 | |
| | 4,012 | | | Extendicare, Inc. | | | 20,932 | |
| | 3,112 | | | Fagron | | | 72,268 | |
| | 6,326 | | | Fresenius Medical Care AG & Co., KGaA | | | 527,577 | |
| | 3,263 | | | Fresenius SE & Co. KGaA | | | 150,758 | |
| | 2,800 | | | H.U. Group Holdings, Inc. | | | 75,484 | |
| | 27,126 | | | Healius, Ltd. | | | 78,012 | |
| | 2,572 | | | Humana AB* | | | 18,429 | |
| | 2,000 | | | Japan Lifeline Co., Ltd. | | | 31,581 | |
| | 1,000 | | | Japan Medical Dynamic Marketing, Inc. | | | 22,912 | |
| | 16,930 | | | Japara Healthcare, Ltd. | | | 8,092 | |
| | 2,678 | | | Korian SA* | | | 102,611 | |
| | 225 | | | Lna Sante | | | 13,537 | |
| | 3,204 | | | Medical Facilities Corp. | | | 17,723 | |
| | 18,516 | | | Mediclinic International plc* | | | 71,826 | |
| | 2,000 | | | Medipal Holdings Corp. | | | 37,601 | |
| | 1,110 | | | NMC Health plc* | | | 230 | |
| | 18,992 | | | Oceania Healthcare, Ltd. | | | 19,806 | |
| | 1,066 | | | Orpea* | | | 140,466 | |
| | 24,015 | | | Raffles Medical Group, Ltd. | | | 18,095 | |
| | 1,997 | | | Ramsay Health Care, Ltd. | | | 95,785 | |
| | 3,746 | | | Ryman Healthcare, Ltd. | | | 40,994 | |
| | 1,700 | | | Ship Healthcare Holdings, Inc. | | | 94,673 | |
| | 59,044 | | | Sigma Healthcare, Ltd.* | | | 27,995 | |
| | 1,900 | | | Solasto Corp. | | | 29,460 | |
| | 1,592 | | | Sonic Healthcare, Ltd. | | | 39,539 | |
| | 8,887 | | | Spire Healthcare Group plc*(a) | | | 18,988 | |
| | 8,336 | | | Summerset Group Holdings, Ltd. | | | 75,239 | |
| | 1,100 | | | Suzuken Co., Ltd. | | | 39,794 | |
| | 1,800 | | | Toho Holdings Co., Ltd. | | | 31,684 | |
| | 500 | | | Tokai Corp./Gifu | | | 9,868 | |
| | 5,100 | | | Tsukui Holdings Corp. | | | 27,068 | |
| | 4,396 | | | UDG Healthcare plc | | | 46,914 | |
| | 3,435 | | | Virtus Health, Ltd. | | | 14,093 | |
| | 2,800 | | | Vital Ksk Holdings, Inc. | | | 22,058 | |
| | | | | | | | |
| | | | | | | 2,557,364 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 7,980 | | | AGFA-Gevaert NV* | | | 38,015 | |
| | 1,026 | | | Ascom Holding AG* | | | 15,177 | |
| | 857 | | | CompuGroup Medical SE & Co KgaA | | | 82,291 | |
| | 2,389 | | | Emis Group plc | | | 35,338 | |
| | 2,400 | | | M3, Inc. | | | 227,042 | |
| | 800 | | | Nnit A/S(a) | | | 15,913 | |
| | 1,258 | | | Pro Medicus, Ltd. | | | 33,243 | |
| | 1,213 | | | Raysearch Laboratories AB* | | | 12,229 | |
| | | | | | | | |
| | | | | | | 459,248 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (2.2%): | | | |
| | 4,102 | | | Accor SA* | | | 149,422 | |
| | 36,400 | | | Accordia Golf Trust | | | 587 | |
| | 600 | | | AEON Fantasy Co., Ltd. | | | 14,176 | |
See accompanying notes to the financial statements.
17
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 1,000 | | | Arcland Service Holdings Co., Ltd.^ | | $ | 20,963 | |
| | 23,206 | | | Ardent Leisure Group, Ltd.* | | | 12,358 | |
| | 7,016 | | | Aristocrat Leisure, Ltd. | | | 167,865 | |
| | 4,300 | | | Atom Corp. | | | 36,281 | |
| | 7,557 | | | Autogrill SpA* | | | 50,401 | |
| | 1,707 | | | Basic-Fit NV*(a) | | | 62,359 | |
| | 3,095 | | | Betsson AB | | | 27,725 | |
| | 20,000 | | | Cafe de Coral Holdings, Ltd. | | | 43,097 | |
| | 1,533 | | | Carnival plc, ADR | | | 28,728 | |
| | 72,000 | | | Century City International Holdings, Ltd. | | | 3,946 | |
| | 485 | | | CIE des Alpes | | | 11,202 | |
| | 4,935 | | | Collins Foods, Ltd. | | | 36,701 | |
| | 2,000 | | | Colowide Co., Ltd. | | | 31,704 | |
| | 16,153 | | | Compass Group plc | | | 301,377 | |
| | 2,031 | | | Corporate Travel Management, Ltd. | | | 27,436 | |
| | 4,000 | | | Create Restaurants Holdings In* | | | 24,095 | |
| | 4,576 | | | Crown Resorts, Ltd. | | | 33,997 | |
| | 1,900 | | | Curves Holdings Co., Ltd. | | | 14,229 | |
| | 1,751 | | | Domino’s Pizza Enterprises, Ltd. | | | 117,341 | |
| | 13,489 | | | Domino’s Pizza Group plc | | | 58,324 | |
| | 1,600 | | | Doutor Nichires Holdings Co., Ltd. | | | 23,021 | |
| | 4,906 | | | Elior Group(a) | | | 33,132 | |
| | 1,486 | | | Evolution Gaming Group AB(a) | | | 150,730 | |
| | 6,500 | | | Fairwood Holdings, Ltd. | | | 14,846 | |
| | 4,759 | | | Flight Centre Travel Group, Ltd. | | | 58,249 | |
| | 2,342 | | | Flutter Entertainment plc | | | 484,815 | |
| | 495 | | | Flutter Entertainment plc | | | 101,380 | |
| | 200 | | | Fuji Kyuko Co., Ltd. | | | 9,342 | |
| | 557 | | | Fuller Smith & Turner plc, Class A* | | | 5,327 | |
| | 4,010 | | | Galaxy Entertainment Group, Ltd. | | | 31,191 | |
| | 1,491 | | | Gamesys Group plc | | | 23,310 | |
| | 200 | | | Genki Sushi Co., Ltd. | | | 4,537 | |
| | 36,100 | | | GL Limited* | | | 14,093 | |
| | 2,773 | | | Great Canadian Gaming Corp.* | | | 94,736 | |
| | 6,216 | | | Greggs plc* | | | 152,296 | |
| | 22,345 | | | GVC Holdings plc* | | | 346,801 | |
| | 660 | | | Hiday Hidaka Corp. | | | 11,100 | |
| | 1,700 | | | HIS Co., Ltd.* | | | 26,396 | |
| | 18,230 | | | Hongkong & Shanghai Hotels (The) | | | 16,233 | |
| | 11,300 | | | Hotel Grand Central, Ltd. | | | 8,977 | |
| | 1,499 | | | InterContinental Hotels Group plc, ADR | | | 97,615 | |
| | 6,544 | | | JD Wetherspoon plc* | | | 99,952 | |
| | 868 | | | Jumbo Interactive, Ltd. | | | 9,417 | |
| | 1,100 | | | KFC Holdings Japan, Ltd. | | | 31,350 | |
| | 6,856 | | | Kindred Group plc | | | 67,129 | |
| | 1,700 | | | Komeda Holdings Co., Ltd. | | | 30,757 | |
| | 1,900 | | | Koshidaka Holdings Co., Ltd. | | | 8,192 | |
| | 33,812 | | | Marston’s plc* | | | 35,069 | |
| | 200 | | | Matsuyafoods Holdings Co., Ltd. | | | 6,529 | |
| | 500 | | | McDonald’s Holdings Co., Ltd. | | | 24,217 | |
| | 23,000 | | | Melco International Development Ltd. | | | 44,791 | |
| | 5,571 | | | Melia Hotels International SA* | | | 38,775 | |
| | 25,327 | | | MGM China Holdings, Ltd. | | | 43,530 | |
| | 14,000 | | | Miramar Hotel & Investment | | | 23,479 | |
| | 10,745 | | | Mitchells & Butlers plc* | | | 35,524 | |
| | 200 | | | Monogatari Corp. (The) | | | 24,388 | |
| | 1,110 | | | Mty Food Group, Inc.* | | | 50,542 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 46,000 | | | NagaCorp, Ltd. | | $ | 60,338 | |
| | 1,223 | | | Orascom Development Holding AG* | | | 12,760 | |
| | 200 | | | Oriental Land Co., Ltd. | | | 33,062 | |
| | 2,702 | | | Pandox AB* | | | 47,661 | |
| | 900 | | | Pizza Pizza Royalty Corp. | | | 6,506 | |
| | 10,182 | | | PlayTech plc* | | | 56,059 | |
| | 12,439 | | | Rank Group plc | | | 23,491 | |
| | 600 | | | Renaissance, Inc. | | | 5,204 | |
| | 4,200 | | | Resorttrust, Inc. | | | 60,192 | |
| | 2,357 | | | Restaurant Brands International, Inc. | | | 144,139 | |
| | 392 | | | Restaurant Brands International, Inc. | | | 23,955 | |
| | 4,293 | | | Restaurant Brands New Zealand, Ltd.* | | | 35,665 | |
| | 17,404 | | | Restaurant Group plc (The)* | | | 15,349 | |
| | 3,200 | | | Round One Corp. | | | 28,841 | |
| | 1,300 | | | Royal Holdings Co., Ltd.* | | | 23,230 | |
| | 1,200 | | | Saint Marc Holdings Co., Ltd. | | | 16,297 | |
| | 16,988 | | | Sands China, Ltd. | | | 74,675 | |
| | 5,463 | | | Scandic Hotels Group AB*^(a) | | | 23,100 | |
| | 44,000 | | | Shangri-La Asia, Ltd.* | | | 39,244 | |
| | 42,868 | | | SJM Holdings, Ltd. | | | 48,028 | |
| | 1,360 | | | SkiStar AB* | | | 17,585 | |
| | 28,026 | | | Sky City Entertainment Group, Ltd. | | | 64,692 | |
| | 6,100 | | | Skylark Holdings Co., Ltd.* | | | 94,255 | |
| | 2,576 | | | Sodexo SA | | | 218,023 | |
| | 20,846 | | | SSP Group plc | | | 94,655 | |
| | 40,062 | | | Star Entertainment Group, Ltd. (The) | | | 113,788 | |
| | 2,000 | | | Sushiro Global Holdings, Ltd. | | | 76,397 | |
| | 38,592 | | | Tabcorp Holdings, Ltd. | | | 116,124 | |
| | 581 | | | The Gym Group plc*(a) | | | 1,728 | |
| | 137 | | | Tivoli A/S* | | | 16,327 | |
| | 4,500 | | | Tokyo Dome Corp. | | | 56,595 | |
| | 800 | | | Tokyotokeiba Co., Ltd. | | | 36,330 | |
| | 2,200 | | | Toridoll Holding Corp. | | | 29,523 | |
| | 400 | | | Tosho Co., Ltd. | | | 6,083 | |
| | 7,082 | | | TUI AG | | | 44,456 | |
| | 4,508 | | | Whitbread plc* | | | 191,242 | |
| | 41,297 | | | William Hill plc* | | | 152,382 | |
| | 26,430 | | | Wynn Macau, Ltd.* | | | 44,440 | |
| | 3,500 | | | Zensho Holdings Co., Ltd. | | | 91,284 | |
| | | | | | | | |
| | | | | | | 5,799,787 | |
| | | | | | | | |
| Household Durables (2.0%): | | | |
| | 5,875 | | | Azorim-Investment Development & Construction Co., Ltd.* | | | 20,239 | |
| | 4,812 | | | Bang & Olufsen A/S* | | | 26,507 | |
| | 19,035 | | | Barratt Developments plc* | | | 174,603 | |
| | 3,516 | | | Bellway plc | | | 142,272 | |
| | 2,120 | | | Berkeley Group Holdings plc (The) | | | 137,591 | |
| | 1,566 | | | Bigben Interactive* | | | 35,683 | |
| | 3,728 | | | Bonava AB* | | | 35,661 | |
| | 6,992 | | | Bovis Homes Group plc* | | | 88,770 | |
| | 4,028 | | | Breville Group, Ltd. | | | 79,766 | |
| | 27,975 | | | Cairn Home plc* | | | 33,360 | |
| | 1,500 | | | Casio Computer Co., Ltd. | | | 27,482 | |
| | 600 | | | Chofu Seisakusho Co., Ltd. | | | 12,119 | |
| | 1,800 | | | Cleanup Corp. | | | 8,358 | |
| | 9,695 | | | Countryside Properties plc*(a) | | | 62,249 | |
| | 11,005 | | | Crest Nicholson Holdings plc | | | 49,123 | |
See accompanying notes to the financial statements.
18
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Household Durables, continued | | | |
| | 1,076 | | | De’Longhi | | $ | 33,860 | |
| | 7,507 | | | DFS Furniture plc* | | | 22,621 | |
| | 1,000 | | | Dorel Industries, Inc.* | | | 11,731 | |
| | 2,152 | | | Duni AB* | | | 28,190 | |
| | 4,630 | | | Electrolux AB, Series B, Class B | | | 107,669 | |
| | 2,700 | | | Es-Con Japan, Ltd. | | | 21,370 | |
| | 2,053 | | | Fiskars OYJ Abp | | | 37,569 | |
| | 36 | | | Forbo Holding AG | | | 61,845 | |
| | 1,600 | | | Foster Electric Co., Ltd. | | | 19,769 | |
| | 1,400 | | | France Bed Holdings Co., Ltd. | | | 12,227 | |
| | 1,600 | | | Fuji Corp., Ltd. | | | 10,045 | |
| | 900 | | | Fujitsu General, Ltd. | | | 24,408 | |
| | 14,200 | | | Haseko Corp. | | | 163,071 | |
| | 700 | | | Hoosiers Holdings | | | 4,515 | |
| | 187 | | | Hunter Douglas NV* | | | 14,638 | |
| | 8,465 | | | Husqvarna AB, Class B | | | 109,557 | |
| | 3,200 | | | Iida Group Holdings Co., Ltd. | | | 64,704 | |
| | 2,147 | | | JM AB | | | 75,818 | |
| | 10,600 | | | Jvc Kenwood Corp. | | | 16,349 | |
| | 958 | | | Kaufman & Broad SA | | | 42,861 | |
| | 1,300 | | | LEC, Inc. | | | 16,369 | |
| | 540 | | | Leifheit AG | | | 28,699 | |
| | 43,200 | | | Man Wah Holdings, Ltd. | | | 94,090 | |
| | 18,466 | | | McCarthy & Stone plc(a) | | | 30,227 | |
| | 10 | | | Metall Zug AG | | | 16,950 | |
| | 1,363 | | | Neinor Homes SA*(a) | | | 18,165 | |
| | 6,900 | | | Nikon Corp. | | | 43,636 | |
| | 7,754 | | | Nobia AB* | | | 62,063 | |
| | 39,400 | | | Panasonic Corp. | | | 455,331 | |
| | 5,123 | | | Persimmon plc | | | 194,022 | |
| | 3,200 | | | Pressance Corp. | | | 55,132 | |
| | 6,708 | | | Redrow plc | | | 52,561 | |
| | 200 | | | Rinnai Corp. | | | 23,238 | |
| | 1,300 | | | Sangetsu Corp. | | | 19,564 | |
| | 786 | | | SEB SA | | | 143,159 | |
| | 7,000 | | | Sekisui Chemical Co., Ltd. | | | 132,813 | |
| | 3,200 | | | Sekisui House, Ltd. | | | 65,205 | |
| | 3,000 | | | Sharp Corp. | | | 45,546 | |
| | 13,600 | | | Sony Corp. | | | 1,367,593 | |
| | 2,500 | | | Space Value Holdings Co., Ltd. | | | 16,857 | |
| | 2,200 | | | Starts Corp., Inc. | | | 61,182 | |
| | 5,600 | | | Sumitomo Forestry Co., Ltd. | | | 116,861 | |
| | 328 | | | Surteco Group SE* | | | 9,645 | |
| | 1,100 | | | Tamron Co., Ltd. | | | 19,488 | |
| | 51,750 | | | Taylor Wimpey plc | | | 117,636 | |
| | 11,187 | | | Techtronic Industries Co., Ltd. | | | 160,183 | |
| | 805 | | | The Vitec Group plc* | | | 10,092 | |
| | 1,000 | | | TOA Corp. | | | 8,254 | |
| | 3,468 | | | TomTom NV* | | | 35,923 | |
| | 100 | | | V-ZUG Holding AG* | | | 9,962 | |
| | | | | | | | |
| | | | | | | 5,247,046 | |
| | | | | | | | |
| Household Products (0.3%): | | | |
| | 5,732 | | | Essity AB, Class B | | | 184,297 | |
| | 407 | | | Henkel AG & Co. KGaA | | | 39,174 | |
| | 1,700 | | | Lion Corp. | | | 41,198 | |
| | 14,255 | | | Mcbride plc | | | 15,974 | |
| | 1,600 | | | Pigeon Corp. | | | 66,140 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Household Products, continued | | | |
| | 5,635 | | | PZ Cussons plc | | $ | 17,743 | |
| | 3,336 | | | Reckitt Benckiser Group plc | | | 298,313 | |
| | 800 | | | Unicharm Corp. | | | 37,963 | |
| | | | | | | | |
| | | | | | | 700,802 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.5%): | |
| | 2,027 | | | Albioma SA | | | 116,451 | |
| | 3,959 | | | Boralex, Inc., Class A | | | 146,950 | |
| | 1,800 | | | Capital Power Corp. | | | 49,473 | |
| | 26,474 | | | Drax Group plc | | | 136,217 | |
| | 1,631 | | | EDP Renovaveis SA | | | 45,274 | |
| | 1,300 | | | Electric Power Development Co., Ltd. | | | 18,031 | |
| | 2,480 | | | ERG SpA | | | 70,779 | |
| | 3,741 | | | Innergex Renewable Energy, Inc. | | | 80,452 | |
| | 1,207 | | | Kenon Holdings, Ltd. | | | 35,575 | |
| | 5,469 | | | Meridian Energy, Ltd. | | | 29,184 | |
| | 16,056 | | | New Energy Solar, Ltd. | | | 10,711 | |
| | 4,661 | | | Northland Power, Inc. | | | 167,257 | |
| | 3,405 | | | OPC Energy, Ltd.* | | | 35,499 | |
| | 1,917 | | | Scatec ASA(a) | | | 75,457 | |
| | 16,748 | | | Transalta Corp. | | | 127,252 | |
| | 2,200 | | | Transalta Renewables, Inc. | | | 37,614 | |
| | 3,369 | | | Uniper SE | | | 116,229 | |
| | 700 | | | West Holdings Corp. | | | 32,274 | |
| | | | | | | | |
| | | | | | | 1,330,679 | |
| | | | | | | | |
| Industrial Conglomerates (0.8%): | | | |
| | 8,000 | | | Chevalier International Holdings Ltd. | | | 9,700 | |
| | 53,556 | | | CIR SpA-Compagnie Industriali* | | | 28,818 | |
| | 34,430 | | | CK Hutchison Holdings, Ltd. | | | 240,440 | |
| | 1,837 | | | DCC plc | | | 130,555 | |
| | 2,000 | | | Guoco Group, Ltd. | | | 23,817 | |
| | 1,269 | | | Indus Holding AG | | | 49,763 | |
| | 515 | | | Italmobiliare SpA | | | 18,393 | |
| | 1,500 | | | Katakura Industries Co., Ltd. | | | 19,353 | |
| | 900 | | | Keihan Holdings Co., Ltd. | | | 43,200 | |
| | 23,700 | | | Keppel Corp., Ltd. | | | 96,368 | |
| | 447 | | | Lifco AB-B Shs | | | 42,877 | |
| | 5,400 | | | Nisshinbo Holdings, Inc. | | | 39,431 | |
| | 1,372 | | | Nolato AB* | | | 138,791 | |
| | 23,000 | | | NWS Holdings, Ltd. | | | 21,399 | |
| | 2,253 | | | Rheinmetall AG | | | 238,072 | |
| | 7,600 | | | Seibu Holdings, Inc. | | | 74,651 | |
| | 57,400 | | | SembCorp Industries, Ltd. | | | 74,354 | |
| | 70,000 | | | Shun Tak Holdings, Ltd. | | | 21,411 | |
| | 3,281 | | | Siemens AG, Registered Shares | | | 469,538 | |
| | 6,758 | | | Smiths Group plc | | | 139,849 | |
| | 5,400 | | | Tokai Holdings Corp. | | | 53,810 | |
| | 1,900 | | | Toshiba Corp. | | | 53,215 | |
| | | | | | | | |
| | | | | | | 2,027,805 | |
| | | | | | | | |
| Insurance (3.3%): | | | |
| | 4,753 | | | Admiral Group plc | | | 188,921 | |
| | 31,926 | | | AEGON NV | | | 127,482 | |
| | 3,360 | | | Ageas NV | | | 179,056 | |
| | 69,040 | | | AIA Group, Ltd. | | | 850,439 | |
| | 4,109 | | | Alm Brand A/S* | | | 49,382 | |
| | 6,494 | | | ASR Nederland NV | | | 262,610 | |
See accompanying notes to the financial statements.
19
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Insurance, continued | | | |
| | 11,584 | | | Assicurazioni Generali SpA | | $ | 201,586 | |
| | 1,203 | | | AUB Group, Ltd. | | | 15,020 | |
| | 60,710 | | | Aviva plc | | | 272,255 | |
| | 15,524 | | | AXA SA | | | 372,387 | |
| | 999 | | | Baloise Holding AG, Registered Shares | | | 178,479 | |
| | 12,901 | | | Beazley plc | | | 63,961 | |
| | 7,384 | | | Chesnara plc | | | 30,097 | |
| | 2,213 | | | Clal Insurance Enterprises Holdings, Ltd.* | | | 34,669 | |
| | 2,983 | | | CNP Assurances SA | | | 48,079 | |
| | 5,028 | | | Coface SA* | | | 50,800 | |
| | 4,900 | | | Dai-ichi Life Holdings, Inc. | | | 74,441 | |
| | 39,884 | | | Direct Line Insurance Group plc | | | 173,344 | |
| | 82 | | | E-L Financial Corp., Ltd. | | | 49,128 | |
| | 498 | | | Fairfax Financial Holdings, Ltd. | | | 169,763 | |
| | 1,054 | | | FBD Holdings plc | | | 9,672 | |
| | 3,200 | | | Great-West Lifeco, Inc. | | | 76,310 | |
| | 1,465 | | | Grupo Catalana Occidente SA | | | 52,188 | |
| | 539 | | | Hannover Rueck SE | | | 85,635 | |
| | 5,987 | | | Harel Insurance Investments &* | | | 55,344 | |
| | 1,855 | | | Helvetia Holding AG | | | 196,637 | |
| | 6,718 | | | Hiscox, Ltd.* | | | 92,610 | |
| | 3,319 | | | IA Financial Corp., Inc. | | | 143,901 | |
| | 506 | | | IDI Insurance Co., Ltd. | | | 15,350 | |
| | 30,131 | | | Insurance Australia Group, Ltd. | | | 109,298 | |
| | 700 | | | Intact Financial Corp. | | | 82,898 | |
| | 6,700 | | | Japan Post Holdings Co., Ltd. | | | 52,205 | |
| | 64,369 | | | Just Group plc* | | | 61,791 | |
| | 7,487 | | | Lancashire Holdings, Ltd. | | | 74,991 | |
| | 72,758 | | | Legal & General Group plc | | | 267,394 | |
| | 13,895 | | | Manulife Financial Corp. | | | 247,609 | |
| | 2,683 | | | Manulife Financial Corp. | | | 47,749 | |
| | 25,567 | | | Mapfre SA^ | | | 50,022 | |
| | 40,419 | | | Medibank Private, Ltd. | | | 93,830 | |
| | 1,055 | | | Menora Mivtachim Holdings, Ltd.* | | | 19,805 | |
| | 16,641 | | | Migdal Insurance & Financial Holding, Ltd.* | | | 19,269 | |
| | 2,100 | | | MS&AD Insurance Group Holdings, Inc. | | | 64,043 | |
| | 555 | | | Muenchener Rueckversicherungs-Gesellschaft AG | | | 164,348 | |
| | 20,116 | | | NIB Holdings, Ltd. | | | 92,644 | |
| | 4,962 | | | NN Group NV | | | 217,048 | |
| | 4,541 | | | Phoenix Group Holdings plc | | | 43,527 | |
| | 7,577 | | | Phoenix Holdings, Ltd. (The)* | | | 57,785 | |
| | 5,968 | | | Poste Italiane SpA(a) | | | 60,584 | |
| | 2,517 | | | Prudential plc, ADR | | | 92,953 | |
| | 23,988 | | | QBE Insurance Group, Ltd. | | | 157,890 | |
| | 19,383 | | | RSA Insurance Group plc | | | 180,517 | |
| | 3,005 | | | Sabre Insurance Group plc(a) | | | 11,417 | |
| | 3,822 | | | Saga plc* | | | 13,366 | |
| | 1,945 | | | Sampo Oyj, Class A | | | 82,476 | |
| | 5,815 | | | SCOR SA* | | | 187,869 | |
| | 8,029 | | | Societa Cattolica di Assicuraz* | | | 44,942 | |
| | 1,500 | | | Sompo Holdings, Inc. | | | 61,196 | |
| | 10,578 | | | Steadfast Group, Ltd. | | | 32,564 | |
| | 8,620 | | | Storebrand ASA | | | 64,630 | |
| | 3,075 | | | Sun Life Financial, Inc. | | | 136,715 | |
| | 21,865 | | | Suncorp Group, Ltd. | | | 164,368 | |
| | 353 | | | Swiss Life Holding AG, Registered Shares | | | 164,378 | |
| | 2,645 | | | Swiss Re AG | | | 248,922 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Insurance, continued | | | |
| | 5,900 | | | T&D Holdings, Inc. | | $ | 69,835 | |
| | 1,446 | | | Talanx AG | | | 56,002 | |
| | 3,700 | | | Tokio Marine Holdings, Inc. | | | 191,699 | |
| | 1,470 | | | Topdanmark A/S | | | 63,875 | |
| | 23 | | | Trisura Group, Ltd.* | | | 1,610 | |
| | 934 | | | Tryg A/S | | | 29,464 | |
| | 15,269 | | | Unipol Gruppo Finanziario SpA* | | | 72,833 | |
| | 14,182 | | | UnipolSai Assicurazioni SpA | | | 37,553 | |
| | 6,313 | | | Uniqa Insurance Group AG | | | 49,368 | |
| | 54 | | | Vaudoise Assurances Holding SA | | | 28,985 | |
| | 2,033 | | | Vienna Insurance Group AG Wiener Versicherung Gruppe | | | 51,761 | |
| | 1,796 | | | Wuestenrot & Wuerttembergische AG | | | 36,242 | |
| | 1,040 | | | Zurich Insurance Group AG | | | 440,944 | |
| | | | | | | | |
| | | | | | | 8,720,760 | |
| | | | | | | | |
| Interactive Media & Services (0.4%): | | | |
| | 22,069 | | | Auto Trader Group plc(a) | | | 179,959 | |
| | 8,625 | | | Carsales.com, Ltd. | | | 133,122 | |
| | 1,200 | | | Dip Corp. | | | 32,118 | |
| | 5,600 | | | Gree, Inc. | | | 32,827 | |
| | 2,200 | | | Kakaku.com, Inc. | | | 60,413 | |
| | 2,000 | | | mixi, Inc. | | | 49,724 | |
| | 135 | | | New Work SE | | | 46,191 | |
| | 606 | | | REA Group, Ltd. | | | 69,596 | |
| | 26,634 | | | Rightmove plc* | | | 237,145 | |
| | 1,046 | | | Scout24 AG(a) | | | 85,678 | |
| | 2,124 | | | Solocal Group* | | | 6,855 | |
| | 15,200 | | | Z Holdings Corp. | | | 92,204 | |
| | 1,700 | | | Zigexn Co., Ltd. | | | 6,532 | |
| | | | | | | | |
| | | | | | | 1,032,364 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.3%): | | | |
| | 800 | | | ASKUL Corp. | | | 29,839 | |
| | 1,900 | | | Belluna Co., Ltd. | | | 20,932 | |
| | 18,446 | | | Boohoo Group plc* | | | 86,969 | |
| | 342 | | | Delivery Hero SE*(a) | | | 53,075 | |
| | 3,809 | | | Dustin Group AB(a) | | | 29,627 | |
| | 2,462 | | | eDreams ODIGEO SA* | | | 12,547 | |
| | 2,400 | | | Enigmo, Inc. | | | 28,939 | |
| | 595 | | | Just Eat Takeaway.com NV*(a) | | | 67,226 | |
| | 22,749 | | | Moneysupermarket.com Group plc | | | 81,104 | |
| | 6,515 | | | N Brown Group plc | | | 5,391 | |
| | 1,472 | | | Ocado Group plc* | | | 46,118 | |
| | 7,306 | | | On The Beach Group plc(a) | | | 37,291 | |
| | 1,785 | | | Prosus NV | | | 191,994 | |
| | 1,817 | | | Takkt AG* | | | 23,662 | |
| | 6,523 | | | Webjet, Ltd. | | | 25,534 | |
| | 624 | | | Zalando SE*(a) | | | 69,517 | |
| | 1,200 | | | ZOZO, Inc. | | | 29,681 | |
| | | | | | | | |
| | | | | | | 839,446 | |
| | | | | | | | |
| IT Services (1.8%): | | | |
| | 1,366 | | | AddNode Group AB* | | | 47,466 | |
| | 53 | | | Adyen NV*(a) | | | 123,310 | |
| | 370 | | | Allgeier SE | | | 8,430 | |
| | 725 | | | Alten SA* | | | 82,113 | |
| | 1,869 | | | Amadeus IT Group SA | | | 135,294 | |
| | 733 | | | Appen, Ltd. | | | 14,028 | |
See accompanying notes to the financial statements.
20
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| IT Services, continued | | | |
| | 3,853 | | | Atea ASA | | $ | 54,222 | |
| | 2,869 | | | Atos SE* | | | 262,317 | |
| | 850 | | | Bechtle AG | | | 185,345 | |
| | 1,034 | | | Cancom SE | | | 56,953 | |
| | 2,594 | | | Capgemini SA | | | 402,203 | |
| | 700 | | | CGI, Inc.* | | | 55,546 | |
| | 2,893 | | | CGI, Inc.* | | | 229,444 | |
| | 4,933 | | | Columbus A/S* | | | 9,100 | |
| | 5,202 | | | Computacenter plc | | | 174,330 | |
| | 10,319 | | | Computershare, Ltd. | | | 116,168 | |
| | 1,100 | | | Comture Corp. | | | 31,179 | |
| | 7,824 | | | Data#3, Ltd. | | | 33,803 | |
| | 500 | | | Densan System Co., Ltd. | | | 15,512 | |
| | 1,400 | | | DTS Corp. | | | 28,869 | |
| | 8,624 | | | Econocom Group SA/NV | | | 26,087 | |
| | 1,000 | | | E-Guardian, Inc. | | | 29,320 | |
| | 16,132 | | | Equiniti Group plc*(a) | | | 24,368 | |
| | 3,891 | | | Fdm Group Holdings plc | | | 59,905 | |
| | 457 | | | Formula Systems 1985, Ltd. | | | 39,572 | |
| | 700 | | | Fujitsu, Ltd. | | | 101,349 | |
| | 800 | | | Future Corp. | | | 13,718 | |
| | 1,953 | | | GFT Technologies SE | | | 28,325 | |
| | 6,665 | | | Global Dominion Access SA(a) | | | 30,620 | |
| | 2,200 | | | GMO Internet, Inc. | | | 63,217 | |
| | 400 | | | GMO Payment Gateway, Inc. | | | 53,443 | |
| | 800 | | | ID Holdings Corp. | | | 9,803 | |
| | 6,538 | | | Indra Sistemas SA* | | | 55,804 | |
| | 1,200 | | | Infocom Corp. | | | 39,273 | |
| | 1,400 | | | Information Services Internati | | | 42,429 | |
| | 2,776 | | | Iomart Group plc | | | 12,137 | |
| | 1,100 | | | Itochu Techno-Solutions Corp. | | | 39,169 | |
| | 4,549 | | | Kainos Group plc | | | 75,628 | |
| | 400 | | | Kanematsu Electronics, Ltd. | | | 16,110 | |
| | 1,915 | | | Knowit AB* | | | 72,522 | |
| | 19,315 | | | Link Administration Holdings, Ltd. | | | 82,691 | |
| | 896 | | | Matrix It, Ltd. | | | 20,342 | |
| | 300 | | | Mitsubishi Research Institute | | | 12,448 | |
| | 370 | | | Nagarro SE* | | | 41,128 | |
| | 9,872 | | | NCC Group plc | | | 34,085 | |
| | 600 | | | NEC Networks & System Integrat | | | 10,345 | |
| | 1,300 | | | NET One Systems Co., Ltd. | | | 45,987 | |
| | 3,000 | | | Nihon Unisys, Ltd. | | | 117,756 | |
| | 2,556 | | | Nomura Research Institute, Ltd. | | | 91,342 | |
| | 800 | | | NS Solutions Corp. | | | 23,583 | |
| | 2,200 | | | Nsd Co., Ltd. | | | 47,477 | |
| | 5,500 | | | NTT Data Corp. | | | 75,380 | |
| | 4,539 | | | Ordina NV | | | 15,913 | |
| | 1,400 | | | Otsuka Corp. | | | 73,781 | |
| | 1,200 | | | Poletowin Pitcrew Holdings, Inc. | | | 13,535 | |
| | 663 | | | Reply SpA | | | 77,380 | |
| | 800 | | | SCSK Corp. | | | 45,800 | |
| | 94 | | | Shopify, Inc., Class A* | | | 106,403 | |
| | 800 | | | Softbank Technology Corp. | | | 27,106 | |
| | 4,633 | | | Softcat plc | | | 86,856 | |
| | 857 | | | Sopra Steria Group | | | 138,487 | |
| | 16,000 | | | Sunevision Holdings, Ltd. | | | 14,583 | |
| | 519 | | | Sword Group | | | 19,900 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| IT Services, continued | | | |
| | 1,200 | | | TDC Soft, Inc. | | $ | 11,564 | |
| | 1,700 | | | TechMatrix Corp. | | | 35,213 | |
| | 1,232 | | | Tieto OYJ | | | 40,149 | |
| | 4,500 | | | TIS, Inc. | | | 92,302 | |
| | 5,246 | | | Worldline SA*(a) | | | 507,340 | |
| | | | | | | | |
| | | | | | | 4,807,307 | |
| | | | | | | | |
| Leisure Products (0.4%): | | | |
| | 1,179 | | | Accell Group* | | | 37,248 | |
| | 1,700 | | | Bandai Namco Holdings, Inc. | | | 147,157 | |
| | 1,106 | | | BRP, Inc. | | | 73,076 | |
| | 1,319 | | | Games Workshop Group plc | | | 201,813 | |
| | 800 | | | Globeride, Inc. | | | 32,544 | |
| | 72,000 | | | Goodbaby International Holdings, Ltd.* | | | 9,759 | |
| | 2,500 | | | Heiwa Corp. | | | 34,498 | |
| | 500 | | | Mars Group Holdings Corp. | | | 7,537 | |
| | 2,702 | | | Maytronics, Ltd. | | | 40,644 | |
| | 800 | | | Mizuno Corp. | | | 15,600 | |
| | 26,132 | | | Photo-Me International plc* | | | 17,430 | |
| | 1,200 | | | Sankyo Co., Ltd. | | | 32,471 | |
| | 3,600 | | | Sega Sammy Holdings, Inc. | | | 56,819 | |
| | 1,337 | | | Spin Master Corp.*(a) | | | 30,476 | |
| | 1,169 | | | Technogym SpA*(a) | | | 13,099 | |
| | 1,995 | | | Thule Group AB (The)*(a) | | | 74,599 | |
| | 4,700 | | | Tomy Co., Ltd. | | | 41,387 | |
| | 385 | | | Trigano SA | | | 68,130 | |
| | 700 | | | Universal Entertainment Corp.* | | | 16,181 | |
| | 500 | | | Yamaha Corp. | | | 29,478 | |
| | | | | | | | |
| | | | | | | 979,946 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.5%): | | | |
| | 125 | | | Bachem Holding AG, Class B | | | 55,570 | |
| | 1,805 | | | Biotage AB* | | | 30,563 | |
| | 2,446 | | | Clinigen Group plc | | | 22,575 | |
| | 600 | | | Cmic Holdings Co., Ltd. | | | 7,884 | |
| | 1,200 | | | Eps Holdings, Inc. | | | 11,377 | |
| | 3,380 | | | Eurofins Scientific SE* | | | 283,567 | |
| | 1,626 | | | Gerresheimer AG | | | 174,322 | |
| | 529 | | | Lonza Group AG, Registered Shares | | | 339,873 | |
| | 1,322 | | | Qiagen NV* | | | 69,868 | |
| | 441 | | | Sartorius Stedim Biotech | | | 157,161 | |
| | 1,600 | | | Shin Nippon Biomedical Laborat | | | 10,479 | |
| | 97 | | | Siegfried Holding AG | | | 71,358 | |
| | 299 | | | Tecan Group AG | | | 146,870 | |
| | | | | | | | |
| | | | | | | 1,381,467 | |
| | | | | | | | |
| Machinery (4.3%): | | | |
| | 3,060 | | | Aalberts NV | | | 135,607 | |
| | 2,600 | | | Aichi Corp. | | | 23,116 | |
| | 2,100 | | | Aida Engineering, Ltd. | | | 19,695 | |
| | 5,348 | | | Alfa Laval AB* | | | 147,047 | |
| | 1,607 | | | Alimak Group AB(a) | | | 25,590 | |
| | 900 | | | Alinco, Inc. | | | 8,237 | |
| | 901 | | | Alstom SA* | | | 51,088 | |
| | 10,200 | | | Amada Holdings Co., Ltd. | | | 112,676 | |
| | 2,790 | | | Andritz AG | | | 127,795 | |
| | 2,000 | | | Anest Iwata Corp. | | | 20,537 | |
| | 2,700 | | | Asahi Diamond Industrial Co., Ltd. | | | 11,769 | |
| | 2,774 | | | Atlas Copco AB | | | 124,685 | |
See accompanying notes to the financial statements.
21
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Machinery, continued | | | |
| | 4,706 | | | Atlas Copco AB, Class A | | $ | 240,780 | |
| | 1,149 | | | ATS Automation Tooling Systems, Inc.* | | | 20,178 | |
| | 1,300 | | | Bando Chemical Industries, Ltd. | | | 8,120 | |
| | 2,296 | | | Beijer Alma AB, Class B | | | 36,559 | |
| | 506 | | | Bobst Group SA | | | 30,550 | |
| | 10,601 | | | Bodycote plc | | | 108,816 | |
| | 243 | | | Bucher Industries AG | | | 110,997 | |
| | 66 | | | Burckhardt Compression Holding AG | | | 22,971 | |
| | 1,623 | | | Cargotec OYJ | | | 67,008 | |
| | 500 | | | Chugai Ro Co., Ltd. | | | 8,191 | |
| | 27,705 | | | CNH Industrial NV | | | 351,031 | |
| | 2,050 | | | Concentric AB | | | 45,739 | |
| | 1,110 | | | Construcc y Aux de Ferrocarr SA* | | | 53,249 | |
| | 56 | | | Conzzeta AG | | | 68,937 | |
| | 168 | | | Daetwyler Holding AG | | | 48,894 | |
| | 600 | | | Daifuku Co., Ltd. | | | 74,276 | |
| | 2,100 | | | Daiwa Industries, Ltd. | | | 21,453 | |
| | 3,272 | | | Danieli & C Officine Meccaniche SpA | | | 38,342 | |
| | 7,304 | | | Deutz AG* | | | 45,504 | |
| | 6,200 | | | DMG Mori Co., Ltd. | | | 94,563 | |
| | 1,985 | | | Duerr AG^ | | | 81,005 | |
| | 3,400 | | | Ebara Corp. | | | 111,215 | |
| | 4,630 | | | Electrolux Professional AB, Class B* | | | 26,297 | |
| | 2,774 | | | Epiroc AB | | | 47,015 | |
| | 6,356 | | | Epiroc AB, Class A | | | 115,591 | |
| | 1,500 | | | Exco Technologies, Ltd. | | | 10,878 | |
| | 300 | | | FANUC Corp. | | | 73,876 | |
| | 114 | | | Feintool International Holding AG* | | | 7,200 | |
| | 19,282 | | | Fincantieri SpA*^ | | | 12,838 | |
| | 1,579 | | | Fluidra SA | | | 40,420 | |
| | 2,000 | | | Fuji Corp. | | | 52,810 | |
| | 1,700 | | | Furukawa Co., Ltd. | | | 20,239 | |
| | 4,147 | | | GEA Group AG | | | 148,368 | |
| | 152 | | | Georg Fischer AG | | | 195,685 | |
| | 2,000 | | | Glory, Ltd. | | | 40,400 | |
| | 2,253 | | | Haldex AB* | | | 11,975 | |
| | 4,700 | | | Hino Motors, Ltd. | | | 40,264 | |
| | 1,200 | | | Hisaka Works, Ltd. | | | 9,894 | |
| | 1,700 | | | Hitachi Construction Machinery Co., Ltd. | | | 48,482 | |
| | 9,200 | | | Hitachi Zosen Corp. | | | 50,870 | |
| | 500 | | | Hosokawa Micron Corp. | | | 30,850 | |
| | 8,500 | | | IHI Corp. | | | 169,246 | |
| | 14,403 | | | IMI plc | | | 230,599 | |
| | 628 | | | Industria Macchine Automatiche* | | | 52,084 | |
| | 2,802 | | | Interpump Group SpA | | | 138,414 | |
| | 17 | | | Interroll Holding AG, Registered Shares | | | 51,755 | |
| | 1,300 | | | Iseki & Co., Ltd. | | | 17,442 | |
| | 2,800 | | | Japan Steel Works, Ltd. (The) | | | 83,637 | |
| | 885 | | | JOST Werke AG*(a) | | | 46,599 | |
| | 8,700 | | | JTEKT Corp. | | | 67,736 | |
| | 2,600 | | | Juki Corp. | | | 13,368 | |
| | 3,751 | | | Jungheinrich AG | | | 167,469 | |
| | 446 | | | Kardex Holding AG | | | 97,498 | |
| | 900 | | | Kato Works Co., Ltd. | | | 8,426 | |
| | 6,900 | | | Kawasaki Heavy Industries, Ltd. | | | 155,947 | |
| | 3,330 | | | Kion Group AG | | | 289,477 | |
| | 400 | | | Kitagawa Iron Works Co., Ltd. | | | 5,160 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Machinery, continued | | | |
| | 1,400 | | | Kito Corp. | | $ | 20,971 | |
| | 5,100 | | | Kitz Corp. | | | 31,041 | |
| | 572 | | | Koenig & Bauer AG* | | | 16,660 | |
| | 6,700 | | | Komatsu, Ltd. | | | 183,624 | |
| | 184 | | | Komax Holding AG* | | | 36,639 | |
| | 2,900 | | | Komori Corp. | | | 20,350 | |
| | 2,802 | | | Kone OYJ, Class B | | | 227,352 | |
| | 1,994 | | | Konecranes OYJ | | | 70,052 | |
| | 362 | | | Krones AG | | | 29,197 | |
| | 6,700 | | | Kubota Corp. | | | 146,395 | |
| | 2,600 | | | Kurita Water Industries, Ltd. | | | 99,536 | |
| | 1,000 | | | Kyokuto Kaihatsu Kogyo Co., Ltd. | | | 13,613 | |
| | 600 | | | Maezawa Kyuso Industries Co., Ltd. | | | 13,486 | |
| | 1,300 | | | Makino Milling Machine Co., Ltd. | | | 47,069 | |
| | 600 | | | Makita Corp. | | | 30,123 | |
| | 586 | | | Manitou Bf SA | | | 17,118 | |
| | 800 | | | Max Co., Ltd. | | | 11,166 | |
| | 2,600 | | | Meidensha Corp. | | | 58,599 | |
| | 800 | | | Metawater Co., Ltd. | | | 18,007 | |
| | 22,387 | | | Metso Outotec Oyj | | | 224,155 | |
| | 7,432 | | | MINEBEA MITSUMI, Inc. | | | 147,882 | |
| | 900 | | | Misumi Group, Inc. | | | 29,564 | |
| | 7,200 | | | Mitsubishi Heavy Industries, Ltd. | | | 220,697 | |
| | 1,000 | | | Mitsubishi Logisnext Co., Ltd. | | | 11,491 | |
| | 700 | | | Mitsuboshi Belting Co., Ltd. | | | 11,551 | |
| | 2,900 | | | Mitsui Engineering & Shipbuilding Co., Ltd.* | | | 9,860 | |
| | 300 | | | Miura Co., Ltd. | | | 16,760 | |
| | 19,488 | | | Morgan Advanced Materials plc | | | 82,935 | |
| | 1,500 | | | Morita Holdings Corp. | | | 25,534 | |
| | 1,700 | | | Nabtesco Corp. | | | 74,637 | |
| | 1,100 | | | Nachi-Fujikoshi Corp. | | | 45,695 | |
| | 2,000 | | | Namura Shipbuilding Co., Ltd. | | | 3,163 | |
| | 4,700 | | | Neles OYJ | | | 62,300 | |
| | 1,456 | | | NFI Group, Inc. | | | 27,560 | |
| | 2,500 | | | NGK Insulators, Ltd. | | | 38,662 | |
| | 1,569 | | | Nilfisk Holding A/S* | | | 33,889 | |
| | 3,900 | | | Nippon Thompson Co., Ltd. | | | 14,658 | |
| | 800 | | | Nitta Corp. | | | 17,370 | |
| | 500 | | | Nitto Kohki Co., Ltd. | | | 8,483 | |
| | 1,900 | | | Nitto Seiko Co., Ltd. | | | 8,252 | |
| | 300 | | | Noritake Co., Ltd. | | | 8,733 | |
| | 1,533 | | | Norma Group SE | | | 78,439 | |
| | 7,000 | | | NSK, Ltd. | | | 61,179 | |
| | 14,800 | | | NTN Corp. | | | 38,307 | |
| | 7,984 | | | OC Oerlikon Corp. AG | | | 82,837 | |
| | 1,700 | | | Oiles Corp. | | | 26,759 | |
| | 600 | | | Okuma Corp. | | | 33,646 | |
| | 400 | | | Organo Corp. | | | 23,844 | |
| | 3,500 | | | OSG Corp. | | | 67,059 | |
| | 1,045 | | | Palfinger AG | | | 33,111 | |
| | 174 | | | Pfeiffer Vacuum Technology AG | | | 33,241 | |
| | 118 | | | Rational AG | | | 109,780 | |
| | 70 | | | Rieter Holding AG | | | 7,614 | |
| | 22,849 | | | Rotork plc | | | 99,977 | |
| | 1,800 | | | Ryobi, Ltd.* | | | 21,921 | |
| | 2,213 | | | Sandvik AB* | | | 54,120 | |
| | 284 | | | Schindler Holding AG, Registered Shares | | | 76,471 | |
See accompanying notes to the financial statements.
22
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Machinery, continued | | | |
| | 357,591 | | | SembCorp Marine, Ltd.* | | $ | 38,584 | |
| | 388 | | | SFS Group AG | | | 46,014 | |
| | 1,000 | | | Shibaura Machine Co., Ltd. | | | 22,918 | |
| | 1,200 | | | Shima Seiki Manufacturing, Ltd. | | | 20,419 | |
| | 1,900 | | | Shinmaywa Industries, Ltd. | | | 16,297 | |
| | 78,000 | | | Singamas Container Holdings, Ltd. | | | 5,555 | |
| | 2,200 | | | Sintokogio, Ltd. | | | 16,434 | |
| | 3,528 | | | Skellerup Holdings, Ltd. | | | 9,267 | |
| | 6,814 | | | SKF AB, Class B | | | 176,629 | |
| | 100 | | | SMC Corp. | | | 61,081 | |
| | 2,300 | | | Sodick Co., Ltd. | | | 19,666 | |
| | 1,700 | | | Spirax-Sarco Engineering plc | | | 262,706 | |
| | 891 | | | Stabilus SA | | | 62,802 | |
| | 1,600 | | | Star Micronics Co., Ltd. | | | 25,639 | |
| | 849 | | | Sulzer AG, Registered Shares | | | 88,751 | |
| | 3,700 | | | Sumitomo Heavy Industries, Ltd. | | | 91,678 | |
| | 3,900 | | | Tadano, Ltd. | | | 33,442 | |
| | 900 | | | Takeuchi Manufacturing Co., Ltd. | | | 21,236 | |
| | 3,400 | | | Takuma Co., Ltd. | | | 60,890 | |
| | 478 | | | Technotrans SE* | | | 14,595 | |
| | 800 | | | Teikoku Electric Manufacturing Co., Ltd. | | | 9,360 | |
| | 2,900 | | | THK Co., Ltd. | | | 93,818 | |
| | 3,900 | | | Tocalo Co., Ltd. | | | 53,679 | |
| | 1,400 | | | Torishima Pump Manufacturing Co., Ltd. | | | 11,736 | |
| | 7,217 | | | Trelleborg AB* | | | 160,601 | |
| | 1,098 | | | Troax Group AB | | | 25,660 | |
| | 2,700 | | | Tsubaki Nakashima Co., Ltd. | | | 29,522 | |
| | 1,400 | | | Tsubakimoto Chain Co. | | | 36,797 | |
| | 1,500 | | | Tsugami Corp. | | | 22,698 | |
| | 1,200 | | | Tsukishima Kikai Co., Ltd. | | | 16,241 | |
| | 600 | | | Tsurumi Manufacturing Co., Ltd. | | | 10,269 | |
| | 5,928 | | | Valmet Corp. | | | 169,453 | |
| | 803 | | | Vat Group AG(a) | | | 200,209 | |
| | 1,074 | | | VBG Group AB, Class B* | | | 20,168 | |
| | 8,722 | | | Vesuvius plc | | | 64,024 | |
| | 5,758 | | | Volvo AB, Class A | | | 136,716 | |
| | 27,553 | | | Volvo AB, Class B | | | 648,686 | |
| | 229 | | | Vossloh AG* | | | 11,567 | |
| | 1,416 | | | Wacker Neuson SE* | | | 30,292 | |
| | 7,232 | | | Wartsila OYJ Abp, Class B | | | 71,944 | |
| | 560 | | | Washtec AG* | | | 29,860 | |
| | 4,095 | | | Weir Group plc (The)* | | | 111,525 | |
| | 3,000 | | | Yamabiko Corp. | | | 37,746 | |
| | 123,200 | | | Yangzijiang Shipbuilding Holdings, Ltd. | | | 89,130 | |
| | 7,188 | | | Zardoya Otis SA | | | 50,253 | |
| | | | | | | | |
| | | | | | | 11,374,720 | |
| | | | | | | | |
| Marine (0.5%): | | | |
| | 22 | | | A.P. Moeller—Maersk A/S, Class A | | | 45,660 | |
| | 30 | | | A.P. Moeller—Maersk A/S, Class B | | | 66,909 | |
| | 1,600 | | | Algoma Central Corp. | | | 17,500 | |
| | 3,578 | | | American Shipping Co. ASA | | | 11,755 | |
| | 556 | | | Clarkson plc | | | 20,536 | |
| | 1,333 | | | D/S Norden A/S | | | 24,028 | |
| | 1,307 | | | DFDS A/S* | | | 59,011 | |
| | 1,044 | | | Hapag-Lloyd AG(a) | | | 117,231 | |
| | 3,300 | | | Iino Kaiun Kaisha, Ltd. | | | 13,735 | |
| | 9,940 | | | Irish Continental Group* | | | 54,637 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Marine, continued | | | |
| | 2,300 | | | Japan Transcity Corp. | | $ | 12,324 | |
| | 3,000 | | | Kawasaki Kisen Kaisha, Ltd.* | | | 61,572 | |
| | 947 | | | Kuehne & Nagel International AG, Registered Shares | | | 214,749 | |
| | 3,800 | | | Mitsui O.S.K. Lines, Ltd. | | | 116,332 | |
| | 7,000 | | | Nippon Yusen KK | | | 163,332 | |
| | 600 | | | NS United Kaiun Kaisha, Ltd. | | | 8,120 | |
| | 246,000 | | | Pacific Basin Shipping, Ltd. | | | 46,452 | |
| | 65,000 | | | Sitc International Holdings Co., Ltd. | | | 140,728 | |
| | 1,962 | | | Stolt-Nielsen, Ltd. | | | 25,068 | |
| | | | | | | | |
| | | | | | | 1,219,679 | |
| | | | | | | | |
| Media (1.5%): | | | |
| | 1,267 | | | 4imprint Group plc* | | | 44,600 | |
| | 5,715 | | | Aimia, Inc.* | | | 18,546 | |
| | 18,743 | | | Altice Europe NV, Class A* | | | 122,012 | |
| | 1,460 | | | Altice Europe NV, Class B* | | | 9,420 | |
| | 65 | | | APG SGA SA* | | | 14,520 | |
| | 14,475 | | | Arnoldo Mondadori Editore SpA* | | | 26,673 | |
| | 2,124 | | | Ascential plc* | | | 11,195 | |
| | 4,886 | | | Atresmedia Corp. de Medios de Comuicacion SA* | | | 17,255 | |
| | 1,951 | | | Bloomsbury Publishing plc | | | 7,922 | |
| | 6,744 | | | Cairo Communication SpA* | | | 10,364 | |
| | 701 | | | Cogeco Communications, Inc. | | | 53,901 | |
| | 400 | | | Cogeco, Inc. | | | 25,766 | |
| | 5,394 | | | Corus Entertainment, Inc. | | | 18,140 | |
| | 1,600 | | | Cyberagent, Inc. | | | 110,406 | |
| | 3,302 | | | Daily Mail & General Trust plc | | | 33,650 | |
| | 3,500 | | | Dentsu Group, Inc. | | | 104,165 | |
| | 3,391 | | | Euromoney Institutional Investor plc | | | 49,111 | |
| | 8,672 | | | Eutelsat Communications SA | | | 98,134 | |
| | 1,700 | | | F@n Communications, Inc. | | | 6,913 | |
| | 2,800 | | | Fuji Media Holdings, Inc. | | | 29,893 | |
| | 4,000 | | | Hakuhodo DY Holdings, Inc. | | | 54,991 | |
| | 8,376 | | | HT&E, Ltd. | | | 11,973 | |
| | 8,773 | | | Hyve Group plc* | | | 13,574 | |
| | 5,113 | | | Informa plc* | | | 38,416 | |
| | 2,000 | | | Intage Holdings, Inc. | | | 21,917 | |
| | 1,711 | | | Ipsos | | | 57,893 | |
| | 119,144 | | | ITV plc* | | | 174,142 | |
| | 9,582 | | | Ive Group, Ltd. | | | 10,535 | |
| | 3,439 | | | JCDecaux SA* | | | 78,544 | |
| | 1,100 | | | Kadokawa Corp. | | | 39,963 | |
| | 2,312 | | | Kin And Carta plc* | | | 4,491 | |
| | 6,412 | | | Lagardere SCA* | | | 160,900 | |
| | 3,548 | | | Liberty Global plc, Series C* | | | 83,910 | |
| | 1,449 | | | Liberty Global plc, Class A* | | | 35,095 | |
| | 1,664 | | | M6 Metropole Television SA* | | | 27,070 | |
| | 1,300 | | | Macromill, Inc. | | | 8,456 | |
| | 8,183 | | | Mediaset Espana Comunicacion SA* | | | 42,808 | |
| | 24,075 | | | Mediaset SpA* | | | 61,043 | |
| | 3,270 | | | Modern Times Group MTG AB, Class B*^ | | | 58,647 | |
| | 80,679 | | | Nine Entertainment Co. Holdings, Ltd. | | | 144,396 | |
| | 3,035 | | | Nordic Entertainment Group AB, Class B* | | | 169,591 | |
| | 15,502 | | | NOS SGPS SA | | | 54,297 | |
| | 1,307 | | | NRJ Group* | | | 9,690 | |
| | 19,083 | | | Ooh!media, Ltd. | | | 24,439 | |
| | 6,014 | | | Otello Corp. ASA* | | | 19,034 | |
| | 5,688 | | | Pearson plc | | | 52,679 | |
See accompanying notes to the financial statements.
23
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Media, continued | | | |
| | 3,968 | | | Pearson plc, ADR^ | | $ | 36,426 | |
| | 68,000 | | | PICO Far East Holdings, Ltd. | | | 12,188 | |
| | 1,300 | | | Proto Corp. | | | 13,131 | |
| | 6,393 | | | Publicis Groupe SA | | | 318,544 | |
| | 4,026 | | | Quebecor, Inc., Class B | | | 103,631 | |
| | 4,571 | | | RAI Way SpA(a) | | | 30,563 | |
| | 20,289 | | | Reach plc | | | 39,505 | |
| | 1,406 | | | RTL Group* | | | 68,265 | |
| | 4,177 | | | Sanoma OYJ | | | 69,942 | |
| | 435 | | | Schibsted ASA, Class B* | | | 16,282 | |
| | 16,754 | | | SES Global, Class A | | | 158,457 | |
| | 60,999 | | | Seven West Media, Ltd.* | | | 15,533 | |
| | 7,456 | | | Shaw Communications, Inc. | | | 130,927 | |
| | 44,700 | | | Singapore Press Holdings, Ltd. | | | 38,324 | |
| | 74,550 | | | Sky Network Television, Ltd.* | | | 8,630 | |
| | 7,900 | | | SKY Perfect JSAT Holdings, Inc. | | | 38,961 | |
| | 4,175 | | | Societe Television Francaise 1* | | | 33,634 | |
| | 15,013 | | | Southern Cross Media Group, Ltd. | | | 25,937 | |
| | 1,167 | | | Stroeer SE & Co. KGaA | | | 115,574 | |
| | 1,900 | | | TBS Holdings, Inc. | | | 33,455 | |
| | 1,294 | | | Telenet Group Holding NV | | | 55,498 | |
| | 15,000 | | | Television Broadcasts, Ltd. | | | 15,457 | |
| | 1,400 | | | TV Asahi Holdings Corp. | | | 22,996 | |
| | 500 | | | TV Tokyo Holdings Corp. | | | 11,162 | |
| | 232 | | | TX Group AG | | | 18,567 | |
| | 1,000 | | | ValueCommerce Co., Ltd. | | | 31,025 | |
| | 500 | | | Wowow, Inc. | | | 13,742 | |
| | 27,313 | | | WPP Aunz, Ltd.* | | | 14,637 | |
| | 10,008 | | | WPP plc | | | 108,721 | |
| | 700 | | | Zenrin Co., Ltd. | | | 8,570 | |
| | | | | | | | |
| | | | | | | 3,879,364 | |
| | | | | | | | |
| Metals & Mining (5.3%): | | | |
| | 3,860 | | | Acerinox SA | | | 42,634 | |
| | 1,039 | | | Agnico Eagle Mines, Ltd. | | | 73,260 | |
| | 400 | | | Aichi Steel Corp. | | | 10,702 | |
| | 17,508 | | | Alamos Gold, Inc., Class A | | | 152,973 | |
| | 48,066 | | | Alumina, Ltd. | | | 68,066 | |
| | 723 | | | Amg Advanced Metallurgical Group N.V. | | | 21,510 | |
| | 4,799 | | | Anglo American plc | | | 159,818 | |
| | 4,749 | | | Antofagasta plc | | | 93,594 | |
| | 2,337 | | | Aperam SA | | | 97,524 | |
| | 4,677 | | | ArcelorMittal* | | | 107,317 | |
| | 12,400 | | | Argonaut Gold, Inc.* | | | 26,696 | |
| | 1,100 | | | Asahi Holdings, Inc. | | | 39,151 | |
| | 85,942 | | | Aurelia Metals, Ltd. | | | 28,550 | |
| | 1,731 | | | Aurubis AG | | | 134,630 | |
| | 43,715 | | | B2Gold Corp. | | | 244,903 | |
| | 5,920 | | | Barrick Gold Corp. | | | 134,894 | |
| | 1,875 | | | Bekaert NV | | | 62,356 | |
| | 35,937 | | | BHP Group, Ltd. | | | 1,170,563 | |
| | 2,256 | | | BHP Group, Ltd., ADR | | | 147,407 | |
| | 15,819 | | | Billiton plc, ADR | | | 838,882 | |
| | 10,478 | | | BlueScope Steel, Ltd. | | | 141,554 | |
| | 4,606 | | | Boliden AB | | | 163,072 | |
| | 17,700 | | | Capstone Mining Corp.* | | | 33,100 | |
| | 73,572 | | | Centamin plc | | | 123,161 | |
| | 8,200 | | | Centerra Gold, Inc. | | | 94,970 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Metals & Mining, continued | | | |
| | 4,374 | | | Central Asia Metals plc | | $ | 14,387 | |
| | 16,254 | | | China Gold International Resources Corp., Ltd.* | | | 23,244 | |
| | 1,300 | | | Daido Steel Co., Ltd. | | | 54,403 | |
| | 2,700 | | | Daiki Aluminium Industry Co., Ltd. | | | 20,480 | |
| | 5,323 | | | Deterra Royalties, Ltd.* | | | 19,761 | |
| | 1,900 | | | DOWA Mining Co. | | | 69,193 | |
| | 10,500 | | | Dundee Precious Metals, Inc. | | | 75,489 | |
| | 4,662 | | | Eldorado Gold Corp.* | | | 61,796 | |
| | 5,905 | | | Endeavour Mining Corp.* | | | 137,429 | |
| | 539 | | | Eramet* | | | 28,298 | |
| | 2,899 | | | Ero Copper Corp.* | | | 46,513 | |
| | 28,784 | | | Evolution Mining, Ltd. | | | 109,367 | |
| | 16,814 | | | EVRAZ plc | | | 108,487 | |
| | 22,438 | | | Ferrexpo plc | | | 86,842 | |
| | 13,875 | | | First Quantum Minerals, Ltd. | | | 249,111 | |
| | 31,593 | | | Fortescue Metals Group, Ltd. | | | 571,103 | |
| | 5,947 | | | Fortuna Silver Mines, Inc.* | | | 48,877 | |
| | 327 | | | Franco Nevada Corp. | | | 40,983 | |
| | 2,189 | | | Fresnillo plc | | | 33,858 | |
| | 26,349 | | | Galaxy Resources, Ltd.* | | | 45,323 | |
| | 8,215 | | | Galiano Gold, Inc.* | | | 9,230 | |
| | 99,192 | | | Glencore plc* | | | 316,365 | |
| | 1,100 | | | Godo Steel, Ltd. | | | 20,720 | |
| | 6,486 | | | Granges AB* | | | 79,037 | |
| | 4,214 | | | Hill & Smith Holdings plc | | | 81,371 | |
| | 3,000 | | | Hitachi Metals, Ltd. | | | 45,706 | |
| | 9,715 | | | Hochschild Mining plc | | | 27,695 | |
| | 12,495 | | | Hudbay Minerals, Inc. | | | 87,476 | |
| | 15,631 | | | IAMGOLD Corp.* | | | 57,356 | |
| | 21,854 | | | IGO, Ltd. | | | 107,592 | |
| | 5,323 | | | Iluka Resources, Ltd. | | | 26,650 | |
| | 14,498 | | | Imdex, Ltd. | | | 19,285 | |
| | 15,246 | | | Ivanhoe Mines, Ltd., Class A* | | | 82,178 | |
| | 9,400 | | | JFE Holdings, Inc.* | | | 90,285 | |
| | 50,009 | | | Jupiter Mines, Ltd. | | | 11,763 | |
| | 14,214 | | | KAZ Minerals plc | | | 128,297 | |
| | 69,434 | | | Kinross Gold Corp. | | | 509,557 | |
| | 6,043 | | | Kirkland Lake Gold, Ltd. | | | 249,754 | |
| | 10,600 | | | Kobe Steel, Ltd.* | | | 56,747 | |
| | 1,800 | | | Kyoei Steel, Ltd. | | | 24,978 | |
| | 800 | | | Labrador Iron Ore Royalty Corp. | | | 20,498 | |
| | 14,207 | | | Lucara Diamond Corp.* | | | 5,805 | |
| | 19,726 | | | Lundin Mining Corp. | | | 175,142 | |
| | 20,555 | | | Lynas Rare Earths, Ltd.* | | | 63,111 | |
| | 14,393 | | | MACA, Ltd. | | | 13,498 | |
| | 48,387 | | | Macmahon Holdings, Ltd. | | | 9,888 | |
| | 4,545 | | | Major Drilling Group International, Inc.* | | | 27,462 | |
| | 1,400 | | | Maruichi Steel Tube, Ltd. | | | 31,121 | |
| | 176,000 | | | Midas Holdings, Ltd.* | | | 4,795 | |
| | 10,123 | | | Mineral Resources, Ltd. | | | 292,457 | |
| | 3,300 | | | Mitsubishi Materials Corp. | | | 69,748 | |
| | 500 | | | Mitsubishi Steel Manufacturing Co., Ltd.* | | | 2,941 | |
| | 3,300 | | | Mitsui Mining & Smelting Co., Ltd. | | | 121,735 | |
| | 26,154 | | | Mount Gibson Iron, Ltd. | | | 18,600 | |
| | 2,200 | | | Neturen Co., Ltd. | | | 10,074 | |
| | 27,410 | | | New Gold, Inc.* | | | 60,303 | |
| | 5,067 | | | Newcrest Mining, Ltd. | | | 100,920 | |
See accompanying notes to the financial statements.
24
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Metals & Mining, continued | | | |
| | 6,200 | | | Nippon Denko Co., Ltd.^ | | $ | 17,999 | |
| | 3,700 | | | Nippon Light Metal Holdings Co. | | | 68,823 | |
| | 13,095 | | | Nippon Steel Corp.* | | | 169,864 | |
| | 930 | | | Nippon Yakin Kogyo Co., Ltd. | | | 15,573 | |
| | 200 | | | Nittetsu Mining Co., Ltd. | | | 11,893 | |
| | 12,148 | | | Norsk Hydro ASA | | | 56,136 | |
| | 13,476 | | | Northern Star Resources, Ltd. | | | 130,367 | |
| | 34,228 | | | OceanaGold Corp.* | | | 66,159 | |
| | 21,175 | | | OM Holdings, Ltd. | | | 9,557 | |
| | 12,886 | | | Orocobre, Ltd.* | | | 44,595 | |
| | 500 | | | Osaka Steel Co., Ltd. | | | 5,970 | |
| | 3,202 | | | Osisko Gold Royalties, Ltd. | | | 40,582 | |
| �� | 10,428 | | | Outokumpu OYJ* | | | 40,986 | |
| | 10,477 | | | OZ Minerals, Ltd. | | | 152,615 | |
| | 900 | | | Pacific Metals Co., Ltd. | | | 19,503 | |
| | 1,217 | | | Pan American Silver Corp. | | | 41,979 | |
| | 14,658 | | | Pan American Silver Corp.—CVR* | | | 12,093 | |
| | 33,353 | | | Perenti Global, Ltd. | | | 35,278 | |
| | 73,744 | | | Perseus Mining, Ltd.* | | | 73,094 | |
| | 125,834 | | | Petropavlovsk plc* | | | 55,672 | |
| | 9,700 | | | Premier Gold Mines, Ltd.* | | | 22,941 | |
| | 5,733 | | | Pretium Resources, Inc.* | | | 65,722 | |
| | 23,878 | | | Ramelius Resources, Ltd. | | | 30,651 | |
| | 25,788 | | | Regis Resources, Ltd. | | | 73,735 | |
| | 47,236 | | | Resolute Mining, Ltd.* | | | 28,662 | |
| | 550 | | | Rio Tinto plc | | | 41,147 | |
| | 13,055 | | | Rio Tinto plc, Registered Shares, ADR | | | 981,997 | |
| | 4,167 | | | Rio Tinto, Ltd. | | | 365,937 | |
| | 6,000 | | | Sabina Gold & Silver Corp.* | | | 15,510 | |
| | 2,148 | | | Salzgitter AG* | | | 56,953 | |
| | 11,858 | | | Sandfire Resources, Ltd. | | | 48,944 | |
| | 4,142 | | | Sandstorm Gold, Ltd.* | | | 29,681 | |
| | 1,600 | | | Sanyo Special Steel Co., Ltd.* | | | 19,874 | |
| | 38,220 | | | Saracen Mineral Holdings, Ltd.* | | | 140,475 | |
| | 21,718 | | | Schmolz + Bickenbach AG* | | | 5,722 | |
| | 32,896 | | | Silver Lake Resources, Ltd.* | | | 44,867 | |
| | 7,523 | | | Sims, Ltd. | | | 78,104 | |
| | 52,227 | | | South32, Ltd. | | | 99,565 | |
| | 4,092 | | | SSAB AB, Class A* | | | 14,627 | |
| | 24,187 | | | SSAB AB, Class B* | | | 77,212 | |
| | 10,349 | | | SSR Mining, Inc.* | | | 207,842 | |
| | 28,999 | | | St. Barbara, Ltd. | | | 52,923 | |
| | 11,400 | | | Straits Trading Co., Ltd. | | | 17,675 | |
| | 2,600 | | | Sumitomo Metal & Mining Co., Ltd. | | | 115,606 | |
| | 19,859 | | | Syrah Resources, Ltd.* | | | 14,710 | |
| | 10,787 | | | Teck Cominco, Ltd., Class B | | | 195,788 | |
| | 1,985 | | | Teck Resources, Ltd., Class B | | | 36,028 | |
| | 9,775 | | | Teranga Gold Corp.* | | | 104,916 | |
| | 3,912 | | | ThyssenKrupp AG*^ | | | 38,833 | |
| | 1,900 | | | Toho Titanium Co., Ltd. | | | 16,343 | |
| | 700 | | | Toho Zinc Co., Ltd.* | | | 15,861 | |
| | 1,100 | | | Tokyo Rope Manufacturing Co. Ltd.* | | | 8,096 | |
| | 5,300 | | | Tokyo Steel Manufacturing Co., Ltd. | | | 34,301 | |
| | 1,300 | | | Topy Industries, Ltd.* | | | 14,908 | |
| | 4,685 | | | Torex Gold Resources, Inc.* | | | 70,273 | |
| | 9,694 | | | Trevali Mining Corp.* | | | 1,485 | |
| | 3,324 | | | Turquoise Hill Resources, Ltd.* | | | 41,344 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Metals & Mining, continued | | | |
| | 1,500 | | | UACJ Corp. | | $ | 27,541 | |
| | 4,420 | | | Voestalpine AG | | | 158,961 | |
| | 4,200 | | | Wesdome Gold Mines, Ltd.* | | | 35,047 | |
| | 14,207 | | | Western Areas, Ltd. | | | 28,830 | |
| | 12,851 | | | Westgold Resources, Ltd.* | | | 25,880 | |
| | 520 | | | Wheaton Precious Metals Corp. | | | 21,720 | |
| | 1,402 | | | Wheaton Precious Metals Corp. | | | 58,520 | |
| | 42,447 | | | Yamana Gold, Inc. | | | 242,469 | |
| | 1,600 | | | Yamato Kogyo Co., Ltd. | | | 42,965 | |
| | 800 | | | Yodogawa Steel Works, Ltd. | | | 16,355 | |
| | | | | | | | |
| | | | | | | 14,072,655 | |
| | | | | | | | |
| Multiline Retail (0.6%): | | | |
| | 40,020 | | | B&M European Value Retail SA | | | 282,573 | |
| | 247 | | | Canadian Tire Corp., Class A | | | 32,475 | |
| | 2,909 | | | Dollarama, Inc. | | | 118,582 | |
| | 11,572 | | | Europris ASA(a) | | | 69,115 | |
| | 500 | | | Fuji Co., Ltd./Ehime | | | 9,481 | |
| | 3,300 | | | H2O Retailing Corp. | | | 22,382 | |
| | 15,674 | | | Harvey Norman Holdings, Ltd. | | | 56,695 | |
| | 6,800 | | | Isetan Mitsukoshi Holdings, Ltd. | | | 40,321 | |
| | 1,800 | | | Izumi Co., Ltd. | | | 65,259 | |
| | 6,000 | | | J. Front Retailing Co., Ltd. | | | 47,527 | |
| | 400 | | | Kintetsu Department Store Co., Ltd. | | | 12,203 | |
| | 24,500 | | | Lifestyle International Holdings, Ltd.* | | | 19,474 | |
| | 73,250 | | | Marks & Spencer Group plc* | | | 136,772 | |
| | 1,300 | | | Marui Group Co., Ltd. | | | 22,875 | |
| | 30,000 | | | Metro Holdings, Ltd. | | | 16,226 | |
| | 47,139 | | | Myer Holdings, Ltd.* | | | 10,547 | |
| | 1,643 | | | Next plc* | | | 159,301 | |
| | 3,600 | | | Pan Pacific International Holdings Corp. | | | 83,168 | |
| | 4,800 | | | Ryohin Keikaku Co., Ltd. | | | 98,075 | |
| | 600 | | | Sanyo Electric Railway Co., Ltd. | | | 11,522 | |
| | 1,000 | | | Seria Co., Ltd. | | | 36,656 | |
| | 6,000 | | | Takashimaya Co., Ltd. | | | 51,591 | |
| | 3,557 | | | Tokmanni Group Corp. | | | 70,336 | |
| | 4,000 | | | Wing On Company International, Ltd. | | | 8,670 | |
| | | | | | | | |
| | | | | | | 1,481,826 | |
| | | | | | | | |
| Multi-Utilities (0.7%): | | | |
| | 3,187 | | | Acea SpA | | | 66,581 | |
| | 5,070 | | | AGL Energy, Ltd. | | | 46,739 | |
| | 4,521 | | | Algonquin Power & Utilities Corp. | | | 74,421 | |
| | 805 | | | Atco, Ltd. | | | 23,080 | |
| | 1,466 | | | Canadian Utilities, Ltd., Class A | | | 35,812 | |
| | 253,408 | | | Centrica plc* | | | 161,626 | |
| | 14,027 | | | E.ON SE | | | 155,329 | |
| | 12,449 | | | Engie Group | | | 190,585 | |
| | 5,714 | | | Hera SpA | | | 20,911 | |
| | 11,786 | | | Iren SpA | | | 30,577 | |
| | 33,157 | | | ITL AEM SpA | | | 52,786 | |
| | 110,123 | | | Keppel Infrastructure Trust | | | 45,403 | |
| | 3,784 | | | National Grid plc, ADR | | | 223,370 | |
| | 11,914 | | | Ren—Redes Energeticas Nacion | | | 34,486 | |
| | 8,606 | | | RWE AG | | | 363,434 | |
| | 7,455 | | | Suez | | | 147,754 | |
| | 3,114 | | | Telecom Plus plc | | | 60,956 | |
| | 6,009 | | | Vector, Ltd. | | | 18,374 | |
See accompanying notes to the financial statements.
25
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Multi-Utilities, continued | | | |
| | 5,040 | | | Veolia Environnement SA | | $ | 123,290 | |
| | | | | | | | |
| | | | | | | 1,875,514 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (4.1%): | | | |
| | 9,181 | | | Advantage Oil & Gas, Ltd.* | | | 12,336 | |
| | 24,155 | | | Africa Oil Corp.* | | | 21,447 | |
| | 2,005 | | | Aker BP ASA | | | 50,621 | |
| | 11,746 | | | Ampol, Ltd. | | | 257,560 | |
| | 7,200 | | | Anglo Pacific Group plc | | | 12,580 | |
| | 13,244 | | | ARC Resources, Ltd. | | | 62,437 | |
| | 18,809 | | | Athabasca Oil Corp.* | | | 2,512 | |
| | 2,064 | | | Baytex Energy Corp.* | | | 1,106 | |
| | 25,572 | | | Baytex Energy Corp.* | | | 13,864 | |
| | 103,499 | | | Beach Energy, Ltd. | | | 144,072 | |
| | 17,741 | | | Birchcliff Energy, Ltd. | | | 24,673 | |
| | 33,110 | | | BP plc, ADR | | | 679,417 | |
| | 173,000 | | | Brightoil Petroleum Holdings, Ltd.* | | | 6,278 | |
| | 610 | | | BW Energy, Ltd.* | | | 1,966 | |
| | 2,656 | | | BW LPG, Ltd.(a) | | | 18,261 | |
| | 26,063 | | | Cairn Energy plc* | | | 74,975 | |
| | 5,227 | | | Cameco Corp. | | | 70,042 | |
| | 8,446 | | | Cameco Corp. | | | 113,149 | |
| | 13,900 | | | Canacol Energy, Ltd. | | | 40,956 | |
| | 30,759 | | | Canadian Natural Resources, Ltd. | | | 739,308 | |
| | 16,028 | | | Canadian Natural Resources, Ltd. | | | 385,473 | |
| | 3,012 | | | Cardinal Energy, Ltd.* | | | 1,941 | |
| | 11,375 | | | Cenovus Energy, Inc. | | | 68,705 | |
| | 7,600 | | | Cenovus Energy, Inc. | | | 46,280 | |
| | 13,100 | | | China Aviation Oil Singapore Corp., Ltd. | | | 10,511 | |
| | 40,015 | | | Cooper Energy, Ltd.* | | | 12,038 | |
| | 2,400 | | | Cosmo Energy Holdings Co., Ltd. | | | 42,830 | |
| | 8,781 | | | Crescent Point Energy | | | 20,548 | |
| | 7,561 | | | Crescent Point Energy Corp. | | | 17,645 | |
| | 8,223 | | | Crew Energy, Inc.* | | | 3,618 | |
| | 854 | | | CropEnergies AG | | | 12,416 | |
| | 252 | | | Delek Group, Ltd.* | | | 7,831 | |
| | 39,162 | | | DNO ASA* | | | 31,313 | |
| | 7,379 | | | Enagas SA | | | 162,010 | |
| | 7,622 | | | Enbridge, Inc. | | | 243,806 | |
| | 31,200 | | | ENEOS Holdings, Inc. | | | 112,184 | |
| | 13,800 | | | Enerplus Corp. | | | 43,155 | |
| | 19,469 | | | ENI SpA | | | 201,504 | |
| | 114,028 | | | EnQuest plc* | | | 17,487 | |
| | 19,194 | | | Equinor ASA | | | 318,975 | |
| | 1,004 | | | Equital, Ltd.* | | | 26,253 | |
| | 1,390 | | | Etablissements Maurel et Prom SA* | | | 2,952 | |
| | 9,112 | | | Euronav NV | | | 73,478 | |
| | 1,579 | | | Exmar NV* | | | 5,308 | |
| | 1,267 | | | FLEX LNG, Ltd. | | | 11,120 | |
| | 3,700 | | | Freehold Royalties, Ltd. | | | 15,147 | |
| | 1,400 | | | Frontera Energy Corp. | | | 3,531 | |
| | 3,784 | | | Frontline, Ltd. | | | 24,001 | |
| | 3,100 | | | Fuji Oil Co., Ltd. | | | 5,145 | |
| | 4,922 | | | Galp Energia SGPS SA | | | 52,644 | |
| | 891 | | | Gaztransport et Technigaz SA | | | 86,210 | |
| | 6,249 | | | Genel Energy plc | | | 12,347 | |
| | 7,750 | | | Gibson Energy, Inc. | | | 125,198 | |
| | 19,607 | | | Gran Tierra Energy, Inc.* | | | 7,241 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 18,883 | | | Gulf Keystone Petroleum, Ltd.* | | $ | 31,619 | |
| | 4,281 | | | Hoegh Lng Holdings, Ltd. | | | 7,657 | |
| | 11,767 | | | Husky Energy, Inc. | | | 58,248 | |
| | 3,200 | | | Idemitsu Kosan Co., Ltd. | | | 70,470 | |
| | 3,270 | | | Imperial Oil, Ltd. | | | 62,075 | |
| | 1,542 | | | Imperial Oil, Ltd. | | | 29,344 | |
| | 25,400 | | | INPEX Corp. | | | 137,282 | |
| | 12,682 | | | Inter Pipeline, Ltd. | | | 118,280 | |
| | 2,244 | | | International Petroleum Corp.* | | | 4,955 | |
| | 3,600 | | | Itochu Enex Co., Ltd. | | | 35,434 | |
| | 1,000 | | | Japan Petroleum Exploration Co., Ltd. | | | 18,184 | |
| | 24,713 | | | Karoon Energy, Ltd.* | | | 20,199 | |
| | 7,300 | | | Kelt Exploration, Ltd.* | | | 10,325 | |
| | 7,446 | | | Keyera Corp. | | | 132,340 | |
| | 3,082 | | | Koninklijke Vopak NV | | | 161,594 | |
| | 2,011 | | | Lundin Energy AB | | | 54,329 | |
| | 10,707 | | | MEG Energy Corp.* | | | 37,437 | |
| | 1,700 | | | Mitsuuroko Holdings Co., Ltd. | | | 21,986 | |
| | 1,502 | | | Naphtha Israel Petroleum Corp.* | | | 7,205 | |
| | 5,006 | | | Neste Oyj | | | 361,584 | |
| | 14,065 | | | New Hope Corp., Ltd. | | | 15,344 | |
| | 7,392 | | | New Zealand Refining Co., Ltd. (The)* | | | 2,921 | |
| | 64,000 | | | NewOcean Energy Holdings, Ltd.* | | | 5,783 | |
| | 21,200 | | | Nippon Coke & Engineering Co., Ltd. | | | 18,279 | |
| | 7,654 | | | Nuvista Energy, Ltd.* | | | 5,653 | |
| | 104,047 | | | Oil Refineries, Ltd.* | | | 23,613 | |
| | 29,438 | | | Oil Search, Ltd. | | | 84,225 | |
| | 2,596 | | | OMV AG | | | 104,791 | |
| | 12,681 | | | Origin Energy, Ltd. | | | 46,597 | |
| | 211 | | | Ovintiv, Inc. | | | 3,030 | |
| | 2,632 | | | Ovintiv, Inc. | | | 37,825 | |
| | 1,307 | | | Paramount Resouces, Ltd., Class A* | | | 5,135 | |
| | 7,663 | | | Parex Resources, Inc.* | | | 105,489 | |
| | 5,800 | | | Parkland Corp. | | | 184,067 | |
| | 300 | | | Paz Oil Co., Ltd. | | | 32,211 | |
| | 6,783 | | | Pembina Pipeline Corp. | | | 160,421 | |
| | 1,584 | | | Pembina Pipeline Corp. | | | 37,477 | |
| | 6,660 | | | Peyto Exploration & Development Corp. | | | 15,280 | |
| | 12,892 | | | Pharos Energy plc* | | | 3,279 | |
| | 5,032 | | | Prairiesky Royalty, Ltd. | | | 39,894 | |
| | 61,033 | | | Premier Oil plc*^ | | | 16,389 | |
| | 19,231 | | | Repsol SA | | | 193,844 | |
| | 32,725 | | | Royal Dutch Shell plc, Class B, ADR | | | 1,099,887 | |
| | 1,600 | | | Sala Corp. | | | 8,857 | |
| | 4,000 | | | San-Ai Oil Co., Ltd. | | | 43,366 | |
| | 42,733 | | | Santos, Ltd. | | | 206,625 | |
| | 27,521 | | | Saras SpA* | | | 19,841 | |
| | 59,700 | | | Senex Energy, Ltd.* | | | 14,486 | |
| | 8,575 | | | Serica Energy plc | | | 13,488 | |
| | 13,762 | | | Seven Generations Energy* | | | 71,475 | |
| | 400 | | | Sinanen Holdings Co., Ltd. | | | 11,489 | |
| | 24,674 | | | Snam SpA | | | 138,541 | |
| | 13,802 | | | Stobart Group, Ltd.* | | | 4,914 | |
| | 10,673 | | | Suncor Energy, Inc. | | | 179,093 | |
| | 16,600 | | | Tamarack Valley Energy, Ltd.* | | | 16,565 | |
| | 7,061 | | | TC Energy Corp. | | | 287,111 | |
| | 3,152 | | | TC Energy Corp. | | | 128,349 | |
See accompanying notes to the financial statements.
26
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 13,400 | | | Tidewater Midstream and Infrastructure, Ltd. | | $ | 8,634 | |
| | 8,990 | | | Torc Oil & Gas, Ltd.* | | | 19,284 | |
| | 1,559 | | | Torm plc | | | 11,446 | |
| | 18,592 | | | TOTAL SE | | | 801,921 | |
| | 11,630 | | | Tourmaline Oil Corp. | | | 156,809 | |
| | 103,509 | | | Tullow Oil plc*^ | | | 41,479 | |
| | 3,072 | | | Verbio Vereinigte Bioenergie AG | | | 115,231 | |
| | 5,883 | | | Vermilion Energy, Inc. | | | 26,256 | |
| | 25,105 | | | Viva Energy Group, Ltd.(a) | | | 36,984 | |
| | 12,328 | | | Whitecap Resources, Inc. | | | 47,076 | |
| | 31,393 | | | Whitehaven Coal, Ltd. | | | 39,822 | |
| | 7,528 | | | Woodside Petroleum, Ltd. | | | 132,000 | |
| | 12,631 | | | Z Energy, Ltd.* | | | 29,068 | |
| | | | | | | | |
| | | | | | | 10,790,596 | |
| | | | | | | | |
| Paper & Forest Products (0.7%): | | | |
| | 1,344 | | | Ahlstrom-Munksjo OYJ | | | 29,713 | |
| | 2,718 | | | Altri SGPS SA | | | 17,139 | |
| | 5,029 | | | Canfor Corp.* | | | 90,804 | |
| | 2,751 | | | Canfor Pulp Products, Inc.* | | | 17,681 | |
| | 600 | | | Daiken Corp. | | | 10,194 | |
| | 4,500 | | | Daio Paper Corp. | | | 87,447 | |
| | 8,317 | | | Ence Energia y Celulosa S.A* | | | 34,408 | |
| | 6,700 | | | Hokuetsu Corp. | | | 26,666 | |
| | 1,772 | | | Holmen AB, Class B | | | 84,983 | |
| | 4,627 | | | Interfor Corp.* | | | 86,418 | |
| | 5,272 | | | Metsa Board OYJ | | | 55,220 | |
| | 7,408 | | | Mondi plc | | | 174,816 | |
| | 15,833 | | | Navigator Co. SA (The) | | | 48,330 | |
| | 4,800 | | | Nippon Paper Industries Co., Ltd. | | | 55,754 | |
| | 1,028 | | | Norbord, Inc. | | | 44,393 | |
| | 18,200 | | | Oji Holdings Corp. | | | 103,687 | |
| | 1,598 | | | Semapa-Sociedade de Investimento E Gestao | | | 17,471 | |
| | 1,998 | | | Stella-Jones, Inc. | | | 72,655 | |
| | 11,332 | | | Stora Enso OYJ, Registered Shares, Class R | | | 216,397 | |
| | 10,437 | | | Svenska Cellulosa AB SCA, Class B* | | | 182,113 | |
| | 600 | | | Tokushu Tokai Paper Co., Ltd. | | | 29,064 | |
| | 7,431 | | | UPM-Kymmene OYJ | | | 276,433 | |
| | 1,416 | | | West Fraser Timber Co., Ltd. | | | 90,988 | |
| | 24,618 | | | Western Forest Products, Inc.* | | | 24,759 | |
| | | | | | | | |
| | | | | | | 1,877,533 | |
| | | | | | | | |
| Personal Products (0.7%): | | | |
| | 18,108 | | | Asaleo Care, Ltd. | | | 18,834 | |
| | 287 | | | Beiersdorf AG | | | 33,085 | |
| | 16,000 | | | Best World International, Ltd. | | | 3,061 | |
| | 535 | | | Blackmores, Ltd.* | | | 31,168 | |
| | 800 | | | Fancl Corp. | | | 31,955 | |
| | 1,514 | | | Jamieson Wellness, Inc. | | | 42,980 | |
| | 3,900 | | | Kao Corp. | | | 301,572 | |
| | 200 | | | Kose Corp. | | | 34,186 | |
| | 705 | | | L’Oreal SA | | | 267,835 | |
| | 400 | | | Milbon Co., Ltd. | | | 25,520 | |
| | 1,000 | | | Noevir Holdings Co., Ltd. | | | 44,315 | |
| | 2,645 | | | Ontex Group NV* | | | 35,573 | |
| | 1,400 | | | Shiseido Co., Ltd. | | | 97,127 | |
| | 14,440 | | | Unilever plc, ADR | | | 871,598 | |
| | 1,324 | | | Unilever plc | | | 79,690 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Personal Products, continued | | | |
| | 1,300 | | | Ya-Man, Ltd. | | $ | 23,597 | |
| | | | | | | | |
| | | | | | | 1,942,096 | |
| | | | | | | | |
| Pharmaceuticals (3.8%): | | | |
| | 172 | | | Alk-Abello A/S* | | | 70,722 | |
| | 15,687 | | | Alliance Pharma plc | | | 18,785 | |
| | 1,907 | | | Almirall SA | | | 25,383 | |
| | 1,900 | | | Aska Pharmaceutical Co., Ltd. | | | 29,471 | |
| | 17,900 | | | Astellas Pharma, Inc. | | | 276,765 | |
| | 15,563 | | | AstraZeneca plc, ADR | | | 777,994 | |
| | 491 | | | Aurora Cannabis, Inc.* | | | 4,089 | |
| | 6,200 | | | Bausch Health Cos., Inc.* | | | 128,657 | |
| | 1,145 | | | Bausch Health Cos., Inc.* | | | 23,816 | |
| | 10,652 | | | Bayer AG, Registered Shares | | | 626,020 | |
| | 1,600 | | | Canopy Growth Corp.* | | | 39,375 | |
| | 1,800 | | | Chugai Pharmaceutical Co., Ltd. | | | 96,114 | |
| | 411 | | | COSMO Pharmaceuticals NV* | | | 39,459 | |
| | 900 | | | Daiichi Sankyo Co., Ltd. | | | 30,857 | |
| | 700 | | | Eisai Co., Ltd. | | | 50,092 | |
| | 10,617 | | | Faes Farma SA | | | 45,211 | |
| | 700 | | | Fuji Pharma Co., Ltd. | | | 8,466 | |
| | 500 | | | Fuso Pharmaceutical Industries. Ltd. | | | 13,586 | |
| | 1,668 | | | Galenica AG(a) | | | 111,156 | |
| | 14,120 | | | GlaxoSmithKline plc, ADR | | | 519,616 | |
| | 3,801 | | | GlaxoSmithKline plc | | | 69,636 | |
| | 1,384 | | | H. Lundbeck A/S | | | 47,417 | |
| | 4,800 | | | Haw Par Corp., Ltd. | | | 38,916 | |
| | 1,551 | | | Hikma Pharmaceuticals plc | | | 53,419 | |
| | 26,202 | | | Indivior plc* | | | 39,200 | |
| | 701 | | | Ipsen SA | | | 58,277 | |
| | 1,000 | | | Kaken Pharmaceutical Co., Ltd. | | | 38,701 | |
| | 1,000 | | | Kissei Pharmaceutical Co., Ltd. | | | 21,707 | |
| | 98,378 | | | Mayne Pharma Group, Ltd.* | | | 26,215 | |
| | 3,200 | | | Nichi-Iko Pharmaceutical Co., Ltd. | | | 30,218 | |
| | 13,596 | | | Novartis AG, Registered Shares | | | 1,284,588 | |
| | 16,888 | | | Novo Nordisk A/S, Class B | | | 1,181,433 | |
| | 1,000 | | | Ono Pharmaceutical Co., Ltd. | | | 30,141 | |
| | 1,037 | | | Orion OYJ | | | 47,235 | |
| | 4,471 | | | Orion OYJ, Class B | | | 204,922 | |
| | 2,000 | | | Otsuka Holdings Co., Ltd. | | | 85,763 | |
| | 2,424 | | | Recipharm AB* | | | 64,829 | |
| | 3,141 | | | Recordati SpA | | | 173,582 | |
| | 5,605 | | | Roche Holding AG | | | 1,956,292 | |
| | 216 | | | Roche Holding AG | | | 75,635 | |
| | 2,000 | | | Rohto Pharmaceutical Co., Ltd. | | | 59,287 | |
| | 4,419 | | | Sanofi | | | 426,911 | |
| | 1,600 | | | Santen Pharmaceutical Co., Ltd. | | | 25,995 | |
| | 800 | | | Sawai Pharmaceutical Co., Ltd. | | | 36,301 | |
| | 1,300 | | | Seikagaku Corp. | | | 12,825 | |
| | 1,000 | | | Shionogi & Co., Ltd. | | | 54,670 | |
| | 3,200 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 47,218 | |
| | 800 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 53,945 | |
| | 7,400 | | | Takeda Pharmacuetical Co., Ltd. | | | 268,301 | |
| | 4,979 | | | Teva Pharmaceutical Industries, Ltd., ADR* | | | 48,047 | |
| | 3,519 | | | Teva Pharmaceutical Industries, Ltd.* | | | 33,998 | |
| | 800 | | | Torii Pharmaceutical Co., Ltd. | | | 24,992 | |
| | 1,200 | | | Towa Pharmaceutical Co., Ltd. | | | 22,299 | |
| | 1,400 | | | Tsumura & Co. | | | 42,093 | |
See accompanying notes to the financial statements.
27
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Pharmaceuticals, continued | | | |
| | 766 | | | UCB SA | | $ | 79,165 | |
| | 26,000 | | | United Laboratories International Holdings, Ltd. | | | 18,480 | |
| | 34,791 | | | Vectura Group plc* | | | 59,752 | |
| | 209 | | | Vetoquinol SA | | | 21,265 | |
| | 1,434 | | | Vifor Pharma AG | | | 226,134 | |
| | 146 | | | Virbac SA* | | | 42,445 | |
| | | | | | | | |
| | | | | | | 10,067,883 | |
| | | | | | | | |
| Professional Services (2.1%): | | | |
| | 4,336 | | | Adecco SA, Registered Shares | | | 290,838 | |
| | 2,215 | | | AF Poyry AB* | | | 67,767 | |
| | 1,278 | | | Akka Technologies SA* | | | 40,272 | |
| | 7,788 | | | ALS, Ltd. | | | 57,738 | |
| | 770 | | | Altech Corp. | | | 15,669 | |
| | 101 | | | Amadeus Fire AG* | | | 14,834 | |
| | 1,825 | | | Applus Services SA* | | | 20,125 | |
| | 400 | | | Baycurrent Consulting, Inc. | | | 70,322 | |
| | 1,100 | | | Benefit One, Inc. | | | 32,582 | |
| | 1,800 | | | BeNEXT Group Inc. | | | 22,317 | |
| | 372 | | | Bertrandt AG | | | 17,979 | |
| | 7,058 | | | Bureau Veritas SA | | | 187,712 | |
| | 26,624 | | | Capita plc* | | | 14,288 | |
| | 180 | | | Danel Adir Yeoshua, Ltd. | | | 29,729 | |
| | 1,879 | | | DKSH Holding, Ltd. | | | 140,549 | |
| | 900 | | | EN-Japan, Inc. | | | 27,008 | |
| | 9,003 | | | Experian plc | | | 343,008 | |
| | 1,200 | | | FULLCAST Holdings Co., Ltd. | | | 18,714 | |
| | 900 | | | Funai Soken Holdings, Inc. | | | 22,021 | |
| | 175 | | | Groupe Crit* | | | 13,361 | |
| | 64,363 | | | Hays plc | | | 125,946 | |
| | 2,680 | | | Intertek Group plc | | | 207,072 | |
| | 3,227 | | | Intertrust NV*(a) | | | 54,755 | |
| | 300 | | | IR Japan Holdings, Ltd. | | | 48,034 | |
| | 1,000 | | | Jac Recruitment Co., Ltd. | | | 18,370 | |
| | 3,994 | | | McMillan Shakespeare, Ltd. | | | 38,182 | |
| | 1,100 | | | Meitec Corp. | | | 57,203 | |
| | 1,497 | | | Morneau Shepell, Inc. | | | 36,499 | |
| | 2,500 | | | Nihon M&A Center, Inc. | | | 167,325 | |
| | 3,600 | | | Nomura Co., Ltd. | | | 29,839 | |
| | 3,000 | | | Outsourcing, Inc. | | | 40,288 | |
| | 18,606 | | | Pagegroup plc* | | | 113,942 | |
| | 2,000 | | | Pasona Group, Inc. | | | 40,331 | |
| | 4,700 | | | Persol Holdings Co., Ltd. | | | 84,969 | |
| | 4,728 | | | Randstad NV | | | 307,733 | |
| | 9,800 | | | Recruit Holdings Co., Ltd. | | | 411,106 | |
| | 7,938 | | | RELX plc | | | 195,221 | |
| | 5,236 | | | RELX plc, ADR | | | 129,120 | |
| | 2,833 | | | Ricardo plc | | | 13,366 | |
| | 6,390 | | | Robert Walters plc | | | 41,235 | |
| | 4,254 | | | RWS Holdings plc | | | 31,168 | |
| | 1,561 | | | Seek, Ltd. | | | 34,361 | |
| | 91 | | | SGS SA, Registered Shares | | | 274,426 | |
| | 2,400 | | | SMS Co., Ltd. | | | 91,971 | |
| | 2,421 | | | Stantec, Inc. | | | 78,610 | |
| | 1,400 | | | Stantec, Inc. | | | 45,409 | |
| | 7,669 | | | SThree plc* | | | 31,279 | |
| | 1,100 | | | Tanseisha Co., Ltd. | | | 8,777 | |
| | 1,200 | | | Technopro Holdings, Inc. | | | 99,621 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Professional Services, continued | | | |
| | 1,377 | | | Teleperformance | | $ | 456,572 | |
| | 2,878 | | | Thomson Reuters Corp. | | | 235,679 | |
| | 1,065 | | | Tinexta SpA* | | | 27,297 | |
| | 1,100 | | | UT Group Co., Ltd.* | | | 34,319 | |
| | 5,882 | | | Wolters Kluwer NV | | | 496,395 | |
| | 600 | | | YAMADA Consulting Group Co., Ltd. | | | 5,743 | |
| | 3,100 | | | Yumeshin Holdings Co., Ltd. | | | 20,963 | |
| | | | | | | | |
| | | | | | | 5,579,959 | |
| | | | | | | | |
| Real Estate Management & Development (2.7%): | | | |
| | 2,434 | | | ADO Properties SA(a) | | | 86,219 | |
| | 3,100 | | | AEON Mall Co., Ltd. | | | 51,351 | |
| | 2,292 | | | Airport City, Ltd.* | | | 34,832 | |
| | 2,300 | | | Airport Facilities Co., Ltd. | | | 10,615 | |
| | 665 | | | Allreal Holding AG | | | 152,878 | |
| | 1,972 | | | Alony Hetz Properties & Invest | | | 27,657 | |
| | 492 | | | Alrov Properties And Lodgings, Ltd.* | | | 18,492 | |
| | 700 | | | Altus Group, Ltd. | | | 27,028 | |
| | 2,393 | | | Amot Investments, Ltd. | | | 13,444 | |
| | 2,116 | | | Annehem Fastigheter AB* | | | 8,144 | |
| | 7,879 | | | Aroundtown SA | | | 58,911 | |
| | 28,100 | | | Ascendas India Trust | | | 29,338 | |
| | 46,000 | | | Asia Standard International Group, Ltd.* | | | 5,460 | |
| | 3,461 | | | Atrium European Real Estate, Ltd. | | | 10,550 | |
| | 1,281 | | | Atrium Ljungberg AB, Class B | | | 26,988 | |
| | 4,500 | | | Bayside Land Corp. | | | 36,763 | |
| | 210 | | | Big Shopping Centers, Ltd.* | | | 23,372 | |
| | 3,700 | | | Bukit Sembawang Estates, Ltd. | | | 11,184 | |
| | 1,686 | | | CA Immobilien Anlagen AG | | | 64,248 | |
| | 18,900 | | | CapitaLand, Ltd. | | | 46,858 | |
| | 2,300 | | | Castellum AB | | | 58,344 | |
| | 854 | | | Catena AB | | | 40,000 | |
| | 2,826 | | | Cedar Woods Properties, Ltd. | | | 13,617 | |
| | 18,000 | | | Chinese Estates Holdings, Ltd. | | | 8,794 | |
| | 52,000 | | | Chuang’s Consortium International, Ltd. | | | 6,372 | |
| | 7,300 | | | City Developments, Ltd. | | | 44,060 | |
| | 1,684 | | | Citycon OYJ^ | | | 16,337 | |
| | 39,930 | | | CK Asset Holdings, Ltd. | | | 205,390 | |
| | 3,803 | | | CLS Holdings plc | | | 11,643 | |
| | 1,625 | | | Colliers International Group | | | 144,836 | |
| | 741 | | | Corestate Capital Holding SA* | | | 13,215 | |
| | 340,000 | | | CSI Properties, Ltd. | | | 10,272 | |
| | 1,700 | | | Daibiru Corp. | | | 21,565 | |
| | 1,200 | | | Daito Trust Construction Co., Ltd. | | | 112,250 | |
| | 11,500 | | | Daiwa House Industry Co., Ltd. | | | 343,321 | |
| | 887 | | | Deutsche Euroshop AG* | | | 19,994 | |
| | 3,542 | | | Deutsche Wohnen SE | | | 189,058 | |
| | 2,618 | | | Dic Asset AG | | | 42,843 | |
| | 2,651 | | | Dios Fastigheter AB | | | 24,751 | |
| | 1,450 | | | DREAM Unlimited Corp. | | | 24,210 | |
| | 34,000 | | | Emperor International Holdings | | | 4,825 | |
| | 2,667 | | | Entra ASA(a) | | | 60,582 | |
| | 3,263 | | | Fabege AB | | | 51,295 | |
| | 72,598 | | | Far East Consortium International, Ltd. | | | 26,977 | |
| | 687 | | | Fastighets AB Balder* | | | 35,910 | |
| | 1,147 | | | FirstService Corp. | | | 156,864 | |
| | 11,092 | | | Foxtons Group plc* | | | 8,347 | |
| | 16,000 | | | Frasers Property, Ltd. | | | 15,023 | |
See accompanying notes to the financial statements.
28
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Real Estate Management & Development, continued | | | |
| | 1,100 | | | Goldcrest Co., Ltd. | | $ | 17,148 | |
| | 17,039 | | | Grainger plc | | | 66,122 | |
| | 2,677 | | | Grand City Properties SA | | | 68,544 | |
| | 10,000 | | | Great Eagle Holdings, Ltd. | | | 27,486 | |
| | 17,100 | | | GuocoLand, Ltd. | | | 19,789 | |
| | 28,000 | | | Hang Lung Group, Ltd. | | | 69,662 | |
| | 24,984 | | | Hang Lung Properties, Ltd. | | | 66,127 | |
| | 1,200 | | | Heiwa Real Estate Co., Ltd. | | | 43,425 | |
| | 5,154 | | | Helical plc | | | 26,196 | |
| | 23,706 | | | Henderson Land Development Co., Ltd. | | | 92,553 | |
| | 37,840 | | | HKR International, Ltd. | | | 15,624 | |
| | 9,400 | | | Ho Bee Land, Ltd. | | | 17,000 | |
| | 18,500 | | | Hong Fok Corp., Ltd. | | | 10,368 | |
| | 21,600 | | | Hongkong Land Holdings, Ltd. | | | 89,231 | |
| | 2,049 | | | Hufvudstaden AB | | | 33,921 | |
| | 3,000 | | | Hulic Co., Ltd. | | | 32,996 | |
| | 11,000 | | | Hysan Development Co., Ltd. | | | 40,458 | |
| | 12,900 | | | Ichigo, Inc. | | | 38,837 | |
| | 242 | | | Immobel SA | | | 20,168 | |
| | 2,353 | | | IMMOFINANZ AG* | | | 48,794 | |
| | 1,754 | | | Instone Real Estate Group AG*(a) | | | 45,000 | |
| | 29 | | | Intershop Holdings AG | | | 20,150 | |
| | 2,000 | | | Invesque, Inc.* | | | 3,660 | |
| | 164 | | | Investis Holding SA | | | 16,897 | |
| | 25,000 | | | K Wah International Holdings Ltd. | | | 12,049 | |
| | 2,000 | | | Katitas Co., Ltd. | | | 64,545 | |
| | 8,200 | | | Kenedix, Inc. | | | 59,566 | |
| | 22,225 | | | Kerry Properties, Ltd. | | | 56,328 | |
| | 27,058 | | | Klovern AB | | | 51,140 | |
| | 3,150 | | | Kojamo Oyj | | | 69,499 | |
| | 26,000 | | | Kowloon Development Co., Ltd. | | | 27,174 | |
| | 3,796 | | | Kungsleden AB | | | 41,573 | |
| | 11,400 | | | Lai Sun Development Co., Ltd.* | | | 9,032 | |
| | 112,800 | | | Landing International Development, Ltd.* | | | 2,923 | |
| | 44,500 | | | Langham Hospitality Investment | | | 5,853 | |
| | 1,157 | | | LEG Immobilien AG | | | 179,357 | |
| | 7,615 | | | Lend Lease Group | | | 76,971 | |
| | 8,000 | | | Liu Chong Hing Investment, Ltd. | | | 7,267 | |
| | 4,644 | | | LSL Property Services plc* | | | 18,473 | |
| | 578 | | | Melisron, Ltd. | | | 31,497 | |
| | 59,000 | | | Mingfa Group International Co., Ltd.* | | | 428 | |
| | 4,800 | | | Mitsubishi Estate Co., Ltd. | | | 77,528 | |
| | 4,100 | | | Mitsui Fudosan Co., Ltd. | | | 86,432 | |
| | 9,306 | | | Mivne Real Estate KD, Ltd. | | | 24,053 | |
| | 255 | | | Mobimo Holding AG, Registered Shares | | | 82,501 | |
| | 100 | | | Morguard Corp. | | | 9,071 | |
| | 15,087 | | | New World Development Co., Ltd. | | | 70,296 | |
| | 2,193 | | | Nexity SA | | | 95,071 | |
| | 800 | | | Nippon Commercial Development Co., Ltd. | | | 13,013 | |
| | 1,700 | | | Nisshin Group Holdings Co., Ltd. | | | 6,958 | |
| | 3,200 | | | Nomura Real Estate Holdings, Inc. | | | 71,190 | |
| | 3,463 | | | Nyfosa AB* | | | 34,497 | |
| | 1,024 | | | Olav Thon Eiendomsselskap ASA* | | | 21,949 | |
| | 1,700 | | | Open House Co., Ltd. | | | 62,538 | |
| | 17,900 | | | Oue, Ltd. | | | 16,244 | |
| | 50,363 | | | Oxley Holdings, Ltd. | | | 8,187 | |
| | 25,655 | | | Pacific Century Premium Developments, Ltd.* | | | 2,713 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Real Estate Management & Development, continued | | | |
| | 1,449 | | | PATRIZIA AG | | $ | 46,468 | |
| | 1,195 | | | Platzer Fastigheter Holding AB, Class B | | | 15,606 | |
| | 94 | | | Plazza AG | | | 32,193 | |
| | 72,020 | | | Polytec Asset Holdings, Ltd. | | | 8,175 | |
| | 31,000 | | | Prospect Co., Ltd. | | | 9,008 | |
| | 948 | | | PSP Swiss Property AG | | | 126,810 | |
| | 700 | | | Raysum Co., Ltd. | | | 6,413 | |
| | 3,244 | | | Real Matters, Inc.* | | | 48,965 | |
| | 2,300 | | | Relo Group, Inc. | | | 55,793 | |
| | 977 | | | Sagax AB, Class B | | | 20,158 | |
| | 24,202 | | | Samhallsbyggnadsbolaget i Norden AB^ | | | 84,284 | |
| | 1,200 | | | SAMTY Co., Ltd. | | | 20,901 | |
| | 7,274 | | | Savills plc* | | | 94,438 | |
| | 1,875 | | | Selvaag Bolig ASA | | | 12,696 | |
| | 2,600 | | | Shinoken Group Co., Ltd. | | | 28,068 | |
| | 795 | | | Shurgard Self Storage SA | | | 34,483 | |
| | 100,800 | | | Sinarmas Land, Ltd. | | | 15,667 | |
| | 36,358 | | | Sino Land Co., Ltd. | | | 47,387 | |
| | 5,000 | | | Soundwill Holdings, Ltd. | | | 4,559 | |
| | 8,938 | | | St. Modwen Properties plc | | | 48,551 | |
| | 2,700 | | | Sumitomo Realty & Development Co., Ltd. | | | 83,438 | |
| | 1,493 | | | Summit Real Estate Holdings, Ltd.* | | | 22,320 | |
| | 1,800 | | | Sun Frontier Fudousan Co., Ltd. | | | 15,586 | |
| | 5,921 | | | Sun Hung Kai Properties, Ltd. | | | 76,444 | |
| | 10,646 | | | Swire Pacific, Ltd., Class A | | | 59,199 | |
| | 17,500 | | | Swire Pacific, Ltd., Class B | | | 16,395 | |
| | 13,600 | | | Swire Properties, Ltd. | | | 39,634 | |
| | 2,643 | | | Swiss Prime Site AG | | | 259,928 | |
| | 1,994 | | | TAG Immobilien AG | | | 63,028 | |
| | 21,000 | | | TAI Cheung Holdings, Ltd. | | | 12,804 | |
| | 4,200 | | | Takara Leben Co., Ltd. | | | 12,509 | |
| | 15,153 | | | The Wharf Holdings, Ltd. | | | 40,816 | |
| | 2,900 | | | Toc Co., Ltd. | | | 19,584 | |
| | 6,400 | | | Tokyo Tatemono Co., Ltd. | | | 88,374 | |
| | 9,000 | | | Tokyu Fudosan Holdings Corp. | | | 48,108 | |
| | 2,400 | | | Tosei Corp. | | | 27,536 | |
| | 2,676 | | | Tricon Residential, Inc. | | | 24,033 | |
| | 6,860 | | | U & I Group plc* | | | 5,787 | |
| | 213 | | | UBM Development AG | | | 9,315 | |
| | 16,200 | | | UOL Group, Ltd. | | | 94,741 | |
| | 2,545 | | | Vonovia SE | | | 185,563 | |
| | 3,228 | | | Wallenstam AB | | | 51,244 | |
| | 6 | | | Warteck Invest AG | | | 16,137 | |
| | 6,203 | | | Watkin Jones plc | | | 15,531 | |
| | 17,829 | | | Wharf Real Estate Investment Co., Ltd. | | | 92,965 | |
| | 2,034 | | | Wihlborgs Fastigheter AB | | | 45,949 | |
| | 20,700 | | | Wing Tai Holdings, Ltd. | | | 30,587 | |
| | 16,000 | | | Wing Tai Properties, Ltd. | | | 7,388 | |
| | 17 | | | Zug Estates Holding AG | | | 38,940 | |
| | | | | | | | |
| | | | | | | 7,045,605 | |
| | | | | | | | |
| Road & Rail (1.4%): | | | |
| | 8,566 | | | A2B Australia, Ltd. | | | 7,926 | |
| | 52,525 | | | Aurizon Holdings, Ltd. | | | 158,043 | |
| | 400 | | | Canadian National Railway Co. | | | 43,982 | |
| | 5,353 | | | Canadian National Railway Co. | | | 588,027 | |
| | 1,009 | | | Canadian Pacific Railway, Ltd. | | | 349,810 | |
| | 800 | | | Central Japan Railway Co. | | | 113,647 | |
See accompanying notes to the financial statements.
29
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Road & Rail, continued | | | |
| | 1,200 | | | Chilled & Frozen Logistics Holdings Co., Ltd. | | $ | 23,681 | |
| | 52,900 | | | ComfortDelGro Corp., Ltd. | | | 66,924 | |
| | 502 | | | DSV PANALPINA A/S | | | 84,026 | |
| | 1,700 | | | East Japan Railway Co. | | | 113,814 | |
| | 8,727 | | | Europcar Mobility Group*^(a) | | | 8,004 | |
| | 64,976 | | | FirstGroup plc* | | | 64,839 | |
| | 1,500 | | | Fukuyama Transporting Co., Ltd. | | | 63,261 | |
| | 4,083 | | | Go-Ahead Group plc* | | | 54,974 | |
| | 1,000 | | | Hamakyorex Co., Ltd. | | | 28,440 | |
| | 2,400 | | | Hankyu Hanshin Holdings, Inc. | | | 80,033 | |
| | 2,200 | | | Hitachi Transport System, Ltd. | | | 65,524 | |
| | 1,100 | | | Ichinen Holdings Co., Ltd. | | | 13,501 | |
| | 206 | | | Jungfraubahn Holding AG, Registered Shares* | | | 31,927 | |
| | 2,500 | | | Keikyu Corp. | | | 43,004 | |
| | 700 | | | Keio Corp. | | | 54,356 | |
| | 1,200 | | | Keisei Electric Railway Co., Ltd. | | | 40,697 | |
| | 1,500 | | | Kintetsu Group Holdings Co., Ltd. | | | 65,836 | |
| | 400 | | | Maruzen Showa Unyu Co., Ltd. | | | 13,504 | |
| | 7,711 | | | MTR Corp., Ltd. | | | 43,134 | |
| | 1,900 | | | Nagoya Railroad Co., Ltd. | | | 50,179 | |
| | 2,400 | | | Nankai Electric Railway Co., Ltd. | | | 61,118 | |
| | 22,771 | | | National Express Group plc* | | | 73,984 | |
| | 2,200 | | | Nikkon Holdings Co., Ltd. | | | 44,155 | |
| | 1,800 | | | Nippon Express Co., Ltd. | | | 121,119 | |
| | 1,300 | | | Nishi-Nippon Railroad Co., Ltd. | | | 38,493 | |
| | 5,199 | | | Nobina AB*(a) | | | 43,443 | |
| | 2,800 | | | Odakyu Electric Railway Co., Ltd. | | | 88,028 | |
| | 13,546 | | | Redde Northgate plc | | | 48,868 | |
| | 500 | | | Sakai Moving Service Co., Ltd. | | | 25,287 | |
| | 2,300 | | | Sankyu, Inc. | | | 87,281 | |
| | 5,400 | | | Seino Holdings Co., Ltd. | | | 76,229 | |
| | 6,400 | | | Senko Group Holdings Co., Ltd. | | | 62,495 | |
| | 975 | | | Sixt SE | | | 68,385 | |
| | 721 | | | Sixt SE* | | | 86,307 | |
| | 2,000 | | | Sotetsu Holdings, Inc. | | | 48,088 | |
| | 31,768 | | | Stagecoach Group plc | | | 32,156 | |
| | 278 | | | Stef S.A. | | | 24,718 | |
| | 5,161 | | | Tfi International, Inc. | | | 265,735 | |
| | 2,000 | | | Tobu Railway Co., Ltd. | | | 59,831 | |
| | 3,400 | | | Tokyu Corp. | | | 42,305 | |
| | 300 | | | Tonami Holdings Co., Ltd. | | | 17,362 | |
| | 3,913 | | | Tourism Holdings, Ltd.* | | | 7,317 | |
| | 600 | | | Trancom Co., Ltd. | | | 51,907 | |
| | 20,930 | | | Transport International Holdings, Ltd. | | | 40,456 | |
| | 1,100 | | | West Japan Railway Co. | | | 57,836 | |
| | | | | | | | |
| | | | | | | 3,843,996 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (1.9%): | | | |
| | 1,800 | | | Advantest Corp. | | | 135,158 | |
| | 9,500 | | | Aem Holdings, Ltd. | | | 24,905 | |
| | 5,246 | | | ams AG* | | | 114,642 | |
| | 1,786 | | | ASM International NV | | | 390,410 | |
| | 8,119 | | | ASM Pacific Technology, Ltd. | | | 107,178 | |
| | 2,381 | | | ASML Holding NV, NYS | | | 1,161,261 | |
| | 3,418 | | | BE Semiconductor Industries NV | | | 205,881 | |
| | 45,000 | | | BOE Varitronix, Ltd. | | | 16,548 | |
| | 1,206 | | | Camtek, Ltd./Israel* | | | 26,922 | |
| | 2,291 | | | Dialog Semiconductor plc* | | | 125,089 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 279 | | | Elmos Semiconductor SE | | $ | 9,362 | |
| | 2,300 | | | Ferrotec Holdings Corp. | | | 39,349 | |
| | 438 | | | First Sensor AG | | | 21,616 | |
| | 6,949 | | | Infineon Technologies AG | | | 266,645 | |
| | 2,200 | | | Japan Material Co., Ltd. | | | 30,213 | |
| | 1,400 | | | Lasertec Corp. | | | 164,711 | |
| | 1,090 | | | Melexis NV | | | 106,371 | |
| | 800 | | | Mimasu Semiconductor Industry | | | 20,043 | |
| | 500 | | | Mitsui High-Tec, Inc. | | | 18,809 | |
| | 1,078 | | | Nova Measuring Instruments, Ltd.* | | | 76,408 | |
| | 1,100 | | | Optorun Co., Ltd. | | | 22,515 | |
| | 9,700 | | | Renesas Electronics Corp.* | | | 101,796 | |
| | 700 | | | ROHM Co., Ltd. | | | 67,907 | |
| | 1,600 | | | Sanken Electric Co., Ltd. | | | 69,455 | |
| | 400 | | | Screen Holdings Co., Ltd. | | | 29,568 | |
| | 300 | | | Shindengen Electric Manufacturing Co., Ltd. | | | 7,467 | |
| | 2,100 | | | Shinko Electric Industries Co., Ltd. | | | 48,160 | |
| | 992 | | | Siltronic AG^ | | | 155,229 | |
| | 285 | | | SMA Solar Technology AG* | | | 19,475 | |
| | 823 | | | Soitec* | | | 160,331 | |
| | 6,646 | | | STMicroelectronics NV | | | 246,204 | |
| | 1,086 | | | SUESS MicroTec SE* | | | 25,076 | |
| | 10,600 | | | SUMCO Corp. | | | 232,765 | |
| | 1,100 | | | Tokyo Electron, Ltd. | | | 410,344 | |
| | 800 | | | Tokyo Seimitsu Co., Ltd. | | | 37,668 | |
| | 1,000 | | | Towa Corp. | | | 20,397 | |
| | 3,609 | | | Tower Semiconductor, Ltd.* | | | 93,184 | |
| | 300 | | | Tri Chemical Laboratories, Inc. | | | 48,473 | |
| | 386 | | | U-Blox AG | | | 25,657 | |
| | 1,300 | | | Ulvac, Inc. | | | 55,703 | |
| | 1,200 | | | Yamaichi Electronics Co., Ltd. | | | 18,057 | |
| | | | | | | | |
| | | | | | | 4,956,952 | |
| | | | | | | | |
| Software (1.2%): | | | |
| | 1,800 | | | Access Co., Ltd.^ | | | 12,832 | |
| | 3,669 | | | Altium, Ltd. | | | 96,018 | |
| | 3,980 | | | Avast plc(a) | | | 29,272 | |
| | 1,040 | | | AVEVA Group plc | | | 45,396 | |
| | 1,040 | | | Axway Software SA* | | | 34,299 | |
| | 18,254 | | | BlackBerry, Ltd.* | | | 121,053 | |
| | 4,900 | | | Broadleaf Co., Ltd. | | | 32,333 | |
| | 500 | | | Computer Engineering & Consulting, Ltd. | | | 7,357 | |
| | 201 | | | Constellation Software, Inc. | | | 261,049 | |
| | 1,400 | | | Cresco, Ltd. | | | 17,794 | |
| | 1,200 | | | Cybozu, Inc. | | | 29,884 | |
| | 323 | | | Dassault Systemes SA | | | 65,607 | |
| | 764 | | | Descartes Systems Group, Inc.* | | | 44,679 | |
| | 300 | | | Digital Arts, Inc. | | | 27,696 | |
| | 2,000 | | | Enghouse Systems, Ltd. | | | 96,881 | |
| | 800 | | | Fuji Soft, Inc. | | | 40,035 | |
| | 8,509 | | | Hansen Technology, Ltd. | | | 24,449 | |
| | 916 | | | Hilan, Ltd. | | | 43,537 | |
| | 7,600 | | | Infomart Corp. | | | 72,595 | |
| | 16,011 | | | Infomedia, Ltd. | | | 23,831 | |
| | 7,858 | | | Integrated Research, Ltd. | | | 16,123 | |
| | 5,301 | | | IRESS, Ltd. | | | 43,397 | |
| | 600 | | | Justsystems Corp. | | | 41,531 | |
| | 400 | | | Kinaxis, Inc.* | | | 56,679 | |
See accompanying notes to the financial statements.
30
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Software, continued | | | |
| | 1,361 | | | Lectra | | $ | 41,702 | |
| | 172 | | | Linedata Services | | | 5,946 | |
| | 1,195 | | | Magic Software Enterprises, Ltd. | | | 18,955 | |
| | 8,235 | | | Micro Focus International plc, ADR | | | 47,022 | |
| | 500 | | | Miroku Jyoho Service Co., Ltd. | | | 10,160 | |
| | 1,788 | | | Nemetschek SE | | | 131,948 | |
| | 249 | | | Netcompany Group A/S*(a) | | | 25,433 | |
| | 363 | | | NICE Systems, Ltd.* | | | 102,627 | |
| | 3,485 | | | Open Text Corp. | | | 158,428 | |
| | 600 | | | Open Text Corp. | | | 27,268 | |
| | 400 | | | Oracle Corp. | | | 52,057 | |
| | 2,900 | | | Rakus Co., Ltd. | | | 66,838 | |
| | 3,268 | | | Sage Group plc | | | 26,026 | |
| | 3,190 | | | SAP SE | | | 419,139 | |
| | 1,391 | | | SimCorp A/S | | | 206,643 | |
| | 1,731 | | | Software AG | | | 70,513 | |
| | 500 | | | SRA Holdings | | | 12,717 | |
| | 2,100 | | | Systena Corp. | | | 44,066 | |
| | 8,525 | | | Technology One, Ltd. | | | 53,842 | |
| | 1,295 | | | Temenos AG | | | 180,759 | |
| | 374 | | | Topicus.com, Inc.* | | | 1,413 | |
| | 1,900 | | | Trend Micro, Inc. | | | 109,402 | |
| | 12,001 | | | Vista Group International, Ltd. | | | 14,545 | |
| | | | | | | | |
| | | | | | | 3,111,776 | |
| | | | | | | | |
| Specialty Retail (1.6%): | | | |
| | 400 | | | ABC-Mart, Inc. | | | 22,260 | |
| | 16,866 | | | Accent Group, Ltd. | | | 30,048 | |
| | 10,400 | | | Adairs, Ltd. | | | 26,540 | |
| | 1,300 | | | Adastria Co., Ltd. | | | 26,100 | |
| | 900 | | | Alpen Co., Ltd. | | | 20,638 | |
| | 34,842 | | | AMA Group, Ltd.* | | | 21,497 | |
| | 2,600 | | | Aoki Holdings, Inc. | | | 13,026 | |
| | 2,800 | | | Aoyama Trading Co., Ltd. | | | 14,596 | |
| | 3,236 | | | AP Eagers, Ltd. | | | 33,181 | |
| | 1,900 | | | Arcland Sakamoto Co., Ltd. | | | 31,533 | |
| | 2,500 | | | Autobacs Seven Co., Ltd. | | | 34,589 | |
| | 1,813 | | | Autocanada, Inc.* | | | 33,633 | |
| | 2,300 | | | BIC Camera, Inc. | | | 25,548 | |
| | 4,193 | | | Bilia AB, Class A* | | | 51,670 | |
| | 3,245 | | | Byggmax Group AB* | | | 20,212 | |
| | 2,609 | | | Carasso Motors, Ltd. | | | 11,578 | |
| | 16,294 | | | Card Factory plc* | | | 9,525 | |
| | 3,919 | | | Ceconomy AG* | | | 27,131 | |
| | 800 | | | Chiyoda Co., Ltd. | | | 7,098 | |
| | 18,000 | | | Chow Sang Sang Holdings International, Ltd. | | | 20,440 | |
| | 31,200 | | | Chow Tai Fook Jewellery Group, Ltd. | | | 39,389 | |
| | 4,700 | | | DCM Holdings Co., Ltd. | | | 53,583 | |
| | 39,375 | | | Dixons Carphone plc* | | | 62,708 | |
| | 2,720 | | | Dufry AG, Registered Shares* | | | 169,406 | |
| | 5,185 | | | Dunelm Group plc* | | | 86,060 | |
| | 4,900 | | | Edion Corp. | | | 49,785 | |
| | 77,300 | | | Esprit Holdings, Ltd.* | | | 11,273 | |
| | 400 | | | Fast Retailing Co., Ltd. | | | 358,990 | |
| | 104 | | | Fenix Outdoor International AG* | | | 12,975 | |
| | 1,290 | | | Fielmann AG* | | | 104,716 | |
| | 878 | | | Fnac Darty SA* | | | 56,561 | |
| | 9,000 | | | Frasers Group plc* | | | 55,072 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Specialty Retail, continued | | | |
| | 2,300 | | | Geo Holdings Corp. | | $ | 26,996 | |
| | 130,000 | | | Giordano International, Ltd. | | | 19,120 | |
| | 1,946 | | | Grandvision BV*(a) | | | 60,660 | |
| | 13,359 | | | Halfords Group plc* | | | 48,744 | |
| | 8,861 | | | Hennes & Mauritz AB, Class B* | | | 185,177 | |
| | 300 | | | Hikari Tsushin, Inc. | | | 70,158 | |
| | 483 | | | Hornbach Baumarkt AG | | | 21,024 | |
| | 721 | | | Hornbach Holding AG & Co. KGaA | | | 69,318 | |
| | 22,000 | | | I.T, Ltd.* | | | 7,925 | |
| | 5,100 | | | Idom, Inc. | | | 27,073 | |
| | 5,629 | | | Industria de Diseno Textil SA | | | 179,215 | |
| | 4,862 | | | JB Hi-Fi, Ltd. | | | 182,278 | |
| | 13,842 | | | JD Sports Fashion plc* | | | 163,052 | |
| | 700 | | | JINS Holdings, Inc. | | | 46,039 | |
| | 1,500 | | | Joshin Denki Co., Ltd. | | | 39,631 | |
| | 26,469 | | | Kathmandu Holdings, Ltd.* | | | 24,364 | |
| | 1,700 | | | Keiyo Co., Ltd. | | | 12,092 | |
| | 39,018 | | | Kingfisher plc* | | | 144,359 | |
| | 900 | | | Kohnan Shoji Co., Ltd. | | | 28,084 | |
| | 1,600 | | | Komeri Co., Ltd. | | | 45,237 | |
| | 5,800 | | | K’s Holding Corp. | | | 80,684 | |
| | 2,366 | | | Leon’s Furniture, Ltd. | | | 38,352 | |
| | 15,750 | | | L’occitane International SA | | | 39,317 | |
| | 19,046 | | | Lookers plc* | | | 4,102 | |
| | 14,000 | | | Luk Fook Holdings International, Ltd. | | | 33,805 | |
| | 2,347 | | | Matas A/S* | | | 33,275 | |
| | 1,681 | | | Mekonomen AB* | | | 18,617 | |
| | 2,955 | | | Mobilezone Holding AG | | | 33,645 | |
| | 3,966 | | | Nick Scali, Ltd. | | | 29,512 | |
| | 1,900 | | | Nishimatsuya Chain Co., Ltd. | | | 27,227 | |
| | 400 | | | Nitori Co., Ltd. | | | 83,871 | |
| | 2,300 | | | Nojima Corp. | | | 63,176 | |
| | 28,290 | | | Oriental Watch Holdings | | | 9,674 | |
| | 1,400 | | | Pal Group Holdings Co., Ltd. | | | 16,602 | |
| | 76,677 | | | Pendragon plc* | | | 13,663 | |
| | 19,618 | | | Pets At Home Group plc | | | 111,610 | |
| | 2,736 | | | Premier Investments, Ltd. | | | 49,619 | |
| | 61,088 | | | SA SA International Holdings, Ltd.* | | | 9,539 | |
| | 1,800 | | | Shimachu Co., Ltd. | | | 95,537 | |
| | 400 | | | Shimamura Co., Ltd. | | | 41,968 | |
| | 9,886 | | | Super Retail Group, Ltd. | | | 80,299 | |
| | 3,968 | | | Superdry plc* | | | 13,380 | |
| | 900 | | | T-Gaia Corp. | | | 16,892 | |
| | 1,300 | | | United Arrows, Ltd. | | | 19,274 | |
| | 2,400 | | | USS Co., Ltd. | | | 48,557 | |
| | 240 | | | Valora Holding AG | | | 47,121 | |
| | 8,200 | | | VT Holdings Co., Ltd. | | | 33,925 | |
| | 4,080 | | | WHSmith plc | | | 84,327 | |
| | 300 | | | Workman Co., Ltd. | | | 25,608 | |
| | 800 | | | World Co., Ltd. | | | 9,726 | |
| | 700 | | | Xebio Holdings Co., Ltd. | | | 5,590 | |
| | 2,913 | | | XXL ASA*(a) | | | 6,570 | |
| | 10,200 | | | Yamada Holdings Co., Ltd. | | | 54,206 | |
| | 800 | | | Yellow Hat, Ltd. | | | 13,028 | |
| | | | | | | | |
| | | | | | | 4,234,205 | |
| | | | | | | | |
See accompanying notes to the financial statements.
31
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Technology Hardware, Storage & Peripherals (0.5%): | | | |
| | 6,400 | | | Brother Industries, Ltd. | | $ | 132,139 | |
| | 6,500 | | | Canon, Inc. | | | 124,840 | |
| | 700 | | | EIZO Corp. | | | 24,716 | |
| | 900 | | | Elecom Co., Ltd. | | | 46,514 | |
| | 2,700 | | | FUJIFILM Holdings Corp. | | | 142,419 | |
| | 19,300 | | | Konica Minolta, Inc. | | | 73,912 | |
| | 1,323 | | | Logitech International SA, Class R | | | 128,360 | |
| | 1,900 | | | Maxell Holdings, Ltd.* | | | 23,714 | |
| | 4,900 | | | Mcj Co., Ltd. | | | 52,668 | |
| | 5,300 | | | NEC Corp. | | | 283,818 | |
| | 1,300 | | | Noritsu Koki Co., Ltd. | | | 30,713 | |
| | 1,935 | | | Quadient | | | 37,363 | |
| | 10,400 | | | Ricoh Co., Ltd. | | | 68,292 | |
| | 600 | | | Roland Dg Corp.* | | | 10,913 | |
| | 2,197 | | | S&T AG | | | 51,450 | |
| | 7,600 | | | Seiko Epson Corp. | | | 112,983 | |
| | 1,200 | | | Toshiba Tec Corp. | | | 43,363 | |
| | 4,400 | | | Wacom Co., Ltd. | | | 36,919 | |
| | | | | | | | |
| | | | | | | 1,425,096 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.9%): | | | |
| | 1,248 | | | Adidas AG* | | | 454,252 | |
| | 3,137 | | | Aritzia, Inc.* | | | 63,568 | |
| | 1,500 | | | Asics Corp. | | | 28,690 | |
| | 287 | | | Bijou Brigitte AG* | | | 7,995 | |
| | 1,383 | | | Brunello Cucinelli SpA* | | | 60,036 | |
| | 6,313 | | | Burberry Group plc* | | | 154,611 | |
| | 364 | | | Calida Holding AG* | | | 13,128 | |
| | 408 | | | Canada Goose Holdings, Inc.*^ | | | 12,146 | |
| | 909 | | | Chargeurs SA | | | 19,591 | |
| | 3,825 | | | Cie Financiere Richemont SA | | | 345,753 | |
| | 35,102 | | | Coats Group plc* | | | 32,492 | |
| | 485 | | | Delta-Galil Industries, Ltd. | | | 12,299 | |
| | 829 | | | Fox Wizel, Ltd. | | | 83,290 | |
| | 2,382 | | | Gildan Activewear, Inc.* | | | 66,720 | |
| | 400 | | | Goldwin, Inc. | | | 26,388 | |
| | 900 | | | Gunze, Ltd. | | | 29,344 | |
| | 189 | | | Hermes International SA | | | 203,216 | |
| | 2,775 | | | Hugo Boss AG | | | 92,529 | |
| | 473 | | | Kering | | | 343,826 | |
| | 1,500 | | | Komatsu Matere Co., Ltd. | | | 14,968 | |
| | 700 | | | Kurabo Industries, Ltd. | | | 12,322 | |
| | 2,199 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 1,373,826 | |
| | 5,170 | | | Moncler SpA | | | 316,189 | |
| | 3,560 | | | New Wave Group AB | | | 23,583 | |
| | 5,000 | | | Onward Holdings Co., Ltd. | | | 10,044 | |
| | 9,893 | | | Ovs SpA*(a) | | | 12,722 | |
| | 44,000 | | | Pacific Textiles Holdings, Ltd. | | | 28,896 | |
| | 4,972 | | | Pandora A/S | | | 555,555 | |
| | 10,400 | | | Prada SpA* | | | 68,784 | |
| | 902 | | | Puma SE* | | | 101,687 | |
| | 73,200 | | | Samsonite International SA*(a) | | | 130,059 | |
| | 2,100 | | | Sankyo Seiko Co., Ltd. | | | 9,776 | |
| | 500 | | | Sanyo Shokai, Ltd. | | | 2,873 | |
| | 1,000 | | | Seiren Co., Ltd. | | | 15,146 | |
| | 17,500 | | | Stella International Holdings, Ltd. | | | 20,376 | |
| | 507 | | | Swatch Group AG (The), Class B | | | 138,230 | |
| | 1,258 | | | Swatch Group AG (The), Registered Shares | | | 66,426 | |
| | 2,999 | | | Ted Baker plc* | | | 4,716 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Textiles, Apparel & Luxury Goods, continued | | | |
| | 60,000 | | | Texwinca Holdings, Ltd. | | $ | 11,539 | |
| | 404 | | | Tod’s SpA* | | | 13,975 | |
| | 3,200 | | | Tsi Holdings Co., Ltd. | | | 6,388 | |
| | 5,500 | | | Unitika, Ltd.* | | | 21,040 | |
| | 2,000 | | | Wacoal Holdings Corp. | | | 40,294 | |
| | 45,514 | | | Yue Yuen Industrial Holdings, Ltd. | | | 94,819 | |
| | | | | | | | |
| | | | | | | 5,144,107 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.2%): | | | |
| | 1,484 | | | Aareal Bank AG* | | | 35,483 | |
| | 3,618 | | | Deutsche Pfandbriefbank AG*(a) | | | 38,797 | |
| | 615 | | | Equitable Group, Inc. | | | 48,806 | |
| | 1,100 | | | Firm Capital Mortgage Investment Corp. | | | 11,003 | |
| | 1,626 | | | Genworth MI Canada, Inc. | | | 55,460 | |
| | 16,190 | | | Genworth Mortgage Insurance AU | | | 29,844 | |
| | 2,112 | | | Home Capital Group, Inc.* | | | 49,286 | |
| | 3,861 | | | MyState, Ltd. | | | 14,704 | |
| | 9,478 | | | OSB Group plc* | | | 54,895 | |
| | 10,978 | | | Paragon Banking Group plc | | | 73,568 | |
| | 3,600 | | | Timbercreek Financial Corp. | | | 24,468 | |
| | | | | | | | |
| | | | | | | 436,314 | |
| | | | | | | | |
| Tobacco (0.5%): | | | |
| | 14,187 | | | British American Tobacco plc | | | 527,606 | |
| | 18,433 | | | Imperial Brands plc, Class A | | | 387,245 | |
| | 13,100 | | | Japan Tobacco, Inc. | | | 266,997 | |
| | 3,118 | | | Scandinavian Tobacco Group A/S(a) | | | 53,105 | |
| | 779 | | | Swedish Match AB, Class B | | | 60,542 | |
| | | | | | | | |
| | | | | | | 1,295,495 | |
| | | | | | | | |
| Trading Companies & Distributors (2.1%): | | | |
| | 10,548 | | | AddTech AB, Class B | | | 139,720 | |
| | 1,000 | | | Alconix Corp. | | | 14,188 | |
| | 13,653 | | | Ashtead Group plc | | | 642,397 | |
| | 653 | | | BayWa AG | | | 26,365 | |
| | 2,337 | | | Beijer Ref AB | | | 106,946 | |
| | 1,271 | | | Bergman & Beving AB | | | 15,200 | |
| | 9,600 | | | BOC Aviation, Ltd.(a) | | | 83,031 | |
| | 388 | | | Bossard Holding AG | | | 78,369 | |
| | 5,765 | | | Brenntag AG | | | 446,090 | |
| | 2,745 | | | Bufab AB* | | | 64,865 | |
| | 4,067 | | | Bunzl plc | | | 135,926 | |
| | 4,000 | | | CanWel Building Materials Group, Ltd. | | | 24,106 | |
| | 70,000 | | | China Strategic Holdings, Ltd.* | | | 2,260 | |
| | 400 | | | Daiichi Jitsugyo Co., Ltd. | | | 15,948 | |
| | 1,506 | | | Diploma plc | | | 45,183 | |
| | 3,513 | | | Ferguson plc | | | 427,156 | |
| | 8,200 | | | Finning International, Inc. | | | 174,154 | |
| | 7,815 | | | Grafton Group plc* | | | 98,627 | |
| | 1,700 | | | Hanwa Co., Ltd. | | | 45,743 | |
| | 29,424 | | | Howden Joinery Group plc* | | | 277,808 | |
| | 1,420 | | | Imcd Group NV | | | 180,401 | |
| | 1,800 | | | Inaba Denki Sangyo Co., Ltd. | | | 44,123 | |
| | 1,800 | | | Inabata & Co., Ltd. | | | 25,193 | |
| | 6,429 | | | Indutrade AB* | | | 137,890 | |
| | 9,000 | | | Itochu Corp. | | | 259,249 | |
| | 2,000 | | | Iwatani Corp. | | | 123,369 | |
| | 616 | | | Jacquet Metals SA | | | 10,416 | |
| | 500 | | | Japan Pulp & Paper Co., Ltd. | | | 17,584 | |
See accompanying notes to the financial statements.
32
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Trading Companies & Distributors, continued | | | |
| | 700 | | | Kamei Corp. | | $ | 7,776 | |
| | 900 | | | Kanaden Corp. | | | 11,316 | |
| | 1,700 | | | Kanamoto Co., Ltd. | | | 36,591 | |
| | 3,100 | | | Kanematsu Corp. | | | 38,773 | |
| | 5,365 | | | Kloeckner & Co. SE* | | | 52,453 | |
| | 14,200 | | | Marubeni Corp. | | | 94,660 | |
| | 600 | | | Mitani Corp. | | | 38,713 | |
| | 6,700 | | | Mitsubishi Corp. | | | 165,252 | |
| | 8,600 | | | Mitsui & Co., Ltd. | | | 157,801 | |
| | 1,271 | | | Momentum Group AB, Class B* | | | 21,940 | |
| | 1,800 | | | MonotaRo Co., Ltd. | | | 91,537 | |
| | 4,300 | | | Nagase & Co., Ltd. | | | 63,041 | |
| | 600 | | | Nichiden Corp. | | | 13,021 | |
| | 500 | | | Nippon Steel Trading Corp. | | | 18,157 | |
| | 1,200 | | | Nishio Rent All Co., Ltd. | | | 25,214 | |
| | 700 | | | Onoken Co., Ltd. | | | 8,497 | |
| | 3,525 | | | Reece, Ltd. | | | 40,213 | |
| | 9,256 | | | Rexel SA* | | | 145,936 | |
| | 2,592 | | | Richelieu Hardware, Ltd. | | | 67,290 | |
| | 1,404 | | | Russel Metals, Inc. | | | 25,075 | |
| | 600 | | | Senshu Electric Co., Ltd. | | | 18,457 | |
| | 2,307 | | | Seven Group Holdings, Ltd. | | | 41,572 | |
| | 38,500 | | | Sojitz Corp. | | | 86,145 | |
| | 409 | | | Solar A/S | | | 24,226 | |
| | 17,864 | | | Speedy Hire plc* | | | 17,394 | |
| | 800 | | | Sugimoto & Co., Ltd. | | | 19,238 | |
| | 6,600 | | | Sumitomo Corp. | | | 87,498 | |
| | 600 | | | Tomoe Engineering Co., Ltd. | | | 11,566 | |
| | 2,572 | | | Toromont Industries, Ltd. | | | 180,264 | |
| | 3,500 | | | Toyota Tsushu Corp. | | | 141,630 | |
| | 8,059 | | | Travis Perkins plc | | | 148,667 | |
| | 1,000 | | | Trusco Nakayama Corp. | | | 28,161 | |
| | 800 | | | Wajax Corp. | | | 10,743 | |
| | 2,700 | | | Wakita & Co., Ltd. | | | 27,631 | |
| | 2,700 | | | Yamazen Corp. | | | 27,133 | |
| | 800 | | | Yuasa Trading Co., Ltd. | | | 25,788 | |
| | | | | | | | |
| | | | | | | 5,681,676 | |
| | | | | | | | |
| Transportation Infrastructure (0.5%): | | | |
| | 833 | | | Aena SME SA*(a) | | | 145,437 | |
| | 496 | | | Aeroports de Paris* | | | 64,378 | |
| | 4,153 | | | Atlantia SpA* | | | 74,550 | |
| | 9,083 | | | Atlas Arteria, Ltd. | | | 45,560 | |
| | 8,117 | | | Auckland International Airport, Ltd.* | | | 44,349 | |
| | 671 | | | Flughafen Zuerich AG* | | | 118,727 | |
| | 1,452 | | | Fraport AG | | | 87,569 | |
| | 2,198 | | | Getlink SE | | | 38,095 | |
| | 1,618 | | | Hamburger Hafen und Logistik AG | | | 36,448 | |
| | 182,200 | | | Hutchison Port Holdings Trust | | | 36,105 | |
| | 1,940 | | | James Fisher & Sons plc | | | 25,145 | |
| | 400 | | | Japan Airport Terminal Co., Ltd. | | | 24,299 | |
| | 3,500 | | | Kamigumi Co., Ltd. | | | 63,977 | |
| | 2,100 | | | Mitsubishi Logistics Corp. | | | 63,169 | |
| | 400 | | | Nissin Corp. | | | 4,722 | |
| | 5,399 | | | Port of Tauranga, Ltd. | | | 28,732 | |
| | 32,311 | | | Qube Holdings, Ltd. | | | 73,283 | |
| | 15,500 | | | SATS, Ltd.* | | | 46,607 | |
| | 17,118 | | | Signature Aviation plc* | | | 90,012 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Transportation Infrastructure, continued | | | |
| | 3,800 | | | Sumitomo Warehouse Co., Ltd. (The) | | $ | 48,682 | |
| | 11,723 | | | Sydney Airport* | | | 57,964 | |
| | 11,321 | | | Transurban Group | | | 119,312 | |
| | 2,729 | | | Westshore Terminals Investment Corp.^ | | | 33,429 | |
| | | | | | | | |
| | | | | | | 1,370,551 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 8,611 | | | Pennon Group plc | | | 112,161 | |
| | 4,673 | | | Severn Trent plc | | | 146,336 | |
| | 45,000 | | | Siic Environment Holdings, Ltd. | | | 5,891 | |
| | 8,586 | | | United Utilities Group plc | | | 105,589 | |
| | | | | | | | |
| | | | | | | 369,977 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.3%): | | | |
| | 1,292 | | | 1&1 Drillisch AG | | | 32,260 | |
| | 3,670 | | | Cellcom Israel, Ltd.* | | | 18,228 | |
| | 7,390 | | | Freenet AG | | | 155,238 | |
| | 88,000 | | | Hutchison Telecommunications Holdings, Ltd. | | | 13,165 | |
| | 27,900 | | | KDDI Corp. | | | 828,678 | |
| | 5,186 | | | Millicom International Cellular SA, SDR* | | | 204,033 | |
| | 1,000 | | | Okinawa Cellular Telephone Co. | | | 43,143 | |
| | 2,104 | | | Orange Belgium SA | | | 56,045 | |
| | 5,106 | | | Partner Communications Co.* | | | 28,352 | |
| | 1,900 | | | Rogers Communications, Inc., Class B | | | 88,468 | |
| | 1,708 | | | Rogers Communications, Inc., Class B | | | 79,576 | |
| | 35,000 | | | Smartone Telecommunications Ho | | | 18,704 | |
| | 9,900 | | | Softbank Corp. | | | 124,131 | |
| | 17,300 | | | SoftBank Group Corp. | | | 1,355,057 | |
| | 21,800 | | | StarHub, Ltd. | | | 21,601 | |
| | 4,847 | | | Tele2 AB | | | 64,097 | |
| | 119,823 | | | Vodafone Group plc | | | 197,155 | |
| | | | | | | | |
| | | | | | | 3,327,931 | |
| | | | | | | | |
| | Total Common Stocks (Cost $222,019,092) | | | 264,905,668 | |
| | | | | |
| Preferred Stocks (0.3%): | |
| Automobiles (0.3%): | |
| | 1,421 | | | Bayerische Motoren Werke AG (BMW), 4.56%, 5/15/20 | | | 95,819 | |
| | 1,645 | | | Porsche Automobil Holding SE, 3.92%, 5/20/20 | | | 113,375 | |
| | 2,463 | | | Volkswagen AG, 3.19%, 5/8/20 | | | 458,823 | |
| | | | | | | | |
| | | | | | | 668,017 | |
| | | | | | | | |
| Household Products (0.0%†): | | | |
| | 361 | | | Henkel AG & Co. KGaA, 2.01%, 4/21/20 | | | 40,674 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $687,628) | | | 708,691 | |
| | | | | |
| Warrants (0.0%†): | |
| Energy Equipment & Services (0.0%†): | |
| | 64,038 | | | Ezion Holdings, Ltd., 4/6/23 | | | — | |
| | | | | | | | |
| Entertainment (0.0%†): | | | |
| | 510 | | | Technicolor SA, 9/22/24 | | | 161 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.0%†): | | | |
| | 8,622 | | | Cie Financiere Richemont SA, 11/22/23 | | | 2,241 | |
| | | | | | | | |
| | Total Warrants (Cost $ —) | | | 2,402 | |
| | | | | |
See accompanying notes to the financial statements.
33
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Rights (0.0%†): | |
| Metals & Mining (0.0%†): | |
| | 2,010 | | | Igo, Ltd., Expires on 1/25/21*(b) | | $ | — | |
| | 1,411 | | | Maca, Ltd., Expires on 1/18/21* | | | — | |
| | | | | | | | |
| | | | | | | — | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | |
| | 19,231 | | | Repsol SA, Expires on 1/11/21 | | | 6,594 | |
| | | | | | | | |
| | Total Rights (Cost $6,791) | | | 6,594 | |
| | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.4%): | |
| | 967,248 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(c)(d) | | | 967,248 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $967,248) | | | 967,248 | |
| | | | | | | | |
| | Total Investment Securities (Cost $223,680,759) — 100.6%(e) | | | 266,590,603 | |
| | Net other assets (liabilities) — (0.6)% | | | (1,530,185 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 265,060,418 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
CVR—Contingency Valued Rights
NYS—New York Shares
SDR—Swedish Depository Receipt
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $914,560. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of December 31, 2020. The total of all such securities represent 0.00% of the net assets of the fund. |
| (c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (d) | The rate represents the effective yield at December 31, 2020. |
| (e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
| Amounts | shown as “—” are either $0 or rounds to less than $1. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of December 31, 2020:
| | | | |
| Country | | Percentage | |
| |
Australia | | | 6.5 | % |
| |
Austria | | | 0.4 | % |
| |
Belgium | | | 1.1 | % |
| |
Bermuda | | | 0.1 | % |
| |
Cambodia | | | — | %† |
| |
Canada | | | 9.6 | % |
| |
Cayman Islands | | | — | %† |
| |
China | | | 0.3 | % |
| |
Colombia | | | — | %† |
| |
Denmark | | | 2.2 | % |
| |
Egypt | | | 0.1 | % |
| |
European Community | | | — | %† |
| |
Faroe Islands | | | — | %† |
| |
Finland | | | 1.5 | % |
| |
France | | | 7.6 | % |
| |
Germany | | | 7.0 | % |
| |
Hong Kong | | | 1.8 | % |
| |
India | | | — | %† |
| |
Indonesia | | | — | %† |
| |
Ireland | | | 1.4 | % |
| |
Isle of Man | | | 0.1 | % |
| |
Israel | | | 0.8 | % |
| | | | |
| Country | | Percentage | |
| |
Italy | | | 2.4 | % |
| |
Japan | | | 22.9 | % |
| |
Jersey | | | — | %† |
| |
Liechtenstein | | | — | %† |
| |
Luxembourg | | | 0.8 | % |
| |
Malta | | | — | %† |
| |
Mexico | | | — | %† |
| |
Monaco | | | 0.1 | % |
| |
Netherlands | | | 3.9 | % |
| |
New Zealand | | | 0.3 | % |
| |
Norway | | | 0.8 | % |
| |
Peru | | | — | %† |
| |
Portugal | | | 0.1 | % |
| |
Singapore | | | 0.7 | % |
| |
Spain | | | 2.4 | % |
| |
Sweden | | | 3.7 | % |
| |
Switzerland | | | 7.9 | % |
| |
United Arab Emirates | | | — | %† |
| |
United Kingdom | | | 12.9 | % |
| |
United States | | | 0.6 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
34
AZL DFA International Core Equity Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 223,680,759 | |
| | | | | |
Investment securities, at value(a) | | | $ | 266,590,603 | |
Interest and dividends receivable | | | | 240,919 | |
Foreign currency, at value (cost $383,716) | | | | 387,334 | |
Receivable for investments sold | | | | 258,292 | |
Reclaims receivable | | | | 885,937 | |
Prepaid expenses | | | | 1,408 | |
| | | | | |
Total Assets | | | | 268,364,493 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 1,339,613 | |
Payable for capital shares redeemed | | | | 714,745 | |
Payable for collateral received on loaned securities | | | | 967,248 | |
Manager fees payable | | | | 168,723 | |
Administration fees payable | | | | 20,696 | |
Distribution fees payable | | | | 56,241 | |
Custodian fees payable | | | | 9,759 | |
Administrative and compliance services fees payable | | | | 376 | |
Transfer agent fees payable | | | | 498 | |
Trustee fees payable | | | | 1,360 | |
Other accrued liabilities | | | | 24,816 | |
| | | | | |
Total Liabilities | | | | 3,304,075 | |
| | | | | |
Net Assets | | | $ | 265,060,418 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 220,437,303 | |
Total distributable earnings | | | | 44,623,115 | |
| | | | | |
Net Assets | | | $ | 265,060,418 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 23,963,205 | |
Net Asset Value (offering and redemption price per share) | | | $ | 11.06 | |
| | | | | |
| (a) | Includes securities on loan of $914,560. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 6,714,370 | |
Income from securities lending | | | | 46,135 | |
Foreign withholding tax | | | | (741,204 | ) |
| | | | | |
Total Investment Income | | | | 6,019,301 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,348,346 | |
Administration fees | | | | 147,794 | |
Distribution fees | | | | 617,985 | |
Custodian fees | | | | 85,644 | |
Administrative and compliance services fees | | | | 4,688 | |
Transfer agent fees | | | | 6,493 | |
Trustee fees | | | | 15,927 | |
Professional fees | | | | 14,017 | |
Shareholder reports | | | | 7,619 | |
Other expenses | | | | 70,711 | |
| | | | | |
Total expenses before reductions | | | | 3,319,224 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (494,390 | ) |
| | | | | |
Net expenses | | | | 2,824,834 | |
| | | | | |
Net Investment Income/(Loss) | | | | 3,194,467 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | (16,172 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 17,605,651 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 17,589,479 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 20,783,946 | |
| | | | | |
See accompanying notes to the financial statements.
35
AZL DFA International Core Equity Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 3,194,467 | | | | $ | 5,673,610 | |
Net realized gains/(losses) on investments | | | | (16,172 | ) | | | | (689,954 | ) |
Change in unrealized appreciation/depreciation on investments | | | | 17,605,651 | | | | | 45,781,004 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 20,783,946 | | | | | 50,764,660 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (6,243,472 | ) | | | | (12,489,056 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (6,243,472 | ) | | | | (12,489,056 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 28,562,814 | | | | | 2,153,591 | |
Proceeds from dividends reinvested | | | | 6,243,472 | | | | | 12,489,056 | |
Value of shares redeemed | | | | (60,172,623 | ) | | | | (30,075,836 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (25,366,337 | ) | | | | (15,433,189 | ) |
| | | | | | | | | | |
Change in net assets | | | | (10,825,863 | ) | | | | 22,842,415 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 275,886,281 | | | | | 253,043,866 | |
| | | | | | | | | | |
End of period | | | $ | 265,060,418 | | | | $ | 275,886,281 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 3,629,639 | | | | | 216,549 | |
Dividends reinvested | | | | 642,332 | | | | | 1,303,659 | |
Shares redeemed | | | | (6,396,250 | ) | | | | (2,929,634 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,124,279 | ) | | | | (1,409,426 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
36
AZL DFA International Core Equity Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.58 | | | | $ | 9.20 | | | | $ | 11.46 | | | | $ | 9.21 | | | | $ | 9.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.12 | (a) | | | | 0.21 | (a) | | | | 0.17 | | | | | 0.19 | | | | | 0.11 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.61 | | | | | 1.65 | | | | | (2.16 | ) | | | | 2.21 | | | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.73 | | | | | 1.86 | | | | | (1.99 | ) | | | | 2.40 | | | | | 0.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.25 | ) | | | | (0.15 | ) | | | | (0.21 | ) | | | | (0.15 | ) | | | | (0.10 | ) |
Net Realized Gains | | | | — | | | | | (0.33 | ) | | | | (0.06 | ) | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.25 | ) | | | | (0.48 | ) | | | | (0.27 | ) | | | | (0.15 | ) | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.06 | | | | $ | 10.58 | | | | $ | 9.20 | | | | $ | 11.46 | | | | $ | 9.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 7.25 | % | | | | 20.72 | % | | | | (17.65 | )% | | | | 26.09 | % | | | | 3.17 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 265,060 | | | | $ | 275,886 | | | | $ | 253,044 | | | | $ | 258,959 | | | | $ | 252,697 | |
Net Investment Income/(Loss) | | | | 1.29 | % | | | | 2.09 | % | | | | 1.63 | % | | | | 1.48 | % | | | | 1.62 | % |
Expenses Before Reductions(c) | | | | 1.34 | % | | | | 1.33 | % | | | | 1.38 | % | | | | 1.41 | % | | | | 1.39 | % |
Expenses Net of Reductions | | | | 1.14 | % | | | | 1.13 | % | | | | 1.18 | % | | | | 1.21 | % | | | | 1.19 | % |
Portfolio Turnover Rate | | | | 14 | % | | | | 6 | % | | | | 20 | % | | | | 4 | % | | | | 11 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
37
AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA International Core Equity Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such
38
AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2020
investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $4,219 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $967,248 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL DFA International Core Equity Fund | | | | 0.95 | % | | | | 1.39 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.75% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
39
AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2020
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $1,341 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1—quoted prices in active markets for identical assets |
| | ● | | Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 37,530,269 | | | | $ | 227,375,399 | | | | $ | — | | | | $ | 264,905,668 | |
Preferred Stocks+ | | | | — | | | | | 708,691 | | | | | — | | | | | 708,691 | |
Warrants+ | | | | 2,402 | | | | | — | # | | | | — | | | | | 2,402 | |
Rights+ | | | | 6,594 | | | | | — | # | | | | — | # | | | | 6,594 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 967,248 | | | | | — | | | | | — | | | | | 967,248 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 38,506,513 | | | | $ | 228,084,090 | | | | $ | — | | | | $ | 266,590,603 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at December 31, 2020. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL DFA International Core Equity Fund | | | $ | 34,052,516 | | | | $ | 60,143,310 | |
40
AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2020
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $224,644,979. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 71,321,343 | |
Unrealized (depreciation) | | | (29,375,719 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 41,945,624 | |
| | | | |
As of the end of its tax year ended December 31, 2020, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
CLCF’s not subject to expiration:
| | | | | | | | | | | | | | | |
| | | Short-Term
Amount | | Long-Term
Amount | | Total
Amount |
| | | |
AZL DFA International Core Equity Fund | | | $ | — | | | | $ | 973,492 | | | | $ | 973,492 | |
| The | tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows: |
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA International Core Equity Fund | | | $ | 6,243,472 | | | | $ | — | | | | $ | 6,243,472 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA International Core Equity Fund | | | $ | 4,021,220 | | | | $ | 8,467,836 | | | | $ | 12,489,056 | |
(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.
41
AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2020
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL DFA International Core Equity Fund | | | $ | 3,585,484 | | | | $ | — | | | | $ | (973,492 | ) | | | $ | 42,011,123 | | | | $ | 44,623,115 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales and mark-to-market of passive foreign investment companies. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
42
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL DFA International Core Equity Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL DFA International Core Equity Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
44
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
45
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
46
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
47
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
48
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
49
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® DFA U.S. Core Equity Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® DFA U.S. Core Equity Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® DFA U.S. Core Equity Fund and Dimensional Fund Advisors LP serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® DFA U.S. Core Equity Fund (the “Fund”) returned 17.70%. That compared to a 20.89% total return for its benchmark, the Russell 3000® Index1.
The economic consequences of the coronavirus (COVID-19) pandemic in March sent U.S. equities into a steep decline. By early June, the S&P 500 Index2 had erased those earlier losses. U.S. equities generally continued to rise on a slower trajectory through the end of the year.
Large-cap stocks outperformed small-cap stocks for the period. Growth stocks outperformed value stocks across all market cap sizes. In the large-cap universe, stocks with higher profitability outperformed stocks with lower profitability. In the small-cap universe, however, stocks with higher profitability underperformed stocks with lower profitability.
The Fund’s emphasis on value stocks detracted from its relative performance during the period, as value stocks underperformed growth stocks. The Fund’s exclusion of real estate investment trusts3 (REITs) offset some of this negative impact, as REITs underperformed the overall benchmark during the period.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | The S&P 500 is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. The index is unmanaged. Investors cannot invest directly in an index. |
| 3 | The performance of investments in real estate depends on the overall strength of the real estate market, the management of real estate investments trusts (REITs), real estate operating companies (REOCs), and foreign real estate companies, and property management, all of which can be affected by a variety of factors, including national and regional economic conditions. |
1
AZL® DFA U.S. Core Equity Fund Review (Unaudited)
|
Fund Objective The Fund’s investment objective is to seek long-term capital appreciation. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in equity securities of U.S. companies. Investment Concerns Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio. For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
| |
| |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmarks and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | Since
Inception
(4/27/15) | |
AZL® DFA U.S. Core Equity Fund | | | 17.70 | % | | | 12.08 | % | | | 14.14 | % | | | 11.30 | % |
Russell 3000® Index | | | 20.89 | % | | | 14.49 | % | | | 15.43 | % | | | 12.86 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® DFA U.S. Core Equity Fund | | | 1.10 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.54% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 1.20% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Russell 3000® Index, which is an unmanaged broad capitalization index of the top 3,000 U.S. stocks by market capitalization and covers 98% of the U.S. equity investable universe. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL DFA U.S. Core Equity Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL DFA U.S. Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA U.S. Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,261.80 | | | | $ | 4.89 | | | | | 0.86 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA U.S. Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,020.81 | | | | $ | 4.37 | | | | | 0.86 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Information Technology | | | | 24.8 | % |
| |
Financials | | | | 13.6 | |
| |
Consumer Discretionary | | | | 13.2 | |
| |
Industrials | | | | 12.3 | |
| |
Health Care | | | | 11.6 | |
| |
Communication Services | | | | 8.0 | |
| |
Consumer Staples | | | | 6.1 | |
| |
Materials | | | | 4.5 | |
| |
Utilities | | | | 2.6 | |
| |
Energy | | | | 2.6 | |
| |
Real Estate | | | | 0.3 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.6 | |
| |
Rights | | | | — | † |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.5 | |
| |
Unaffiliated Investment Companies | | | | 0.1 | |
| | | | | |
| |
Total Investment Securities | | | | 100.2 | |
| |
Net other assets (liabilities) | | | | (0.2 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.6%): | | | |
| Aerospace & Defense (1.6%): | | | |
| | 1,810 | | | AAR Corp. | | $ | 65,558 | |
| | 2,968 | | | Aerojet Rocketdyne Holdings, Inc.* | | | 156,859 | |
| | 552 | | | AeroVironment, Inc.* | | | 47,969 | |
| | 712 | | | Astronics Corp.* | | | 9,420 | |
| | 415 | | | Astronics Corp., Class B*^ | | | 5,508 | |
| | 1,281 | | | Axon Enterprise, Inc.* | | | 156,961 | |
| | 4,420 | | | Boeing Co. (The) | | | 946,145 | |
| | 3,220 | | | BWX Technologies, Inc. | | | 194,102 | |
| | 685 | | | CPI Aerostructures, Inc.* | | | 2,624 | |
| | 1,202 | | | Cubic Corp. | | | 74,572 | |
| | 1,425 | | | Curtiss-Wright Corp. | | | 165,799 | |
| | 625 | | | Ducommun, Inc.* | | | 33,563 | |
| | 3,695 | | | General Dynamics Corp. | | | 549,890 | |
| | 769 | | | HEICO Corp. | | | 101,816 | |
| | 1,107 | | | HEICO Corp., Class A | | | 129,585 | |
| | 2,713 | | | Hexcel Corp. | | | 131,553 | |
| | 12,010 | | | Howmet Aerospace, Inc.* | | | 342,765 | |
| | 1,188 | | | Huntington Ingalls Industries, Inc. | | | 202,530 | |
| | 4,471 | | | Kratos Defense & Security Solutions, Inc.* | | | 122,640 | |
| | 1,779 | | | L3harris Technologies, Inc. | | | 336,267 | |
| | 2,834 | | | Lockheed Martin Corp. | | | 1,006,012 | |
| | 1,378 | | | Mercury Systems, Inc.* | | | 121,347 | |
| | 913 | | | Moog, Inc., Class A | | | 72,401 | |
| | 343 | | | National Presto Industries, Inc. | | | 30,331 | |
| | 1,853 | | | Northrop Grumman Corp. | | | 564,646 | |
| | 953 | | | Park Aerospace Corp., Class C | | | 12,780 | |
| | 12,981 | | | Raytheon Technologies Corp. | | | 928,271 | |
| | 2,910 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 113,752 | |
| | 495 | | | Teledyne Technologies, Inc.* | | | 194,030 | |
| | 6,294 | | | Textron, Inc. | | | 304,189 | |
| | 521 | | | TransDigm Group, Inc.* | | | 322,421 | |
| | 741 | | | Vectrus, Inc.* | | | 36,843 | |
| | | | | | | | |
| | | | | | | 7,483,149 | |
| | | | | | | | |
| Air Freight & Logistics (0.7%): | | | |
| | 3,741 | | | Air Transport Services Group, Inc.* | | | 117,243 | |
| | 1,400 | | | Atlas Air Worldwide Holdings, Inc.* | | | 76,356 | |
| | 3,174 | | | C.H. Robinson Worldwide, Inc. | | | 297,943 | |
| | 1,026 | | | Echo Global Logistics, Inc.* | | | 27,517 | |
| | 2,787 | | | Expeditors International of Washington, Inc. | | | 265,072 | |
| | 3,024 | | | FedEx Corp. | | | 785,091 | |
| | 1,079 | | | Forward Air Corp. | | | 82,910 | |
| | 1,493 | | | Hub Group, Inc., Class A* | | | 85,101 | |
| | 3,266 | | | Radiant Logistics, Inc.* | | | 18,943 | |
| | 7,641 | | | United Parcel Service, Inc., Class B | | | 1,286,745 | |
| | 2,972 | | | XPO Logistics, Inc.* | | | 354,262 | |
| | | | | | | | |
| | | | | | | 3,397,183 | |
| | | | | | | | |
| Airlines (0.4%): | | | |
| | 4,626 | | | Alaska Air Group, Inc. | | | 240,552 | |
| | 556 | | | Allegiant Travel Co. | | | 105,217 | |
| | 11,473 | | | American Airlines Group, Inc.^ | | | 180,929 | |
| | 1,140 | | | Copa Holdings SA, Class A | | | 88,042 | |
| | 6,587 | | | Delta Air Lines, Inc. | | | 264,863 | |
| | 2,644 | | | Hawaiian Holdings, Inc. | | | 46,799 | |
| | 9,359 | | | JetBlue Airways Corp.* | | | 136,080 | |
| | 2,917 | | | SkyWest, Inc. | | | 117,584 | |
| | 7,398 | | | Southwest Airlines Co. | | | 344,822 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Airlines, continued | | | |
| | 3,618 | | | Spirit Airlines, Inc.* | | $ | 88,460 | |
| | 6,852 | | | United Airlines Holdings, Inc.* | | | 296,349 | |
| | | | | | | | |
| | | | | | | 1,909,697 | |
| | | | | | | | |
| Auto Components (0.6%): | | | |
| | 2,780 | | | Adient plc* | | | 96,661 | |
| | 8,138 | | | American Axle & Manufacturing Holdings, Inc.* | | | 67,871 | |
| | 3,957 | | | Aptiv plc | | | 515,558 | |
| | 2,666 | | | Autoliv, Inc. | | | 245,539 | |
| | 7,498 | | | BorgWarner, Inc. | | | 289,722 | |
| | 2,411 | | | Cooper Tire & Rubber Co. | | | 97,646 | |
| | 1,256 | | | Cooper-Standard Holding, Inc.* | | | 43,546 | |
| | 5,305 | | | Dana, Inc. | | | 103,554 | |
| | 1,095 | | | Dorman Products, Inc.* | | | 95,068 | |
| | 1,147 | | | Fox Factory Holding Corp.* | | | 121,249 | |
| | 7,599 | | | Gentex Corp. | | | 257,833 | |
| | 799 | | | Gentherm, Inc.* | | | 52,111 | |
| | 10,334 | | | Goodyear Tire & Rubber Co. | | | 112,744 | |
| | 1,365 | | | Horizon Global Corp.* | | | 11,725 | |
| | 1,015 | | | LCI Industries | | | 131,625 | |
| | 1,758 | | | Lear Corp. | | | 279,574 | |
| | 3,637 | | | Modine Manufacturing Co.* | | | 45,681 | |
| | 1,190 | | | Motorcar Parts of America, Inc.* | | | 23,348 | |
| | 1,436 | | | Standard Motor Products, Inc. | | | 58,101 | |
| | 1,582 | | | Stoneridge, Inc.* | | | 47,824 | |
| | 275 | | | Strattec Security Corp. | | | 13,574 | |
| | 3,917 | | | Tenneco, Inc.* | | | 41,520 | |
| | 3,249 | | | Veoneer, Inc.*^ | | | 69,204 | |
| | 986 | | | Visteon Corp.* | | | 123,763 | |
| | 1,621 | | | VOXX International Corp.* | | | 20,684 | |
| | | | | | | | |
| | | | | | | 2,965,725 | |
| | | | | | | | |
| Automobiles (1.1%): | | | |
| | 67,939 | | | Ford Motor Co. | | | 597,184 | |
| | 23,593 | | | General Motors Co. | | | 982,413 | |
| | 5,001 | | | Harley-Davidson, Inc. | | | 183,537 | |
| | 5,055 | | | Tesla, Inc.* | | | 3,567,161 | |
| | 1,652 | | | Winnebago Industries, Inc. | | | 99,021 | |
| | | | | | | | |
| | | | | | | 5,429,316 | |
| | | | | | | | |
| Banks (5.3%): | | | |
| | 1,278 | | | 1st Source Corp. | | | 51,503 | |
| | 504 | | | ACNB Corp. | | | 12,600 | |
| | 954 | | | Allegiance Bancshares, Inc. | | | 32,560 | |
| | 749 | | | Altabancorp | | | 20,912 | |
| | 661 | | | American National Bankshares, Inc. | | | 17,325 | |
| | 587 | | | American River Bankshares | | | 7,719 | |
| | 2,629 | | | Ameris Bancorp | | | 100,086 | |
| | 704 | | | Ames National Corp. | | | 16,910 | |
| | 986 | | | Arrow Financial Corp. | | | 29,491 | |
| | 5,524 | | | Associated Banc-Corp. | | | 94,184 | |
| | 1,160 | | | Atlantic Capital Bancshares, Inc.* | | | 18,467 | |
| | 2,781 | | | Atlantic Union Bankshares Corp. | | | 91,606 | |
| | 2,876 | | | Banc of California, Inc. | | | 42,306 | |
| | 1,639 | | | BancFirst Corp. | | | 96,209 | |
| | 2,831 | | | Bancorp, Inc. (The)* | | | 38,643 | |
| | 2,523 | | | BancorpSouth Bank | | | 69,231 | |
| | 66,543 | | | Bank of America Corp. | | | 2,016,917 | |
| | 899 | | | Bank of Commerce Holdings | | | 8,900 | |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 1,489 | | | Bank of Hawaii Corp. | | $ | 114,087 | |
| | 902 | | | Bank of Marin Bancorp | | | 30,975 | |
| | 2,800 | | | Bank of Nt Butterfield & Son, Ltd. (The) | | | 87,248 | |
| | 4,810 | | | Bank OZK | | | 150,409 | |
| | 2,950 | | | BankUnited, Inc. | | | 102,601 | |
| | 1,829 | | | Banner Corp. | | | 85,213 | |
| | 1,189 | | | Bar Harbor Bankshares | | | 26,860 | |
| | 842 | | | BCB Bancorp, Inc. | | | 9,321 | |
| | 2,598 | | | Berkshire Hills Bancorp, Inc. | | | 44,478 | |
| | 2,016 | | | BOK Financial Corp. | | | 138,056 | |
| | 5,245 | | | Boston Private Financial Holdings, Inc. | | | 44,320 | |
| | 668 | | | Bridge Bancorp, Inc. | | | 16,152 | |
| | 5,107 | | | Brookline Bancorp, Inc. | | | 61,488 | |
| | 1,162 | | | Bryn Mawr Bank Corp. | | | 35,551 | |
| | 977 | | | Byline BanCorp, Inc. | | | 15,095 | |
| | 74 | | | C&F Financial Corp. | | | 2,746 | |
| | 5,075 | | | Cadence Bancorp | | | 83,332 | |
| | 843 | | | Camden National Corp. | | | 30,163 | |
| | 1,309 | | | Capital City Bank Group, Inc. | | | 32,175 | |
| | 3,399 | | | Cathay General Bancorp | | | 109,414 | |
| | 1,225 | | | CBTX, Inc. | | | 31,250 | |
| | 1,402 | | | Central Pacific Financial Corp. | | | 26,652 | |
| | 933 | | | Central Valley Community Bancorp | | | 13,892 | |
| | 273 | | | Century Bancorp, Inc. | | | 21,119 | |
| | 377 | | | Chemung Financial Corp. | | | 12,799 | |
| | 2,299 | | | CIT Group, Inc. | | | 82,534 | |
| | 17,822 | | | Citigroup, Inc. | | | 1,098,905 | |
| | 943 | | | Citizens & Northern Corp. | | | 18,709 | |
| | 8,004 | | | Citizens Financial Group, Inc. | | | 286,223 | |
| | 552 | | | Citizens Holding Co. | | | 11,564 | |
| | 904 | | | City Holding Co. | | | 62,873 | |
| | 938 | | | Civista Bancshares, Inc. | | | 16,443 | |
| | 735 | | | CNB Financial Corp. | | | 15,648 | |
| | 85 | | | Codorus Valley Bancorp, Inc. | | | 1,442 | |
| | 56 | | | Colony Bankcorp, Inc. | | | 820 | |
| | 3,326 | | | Columbia Banking System, Inc. | | | 119,403 | |
| | 3,919 | | | Comerica, Inc. | | | 218,915 | |
| | 3,398 | | | Commerce Bancshares, Inc. | | | 223,249 | |
| | 1,393 | | | Community Bank System, Inc. | | | 86,798 | |
| | 1,325 | | | Community Trust Bancorp, Inc. | | | 49,091 | |
| | 2,266 | | | ConnectOne Bancorp, Inc. | | | 44,844 | |
| | 1,845 | | | Cullen/Frost Bankers, Inc. | | | 160,939 | |
| | 1,643 | | | Customers Bancorp, Inc.* | | | 29,870 | |
| | 5,350 | | | CVB Financial Corp. | | | 104,325 | |
| | 1,882 | | | Eagle Bancorp, Inc. | | | 77,727 | |
| | 4,679 | | | East West Bancorp, Inc. | | | 237,272 | |
| | 1,229 | | | Enterprise Financial Services Corp. | | | 42,954 | |
| | 682 | | | Equity Bancshares, Inc.* | | | 14,724 | |
| | 312 | | | Evans Bancorp, Inc. | | | 8,592 | |
| | 13,238 | | | F.N.B. Corp. | | | 125,761 | |
| | 1,329 | | | Farmers National Banc Corp. | | | 17,636 | |
| | 1,852 | | | FB Financial Corp. | | | 64,320 | |
| | 9,786 | | | Fifth Third Bancorp | | | 269,800 | |
| | 1,053 | | | Financial Institutions, Inc. | | | 23,693 | |
| | 10,711 | | | First Bancorp | | | 98,755 | |
| | 814 | | | First Bancorp, Inc. | | | 20,676 | |
| | 752 | | | First Bancorp/Southern Pines NC | | | 25,440 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 611 | | | First Bancshares, Inc. (The) | | $ | 18,868 | |
| | 2,931 | | | First Busey Corp. | | | 63,163 | |
| | 664 | | | First Business Financial Services, Inc. | | | 12,224 | |
| | 269 | | | First Citizens BancShares, Inc., Class A | | | 154,479 | |
| | 5,424 | | | First Commonwealth Financial Corp. | | | 59,339 | |
| | 1,419 | | | First Community Bankshares | | | 30,622 | |
| | 5,037 | | | First Financial Bancorp | | | 88,299 | |
| | 4,532 | | | First Financial Bankshares, Inc. | | | 163,945 | |
| | 536 | | | First Financial Corp. | | | 20,824 | |
| | 733 | | | First Financial Northwest, Inc. | | | 8,356 | |
| | 1,996 | | | First Foundation, Inc. | | | 39,920 | |
| | 1,512 | | | First Hawaiian, Inc. | | | 35,653 | |
| | 19,530 | | | First Horizon Corp. | | | 249,203 | |
| | 1,244 | | | First Interstate BancSystem, Class A | | | 50,718 | |
| | 1,606 | | | First Merchants Corp. | | | 60,080 | |
| | 660 | | | First Mid Bancshares, Inc. | | | 22,216 | |
| | 4,022 | | | First Midwest Bancorp, Inc. | | | 64,030 | |
| | 1,573 | | | First of Long Island Corp. (The) | | | 28,078 | |
| | 2,517 | | | First Republic Bank | | | 369,823 | |
| | 2,253 | | | Flushing Financial Corp. | | | 37,490 | |
| | 5,044 | | | Fulton Financial Corp. | | | 64,160 | |
| | 1,315 | | | German American Bancorp, Inc. | | | 43,513 | |
| | 3,017 | | | Glacier Bancorp, Inc. | | | 138,812 | |
| | 1,035 | | | Great Southern Bancorp, Inc. | | | 50,612 | |
| | 2,353 | | | Great Western Bancorp, Inc. | | | 49,178 | |
| | 3,507 | | | Hancock Whitney Corp. | | | 119,308 | |
| | 2,408 | | | Hanmi Financial Corp. | | | 27,307 | |
| | 3,310 | | | HarborOne BanCorp, Inc. | | | 35,947 | |
| | 42 | | | Hawthorn Bancshares, Inc. | | | 920 | |
| | 1,853 | | | Heartland Financial USA, Inc. | | | 74,806 | |
| | 1,197 | | | Heritage Financial Corp. | | | 27,998 | |
| | 2,010 | | | Hertiage Commerce Corp. | | | 17,829 | |
| | 5,680 | | | Hilltop Holdings, Inc. | | | 156,257 | |
| | 4,922 | | | Home Bancshares, Inc. | | | 95,881 | |
| | 1,540 | | | Hometrust Bancshares, Inc. | | | 29,737 | |
| | 6,189 | | | Hope BanCorp, Inc. | | | 67,522 | |
| | 2,112 | | | Horizon Bancorp | | | 33,496 | |
| | 17,399 | | | Huntington Bancshares, Inc. | | | 219,749 | |
| | 929 | | | Independent Bank Corp. | | | 67,854 | |
| | 855 | | | Independent Bank Corp. | | | 15,792 | |
| | 2,071 | | | Independent Bank Group, Inc. | | | 129,479 | |
| | 2,748 | | | International Bancshares Corp. | | | 102,885 | |
| | 10,187 | | | Investors Bancorp, Inc. | | | 107,575 | |
| | 36,718 | | | JPMorgan Chase & Co. | | | 4,665,755 | |
| | 13,247 | | | KeyCorp | | | 217,383 | |
| | 2,859 | | | Lakeland Bancorp, Inc. | | | 36,309 | |
| | 1,656 | | | Lakeland Financial Corp. | | | 88,728 | |
| | 526 | | | Landmark Bancorp, Inc. | | | 12,019 | |
| | 712 | | | LCNB Corp. | | | 10,459 | |
| | 2,207 | | | Live Oak Bancshares, Inc. | | | 104,744 | |
| | 2,212 | | | M&T Bank Corp. | | | 281,588 | |
| | 2,571 | | | Macatawa Bank Corp. | | | 21,519 | |
| | 1,293 | | | Mercantile Bank Corp. | | | 35,131 | |
| | 241 | | | Midland States BanCorp, Inc. | | | 4,307 | |
| | 638 | | | MidWestone Financial Group, Inc. | | | 15,631 | |
| | 1,805 | | | National Bank Holdings Corp. | | | 59,132 | |
| | 514 | | | National Bankshares, Inc. | | | 16,093 | |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 2,353 | | | NBT Bancorp, Inc. | | $ | 75,531 | |
| | 373 | | | Nicolet Bankshares, Inc.* | | | 24,749 | |
| | 510 | | | Northrim Bancorp, Inc. | | | 17,315 | |
| | 511 | | | Norwood Financial Corp. | | | 13,373 | |
| | 3,309 | | | OFG Bancorp | | | 61,349 | |
| | 440 | | | Ohio Valley Banc Corp. | | | 10,384 | |
| | 7,959 | | | Old National Bancorp | | | 131,801 | |
| | 2,225 | | | Old Second Bancorp, Inc. | | | 22,473 | |
| | 550 | | | Origin Bancorp, Inc. | | | 15,274 | |
| | 638 | | | Orrstown Financial Services, Inc. | | | 10,559 | |
| | 1,205 | | | Pacific Mercantile Bancorp* | | | 6,194 | |
| | 3,741 | | | Pacific Premier Bancorp, Inc. | | | 117,206 | |
| | 2,447 | | | PacWest Bancorp | | | 62,154 | |
| | 784 | | | Park National Corp. | | | 82,328 | |
| | 1,165 | | | Peapack-Gladstone Financial Corp. | | | 26,515 | |
| | 546 | | | Penns Woods Bancorp, Inc. | | | 14,201 | |
| | 608 | | | Peoples Bancorp of NC | | | 13,996 | |
| | 1,361 | | | Peoples Bancorp, Inc. | | | 36,869 | |
| | 11,228 | | | People’s United Financial, Inc. | | | 145,178 | |
| | 2,297 | | | Pinnacle Financial Partners, Inc. | | | 147,927 | |
| | 3,622 | | | PNC Financial Services Group, Inc. (The) | | | 539,678 | |
| | 2,484 | | | Popular, Inc. | | | 139,899 | |
| | 878 | | | Preferred Bank Los Angeles | | | 44,313 | |
| | 945 | | | Premier Financial Bancorp, Inc. | | | 12,559 | |
| | 2,791 | | | Prosperity Bancshares, Inc. | | | 193,584 | |
| | 606 | | | QCR Holdings, Inc. | | | 23,992 | |
| | 487 | | | Rbb BanCorp | | | 7,490 | |
| | 15,860 | | | Regions Financial Corp. | | | 255,663 | |
| | 2,997 | | | Renasant Corp. | | | 100,939 | |
| | 1,417 | | | Republic Bancorp, Inc., Class A | | | 51,111 | |
| | 1,468 | | | S & T Bancorp, Inc. | | | 36,465 | |
| | 148 | | | Salisbury Bancorp, Inc. | | | 5,516 | |
| | 1,838 | | | Sandy Spring Bancorp, Inc. | | | 59,165 | |
| | 1,879 | | | Seacoast Banking Corp of Florida* | | | 55,337 | |
| | 1,252 | | | Select Bancorp, Inc.* | | | 11,856 | |
| | 2,629 | | | ServisFirst Bancshares, Inc. | | | 105,922 | |
| | 1,113 | | | Shore Bancshares, Inc. | | | 16,250 | |
| | 1,028 | | | Sierra Bancorp | | | 24,590 | |
| | 1,436 | | | Signature Bank | | | 194,276 | |
| | 4,534 | | | Simmons First National Corp., Class A | | | 97,889 | |
| | 2,840 | | | South State Corp. | | | 205,332 | |
| | 2,003 | | | Southern National Bancorp | | | 24,256 | |
| | 2,264 | | | Southside Bancshares, Inc. | | | 70,252 | |
| | 7,203 | | | Sterling Bancorp | | | 129,510 | |
| | 1,432 | | | Stock Yards Bancorp, Inc. | | | 57,967 | |
| | 557 | | | Summit Financial Group, Inc. | | | 12,299 | |
| | 791 | | | SVB Financial Group* | | | 306,774 | |
| | 5,125 | | | Synovus Financial Corp. | | | 165,896 | |
| | 5,120 | | | TCF Financial Corp. | | | 189,542 | |
| | 1,633 | | | Texas Capital Bancshares, Inc.* | | | 97,164 | |
| | 490 | | | Tompkins Financial Corp. | | | 34,594 | |
| | 3,776 | | | TowneBank | | | 88,660 | |
| | 1,726 | | | TriCo Bancshares | | | 60,893 | |
| | 2,154 | | | Tristate Capital Holdings, Inc.* | | | 37,480 | |
| | 1,501 | | | Triumph BanCorp, Inc.* | | | 72,874 | |
| | 11,522 | | | Truist Financial Corp. | | | 552,249 | |
| | 3,028 | | | Trustmark Corp. | | | 82,695 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 16,332 | | | U.S. Bancorp | | $ | 760,908 | |
| | 2,075 | | | UMB Financial Corp. | | | 143,154 | |
| | 6,312 | | | Umpqua Holdings Corp. | | | 95,564 | |
| | 5,281 | | | United Bankshares, Inc. | | | 171,104 | |
| | 3,244 | | | United Community Banks, Inc. | | | 92,259 | |
| | 1,190 | | | United Security Bancshares | | | 8,390 | |
| | 42 | | | Unity Bancorp, Inc. | | | 737 | |
| | 1,914 | | | Univest Financial Corp. | | | 39,390 | |
| | 13,568 | | | Valley National Bancorp | | | 132,288 | |
| | 1,113 | | | Washington Trust Bancorp | | | 49,862 | |
| | 2,517 | | | Webster Financial Corp. | | | 106,092 | |
| | 33,570 | | | Wells Fargo & Co. | | | 1,013,143 | |
| | 2,998 | | | WesBanco, Inc. | | | 89,820 | |
| | 1,062 | | | West Bancorp | | | 20,497 | |
| | 1,287 | | | Westamerica Bancorp | | | 71,158 | |
| | 3,400 | | | Western Alliance Bancorp | | | 203,830 | |
| | 2,102 | | | Wintrust Financial Corp. | | | 128,411 | |
| | 5,488 | | | Zions Bancorp | | | 238,399 | |
| | | | | | | | |
| | | | | | | 25,138,968 | |
| | | | | | | | |
| Beverages (1.4%): | | | |
| | 225 | | | Boston Beer Co., Inc. (The), Class A* | | | 223,715 | |
| | 1,105 | | | Brown-Forman Corp., Class A | | | 81,184 | |
| | 4,134 | | | Brown-Forman Corp., Class B | | | 328,364 | |
| | 39,878 | | | Coca-Cola Co. (The) | | | 2,186,910 | |
| | 285 | | | Coca-Cola Consolidated, Inc. | | | 75,887 | |
| | 1,703 | | | Constellation Brands, Inc., Class C | | | 373,042 | |
| | 4,758 | | | Keurig Dr Pepper, Inc. | | | 152,256 | |
| | 615 | | | MGP Ingredients, Inc. | | | 28,942 | |
| | 3,243 | | | Molson Coors Brewing Co., Class B | | | 146,551 | |
| | 4,050 | | | Monster Beverage Corp.* | | | 374,544 | |
| | 1,132 | | | National Beverage Corp.^ | | | 96,107 | |
| | 18,983 | | | PepsiCo, Inc. | | | 2,815,179 | |
| | | | | | | | |
| | | | | | | 6,882,681 | |
| | | | | | | | |
| Biotechnology (2.3%): | | | |
| | 18,635 | | | AbbVie, Inc. | | | 1,996,739 | |
| | 2,144 | | | ACADIA Pharmaceuticals, Inc.* | | | 114,618 | |
| | 737 | | | Acceleron Pharma, Inc.* | | | 94,292 | |
| | 3,964 | | | Adverum Biotechnologies, Inc.* | | | 42,970 | |
| | 436 | | | Agios Pharmaceuticals, Inc.* | | | 18,892 | |
| | 7,184 | | | Akebia Therapeutics, Inc.* | | | 20,115 | |
| | 2,787 | | | Alexion Pharmaceuticals, Inc.* | | | 435,441 | |
| | 1,012 | | | Alkermes plc* | | | 20,189 | |
| | 959 | | | Alnylam Pharmaceuticals, Inc.* | | | 124,641 | |
| | 8,026 | | | Amgen, Inc. | | | 1,845,337 | |
| | 955 | | | AnaptysBio, Inc.* | | | 20,533 | |
| | 1,621 | | | Arena Pharmaceuticals, Inc.* | | | 124,541 | |
| | 1,753 | | | Arrowhead Pharmaceuticals, Inc.* | | | 134,508 | |
| | 1,907 | | | Atara Biotherapeutics, Inc.* | | | 37,434 | |
| | 3,318 | | | Biogen, Inc.* | | | 812,444 | |
| | 2,087 | | | BioMarin Pharmaceutical, Inc.* | | | 183,009 | |
| | 1,469 | | | Bluebird Bio, Inc.* | | | 63,564 | |
| | 718 | | | Concert Pharmaceuticals, Inc.* | | | 9,076 | |
| | 1,534 | | | Denali Therapeutics, Inc.* | | | 128,488 | |
| | 233 | | | Eagle Pharmaceuticals, Inc.* | | | 10,851 | |
| | 1,656 | | | Emergent BioSolutions, Inc.* | | | 148,378 | |
| | 1,013 | | | Enanta Pharmaceuticals, Inc.* | | | 42,647 | |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 2,306 | | | Epizyme, Inc.* | | $ | 25,043 | |
| | 1,700 | | | Exact Sciences Corp.* | | | 225,233 | |
| | 8,266 | | | Exelixis, Inc.* | | | 165,899 | |
| | 522 | | | Fibrogen, Inc.* | | | 19,361 | |
| | 2,400 | | | Five Prime Therapeutics, Inc.* | | | 40,824 | |
| | 1,432 | | | G1 Therapeutics, Inc.*^ | | | 25,762 | |
| | 16,406 | | | Gilead Sciences, Inc. | | | 955,813 | |
| | 1,929 | | | Global Blood Therapeutics, Inc.* | | | 83,545 | |
| | 779 | | | Glycomimetics Industries* | | | 2,929 | |
| | 1,961 | | | Incyte Corp.* | | | 170,568 | |
| | 2,177 | | | Intellia Therapeutics, Inc.* | | | 118,429 | |
| | 1,964 | | | Ionis Pharmaceuticals, Inc.* | | | 111,045 | |
| | 4,399 | | | Ironwood Pharmaceuticals, Inc.* | | | 50,105 | |
| | 1,605 | | | Karyopharm Therapeutics, Inc.* | | | 24,845 | |
| | 1,263 | | | Kura Oncology, Inc.* | | | 41,250 | |
| | 526 | | | Ligand Pharmaceuticals, Inc., Class B*^ | | | 52,311 | |
| | 1,449 | | | Macrogenics, Inc.* | | | 33,124 | |
| | 194 | | | Madrigal Pharmaceuticals, Inc.*^ | | | 21,567 | |
| | 3,689 | | | Myriad Genetics, Inc.* | | | 72,950 | |
| | 715 | | | Neurocrine Biosciences, Inc.* | | | 68,533 | |
| | 1,522 | | | ObsEva SA* | | | 3,166 | |
| | 10,235 | | | OPKO Health, Inc.*^ | | | 40,428 | |
| | 9,565 | | | PDL BioPharma, Inc.^ | | | 23,626 | |
| | 1,720 | | | Prothena Corp. plc* | | | 20,658 | |
| | 687 | | | Regeneron Pharmaceuticals, Inc.* | | | 331,897 | |
| | 1,384 | | | REGENXBIO, Inc.* | | | 62,778 | |
| | 995 | | | Repligen Corp.* | | | 190,672 | |
| | 1,053 | | | Rhythm Pharmaceuticals, Inc.* | | | 31,306 | |
| | 2,600 | | | Rocket Pharmaceuticals, Inc.* | | | 142,584 | |
| | 1,793 | | | Sage Therapeutics, Inc.* | | | 155,112 | |
| | 4,658 | | | Sangamo Therapeutics, Inc.* | | | 72,688 | |
| | 660 | | | Sarepta Therapeutics, Inc.* | | | 112,523 | |
| | 1,210 | | | Seagen, Inc.* | | | 211,919 | |
| | 2,126 | | | Spectrum Pharmaceuticals, Inc.* | | | 7,250 | |
| | 1,882 | | | Travere Therapeutics, Inc.* | | | 51,294 | |
| | 1,104 | | | Ultragenyx Pharmaceutical, Inc.* | | | 152,827 | |
| | 1,559 | | | United Therapeutics Corp.* | | | 236,641 | |
| | 2,321 | | | Vanda Pharmaceuticals, Inc.* | | | 30,498 | |
| | 1,880 | | | Vertex Pharmaceuticals, Inc.* | | | 444,319 | |
| | 1,946 | | | Xencor, Inc.* | | | 84,904 | |
| | | | | | | | |
| | | | | | | 11,144,933 | |
| | | | | | | | |
| Building Products (0.9%): | | | |
| | 3,264 | | | A.O. Smith Corp. | | | 178,932 | |
| | 1,603 | | | AAON, Inc. | | | 106,808 | |
| | 2,557 | | | Advanced Drainage Systems, Inc. | | | 213,714 | |
| | 1,795 | | | Allegion plc | | | 208,902 | |
| | 938 | | | American Woodmark Corp.* | | | 88,031 | |
| | 1,085 | | | Apogee Enterprises, Inc. | | | 34,373 | |
| | 1,778 | | | Armstrong Flooring, Inc.* | | | 6,792 | |
| | 1,537 | | | Armstrong World Industries, Inc. | | | 114,337 | |
| | 5,385 | | | Builders FirstSource, Inc.* | | | 219,762 | |
| | 9,689 | | | Carrier Global Corp. | | | 365,470 | |
| | 3,362 | | | Cornerstone Building Brands, Inc.* | | | 31,199 | |
| | 889 | | | Csw Industrials, Inc. | | | 99,488 | |
| | 3,634 | | | Fortune Brands Home & Security, Inc. | | | 311,506 | |
| | 1,176 | | | Gibraltar Industries, Inc.* | | | 84,601 | |
| | 2,893 | | | Griffon Corp. | | | 58,959 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Building Products, continued | | | |
| | 1,209 | | | Insteel Industries, Inc. | | $ | 26,924 | |
| | 4,386 | | | Jeld-Wen Holding, Inc.* | | | 111,229 | |
| | 9,810 | | | Johnson Controls International plc | | | 457,049 | |
| | 617 | | | Lennox International, Inc. | | | 169,039 | |
| | 3,138 | | | Masco Corp. | | | 172,370 | |
| | 1,151 | | | Masonite International Corp.* | | | 113,189 | |
| | 2,817 | | | Owens Corning | | | 213,416 | |
| | 856 | | | Patrick Industries, Inc. | | | 58,508 | |
| | 3,615 | | | PGT Innovations, Inc.* | | | 73,529 | |
| | 1,925 | | | Quanex Building Products Corp. | | | 42,677 | |
| | 5,228 | | | Resideo Technologies, Inc.* | | | 111,147 | |
| | 1,453 | | | Simpson Manufacturing Co., Inc. | | | 135,783 | |
| | 3,325 | | | Trane Technologies plc | | | 482,658 | |
| | 3,254 | | | Trex Co., Inc.* | | | 272,425 | |
| | 2,320 | | | UFP Industries, Inc. | | | 128,876 | |
| | | | | | | | |
| | | | | | | 4,691,693 | |
| | | | | | | | |
| Capital Markets (3.0%): | | | |
| | 1,837 | | | Affiliated Managers Group, Inc. | | | 186,823 | |
| | 3,098 | | | Ameriprise Financial, Inc. | | | 602,034 | |
| | 1,834 | | | Ares Management Corp., Class A | | | 86,290 | |
| | 1,500 | | | Artisan Partners Asset Management, Inc., Class A | | | 75,510 | |
| | 11,695 | | | Bank of New York Mellon Corp. (The) | | | 496,336 | |
| | 14,937 | | | BGC Partners, Inc., Class A | | | 59,748 | |
| | 1,149 | | | BlackRock, Inc., Class A | | | 829,049 | |
| | 4,934 | | | Blackstone Group, Inc. (The), Class A | | | 319,773 | |
| | 2,377 | | | Blucora, Inc.* | | | 37,818 | |
| | 3,965 | | | Brightsphere Investment Group, Inc. | | | 76,445 | |
| | 2,288 | | | Cboe Global Markets, Inc. | | | 213,059 | |
| | 19,302 | | | Charles Schwab Corp. (The) | | | 1,023,778 | |
| | 2,550 | | | CME Group, Inc. | | | 464,228 | |
| | 1,396 | | | Cohen & Steers, Inc. | | | 103,723 | |
| | 190 | | | Diamond Hill Investment Group | | | 28,361 | |
| | 2,917 | | | Donnelley Financial Solutions, Inc.* | | | 49,501 | |
| | 3,982 | | | Eaton Vance Corp. | | | 270,497 | |
| | 696 | | | FactSet Research Systems, Inc. | | | 231,420 | |
| | 4,054 | | | Federated Hermes, Inc., Class B | | | 117,120 | |
| | 8,195 | | | Franklin Resources, Inc. | | | 204,793 | |
| | 388 | | | GAMCO Investors, Inc., Class A | | | 6,883 | |
| | 3,046 | | | Goldman Sachs Group, Inc. | | | 803,261 | |
| | 1,743 | | | Greenhill & Co., Inc. | | | 21,160 | |
| | 211 | | | Hennessy Advisors, Inc. | | | 1,800 | |
| | 1,166 | | | Houlihan Lokey, Inc. | | | 78,390 | |
| | 693 | | | Interactive Brokers Group, Inc., Class A | | | 42,218 | |
| | 5,212 | | | Intercontinental Exchange, Inc. | | | 600,891 | |
| | 13,284 | | | Invesco, Ltd. | | | 231,540 | |
| | 4,134 | | | Janus Henderson Group plc | | | 134,396 | |
| | 7,968 | | | KKR & Co., Inc., Class A | | | 322,624 | |
| | 3,497 | | | Lazard, Ltd., Class A | | | 147,923 | |
| | 2,674 | | | LPL Financial Holdings, Inc. | | | 278,684 | |
| | 510 | | | MarketAxess Holdings, Inc. | | | 290,986 | |
| | 1,429 | | | Moelis & Co., Class A | | | 66,820 | |
| | 1,831 | | | Moody’s Corp. | | | 531,429 | |
| | 22,064 | | | Morgan Stanley | | | 1,512,047 | |
| | 1,127 | | | Morningstar, Inc. | | | 260,979 | |
| | 962 | | | MSCI, Inc., Class A | | | 429,562 | |
| | 2,507 | | | Nasdaq, Inc. | | | 332,779 | |
| | 3,371 | | | Northern Trust Corp. | | | 313,975 | |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 1,024 | | | Oppenheimer Holdings, Class A | | $ | 32,184 | |
| | 784 | | | Piper Jaffray Cos., Inc. | | | 79,106 | |
| | 940 | | | PJT Partners, Inc. | | | 70,735 | |
| | 1,113 | | | Pzena Investment Management, Inc. | | | 8,125 | |
| | 2,834 | | | Raymond James Financial, Inc. | | | 271,129 | |
| | 2,272 | | | S&P Global, Inc. | | | 746,875 | |
| | 3,335 | | | SEI Investments Co. | | | 191,662 | |
| | 660 | | | Silvercrest Asset Management Group, Inc., Class A | | | 9,167 | |
| | 4,945 | | | State Street Corp. | | | 359,897 | |
| | 3,955 | | | Stifel Financial Corp. | | | 199,569 | |
| | 597 | | | StoneX Group, Inc.* | | | 34,566 | |
| | 3,413 | | | T. Rowe Price Group, Inc. | | | 516,694 | |
| | 800 | | | Tradeweb Markets, Inc., Class A | | | 49,960 | |
| | 1,429 | | | Virtu Financial, Inc., Class A | | | 35,968 | |
| | 438 | | | Virtus Investment Partners, Inc. | | | 95,046 | |
| | 4,662 | | | Waddell & Reed Financial, Inc., Class A | | | 118,741 | |
| | 425 | | | Westwood Holdings, Inc. | | | 6,163 | |
| | 7,874 | | | WisdomTree Investments, Inc. | | | 42,126 | |
| | | | | | | | |
| | | | | | | 14,752,366 | |
| | | | | | | | |
| Chemicals (2.5%): | | | |
| | 2,746 | | | AdvanSix, Inc.* | | | 54,893 | |
| | 2,162 | | | Air Products & Chemicals, Inc. | | | 590,702 | |
| | 2,746 | | | Albemarle Corp. | | | 405,090 | |
| | 1,157 | | | American Vanguard Corp. | | | 17,957 | |
| | 2,194 | | | Ashland Global Holdings, Inc. | | | 173,765 | |
| | 3,051 | | | Avient Corp. | | | 122,894 | |
| | 9,765 | | | Axalta Coating Systems, Ltd.* | | | 278,791 | |
| | 1,138 | | | Balchem Corp. | | | 131,120 | |
| | 2,532 | | | Cabot Corp. | | | 113,636 | |
| | 2,172 | | | Celanese Corp. | | | 282,230 | |
| | 7,247 | | | CF Industries Holdings, Inc. | | | 280,531 | |
| | 533 | | | Chase Corp. | | | 53,838 | |
| | 4,033 | | | Chemours Co. (The) | | | 99,978 | |
| | 578 | | | Core Molding Technologies, Inc.* | | | 8,138 | |
| | 11,406 | | | Corteva, Inc. | | | 441,640 | |
| | 10,590 | | | Dow, Inc. | | | 587,745 | |
| | 6,335 | | | DuPont de Nemours, Inc. | | | 450,482 | |
| | 2,765 | | | Eastman Chemical Co. | | | 277,274 | |
| | 3,033 | | | Ecolab, Inc. | | | 656,220 | |
| | 9,453 | | | Element Solutions, Inc. | | | 167,602 | |
| | 3,090 | | | Ferro Corp.* | | | 45,207 | |
| | 2,634 | | | FMC Corp. | | | 302,726 | |
| | 3,222 | | | Futurefuel Corp. | | | 40,919 | |
| | 3,313 | | | GCP Applied Technologies, Inc.* | | | 78,352 | |
| | 1,438 | | | H.B. Fuller Co. | | | 74,603 | |
| | 7,802 | | | Huntsman Corp. | | | 196,142 | |
| | 962 | | | Ingevity Corp.* | | | 72,852 | |
| | 571 | | | Innospec, Inc. | | | 51,807 | |
| | 1,701 | | | International Flavors & Fragrances, Inc. | | | 185,137 | |
| | 1,498 | | | Intrepid Potash, Inc.* | | | 36,177 | |
| | 783 | | | Koppers Holdings, Inc.* | | | 24,398 | |
| | 2,348 | | | Kraton Corp.* | | | 65,251 | |
| | 4,741 | | | Kronos Worldwide, Inc. | | | 70,688 | |
| | 3,530 | | | Linde plc | | | 930,189 | |
| | 2,160 | | | Livent Corp.* | | | 40,694 | |
| | 1,233 | | | LSB Industries, Inc.* | | | 4,180 | |
| | 8,976 | | | LyondellBasell Industries NV, Class A | | | 822,740 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 1,816 | | | Minerals Technologies, Inc. | | $ | 112,810 | |
| | 8,529 | | | Mosaic Co. (The) | | | 196,252 | |
| | 301 | | | NewMarket Corp. | | | 119,885 | |
| | 4,819 | | | Olin Corp. | | | 118,355 | |
| | 3,596 | | | PPG Industries, Inc. | | | 518,615 | |
| | 1,630 | | | PQ Group Holdings, Inc. | | | 23,244 | |
| | 3,631 | | | Rayonier Advanced Materials, Inc.* | | | 23,674 | |
| | 2,581 | | | RPM International, Inc. | | | 234,303 | |
| | 1,648 | | | Scotts Miracle-Gro Co. (The) | | | 328,183 | |
| | 1,575 | | | Sensient Technologies Corp. | | | 116,188 | |
| | 1,168 | | | Sherwin Williams Co. | | | 858,375 | |
| | 893 | | | Stepan Co. | | | 106,553 | |
| | 1,627 | | | Trecora Resources* | | | 11,373 | |
| | 1,070 | | | Tredegar Corp. | | | 17,869 | |
| | 2,086 | | | Trinseo SA | | | 106,824 | |
| | 4,906 | | | Tronox Holdings plc, Class A | | | 71,726 | |
| | 6,023 | | | Valvoline, Inc. | | | 139,372 | |
| | 4,276 | | | Venator Materials plc* | | | 14,154 | |
| | 2,512 | | | W.R. Grace & Co. | | | 137,708 | |
| | 2,616 | | | Westlake Chemical Corp. | | | 213,466 | |
| | | | | | | | |
| | | | | | | 11,705,517 | |
| | | | | | | | |
| Commercial Services & Supplies (0.9%): | | | |
| | 2,302 | | | ABM Industries, Inc. | | | 87,108 | |
| | 2,927 | | | ACCO Brands Corp. | | | 24,733 | |
| | 11,570 | | | ADT, Inc. | | | 90,825 | |
| | 4,271 | | | ARC Document Solutions, Inc. | | | 6,321 | |
| | 1,844 | | | Brady Corp., Class A | | | 97,400 | |
| | 1,144 | | | Brink’s Co. (The) | | | 82,368 | |
| | 1,028 | | | Casella Waste Systems, Inc.* | | | 63,685 | |
| | 2,003 | | | CECO Environmental Corp.* | | | 13,941 | |
| | 912 | | | Cimpress plc* | | | 80,019 | |
| | 1,047 | | | Cintas Corp. | | | 370,072 | |
| | 433 | | | Civeo Corp.* | | | 6,019 | |
| | 2,044 | | | Clean Harbors, Inc.* | | | 155,548 | |
| | 2,965 | | | Copart, Inc.* | | | 377,295 | |
| | 5,346 | | | Covanta Holding Corp. | | | 70,193 | |
| | 859 | | | Deluxe Corp. | | | 25,083 | |
| | 1,613 | | | Ennis, Inc. | | | 28,792 | |
| | 2,148 | | | Healthcare Services Group, Inc. | | | 60,359 | |
| | 1,042 | | | Heritage-Crystal Clean, Inc.* | | | 21,955 | |
| | 2,205 | | | Herman Miller, Inc. | | | 74,529 | |
| | 2,271 | | | HNI Corp. | | | 78,259 | |
| | 3,423 | | | IAA, Inc.* | | | 222,426 | |
| | 4,002 | | | Interface, Inc. | | | 42,021 | |
| | 5,118 | | | KAR Auction Services, Inc. | | | 95,246 | |
| | 2,829 | | | Kimball International, Inc., Class B | | | 33,807 | |
| | 2,754 | | | Knoll, Inc. | | | 40,429 | |
| | 1,875 | | | Matthews International Corp., Class A | | | 55,125 | |
| | 1,011 | | | McGrath Rentcorp | | | 67,838 | |
| | 1,035 | | | MSA Safety, Inc. | | | 154,619 | |
| | 1,552 | | | NL Industries, Inc. | | | 7,419 | |
| | 1,763 | | | PICO Holdings, Inc.* | | | 16,484 | |
| | 8,238 | | | Pitney Bowes, Inc. | | | 50,746 | |
| | 2,606 | | | Quad Graphics, Inc. | | | 9,955 | |
| | 4,955 | | | Republic Services, Inc., Class A | | | 477,166 | |
| | 5,020 | | | Rollins, Inc. | | | 196,130 | |
| | 2,114 | | | RR Donnelley & Sons Co. | | | 4,778 | |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies, continued | | | |
| | 1,467 | | | SP Plus Corp.* | | $ | 42,294 | |
| | 5,403 | | | Steelcase, Inc., Class A | | | 73,211 | |
| | 2,586 | | | Stericycle, Inc.* | | | 179,286 | |
| | 1,534 | | | Team, Inc.* | | | 16,721 | |
| | 1,293 | | | Tetra Tech, Inc. | | | 149,704 | |
| | 542 | | | UniFirst Corp. | | | 114,736 | |
| | 1,141 | | | US Ecology, Inc. | | | 41,453 | |
| | 1,003 | | | Viad Corp. | | | 36,279 | |
| | 824 | | | Vse Corp. | | | 31,716 | |
| | 4,386 | | | Waste Management, Inc. | | | 517,240 | |
| | | | | | | | |
| | | | | | | 4,491,333 | |
| | | | | | | | |
| Communications Equipment (0.9%): | | | |
| | 1,772 | | | Acacia Communications, Inc.* | | | 129,285 | |
| | 2,109 | | | ADTRAN, Inc. | | | 31,150 | |
| | 752 | | | Applied Optoelectronics, Inc.*^ | | | 6,400 | |
| | 1,259 | | | Arista Networks, Inc.* | | | 365,828 | |
| | 1,829 | | | CalAmp Corp.* | | | 18,144 | |
| | 2,202 | | | Calix, Inc.* | | | 65,532 | |
| | 2,888 | | | Ciena Corp.* | | | 152,631 | |
| | 45,143 | | | Cisco Systems, Inc. | | | 2,020,149 | |
| | 6,102 | | | CommScope Holding Co., Inc.* | | | 81,767 | |
| | 316 | | | Communications Systems, Inc. | | | 1,444 | |
| | 1,822 | | | Comtech Telecommunications Corp. | | | 37,697 | |
| | 1,262 | | | Digi International, Inc.* | | | 23,852 | |
| | 1,548 | | | EchoStar Corp., Class A* | | | 32,802 | |
| | 1,189 | | | EMCORE Corp.* | | | 6,480 | |
| | 1,236 | | | F5 Networks, Inc.* | | | 217,462 | |
| | 7,060 | | | Harmonic, Inc.* | | | 52,173 | |
| | 9,333 | | | Infinera Corp.* | | | 97,810 | |
| | 1,013 | | | InterDigital, Inc. | | | 61,469 | |
| | 5,828 | | | Juniper Networks, Inc. | | | 131,188 | |
| | 909 | | | KVH Industries, Inc.* | | | 10,317 | |
| | 1,533 | | | Lumentum Holdings, Inc.* | | | 145,328 | |
| | 1,806 | | | Motorola Solutions, Inc. | | | 307,128 | |
| | 1,810 | | | NETGEAR, Inc.* | | | 73,540 | |
| | 3,156 | | | NetScout Systems, Inc.* | | | 86,538 | |
| | 419 | | | Palo Alto Networks, Inc.* | | | 148,908 | |
| | 3,679 | | | Ribbon Communications, Inc.* | | | 24,134 | |
| | 181 | | | Ubiquiti, Inc. | | | 50,410 | |
| | 2,004 | | | ViaSat, Inc.* | | | 65,431 | |
| | 6,628 | | | Viavi Solutions, Inc.* | | | 99,254 | |
| | | | | | | | |
| | | | | | | 4,544,251 | |
| | | | | | | | |
| Construction & Engineering (0.5%): | | | |
| | 4,533 | | | AECOM* | | | 225,653 | |
| | 800 | | | Aegion Corp.* | | | 15,192 | |
| | 2,172 | | | Ameresco, Inc., Class A* | | | 113,465 | |
| | 1,719 | | | Arcosa, Inc. | | | 94,425 | |
| | 1,245 | | | Argan, Inc. | | | 55,390 | |
| | 1,358 | | | Comfort Systems USA, Inc. | | | 71,512 | |
| | 2,183 | | | Construction Partners, Inc., Class A* | | | 63,547 | |
| | 1,425 | | | Dycom Industries, Inc.* | | | 107,616 | |
| | 2,278 | | | EMCOR Group, Inc. | | | 208,346 | |
| | 2,848 | | | Fluor Corp. | | | 45,483 | |
| | 2,377 | | | Granite Construction, Inc. | | | 63,490 | |
| | 5,343 | | | Great Lakes Dredge & Dock Co.* | | | 70,367 | |
| | 1,221 | | | IES Holdings, Inc.* | | | 56,215 | |
| | 2,047 | | | Jacobs Engineering Group, Inc. | | | 223,041 | |
| | 2,706 | | | MasTec, Inc.* | | | 184,495 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering, continued | | | |
| | 1,578 | | | MYR Group, Inc.* | | $ | 94,838 | |
| | 574 | | | NV5 Global, Inc.* | | | 45,220 | |
| | 2,101 | | | Orion Group Holdings, Inc.* | | | 10,421 | |
| | 3,094 | | | Primoris Services Corp. | | | 85,425 | |
| | 4,376 | | | Quanta Services, Inc. | | | 315,159 | |
| | 2,791 | | | Tutor Perini Corp.* | | | 36,143 | |
| | 568 | | | Valmont Industries, Inc. | | | 99,360 | |
| | 8,757 | | | WillScot Mobile Mini Holdings Corp.* | | | 202,900 | |
| | | | | | | | |
| | | | | | | 2,487,703 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 961 | | | Eagle Materials, Inc., Class A | | | 97,397 | |
| | 971 | | | Martin Marietta Materials, Inc. | | | 275,735 | |
| | 5,020 | | | Summit Materials, Inc., Class A* | | | 100,802 | |
| | 1,308 | | | U.S. Concrete, Inc.* | | | 52,281 | |
| | 353 | | | U.S. Lime & Minerals, Inc. | | | 40,242 | |
| | 2,021 | | | Vulcan Materials Co. | | | 299,734 | |
| | | | | | | | |
| | | | | | | 866,191 | |
| | | | | | | | |
| Consumer Finance (0.8%): | | | |
| | 7,604 | | | Ally Financial, Inc. | | | 271,159 | |
| | 7,312 | | | American Express Co. | | | 884,094 | |
| | 4,697 | | | Capital One Financial Corp. | | | 464,298 | |
| | 1,912 | | | Consumer Portfolio Services, Inc.* | | | 8,107 | |
| | 563 | | | Credit Acceptance Corp.*^ | | | 194,877 | |
| | 4,708 | | | Discover Financial Services | | | 426,215 | |
| | 2,110 | | | Encore Capital Group, Inc.* | | | 82,185 | |
| | 2,357 | | | Enova International, Inc.* | | | 58,383 | |
| | 3,948 | | | EZCORP, Inc., Class A* | | | 18,911 | |
| | 1,460 | | | Firstcash, Inc. | | | 102,258 | |
| | 1,425 | | | Green Dot Corp., Class A* | | | 79,515 | |
| | 5,431 | | | LendingClub Corp.* | | | 57,351 | |
| | 9,170 | | | Navient Corp. | | | 90,049 | |
| | 1,462 | | | Nelnet, Inc., Class A | | | 104,153 | |
| | 750 | | | Nicholas Financial, Inc.* | | | 6,285 | |
| | 5,999 | | | OneMain Holdings, Inc. | | | 288,912 | |
| | 1,392 | | | PRA Group, Inc.* | | | 55,207 | |
| | 2,187 | | | PROG Holdings, Inc. | | | 117,814 | |
| | 960 | | | Regional Mgmt Corp. | | | 28,666 | |
| | 7,521 | | | Santander Consumer USA Holdings, Inc. | | | 165,612 | |
| | 13,802 | | | SLM Corp. | | | 171,007 | |
| | 9,685 | | | Synchrony Financial | | | 336,166 | |
| | 505 | | | World Acceptance Corp.* | | | 51,621 | |
| | | | | | | | |
| | | | | | | 4,062,845 | |
| | | | | | | | |
| Containers & Packaging (0.9%): | | | |
| | 21,700 | | | Amcor plc | | | 255,409 | |
| | 2,245 | | | AptarGroup, Inc. | | | 307,318 | |
| | 1,901 | | | Avery Dennison Corp. | | | 294,864 | |
| | 3,835 | | | Ball Corp. | | | 357,345 | |
| | 5,745 | | | Berry Global Group, Inc.* | | | 322,812 | |
| | 4,160 | | | Crown Holdings, Inc.* | | | 416,832 | |
| | 11,400 | | | Graphic Packaging Holding Co. | | | 193,116 | |
| | 1,930 | | | Greif, Inc., Class A | | | 90,478 | |
| | 1,110 | | | Greif, Inc., Class B | | | 53,702 | |
| | 7,878 | | | International Paper Co. | | | 391,694 | |
| | 2,608 | | | Myers Industries, Inc. | | | 54,194 | |
| | 6,963 | | | O-I Glass, Inc. | | | 82,860 | |
| | 2,417 | | | Packaging Corp. of America | | | 333,328 | |
| | 3,591 | | | Sealed Air Corp. | | | 164,432 | |
| | 5,030 | | | Silgan Holdings, Inc. | | | 186,512 | |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Containers & Packaging, continued | | | |
| | 3,834 | | | Sonoco Products Co. | | $ | 227,165 | |
| | 538 | | | UFP Technologies, Inc.* | | | 25,071 | |
| | 4,190 | | | WestRock Co. | | | 182,391 | |
| | | | | | | | |
| | | | | | | 3,939,523 | |
| | | | | | | | |
| Distributors (0.2%): | | | |
| | 2,074 | | | Core Markt Holdngs Co., Inc. | | | 60,913 | |
| | 1,267 | | | Funko, Inc., Class A* | | | 13,151 | |
| | 2,466 | | | Genuine Parts Co. | | | 247,661 | |
| | 5,971 | | | LKQ Corp.* | | | 210,418 | |
| | 645 | | | Pool Corp. | | | 240,263 | |
| | 811 | | | Weyco Group, Inc. | | | 12,846 | |
| | | | | | | | |
| | | | | | | 785,252 | |
| | | | | | | | |
| Diversified Consumer Services (0.3%): | | | |
| | 1,744 | | | Adtalem Global Education, Inc.* | | | 59,209 | |
| | 1,304 | | | American Public Education, Inc.* | | | 39,746 | |
| | 928 | | | Bright Horizons Family Solutions, Inc.* | | | 160,535 | |
| | 1,464 | | | Carriage Services, Inc. | | | 45,852 | |
| | 1,830 | | | Chegg, Inc.* | | | 165,304 | |
| | 506 | | | Collectors Universe, Inc. | | | 38,152 | |
| | 1,826 | | | Frontdoor, Inc.* | | | 91,683 | |
| | 112 | | | Graham Holdings Co., Class B | | | 59,739 | |
| | 1,296 | | | Grand Canyon Education, Inc.* | | | 120,671 | |
| | 5,239 | | | H&R Block, Inc. | | | 83,091 | |
| | 8,803 | | | Houghton Mifflin Harcourt Co.* | | | 29,314 | |
| | 3,406 | | | Laureate Education, Inc.* | | | 49,591 | |
| | 2,522 | | | Perdoceo Education Corp.* | | | 31,853 | |
| | 1,309 | | | Regis Corp.* | | | 12,030 | |
| | 3,783 | | | Service Corp. International | | | 185,745 | |
| | 825 | | | Strategic Education, Inc. | | | 78,647 | |
| | 1,702 | | | Stride, Inc.* | | | 36,133 | |
| | 3,452 | | | Terminix Global Holdings, Inc.* | | | 176,087 | |
| | 1,696 | | | Universal Technical Institute, Inc.* | | | 10,956 | |
| | 1,419 | | | WW International, Inc.* | | | 34,624 | |
| | | | | | | | |
| | | | | | | 1,508,962 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | | | |
| | 16,404 | | | Berkshire Hathaway, Inc., Class B* | | | 3,803,596 | |
| | 2,704 | | | Cannae Holdings, Inc.* | | | 119,706 | |
| | 8,500 | | | Equitable Holdings, Inc. | | | 217,515 | |
| | 6,286 | | | Jefferies Financial Group, Inc. | | | 154,636 | |
| | 827 | | | Marlin Business Services, Inc. | | | 10,122 | |
| | 2,777 | | | Voya Financial, Inc. | | | 163,315 | |
| | | | | | | | |
| | | | | | | 4,468,890 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.7%): | | | |
| | 398 | | | Anterix, Inc.* | | | 14,965 | |
| | 91,448 | | | AT&T, Inc. | | | 2,630,044 | |
| | 1,019 | | | ATN International, Inc. | | | 42,553 | |
| | 41,808 | | | CenturyLink, Inc. | | | 407,628 | |
| | 3,035 | | | Cincinnati Bell, Inc.* | | | 46,375 | |
| | 1,533 | | | Cogent Communications Holdings, Inc. | | | 91,781 | |
| | 4,558 | | | Consolidated Communications Holdings, Inc.* | | | 22,289 | |
| | 1,994 | | | IDT Corp.* | | | 24,646 | |
| | 4,575 | | | Iridium Communications, Inc.* | | | 179,912 | |
| | 4,045 | | | Orbcomm, Inc.* | | | 30,014 | |
| | 74,770 | | | Verizon Communications, Inc. | | | 4,392,737 | |
| | 5,536 | | | Vonage Holdings Corp.* | | | 71,276 | |
| | | | | | | | |
| | | | | | | 7,954,220 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities (1.3%): | | | |
| | 1,814 | | | ALLETE, Inc. | | $ | 112,359 | |
| | 3,658 | | | Alliant Energy Corp. | | | 188,497 | |
| | 4,579 | | | American Electric Power Co., Inc. | | | 381,293 | |
| | 1,163 | | | Avangrid, Inc. | | | 52,858 | |
| | 6,066 | | | Duke Energy Corp. | | | 555,403 | |
| | 4,361 | | | Edison International | | | 273,958 | |
| | 2,454 | | | Entergy Corp. | | | 245,007 | |
| | 3,085 | | | Evergy, Inc. | | | 171,248 | |
| | 3,630 | | | Eversource Energy | | | 314,031 | |
| | 9,675 | | | Exelon Corp. | | | 408,479 | |
| | 5,940 | | | FirstEnergy Corp. | | | 181,823 | |
| | 1,272 | | | Genie Energy, Ltd., Class B | | | 9,171 | |
| | 3,281 | | | Hawaiian Electric Industries, Inc. | | | 116,115 | |
| | 1,376 | | | IDACORP, Inc. | | | 132,137 | |
| | 1,426 | | | MGE Energy, Inc. | | | 99,863 | |
| | 16,146 | | | NextEra Energy, Inc. | | | 1,245,665 | |
| | 5,238 | | | OGE Energy Corp. | | | 166,883 | |
| | 1,672 | | | Otter Tail Corp. | | | 71,244 | |
| | 1,175 | | | PG&E Corp.* | | | 14,641 | |
| | 1,787 | | | Pinnacle West Capital Corp. | | | 142,871 | |
| | 2,755 | | | PNM Resources, Inc. | | | 133,700 | |
| | 2,522 | | | Portland General Electric Co. | | | 107,866 | |
| | 8,885 | | | PPL Corp. | | | 250,557 | |
| | 9,394 | | | Southern Co. (The) | | | 577,073 | |
| | 5,593 | | | Xcel Energy, Inc. | | | 372,885 | |
| | | | | | | | |
| | | | | | | 6,325,627 | |
| | | | | | | | |
| Electrical Equipment (0.9%): | | | |
| | 1,491 | | | Acuity Brands, Inc. | | | 180,545 | |
| | 926 | | | Allied Motion Technologies, Inc. | | | 47,319 | |
| | 3,342 | | | AMETEK, Inc. | | | 404,181 | |
| | 2,063 | | | Atkore International Group, Inc.* | | | 84,810 | |
| | 1,175 | | | AZZ, Inc. | | | 55,742 | |
| | 4,682 | | | Eaton Corp. plc | | | 562,495 | |
| | 5,477 | | | Emerson Electric Co. | | | 440,185 | |
| | 1,159 | | | Encore Wire Corp. | | | 70,201 | |
| | 1,495 | | | EnerSys | | | 124,175 | |
| | 1,682 | | | Generac Holdings, Inc.* | | | 382,504 | |
| | 7,206 | | | GrafTech International, Ltd. | | | 76,816 | |
| | 1,806 | | | Hubbell, Inc. | | | 283,163 | |
| | 1,831 | | | LSI Industries, Inc. | | | 15,673 | |
| | 5,836 | | | nVent Electric plc | | | 135,920 | |
| | 606 | | | Powell Industries, Inc. | | | 17,871 | |
| | 400 | | | Preformed Line Products Co. | | | 27,376 | |
| | 1,466 | | | Regal-Beloit Corp. | | | 180,039 | |
| | 1,627 | | | Rockwell Automation, Inc. | | | 408,068 | |
| | 3,842 | | | Sensata Technologies Holding plc* | | | 202,628 | |
| | 4,883 | | | Sunrun, Inc.* | | | 338,783 | |
| | 1,298 | | | Thermon Group Holdings, Inc.* | | | 20,288 | |
| | 1,704 | | | Tpi Composites, Inc.* | | | 89,937 | |
| | | | | | | | |
| | | | | | | 4,148,719 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.4%): | | | |
| | 3,639 | | | Amphenol Corp., Class A | | | 475,872 | |
| | 2,582 | | | Arlo Technologies, Inc.* | | | 20,114 | |
| | 2,648 | | | Arrow Electronics, Inc.* | | | 257,650 | |
| | 2,249 | | | Avnet, Inc. | | | 78,962 | |
| | 1,234 | | | Badger Meter, Inc. | | | 116,070 | |
| | 550 | | | Bel Fuse, Inc., Class B | | | 8,267 | |
| | 2,225 | | | Belden, Inc. | | | 93,228 | |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 1,721 | | | Benchmark Electronics, Inc. | | $ | 46,484 | |
| | 2,500 | | | CDW Corp. | | | 329,475 | |
| | 2,111 | | | Cognex Corp. | | | 169,482 | |
| | 687 | | | Coherent, Inc.* | | | 103,064 | |
| | 11,096 | | | Corning, Inc. | | | 399,456 | |
| | 1,576 | | | CTS Corp. | | | 54,104 | |
| | 2,838 | | | Daktronics, Inc. | | | 13,282 | |
| | 1,977 | | | Dolby Laboratories, Inc., Class A | | | 192,026 | |
| | 876 | | | ePlus, Inc.* | | | 77,044 | |
| | 1,526 | | | Fabrinet* | | | 118,402 | |
| | 1,007 | | | FARO Technologies, Inc.* | | | 71,124 | |
| | 10,405 | | | Fitbit, Inc., Class A* | | | 70,754 | |
| | 16,972 | | | Flex, Ltd.* | | | 305,157 | |
| | 3,299 | | | FLIR Systems, Inc. | | | 144,595 | |
| | 640 | | | Frequency Electronics, Inc.* | | | 6,918 | |
| | 1,676 | | | Insight Enterprises, Inc.* | | | 127,527 | |
| | 959 | | | IPG Photonics Corp.* | | | 214,615 | |
| | 1,449 | | | Itron, Inc.* | | | 138,959 | |
| | 6,268 | | | Jabil, Inc. | | | 266,578 | |
| | 3,083 | | | Keysight Technologies, Inc.* | | | 407,233 | |
| | 1,603 | | | Kimball Electronics, Inc.* | | | 25,632 | |
| | 4,037 | | | Knowles Corp.* | | | 74,402 | |
| | 725 | | | Littlelfuse, Inc. | | | 184,629 | |
| | 2,290 | | | Methode Electronics, Inc., Class A | | | 87,661 | |
| | 915 | | | MTS Systems Corp. | | | 53,216 | |
| | 3,415 | | | National Instruments Corp. | | | 150,055 | |
| | 902 | | | Novanta, Inc.* | | | 106,634 | |
| | 594 | | | OSI Systems, Inc.* | | | 55,373 | |
| | 1,445 | | | PC Connection, Inc. | | | 68,334 | |
| | 1,291 | | | Plexus Corp.* | | | 100,969 | |
| | 593 | | | Rogers Corp.* | | | 92,087 | |
| | 2,240 | | | Sanmina Corp.* | | | 71,434 | |
| | 1,757 | | | ScanSource, Inc.* | | | 46,350 | |
| | 2,124 | | | SYNNEX Corp. | | | 172,979 | |
| | 3,729 | | | TE Connectivity, Ltd. | | | 451,470 | |
| | 3,861 | | | Trimble, Inc.* | | | 257,799 | |
| | 6,321 | | | TTM Technologies, Inc.* | | | 87,198 | |
| | 6,420 | | | Vishay Intertechnology, Inc. | | | 132,958 | |
| | 2,080 | | | Vontier Corp.* | | | 69,472 | |
| | 576 | | | Zebra Technologies Corp., Class A* | | | 221,374 | |
| | | | | | | | |
| | | | | | | 6,816,468 | |
| | | | | | | | |
| Energy Equipment & Services (0.4%): | | | |
| | 7,479 | | | Archrock, Inc. | | | 64,768 | |
| | 10,629 | | | Baker Hughes Co. | | | 221,616 | |
| | 519 | | | Bristow Group, Inc.* | | | 13,660 | |
| | 6,215 | | | ChampionX Corp.* | | | 95,090 | |
| | 1,347 | | | Core Laboratories NV | | | 35,709 | |
| | 2,169 | | | Dril-Quip, Inc.* | | | 64,246 | |
| | 2,010 | | | Exterran Corp.* | | | 8,884 | |
| | 306 | | | Forum Energy Technologies, Inc.* | | | 3,641 | |
| | 13,037 | | | Frank’s International NV* | | | 35,721 | |
| | 760 | | | Geospace Technologies Corp.* | | | 6,506 | |
| | 1,086 | | | Gulf Island Fabrication, Inc.* | | | 3,323 | |
| | 23,469 | | | Halliburton Co. | | | 443,565 | |
| | 7,826 | | | Helix Energy Solutions Group, Inc.* | | | 32,869 | |
| | 2,727 | | | Helmerich & Payne, Inc. | | | 63,157 | |
| | 177 | | | KLX Energy Services Holdings, Inc.* | | | 1,143 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services, continued | | | |
| | 2,181 | | | Liberty Oilfield Services, Inc., Class A | | $ | 22,486 | |
| | 1,436 | | | Mammoth Energy Services, Inc.* | | | 6,390 | |
| | 1,750 | | | Matrix Service Co.* | | | 19,285 | |
| | 359 | | | Nabors Industries, Ltd.* | | | 20,905 | |
| | 935 | | | Natural Gas Services Group* | | | 8,864 | |
| | 4,799 | | | Newpark Resources, Inc.* | | | 9,214 | |
| | 12,646 | | | NexTier Oilfield Solutions, Inc.* | | | 43,502 | |
| | 8,395 | | | NOV, Inc. | | | 115,264 | |
| | 4,818 | | | Oceaneering International, Inc.* | | | 38,303 | |
| | 3,066 | | | Oil States International, Inc.* | | | 15,391 | |
| | 6,531 | | | Patterson-UTI Energy, Inc. | | | 34,353 | |
| | 6,172 | | | Propetro Holding Corp.* | | | 45,611 | |
| | 4,475 | | | RPC, Inc.* | | | 14,096 | |
| | 23,184 | | | Schlumberger, Ltd. | | | 506,107 | |
| | 1,291 | | | SEACOR Holdings, Inc.* | | | 53,512 | |
| | 493 | | | SEACOR Marine Holdings, Inc.* | | | 1,336 | |
| | 3,974 | | | Select Energy Services, Inc.* | | | 16,293 | |
| | 13,590 | | | TechnipFMC plc | | | 127,746 | |
| | 4,086 | | | TETRA Technologies, Inc.* | | | 3,520 | |
| | 2,510 | | | Tidewater, Inc.* | | | 21,686 | |
| | 14,584 | | | Transocean, Ltd.* | | | 33,689 | |
| | 4,546 | | | U.S. Silica Holdings, Inc.* | | | 31,913 | |
| | | | | | | | |
| | | | | | | 2,283,364 | |
| | | | | | | | |
| Entertainment (1.2%): | | | |
| | 5,649 | | | Activision Blizzard, Inc. | | | 524,510 | |
| | 4,383 | | | Cinemark Holdings, Inc.^ | | | 76,308 | |
| | 2,791 | | | Electronic Arts, Inc. | | | 400,788 | |
| | 1,834 | | | Eros STX Global Corp.* | | | 3,338 | |
| | 2,858 | | | Imax Corp.* | | | 51,501 | |
| | 247 | | | Liberty Braves Group, Class A* | | | 6,143 | |
| | 527 | | | Liberty Braves Group, Class C* | | | 13,112 | |
| | 619 | | | Liberty Media Corp-Liberty Formula One, Class A* | | | 23,516 | |
| | 4,974 | | | Liberty Media Corp-Liberty Formula One, Class C* | | | 211,892 | |
| | 2,111 | | | Lions Gate Entertainment Corp., Class A* | | | 24,002 | |
| | 2,411 | | | Lions Gate Entertainment Corp., Class B* | | | 25,026 | |
| | 2,071 | | | Live Nation Entertainment, Inc.* | | | 152,177 | |
| | 540 | | | Madison Square Garden Entertainment Corp.* | | | 56,722 | |
| | 1,459 | | | Marcus Corp. | | | 19,667 | |
| | 3,237 | | | Netflix, Inc.* | | | 1,750,343 | |
| | 1,419 | | | Reading International, Inc., Class A* | | | 7,123 | |
| | 352 | | | Spotify Technology SA* | | | 110,760 | |
| | 1,662 | | | Take-Two Interactive Software, Inc.* | | | 345,347 | |
| | 11,109 | | | Walt Disney Co. (The)* | | | 2,012,729 | |
| | 1,208 | | | World Wrestling Entertainment, Inc., Class A | | | 58,044 | |
| | 27,521 | | | Zynga, Inc.* | | | 271,632 | |
| | | | | | | | |
| | | | | | | 6,144,680 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.0%†): | | | |
| | 2,755 | | | Brookfield Renewable Corp., Class A | | | 160,535 | |
| | | | | | | | |
| Food & Staples Retailing (1.3%): | | | |
| | 3,282 | | | BJ’s Wholesale Club Holdings, Inc.* | | | 122,353 | |
| | 1,222 | | | Casey’s General Stores, Inc. | | | 218,274 | |
| | 4,041 | | | Costco Wholesale Corp. | | | 1,522,568 | |
| | 1,267 | | | Ingles Markets, Inc., Class A | | | 54,050 | |
| | 19,769 | | | Kroger Co. (The) | | | 627,863 | |
| | 1,720 | | | Natural Grocers by Vitamin Cottage, Inc. | | | 23,633 | |
| | 3,362 | | | Performance Food Group Co.* | | | 160,065 | |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 884 | | | PriceSmart, Inc. | | $ | 80,524 | |
| | 1,864 | | | Rite Aid Corp.*^ | | | 29,507 | |
| | 3,281 | | | SpartanNash Co. | | | 57,122 | |
| | 4,494 | | | Sprouts Farmers Market, Inc.* | | | 90,329 | |
| | 7,027 | | | Sysco Corp. | | | 521,825 | |
| | 1,610 | | | The Andersons, Inc. | | | 39,461 | |
| | 1,143 | | | The Chefs’ Warehouse, Inc.* | | | 29,364 | |
| | 3,347 | | | United Natural Foods, Inc.* | | | 53,452 | |
| | 7,385 | | | US Foods Holding Corp.* | | | 245,994 | |
| | 738 | | | Village Super Market, Inc., Class A | | | 16,280 | |
| | 11,281 | | | Walgreens Boots Alliance, Inc. | | | 449,886 | |
| | 13,804 | | | Walmart, Inc. | | | 1,989,847 | |
| | 1,607 | | | Weis Markets, Inc. | | | 76,831 | |
| | | | | | | | |
| | | | | | | 6,409,228 | |
| | | | | | | | |
| Food Products (1.5%): | | | |
| | 8,473 | | | Archer-Daniels-Midland Co. | | | 427,124 | |
| | 3,898 | | | B&G Foods, Inc.^ | | | 108,092 | |
| | 4,205 | | | Bunge, Ltd. | | | 275,764 | |
| | 808 | | | Calavo Growers, Inc. | | | 56,099 | |
| | 1,477 | | | Cal-Maine Foods, Inc.* | | | 55,447 | |
| | 5,711 | | | Campbell Soup Co. | | | 276,127 | |
| | 8,140 | | | Conagra Brands, Inc. | | | 295,156 | |
| | 4,717 | | | Darling Ingredients, Inc.* | | | 272,077 | |
| | 1,004 | | | Farmer Brothers Co.* | | | 4,689 | |
| | 7,961 | | | Flowers Foods, Inc. | | | 180,157 | |
| | 2,396 | | | Fresh Del Monte Produce, Inc. | | | 57,672 | |
| | 10,572 | | | General Mills, Inc. | | | 621,633 | |
| | 3,202 | | | Hain Celestial Group, Inc. (The)* | | | 128,560 | |
| | 1,995 | | | Hershey Co. (The) | | | 303,898 | |
| | 4,488 | | | Hormel Foods Corp. | | | 209,186 | |
| | 6,244 | | | Hostess Brands, Inc.* | | | 91,412 | |
| | 2,764 | | | Ingredion, Inc. | | | 217,444 | |
| | 576 | | | J & J Snack Foods Corp. | | | 89,493 | |
| | 2,059 | | | JM Smucker Co. (The) | | | 238,020 | |
| | 300 | | | John B Sanfilippo And Son, Inc. | | | 23,658 | |
| | 3,437 | | | Kellogg Co. | | | 213,885 | |
| | 9,513 | | | Kraft Heinz Co. (The) | | | 329,721 | |
| | 2,371 | | | Lamb Weston Holdings, Inc. | | | 186,693 | |
| | 902 | | | Lancaster Colony Corp. | | | 165,724 | |
| | 1,028 | | | Landec Corp.* | | | 11,154 | |
| | 4,048 | | | McCormick & Co. | | | 386,989 | |
| | 778 | | | McCormick & Co., Inc. | | | 74,353 | |
| | 9,925 | | | Mondelez International, Inc., Class A | | | 580,315 | |
| | 4,222 | | | Pilgrim’s Pride Corp.* | | | 82,793 | |
| | 2,703 | | | Post Holdings, Inc.* | | | 273,030 | |
| | 854 | | | Sanderson Farms, Inc. | | | 112,899 | |
| | 29 | | | Seaboard Corp. | | | 87,899 | |
| | 677 | | | Seneca Foods Corp., Class A* | | | 27,012 | |
| | 3,045 | | | Simply Good Foods Co. (The)* | | | 95,491 | |
| | 1,897 | | | Tootsie Roll Industries, Inc.^ | | | 56,341 | |
| | 2,341 | | | TreeHouse Foods, Inc.* | | | 99,469 | |
| | 4,868 | | | Tyson Foods, Inc., Class A | | | 313,694 | |
| | | | | | | | |
| | | | | | | 7,029,170 | |
| | | | | | | | |
| Gas Utilities (0.2%): | | | |
| | 1,922 | | | Atmos Energy Corp. | | | 183,416 | |
| | 439 | | | Chesapeake Utilities Corp. | | | 47,504 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Gas Utilities, continued | | | |
| | 2,716 | | | National Fuel Gas Co. | | $ | 111,709 | |
| | 3,160 | | | New Jersey Resources Corp. | | | 112,338 | |
| | 1,115 | | | Northwest Natural Holding Co. | | | 51,279 | |
| | 1,624 | | | ONE Gas, Inc. | | | 124,674 | |
| | 232 | | | RGC Resources, Inc. | | | 5,517 | |
| | 2,958 | | | South Jersey Industries, Inc. | | | 63,745 | |
| | 1,754 | | | Southwest Gas Holdings, Inc. | | | 106,556 | |
| | 1,545 | | | Spire, Inc. | | | 98,942 | |
| | 5,539 | | | UGI Corp. | | | 193,644 | |
| | | | | | | | |
| | | | | | | 1,099,324 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.6%): | | | |
| | 10,675 | | | Abbott Laboratories | | | 1,168,805 | |
| | 763 | | | ABIOMED, Inc.* | | | 247,365 | |
| | 2,269 | | | Accuray, Inc.* | | | 9,462 | |
| | 849 | | | Align Technology, Inc.* | | | 453,689 | |
| | 2,726 | | | AngioDynamics, Inc.* | | | 41,790 | |
| | 955 | | | Anika Therapeutics, Inc.* | | | 43,223 | |
| | 66 | | | Atrion Corp. | | | 42,388 | |
| | 1,897 | | | Avanos Medical, Inc.* | | | 87,034 | |
| | 5,447 | | | Baxter International, Inc. | | | 437,067 | |
| | 1,924 | | | Becton Dickinson & Co. | | | 481,423 | |
| | 9,810 | | | Boston Scientific Corp.* | | | 352,670 | |
| | 1,208 | | | Cantel Medical Corp. | | | 95,263 | |
| | 789 | | | CONMED Corp. | | | 88,368 | |
| | 862 | | | Cooper Cos., Inc. (The) | | | 313,182 | |
| | 1,619 | | | CryoLife, Inc.* | | | 38,225 | |
| | 4,118 | | | Danaher Corp. | | | 914,772 | |
| | 3,880 | | | Dentsply Sirona, Inc. | | | 203,157 | |
| | 693 | | | DexCom, Inc.* | | | 256,216 | |
| | 3,836 | | | Edwards Lifesciences Corp.* | | | 349,958 | |
| | 1,790 | | | Envista Holdings Corp.* | | | 60,377 | |
| | 2,271 | | | Globus Medical, Inc., Class A* | | | 148,115 | |
| | 1,463 | | | Haemonetics Corp.* | | | 173,731 | |
| | 392 | | | Heska Corp.* | | | 57,095 | |
| | 1,363 | | | Hill-Rom Holdings, Inc. | | | 133,533 | |
| | 4,490 | | | Hologic, Inc.* | | | 327,007 | |
| | 573 | | | ICU Medical, Inc.* | | | 122,903 | |
| | 1,172 | | | IDEXX Laboratories, Inc.* | | | 585,847 | |
| | 433 | | | Inogen, Inc.* | | | 19,346 | |
| | 334 | | | Insulet Corp.* | | | 85,380 | |
| | 1,457 | | | Integer Holdings Corp.* | | | 118,294 | |
| | 2,546 | | | Integra LifeSciences Holdings Corp.* | | | 165,286 | |
| | 681 | | | Intuitive Surgical, Inc.* | | | 557,126 | |
| | 2,327 | | | Invacare Corp. | | | 20,827 | |
| | 1,705 | | | Lantheus Holdings, Inc.* | | | 23,000 | |
| | 809 | | | LeMaitre Vascular, Inc. | | | 32,765 | |
| | 725 | | | LENSAR, Inc.* | | | 5,256 | |
| | 1,168 | | | LivaNova plc* | | | 77,333 | |
| | 647 | | | Masimo Corp.* | | | 173,642 | |
| | 8,218 | | | Medtronic plc | | | 962,656 | |
| | 3,164 | | | Meridian Bioscience, Inc.* | | | 59,135 | |
| | 1,466 | | | Merit Medical Systems, Inc.* | | | 81,378 | |
| | 1,935 | | | Natus Medical, Inc.* | | | 38,777 | |
| | 804 | | | Neogen Corp.* | | | 63,757 | |
| | 952 | | | Novocure, Ltd.* | | | 164,734 | |
| | 1,366 | | | NuVasive, Inc.* | | | 76,947 | |
| | 2,205 | | | OraSure Technologies, Inc.* | | | 23,340 | |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 1,074 | | | Orthofix Medical, Inc.* | | $ | 46,161 | |
| | 630 | | | Penumbra, Inc.* | | | 110,250 | |
| | 700 | | | Quidel Corp.* | | | 125,755 | |
| | 1,749 | | | ResMed, Inc. | | | 371,767 | |
| | 624 | | | SeaSpine Holdings Corp.* | | | 10,889 | |
| | 1,207 | | | Steris plc | | | 228,775 | |
| | 2,065 | | | Stryker Corp. | | | 506,008 | |
| | 3,310 | | | Surgalign Holdings, Inc.* | | | 7,249 | |
| | 531 | | | Teleflex, Inc. | | | 218,544 | |
| | 227 | | | Utah Medical Products, Inc. | | | 19,136 | |
| | 1,961 | | | Varex Imaging Corp.* | | | 32,709 | |
| | 1,458 | | | Varian Medical Systems, Inc.* | | | 255,165 | |
| | 775 | | | West Pharmaceutical Services, Inc. | | | 219,565 | |
| | 1,577 | | | Zimmer Biomet Holdings, Inc. | | | 243,000 | |
| | | | | | | | |
| | | | | | | 12,376,617 | |
| | | | | | | | |
| Health Care Providers & Services (2.8%): | | | |
| | 3,551 | | | Acadia Healthcare Co., Inc.* | | | 178,473 | |
| | 634 | | | Addus HomeCare Corp.* | | | 74,235 | |
| | 864 | | | Amedisys, Inc.* | | | 253,437 | |
| | 2,183 | | | AmerisourceBergen Corp. | | | 213,410 | |
| | 1,394 | | | AMN Healthcare Services, Inc.* | | | 95,141 | |
| | 2,561 | | | Anthem, Inc. | | | 822,311 | |
| | 724 | | | BioTelemetry, Inc.* | | | 52,186 | |
| | 9,264 | | | Brookdale Senior Living, Inc.* | | | 41,040 | |
| | 5,011 | | | Cardinal Health, Inc. | | | 268,389 | |
| | 6,961 | | | Centene Corp.* | | | 417,869 | |
| | 297 | | | Chemed Corp. | | | 158,185 | |
| | 4,411 | | | Cigna Corp. | | | 918,282 | |
| | 7,171 | | | Community Health Systems, Inc.* | | | 53,281 | |
| | 922 | | | CorVel Corp.* | | | 97,732 | |
| | 1,589 | | | Covetrus, Inc.* | | | 45,668 | |
| | 1,177 | | | Cross Country Healthcare, Inc.* | | | 10,440 | |
| | 17,397 | | | CVS Health Corp. | | | 1,188,214 | |
| | 3,446 | | | DaVita, Inc.* | | | 404,560 | |
| | 3,452 | | | Encompass Health Corp. | | | 285,446 | |
| | 1,585 | | | Ensign Group, Inc. (The) | | | 115,578 | |
| | 78 | | | Five Star Senior Living, Inc.* | | | 538 | |
| | 502 | | | Guardant Health, Inc.* | | | 64,698 | |
| | 1,531 | | | Hanger, Inc.* | | | 33,667 | |
| | 2,475 | | | HCA Healthcare, Inc. | | | 407,039 | |
| | 2,772 | | | Henry Schein, Inc.* | | | 185,336 | |
| | 1,395 | | | Humana, Inc. | | | 572,327 | |
| | 2,629 | | | InfuSystems Holdings, Inc.* | | | 49,373 | |
| | 1,433 | | | Laboratory Corp. of America Holdings* | | | 291,687 | |
| | 925 | | | LHC Group, Inc.* | | | 197,321 | |
| | 1,171 | | | Magellan Health, Inc.* | | | 97,006 | |
| | 3,022 | | | McKesson Corp. | | | 525,586 | |
| | 3,346 | | | MEDNAX, Inc.* | | | 82,111 | |
| | 1,417 | | | Molina Healthcare, Inc.* | | | 301,368 | |
| | 1,075 | | | National Healthcare Corp. | | | 71,391 | |
| | 1,219 | | | National Research Corp. | | | 52,112 | |
| | 4,172 | | | Owens & Minor, Inc. | | | 112,853 | |
| | 3,095 | | | Patterson Cos., Inc. | | | 91,705 | |
| | 629 | | | Petiq, Inc.*^ | | | 24,185 | |
| | 2,269 | | | Premier, Inc., Class A | | | 79,642 | |
| | 835 | | | Providence Service Corp.* | | | 115,756 | |
| | 2,229 | | | Quest Diagnostics, Inc. | | | 265,630 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services, continued | | | |
| | 2,518 | | | RadNet, Inc.* | | $ | 49,277 | |
| | 2,778 | | | Select Medical Holdings Corp.* | | | 76,839 | |
| | 2,133 | | | Surgery Partners, Inc.* | | | 61,878 | |
| | 2,751 | | | Tenet Healthcare Corp.* | | | 109,847 | |
| | 792 | | | The Pennant Group, Inc.* | | | 45,984 | |
| | 1,303 | | | Triple-S Management Corp., Class B* | | | 27,819 | |
| | 577 | | | U.S. Physical Therapy, Inc. | | | 69,384 | |
| | 9,755 | | | UnitedHealth Group, Inc. | | | 3,420,882 | |
| | 2,273 | | | Universal Health Services, Inc., Class B | | | 312,538 | |
| | | | | | | | |
| | | | | | | 13,489,656 | |
| | | | | | | | |
| Health Care Technology (0.3%): | | | |
| | 8,903 | | | Allscripts Healthcare Solutions, Inc.* | | | 128,559 | |
| | 5,194 | | | Cerner Corp. | | | 407,625 | |
| | 4,924 | | | Change Healthcare, Inc.* | | | 91,833 | |
| | 339 | | | Computer Programs & Systems, Inc. | | | 9,099 | |
| | 4,037 | | | Evolent Health, Inc., Class A* | | | 64,713 | |
| | 1,357 | | | HealthStream, Inc.* | | | 29,637 | |
| | 3,154 | | | HMS Holdings Corp.* | | | 115,910 | |
| | 2,464 | | | NextGen Healthcare, Inc.* | | | 44,943 | |
| | 1,095 | | | Omnicell, Inc.* | | | 131,422 | |
| | 1,047 | | | Simulations Plus, Inc. | | | 75,300 | |
| | 973 | | | Teladoc Health, Inc.* | | | 194,561 | |
| | 841 | | | Veeva Systems, Inc., Class A* | | | 228,962 | |
| | | | | | | | |
| | | | | | | 1,522,564 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.9%): | | | |
| | 6,974 | | | Aramark | | | 268,360 | |
| | 6 | | | Biglari Holdings, Inc., Class A* | | | 3,510 | |
| | 67 | | | Biglari Holdings, Inc., Class B* | | | 7,450 | |
| | 813 | | | BJ’s Restaurants, Inc. | | | 31,292 | |
| | 3,499 | | | Bloomin’ Brands, Inc. | | | 67,951 | |
| | 491 | | | Bluegreen Vacations Holding Corp.* | | | 6,643 | |
| | 1,968 | | | Brinker International, Inc. | | | 111,330 | |
| | 1,000 | | | Caesars Entertainment, Inc.* | | | 74,270 | |
| | 6,877 | | | Carnival Corp., Class A | | | 148,956 | |
| | 2,943 | | | Carrols Restaurant Group, Inc.* | | | 18,482 | |
| | 2,158 | | | Cheesecake Factory, Inc. (The)^ | | | 79,975 | |
| | 262 | | | Chipotle Mexican Grill, Inc.* | | | 363,318 | |
| | 1,393 | | | Choice Hotels International, Inc. | | | 148,675 | |
| | 428 | | | Churchill Downs, Inc. | | | 83,370 | |
| | 1,178 | | | Chuy’s Holdings, Inc.* | | | 31,205 | |
| | 732 | | | Cracker Barrel Old Country Store, Inc. | | | 96,565 | |
| | 3,100 | | | Darden Restaurants, Inc. | | | 369,272 | |
| | 1,410 | | | Dave & Buster’s Entertainment, Inc.^ | | | 42,328 | |
| | 2,144 | | | Del Taco Restaurants, Inc.* | | | 19,425 | |
| | 2,291 | | | Denny’s Corp.* | | | 33,632 | |
| | 451 | | | Domino’s Pizza, Inc. | | | 172,940 | |
| | 1,288 | | | El Pollo Loco Holdings, Inc.* | | | 23,313 | |
| | 1,277 | | | Fiesta Restaurant Group, Inc.* | | | 14,558 | |
| | 2,724 | | | Hilton Grand Vacations, Inc.* | | | 85,397 | |
| | 3,316 | | | Hilton Worldwide Holdings, Inc. | | | 368,938 | |
| | 1,051 | | | Hyatt Hotels Corp., Class A | | | 78,037 | |
| | 6,233 | | | International Game Technology plc | | | 105,587 | |
| | 721 | | | Jack in the Box, Inc. | | | 66,909 | |
| | 3,711 | | | Las Vegas Sands Corp. | | | 221,176 | |
| | 2,136 | | | Luby’s, Inc.* | | | 6,066 | |
| | 2,747 | | | Marriott International, Inc., Class A | | | 362,384 | |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 1,381 | | | Marriott Vacations Worldwide Corp. | | $ | 189,501 | |
| | 6,141 | | | McDonald’s Corp. | | | 1,317,737 | |
| | 10,392 | | | MGM Resorts International | | | 327,452 | |
| | 341 | | | Nathans Famous, Inc. | | | 18,830 | |
| | 5,162 | | | Norwegian Cruise Line Holdings, Ltd.*^ | | | 131,270 | |
| | 884 | | | Papa John’s International, Inc. | | | 75,007 | |
| | 2,376 | | | Penn National Gaming, Inc.* | | | 205,215 | |
| | 2,093 | | | Planet Fitness, Inc., Class A* | | | 162,480 | |
| | 3,664 | | | Playa Hotels & Resorts NV* | | | 21,801 | |
| | 763 | | | Potbelly Corp.* | | | 3,357 | |
| | 1,501 | | | Red Lion Hotels Corp.* | | | 5,193 | |
| | 878 | | | Red Robin Gourmet Burgers* | | | 16,884 | |
| | 1,400 | | | Red Rock Resorts, Inc. | | | 35,056 | |
| | 3,592 | | | Royal Caribbean Cruises, Ltd. | | | 268,286 | |
| | 2,527 | | | Ruth’s Hospitality Group, Inc. | | | 44,804 | |
| | 3,394 | | | Scientific Games Corp., Class A* | | | 140,817 | |
| | 2,359 | | | SeaWorld Entertainment, Inc.* | | | 74,521 | |
| | 1,045 | | | Six Flags Entertainment Corp. | | | 35,635 | |
| | 9,765 | | | Starbucks Corp. | | | 1,044,660 | |
| | 1,701 | | | Texas Roadhouse, Inc., Class A | | | 132,950 | |
| | 942 | | | Vail Resorts, Inc. | | | 262,780 | |
| | 6,284 | | | Wendy’s Co. (The) | | | 137,745 | |
| | 898 | | | Wingstop, Inc. | | | 119,030 | |
| | 2,677 | | | Wyndham Destinations, Inc. | | | 120,090 | |
| | 1,891 | | | Wyndham Hotels & Resorts, Inc. | | | 112,401 | |
| | 1,778 | | | Wynn Resorts, Ltd. | | | 200,612 | |
| | 3,299 | | | Yum! Brands, Inc. | | | 358,139 | |
| | | | | | | | |
| | | | | | | 9,073,567 | |
| | | | | | | | |
| Household Durables (1.1%): | | | |
| | 1,886 | | | Beazer Homes USA, Inc.* | | | 28,573 | |
| | 274 | | | Cavco Industries, Inc.* | | | 48,073 | |
| | 1,523 | | | Century Communities, Inc.* | | | 66,677 | |
| | 5,611 | | | D.R. Horton, Inc. | | | 386,711 | |
| | 1,910 | | | Ethan Allen Interiors, Inc. | | | 38,601 | |
| | 431 | | | Flexsteel Industries, Inc. | | | 15,072 | |
| | 2,816 | | | Garmin, Ltd. | | | 336,963 | |
| | 2,761 | | | GoPro, Inc., Class A* | | | 22,861 | |
| | 2,219 | | | Green Brick Partners, Inc.* | | | 50,948 | |
| | 663 | | | Helen of Troy, Ltd.* | | | 147,312 | |
| | 500 | | | Hooker Furniture Corp. | | | 16,125 | |
| | 1,333 | | | Installed Building Products, Inc.* | | | 135,873 | |
| | 931 | | | iRobot Corp.*^ | | | 74,750 | |
| | 3,106 | | | KB Home | | | 104,113 | |
| | 2,231 | | | La-Z-Boy, Inc. | | | 88,883 | |
| | 4,086 | | | Leggett & Platt, Inc. | | | 181,010 | |
| | 4,591 | | | Lennar Corp., Class A | | | 349,972 | |
| | 119 | | | Lennar Corp., Class B | | | 7,283 | |
| | 898 | | | LGI Homes, Inc.* | | | 95,053 | |
| | 1,017 | | | Lifetime Brands, Inc. | | | 15,458 | |
| | 1,880 | | | M/I Homes, Inc.* | | | 83,265 | |
| | 2,531 | | | MDC Holdings, Inc. | | | 123,007 | |
| | 3,168 | | | Meritage Homes Corp.* | | | 262,374 | |
| | 1,800 | | | Mohawk Industries, Inc.* | | | 253,710 | |
| | 12,433 | | | Newell Brands, Inc. | | | 263,953 | |
| | 69 | | | NVR, Inc.* | | | 281,510 | |
| | 8,076 | | | PulteGroup, Inc. | | | 348,237 | |
| | 122 | | | Roku, Inc.* | | | 40,506 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables, continued | | | |
| | 1,588 | | | Skyline Champion Corp.* | | $ | 49,133 | |
| | 4,449 | | | Taylor Morrison Home Corp., Class A* | | | 114,117 | |
| | 6,004 | | | Tempur Sealy International, Inc.* | | | 162,108 | |
| | 2,183 | | | Toll Brothers, Inc. | | | 94,895 | |
| | 1,121 | | | TopBuild Corp.* | | | 206,354 | |
| | 4,276 | | | TRI Pointe Group, Inc.* | | | 73,761 | |
| | 2,153 | | | Tupperware Brands Corp.* | | | 69,736 | |
| | 718 | | | Universal Electronics, Inc.* | | | 37,666 | |
| | 2,101 | | | Whirlpool Corp. | | | 379,209 | |
| | 1,918 | | | Zagg, Inc.* | | | 7,998 | |
| | | | | | | | |
| | | | | | | 5,061,850 | |
| | | | | | | | |
| Household Products (1.1%): | | | |
| | 2,499 | | | Central Garden & Pet Co., Class A* | | | 90,789 | |
| | 4,245 | | | Church & Dwight Co., Inc. | | | 370,291 | |
| | 1,732 | | | Clorox Co. (The) | | | 349,725 | |
| | 7,147 | | | Colgate-Palmolive Co. | | | 611,140 | |
| | 1,959 | | | Energizer Holdings, Inc. | | | 82,631 | |
| | 3,022 | | | Kimberly-Clark Corp. | | | 407,456 | |
| | 333 | | | Oil-Dri Corp of America | | | 11,349 | |
| | 24,192 | | | Procter & Gamble Co. (The) | | | 3,366,075 | |
| | 1,729 | | | Spectrum Brands Holdings, Inc. | | | 136,556 | |
| | 295 | | | WD-40 Co. | | | 78,376 | |
| | | | | | | | |
| | | | | | | 5,504,388 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 10,688 | | | AES Corp. (The) | | | 251,168 | |
| | 5,810 | | | Atlantic Power Corp.* | | | 12,201 | |
| | 2,840 | | | Atlantica Sustainable Infrastructure plc | | | 107,863 | |
| | 1,323 | | | Clearway Energy, Inc., Class A | | | 39,095 | |
| | 2,753 | | | Clearway Energy, Inc., Class C | | | 87,903 | |
| | 6,130 | | | NRG Energy, Inc. | | | 230,182 | |
| | 1,858 | | | Ormat Technologies, Inc. | | | 167,740 | |
| | 13,537 | | | Vistra Corp. | | | 266,137 | |
| | | | | | | | |
| | | | | | | 1,162,289 | |
| | | | | | | | |
| Industrial Conglomerates (0.9%): | | | |
| | 9,137 | | | 3M Co. | | | 1,597,056 | |
| | 1,783 | | | Carlisle Cos., Inc. | | | 278,469 | |
| | 56,842 | | | General Electric Co. | | | 613,894 | |
| | 6,781 | | | Honeywell International, Inc. | | | 1,442,319 | |
| | 1,736 | | | Raven Industries, Inc. | | | 57,444 | |
| | 876 | | | Roper Technologies, Inc. | | | 377,635 | |
| | | | | | | | |
| | | | | | | 4,366,817 | |
| | | | | | | | |
| Insurance (3.0%): | | | |
| | 7,012 | | | Aflac, Inc. | | | 311,824 | |
| | 275 | | | Alleghany Corp. | | | 166,015 | |
| | 6,922 | | | Allstate Corp. (The) | | | 760,934 | |
| | 2,395 | | | AMBAC Financial Group, Inc.* | | | 36,835 | |
| | 3,511 | | | American Equity Investment Life Holding Co. | | | 97,114 | |
| | 2,547 | | | American Financial Group, Inc. | | | 223,168 | |
| | 10,777 | | | American International Group, Inc. | | | 408,017 | |
| | 409 | | | American National Group , Inc. | | | 39,313 | |
| | 907 | | | Amerisafe, Inc. | | | 52,089 | |
| | 3,183 | | | Aon plc, Class A | | | 672,473 | |
| | 7,386 | | | Arch Capital Group, Ltd.* | | | 266,414 | |
| | 1,501 | | | Argo Group International Holdings, Ltd. | | | 65,594 | |
| | 3,149 | | | Arthur J. Gallagher & Co. | | | 389,563 | |
| | 1,554 | | | Assurant, Inc. | | | 211,686 | |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 3,247 | | | Assured Guaranty, Ltd. | | $ | 102,248 | |
| | 5,206 | | | Athene Holding, Ltd., Class A* | | | 224,587 | |
| | 2,351 | | | Axis Capital Holdings, Ltd. | | | 118,467 | |
| | 3,603 | | | Brighthouse Financial, Inc.* | | | 130,447 | |
| | 5,822 | | | Brown & Brown, Inc. | | | 276,021 | |
| | 3,970 | | | Chubb, Ltd. | | | 611,062 | |
| | 2,482 | | | Cincinnati Financial Corp. | | | 216,852 | |
| | 2,176 | | | Citizens, Inc.* | | | 12,468 | |
| | 1,199 | | | CNA Financial Corp. | | | 46,713 | |
| | 2,354 | | | Crawford & Co. | | | 16,949 | |
| | 2,915 | | | Crawford & Co., Class A | | | 21,542 | |
| | 1,631 | | | Donegal Group, Inc., Class A | | | 22,948 | |
| | 800 | | | eHealth, Inc.* | | | 56,488 | |
| | 1,993 | | | Employers Holdings, Inc. | | | 64,155 | |
| | 447 | | | Enstar Group, Ltd.* | | | 91,586 | |
| | 664 | | | Erie Indemnity Co., Class A | | | 163,078 | |
| | 748 | | | Everest Re Group, Ltd. | | | 175,100 | |
| | 1,025 | | | FBL Financial Group, Inc., Class A | | | 53,823 | |
| | 1,054 | | | FedNat Holding Co. | | | 6,240 | |
| | 6,772 | | | Fidelity National Financial, Inc. | | | 264,717 | |
| | 3,746 | | | First American Financial Corp. | | | 193,406 | |
| | 21,335 | | | Genworth Financial, Inc., Class A* | | | 80,646 | |
| | 695 | | | Global Indemnity Group LLC, Class A | | | 19,870 | |
| | 2,457 | | | Globe Life, Inc. | | | 233,317 | |
| | 2,383 | | | Greenlight Capital Re, Ltd.* | | | 17,420 | |
| | 1,469 | | | Hallmark Financial Services, Inc.* | | | 5,230 | |
| | 1,263 | | | Hanover Insurance Group, Inc. (The) | | | 147,670 | |
| | 9,008 | | | Hartford Financial Services Group, Inc. (The) | | | 441,212 | |
| | 397 | | | HCI Group, Inc. | | | 20,763 | |
| | 387 | | | Heritage Insurance Holdings, Inc. | | | 3,920 | |
| | 2,388 | | | Horace Mann Educators Corp. | | | 100,392 | |
| | 1,317 | | | Independence Holding Co. | | | 53,997 | |
| | 153 | | | Investors Title Co. | | | 23,409 | |
| | 1,283 | | | James River Group Holdings | | | 63,059 | |
| | 2,246 | | | Kemper Corp. | | | 172,560 | |
| | 152 | | | Kinsale Capital Group, Inc. | | | 30,420 | |
| | 3,278 | | | Lincoln National Corp. | | | 164,916 | |
| | 5,372 | | | Loews Corp. | | | 241,847 | |
| | 5,556 | | | Maiden Holdings, Ltd.* | | | 13,834 | |
| | 242 | | | Markel Corp.* | | | 250,059 | |
| | 4,645 | | | Marsh & McLennan Cos., Inc. | | | 543,465 | |
| | 1,688 | | | Mercury General Corp. | | | 88,130 | |
| | 8,570 | | | MetLife, Inc. | | | 402,362 | |
| | 4,959 | | | National General Holdings Corp. | | | 169,499 | |
| | 162 | | | National Western Life Group, Inc., Class A | | | 33,443 | |
| | 9,717 | | | Old Republic International Corp. | | | 191,522 | |
| | 1,670 | | | Primerica, Inc. | | | 223,663 | |
| | 5,300 | | | Principal Financial Group, Inc. | | | 262,933 | |
| | 2,111 | | | ProAssurance Corp. | | | 37,555 | |
| | 6,878 | | | Progressive Corp. (The) | | | 680,097 | |
| | 5,840 | | | Prudential Financial, Inc. | | | 455,929 | |
| | 1,719 | | | Reinsurance Group of America, Inc. | | | 199,232 | |
| | 830 | | | RenaissanceRe Holdings, Ltd. | | | 137,631 | |
| | 1,252 | | | RLI Corp. | | | 130,396 | |
| | 854 | | | Safety Insurance Group, Inc. | | | 66,527 | |
| | 2,198 | | | Selective Insurance Group, Inc. | | | 147,222 | |
| | 2,664 | | | State Auto Financial Corp. | | | 47,259 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 1,761 | | | Stewart Information Services Corp. | | $ | 85,162 | |
| | 5,145 | | | Third Point Reinsurance, Ltd.* | | | 48,980 | |
| | 1,767 | | | Tiptree, Inc., Class A | | | 8,870 | |
| | 5,503 | | | Travelers Cos., Inc. (The) | | | 772,455 | |
| | 1,438 | | | United Fire Group, Inc. | | | 36,094 | |
| | 2,794 | | | United Insurance Holdings Co. | | | 15,982 | |
| | 1,869 | | | Universal Insurance Holdings, Inc. | | | 28,241 | |
| | 5,839 | | | Unum Group | | | 133,947 | |
| | 140 | | | White Mountains Insurance Group, Ltd. | | | 140,092 | |
| | 1,549 | | | Willis Towers Watson plc | | | 326,343 | |
| | 2,831 | | | WR Berkley Corp. | | | 188,035 | |
| | | | | | | | |
| | | | | | | 14,255,543 | |
| | | | | | | | |
| Interactive Media & Services (3.1%): | | | |
| | 1,968 | | | Alphabet, Inc., Class A* | | | 3,449,195 | |
| | 1,944 | | | Alphabet, Inc., Class C* | | | 3,405,654 | |
| | 1,229 | | | Cargurus, Inc.* | | | 38,996 | |
| | 3,783 | | | Cars.com, Inc.* | | | 42,748 | |
| | 2,881 | | | DHI Group, Inc.* | | | 6,396 | |
| | 21,864 | | | Facebook, Inc., Class A* | | | 5,972,369 | |
| | 728 | | | IAC/InterActive Corp.* | | | 137,847 | |
| | 5,384 | | | Liberty TripAdvisor Holdings, Inc., Class A* | | | 23,367 | |
| | 2,717 | | | Match Group, Inc.* | | | 410,783 | |
| | 1,563 | | | QuinStreet, Inc.* | | | 33,511 | |
| | 4,440 | | | Snap, Inc., Class A* | | | 222,311 | |
| | 1,344 | | | Travelzoo, Inc.* | | | 12,687 | |
| | 2,514 | | | TripAdvisor, Inc.* | | | 72,353 | |
| | 6,966 | | | TrueCar, Inc.* | | | 29,257 | |
| | 8,095 | | | Twitter, Inc.* | | | 438,344 | |
| | 2,068 | | | Yelp, Inc.* | | | 67,562 | |
| | 664 | | | Zedge, Inc., Class B* | | | 4,011 | |
| | 1,125 | | | Zillow Group, Inc., Class A* | | | 152,933 | |
| | 1,817 | | | Zillow Group, Inc., Class C* | | | 235,847 | |
| | | | | | | | |
| | | | | | | 14,756,171 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (3.4%): | | | |
| | 2,093 | | | 1-800 Flowers.com, Inc., Class A* | | | 54,418 | |
| | 4,068 | | | Amazon.com, Inc.* | | | 13,249,191 | |
| | 401 | | | Booking Holdings, Inc.* | | | 893,135 | |
| | 11,611 | | | eBay, Inc. | | | 583,453 | |
| | 2,028 | | | Etsy, Inc.* | | | 360,801 | |
| | 1,271 | | | Expedia Group, Inc. | | | 168,280 | |
| | 210 | | | Groupon, Inc.* | | | 7,979 | |
| | 2,772 | | | Grubhub, Inc.* | | | 205,876 | |
| | 2,242 | | | Lands’ End, Inc.* | | | 48,360 | |
| | 1,546 | | | Leaf Group, Ltd.* | | | 7,189 | |
| | 1,736 | | | Liquidity Services, Inc.* | | | 27,620 | |
| | 4,404 | | | Magnite, Inc.* | | | 135,247 | |
| | 1,164 | | | PetMed Express, Inc.^ | | | 37,318 | |
| | 4,088 | | | Quotient Technology, Inc.* | | | 38,509 | |
| | 8,810 | | | Qurate Retail, Inc., Class A | | | 96,646 | |
| | 981 | | | Shutterstock, Inc. | | | 70,338 | |
| | 585 | | | Stamps.com, Inc.* | | | 114,771 | |
| | 838 | | | Wayfair, Inc., Class A* | | | 189,229 | |
| | | | | | | | |
| | | | | | | 16,288,360 | |
| | | | | | | | |
| IT Services (5.0%): | | | |
| | 6,576 | | | Accenture plc, Class C | | | 1,717,717 | |
| | 2,369 | | | Akamai Technologies, Inc.* | | | 248,721 | |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 2,523 | | | Alliance Data Systems Corp. | | $ | 186,954 | |
| | 2,873 | | | Amdocs, Ltd. | | | 203,782 | |
| | 5,891 | | | Automatic Data Processing, Inc. | | | 1,037,994 | |
| | 1,957 | | | Black Knight, Inc.* | | | 172,901 | |
| | 3,165 | | | Booz Allen Hamilton Holding Corp. | | | 275,925 | |
| | 1,961 | | | Broadridge Financial Solutions, Inc. | | | 300,425 | |
| | 843 | | | CACI International, Inc., Class A* | | | 210,185 | |
| | 2,591 | | | Cardtronics plc* | | | 91,462 | |
| | 687 | | | Cass Information Systems, Inc. | | | 26,731 | |
| | 7,660 | | | Cognizant Technology Solutions Corp., Class A | | | 627,737 | |
| | 2,124 | | | Concentrix Corp.* | | | 209,639 | |
| | 6,347 | | | Conduent, Inc.* | | | 30,466 | |
| | 2,751 | | | CoreLogic, Inc. | | | 212,707 | |
| | 1,424 | | | CSG Systems International, Inc. | | | 64,180 | |
| | 9,261 | | | DXC Technology Co. | | | 238,471 | |
| | 513 | | | Endurance International Group Holdings, Inc.* | | | 4,848 | |
| | 577 | | | EPAM Systems, Inc.* | | | 206,768 | |
| | 1,295 | | | Euronet Worldwide, Inc.* | | | 187,671 | |
| | 2,060 | | | Evertec, Inc. | | | 80,999 | |
| | 1,320 | | | Exlservice Holdings, Inc.* | | | 112,372 | |
| | 5,233 | | | Fidelity National Information Services, Inc. | | | 740,260 | |
| | 4,458 | | | Fiserv, Inc.* | | | 507,588 | |
| | 1,423 | | | FleetCor Technologies, Inc.* | | | 388,237 | |
| | 1,826 | | | Gartner, Inc.* | | | 292,507 | |
| | 6,266 | | | Genpact, Ltd. | | | 259,162 | |
| | 2,559 | | | Global Payments, Inc. | | | 551,260 | |
| | 2,119 | | | GoDaddy, Inc., Class A* | | | 175,771 | |
| | 2,548 | | | GTT Communications, Inc.*^ | | | 9,096 | |
| | 1,357 | | | Hackett Group, Inc. (The) | | | 19,527 | |
| | 14,915 | | | International Business Machines Corp. | | | 1,877,500 | |
| | 1,038 | | | Jack Henry & Associates, Inc. | | | 168,146 | |
| | 5,179 | | | KBR, Inc. | | | 160,186 | |
| | 3,168 | | | Leidos Holdings, Inc. | | | 333,020 | |
| | 2,160 | | | Limelight Networks, Inc.* | | | 8,618 | |
| | 1,817 | | | LiveRamp Holdings, Inc.* | | | 132,986 | |
| | 1,140 | | | ManTech International Corp., Class A | | | 101,392 | |
| | 9,505 | | | MasterCard, Inc., Class A | | | 3,392,716 | |
| | 2,057 | | | Maximus, Inc. | | | 150,552 | |
| | 262 | | | MongoDB, Inc.* | | | 94,068 | |
| | 2,359 | | | NIC, Inc. | | | 60,933 | |
| | 642 | | | Okta, Inc.* | | | 163,235 | |
| | 6,036 | | | Paychex, Inc. | | | 562,434 | |
| | 6,116 | | | PayPal Holdings, Inc.* | | | 1,432,367 | |
| | 1,054 | | | Perficient, Inc.* | | | 50,223 | |
| | 3,968 | | | Perspecta, Inc. | | | 95,549 | |
| | 840 | | | PFSweb, Inc.* | | | 5,653 | |
| | 6,698 | | | Sabre Corp. | | | 80,510 | |
| | 1,873 | | | Science Applications International Corp. | | | 177,261 | |
| | 3,035 | | | Servicesource International, Inc.* | | | 5,342 | |
| | 1,296 | | | Square, Inc., Class A* | | | 282,061 | |
| | 2,283 | | | Sykes Enterprises, Inc.* | | | 86,001 | |
| | 3,331 | | | Teradata Corp.* | | | 74,848 | |
| | 1,284 | | | TTEC Holdings, Inc. | | | 93,642 | |
| | 805 | | | Twilio, Inc., Class A* | | | 272,493 | |
| | 3,021 | | | Unisys Corp.* | | | 59,453 | |
| | 1,183 | | | VeriSign, Inc.* | | | 256,001 | |
| | 1,675 | | | Virtusa Corp.* | | | 85,643 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 16,563 | | | Visa, Inc., Class A | | $ | 3,622,826 | |
| | 6,143 | | | Western Union Co. | | | 134,777 | |
| | 1,200 | | | WEX, Inc.* | | | 244,236 | |
| | | | | | | | |
| | | | | | | 23,656,735 | |
| | | | | | | | |
| Leisure Products (0.3%): | | | |
| | 2,298 | | | Acushnet Holdings Corp. | | | 93,161 | |
| | 895 | | | American Outdoor Brands, Inc.* | | | 15,242 | |
| | 2,964 | | | Brunswick Corp. | | | 225,975 | |
| | 3,826 | | | Callaway Golf Co. | | | 91,862 | |
| | 658 | | | Escalade, Inc. | | | 13,930 | |
| | 3,535 | | | Hasbro, Inc. | | | 330,663 | |
| | 503 | | | Johnson Outdoors, Inc., Class A | | | 56,653 | |
| | 531 | | | Malibu Boats, Inc.* | | | 33,156 | |
| | 662 | | | Marine Products Corp. | | | 9,625 | |
| | 6,035 | | | Mattel, Inc.* | | | 105,311 | |
| | 1,932 | | | Nautilus Group, Inc.* | | | 35,046 | |
| | 1,859 | | | Polaris, Inc. | | | 177,126 | |
| | 3,582 | | | Smith & Wesson Brands, Inc. | | | 63,581 | |
| | 2,859 | | | Vista Outdoor, Inc.* | | | 67,930 | |
| | | | | | | | |
| | | | | | | 1,319,261 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.9%): | | | |
| | 2,589 | | | Agilent Technologies, Inc. | | | 306,771 | |
| | 314 | | | Bio-Rad Laboratories, Inc., Class A* | | | 183,043 | |
| | 482 | | | Bio-Techne Corp. | | | 153,059 | |
| | 4,230 | | | Bruker Corp. | | | 228,970 | |
| | 940 | | | Charles River Laboratories International, Inc.* | | | 234,868 | |
| | 1,979 | | | Harvard Bioscience, Inc.* | | | 8,490 | |
| | 893 | | | Illumina, Inc.* | | | 330,410 | |
| | 2,362 | | | IQVIA Holdings, Inc.* | | | 423,200 | |
| | 2,457 | | | Luminex Corp. | | | 56,806 | |
| | 765 | | | Medpace Holdings, Inc.* | | | 106,488 | |
| | 360 | | | Mettler-Toledo International, Inc.* | | | 410,285 | |
| | 1,400 | | | Neogenomics, Inc.* | | | 75,376 | |
| | 1,490 | | | PerkinElmer, Inc. | | | 213,815 | |
| | 1,655 | | | PRA Health Sciences, Inc.* | | | 207,603 | |
| | 2,622 | | | Syneos Health, Inc.* | | | 178,637 | |
| | 2,658 | | | Thermo Fisher Scientific, Inc. | | | 1,238,043 | |
| | 670 | | | Waters Corp.* | | | 165,771 | |
| | | | | | | | |
| | | | | | | 4,521,635 | |
| | | | | | | | |
| Machinery (3.0%): | | | |
| | 2,603 | | | AGCO Corp. | | | 268,343 | |
| | 228 | | | Alamo Group, Inc. | | | 31,453 | |
| | 737 | | | Albany International Corp., Class A | | | 54,111 | |
| | 4,381 | | | Allison Transmission Holdings, Inc. | | | 188,953 | |
| | 1,335 | | | Altra Industrial Motion Corp. | | | 73,999 | |
| | 929 | | | Astec Industries, Inc. | | | 53,771 | |
| | 1,993 | | | Barnes Group, Inc. | | | 101,025 | |
| | 837 | | | Blue Bird Corp.* | | | 15,284 | |
| | 5,639 | | | Caterpillar, Inc. | | | 1,026,410 | |
| | 1,019 | | | Chart Industries, Inc.* | | | 120,028 | |
| | 1,284 | | | CIRCOR International, Inc.* | | | 49,357 | |
| | 4,064 | | | Colfax Corp.* | | | 155,407 | |
| | 1,526 | | | Columbus McKinnon Corp. | | | 58,659 | |
| | 2,706 | | | Commercial Vehicle Group, Inc.* | | | 23,407 | |
| | 1,945 | | | Crane Co. | | | 151,049 | |
| | 3,096 | | | Cummins, Inc. | | | 703,101 | |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 3,090 | | | Deere & Co. | | $ | 831,364 | |
| | 562 | | | DMC Global, Inc. | | | 24,307 | |
| | 3,960 | | | Donaldson Co., Inc. | | | 221,285 | |
| | 1,324 | | | Douglas Dynamics, Inc. | | | 56,627 | |
| | 2,663 | | | Dover Corp. | | | 336,204 | |
| | 2,898 | | | Enerpac Tool Group Corp. | | | 65,524 | |
| | 1,120 | | | EnPro Industries, Inc. | | | 84,582 | |
| | 951 | | | ESCO Technologies, Inc. | | | 98,162 | |
| | 2,747 | | | Evoqua Water Technologies Co.* | | | 74,114 | |
| | 2,959 | | | Federal Signal Corp. | | | 98,150 | |
| | 3,181 | | | Flowserve Corp. | | | 117,220 | |
| | 4,210 | | | Fortive Corp. | | | 298,152 | |
| | 1,521 | | | Franklin Electric Co., Inc. | | | 105,268 | |
| | 694 | | | FreightCar America, Inc.* | | | 1,673 | |
| | 889 | | | Gencor Industries, Inc.* | | | 10,935 | |
| | 1,617 | | | Gorman-Rupp Co. (The) | | | 52,472 | |
| | 3,181 | | | Graco, Inc. | | | 230,145 | |
| | 2,503 | | | Harsco Corp.* | | | 45,004 | |
| | 1,370 | | | Helios Technologies, Inc. | | | 73,007 | |
| | 2,888 | | | Hillenbrand, Inc. | | | 114,942 | |
| | 490 | | | Hurco Cos, Inc. | | | 14,700 | |
| | 896 | | | Hyster-Yale Materials Handling, Inc., Class A | | | 53,357 | |
| | 1,111 | | | IDEX Corp. | | | 221,311 | |
| | 3,382 | | | Illinois Tool Works, Inc. | | | 689,522 | |
| | 5,321 | | | Ingersoll-Rand, Inc.* | | | 242,425 | |
| | 2,566 | | | ITT, Inc. | | | 197,633 | |
| | 1,157 | | | John Bean Technologies Corp. | | | 131,748 | |
| | 598 | | | Kadant, Inc. | | | 84,306 | |
| | 2,960 | | | Kennametal, Inc. | | | 107,270 | |
| | 787 | | | L.B. Foster Co., Class A* | | | 11,844 | |
| | 1,806 | | | Lincoln Electric Holdings, Inc. | | | 209,948 | |
| | 539 | | | Lindsay Corp. | | | 69,240 | |
| | 774 | | | Lydall, Inc.* | | | 23,243 | |
| | 1,213 | | | Manitex International, Inc.* | | | 6,259 | |
| | 2,529 | | | Manitowoc Co., Inc. (The)* | | | 33,661 | |
| | 4,260 | | | Meritor, Inc.* | | | 118,897 | |
| | 1,601 | | | Middleby Corp. (The)* | | | 206,401 | |
| | 2,406 | | | Mueller Industries, Inc. | | | 84,475 | |
| | 7,183 | | | Mueller Water Products, Inc., Class A | | | 88,926 | |
| | 2,868 | | | Navistar International Corp.* | | | 126,077 | |
| | 1,258 | | | NN, Inc.* | | | 8,265 | |
| | 1,155 | | | Nordson Corp. | | | 232,097 | |
| | 158 | | | Omega Flex, Inc. | | | 23,068 | |
| | 2,269 | | | Oshkosh Corp. | | | 195,293 | |
| | 4,844 | | | Otis Worldwide Corp. | | | 327,212 | |
| | 5,069 | | | PACCAR, Inc. | | | 437,353 | |
| | 2,556 | | | Parker Hannifin Corp. | | | 696,280 | |
| | 1,058 | | | Park-Ohio Holdings Corp. | | | 32,692 | |
| | 5,836 | | | Pentair plc | | | 309,833 | |
| | 677 | | | Proto Labs, Inc.* | | | 103,852 | |
| | 660 | | | RBC Bearings, Inc.* | | | 118,166 | |
| | 5,687 | | | REV Group, Inc. | | | 50,102 | |
| | 3,709 | | | Rexnord Corp. | | | 146,468 | |
| | 612 | | | Shyft Group, Inc. (The) | | | 17,369 | |
| | 1,567 | | | Snap-On, Inc. | | | 268,176 | |
| | 1,562 | | | SPX Corp.* | | | 85,191 | |
| | 2,004 | | | SPX FLOW, Inc.* | | | 116,152 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 775 | | | Standex International Corp. | | $ | 60,078 | |
| | 2,392 | | | Stanley Black & Decker, Inc. | | | 427,116 | |
| | 793 | | | Tennant Co. | | | 55,645 | |
| | 3,523 | | | Terex Corp. | | | 122,917 | |
| | 1,612 | | | The Greenbrier Cos., Inc. | | | 58,645 | |
| | 2,819 | | | Timken Co. | | | 218,078 | |
| | 3,046 | | | Titan International, Inc. | | | 14,804 | |
| | 2,013 | | | Toro Co. (The) | | | 190,913 | |
| | 2,213 | | | TriMas Corp.* | | | 70,086 | |
| | 5,158 | | | Trinity Industries, Inc. | | | 136,120 | |
| | 4,006 | | | Wabash National Corp. | | | 69,023 | |
| | 3,488 | | | Wabtec Corp. | | | 255,322 | |
| | 960 | | | Watts Water Technologies, Inc., Class A | | | 116,832 | |
| | 4,275 | | | Welbilt, Inc.* | | | 56,430 | |
| | 1,534 | | | Woodward, Inc. | | | 186,427 | |
| | 2,183 | | | Xylem, Inc. | | | 222,208 | |
| | | | | | | | |
| | | | | | | 14,162,950 | |
| | | | | | | | |
| Marine (0.0%†): | | | |
| | 7,028 | | | Costamare, Inc. | | | 58,192 | |
| | 239 | | | Eagle Bulk Shipping, Inc.*^ | | | 4,541 | |
| | 1,300 | | | Genco Shipping & Trading, Ltd. | | | 9,568 | |
| | 1,948 | | | Kirby Corp.* | | | 100,964 | |
| | 1,541 | | | Matson, Inc. | | | 87,791 | |
| | 147 | | | Scorpio Bulkers, Inc. | | | 2,489 | |
| | | | | | | | |
| | | | | | | 263,545 | |
| | | | | | | | |
| Media (1.7%): | | | |
| | 1,468 | | | A.H. Belo Corp., Class A | | | 2,217 | |
| | 4,725 | | | Altice USA, Inc., Class A* | | | 178,936 | |
| | 2,029 | | | AMC Networks, Inc., Class A*^ | | | 72,577 | |
| | 108 | | | Cable One, Inc. | | | 240,594 | |
| | 1,473 | | | Charter Communications, Inc., Class A* | | | 974,462 | |
| | 48,780 | | | Comcast Corp., Class A | | | 2,556,071 | |
| | 2,952 | | | comScore, Inc.* | | | 7,350 | |
| | 8,863 | | | Discovery Communications, Inc., Class C* | | | 232,122 | |
| | 4,410 | | | Discovery, Inc., Class A*^ | | | 132,697 | |
| | 4,832 | | | DISH Network Corp., Class A* | | | 156,267 | |
| | 4,131 | | | E.W. Scripps Co. (The), Class A | | | 63,163 | |
| | 4,691 | | | Emerald Holding, Inc. | | | 25,425 | |
| | 8,164 | | | Entercom Communications Corp. | | | 20,165 | |
| | 4,792 | | | Entravision Communications Corp., Class A | | | 13,178 | |
| | 6,577 | | | Fox Corp., Class A | | | 191,522 | |
| | 4,958 | | | Fox Corp., Class B | | | 143,187 | |
| | 7,573 | | | Gannett Co, Inc.* | | | 25,445 | |
| | 4,886 | | | Gray Television, Inc.* | | | 87,411 | |
| | 11,906 | | | Interpublic Group of Cos., Inc. (The) | | | 280,029 | |
| | 1,262 | | | John Wiley & Sons, Inc., Class A | | | 57,623 | |
| | 192 | | | John Wiley & Sons, Inc., Class B | | | 8,676 | |
| | 563 | | | Liberty Broadband Corp., Class A* | | | 88,718 | |
| | 3,250 | | | Liberty Broadband Corp., Class C* | | | 514,702 | |
| | 1,489 | | | Liberty Latin America, Ltd.* | | | 16,573 | |
| | 7,352 | | | Liberty Latin America, Ltd., Class C* | | | 81,533 | |
| | 4,073 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | | 177,216 | |
| | 2,477 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 106,982 | |
| | 143 | | | Loral Space & Communications Inc. | | | 3,002 | |
| | 131 | | | Marchex, Inc., Class B* | | | 257 | |
| | 1,649 | | | Meredith Corp. | | | 31,661 | |
See accompanying notes to the financial statements.
17
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 3,759 | | | MSG Networks, Inc., Class A* | | $ | 55,408 | |
| | 3,726 | | | National CineMedia, Inc. | | | 13,861 | |
| | 3,530 | | | New York Times Co. (The), Class A | | | 182,748 | |
| | 10,643 | | | News Corp., Class A | | | 191,255 | |
| | 2,563 | | | News Corp., Class B | | | 45,545 | |
| | 2,115 | | | Nexstar Media Group, Inc., Class A | | | 230,937 | |
| | 6,016 | | | Omnicom Group, Inc. | | | 375,218 | |
| | 1,853 | | | Scholastic Corp. | | | 46,325 | |
| | 10,861 | | | Sirius XM Holdings, Inc. | | | 69,185 | |
| | 1,395 | | | TechTarget, Inc.* | | | 82,458 | |
| | 8,978 | | | Tegna, Inc. | | | 125,243 | |
| | 933 | | | Tribune Publishing Co. | | | 12,782 | |
| | 445 | | | ViacomCBS, Inc., Class A | | | 16,830 | |
| | 9,841 | | | ViacomCBS, Inc., Class B | | | 366,676 | |
| | | | | | | | |
| | | | | | | 8,304,232 | |
| | | | | | | | |
| Metals & Mining (0.8%): | | | |
| | 6,163 | | | Alcoa Corp.* | | | 142,057 | |
| | 4,528 | | | Allegheny Technologies, Inc.* | | | 75,935 | |
| | 799 | | | Ampco-Pittsburgh Corp.* | | | 4,379 | |
| | 3,002 | | | Arconic Corp.* | | | 89,460 | |
| | 2,296 | | | Carpenter Technology Corp. | | | 66,860 | |
| | 4,968 | | | Century Aluminum Co.* | | | 54,797 | |
| | 3,567 | | | Cleveland-Cliffs, Inc. | | | 51,936 | |
| | 12,366 | | | Coeur Mining, Inc.* | | | 127,988 | |
| | 6,147 | | | Commercial Metals Co. | | | 126,259 | |
| | 1,713 | | | Compass Minerals International, Inc. | | | 105,726 | |
| | 7,323 | | | Ferroglobe plc* | | | 12,010 | |
| | 9,823 | | | Ferroglobe Unit*(a) | | | — | |
| | 841 | | | Fortitude Gold Corp.* | | | 884 | |
| | 22,580 | | | Freeport-McMoRan, Inc. | | | 587,531 | |
| | 2,945 | | | Gold Resource Corp. | | | 8,570 | |
| | 943 | | | Haynes International, Inc. | | | 22,481 | |
| | 23,972 | | | Hecla Mining Co. | | | 155,339 | |
| | 151 | | | Kaiser Aluminum Corp. | | | 14,934 | |
| | 643 | | | Materion Corp. | | | 40,972 | |
| | 12,309 | | | McEwen Mining, Inc.*^ | | | 12,124 | |
| | 9,007 | | | Newmont Corp. | | | 539,428 | |
| | 4,882 | | | Nucor Corp. | | | 259,674 | |
| | 700 | | | Olympic Steel, Inc. | | | 9,331 | |
| | 1,961 | | | Reliance Steel & Aluminum Co. | | | 234,830 | |
| | 990 | | | Royal Gold, Inc. | | | 105,296 | |
| | 1,500 | | | Ryerson Holding Corp.* | | | 20,460 | |
| | 1,365 | | | Schnitzer Steel Industries, Inc., Class A | | | 43,557 | |
| | 1,446 | | | Southern Copper Corp. | | | 94,164 | |
| | 8,062 | | | Steel Dynamics, Inc. | | | 297,245 | |
| | 3,673 | | | SunCoke Energy, Inc. | | | 15,978 | |
| | 701 | | | Synalloy Corp.* | | | 5,468 | |
| | 2,052 | | | TimkenSteel Corp.* | | | 9,583 | |
| | 7,131 | | | United States Steel Corp.^ | | | 119,587 | |
| | 548 | | | Universal Stainless & Alloy Products, Inc.* | | | 4,099 | |
| | 3,573 | | | Warrior Met Coal, Inc. | | | 76,176 | |
| | 2,198 | | | Worthington Industries, Inc. | | | 112,845 | |
| | | | | | | | |
| | | | | | | 3,647,963 | |
| | | | | | | | |
| Multiline Retail (0.6%): | | | |
| | 2,183 | | | Big Lots, Inc. | | | 93,716 | |
| | 1,248 | | | Dillard’s, Inc., Class A^ | | | 78,686 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Multiline Retail, continued | | | |
| | 2,684 | | | Dollar General Corp. | | $ | 564,445 | |
| | 5,031 | | | Dollar Tree, Inc.* | | | 543,549 | |
| | 4,813 | | | Kohl’s Corp. | | | 195,841 | |
| | 15,105 | | | Macy’s, Inc. | | | 169,931 | |
| | 2,055 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 168,037 | |
| | 5,786 | | | Target Corp. | | | 1,021,404 | |
| | | | | | | | |
| | | | | | | 2,835,609 | |
| | | | | | | | |
| Multi-Utilities (0.7%): | | | |
| | 3,133 | | | Ameren Corp. | | | 244,562 | |
| | 1,884 | �� | | Avista Corp. | | | 75,624 | |
| | 1,784 | | | Black Hills Corp. | | | 109,627 | |
| | 7,105 | | | CenterPoint Energy, Inc. | | | 153,752 | |
| | 3,460 | | | CMS Energy Corp. | | | 211,095 | |
| | 4,077 | | | Consolidated Edison, Inc. | | | 294,645 | |
| | 7,126 | | | Dominion Energy, Inc. | | | 535,874 | |
| | 2,251 | | | DTE Energy Co. | | | 273,294 | |
| | 7,317 | | | MDU Resources Group, Inc. | | | 192,730 | |
| | 6,003 | | | NiSource, Inc. | | | 137,709 | |
| | 1,765 | | | NorthWestern Corp. | | | 102,917 | |
| | 5,550 | | | Public Service Enterprise Group, Inc. | | | 323,565 | |
| | 3,046 | | | Sempra Energy | | | 388,091 | |
| | 844 | | | Unitil Corp. | | | 37,364 | |
| | 3,038 | | | WEC Energy Group, Inc. | | | 279,587 | |
| | | | | | | | |
| | | | | | | 3,360,436 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.2%): | | | |
| | 332 | | | Adams Resources & Energy, Inc. | | | 8,001 | |
| | 7,652 | | | Antero Resources Corp.*^ | | | 41,703 | |
| | 11,405 | | | Apache Corp. | | | 161,837 | |
| | 1,256 | | | Arch Resources, Inc. | | | 54,975 | |
| | 1,988 | | | Berry Corp. | | | 7,316 | |
| | 1,149 | | | Bonanza Creek Energy, Inc.* | | | 22,210 | |
| | 6,877 | | | Cabot Oil & Gas Corp. | | | 111,958 | |
| | 2,819 | | | Callon Petroleum Co.*^ | | | 37,098 | |
| | 6,243 | | | Centennial Resource Development, Inc., Class A* | | | 9,365 | |
| | 3,933 | | | Cheniere Energy, Inc.* | | | 236,098 | |
| | 16,453 | | | Chevron Corp. | | | 1,389,456 | |
| | 3,560 | | | Cimarex Energy Co. | | | 133,536 | |
| | 7,534 | | | Clean Energy Fuel Corp.* | | | 59,217 | |
| | 10,708 | | | CNX Resources Corp.* | | | 115,646 | |
| | 4,502 | | | Concho Resources, Inc. | | | 262,692 | |
| | 16,300 | | | ConocoPhillips | | | 651,837 | |
| | 1,846 | | | CONSOL Energy, Inc.* | | | 13,310 | |
| | 10,215 | | | Continental Resources, Inc.^ | | | 166,505 | |
| | 4,149 | | | CVR Energy, Inc. | | | 61,820 | |
| | 4,054 | | | Delek US Holdings, Inc. | | | 65,148 | |
| | 16,542 | | | Devon Energy Corp. | | | 261,529 | |
| | 8,860 | | | DHT Holdings, Inc. | | | 46,338 | |
| | 918 | | | Diamondback Energy, Inc. | | | 44,431 | |
| | 107 | | | Dorian LPG, Ltd.* | | | 1,304 | |
| | 5,391 | | | Enlink Midstream LLC | | | 20,001 | |
| | 9,491 | | | EOG Resources, Inc. | | | 473,316 | |
| | 10,783 | | | EQT Corp.* | | | 137,052 | |
| | 2,812 | | | Equitrans Midstream Corp. | | | 22,608 | |
| | 36,242 | | | Exxon Mobil Corp. | | | 1,493,896 | |
| | 4,505 | | | Gaslog, Ltd. | | | 16,759 | |
| | 2,514 | | | Green Plains, Inc.* | | | 33,109 | |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 4,737 | | | Hess Corp. | | $ | 250,066 | |
| | 212 | | | HighPoint Resources Corp.* | | | 1,942 | |
| | 4,760 | | | HollyFrontier Corp. | | | 123,046 | |
| | 1,180 | | | International Seaways, Inc. | | | 19,269 | |
| | 24,970 | | | Kinder Morgan, Inc. | | | 341,340 | |
| | 17,233 | | | Kosmos Energy, Ltd. | | | 40,498 | |
| | 609 | | | Laredo Petroleum, Inc.* | | | 11,997 | |
| | 17,859 | | | Marathon Oil Corp. | | | 119,120 | |
| | 9,508 | | | Marathon Petroleum Corp. | | | 393,251 | |
| | 6,316 | | | Matador Resources Co.* | | | 76,171 | |
| | 6,993 | | | Murphy Oil Corp. | | | 84,615 | |
| | 17,900 | | | Occidental Petroleum Corp. | | | 309,849 | |
| | 6,873 | | | ONEOK, Inc. | | | 263,786 | |
| | 2,936 | | | PAR Pacific Holdings, Inc.* | | | 41,045 | |
| | 6,891 | | | Parsley Energy, Inc., Class A | | | 97,852 | |
| | 5,640 | | | PBF Energy, Inc., Class A | | | 40,044 | |
| | 5,513 | | | PDC Energy, Inc.* | | | 113,182 | |
| | 4,173 | | | Peabody Energy Corp.* | | | 10,057 | |
| | 787 | | | Penn Virginia Corp.* | | | 7,988 | |
| | 4,501 | | | Phillips 66 | | | 314,800 | |
| | 1,401 | | | PHX Minerals, Inc. | | | 3,222 | |
| | 2,711 | | | Pioneer Natural Resources Co. | | | 308,756 | |
| | 6 | | | PrimeEnergy Resources Corp.* | | | 259 | |
| | 11,578 | | | QEP Resources, Inc. | | | 27,671 | |
| | 4,715 | | | Range Resources Corp.* | | | 31,591 | |
| | 2,004 | | | Renewable Energy Group, Inc.* | | | 141,923 | |
| | 374 | | | REX American Resources Corp.* | | | 27,478 | |
| | 3,448 | | | Scorpio Tankers, Inc. | | | 38,583 | |
| | 6,460 | | | SFL Corp., Ltd. | | | 40,569 | |
| | 6,397 | | | SM Energy Co. | | | 39,150 | |
| | 24,131 | | | Southwestern Energy Co.* | | | 71,910 | |
| | 3,310 | | | Talos Energy, Inc.* | | | 27,274 | |
| | 4,483 | | | Targa Resources Corp. | | | 118,262 | |
| | 6,407 | | | Teekay Shipping Corp.* | | | 13,775 | |
| | 1,031 | | | Teekay Tankers, Ltd., Class A* | | | 11,351 | |
| | 4,537 | | | Valero Energy Corp. | | | 256,658 | |
| | 14,709 | | | Williams Cos., Inc. | | | 294,915 | |
| | 3,515 | | | World Fuel Services Corp. | | | 109,527 | |
| | 13,673 | | | WPX Energy, Inc.* | | | 111,435 | |
| | | | | | | | |
| | | | | | | 10,494,298 | |
| | | | | | | | |
| Paper & Forest Products (0.1%): | | | |
| | 2,211 | | | Boise Cascade Co. | | | 105,686 | |
| | 1,659 | | | Clearwater Paper Corp.* | | | 62,627 | |
| | 2,617 | | | Domtar Corp. | | | 82,828 | |
| | 2,520 | | | Glatfelter Corp. | | | 41,278 | |
| | 4,040 | | | Louisiana-Pacific Corp. | | | 150,166 | |
| | 5,575 | | | Mercer International, Inc. | | | 57,144 | |
| | 617 | | | Neenah, Inc. | | | 34,132 | |
| | 5,870 | | | Resolute Forest Products* | | | 38,390 | |
| | 1,565 | | | Schweitzer-Mauduit International, Inc. | | | 62,929 | |
| | 2,251 | | | Verso Corp. | | | 27,057 | |
| | | | | | | | |
| | | | | | | 662,237 | |
| | | | | | | | |
| Personal Products (0.4%): | | | |
| | 12,350 | | | Coty, Inc., Class A | | | 86,697 | |
| | 1,562 | | | e.l.f. Beauty, Inc.* | | | 39,347 | |
| | 2,453 | | | Edgewell Personal Care Co. | | | 84,825 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Personal Products, continued | | | |
| | 2,445 | | | Estee Lauder Co., Inc. (The), Class A | | $ | 650,834 | |
| | 3,710 | | | Herbalife Nutrition, Ltd.* | | | 178,265 | |
| | 1,355 | | | Inter Parfums, Inc. | | | 81,964 | |
| | 508 | | | Medifast, Inc. | | | 99,741 | |
| | 6,899 | | | Natura & Co. Holding SA, ADR^ | | | 137,980 | |
| | 1,236 | | | Natures Sunshine Products, Inc.* | | | 18,478 | |
| | 2,377 | | | Nu Skin Enterprises, Inc., Class A | | | 129,856 | |
| | 340 | | | United-Guardian, Inc. | | | 4,855 | |
| | 864 | | | Usana Health Sciences, Inc.* | | | 66,614 | |
| | | | | | | | |
| | | | | | | 1,579,456 | |
| | | | | | | | |
| Pharmaceuticals (2.8%): | | | |
| | 2,003 | | | Amphastar Pharmaceuticals, Inc.* | | | 40,280 | |
| | 900 | | | ANI Pharmaceuticals, Inc.* | | | 26,136 | |
| | 885 | | | Assembly Biosciences, Inc.* | | | 5,354 | |
| | 17,646 | | | Bristol-Myers Squibb Co. | | | 1,094,581 | |
| | 2,125 | | | Catalent, Inc.* | | | 221,149 | |
| | 4,376 | | | Corcept Therapeutics, Inc.* | | | 114,476 | |
| | 1,468 | | | Cumberland Pharmaceuticals, Inc.* | | | 4,316 | |
| | 1,054 | | | Cymabay Therapeutics, Inc.* | | | 6,050 | |
| | 6,155 | | | Elanco Animal Health, Inc.* | | | 188,774 | |
| | 9,263 | | | Eli Lilly & Co. | | | 1,563,965 | |
| | 8,827 | | | Endo International plc* | | | 63,378 | |
| | 3,032 | | | Horizon Therapeutics plc* | | | 221,791 | |
| | 3,292 | | | Innoviva, Inc.* | | | 40,788 | |
| | 2,219 | | | Intra-Cellular Therapies, Inc.* | | | 70,564 | |
| | 1,466 | | | Jazz Pharmaceuticals plc* | | | 241,963 | |
| | 26,955 | | | Johnson & Johnson | | | 4,242,179 | |
| | 2,281 | | | Lannett Co., Inc.* | | | 14,872 | |
| | 27,244 | | | Merck & Co., Inc. | | | 2,228,559 | |
| | 3,567 | | | Nektar Therapeutics* | | | 60,639 | |
| | 1,317 | | | Otonomy, Inc.* | | | 8,521 | |
| | 3,223 | | | Perrigo Co. plc | | | 144,132 | |
| | 46,869 | | | Pfizer, Inc. | | | 1,725,248 | |
| | 793 | | | Phibro Animal Health Corp., Class A | | | 15,400 | |
| | 2,480 | | | Prestige Consumer Healthcare, Inc.* | | | 86,478 | |
| | 1,463 | | | Revance Therapeutics, Inc.* | | | 41,461 | |
| | 1,789 | | | Supernus Pharmaceuticals, Inc.* | | | 45,011 | |
| | 923 | | | Taro Pharmaceutical Industries, Ltd.* | | | 67,767 | |
| | 17,276 | | | Viatris, Inc.* | | | 323,752 | |
| | 5,010 | | | Zoetis, Inc. | | | 829,155 | |
| | 1,297 | | | Zogenix, Inc.* | | | 25,927 | |
| | | | | | | | |
| | | | | | | 13,762,666 | |
| | | | | | | | |
| Professional Services (0.7%): | | | |
| | 1,633 | | | ASGN, Inc.* | | | 136,404 | |
| | 494 | | | Barrett Business Services, Inc. | | | 33,696 | |
| | 3,154 | | | CBIZ, Inc.* | | | 83,928 | |
| | 216 | | | CoStar Group, Inc.* | | | 199,644 | |
| | 456 | | | CRA International, Inc. | | | 23,224 | |
| | 1,098 | | | Equifax, Inc. | | | 211,738 | |
| | 1,104 | | | Exponent, Inc. | | | 99,393 | |
| | 825 | | | Forrester Research, Inc.* | | | 34,568 | |
| | 1,031 | | | FTI Consulting, Inc.* | | | 115,183 | |
| | 1,205 | | | Heidrick & Struggles International, Inc. | | | 35,403 | |
| | 466 | | | Hill International, Inc.* | | | 895 | |
| | 1,113 | | | Huron Consulting Group, Inc.* | | | 65,611 | |
| | 795 | | | ICF International, Inc. | | | 59,092 | |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services, continued | | | |
| | 3,021 | | | IHS Markit, Ltd. | | $ | 271,376 | |
| | 740 | | | Insperity, Inc. | | | 60,251 | |
| | 2,223 | | | Kelly Services, Inc., Class A | | | 45,727 | |
| | 1,154 | | | Kforce, Inc. | | | 48,572 | |
| | 2,258 | | | Korn Ferry | | | 98,223 | |
| | 2,100 | | | ManpowerGroup, Inc. | | | 189,378 | |
| | 659 | | | Mistras Group, Inc.* | | | 5,114 | |
| | 11,810 | | | Nielsen Holdings plc | | | 246,475 | |
| | 2,125 | | | Resources Connection, Inc. | | | 26,711 | |
| | 3,340 | | | Robert Half International, Inc. | | | 208,683 | |
| | 2,719 | | | TransUnion | | | 269,780 | |
| | 2,194 | | | TriNet Group, Inc.* | | | 176,836 | |
| | 2,213 | | | Trueblue, Inc.* | | | 41,361 | |
| | 1,755 | | | Verisk Analytics, Inc. | | | 364,321 | |
| | 633 | | | Willdan Group, Inc.* | | | 26,396 | |
| | | | | | | | |
| | | | | | | 3,177,983 | |
| | | | | | | | |
| Real Estate Management & Development (0.3%): | | | |
| | 400 | | | Altisource Portfolio Solutions* | | | 5,152 | |
| | 491 | | | BBX Capital, Inc.* | | | 2,794 | |
| | 4,608 | | | CBRE Group, Inc., Class A* | | | 289,014 | |
| | 419 | | | CTO Realty Growth, Inc. | | | 17,665 | |
| | 2,451 | | | Cushman & Wakefield plc* | | | 36,348 | |
| | 279 | | | Forestar Group, Inc.* | | | 5,630 | |
| | 232 | | | FRP Holdings, Inc.* | | | 10,568 | |
| | 318 | | | Griffin Industrial Realty, Inc.* | | | 19,875 | |
| | 1,280 | | | Howard Hughes Corp. (The)* | | | 101,030 | |
| | 1,691 | | | Jones Lang LaSalle, Inc.* | | | 250,894 | |
| | 5,360 | | | Kennedy-Wilson Holdings, Inc. | | | 95,890 | |
| | 2,112 | | | Marcus & Millichap, Inc.* | | | 78,630 | |
| | 6,929 | | | Newmark Group, Inc. | | | 50,512 | |
| | 997 | | | Rafael Holdings, Inc., Class B* | | | 23,250 | |
| | 910 | | | RE/MAX Holdings, Inc., Class A | | | 33,060 | |
| | 7,526 | | | Realogy Holdings Corp.* | | | 98,741 | |
| | 1,447 | | | Tejon Ranch Co.* | | | 20,909 | |
| | 1,038 | | | The RMR Group, Inc., Class A | | | 40,088 | |
| | 2,457 | | | The St Joe Co. | | | 104,300 | |
| | | | | | | | |
| | | | | | | 1,284,350 | |
| | | | | | | | |
| Road & Rail (1.1%): | | | |
| | 598 | | | AMERCO, Inc. | | | 271,468 | |
| | 1,475 | | | ArcBest Corp. | | | 62,938 | |
| | 2,770 | | | Avis Budget Group, Inc.* | | | 103,321 | |
| | 1,699 | | | Covenant Logistics Group, Inc.* | | | 25,162 | |
| | 8,633 | | | CSX Corp. | | | 783,445 | |
| | 4,179 | | | Heartland Express, Inc. | | | 75,640 | |
| | 2,243 | | | J.B. Hunt Transport Services, Inc. | | | 306,506 | |
| | 1,439 | | | Kansas City Southern | | | 293,743 | |
| | 5,109 | | | Knight-Swift Transportation Holdings, Inc. | | | 213,658 | |
| | 1,359 | | | Landstar System, Inc. | | | 183,003 | |
| | 5,038 | | | Marten Transport, Ltd. | | | 86,805 | |
| | 2,741 | | | Norfolk Southern Corp. | | | 651,289 | |
| | 1,887 | | | Old Dominion Freight Line, Inc. | | | 368,305 | |
| | 400 | | | P.A.M. Transportation SVCS* | | | 19,600 | |
| | 1,902 | | | Ryder System, Inc. | | | 117,468 | |
| | 933 | | | Saia, Inc.* | | | 168,686 | |
| | 2,500 | | | Schneider National, Inc., Class B | | | 51,750 | |
| | 7,006 | | | Union Pacific Corp. | | | 1,458,790 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 2,010 | | | Universal Logistics Holdings, Inc. | | $ | 41,386 | |
| | 1,023 | | | USA Truck, Inc.* | | | 9,135 | |
| | 3,284 | | | Werner Enterprises, Inc. | | | 128,798 | |
| | 1,829 | | | YRC Worldwide, Inc.* | | | 8,102 | |
| | | | | | | | |
| | | | | | | 5,428,998 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (5.0%): | | | |
| | 1,056 | | | Advanced Energy Industries, Inc.* | | | 102,400 | |
| | 9,236 | | | Advanced Micro Devices, Inc.* | | | 847,034 | |
| | 2,031 | | | Alpha & Omega Semiconductor, Ltd.* | | | 48,013 | |
| | 1,392 | | | Ambarella, Inc.* | | | 127,813 | |
| | 11,324 | | | Amkor Technology, Inc. | | | 170,766 | |
| | 3,365 | | | Analog Devices, Inc. | | | 497,111 | |
| | 9,479 | | | Applied Materials, Inc. | | | 818,038 | |
| | 1,615 | | | Axcelis Technologies, Inc.* | | | 47,029 | |
| | 1,701 | | | AXT, Inc.* | | | 16,279 | |
| | 4,142 | | | Broadcom, Inc. | | | 1,813,575 | |
| | 2,129 | | | Brooks Automation, Inc. | | | 144,453 | |
| | 437 | | | CEVA, Inc.* | | | 19,884 | |
| | 1,665 | | | Cirrus Logic, Inc.* | | | 136,863 | |
| | 697 | | | CMC Materials, Inc. | | | 105,456 | |
| | 2,261 | | | Cohu, Inc. | | | 86,325 | |
| | 1,991 | | | Cree, Inc.* | | | 210,847 | |
| | 1,271 | | | Diodes, Inc.* | | | 89,606 | |
| | 3,676 | | | Entegris, Inc. | | | 353,264 | |
| | 3,383 | | | First Solar, Inc.* | | | 334,646 | |
| | 2,971 | | | FormFactor, Inc.* | | | 127,812 | |
| | 1,314 | | | GSI Technology, Inc.* | | | 9,724 | |
| | 948 | | | Ichor Holdings, Ltd.* | | | 28,577 | |
| | 975 | | | Inphi Corp.* | | | 156,458 | |
| | 56,290 | | | Intel Corp. | | | 2,804,367 | |
| | 2,674 | | | KLA Corp. | | | 692,325 | |
| | 2,537 | | | Kulicke & Soffa Industries, Inc. | | | 80,702 | |
| | 1,724 | | | Lam Research Corp. | | | 814,193 | |
| | 3,622 | | | Lattice Semiconductor Corp.* | | | 165,960 | |
| | 1,911 | | | MA-COM Technology Solutions Holdings, Inc.* | | | 105,181 | |
| | 8,640 | | | Marvell Technology Group, Ltd. | | | 410,745 | |
| | 3,942 | | | Maxim Integrated Products, Inc. | | | 349,458 | |
| | 1,132 | | | MaxLinear, Inc., Class A* | | | 43,231 | |
| | 3,353 | | | Microchip Technology, Inc. | | | 463,083 | |
| | 14,137 | | | Micron Technology, Inc.* | | | 1,062,820 | |
| | 1,512 | | | MKS Instruments, Inc. | | | 227,480 | |
| | 421 | | | Monolithic Power Systems, Inc. | | | 154,183 | |
| | 1,500 | | | Neophotonics Corp.* | | | 13,635 | |
| | 150 | | | NVE Corp. | | | 8,427 | |
| | 4,535 | | | NVIDIA Corp. | | | 2,368,177 | |
| | 11,467 | | | ON Semiconductor Corp.* | | | 375,315 | |
| | 1,334 | | | Onto Innovation, Inc.* | | | 63,432 | |
| | 1,438 | | | PDF Solutions, Inc.* | | | 31,061 | |
| | 5,010 | | | Photronics, Inc.* | | | 55,912 | |
| | 1,520 | | | Power Integrations, Inc. | | | 124,427 | |
| | 1,567 | | | Qorvo, Inc.* | | | 260,545 | |
| | 11,921 | | | Qualcomm, Inc. | | | 1,816,045 | |
| | 5,880 | | | Rambus, Inc.* | | | 102,665 | |
| | 1,305 | | | Semtech Corp.* | | | 94,077 | |
| | 867 | | | Silicon Laboratories, Inc.* | | | 110,404 | |
| | 2,776 | | | Skyworks Solutions, Inc. | | | 424,395 | |
| | 1,751 | | | SMART Global Holdings, Inc.* | | | 65,890 | |
See accompanying notes to the financial statements.
20
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 1,239 | | | SolarEdge Technologies, Inc.* | | $ | 395,389 | |
| | 1,129 | | | Synaptics, Inc.* | | | 108,836 | |
| | 2,449 | | | Teradyne, Inc. | | | 293,611 | |
| | 12,609 | | | Texas Instruments, Inc. | | | 2,069,515 | |
| | 1,678 | | | Ultra Clean Holdings, Inc.* | | | 52,270 | |
| | 1,049 | | | Universal Display Corp. | | | 241,060 | |
| | 3,598 | | | Veeco Instruments, Inc.* | | | 62,461 | |
| | 3,065 | | | Xilinx, Inc. | | | 434,525 | |
| | | | | | | | |
| | | | | | | 23,237,775 | |
| | | | | | | | |
| Software (6.9%): | | | |
| | 4,253 | | | ACI Worldwide, Inc.* | | | 163,443 | |
| | 4,350 | | | Adobe, Inc.* | | | 2,175,522 | |
| | 1,523 | | | Alarm.com Holding, Inc.* | | | 157,554 | |
| | 591 | | | Alteryx, Inc., Class A* | | | 71,978 | |
| | 1,009 | | | American Software, Inc., Class A | | | 17,325 | |
| | 1,301 | | | Anaplan, Inc.* | | | 93,477 | |
| | 988 | | | ANSYS, Inc.* | | | 359,434 | |
| | 1,409 | | | Aspen Technology, Inc.* | | | 183,522 | |
| | 447 | | | Atlassian Corp. plc, Class A* | | | 104,540 | |
| | 1,996 | | | Autodesk, Inc.* | | | 609,459 | |
| | 852 | | | Avalara, Inc.* | | | 140,486 | |
| | 4,014 | | | Avaya Holdings Corp.* | | | 76,868 | |
| | 2,272 | | | Aware, Inc.* | | | 7,952 | |
| | 1,606 | | | Blackbaud, Inc. | | | 92,441 | |
| | 794 | | | Bottomline Technologies, Inc.* | | | 41,876 | |
| | 3,266 | | | Cadence Design Systems, Inc.* | | | 445,580 | |
| | 2,601 | | | CDK Global, Inc. | | | 134,810 | |
| | 1,053 | | | Cerence, Inc.* | | | 105,805 | |
| | 1,607 | | | Ceridian HCM Holding, Inc.* | | | 171,242 | |
| | 1,606 | | | Citrix Systems, Inc. | | | 208,941 | |
| | 505 | | | CommVault Systems, Inc.* | | | 27,962 | |
| | 387 | | | Coupa Software, Inc.* | | | 131,158 | |
| | 824 | | | DocuSign, Inc.* | | | 183,175 | |
| | 3,824 | | | Dropbox, Inc., Class A* | | | 84,855 | |
| | 1,380 | | | Ebix, Inc. | | | 52,399 | |
| | 990 | | | Envestnet, Inc.* | | | 81,467 | |
| | 429 | | | Everbridge, Inc.* | | | 63,951 | |
| | 573 | | | Fair Isaac Corp.* | | | 292,826 | |
| | 1,784 | | | FireEye, Inc.* | | | 41,139 | |
| | 764 | | | Five9, Inc.* | | | 133,242 | |
| | 2,322 | | | Fortinet, Inc.* | | | 344,887 | |
| | 977 | | | Globant SA* | | | 212,605 | |
| | 1,145 | | | Guidewire Software, Inc.* | | | 147,396 | |
| | 750 | | | HubSpot, Inc.* | | | 297,330 | |
| | 2,458 | | | Intuit, Inc. | | | 933,671 | |
| | 2,007 | | | J2 Global, Inc.* | | | 196,064 | |
| | 1,365 | | | Manhattan Associates, Inc.* | | | 143,571 | |
| | 74,308 | | | Microsoft Corp. | | | 16,527,585 | |
| | 430 | | | MicroStrategy, Inc., Class A* | | | 167,077 | |
| | 600 | | | New Relic, Inc.* | | | 39,240 | |
| | 9,121 | | | NortonLifeLock, Inc. | | | 189,534 | |
| | 4,619 | | | Nuance Communications, Inc.* | | | 203,652 | |
| | 1,722 | | | OneSpan, Inc.* | | | 35,611 | |
| | 26,268 | | | Oracle Corp. | | | 1,699,277 | |
| | 808 | | | Paycom Software, Inc.* | | | 365,418 | |
| | 912 | | | Paylocity Holding Corp.* | | | 187,790 | |
| | 963 | | | Pegasystems, Inc. | | | 128,329 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 1,395 | | | Progress Software Corp. | | $ | 63,040 | |
| | 886 | | | Proofpoint, Inc.* | | | 120,859 | |
| | 1,755 | | | PTC, Inc.* | | | 209,916 | |
| | 1,224 | | | Qualys, Inc.* | | | 149,169 | |
| | 2,745 | | | RealNetworks, Inc.* | | | 4,282 | |
| | 1,867 | | | RealPage, Inc.* | | | 162,877 | |
| | 371 | | | RingCentral, Inc., Class A* | | | 140,598 | |
| | 4,955 | | | salesforce.com, Inc.* | | | 1,102,636 | |
| | 1,200 | | | Sapiens International Corp. NV | | | 36,732 | |
| | 574 | | | ServiceNow, Inc.* | | | 315,947 | |
| | 2,514 | | | Slack Technologies, Inc., Class A* | | | 106,191 | |
| | 3,309 | | | SolarWinds Corp.* | | | 49,470 | |
| | 967 | | | Splunk, Inc.* | | | 164,284 | |
| | 4,289 | | | SS&C Technologies Holdings, Inc. | | | 312,025 | |
| | 2,279 | | | Synchronoss Technologies, Inc.* | | | 10,711 | |
| | 1,631 | | | Synopsys, Inc.* | | | 422,820 | |
| | 327 | | | The Trade Desk, Inc., Class A* | | | 261,927 | |
| | 409 | | | Tyler Technologies, Inc.* | | | 178,537 | |
| | 2,230 | | | Verint Systems, Inc.* | | | 149,811 | |
| | 742 | | | VMware, Inc., Class A*^ | | | 104,073 | |
| | 494 | | | Workday, Inc., Class A* | | | 118,367 | |
| | 7,046 | | | Xperi Holding Corp. | | | 147,261 | |
| | 1,173 | | | Zscaler, Inc.* | | | 234,260 | |
| | | | | | | | |
| | | | | | | 32,839,259 | |
| | | | | | | | |
| Specialty Retail (2.5%): | | | |
| | 1,093 | | | Aaron’s Co., Inc. (The)* | | | 20,723 | |
| | 4,015 | | | Abercrombie & Fitch Co., Class A | | | 81,745 | |
| | 1,285 | | | Advance Auto Parts, Inc. | | | 202,400 | |
| | 5,007 | | | American Eagle Outfitters, Inc.^ | | | 100,490 | |
| | 492 | | | America’s Car Mart, Inc.* | | | 54,041 | |
| | 929 | | | Asbury Automotive Group, Inc.* | | | 135,392 | |
| | 3,229 | | | At Home Group, Inc.* | | | 49,920 | |
| | 2,991 | | | AutoNation, Inc.* | | | 208,742 | |
| | 266 | | | AutoZone, Inc.* | | | 315,327 | |
| | 3,164 | | | Barnes & Noble Education, Inc.* | | | 14,713 | |
| | 5,744 | | | Bed Bath & Beyond, Inc. | | | 102,013 | |
| | 6,327 | | | Best Buy Co, Inc. | | | 631,372 | |
| | 1,657 | | | Big 5 Sporting Goods Corp. | | | 16,918 | |
| | 1,519 | | | Boot Barn Holdings, Inc.* | | | 65,864 | |
| | 583 | | | Build-A-Bear Workshop, Inc.* | | | 2,489 | |
| | 355 | | | Burlington Stores, Inc.* | | | 92,850 | |
| | 2,280 | | | Caleres, Inc. | | | 35,682 | |
| | 3,468 | | | CarMax, Inc.* | | | 327,587 | |
| | 1,987 | | | Cato Corp., Class A | | | 19,055 | |
| | 7,822 | | | Chico’s FAS, Inc. | | | 12,437 | |
| | 881 | | | Citi Trends, Inc. | | | 43,768 | |
| | 1,572 | | | Conn’s, Inc.* | | | 18,377 | |
| | 3,425 | | | Designer Brands, Inc., Class A | | | 26,201 | |
| | 2,039 | | | Dick’s Sporting Goods, Inc. | | | 114,612 | |
| | 1,392 | | | Five Below, Inc.* | | | 243,572 | |
| | 2,862 | | | Floor & Decor Holdings, Inc., Class A* | | | 265,737 | |
| | 4,013 | | | Foot Locker, Inc. | | | 162,286 | |
| | 6,630 | | | GameStop Corp., Class A*^ | | | 124,909 | |
| | 8,563 | | | Gap, Inc. (The) | | | 172,887 | |
| | 1,571 | | | Genesco, Inc.* | | | 47,271 | |
| | 1,000 | | | Group 1 Automotive, Inc. | | | 131,140 | |
| | 2,846 | | | Guess?, Inc. | | | 64,377 | |
See accompanying notes to the financial statements.
21
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail, continued | | | |
| | 1,166 | | | Haverty Furniture Cos., Inc. | | $ | 32,263 | |
| | 1,874 | | | Hibbett Sports, Inc.* | | | 86,541 | |
| | 8,873 | | | Home Depot, Inc. (The) | | | 2,356,847 | |
| | 1,784 | | | L Brands, Inc. | | | 66,347 | |
| | 875 | | | Lithia Motors, Inc., Class A | | | 256,086 | |
| | 7,904 | | | Lowe’s Cos., Inc. | | | 1,268,672 | |
| | 1,427 | | | MarineMax, Inc.* | | | 49,988 | |
| | 3,155 | | | Michaels Cos., Inc. (The)*^ | | | 41,047 | |
| | 1,401 | | | Monro, Inc. | | | 74,673 | |
| | 1,077 | | | Murphy U.S.A., Inc. | | | 140,947 | |
| | 1,200 | | | National Vision Holdings, Inc.* | | | 54,348 | |
| | 2,577 | | | ODP Corp. (The)* | | | 75,506 | |
| | 927 | | | O’Reilly Automotive, Inc.* | | | 419,533 | |
| | 2,698 | | | Penske Automotive Group, Inc. | | | 160,234 | |
| | 1,792 | | | Rent-A-Center, Inc. | | | 68,616 | |
| | 522 | | | RH* | | | 233,605 | |
| | 3,982 | | | Ross Stores, Inc.* | | | 489,030 | |
| | 5,608 | | | Sally Beauty Holdings, Inc.* | | | 73,128 | |
| | 600 | | | Shoe Carnival, Inc. | | | 23,508 | |
| | 1,393 | | | Signet Jewelers, Ltd. | | | 37,987 | |
| | 1,230 | | | Sleep Number Corp.* | | | 100,688 | |
| | 1,332 | | | Sonic Automotive, Inc., Class A | | | 51,375 | |
| | 1,606 | | | Sportsman’s Warehouse Holdings, Inc.* | | | 28,185 | |
| | 848 | | | The Buckle, Inc. | | | 24,762 | |
| | 988 | | | The Children’s Place, Inc.* | | | 49,499 | |
| | 678 | | | Tiffany & Co. | | | 89,123 | |
| | 854 | | | Tilly’s, Inc. | | | 6,969 | |
| | 10,979 | | | TJX Cos., Inc. (The) | | | 749,757 | |
| | 2,445 | | | Tractor Supply Co. | | | 343,718 | |
| | 944 | | | Ulta Beauty, Inc.* | | | 271,079 | |
| | 4,635 | | | Urban Outfitters, Inc.* | | | 118,656 | |
| | 2,380 | | | Williams-Sonoma, Inc. | | | 242,379 | |
| | 285 | | | Winmark Corp. | | | 52,953 | |
| | 1,604 | | | Zumiez, Inc.* | | | 58,995 | |
| | | | | | | | |
| | | | | | | 12,101,941 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (5.6%): | | | |
| | 6,315 | | | 3D Systems Corp.* | | | 66,181 | |
| | 179,199 | | | Apple, Inc. | | | 23,777,916 | |
| | 728 | | | AstroNova, Inc. | | | 7,753 | |
| | 2,354 | | | Avid Technology, Inc.* | | | 37,358 | |
| | 1,874 | | | Dell Technologies, Inc., Class C* | | | 137,345 | |
| | 19,633 | | | Hewlett Packard Enterprise Co. | | | 232,651 | |
| | 14,153 | | | HP, Inc. | | | 348,023 | |
| | 5,127 | | | NCR Corp.* | | | 192,621 | |
| | 4,382 | | | NetApp, Inc. | | | 290,264 | |
| | 4,094 | | | Pure Storage, Inc., Class A* | | | 92,565 | |
| | 5,941 | | | Seagate Technology plc | | | 369,293 | |
| | 2,522 | | | Stratasys, Ltd.* | | | 52,256 | |
| | 4,585 | | | Western Digital Corp. | | | 253,963 | |
| | 7,974 | | | Xerox Holdings Corp. | | | 184,917 | |
| | | | | | | | |
| | | | | | | 26,043,106 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.2%): | | | |
| | 5,725 | | | Capri Holdings, Ltd.* | | | 240,450 | |
| | 1,710 | | | Carter’s, Inc. | | | 160,860 | |
| | 1,953 | | | Columbia Sportswear Co. | | | 170,653 | |
| | 1,693 | | | Crocs, Inc.* | | | 106,083 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods, continued | | | |
| | 810 | | | Culp, Inc. | | $ | 12,855 | |
| | 836 | | | Deckers Outdoor Corp.* | | | 239,748 | |
| | 3,440 | | | Fossil Group, Inc.* | | | 29,825 | |
| | 2,480 | | | G-III Apparel Group, Ltd.* | | | 58,875 | |
| | 13,052 | | | Hanesbrands, Inc. | | | 190,298 | |
| | 795 | | | Kontoor Brands, Inc. | | | 32,245 | |
| | 1,147 | | | Lululemon Athletica, Inc.* | | | 399,191 | |
| | 1,551 | | | Movado Group, Inc.* | | | 25,778 | |
| | 10,725 | | | Nike, Inc., Class B | | | 1,517,265 | |
| | 1,259 | | | Oxford Industries, Inc. | | | 82,477 | |
| | 1,797 | | | PVH Corp. | | | 168,720 | |
| | 1,477 | | | Ralph Lauren Corp. | | | 153,224 | |
| | 570 | | | Rocky Brands, Inc. | | | 16,000 | |
| | 4,898 | | | Skechers U.S.A., Inc., Class A* | | | 176,034 | |
| | 2,686 | | | Steven Madden, Ltd. | | | 94,870 | |
| | 700 | | | Superior Group of Cos., Inc. | | | 16,268 | |
| | 8,132 | | | Tapestry, Inc. | | | 252,743 | |
| | 5,109 | | | Under Armour, Inc., Class A* | | | 87,722 | |
| | 3,746 | | | Under Armour, Inc., Class C* | | | 55,740 | |
| | 1,027 | | | Unifi, Inc.* | | | 18,219 | |
| | 802 | | | Vera Bradley, Inc.* | | | 6,384 | |
| | 4,448 | | | VF Corp. | | | 379,904 | |
| | 3,237 | | | Wolverine World Wide, Inc. | | | 101,156 | |
| | | | | | | | |
| | | | | | | 4,793,587 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.5%): | | | |
| | 3,384 | | | Axos Financial, Inc.* | | | 127,002 | |
| | 1,591 | | | BankFinancial Corp. | | | 13,969 | |
| | 7,721 | | | Capitol Federal Financial, Inc. | | | 96,513 | |
| | 2,223 | | | Columbia Financial, Inc.* | | | 34,590 | |
| | 2,791 | | | Dime Community Bancshares, Inc. | | | 44,014 | |
| | 855 | | | ESSA Bancorp, Inc. | | | 12,825 | |
| | 3,469 | | | Essent Group, Ltd. | | | 149,861 | |
| | 403 | | | Federal Agricultural Mortgage Corp. | | | 29,923 | |
| | 408 | | | First Capital, Inc.^ | | | 24,708 | |
| | 2,446 | | | Flagstar Bancorp, Inc. | | | 99,699 | |
| | 8 | | | Greene County Bancorp, Inc. | | | 204 | |
| | 155 | | | Hingham Institution for Savings | | | 33,480 | |
| | 1,670 | | | HomeStreet, Inc. | | | 56,363 | |
| | 413 | | | IF Bancorp, Inc. | | | 8,888 | |
| | 5,948 | | | Kearny Financial Corp. | | | 62,811 | |
| | 1,249 | | | Kentucky First Federal Bancorp | | | 7,906 | |
| | 750 | | | Lake Shore Bancorp, Inc. | | | 9,750 | |
| | 194 | | | LendingTree, Inc.* | | | 53,115 | |
| | 3,570 | | | Meridian Bancorp, Inc. | | | 53,229 | |
| | 2,468 | | | Meta Financial Group, Inc. | | | 90,230 | |
| | 10,413 | | | MGIC Investment Corp. | | | 130,683 | |
| | 4,623 | | | Mr Cooper Group, Inc.* | | | 143,451 | |
| | 13,097 | | | New York Community Bancorp, Inc. | | | 138,173 | |
| | 3,378 | | | NMI Holdings, Inc., Class A* | | | 76,512 | |
| | 2,984 | | | Northfield Bancorp, Inc. | | | 36,793 | |
| | 6,785 | | | Northwest Bancshares, Inc. | | | 86,441 | |
| | 3,232 | | | Oceanfirst Financial Corp. | | | 60,212 | |
| | 503 | | | Oconee Federal Financial Corp. | | | 12,726 | |
| | 465 | | | Ocwen Financial Corp.* | | | 13,443 | |
| | 2,417 | | | PennyMac Financial Services, Inc. | | | 158,603 | |
| | 2,584 | | | Premier Financial Corp. | | | 59,432 | |
| | 679 | | | Provident Financial Holdings, Inc. | | | 10,667 | |
See accompanying notes to the financial statements.
22
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Thrifts & Mortgage Finance, continued | | | |
| | 3,181 | | | Provident Financial Services, Inc. | | $ | 57,131 | |
| | 6,456 | | | Radian Group, Inc. | | | 130,734 | |
| | 420 | | | Riverview Bancorp, Inc. | | | 2,209 | |
| | 561 | | | Southern Missouri Bancorp, Inc. | | | 17,077 | |
| | 1,764 | | | Sterling Bancorp, Inc. | | | 8,009 | |
| | 733 | | | Territorial Bancorp, Inc. | | | 17,614 | |
| | 5,381 | | | TFS Financial Corp. | | | 94,867 | |
| | 7,273 | | | TrustCo Bank Corp NY | | | 48,511 | |
| | 3,136 | | | Washington Federal, Inc. | | | 80,721 | |
| | 2,036 | | | Waterstone Financial, Inc. | | | 38,318 | |
| | 1,546 | | | Wawlker & Dunlop, Inc. | | | 142,262 | |
| | 1,498 | | | Western New England BanCorp, Inc. | | | 10,321 | |
| | 1,788 | | | WSFS Financial Corp. | | | 80,245 | |
| | | | | | | | |
| | | | | | | 2,664,235 | |
| | | | | | | | |
| Tobacco (0.4%): | | | |
| | 19,855 | | | Altria Group, Inc. | | | 814,055 | |
| | 13,250 | | | Philip Morris International, Inc. | | | 1,096,968 | |
| | 1,284 | | | Universal Corp. | | | 62,415 | |
| | 6,874 | | | Vector Group, Ltd. | | | 80,082 | |
| | | | | | | | |
| | | | | | | 2,053,520 | |
| | | | | | | | |
| Trading Companies & Distributors (0.7%): | | | |
| | 5,044 | | | Air Lease Corp. | | | 224,054 | |
| | 1,198 | | | Applied Industrial Technologies, Inc. | | | 93,432 | |
| | 2,840 | | | Beacon Roofing Supply, Inc.* | | | 114,140 | |
| | 3,066 | | | BMC Stock Holdings, Inc.* | | | 164,583 | |
| | 1,592 | | | CAI International, Inc. | | | 49,734 | |
| | 644 | | | DXP Enterprises, Inc.* | | | 14,316 | |
| | 9,288 | | | Fastenal Co. | | | 453,533 | |
| | 876 | | | GATX Corp. | | | 72,866 | |
| | 2,334 | | | GMS, Inc.* | | | 71,140 | |
| | 1,700 | | | H&E Equipment Services, Inc. | | | 50,677 | |
| | 1,767 | | | Herc Holdings, Inc.* | | | 117,346 | |
| | 1,307 | | | Huttig Building Products, Inc.* | | | 4,797 | |
| | 870 | | | Kaman Corp., Class A | | | 49,703 | |
| | 5,217 | | | MRC Global, Inc.* | | | 34,589 | |
| | 1,633 | | | MSC Industrial Direct Co., Inc., Class A | | | 137,809 | |
| | 5,453 | | | NOW, Inc.* | | | 39,153 | |
| | 1,547 | | | Rush Enterprises, Inc., Class A | | | 64,077 | |
| | 1,003 | | | SiteOne Landscape Supply, Inc.* | | | 159,106 | |
| | 2,034 | | | Systemax, Inc. | | | 73,000 | |
| | 2,654 | | | Textainer Group Holdings, Ltd.* | | | 50,904 | |
| | 651 | | | Titan Machinery, Inc.* | | | 12,727 | |
| | 1,007 | | | Transcat, Inc.* | | | 34,923 | |
| | 3,334 | | | Triton International, Ltd. | | | 161,732 | |
| | 1,982 | | | United Rentals, Inc.* | | | 459,645 | |
| | 5,820 | | | Univar Solutions, Inc.* | | | 110,638 | |
| | 1,184 | | | Veritiv Corp.* | | | 24,615 | |
| | 826 | | | W.W. Grainger, Inc. | | | 337,289 | |
| | 902 | | | Watsco, Inc. | | | 204,348 | |
| | 84 | | | Watsco, Inc., Class B | | | 18,901 | |
| | 2,560 | | | WESCO International, Inc.* | | | 200,960 | |
| | | | | | | | |
| | | | | | | 3,604,737 | |
| | | | | | | | |
| Transportation Infrastructure (0.0%†): | | | |
| | 2,859 | | | Macquarie Infrastructure Corp. | | | 107,355 | |
| | | | | | | | |
| Water Utilities (0.2%): | | | |
| | 1,327 | | | American States Water Co. | | | 105,510 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Water Utilities, continued | | | |
| | 2,157 | | | American Water Works Co., Inc. | | $ | 331,035 | |
| | 491 | | | Artesian Resources Corp. | | | 18,206 | |
| | 1,743 | | | California Water Service Group | | | 94,174 | |
| | 3,223 | | | Essential Utilities, Inc. | | | 152,416 | |
| | 979 | | | Middlesex Water Co. | | | 70,948 | |
| | 669 | | | Pure Cycle Corp.* | | | 7,513 | |
| | 1,234 | | | SJW Group | | | 85,590 | |
| | 772 | | | York Water Co. (The) | | | 35,975 | |
| | | | | | | | |
| | | | | | | 901,367 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 2,055 | | | Boingo Wireless, Inc.* | | | 26,140 | |
| | 2,203 | | | Shenandoah Telecommunications Co. | | | 95,280 | |
| | 1,649 | | | Spok Holdings, Inc. | | | 18,353 | |
| | 4,354 | | | Telephone & Data Systems, Inc. | | | 80,854 | |
| | 6,990 | | | T-Mobile USA, Inc.* | | | 942,601 | |
| | 1,695 | | | United States Cellular Corp.* | | | 52,019 | |
| | | | | | | | |
| | | | | | | 1,215,247 | |
| | | | | | | | |
| | Total Common Stocks (Cost $299,167,876) | | | 476,909,818 | |
| | | | | |
| Preferred Stocks (0.0%†): | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 264 | | | Qurate Retail, Inc., 8.00%, 3/15/31 | | | 26,136 | |
| | | | | |
| Trading Companies & Distributors (0.0%†): | | | |
| | 1,076 | | | WESCO International, Inc., Series A, 10.63% | | | 33,625 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $113,834) | | | 59,761 | |
| | | | | |
| Rights (0.0%†): | | | |
| Biotechnology (0.0%†): | | | |
| | 3,743 | | | Achillion Pharm CVR, Expires on 1/29/21* | | | 5,315 | |
| | | | | | | | |
| Diversified Financial Services (0.0%†): | | | |
| | 2,411 | | | NewStar Financial, Inc. CVR, Expires on 12/31/49* | | | 245 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 9,820 | | | Media General, Inc. CVR, Expires on 12/31/49* | | | 921 | |
| | | | | | | | |
| | Total Rights (Cost $4,345) | | | 6,481 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.5%): | |
| | 2,458,017 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(b)(c) | | | 2,458,017 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for
Securities on Loan (Cost $2,458,017) | | | 2,458,017 | |
| | | | | |
| Unaffiliated Investment Companies (0.1%): | | | |
| Money Markets (0.1%): | | | |
| | 328,879 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 328,879 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $328,879) | | | 328,879 | |
| | | | | |
| | Total Investment Securities (Cost $302,072,951) — 100.2%(d) | | | 479,762,956 | |
| | Net other assets (liabilities) — (0.2)% | | | (982,346 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 478,780,610 | |
| | | | | |
See accompanying notes to the financial statements.
23
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2020
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
CVR—Contingency Valued Rights
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $2,377,483. |
| † | Represents less than 0.05%. |
| (a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of December 31, 2020. The total of all such securities represent 0.00% of the net assets of the fund. |
| (b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—” are $0 or round to less than $1.
See accompanying notes to the financial statements.
24
AZL DFA U.S. Core Equity Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 302,072,951 | |
| | | | | |
Investment securities, at value(a) | | | $ | 479,762,956 | |
Interest and dividends receivable | | | | 323,190 | |
Receivable for investments sold | | | | 1,540,544 | |
Reclaims receivable | | | | 3,373 | |
Prepaid expenses | | | | 2,533 | |
| | | | | |
Total Assets | | | | 481,632,596 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 4,621 | |
Payable for collateral received on loaned securities | | | | 2,458,017 | |
Manager fees payable | | | | 217,466 | |
Administration fees payable | | | | 33,974 | |
Distribution fees payable | | | | 100,679 | |
Custodian fees payable | | | | 5,746 | |
Administrative and compliance services fees payable | | | | 1,535 | |
Transfer agent fees payable | | | | 1,156 | |
Trustee fees payable | | | | 5,559 | |
Other accrued liabilities | | | | 23,233 | |
| | | | | |
Total Liabilities | | | | 2,851,986 | |
| | | | | |
Net Assets | | | $ | 478,780,610 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 260,601,550 | |
Total distributable earnings | | | | 218,179,060 | |
| | | | | |
Net Assets | | | $ | 478,780,610 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 32,768,559 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.61 | |
| | | | | |
| (a) | Includes securities on loan of $2,377,483. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 8,072,226 | |
Income from securities lending | | | | 52,705 | |
Foreign withholding tax | | | | (3,114 | ) |
| | | | | |
Total Investment Income | | | | 8,121,817 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 3,595,664 | |
Administration fees | | | | 180,636 | |
Distribution fees | | | | 1,123,646 | |
Custodian fees | | | | 22,227 | |
Administrative and compliance services fees | | | | 7,933 | |
Transfer agent fees | | | | 6,267 | |
Trustee fees | | | | 27,036 | |
Professional fees | | | | 22,201 | |
Shareholder reports | | | | 12,922 | |
Other expenses | | | | 11,784 | |
| | | | | |
Total expenses before reductions | | | | 5,010,316 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (1,168,588 | ) |
| | | | | |
Net expenses | | | | 3,841,728 | |
| | | | | |
Net Investment Income/(Loss) | | | | 4,280,089 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 36,138,044 | |
Change in net unrealized appreciation/depreciation on securities | | | | 38,192,478 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 74,330,522 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 78,610,611 | |
| | | | | |
See accompanying notes to the financial statements.
25
AZL DFA U.S. Core Equity Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 4,280,089 | | | | $ | 5,053,450 | |
Net realized gains/(losses) on investments | | | | 36,138,044 | | | | | 32,472,338 | |
Change in unrealized appreciation/depreciation on investments | | | | 38,192,478 | | | | | 90,102,485 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 78,610,611 | | | | | 127,628,273 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (37,601,702 | ) | | | | (36,227,548 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (37,601,702 | ) | | | | (36,227,548 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 47,489,042 | | | | | 2,050,767 | |
Proceeds from dividends reinvested | | | | 37,601,702 | | | | | 36,227,548 | |
Value of shares redeemed | | | | (143,637,221 | ) | | | | (96,897,568 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (58,546,477 | ) | | | | (58,619,253 | ) |
| | | | | | | | | | |
Change in net assets | | | | (17,537,568 | ) | | | | 32,781,472 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 496,318,178 | | | | | 463,536,706 | |
| | | | | | | | | | |
End of period | | | $ | 478,780,610 | | | | $ | 496,318,178 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 4,484,905 | | | | | 163,172 | |
Dividends reinvested | | | | 2,896,895 | | | | | 2,969,471 | |
Shares redeemed | | | | (11,296,601 | ) | | | | (7,394,237 | ) |
| | | | | | | | | | |
Change in shares | | | | (3,914,801 | ) | | | | (4,261,594 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
26
AZL DFA U.S. Core Equity Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.53 | | | | $ | 11.32 | | | | $ | 12.76 | | | | $ | 10.74 | | | | $ | 9.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.12 | (a) | | | | 0.13 | (a) | | | | 0.16 | | | | | 0.15 | | | | | 0.13 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.13 | | | | | 3.08 | | | | | (1.06 | ) | | | | 2.04 | | | | | 1.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 2.25 | | | | | 3.21 | | | | | (0.90 | ) | | | | 2.19 | | | | | 1.34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.16 | ) | | | | (0.15 | ) | | | | (0.15 | ) | | | | (0.14 | ) | | | | (0.09 | ) |
Net Realized Gains | | | | (1.01 | ) | | | | (0.85 | ) | | | | (0.39 | ) | | | | (0.03 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.17 | ) | | | | (1.00 | ) | | | | (0.54 | ) | | | | (0.17 | ) | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.61 | | | | $ | 13.53 | | | | $ | 11.32 | | | | $ | 12.76 | | | | $ | 10.74 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 17.70 | % | | | | 29.36 | % | | | | (7.52 | )% | | | | 20.45 | % | | | | 14.25 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 478,781 | | | | $ | 496,318 | | | | $ | 463,537 | | | | $ | 584,221 | | | | $ | 582,088 | |
Net Investment Income/(Loss) | | | | 0.95 | % | | | | 1.03 | % | | | | 1.00 | % | | | | 1.02 | % | | | | 1.24 | % |
Expenses Before Reductions(c) | | | | 1.11 | % | | | | 1.10 | % | | | | 1.10 | % | | | | 1.10 | % | | | | 1.10 | % |
Expenses Net of Reductions | | | | 0.85 | % | | | | 0.84 | % | | | | 0.84 | % | | | | 0.84 | % | | | | 0.84 | % |
Portfolio Turnover Rate | | | | 11 | % | | | | 4 | % | | | | 4 | % | | | | 2 | % | | | | 10 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
27
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA U.S. Core Equity Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
28
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2020
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $4,873 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,458,017 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL DFA U.S. Core Equity Fund | | | | 0.80 | % | | | | 1.20 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.54% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
29
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2020
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $2,444 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 476,885,308 | | | | $ | 24,510 | | | | $ | — | # | | | $ | 476,909,818 | |
Preferred Stocks+ | | | | 59,761 | | | | | — | | | | | — | | | | | 59,761 | |
Rights+ | | | | — | | | | | 6,481 | | | | | — | | | | | 6,481 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 2,458,017 | | | | | — | | | | | — | | | | | 2,458,017 | |
Unaffiliated Investment Companies | | | | 328,879 | | | | | — | | | | | — | | | | | 328,879 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 479,731,965 | | | | $ | 30,991 | | | | $ | — | | | | $ | 479,762,956 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at December 31, 2020. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL DFA U.S. Core Equity Fund | | | $ | 48,812,859 | | | | $ | 139,887,642 | |
30
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2020
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $303,878,138. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 208,262,731 | |
Unrealized (depreciation) | | | (32,377,913 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 175,884,818 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA U.S. Core Equity Fund | | | $ | 5,306,235 | | | | $ | 32,295,467 | | | | $ | 37,601,702 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA U.S. Core Equity Fund | | | $ | 5,481,514 | | | | $ | 30,746,034 | | | | $ | 36,227,548 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL DFA U.S. Core Equity Fund | | | $ | 5,051,616 | | | | $ | 37,242,626 | | | | $ | — | | | | $ | 175,884,818 | | | | $ | 218,179,060 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and other miscellaneous differences. |
31
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2020
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 75% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
32
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL DFA U.S. Core Equity Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL DFA U.S. Core Equity Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
33
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $251,666.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $32,295,467.
34
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
35
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b -1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
36
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b -1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
37
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
38
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
39
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
40
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® DFA U.S. Small Cap Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® DFA U.S. Small Cap Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® DFA U.S. Small Cap Fund and Dimensional Fund Advisors LP serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® DFA U.S. Small Cap Fund (the “Fund”) returned 13.97%. That compared to a 19.96% total return for its benchmark, the Russell 2000® Index1.
The economic consequences of the coronavirus (COVID-19) pandemic in March sent U.S. equities into a steep decline. By early June, the S&P 500 Index2 had erased those earlier losses. U.S. equities generally continued to rise on a slower trajectory through the end of the year.
Small-cap stocks underperformed large-cap stocks for the period. Growth stocks outperformed value stocks across all market cap sizes. In the small-cap universe, stocks with higher relative prices and lower profitability outperformed relative to other small caps.
The Fund’s underperformance relative to its benchmark was primarily driven by its exclusion of stocks with the lowest profitability and highest relative price. These stocks were among the best performers during the period. The Fund’s exclusion of stocks in the benchmark with the highest asset growth also detracted from its relative performance, as these stocks outperformed the smaller-cap stocks in the Fund’s portfolio.*
The Fund’s general exclusion of real estate investment trusts3 (REITs) offset some of this negative impact, as REITs underperformed the overall benchmark during the period.*
1
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | The S&P 500 is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. The index is unmanaged. Investors cannot invest directly in an index. |
| 3 | The performance of investments in real estate depends on the overall strength of the real estate market, the management of real estate investments trusts (REITs), real estate operating companies (REOCs), and foreign real estate companies, and property management, all of which can be affected by a variety of factors, including national and regional economic conditions. |
AZL® DFA U.S. Small Cap Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek long-term capital appreciation. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in equity securities of small-capitalization U.S. companies.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility.
Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value.
Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
| | | | | | | | |
| Average Annual Total Returns as of December 31, 2020 |
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | Since
Inception
(4/27/15) | |
AZL® DFA U.S. Small Cap Fund | | | 13.97 | % | | | 6.43 | % | | | 10.79 | % | | | 7.84 | % |
Russell 2000® Index | | | 19.96 | % | | | 10.25 | % | | | 13.26 | % | | | 9.87 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® DFA U.S. Small Cap Fund | | | 1.17 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 1.35% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Russell 2000® Index, which is an unmanaged market capitalization-weighted index comprised of the 2,000 smallest companies listed in the Russell 3000® Index, which contains the 3,000 largest companies in the U.S. based on market capitalization. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL DFA U.S. Small Cap Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL DFA U.S. Small Cap Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA U.S. Small Cap Fund | | | $ | 1,000.00 | | | | $ | 1,343.60 | | | | $ | 6.13 | | | | | 1.04 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL DFA U.S. Small Cap Fund | | | $ | 1,000.00 | | | | $ | 1,019.91 | | | | $ | 5.28 | | | | | 1.04 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Financials | | | | 21.6 | % |
| |
Industrials | | | | 19.9 | |
| |
Consumer Discretionary | | | | 16.2 | |
| |
Information Technology | | | | 13.2 | |
| |
Health Care | | | | 10.0 | |
| |
Materials | | | | 5.7 | |
| |
Consumer Staples | | | | 4.1 | |
| |
Energy | | | | 3.0 | |
| |
Utilities | | | | 2.7 | |
| |
Communication Services | | | | 2.6 | |
| |
Real Estate | | | | 0.9 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.9 | |
| |
Rights | | | | — | † |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 1.5 | |
| | | | | |
| |
Total Investment Securities | | | | 101.4 | |
| |
Net other assets (liabilities) | | | | (1.4 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.8%): | |
| Aerospace & Defense (1.1%): | |
| | 2,512 | | | AAR Corp. | | $ | 90,985 | |
| | 5,304 | | | Aerojet Rocketdyne Holdings, Inc.* | | | 280,316 | |
| | 1,710 | | | AeroVironment, Inc.* | | | 148,599 | |
| | 2,615 | | | Astronics Corp.* | | | 34,596 | |
| | 392 | | | Astronics Corp., Class B*^ | | | 5,203 | |
| | 869 | | | BWX Technologies, Inc. | | | 52,383 | |
| | 685 | | | CPI Aerostructures, Inc.* | | | 2,624 | |
| | 2,316 | | | Cubic Corp. | | | 143,685 | |
| | 1,011 | | | Curtiss-Wright Corp. | | | 117,630 | |
| | 766 | | | Ducommun, Inc.* | | | 41,134 | |
| | 2,064 | | | Hexcel Corp. | | | 100,083 | |
| | 3,376 | | | Innovative Solutions & Support, Inc. | | | 22,012 | |
| | 7,599 | | | Kratos Defense & Security Solutions, Inc.* | | | 208,441 | |
| | 1,569 | | | Maxar Technologies, Inc. | | | 60,548 | |
| | 1,336 | | | Mercury Systems, Inc.* | | | 117,648 | |
| | 3,131 | | | Moog, Inc., Class A | | | 248,288 | |
| | 685 | | | National Presto Industries, Inc. | | | 60,575 | |
| | 2,564 | | | Park Aerospace Corp., Class C | | | 34,383 | |
| | 759 | | | Vectrus, Inc.* | | | 37,737 | |
| | | | | | | | |
| | | | | | | 1,806,870 | |
| | | | | | | | |
| Air Freight & Logistics (0.5%): | | | |
| | 738 | | | Air T, Inc.* | | | 18,376 | |
| | 6,274 | | | Air Transport Services Group, Inc.* | | | 196,627 | |
| | 1,862 | | | Atlas Air Worldwide Holdings, Inc.* | | | 101,553 | |
| | 2,655 | | | Echo Global Logistics, Inc.* | | | 71,207 | |
| | 2,900 | | | Forward Air Corp. | | | 222,837 | |
| | 3,472 | | | Hub Group, Inc., Class A* | | | 197,904 | |
| | 5,212 | | | Radiant Logistics, Inc.* | | | 30,230 | |
| | | | | | | | |
| | | | | | | 838,734 | |
| | | | | | | | |
| Airlines (0.5%): | | | |
| | 418 | | | Alaska Air Group, Inc. | | | 21,736 | |
| | 1,552 | | | Allegiant Travel Co. | | | 293,701 | |
| | 899 | | | Copa Holdings SA, Class A | | | 69,430 | |
| | 3,192 | | | Hawaiian Holdings, Inc. | | | 56,498 | |
| | 7,404 | | | JetBlue Airways Corp.* | | | 107,654 | |
| | 2,689 | | | SkyWest, Inc. | | | 108,394 | |
| | 4,325 | | | Spirit Airlines, Inc.* | | | 105,746 | |
| | | | | | | | |
| | | | | | | 763,159 | |
| | | | | | | | |
| Auto Components (1.5%): | | | |
| | 5,318 | | | Adient plc* | | | 184,907 | |
| | 12,952 | | | American Axle & Manufacturing Holdings, Inc.* | | | 108,020 | |
| | 5,531 | | | Cooper Tire & Rubber Co. | | | 224,006 | |
| | 2,216 | | | Cooper-Standard Holding, Inc.* | | | 76,829 | |
| | 11,599 | | | Dana, Inc. | | | 226,412 | |
| | 2,064 | | | Dorman Products, Inc.* | | | 179,196 | |
| | 3,449 | | | Fox Factory Holding Corp.* | | | 364,593 | |
| | 3,509 | | | Gentherm, Inc.* | | | 228,857 | |
| | 14,448 | | | Goodyear Tire & Rubber Co. | | | 157,628 | |
| | 1,680 | | | Horizon Global Corp.* | | | 14,431 | |
| | 2,032 | | | LCI Industries | | | 263,510 | |
| | 5,052 | | | Modine Manufacturing Co.* | | | 63,453 | |
| | 1,911 | | | Motorcar Parts of America, Inc.* | | | 37,494 | |
| | 2,371 | | | Standard Motor Products, Inc. | | | 95,931 | |
| | 2,242 | | | Stoneridge, Inc.* | | | 67,776 | |
| | 1,139 | | | Tenneco, Inc.* | | | 12,073 | |
| | 472 | | | Veoneer, Inc.*^ | | | 10,054 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Auto Components, continued | | | |
| | 2,260 | | | Visteon Corp.* | | $ | 283,675 | |
| | | | | | | | |
| | | | | | | 2,598,845 | |
| | | | | | | | |
| Automobiles (0.3%): | | | |
| | 4,263 | | | Harley-Davidson, Inc. | | | 156,452 | |
| | 1,766 | | | Thor Industries, Inc. | | | 164,220 | |
| | 3,080 | | | Winnebago Industries, Inc. | | | 184,616 | |
| | | | | | | | |
| | | | | | | 505,288 | |
| | | | | | | | |
| Banks (11.5%): | | | |
| | 1,584 | | | 1st Constitution Bancorp | | | 25,138 | |
| | 2,619 | | | 1st Source Corp. | | | 105,546 | |
| | 410 | | | ACNB Corp. | | | 10,250 | |
| | 880 | | | Allegiance Bancshares, Inc. | | | 30,034 | |
| | 1,452 | | | Altabancorp | | | 40,540 | |
| | 1,339 | | | American National Bankshares, Inc. | | | 35,095 | |
| | 346 | | | American River Bankshares | | | 4,550 | |
| | 5,216 | | | Ameris Bancorp | | | 198,573 | |
| | 1,649 | | | Ames National Corp. | | | 39,609 | |
| | 1,863 | | | Arrow Financial Corp. | | | 55,722 | |
| | 11,230 | | | Associated Banc-Corp. | | | 191,472 | |
| | 1,465 | | | Atlantic Capital Bancshares, Inc.* | | | 23,323 | |
| | 5,589 | | | Atlantic Union Bankshares Corp. | | | 184,102 | |
| | 13 | | | Auburn National Bancorp, Inc. | | | 542 | |
| | 3,062 | | | Banc of California, Inc. | | | 45,042 | |
| | 3,358 | | | BancFirst Corp. | | | 197,115 | |
| | 4,986 | | | Bancorp, Inc. (The)* | | | 68,059 | |
| | 8,217 | | | BancorpSouth Bank | | | 225,474 | |
| | 2,653 | | | Bank of Commerce Holdings | | | 26,265 | |
| | 2,496 | | | Bank of Hawaii Corp. | | | 191,244 | |
| | 993 | | | Bank of Marin Bancorp | | | 34,100 | |
| | 3,717 | | | Bank of Nt Butterfield & Son, Ltd. (The) | | | 115,822 | |
| | 485 | | | Bank of South Carolina Corp. | | | 7,775 | |
| | 9,638 | | | Bank OZK | | | 301,380 | |
| | 6,355 | | | BankUnited, Inc. | | | 221,027 | |
| | 2,472 | | | Banner Corp. | | | 115,170 | |
| | 1,610 | | | Bar Harbor Bankshares | | | 36,370 | |
| | 1,217 | | | Baycom Corp.* | | | 18,462 | |
| | 595 | | | BCB Bancorp, Inc. | | | 6,587 | |
| | 3,918 | | | Berkshire Hills Bancorp, Inc. | | | 67,076 | |
| | 5,250 | | | BOK Financial Corp. | | | 359,519 | |
| | 6,599 | | | Boston Private Financial Holdings, Inc. | | | 55,762 | |
| | 2,206 | | | Bridge Bancorp, Inc. | | | 53,341 | |
| | 6,518 | | | Brookline Bancorp, Inc. | | | 78,477 | |
| | 1,666 | | | Bryn Mawr Bank Corp. | | | 50,971 | |
| | 667 | | | Business First Bancshares, Inc. | | | 13,580 | |
| | 3,046 | | | Byline BanCorp, Inc. | | | 47,061 | |
| | 227 | | | C&F Financial Corp. | | | 8,424 | |
| | 8,434 | | | Cadence Bancorp | | | 138,486 | |
| | 1,274 | | | California First National Bancorp | | | 19,302 | |
| | 436 | | | Cambridge Bancorp | | | 30,411 | |
| | 1,659 | | | Camden National Corp. | | | 59,359 | |
| | 1,471 | | | Capital City Bank Group, Inc. | | | 36,157 | |
| | 5,878 | | | Cathay General Bancorp | | | 189,213 | |
| | 1,646 | | | CBTX, Inc. | | | 41,989 | |
| | 2,313 | | | Central Pacific Financial Corp. | | | 43,970 | |
| | 1,141 | | | Central Valley Community Bancorp | | | 16,989 | |
| | 511 | | | Century Bancorp, Inc. | | | 39,531 | |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 668 | | | Chemung Financial Corp. | | $ | 22,679 | |
| | 6,348 | | | CIT Group, Inc. | | | 227,893 | |
| | 2,009 | | | Citizens & Northern Corp. | | | 39,859 | |
| | 718 | | | Citizens Holding Co. | | | 15,042 | |
| | 1,550 | | | City Holding Co. | | | 107,803 | |
| | 822 | | | Civista Bancshares, Inc. | | | 14,410 | |
| | 2,165 | | | CNB Financial Corp. | | | 46,093 | |
| | 85 | | | Codorus Valley Bancorp, Inc. | | | 1,442 | |
| | 56 | | | Colony Bankcorp, Inc. | | | 820 | |
| | 5,518 | | | Columbia Banking System, Inc. | | | 198,096 | |
| | 4,175 | | | Community Bank System, Inc. | | | 260,144 | |
| | 3,296 | | | Community Bankers Trust Corp. | | | 22,248 | |
| | 1,343 | | | Community Trust Bancorp, Inc. | | | 49,758 | |
| | 525 | | | Community West Bancshares | | | 4,767 | |
| | 2,880 | | | ConnectOne Bancorp, Inc. | | | 56,995 | |
| | 2,253 | | | CrossFirst Bankshares, Inc.* | | | 24,220 | |
| | 1,894 | | | Cullen/Frost Bankers, Inc. | | | 165,214 | |
| | 4,048 | | | Customers Bancorp, Inc.* | | | 73,593 | |
| | 10,472 | | | CVB Financial Corp. | | | 204,204 | |
| | 609 | | | Eagle Bancorp Montana, Inc. | | | 12,923 | |
| | 2,865 | | | Eagle Bancorp, Inc. | | | 118,325 | |
| | 1,676 | | | East West Bancorp, Inc. | | | 84,990 | |
| | 2,149 | | | Enterprise Financial Services Corp. | | | 75,108 | |
| | 924 | | | Equity Bancshares, Inc.* | | | 19,949 | |
| | 534 | | | Evans Bancorp, Inc. | | | 14,706 | |
| | 22,062 | | | F.N.B. Corp. | | | 209,589 | |
| | 2,582 | | | Farmers National Banc Corp. | | | 34,263 | |
| | 2,391 | | | FB Financial Corp. | | | 83,039 | |
| | 1,909 | | | Financial Institutions, Inc. | | | 42,953 | |
| | 15,526 | | | First Bancorp | | | 143,150 | |
| | 1,491 | | | First Bancorp, Inc. | | | 37,871 | |
| | 2,293 | | | First Bancorp/Southern Pines NC | | | 77,572 | |
| | 1,053 | | | First Bancshares, Inc. (The) | | | 32,517 | |
| | 3,647 | | | First Busey Corp. | | | 78,593 | |
| | 940 | | | First Business Financial Services, Inc. | | | 17,305 | |
| | 335 | | | First Citizens BancShares, Inc., Class A | | | 192,380 | |
| | 7,111 | | | First Commonwealth Financial Corp. | | | 77,794 | |
| | 2,206 | | | First Community Bankshares | | | 47,605 | |
| | 7,453 | | | First Financial Bancorp | | | 130,651 | |
| | 8,660 | | | First Financial Bankshares, Inc. | | | 313,275 | |
| | 1,112 | | | First Financial Corp. | | | 43,201 | |
| | 1,717 | | | First Financial Northwest, Inc. | | | 19,574 | |
| | 3,058 | | | First Foundation, Inc. | | | 61,160 | |
| | 9,186 | | | First Hawaiian, Inc. | | | 216,606 | |
| | 2,525 | | | First Horizon Corp. | | | 32,219 | |
| | 402 | | | First Internet BanCorp | | | 11,553 | |
| | 3,323 | | | First Interstate BancSystem, Class A | | | 135,479 | |
| | 4,019 | | | First Merchants Corp. | | | 150,351 | |
| | 720 | | | First Mid Bancshares, Inc. | | | 24,235 | |
| | 8,868 | | | First Midwest Bancorp, Inc. | | | 141,179 | |
| | 2,907 | | | First of Long Island Corp. (The) | | | 51,890 | |
| | 28 | | | First Savings Financial Group | | | 1,820 | |
| | 234 | | | First United Corp. | | | 3,627 | |
| | 908 | | | First US Bancshares, Inc. | | | 8,009 | |
| | 2,675 | | | Flushing Financial Corp. | | | 44,512 | |
| | 11,396 | | | Fulton Financial Corp. | | | 144,957 | |
| | 2,237 | | | German American Bancorp, Inc. | | | 74,022 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 5,861 | | | Glacier Bancorp, Inc. | | $ | 269,665 | |
| | 1,038 | | | Great Southern Bancorp, Inc. | | | 50,758 | |
| | 3,789 | | | Great Western Bancorp, Inc. | | | 79,190 | |
| | 400 | | | Guaranty Bancshares, Inc. | | | 11,980 | |
| | 5,990 | | | Hancock Whitney Corp. | | | 203,780 | |
| | 4,153 | | | Hanmi Financial Corp. | | | 47,095 | |
| | 3,865 | | | HarborOne BanCorp, Inc. | | | 41,974 | |
| | 42 | | | Hawthorn Bancshares, Inc. | | | 920 | |
| | 2,494 | | | Heartland Financial USA, Inc. | | | 100,683 | |
| | 2,978 | | | Heritage Financial Corp. | | | 69,655 | |
| | 4,406 | | | Hertiage Commerce Corp. | | | 39,081 | |
| | 10,761 | | | Hilltop Holdings, Inc. | | | 296,035 | |
| | 11,946 | | | Home Bancshares, Inc. | | | 232,708 | |
| | 2,418 | | | Hometrust Bancshares, Inc. | | | 46,692 | |
| | 9,043 | | | Hope BanCorp, Inc. | | | 98,659 | |
| | 3,456 | | | Horizon Bancorp | | | 54,812 | |
| | 2,544 | | | Independent Bank Corp. | | | 185,814 | |
| | 3,214 | | | Independent Bank Group, Inc. | | | 200,939 | |
| | 4,638 | | | International Bancshares Corp. | | | 173,647 | |
| | 18,070 | | | Investors Bancorp, Inc. | | | 190,819 | |
| | 3,767 | | | Lakeland Bancorp, Inc. | | | 47,841 | |
| | 2,781 | | | Lakeland Financial Corp. | | | 149,006 | |
| | 905 | | | Landmark Bancorp, Inc. | | | 20,679 | |
| | 1,512 | | | LCNB Corp. | | | 22,211 | |
| | 1,000 | | | Limestone Bancorp, Inc.* | | | 12,560 | |
| | 2,612 | | | Live Oak Bancshares, Inc. | | | 123,966 | |
| | 5,225 | | | Macatawa Bank Corp. | | | 43,733 | |
| | 1,048 | | | Mackinac Financial Corp. | | | 13,372 | |
| | 2,059 | | | Mercantile Bank Corp. | | | 55,943 | |
| | 2,051 | | | Midland States BanCorp, Inc. | | | 36,651 | |
| | 1,441 | | | MidWestone Financial Group, Inc. | | | 35,305 | |
| | 2,052 | | | National Bank Holdings Corp. | | | 67,224 | |
| | 1,069 | | | National Bankshares, Inc. | | | 33,470 | |
| | 3,226 | | | NBT Bancorp, Inc. | | | 103,555 | |
| | 744 | | | Nicolet Bankshares, Inc.* | | | 49,364 | |
| | 1,136 | | | Northeast Bank | | | 25,583 | |
| | 657 | | | Northrim Bancorp, Inc. | | | 22,305 | |
| | 609 | | | Norwood Financial Corp. | | | 15,938 | |
| | 4,316 | | | OFG Bancorp | | | 80,019 | |
| | 183 | | | Ohio Valley Banc Corp. | | | 4,319 | |
| | 11,997 | | | Old National Bancorp | | | 198,670 | |
| | 1,004 | | | Old Point Financial Corp. | | | 19,036 | |
| | 3,314 | | | Old Second Bancorp, Inc. | | | 33,471 | |
| | 1,182 | | | Origin Bancorp, Inc. | | | 32,824 | |
| | 1,765 | | | Orrstown Financial Services, Inc. | | | 29,211 | |
| | 1,718 | | | Pacific Mercantile Bancorp* | | | 8,831 | |
| | 6,537 | | | Pacific Premier Bancorp, Inc. | | | 204,804 | |
| | 7,685 | | | PacWest Bancorp | | | 195,199 | |
| | 1,059 | | | Park National Corp. | | | 111,206 | |
| | 1,636 | | | Parke Bancorp, Inc. | | | 25,522 | |
| | 2,284 | | | Peapack-Gladstone Financial Corp. | | | 51,984 | |
| | 1,452 | | | Penns Woods Bancorp, Inc. | | | 37,767 | |
| | 434 | | | Peoples Bancorp of NC | | | 9,991 | |
| | 1,794 | | | Peoples Bancorp, Inc. | | | 48,599 | |
| | 8,100 | | | People’s United Financial, Inc. | | | 104,733 | |
| | 5,765 | | | Pinnacle Financial Partners, Inc. | | | 371,265 | |
| | 2,348 | | | Popular, Inc. | | | 132,239 | |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 1,500 | | | Preferred Bank Los Angeles | | $ | 75,705 | |
| | 1,193 | | | Premier Financial Bancorp, Inc. | | | 15,855 | |
| | 474 | | | Prosperity Bancshares, Inc. | | | 32,877 | |
| | 1,118 | | | QCR Holdings, Inc. | | | 44,262 | |
| | 351 | | | Rbb BanCorp | | | 5,398 | |
| | 4,074 | | | Renasant Corp. | | | 137,212 | |
| | 1,482 | | | Republic Bancorp, Inc., Class A | | | 53,456 | |
| | 6,466 | | | Republic First Bancorp, Inc.* | | | 18,428 | |
| | 2,862 | | | S & T Bancorp, Inc. | | | 71,092 | |
| | 320 | | | Salisbury Bancorp, Inc. | | | 11,926 | |
| | 3,392 | | | Sandy Spring Bancorp, Inc. | | | 109,188 | |
| | 552 | | | SB Financial Group, Inc. | | | 10,091 | |
| | 3,980 | | | Seacoast Banking Corp of Florida* | | | 117,211 | |
| | 1,252 | | | Select Bancorp, Inc.* | | | 11,856 | |
| | 3,948 | | | ServisFirst Bancshares, Inc. | | | 159,065 | |
| | 2,325 | | | Shore Bancshares, Inc. | | | 33,945 | |
| | 2,333 | | | Sierra Bancorp | | | 55,805 | |
| | 7,934 | | | Simmons First National Corp., Class A | | | 171,295 | |
| | 4,321 | | | South State Corp. | | | 312,407 | |
| | 562 | | | Southern First Bancshares, Inc.* | | | 19,867 | |
| | 2,309 | | | Southern National Bancorp | | | 27,962 | |
| | 2,694 | | | Southside Bancshares, Inc. | | | 83,595 | |
| | 1,629 | | | Spirit of Texas Bancshares, Inc. | | | 27,367 | |
| | 13,673 | | | Sterling Bancorp | | | 245,841 | |
| | 2,457 | | | Stock Yards Bancorp, Inc. | | | 99,459 | |
| | 682 | | | Summit Financial Group, Inc. | | | 15,059 | |
| | 1,203 | | | Summit State Bank | | | 15,940 | |
| | 9,356 | | | Synovus Financial Corp. | | | 302,853 | |
| | 8,055 | | | TCF Financial Corp. | | | 298,196 | |
| | 2,882 | | | Texas Capital Bancshares, Inc.* | | | 171,479 | |
| | 1,140 | | | Tompkins Financial Corp. | | | 80,484 | |
| | 5,191 | | | TowneBank | | | 121,885 | |
| | 2,468 | | | TriCo Bancshares | | | 87,071 | |
| | 3,463 | | | Tristate Capital Holdings, Inc.* | | | 60,256 | |
| | 1,894 | | | Triumph BanCorp, Inc.* | | | 91,954 | |
| | 4,644 | | | Trustmark Corp. | | | 126,828 | |
| | 3,534 | | | UMB Financial Corp. | | | 243,811 | |
| | 15,566 | | | Umpqua Holdings Corp. | | | 235,669 | |
| | 249 | | | Union Bankshares, Inc. | | | 6,402 | |
| | 450 | | | United Bancshares, Inc./Ohio | | | 11,007 | |
| | 8,118 | | | United Bankshares, Inc. | | | 263,023 | |
| | 5,829 | | | United Community Banks, Inc. | | | 165,777 | |
| | 916 | | | United Security Bancshares | | | 6,458 | |
| | 42 | | | Unity Bancorp, Inc. | | | 737 | |
| | 1,651 | | | Univest Financial Corp. | | | 33,978 | |
| | 31,471 | | | Valley National Bancorp | | | 306,841 | |
| | 1,563 | | | Veritex Holdings, Inc. | | | 40,107 | |
| | 1,761 | | | Washington Trust Bancorp | | | 78,893 | |
| | 5,822 | | | Webster Financial Corp. | | | 245,397 | |
| | 4,985 | | | WesBanco, Inc. | | | 149,351 | |
| | 2,380 | | | West Bancorp | | | 45,934 | |
| | 2,584 | | | Westamerica Bancorp | | | 142,869 | |
| | 3,147 | | | Western Alliance Bancorp | | | 188,663 | |
| | 3,888 | | | Wintrust Financial Corp. | | | 237,518 | |
| | | | | | | | |
| | | | | | | 19,147,145 | |
| | | | | | | | |
| Beverages (0.2%): | | | |
| | 557 | | | Coca-Cola Consolidated, Inc. | | | 148,313 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Beverages, continued | | | |
| | 1,340 | | | MGP Ingredients, Inc. | | $ | 63,060 | |
| | 634 | | | National Beverage Corp. | | | 53,827 | |
| | 985 | | | Willamette Valley Vineyards, Inc.* | | | 6,274 | |
| | | | | | | | |
| | | | | | | 271,474 | |
| | | | | | | | |
| Biotechnology (2.6%): | | | |
| | 2,838 | | | Abeona Therapeutics, Inc.* | | | 4,456 | |
| | 1,733 | | | AC Immune SA* | | | 8,960 | |
| | 3,308 | | | Adverum Biotechnologies, Inc.* | | | 35,859 | |
| | 1,500 | | | Aeglea BioTherapeutics, Inc.* | | | 11,805 | |
| | 1,728 | | | Agios Pharmaceuticals, Inc.* | | | 74,874 | |
| | 7,746 | | | Akebia Therapeutics, Inc.* | | | 21,689 | |
| | 973 | | | Albireo Pharma, Inc.* | | | 36,497 | |
| | 3,562 | | | Alkermes plc* | | | 71,062 | |
| | 1,449 | | | AnaptysBio, Inc.* | | | 31,154 | |
| | 1,103 | | | Applied Genetic Technologies Corp.* | | | 4,511 | |
| | 405 | | | Arcus Biosciences, Inc.* | | | 10,514 | |
| | 6,613 | | | Ardelyx, Inc.* | | | 42,786 | |
| | 1,538 | | | Arena Pharmaceuticals, Inc.* | | | 118,165 | |
| | 2,982 | | | Atara Biotherapeutics, Inc.* | | | 58,537 | |
| | 2,342 | | | Atreca, Inc., Class A* | | | 37,823 | |
| | 926 | | | Bluebird Bio, Inc.* | | | 40,068 | |
| | 4,360 | | | Calithera Biosciences, Inc.* | | | 21,408 | |
| | 1,034 | | | Caredx, Inc.* | | | 74,913 | |
| | 1,053 | | | Catalyst Biosciences, Inc.* | | | 6,644 | |
| | 5,557 | | | Catalyst Pharmaceuticals, Inc.* | | | 18,560 | |
| | 236 | | | ChemoCentryx, Inc.* | | | 14,613 | |
| | 10,291 | | | Chimerix, Inc.* | | | 49,706 | |
| | 865 | | | Chinook Therapeutics, Inc.* | | | 13,719 | |
| | 3,561 | | | Concert Pharmaceuticals, Inc.* | | | 45,011 | |
| | 200 | | | Crinetics Pharmaceuticals, Inc.* | | | 2,822 | |
| | 236 | | | CRISPR Therapeutics AG* | | | 36,134 | |
| | 992 | | | Cytomx Therapeutics, Inc.* | | | 6,498 | |
| | 364 | | | Deciphera Pharmaceuticals, Inc.* | | | 20,773 | |
| | 2,112 | | | Denali Therapeutics, Inc.* | | | 176,901 | |
| | 1,115 | | | Eagle Pharmaceuticals, Inc.* | | | 51,926 | |
| | 1,186 | | | Editas Medicine, Inc.* | | | 83,150 | |
| | 3,763 | | | Emergent BioSolutions, Inc.* | | | 337,166 | |
| | 1,500 | | | Enanta Pharmaceuticals, Inc.* | | | 63,150 | |
| | 407 | | | Fate Therapeutics, Inc.* | | | 37,009 | |
| | 1,575 | | | Fibrogen, Inc.* | | | 58,417 | |
| | 2,224 | | | Five Prime Therapeutics, Inc.* | | | 37,830 | |
| | 2,188 | | | G1 Therapeutics, Inc.*^ | | | 39,362 | |
| | 1,199 | | | Global Blood Therapeutics, Inc.* | | | 51,929 | |
| | 1,738 | | | Glycomimetics Industries* | | | 6,535 | |
| | 1,300 | | | Gritstone Oncology, Inc.* | | | 5,122 | |
| | 1,812 | | | Halozyme Therapeutics, Inc.* | | | 77,391 | |
| | 1,570 | | | Harpoon Therapeutics, Inc.* | | | 26,078 | |
| | 2,205 | | | Heron Therapeutics, Inc.*^ | | | 46,669 | |
| | 774 | | | Ideaya Biosciences, Inc.* | | | 10,836 | |
| | 592 | | | ImmuCell Corp.* | | | 3,522 | |
| | 2,155 | | | Intellia Therapeutics, Inc.* | | | 117,232 | |
| | 9,256 | | | Ironwood Pharmaceuticals, Inc.* | | | 105,426 | |
| | 4,709 | | | IVERIC Bio, Inc.*^ | | | 32,539 | |
| | 3,800 | | | Jounce Therapeutics, Inc.* | | | 26,600 | |
| | 856 | | | KalVista Pharmaceuticals, Inc.* | | | 16,255 | |
| | 2,769 | | | Kindred Biosciences, Inc.* | | | 11,934 | |
| | 514 | | | Kiniksa Pharmaceuticals, Ltd., Class A* | | | 9,082 | |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Biotechnology, continued | | | |
| | 2,093 | | | Kura Oncology, Inc.* | | $ | 68,357 | |
| | 1,114 | | | Ligand Pharmaceuticals, Inc., Class B*^ | | | 110,787 | |
| | 3,749 | | | Macrogenics, Inc.* | | | 85,702 | |
| | 424 | | | Madrigal Pharmaceuticals, Inc.*^ | | | 47,136 | |
| | 2,522 | | | Magenta Therapeutics, Inc.* | | | 19,772 | |
| | 900 | | | MediciNova, Inc.*^ | | | 4,734 | |
| | 1,249 | | | MeiraGTx Holdings plc* | | | 18,910 | |
| | 1,038 | | | Mersana Therapeutics, Inc.* | | | 27,621 | |
| | 1,300 | | | Minerva Neurosciences, Inc.* | | | 3,042 | |
| | 5,691 | | | Myriad Genetics, Inc.* | | | 112,540 | |
| | 687 | | | ObsEva SA* | | | 1,429 | |
| | 26,516 | | | OPKO Health, Inc.*^ | | | 104,738 | |
| | 14,857 | | | PDL BioPharma, Inc.^ | | | 36,697 | |
| | 704 | | | Prevail Therapeutics, Inc.* | | | 16,241 | |
| | 1,800 | | | Protagonist Therapeutics, Inc.* | | | 36,288 | |
| | 3,479 | | | Prothena Corp. plc* | | | 41,783 | |
| | 380 | | | PTC Therapeutics, Inc.* | | | 23,191 | |
| | 1,300 | | | Recro Pharma, Inc.* | | | 3,705 | |
| | 1,548 | | | REGENXBIO, Inc.* | | | 70,217 | |
| | 1,106 | | | Rhythm Pharmaceuticals, Inc.* | | | 32,881 | |
| | 1,925 | | | Rigel Pharmaceuticals, Inc.* | | | 6,738 | |
| | 1,323 | | | Rocket Pharmaceuticals, Inc.* | | | 72,553 | |
| | 1,105 | | | Sage Therapeutics, Inc.* | | | 95,594 | |
| | 4,356 | | | Sangamo Therapeutics, Inc.* | | | 67,975 | |
| | 9,500 | | | Spectrum Pharmaceuticals, Inc.* | | | 32,395 | |
| | 924 | | | Spero Therapeutics, Inc.* | | | 17,916 | |
| | 1,000 | | | Syndax Pharmaceuticals, Inc.* | | | 22,240 | |
| | 905 | | | Syros Pharmaceuticals, Inc.* | | | 9,819 | |
| | 1,292 | | | TCR2 Therapeutics, Inc.* | | | 39,962 | |
| | 3,247 | | | Travere Therapeutics, Inc.* | | | 88,497 | |
| | 100 | | | Turning Point Therapeutics, Inc.* | | | 12,185 | |
| | 1,287 | | | Ultragenyx Pharmaceutical, Inc.* | | | 178,159 | |
| | 1,732 | | | United Therapeutics Corp.* | | | 262,900 | |
| | 3,525 | | | Vanda Pharmaceuticals, Inc.* | | | 46,319 | |
| | 2,093 | | | Vericel Corp.* | | | 64,632 | |
| | 4,488 | | | Viking Therapeutics, Inc.*^ | | | 25,267 | |
| | 1,685 | | | Voyager Therapeutics, Inc.* | | | 12,048 | |
| | 3,544 | | | Xencor, Inc.* | | | 154,625 | |
| | | | | | | | |
| | | | | | | 4,427,217 | |
| | | | | | | | |
| Building Products (1.8%): | | | |
| | 5,242 | | | AAON, Inc. | | | 349,274 | |
| | 3,017 | | | Advanced Drainage Systems, Inc. | | | 252,161 | |
| | 1,833 | | | American Woodmark Corp.* | | | 172,027 | |
| | 2,881 | | | Apogee Enterprises, Inc. | | | 91,270 | |
| | 3,226 | | | Armstrong Flooring, Inc.* | | | 12,323 | |
| | 2,909 | | | Armstrong World Industries, Inc. | | | 216,401 | |
| | 10,266 | | | Builders FirstSource, Inc.* | | | 418,955 | |
| | 3,446 | | | Cornerstone Building Brands, Inc.* | | | 31,979 | |
| | 815 | | | Csw Industrials, Inc. | | | 91,207 | |
| | 1,452 | | | Gibraltar Industries, Inc.* | | | 104,457 | |
| | 945 | | | Griffon Corp. | | | 19,259 | |
| | 1,762 | | | Insteel Industries, Inc. | | | 39,240 | |
| | 4,030 | | | Jeld-Wen Holding, Inc.* | | | 102,201 | |
| | 925 | | | Masonite International Corp.* | | | 90,965 | |
| | 2,605 | | | Patrick Industries, Inc. | | | 178,052 | |
| | 6,027 | | | PGT Innovations, Inc.* | | | 122,589 | |
| | 3,536 | | | Quanex Building Products Corp. | | | 78,393 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Building Products, continued | | | |
| | 3,705 | | | Resideo Technologies, Inc.* | | $ | 78,768 | |
| | 3,497 | | | Simpson Manufacturing Co., Inc. | | | 326,795 | |
| | 384 | | | Trex Co., Inc.* | | | 32,148 | |
| | 2,113 | | | UFP Industries, Inc. | | | 117,377 | |
| | | | | | | | |
| | | | | | | 2,925,841 | |
| | | | | | | | |
| Capital Markets (2.7%): | | | |
| | 2,912 | | | Affiliated Managers Group, Inc. | | | 296,150 | |
| | 4,154 | | | Artisan Partners Asset Management, Inc., Class A | | | 209,112 | |
| | 866 | | | Assetmark Financial Holdings, Inc.* | | | 20,957 | |
| | 20,760 | | | BGC Partners, Inc., Class A | | | 83,040 | |
| | 1,300 | | | Blucora, Inc.* | | | 20,683 | |
| | 5,851 | | | Brightsphere Investment Group, Inc. | | | 112,807 | |
| | 3,225 | | | Cohen & Steers, Inc. | | | 239,618 | |
| | 339 | | | Diamond Hill Investment Group | | | 50,603 | |
| | 2,638 | | | Donnelley Financial Solutions, Inc.* | | | 44,767 | |
| | 6,265 | | | Eaton Vance Corp. | | | 425,580 | |
| | 7,007 | | | Federated Hermes, Inc., Class B | | | 202,432 | |
| | 1,776 | | | GAMCO Investors, Inc., Class A | | | 31,506 | |
| | 2,595 | | | Greenhill & Co., Inc. | | | 31,503 | |
| | 1,753 | | | Hamilton Lane, Inc. | | | 136,822 | |
| | 211 | | | Hennessy Advisors, Inc. | | | 1,800 | |
| | 2,974 | | | Houlihan Lokey, Inc. | | | 199,942 | |
| | 279 | | | Interactive Brokers Group, Inc., Class A | | | 16,997 | |
| | 14,214 | | | Janus Henderson Group plc | | | 462,097 | |
| | 6,851 | | | Lazard, Ltd., Class A | | | 289,797 | |
| | 2,775 | | | Manning & Napier, Inc. | | | 17,399 | |
| | 4,442 | | | Moelis & Co., Class A | | | 207,708 | |
| | 1,741 | | | Oppenheimer Holdings, Class A | | | 54,720 | |
| | 771 | | | Piper Jaffray Cos., Inc. | | | 77,794 | |
| | 1,718 | | | PJT Partners, Inc. | | | 129,280 | |
| | 2,624 | | | Pzena Investment Management, Inc. | | | 19,155 | |
| | 3,824 | | | Safeguard Scientifics, Inc.* | | | 24,397 | |
| | 1,619 | | | Silvercrest Asset Management Group, Inc., Class A | | | 22,488 | |
| | 8,025 | | | Stifel Financial Corp. | | | 404,942 | |
| | 2,101 | | | StoneX Group, Inc.* | | | 121,648 | |
| | 207 | | | Value Line, Inc. | | | 6,825 | |
| | 7,929 | | | Virtu Financial, Inc., Class A | | | 199,573 | |
| | 693 | | | Virtus Investment Partners, Inc. | | | 150,381 | |
| | 778 | | | Waddell & Reed Financial, Inc., Class A | | | 19,816 | |
| | 1,478 | | | Westwood Holdings, Inc. | | | 21,431 | |
| | 14,884 | | | WisdomTree Investments, Inc. | | | 79,629 | |
| | | | | | | | |
| | | | | | | 4,433,399 | |
| | | | | | | | |
| Chemicals (3.1%): | | | |
| | 1,064 | | | Advanced Emmissions Solutions | | | 5,852 | |
| | 3,852 | | | AdvanSix, Inc.* | | | 77,001 | |
| | 1,429 | | | Agrofresh Solutions, Inc.* | | | 3,244 | |
| | 3,405 | | | American Vanguard Corp. | | | 52,846 | |
| | 2,163 | | | Ashland Global Holdings, Inc. | | | 171,310 | |
| | 3,797 | | | Avient Corp. | | | 152,943 | |
| | 1,012 | | | Axalta Coating Systems, Ltd.* | | | 28,893 | |
| | 2,404 | | | Balchem Corp. | | | 276,990 | |
| | 4,362 | | | Cabot Corp. | | | 195,767 | |
| | 1,025 | | | Chase Corp. | | | 103,535 | |
| | 9,570 | | | Chemours Co. (The) | | | 237,240 | |
| | 1,403 | | | Core Molding Technologies, Inc.* | | | 19,754 | |
| | 15,410 | | | Element Solutions, Inc. | | | 273,220 | |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Chemicals, continued | | | |
| | 4,923 | | | Ferro Corp.* | | $ | 72,023 | |
| | 2,318 | | | Flotek Industries, Inc.* | | | 4,891 | |
| | 4,677 | | | Futurefuel Corp. | | | 59,398 | |
| | 4,477 | | | GCP Applied Technologies, Inc.* | | | 105,881 | |
| | 5,221 | | | H.B. Fuller Co. | | | 270,865 | |
| | 1,335 | | | Hawkins, Inc. | | | 69,834 | |
| | 11,239 | | | Huntsman Corp. | | | 282,549 | |
| | 2,407 | | | Ingevity Corp.* | | | 182,282 | |
| | 2,580 | | | Innospec, Inc. | | | 234,083 | |
| | 1,447 | | | Intrepid Potash, Inc.* | | | 34,945 | |
| | 1,147 | | | Koppers Holdings, Inc.* | | | 35,741 | |
| | 3,713 | | | Kraton Corp.* | | | 103,184 | |
| | 6,883 | | | Kronos Worldwide, Inc. | | | 102,626 | |
| | 10,519 | | | Livent Corp.* | | | 198,178 | |
| | 4,373 | | | LSB Industries, Inc.* | | | 14,824 | |
| | 3,301 | | | Minerals Technologies, Inc. | | | 205,058 | |
| | 155 | | | NewMarket Corp. | | | 61,735 | |
| | 1,786 | | | Northern Technologies International Corp. | | | 18,860 | |
| | 6,319 | | | Olin Corp. | | | 155,195 | |
| | 8,061 | | | PQ Group Holdings, Inc. | | | 114,950 | |
| | 42 | | | Quaker Chemical Corp. | | | 10,642 | |
| | 5,893 | | | Rayonier Advanced Materials, Inc.* | | | 38,422 | |
| | 2,468 | | | Sensient Technologies Corp. | | | 182,064 | |
| | 2,235 | | | Stepan Co. | | | 266,680 | |
| | 3,421 | | | Trecora Resources* | | | 23,913 | |
| | 2,589 | | | Tredegar Corp. | | | 43,236 | |
| | 2,135 | | | Trinseo SA | | | 109,333 | |
| | 10,917 | | | Tronox Holdings plc, Class A | | | 159,607 | |
| | 10,565 | | | Valvoline, Inc. | | | 244,474 | |
| | 8,372 | | | Venator Materials plc* | | | 27,711 | |
| | 4,062 | | | W.R. Grace & Co. | | | 222,679 | |
| | | | | | | | |
| | | | | | | 5,254,458 | |
| | | | | | | | |
| Commercial Services & Supplies (2.5%): | | | |
| | 6,854 | | | ABM Industries, Inc. | | | 259,355 | |
| | 11,413 | | | ACCO Brands Corp. | | | 96,440 | |
| | 675 | | | Acme United Corp. | | | 20,338 | |
| | 1,580 | | | AMREP Corp.* | | | 13,493 | |
| | 4,950 | | | Brady Corp., Class A | | | 261,459 | |
| | 3,882 | | | BrightView Holdings, Inc.* | | | 58,696 | |
| | 4,155 | | | Brink’s Co. (The) | | | 299,161 | |
| | 3,420 | | | Casella Waste Systems, Inc.* | | | 211,869 | |
| | 5,965 | | | CECO Environmental Corp.* | | | 41,516 | |
| | 2,382 | | | Cimpress plc* | | | 208,996 | |
| | 436 | | | Civeo Corp.* | | | 6,060 | |
| | 2,332 | | | Clean Harbors, Inc.* | | | 177,465 | |
| | 325 | | | CompX International, Inc. | | | 4,625 | |
| | 10,200 | | | Covanta Holding Corp. | | | 133,926 | |
| | 1,356 | | | Deluxe Corp. | | | 39,595 | |
| | 2,494 | | | Ennis, Inc. | | | 44,518 | |
| | 4,151 | | | Healthcare Services Group, Inc. | | | 116,643 | |
| | 5,963 | | | Herman Miller, Inc. | | | 201,549 | |
| | 4,577 | | | HNI Corp. | | | 157,723 | |
| | 6,334 | | | Interface, Inc. | | | 66,507 | |
| | 3,764 | | | KAR Auction Services, Inc. | | | 70,048 | |
| | 4,982 | | | Kimball International, Inc., Class B | | | 59,535 | |
| | 6,368 | | | Knoll, Inc. | | | 93,482 | |
| | 2,508 | | | Matthews International Corp., Class A | | | 73,735 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Commercial Services & Supplies, continued | | | |
| | 2,466 | | | McGrath Rentcorp | | $ | 165,469 | |
| | 1,343 | | | MSA Safety, Inc. | | | 200,631 | |
| | 2,566 | | | NL Industries, Inc. | | | 12,265 | |
| | 2,198 | | | Perma-Fix Environmental Services, Inc.* | | | 13,122 | |
| | 3,566 | | | PICO Holdings, Inc.* | | | 33,342 | |
| | 12,465 | | | Pitney Bowes, Inc. | | | 76,784 | |
| | 5,379 | | | Quad Graphics, Inc. | | | 20,548 | |
| | 8,004 | | | RR Donnelley & Sons Co. | | | 18,089 | |
| | 1,749 | | | SP Plus Corp.* | | | 50,424 | |
| | 9,998 | | | Steelcase, Inc., Class A | | | 135,473 | |
| | 4,115 | | | Team, Inc.* | | | 44,854 | |
| | 2,565 | | | Tetra Tech, Inc. | | | 296,976 | |
| | 1,289 | | | UniFirst Corp. | | | 272,868 | |
| | 3,000 | | | US Ecology, Inc. | | | 108,990 | |
| | 981 | | | Viad Corp. | | | 35,483 | |
| | 3,364 | | | Virco Manufacturing Co.* | | | 8,511 | |
| | 1,477 | | | Vse Corp. | | | 56,850 | |
| | | | | | | | |
| | | | | | | 4,267,413 | |
| | | | | | | | |
| Communications Equipment (1.0%): | | | |
| | 620 | | | Acacia Communications, Inc.* | | | 45,235 | |
| | 4,981 | | | ADTRAN, Inc. | | | 73,569 | |
| | 1,444 | | | Applied Optoelectronics, Inc.*^ | | | 12,288 | |
| | 900 | | | BK Technologies Corp. | | | 2,727 | |
| | 4,095 | | | CalAmp Corp.* | | | 40,622 | |
| | 7,919 | | | Calix, Inc.* | | | 235,670 | |
| | 3,508 | | | Casa Systems, Inc.* | | | 21,644 | |
| | 980 | | | Clearfield, Inc.* | | | 24,226 | |
| | 3,616 | | | ClearOne, Inc.* | | | 8,208 | |
| | 1,300 | | | CommScope Holding Co., Inc.* | | | 17,420 | |
| | 316 | | | Communications Systems, Inc. | | | 1,444 | |
| | 1,983 | | | Comtech Telecommunications Corp. | | | 41,028 | |
| | 2,559 | | | Digi International, Inc.* | | | 48,365 | |
| | 3,591 | | | EchoStar Corp., Class A* | | | 76,093 | |
| | 6,028 | | | EMCORE Corp.* | | | 32,853 | |
| | 7,327 | | | Harmonic, Inc.* | | | 54,147 | |
| | 9,258 | | | Infinera Corp.* | | | 97,024 | |
| | 2,422 | | | InterDigital, Inc. | | | 146,967 | |
| | 3,225 | | | KVH Industries, Inc.* | | | 36,604 | |
| | 2,336 | | | NETGEAR, Inc.* | | | 94,912 | |
| | 5,391 | | | NetScout Systems, Inc.* | | | 147,821 | |
| | 2,391 | | | Network-1 Technologies, Inc. | | | 8,823 | |
| | 131 | | | Optical Cable Corp.* | | | 351 | |
| | 7,260 | | | Ribbon Communications, Inc.* | | | 47,626 | |
| | 3,617 | | | ViaSat, Inc.* | | | 118,095 | |
| | 14,754 | | | Viavi Solutions, Inc.* | | | 220,941 | |
| | | | | | | | |
| | | | | | | 1,654,703 | |
| | | | | | | | |
| Construction & Engineering (1.5%): | | | |
| | 1,224 | | | Aegion Corp.* | | | 23,244 | |
| | 3,026 | | | Ameresco, Inc., Class A* | | | 158,078 | |
| | 6,187 | | | API Group Corp.*(a) | | | 112,294 | |
| | 3,991 | | | Arcosa, Inc. | | | 219,226 | |
| | 952 | | | Argan, Inc. | | | 42,354 | |
| | 3,765 | | | Comfort Systems USA, Inc. | | | 198,265 | |
| | 500 | | | Construction Partners, Inc., Class A* | | | 14,555 | |
| | 3,207 | | | Dycom Industries, Inc.* | | | 242,193 | |
| | 1,499 | | | EMCOR Group, Inc. | | | 137,099 | |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Construction & Engineering, continued | | | |
| | 4,300 | | | Granite Construction, Inc. | | $ | 114,853 | |
| | 4,498 | | | Great Lakes Dredge & Dock Co.* | | | 59,239 | |
| | 1,979 | | | IES Holdings, Inc.* | | | 91,113 | |
| | 2,864 | | | MasTec, Inc.* | | | 195,268 | |
| | 2,091 | | | MYR Group, Inc.* | | | 125,669 | |
| | 1,479 | | | Northwest Pipe Co.* | | | 41,856 | |
| | 1,180 | | | NV5 Global, Inc.* | | | 92,960 | |
| | 5,203 | | | Orion Group Holdings, Inc.* | | | 25,807 | |
| | 1,563 | | | Primoris Services Corp. | | | 43,154 | |
| | 3,151 | | | Sterling Construction Co., Inc.* | | | 58,640 | |
| | 2,090 | | | Tutor Perini Corp.* | | | 27,066 | |
| | 1,408 | | | Valmont Industries, Inc. | | | 246,301 | |
| | 12,848 | | | WillScot Mobile Mini Holdings Corp.* | | | 297,687 | |
| | | | | | | | |
| | | | | | | 2,566,921 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 1,180 | | | Eagle Materials, Inc., Class A | | | 119,593 | |
| | 1,261 | | | Forterra, Inc.* | | | 21,683 | |
| | 5,455 | | | Summit Materials, Inc., Class A* | | | 109,536 | |
| | 2,142 | | | U.S. Concrete, Inc.* | | | 85,616 | |
| | 720 | | | U.S. Lime & Minerals, Inc. | | | 82,080 | |
| | | | | | | | |
| | | | | | | 418,508 | |
| | | | | | | | |
| Consumer Finance (1.4%): | | | |
| | 2,191 | | | Atlanticus Holdings Corp.* | | | 53,964 | |
| | 5,088 | | | Consumer Portfolio Services, Inc.* | | | 21,573 | |
| | 3,041 | | | Curo Group Holdings Corp. | | | 43,578 | |
| | 3,121 | | | Encore Capital Group, Inc.* | | | 121,563 | |
| | 4,764 | | | Enova International, Inc.* | | | 118,004 | |
| | 5,775 | | | EZCORP, Inc., Class A* | | | 27,662 | |
| | 4,341 | | | Firstcash, Inc. | | | 304,044 | |
| | 3,912 | | | Green Dot Corp., Class A* | | | 218,290 | |
| | 5,920 | | | LendingClub Corp.* | | | 62,515 | |
| | 14,462 | | | Navient Corp. | | | 142,017 | |
| | 2,147 | | | Nelnet, Inc., Class A | | | 152,952 | |
| | 1,556 | | | Nicholas Financial, Inc.* | | | 13,039 | |
| | 3,635 | | | OneMain Holdings, Inc. | | | 175,062 | |
| | 3,211 | | | PRA Group, Inc.* | | | 127,348 | |
| | 5,461 | | | PROG Holdings, Inc. | | | 294,184 | |
| | 1,376 | | | Regional Mgmt Corp. | | | 41,087 | |
| | 28,332 | | | SLM Corp. | | | 351,034 | |
| | 638 | | | World Acceptance Corp.*^ | | | 65,216 | |
| | | | | | | | |
| | | | | | | 2,333,132 | |
| | | | | | | | |
| Containers & Packaging (0.6%): | | | |
| | 16,926 | | | Graphic Packaging Holding Co. | | | 286,727 | |
| | 2,611 | | | Greif, Inc., Class A | | | 122,404 | |
| | 1,290 | | | Greif, Inc., Class B | | | 62,410 | |
| | 5,009 | | | Myers Industries, Inc. | | | 104,087 | |
| | 7,172 | | | O-I Glass, Inc. | | | 85,347 | |
| | 760 | | | Sealed Air Corp. | | | 34,800 | |
| | 4,885 | | | Silgan Holdings, Inc. | | | 181,136 | |
| | 1,094 | | | UFP Technologies, Inc.* | | | 50,980 | |
| | | | | | | | |
| | | | | | | 927,891 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 12 | | | AMCON Distributing Co. | | | 1,427 | |
| | 4,391 | | | Core Markt Holdngs Co., Inc. | | | 128,964 | |
| | 1,626 | | | Educational Development Corp. | | | 24,975 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Distributors, continued | | | |
| | 978 | | | Funko, Inc., Class A* | | $ | 10,152 | |
| | 1,655 | | | Weyco Group, Inc. | | | 26,215 | |
| | | | | | | | |
| | | | | | | 191,733 | |
| | | | | | | | |
| Diversified Consumer Services (1.0%): | | | |
| | 4,170 | | | Adtalem Global Education, Inc.* | | | 141,572 | |
| | 1,366 | | | American Public Education, Inc.* | | | 41,636 | |
| | 2,338 | | | Carriage Services, Inc. | | | 73,226 | |
| | 1,248 | | | Collectors Universe, Inc. | | | 94,099 | |
| | 5,269 | | | Frontdoor, Inc.* | | | 264,555 | |
| | 318 | | | Graham Holdings Co., Class B | | | 169,615 | |
| | 2,885 | | | Grand Canyon Education, Inc.* | | | 268,621 | |
| | 10,050 | | | H&R Block, Inc. | | | 159,393 | |
| | 11,941 | | | Houghton Mifflin Harcourt Co.* | | | 39,764 | |
| | 2,311 | | | Laureate Education, Inc.* | | | 33,648 | |
| | 2,747 | | | OneSpaWorld Holdings, Ltd. | | | 27,855 | |
| | 7,486 | | | Perdoceo Education Corp.* | | | 94,548 | |
| | 2,561 | | | Regis Corp.* | | | 23,536 | |
| | 1,432 | | | Strategic Education, Inc. | | | 136,513 | |
| | 3,468 | | | Stride, Inc.* | | | 73,626 | |
| | 5,156 | | | Universal Technical Institute, Inc.* | | | 33,308 | |
| | 2,647 | | | WW International, Inc.* | | | 64,587 | |
| | 3,362 | | | Zovio, Inc.* | | | 15,936 | |
| | | | | | | | |
| | | | | | | 1,756,038 | |
| | | | | | | | |
| Diversified Financial Services (0.2%): | | | |
| | 500 | | | Alerus Financial Corp. | | | 13,685 | |
| | 646 | | | A-Mark Precious Metals, Inc. | | | 16,570 | |
| | 3,167 | | | Cannae Holdings, Inc.* | | | 140,203 | |
| | 8,851 | | | Jefferies Financial Group, Inc. | | | 217,735 | |
| | 1,617 | | | Marlin Business Services, Inc. | | | 19,792 | |
| | | | | | | | |
| | | | | | | 407,985 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.6%): | | | |
| | 1,146 | | | Anterix, Inc.* | | | 43,090 | |
| | 1,599 | | | ATN International, Inc. | | | 66,774 | |
| | 8,538 | | | Cincinnati Bell, Inc.* | | | 130,461 | |
| | 3,489 | | | Cogent Communications Holdings, Inc. | | | 208,886 | |
| | 5,491 | | | Consolidated Communications Holdings, Inc.* | | | 26,851 | |
| | 3,588 | | | IDT Corp.* | | | 44,348 | |
| | 9,414 | | | Iridium Communications, Inc.* | | | 370,205 | |
| | 8,713 | | | Orbcomm, Inc.* | | | 64,650 | |
| | 5,538 | | | Vonage Holdings Corp.* | | | 71,302 | |
| | | | | | | | |
| | | | | | | 1,026,567 | |
| | | | | | | | |
| Electric Utilities (0.7%): | | | |
| | 1,005 | | | ALLETE, Inc. | | | 62,250 | |
| | 3,043 | | | Genie Energy, Ltd., Class B | | | 21,940 | |
| | 5,125 | | | Hawaiian Electric Industries, Inc. | | | 181,374 | |
| | 817 | | | IDACORP, Inc. | | | 78,457 | |
| | 3,074 | | | MGE Energy, Inc. | | | 215,272 | |
| | 3,394 | | | Otter Tail Corp. | | | 144,618 | |
| | 6,951 | | | PNM Resources, Inc. | | | 337,331 | |
| | 2,371 | | | Portland General Electric Co. | | | 101,408 | |
| | 2,565 | | | Spark Energy, Inc. | | | 24,547 | |
| | | | | | | | |
| | | | | | | 1,167,197 | |
| | | | | | | | |
| Electrical Equipment (1.0%): | | | |
| | 1,042 | | | Acuity Brands, Inc. | | | 126,176 | |
| | 1,259 | | | Allied Motion Technologies, Inc. | | | 64,335 | |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Electrical Equipment, continued | | | |
| | 3,364 | | | American Superconductor Corp.* | | $ | 78,785 | |
| | 634 | | | Atkore International Group, Inc.* | | | 26,064 | |
| | 2,452 | | | AZZ, Inc. | | | 116,323 | |
| | 1,427 | | | Encore Wire Corp. | | | 86,433 | |
| | 4,405 | | | EnerSys | | | 365,879 | |
| | 411 | | | Espey Manufacturing & Electronics Corp. | | | 7,774 | |
| | 13,581 | | | GrafTech International, Ltd. | | | 144,773 | |
| | 4,534 | | | LSI Industries, Inc. | | | 38,811 | |
| | 5,549 | | | nVent Electric plc | | | 129,236 | |
| | 569 | | | Powell Industries, Inc. | | | 16,780 | |
| | 690 | | | Preformed Line Products Co. | | | 47,224 | |
| | 1,663 | | | Regal-Beloit Corp. | | | 204,233 | |
| | 75 | | | Servotronics, Inc.* | | | 637 | |
| | 2,714 | | | Thermon Group Holdings, Inc.* | | | 42,420 | |
| | 3,104 | | | Ultralife Corp.* | | | 20,083 | |
| | 1,134 | | | Vicor Corp.* | | | 104,577 | |
| | | | | | | | |
| | | | | | | 1,620,543 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (2.8%): | |
| | 6,544 | | | Arlo Technologies, Inc.* | | | 50,978 | |
| | 307 | | | Arrow Electronics, Inc.* | | | 29,871 | |
| | 4,301 | | | Avnet, Inc. | | | 151,008 | |
| | 2,763 | | | Badger Meter, Inc. | | | 259,888 | |
| | 254 | | | Bel Fuse, Inc., Class A | | | 3,391 | |
| | 1,595 | | | Bel Fuse, Inc., Class B | | | 23,973 | |
| | 3,057 | | | Belden, Inc. | | | 128,088 | |
| | 896 | | | Benchmark Electronics, Inc. | | | 24,201 | |
| | 543 | | | Coherent, Inc.* | | | 81,461 | |
| | 1,611 | | | CTS Corp. | | | 55,306 | |
| | 6,442 | | | Daktronics, Inc. | | | 30,149 | |
| | 1,365 | | | Data I/O Corp.* | | | 5,624 | |
| | 331 | | | ePlus, Inc.* | | | 29,111 | |
| | 2,934 | | | Fabrinet* | | | 227,648 | |
| | 1,505 | | | FARO Technologies, Inc.* | | | 106,298 | |
| | 5,586 | | | Fitbit, Inc., Class A* | | | 37,985 | |
| | 3,361 | | | FLIR Systems, Inc. | | | 147,313 | |
| | 640 | | | Frequency Electronics, Inc.* | | | 6,918 | |
| | 646 | | | IEC Electronics Corp.* | | | 8,753 | |
| | 2,502 | | | Insight Enterprises, Inc.* | | | 190,377 | |
| | 2,532 | | | Itron, Inc.* | | | 242,819 | |
| | 2,581 | | | Jabil, Inc. | | | 109,770 | |
| | 2,556 | | | Kimball Electronics, Inc.* | | | 40,870 | |
| | 6,754 | | | Knowles Corp.* | | | 124,476 | |
| | 544 | | | Littlelfuse, Inc. | | | 138,535 | |
| | 1,600 | | | Luna Innovations, Inc.* | | | 15,808 | |
| | 4,193 | | | Methode Electronics, Inc., Class A | | | 160,508 | |
| | 2,201 | | | MTS Systems Corp. | | | 128,010 | |
| | 2,108 | | | Napco Security Technologies, Inc.* | | | 55,272 | |
| | 2,114 | | | National Instruments Corp. | | | 92,889 | |
| | 2,918 | | | Novanta, Inc.* | | | 344,966 | |
| | 1,904 | | | OSI Systems, Inc.* | | | 177,491 | |
| | 1,564 | | | PAR Technology Corp.*^ | | | 98,204 | |
| | 1,667 | | | PC Connection, Inc. | | | 78,832 | |
| | 2,944 | | | Plexus Corp.* | | | 230,250 | |
| | 1,262 | | | Rogers Corp.* | | | 195,976 | |
| | 6,698 | | | Sanmina Corp.* | | | 213,599 | |
| | 1,880 | | | ScanSource, Inc.* | | | 49,594 | |
| | 1,582 | | | SYNNEX Corp. | | | 128,838 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 7,788 | | | TTM Technologies, Inc.* | | $ | 107,435 | |
| | 9,022 | | | Vishay Intertechnology, Inc. | | | 186,846 | |
| | 999 | | | Vishay Precision Group, Inc.* | | | 31,449 | |
| | 989 | | | Wayside Technology Group, Inc. | | | 18,890 | |
| | 3,952 | | | Wireless Telecom Group, Inc.* | | | 6,995 | |
| | | | | | | | |
| | | | | | | 4,576,663 | |
| | | | | | | | |
| Energy Equipment & Services (1.0%): | | | |
| | 7,188 | | | Archrock, Inc. | | | 62,248 | |
| | 3,231 | | | Aspen Aerogels, Inc.* | | | 53,925 | |
| | 1,279 | | | Bristow Group, Inc.* | | | 33,663 | |
| | 2,978 | | | Cactus, Inc., Class A | | | 77,636 | |
| | 3,788 | | | ChampionX Corp.* | | | 57,956 | |
| | 2,103 | | | Core Laboratories NV | | | 55,750 | |
| | 1,457 | | | Dawson Geophysical Co.* | | | 3,089 | |
| | 2,539 | | | Dril-Quip, Inc.* | | | 75,205 | |
| | 4,307 | | | Exterran Corp.* | | | 19,037 | |
| | 16,167 | | | Frank’s International NV* | | | 44,298 | |
| | 1,260 | | | Geospace Technologies Corp.* | | | 10,786 | |
| | 2,641 | | | Gulf Island Fabrication, Inc.* | | | 8,081 | |
| | 7,520 | | | Helix Energy Solutions Group, Inc.* | | | 31,584 | |
| | 5,207 | | | Helmerich & Payne, Inc. | | | 120,594 | |
| | 531 | | | KLX Energy Services Holdings, Inc.* | | | 3,430 | |
| | 557 | | | Liberty Oilfield Services, Inc., Class A | | | 5,743 | |
| | 595 | | | Mammoth Energy Services, Inc.* | | | 2,648 | |
| | 3,068 | | | Matrix Service Co.* | | | 33,809 | |
| | 494 | | | Nabors Industries, Ltd.*^ | | | 28,766 | |
| | 2,316 | | | Natural Gas Services Group* | | | 21,956 | |
| | 11,883 | | | Newpark Resources, Inc.* | | | 22,815 | |
| | 6,877 | | | NexTier Oilfield Solutions, Inc.* | | | 23,657 | |
| | 11,665 | | | NOV, Inc. | | | 160,161 | |
| | 6,841 | | | Oceaneering International, Inc.* | | | 54,386 | |
| | 3,039 | | | Oil States International, Inc.* | | | 15,256 | |
| | 9,819 | | | Patterson-UTI Energy, Inc. | | | 51,648 | |
| | 7,231 | | | Propetro Holding Corp.* | | | 53,437 | |
| | 8,632 | | | RPC, Inc.* | | | 27,191 | |
| | 1,503 | | | SEACOR Holdings, Inc.* | | | 62,299 | |
| | 1,598 | | | SEACOR Marine Holdings, Inc.* | | | 4,331 | |
| | 4,229 | | | Select Energy Services, Inc.* | | | 17,339 | |
| | 1,537 | | | Solaris Oilfield Infrastructure, Inc. | | | 12,511 | |
| | 9,221 | | | TechnipFMC plc | | | 86,677 | |
| | 5,480 | | | TETRA Technologies, Inc.* | | | 4,721 | |
| | 1,075 | | | Tidewater, Inc.* | | | 9,288 | |
| | 20,620 | | | Transocean, Ltd.* | | | 47,632 | |
| | 5,730 | | | U.S. Silica Holdings, Inc.* | | | 40,225 | |
| | | | | | | | |
| | | | | | | 1,443,778 | |
| | | | | | | | |
| Entertainment (0.3%): | | | |
| | 2,527 | | | Ballantyne Strong, Inc.* | | | 5,088 | |
| | 4,904 | | | Cinemark Holdings, Inc.^ | | | 85,378 | |
| | 2,242 | | | Eros STX Global Corp.* | | | 4,080 | |
| | 4,000 | | | Glu Mobile, Inc.* | | | 36,040 | |
| | 2,533 | | | Imax Corp.* | | | 45,645 | |
| | 783 | | | Liberty Braves Group, Class A* | | | 19,473 | |
| | 2,677 | | | Liberty Braves Group, Class C* | | | 66,604 | |
| | 7,207 | | | Lions Gate Entertainment Corp., Class A* | | | 81,943 | |
| | 7,603 | | | Lions Gate Entertainment Corp., Class B* | | | 78,919 | |
| | 870 | | | Marcus Corp. | | | 11,728 | |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Entertainment, continued | | | |
| | 2,715 | | | Reading International, Inc., Class A* | | $ | 13,629 | |
| | 951 | | | World Wrestling Entertainment, Inc., Class A | | | 45,696 | |
| | | | | | | | |
| | | | | | | 494,223 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.1%): | | | |
| | 3,291 | | | Brookfield Renewable Corp., Class A | | | 191,767 | |
| | | | | | | | |
| Food & Staples Retailing (0.9%): | | | |
| | 7,678 | | | BJ’s Wholesale Club Holdings, Inc.* | | | 286,236 | |
| | 1,225 | | | Grocery Outlet Holding Corp.* | | | 48,081 | |
| | 1,910 | | | Ingles Markets, Inc., Class A | | | 81,481 | |
| | 3,514 | | | Natural Grocers by Vitamin Cottage, Inc. | | | 48,282 | |
| | 3,195 | | | Performance Food Group Co.* | | | 152,114 | |
| | 2,982 | | | PriceSmart, Inc. | | | 271,630 | |
| | 305 | | | Rite Aid Corp.*^ | | | 4,828 | |
| | 2,176 | | | SpartanNash Co. | | | 37,884 | |
| | 6,074 | | | Sprouts Farmers Market, Inc.* | | | 122,087 | |
| | 2,872 | | | The Andersons, Inc. | | | 70,393 | |
| | 2,406 | | | The Chefs’ Warehouse, Inc.* | | | 61,810 | |
| | 3,444 | | | United Natural Foods, Inc.* | | | 55,001 | |
| | 1,899 | | | US Foods Holding Corp.* | | | 63,256 | |
| | 1,832 | | | Village Super Market, Inc., Class A | | | 40,414 | |
| | 2,676 | | | Weis Markets, Inc. | | | 127,940 | |
| | | | | | | | |
| | | | | | | 1,471,437 | |
| | | | | | | | |
| Food Products (1.8%): | | | |
| | 444 | | | Alico, Inc. | | | 13,773 | |
| | 6,157 | | | B&G Foods, Inc.^ | | | 170,734 | |
| | 1,945 | | | Calavo Growers, Inc. | | | 135,041 | |
| | 2,704 | | | Cal-Maine Foods, Inc.* | | | 101,508 | |
| | 1,318 | | | Coffee Holding Co., Inc.* | | | 5,061 | |
| | 12,764 | | | Darling Ingredients, Inc.* | | | 736,227 | |
| | 2,411 | | | Farmer Brothers Co.* | | | 11,259 | |
| | 5,876 | | | Flowers Foods, Inc. | | | 132,974 | |
| | 2,300 | | | Fresh Del Monte Produce, Inc. | | | 55,361 | |
| | 744 | | | Freshpet, Inc.* | | | 105,641 | |
| | 2,152 | | | Hain Celestial Group, Inc. (The)* | | | 86,403 | |
| | 6,361 | | | Hostess Brands, Inc.* | | | 93,125 | |
| | 1,810 | | | J & J Snack Foods Corp. | | | 281,219 | |
| | 760 | | | John B Sanfilippo And Son, Inc. | | | 59,934 | |
| | 1,792 | | | Lancaster Colony Corp. | | | 329,243 | |
| | 2,754 | | | Landec Corp.* | | | 29,881 | |
| | 2,175 | | | Limoneira Co. | | | 36,214 | |
| | 1,220 | | | Rocky Mountain Chocolate Factory, Inc. | | | 4,941 | |
| | 1,074 | | | Sanderson Farms, Inc. | | | 141,983 | |
| | 46 | | | Seaboard Corp. | | | 139,426 | |
| | 927 | | | Seneca Foods Corp., Class A* | | | 36,987 | |
| | 12 | | | Seneca Foods Corp., Class B* | | | 475 | |
| | 6,525 | | | Simply Good Foods Co. (The)* | | | 204,624 | |
| | 2,165 | | | Tootsie Roll Industries, Inc.^ | | | 64,301 | |
| | 1,779 | | | TreeHouse Foods, Inc.* | | | 75,590 | |
| | | | | | | | |
| | | | | | | 3,051,925 | |
| | | | | | | | |
| Gas Utilities (0.7%): | | | |
| | 1,304 | | | Chesapeake Utilities Corp. | | | 141,106 | |
| | 1,610 | | | National Fuel Gas Co. | | | 66,219 | |
| | 5,705 | | | New Jersey Resources Corp. | | | 202,813 | |
| | 2,176 | | | Northwest Natural Holding Co. | | | 100,074 | |
| | 2,605 | | | ONE Gas, Inc. | | | 199,986 | |
| | 873 | | | RGC Resources, Inc. | | | 20,760 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Gas Utilities, continued | | | |
| | 6,748 | | | South Jersey Industries, Inc. | | $ | 145,419 | |
| | 2,172 | | | Southwest Gas Holdings, Inc. | | | 131,949 | |
| | 3,801 | | | Spire, Inc. | | | 243,416 | |
| | | | | | | | |
| | | | | | | 1,251,742 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.1%): | | | |
| | 6,691 | | | Accuray, Inc.* | | | 27,901 | |
| | 5,021 | | | AngioDynamics, Inc.* | | | 76,972 | |
| | 1,309 | | | Anika Therapeutics, Inc.* | | | 59,245 | |
| | 1,831 | | | AtriCure, Inc.* | | | 101,932 | |
| | 192 | | | Atrion Corp. | | | 123,310 | |
| | 2,734 | | | Avanos Medical, Inc.* | | | 125,436 | |
| | 2,841 | | | Axogen, Inc.* | | | 50,854 | |
| | 2,578 | | | Cantel Medical Corp. | | | 203,300 | |
| | 572 | | | Cardiovascular Systems, Inc.* | | | 25,031 | |
| | 1,604 | | | CONMED Corp. | | | 179,647 | |
| | 2,635 | | | CryoLife, Inc.* | | | 62,212 | |
| | 1,118 | | | Elctromed, Inc.* | | | 10,968 | |
| | 4,664 | | | Envista Holdings Corp.* | | | 157,317 | |
| | 427 | | | Fonar Corp.* | | | 7,413 | |
| | 987 | | | Haemonetics Corp.* | | | 117,206 | |
| | 608 | | | Heska Corp.* | | | 88,555 | |
| | 475 | | | ICU Medical, Inc.* | | | 101,883 | |
| | 1,629 | | | Inogen, Inc.* | | | 72,784 | |
| | 1,858 | | | Integer Holdings Corp.* | | | 150,851 | |
| | 2,755 | | | Integra LifeSciences Holdings Corp.* | | | 178,855 | |
| | 199 | | | IntriCon Corp.* | | | 3,602 | |
| | 4,509 | | | Invacare Corp. | | | 40,356 | |
| | 850 | | | iRadimed Corp.* | | | 19,380 | |
| | 2,006 | | | IRIDEX Corp.* | | | 5,035 | |
| | 249 | | | Kewaunee Scientific CP* | | | 3,140 | |
| | 4,878 | | | Lantheus Holdings, Inc.* | | | 65,804 | |
| | 2,690 | | | LeMaitre Vascular, Inc. | | | 108,945 | |
| | 1,127 | | | LENSAR, Inc.* | | | 8,171 | |
| | 2,778 | | | LivaNova plc* | | | 183,931 | |
| | 5,098 | | | Meridian Bioscience, Inc.* | | | 95,282 | |
| | 1,147 | | | Merit Medical Systems, Inc.* | | | 63,670 | |
| | 2,701 | | | Natus Medical, Inc.* | | | 54,128 | |
| | 1,337 | | | Neogen Corp.* | | | 106,024 | |
| | 4,707 | | | NuVasive, Inc.* | | | 265,144 | |
| | 4,178 | | | OraSure Technologies, Inc.* | | | 44,224 | |
| | 1,199 | | | Orthofix Medical, Inc.* | | | 51,533 | |
| | 574 | | | Orthopediatrics Corp.*^ | | | 23,678 | |
| | 2,378 | | | Oxford Immunotec Global plc* | | | 41,532 | |
| | 421 | | | Quidel Corp.* | | | 75,633 | |
| | 2,363 | | | SeaSpine Holdings Corp.* | | | 41,234 | |
| | 700 | | | SI-BONE, Inc.* | | | 20,930 | |
| | 1,248 | | | STAAR Surgical Co.* | | | 98,867 | |
| | 10,930 | | | Surgalign Holdings, Inc.* | | | 23,937 | |
| | 950 | | | Surmodics, Inc.* | | | 41,344 | |
| | 923 | | | Tactile Systems Technology, Inc.* | | | 41,480 | |
| | 1,583 | | | TransMedics Group, Inc.* | | | 31,502 | |
| | 554 | | | Utah Medical Products, Inc. | | | 46,702 | |
| | 2,566 | | | Varex Imaging Corp.* | | | 42,801 | |
| | 8,600 | | | ViewRay, Inc.*^ | | | 32,852 | |
| | | | | | | | |
| | | | | | | 3,602,533 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Health Care Providers & Services (3.1%): | | | |
| | 6,333 | | | Acadia Healthcare Co., Inc.* | | $ | 318,296 | |
| | 1,084 | | | Addus HomeCare Corp.* | | | 126,926 | |
| | 1,063 | | | Amedisys, Inc.* | | | 311,810 | |
| | 1,150 | | | American Renal Associates Holdings, Inc.* | | | 13,168 | |
| | 4,143 | | | AMN Healthcare Services, Inc.* | | | 282,760 | |
| | 2,775 | | | BioTelemetry, Inc.* | | | 200,022 | |
| | 12,012 | | | Brookdale Senior Living, Inc.* | | | 53,213 | |
| | 10,972 | | | Community Health Systems, Inc.* | | | 81,522 | |
| | 1,727 | | | CorVel Corp.* | | | 183,062 | |
| | 4,621 | | | Covetrus, Inc.* | | | 132,808 | |
| | 2,958 | | | Cross Country Healthcare, Inc.* | | | 26,237 | |
| | 5,353 | | | Ensign Group, Inc. (The) | | | 390,340 | |
| | 190 | | | Five Star Senior Living, Inc.* | | | 1,311 | |
| | 1,259 | | | Hanger, Inc.* | | | 27,685 | |
| | 1,999 | | | InfuSystems Holdings, Inc.* | | | 37,541 | |
| | 1,543 | | | Joint Corp. (The)* | | | 40,519 | |
| | 1,511 | | | LHC Group, Inc.* | | | 322,326 | |
| | 1,752 | | | Magellan Health, Inc.* | | | 145,136 | |
| | 6,017 | | | MEDNAX, Inc.* | | | 147,657 | |
| | 887 | | | National Healthcare Corp. | | | 58,906 | |
| | 2,297 | | | National Research Corp. | | | 98,197 | |
| | 2,979 | | | Option Care Health, Inc.* | | | 46,592 | |
| | 7,794 | | | Owens & Minor, Inc. | | | 210,828 | |
| | 7,060 | | | Patterson Cos., Inc. | | | 209,188 | |
| | 1,995 | | | Petiq, Inc.*^ | | | 76,708 | |
| | 4,815 | | | Premier, Inc., Class A | | | 169,007 | |
| | 1,177 | | | Providence Service Corp.* | | | 163,168 | |
| | 1,080 | | | Psychemedics Corp. | | | 5,497 | |
| | 7,682 | | | R1 RCM, Inc.* | | | 184,522 | |
| | 4,677 | | | RadNet, Inc.* | | | 91,529 | |
| | 12,029 | | | Select Medical Holdings Corp.* | | | 332,721 | |
| | 1,331 | | | Surgery Partners, Inc.* | | | 38,612 | |
| | 7,377 | | | Tenet Healthcare Corp.* | | | 294,564 | |
| | 1,837 | | | The Pennant Group, Inc.* | | | 106,656 | |
| | 2,495 | | | Triple-S Management Corp., Class B* | | | 53,268 | |
| | 1,399 | | | U.S. Physical Therapy, Inc. | | | 168,230 | |
| | | | | | | | |
| | | | | | | 5,150,532 | |
| | | | | | | | |
| Health Care Technology (0.7%): | | | |
| | 11,077 | | | Allscripts Healthcare Solutions, Inc.* | | | 159,952 | |
| | 3,434 | | | Castlight Health, Inc., Class B* | | | 4,464 | |
| | 1,388 | | | Computer Programs & Systems, Inc. | | | 37,254 | |
| | 4,068 | | | Evolent Health, Inc., Class A* | | | 65,210 | |
| | 2,627 | | | HealthStream, Inc.* | | | 57,374 | |
| | 5,064 | | | HMS Holdings Corp.* | | | 186,102 | |
| | 5,093 | | | Inovalon Holdings, Inc., Class A* | | | 92,540 | |
| | 4,954 | | | NextGen Healthcare, Inc.* | | | 90,361 | |
| | 1,794 | | | Omnicell, Inc.* | | | 215,315 | |
| | 2,026 | | | Simulations Plus, Inc. | | | 145,710 | |
| | 2,241 | | | Vocera Communications, Inc.* | | | 93,069 | |
| | | | | | | | |
| | | | | | | 1,147,351 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (2.7%): | | | |
| | 1,724 | | | BBQ Holdings, Inc.* | | | 8,310 | |
| | 3 | | | Biglari Holdings, Inc., Class A* | | | 1,755 | |
| | 168 | | | Biglari Holdings, Inc., Class B* | | | 18,682 | |
| | 2,281 | | | BJ’s Restaurants, Inc. | | | 87,796 | |
| | 7,876 | | | Bloomin’ Brands, Inc. | | | 152,952 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 950 | | | Bluegreen Vacations Holding Corp.* | | $ | 12,854 | |
| | 2,784 | | | Brinker International, Inc. | | | 157,491 | |
| | 4,497 | | | Carrols Restaurant Group, Inc.* | | | 28,241 | |
| | 4,417 | | | Cheesecake Factory, Inc. (The)^ | | | 163,694 | |
| | 2,165 | | | Choice Hotels International, Inc. | | | 231,070 | |
| | 2,299 | | | Chuy’s Holdings, Inc.* | | | 60,901 | |
| | 1,626 | | | Cracker Barrel Old Country Store, Inc. | | | 214,502 | |
| | 3,275 | | | Dave & Buster’s Entertainment, Inc.^ | | | 98,316 | |
| | 2,980 | | | Del Taco Restaurants, Inc.* | | | 26,999 | |
| | 5,460 | | | Denny’s Corp.* | | | 80,153 | |
| | 3,712 | | | Dover Motorsports, Inc. | | | 8,426 | |
| | 2,394 | | | El Pollo Loco Holdings, Inc.* | | | 43,331 | |
| | 9,422 | | | Extended Stay America, Inc. | | | 139,540 | |
| | 2,608 | | | Fiesta Restaurant Group, Inc.* | | | 29,731 | |
| | 378 | | | Flanigan’s Enterprises, Inc. | | | 7,469 | |
| | 4,318 | | | Hilton Grand Vacations, Inc.* | | | 135,369 | |
| | 4,444 | | | International Game Technology plc^ | | | 75,281 | |
| | 2,176 | | | Jack in the Box, Inc. | | | 201,933 | |
| | 2,108 | | | Lindblad Expeditions Holdings, Inc.* | | | 36,089 | |
| | 2,561 | | | Marriott Vacations Worldwide Corp. | | | 351,419 | |
| | 597 | | | Nathans Famous, Inc. | | | 32,966 | |
| | 1,669 | | | Noodles & Co.* | | | 13,185 | |
| | 3,186 | | | Papa John’s International, Inc. | | | 270,332 | |
| | 3,630 | | | Playa Hotels & Resorts NV* | | | 21,599 | |
| | 1,540 | | | Playags, Inc.* | | | 11,088 | |
| | 3,185 | | | Potbelly Corp.* | | | 14,014 | |
| | 3,634 | | | Red Lion Hotels Corp.* | | | 12,574 | |
| | 1,368 | | | Red Robin Gourmet Burgers* | | | 26,307 | |
| | 662 | | | Red Rock Resorts, Inc. | | | 16,576 | |
| | 2,239 | | | Ruth’s Hospitality Group, Inc. | | | 39,697 | |
| | 3,369 | | | Scientific Games Corp., Class A* | | | 139,780 | |
| | 3,059 | | | SeaWorld Entertainment, Inc.* | | | 96,634 | |
| | 1,613 | | | Shake Shack, Inc., Class A* | | | 136,750 | |
| | 505 | | | Six Flags Entertainment Corp. | | | 17,221 | |
| | 4,369 | | | Texas Roadhouse, Inc., Class A | | | 341,481 | |
| | 10,098 | | | Wendy’s Co. (The) | | | 221,348 | |
| | 2,153 | | | Wingstop, Inc. | | | 285,380 | |
| | 5,278 | | | Wyndham Destinations, Inc. | | | 236,771 | |
| | 2,364 | | | Wyndham Hotels & Resorts, Inc. | | | 140,516 | |
| | | | | | | | |
| | | | | | | 4,446,523 | |
| | | | | | | | |
| Household Durables (2.7%): | | | |
| | 608 | | | Bassett Furniture Industries, Inc. | | | 12,209 | |
| | 738 | | | Beazer Homes USA, Inc.* | | | 11,181 | |
| | 647 | | | Cavco Industries, Inc.* | | | 113,516 | |
| | 2,344 | | | Century Communities, Inc.* | | | 102,620 | |
| | 2,958 | | | Ethan Allen Interiors, Inc. | | | 59,781 | |
| | 820 | | | Flexsteel Industries, Inc. | | | 28,675 | |
| | 1,624 | | | Green Brick Partners, Inc.* | | | 37,287 | |
| | 1,634 | | | Helen of Troy, Ltd.* | | | 363,058 | |
| | 670 | | | Hooker Furniture Corp. | | | 21,608 | |
| | 2,732 | | | Installed Building Products, Inc.* | | | 278,473 | |
| | 2,701 | | | iRobot Corp.*^ | | | 216,863 | |
| | 7,925 | | | KB Home | | | 265,646 | |
| | 1,138 | | | Koss Corp.* | | | 3,915 | |
| | 4,659 | | | La-Z-Boy, Inc. | | | 185,615 | |
| | 2,589 | | | Leggett & Platt, Inc. | | | 114,693 | |
| | 1,492 | | | LGI Homes, Inc.* | | | 157,928 | |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Household Durables, continued | | | |
| | 2,522 | | | Lifetime Brands, Inc. | | $ | 38,334 | |
| | 4,157 | | | M/I Homes, Inc.* | | | 184,114 | |
| | 5,423 | | | MDC Holdings, Inc. | | | 263,558 | |
| | 5,247 | | | Meritage Homes Corp.* | | | 434,556 | |
| | 723 | | | P & F Industries, Inc., Class A | | | 4,374 | |
| | 2,534 | | | Purple Innovation, Inc.* | | | 83,470 | |
| | 3,692 | | | Skyline Champion Corp.* | | | 114,230 | |
| | 4,300 | | | Sonos, Inc.* | | | 100,577 | |
| | 9,383 | | | Taylor Morrison Home Corp., Class A* | | | 240,674 | |
| | 10,900 | | | Tempur Sealy International, Inc.* | | | 294,300 | |
| | 2,542 | | | Toll Brothers, Inc. | | | 110,501 | |
| | 2,041 | | | TopBuild Corp.* | | | 375,707 | |
| | 9,280 | | | TRI Pointe Group, Inc.* | | | 160,080 | |
| | 4,563 | | | Tupperware Brands Corp.* | | | 147,796 | |
| | 600 | | | Turtle Beach Corp.* | | | 12,930 | |
| | 1,460 | | | Universal Electronics, Inc.* | | | 76,592 | |
| | 4,044 | | | Zagg, Inc.* | | | 16,863 | |
| | | | | | | | |
| | | | | | | 4,631,724 | |
| | | | | | | | |
| Household Products (0.5%): | | | |
| | 1,115 | | | Central Garden & Pet Co.* | | | 43,050 | |
| | 3,036 | | | Central Garden & Pet Co., Class A* | | | 110,298 | |
| | 4,183 | | | Energizer Holdings, Inc. | | | 176,439 | |
| | 1,767 | | | Ocean Bio-Chem, Inc.^ | | | 23,607 | |
| | 940 | | | Oil-Dri Corp of America | | | 32,035 | |
| | 1,701 | | | Spectrum Brands Holdings, Inc. | | | 134,345 | |
| | 1,185 | | | WD-40 Co. | | | 314,831 | |
| | | | | | | | |
| | | | | | | 834,605 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.4%): | |
| | 10,080 | | | Atlantic Power Corp.* | | | 21,168 | |
| | 4,220 | | | Atlantica Sustainable Infrastructure plc | | | 160,276 | |
| | 2,596 | | | Clearway Energy, Inc., Class C | | | 82,890 | |
| | 3,474 | | | Ormat Technologies, Inc. | | | 313,633 | |
| | 2,332 | | | Sunnova Energy International, Inc.* | | | 105,243 | |
| | | | | | | | |
| | | | | | | 683,210 | |
| | | | | | | | |
| Industrial Conglomerates (0.1%): | | | |
| | 3,840 | | | Raven Industries, Inc. | | | 127,066 | |
| | | | | | | | |
| Insurance (3.5%): | | | |
| | 2,802 | | | AMBAC Financial Group, Inc.* | | | 43,095 | |
| | 7,081 | | | American Equity Investment Life Holding Co. | | | 195,860 | |
| | 1,583 | | | American National Group , Inc. | | | 152,158 | |
| | 2,310 | | | Amerisafe, Inc. | | | 132,663 | |
| | 2,482 | | | Argo Group International Holdings, Ltd. | | | 108,463 | |
| | 6,296 | | | Assured Guaranty, Ltd. | | | 198,261 | |
| | 2,314 | | | Axis Capital Holdings, Ltd. | | | 116,602 | |
| | 4,835 | | | Brighthouse Financial, Inc.* | | | 175,051 | |
| | 5,374 | | | Citizens, Inc.* | | | 30,793 | |
| | 3,445 | | | Crawford & Co. | | | 24,804 | |
| | 4,636 | | | Crawford & Co., Class A | | | 34,260 | |
| | 2,691 | | | Donegal Group, Inc., Class A | | | 37,862 | |
| | 1,684 | | | eHealth, Inc.* | | | 118,907 | |
| | 2,020 | | | Employers Holdings, Inc. | | | 65,024 | |
| | 1,225 | | | Enstar Group, Ltd.* | | | 250,991 | |
| | 2,039 | | | FBL Financial Group, Inc., Class A | | | 107,068 | |
| | 2,111 | | | FedNat Holding Co. | | | 12,497 | |
| | 1,454 | | | First American Financial Corp. | | | 75,070 | |
| | 10,826 | | | Genworth Financial, Inc., Class A* | | | 40,922 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Insurance, continued | | | |
| | 1,050 | | | Global Indemnity Group LLC, Class A | | $ | 30,020 | |
| | 675 | | | Goosehead Insurance, Inc. | | | 84,213 | |
| | 3,055 | | | Greenlight Capital Re, Ltd.* | | | 22,332 | |
| | 1,752 | | | Hallmark Financial Services, Inc.* | | | 6,237 | |
| | 2,024 | | | Hanover Insurance Group, Inc. (The) | | | 236,646 | |
| | 1,170 | | | HCI Group, Inc. | | | 61,191 | |
| | 1,369 | | | Heritage Insurance Holdings, Inc. | | | 13,868 | |
| | 2,964 | | | Horace Mann Educators Corp. | | | 124,607 | |
| | 1,651 | | | Independence Holding Co. | | | 67,691 | |
| | 253 | | | Investors Title Co. | | | 38,709 | |
| | 1,943 | | | James River Group Holdings | | | 95,498 | |
| | 2,661 | | | Kemper Corp. | | | 204,445 | |
| | 1,473 | | | Kingstone Co., Inc. | | | 9,795 | |
| | 1,784 | | | Kinsale Capital Group, Inc. | | | 357,033 | |
| | 12,677 | | | Maiden Holdings, Ltd.* | | | 31,566 | |
| | 4,187 | | | Mercury General Corp. | | | 218,603 | |
| | 7,678 | | | National General Holdings Corp. | | | 262,434 | |
| | 198 | | | National Western Life Group, Inc., Class A | | | 40,875 | |
| | 929 | | | NI Holdings, Inc.* | | | 15,254 | |
| | 6,495 | | | Old Republic International Corp. | | | 128,016 | |
| | 1,353 | | | Primerica, Inc. | | | 181,207 | |
| | 4,148 | | | ProAssurance Corp. | | | 73,793 | |
| | 180 | | | Protective Insurance Corp. | | | 2,711 | |
| | 2,350 | | | RLI Corp. | | | 244,753 | |
| | 1,234 | | | Safety Insurance Group, Inc. | | | 96,129 | |
| | 3,256 | | | Selective Insurance Group, Inc. | | | 218,087 | |
| | 3,755 | | | State Auto Financial Corp. | | | 66,614 | |
| | 2,715 | | | Stewart Information Services Corp. | | | 131,297 | |
| | 204 | | | The National Security Group, Inc. | | | 2,193 | |
| | 6,247 | | | Third Point Reinsurance, Ltd.* | | | 59,471 | |
| | 2,849 | | | Tiptree, Inc., Class A | | | 14,302 | |
| | 587 | | | Trupanion, Inc.* | | | 70,270 | |
| | 2,000 | | | United Fire Group, Inc. | | | 50,200 | |
| | 4,002 | | | United Insurance Holdings Co. | | | 22,891 | |
| | 2,274 | | | Universal Insurance Holdings, Inc. | | | 34,360 | |
| | 12,895 | | | Unum Group | | | 295,812 | |
| | 244 | | | White Mountains Insurance Group, Ltd. | | | 244,161 | |
| | | | | | | | |
| | | | | | | 5,777,635 | |
| | | | | | | | |
| Interactive Media & Services (0.4%): | | | |
| | 5,278 | | | Cargurus, Inc.* | | | 167,470 | |
| | 3,666 | | | Cars.com, Inc.* | | | 41,426 | |
| | 6,181 | | | DHI Group, Inc.* | | | 13,722 | |
| | 7,846 | | | Liberty TripAdvisor Holdings, Inc., Class A* | | | 34,052 | |
| | 4,193 | | | QuinStreet, Inc.* | | | 89,898 | |
| | 2,073 | | | Travelzoo, Inc.* | | | 19,569 | |
| | 3,270 | | | TripAdvisor, Inc.* | | | 94,111 | |
| | 11,137 | | | TrueCar, Inc.* | | | 46,775 | |
| | 3,909 | | | Yelp, Inc.* | | | 127,707 | |
| | 1,473 | | | Zedge, Inc., Class B* | | | 8,897 | |
| | | | | | | | |
| | | | | | | 643,627 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.8%): | | | |
| | 3,993 | | | 1-800 Flowers.com, Inc., Class A* | | | 103,818 | |
| | 576 | | | Groupon, Inc.* | | | 21,885 | |
| | 3,052 | | | Grubhub, Inc.* | | | 226,672 | |
| | 1,300 | | | Lands’ End, Inc.* | | | 28,041 | |
| | 3,938 | | | Leaf Group, Ltd.* | | | 18,312 | |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Internet & Direct Marketing Retail, continued | | | |
| | 3,018 | | | Liquidity Services, Inc.* | | $ | 48,016 | |
| | 1,834 | | | Magnite, Inc.* | | | 56,322 | |
| | 2,381 | | | PetMed Express, Inc.^ | | | 76,335 | |
| | 5,840 | | | Quotient Technology, Inc.* | | | 55,013 | |
| | 16,641 | | | Qurate Retail, Inc., Class A | | | 182,552 | |
| | 3,532 | | | Shutterstock, Inc. | | | 253,245 | |
| | 1,086 | | | Stamps.com, Inc.* | | | 213,062 | |
| | | | | | | | |
| | | | | | | 1,283,273 | |
| | | | | | | | |
| IT Services (2.8%): | | | |
| | 1,437 | | | Alliance Data Systems Corp. | | | 106,482 | |
| | 1,700 | | | Brightcove, Inc.* | | | 31,280 | |
| | 492 | | | CACI International, Inc., Class A* | | | 122,670 | |
| | 4,472 | | | Cardtronics plc* | | | 157,862 | |
| | 1,474 | | | Cass Information Systems, Inc. | | | 57,353 | |
| | 1,582 | | | Concentrix Corp.* | | | 156,143 | |
| | 11,403 | | | Conduent, Inc.* | | | 54,734 | |
| | 4,532 | | | CoreLogic, Inc. | | | 350,415 | |
| | 3,532 | | | CSG Systems International, Inc. | | | 159,187 | |
| | 758 | | | CSP, Inc. | | | 5,859 | |
| | 8,470 | | | DXC Technology Co. | | | 218,103 | |
| | 4,290 | | | Endurance International Group Holdings, Inc.* | | | 40,541 | |
| | 594 | | | Euronet Worldwide, Inc.* | | | 86,082 | |
| | 4,623 | | | Evertec, Inc. | | | 181,776 | |
| | 2,000 | | | Evo Payments, Inc.* | | | 54,020 | |
| | 3,066 | | | Exlservice Holdings, Inc.* | | | 261,009 | |
| | 1,053 | | | Greensky, Inc.* | | | 4,875 | |
| | 4,964 | | | GTT Communications, Inc.*^ | | | 17,721 | |
| | 2,901 | | | Hackett Group, Inc. (The) | | | 41,745 | |
| | 439 | | | I3 Verticals, Inc.* | | | 14,575 | |
| | 8,953 | | | KBR, Inc. | | | 276,916 | |
| | 10,373 | | | Limelight Networks, Inc.* | | | 41,388 | |
| | 4,958 | | | LiveRamp Holdings, Inc.* | | | 362,877 | |
| | 1,830 | | | ManTech International Corp., Class A | | | 162,760 | |
| | 2,575 | | | Maximus, Inc. | | | 188,464 | |
| | 5,537 | | | NIC, Inc. | | | 143,021 | |
| | 862 | | | Paysign, Inc.* | | | 4,000 | |
| | 3,115 | | | Perficient, Inc.* | | | 148,430 | |
| | 3,604 | | | Perspecta, Inc. | | | 86,784 | |
| | 3,168 | | | PFSweb, Inc.* | | | 21,321 | |
| | 2,707 | | | Sabre Corp. | | | 32,538 | |
| | 1,072 | | | Science Applications International Corp. | | | 101,454 | |
| | 8,429 | | | Servicesource International, Inc.* | | | 14,835 | |
| | 1,555 | | | StarTek, Inc.* | | | 11,694 | |
| | 4,816 | | | Switch, Inc., Class A | | | 78,838 | |
| | 4,108 | | | Sykes Enterprises, Inc.* | | | 154,748 | |
| | 6,624 | | | Teradata Corp.* | | | 148,841 | |
| | 4,062 | | | TTEC Holdings, Inc. | | | 296,243 | |
| | 4,235 | | | Unisys Corp.* | | | 83,345 | |
| | 3,544 | | | Verra Mobility Corp.* | | | 47,560 | |
| | 3,309 | | | Virtusa Corp.* | | | 169,189 | |
| | | | | | | | |
| | | | | | | 4,697,678 | |
| | | | | | | | |
| Leisure Products (0.9%): | | | |
| | 4,501 | | | Acushnet Holdings Corp. | | | 182,472 | |
| | 2,004 | | | American Outdoor Brands, Inc.* | | | 34,128 | |
| | 1,604 | | | Brunswick Corp. | | | 122,289 | |
| | 6,323 | | | Callaway Golf Co. | | | 151,815 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Leisure Products, continued | | | |
| | 691 | | | Clarus Corp. | | $ | 10,641 | |
| | 1,402 | | | Escalade, Inc. | | | 29,680 | |
| | 723 | | | Johnson Outdoors, Inc., Class A | | | 81,431 | |
| | 1,830 | | | Malibu Boats, Inc.* | | | 114,265 | |
| | 2,419 | | | Marine Products Corp. | | | 35,172 | |
| | 850 | | | Mastercraft Boat Holdings, Inc.* | | | 21,114 | |
| | 9,663 | | | Mattel, Inc.* | | | 168,620 | |
| | 3,547 | | | Nautilus Group, Inc.* | | | 64,343 | |
| | 281 | | | Polaris, Inc. | | | 26,774 | |
| | 8,017 | | | Smith & Wesson Brands, Inc. | | | 142,302 | |
| | 5,865 | | | Vista Outdoor, Inc.* | | | 139,352 | |
| | 2,456 | | | YETI Holdings, Inc.* | | | 168,162 | |
| | | | | | | | |
| | | | | | | 1,492,560 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.4%): | | | |
| | 2,434 | | | Codexis, Inc.* | | | 53,134 | |
| | 7,407 | | | Enzo Biochem, Inc.* | | | 18,666 | |
| | 4,548 | | | Fluidigm Corp.*^ | | | 27,288 | |
| | 7,018 | | | Harvard Bioscience, Inc.* | | | 30,107 | |
| | 3,537 | | | Luminex Corp. | | | 81,775 | |
| | 1,865 | | | Medpace Holdings, Inc.* | | | 259,608 | |
| | 5,214 | | | Neogenomics, Inc.* | | | 280,722 | |
| | | | | | | | |
| | | | | | | 751,300 | |
| | | | | | | | |
| Machinery (5.8%): | | | |
| | 748 | | | AGCO Corp. | | | 77,111 | |
| | 1,154 | | | Alamo Group, Inc. | | | 159,194 | |
| | 3,091 | | | Albany International Corp., Class A | | | 226,941 | |
| | 6,903 | | | Allison Transmission Holdings, Inc. | | | 297,726 | |
| | 1,735 | | | Altra Industrial Motion Corp. | | | 96,171 | |
| | 806 | | | Art’s-Way Manufacturing Co.* | | | 2,297 | |
| | 2,041 | | | Astec Industries, Inc. | | | 118,133 | |
| | 5,224 | | | Barnes Group, Inc. | | | 264,805 | |
| | 2,530 | | | Blue Bird Corp.* | | | 46,198 | |
| | 2,762 | | | Chart Industries, Inc.* | | | 325,336 | |
| | 1,959 | | | CIRCOR International, Inc.* | | | 75,304 | |
| | 8,051 | | | Colfax Corp.* | | | 307,870 | |
| | 2,372 | | | Columbus McKinnon Corp. | | | 91,180 | |
| | 5,525 | | | Commercial Vehicle Group, Inc.* | | | 47,791 | |
| | 1,184 | | | Crane Co. | | | 91,949 | |
| | 1,676 | | | DMC Global, Inc. | | | 72,487 | |
| | 2,578 | | | Douglas Dynamics, Inc. | | | 110,261 | |
| | 500 | | | Eastern Co. (The) | | | 12,050 | |
| | 3,670 | | | Energy Recovery, Inc.* | | | 50,059 | |
| | 5,938 | | | Enerpac Tool Group Corp. | | | 134,258 | |
| | 1,516 | | | EnPro Industries, Inc. | | | 114,488 | |
| | 1,803 | | | ESCO Technologies, Inc. | | | 186,106 | |
| | 4,291 | | | Evoqua Water Technologies Co.* | | | 115,771 | |
| | 6,275 | | | Federal Signal Corp. | | | 208,142 | |
| | 4,486 | | | Flowserve Corp. | | | 165,309 | |
| | 3,637 | | | Franklin Electric Co., Inc. | | | 251,717 | |
| | 2,281 | | | FreightCar America, Inc.* | | | 5,497 | |
| | 7,229 | | | Gates Industrial Corp. plc* | | | 92,242 | |
| | 1,765 | | | Gencor Industries, Inc.* | | | 21,710 | |
| | 2,837 | | | Gorman-Rupp Co. (The) | | | 92,061 | |
| | 459 | | | Graham Corp. | | | 6,968 | |
| | 7,484 | | | Harsco Corp.* | | | 134,562 | |
| | 3,615 | | | Helios Technologies, Inc. | | | 192,643 | |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Machinery, continued | | | |
| | 2,413 | | | Hillenbrand, Inc. | | $ | 96,037 | |
| | 785 | | | Hurco Cos, Inc. | | | 23,550 | |
| | 1,014 | | | Hyster-Yale Materials Handling, Inc., Class A | | | 60,384 | |
| | 450 | | | ITT, Inc. | | | 34,659 | |
| | 2,162 | | | John Bean Technologies Corp. | | | 246,187 | |
| | 288 | | | Kadant, Inc. | | | 40,602 | |
| | 6,708 | | | Kennametal, Inc. | | | 243,098 | |
| | 1,529 | | | L.B. Foster Co., Class A* | | | 23,011 | |
| | 426 | | | Lincoln Electric Holdings, Inc. | | | 49,523 | |
| | 755 | | | Lindsay Corp. | | | 96,987 | |
| | 829 | | | Lydall, Inc.* | | | 24,895 | |
| | 3,228 | | | Manitex International, Inc.* | | | 16,656 | |
| | 2,653 | | | Manitowoc Co., Inc. (The)* | | | 35,311 | |
| | 7,459 | | | Meritor, Inc.* | | | 208,181 | |
| | 770 | | | Middleby Corp. (The)* | | | 99,268 | |
| | 728 | | | Miller Industries, Inc. | | | 27,679 | |
| | 5,894 | | | Mueller Industries, Inc. | | | 206,938 | |
| | 15,711 | | | Mueller Water Products, Inc., Class A | | | 194,502 | |
| | 5,988 | | | Navistar International Corp.* | | | 263,232 | |
| | 3,562 | | | NN, Inc.* | | | 23,402 | |
| | 738 | | | Omega Flex, Inc. | | | 107,748 | |
| | 1,480 | | | Oshkosh Corp. | | | 127,384 | |
| | 1,629 | | | Park-Ohio Holdings Corp. | | | 50,336 | |
| | 1,599 | | | Proto Labs, Inc.* | | | 245,287 | |
| | 1,578 | | | RBC Bearings, Inc.* | | | 282,525 | |
| | 3,472 | | | REV Group, Inc. | | | 30,588 | |
| | 8,596 | | | Rexnord Corp. | | | 339,456 | |
| | 2,848 | | | Shyft Group, Inc. (The) | | | 80,826 | |
| | 1,692 | | | SPX Corp.* | | | 92,282 | |
| | 1,560 | | | SPX FLOW, Inc.* | | | 90,418 | |
| | 1,436 | | | Standex International Corp. | | | 111,319 | |
| | 466 | | | Taylor Devices, Inc.* | | | 4,851 | |
| | 1,866 | | | Tennant Co. | | | 130,937 | |
| | 7,022 | | | Terex Corp. | | | 244,998 | |
| | 800 | | | The Exone Co.* | | | 7,592 | |
| | 3,586 | | | The Greenbrier Cos., Inc. | | | 130,459 | |
| | 5,130 | | | Timken Co. | | | 396,858 | |
| | 7,930 | | | Titan International, Inc. | | | 38,540 | |
| | 4,197 | | | TriMas Corp.* | | | 132,919 | |
| | 4,766 | | | Trinity Industries, Inc. | | | 125,775 | |
| | 1,747 | | | Twin Disc, Inc.* | | | 13,714 | |
| | 4,530 | | | Wabash National Corp. | | | 78,052 | |
| | 2,199 | | | Watts Water Technologies, Inc., Class A | | | 267,618 | |
| | 13,695 | | | Welbilt, Inc.* | | | 180,774 | |
| | 867 | | | Woodward, Inc. | | | 105,367 | |
| | | | | | | | |
| | | | | | | 9,625,062 | |
| | | | | | | | |
| Marine (0.2%): | | | |
| | 7,920 | | | Costamare, Inc. | | | 65,578 | |
| | 4,337 | | | Genco Shipping & Trading, Ltd. | | | 31,920 | |
| | 1,713 | | | Kirby Corp.* | | | 88,785 | |
| | 4,582 | | | Matson, Inc. | | | 261,037 | |
| | 315 | | | Scorpio Bulkers, Inc. | | | 5,333 | |
| | | | | | | | |
| | | | | | | 452,653 | |
| | | | | | | | |
| Media (1.0%): | | | |
| | 3,904 | | | A.H. Belo Corp., Class A | | | 5,895 | |
| | 3,021 | | | AMC Networks, Inc., Class A*^ | | | 108,061 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Media, continued | | | |
| | 478 | | | Beasley Broadcast Group, Inc., Class A | | $ | 712 | |
| | 1,782 | | | Boston Omaha Corp.* | | | 49,272 | |
| | 7,836 | | | comScore, Inc.* | | | 19,512 | |
| | 144 | | | Daily Journal Corp.* | | | 58,176 | |
| | 6,258 | | | E.W. Scripps Co. (The), Class A | | | 95,685 | |
| | 3,323 | | | Emerald Holding, Inc. | | | 18,011 | |
| | 6,123 | | | Entercom Communications Corp. | | | 15,124 | |
| | 11,865 | | | Entravision Communications Corp., Class A | | | 32,629 | |
| | 5,880 | | | Gannett Co, Inc.* | | | 19,757 | |
| | 7,594 | | | Gray Television, Inc.* | | | 135,857 | |
| | 2,892 | | | Hemisphere Media Group* | | | 29,961 | |
| | 1,656 | | | John Wiley & Sons, Inc., Class A | | | 75,613 | |
| | 2,864 | | | Liberty Latin America, Ltd.* | | | 31,876 | |
| | 10,761 | | | Liberty Latin America, Ltd., Class C* | | | 119,340 | |
| | 500 | | | Loral Space & Communications Inc. | | | 10,495 | |
| | 348 | | | Marchex, Inc., Class B* | | | 682 | |
| | 4,388 | | | Meredith Corp. | | | 84,250 | |
| | 3,571 | | | MSG Networks, Inc., Class A* | | | 52,637 | |
| | 10,941 | | | National CineMedia, Inc. | | | 40,701 | |
| | 2,788 | | | Nexstar Media Group, Inc., Class A | | | 304,421 | |
| | 1,732 | | | Scholastic Corp. | | | 43,300 | |
| | 2,708 | | | TechTarget, Inc.* | | | 160,069 | |
| | 10,206 | | | Tegna, Inc. | | | 142,373 | |
| | 2,169 | | | Tribune Publishing Co. | | | 29,715 | |
| | | | | | | | |
| | | | | | | 1,684,124 | |
| | | | | | | | |
| Metals & Mining (1.2%): | | | |
| | 8,016 | | | Alcoa Corp.* | | | 184,769 | |
| | 7,802 | | | Allegheny Technologies, Inc.* | | | 130,840 | |
| | 2,124 | | | Ampco-Pittsburgh Corp.* | | | 11,640 | |
| | 3,338 | | | Carpenter Technology Corp. | | | 97,203 | |
| | 3,100 | | | Century Aluminum Co.* | | | 34,193 | |
| | 16,167 | | | Coeur Mining, Inc.* | | | 167,328 | |
| | 11,859 | | | Commercial Metals Co. | | | 243,583 | |
| | 2,636 | | | Compass Minerals International, Inc. | | | 162,694 | |
| | 13,641 | | | Ferroglobe plc* | | | 22,371 | |
| | 13,641 | | | Ferroglobe Unit*(b) | | | — | |
| | 516 | | | Fortitude Gold Corp.* | | | 542 | |
| | 1,805 | | | Gold Resource Corp. | | | 5,253 | |
| | 1,557 | | | Haynes International, Inc. | | | 37,119 | |
| | 37,410 | | | Hecla Mining Co. | | | 242,416 | |
| | 931 | | | Kaiser Aluminum Corp. | | | 92,076 | |
| | 1,545 | | | Materion Corp. | | | 98,447 | |
| | 9,373 | | | McEwen Mining, Inc.*^ | | | 9,232 | |
| | 2,868 | | | Ryerson Holding Corp.* | | | 39,120 | |
| | 1,487 | | | Schnitzer Steel Industries, Inc., Class A | | | 47,450 | |
| | 3,318 | | | SunCoke Energy, Inc. | | | 14,433 | |
| | 1,789 | | | Synalloy Corp.* | | | 13,954 | |
| | 4,467 | | | TimkenSteel Corp.* | | | 20,861 | |
| | 6,784 | | | United States Steel Corp. | | | 113,768 | |
| | 1,458 | | | Universal Stainless & Alloy Products, Inc.* | | | 10,906 | |
| | 684 | | | Warrior Met Coal, Inc. | | | 14,583 | |
| | 3,959 | | | Worthington Industries, Inc. | | | 203,254 | |
| | | | | | | | |
| | | | | | | 2,018,035 | |
| | | | | | | | |
| Multiline Retail (0.3%): | | | |
| | 4,142 | | | Big Lots, Inc. | | | 177,815 | |
| | 654 | | | Dillard’s, Inc., Class A^ | | | 41,235 | |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Multiline Retail, continued | | | |
| | 4,143 | | | Kohl’s Corp. | | $ | 168,579 | |
| | 3,428 | | | Macy’s, Inc. | | | 38,565 | |
| | 1,474 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 120,529 | |
| | | | | | | | |
| | | | | | | 546,723 | |
| | | | | | | | |
| Multi-Utilities (0.4%): | | | |
| | 4,514 | | | Avista Corp. | | | 181,191 | |
| | 2,243 | | | Black Hills Corp. | | | 137,832 | |
| | 4,834 | | | MDU Resources Group, Inc. | | | 127,328 | |
| | 2,992 | | | NorthWestern Corp. | | | 174,464 | |
| | 1,778 | | | Unitil Corp. | | | 78,712 | |
| | | | | | | | |
| | | | | | | 699,527 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.0%): | | | |
| | 816 | | | Adams Resources & Energy, Inc. | | | 19,666 | |
| | 5,684 | | | Antero Midstream Corp. | | | 43,824 | |
| | 5,014 | | | Antero Resources Corp.*^ | | | 27,326 | |
| | 1,558 | | | Apache Corp. | | | 22,108 | |
| | 1,638 | | | Arch Resources, Inc. | | | 71,695 | |
| | 1,954 | | | Ardmore Shipping Corp. | | | 6,390 | |
| | 4,767 | | | Berry Corp. | | | 17,543 | |
| | 2,422 | | | Bonanza Creek Energy, Inc.* | | | 46,817 | |
| | 2,330 | | | Callon Petroleum Co.*^ | | | 30,663 | |
| | 3,036 | | | Centennial Resource Development, Inc., Class A* | | | 4,554 | |
| | 3,046 | | | Cimarex Energy Co. | | | 114,255 | |
| | 16,914 | | | Clean Energy Fuel Corp.* | | | 132,944 | |
| | 11,575 | | | CNX Resources Corp.* | | | 125,010 | |
| | 2,015 | | | CONSOL Energy, Inc.* | | | 14,528 | |
| | 5,547 | | | CVR Energy, Inc. | | | 82,650 | |
| | 5,713 | | | Delek US Holdings, Inc. | | | 91,808 | |
| | 2,142 | | | Devon Energy Corp. | | | 33,865 | |
| | 16,266 | | | DHT Holdings, Inc. | | | 85,071 | |
| | 4,012 | | | Dorian LPG, Ltd.* | | | 48,906 | |
| | 416 | | | Earthstone Energy, Inc.* | | | 2,217 | |
| | 17,427 | | | Enlink Midstream LLC | | | 64,654 | |
| | 19,984 | | | EQT Corp.* | | | 253,997 | |
| | 13,891 | | | Equitrans Midstream Corp. | | | 111,684 | |
| | 2,943 | | | Evolution Petroleum Corp. | | | 8,388 | |
| | 10,643 | | | Gaslog, Ltd. | | | 39,592 | |
| | 2,611 | | | Green Plains, Inc.* | | | 34,387 | |
| | 181 | | | HighPoint Resources Corp.* | | | 1,658 | |
| | 1,791 | | | HollyFrontier Corp. | | | 46,297 | |
| | 2,520 | | | International Seaways, Inc. | | | 41,152 | |
| | 34,496 | | | Kosmos Energy, Ltd. | | | 81,066 | |
| | 725 | | | Laredo Petroleum, Inc.* | | | 14,283 | |
| | 17,383 | | | Marathon Oil Corp. | | | 115,945 | |
| | 9,030 | | | Matador Resources Co.* | | | 108,902 | |
| | 6,809 | | | Murphy Oil Corp. | | | 82,389 | |
| | 14,613 | | | Nordic American Tankers, Ltd. | | | 43,108 | |
| | 5,300 | | | Overseas Shipholding Group, Inc.* | | | 11,342 | |
| | 2,838 | | | PAR Pacific Holdings, Inc.* | | | 39,675 | |
| | 5,341 | | | Parsley Energy, Inc., Class A | | | 75,842 | |
| | 6,480 | | | PBF Energy, Inc., Class A | | | 46,008 | |
| | 7,105 | | | PDC Energy, Inc.* | | | 145,866 | |
| | 5,636 | | | Peabody Energy Corp.* | | | 13,583 | |
| | 523 | | | Penn Virginia Corp.* | | | 5,308 | |
| | 2,410 | | | PHX Minerals, Inc. | | | 5,543 | |
| | 6 | | | PrimeEnergy Resources Corp.* | | | 259 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 12,864 | | | QEP Resources, Inc. | | $ | 30,745 | |
| | 17,188 | | | Range Resources Corp.* | | | 115,160 | |
| | 4,379 | | | Renewable Energy Group, Inc.* | | | 310,120 | |
| | 300 | | | REX American Resources Corp.* | | | 22,041 | |
| | 1,533 | | | SandRidge Energy, Inc.* | | | 4,752 | |
| | 3,705 | | | Scorpio Tankers, Inc. | | | 41,459 | |
| | 8,803 | | | SFL Corp., Ltd. | | | 55,283 | |
| | 7,278 | | | SM Energy Co. | | | 44,541 | |
| | 39,696 | | | Southwestern Energy Co.* | | | 118,294 | |
| | 2,952 | | | Talos Energy, Inc.* | | | 24,324 | |
| | 971 | | | Targa Resources Corp. | | | 25,615 | |
| | 1,980 | | | Teekay Shipping Corp.* | | | 4,257 | |
| | 2,363 | | | Teekay Tankers, Ltd., Class A* | | | 26,017 | |
| | 8,709 | | | W&T Offshore, Inc.*^ | | | 18,899 | |
| | 4,256 | | | World Fuel Services Corp. | | | 132,617 | |
| | 14,861 | | | WPX Energy, Inc.* | | | 121,117 | |
| | | | | | | | |
| | | | | | | 3,508,009 | |
| | | | | | | | |
| Paper & Forest Products (0.6%): | | | |
| | 4,216 | | | Boise Cascade Co. | | | 201,524 | |
| | 2,174 | | | Clearwater Paper Corp.* | | | 82,069 | |
| | 4,353 | | | Domtar Corp. | | | 137,772 | |
| | 3,299 | | | Glatfelter Corp. | | | 54,038 | |
| | 6,293 | | | Louisiana-Pacific Corp. | | | 233,910 | |
| | 5,170 | | | Mercer International, Inc. | | | 52,993 | |
| | 1,384 | | | Neenah, Inc. | | | 76,563 | |
| | 8,894 | | | Resolute Forest Products* | | | 58,167 | |
| | 3,522 | | | Schweitzer-Mauduit International, Inc. | | | 141,620 | |
| | 3,241 | | | Verso Corp. | | | 38,957 | |
| | | | | | | | |
| | | | | | | 1,077,613 | |
| | | | | | | | |
| Personal Products (0.6%): | | | |
| | 9,424 | | | Coty, Inc., Class A | | | 66,156 | |
| | 3,582 | | | e.l.f. Beauty, Inc.* | | | 90,231 | |
| | 2,807 | | | Edgewell Personal Care Co. | | | 97,066 | |
| | 2,136 | | | Inter Parfums, Inc. | | | 129,207 | |
| | 900 | | | Lifevantage Corp.* | | | 8,388 | |
| | 537 | | | Mannatech, Inc. | | | 9,988 | |
| | 1,121 | | | Medifast, Inc. | | | 220,097 | |
| | 1,918 | | | Natura & Co. Holding SA, ADR^ | | | 38,360 | |
| | 1,387 | | | Natural Alternatives International, Inc.* | | | 14,453 | |
| | 369 | | | Natural Health Trends Corp. | | | 1,812 | |
| | 2,857 | | | Natures Sunshine Products, Inc.* | | | 42,712 | |
| | 2,845 | | | Nu Skin Enterprises, Inc., Class A | | | 155,422 | |
| | 340 | | | United-Guardian, Inc. | | | 4,855 | |
| | 2,005 | | | Usana Health Sciences, Inc.* | | | 154,586 | |
| | | | | | | | |
| | | | | | | 1,033,333 | |
| | | | | | | | |
| Pharmaceuticals (1.1%): | | | |
| | 900 | | | Adicet Bio, Inc.* | | | 12,645 | |
| | 1,372 | | | Aerie Pharmaceuticals, Inc.*^ | | | 18,536 | |
| | 5,034 | | | Amneal Pharmaceuticals, Inc.* | | | 23,005 | |
| | 3,129 | | | Amphastar Pharmaceuticals, Inc.* | | | 62,924 | |
| | 1,566 | | | ANI Pharmaceuticals, Inc.* | | | 45,477 | |
| | 1,496 | | | Aratana Therapeutics- CVR*(b) | | | — | |
| | 1,561 | | | Assembly Biosciences, Inc.* | | | 9,444 | |
| | 2,200 | | | BioDelivery Sciences International, Inc.* | | | 9,240 | |
| | 4,206 | | | Chiasma, Inc.* | | | 18,296 | |
| | 1,754 | | | Collegium Pharmaceutical, Inc.* | | | 35,133 | |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Pharmaceuticals, continued | | | |
| | 7,702 | | | Corcept Therapeutics, Inc.* | | $ | 201,485 | |
| | 3,415 | | | Cumberland Pharmaceuticals, Inc.* | | | 10,040 | |
| | 3,701 | | | Cymabay Therapeutics, Inc.* | | | 21,244 | |
| | 14,088 | | | Endo International plc* | | | 101,152 | |
| | 8,270 | | | Innoviva, Inc.* | | | 102,465 | |
| | 2,755 | | | Intra-Cellular Therapies, Inc.* | | | 87,609 | |
| | 1,144 | | | Kala Pharmaceuticals, Inc.*^ | | | 7,756 | |
| | 4,227 | | | Lannett Co., Inc.* | | | 27,560 | |
| | 5,732 | | | Nektar Therapeutics* | | | 97,444 | |
| | 553 | | | NGM Biopharmaceuticals, Inc.* | | | 16,753 | |
| | 2,308 | | | Otonomy, Inc.* | | | 14,933 | |
| | 2,834 | | | Pacira BioSciences, Inc.* | | | 169,587 | |
| | 1,714 | | | Phibro Animal Health Corp., Class A | | | 33,286 | |
| | 4,069 | | | Prestige Consumer Healthcare, Inc.* | | | 141,886 | |
| | 1,210 | | | Revance Therapeutics, Inc.* | | | 34,291 | |
| | 911 | | | scPharmaceuticals, Inc.* | | | 4,819 | |
| | 6,222 | | | SIGA Technologies, Inc.* | | | 45,234 | |
| | 8,452 | | | Strongbridge Biopharma plc* | | | 20,538 | |
| | 5,032 | | | Supernus Pharmaceuticals, Inc.* | | | 126,605 | |
| | 1,805 | | | Taro Pharmaceutical Industries, Ltd.* | | | 132,523 | |
| | 1,478 | | | Zogenix, Inc.* | | | 29,545 | |
| | | | | | | | |
| | | | | | | 1,661,455 | |
| | | | | | | | |
| Professional Services (1.7%): | | | |
| | 1,888 | | | Acacia Research Corp.* | | | 7,439 | |
| | 3,754 | | | ASGN, Inc.* | | | 313,571 | |
| | 848 | | | Barrett Business Services, Inc. | | | 57,842 | |
| | 4,636 | | | CBIZ, Inc.* | | | 123,364 | |
| | 490 | | | CRA International, Inc. | | | 24,956 | |
| | 3,450 | | | Exponent, Inc. | | | 310,603 | |
| | 1,712 | | | Forrester Research, Inc.* | | | 71,733 | |
| | 1,595 | | | Franklin Covey Co.* | | | 35,521 | |
| | 2,238 | | | FTI Consulting, Inc.* | | | 250,029 | |
| | 2,202 | | | GP Strategies Corp.* | | | 26,116 | |
| | 2,274 | | | Heidrick & Struggles International, Inc. | | | 66,810 | |
| | 1,654 | | | Huron Consulting Group, Inc.* | | | 97,503 | |
| | 1,623 | | | ICF International, Inc. | | | 120,638 | |
| | 1,529 | | | Insperity, Inc. | | | 124,491 | |
| | 2,489 | | | Kelly Services, Inc., Class A | | | 51,199 | |
| | 2,511 | | | Kforce, Inc. | | | 105,688 | |
| | 4,979 | | | Korn Ferry | | | 216,587 | |
| | 3,511 | | | ManpowerGroup, Inc. | | | 316,621 | |
| | 1,332 | | | Mastech Digital, Inc.* | | | 21,179 | |
| | 3,943 | | | Mistras Group, Inc.* | | | 30,598 | |
| | 518 | | | Nielsen Holdings plc | | | 10,811 | |
| | 4,033 | | | Resources Connection, Inc. | | | 50,695 | |
| | 4,391 | | | TriNet Group, Inc.* | | | 353,914 | |
| | 3,718 | | | Trueblue, Inc.* | | | 69,489 | |
| | 1,352 | | | Upwork, Inc.* | | | 46,671 | |
| | 505 | | | Willdan Group, Inc.* | | | 21,059 | |
| | | | | | | | |
| | | | | | | 2,925,127 | |
| | | | | | | | |
| Real Estate Management & Development (0.8%): | | | |
| | 551 | | | Altisource Portfolio Solutions* | | | 7,097 | |
| | 950 | | | BBX Capital, Inc.* | | | 5,406 | |
| | 395 | | | CKX Lands, Inc.*^ | | | 3,758 | |
| | 1,137 | | | CTO Realty Growth, Inc. | | | 47,936 | |
| | 3,591 | | | Cushman & Wakefield plc* | | | 53,255 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Real Estate Management & Development, continued | | | |
| | 734 | | | eXp World Holdings, Inc.* | | $ | 46,330 | |
| | 1,972 | | | Forestar Group, Inc.* | | | 39,795 | |
| | 504 | | | FRP Holdings, Inc.* | | | 22,957 | |
| | 376 | | | Griffin Industrial Realty, Inc.* | | | 23,500 | |
| | 2,012 | | | Howard Hughes Corp. (The)* | | | 158,807 | |
| | 10 | | | J.W. Mays, Inc.* | | | 221 | |
| | 7,966 | | | Kennedy-Wilson Holdings, Inc. | | | 142,512 | |
| | 4,214 | | | Marcus & Millichap, Inc.* | | | 156,887 | |
| | 1,035 | | | Maui Land & Pineapple Co.* | | | 11,934 | |
| | 6,491 | | | Newmark Group, Inc. | | | 47,319 | |
| | 2,057 | | | Rafael Holdings, Inc., Class B* | | | 47,969 | |
| | 1,547 | | | RE/MAX Holdings, Inc., Class A | | | 56,203 | |
| | 8,369 | | | Realogy Holdings Corp.* | | | 109,801 | |
| | 1,487 | | | Redfin Corp.* | | | 102,053 | |
| | 308 | | | Stratus Properties, Inc.* | | | 7,854 | |
| | 3,421 | | | Tejon Ranch Co.* | | | 49,433 | |
| | 1,076 | | | The RMR Group, Inc., Class A | | | 41,555 | |
| | 3,981 | | | The St Joe Co. | | | 168,994 | |
| | | | | | | | |
| | | | | | | 1,351,576 | |
| | | | | | | | |
| Road & Rail (1.1%): | | | |
| | 1,803 | | | ArcBest Corp. | | | 76,934 | |
| | 6,766 | | | Avis Budget Group, Inc.* | | | 252,372 | |
| | 2,278 | | | Covenant Logistics Group, Inc.* | | | 33,737 | |
| | 8,584 | | | Heartland Express, Inc. | | | 155,370 | |
| | 2,335 | | | Landstar System, Inc. | | | 314,431 | |
| | 5,499 | | | Marten Transport, Ltd. | | | 94,748 | |
| | 948 | | | Ryder System, Inc. | | | 58,548 | |
| | 2,540 | | | Saia, Inc.* | | | 459,233 | |
| | 2,170 | | | Schneider National, Inc., Class B | | | 44,919 | |
| | 1,595 | | | Universal Logistics Holdings, Inc. | | | 32,841 | |
| | 1,009 | | | US Xpress Enterprises, Inc., Class A* | | | 6,902 | |
| | 988 | | | USA Truck, Inc.* | | | 8,823 | |
| | 6,737 | | | Werner Enterprises, Inc. | | | 264,225 | |
| | 4,526 | | | YRC Worldwide, Inc.* | | | 20,050 | |
| | | | | | | | |
| | | | | | | 1,823,133 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (3.2%): | | | |
| | 2,991 | | | Advanced Energy Industries, Inc.* | | | 290,037 | |
| | 2,430 | | | Alpha & Omega Semiconductor, Ltd.* | | | 57,445 | |
| | 1,892 | | | Ambarella, Inc.* | | | 173,723 | |
| | 24,884 | | | Amkor Technology, Inc. | | | 375,251 | |
| | 1,301 | | | Amtech Systems, Inc.* | | | 8,300 | |
| | 3,183 | | | Axcelis Technologies, Inc.* | | | 92,689 | |
| | 2,777 | | | AXT, Inc.* | | | 26,576 | |
| | 5,573 | | | Brooks Automation, Inc. | | | 378,129 | |
| | 1,462 | | | CEVA, Inc.* | | | 66,521 | |
| | 3,613 | | | Cirrus Logic, Inc.* | | | 296,989 | |
| | 2,076 | | | CMC Materials, Inc. | | | 314,099 | |
| | 2,356 | | | Cohu, Inc. | | | 89,952 | |
| | 522 | | | Cyberoptics Corp.* | | | 11,844 | |
| | 4,331 | | | Diodes, Inc.* | | | 305,336 | |
| | 2,494 | | | DSP Group, Inc.* | | | 41,375 | |
| | 6,622 | | | FormFactor, Inc.* | | | 284,878 | |
| | 4,679 | | | GSI Technology, Inc.* | | | 34,625 | |
| | 1,254 | | | Ichor Holdings, Ltd.* | | | 37,802 | |
| | 1,271 | | | Impinj, Inc.* | | | 53,217 | |
| | 1,349 | | | inTest Corp.* | | | 8,755 | |
See accompanying notes to the financial statements.
17
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 2,631 | | | Kulicke & Soffa Industries, Inc. | | $ | 83,692 | |
| | 6,714 | | | Lattice Semiconductor Corp.* | | | 307,635 | |
| | 1,636 | | | MagnaChip Semiconductor Corp.* | | | 22,119 | |
| | 4,333 | | | MaxLinear, Inc., Class A* | | | 165,477 | |
| | 6,163 | | | Neophotonics Corp.* | | | 56,022 | |
| | 807 | | | NVE Corp. | | | 45,337 | |
| | 3,097 | | | Onto Innovation, Inc.* | | | 147,262 | |
| | 2,739 | | | PDF Solutions, Inc.* | | | 59,162 | |
| | 6,256 | | | Photronics, Inc.* | | | 69,817 | |
| | 2,109 | | | Pixelworks, Inc.* | | | 5,947 | |
| | 4,166 | | | Power Integrations, Inc. | | | 341,029 | |
| | 8,245 | | | Rambus, Inc.* | | | 143,958 | |
| | 3,935 | | | Semtech Corp.* | | | 283,674 | |
| | 2,390 | | | Silicon Laboratories, Inc.* | | | 304,343 | |
| | 1,208 | | | SMART Global Holdings, Inc.* | | | 45,457 | |
| | 2,469 | | | Synaptics, Inc.* | | | 238,012 | |
| | 3,049 | | | Ultra Clean Holdings, Inc.* | | | 94,976 | |
| | 3,647 | | | Veeco Instruments, Inc.* | | | 63,312 | |
| | | | | | | | |
| | | | | | | 5,424,774 | |
| | | | | | | | |
| Software (3.0%): | | | |
| | 2,828 | | | 2u, Inc.*^ | | | 113,148 | |
| | 3,492 | | | A10 Networks, Inc.* | | | 34,431 | |
| | 9,468 | | | ACI Worldwide, Inc.* | | | 363,854 | |
| | 994 | | | Agilysys, Inc.* | | | 38,150 | |
| | 2,538 | | | Alarm.com Holding, Inc.* | | | 262,556 | |
| | 2,147 | | | Altair Engineering, Inc.* | | | 124,912 | |
| | 3,594 | | | American Software, Inc., Class A | | | 61,709 | |
| | 623 | | | Appfolio, Inc.* | | | 112,165 | |
| | 935 | | | Asure Software, Inc.* | | | 6,639 | |
| | 2,721 | | | Avaya Holdings Corp.* | | | 52,107 | |
| | 2,785 | | | Aware, Inc.* | | | 9,748 | |
| | 3,147 | | | Blackbaud, Inc. | | | 181,141 | |
| | 2,196 | | | Bottomline Technologies, Inc.* | | | 115,817 | |
| | 2,350 | | | BSQUARE Corp.* | | | 3,572 | |
| | 900 | | | ChannelAdvisor Corp.* | | | 14,382 | |
| | 5,098 | | | Cloudera, Inc.* | | | 70,913 | |
| | 2,728 | | | CommVault Systems, Inc.* | | | 151,049 | |
| | 693 | | | Cornerstone OnDemand, Inc.* | | | 30,520 | |
| | 6,387 | | | Digital Turbine, Inc.* | | | 361,248 | |
| | 3,015 | | | Ebix, Inc. | | | 114,480 | |
| | 1,302 | | | Envestnet, Inc.* | | | 107,142 | |
| | 4,947 | | | FireEye, Inc.* | | | 114,078 | |
| | 926 | | | Globant SA* | | | 201,506 | |
| | 3,122 | | | J2 Global, Inc.* | | | 304,987 | |
| | 1,078 | | | Manhattan Associates, Inc.* | | | 113,384 | |
| | 562 | | | MicroStrategy, Inc., Class A* | | | 218,365 | |
| | 3,326 | | | Mimecast, Ltd.* | | | 189,050 | |
| | 2,038 | | | Mitek Systems, Inc.* | | | 36,236 | |
| | 1,064 | | | New Relic, Inc.* | | | 69,586 | |
| | 3,095 | | | OneSpan, Inc.* | | | 64,005 | |
| | 3,828 | | | Progress Software Corp. | | | 172,987 | |
| | 1,068 | | | QAD, Inc. | | | 67,476 | |
| | 2,317 | | | Qualys, Inc.* | | | 282,373 | |
| | 5,408 | | | Sailpoint Technologies Holdings, Inc.* | | | 287,922 | |
| | 769 | | | Sapiens International Corp. NV | | | 23,539 | |
| | 539 | | | Shotspotter, Inc.* | | | 20,320 | |
| | 684 | | | Sps Commerce, Inc.* | | | 74,276 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Software, continued | | | |
| | 5,449 | | | Synacor, Inc.* | | $ | 7,411 | |
| | 3,280 | | | Synchronoss Technologies, Inc.* | | | 15,416 | |
| | 3,264 | | | Telenav, Inc.* | | | 15,341 | |
| | 870 | | | Upland Software, Inc.* | | | 39,924 | |
| | 3,799 | | | Verint Systems, Inc.* | | | 255,217 | |
| | 11,535 | | | Xperi Holding Corp. | | | 241,082 | |
| | 1,800 | | | Zix Corp.* | | | 15,534 | |
| | | | | | | | |
| | | | | | | 5,159,698 | |
| | | | | | | | |
| Specialty Retail (4.3%): | | | |
| | 2,730 | | | Aaron’s Co., Inc. (The)* | | | 51,761 | |
| | 3,905 | | | Abercrombie & Fitch Co., Class A | | | 79,506 | |
| | 14,139 | | | American Eagle Outfitters, Inc.^ | | | 283,770 | |
| | 767 | | | America’s Car Mart, Inc.* | | | 84,247 | |
| | 1,933 | | | Asbury Automotive Group, Inc.* | | | 281,715 | |
| | 3,093 | | | At Home Group, Inc.* | | | 47,818 | |
| | 4,184 | | | AutoNation, Inc.* | | | 292,001 | |
| | 7,305 | | | Barnes & Noble Education, Inc.* | | | 33,968 | |
| | 7,174 | | | Bed Bath & Beyond, Inc. | | | 127,410 | |
| | 4,102 | | | Big 5 Sporting Goods Corp. | | | 41,881 | |
| | 3,028 | | | Boot Barn Holdings, Inc.* | | | 131,294 | |
| | 1,732 | | | Build-A-Bear Workshop, Inc.* | | | 7,396 | |
| | 3,926 | | | Caleres, Inc. | | | 61,442 | |
| | 2,599 | | | Cato Corp., Class A | | | 24,924 | |
| | 16,720 | | | Chico’s FAS, Inc. | | | 26,585 | |
| | 1,594 | | | Citi Trends, Inc. | | | 79,190 | |
| | 3,051 | | | Conn’s, Inc.* | | | 35,666 | |
| | 7,160 | | | Designer Brands, Inc., Class A | | | 54,774 | |
| | 5,615 | | | Dick’s Sporting Goods, Inc. | | | 315,619 | |
| | 2,451 | | | Floor & Decor Holdings, Inc., Class A* | | | 227,575 | |
| | 6,903 | | | Foot Locker, Inc. | | | 279,157 | |
| | 5,741 | | | GameStop Corp., Class A*^ | | | 108,160 | |
| | 4,212 | | | Gap, Inc. (The) | | | 85,040 | |
| | 2,011 | | | Genesco, Inc.* | | | 60,511 | |
| | 977 | | | Group 1 Automotive, Inc. | | | 128,124 | |
| | 4,311 | | | Guess?, Inc. | | | 97,515 | |
| | 2,046 | | | Haverty Furniture Cos., Inc. | | | 56,613 | |
| | 1,932 | | | Hibbett Sports, Inc.* | | | 89,220 | |
| | 2,256 | | | Lithia Motors, Inc., Class A | | | 660,265 | |
| | 1,529 | | | Lumber Liquidators Holdings, Inc.* | | | 47,001 | |
| | 2,422 | | | MarineMax, Inc.* | | | 84,843 | |
| | 8,315 | | | Michaels Cos., Inc. (The)*^ | | | 108,178 | |
| | 3,427 | | | Monro, Inc. | | | 182,659 | |
| | 2,989 | | | Murphy U.S.A., Inc. | | | 391,170 | |
| | 4,523 | | | National Vision Holdings, Inc.* | | | 204,847 | |
| | 4,205 | | | ODP Corp. (The)* | | | 123,207 | |
| | 5,676 | | | Penske Automotive Group, Inc. | | | 337,098 | |
| | 3,598 | | | Rent-A-Center, Inc. | | | 137,767 | |
| | 788 | | | RH* | | | 352,646 | |
| | 7,968 | | | Sally Beauty Holdings, Inc.* | | | 103,903 | |
| | 909 | | | Shoe Carnival, Inc. | | | 35,615 | |
| | 4,149 | | | Signet Jewelers, Ltd. | | | 113,143 | |
| | 2,722 | | | Sleep Number Corp.* | | | 222,823 | |
| | 2,525 | | | Sonic Automotive, Inc., Class A | | | 97,389 | |
| | 2,363 | | | Sportsman’s Warehouse Holdings, Inc.* | | | 41,471 | |
| | 5,592 | | | The Buckle, Inc. | | | 163,286 | |
| | 1,798 | | | The Children’s Place, Inc.* | | | 90,080 | |
| | 6,893 | | | The Container Store Group, Inc.* | | | 65,759 | |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Specialty Retail, continued | | | |
| | 2,271 | | | Tilly’s, Inc. | | $ | 18,531 | |
| | 5,634 | | | Urban Outfitters, Inc.* | | | 144,230 | |
| | 399 | | | Winmark Corp. | | | 74,134 | |
| | 2,706 | | | Zumiez, Inc.* | | | 99,527 | |
| | | | | | | | |
| | | | | | | 7,092,454 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.4%): | | | |
| | 6,969 | | | 3D Systems Corp.*^ | | | 73,035 | |
| | 1,308 | | | AstroNova, Inc. | | | 13,930 | |
| | 4,957 | | | Avid Technology, Inc.* | | | 78,668 | |
| | 1,901 | | | CCUR Holdings, Inc. | | | 5,627 | |
| | 7,802 | | | NCR Corp.* | | | 293,121 | |
| | 1,135 | | | Pure Storage, Inc., Class A* | | | 25,662 | |
| | 3,811 | | | Stratasys, Ltd.* | | | 78,964 | |
| | 2,418 | | | Super Micro Computer, Inc.* | | | 76,554 | |
| | 1,590 | | | TransAct Technologies, Inc.* | | | 11,289 | |
| | 2,682 | | | Xerox Holdings Corp. | | | 62,196 | |
| | | | | | | | |
| | | | | | | 719,046 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.5%): | | | |
| | 5,043 | | | Capri Holdings, Ltd.* | | | 211,806 | |
| | 2,789 | | | Carter’s, Inc. | | | 262,361 | |
| | 795 | | | Columbia Sportswear Co. | | | 69,467 | |
| | 6,030 | | | Crocs, Inc.* | | | 377,841 | |
| | 2,291 | | | Culp, Inc. | | | 36,358 | |
| | 1,285 | | | Deckers Outdoor Corp.* | | | 368,512 | |
| | 1,291 | | | Fossil Group, Inc.* | | | 11,193 | |
| | 5,012 | | | G-III Apparel Group, Ltd.* | | | 118,985 | |
| | 9,302 | | | Hanesbrands, Inc. | | | 135,623 | |
| | 3,853 | | | Kontoor Brands, Inc. | | | 156,278 | |
| | 816 | | | Lakeland Industries, Inc.* | | | 22,236 | |
| | 1,357 | | | Oxford Industries, Inc. | | | 88,897 | |
| | 348 | | | PVH Corp. | | | 32,674 | |
| | 1,115 | | | Rocky Brands, Inc. | | | 31,298 | |
| | 1,647 | | | Skechers U.S.A., Inc., Class A* | | | 59,193 | |
| | 6,307 | | | Steven Madden, Ltd. | | | 222,763 | |
| | 418 | | | Superior Group of Cos., Inc. | | | 9,714 | |
| | 957 | | | Unifi, Inc.* | | | 16,977 | |
| | 1,916 | | | Vera Bradley, Inc.* | | | 15,251 | |
| | 8,055 | | | Wolverine World Wide, Inc. | | | 251,719 | |
| | | | | | | | |
| | | | | | | 2,499,146 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (2.3%): | | | |
| | 6,216 | | | Axos Financial, Inc.* | | | 233,287 | |
| | 2,838 | | | BankFinancial Corp. | | | 24,918 | |
| | 2,024 | | | Bridgewater Bancshares, Inc.* | | | 25,280 | |
| | 10,099 | | | Capitol Federal Financial, Inc. | | | 126,238 | |
| | 280 | | | Citizens Community Bancorp, Inc. | | | 3,049 | |
| | 6,764 | | | Columbia Financial, Inc.* | | | 105,248 | |
| | 3,896 | | | Dime Community Bancshares, Inc. | | | 61,440 | |
| | 1,537 | | | ESSA Bancorp, Inc. | | | 23,055 | |
| | 4,198 | | | Essent Group, Ltd. | | | 181,354 | |
| | 696 | | | Federal Agricultural Mortgage Corp. | | | 51,678 | |
| | 242 | | | First Capital, Inc. | | | 14,656 | |
| | 5,373 | | | Flagstar Bancorp, Inc. | | | 219,003 | |
| | 659 | | | FS Bancorp, Inc. | | | 36,113 | |
| | 195 | | | Guaranty Federal Bankshares, Inc. | | | 3,340 | |
| | 301 | | | Hingham Institution for Savings | | | 65,016 | |
| | 629 | | | HMN Financial, Inc.* | | | 10,819 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Thrifts & Mortgage Finance, continued | | | |
| | 973 | | | Home Bancorp, Inc. | | $ | 27,234 | |
| | 43 | | | Home Federal Bancorp, Inc. | | | 1,251 | |
| | 1,829 | | | HomeStreet, Inc. | | | 61,729 | |
| | 869 | | | IF Bancorp, Inc. | | | 18,701 | |
| | 5,672 | | | Kearny Financial Corp. | | | 59,896 | |
| | 390 | | | Kentucky First Federal Bancorp | | | 2,469 | |
| | 289 | | | LendingTree, Inc.* | | | 79,125 | |
| | 1,892 | | | Luther Burbank Corp. | | | 18,542 | |
| | 940 | | | Malvern Bancorp, Inc.* | | | 14,570 | |
| | 1,234 | | | Merchants BanCorp | | | 34,095 | |
| | 3,912 | | | Meridian Bancorp, Inc. | | | 58,328 | |
| | 3,591 | | | Meta Financial Group, Inc. | | | 131,287 | |
| | 7,203 | | | Mr Cooper Group, Inc.* | | | 223,509 | |
| | 13,183 | | | New York Community Bancorp, Inc. | | | 139,081 | |
| | 4,642 | | | NMI Holdings, Inc., Class A* | | | 105,141 | |
| | 4,278 | | | Northfield Bancorp, Inc. | | | 52,748 | |
| | 9,597 | | | Northwest Bancshares, Inc. | | | 122,266 | |
| | 4,063 | | | Oceanfirst Financial Corp. | | | 75,694 | |
| | 198 | | | Oconee Federal Financial Corp. | | | 5,009 | |
| | 1,129 | | | Ocwen Financial Corp.* | | | 32,639 | |
| | 2,010 | | | PCSB Financial Corp. | | | 32,039 | |
| | 2,931 | | | PennyMac Financial Services, Inc. | | | 192,332 | |
| | 2,359 | | | Premier Financial Corp. | | | 54,257 | |
| | 1,677 | | | Provident Financial Holdings, Inc. | | | 26,346 | |
| | 3,721 | | | Provident Financial Services, Inc. | | | 66,829 | |
| | 1,685 | | | Prudential Bancorp, Inc. | | | 23,337 | |
| | 4,207 | | | Radian Group, Inc. | | | 85,192 | |
| | 1,982 | | | Riverview Bancorp, Inc. | | | 10,425 | |
| | 3,255 | | | Security National Financial Corp., Class A* | | | 27,179 | |
| | 671 | | | Severn Bancorp, Inc. | | | 4,791 | |
| | 707 | | | Southern Missouri Bancorp, Inc. | | | 21,521 | |
| | 1,053 | | | Sterling Bancorp, Inc. | | | 4,781 | |
| | 1,815 | | | Territorial Bancorp, Inc. | | | 43,614 | |
| | 1,216 | | | TFS Financial Corp. | | | 21,438 | |
| | 7,314 | | | TrustCo Bank Corp NY | | | 48,784 | |
| | 5,637 | | | Washington Federal, Inc. | | | 145,096 | |
| | 2,217 | | | Waterstone Financial, Inc. | | | 41,724 | |
| | 3,227 | | | Wawlker & Dunlop, Inc. | | | 296,950 | |
| | 3,601 | | | Western New England BanCorp, Inc. | | | 24,811 | |
| | 3,988 | | | WSFS Financial Corp. | | | 178,981 | |
| | 35 | | | WVS Financial Corp. | | | 499 | |
| | | | | | | | |
| | | | | | | 3,798,734 | |
| | | | | | | | |
| Tobacco (0.1%): | | | |
| | 491 | | | Turning Point Brands, Inc. | | | 21,879 | |
| | 975 | | | Universal Corp. | | | 47,395 | |
| | 12,920 | | | Vector Group, Ltd. | | | 150,518 | |
| | | | | | | | |
| | | | | | | 219,792 | |
| | | | | | | | |
| Trading Companies & Distributors (2.0%): | | | |
| | 4,708 | | | Air Lease Corp. | | | 209,129 | |
| | 2,760 | | | Applied Industrial Technologies, Inc. | | | 215,252 | |
| | 7,086 | | | Beacon Roofing Supply, Inc.* | | | 284,786 | |
| | 5,882 | | | BMC Stock Holdings, Inc.* | | | 315,745 | |
| | 1,906 | | | CAI International, Inc. | | | 59,543 | |
| | 2,504 | | | DXP Enterprises, Inc.* | | | 55,664 | |
| | 1,463 | | | EVI Industries, Inc.* | | | 43,773 | |
| | 2,365 | | | GATX Corp. | | | 196,721 | |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Trading Companies & Distributors, continued | | | |
| | 573 | | | GMS, Inc.* | | $ | 17,465 | |
| | 1,239 | | | H&E Equipment Services, Inc. | | | 36,935 | |
| | 1,516 | | | Herc Holdings, Inc.* | | | 100,678 | |
| | 1,475 | | | Kaman Corp., Class A | | | 84,267 | |
| | 989 | | | Lawson Products, Inc.* | | | 50,350 | |
| | 4,569 | | | MRC Global, Inc.* | | | 30,292 | |
| | 1,136 | | | MSC Industrial Direct Co., Inc., Class A | | | 95,867 | |
| | 7,964 | | | NOW, Inc.* | | | 57,182 | |
| | 4,021 | | | Rush Enterprises, Inc., Class A | | | 166,550 | |
| | 1,244 | | | SiteOne Landscape Supply, Inc.* | | | 197,336 | |
| | 3,203 | | | Systemax, Inc. | | | 114,956 | |
| | 5,114 | | | Textainer Group Holdings, Ltd.* | | | 98,087 | |
| | 2,765 | | | Titan Machinery, Inc.* | | | 54,056 | |
| | 577 | | | Transcat, Inc.* | | | 20,010 | |
| | 5,731 | | | Triton International, Ltd. | | | 278,011 | |
| | 5,651 | | | Univar Solutions, Inc.* | | | 107,426 | |
| | 2,676 | | | Veritiv Corp.* | | | 55,634 | |
| | 4,418 | | | WESCO International, Inc.* | | | 346,812 | |
| | | | | | | | |
| | | | | | | 3,292,527 | |
| | | | | | | | |
| Transportation Infrastructure (0.1%): | | | |
| | 5,836 | | | Macquarie Infrastructure Corp. | | | 219,142 | |
| | | | | | | | |
| Water Utilities (0.5%): | | | |
| | 3,565 | | | American States Water Co. | | | 283,454 | |
| | 1,221 | | | Artesian Resources Corp. | | | 45,275 | |
| | 4,654 | | | California Water Service Group | | | 251,456 | |
| | 2,756 | | | Consolidated Water Co., Ltd. | | | 33,210 | |
| | 1,275 | | | Middlesex Water Co. | | | 92,399 | |
| | 2,502 | | | Pure Cycle Corp.* | | | 28,097 | |
| | 1,815 | | | SJW Group | | | 125,888 | |
| | 1,259 | | | York Water Co. (The) | | | 58,669 | |
| | | | | | | | |
| | | | | | | 918,448 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 4,604 | | | Boingo Wireless, Inc.* | | | 58,563 | |
| | 5,308 | | | Shenandoah Telecommunications Co. | | | 229,570 | |
| | 2,722 | | | Spok Holdings, Inc. | | | 30,296 | |
| | 9,308 | | | Telephone & Data Systems, Inc. | | | 172,850 | |
| | 2,672 | | | United States Cellular Corp.* | | | 82,004 | |
| | | | | | | | |
| | | | | | | 573,283 | |
| | | | | | | | |
| | Total Common Stocks (Cost $130,591,872) | | | 167,385,627 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Preferred Stocks (0.1%): | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 499 | | | Qurate Retail, Inc., 8.00%, 3/15/31 | | $ | 49,401 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 430 | | | Liberty Broadband Corp., Series A, 7.00% | | | 12,242 | |
| | | | | | | | |
| Trading Companies & Distributors (0.1%): | | | |
| | 2,540 | | | WESCO International, Inc., Series A, 10.63% | | | 79,375 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $115,109) | | | 141,018 | |
| | | | | | | | |
| Rights (0.0%†): | | | |
| Biotechnology (0.0%†): | | | |
| | 8,857 | | | Achillion Pharm CVR, Expires on 1/29/21* | | | 12,577 | |
| | 1,429 | | | Pfenex, Inc. CVR, Expires on 1/3/22*^ | | | 1,072 | |
| | 4,400 | | | Progenics Pharmaceuticals, Inc., Expires on 1/3/22* | | | 188 | |
| | | | | | | | |
| | | | | | | 13,837 | |
| | | | | | | | |
| Diversified Financial Services (0.0%†): | | | |
| | 6,056 | | | NewStar Financial, Inc. CVR, Expires on 12/31/49* | | | 615 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 21,894 | | | Media General, Inc. CVR, Expires on 12/31/49* | | | 2,054 | |
| | | | | | | | |
| | Total Rights (Cost $11,127) | | | 16,506 | |
| | | | | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (1.5%): | |
| | 2,566,704 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(c)(d) | | | 2,566,704 | |
| | | | | | | | |
| Total Short-Term Securities Held as
Collateral for Securities on
Loan (Cost $2,566,704) | | | 2,566,704 | |
| | | | | | | | |
| | Total Investment Securities (Cost $133,284,812) —
101.4%(e) | | | 170,109,855 | |
| | Net other assets (liabilities) — (1.4)% | | | (2,320,215 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 167,789,640 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
CVR—Contingency Valued Rights
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $2,480,709. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of December 31, 2020. The total of all such securities represent 0.00% of the net assets of the fund. |
| (c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (d) | The rate represents the effective yield at December 31, 2020. |
| (e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—” are $0 or round to less than $1.
See accompanying notes to the financial statements.
20
AZL DFA U.S. Small Cap Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 133,284,812 | |
| | | | | |
Investment securities, at value(a) | | | $ | 170,109,855 | |
Interest and dividends receivable | | | | 98,180 | |
Receivable for investments sold | | | | 364,152 | |
Reclaims receivable | | | | 95 | |
Prepaid expenses | | | | 882 | |
| | | | | |
Total Assets | | | | 170,573,164 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 51,623 | |
Payable for collateral received on loaned securities | | | | 2,566,704 | |
Manager fees payable | | | | 99,916 | |
Administration fees payable | | | | 14,587 | |
Distribution fees payable | | | | 35,684 | |
Custodian fees payable | | | | 3,205 | |
Administrative and compliance services fees payable | | | | 508 | |
Transfer agent fees payable | | | | 1,086 | |
Trustee fees payable | | | | 1,838 | |
Other accrued liabilities | | | | 8,373 | |
| | | | | |
Total Liabilities | | | | 2,783,524 | |
| | | | | |
Net Assets | | | $ | 167,789,640 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 118,458,573 | |
Total distributable earnings | | | | 49,331,067 | |
| | | | | |
Net Assets | | | $ | 167,789,640 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 13,464,472 | |
Net Asset Value (offering and redemption price per share) | | | $ | 12.46 | |
| | | | | |
| (a) | Includes securities on loan of $2,480,709. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 2,364,113 | |
Income from securities lending | | | | 56,540 | |
Foreign withholding tax | | | | (1,958 | ) |
| | | | | |
Total Investment Income | | | | 2,418,695 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 1,306,427 | |
Administration fees | | | | 82,630 | |
Distribution fees | | | | 384,244 | |
Custodian fees | | | | 13,513 | |
Administrative and compliance services fees | | | | 2,752 | |
Transfer agent fees | | | | 6,067 | |
Trustee fees | | | | 9,318 | |
Professional fees | | | | 7,617 | |
Shareholder reports | | | | 4,425 | |
Other expenses | | | | 5,071 | |
| | | | | |
Total expenses before reductions | | | | 1,822,064 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (230,549 | ) |
| | | | | |
Net expenses | | | | 1,591,515 | |
| | | | | |
Net Investment Income/(Loss) | | | | 827,180 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 11,486,293 | |
Change in net unrealized appreciation/depreciation on securities | | | | 12,542,256 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 24,028,549 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 24,855,729 | |
| | | | | |
See accompanying notes to the financial statements.
21
AZL DFA U.S. Small Cap Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 827,180 | | | | $ | 765,050 | |
Net realized gains/(losses) on investments | | | | 11,486,293 | | | | | 4,811,949 | |
Change in unrealized appreciation/depreciation on investments | | | | 12,542,256 | | | | | 25,654,285 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 24,855,729 | | | | | 31,231,284 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (5,590,083 | ) | | | | (12,961,906 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (5,590,083 | ) | | | | (12,961,906 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 24,620,324 | | | | | 1,104,883 | |
Proceeds from dividends reinvested | | | | 5,590,083 | | | | | 12,961,906 | |
Value of shares redeemed | | | | (52,022,348 | ) | | | | (11,873,146 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (21,811,941 | ) | | | | 2,193,643 | |
| | | | | | | | | | |
Change in net assets | | | | (2,546,295 | ) | | | | 20,463,021 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 170,335,935 | | | | | 149,872,914 | |
| | | | | | | | | | |
End of period | | | $ | 167,789,640 | | | | $ | 170,335,935 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 3,060,070 | | | | | 99,170 | |
Dividends reinvested | | | | 536,476 | | | | | 1,270,775 | |
Shares redeemed | | | | (5,166,278 | ) | | | | (1,040,928 | ) |
| | | | | | | | | | |
Change in shares | | | | (1,569,732 | ) | | | | 329,017 | |
| | | | | | | | | | |
See accompanying notes to the financial statements.
22
AZL DFA U.S. Small Cap Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.33 | | | | $ | 10.19 | | | | $ | 12.40 | | | | $ | 11.42 | | | | $ | 9.20 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.05 | (a) | | | | 0.05 | (a) | | | | 0.07 | | | | | 0.07 | | | | | 0.07 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.46 | | | | | 2.00 | | | | | (1.53 | ) | | | | 1.16 | | | | | 2.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.51 | | | | | 2.05 | | | | | (1.46 | ) | | | | 1.23 | | | | | 2.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.05 | ) | | | | (0.06 | ) | | | | (0.07 | ) | | | | (0.07 | ) | | | | (0.04 | ) |
Net Realized Gains | | | | (0.33 | ) | | | | (0.85 | ) | | | | (0.68 | ) | | | | (0.18 | ) | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.38 | ) | | | | (0.91 | ) | | | | (0.75 | ) | | | | (0.25 | ) | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 12.46 | | | | $ | 11.33 | | | | $ | 10.19 | | | | $ | 12.40 | | | | $ | 11.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 13.97 | % | | | | 21.10 | % | | | | (12.64 | )% | | | | 10.87 | % | | | | 24.90 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 167,790 | | | | $ | 170,336 | | | | $ | 149,873 | | | | $ | 198,419 | | | | $ | 208,012 | |
Net Investment Income/(Loss) | | | | 0.54 | % | | | | 0.46 | % | | | | 0.48 | % | | | | 0.55 | % | | | | 0.56 | % |
Expenses Before Reductions(c) | | | | 1.19 | % | | | | 1.17 | % | | | | 1.16 | % | | | | 1.16 | % | | | | 1.14 | % |
Expenses Net of Reductions | | | | 1.04 | % | | | | 1.02 | % | | | | 1.01 | % | | | | 1.01 | % | | | | 0.99 | % |
Portfolio Turnover Rate | | | | 22 | % | | | | 10 | % | | | | 9 | % | | | | 9 | % | | | | 9 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
23
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services —Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA U.S. Small Cap Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
24
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2020
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $5,291 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,566,704 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL DFA U.S. Small Cap Fund | | | | 0.85 | % | | | | 1.35 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide
25
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2020
annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $827 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 167,348,388 | | | | $ | 37,239 | | | | $ | — | # | | | $ | 167,385,627 | |
Preferred Stocks+ | | | | 141,018 | | | | | — | | | | | — | | | | | 141,018 | |
Rights+ | | | | — | | | | | 16,506 | | | | | — | | | | | 16,506 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 2,566,704 | | | | | — | | | | | — | | | | | 2,566,704 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 170,056,110 | | | | $ | 53,745 | | | | $ | — | | | | $ | 170,109,855 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at December 31, 2020. |
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AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2020
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL DFA U.S. Small Cap Fund | | | $ | 33,650,400 | | | | $ | 59,674,297 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $133,281,192. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 55,556,051 | |
Unrealized (depreciation) | | | (18,727,388 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 36,828,663 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA U.S. Small Cap Fund | | | $ | 1,043,366 | | | | $ | 4,546,717 | | | | $ | 5,590,083 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA U.S. Small Cap Fund | | | $ | 1,347,790 | | | | $ | 11,614,116 | | | | $ | 12,961,906 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
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AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2020
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL DFA U.S. Small Cap Fund | | | $ | 7,012,699 | | | | $ | 5,489,705 | | | | $ | — | | | | $ | 36,828,663 | | | | $ | 49,331,067 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and other miscellaneous differences. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL DFA U.S. Small Cap Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL DFA U.S. Small Cap Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $290,472.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $4,546,717.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
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Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
32
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
33
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
34
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
35
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
36
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Enhanced Bond Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Enhanced Bond Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Enhanced Bond Index Fund and BlackRock Financial Management, Inc. serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Enhanced Bond Index Fund (the “Fund”) had a total return of 7.53%. That compared to a 7.51% total return for its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index1.
The 12-month period under review began with a positive tone for risk assets, but the emergence of the coronavirus (COVID-19) in the early months of 2020 and its rapid spread across the globe sparked a massive risk-off move. The flight to safety resulted in an unprecedented rally in rates over the first quarter and triggered a 150 bps (1.50%) reduction in the federal funds target rate to between 0.0% and 0.25%, in March. While historic fiscal and monetary stimulus helped dampen market volatility, the pandemic forced widespread lockdown measures that led to a spike in unemployment and a dramatic slowdown in the global economy. Interventions by global central banks, along with fiscal stimulus from global governments, helped risk assets stage a strong rebound in the summer. Increasing clarity in the U.S. election results and positive news around vaccine developments helped support investors’ appetite for risk in late 2020. Meanwhile, a trade deal between the U.K. and the European Union helped bring an end to a turbulent year of negotiations and the four-year Brexit saga.
In absolute terms, U.S. Treasuries, agency mortgages and investment-grade credit helped drive positive returns for the Fund as interest rates rallied throughout the course of the year. Emerging markets debt also added to absolute returns as investors regained an appetite for risk during the second half of the year. In fact, most sectors recovered from their underperformance during the first quarter of 2020 to finish the calendar year in positive territory.
The Fund outperformed its benchmark due in large part to its investment-grade credit holdings. The Fund shifted to an overweight position to this sector in March as credit spreads began to widen, and it held on to this position
throughout the remaining three quarters, benefiting as spreads began to tighten again. Security selection within this sector also benefited relative results. The Fund’s relative performance generally benefited from an increased exposure to risk among agency mortgages and non-US sovereign bonds late in the first quarter, while also benefiting from security selection in agency mortgages and emerging markets debt.*
The Fund’s shorter-than-benchmark duration positioning during the first quarter detracted from relative performance as interest rates and prices declined.*
The Fund held derivatives in the form of forward currency contracts to hedge the portfolio’s currency exposure to non-dollar bonds. The portfolio also held Treasury futures to manage duration and yield curve exposures. The derivative positions benefited the portfolio by giving managers the ability to more precisely manage duration and yield curve risk during a period in which yields proved volatile.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® Enhanced Bond Index Fund Review (Unaudited)
|
| Fund Objective |
| |
| The Fund’s investment objective is to exceed the total return of the Bloomberg Barclays U.S. Aggregate Bond Index. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in investment-grade debt securities (those of medium and high quality) of all types and repurchase agreements for those securities. |
| |
| Investment Concerns |
| |
| Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. |
| |
| Emerging market investing may be subject to additional economic, political, liquidity, and currency risks not associated with more developed countries. |
| |
| International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. |
| |
| The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines. |
| |
| Mortgage-backed investments involve risk of loss due to prepayments and, like any bond, due to default. Because of the sensitivity of mortgage-related securities to changes in interest rates, the Fund’s performance may be more volatile than if it did not hold these securities. |
| |
| Debt securities held by the Fund may decline in value due to rising interest rates. |
| |
| Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. |
|
| For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
| | | | | | | | | | | | | | | | |
Average Annual Total Returns as of December 31, 2020 | |
| | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® Enhanced Bond Index Fund | | | 7.53 | % | | | 5.03 | % | | | 4.07 | % | | | 3.48 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | 7.51 | % | | | 5.34 | % | | | 4.44 | % | | | 3.84 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® Enhanced Bond Index Fund | | | 0.65 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.70% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Bloomberg Barclays U.S. Aggregate Bond Index, which is an unmanaged market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Enhanced Bond Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Enhanced Bond Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Enhanced Bond Index Fund | | | $ | 1,000.00 | | | | $ | 1,015.50 | | | | $ | 3.39 | | | | | 0.67 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Enhanced Bond Index Fund | | | $ | 1,000.00 | | | | $ | 1,021.77 | | | | $ | 3.40 | | | | | 0.67 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
| | | | | |
| Portfolio Composition | | | | | |
(Unaudited) | | | | | |
| Investments | | Percent of Net Assets |
| |
Corporate Bonds | | | | 27.9 | % |
| |
U.S. Government Agency Mortgages | | | | 27.9 | |
| |
U.S. Treasury Obligations | | | | 26.0 | |
| |
Yankee Debt Obligations | | | | 6.2 | |
| |
Collateralized Mortgage Obligations | | | | 4.5 | |
| |
Foreign Bonds | | | | 4.2 | |
| |
Asset Backed Securities | | | | 2.9 | |
| |
Municipal Bonds | | | | 1.0 | |
| |
Commercial Paper | | | | 0.5 | |
| |
Unaffiliated Investment Companies | | | | 0.4 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.3 | |
| | | | | |
| |
Total Investment Securities | | | | 101.8 | |
| |
Net other assets (liabilities) | | | | (1.8 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities (2.9%): | | | |
| $ | 2,347,763 | | | American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a) | | $ | 2,494,052 | |
| | 1,640,000 | | | Benchmark Mortgage Trust, Class A4, Series 2018-B7, 4.51%, 11/15/51 | | | 1,999,472 | |
| | 2,730,137 | | | Chesapeake Funding II LLC, Class A1, Series 2018-1A, 3.04%, 4/15/30, Callable 7/15/21 @ 100(a) | | | 2,760,869 | |
| | 885,000 | | | Citibank Credit Card Issuance Trust, Class A7, Series 2018-A7, 3.96%, 10/15/30 | | | 1,067,536 | |
| | 2,677,266 | | | Credit Acceptance Auto Loan Trust, Class A, Series 2018-3A, 3.55%, 8/15/27, Callable 10/15/21 @ 100(a) | | | 2,702,013 | |
| | 160,000 | | | Credit Acceptance Auto Loan Trust, Class A, Series 20-2A, 1.37%, 7/16/29(a) | | | 162,154 | |
| | 3,399,000 | | | Ford Credit Floorplan Master Owner Trust, Class A, Series 2019-4, 2.44%, 9/15/26 | | | 3,625,746 | |
| | 2,465,000 | | | Ford Credit Floorplan Master Owner Trust, Class A, Series 2019-2, 3.06%, 4/15/26 | | | 2,667,036 | |
| | 1,860,899 | | | LoanCore Issuer, Ltd., Class A, Series 2018-CRE1, 1.29%(US0001M+113bps), 5/15/28, Callable 1/15/21 @ 100(a) | | | 1,854,434 | |
| | 1,760,000 | | | Navient Private Education Loan Trust, Class A1B, Series 2020-lA(US0001M+100bps), 4/15/69, Callable 1/15/30 @ 100(a) | | | 1,760,113 | |
| | 5,215,358 | | | Navient Private Education Refi Loan Trust, Class A, Series 20-FA, 1.22%, 7/15/69, Callable 9/15/27 @ 100(a) | | | 5,261,436 | |
| | 2,550,000 | | | Navient Student Loan Trust, Class A2B, Series 2019-D, 1.21%(US0001M+105bps), 12/15/59, Callable 6/15/30 @ 100(a) | | | 2,563,574 | |
| | 1,000,000 | | | Navient Student Loan Trust, Class A2B, Series 2020-CA, 1.76%(US0001M+160bps), 11/15/68, Callable 4/15/30 @ 100(a) | | | 1,024,828 | |
| | 429,659 | | | Navient Student Loan Trust, Class A2, Series 2018-EA, 4.00%, 12/15/59, Callable 1/15/26 @ 100(a) | | | 441,285 | |
| | 753,343 | | | Navient Student Loan Trust, Class A2A, Series 2016-AA, 3.91%, 12/15/45, Callable 1/15/31 @ 100(a) | | | 787,443 | |
| | 2,440,000 | | | Nissan Master Owner Trust Receivables, Class A, Series 2019-B, 0.59%(US0001M+43bps), 11/15/23 | | | 2,445,526 | |
| | 175,869 | | | SMB Private Education Loan Trust, Class A2A, Series 2016-A, 2.70%, 5/15/31(a)(b) | | | 179,688 | |
| | 1,023,607 | | | SMB Private Education Loan Trust, Class A2A, Series 2017-B, 2.82%, 10/15/35(a) | | | 1,060,365 | |
| | 614,164 | | | SMB Private Education Loan Trust, Class A2B, Series 2017-B, 0.91%(US0001M+75bps), 10/15/35(a) | | | 614,078 | |
| | 3,078,959 | | | SMB Private Education Loan Trust, Class A2A, Series 2018-B, 3.60%, 1/15/37(a) | | | 3,237,091 | |
| | 410,000 | | | SMB Private Education Loan Trust, Class A2B, Series 2020-A, 0.99%(US0001M+83bps), 9/15/37(a) | | | 404,031 | |
| | 1,386,672 | | | SMB Private Education Loan Trust, Class A2A, Series 2017-A, 2.88%, 9/15/34(a) | | | 1,439,112 | |
| | 3,200,480 | | | SMB Private Education Loan Trust, Class A1A, Series BA, 1.29%, 7/15/53(a) | | | 3,204,725 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 158,308 | | | SMB Private Education Loan Trust, Class A2A, Series 2015-B, 2.98%, 7/15/27, Callable 12/15/27 @ 100(a) | | $ | 160,481 | |
| | 1,170,000 | | | SoFi Professional Loan Program, Class A2FX, Series 2019-B, 3.09%, 8/17/48, Callable 8/15/27 @ 100(a) | | | 1,208,717 | |
| | 1,700,000 | | | SoFi Professional Loan Program, Class A2FX, Series 2020-A, 2.54%, 5/15/46, Callable 5/15/28 @ 100(a) | | | 1,756,665 | |
| | 1,377,253 | | | SoFi Professional Loan Program, Class AFX, Series 2020-C, 1.95%, 2/15/46, Callable 4/15/29 @ 100(a) | | | 1,405,569 | |
| | 4,165,308 | | | SoFi Professional Loan Program, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 2/25/26 @ 100(a) | | | 4,257,904 | |
| | 43,653 | | | SoFi Professional Loan Program, Class A2B, Series 2016-D, 2.34%, 4/25/33, Callable 3/25/25 @ 100(a) | | | 44,408 | |
| | 263,395 | | | SoFi Professional Loan Program, Class A2, Series 2015-C, 2.51%, 8/25/33, Callable 8/25/21 @ 100(a) | | | 264,581 | |
| | 811,126 | | | SoFi Professional Loan Program, Class A2, Series 2015-d, 2.72%, 10/27/36, Callable 11/25/22 @ 100(a) | | | 822,158 | |
| | 6,382,048 | | | Westlake Automobile Receivables Trust, Class A2, Series 2020-1A, 1.44%, 9/15/23, Callable 8/15/23 @ 100(a) | | | 6,419,019 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $58,308,934) | | | 60,096,109 | |
| | | | | |
| Collateralized Mortgage Obligations (4.5%): | | | |
| | 1,735,000 | | | Arbor Multifamily Mortgage Securities Trust, Class A5, Series 2020-MF1, 2.76%, 5/15/53, Callable 2/15/30 @ 100(a) | | | 1,904,337 | |
| | 3,850,000 | | | Barclays Commercial Mortgage Trust, Class A, Series 2018-TALL, 0.88%(US0001M+72bps), 3/15/37(a) | | | 3,782,085 | |
| | 668,000 | | | Benchmark Mortgage Trust, Class C, Series 2019-B15, 3.84%, 12/15/72 | | | 714,413 | |
| | 1,250,000 | | | Benchmark Mortgage Trust, Class B, Series 2019-B15, 3.56%, 12/15/72 | | | 1,390,163 | |
| | 1,332,000 | | | BF Mortgage Trust, Class B, Series 2019-NYT, 1.56%(US0001M+140bps), 11/15/35(a) | | | 1,324,887 | |
| | 2,284,011 | | | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 1.08%(US0001M+92bps), 10/15/36(a) | | | 2,285,724 | |
| | 4,121,228 | | | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.96%(US0001M+80bps), 12/15/29(a) | | | 4,121,228 | |
| | 3,350,000 | | | BX Commercial Mortgage Trust, Class A, Series 2020-ViV4, 2.84%, 3/9/44(a) | | | 3,516,055 | |
| | 551,000 | | | BX Trust, Class D, Series 2019-OC11, 4.08%, 12/9/41(a) | | | 573,988 | |
| | 615,000 | | | Cantor Commercial Real Estate Lending, Class A4, Series 2019-CF2, 2.62%, 11/15/52 | | | 665,627 | |
| | 603,000 | | | Cantor Commercial Real Estate Lending, Class B, Series 2019-CF3, 3.50%, 1/15/53, Callable 12/15/29 @ 100(b) | | | 647,996 | |
| | 760,000 | | | CGRBS Commercial Mortgage Trust, Class A, Series 2013-VN05, 3.37%, 3/13/35(a) | | | 808,480 | |
See accompanying notes to the financial statements.
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 788,531 | | | Chase Home Lending Mortgage Trust, Class A11, Series 2019-ATR2, 1.05%(US0001M+90bps), 7/25/49, Callable 6/25/23 @ 100(a) | | $ | 784,955 | |
| | 2,370,124 | | | CIM Trust, Class A11, Series 2019-INV3, 1.10%(US0001M+100bps), 8/25/49, Callable 12/25/23 @ 100(a) | | | 2,374,882 | |
| | 3,360,000 | | | Cityline Commercial Mortgage Trust, Class A, Series 2016-CLNE, 2.78%, 11/10/31(a)(b) | | | 3,435,701 | |
| | 3,075,000 | | | Commercial Mortgage Loan Trust, Class A4, Series 2015-CCRE26, 3.63%, 10/10/48, Callable 8/10/25 @ 100 | | | 3,456,023 | |
| | 667,000 | | | Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48 | | | 748,581 | |
| | 1,279,058 | | | Commercial Mortgage Loan Trust, Class AM, Series 2013-CR7, 3.31%, 3/10/46, Callable 4/6/23 @ 100(a) | | | 1,341,297 | |
| | 1,015,000 | | | Commercial Mortgage Loan Trust, Class D, Series 2013-WWP, 3.90%, 3/10/31, Callable 3/10/23 @ 100(a) | | | 1,091,308 | |
| | 3,870,000 | | | Cosmopolitan Hotel Trust, Class A, Series 2017-CSMO, 1.09%(US0001M+93bps), 11/15/36(a) | | | 3,826,810 | |
| | 2,306,000 | | | Credit Suisse Mortgage Capital Certificates, Class A, Series 20-NET, 2.26%, 8/15/37(a) | | | 2,390,446 | |
| | 210,000 | | | CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51(b) | | | 241,229 | |
| | 1,666,049 | | | Flagstar Mortgage Trust, Class A11, Series 2019-1, 1.10%(US0001M+95bps), 10/25/49, Callable 1/25/24 @ 100(a) | | | 1,669,231 | |
| | 1,359,569 | | | FRESB Multifamily Mortgage Pass Through, Class A10H, Series 2019-SB60, 3.50%(US0001M+350bps), 1/25/39, Callable 12/1/28 @ 100 | | | 1,477,485 | |
| | 2,315,000 | | | GS Mortgage Securities Trust, Class B, Series 2019-SOHO, 1.31%(US0001M+115bps), 6/15/36(a) | | | 2,292,637 | |
| | 1,525,000 | | | IMT Trust, Class BFX, Series 2017-APTS, 3.50%, 6/15/34(a)(b) | | | 1,585,985 | |
| | 299,259 | | | JP Morgan Mortgage Trust, Class A6, Series 2017-4, 3.00%, 11/25/48, Callable 7/25/22 @ 100(a)(b) | | | 299,502 | |
| | 1,957,199 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-LTV3, 1.00%(US0001M+85bps), 2/25/50, Callable 6/25/24 @ 100(a) | | | 1,957,066 | |
| | 1,120,000 | | | JP Morgan Mortgage Trust, Class A5, Series 2019-LTV3, 3.50%, 2/25/50, Callable 6/25/24 @ 100(a)(b) | | | 1,163,172 | |
| | 1,376,973 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-INV3, 1.15%(US0001M+100bps), 5/25/50, Callable 9/25/24 @ 100(a) | | | 1,379,686 | |
| | 1,444,550 | | | JP Morgan Mortgage Trust, Class A11, Series 2020-LTV1, 1.15%(US0001M+100bps), 6/25/50, Callable 5/25/25 @ 100(a) | | | 1,444,487 | |
| | 339,016 | | | JP Morgan Mortgage Trust, Class A4, Series 2017-1, 3.50%, 1/25/47, Callable 2/25/23 @ 100(a)(b) | | | 339,645 | |
| | 1,841,482 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-INV2, 1.05%(US0001M+90bps), 2/25/50, Callable 1/25/25 @ 100(a) | | | 1,845,087 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 673,495 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-7, 1.05%(US0001M+90bps), 2/25/50, Callable 12/25/22 @ 100(a) | | $ | 673,458 | |
| | 729,840 | | | JP Morgan Mortgage Trust, Class A6, Series 2017-2, 3.00%, 5/25/47, Callable 10/25/22 @ 100(a)(b) | | | 734,702 | |
| | 2,920,000 | | | JPMDB Commercial Mortgage Securities Trust, Class A5, Series 2017-C5, 3.69%, 3/15/50, Callable 1/15/27 @ 100 | | | 3,335,633 | |
| | 4,666,832 | | | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4FX, Series 2012-CBX, 3.48%, 6/15/45, Callable 6/15/22 @ 100(a) | | | 4,739,354 | |
| | 2,904,000 | | | KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 0.96%(US0001M+80bps), 5/15/36(a) | | | 2,904,407 | |
| | 1,300,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48, Callable 5/15/25 @ 100 | | | 1,414,959 | |
| | 1,563,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2019-NUGS, 2.45%(US0001M+95bps), 12/15/36(a) | | | 1,563,109 | |
| | 4,960,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2014-MP, 3.47%, 8/11/33, Callable 8/11/21 @ 100(a) | | | 5,046,849 | |
| | 1,540,000 | | | Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49, Callable 10/15/26 @ 100 | | | 1,698,220 | |
| | 3,486,086 | | | One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%, 10/15/30(a)(b) | | | 3,830,440 | |
| | 1,510,000 | | | One New York Plaza Trust, Class A, Series 2020-1NYP, 1.11%(US0001M+95bps), 1/15/26(a) | | | 1,510,000 | |
| | 1,149,560 | | | Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 7/25/31 @ 100 | | | 1,214,122 | |
| | 2,443,594 | | | Seasoned Credit Risk Transfer Trust, Class MA, Series 2019-2, 3.50%, 8/25/58 | | | 2,583,633 | |
| | 125,000 | | | SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48, Callable 6/10/26 @ 100 | | | 134,788 | |
| | 161,897 | | | SMB Private Education Loan Trust, Class A2A, Series 2016-B, 2.43%, 2/17/32(a)(b) | | | 165,535 | |
| | 388,839 | | | Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 0.90%(US0001M+75bps), 11/11/34(a) | | | 377,236 | |
| | 1,635,000 | | | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48 | | | 1,842,612 | |
| | 940,000 | | | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2018-C46, 4.15%, 8/15/51 | | | 1,108,354 | |
| | 775,000 | | | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48 | | | 860,676 | |
| | 10,061,709 | | | Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 0.97%, 12/15/59, Callable 8/15/26 @ 100(b) | | | 380,936 | |
| | 1,250,000 | | | Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48 | | | 1,348,063 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $92,488,640) | | | 94,347,284 | |
| | | | | |
See accompanying notes to the financial statements.
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds (27.9%): | | | |
| Aerospace & Defense (1.4%): | | | |
| $ | 1,784,000 | | | BAE Systems Holdings, Inc., 3.80%, 10/7/24(a) | | $ | 1,981,658 | |
| | 245,000 | | | BAE Systems Holdings, Inc., 3.85%, 12/15/25, Callable 9/15/25 @ 100(a) | | | 276,835 | |
| | 1,335,000 | | | Boeing Co. (The), 4.88%, 5/1/25, Callable 4/1/25 @ 100 | | | 1,520,231 | |
| | 408,000 | | | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | | | 578,305 | |
| | 1,062,000 | | | General Dynamics Corp., 3.50%, 4/1/27, Callable 2/1/27 @ 100 | | | 1,214,001 | |
| | 578,000 | | | General Dynamics Corp., 3.75%, 5/15/28, Callable 2/15/28 @ 100 | | | 675,501 | |
| | 2,056,000 | | | Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | | | 2,467,446 | |
| | 1,517,000 | | | Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100 | | | 1,695,248 | |
| | 715,000 | | | Huntington Ingalls Industries, Inc., 4.20%, 5/1/30(a) | | | 845,577 | |
| | 1,315,000 | | | L3Harris Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100 | | | 1,514,037 | |
| | 1,228,000 | | | Lockheed Martin Corp., 4.07%, 12/15/42 | | | 1,584,771 | |
| | 155,000 | | | Lockheed Martin Corp., 4.70%, 5/15/46, Callable 11/15/45 @ 100 | | | 218,101 | |
| | 790,000 | | | Lockheed Martin Corp., 2.80%, 6/15/50, Callable 12/15/49 @ 100 | | | 853,873 | |
| | 3,492,000 | | | Northrop Grumman Corp., 2.93%, 1/15/25, Callable 11/15/24 @ 100 | | | 3,797,378 | |
| | 889,000 | | | Northrop Grumman Corp., 4.03%, 10/15/47, Callable 4/15/47 @ 100 | | | 1,113,315 | |
| | 280,000 | | | Raytheon Technologies Corp., 7.20%, 8/15/27 | | | 375,943 | |
| | 115,000 | | | Raytheon Technologies Corp., 7.00%, 11/1/28 | | | 156,832 | |
| | 1,382,000 | | | Raytheon Technologies Corp., 4.13%, 11/16/28, Callable 8/16/28 @ 100 | | | 1,644,668 | |
| | 1,080,000 | | | Raytheon Technologies Corp., 2.15%, 5/18/30, Callable 2/18/30 @ 100 | | | 1,520,934 | |
| | 804,000 | | | Raytheon Technologies Corp., 2.25%, 7/1/30, Callable 4/1/30 @ 100 | | | 853,017 | |
| | 415,000 | | | Raytheon Technologies Corp., 4.20%, 12/15/44, Callable 6/15/44 @ 100 | | | 494,009 | |
| | 87,000 | | | Raytheon Technologies Corp., 3.75%, 11/1/46, Callable 5/1/46 @ 100 | | | 102,480 | |
| | 215,000 | | | Raytheon Technologies Corp., 4.63%, 11/16/48, Callable 5/16/48 @ 100 | | | 290,586 | |
| | 180,000 | | | Raytheon Technologies Corp., 3.13%, 7/1/50, Callable 1/1/50 @ 100 | | | 198,059 | |
| | 105,000 | | | Textron, Inc., 3.88%, 3/1/25, Callable 12/1/24 @ 100 | | | 115,224 | |
| | 229,000 | | | Textron, Inc., 4.00%, 3/15/26, Callable 12/15/25 @ 100 | | | 258,376 | |
| | 90,000 | | | Textron, Inc., 3.65%, 3/15/27, Callable 12/15/26 @ 100 | | | 99,889 | |
| | 1,098,000 | | | Textron, Inc., 3.90%, 9/17/29, Callable 6/17/29 @ 100 | | | 1,249,501 | |
| | 485,000 | | | United Technologies Corp., 7.50%, 9/15/29 | | | 702,567 | |
| | 270,000 | | | United Technologies Corp., 4.15%, 5/15/45, Callable 11/16/44 @ 100 | | | 342,195 | |
| | | | | | | | |
| | | | | | | 28,740,557 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Air Freight & Logistics (0.3%): | | | |
| $ | 1,745,000 | | | FedEx Corp., 1.30%, 8/5/31, Callable 5/5/31 @ 100 | | $ | 2,288,278 | |
| | 296,000 | | | FedEx Corp., 3.88%, 8/1/42 | | | 345,547 | |
| | 695,000 | | | United Parcel Service, Inc., 0.38%, 11/15/23, Callable 8/15/23 @ 100 | | | 862,538 | |
| | 487,000 | | | United Parcel Service, Inc., 3.40%, 3/15/29, Callable 12/15/28 @ 100 | | | 562,497 | |
| | 2,074,000 | | | United Parcel Service, Inc., 4.45%, 4/1/30, Callable 1/1/30 @ 100 | | | 2,588,036 | |
| | | | | | | | |
| | | | | | | 6,646,896 | |
| | | | | | | | |
| Airlines (0.4%): | | | |
| | 936,940 | | | American Airlines Pass Through Trust, Class B, Series 2015-2, 4.40%, 3/22/25 | | | 705,755 | |
| | 376,171 | | | American Airlines Pass Through Trust, Class B, Series 2016-1, 5.25%, 7/15/25 | | | 318,517 | |
| | 85,669 | | | American Airlines Pass Through Trust, Class B, Series 2017-1, 4.95%, 8/15/26 | | | 72,016 | |
| | 9,553 | | | American Airlines Pass Through Trust, Class B, Series 2016-3, 3.75%, 4/15/27 | | | 7,257 | |
| | 521,687 | | | American Airlines Pass Through Trust, Class AA, Series 2015-2, 3.60%, 3/22/29 | | | 511,376 | |
| | 747,244 | | | American Airlines Pass Through Trust, Class B, Series 2019-1, 3.85%, 8/15/29 | | | 628,517 | |
| | 219,375 | | | American Airlines Pass Through Trust, Class AA, Series 2016-2, 3.20%, 12/15/29 | | | 209,703 | |
| | 438,049 | | | American Airlines Pass Through Trust, Class AA, Series 2016-3, 3.00%, 4/15/30 | | | 428,635 | |
| | 179,839 | | | American Airlines Pass Through Trust, Class AA, Series 2017-1, 3.65%, 8/15/30 | | | 177,395 | |
| | 709,445 | | | American Airlines Pass Through Trust, Series 2019-1, 3.15%, 8/15/33 | | | 681,318 | |
| | 505,000 | | | Delta Airlines Pass Through Trust, Class AA, Series 2019-1, 3.20%, 10/25/25 | | | 516,443 | |
| | 460,000 | | | JetBlue Pass Through Trust, Class A, Series 2020-1, 4.00%, 11/15/32 | | | 494,298 | |
| | 122,000 | | | Southwest Airlines Co., 2.75%, 11/16/22, Callable 10/16/22 @ 100 | | | 125,986 | |
| | 10,009 | | | United Airlines Pass Through Trust, Class B, Series 2014-1, 4.75%, 10/11/23 | | | 10,032 | |
| | 54,065 | | | United Airlines Pass Through Trust, Class B, Series 2014-2, 4.63%, 3/3/24 | | | 54,330 | |
| | 7,431 | | | United Airlines Pass Through Trust, Class B, Series 2016-2, 3.65%, 4/7/27 | | | 7,192 | |
| | 55,012 | | | United Airlines Pass Through Trust, Class B, Series 2016-1, 3.65%, 7/7/27 | | | 53,781 | |
| | 304,686 | | | United Airlines Pass Through Trust, Class B, Series 2018-1, 4.60%, 9/1/27 | | | 295,715 | |
| | 740,000 | | | United Airlines Pass Through Trust, Class A, Series 2020-1, 5.88%, 10/15/27 | | | 799,200 | |
| | 11,736 | | | United Airlines Pass Through Trust, Class AA, Series 2015-1, 3.45%, 6/1/29 | | | 11,576 | |
| | 441,666 | | | United Airlines Pass Through Trust, Class B, Series 2019-2, 3.50%, 11/1/29 | | | 410,749 | |
| | 48,819 | | | United Airlines Pass Through Trust, Class AA, Series 2016-2, 3.10%, 1/7/30 | | | 49,119 | |
| | 189,318 | | | United Airlines Pass Through Trust, Class AA, Series 2019-2, 2.88%, 4/7/30 | | | 185,939 | |
See accompanying notes to the financial statements.
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Airlines, continued | | | |
| $ | 227,061 | | | United Airlines Pass Through Trust, Class AA, Series 2018-1, 3.50%, 9/1/31 | | $ | 222,568 | |
| | 363,597 | | | United Airlines Pass Through Trust, Class AA, Series 2016-1, 4.15%, 2/25/33 | | | 374,506 | |
| | 497,542 | | | United Airlines Pass Through Trust, Class AA, Series 2019-2, 2.70%, 11/1/33 | | | 472,769 | |
| | | | | | | | |
| | | | | | | 7,824,692 | |
| | | | | | | | |
| Automobiles (0.2%): | | | |
| | 985,000 | | | Daimler Finance North America LLC, 3.40%, 2/22/22(a) | | | 1,016,904 | |
| | 1,577,000 | | | Daimler Finance North America LLC, 2.13%, 3/10/25(a) | | | 1,659,575 | |
| | 281,000 | | | Daimler Finance North America LLC, 3.30%, 5/19/25(a) | | | 309,945 | |
| | 588,000 | | | Daimler Finance North America LLC, 3.50%, 8/3/25(a) | | | 654,146 | |
| | 254,000 | | | General Motors Co., 5.40%, 10/2/23 | | | 285,053 | |
| | 520,000 | | | Volkswagen Group of America Finance LLC, 2.50%, 9/24/21(a) | | | 527,678 | |
| | | | | | | | |
| | | | | | | 4,453,301 | |
| | | | | | | | |
| Banks (4.8%): | | | |
| | 346,000 | | | Bank of America Corp., 3.12%(US0003M+116bps), 1/20/23, Callable 1/20/22 @ 100, MTN | | | 355,390 | |
| | 2,682,000 | | | Bank of America Corp., 3.00%(US0003M+79bps), 12/20/23, Callable 12/20/22 @ 100 | | | 2,822,132 | |
| | 3,699,000 | | | Bank of America Corp., 3.55%(US0003M+78bps), 3/5/24, Callable 3/5/23 @ 100 | | | 3,939,420 | |
| | 430,000 | | | Bank of America Corp., 3.86%(US0003M+94bps), 7/23/24, Callable 7/23/23 @ 100 | | | 466,616 | |
| | 1,223,000 | | | Bank of America Corp., 4.20%, 8/26/24, MTN | | | 1,361,538 | |
| | 317,000 | | | Bank of America Corp., Series L, 3.95%, 4/21/25 | | | 357,006 | |
| | 507,000 | | | Bank of America Corp., 3.88%, 8/1/25, MTN | | | 578,347 | |
| | 347,000 | | | Bank of America Corp., 0.98%(SOFR+91bps), 9/25/25, Callable 9/25/24 @ 100, MTN | | | 350,390 | |
| | 71,000 | | | Bank of America Corp., 3.09%(US0003M+109bps), 10/1/25, Callable 10/1/24 @ 100 | | | 76,746 | |
| | 195,000 | | | Bank of America Corp., 2.02%(US0003M+64bps), 2/13/26, Callable 2/13/25 @ 100, MTN | | | 203,966 | |
| | 1,614,000 | | | Bank of America Corp., Series G, 4.45%, 3/3/26 | | | 1,879,120 | |
| | 889,000 | | | Bank of America Corp., 1.32%(SOFR+115bps), 6/19/26, Callable 6/19/25 @ 100, MTN | | | 903,140 | |
| | 3,076,000 | | | Bank of America Corp., 1.20%(SOFR+101bps), 10/24/26, Callable 10/24/25 @ 100, MTN | | | 3,111,731 | |
| | 2,711,000 | | | Bank of America Corp., 3.56%(US0003M+106bps), 4/23/27, Callable 4/23/26 @ 100, MTN | | | 3,054,169 | |
| | 3,211,000 | | | Bank of America Corp., 3.82%(US0003M+158bps), 1/20/28, Callable 1/20/27 @ 100, MTN | | | 3,677,619 | |
| | 2,237,000 | | | Bank of America Corp., Series G, 3.59%(US0003M+137bps), 7/21/28, Callable 7/21/27 @ 100 | | | 2,527,280 | |
| | 538,000 | | | Bank of America Corp., 3.42%(US0003M+104bps), 12/20/28, Callable 12/20/27 @ 100 | | | 607,215 | |
| | 581,000 | | | Bank of America Corp., 3.97%(US0003M+107bps), 3/5/29, Callable 3/5/28 @ 100, MTN | | | 677,233 | |
| | 2,579,000 | | | Bank of America Corp., 4.27%(US0003M+131bps), 7/23/29, Callable 7/23/28 @ 100 | | | 3,069,090 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 1,399,000 | | | Bank of America Corp., 3.97%(US0003M+121bps), 2/7/30, Callable 2/7/29 @ 100, MTN | | $ | 1,641,612 | |
| | 318,000 | | | Bank of America Corp., 3.19%(US0003M+118bps), 7/23/30, Callable 7/23/29 @ 100, MTN | | | 354,836 | |
| | 459,000 | | | Bank of America Corp., 2.88%(US0003M+119bps), 10/22/30, Callable 10/22/29 @ 100, MTN | | | 501,511 | |
| | 275,000 | | | Bank of America Corp., 1.92%(SOFRRATE+137bps), 10/24/31, Callable 10/24/30 @ 100, MTN | | | 277,748 | |
| | 580,000 | | | Bank of America Corp., 0.65%(EUR003M+94bps), 10/26/31, Callable 10/26/30 @ 100, MTN(a) | | | 724,952 | |
| | 694,000 | | | Bank of America Corp., 4.08%(US0003M+132bps), 4/23/40, Callable 4/23/39 @ 100, MTN | | | 844,997 | |
| | 953,000 | | | Bank of America Corp., 2.68%(SOFR+193bps), 6/19/41, Callable 6/19/40 @ 100, MTN | | | 993,108 | |
| | 505,000 | | | Bank of America Corp., 5.87%(US0003M+293bps), 12/31/99, Callable 3/15/28 @ 100 | | | 569,388 | |
| | 1,625,000 | | | Citigroup, Inc., 4.40%, 6/10/25 | | | 1,855,742 | |
| | 209,000 | | | Citigroup, Inc., 4.45%, 9/29/27 | | | 245,329 | |
| | 2,537,000 | | | Citigroup, Inc., 3.67%(US0003M+139bps), 7/24/28, Callable 7/24/27 @ 100 | | | 2,881,233 | |
| | 2,826,000 | | | Citigroup, Inc., 2.98%(SOFR+142bps), 11/5/30, Callable 11/5/29 @ 100 | | | 3,090,539 | |
| | 3,869,000 | | | Citigroup, Inc., 2.57%(SOFR+211bps), 6/3/31, Callable 6/3/30 @ 100 | | | 4,109,114 | |
| | 480,000 | | | Citigroup, Inc., 4.00%(H15T5Y+4bps), 12/31/99, Callable 12/10/25 @ 100 | | | 493,200 | |
| | 505,000 | | | JPMorgan Chase & Co., 2.63%, 4/23/21, MTN(a) | | | 622,505 | |
| | 7,480,000 | | | JPMorgan Chase & Co., 3.80%(US0003M+89bps), 7/23/24, Callable 7/23/23 @ 100 | | | 8,076,484 | |
| | 5,413,000 | | | JPMorgan Chase & Co., 4.02%(US0003M+100bps), 12/5/24, Callable 12/5/23 @ 100 | | | 5,947,047 | |
| | 3,613,000 | | | JPMorgan Chase & Co., 3.90%, 7/15/25, Callable 4/15/25 @ 100 | | | 4,076,382 | |
| | 1,020,000 | | | JPMorgan Chase & Co., 2.30%(SOFR+116bps), 10/15/25, Callable 10/15/24 @ 100 | | | 1,082,264 | |
| | 1,061,000 | | | JPMorgan Chase & Co., 2.00%(SOFR+159bps), 3/13/26, Callable 3/13/25 @ 100 | | | 1,112,230 | |
| | 1,421,000 | | | JPMorgan Chase & Co., 2.08%(SOFR+185bps), 4/22/26, Callable 4/22/25 @ 100 | | | 1,501,120 | |
| | 406,000 | | | JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100 | | | 454,624 | |
| | 181,000 | | | JPMorgan Chase & Co., 2.95%, 10/1/26, Callable 7/1/26 @ 100 | | | 200,691 | |
| | 1,748,000 | | | JPMorgan Chase & Co., 3.96%(US0003M+125bps), 1/29/27, Callable 1/29/26 @ 100 | | | 2,009,338 | |
| | 5,314,000 | | | JPMorgan Chase & Co., 3.78%(US0003M+134bps), 2/1/28, Callable 2/1/27 @ 100 | | | 6,099,064 | |
| | 1,214,000 | | | JPMorgan Chase & Co., 2.18%(SOFR+189bps), 6/1/28, Callable 6/1/27 @ 100 | | | 1,288,852 | |
| | 1,401,000 | | | JPMorgan Chase & Co., 4.01%(US0003M+112bps), 4/23/29, Callable 4/23/28 @ 100 | | | 1,635,114 | |
| | 763,000 | | | JPMorgan Chase & Co., 4.20%(US0003M+126bps), 7/23/29, Callable 7/23/28 @ 100 | | | 911,171 | |
| | 89,000 | | | JPMorgan Chase & Co., 4.45%(US0003M+133bps), 12/5/29, Callable 12/5/28 @ 100 | | | 108,405 | |
| | 465,000 | | | JPMorgan Chase & Co., 4.26%(US0003M+158bps), 2/22/48, Callable 2/22/47 @ 100 | | | 603,983 | |
See accompanying notes to the financial statements.
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 189,000 | | | JPMorgan Chase & Co., 4.03%(US0003M+146bps), 7/24/48, Callable 7/24/47 @ 100 | | $ | 239,190 | |
| | 351,000 | | | JPMorgan Chase & Co., 3.11%(SOFR+244bps), 4/22/51, Callable 4/22/50 @ 100 | | | 388,584 | |
| | 734,000 | | | KeyCorp, 4.15%, 10/29/25, MTN | | | 850,589 | |
| | 356,000 | | | Synovus Financial Corp., 3.13%, 11/1/22, Callable 10/1/22 @ 100 | | | 370,307 | |
| | 300,000 | | | Truist Bank, 3.50%(US0003M+59bps), 8/2/22, Callable 8/2/21 @ 100 | | | 305,132 | |
| | 900,000 | | | Wells Fargo & Co., 1.13%, 10/29/21, MTN(a) | | | 1,113,701 | |
| | 2,225,000 | | | Wells Fargo & Co., 3.75%, 1/24/24, Callable 12/24/23 @ 100, MTN | | | 2,424,549 | |
| | 361,000 | | | Wells Fargo & Co., 3.00%, 2/19/25 | | | 391,487 | |
| | 290,000 | | | Wells Fargo & Co., 1.34%(EUR003M+167bps), 5/4/25, Callable 5/4/24 @ 100, MTN(a) | | | 368,597 | |
| | 2,334,000 | | | Wells Fargo & Co., 2.41%(US0003M+83bps), 10/30/25, Callable 10/30/24 @ 100, MTN | | | 2,464,587 | |
| | 2,194,000 | | | Wells Fargo & Co., 3.00%, 4/22/26 | | | 2,414,859 | |
| | 1,695,000 | | | Wells Fargo & Co., 3.58%(US0003M+131bps), 5/22/28, Callable 5/22/27 @ 100, MTN | | | 1,920,374 | |
| | 1,570,000 | | | Wells Fargo & Co., 2.88%(US0003M+117bps), 10/30/30, Callable 10/30/29 @ 100, MTN | | | 1,704,248 | |
| | 891,000 | | | Wells Fargo & Co., 3.07%(SOFR+253bps), 4/30/41, Callable 4/30/40 @ 100 | | | 966,025 | |
| | | | | | | | |
| | | | | | | 100,252,960 | |
| | | | | | | | |
| Beverages (0.6%): | | | |
| | 6,718,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | | | 8,506,681 | |
| | 1,575,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 1/23/29, Callable 10/23/28 @ 100 | | | 1,942,443 | |
| | 644,000 | | | Coca-Cola Co. (The), 2.13%, 9/6/29 | | | 688,173 | |
| | 557,000 | | | Coca-Cola Co. (The), 1.65%, 6/1/30 | | | 570,912 | |
| | 1,241,000 | | | Coca-Cola Co. (The), 1.38%, 3/15/31 | | | 1,237,551 | |
| | 390,000 | | | Keurig Dr Pepper, Inc., 3.20%, 5/1/30, Callable 2/1/30 @ 100 | | | 441,535 | |
| | | | | | | | |
| | | | | | | 13,387,295 | |
| | | | | | | | |
| Biotechnology (0.5%): | | | |
| | 160,000 | | | AbbVie, Inc., 1.38%, 5/17/24, Callable 2/17/24 @ 100 | | | 203,921 | |
| | 140,000 | | | AbbVie, Inc., 1.25%, 6/1/24, Callable 3/1/24 @ 100 | | | 177,624 | |
| | 1,240,000 | | | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | | | 1,567,345 | |
| | 1,993,000 | | | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | | | 2,504,811 | |
| | 470,000 | | | AbbVie, Inc., 4.05%, 11/21/39, Callable 5/21/39 @ 100 | | | 562,044 | |
| | 363,000 | | | AbbVie, Inc., 4.63%, 10/1/42, Callable 4/1/42 @ 100 | | | 462,951 | |
| | 623,000 | | | Amgen, Inc., 3.15%, 2/21/40, Callable 8/21/39 @ 100 | | | 678,409 | |
| | 120,000 | | | Amgen, Inc., 5.15%, 11/15/41, Callable 5/15/41 @ 100 | | | 165,064 | |
| | 705,000 | | | Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100 | | | 890,186 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Biotechnology, continued | | | |
| $ | 632,000 | | | Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 | | $ | 657,366 | |
| | 36,000 | | | Gilead Sciences, Inc., 1.20%, 10/1/27, Callable 8/1/27 @ 100 | | | 36,266 | |
| | 1,414,000 | | | Gilead Sciences, Inc., 4.15%, 3/1/47, Callable 9/1/46 @ 100 | | | 1,737,488 | |
| | | | | | | | |
| | | | | | | 9,643,475 | |
| | | | | | | | |
| Building Products (0.2%): | | | |
| | 2,991,000 | | | Carrier Global Corp., 2.24%, 2/15/25, Callable 1/15/25 @ 100 | | | 3,150,687 | |
| | | | | | | | |
| Capital Markets (2.1%): | | | |
| | 50,000 | | | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | | | 54,000 | |
| | 2,221,000 | | | Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100 | | | 2,398,835 | |
| | 700,000 | | | Bank of New York Mellon Corp. (The), 3.44% (US0003M+107bps), 2/7/28, Callable 2/7/27 @ 100, MTN | | | 797,119 | |
| | 370,000 | | | Bank of New York Mellon Corp. (The), 4.62% (US0003M+313bps), 12/29/49,
Callable 9/20/26 @ 100 | | | 393,125 | |
| | 537,000 | | | Charles Schwab Corp. (The), 3.25%, 5/22/29, Callable 2/22/29 @ 100 | | | 615,659 | |
| | 1,435,000 | | | Charles Schwab Corp. (The), Series E, 4.62% (US0003M+332bps), 12/29/49,
Callable 3/1/22 @ 100 | | | 1,460,113 | |
| | 5,126,000 | | | Goldman Sachs Group, Inc. (The), 2.88% (US0003M+82bps), 10/31/22,
Callable 10/31/21 @ 100 | | | 5,222,528 | |
| | 1,460,000 | | | Goldman Sachs Group, Inc. (The), 0.04% (EUR003M+55bps), 4/21/23,
Callable 4/21/22 @ 100, MTN(a) | | | 1,787,464 | |
| | 841,000 | | | Goldman Sachs Group, Inc. (The), 3.50%, 1/23/25, Callable 10/23/24 @ 100 | | | 927,021 | |
| | 4,635,000 | | | Goldman Sachs Group, Inc. (The), 3.50%, 4/1/25, Callable 3/1/25 @ 100 | | | 5,145,304 | |
| | 1,383,000 | | | Goldman Sachs Group, Inc. (The), 3.75%, 5/22/25, Callable 2/22/25 @ 100 | | | 1,550,960 | |
| | 2,420,000 | | | Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26, Callable 11/25/25 @ 100 | | | 2,731,740 | |
| | 425,000 | | | Goldman Sachs Group, Inc. (The), 1.39% (US0003M+117bps), 5/15/26,
Callable 5/15/25 @ 100 | | | 433,847 | |
| | 173,000 | | | Goldman Sachs Group, Inc. (The), 3.85%, 1/26/27, Callable 1/26/26 @ 100 | | | 197,451 | |
| | 642,000 | | | Intercontinental Exchange, Inc., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 666,383 | |
| | 986,000 | | | Intercontinental Exchange, Inc., 1.85%, 9/15/32, Callable 6/15/32 @ 100 | | | 993,661 | |
| | 305,000 | | | Moody’s Corp., 4.25%, 2/1/29, Callable 11/1/28 @ 100 | | | 364,623 | |
| | 3,602,000 | | | Morgan Stanley, 3.77%(US0003M+114bps), 1/24/29, Callable 1/24/28 @ 100 | | | 4,162,608 | |
| | 9,239,000 | | | Morgan Stanley, 2.70%(SOFR+114bps), 1/22/31, Callable 1/22/30 @ 100, MTN | | | 10,051,173 | |
| | 216,000 | | | Morgan Stanley, 3.62%(SOFR+312bps), 4/1/31, Callable 4/1/30 @ 100 | | | 250,122 | |
See accompanying notes to the financial statements.
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Capital Markets, continued | | | |
| $ | 370,000 | | | Northern Trust Corp., 1.95%, 5/1/30, Callable 2/1/30 @ 100 | | $ | 384,409 | |
| | 196,000 | | | State Street Corp., 2.90% (SOFRRATE+3bps), 3/30/26, Callable 3/30/25 @ 100 | | | 212,966 | |
| | 339,000 | | | State Street Corp., 4.14% (US0003M+103bps), 12/3/29, Callable 12/3/28 @ 100 | | | 408,836 | |
| | 174,000 | | | State Street Corp., 2.40%, 1/24/30 | | | 189,142 | |
| | 666,000 | | | State Street Corp., Series F, 3.81% (US0003M+360bps), 12/31/49,
Callable 3/15/21 @ 100 | | | 664,335 | |
| | 1,415,000 | | | State Street Corp., Series H, 5.63% (US0003M+254bps), 12/31/99,
Callable 12/15/23 @ 100 | | | 1,489,288 | |
| | | | | | | | |
| | | | | | | 43,552,712 | |
| | | | | | | | |
| Chemicals (0.3%): | | | |
| | 570,000 | | | Air Products and Chemicals, Inc., 2.80%, 5/15/50, Callable 11/15/49 @ 100 | | | 623,402 | |
| | 2,212,000 | | | DowDuPont, Inc., 4.49%, 11/15/25, Callable 9/15/25 @ 100 | | | 2,582,539 | |
| | 265,000 | | | Eastman Chemical Co., 3.50%, 12/1/21 | | | 272,659 | |
| | 689,000 | | | Eastman Chemical Co., 3.80%, 3/15/25, Callable 12/15/24 @ 100 | | | 765,247 | |
| | 380,000 | | | LYB International Finance III LLC, 4.20%, 5/1/50, Callable 11/1/49 @ 100 | | | 442,178 | |
| | 596,000 | | | RPM International, Inc., 3.75%, 3/15/27, Callable 12/15/26 @ 100 | | | 659,067 | |
| | 440,000 | | | Sherwin-Williams Co. (The), 4.20%, 1/15/22, Callable 10/15/21 @ 100 | | | 452,947 | |
| | 328,000 | | | Sherwin-Williams Co. (The), 4.00%, 12/15/42, Callable 6/15/42 @ 100 | | | 389,743 | |
| | | | | | | | |
| | | | | | | 6,187,782 | |
| | | | | | | | |
| Commercial Services & Supplies (0.2%): | | | |
| | 909,000 | | | Republic Services, Inc., 3.38%, 11/15/27, Callable 8/15/27 @ 100 | | | 1,028,396 | |
| | 1,004,000 | | | Republic Services, Inc., 3.95%, 5/15/28, Callable 2/15/28 @ 100 | | | 1,179,776 | |
| | 333,000 | | | Republic Services, Inc., 1.45%, 2/15/31, Callable 11/15/30 @ 100 | | | 325,445 | |
| | 154,000 | | | Waste Management, Inc., 4.10%, 3/1/45, Callable 9/1/44 @ 100 | | | 193,474 | |
| | 384,000 | | | Waste Management, Inc., 4.15%, 7/15/49, Callable 1/15/49 @ 100 | | | 510,713 | |
| | | | | | | | |
| | | | | | | 3,237,804 | |
| | | | | | | | |
| Communications Equipment (0.1%): | | | |
| | 1,210,000 | | | Motorola Solutions, Inc., 4.60%, 5/23/29, Callable 2/23/29 @ 100 | | | 1,452,271 | |
| | 290,000 | | | Motorola Solutions, Inc., 2.30%, 11/15/30, Callable 8/15/30 @ 100 | | | 294,712 | |
| | 369,000 | | | Motorola Solutions, Inc., 5.50%, 9/1/44 | | | 469,591 | |
| | | | | | | | |
| | | | | | | 2,216,574 | |
| | | | | | | | |
| Consumer Finance (0.9%): | | | |
| | 740,000 | | | American Honda Finance Corp., 1.38%, 11/10/22 | | | 930,390 | |
| | 110,000 | | | American Honda Finance Corp., 0.55%, 3/17/23 | | | 136,405 | |
| | 412,000 | | | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | | | 471,337 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Consumer Finance, continued | | | |
| $ | 250,000 | | | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | | $ | 253,677 | |
| | 473,000 | | | General Motors Financial Co., Inc., 4.38%, 9/25/21 | | | 485,771 | |
| | 2,169,000 | | | General Motors Financial Co., Inc., 4.20%, 11/6/21 | | | 2,231,131 | |
| | 1,725,000 | | | General Motors Financial Co., Inc., 3.45%, 1/14/22, Callable 12/14/21 @ 100 | | | 1,769,941 | |
| | 226,000 | | | General Motors Financial Co., Inc., 5.20%, 3/20/23 | | | 247,840 | |
| | 1,724,000 | | | General Motors Financial Co., Inc., 4.15%, 6/19/23, Callable 5/19/23 @ 100 | | | 1,854,021 | |
| | 2,106,000 | | | General Motors Financial Co., Inc., 5.10%, 1/17/24, Callable 12/17/23 @ 100 | | | 2,350,879 | |
| | 2,078,000 | | | General Motors Financial Co., Inc., 4.00%, 1/15/25, Callable 10/15/24 @ 100 | | | 2,281,239 | |
| | 384,000 | | | General Motors Financial Co., Inc., 4.00%, 10/6/26, Callable 7/6/26 @ 100 | | | 431,420 | |
| | 1,420,000 | | | Hyundai Capital America, 3.95%, 2/1/22(a) | | | 1,469,329 | |
| | 2,065,000 | | | Hyundai Capital America, 2.38%, 2/10/23(a) | | | 2,129,988 | |
| | 717,000 | | | Toyota Motor Credit Corp., 3.00%, 4/1/25, MTN | | | 787,999 | |
| | | | | | | | |
| | | | | | | 17,831,367 | |
| | | | | | | | |
| Containers & Packaging (0.0%†): | | | |
| | 397,000 | | | International Paper Co., 4.40%, 8/15/47, Callable 2/15/47 @ 100 | | | 513,346 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 145,000 | | | California Institute of Technology, 4.32%, 8/1/45 | | | 196,350 | |
| | 360,000 | | | Massachusetts Institute of Technology, 4.68%, 7/1/14 | | | 540,457 | |
| | 114,000 | | | Pres & Fellows of Harvar, 3.15%, 7/15/46, Callable 1/15/46 @ 100 | | | 134,463 | |
| | 575,000 | | | Pres & Fellows of Harvar, 3.30%, 7/15/56, Callable 1/15/56 @ 100 | | | 713,698 | |
| | | | | | | | |
| | | | | | | 1,584,968 | |
| | | | | | | | |
| Diversified Financial Services (0.1%): | | | |
| | 1,083,000 | | | BP Capital Markets America, Inc., 3.41%, 2/11/26, Callable 12/11/25 @ 100 | | | 1,212,060 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.3%): | | | |
| | 2,000,000 | | | AT&T, Inc., 0.44%, 11/27/22(a)(c) | | | 1,983,171 | |
| | 561,000 | | | AT&T, Inc., 2.75%, 6/1/31, Callable 3/1/31 @ 100 | | | 598,085 | |
| | 1,214,000 | | | AT&T, Inc., 2.25%, 2/1/32, Callable 11/1/31 @ 100 | | | 1,230,203 | |
| | 554,000 | | | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | | | 670,703 | |
| | 190,000 | | | AT&T, Inc., 3.15%, 9/4/36, Callable 6/4/36 @ 100 | | | 293,101 | |
| | 517,000 | | | AT&T, Inc., 5.25%, 3/1/37, Callable 9/1/36 @ 100 | | | 667,155 | |
| | 490,000 | | | AT&T, Inc., 2.60%, 5/19/38, Callable 11/19/37 @ 100 | | | 706,758 | |
| | 492,000 | | | AT&T, Inc., 5.15%, 3/15/42 | | | 627,144 | |
| | 694,000 | | | AT&T, Inc., 4.90%, 6/15/42 | | | 865,870 | |
| | 2,880,000 | | | AT&T, Inc., 3.55%, 9/15/55, Callable 3/15/55 @ 100(a) | | | 2,884,312 | |
| | 785,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100(a) | | | 819,604 | |
| | 1,607,000 | | | Verizon Communications, Inc., 4.13%, 3/16/27 | | | 1,888,847 | |
| | 990,000 | | | Verizon Communications, Inc., 3.00%, 3/22/27, Callable 1/22/27 @ 100 | | | 1,096,918 | |
| | 1,524,000 | | | Verizon Communications, Inc., 4.33%, 9/21/28 | | | 1,830,790 | |
| | 1,305,000 | | | Verizon Communications, Inc., 4.02%, 12/3/29, Callable 9/3/29 @ 100 | | | 1,547,761 | |
See accompanying notes to the financial statements.
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| $ | 1,105,000 | | | Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100 | | $ | 1,238,943 | |
| | 1,088,000 | | | Verizon Communications, Inc., 1.50%, 9/18/30, Callable 6/18/30 @ 100 | | | 1,071,343 | |
| | 790,000 | | | Verizon Communications, Inc., 1.75%, 1/20/31, Callable 10/20/30 @ 100 | | | 785,644 | |
| | 2,467,000 | | | Verizon Communications, Inc., 4.27%, 1/15/36 | | | 3,052,637 | |
| | 261,000 | | | Verizon Communications, Inc., 5.25%, 3/16/37 | | | 355,792 | |
| | 600,000 | | | Verizon Communications, Inc., 2.88%, 1/15/38 | | | 961,215 | |
| | 470,000 | | | Verizon Communications, Inc., 1.85%, 5/18/40, Callable 11/18/39 @ 100 | | | 658,305 | |
| | 217,000 | | | Verizon Communications, Inc., 2.65%, 11/20/40, Callable 5/20/40 @ 100 | | | 217,907 | |
| | 380,000 | | | Verizon Communications, Inc., 4.86%, 8/21/46 | | | 510,363 | |
| | | | | | | | |
| | | | | | | 26,562,571 | |
| | | | | | | | |
| Electric Utilities (2.2%): | | | |
| | 430,000 | | | AEP Texas, Inc., 2.40%, 10/1/22, Callable 9/1/22 @ 100 | | | 443,920 | |
| | 108,000 | | | AEP Texas, Inc., Series G, 4.15%, 5/1/49, Callable 11/1/48 @ 100 | | | 134,138 | |
| | 527,000 | | | AEP Texas, Inc., Series H, 3.45%, 1/15/50, Callable 7/15/49 @ 100 | | | 596,754 | |
| | 469,000 | | | AEP Transmission Co. LLC, 3.75%, 12/1/47, Callable 6/1/47 @ 100 | | | 569,330 | |
| | 281,000 | | | AEP Transmission Co. LLC, 4.25%, 9/15/48, Callable 3/15/48 @ 100 | | | 372,259 | |
| | 585,000 | | | AEP Transmission Co. LLC, 3.15%, 9/15/49, Callable 3/15/49 @ 100 | | | 646,458 | |
| | 21,000 | | | Alabama Power Co., 6.00%, 3/1/39 | | | 31,172 | |
| | 222,000 | | | Alabama Power Co., 3.75%, 3/1/45, Callable 9/1/44 @ 100 | | | 266,887 | |
| | 204,000 | | | Alabama Power Co., Series A, 4.30%, 7/15/48, Callable 1/15/48 @ 100 | | | 271,181 | |
| | 721,000 | | | Alabama Power Co., 3.45%, 10/1/49, Callable 4/1/49 @ 100 | | | 851,093 | |
| | 205,000 | | | Baltimore Gas & Electric Co., 3.50%, 8/15/46, Callable 2/15/46 @ 100 | | | 235,495 | |
| | 900,000 | | | Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | | | 1,103,326 | |
| | 90,000 | | | Baltimore Gas & Electric Co., 4.25%, 9/15/48, Callable 3/15/48 @ 100 | | | 117,321 | |
| | 95,000 | | | Baltimore Gas & Electric Co., 3.20%, 9/15/49, Callable 3/15/49 @ 100 | | | 106,097 | |
| | 85,000 | | | Commonwealth Edison Co., 4.60%, 8/15/43, Callable 2/15/43 @ 100 | | | 112,128 | |
| | 816,000 | | | Dayton Power & Light Co. (The), 3.95%, 6/15/49, Callable 12/15/48 @ 100 | | | 946,316 | |
| | 119,000 | | | DTE Electric Co., Series A, 4.05%, 5/15/48, Callable 11/15/47 @ 100 | | | 155,641 | |
| | 869,000 | | | DTE Electric Co., 3.95%, 3/1/49, Callable 9/1/48 @ 100 | | | 1,127,292 | |
| | 118,000 | | | Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100 | | | 140,730 | |
| | 976,000 | | | Duke Energy Carolinas LLC, 3.88%, 3/15/46, Callable 9/15/45 @ 100 | | | 1,202,423 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 30,000 | | | Duke Energy Carolinas LLC, 3.95%, 3/15/48, Callable 9/15/47 @ 100 | | $ | 37,338 | |
| | 1,819,000 | | | Duke Energy Florida LLC, 2.50%, 12/1/29, Callable 9/1/29 @ 100 | | | 1,976,113 | |
| | 1,158,000 | | | Duke Energy Florida LLC, 1.75%, 6/15/30, Callable 3/15/30 @ 100 | | | 1,182,218 | |
| | 646,000 | | | Duke Energy Florida LLC, 3.40%, 10/1/46, Callable 4/1/46 @ 100 | | | 735,673 | |
| | 256,000 | | | Duke Energy Florida LLC, 4.20%, 7/15/48, Callable 1/15/48 @ 100 | | | 331,746 | |
| | 555,000 | | | Duke Energy Ohio, Inc., 3.65%, 2/1/29, Callable 11/1/28 @ 100 | | | 641,604 | |
| | 495,000 | | | Duke Energy Ohio, Inc., 3.70%, 6/15/46, Callable 12/15/45 @ 100 | | | 583,471 | |
| | 95,000 | | | Duke Energy Progress LLC, 3.45%, 3/15/29, Callable 12/15/28 @ 100 | | | 109,039 | |
| | 606,000 | | | Duke Energy Progress LLC, 4.20%, 8/15/45, Callable 2/15/45 @ 100 | | | 765,531 | |
| | 170,000 | | | Duke Energy Progress LLC, 3.70%, 10/15/46, Callable 4/15/46 @ 100 | | | 205,371 | |
| | 220,000 | | | Duke Energy Progress, Inc., 5.70%, 4/1/35 | | | 303,528 | |
| | 255,000 | | | Duke Energy Progress, Inc., 4.10%, 5/15/42, Callable 11/15/41 @ 100 | | | 311,151 | |
| | 635,000 | | | Duke Energy Progress, Inc., 4.10%, 3/15/43, Callable 9/15/42 @ 100 | | | 789,672 | |
| | 1,011,000 | | | Edison International, 2.40%, 9/15/22, Callable 8/15/22 @ 100 | | | 1,032,465 | |
| | 8,000 | | | Edison International, 3.13%, 11/15/22, Callable 10/15/22 @ 100 | | | 8,306 | |
| | 60,000 | | | Entergy Arkansas LLC, 3.70%, 6/1/24, Callable 3/1/24 @ 100 | | | 65,767 | |
| | 137,000 | | | Entergy Louisiana LLC, 5.40%, 11/1/24 | | | 160,846 | |
| | 277,000 | | | Entergy Louisiana LLC, 1.60%, 12/15/30, Callable 9/15/30 @ 100 | | | 278,952 | |
| | 789,000 | | | Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100 | | | 979,815 | |
| | 220,000 | | | Entergy Louisiana LLC, 4.20%, 9/1/48, Callable 3/1/48 @ 100 | | | 287,202 | |
| | 193,000 | | | Entergy Louisiana LLC, 2.90%, 3/15/51, Callable 9/15/50 @ 100 | | | 204,130 | |
| | 15,000 | | | Exelon Corp., 2.45%, 4/15/21, Callable 3/15/21 @ 100 | | | 15,060 | |
| | 382,000 | | | Exelon Corp., 5.63%, 6/15/35 | | | 515,312 | |
| | 272,000 | | | Exelon Corp., 4.95%, 6/15/35, Callable 12/15/34 @ 100 | | | 341,941 | |
| | 193,000 | | | FirstEnergy Corp., 2.05%, 3/1/25, Callable 2/1/25 @ 100 | | | 192,622 | |
| | 517,000 | | | FirstEnergy Corp., 2.65%, 3/1/30, Callable 12/1/29 @ 100 | | | 516,928 | |
| | 203,000 | | | FirstEnergy Corp., 7.38%, 11/15/31 | | | 288,618 | |
| | 636,000 | | | FirstEnergy Corp., Series C, 3.40%, 3/1/50, Callable 9/1/49 @ 100 | | | 617,360 | |
| | 505,000 | | | FirstEnergy Transmission LLC, 4.35%, 1/15/25, Callable 10/15/24 @ 100(a) | | | 550,308 | |
| | 303,000 | | | FirstEnergy Transmission LLC, 5.45%, 7/15/44, Callable 1/15/44 @ 100(a) | | | 382,393 | |
See accompanying notes to the financial statements.
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 990,000 | | | FirstEnergy Transmission LLC, 4.55%, 4/1/49, Callable 10/1/48 @ 100(a) | | $ | 1,156,005 | |
| | 129,000 | | | Florida Power & Light Co., 4.13%, 2/1/42, Callable 8/1/41 @ 100 | | | 163,697 | |
| | 1,041,000 | | | Florida Power & Light Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100 | | | 1,300,559 | |
| | 396,000 | | | Florida Power & Light Co., 3.99%, 3/1/49, Callable 9/1/48 @ 100 | | | 518,807 | |
| | 668,000 | | | Florida Power & Light Co., 3.15%, 10/1/49, Callable 4/1/49 @ 100 | | | 766,710 | |
| | 40,000 | | | ITC Holdings Corp., 2.70%, 11/15/22, Callable 10/15/22 @ 100 | | | 41,653 | |
| | 658,000 | | | MidAmerican Energy Co., 3.10%, 5/1/27, Callable 2/1/27 @ 100 | | | 737,235 | |
| | 1,639,000 | | | MidAmerican Energy Co., 3.65%, 4/15/29, Callable 1/15/29 @ 100 | | | 1,941,367 | |
| | 399,000 | | | MidAmerican Energy Co., 3.15%, 4/15/50, Callable 10/15/49 @ 100 | | | 457,989 | |
| | 705,000 | | | Northern States Power Co., 2.90%, 3/1/50, Callable 9/1/49 @ 100 | | | 795,734 | |
| | 242,000 | | | Northern States Power Co., 2.60%, 6/1/51, Callable 12/1/50 @ 100 | | | 253,889 | |
| | 739,000 | | | NRG Energy, Inc., 2.45%, 12/2/27, Callable 10/2/27 @ 100(a) | | | 771,486 | |
| | 275,000 | | | Ohio Power Co., Series G, 6.60%, 2/15/33 | | | 377,890 | |
| | 362,000 | | | Ohio Power Co., 4.00%, 6/1/49, Callable 12/1/48 @ 100 | | | 454,723 | |
| | 1,729,000 | | | Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28, Callable 8/15/28 @ 100 | | | 2,019,611 | |
| | 220,000 | | | Oncor Electric Delivery Co. LLC, 5.75%, 3/15/29, Callable 12/15/28 @ 100 | | | 287,008 | |
| | 271,000 | | | Oncor Electric Delivery Co. LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100 | | | 331,110 | |
| | 144,000 | | | Oncor Electric Delivery Co. LLC, 3.10%, 9/15/49, Callable 3/15/49 @ 100 | | | 165,194 | |
| | 356,000 | | | PECO Energy Co., 3.00%, 9/15/49, Callable 3/15/49 @ 100 | | | 393,190 | |
| | 535,000 | | | Public Service Electric & Gas Co., 3.65%, 9/1/28, Callable 6/1/28 @ 100 | | | 622,776 | |
| | 340,000 | | | Public Service Electric & Gas Co., 2.05%, 8/1/50, Callable 2/1/50 @ 100, MTN | | | 317,763 | |
| | 1,206,000 | | | Southern California Edison Co., Series E, 3.70%, 8/1/25, Callable 6/1/25 @ 100 | | | 1,356,393 | |
| | 1,000,000 | | | Southern California Edison Co., Series 20C, 1.20%, 2/1/26, Callable 1/1/26 @ 100 | | | 1,008,420 | |
| | 872,000 | | | Southern California Edison Co., Series A, 4.20%, 3/1/29, Callable 12/1/28 @ 100 | | | 1,017,003 | |
| | 267,000 | | | Southern California Edison Co., 2.25%, 6/1/30, Callable 3/1/30 @ 100 | | | 277,316 | |
| | 215,000 | | | Tampa Electric Co., 4.20%, 5/15/45, Callable 11/15/44 @ 100 | | | 261,363 | |
| | 335,000 | | | Tampa Electric Co., 4.30%, 6/15/48, Callable 12/15/47 @ 100 | | | 433,612 | |
| | 3,000 | | | Tampa Electric Co., 4.45%, 6/15/49, Callable 12/15/48 @ 100 | | | 3,926 | |
| | 500,000 | | | Virginia Electric & Power Co., 3.45%, 9/1/22, Callable 6/1/22 @ 100 | | | 520,583 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 622,000 | | | Virginia Electric & Power Co., Series C, 2.75%, 3/15/23, Callable 12/15/22 @ 100 | | $ | 650,027 | |
| | 161,000 | | | Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 | | | 234,857 | |
| | 568,000 | | | Virginia Electric & Power Co., 4.00%, 1/15/43, Callable 7/15/42 @ 100 | | | 709,226 | |
| | 180,000 | | | Virginia Electric and Power Co., 4.45%, 2/15/44, Callable 8/15/43 @ 100 | | | 234,470 | |
| | 391,000 | | | Virginia Electric and Power Co., Series B, 4.20%, 5/15/45, Callable 11/15/44 @ 100 | | | 498,258 | |
| | 1,155,000 | | | Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100(a) | | | 1,305,150 | |
| | | | | | | | |
| | | | | | | 46,225,441 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.0%†): | | | |
| | 142,000 | | | Corning, Inc., 5.85%, 11/15/68, Callable 5/15/68 @ 100 | | | 206,283 | |
| | | | | | | | |
| Entertainment (0.3%): | | | |
| | 1,457,000 | | | Activision Blizzard, Inc., 3.40%, 9/15/26, Callable 6/15/26 @ 100 | | | 1,656,256 | |
| | 670,000 | | | Activision Blizzard, Inc., 2.50%, 9/15/50, Callable 3/15/50 @ 100 | | | 648,494 | |
| | 328,000 | | | Electronic Arts, Inc., 4.80%, 3/1/26, Callable 12/1/25 @ 100 | | | 390,182 | |
| | 789,000 | | | ViacomCBS, Inc., 4.38%, 3/15/43 | | | 932,089 | |
| | 2,591,000 | | | Walt Disney Co. (The), 2.00%, 9/1/29, Callable 6/1/29 @ 100 | | | 2,704,631 | |
| | | | | | | | |
| | | | | | | 6,331,652 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.5%): | | | |
| | 290,000 | | | American Tower Corp., 3.95%, 3/15/29, Callable 12/15/28 @ 100 | | | 336,377 | |
| | 1,279,000 | | | American Tower Corp., 3.80%, 8/15/29, Callable 5/15/29 @ 100 | | | 1,482,546 | |
| | 424,000 | | | American Tower Corp., 2.90%, 1/15/30, Callable 10/15/29 @ 100 | | | 461,115 | |
| | 279,000 | | | American Tower Corp., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 285,829 | |
| | 241,000 | | | American Tower Corp., 1.88%, 10/15/30, Callable 7/15/30 @ 100 | | | 242,857 | |
| | 265,000 | | | Boston Properties LP, 2.90%, 3/15/30, Callable 12/15/29 @ 100 | | | 282,096 | |
| | 623,000 | | | Crown Castle International Corp., 3.70%, 6/15/26, Callable 3/15/26 @ 100 | | | 702,273 | |
| | 2,244,000 | | | Crown Castle International Corp., 3.10%, 11/15/29, Callable 8/15/29 @ 100 | | | 2,444,015 | |
| | 185,000 | | | Crown Castle International Corp., 3.30%, 7/1/30, Callable 4/1/30 @ 100 | | | 206,703 | |
| | 366,000 | | | Crown Castle International Corp., 5.20%, 2/15/49, Callable 8/15/48 @ 100 | | | 497,155 | |
| | 1,231,000 | | | Equinix, Inc., 1.00%, 9/15/25, Callable 8/15/25 @ 100 | | | 1,229,386 | |
| | 1,168,000 | | | Equinix, Inc., 3.20%, 11/18/29, Callable 8/18/29 @ 100 | | | 1,286,737 | |
| | 775,000 | | | Prologis Euro Finance LLC, 1.50%, 9/10/49, Callable 3/10/49 @ 100 | | | 1,024,681 | |
| | 701,000 | | | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | | | 794,752 | |
| | | | | | | | |
| | | | | | | 11,276,522 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Food & Staples Retailing (0.0%†): | | | |
| $ | 157,000 | | | Walmart, Inc., 3.25%, 7/8/29, Callable 4/8/29 @ 100 | | $ | 181,798 | |
| | | | | | | | |
| Food Products (0.1%): | | | |
| | 420,000 | | | General Mills, Inc., 0.45%, 1/15/26, Callable 10/15/25 @ 100 | | | 523,488 | |
| | 509,000 | | | Mondelez International, Inc., 2.75%, 4/13/30, Callable 1/13/30 @ 100 | | | 558,533 | |
| | 135,000 | | | Pharmacia LLC, 6.60%, 12/1/28 | | | 187,039 | |
| | | | | | | | |
| | | | | | | 1,269,060 | |
| | | | | | | | |
| Gas Utilities (0.0%†): | | | |
| | 461,000 | | | Piedmont Natural Gas Co, Inc., 3.50%, 6/1/29, Callable 3/1/29 @ 100 | | | 527,505 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.1%): | | | |
| | 525,000 | | | Becton Dickinson and Co., 1.40%, 5/24/23, Callable 4/24/23 @ 100 | | | 661,119 | |
| | 607,000 | | | Boston Scientific Corp., 2.65%, 6/1/30, Callable 3/1/30 @ 100 | | | 649,874 | |
| | 500,000 | | | DH Europe Finance II Sarl, 1.80%, 9/18/49, Callable 3/18/49 @ 100 | | | 688,916 | |
| | 500,000 | | | Medtronic Global Holdings SCA, 1.75%, 7/2/49, Callable 1/2/49 @ 100 | | | 705,027 | |
| | | | | | | | |
| | | | | | | 2,704,936 | |
| | | | | | | | |
| Health Care Providers & Services (1.3%): | | | |
| | 232,000 | | | Aetna, Inc., 4.50%, 5/15/42, Callable 11/15/41 @ 100 | | | 284,171 | |
| | 153,000 | | | Aetna, Inc., 4.13%, 11/15/42, Callable 5/15/42 @ 100 | | | 181,301 | |
| | 240,000 | | | Anthem, Inc., 4.65%, 1/15/43 | | | 313,936 | |
| | 2,140,000 | | | Cigna Corp., 3.75%, 7/15/23, Callable 6/15/23 @ 100 | | | 2,308,540 | |
| | 814,000 | | | Cigna Corp., 3.50%, 6/15/24, Callable 3/17/24 @ 100 | | | 887,170 | |
| | 2,440,000 | | | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | | | 2,804,930 | |
| | 235,000 | | | Cigna Corp., 4.50%, 2/25/26, Callable 11/27/25 @ 100 | | | 272,399 | |
| | 350,000 | | | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | | | 370,291 | |
| | 704,000 | | | CVS Health Corp., 2.88%, 6/1/26, Callable 3/1/26 @ 100 | | | 773,408 | |
| | 1,845,000 | | | CVS Health Corp., 3.00%, 8/15/26, Callable 6/15/26 @ 100 | | | 2,036,116 | |
| | 909,000 | | | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | | | 1,036,686 | |
| | 1,633,000 | | | CVS Health Corp., 5.13%, 7/20/45, Callable 1/20/45 @ 100 | | | 2,190,374 | |
| | 841,000 | | | Hackensack Meridian Health, Inc., 2.88%, 9/1/50, Callable 3/1/50 @ 100 | | | 862,545 | |
| | 99,000 | | | HCA, Inc., 5.25%, 4/15/25 | | | 115,459 | |
| | 2,077,000 | | | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | | | 2,450,860 | |
| | 595,000 | | | HCA, Inc., 4.50%, 2/15/27, Callable 8/15/26 @ 100 | | | 691,688 | |
| | 1,561,000 | | | Humana, Inc., 4.50%, 4/1/25, Callable 3/1/25 @ 100 | | | 1,793,566 | |
| | 1,144,000 | | | Methodist Hospital (The), 2.71%, 12/1/50, Callable 6/1/50 @ 100 | | | 1,170,712 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Health Care Providers & Services, continued | | | |
| $ | 276,000 | | | MidMichigan Health, 3.41%, 6/1/50, Callable 12/1/49 @ 100 | | $ | 306,991 | |
| | 773,000 | | | Sutter Health, Series 20A, 3.36%, 8/15/50, Callable 2/15/50 @ 100 | | | 842,345 | |
| | 937,000 | | | The New York and Presbyterian Hospital, Series 2019, 3.95%, 8/1/19, Callable 2/1/19 @ 100 | | | 1,086,516 | |
| | 1,335,000 | | | UnitedHealth Group, Inc., 4.75%, 7/15/45 | | | 1,873,183 | |
| | 957,000 | | | UnitedHealth Group, Inc., 4.20%, 1/15/47, Callable 7/15/46 @ 100 | | | 1,261,492 | |
| | | | | | | | |
| | | | | | | 25,914,679 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.3%): | | | |
| | 1,200,000 | | | McDonald’s Corp., Series G, 1.00%, 11/15/23, MTN(a) | | | 1,514,632 | |
| | 321,000 | | | McDonald’s Corp., 2.63%, 9/1/29, Callable 6/1/29 @ 100, MTN | | | 351,116 | |
| | 1,030,000 | | | McDonald’s Corp., 2.13%, 3/1/30, Callable 12/1/29 @ 100 | | | 1,084,780 | |
| | 226,000 | | | McDonald’s Corp., 4.60%, 5/26/45, Callable 11/26/44 @ 100 | | | 294,226 | |
| | 701,000 | | | McDonald’s Corp., 4.45%, 9/1/48, Callable 3/1/48 @ 100, MTN | | | 915,534 | |
| | 1,322,000 | | | Starbucks Corp., 2.25%, 3/12/30, Callable 12/12/29 @ 100 | | | 1,394,674 | |
| | 229,000 | | | Starbucks Corp., 2.55%, 11/15/30, Callable 8/15/30 @ 100 | | | 247,284 | |
| | | | | | | | |
| | | | | | | 5,802,246 | |
| | | | | | | | |
| Industrial Conglomerates (0.2%): | | | |
| | 785,000 | | | 3M Co., Series E, 0.95%, 5/15/23 | | | 987,988 | |
| | 413,000 | | | General Electric Co., 6.88%, 1/10/39, MTN | | | 604,759 | |
| | 208,000 | | | General Electric Co., 4.13%, 10/9/42 | | | 243,830 | |
| | 406,000 | | | Georgia-Pacific LLC, 1.75%, 9/30/25, Callable 8/30/25 @ 100(a) | | | 424,439 | |
| | 810,000 | | | Honeywell International, Inc., 0.75%, 3/10/32, Callable 12/10/31 @ 100 | | | 1,027,699 | |
| | | | | | | | |
| | | | | | | 3,288,715 | |
| | | | | | | | |
| Insurance (0.4%): | | | |
| | 1,002,000 | | | American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100 | | | 1,144,104 | |
| | 572,000 | | | Aon Corp., 4.50%, 12/15/28, Callable 9/15/28 @ 100 | | | 690,026 | |
| | 1,060,000 | | | Aon Corp., 2.80%, 5/15/30, Callable 2/15/30 @ 100 | | | 1,157,204 | |
| | 333,000 | | | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | | | 416,185 | |
| | 480,000 | | | Marsh & McLennan Cos., Inc., 1.35%, 9/21/26, Callable 6/21/26 @ 100 | | | 624,398 | |
| | 783,000 | | | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29, Callable 12/15/28 @ 100 | | | 952,285 | |
| | 803,000 | | | Marsh & McLennan Cos., Inc., 1.98%, 3/21/30, Callable 12/21/29 @ 100 | | | 1,118,954 | |
| | 339,000 | | | Marsh & McLennan Cos., Inc., 2.25%, 11/15/30, Callable 8/15/30 @ 100 | | | 358,661 | |
| | 640,000 | | | Metropolitan Life Global Funding I, 1.25%, 9/17/21(a) | | | 790,941 | |
| | 290,000 | | | Metropolitan Life Global Funding I, -0.25%, 9/23/22(a) | | | 355,767 | |
See accompanying notes to the financial statements.
12
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Insurance, continued | | | |
| $ | 414,000 | | | Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47, Callable 11/15/46 @ 100(a) | | $ | 516,814 | |
| | 474,000 | | | Willis North America, Inc., 2.95%, 9/15/29, Callable 6/15/29 @ 100 | | | 517,997 | |
| | | | | | | | |
| | | | | | | 8,643,336 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.2%): | | | |
| | 637,000 | | | Amazon.com, Inc., 3.88%, 8/22/37, Callable 2/22/37 @ 100 | | | 791,372 | |
| | 1,058,000 | | | Booking Holdings, Inc., 4.10%, 4/13/25, Callable 3/13/25 @ 100 | | | 1,198,084 | |
| | 650,000 | | | Booking Holdings, Inc., 1.80%, 3/3/27, Callable 12/3/26 @ 100 | | | 870,811 | |
| | 885,000 | | | Expedia Group, Inc., 5.00%, 2/15/26, Callable 11/15/25 @ 100 | | | 986,100 | |
| | | | | | | | |
| | | | | | | 3,846,367 | |
| | | | | | | | |
| IT Services (1.1%): | | | |
| | 450,000 | | | Fidelity National Information Services, Inc., 0.13%, 12/3/22, Callable 11/3/22 @ 100 | | | 552,255 | |
| | 1,300,000 | | | Fidelity National Information Services, Inc., 0.75%, 5/21/23, Callable 4/21/23 @ 100 | | | 1,618,795 | |
| | 600,000 | | | Fidelity National Information Services, Inc., 2.95%, 5/21/39, Callable 2/21/39 @ 100 | | | 937,938 | |
| | 2,225,000 | | | Fiserv, Inc., 3.50%, 7/1/29, Callable 4/1/29 @ 100 | | | 2,540,245 | |
| | 915,000 | | | Fiserv, Inc., 1.63%, 7/1/30, Callable 4/1/30 @ 100 | | | 1,227,578 | |
| | 423,000 | | | Global Payments, Inc., 3.20%, 8/15/29, Callable 5/15/29 @ 100 | | | 469,549 | |
| | 149,000 | | | Global Payments, Inc., 2.90%, 5/15/30, Callable 2/15/30 @ 100 | | | 161,556 | |
| | 1,434,000 | | | IBM Corp., 2.85%, 5/15/40, Callable 11/15/39 @ 100 | | | 1,528,564 | |
| | 1,810,000 | | | International Business Machines Corp., 0.50%, 9/7/21 | | | 2,223,771 | |
| | 2,837,000 | | | International Business Machines Corp., 3.30%, 5/15/26 | | | 3,202,303 | |
| | 3,056,000 | | | Leidos, Inc., 4.38%, 5/15/30, Callable 2/15/30 @ 100(a) | | | 3,651,920 | |
| | 1,110,000 | | | Mastercard, Inc., 2.95%, 6/1/29, Callable 3/1/29 @ 100 | | | 1,249,315 | |
| | 1,725,000 | | | MasterCard, Inc., 1.10%, 12/1/22, Callable 9/1/22 @ 100 | | | 2,157,330 | |
| | 484,000 | | | PayPal Holdings, Inc., 1.65%, 6/1/25, Callable 5/1/25 @ 100 | | | 505,744 | |
| | 1,418,000 | | | Visa, Inc., 4.15%, 12/14/35, Callable 6/14/35 @ 100 | | | 1,840,163 | |
| | | | | | | | |
| | | | | | | 23,867,026 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 318,000 | | | Hasbro, Inc., 2.60%, 11/19/22 | | | 329,843 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.1%): | | | |
| | 1,000,000 | | | Thermo Fisher Scientific, Inc., Series E, 1.88%, 10/1/49, Callable 4/1/49 @ 100, MTN | | | 1,409,689 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 493,000 | | | Otis Worldwide Corp., 2.57%, 2/15/30, Callable 11/15/29 @ 100 | | | 528,899 | |
| | 97,000 | | | Parker-Hannifin Corp., 3.25%, 6/14/29, Callable 3/14/29 @ 100 | | | 109,609 | |
| | | | | | | | |
| | | | | | | 638,508 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Media (1.0%): | | | |
| $ | 935,000 | | | Comcast Corp., 3.30%, 4/1/27, Callable 2/1/27 @ 100 | | $ | 1,061,088 | |
| | 613,000 | | | Comcast Corp., 4.15%, 10/15/28, Callable 7/15/28 @ 100 | | | 733,735 | |
| | 3,457,000 | | | Comcast Corp., 2.65%, 2/1/30, Callable 11/1/29 @ 100 | | | 3,765,370 | |
| | 1,663,000 | | | Comcast Corp., 1.95%, 1/15/31, Callable 10/15/30 @ 100 | | | 1,707,963 | |
| | 282,000 | | | Comcast Corp., 3.90%, 3/1/38, Callable 9/1/37 @ 100 | | | 343,182 | |
| | 180,000 | | | Comcast Corp., 4.60%, 10/15/38, Callable 4/15/38 @ 100 | | | 235,256 | |
| | 599,000 | | | Comcast Corp., 3.25%, 11/1/39, Callable 5/1/39 @ 100 | | | 676,426 | |
| | 941,000 | | | Comcast Corp., 4.05%, 11/1/52, Callable 5/1/52 @ 100 | | | 1,202,782 | |
| | 692,000 | | | Comcast Corp., 4.95%, 10/15/58, Callable 4/15/58 @ 100 | | | 1,048,674 | |
| | 313,000 | | | Comcast Corp., 2.65%, 8/15/62, Callable 2/15/62 @ 100 | | | 313,371 | |
| | 338,000 | | | COX Communications, Inc., 3.25%, 12/15/22(a) | | | 355,546 | |
| | 1,708,000 | | | COX Communications, Inc., 3.15%, 8/15/24, Callable 6/15/24 @ 100(a) | | | 1,851,150 | |
| | 80,000 | | | COX Communications, Inc., 3.35%, 9/15/26, Callable 6/15/26 @ 100(a) | | | 89,915 | |
| | 611,000 | | | Discovery Communications LLC, 1.90%, 3/19/27, Callable 12/19/26 @ 100 | | | 799,755 | |
| | 5,730,000 | | | NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(a) | | | 5,772,019 | |
| | 280,000 | | | NBCUniversal Media LLC, 5.95%, 4/1/41 | | | 426,974 | |
| | 493,000 | | | NBCUniversal Media LLC, 4.45%, 1/15/43 | | | 643,080 | |
| | | | | | | | |
| | | | | | | 21,026,286 | |
| | | | | | | | |
| Metals & Mining (0.0%†): | | | |
| | 220,000 | | | Newmont Mining Corp., 4.88%, 3/15/42, Callable 9/15/41 @ 100 | | | 297,477 | |
| | 192,000 | | | Steel Dynamics, Inc., 2.80%, 12/15/24, Callable 11/15/24 @ 100 | | | 205,920 | |
| | | | | | | | |
| | | | | | | 503,397 | |
| | | | | | | | |
| Multiline Retail (0.0%†): | | | |
| | 194,000 | | | Dollar General Corp., 3.50%, 4/3/30, Callable 1/3/30 @ 100 | | | 222,976 | |
| | | | | | | | |
| Multi-Utilities (0.3%): | | | |
| | 290,000 | | | Ameren Illinois Co., 3.80%, 5/15/28, Callable 2/15/28 @ 100 | | | 337,602 | |
| | 5,000 | | | Ameren Illinois Co., 4.15%, 3/15/46, Callable 9/15/45 @ 100 | | | 6,319 | |
| | 785,000 | | | Ameren Illinois Co., 3.25%, 3/15/50, Callable 9/15/49 @ 100 | | | 898,995 | |
| | 130,000 | | | CenterPoint Energy Houston Electric LLC, 3.55%, 8/1/42, Callable 2/1/42 @ 100 | | | 152,204 | |
| | 176,000 | | | CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100 | | | 225,183 | |
| | 1,160,000 | | | CenterPoint Energy Resources Corp., 1.75%, 10/1/30, Callable 7/1/30 @ 100 | | | 1,168,142 | |
| | 301,000 | | | Consumers Energy Co., 3.80%, 11/15/28, Callable 8/15/28 @ 100 | | | 353,578 | |
See accompanying notes to the financial statements.
13
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Multi-Utilities, continued | | | |
| $ | 212,000 | | | Consumers Energy Co., 4.35%, 4/15/49, Callable 10/15/48 @ 100 | | $ | 292,395 | |
| | 531,000 | | | Consumers Energy Co., 3.75%, 2/15/50, Callable 8/15/49 @ 100 | | | 668,307 | |
| | 1,137,000 | | | Consumers Energy Co., 3.10%, 8/15/50, Callable 2/15/50 @ 100 | | | 1,303,122 | |
| | | | | | | | |
| | | | | | | 5,405,847 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.8%): | | | |
| | 90,000 | | | Boardwalk Pipelines, LP, 4.80%, 5/3/29, Callable 2/3/29 @ 100 | | | 103,070 | |
| | 1,010,000 | | | Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100(a) | | | 1,133,221 | |
| | 1,223,000 | | | Cameron LNG LLC, 3.40%, 1/15/38, Callable 7/15/37 @ 100(a) | | | 1,331,052 | |
| | 2,413,000 | | | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24, Callable 1/1/24 @ 100 | | | 2,810,179 | |
| | 598,000 | | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25, Callable 10/2/24 @ 100 | | | 694,428 | |
| | 310,000 | | | Chevron USA, Inc., 2.34%, 8/12/50, Callable 2/12/50 @ 100 | | | 299,834 | |
| | 254,000 | | | Concho Resources, Inc., 2.40%, 2/15/31, Callable 11/15/30 @ 100^ | | | 265,391 | |
| | 1,628,000 | | | Diamondback Energy, Inc., 3.50%, 12/1/29, Callable 9/1/29 @ 100 | | | 1,733,820 | |
| | 1,864,000 | | | Energy Transfer Operating LP, 4.05%, 3/15/25, Callable 12/15/24 @ 100 | | | 2,036,420 | |
| | 928,000 | | | Energy Transfer Partners LP, 4.75%, 1/15/26, Callable 10/15/25 @ 100 | | | 1,028,920 | |
| | 171,000 | | | Energy Transfer Partners LP, 4.20%, 4/15/27, Callable 1/15/27 @ 100 | | | 187,886 | |
| | 184,000 | | | Enterprise Products Operating LLC, 7.55%, 4/15/38 | | | 280,828 | |
| | 673,000 | | | Enterprise Products Operating LLC, 4.85%, 8/15/42, Callable 2/15/42 @ 100 | | | 830,487 | |
| | 1,090,000 | | | Exxon Mobil Corp., 1.41%, 6/26/39, Callable 12/26/38 @ 100 | | | 1,393,712 | |
| | 165,000 | | | Kinder Morgan Energy Partners LP, 5.00%, 8/15/42, Callable 2/15/42 @ 100 | | | 190,455 | |
| | 190,000 | | | Kinder Morgan Energy Partners LP, 5.00%, 3/1/43, Callable 9/1/42 @ 100 | | | 219,739 | |
| | 141,000 | | | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | | | 176,307 | |
| | 218,000 | | | Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100 | | | 265,513 | |
| | 1,372,000 | | | Marathon Petroleum Corp., 4.50%, 5/1/23, Callable 4/1/23 @ 100 | | | 1,486,905 | |
| | 263,000 | | | Marathon Petroleum Corp., 6.50%, 3/1/41, Callable 9/1/40 @ 100 | | | 352,749 | |
| | 218,000 | | | MPLX LP, 3.38%, 3/15/23, Callable 2/15/23 @ 100 | | | 231,353 | |
| | 608,000 | | | MPLX LP, 5.25%, 1/15/25, Callable 1/15/21 @ 102.63 | | | 624,720 | |
| | 2,750,000 | | | NGPL PipeCo LLC, 4.38%, 8/15/22, Callable 5/15/22 @ 100(a) | | | 2,865,499 | |
| | 155,000 | | | NGPL PipeCo LLC, 7.77%, 12/15/37(a) | | | 209,250 | |
| | 259,000 | | | NGPL PipeCo. LLC, 4.88%, 8/15/27, Callable 2/15/27 @ 100(a) | | | 292,670 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 964,000 | | | Northern Natural Gas Co., 4.30%, 1/15/49, Callable 7/15/48 @ 100(a) | | $ | 1,166,608 | |
| | 1,203,000 | | | Northwest Pipeline LLC, 4.00%, 4/1/27, Callable 1/1/27 @ 100 | | | 1,368,752 | |
| | 2,392,000 | | | Sabine Pass Liquefaction LLC, 5.63%, 3/1/25, Callable 12/1/24 @ 100 | | | 2,783,690 | |
| | 879,000 | | | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27, Callable 9/15/26 @ 100 | | | 1,036,121 | |
| | 687,000 | | | Sabine Pass Liquefaction LLC, 4.20%, 3/15/28, Callable 9/15/27 @ 100 | | | 788,333 | |
| | 1,323,000 | | | Sunoco Logistics Partners Operations LP, 4.00%, 10/1/27, Callable 7/1/27 @ 100 | | | 1,443,724 | |
| | 220,000 | | | Texas Eastern Transmission LP, 2.80%, 10/15/22, Callable 7/15/22 @ 100(a) | | | 227,449 | |
| | 884,000 | | | Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100(a) | | | 968,007 | |
| | 1,119,000 | | | Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47 @ 100(a) | | | 1,250,850 | |
| | 2,857,000 | | | Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100 | | | 3,739,615 | |
| | 1,820,000 | | | Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100 | | | 2,098,112 | |
| | 208,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100 | | | 234,041 | |
| | 47,000 | | | Williams Cos., Inc., 7.88%, 9/1/21 | | | 49,273 | |
| | 240,000 | | | Williams Cos., Inc., Series A, 7.50%, 1/15/31 | | | 321,526 | |
| | | | | | | | |
| | | | | | | 38,520,509 | |
| | | | | | | | |
| Pharmaceuticals (0.1%): | | | |
| | 159,000 | | | Bristol-Myers Squibb Co., 3.90%, 2/20/28, Callable 11/20/27 @ 100 | | | 187,681 | |
| | 500,000 | | | Eli Lilly & Co., 1.70%, 11/1/49, Callable 5/1/49 @ 100 | | | 719,204 | |
| | 313,000 | | | Johnson & Johnson, 2.90%, 1/15/28, Callable 10/15/27 @ 100 | | | 352,911 | |
| | 367,000 | | | Merck & Co., Inc., 1.45%, 6/24/30, Callable 3/24/30 @ 100 | | | 370,201 | |
| | 244,000 | | | Pfizer, Inc., 3.45%, 3/15/29, Callable 12/15/28 @ 100 | | | 284,556 | |
| | 368,000 | | | Pfizer, Inc., 2.63%, 4/1/30, Callable 1/1/30 @ 100 | | | 407,513 | |
| | 222,000 | | | Wyeth LLC, 5.95%, 4/1/37 | | | 334,100 | |
| | | | | | | | |
| | | | | | | 2,656,166 | |
| | | | | | | | |
| Professional Services (0.3%): | | | |
| | 4,291,000 | | | RELX Capital, Inc., 3.50%, 3/16/23, Callable 2/16/23 @ 100 | | | 4,567,138 | |
| | 390,000 | | | RELX Capital, Inc., 4.00%, 3/18/29, Callable 12/18/28 @ 100 | | | 462,120 | |
| | 897,000 | | | RELX Capital, Inc., 3.00%, 5/22/30, Callable 2/22/30 @ 100 | | | 997,197 | |
| | | | | | | | |
| | | | | | | 6,026,455 | |
| | | | | | | | |
| Real Estate Management & Development (0.2%): | | | |
| | 3,340,000 | | | CC Holdings GS V LLC, 3.85%, 4/15/23 | | | 3,586,498 | |
| | 915,000 | | | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a) | | | 951,904 | |
| | | | | | | | |
| | | | | | | 4,538,402 | |
| | | | | | | | |
See accompanying notes to the financial statements.
14
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Road & Rail (0.5%): | | | |
| $ | 143,000 | | | Burlington Northern Santa Fe LLC, 4.15%, 12/15/48, Callable 6/15/48 @ 100 | | $ | 190,969 | |
| | 1,532,000 | | | CSX Corp., 2.60%, 11/1/26, Callable 8/1/26 @ 100 | | | 1,671,472 | |
| | 64,000 | | | CSX Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100 | | | 74,391 | |
| | 508,000 | | | CSX Corp., 4.30%, 3/1/48, Callable 9/1/47 @ 100 | | | 654,854 | |
| | 461,000 | | | Norfolk Southern Corp., 2.90%, 6/15/26, Callable 3/15/26 @ 100 | | | 508,500 | |
| | 910,000 | | | Norfolk Southern Corp., 2.55%, 11/1/29, Callable 8/1/29 @ 100 | | | 980,574 | |
| | 135,000 | | | Norfolk Southern Corp., 4.45%, 6/15/45, Callable 12/15/44 @ 100 | | | 175,043 | |
| | 243,000 | | | Norfolk Southern Corp., 3.40%, 11/1/49, Callable 5/1/49 @ 100 | | | 275,284 | |
| | 260,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 3.95%, 3/10/25, Callable 1/10/25 @ 100(a) | | | 291,014 | |
| | 520,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 4.00%, 7/15/25, Callable 6/15/25 @ 100(a) | | | 589,038 | |
| | 496,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 1.20%, 11/15/25, Callable 10/15/25 @ 100(a) | | | 499,733 | |
| | 451,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 4.45%, 1/29/26, Callable 11/29/25 @ 100(a) | | | 521,995 | |
| | 120,000 | | | Ryder System, Inc., 2.50%, 9/1/24, Callable 8/1/24 @ 100, MTN | | | 126,917 | |
| | 711,000 | | | Ryder System, Inc., 3.35%, 9/1/25, Callable 8/1/25 @ 100, MTN | | | 791,508 | |
| | 289,000 | | | Union Pacific Corp., 4.05%, 11/15/45, Callable 5/15/45 @ 100 | | | 353,387 | |
| | 102,000 | | | Union Pacific Corp., 4.50%, 9/10/48, Callable 3/10/48 @ 100 | | | 135,606 | |
| | 1,102,000 | | | Union Pacific Corp., 3.80%, 10/1/51, Callable 4/1/51 @ 100 | | | 1,342,268 | |
| | 290,000 | | | Union Pacific Corp., 3.88%, 2/1/55, Callable 8/1/54 @ 100 | | | 355,087 | |
| | 400,769 | | | Union Pacific Railroad Co., Series 2014-1, 3.23%, 5/14/26 | | | 441,972 | |
| | | | | | | | |
| | | | | | | 9,979,612 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (1.0%): | | | |
| | 50,000 | | | Analog Devices, Inc., 4.50%, 12/5/36, Callable 6/5/36 @ 100 | | | 59,872 | |
| | 7,000 | | | Analog Devices, Inc., 5.30%, 12/15/45, Callable 6/15/45 @ 100 | | | 9,704 | |
| | 97,000 | | | Applied Materials, Inc., 3.30%, 4/1/27, Callable 1/1/27 @ 100 | | | 110,313 | |
| | 1,294,000 | | | Applied Materials, Inc., 1.75%, 6/1/30, Callable 3/1/30 @ 100 | | | 1,339,678 | |
| | 3,393,000 | | | Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27, Callable 10/15/26 @ 100 | | | 3,814,388 | |
| | 1,916,000 | | | Broadcom, Inc., 4.70%, 4/15/25, Callable 3/15/25 @ 100 | | | 2,194,565 | |
| | 1,349,000 | | | Broadcom, Inc., 4.25%, 4/15/26, Callable 2/15/26 @ 100 | | | 1,535,815 | |
| | 803,000 | | | Broadcom, Inc., 4.75%, 4/15/29, Callable 1/15/29 @ 100 | | | 959,134 | |
| | 2,073,000 | | | Intel Corp., 2.45%, 11/15/29, Callable 8/15/29 @ 100 | | | 2,237,018 | |
| | 708,000 | | | KLA Corp., 3.30%, 3/1/50, Callable 8/28/49 @ 100 | | | 790,616 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| $ | 841,000 | | | KLA-Tencor Corp., 4.10%, 3/15/29, Callable 12/15/28 @ 100 | | $ | 1,006,097 | |
| | 102,000 | | | KLA-Tencor Corp., 5.00%, 3/15/49, Callable 9/15/48 @ 100 | | | 142,002 | |
| | 1,734,000 | | | Lam Research Corp., 3.80%, 3/15/25, Callable 12/15/24 @ 100 | | | 1,941,641 | |
| | 363,000 | | | Lam Research Corp., 3.75%, 3/15/26, Callable 1/15/26 @ 100 | | | 415,413 | |
| | 486,000 | | | Lam Research Corp., 4.88%, 3/15/49, Callable 9/15/48 @ 100 | | | 704,580 | |
| | 507,000 | | | NVIDIA Corp., 3.20%, 9/16/26, Callable 6/16/26 @ 100 | | | 572,970 | |
| | 1,652,000 | | | NVIDIA Corp., 2.85%, 4/1/30, Callable 1/1/30 @ 100 | | | 1,848,882 | |
| | 293,000 | | | NVIDIA Corp., 3.50%, 4/1/50, Callable 10/1/49 @ 100 | | | 353,751 | |
| | 805,000 | | | QUALCOMM, Inc., 4.30%, 5/20/47, Callable 11/20/46 @ 100 | | | 1,090,980 | |
| | 637,000 | | | Texas Instruments, Inc., 1.75%, 5/4/30, Callable 2/4/30 @ 100 | | | 655,756 | |
| | | | | | | | |
| | | | | | | 21,783,175 | |
| | | | | | | | |
| Software (0.7%): | | | |
| | 1,438,000 | | | Autodesk, Inc., 2.85%, 1/15/30, Callable 10/15/29 @ 100 | | | 1,594,539 | |
| | 156,000 | | | Microsoft Corp., 4.20%, 11/3/35, Callable 5/3/35 @ 100 | | | 204,982 | |
| | 166,000 | | | Microsoft Corp., 3.50%, 11/15/42 | | | 202,653 | |
| | 793,000 | | | Microsoft Corp., 3.75%, 2/12/45, Callable 8/12/44 @ 100 | | | 1,019,301 | |
| | 281,000 | | | Microsoft Corp., 3.70%, 8/8/46, Callable 2/8/46 @ 100 | | | 354,651 | |
| | 1,228,000 | | | Oracle Corp., 2.95%, 11/15/24, Callable 9/15/24 @ 100 | | | 1,332,407 | |
| | 1,620,000 | | | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | | | 1,781,969 | |
| | 2,315,000 | | | Oracle Corp., 3.25%, 11/15/27, Callable 8/15/27 @ 100 | | | 2,639,747 | |
| | 387,000 | | | Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100 | | | 486,911 | |
| | 546,000 | | | Oracle Corp., 3.90%, 5/15/35, Callable 11/15/34 @ 100 | | | 666,669 | |
| | 159,000 | | | Oracle Corp., 3.85%, 7/15/36, Callable 1/15/36 @ 100 | | | 191,267 | |
| | 964,000 | | | Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100 | | | 1,154,690 | |
| | 1,983,000 | | | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | | | 2,321,800 | |
| | | | | | | | |
| | | | | | | 13,951,586 | |
| | | | | | | | |
| Specialty Retail (0.2%): | | | |
| | 260,000 | | | Home Depot, Inc. (The), 5.88%, 12/16/36 | | | 393,708 | |
| | 131,000 | | | Home Depot, Inc. (The), 5.95%, 4/1/41, Callable 10/1/40 @ 100 | | | 203,667 | |
| | 157,000 | | | Home Depot, Inc. (The), 4.20%, 4/1/43, Callable 10/1/42 @ 100 | | | 203,691 | |
| | 267,000 | | | Lowe’s Cos, Inc., 1.70%, 10/15/30, Callable 7/15/30 @ 100 | | | 269,247 | |
See accompanying notes to the financial statements.
15
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Specialty Retail, continued | | | |
| $ | 2,126,000 | | | Lowe’s Cos., Inc., 4.00%, 4/15/25, Callable 3/15/25 @ 100 | | $ | 2,415,413 | |
| | 163,000 | | | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | | | 201,803 | |
| | | | | | | | |
| | | | | | | 3,687,529 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.3%): | | | |
| | 1,255,000 | | | Apple, Inc., 1.00%, 11/10/22 | | | 1,570,102 | |
| | 794,000 | | | Apple, Inc., 3.85%, 5/4/43 | | | 1,008,272 | |
| | 190,000 | | | Apple, Inc., 2.95%, 9/11/49, Callable 3/11/49 @ 100 | | | 211,684 | |
| | 698,000 | | | Apple, Inc., 2.55%, 8/20/60, Callable 2/20/60 @ 100 | | | 715,223 | |
| | 720,000 | | | Dell International LLC/EMC Corp., 8.10%, 7/15/36, Callable 1/15/36 @ 100(a) | | | 1,059,245 | |
| | 1,234,000 | | | Hewlett Packard Enterprise Co., 4.65%, 10/1/24, Callable 9/1/24 @ 100 | | | 1,398,775 | |
| | | | | | | | |
| | | | | | | 5,963,301 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.1%): | | | |
| | 1,293,000 | | | NIKE, Inc., 2.75%, 3/27/27, Callable 1/27/27 @ 100 | | | 1,429,729 | |
| | 243,000 | | | NIKE, Inc., 3.38%, 3/27/50, Callable 9/27/49 @ 100 | | | 298,812 | |
| | | | | | | | |
| | | | | | | 1,728,541 | |
| | | | | | | | |
| Tobacco (0.5%): | | | |
| | 1,269,000 | | | Altria Group, Inc., 4.80%, 2/14/29, Callable 11/14/28 @ 100 | | | 1,515,224 | |
| | 900,000 | | | Altria Group, Inc., 3.13%, 6/15/31, Callable 3/15/31 @ 100 | | | 1,309,176 | |
| | 1,235,000 | | | Altria Group, Inc., 5.80%, 2/14/39, Callable 8/14/38 @ 100 | | | 1,623,510 | |
| | 392,000 | | | BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100 | | | 431,186 | |
| | 282,000 | | | BAT Capital Corp., 4.70%, 4/2/27, Callable 2/2/27 @ 100 | | | 332,153 | |
| | 209,000 | | | BAT Capital Corp., 3.56%, 8/15/27, Callable 5/15/27 @ 100 | | | 232,780 | |
| | 1,233,000 | | | BAT Capital Corp., 4.91%, 4/2/30, Callable 1/2/30 @ 100 | | | 1,487,346 | |
| | 1,180,000 | | | BAT Capital Corp., 2.73%, 3/25/31, Callable 12/25/30 @ 100 | | | 1,222,213 | |
| | 114,000 | | | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100 | | | 126,298 | |
| | 700,000 | | | Philip Morris International, Inc., 1.45%, 8/1/39, Callable 5/1/39 @ 100 | | | 869,342 | |
| | 1,602,000 | | | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | | | 1,821,994 | |
| | 228,000 | | | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | | | 291,223 | |
| | | | | | | | |
| | | | | | | 11,262,445 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.6%): | | | |
| | 3,875,625 | | | Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a) | | | 3,913,154 | |
| | 8,102,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a) | | | 9,215,401 | |
| | | | | | | | |
| | | | | | | 13,128,555 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $547,817,014) | | | 579,847,435 | |
| | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds (4.2%): | | | |
| Aerospace & Defense (0.2%): | | | |
| $ | 1,100,000 | | | Airbus SE, 2.00%, 4/7/28, Callable 1/7/28 @ 100+(a) | | $ | 1,500,056 | |
| | 545,000 | | | Rolls-Royce plc, Series E, 2.13%, 6/18/21+(a) | | | 667,358 | |
| | 1,000,000 | | | Thales SA, -0.17%, 5/31/22, Callable 4/30/22 @ 100+(a) | | | 1,224,388 | |
| | 1,200,000 | | | Thales SA, 0.75%, 6/7/23, Callable 3/7/23 @ 100+(a) | | | 1,493,833 | |
| | 100,000 | | | Thales SA, 0.75%, 1/23/25, Callable 10/23/24 @ 100+(a) | | | 125,479 | |
| | | | | | | | |
| | | | | | | 5,011,114 | |
| | | | | | | | |
| Auto Components (0.0%†): | | | |
| | 630,000 | | | Conti-Gummi Finance BV, 1.13%, 9/25/24, Callable 6/25/24 @ 100+(a) | | | 795,613 | |
| | | | | | | | |
| Automobiles (0.1%): | | | |
| | 995,000 | | | Daimler International Finance BV, Series E, 0.25%, 8/9/21+(a) | | | 1,219,287 | |
| | 310,000 | | | Daimler International Finance BV, Series E, 0.25%, 11/6/23+(a) | | | 380,977 | |
| | 710,000 | | | Volkswagen Financial Services AG, Series E, 0.75%, 10/14/21+(a) | | | 873,990 | |
| | | | | | | | |
| | | | | | | 2,474,254 | |
| | | | | | | | |
| Banks (0.9%): | | | |
| | 900,000 | | | Banco de Sabadell SA, 1.13%(EUSA1+155bps), 3/11/27, Callable 3/11/26 @ 100+(a) | | | 1,135,897 | |
| | 1,100,000 | | | Banque Federative du Credit Mutuel SA, Series E, 0.13%, 8/30/21+(a) | | | 1,348,816 | |
| | 600,000 | | | Banque Federative du Credit Mutuel SA, Series E, 0.75%, 6/15/23+(a) | | | 750,896 | |
| | 1,625,000 | | | BNP Paribas, 1.13%, 1/15/23+(a) | | | 2,040,763 | |
| | 500,000 | | | BPCE SA, 0.25%, 1/15/26+(a) | | | 619,291 | |
| | 800,000 | | | Credit Mutuel Arkea SA, 0.01%, 1/28/26+(a) | | | 977,928 | |
| | 300,000 | | | de Volksbank NV, 1.75%(EUSA5+2.10bps), 10/22/30, Callable 10/22/25 @ 100+(a) | | | 386,716 | |
| | 300,000 | | | Erste Group Bank AG, 1.63%(EUAMDB05+210bps), 9/8/31, Callable 6/8/26 @ 100+(a) | | | 382,663 | |
| | 540,000 | | | FCA Bank SpA, 0.50%, 9/18/23, Callable 6/18/23 @ 100+(a) | | | 665,754 | |
| | 1,677,000 | | | ING Bank NV, 3.62%(EUSA5+225bps), 2/25/26, Callable 2/25/21 @ 100+(a) | | | 2,058,052 | |
| | 400,000 | | | KBC Group NV, Series E, 1.13%, 1/25/24+(a) | | | 505,967 | |
| | 440,000 | | | Mizuho Financial Group, Inc., Series E, 0.52%, 6/10/24+(a) | | | 547,884 | |
| | 435,000 | | | Simon International Finance SCA, 1.38%, 11/18/22, Callable 8/18/22 @ 100+(a) | | | 543,162 | |
| | 705,000 | | | Skandinaviska Enskilda Banken AB, 0.38%, 2/11/27+(a) | | | 875,517 | |
| | 2,500,000 | | | Societe Generale, -0.28%, 5/27/22+(a) | | | 3,065,978 | |
| | 1,000,000 | | | Toronto-Dominion Bank (The), Series E, 0.38%, 4/25/24+(a) | | | 1,239,620 | |
| | | | | | | | |
| | | | | | | 17,144,904 | |
| | | | | | | | |
| Beverages (0.1%): | | | |
| | 360,000 | | | Asahi Group Holdings, Ltd., 0.16%, 10/23/24, Callable 9/23/24 @ 100+(a) | | | 441,971 | |
| | 600,000 | | | Pernod Ricard SA, -0.10%, 10/24/23, Callable 9/24/23 @ 100+(a) | | | 734,904 | |
| | | | | | | | |
| | | | | | | 1,176,875 | |
| | | | | | | | |
See accompanying notes to the financial statements.
16
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Capital Markets (0.2%): | | | |
| $ | 900,000 | | | Credit Suisse Group AG, 3.25%(EUAMDB01+350bps), 4/2/26, Callable 4/2/25 @ 100+(a) | | $ | 1,242,523 | |
| | 700,000 | | | Deutsche Bank AG, 1.00%(EUR003M+1.60bps), 11/19/25, Callable 11/19/24 @ 100+(a) | | | 868,512 | |
| | 1,170,000 | | | UBS Group AG, 0.25%(EUSA1+55bps), 1/29/26, Callable 1/29/25 @ 100+(a) | | | 1,439,865 | |
| | 240,000 | | | UBS Group AG, 0.25%(EUSA1+0.77bps), 11/5/28, Callable 11/5/27 @ 100+(a) | | | 293,924 | |
| | | | | | | | |
| | | | | | | 3,844,824 | |
| | | | | | | | |
| Chemicals (0.1%): | | | |
| | 800,000 | | | Air Liquide Finance SA, Series E, 0.38%, 4/18/22, Callable 1/18/22 @ 100+(a) | | | 983,537 | |
| | 100,000 | | | Arkema SA, 0.13%, 10/14/26, Callable 7/14/26 @ 100+(a) | | | 123,225 | |
| | 390,000 | | | Covestro AG, 0.88%, 2/3/26, Callable 11/3/25 @ 100+(a) | | | 494,914 | |
| | | | | | | | |
| | | | | | | 1,601,676 | |
| | | | | | | | |
| Construction & Engineering (0.0%†): | | | |
| | 500,000 | | | APRR SA, -0.20%, 1/20/23+(a) | | | 613,257 | |
| | | | | | | | |
| Consumer Finance (0.0%†): | | | |
| | 570,000 | | | Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22+(a) | | | 699,927 | |
| | | | | | | | |
| Diversified Financial Services (0.8%): | | | |
| | 660,000 | | | BAT International Finance plc, Series E, 0.88%, 10/13/23, Callable 7/13/23 @ 100+(a) | | | 822,874 | |
| | 515,000 | | | BAT International Finance plc, 1.25%, 3/13/27, Callable 12/13/26 @ 100+(a) | | | 653,251 | |
| | 1,810,000 | | | BMW Finance NV, -0.11%, 4/14/23+(a) | | | 2,216,563 | |
| | 825,000 | | | BP Capital Matkets plc, 3.25%(EUSA5+388bps), 12/31/99, Callable 3/22/26 @ 100+(a) | | | 1,073,294 | |
| | 330,000 | | | Enel Finance International NV, Series E, -0.11%, 6/17/24, Callable 5/17/24 @ 100+(a) | | | 404,621 | |
| | 320,000 | | | Holcim Finance Luxembourg SA, 0.50%, 4/23/31, Callable 1/23/31 @ 100+(a) | | | 392,027 | |
| | 670,000 | | | OP Corporate Bank plc, 0.50%, 8/12/25+(a) | | | 839,041 | |
| | 1,900,000 | | | OP Corporate Bank plc, 1.63%(EUSA5+200bps), 6/9/30, Callable 6/9/25 @ 100+(a) | | | 2,408,356 | |
| | 400,000 | | | Total Capital International SA, Series E, 2.13%, 11/19/21+(a) | | | 499,224 | |
| | 400,000 | | | Total Capital International SA, Series E, 2.13%, 3/15/23+(a) | | | 514,361 | |
| | 1,200,000 | | | Volvo Treasury AB, Series E, 0.10%(EUR003M+65bps), 9/13/21+(a) | | | 1,469,339 | |
| | 300,000 | | | Volvo Treasury AB, -0.06%, 2/11/23+(a) | | | 366,899 | |
| | 700,000 | | | Vonovia Finance BV, 0.75%, 1/25/22+(a) | | | 863,698 | |
| | 1,500,000 | | | Vonovia Finance BV, Series E, 0.13%, 4/6/23, Callable 3/6/23 @ 100+(a) | | | 1,842,867 | |
| | | | | | | | |
| | | | | | | 14,366,415 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.2%): | | | |
| | 200,000 | | | Orange SA, Series E, 0.75%, 9/11/23, Callable 6/11/23 @ 100+(a) | | | 250,059 | |
| | 540,000 | | | Telenor ASA, Series E, -0.19%, 9/25/23, Callable 6/25/23 @ 100+(a) | | | 663,109 | |
| | 1,705,000 | | | Telstra Corp., Ltd., Series E, 3.50%, 9/21/22+(a) | | | 2,214,478 | |
| | | | | | | | |
| | | | | | | 3,127,646 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Electric Utilities (0.2%): | | | |
| $ | 1,200,000 | | | Iberdrola International BV, 1.87%(EUSA5+232.10bps), 12/31/99, Callable 1/28/26 @ 100+(a) | | $ | 1,507,567 | |
| | 470,000 | | | National Grid Electricity Transmission, 0.19%, 1/20/25, Callable 10/20/24 @ 100+(a) | | | 580,159 | |
| | 500,000 | | | RTE Reseau de Transport d’Electricite, Series E, 1.63%, 10/8/24, Callable 7/8/24 @ 100+(a) | | | 650,519 | |
| | 900,000 | | | RTE Reseau de Transport d’Electricite SADIR, 4.13%, 2/3/21+(a) | | | 1,103,114 | |
| | | | | | | | |
| | | | | | | 3,841,359 | |
| | | | | | | | |
| Electrical Equipment (0.1%): | | | |
| | 1,565,000 | | | Eaton Capital Unlimited Co., 0.02%, 5/14/21, Callable 4/14/21 @ 100+(a) | | | 1,912,210 | |
| | 400,000 | | | Schneider Electric SE, -0.22%, 6/12/23, Callable 5/12/23 @ 100+(a) | | | 491,197 | |
| | 400,000 | | | Schneider Electric SE, Series E, 0.25%, 9/9/24, Callable 6/9/24 @ 100+(a) | | | 496,630 | |
| | | | | | | | |
| | | | | | | 2,900,037 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.1%): | | | |
| | 750,000 | | | Amphenol Technologies Holding GmbH, 0.75%, 5/4/26, Callable 2/4/26 @ 100+(a) | | | 947,974 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.0%†): | | | |
| | 200,000 | | | Icade Sante SAS, 1.38%, 9/17/30, Callable 6/17/30 @ 100+(a) | | | 261,168 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.2%): | | | |
| | 730,000 | | | DH Europe Finance II Sarl, 0.20%, 3/18/26, Callable 12/18/25 @ 100+ | | | 899,361 | |
| | 265,000 | | | DH Europe Finance II Sarl, 1.35%, 9/18/39, Callable 3/18/39 @ 100+ | | | 347,358 | |
| | 1,970,000 | | | Medtronic Global Holdings SCA, -0.20%, 12/2/22, Callable 11/2/22 @ 100+ | | | 2,415,581 | |
| | 320,000 | | | Medtronic Global Holdings SCA, 1.38%, 10/15/40, Callable 4/15/40 @ 100+ | | | 424,970 | |
| | | | | | | | |
| | | | | | | 4,087,270 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.0%†): | |
| | 100,000 | | | Eurogrid GmbH, 1.11%, 5/15/32, Callable 2/15/32 @ 100+(a) | | | 133,253 | |
| | | | | | | | |
| Industrial Conglomerates (0.1%): | | | |
| | 2,215,000 | | | Siemens Financieringsmaatschappij NV, Series E, -0.34%, 9/5/21+(a) | | | 2,711,912 | |
| | | | | | | | |
| IT Services (0.1%): | | | |
| | 700,000 | | | Amadeus IT Group SA, 2.88%, 5/20/27, Callable 2/20/27 @ 100+(a) | | | 960,054 | |
| | 700,000 | | | Amadeus IT Group SA, 1.88%, 9/24/28, Callable 6/24/28 @ 100+(a) | | | 910,640 | |
| | | | | | | | |
| | | | | | | 1,870,694 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 600,000 | | | KION Group AG, 1.63%, 9/24/25, Callable 6/24/25 @ 100+(a) | | | 729,407 | |
| | | | | | | | |
| Media (0.2%): | | | |
| | 870,000 | | | Informa plc, 2.13%, 10/6/25, Callable 7/6/25 @ 100+(a) | | | 1,118,056 | |
| | 685,000 | | | Informa plc, 1.25%, 4/22/28, Callable 1/22/28 @ 100+(a) | | | 837,526 | |
See accompanying notes to the financial statements.
17
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Media, continued | | | |
| $ | 600,000 | | | JCDecaux SA, 2.00%, 10/24/24, Callable 7/24/24 @ 100+(a) | | $ | 775,499 | |
| | 610,000 | | | SES SA, 2.00%, 7/2/28, Callable 4/2/28 @ 100+(a) | | | 802,209 | |
| | 495,000 | | | Sky, Ltd., Series E, 1.50%, 9/15/21+(a) | | | 612,185 | |
| | 160,000 | | | WPP Finance SA, 2.38%, 5/19/27+(a) | | | 218,792 | |
| | | | | | | | |
| | | | | | | 4,364,267 | |
| | | | | | | | |
| Multi-Utilities (0.2%): | | | |
| | 1,300,000 | | | E.ON SE, Series E, -0.21%, 10/24/22, Callable 9/24/22 @ 100+(a) | | | 1,593,880 | |
| | 395,000 | | | ESB Finance DAC, Series E, 3.49%, 1/12/24+(a) | | | 534,083 | |
| | 280,000 | | | Innogy Finance BV, Series E, 0.75%, 11/30/22, Callable 8/30/22 @ 100+(a) | | | 347,326 | |
| | 200,000 | | | Redexis Gas Finance BV, 1.88%, 5/28/25, Callable 2/28/25 @ 100+(a) | | | 259,851 | |
| | 100,000 | | | Suez SA, 1.63%(EUAMDB05+215.10bps), 12/31/99, Callable 6/1/26 @ 100+(a) | | | 121,294 | |
| | 100,000 | | | Terega SA, 0.88%, 9/17/30, Callable 6/17/30 @ 100+(a) | | | 125,508 | |
| | 1,300,000 | | | Veolia Environnement SA, Series E, 0.67%, 3/30/22, Callable 12/30/21 @ 100+(a) | | | 1,602,393 | |
| | 200,000 | | | Veolia Environnement SA, 1.59%, 1/10/28, Callable 10/10/27 @ 100+(a) | | | 269,261 | |
| | 100,000 | | | Veolia Environnement SA, 0.80%, 1/15/32, Callable 10/15/31 @ 100+(a) | | | 128,088 | |
| | | | | | | | |
| | | | | | | 4,981,684 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.1%): | | | |
| | 720,000 | | | Digital Dutch Finco BV, 1.50%, 3/15/30, Callable 12/15/29 @ 100+(a) | | | 947,019 | |
| | 600,000 | | | Digital Dutch Finco BV, 1.00%, 1/15/32, Callable 10/15/31 @ 100+(a) | | | 757,250 | |
| | 390,000 | | | Equinor ASA, 1.38%, 5/22/32, Callable 2/22/32 @ 100+(a) | | | 530,981 | |
| | | | | | | | |
| | | | | | | 2,235,250 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | | | |
| | 160,000 | | | Stora Enso Oyj, 0.63%, 12/2/30, Callable 9/2/30 @ 100+(a) | | | 198,603 | |
| | | | | | | | |
| Pharmaceuticals (0.2%): | | | |
| | 475,000 | | | Abbott Ireland Financing DAC, 0.88%, 9/27/23, Callable 8/27/23 @ 100+(a) | | | 597,314 | |
| | 490,000 | | | Abbott Ireland Financing DAC, 0.10%, 11/19/24, Callable 10/19/24 @ 100+(a) | | | 603,865 | |
| | 500,000 | | | Merck Financial Services GmbH, 0.13%, 7/16/25, Callable 4/16/25 @ 100+(a) | | | 618,534 | |
| | 1,125,000 | | | Takeda Pharmaceutical Co., Ltd., 2.00%, 7/9/40, Callable 1/9/40 @ 100+ | | | 1,558,211 | |
| | 840,000 | | | Upjohn Finance BV, 1.02%, 6/23/24, Callable 5/23/24 @ 100+(a) | | | 1,057,934 | |
| | | | | | | | |
| | | | | | | 4,435,858 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 520,000 | | | RELX Finance BV, -0.07%, 3/18/24, Callable 2/18/24 @ 100+(a) | | | 636,625 | |
| | 220,000 | | | Wolters Kluwer NV, 0.75%, 7/3/30, Callable 4/3/30 @ 100+(a) | | | 280,120 | |
| | | | | | | | |
| | | | | | | 916,745 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Textiles, Apparel & Luxury Goods (0.1%): | | | |
| $ | 100,000 | | | Kering SA, 0.75%, 5/13/28, Callable 2/13/28 @ 100+(a) | | $ | 128,353 | |
| | 200,000 | | | LVMH Moet Hennessy Louis Vuitton SE, Series E, -0.27%, 2/28/21+(a) | | | 244,404 | |
| | 690,000 | | | LVMH Moet Hennessy Louis Vuitton SE, Series E, 0.38%, 5/26/22, Callable 2/26/22 @ 100+(a) | | | 849,059 | |
| | | | | | | | |
| | | | | | | 1,221,816 | |
| | | | | | | | |
| Transportation Infrastructure (0.0%†): | | | |
| | 370,000 | | | Heathrow Funding, Ltd., 1.50%, 10/12/25, Callable 7/12/25 @ 100+(a) | | | 472,277 | |
| | | | | | | | |
| | Total Foreign Bonds (Cost $78,460,119) | | | 87,166,079 | |
| | | | | |
| Yankee Debt Obligations (6.2%): | | | |
| Airlines (0.0%†): | | | |
| | 202,999 | | | Air Canada Pass Through Trust, Class B, Series 2015-2, 5.00%, 6/15/25(a) | | | 196,909 | |
| | 300,696 | | | Air Canada Pass Through Trust, Class A, Series 2017-1, 3.30%, 7/15/31(a) | | | 291,743 | |
| | | | | | | | |
| | | | | | | 488,652 | |
| | | | | | | | |
| Auto Components (0.1%): | | | |
| | 1,478,000 | | | Magna International, Inc., 2.45%, 6/15/30, Callable 3/15/30 @ 100 | | | 1,588,282 | |
| | | | | | | | |
| Banks (2.2%): | | | |
| | 2,800,000 | | | Banco Santander SA, 2.71%, 6/27/24 | | | 2,985,416 | |
| | 2,175,000 | | | Barclays plc, 4.61%(US0003M+140bps), 2/15/23, Callable 2/15/22 @ 100 | | | 2,267,111 | |
| | 3,033,000 | | | Barclays plc, 4.34%(US0003M+136bps), 5/16/24, Callable 5/16/23 @ 100 | | | 3,275,641 | |
| | 423,000 | | | BNP Paribas SA, 3.50%, 3/1/23(a) | | | 449,649 | |
| | 1,192,000 | | | BNP Paribas SA, 3.38%, 1/9/25(a) | | | 1,299,661 | |
| | 803,000 | | | BNP Paribas SA, 2.82%(US0003M+1bps), 11/19/25, Callable 11/19/24 @ 100(a) | | | 856,738 | |
| | 1,172,000 | | | BPCE SA, 2.70%, 10/1/29(a) | | | 1,263,247 | |
| | 250,000 | | | Danske Bank A/S, 3.00%(US0003M+125bps), 9/20/22, Callable 9/20/21 @ 100(a) | | | 253,691 | |
| | 580,000 | | | Danske Bank A/S, 3.88%, 9/12/23(a) | | | 624,195 | |
| | 555,000 | | | Danske Bank A/S, 1.17%, 12/8/23, Callable 12/8/22 @ 100(a) | | | 554,930 | |
| | 1,774,000 | | | Danske Bank A/S, 5.38%, 1/12/24(a) | | | 1,992,894 | |
| | 4,158,000 | | | Danske Bank A/S, 1.23%, 6/22/24, Callable 6/22/23 @ 100(a) | | | 4,206,307 | |
| | 286,000 | | | Danske Bank A/S, 1.62%, 9/11/26, Callable 9/11/25 @ 100(a) | | | 286,150 | |
| | 2,053,000 | | | HSBC Holdings plc, 3.26%(US0003M+106bps), 3/13/23, Callable 3/13/22 @ 100 | | | 2,118,780 | |
| | 2,702,000 | | | HSBC Holdings plc, 4.58%(US0003M+153bps), 6/19/29, Callable 6/19/28 @ 100 | | | 3,196,266 | |
| | 364,000 | | | ING Groep NV, 4.10%, 10/2/23 | | | 399,648 | |
| | 330,000 | | | ING Groep NV, 4.63%, 1/6/26(a) | | | 387,330 | |
| | 226,000 | | | ING Groep NV, 1.40%(H15T1Y+110bps), 7/1/26, Callable 7/1/25 @ 100(a) | | | 229,368 | |
| | 946,000 | | | Lloyds Banking Group plc, 2.86%(US0003M+125bps), 3/17/23, Callable 3/17/22 @ 100 | | | 971,904 | |
| | 285,000 | | | Lloyds Banking Group plc, 1.33%(H15T1Y+110bps), 6/15/23, Callable 6/15/22 @ 100 | | | 286,425 | |
See accompanying notes to the financial statements.
18
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Banks, continued | | | |
| $ | 205,000 | | | Lloyds Banking Group plc, 4.05%, 8/16/23 | | $ | 222,884 | |
| | 1,330,000 | | | Lloyds Banking Group plc, 2.91%(US0003M+81bps), 11/7/23, Callable 11/7/22 @ 100 | | | 1,383,200 | |
| | 605,000 | | | Mitsubishi UFJ Financial Group, Inc., 2.95%, 3/1/21 | | | 607,576 | |
| | 3,161,000 | | | Mitsubishi UFJ Financial Group, Inc., 3.20%, 7/18/29 | | | 3,545,494 | |
| | 2,395,000 | | | Mizuho Financial Group, Inc., 2.84%(US0003M+98bps), 7/16/25, Callable 7/16/24 @ 100 | | | 2,546,679 | |
| | 1,015,000 | | | Mizuho Financial Group, Inc., 2.56%(US0003M+110bps), 9/13/25, Callable 9/13/24 @ 100 | | | 1,075,410 | |
| | 2,092,000 | | | Mizuho Financial Group, Inc., 2.23%(US0003M+83bps), 5/25/26, Callable 5/25/25 @ 100 | | | 2,194,729 | |
| | 819,000 | | | Mizuho Financial Group, Inc., 2.20%(US0003M+151bps), 7/10/31, Callable 7/10/30 @ 100 | | | 846,762 | |
| | 1,035,000 | | | Mizuho Financial Group, Inc., 1.98%(US0003M+127bps), 9/8/31, Callable 9/8/30 @ 100 | | | 1,051,234 | |
| | 2,070,000 | | | Santander UK Group Holdings plc, 3.37%(US0003M+108bps), 1/5/24, Callable 1/5/23 @ 100 | | | 2,170,436 | |
| | 200,000 | | | Santander UK Group Holdings plc, 4.80%(US0003M+157bps), 11/15/24, Callable 11/15/23 @ 100 | | | 221,601 | |
| | 960,000 | | | Santander UK Group Holdings plc, 1.53%(H15T1Y+125bps), 8/21/26, Callable 8/21/25 @ 100 | | | 965,689 | |
| | 1,191,000 | | | Sumitomo Mitsui Financial Group, Inc., 3.04%, 7/16/29 | | | 1,321,509 | |
| | 380,000 | | | Sumitomo Mitsui Financial Group, Inc., 2.13%, 7/8/30 | | | 394,918 | |
| | | | | | | | |
| | | | | | | 46,453,472 | |
| | | | | | | | |
| Beverages (0.1%): | | | |
| | 2,250,000 | | | Suntory Holdings, Ltd., 2.25%, 10/16/24, Callable 9/16/24 @ 100(a) | | | 2,352,715 | |
| | | | | | | | |
| Biotechnology (0.0%†): | | | |
| | 550,000 | | | Shire Acquisitions Investments, 3.20%, 9/23/26, Callable 6/23/26 @ 100 | | | 614,551 | |
| | | | | | | | |
| Capital Markets (0.4%): | | | |
| | 1,128,000 | | | Credit Suisse AG, 3.63%, 9/9/24 | | | 1,252,134 | |
| | 331,000 | | | Credit Suisse Group AG, 2.59%(SOFR+156bps), 9/11/25, Callable 9/11/24 @ 100(a) | | | 348,215 | |
| | 1,623,000 | | | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | | | 1,801,016 | |
| | 1,145,000 | | | Deutsche Bank AG, 4.25%, 10/14/21 | | | 1,173,533 | |
| | 206,000 | | | Deutsche Bank AG, 4.10%, 1/13/26 | | | 229,346 | |
| | 211,000 | | | Deutsche Bank AG, 2.13%(SOFR+187bps), 11/24/26, Callable 11/24/25 @ 100 | | | 214,956 | |
| | 2,000 | | | Macquarie Group, Ltd., 4.65%(US0003M+173bps), 3/27/29, Callable 3/27/28 @ 100(a) | | | 2,333 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Capital Markets, continued | | | |
| $ | 200,000 | | | Nomura Holdings, Inc., 3.10%, 1/16/30 | | $ | 218,116 | |
| | 400,000 | | | Nomura Holdings, Inc., 2.68%, 7/16/30 | | | 422,694 | |
| | 1,888,000 | | | UBS Group AG, 2.86%(US0003M+95bps), 8/15/23, Callable 8/15/22 @ 100(a) | | | 1,957,501 | |
| | 395,000 | | | UBS Group AG, 4.13%, 9/24/25(a) | | | 452,330 | |
| | | | | | | | |
| | | | | | | 8,072,174 | |
| | | | | | | | |
| Chemicals (0.1%): | | | |
| | 1,027,000 | | | LYB International Finance BV, 4.00%, 7/15/23 | | | 1,114,262 | |
| | | | | | | | |
| Communications Equipment (0.0%†): | | | |
| | 5,000 | | | Tyco Electronics Group SA, 3.45%, 8/1/24, Callable 5/1/24 @ 100 | | | 5,424 | |
| | | | | | | | |
| Consumer Finance (0.2%): | | | |
| | 1,675,000 | | | Hyundai Capital Services, Inc., 3.00%, 8/29/22(a) | | | 1,735,182 | |
| | 1,390,000 | | | Hyundai Capital Services, Inc., 3.75%, 3/5/23(a) | | | 1,476,667 | |
| | | | | | | | |
| | | | | | | 3,211,849 | |
| | | | | | | | |
| Diversified Financial Services (0.4%): | | | |
| | 673,000 | | | BAT International Finance plc, 1.67%, 3/25/26, Callable 2/25/26 @ 100 | | | 688,000 | |
| | 1,922,000 | | | GE Capital International Funding, 4.42%, 11/15/35 | | | 2,287,422 | |
| | 1,443,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 6/18/29, Callable 3/18/29 @ 100(a) | | | 1,720,525 | |
| | 720,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 5/1/30, Callable 2/1/30 @ 100(a) | | | 815,704 | |
| | 1,040,000 | | | ORIX Corp., 2.90%, 7/18/22 | | | 1,076,558 | |
| | 1,968,000 | | | Shell International Finance BV, 2.38%, 11/7/29, Callable 8/7/29 @ 100 | | | 2,109,155 | |
| | 198,000 | | | Shell International Finance BV, 2.75%, 4/6/30, Callable 1/6/30 @ 100 | | | 217,839 | |
| | | | | | | | |
| | | | | | | 8,915,203 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.0%†): | | | |
| | 389,000 | | | Deutsche Telekom International Finance BV, 2.49%, 9/19/23, Callable 7/19/23 @ 100(a) | | | 405,042 | |
| | | | | | | | |
| Food & Staples Retailing (0.0%†): | | | |
| | 850,000 | | | Seven & I Holdings Co., Ltd., 3.35%, 9/17/21(a) | | | 866,557 | |
| | | | | | | | |
| Insurance (0.0%†): | | | |
| | 196,000 | | | Aon plc, 4.45%, 5/24/43, Callable 2/24/43 @ 100 | | | 243,459 | |
| | 600,000 | | | Aon plc, 4.60%, 6/14/44, Callable 3/14/44 @ 100 | | | 789,511 | |
| | | | | | | | |
| | | | | | | 1,032,970 | |
| | | | | | | | |
| Interactive Media & Services (0.2%): | | | |
| | 490,000 | | | Baidu, Inc., 4.38%, 5/14/24, Callable 4/14/24 @ 100 | | | 538,208 | |
| | 475,000 | | | Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100 | | | 546,758 | |
| | 1,511,000 | | | Tencent Holdings, Ltd., 2.99%, 1/19/23, Callable 12/19/22 @ 100(a) | | | 1,574,061 | |
| | 515,000 | | | Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100(a) | | | 568,271 | |
| | | | | | | | |
| | | | | | | 3,227,298 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 320,000 | | | Alibaba Group Holding, Ltd., 2.80%, 6/6/23, Callable 5/6/23 @ 100 | | | 336,412 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 460,000 | | | Sky, Ltd., 3.75%, 9/16/24(a) | | | 512,578 | |
| | | | | | | | |
See accompanying notes to the financial statements.
19
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Metals & Mining (0.1%): | | | |
| $ | 1,004,000 | | | Anglo American Capital plc, 2.63%, 9/10/30, Callable 6/10/30 @ 100(a) | | $ | 1,043,507 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.2%): | | | |
| | 555,000 | | | Ecopetrol SA, 4.13%, 1/16/25 | | | 604,950 | |
| | 1,164,000 | | | Shell International Finance BV, 3.88%, 11/13/28, Callable 8/13/28 @ 100 | | | 1,379,241 | |
| | 236,000 | | | Shell International Finance BV, 4.38%, 5/11/45 | | | 310,739 | |
| | 134,000 | | | Suncor Energy, Inc., 5.95%, 12/1/34 | | | 175,196 | |
| | 298,000 | | | Suncor Energy, Inc., 6.80%, 5/15/38 | | | 418,086 | |
| | 208,000 | | | Suncor Energy, Inc., 6.50%, 6/15/38 | | | 292,644 | |
| | 381,000 | | | TransCanada PipeLines, Ltd., 4.63%, 3/1/34, Callable 12/1/33 @ 100 | | | 459,643 | |
| | | | | | | | |
| | | | | | | 3,640,499 | |
| | | | | | | | |
| Pharmaceuticals (0.2%): | | | |
| | 1,615,000 | | | AstraZeneca plc, 3.38%, 11/16/25 | | | 1,813,054 | |
| | 403,000 | | | AstraZeneca plc, 1.38%, 8/6/30, Callable 5/6/30 @ 100 | | | 397,963 | |
| | 688,000 | | | Takeda Pharmaceutical Co., Ltd., 5.00%, 11/26/28, Callable 8/26/28 @ 100 | | | 854,339 | |
| | 498,000 | | | Takeda Pharmaceutical Co., Ltd., 2.05%, 3/31/30, Callable 12/31/29 @ 100 | | | 508,674 | |
| | | | | | | | |
| | | | | | | 3,574,030 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 250,000 | | | Mitsui Fudosan Co., Ltd., 2.95%, 1/23/23, Callable 12/23/22 @ 100(a) | | | 260,659 | |
| | | | | | | | |
| Road & Rail (0.0%†): | | | |
| | 155,000 | | | Canadian Pacific Railway, Ltd., 2.05%, 3/5/30, Callable 12/5/29 @ 100 | | | 162,526 | |
| | | | | | | | |
| Sovereign Bond (1.8%): | | | |
| | 5,119,000 | | | Mexico Government International Bond, 4.15%, 3/28/27 | | | 5,907,596 | |
| | 910,000 | | | Mexico Government International Bond, 3.75%, 1/11/28 | | | 1,025,603 | |
| | 1,315,000 | | | Mexico Government International Bond, 2.66%, 5/24/31, Callable 2/24/31 @ 100 | | | 1,344,588 | |
| | 589,561 | | | Oriental Republic of Uruguay, 4.50%, 8/14/24^ | | | 651,019 | |
| | 2,175,000 | | | Oriental Republic of Uruguay, 4.38%, 10/27/27 | | | 2,571,938 | |
| | 655,000 | | | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | | | 728,687 | |
| | 540,000 | | | Panama Government International Bond, 4.50%, 4/1/56, Callable 10/1/55 @ 100 | | | 696,600 | |
| | 689,000 | | | Province of Manitoba, 3.05%, 5/14/24 | | | 748,615 | |
| | 704,000 | | | Republic of Chile, 3.24%, 2/6/28, Callable 11/6/27 @ 100 | | | 797,672 | |
| | 3,516,000 | | | Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100 | | | 3,914,550 | |
| | 275,000 | | | Republic of Colombia, 4.50%, 3/15/29, Callable 12/15/28 @ 100 | | | 318,395 | |
| | 1,972,000 | | | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100^ | | | 2,073,339 | |
| | 581,000 | | | Republic of Indonesia, 4.10%, 4/24/28 | | | 674,682 | |
| | 1,590,000 | | | Republic of Indonesia, 2.85%, 2/14/30 | | | 1,709,286 | |
| | 575,000 | | | Republic of Panama, 4.00%, 9/22/24, Callable 6/22/24 @ 100 | | | 636,094 | |
| | 420,000 | | | Republic of Panama, 3.88%, 3/17/28, Callable 12/17/27 @ 100 | | | 483,000 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Sovereign Bond, continued | | | |
| $ | 540,000 | | | Republic of Panama, 4.50%, 5/15/47 | | $ | 695,250 | |
| | 980,000 | | | Republic of Peru, 4.13%, 8/25/27 | | | 1,151,339 | |
| | 281,000 | | | Republic of Peru, 5.63%, 11/18/50 | | | 441,543 | |
| | 3,200,000 | | | Republic of Philippines, 3.00%, 2/1/28 | | | 3,543,245 | |
| | 2,741,000 | | | United Mexican States, 4.50%, 4/22/29 | | | 3,215,643 | |
| | 3,910,000 | | | United Mexican States, 3.25%, 4/16/30, Callable 1/16/30 @ 100^ | | | 4,233,447 | |
| | | | | | | | |
| | | | | | | 37,562,131 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.2%): | | | |
| | 1,490,000 | | | Vodafone Group plc, 4.13%, 5/30/25 | | | 1,702,215 | |
| | 457,000 | | | Vodafone Group plc, 4.38%, 2/19/43 | | | 565,446 | |
| | 759,000 | | | Vodafone Group plc, 5.25%, 5/30/48 | | | 1,050,449 | |
| | | | | | | | |
| | | | | | | 3,318,110 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $120,779,003) | | | 128,758,903 | |
| | | | | |
| Municipal Bonds (1.0%): | | | |
| California (0.2%): | |
| | 400,000 | | | California State University Revenue, 2.90%, 11/1/51, Continuously Callable @100 | | | 408,068 | |
| | 755,000 | | | Los Angeles Community College District, GO, 2.11%, 8/1/32, Continuously Callable @100 | | | 787,616 | |
| | 1,055,000 | | | San Diego Community College District, GO, 3.34%, 8/1/43, Continuously Callable @100 | | | 1,120,146 | |
| | 160,000 | | | State of California, Build America Bonds, GO, 7.63%, 3/1/40 | | | 278,995 | |
| | 347,000 | | | University of California Revenue, 4.77%, 5/15/15 | | | 489,954 | |
| | 50,000 | | | University of California Revenue, 4.86%, 5/15/12 | | | 71,424 | |
| | | | | | | | |
| | | | | | | 3,156,203 | |
| | | | | | | | |
| Georgia (0.0%†): | | | |
| | 350,000 | | | City of Atlanta GA Water & Wastewater Revenue, 2.26%, 11/1/35, Continuously Callable @100 | | | 367,759 | |
| | | | | | | | |
| Maryland (0.2%): | |
| | 400,000 | | | City of Baltimore MD Revenue, Series B, 2.81%, 7/1/40, Continuously Callable @100 | | | 417,088 | |
| | 1,215,000 | | | State of Maryland, GO, 5.00%, 3/15/29 | | | 1,640,578 | |
| | 1,765,000 | | | State of Maryland, GO, 5.00%, 3/15/28 | | | 2,330,682 | |
| | | | | | | | |
| | | | | | | 4,388,348 | |
| | | | | | | | |
| Ohio (0.0%†): | |
| | 490,000 | | | City of Cleveland Airport System Revenue, 2.88%, 1/1/31 | | | 510,070 | |
| | | | | | | | |
| Texas (0.0%†): | |
| | 410,000 | | | City of San Antonio TX Electric & Gas Systems Revenue, 2.91%, 2/1/48, Continuously Callable @100 | | | 434,079 | |
| | | | | | | | |
| Florida (0.0%†): | |
| | 140,000 | | | County of Miami-Dade FL Aviation Revenue, 3.28%, 10/1/29 | | | 152,589 | |
| | 520,000 | | | County of Miami-Dade FL Water & Sewer System Revenue, 3.49%, 10/1/42, Continuously Callable @100 | | | 559,666 | |
| | | | | | | | |
| | | | | | | 712,255 | |
| | | | | | | | |
See accompanying notes to the financial statements.
20
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Municipal Bonds, continued | | | |
| Massachusetts (0.2%): | |
| $ | 1,260,000 | | | Massachusetts School Building Authority Revenue, 3.40%, 10/15/40, Continuously Callable @100 | | $ | 1,355,042 | |
| | 1,780,000 | | | Massachusetts Water Resources Authority Revenue, 3.10%, 8/1/39, Continuously Callable @100 | | | 1,868,928 | |
| | | | | | | | |
| | | | | | | 3,223,970 | |
| | | | | | | | |
| New Jersey (0.1%): | |
| | 575,000 | | | New Jersey State Transportation Authority Revenue, Build America Bonds, GO, 6.56%, 12/15/40 | | | 787,969 | |
| | 270,000 | | | New Jersey Transportation Trust Fund Authority Revenue, 4.13%, 6/15/42 | | | 280,120 | |
| | 350,000 | | | Rutgers The State University of New Jersey Revenue, 3.27%, 5/1/43 | | | 374,745 | |
| | 260,000 | | | State of New Jersey, GO, 5.00%, 6/1/29 | | | 336,076 | |
| | 345,000 | | | State of New Jersey, GO, 5.00%, 6/1/25 | | | 410,519 | |
| | | | | | | | |
| | | | | | | 2,189,429 | |
| | | | | | | | |
| New York (0.1%): | |
| | 1,160,000 | | | New York State Dormitory Authority Revenue, 5.00%, 2/15/31, Continuously Callable @100 | | | 1,563,692 | |
| | 885,000 | | | New York State Thruway Authority Revenue, 2.90%, 1/1/35 | | | 961,473 | |
| | | | | | | | |
| | | | | | | 2,525,165 | |
| | | | | | | | |
| Oregon (0.0%†): | |
| | 635,000 | | | State of Oregon Department of Transportation Revenue, 3.17%, 11/15/38, Continuously Callable @100 | | | 679,526 | |
| | | | | | | | |
| Pennsylvania (0.0%†): | |
| | 530,000 | | | The Pennsylvania State University Revenue, Series D, 2.84%, 9/1/50 | | | 569,188 | |
| | | | | | | | |
| Michigan (0.1%): | |
| | 1,024,000 | | | University of Michigan Revenue, 2.44%, 4/1/40, Continuously Callable @100 | | | 1,072,998 | |
| | | | | | | | |
| Nebraska (0.1%): | |
| | 1,175,000 | | | University of Nebraska Facilities Corp. Revenue, 3.04%, 10/1/49 | | | 1,302,241 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $19,876,564) | | | 21,131,231 | |
| | | | | |
| U.S. Government Agency Mortgages (27.9%): | |
| Federal Home Loan Bank (0.2%): | |
| | 4,080,000 | | | 3.56%, 5/16/33 | | | 5,134,680 | |
| | | | | | | | |
| Federal Home Loan Mortgage Corporation (7.1%): | |
| | 3,650,000 | | | Class A2, Series KC02, 3.37%, 7/25/25 | | | 3,943,241 | |
| | 1,021,318 | | | Class A1, Series KIR2, 2.75%, 3/25/27, Callable 3/25/27 @ 100 | | | 1,080,013 | |
| | 184,100 | | | 3.00%, 9/1/27, Pool #U70060 | | | 193,871 | |
| | 3,185,000 | | | Class A2, Series K076, 3.90%, 4/25/28 | | | 3,805,534 | |
| | 11,000 | | | Class A2, Series K078, 3.85%, 6/25/28, Callable 6/25/28 @ 100 | | | 13,125 | |
| | 93,252 | | | 3.00%, 7/1/28, Pool #U79018 | | | 98,678 | |
| | 1,180,000 | | | Class A2, Series K083, 4.05%, 9/25/28, Callable 9/25/28 @ 100 | | | 1,429,464 | |
| | 3,293,000 | | | Class A2, Series K084, 3.78%, 10/25/28, Callable 10/25/28 @ 100 | | | 3,881,393 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 1,050,000 | | | Class A2, Series K088, 3.69%, 1/25/29, Callable 1/25/29 @ 100 | | $ | 1,252,167 | |
| | 591,000 | | | 1.22%, 9/15/29(c) | | | 533,447 | |
| | 4,510,000 | | | Class XFX, Series KL06, 1.36%, 12/25/29 | | | 433,140 | |
| | 35,016 | | | 3.00%, 1/1/30, Pool #V60696 | | | 37,277 | |
| | 46,538 | | | 3.00%, 1/1/30, Pool #V60724 | | | 50,107 | |
| | 71,675 | | | 2.50%, 3/1/30, Pool #V60770 | | | 75,485 | |
| | 178,079 | | | 2.50%, 5/1/30, Pool #J31728 | | | 188,663 | |
| | 115,013 | | | 2.50%, 5/1/30, Pool #V60796 | | | 121,928 | |
| | 162,793 | | | 3.00%, 5/1/30, Pool #J31689 | | | 175,300 | |
| | 77,451 | | | 2.50%, 5/1/30, Pool #J31418 | | | 81,499 | |
| | 309,984 | | | 3.00%, 6/1/30, Pool #V60840 | | | 332,585 | |
| | 29,485 | | | 2.50%, 7/1/30, Pool #J32209 | | | 31,024 | |
| | 7,447 | | | 2.50%, 7/1/30, Pool #J32491 | | | 7,889 | |
| | 148,298 | | | 3.00%, 7/1/30, Pool #G15520 | | | 158,772 | |
| | 18,937 | | | 3.00%, 7/1/30, Pool #J32181 | | | 20,402 | |
| | 27,284 | | | 2.50%, 7/1/30, Pool #J32204 | | | 28,628 | |
| | 8,191 | | | 2.50%, 7/1/30, Pool #V60905 | | | 8,686 | |
| | 104,980 | | | 2.50%, 8/1/30, Pool #V60902 | | | 110,655 | |
| | 30,508 | | | 3.00%, 8/1/30, Pool #V60909 | | | 32,734 | |
| | 18,585 | | | 3.00%, 8/1/30, Pool #J32436 | | | 19,892 | |
| | 128,202 | | | 2.50%, 8/1/30, Pool #V60886 | | | 135,122 | |
| | 315,347 | | | 2.50%, 9/1/30, Pool #V60904 | | | 334,280 | |
| | 100,318 | | | 2.50%, 9/1/30, Pool #V60903 | | | 105,392 | |
| | 7,300,000 | | | Class X1, Series K121, 1.03%, 10/25/30, Callable 7/25/30 @ 100 | | | 608,382 | |
| | 190,000 | | | 6.75%, 3/15/31 | | | 293,954 | |
| | 197,000 | | | 1.41%, 3/15/31(c) | | | 171,892 | |
| | 517,825 | | | 2.50%, 4/1/31, Pool #G16186 | | | 546,894 | |
| | 101,972 | | | 5.50%, 2/1/35, Pool #G04692 | | | 118,909 | |
| | 99,134 | | | 3.00%, 9/1/37, Pool #ZA2471 | | | 104,124 | |
| | 1,864,500 | | | 3.00%, 6/1/38, Pool #SC0111 | | | 1,973,126 | |
| | 160,511 | | | 6.00%, 4/1/39, Pool #G07613 | | | 190,209 | |
| | 25,608 | | | 4.50%, 12/1/39, Pool #A90196 | | | 28,416 | |
| | 1,318,879 | | | 3.50%, 1/1/40, Pool #RB5028 | | | 1,399,183 | |
| | 162,024 | | | 3.50%, 2/1/40, Pool #RB5034 | | | 171,653 | |
| | 25,203 | | | 4.50%, 7/1/40, Pool #A93010 | | | 27,813 | |
| | 35,446 | | | 4.00%, 8/1/40, Pool #A93534 | | | 38,932 | |
| | 181,017 | | | 4.00%, 9/1/40, Pool #A93851 | | | 203,353 | |
| | 529,472 | | | 4.50%, 9/1/40, Pool #A93700 | | | 591,187 | |
| | 32,893 | | | 4.00%, 10/1/40, Pool #A95923 | | | 36,583 | |
| | 34,221 | | | 4.00%, 11/1/40, Pool #A95144 | | | 38,094 | |
| | 23,750 | | | 4.00%, 11/1/40, Pool #A94779 | | | 26,146 | |
| | 28,774 | | | 4.00%, 11/1/40, Pool #A94977 | | | 32,012 | |
| | 1,870 | | | 4.00%, 4/1/41, Pool #Q00093 | | | 2,054 | |
| | 72,647 | | | 4.50%, 5/1/41, Pool #Q00804 | | | 80,723 | |
| | 77,001 | | | 4.50%, 5/1/41, Pool #Q00959 | | | 85,601 | |
| | 373,050 | | | Class FL, Series 4248, 0.61%(US0001M+45bps), 5/15/41 | | | 368,917 | |
| | 422,905 | | | 5.50%, 6/1/41, Pool #G07553 | | | 485,294 | |
| | 52,538 | | | 4.00%, 10/1/41, Pool #Q04022 | | | 59,381 | |
| | 87,050 | | | 5.00%, 10/1/41, Pool #G07642 | | | 97,831 | |
| | 32,635 | | | 4.00%, 10/1/41, Pool #Q03841 | | | 37,100 | |
| | 209,198 | | | 3.50%, 4/1/42, Pool #Q07417 | | | 230,074 | |
| | 221,066 | | | 3.50%, 4/1/42, Pool #C03811 | | | 245,125 | |
| | 6,685 | | | 3.50%, 5/1/42, Pool #Q08306 | | | 7,338 | |
See accompanying notes to the financial statements.
21
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 21,944 | | | 3.50%, 5/1/42, Pool #Q08239 | | $ | 24,090 | |
| | 25,417 | | | 3.50%, 8/1/42, Pool #Q12162 | | | 27,938 | |
| | 184,212 | | | 3.50%, 8/1/42, Pool #G07106 | | | 202,477 | |
| | 17,053 | | | 3.50%, 10/1/42, Pool #Q11909 | | | 18,750 | |
| | 248,047 | | | 3.00%, 1/1/43, Pool #Q14866 | | | 267,122 | |
| | 152,367 | | | 3.00%, 3/1/43, Pool #Q16403 | | | 164,680 | |
| | 229,069 | | | 3.00%, 3/1/43, Pool #Q16673 | | | 245,605 | |
| | 115,756 | | | 3.50%, 6/1/43, Pool #Q18718 | | | 126,874 | |
| | 186,759 | | | 3.50%, 7/1/43, Pool #Q20206 | | | 207,187 | |
| | 82,726 | | | 4.00%, 9/1/43, Pool #Q21579 | | | 94,513 | |
| | 254,032 | | | 4.50%, 12/1/43, Pool #Q23779 | | | 280,305 | |
| | 183,193 | | | 4.50%, 12/1/43, Pool #G60018 | | | 200,005 | |
| | 235,337 | | | 3.00%, 12/1/43, Pool #SD0497 | | | 257,441 | |
| | 21,072 | | | 3.50%, 1/1/44, Pool #Q24368 | | | 23,387 | |
| | 941,142 | | | Class XZ, Series 4316, 4.50%, 3/15/44 | | | 1,147,008 | |
| | 838,327 | | | 3.50%, 4/1/44, Pool #G07848 | | | 930,069 | |
| | 93,415 | | | 4.00%, 4/1/44, Pool #Q25643 | | | 102,848 | |
| | 1,374,151 | | | Class ZX, Series 4352, 4.00%, 4/15/44 | | | 1,467,937 | |
| | 22,296 | | | 3.50%, 5/1/44, Pool #Q26218 | | | 24,994 | |
| | 2,753,108 | | | 3.00%, 6/1/44, Pool #SD0498 | | | 2,994,655 | |
| | 104,777 | | | 3.50%, 6/1/44, Pool #Q28764 | | | 115,211 | |
| | 18,962 | | | 3.50%, 7/1/44, Pool #Q27319 | | | 21,463 | |
| | 140,472 | | | 4.00%, 7/1/44, Pool #G60901 | | | 154,382 | |
| | 2,821,205 | | | 3.50%, 9/1/44, Pool #SD0481 | | | 3,161,083 | |
| | 32,296 | | | 3.50%, 9/1/44, Pool #Q28604 | | | 35,614 | |
| | 3,129,714 | | | 4.00%, 1/1/45, Pool #SD0478 | | | 3,472,233 | |
| | 4,025,902 | | | 4.00%, 1/1/45, Pool #SD0490 | | | 4,423,523 | |
| | 26,380 | | | 4.00%, 2/1/45, Pool #Q31338 | | | 29,963 | |
| | 13,268 | | | 4.00%, 2/1/45, Pool #Q31128 | | | 15,251 | |
| | 867,159 | | | 3.50%, 6/1/45, Pool #SD0480 | | | 961,774 | |
| | 24,310 | | | 3.50%, 9/1/45, Pool #Q36302 | | | 27,264 | |
| | 4,285,926 | | | 4.00%, 9/1/45, Pool #SD0507 | | | 4,891,095 | |
| | 1,398,176 | | | 3.50%, 10/1/45, Pool #SD0482 | | | 1,536,042 | |
| | 30,223 | | | 4.00%, 12/1/45, Pool #Q37955 | | | 34,723 | |
| | 34,689 | | | 4.00%, 12/1/45, Pool #Q37957 | | | 39,280 | |
| | 2,369,927 | | | 3.50%, 3/1/46, Pool #SD0485 | | | 2,557,387 | |
| | 611,573 | | | Class FB, Series 4606, 0.66%(US0001M+50bps), 8/15/46 | | | 612,120 | |
| | 404,974 | | | 3.00%, 9/1/46, Pool #G60718 | | | 435,275 | |
| | 1,101,050 | | | 3.00%, 9/1/46, Pool #Q42979 | | | 1,183,857 | |
| | 556,666 | | | 3.50%, 9/1/46, Pool #SD0486 | | | 598,353 | |
| | 1,335,654 | | | 3.00%, 12/1/46, Pool #V82781 | | | 1,431,296 | |
| | 105,969 | | | 3.00%, 12/1/46, Pool #Q45083 | | | 115,822 | |
| | 386,621 | | | 3.00%, 12/1/46, Pool #Q45064 | | | 415,491 | |
| | 209,406 | | | 3.00%, 12/1/46, Pool #Q45080 | | | 227,119 | |
| | 994,492 | | | 3.00%, 2/1/47, Pool #SD0496 | | | 1,084,385 | |
| | 705,440 | | | 3.50%, 3/1/47, Pool #G60968 | | | 790,635 | |
| | 1,743,236 | | | 4.50%, 7/1/47, Pool #G61047 | | | 1,946,251 | |
| | 1,305,024 | | | 4.00%, 7/1/47, Pool #SD0504 | | | 1,429,263 | |
| | 528,183 | | | 3.50%, 10/1/47, Pool #G61178 | | | 593,893 | |
| | 694,169 | | | 3.50%, 12/1/47, Pool #G61208 | | | 780,560 | |
| | 85,365 | | | 3.50%, 1/1/48, Pool #Q53630 | | | 96,038 | |
| | 3,010,712 | | | 3.50%, 1/1/48, Pool #SD0508 | | | 3,320,087 | |
| | 155,900 | | | 3.50%, 1/1/48, Pool #Q53648 | | | 172,041 | |
| | 701,773 | | | 4.00%, 4/1/48, Pool #SD0503 | | | 789,458 | |
| | 980,860 | | | 4.00%, 4/1/48, Pool #SD0489 | | | 1,118,185 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 1,803,077 | | | 3.50%, 6/1/48, Pool #SD0493 | | $ | 1,975,268 | |
| | 1,997,274 | | | 4.50%, 8/1/48, Pool #G67715 | | | 2,230,668 | |
| | 5,078,168 | | | 4.00%, 8/1/48, Pool #SD0492 | | | 5,640,614 | |
| | 5,176,150 | | | 4.00%, 5/1/49, Pool #SD0488 | | | 5,632,983 | |
| | 6,211,546 | | | 3.50%, 6/1/49, Pool #SD0494 | | | 6,886,625 | |
| | 4,850,430 | | | 3.50%, 8/1/49, Pool #SD0491 | | | 5,414,486 | |
| | 3,206,271 | | | 3.50%, 3/1/50, Pool #SD0506 | | | 3,493,957 | |
| | 1,801,497 | | | 4.00%, 6/1/50, Pool #SD0520 | | | 1,965,960 | |
| | 17,680 | | | 3.00%, 7/1/50, Pool #QB1488 | | | 19,500 | |
| | 35,961 | | | 3.00%, 7/1/50, Pool #QB1486 | | | 39,653 | |
| | 164,465 | | | 3.00%, 7/1/50, Pool #QB1479 | | | 179,776 | |
| | 17,879 | | | 3.00%, 7/1/50, Pool #QB1158 | | | 19,174 | |
| | 1,195,714 | | | 3.00%, 8/1/50, Pool #RA3282 | | | 1,288,396 | |
| | 1,448,718 | | | 3.00%, 8/1/50, Pool #SD0519 | | | 1,582,412 | |
| | 4,773,381 | | | 3.00%, 8/1/50, Pool #SD0500 | | | 5,173,117 | |
| | 4,741,118 | | | 3.00%, 8/1/50, Pool #SD0501 | | | 5,227,137 | |
| | 1,394,501 | | | 3.00%, 8/1/50, Pool #RA3313 | | | 1,481,644 | |
| | 1,498,897 | | | 3.00%, 8/1/50, Pool #SD0499 | | | 1,613,952 | |
| | 959,541 | | | 3.50%, 8/1/50, Pool #SD0487 | | | 1,035,772 | |
| | 5,896,481 | | | 3.00%, 8/1/50, Pool #SD0502 | | | 6,369,295 | |
| | 114,837 | | | 3.00%, 8/1/50, Pool #QB2339 | | | 126,654 | |
| | 14,398,716 | | | 3.00%, 9/1/50, Pool #SD0495 | | | 15,239,921 | |
| | | | | | | | |
| | | | | | | 147,081,959 | |
| | | | | | | | |
| Federal National Mortgage Association (13.6%): | |
| | 132,829 | | | 2.50%, 9/1/27, Pool #AB6194 | | | 139,567 | |
| | 87,521 | | | 2.50%, 9/1/27, Pool #AP5205 | | | 91,387 | |
| | 31,242 | | | 2.50%, 2/1/28, Pool #AB8446 | | | 32,636 | |
| | 46,842 | | | 3.00%, 4/1/28, Pool #AT3121 | | | 49,842 | |
| | 70,269 | | | 2.50%, 4/1/28, Pool #AB8870 | | | 73,872 | |
| | 49,917 | | | 3.00%, 5/1/28, Pool #AT6033 | | | 53,110 | |
| | 193,555 | | | 2.50%, 8/1/28, Pool #AS0190 | | | 203,486 | |
| | 1,289,000 | | | Class A2, Series 2018-M14, 3.58%, 8/25/28 | | | 1,517,321 | |
| | 892,422 | | | 3.50%, 9/1/28, Pool #AL4245 | | | 952,133 | |
| | 11,978 | | | 3.00%, 10/1/28, Pool #AQ4132 | | | 12,745 | |
| | 232,600 | | | 3.50%, 10/1/28, Pool #AV0198 | | | 248,124 | |
| | 111,798 | | | 3.00%, 10/1/28, Pool #AU8774 | | | 118,923 | |
| | 12,788 | | | 3.00%, 11/1/28, Pool #AV0298 | | | 13,608 | |
| | 381,641 | | | 3.50%, 11/1/28, Pool #AV1360 | | | 407,222 | |
| | 292,820 | | | 3.00%, 4/1/29, Pool #AW0937 | | | 314,990 | |
| | 2,805,000 | | | Class A2, Series 2019-M7, 3.14%, 4/25/29 | | | 3,223,787 | |
| | 213,854 | | | 3.00%, 5/1/29, Pool #AW2544 | | | 229,401 | |
| | 401,752 | | | 3.00%, 6/1/29, Pool #AS2676 | | | 432,121 | |
| | 509,412 | | | 3.00%, 7/1/29, Pool #AW4229 | | | 546,406 | |
| | 100,691 | | | 3.00%, 7/1/29, Pool #AW1281 | | | 105,639 | |
| | 815,853 | | | 3.00%, 9/1/29, Pool #AL6897 | | | 874,936 | |
| | 126,317 | | | 3.50%, 9/1/29, Pool #AX0105 | | | 135,220 | |
| | 257,245 | | | 3.00%, 9/1/29, Pool #AS3220 | | | 276,712 | |
| | 281,576 | | | 3.50%, 9/1/29, Pool #AL5806 | | | 301,411 | |
| | 1,350,000 | | | Class A2, Series 2020-M1, 2.44%, 9/25/29 | | | 1,482,138 | |
| | 150,209 | | | 3.00%, 10/1/29, Pool #AS3594 | | | 161,086 | |
| | 35,040 | | | 3.50%, 10/1/29, Pool #AX2741 | | | 37,512 | |
| | 200,945 | | | 3.50%, 12/1/29, Pool #AS3988 | | | 215,140 | |
| | 570,795 | | | 3.00%, 1/1/30, Pool #AL6144 | | | 613,991 | |
| | 2,605,000 | | | 1.32%, 1/15/30(c) | | | 2,323,261 | |
| | 23,874 | | | 2.50%, 2/1/30, Pool #AS4488 | | | 25,183 | |
| | 21,580 | | | 2.50%, 2/1/30, Pool #AS4485 | | | 22,619 | |
See accompanying notes to the financial statements.
22
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 79,431 | | | 2.50%, 2/1/30, Pool #BM3403 | | $ | 82,868 | |
| | 153,578 | | | 2.50%, 3/1/30, Pool #AS4688 | | | 163,123 | |
| | 118,140 | | | 3.00%, 3/1/30, Pool #AL6583 | | | 127,214 | |
| | 67,328 | | | 2.50%, 4/1/30, Pool #AY3416 | | | 71,097 | |
| | 94,405 | | | 3.00%, 4/1/30, Pool #AL6584 | | | 100,073 | |
| | 36,629 | | | 2.50%, 5/1/30, Pool #AY0828 | | | 38,707 | |
| | 55,884 | | | 3.00%, 5/1/30, Pool #AL6761 | | | 59,947 | |
| | 3,901,000 | | | 0.00%, 5/15/30(c) | | | 3,454,772 | |
| | 307,388 | | | 3.00%, 6/1/30, Pool #AL9381 | | | 329,945 | |
| | 121,692 | | | 2.50%, 7/1/30, Pool #AS5403 | | | 126,942 | |
| | 37,475 | | | 2.50%, 7/1/30, Pool #AZ2170 | | | 39,825 | |
| | 21,880 | | | 2.50%, 7/1/30, Pool #AS5405 | | | 22,891 | |
| | 13,587 | | | 3.00%, 7/1/30, Pool #AZ2297 | | | 14,633 | |
| | 76,397 | | | 3.00%, 7/1/30, Pool #AL7139 | | | 80,987 | |
| | 21,834 | | | 3.00%, 7/1/30, Pool #AX9700 | | | 23,514 | |
| | 94,708 | | | 3.00%, 7/1/30, Pool #AX9701 | | | 100,423 | |
| | 111,224 | | | 3.00%, 8/1/30, Pool #AS5623 | | | 118,709 | |
| | 99,331 | | | 3.00%, 8/1/30, Pool #AS5622 | | | 105,293 | |
| | 233,795 | | | 2.50%, 8/1/30, Pool #BM3552 | | | 244,214 | |
| | 613,145 | | | 3.50%, 8/1/30, Pool #AL7430 | | | 655,870 | |
| | 130,397 | | | 3.00%, 8/1/30, Pool #AL7227 | | | 139,182 | |
| | 143,519 | | | 3.00%, 8/1/30, Pool #AL7225 | | | 152,125 | |
| | 58,132 | | | 2.50%, 8/1/30, Pool #AS5548 | | | 60,638 | |
| | 143,648 | | | 2.50%, 8/1/30, Pool #AS5616 | | | 150,535 | |
| | 20,255 | | | 3.00%, 8/1/30, Pool #AX3298 | | | 21,815 | |
| | 9,288 | | | 3.00%, 8/1/30, Pool #AZ8597 | | | 9,961 | |
| | 81,427 | | | 2.50%, 8/1/30, Pool #AS5614 | | | 86,508 | |
| | 18,840 | | | 3.50%, 8/1/30, Pool #AS5707 | | | 20,189 | |
| | 82,677 | | | 3.50%, 8/1/30, Pool #AS5708 | | | 88,884 | |
| | 18,452 | | | 3.00%, 8/1/30, Pool #AZ7833 | | | 19,864 | |
| | 77,707 | | | 3.00%, 9/1/30, Pool #AS5714 | | | 82,367 | |
| | 27,304 | | | 3.00%, 9/1/30, Pool #AL7320 | | | 29,283 | |
| | 100,961 | | | 3.00%, 9/1/30, Pool #AS5728 | | | 108,704 | |
| | 72,470 | | | 2.50%, 9/1/30, Pool #AS5786 | | | 75,602 | |
| | 41,647 | | | 3.00%, 9/1/30, Pool #AZ5719 | | | 44,847 | |
| | 91,697 | | | 2.50%, 9/1/30, Pool #AS5872 | | | 97,411 | |
| | 12,270 | | | 2.50%, 11/1/30, Pool #AL7800 | | | 12,861 | |
| | 80,327 | | | 2.50%, 11/1/30, Pool #AS6116 | | | 84,012 | |
| | 87,260 | | | 2.50%, 11/1/30, Pool #AS6141 | | | 92,700 | |
| | 79,630 | | | 2.50%, 11/1/30, Pool #AS6115 | | | 83,462 | |
| | 81,015 | | | 2.50%, 11/1/30, Pool #AS6142 | | | 84,504 | |
| | 1,580,620 | | | 3.00%, 1/1/31, Pool #BM3537 | | | 1,687,229 | |
| | 15,900,000 | | | 3.50%, 2/25/31, TBA | | | 16,826,672 | |
| | 133,929 | | | 2.50%, 3/1/31, Pool #BM1595 | | | 139,893 | |
| | 135,559 | | | 2.50%, 6/1/31, Pool #AS7320 | | | 142,652 | |
| | 220,092 | | | 2.50%, 7/1/31, Pool #AS7605 | | | 231,629 | |
| | 241,857 | | | 2.50%, 7/1/31, Pool #AS7617 | | | 254,520 | |
| | 37,471 | | | 4.00%, 8/1/31, Pool #AY4688 | | | 40,691 | |
| | 49,357 | | | 4.00%, 8/1/31, Pool #AY4707 | | | 54,027 | |
| | 9,646 | | | 2.50%, 8/1/31, Pool #BC2777 | | | 10,149 | |
| | 1,735,511 | | | 3.00%, 8/1/31, Pool #AL9376 | | | 1,867,170 | |
| | 152,442 | | | 3.00%, 9/1/31, Pool #AL9378 | | | 163,237 | |
| | 550,091 | | | 2.50%, 10/1/31, Pool #AS8208 | | | 578,890 | |
| | 87,616 | | | 2.00%, 10/1/31, Pool #MA2774 | | | 91,569 | |
| | 1,005,243 | | | 2.50%, 10/1/31, Pool #AS8195 | | | 1,066,325 | |
| | 1,972,310 | | | 2.50%, 10/1/31, Pool #BC4773 | | | 2,092,033 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 304,127 | | | 2.50%, 10/1/31, Pool #AS8009 | | $ | 317,255 | |
| | 400,013 | | | 2.50%, 10/1/31, Pool #AS8193 | | | 418,881 | |
| | 27,201 | | | 2.00%, 11/1/31, Pool #AS8291 | | | 28,506 | |
| | 142,152 | | | 2.00%, 11/1/31, Pool #BC9040 | | | 148,571 | |
| | 292,258 | | | 2.50%, 11/1/31, Pool #BC2631 | | | 307,452 | |
| | 148,459 | | | 2.50%, 11/1/31, Pool #BC2629 | | | 156,242 | |
| | 329,150 | | | 2.50%, 11/1/31, Pool #AS8240 | | | 346,368 | |
| | 496,471 | | | 2.00%, 11/1/31, Pool #BM3054 | | | 518,844 | |
| | 221,903 | | | 2.50%, 11/1/31, Pool #AS8241 | | | 231,496 | |
| | 163,371 | | | 2.50%, 11/1/31, Pool #AS8245 | | | 173,309 | |
| | 425,982 | | | 2.00%, 11/1/31, Pool #AS8251 | | | 446,398 | |
| | 171,555 | | | 2.50%, 11/1/31, Pool #BC2628 | | | 182,040 | |
| | 119,438 | | | 2.00%, 12/1/31, Pool #MA2845 | | | 124,829 | |
| | 29,585 | | | 2.50%, 2/1/32, Pool #BM1036 | | | 31,121 | |
| | 865,537 | | | 3.50%, 2/1/32, Pool #AS8885 | | | 919,367 | |
| | 15,985 | | | 3.00%, 2/1/32, Pool #BE5670 | | | 16,773 | |
| | 529,396 | | | 2.50%, 3/1/32, Pool #AS9318 | | | 555,300 | |
| | 496,838 | | | 3.00%, 3/1/32, Pool #AS9327 | | | 521,351 | |
| | 315,650 | | | 2.50%, 3/1/32, Pool #AS9316 | | | 334,154 | |
| | 476,826 | | | 2.50%, 3/1/32, Pool #AS9321 | | | 503,995 | |
| | 568,701 | | | 2.50%, 3/1/32, Pool #AS9319 | | | 597,337 | |
| | 292,479 | | | 2.50%, 3/1/32, Pool #AS9317 | | | 311,474 | |
| | 739,485 | | | 2.00%, 3/1/32, Pool #BM3061 | | | 779,277 | |
| | 2,216,680 | | | 3.50%, 4/1/32, Pool #BM3503 | | | 2,379,643 | |
| | 1,629,527 | | | 3.50%, 5/1/32, Pool #BM1602 | | | 1,746,202 | |
| | 2,350,133 | | | 3.00%, 6/1/32, Pool #BM1791 | | | 2,546,750 | |
| | 737,971 | | | 2.50%, 8/1/32, Pool #BM3578 | | | 773,816 | |
| | 282,910 | | | 3.00%, 9/1/32, Pool #BM3240 | | | 297,331 | |
| | 83,034 | | | 3.50%, 11/1/32, Pool #BJ2054 | | | 90,831 | |
| | 89,532 | | | 5.50%, 1/1/33, Pool #676661 | | | 104,184 | |
| | 53,992 | | | 3.50%, 1/1/33, Pool #BJ2096 | | | 57,499 | |
| | 1,392,383 | | | 2.50%, 2/1/33, Pool #BM3793 | | | 1,478,995 | |
| | 65,496 | | | 5.50%, 5/1/33, Pool #555424 | | | 75,889 | |
| | 96,762 | | | 4.00%, 9/1/33, Pool #BK7642 | | | 104,664 | |
| | 276,206 | | | 4.00%, 10/1/33, Pool #CA2528 | | | 299,044 | |
| | 355,761 | | | 4.00%, 10/1/33, Pool #CA2406 | | | 384,555 | |
| | 504,787 | | | 4.00%, 10/1/33, Pool #CA2404 | | | 547,862 | |
| | 294,387 | | | 4.00%, 10/1/33, Pool #CA2527 | | | 313,176 | |
| | 300,975 | | | 4.00%, 11/1/33, Pool #CA2555 | | | 328,182 | |
| | 1,676,143 | | | 4.00%, 11/1/33, Pool #CA2557 | | | 1,815,145 | |
| | 622,784 | | | 2.50%, 12/1/33, Pool #FM1680 | | | 654,123 | |
| | 512,244 | | | 5.00%, 2/1/35, Pool #735226 | | | 585,363 | |
| | 160,784 | | | 5.50%, 2/1/35, Pool #735989 | | | 188,144 | |
| | 38,338 | | | 5.00%, 3/1/35, Pool #735288 | | | 44,420 | |
| | 14,439 | | | 6.00%, 4/1/35, Pool #735504 | | | 16,975 | |
| | 256,772 | | | 3.00%, 8/1/35, Pool #CA6849 | | | 276,778 | |
| | 260,799 | | | 3.00%, 8/1/35, Pool #CA6876 | | | 281,679 | |
| | 73,525 | | | 5.00%, 9/1/35, Pool #889974 | | | 84,763 | |
| | 148,851 | | | 3.00%, 12/1/35, Pool #CA8389 | | | 160,792 | |
| | 1,443,260 | | | 2.50%, 12/1/35, Pool #CA8388 | | | 1,541,809 | |
| | 72,759 | | | 3.00%, 12/1/35, Pool #CA8391 | | | 77,006 | |
| | 1,268,095 | | | 2.50%, 12/1/35, Pool #CA8387 | | | 1,350,067 | |
| | 169,535 | | | 4.00%, 1/1/36, Pool #AB0686 | | | 189,971 | |
| | 18,690,000 | | | 2.00%, 1/25/36, TBA | | | 19,539,811 | |
| | 2,186,000 | | | 3.00%, 1/25/36, TBA | | | 2,292,909 | |
| | 366,427 | | | 5.50%, 9/1/36, Pool #995113 | | | 427,230 | |
See accompanying notes to the financial statements.
23
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 41,999 | | | 3.00%, 10/1/36, Pool #AL9227 | | $ | 44,021 | |
| | 316,108 | | | 3.00%, 11/1/36, Pool #AS8348 | | | 342,113 | |
| | 127,051 | | | 3.00%, 11/1/36, Pool #AS8349 | | | 134,512 | |
| | 272,131 | | | 3.00%, 12/1/36, Pool #BE1896 | | | 293,138 | |
| | 378,708 | | | 3.00%, 12/1/36, Pool #AS8553 | | | 410,811 | |
| | 18,312 | | | 5.50%, 2/1/38, Pool #961545 | | | 20,831 | |
| | 12,378 | | | 6.00%, 3/1/38, Pool #889529 | | | 14,719 | |
| | 38,574 | | | 6.00%, 5/1/38, Pool #889466 | | | 45,857 | |
| | 83,667 | | | 5.50%, 5/1/38, Pool #889692 | | | 96,006 | |
| | 66,323 | | | 5.50%, 5/1/38, Pool #889441 | | | 75,609 | |
| | 56,507 | | | 5.50%, 6/1/38, Pool #995018 | | | 64,974 | |
| | 16,314 | | | 5.50%, 9/1/38, Pool #889995 | | | 18,814 | |
| | 39,064 | | | 6.00%, 10/1/38, Pool #889983 | | | 46,399 | |
| | 191,292 | | | 5.50%, 1/1/39, Pool #AB0200 | | | 224,863 | |
| | 81,330 | | | 4.50%, 4/1/39, Pool #930922 | | | 90,482 | |
| | 113,724 | | | 3.50%, 5/1/39, Pool #MA3660 | | | 120,648 | |
| | 92,698 | | | 4.50%, 5/1/39, Pool #AL1472 | | | 103,177 | |
| | 899,744 | | | 5.00%, 6/1/39, Pool #AL7521 | | | 1,037,229 | |
| | 580,929 | | | 6.00%, 7/1/39, Pool #BF0056 | | | 679,050 | |
| | 44,764 | | | 5.50%, 10/1/39, Pool #AD0362 | | | 51,475 | |
| | 39,745 | | | 5.50%, 12/1/39, Pool #AD0571 | | | 45,690 | |
| | 280,595 | | | 5.50%, 12/1/39, Pool #AC6680 | | | 338,907 | |
| | 400,561 | | | 3.50%, 12/1/39, Pool #MA3869 | | | 424,950 | |
| | 4,817,258 | | | 4.50%, 1/1/40, Pool #AC8568 | | | 5,314,484 | |
| | 198,471 | | | 3.50%, 1/1/40, Pool #MA3891 | | | 210,266 | |
| | 326,775 | | | 3.50%, 2/1/40, Pool #MA3935 | | | 346,194 | |
| | 36,229 | | | 5.50%, 3/1/40, Pool #AL5304 | | | 41,777 | |
| | 28,726 | | | 4.50%, 4/1/40, Pool #AD4038 | | | 31,948 | |
| | 260,537 | | | 6.00%, 4/1/40, Pool #AL4141 | | | 306,885 | |
| | 50,451 | | | 6.50%, 5/1/40, Pool #AL1704 | | | 59,224 | |
| | 67,775 | | | 4.50%, 7/1/40, Pool #AB1226 | | | 74,771 | |
| | 76,652 | | | 4.50%, 7/1/40, Pool #AD7127 | | | 83,772 | |
| | 27,609 | | | 6.00%, 9/1/40, Pool #AE0823 | | | 31,988 | |
| | 2,680,000 | | | Class CY, Series 2010-136, 4.00%, 12/25/40 | | | 3,056,157 | |
| | 38,359 | | | 4.00%, 1/1/41, Pool #AL7167 | | | 41,465 | |
| | 6,023,852 | | | Class ZA, Series 2011-8, 4.00%, 2/25/41 | | | 6,478,513 | |
| | 62,477 | | | 6.00%, 6/1/41, Pool #AL4142 | | | 72,348 | |
| | 592,046 | | | 5.00%, 7/1/41, Pool #AL7524 | | | 674,617 | |
| | 28,216 | | | 4.50%, 7/1/41, Pool #AB3314 | | | 31,369 | |
| | 741,609 | | | 5.50%, 9/1/41, Pool #AL8430 | | | 857,267 | |
| | 42,843 | | | 4.50%, 9/1/41, Pool #AI8961 | | | 48,777 | |
| | 956,696 | | | 4.00%, 1/1/42, Pool #AB4307 | | | 1,049,367 | |
| | 229,569 | | | 3.50%, 1/1/42, Pool #AW8154 | | | 250,958 | |
| | 28,543 | | | 3.50%, 4/1/42, Pool #AK7510 | | | 31,167 | |
| | 99,873 | | | 3.50%, 4/1/42, Pool #AO0777 | | | 105,475 | |
| | 70,892 | | | 4.00%, 5/1/42, Pool #A02114 | | | 78,128 | |
| | 13,637 | | | 3.50%, 5/1/42, Pool #AO2881 | | | 14,829 | |
| | 206,526 | | | 4.00%, 5/1/42, Pool #AO2961 | | | 227,615 | |
| | 24,816 | | | 3.50%, 6/1/42, Pool #AK9225 | | | 26,955 | |
| | 16,621 | | | 3.50%, 6/1/42, Pool #AO3048 | | | 18,100 | |
| | 43,774 | | | 3.50%, 7/1/42, Pool #AO9707 | | | 47,843 | |
| | 210,125 | | | 4.50%, 9/1/42, Pool #AL2482 | | | 233,199 | |
| | 1,335,884 | | | 4.50%, 1/1/43, Pool #AL8206 | | | 1,483,937 | |
| | 95,831 | | | 3.00%, 3/1/43, Pool #AR9218 | | | 100,362 | |
| | 88,227 | | | 3.00%, 3/1/43, Pool #AR7576 | | | 92,585 | |
| | 74,708 | | | 3.00%, 3/1/43, Pool #AR7568 | | | 80,022 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 155,434 | | | 3.00%, 4/1/43, Pool #AT2040 | | $ | 162,847 | |
| | 39,901 | | | 3.00%, 4/1/43, Pool #AT2037 | | | 42,708 | |
| | 90,649 | | | 3.00%, 4/1/43, Pool #AB8923 | | | 94,963 | |
| | 112,759 | | | 3.00%, 4/1/43, Pool #AR8630 | | | 118,107 | |
| | 79,692 | | | 3.00%, 4/1/43, Pool #AB8924 | | | 83,613 | |
| | 94,878 | | | 3.00%, 4/1/43, Pool #AT2043 | | | 99,576 | |
| | 11,787 | | | 3.00%, 6/1/43, Pool #AB9564 | | | 12,930 | |
| | 871,675 | | | 5.00%, 12/1/43, Pool #AL7777 | | | 979,700 | |
| | 511,124 | | | 5.00%, 11/1/44, Pool #AL8878 | | | 579,631 | |
| | 339,593 | | | 3.50%, 2/1/45, Pool #BM1100 | | | 371,893 | |
| | 1,128,354 | | | 3.50%, 2/1/45, Pool #FM5294 | | | 1,226,375 | |
| | 265,834 | | | 5.00%, 6/1/45, Pool #BM3784 | | | 299,948 | |
| | 166,523 | | | 4.50%, 9/1/45, Pool #AL7936 | | | 187,499 | |
| | 87,815 | | | 4.50%, 11/1/45, Pool #AL9501 | | | 100,271 | |
| | 5,165 | | | 4.50%, 11/1/45, Pool #AS6233 | | | 5,764 | |
| | 254,564 | | | 4.50%, 12/1/45, Pool #BM1756 | | | 283,612 | |
| | 24,684 | | | 3.00%, 6/1/46, Pool #AS7365 | | | 26,565 | |
| | 516,186 | | | 4.50%, 7/1/46, Pool #BM3053 | | | 602,182 | |
| | 693,306 | | | 4.50%, 7/1/46, Pool #BM1920 | | | 791,285 | |
| | 2,170,840 | | | 3.50%, 7/1/46, Pool #BA7748 | | | 2,364,797 | |
| | 3,281,726 | | | 3.00%, 7/1/46, Pool #FM5291 | | | 3,584,462 | |
| | 27,120 | | | 3.00%, 8/1/46, Pool #AL9031 | | | 29,743 | |
| | 931,997 | | | Class UF, Series 2016-48, 0.55%(US0001M+40bps), 8/25/46 | | | 926,020 | |
| | 1,611,295 | | | 3.00%, 9/1/46, Pool #BD1469 | | | 1,750,641 | |
| | 330,944 | | | 3.00%, 11/1/46, Pool #BD9645 | | | 355,812 | |
| | 124,925 | | | 3.00%, 11/1/46, Pool #BD9643 | | | 134,435 | |
| | 427,161 | | | 3.00%, 11/1/46, Pool #BD9644 | | | 459,855 | |
| | 338,347 | | | 3.50%, 12/1/46, Pool #BE2103 | | | 369,166 | |
| | 1,393,841 | | | 3.00%, 12/1/46, Pool #AS8486 | | | 1,520,362 | |
| | 482,391 | | | 3.50%, 2/1/47, Pool #BE1534 | | | 529,669 | |
| | 1,321,069 | | | 3.50%, 2/1/47, Pool #AL9920 | | | 1,440,342 | |
| | 124,213 | | | 3.50%, 3/1/47, Pool #BH0158 | | | 135,365 | |
| | 907,090 | | | 3.50%, 5/1/47, Pool #BD2417 | | | 994,945 | |
| | 290,015 | | | 3.50%, 5/1/47, Pool #BE9375 | | | 316,056 | |
| | 546,383 | | | 4.00%, 5/1/47, Pool #BH0398 | | | 600,013 | |
| | 634,538 | | | 3.50%, 5/1/47, Pool #BM1174 | | | 690,681 | |
| | 237,921 | | | 3.50%, 6/1/47, Pool #BH0567 | | | 261,410 | |
| | 503,260 | | | 4.00%, 7/1/47, Pool #BH3401 | | | 552,657 | |
| | 604,179 | | | 4.00%, 8/1/47, Pool #BM1619 | | | 663,482 | |
| | 298,958 | | | 4.50%, 10/1/47, Pool #BM3052 | | | 343,904 | |
| | 374,902 | | | 4.50%, 12/1/47, Pool #BH7067 | | | 418,678 | |
| | 2,628,764 | | | 3.50%, 1/1/48, Pool #FM5293 | | | 2,863,687 | |
| | 155,714 | | | 4.00%, 2/1/48, Pool #BJ9058 | | | 171,478 | |
| | 141,080 | | | 4.00%, 2/1/48, Pool #BJ9057 | | | 154,095 | |
| | 254,827 | | | 4.50%, 4/1/48, Pool #BM3846 | | | 296,784 | |
| | 388,457 | | | 3.50%, 4/1/48, Pool #FM5295 | | | 430,633 | |
| | 4,423,601 | | | 4.50%, 5/1/48, Pool #CA1704 | | | 4,940,632 | |
| | 460,308 | | | 5.00%, 6/1/48, Pool #CA2317 | | | 511,621 | |
| | 144,786 | | | 4.50%, 7/1/48, Pool #BK6113 | | | 168,508 | |
| | 22,315 | | | 4.50%, 7/1/48, Pool #BK4471 | | | 24,936 | |
| | 1,983,972 | | | 5.00%, 9/1/48, Pool #MA3472 | | | 2,205,140 | |
| | 193,790 | | | 5.00%, 10/1/48, Pool #MA3501 | | | 215,393 | |
| | 364,215 | | | 5.00%, 10/1/48, Pool #BK7881 | | | 404,817 | |
| | 296,469 | | | 5.00%, 11/1/48, Pool #MA3527 | | | 329,519 | |
| | 102,493 | | | 5.00%, 12/1/48, Pool #BN4404 | | | 114,774 | |
See accompanying notes to the financial statements.
24
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 209,834 | | | 5.00%, 1/1/49, Pool #BN4430 | | $ | 234,978 | |
| | 2,557,635 | | | 4.00%, 1/1/49, Pool #FM5296 | | | 2,820,704 | |
| | 293,205 | | | 5.00%, 1/1/49, Pool #BN3949 | | | 325,892 | |
| | 13,801,000 | | | 2.00%, 1/25/50, TBA | | | 14,335,789 | |
| | 31,128,783 | | | 2.00%, 2/25/50, TBA | | | 32,296,112 | |
| | 9,493,629 | | | 3.00%, 3/1/50, Pool #FM5290 | | | 10,229,405 | |
| | 5,043,647 | | | 3.00%, 8/1/50, Pool #FM5289 | | | 5,312,082 | |
| | 2,869,865 | | | 3.00%, 8/1/50, Pool #FM5292 | | | 3,099,986 | |
| | 2,737,451 | | | 2.50%, 10/1/50, Pool #CA7227 | | | 2,946,438 | |
| | 3,104,997 | | | 2.50%, 10/1/50, Pool #CA7241 | | | 3,306,131 | |
| | 2,494,341 | | | 2.50%, 11/1/50, Pool #CA7620 | | | 2,655,975 | |
| | 2,275,840 | | | 2.50%, 11/1/50, Pool #CA7619 | | | 2,432,808 | |
| | 5,387,224 | | | 2.50%, 11/1/50, Pool #FM4862 | | | 5,691,660 | |
| | 4,722,153 | | | 2.50%, 12/1/50, Pool #CA8137 | | | 5,033,897 | |
| | 1,533,235 | | | 2.50%, 12/1/50, Pool #CA8136 | | | 1,634,447 | |
| | 40,000 | | | 4.50%, 1/25/51, TBA | | | 43,350 | |
| | 4,710,055 | | | 3.50%, 1/25/51, TBA | | | 4,977,203 | |
| | 8,649,000 | | | 4.00%, 1/25/51, TBA | | | 9,235,510 | |
| | 14,000,000 | | | 4.00%, 2/25/51, TBA | | | 14,970,156 | |
| | | | | | | | |
| | | | | | | 282,267,807 | |
| | | | | | | | |
| Government National Mortgage Association (7.0%): | |
| | 13,815 | | | 4.50%, 9/15/33, Pool #615516 | | | 15,360 | |
| | 53,031 | | | 5.00%, 12/15/33, Pool #783571 | | | 58,364 | |
| | 15,579 | | | 6.50%, 8/20/38, Pool #4223 | | | 19,061 | |
| | 12,424 | | | 6.50%, 10/15/38, Pool #673213 | | | 13,868 | |
| | 8,658 | | | 6.50%, 11/20/38, Pool #4292 | | | 10,445 | |
| | 15,166 | | | 6.50%, 12/15/38, Pool #782510 | | | 17,392 | |
| | 180,135 | | | 5.00%, 1/15/39, Pool #782557 | | | 202,916 | |
| | 110,651 | | | 5.00%, 4/15/39, Pool #782619 | | | 125,418 | |
| | 65,338 | | | 5.00%, 4/15/39, Pool #711939 | | | 74,089 | |
| | 13,036 | | | 4.00%, 4/20/39, Pool #4422 | | | 14,034 | |
| | 10,793 | | | 5.00%, 6/15/39, Pool #782696 | | | 12,170 | |
| | 43,321 | | | 4.00%, 7/20/39, Pool #4494 | | | 47,262 | |
| | 69,749 | | | 5.00%, 10/20/39, Pool #4559 | | | 78,548 | |
| | 8,155 | | | 4.50%, 12/20/39, Pool #G24598 | | | 8,993 | |
| | 21,160 | | | 4.50%, 1/15/40, Pool #728627 | | | 23,566 | |
| | 9,974 | | | 4.50%, 1/20/40, Pool #4617 | | | 10,998 | |
| | 7,854 | | | 4.50%, 2/20/40, Pool #G24636 | | | 8,842 | |
| | 57,582 | | | 5.00%, 5/15/40, Pool #782958 | | | 64,686 | |
| | 526 | | | 4.50%, 5/20/40, Pool #G24696 | | | 578 | |
| | 43,502 | | | 5.00%, 6/15/40, Pool #697862 | | | 50,590 | |
| | 55,503 | | | 4.50%, 7/15/40, Pool #745793 | | | 62,250 | |
| | 403,139 | | | 4.50%, 7/15/40, Pool #733795 | | | 456,757 | |
| | 20,259 | | | 4.50%, 7/20/40, Pool #4746 | | | 22,341 | |
| | 37,171 | | | 4.50%, 8/20/40, Pool #4771 | | | 40,985 | |
| | 20,610 | | | 4.50%, 9/20/40, Pool #748948 | | | 22,325 | |
| | 11,278 | | | 4.00%, 9/20/40, Pool #G24800 | | | 12,386 | |
| | 91,627 | | | 4.50%, 10/15/40, Pool #783609 | | | 102,323 | |
| | 291,850 | | | 4.00%, 10/20/40, Pool #G24833 | | | 320,549 | |
| | 35,047 | | | 4.50%, 10/20/40, Pool #4834 | | | 38,649 | |
| | 546,118 | | | 4.00%, 11/20/40, Pool #4853 | | | 605,424 | |
| | 267,280 | | | 4.00%, 12/20/40, Pool #G24882 | | | 293,576 | |
| | 124,169 | | | 4.00%, 1/15/41, Pool #759138 | | | 134,234 | |
| | 238,931 | | | 4.00%, 1/20/41, Pool #4922 | | | 262,455 | |
| | 27,969 | | | 4.50%, 2/15/41, Pool #738019 | | | 31,690 | |
| | 887,833 | | | 4.00%, 2/20/41, Pool #742887 | | | 971,674 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Government National Mortgage Association, continued | |
| $ | 4,031 | | | 4.00%, 2/20/41, Pool #4945 | | $ | 4,397 | |
| | 74,529 | | | 4.00%, 3/15/41, Pool #762838 | | | 80,571 | |
| | 5,796 | | | 5.00%, 4/20/41, Pool #5018 | | | 6,556 | |
| | 12,529 | | | 5.00%, 6/20/41, Pool #5083 | | | 14,222 | |
| | 90,907 | | | 4.50%, 6/20/41, Pool #783590 | | | 98,010 | |
| | 40,099 | | | 4.50%, 7/20/41, Pool #754367 | | | 42,961 | |
| | 398,270 | | | 4.00%, 7/20/41, Pool #742895 | | | 437,550 | |
| | 212,399 | | | 4.50%, 7/20/41, Pool #5115 | | | 241,146 | |
| | 63,022 | | | 4.50%, 7/20/41, Pool #783584 | | | 67,944 | |
| | 6,448 | | | 5.00%, 7/20/41, Pool #5116 | | | 7,320 | |
| | 64,851 | | | 4.50%, 11/15/41, Pool #783610 | | | 72,026 | |
| | 174,719 | | | 3.50%, 1/15/42, Pool #553461 | | | 184,516 | |
| | 255,902 | | | 4.00%, 4/20/42, Pool #MA0023 | | | 278,183 | |
| | 107,928 | | | 5.00%, 7/20/42, Pool #MA0223 | | | 121,650 | |
| | 298,315 | | | 3.50%, 4/15/43, Pool #AD2334 | | | 317,597 | |
| | 493,305 | | | 3.50%, 4/20/43, Pool #MA0934 | | | 538,947 | |
| | 275,395 | | | 3.50%, 5/20/43, Pool #MA1012 | | | 300,885 | |
| | 23,730 | | | 4.00%, 7/20/43, Pool #MA1158 | | | 25,799 | |
| | 958,125 | | | 4.50%, 6/20/44, Pool #MA1997 | | | 1,050,239 | |
| | 22,376 | | | 4.00%, 8/20/44, Pool #AI4167 | | | 24,823 | |
| | 20,826 | | | 4.00%, 8/20/44, Pool #AJ2723 | | | 23,135 | |
| | 14,881 | | | 4.00%, 8/20/44, Pool #AJ4687 | | | 16,393 | |
| | 5,116 | | | 4.00%, 8/20/44, Pool #AI4166 | | | 5,461 | |
| | 830,171 | | | 4.00%, 8/20/44, Pool #MA2149 | | | 914,244 | |
| | 44,300 | | | 3.00%, 12/20/44, Pool #MA2444 | | | 47,176 | |
| | 417,909 | | | 5.00%, 12/20/44, Pool #MA2448 | | | 472,573 | |
| | 1,652,809 | | | Class ZD, Series 2015-3, 4.00%, 1/20/45 | | | 2,010,849 | |
| | 442,471 | | | 3.00%, 2/15/45, Pool #784439 | | | 458,733 | |
| | 2,023,871 | | | 3.50%, 4/20/45, Pool #MA2754 | | | 2,180,369 | |
| | 848,180 | | | 3.00%, 4/20/45, Pool #MA2753 | | | 903,048 | |
| | 2,487,794 | | | 3.50%, 5/20/45, Pool #MA2826 | | | 2,693,926 | |
| | 46,797 | | | 3.00%, 6/20/45, Pool #MA2891 | | | 49,824 | |
| | 145,115 | | | 3.00%, 7/20/45, Pool #MA2960 | | | 154,495 | |
| | 48,746 | | | 3.00%, 8/20/45, Pool #MA3033 | | | 51,899 | |
| | 293,839 | | | 3.00%, 10/20/45, Pool #MA3172 | | | 312,848 | |
| | 252,327 | | | 5.00%, 12/20/45, Pool #MA3313 | | | 289,606 | |
| | 12,777,637 | | | 3.50%, 3/20/46, Pool #MA3521 | | | 13,654,739 | |
| | 866,971 | | | 3.00%, 4/20/46, Pool #MA3596 | | | 923,276 | |
| | 7,962,794 | | | 3.50%, 4/20/46, Pool #MA3597 | | | 8,631,599 | |
| | 2,506,843 | | | 3.50%, 5/20/46, Pool #MA3663 | | | 2,682,817 | |
| | 36,814 | | | 3.00%, 5/20/46, Pool #MA3662 | | | 38,971 | |
| | 835,410 | | | 3.00%, 6/20/46, Pool #MA3735 | | | 889,666 | |
| | 5,230,381 | | | 3.50%, 6/20/46, Pool #MA3736 | | | 5,582,721 | |
| | 1,846,745 | | | 3.00%, 7/20/46, Pool #MA3802 | | | 1,966,685 | |
| | 862,549 | | | 3.50%, 7/20/46, Pool #MA3803 | | | 920,654 | |
| | 93,562 | | | 3.00%, 8/20/46, Pool #MA3873 | | | 99,639 | |
| | 3,382,691 | | | 3.50%, 9/20/46, Pool #MA3937 | | | 3,626,878 | |
| | 3,474,212 | | | 3.00%, 9/20/46, Pool #MA3936 | | | 3,699,852 | |
| | 160,173 | | | 3.50%, 10/20/46, Pool #AX4345 | | | 174,538 | |
| | 227,422 | | | 3.50%, 10/20/46, Pool #AX4344 | | | 246,224 | |
| | 89,260 | | | 3.50%, 10/20/46, Pool #AX4343 | | | 96,123 | |
| | 129,001 | | | 3.50%, 10/20/46, Pool #AX4342 | | | 143,174 | |
| | 103,560 | | | 3.50%, 10/20/46, Pool #AX4341 | | | 112,963 | |
| | 277,358 | | | 3.00%, 10/20/46, Pool #MA4003 | | | 295,372 | |
| | 18,785 | | | 4.00%, 10/20/46, Pool #AQ0542 | | | 20,269 | |
| | 1,427,152 | | | 3.00%, 11/20/46, Pool #MA4068 | | | 1,519,841 | |
See accompanying notes to the financial statements.
25
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Government National Mortgage Association, continued | |
| $ | 4,069,659 | | | 3.00%, 12/20/46, Pool #MA4126 | | $ | 4,333,972 | |
| | 1,195,571 | | | 3.00%, 1/20/47, Pool #MA4195 | | | 1,273,221 | |
| | 123,557 | | | 4.50%, 3/15/47, Pool #AZ8560 | | | 138,138 | |
| | 212,032 | | | 4.50%, 4/15/47, Pool #AZ8596 | | | 236,285 | |
| | 150,114 | | | 4.50%, 4/15/47, Pool #AZ8597 | | | 167,944 | |
| | 112,931 | | | 4.50%, 5/15/47, Pool #BA7888 | | | 125,852 | |
| | 3,613,051 | | | 4.00%, 6/20/47, Pool #MA4511 | | | 3,925,757 | |
| | 22,548 | | | 4.00%, 9/15/47, Pool #BC5919 | | | 24,234 | |
| | 28,759 | | | 4.00%, 10/15/47, Pool #BD3187 | | | 30,682 | |
| | 28,597 | | | 4.00%, 10/15/47, Pool #BE1031 | | | 30,735 | |
| | 21,265 | | | 4.00%, 11/15/47, Pool #BE1030 | | | 22,812 | |
| | 694,451 | | | 3.00%, 11/20/47, Pool #MA4836 | | | 735,562 | |
| | 2,951,660 | | | 4.00%, 11/20/47, Pool #MA4838 | | | 3,165,117 | |
| | 32,642 | | | 4.00%, 12/15/47, Pool #BE4664 | | | 35,082 | |
| | 1,445,247 | | | 4.00%, 12/20/47, Pool #MA4901 | | | 1,549,764 | |
| | 31,286 | | | 4.00%, 1/15/48, Pool #BE0143 | | | 33,403 | |
| | 23,520 | | | 4.00%, 1/15/48, Pool #BE0204 | | | 24,961 | |
| | 541,482 | | | 4.50%, 9/20/48, Pool #BD0560 | | | 594,233 | |
| | 1,483,152 | | | 4.50%, 3/20/49, Pool #MA5818 | | | 1,605,123 | |
| | 62,579 | | | 4.50%, 4/20/49, Pool #MA5877 | | | 67,886 | |
| | 667,090 | | | 4.50%, 5/20/49, Pool #MA5932 | | | 714,312 | |
| | 5,900,000 | | | 3.00%, 2/20/50, TBA | | | 6,172,875 | |
| | 4,267,000 | | | 2.00%, 2/20/50, TBA | | | 4,452,348 | |
| | 1,286,257 | | | 4.50%, 4/20/50, Pool #MA6602 | | | 1,377,312 | |
| | 137,058 | | | 4.50%, 5/20/50, Pool #MA6659 | | | 147,051 | |
| | 915,267 | | | 4.00%, 5/20/50, Pool #MA6658 | | | 978,696 | |
| | 11,328,260 | | | 3.00%, 7/20/50, Pool #MA6766 | | | 11,877,332 | |
| | 19,590,000 | | | 2.50%, 7/20/50, TBA | | | 20,731,730 | |
| | 3,109,750 | | | 3.00%, 9/20/50, Pool #MA6866 | | | 3,271,837 | |
| | 355,000 | | | 5.00%, 1/15/51, TBA | | | 391,720 | |
| | 2,230,000 | | | 2.00%, 1/20/51, TBA | | | 2,331,047 | |
| | 2,912,000 | | | 4.50%, 1/20/51, TBA | | | 3,117,660 | |
| | 3,202,000 | | | 4.00%, 1/20/51, TBA | | | 3,413,132 | |
| | 3,981,000 | | | 3.00%, 1/20/51, TBA | | | 4,162,011 | |
| | | | | | | | |
| | | | | | | 145,320,546 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $565,237,606) | | | 579,804,992 | |
| | | | | |
| U.S. Treasury Obligations (26.0%): | | | |
| U.S. Treasury Bonds (11.9%): | |
| | 2,480,000 | | | 5.38%, 2/15/31 | | | 3,558,413 | |
| | 14,025,000 | | | 4.75%, 2/15/37 | | | 21,368,402 | |
| | 43,030,000 | | | 1.13%, 8/15/40(d) | | | 40,744,030 | |
| | 4,865,000 | | | 1.38%, 11/15/40 | | | 4,812,549 | |
| | 21,975,000 | | | 3.13%, 11/15/41 | | | 28,732,313 | |
| | 7,022,500 | | | 3.63%, 8/15/43 | | | 9,917,087 | |
| | 1,205,000 | | | 3.13%, 8/15/44 | | | 1,589,282 | |
| | 15,000 | | | 2.50%, 2/15/45 | | | 17,892 | |
| | 955,000 | | | 3.00%, 5/15/45 | | | 1,239,411 | |
| | 1,770,000 | | | 2.88%, 8/15/45 | | | 2,252,048 | |
| | 12,235,000 | | | 3.00%, 11/15/45 | | | 15,924,617 | |
| | 1,543,000 | | | 3.00%, 2/15/47 | | | 2,018,919 | |
| | 5,645,000 | | | 3.00%, 2/15/48 | | | 7,411,709 | |
| | 30,570,000 | | | 3.13%, 5/15/48(d) | | | 41,054,554 | |
| | 4,055,000 | | | 3.38%, 11/15/48 | | | 5,697,275 | |
| | 8,700,000 | | | 3.00%, 2/15/49 | | | 11,478,563 | |
| | 125,000 | | | 2.88%, 5/15/49 | | | 161,445 | |
| | 22,765,000 | | | 1.25%, 5/15/50 | | | 20,662,795 | |
| | | | | | | | |
Shares or
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations, continued | | | |
| U.S. Treasury Bonds, continued | |
| $ | 25,545,000 | | | 1.38%, 8/15/50 | | $ | 23,920,498 | |
| | 5,240,000 | | | 1.63%, 11/15/50 | | | 5,218,713 | |
| | | | | | | | |
| | | | | | | 247,780,515 | |
| | | | | | | | |
| U.S. Treasury Notes (14.1%): | |
| | 2,795,000 | | | 0.13%, 5/15/23 | | | 2,794,127 | |
| | 3,095,000 | | | 0.25%, 6/15/23 | | | 3,102,738 | |
| | 6,320,000 | | | 0.25%, 11/15/23 | | | 6,337,775 | |
| | 5,570,000 | | | 2.00%, 5/31/24 | | | 5,910,292 | |
| | 1,700,000 | | | 1.50%, 11/30/24 | | | 1,782,609 | |
| | 5,615,000 | | | 1.75%, 12/31/24 | | | 5,946,636 | |
| | 10,345,000 | | | 1.38%, 1/31/25 | | | 10,810,525 | |
| | 20,065,000 | | | 1.13%, 2/28/25 | | | 20,770,410 | |
| | 3,164,000 | | | 0.50%, 3/31/25 | | | 3,192,674 | |
| | 16,246,000 | | | 0.38%, 4/30/25 | | | 16,304,384 | |
| | 13,710,000 | | | 0.25%, 5/31/25 | | | 13,682,152 | |
| | 890,000 | | | 3.00%, 10/31/25 | | | 1,003,197 | |
| | 9,980,000 | | | 0.25%, 10/31/25^ | | | 9,936,338 | |
| | 14,985,000 | | | 0.38%, 11/30/25 | | | 15,006,073 | |
| | 1,550,000 | | | 2.88%, 11/30/25 | | | 1,740,359 | |
| | 8,275,000 | | | 2.25%, 3/31/26 | | | 9,072,762 | |
| | 2,435,000 | | | 2.38%, 4/30/26 | | | 2,688,773 | |
| | 1,520,000 | | | 2.13%, 5/31/26 | | | 1,659,175 | |
| | 2,407,000 | | | 1.88%, 6/30/26 | | | 2,596,551 | |
| | 2,430,000 | | | 1.88%, 7/31/26 | | | 2,622,881 | |
| | 20,620,000 | | | 0.38%, 7/31/27 | | | 20,346,141 | |
| | 3,345,000 | | | 0.50%, 8/31/27 | | | 3,324,094 | |
| | 7,375,000 | | | 0.38%, 9/30/27 | | | 7,260,918 | |
| | 11,145,000 | | | 0.50%, 10/31/27 | | | 11,054,447 | |
| | 37,120,000 | | | 0.63%, 11/30/27 | | | 37,114,199 | |
| | 4,113,000 | | | 2.88%, 8/15/28 | | | 4,777,507 | |
| | 255,000 | | | 2.38%, 5/15/29 | | | 288,190 | |
| | 15,650,000 | | | 1.50%, 2/15/30 | | | 16,559,656 | |
| | 33,770,000 | | | 0.63%, 5/15/30 | | | 33,020,727 | |
| | 12,795,000 | | | 0.63%, 8/15/30 | | | 12,477,124 | |
| | 10,605,000 | | | 0.88%, 11/15/30^ | | | 10,568,545 | |
| | | | | | | | |
| | | | | | | 293,751,979 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $511,181,868) | | | 541,532,494 | |
| | | | | |
| Commercial Paper (0.5%): | | | |
| | 10,750,000 | | | ConAgra Brands, Inc., 0.65%(c) | | | 10,731,019 | |
| | | | | | | | |
| | Total Commercial Paper (Cost $10,723,931) | | | 10,731,019 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.3%): | |
| | 6,801,779 | | | BlackRock Liquidity FedFund, Institutional Class, 0.38%(c)(e) | | | 6,801,779 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $6,801,779) | | | 6,801,779 | |
| | | | | |
| Unaffiliated Investment Companies (0.4%): | | | |
| Money Markets (0.4%): | | | |
| | 8,003,627 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 8,003,627 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $8,003,627) | | | 8,003,627 | |
| | | | | |
| | Total Investment Securities (Cost $2,019,679,085) — 101.8%(f) | | | 2,118,220,952 | |
| | Net other assets (liabilities) — (1.8)% | | | (36,790,471 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 2,081,430,481 | |
| | | | | |
See accompanying notes to the financial statements.
26
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
Percentages indicated are based on net assets as of December 31, 2020.
EUR003M—3 Month EUR LIBOR
EUAMDB01—1 Year EUR LIBOR
EUSA1—Euro 1 Year Swap Rate
EUSA5—Euro 5 Year Swap Rate
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $6,630,171. |
| + | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at December 31, 2020. |
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | All or a portion of this security has been pledged as collateral for open derivative positions. |
| (e) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of December 31, 2020:
| | | | |
| Country | | Percentage | |
| |
Australia | | | 0.1 | % |
Austria | | | — | %† |
Belgium | | | — | %† |
Canada | | | 0.3 | % |
Cayman Islands | | | 0.2 | % |
Chile | | | — | %† |
Colombia | | | 0.3 | % |
Denmark | | | 0.4 | % |
Finland | | | 0.2 | % |
France | | | 1.4 | % |
Germany | | | 0.4 | % |
Guernsey | | | 0.1 | % |
Indonesia | | | 0.1 | % |
Ireland | | | 0.3 | % |
Italy | | | 0.1 | % |
Japan | | | 1.1 | % |
| | | | |
| Country | | Percentage | |
Jersey | | | — | %† |
Luxembourg | | | 0.3 | % |
Mexico | | | 0.8 | % |
Netherlands | | | 1.4 | % |
Norway | | | 0.1 | % |
Panama | | | 0.2 | % |
Peru | | | 0.1 | % |
Philippines | | | 0.2 | % |
Republic of Korea (South) | | | 0.2 | % |
Spain | | | 0.2 | % |
Sweden | | | 0.1 | % |
Switzerland | | | 0.3 | % |
United Kingdom | | | 1.5 | % |
United States | | | 89.4 | % |
Uruguay | | | 0.2 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
27
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
Securities Sold Short (-3.7%):
At December 31, 2020, the Fund’s securities sold short were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Security Description | | Coupon
Rate | | | Maturity
Date | | | Par
Amount | | | Proceeds
Received | | | Fair
Value | |
| | | | | |
U.S. Government Agency Mortgages | | | | | | | | | | | | | | | | | | | | |
|
Federal National Mortgage Association | |
Federal National Mortgage Association, TBA | | | 3.50% | | | | 1/25/35 | | | $ | (3,687,766 | ) | | $ | (3,902,694 | ) | | $ | (3,904,422 | ) |
Federal National Mortgage Association, TBA | | | 4.00% | | | | 1/25/34 | | | | (1,824,000 | ) | | | (1,935,389 | ) | | | (1,932,300 | ) |
Federal National Mortgage Association, TBA | | | 2.50% | | | | 1/25/36 | | | | (5,533,000 | ) | | | (5,764,968 | ) | | | (5,769,882 | ) |
Federal National Mortgage Association, TBA | | | 3.00% | | | | 1/25/50 | | | | (33,650,734 | ) | | | (35,194,923 | ) | | | (35,254,401 | ) |
Federal National Mortgage Association, TBA | | | 2.50% | | | | 2/25/51 | | | | (800,000 | ) | | | (838,000 | ) | | | (841,813 | ) |
Federal National Mortgage Association, TBA | | | 2.50% | | | | 3/25/51 | | | | (21,390,000 | ) | | | (22,413,770 | ) | | | (22,476,211 | ) |
|
Government National Mortgage Association | |
Government National Mortgage Association, TBA | | | 3.50% | | | | 1/20/51 | | | | (5,890,203 | ) | | | (6,221,987 | ) | | | (6,239,013 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $ | (76,271,731 | ) | | $ | (76,418,042 | ) |
| | | | | | | | | | | | | | | | | |
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Short Futures
| | | | | | | | | | | | |
| Description | | Expiration
Date | | Number of
Contracts | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
Euro Buxl 30-Year Bond March Future (Euro) | | 3/8/21 | | 55 | | $ | (15,132,105 | ) | | $ | (135,240 | ) |
Euro Schatz Index March Future (Euro) | | 3/8/21 | | 239 | | | (32,777,218 | ) | | | 21,477 | |
Euro-Bobl March Futures (Euro) | | 3/8/21 | | 184 | | | (30,382,352 | ) | | | 1,316 | |
Euro-Bund March Futures (Euro) | | 3/8/21 | | 91 | | | (19,745,734 | ) | | | (244 | ) |
U.S. Treasury 10-Year Note March Futures (U.S. Dollar) | | 3/22/21 | | 691 | | | (108,044,328 | ) | | | 373,213 | |
U.S. Treasury 10-Year Note March Futures (U.S. Dollar) | | 3/22/21 | | 625 | | | (86,298,828 | ) | | | (13,398 | ) |
U.S. Treasury 30-Year Bond March Futures (U.S. Dollar) | | 3/22/21 | | 56 | | | (9,698,500 | ) | | | 96,692 | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 343,816 | |
| | | | | | | | | | | | |
Long Futures
| | | | | | | | | | | | |
| Description | | Expiration
Date | | Number of
Contracts | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
U.S. Treasury 2-Year Note March Futures (U.S. Dollar) | | 3/31/21 | | 1,205 | | $ | 266,276,758 | | | $ | 250,364 | |
U.S. Treasury 5-Year Note March Futures (U.S. Dollar) | | 3/31/21 | | 247 | | | 31,162,523 | | | | 50,953 | |
Ultra Long Term U.S. Treasury Bond March Future (U.S. Dollar) | | 3/22/21 | | 16 | | | 3,417,000 | | | | (43,028 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 258,289 | |
| | | | | | | | | | | | |
Total Net Futures Contracts | | | | | | | | | | $ | 602,105 | |
| | | | | | | | | | | | |
See accompanying notes to the financial statements.
28
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2020
Forward Currency Contracts
At December 31, 2020, the Fund’s open forward currency contracts were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
U.S. Dollar | | | 41,758,570 | | | European Euro | | | 34,040,000 | | | Westpac | | | 1/4/21 | | | $ | 175,072 | |
U.S. Dollar | | | 63,163,148 | | | European Euro | | | 51,577,500 | | | UBS Warburg | | | 2/3/21 | | | | 112,227 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 287,299 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Dollar | | | 41,809,517 | | | British Pound | | | 30,730,000 | | | Bank National Paribas | | | 1/4/21 | | | $ | (208,592 | ) |
U.S. Dollar | | | 62,052,776 | | | European Euro | | | 52,047,000 | | | Bank National Paribas | | | 1/6/21 | | | | (1,531,150 | ) |
U.S. Dollar | | | 209,100 | | | European Euro | | | 173,000 | | | Bank National Paribas | | | 1/6/21 | | | | (2,248 | ) |
U.S. Dollar | | | 62,331,279 | | | European Euro | | | 52,047,000 | | | UBS Warburg | | | 1/6/21 | | | | (1,252,647 | ) |
European Euro | | | 51,577,500 | | | U.S. Dollar | | | 63,120,545 | | | UBS Warburg | | | 1/6/21 | | | | (110,190 | ) |
U.S. Dollar | | | 41,427,492 | | | British Pound | | | 30,700,000 | | | Toronto Dominion Bank | | | 1/8/21 | | | | (550,669 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (3,655,496 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Net Forward Currency Contracts | | | | | | | | | $ | (3,368,197 | ) |
| | | | | | | | | | | |
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
| | | | | | | | |
| | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Forward currency contracts | | $ | 287,299 | | | $ | (3,655,496 | ) |
See accompanying notes to the financial statements.
29
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 2,019,679,085 | |
| | | | | |
Investment securities, at value(a) | | | $ | 2,118,220,952 | |
Cash | | | | 5,504,948 | |
Interest and dividends receivable | | | | 10,127,639 | |
Foreign currency, at value (cost $125,305,676) | | | | 126,922,565 | |
Unrealized appreciation on forward currency contracts | | | | 287,299 | |
Receivable for capital shares issued | | | | 680,060 | |
Receivable for investments sold | | | | 1,880,691 | |
Receivable for TBA investments sold | | | | 220,355,849 | |
Prepaid expenses | | | | 11,221 | |
| | | | | |
Total Assets | | | | 2,483,991,224 | |
| | | | | |
Liabilities: | | | | | |
Unrealized depreciation on forward currency contracts | | | | 3,655,496 | |
Payable for investments purchased | | | | 10,817,040 | |
Payable for TBA investments purchased | | | | 303,321,125 | |
Payable for capital shares redeemed | | | | 215 | |
Payable for collateral received on loaned securities | | | | 6,801,779 | |
Securities sold short (Proceeds received $76,271,731) | | | | 76,418,042 | |
Payable for variation margin on futures contracts | | | | 187,419 | |
Manager fees payable | | | | 613,743 | |
Administration fees payable | | | | 157,914 | |
Distribution fees payable | | | | 438,390 | |
Custodian fees payable | | | | 26,512 | |
Administrative and compliance services fees payable | | | | 6,507 | |
Transfer agent fees payable | | | | 1,387 | |
Trustee fees payable | | | | 23,562 | |
Other accrued liabilities | | | | 91,612 | |
| | | | | |
Total Liabilities | | | | 402,560,743 | |
| | | | | |
Net Assets | | | $ | 2,081,430,481 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 1,900,103,091 | |
Total distributable earnings | | | | 181,327,390 | |
| | | | | |
Net Assets | | | $ | 2,081,430,481 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 176,756,130 | |
Net Asset Value (offering and redemption price per share) | | | $ | 11.78 | |
| | | | | |
| (a) | Includes securities on loan of $6,630,171. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 43,289,947 | |
Dividends | | | | 120,770 | |
Income from securities lending | | | | 49,331 | |
| | | | | |
Total Investment Income | | | | 43,460,048 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 7,209,737 | |
Administration fees | | | | 813,944 | |
Distribution fees | | | | 5,149,833 | |
Custodian fees | | | | 103,433 | |
Administrative and compliance services fees | | | | 35,682 | |
Transfer agent fees | | | | 7,970 | |
Trustee fees | | | | 119,943 | |
Professional fees | | | | 99,444 | |
Shareholder reports | | | | 58,869 | |
Other expenses | | | | 42,374 | |
| | | | | |
Total expenses | | | | 13,641,229 | |
| | | | | |
Net Investment Income/(Loss) | | | | 29,818,819 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 96,819,863 | |
Net realized gains/(losses) on forward currency contracts | | | | (10,504,525 | ) |
Net realized gains/(losses) on futures contracts | | | | (5,620,846 | ) |
Net realized gains/(losses) on securities held short | | | | (1,010,975 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 43,798,307 | |
Change in net unrealized appreciation/depreciation on forward currency contracts | | | | (2,214,310 | ) |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (729,127 | ) |
Change in net unrealized appreciation/depreciation on securities held short | | | | (93,092 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 120,445,295 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 150,264,114 | |
| | | | | |
See accompanying notes to the financial statements.
30
AZL Enhanced Bond Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 29,818,819 | | | | $ | 46,912,188 | |
Net realized gains/(losses) on investments | | | | 79,683,517 | | | | | 34,197,918 | |
Change in unrealized appreciation/depreciation on investments | | | | 40,761,778 | | | | | 84,012,222 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 150,264,114 | | | | | 165,122,328 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (46,897,494 | ) | | | | (48,427,627 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (46,897,494 | ) | | | | (48,427,627 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 174,282,361 | | | | | 365,053,905 | |
Proceeds from dividends reinvested | | | | 46,897,494 | | | | | 48,427,627 | |
Value of shares redeemed | | | | (482,673,018 | ) | | | | (226,936,952 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (261,493,163 | ) | | | | 186,544,580 | |
| | | | | | | | | | |
Change in net assets | | | | (158,126,543 | ) | | | | 303,239,281 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 2,239,557,024 | | | | | 1,936,317,743 | |
| | | | | | | | | | |
End of period | | | $ | 2,081,430,481 | | | | $ | 2,239,557,024 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 14,838,788 | | | | | 33,064,820 | |
Dividends reinvested | | | | 4,015,197 | | | | | 4,323,895 | |
Shares redeemed | | | | (41,915,324 | ) | | | | (20,402,903 | ) |
| | | | | | | | | | |
Change in shares | | | | (23,061,339 | ) | | | | 16,985,812 | |
| | | | | | | | | | |
See accompanying notes to the financial statements.
31
AZL Enhanced Bond Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.21 | | | | $ | 10.59 | | | | $ | 10.89 | | | | $ | 10.67 | | | | $ | 10.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.17 | (a) | | | | 0.25 | (a) | | | | 0.28 | | | | | 0.20 | | | | | 0.09 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.67 | | | | | 0.64 | | | | | (0.35 | ) | | | | 0.12 | | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.84 | | | | | 0.89 | | | | | (0.07 | ) | | | | 0.32 | | | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.10 | ) | | | | (0.22 | ) |
Net Realized Gains | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.10 | ) | | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.78 | | | | $ | 11.21 | | | | $ | 10.59 | | | | $ | 10.89 | | | | $ | 10.67 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 7.53 | % | | | | 8.38 | % | | | | (0.58 | )% | | | | 3.01 | % | | | | 2.28 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 2,081,430 | | | | $ | 2,239,557 | | | | $ | 1,936,318 | | | | $ | 2,048,679 | | | | $ | 2,009,721 | |
Net Investment Income/(Loss) | | | | 1.45 | % | | | | 2.28 | % | | | | 2.41 | % | | | | 1.87 | % | | | | 1.93 | % |
Expenses Before Reductions(c) | | | | 0.66 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.67 | % |
Expenses Net of Reductions | | | | 0.66 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.67 | % |
Portfolio Turnover Rate | | | | 140 | % | | | | 119 | % | | | | 144 | % | | | | 214 | % | | | | 288 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
32
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Enhanced Bond Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
33
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $4,689 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $6,801,779 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of December 31, 2020, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund participated in the following cross-trade transactions:
| | | | | | | | | | | | | | | |
| | | Purchases | | Sales | | Realized
Gains/(Losses) |
| | | |
AZL Enhanced Bond Index Fund | | | $ | 2,818,814 | | | | $ | 1,415,847 | | | | $ | 10,475 | |
34
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the year ended December 31, 2020, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the year ended December 31, 2020, the monthly average notional amount for long contracts was $74.0 million and the monthly average notional amount for short contracts was $206.7 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $317.4 million, and the monthly average notional amount for short contracts was $307.4 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | | |
Interest Rate Risk | | | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 794,015 | | | Payable for variation margin on futures contracts* | | $ | 191,910 | |
| | | | |
Foreign Exchange Risk | | | | | | | | | | | | |
| | | | |
| Forward Currency Contracts | | Unrealized appreciation on forward currency contracts | | | 287,299 | | | Unrealized depreciation on forward currency contracts | | | 3,655,496 | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
| | | |
Interest Rate Risk | | | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | (5,620,846 | ) | | $ | (729,127 | ) |
| | | |
Foreign Exchange Risk | | | | | | | | | | |
| | | |
| Forward Currency Contracts | | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | | | (10,504,525 | ) | | | (2,214,310 | ) |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at December 31, 2020. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020.
35
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
As of December 31, 2020, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
| | |
Derivative Financial Instruments: | | | | | | | | | | |
Forward currency contracts | | | $ | 287,299 | | | | $ | 3,655,496 | |
Futures contracts | | | | — | | | | | 187,419 | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | 287,299 | | | | | 3,842,915 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | — | | | | | (187,419 | ) |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | 287,299 | | | | $ | 3,655,496 | |
| | | | | | | | | | |
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Assets
Subject to a MNA
by Counterparty | | Derivatives
Available
for Offset | | Non-cash
Collateral
Received* | | Cash
Collateral
Received* | | Net Amount
of Derivative
Assets |
| | | | | |
Westpac | | | $ | 175,072 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 175,072 | |
UBS Warburg | | | | 112,227 | | | | | (112,227 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 287,299 | | | | $ | (112,227 | ) | | | $ | — | | | | $ | — | | | | $ | 175,072 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Liabilities
Subject to a MNA by
Counterparty | | Derivatives
Available
for Offset | | Non-cash
Collateral
Pledged* | | Cash
Collateral
Pledged* | | Net Amount
of Derivative
Liabilities |
| | | | | |
Bank National Paribas | | | $ | 1,741,990 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 1,741,990 | |
Toronto Dominion Bank | | | | 550,669 | | | | | – | | | | | — | | | | | — | | | | | 550,669 | |
UBS Warburg | | | | 1,362,837 | | | | | (112,227 | ) | | | | — | | | | | — | | | | | 1,250,610 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 3,655,496 | | | | $ | (112,227 | ) | | | $ | — | | | | $ | — | | | | $ | 3,543,269 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) —Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Financial Management, Inc. (“BlackRock Financial”), BlackRock Financial provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL Enhanced Bond Index Fund | | | | 0.35 | % | | | | 0.70 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed thelesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
36
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $11,501 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. 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.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the forward foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
37
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Asset Backed Securities | | | $ | — | | | | $ | 60,096,109 | | | | $ | — | | | | $ | 60,096,109 | |
Collateralized Mortgage Obligations | | | | — | | | | | 94,347,284 | | | | | — | | | | | 94,347,284 | |
Corporate Bonds+ | | | | — | | | | | 579,847,435 | | | | | — | | | | | 579,847,435 | |
Foreign Bonds+ | | | | — | | | | | 87,166,079 | | | | | — | | | | | 87,166,079 | |
Yankee Debt Obligations+ | | | | — | | | | | 128,758,903 | | | | | — | | | | | 128,758,903 | |
Municipal Bonds | | | | — | | | | | 21,131,231 | | | | | — | | | | | 21,131,231 | |
U.S. Government Agency Mortgages | | | | — | | | | | 579,804,992 | | | | | — | | | | | 579,804,992 | |
U.S. Treasury Obligations | | | | — | | | | | 541,532,494 | | | | | — | | | | | 541,532,494 | |
Commercial Paper | | | | — | | | | | 10,731,019 | | | | | — | | | | | 10,731,019 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 6,801,779 | | | | | — | | | | | — | | | | | 6,801,779 | |
Unaffiliated Investment Companies | | | | 8,003,627 | | | | | — | | | | | — | | | | | 8,003,627 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 14,805,406 | | | | | 2,103,415,546 | | | | | — | | | | | 2,118,220,952 | |
| | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | — | | | | | (76,418,042 | ) | | | | — | | | | | (76,418,042 | ) |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 602,105 | | | | | — | | | | | — | | | | | 602,105 | |
Forward Currency Contracts | | | | — | | | | | (3,368,197 | ) | | | | — | | | | | (3,368,197 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 15,407,511 | | | | $ | 2,023,629,307 | | | | $ | — | | | | $ | 2,039,036,818 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts and forward currency contracts. These investments are generally presented in the financial statements at variation margin for futures contracts or at unrealized gain or loss on forward contracts. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Enhanced Bond Index Fund | | | $ | 2,731,780,879 | | | | $ | 3,029,154,239 | |
For the year ended December 31, 2020, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Enhanced Bond Index Fund | | | $ | 1,636,765,314 | | | | $ | 1,941,891,311 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
38
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, investments in mortgage-related securities may cause the Fund to exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. The Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $1,946,372,995. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 101,110,786 | |
Unrealized (depreciation) | | | (5,680,871 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 95,429,915 | |
| | | | |
As of the end of its tax year ended December 31, 2020, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2020, the Fund utilized $19,792,377 in CLCFs to offset capital gains.
39
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2020
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Enhanced Bond Index Fund | | | $ | 46,897,494 | | | | $ | — | | | | $ | 46,897,494 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Enhanced Bond Index Fund | | | $ | 48,427,627 | | | | $ | — | | | | $ | 48,427,627 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Enhanced Bond Index Fund | | | $ | 74,371,939 | | | | $ | 14,951,858 | | | | $ | — | | | | $ | 97,077,977 | | | | $ | 186,401,774 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales and mark-to-market of futures contracts and straddles. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 25% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
40
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Enhanced Bond Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Enhanced Bond Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
41
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
42
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
43
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
44
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
45
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM
Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for
the AIM
Complex(3) | | Other Directorships
Held Outside the
AIM Complex
During Past 5 Years |
| | | | | |
Peter R. Burnim (1947)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14
(Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM
Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for
the AIM
Complex(3) | | Other Directorships
Held Outside the
AIM Complex
During Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
46
Officers
| | | | | | |
Name, Address, and
Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive
Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963)
Citi Fund Services Ohio, Inc.
4400 Easton Commons, Suite 200
Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
47
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Fidelity Institutional Asset Management®
Multi-Strategy Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund. FIAM LLC and Geode Capital Management, LLC serve as the Subadviser and Sub-Subadviser, respectively, to the Fidelity Institutional Asset Management Fixed-Income Strategy and Geode Equity Strategy, respectively.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 2 Shares) (the “Fund”) returned 13.47%. That compared to an 18.40%, 7.51% and 13.14% total return for its benchmarks, the S&P 500 Index1, the Bloomberg Barclays U.S. Aggregate Bond Index1, and the Income & Growth Composite Index1, respectively.
Approximately 60% of the Fund’s underlying assets are managed by its subadviser, FIAM, LLC, investing primarily in investment-grade fixed-income securities, and approximately 40% of the Fund’s underlying assets are managed by its sub-subadviser, Geode Capital Management, LLC, investing primarily in large-cap common stocks.*
U.S. equity markets proved resilient in 2020, recovering strongly from the economic shock delivered by the coronavirus (COVID-19) pandemic. The year started with equities performing well, however, the spread of virus around the world caused a dramatic downturn in February and March. Lockdowns implemented by local governments led to a surge in unemployment, decreased spending, and significantly less travel. In response, the U.S. Federal Reserve Board (the Fed) slashed interest rates, backed business loans, and instituted quantitative easing measures. These measures, as well as the U.S. government’s $2.2 trillion fiscal stimulus package, helped spur a recovery in equity markets over the course of spring and summer, and by August the S&P 500 had fully recovered its losses from earlier in the year. Optimism regarding vaccines contributed to stock prices continuing their upward trend through the final months of year.
The U.S. bond market also experienced positive returns in 2020. Concerns about the economic fallout of the COVID-19 pandemic in late winter and early spring led investors to gravitate away from stocks toward the relative safety of fixed-income assets. This shift drove bond yields, especially U.S. Treasury yields, sharply lower. Throughout the rest of the year, meaningful actions taken by the Fed helped to keep Treasury yields low and drove spreads significantly tighter, leading to higher prices for fixed-income assets. In particular, the central bank’s move to buy Treasuries and other securities kept interest rates low and drove up returns.
The Fund outperformed its Income & Growth Composite benchmark for the 12-month period, and the Fund’s equity component outperformed the equity benchmark, the S&P 500. Growth-oriented stocks performed well during the period compared to stocks displaying attractive valuation, particularly in the first quarter, as the market shied away from riskier stocks amid the growing COVID-19 pandemic. This environment detracted somewhat from relative results, as the Fund favors value-oriented stocks and generally avoids large overweight positions in more expensive companies. However, the modestly negative impact of stock selection on the Fund’s performance was more than offset by allocation effects. In particular, an underweight position in the energy and materials sectors contributed to relative returns. Stock selection in the industrials, energy and consumer staples sectors also boosted relative performance.*
The Fund’s fixed-income component also outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. An overweight position in corporate bonds contributed to relative returns, as did an increase in an overweight position in high yield corporate bonds, which performed particularly well during the fourth quarter. The Fund’s holdings of Treasury Inflation Protected Securities also boosted relative returns, as these assets were buoyed by rising inflation expectations.*
The Fund held futures to equitize its cash positions during the period. Exposure to this form of derivative did not materially impact the Fund’s performance.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
1
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund Review (Unaudited)
|
| Fund Objective |
| |
| The Fund’s investment objective is to seek a high level of current income while maintaining prospects for capital appreciation. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing in a combination of subportfolios or strategies. |
| |
| Investment Concerns |
| |
| Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. |
| |
| Emerging market investing may be subject to additional economic, political, liquidity, and currency risks not associated with more developed countries. |
| |
| International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. |
| |
Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Mortgage-backed investments involve risk of loss due to prepayments and, like any bond, due to default. Because of the sensitivity of mortgage-related securities to changes in interest rates, the Fund’s performance may be more volatile than if it did not hold these securities. |
|
| |
The performance of investments in real estate depends on the overall strength of the real estate market, the management of real estate investments trusts (REITs), real estate operating companies (REOCs), and foreign real estate companies, and property management, all of which can be affected by a variety of factors, including national and regional economic conditions. High-yield bonds have a higher risk of default or other adverse credit events, but have the potential to pay higher earnings over investment-grade bonds. The higher risk of default, or the inability of the creditor to repay its debt, is the primary reason for the higher interest rates on high-yield bonds. Debt securities held by the Fund may decline in value due to rising interest rates. Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. |
|
|
| |
| For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmarks and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 2 Shares) | | | 13.47 | % | | | 9.25 | % | | | 9.06 | % | | | 7.09 | % |
S&P 500 Index | | | 18.40 | % | | | 14.18 | % | | | 15.22 | % | | | 13.88 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | 7.51 | % | | | 5.34 | % | | | 4.44 | % | | | 3.84 | % |
Income & Growth Composite Index | | | 13.14 | % | | | 9.46 | % | | | 9.06 | % | | | 8.10 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 2 Shares) | | | 1.02 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.45% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.71% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Standard and Poor’s 500 Index (“S&P 500”), the Bloomberg Barclays U.S. Aggregate Bond Index and the Income & Growth Composite Index (“Composite”). The S&P 500 is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. The Bloomberg Barclays U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The Composite is a blended index comprised of (40%) S&P 500 and (60%) Bloomberg Barclays U.S. Aggregate Bond Index. These indexes are unmanaged and do not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Fidelity Institutional Asset Management Multi-Strategy Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 1,000.00 | | | | $ | 1,112.40 | | | | $ | 3.77 | | | | | 0.71 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 1,000.00 | | | | $ | 1,021.57 | | | | $ | 3.61 | | | | | 0.71 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Common Stocks | | | | 41.8 | % |
| |
Corporate Bonds | | | | 20.8 | |
| |
U.S. Treasury Obligations | | | | 14.2 | |
| |
Yankee Debt Obligations | | | | 7.1 | |
| |
U.S. Government Agency Mortgages | | | | 7.0 | |
| |
Collateralized Mortgage Obligations | | | | 3.9 | |
| |
Unaffiliated Investment Companies | | | | 3.2 | |
| |
Asset Backed Securities | | | | 1.1 | |
| |
Municipal Bonds | | | | 0.9 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.8 | |
| |
Bank Loans | | | | — | † |
| |
Convertible Bonds | | | | — | † |
| |
Warrants | | | | — | † |
| |
Rights | | | | — | † |
| |
Foreign Bonds | | | | — | † |
| | | | | |
| |
Total Investment Securities | | | | 100.8 | |
| |
Net other assets (liabilities) | | | | (0.8 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (41.8%): | | | |
| Aerospace & Defense (0.4%): | | | |
| | 6,094 | | | Curtiss-Wright Corp. | | $ | 709,037 | |
| | 13,811 | | | Moog, Inc., Class A | | | 1,095,212 | |
| | 5,545 | | | Parson Corp.* | | | 201,894 | |
| | | | | | | | |
| | | | | | | 2,006,143 | |
| | | | | | | | |
| Airlines (0.4%): | | | |
| | 5,434 | | | Alaska Air Group, Inc. | | | 282,568 | |
| | 19,779 | | | Copa Holdings SA, Class A | | | 1,527,532 | |
| | 10,377 | | | Southwest Airlines Co. | | | 483,672 | |
| | | | | | | | |
| | | | | | | 2,293,772 | |
| | | | | | | | |
| Automobiles (0.8%): | | | |
| | 89,167 | | | Ford Motor Co. | | | 783,778 | |
| | 4,896 | | | Tesla, Inc.* | | | 3,454,960 | |
| | | | | | | | |
| | | | | | | 4,238,738 | |
| | | | | | | | |
| Banks (1.5%): | | | |
| | 43,686 | | | Bank of America Corp. | | | 1,324,123 | |
| | 34,426 | | | Citigroup, Inc. | | | 2,122,707 | |
| | 2,040 | | | Citizens Financial Group, Inc. | | | 72,950 | |
| | 31,339 | | | JPMorgan Chase & Co. | | | 3,982,247 | |
| | 6,937 | | | Popular, Inc. | | | 390,692 | |
| | 1,410 | | | U.S. Bancorp | | | 65,692 | |
| | 20,127 | | | Wells Fargo & Co. | | | 607,433 | |
| | | | | | | | |
| | | | | | | 8,565,844 | |
| | | | | | | | |
| Beverages (0.7%): | | | |
| | 50,041 | | | Coca-Cola Co. (The) | | | 2,744,248 | |
| | 418 | | | Coca-Cola Consolidated, Inc. | | | 111,301 | |
| | 2,639 | | | Molson Coors Brewing Co., Class B | | | 119,256 | |
| | 5,906 | | | PepsiCo, Inc. | | | 875,860 | |
| | | | | | | | |
| | | | | | | 3,850,665 | |
| | | | | | | | |
| Biotechnology (0.9%): | | | |
| | 21,833 | | | AbbVie, Inc. | | | 2,339,406 | |
| | 185 | | | Alexion Pharmaceuticals, Inc.* | | | 28,904 | |
| | 4,374 | | | Amgen, Inc. | | | 1,005,670 | |
| | 2,750 | | | Biogen, Inc.* | | | 673,365 | |
| | 12,281 | | | Gilead Sciences, Inc. | | | 715,491 | |
| | 1,839 | | | United Therapeutics Corp.* | | | 279,142 | |
| | | | | | | | |
| | | | | | | 5,041,978 | |
| | | | | | | | |
| Building Products (0.5%): | | | |
| | 23,176 | | | Carrier Global Corp. | | | 874,199 | |
| | 16,171 | | | Johnson Controls International plc | | | 753,407 | |
| | 5,077 | | | Simpson Manufacturing Co., Inc. | | | 474,446 | |
| | 1,759 | | | Trane Technologies plc | | | 255,336 | |
| | 9,273 | | | UFP Industries, Inc. | | | 515,115 | |
| | | | | | | | |
| | | | | | | 2,872,503 | |
| | | | | | | | |
| Capital Markets (0.8%): | | | |
| | 1,503 | | | Artisan Partners Asset Management, Inc., Class A | | | 75,661 | |
| | 22,699 | | | Bank of New York Mellon Corp. (The) | | | 963,346 | |
| | 2,227 | | | Charles Schwab Corp. (The) | | | 118,120 | |
| | 13,864 | | | Federated Hermes, Inc., Class B | | | 400,531 | |
| | 3,796 | | | Goldman Sachs Group, Inc. | | | 1,001,043 | |
| | 3,840 | | | LPL Financial Holdings, Inc. | | | 400,205 | |
| | 20,692 | | | Morgan Stanley | | | 1,418,023 | |
| | 555 | | | Raymond James Financial, Inc. | | | 53,097 | |
| | 2,237 | | | Stifel Financial Corp. | | | 112,879 | |
| | 137 | | | T. Rowe Price Group, Inc. | | | 20,740 | |
| | | | | | | | |
| | | | | | | 4,563,645 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals (0.2%): | | | |
| | 1,290 | | | Balchem Corp. | | $ | 148,634 | |
| | 8,510 | | | CF Industries Holdings, Inc. | | | 329,422 | |
| | 3,115 | | | Eastman Chemical Co. | | | 312,372 | |
| | 732 | | | NewMarket Corp. | | | 291,548 | |
| | 1,483 | | | Sensient Technologies Corp. | | | 109,401 | |
| | | | | | | | |
| | | | | | | 1,191,377 | |
| | | | | | | | |
| Commercial Services & Supplies (0.2%): | | | |
| | 20,320 | | | Herman Miller, Inc. | | | 686,816 | |
| �� | 970 | | | UniFirst Corp. | | | 205,339 | |
| | | | | | | | |
| | | | | | | 892,155 | |
| | | | | | | | |
| Communications Equipment (0.3%): | | | |
| | 32,820 | | | Cisco Systems, Inc. | | | 1,468,695 | |
| | | | | | | | |
| Construction & Engineering (0.2%): | | | |
| | 12,347 | | | EMCOR Group, Inc. | | | 1,129,257 | |
| | 3,429 | | | Quanta Services, Inc. | | | 246,956 | |
| | | | | | | | |
| | | | | | | 1,376,213 | |
| | | | | | | | |
| Construction Materials (0.1%): | | | |
| | 2,536 | | | Vulcan Materials Co. | | | 376,114 | |
| | | | | | | | |
| Consumer Finance (0.4%): | | | |
| | 10,406 | | | Capital One Financial Corp. | | | 1,028,633 | |
| | 3,425 | | | OneMain Holdings, Inc. | | | 164,948 | |
| | 741 | | | PROG Holdings, Inc. | | | 39,918 | |
| | 23,016 | | | SLM Corp. | | | 285,168 | |
| | 20,653 | | | Synchrony Financial | | | 716,866 | |
| | | | | | | | |
| | | | | | | 2,235,533 | |
| | | | | | | | |
| Containers & Packaging (0.0%†): | | | |
| | 577 | | | Packaging Corp. of America | | | 79,574 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 160 | | | Graham Holdings Co., Class B | | | 85,341 | |
| | | | | | | | |
| Diversified Financial Services (0.6%): | | | |
| | 15,461 | | | Berkshire Hathaway, Inc., Class B* | | | 3,584,942 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.5%): | | | |
| | 36,099 | | | AT&T, Inc. | | | 1,038,207 | |
| | 73,137 | | | CenturyLink, Inc. | | | 713,086 | |
| | 21,938 | | | Verizon Communications, Inc. | | | 1,288,857 | |
| | | | | | | | |
| | | | | | | 3,040,150 | |
| | | | | | | | |
| Electric Utilities (0.6%): | | | |
| | 5,529 | | | Exelon Corp. | | | 233,435 | |
| | 11,554 | | | Hawaiian Electric Industries, Inc. | | | 408,896 | |
| | 2,740 | | | IDACORP, Inc. | | | 263,122 | |
| | 18,255 | | | NextEra Energy, Inc. | | | 1,408,373 | |
| | 22,043 | | | Portland General Electric Co. | | | 942,779 | |
| | 2,280 | | | PPL Corp. | | | 64,296 | |
| | | | | | | | |
| | | | | | | 3,320,901 | |
| | | | | | | | |
| Electrical Equipment (0.2%): | | | |
| | 5,513 | | | AMETEK, Inc. | | | 666,742 | |
| | 4,269 | | | Eaton Corp. plc | | | 512,878 | |
| | 727 | | | Hubbell, Inc. | | | 113,986 | |
| | | | | | | | |
| | | | | | | 1,293,606 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.0%†): | | | |
| | 1,454 | | | SYNNEX Corp. | | | 118,414 | |
| | | | | | | | |
| Energy Equipment & Services (0.3%): | | | |
| | 1,143 | | | Halliburton Co. | | | 21,603 | |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services, continued | | | |
| | 2,577 | | | NOV, Inc. | | $ | 35,382 | |
| | 60,028 | | | Schlumberger, Ltd. | | | 1,310,411 | |
| | 36,681 | | | TechnipFMC plc | | | 344,802 | |
| | | | | | | | |
| | | | | | | 1,712,198 | |
| | | | | | | | |
| Entertainment (0.9%): | | | |
| | 1,765 | | | Activision Blizzard, Inc. | | | 163,880 | |
| | 38,736 | | | Cinemark Holdings, Inc.^ | | | 674,394 | |
| | 2 | | | Electronic Arts, Inc. | | | 287 | |
| | 638 | | | Madison Square Garden Sports Corp., Class A* | | | 117,456 | |
| | 5,106 | | | Netflix, Inc.* | | | 2,760,968 | |
| | 6,157 | | | Walt Disney Co. (The)* | | | 1,115,525 | |
| | | | | | | | |
| | | | | | | 4,832,510 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.9%): | | | |
| | 6,264 | | | American Tower Corp. | | | 1,406,017 | |
| | 4,210 | | | Apple Hospitality REIT, Inc. | | | 54,351 | |
| | 3,056 | | | Crown Castle International Corp. | | | 486,485 | |
| | 375 | | | Equinix, Inc. | | | 267,817 | |
| | 36,246 | | | Host Hotels & Resorts, Inc. | | | 530,279 | |
| | 50,594 | | | Parks Hotels & Resorts, Inc. | | | 867,687 | |
| | 1,331 | | | PotlatchDeltic Corp. | | | 66,577 | |
| | 4,268 | | | Public Storage, Inc. | | | 985,609 | |
| | 1,451 | | | Ryman Hospitality Properties, Inc. | | | 98,320 | |
| | 336 | | | SBA Communications Corp. | | | 94,796 | |
| | 1,825 | | | STAG Industrial, Inc. | | | 57,159 | |
| | 1,154 | | | VICI Properties, Inc. | | | 29,427 | |
| | | | | | | | |
| | | | | | | 4,944,524 | |
| | | | | | | | |
| Food & Staples Retailing (0.5%): | | | |
| | 1,071 | | | Costco Wholesale Corp. | | | 403,531 | |
| | 17,763 | | | Walmart, Inc. | | | 2,560,537 | |
| | | | | | | | |
| | | | | | | 2,964,068 | |
| | | | | | | | |
| Food Products (0.3%): | | | |
| | 758 | | | Archer-Daniels-Midland Co. | | | 38,211 | |
| | 19 | | | Hershey Co. (The) | | | 2,894 | |
| | 7,021 | | | Mondelez International, Inc., Class A | | | 410,518 | |
| | 786 | | | TreeHouse Foods, Inc.* | | | 33,397 | |
| | 19,870 | | | Tyson Foods, Inc., Class A | | | 1,280,423 | |
| | | | | | | | |
| | | | | | | 1,765,443 | |
| | | | | | | | |
| Health Care Equipment & Supplies (1.6%): | | | |
| | 21,194 | | | Abbott Laboratories | | | 2,320,531 | |
| | 3,609 | | | Baxter International, Inc. | | | 289,586 | |
| | 2,380 | | | Becton Dickinson & Co. | | | 595,524 | |
| | 3,207 | | | Boston Scientific Corp.* | | | 115,292 | |
| | 9,794 | | | Danaher Corp. | | | 2,175,639 | |
| | 3,624 | | | Hill-Rom Holdings, Inc. | | | 355,043 | |
| | 17,247 | | | Hologic, Inc.* | | | 1,256,099 | |
| | 16,002 | | | Medtronic plc | | | 1,874,474 | |
| | | | | | | | |
| | | | | | | 8,982,188 | |
| | | | | | | | |
| Health Care Providers & Services (1.2%): | | | |
| | 5,056 | | | Anthem, Inc. | | | 1,623,431 | |
| | 912 | | | Cigna Corp. | | | 189,860 | |
| | 18,316 | | | CVS Health Corp. | | | 1,250,983 | |
| | 3,443 | | | Humana, Inc. | | | 1,412,560 | |
| | 723 | | | McKesson Corp. | | | 125,744 | |
| | 5,536 | | | UnitedHealth Group, Inc. | | | 1,941,364 | |
| | | | | | | | |
| | | | | | | 6,543,942 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Technology (0.3%): | | | |
| | 15,175 | | | Cerner Corp. | | $ | 1,190,934 | |
| | 853 | | | Veeva Systems, Inc., Class A* | | | 232,229 | |
| | | | | | | | |
| | | | | | | 1,423,163 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.9%): | | | |
| | 39,630 | | | Carnival Corp., Class A | | | 858,386 | |
| | 1,204 | | | Hilton Worldwide Holdings, Inc. | | | 133,957 | |
| | 3,392 | | | Hyatt Hotels Corp., Class A | | | 251,856 | |
| | 121 | | | McDonald’s Corp. | | | 25,964 | |
| | 9,272 | | | MGM Resorts International | | | 292,161 | |
| | 27,011 | | | Norwegian Cruise Line Holdings, Ltd.*^ | | | 686,890 | |
| | 7,313 | | | Royal Caribbean Cruises, Ltd. | | | 546,208 | |
| | 848 | | | Scientific Games Corp., Class A* | | | 35,183 | |
| | 5,284 | | | Starbucks Corp. | | | 565,282 | |
| | 1,780 | | | Vail Resorts, Inc. | | | 496,549 | |
| | 26,447 | | | Wyndham Destinations, Inc. | | | 1,186,412 | |
| | 1,267 | | | Wynn Resorts, Ltd. | | | 142,956 | |
| | | | | | | | |
| | | | | | | 5,221,804 | |
| | | | | | | | |
| Household Durables (0.8%): | | | |
| | 18,167 | | | D.R. Horton, Inc. | | | 1,252,070 | |
| | 9,226 | | | MDC Holdings, Inc. | | | 448,383 | |
| | 6,955 | | | Meritage Homes Corp.* | | | 576,013 | |
| Household Durables, continued | | | |
| | 170 | | | NVR, Inc.* | | | 693,576 | |
| | 24,722 | | | PulteGroup, Inc. | | | 1,066,013 | |
| | 8,605 | | | Taylor Morrison Home Corp., Class A* | | | 220,718 | |
| | | | | | | | |
| | | | | | | 4,256,773 | |
| | | | | | | | |
| Household Products (0.7%): | | | |
| | 26,603 | | | Procter & Gamble Co. (The) | | | 3,701,541 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 24,630 | | | NRG Energy, Inc. | | | 924,857 | |
| | 4,476 | | | Vistra Corp. | | | 87,998 | |
| | | | | | | | |
| | | | | | | 1,012,855 | |
| | | | | | | | |
| Industrial Conglomerates (0.5%): | | | |
| | 71,937 | | | General Electric Co. | | | 776,920 | |
| | 8,362 | | | Honeywell International, Inc. | | | 1,778,597 | |
| | | | | | | | |
| | | | | | | 2,555,517 | |
| | | | | | | | |
| Insurance (0.6%): | | | |
| | 4,503 | | | Allstate Corp. (The) | | | 495,015 | |
| | 3,914 | | | American Financial Group, Inc. | | | 342,945 | |
| | 14,845 | | | First American Financial Corp. | | | 766,447 | |
| | 3,986 | | | Primerica, Inc. | | | 533,845 | |
| | 13,954 | | | Progressive Corp. (The) | | | 1,379,771 | |
| | 1,421 | | | Selective Insurance Group, Inc. | | | 95,179 | |
| | | | | | | | |
| | | | | | | 3,613,202 | |
| | | | | | | | |
| Interactive Media & Services (2.6%): | | | |
| | 2,231 | | | Alphabet, Inc., Class A* | | | 3,910,140 | |
| | 2,818 | | | Alphabet, Inc., Class C* | | | 4,936,798 | |
| | 20,664 | | | Facebook, Inc., Class A* | | | 5,644,578 | |
| | | | | | | | |
| | | | | | | 14,491,516 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (2.0%): | | | |
| | 3,326 | | | Amazon.com, Inc.* | | | 10,832,549 | |
| | 56 | | | Booking Holdings, Inc.* | | | 124,727 | |
| | | | | | | | |
| | | | | | | 10,957,276 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services (1.9%): | | | |
| | 78 | | | Accenture plc, Class C | | $ | 20,374 | |
| | 6,295 | | | Amdocs, Ltd. | | | 446,504 | |
| | 8,001 | | | Automatic Data Processing, Inc. | | | 1,409,776 | |
| | 2,213 | | | CACI International, Inc., Class A* | | | 551,767 | |
| | 1,454 | | | Concentrix Corp.* | | | 143,510 | |
| | 1,880 | | | Euronet Worldwide, Inc.* | | | 272,450 | |
| | 8,058 | | | Global Payments, Inc. | | | 1,735,854 | |
| | 4,151 | | | MasterCard, Inc., Class A | | | 1,481,658 | |
| | 9,734 | | | PayPal Holdings, Inc.* | | | 2,279,703 | |
| | 2,125 | | | Square, Inc., Class A* | | | 462,485 | |
| | 616 | | | VeriSign, Inc.* | | | 133,303 | |
| | 6,996 | | | Visa, Inc., Class A | | | 1,530,235 | |
| | | | | | | | |
| | | | | | | 10,467,619 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 6,491 | | | Polaris, Inc. | | | 618,462 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.5%): | | | |
| | 256 | | | Illumina, Inc.* | | | 94,720 | |
| | 425 | | | PerkinElmer, Inc. | | | 60,987 | |
| | 5,406 | | | Thermo Fisher Scientific, Inc. | | | 2,518,007 | |
| | | | | | | | |
| | | | | | | 2,673,714 | |
| | | | | | | | |
| Machinery (1.2%): | | | |
| | 9,906 | | | AGCO Corp. | | | 1,021,209 | |
| | 18,954 | | | Allison Transmission Holdings, Inc. | | | 817,486 | |
| | 9,116 | | | Caterpillar, Inc. | | | 1,659,294 | |
| | 6,576 | | | Cummins, Inc. | | | 1,493,410 | |
| | 5,139 | | | Deere & Co. | | | 1,382,648 | |
| | 185 | | | Illinois Tool Works, Inc. | | | 37,718 | |
| | 9,585 | | | Rexnord Corp. | | | 378,512 | |
| | | | | | | | |
| | | | | | | 6,790,277 | |
| | | | | | | | |
| Media (0.1%): | | | |
| | 12,101 | | | Comcast Corp., Class A | | | 634,092 | |
| | | | | | | | |
| Metals & Mining (0.6%): | | | |
| | 9,083 | | | Freeport-McMoRan, Inc. | | | 236,339 | |
| | 18,765 | | | Hecla Mining Co. | | | 121,597 | |
| | 23,881 | | | Newmont Corp. | | | 1,430,233 | |
| | 8,037 | | | Reliance Steel & Aluminum Co. | | | 962,431 | |
| | 7,038 | | | Royal Gold, Inc. | | | 748,562 | |
| | | | | | | | |
| | | | | | | 3,499,162 | |
| | | | | | | | |
| Multiline Retail (0.3%): | | | |
| | 5,712 | | | Dollar Tree, Inc.* | | | 617,125 | |
| | 5,312 | | | Target Corp. | | | 937,727 | |
| | | | | | | | |
| | | | | | | 1,554,852 | |
| | | | | | | | |
| Multi-Utilities (0.0%†): | | | |
| | 3,979 | | | Avista Corp. | | | 159,717 | |
| | 475 | | | Public Service Enterprise Group, Inc. | | | 27,693 | |
| | | | | | | | |
| | | | | | | 187,410 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.1%): | | | |
| | 178 | | | California Resources Corp.* | | | 4,199 | |
| | 188 | | | California Resources Corp.* | | | 4,435 | |
| | 27,076 | | | Chevron Corp. | | | 2,286,568 | |
| | 5,492 | | | Cimarex Energy Co. | | | 206,005 | |
| | 13,559 | | | ConocoPhillips | | | 542,224 | |
| | 13,526 | | | Denbury, Inc.* | | | 347,483 | |
| | 28,308 | | | EOG Resources, Inc. | | | 1,411,720 | |
| | 8,059 | | | Exxon Mobil Corp. | | | 332,192 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 6,344 | | | Kinder Morgan, Inc. | | $ | 86,722 | |
| | 7,922 | | | Pioneer Natural Resources Co. | | | 902,237 | |
| | 4,011 | | | Sanchez Energy Corp.* | | | 64,180 | |
| | | | | | | | |
| | | | | | | 6,187,965 | |
| | | | | | | | |
| Personal Products (0.2%): | | | |
| | 146,581 | | | Coty, Inc., Class A | | | 1,028,999 | |
| | | | | | | | |
| Pharmaceuticals (1.7%): | | | |
| | 28,327 | | | Bristol-Myers Squibb Co. | | | 1,757,124 | |
| | 4,167 | | | Eli Lilly & Co. | | | 703,556 | |
| | 19,481 | | | Johnson & Johnson | | | 3,065,920 | |
| | 32,118 | | | Merck & Co., Inc. | | | 2,627,253 | |
| | 21,094 | | | Pfizer, Inc. | | | 776,470 | |
| | 21,257 | | | Viatris, Inc.* | | | 398,356 | |
| | | | | | | | |
| | | | | | | 9,328,679 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 173 | | | IHS Markit, Ltd. | | | 15,541 | |
| | | | | | | | |
| Road & Rail (0.7%): | | | |
| | 15,071 | | | CSX Corp. | | | 1,367,693 | |
| | 2,333 | | | Norfolk Southern Corp. | | | 554,344 | |
| | 9,918 | | | Schneider National, Inc., Class B | | | 205,303 | |
| | 6,033 | | | Union Pacific Corp. | | | 1,256,191 | |
| | 14,782 | | | Werner Enterprises, Inc. | | | 579,750 | |
| | | | | | | | |
| | | | | | | 3,963,281 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (1.9%): | | | |
| | 28,158 | | | Amkor Technology, Inc. | | | 424,623 | |
| | 14,051 | | | Applied Materials, Inc. | | | 1,212,601 | |
| | 2,225 | | | Broadcom, Inc. | | | 974,216 | |
| | 1,568 | | | Cirrus Logic, Inc.* | | | 128,890 | |
| | 9,257 | | | Intel Corp. | | | 461,184 | |
| | 6,011 | | | NVIDIA Corp. | | | 3,138,944 | |
| | 16,284 | | | Qualcomm, Inc. | | | 2,480,705 | |
| | 4,056 | | | Synaptics, Inc.* | | | 390,998 | |
| | 8,610 | | | Texas Instruments, Inc. | | | 1,413,159 | |
| | 32 | | | Xilinx, Inc. | | | 4,537 | |
| | | | | | | | |
| | | | | | | 10,629,857 | |
| | | | | | | | |
| Software (4.1%): | | | |
| | 5,148 | | | Adobe, Inc.* | | | 2,574,618 | |
| | 3,034 | | | Box, Inc.* | | | 54,764 | |
| | 7,098 | | | Cadence Design Systems, Inc.* | | | 968,380 | |
| | 2,118 | | | DocuSign, Inc.* | | | 470,831 | |
| | 486 | | | Intuit, Inc. | | | 184,607 | |
| | 60,202 | | | Microsoft Corp. | | | 13,390,129 | |
| | 8,317 | | | Oracle Corp. | | | 538,027 | |
| | 10,383 | | | salesforce.com, Inc.* | | | 2,310,529 | |
| | 565 | | | ServiceNow, Inc.* | | | 310,993 | |
| | 3,312 | | | Synopsys, Inc.* | | | 858,603 | |
| | 4,020 | | | Workday, Inc., Class A* | | | 963,232 | |
| | | | | | | | |
| | | | | | | 22,624,713 | |
| | | | | | | | |
| Specialty Retail (0.3%): | | | |
| | 4,579 | | | Aaron’s Co., Inc. (The)* | | | 86,818 | |
| | 1,610 | | | AutoNation, Inc.* | | | 112,362 | |
| | 247 | | | AutoZone, Inc.* | | | 292,803 | |
| | 4,414 | | | Home Depot, Inc. (The) | | | 1,172,447 | |
| | 99 | | | Murphy U.S.A., Inc. | | | 12,956 | |
| | | | | | | | |
| | | | | | | 1,677,386 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals (3.0%): | | | |
| | 127,891 | | | Apple, Inc. | | $ | 16,969,857 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.3%): | | | |
| | 2,021 | | | Carter’s, Inc. | | | 190,116 | |
| | 10,532 | | | Nike, Inc., Class B | | | 1,489,962 | |
| | | | | | | | |
| | | | | | | 1,680,078 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.1%): | | | |
| | 47,942 | | | MGIC Investment Corp. | | | 601,672 | |
| | | | | | | | |
| Tobacco (0.1%): | | | |
| | 9,973 | | | Philip Morris International, Inc. | | | 825,665 | |
| | | | | | | | |
| | Total Common Stocks (Cost $164,158,147) | | | 233,434,104 | |
| | | | | |
| Warrants (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 63 | | | California Resources Corp., 10/27/24 | | | 252 | |
| | 1,841 | | | Occidental Petroleum Corp., 8/3/27 | | | 12,537 | |
| | | | | | | | |
| | | | | | | 12,789 | |
| | | | | | | | |
| | Total Warrants (Cost $ —) | | | 12,789 | |
| | | | | |
| Right (0.0%†): | | | |
| Pharmaceuticals (0.0%†): | | | |
| | 3,163 | | | Bristol-Myers Squibb Co. CVR, Expires on 12/31/21* | | | 2,183 | |
| | | | | | | | |
| | Total Right (Cost $7,275) | | | 2,183 | |
| | | | | |
| Asset Backed Securities (1.1%): | | | |
| $ | 978,807 | | | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | | | 907,750 | |
| | 237,716 | | | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | | | 223,764 | |
| | 244,877 | | | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | | | 209,982 | |
| | 144,363 | | | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | | | 136,453 | |
| | 285,720 | | | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | | | 270,120 | |
| | 192,990 | | | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | | | 182,258 | |
| | 127,604 | | | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | | | 122,807 | |
| | 586,630 | | | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | | | 557,763 | |
| | 281,218 | | | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | | | 267,437 | |
| | 216,990 | | | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | | | 178,211 | |
| | 296,727 | | | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | | | 282,040 | |
| | 357,880 | | | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | | | 379,458 | |
| | 213,950 | | | DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/21 @ 100(a) | | | 220,054 | |
| | 221,909 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a) | | | 214,348 | |
| | 234,537 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a) | | | 226,261 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 217,800 | | | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | | $ | 205,398 | |
| | 248,542 | | | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | | | 238,388 | |
| | 233,783 | | | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | | | 190,322 | |
| | 261,539 | | | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | | | 253,198 | |
| | 257,938 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | | | 247,542 | |
| | 356,092 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | | | 342,029 | |
| | 361,320 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | | | 344,424 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $6,557,427) | | | 6,200,007 | |
| | | | | |
| Collateralized Mortgage Obligations (3.9%): | | | |
| | 250,000 | | | AIMCO CLO 11, Ltd., Class A, Series 2020-11A, 1.60%(US0003M+138bps), 10/15/31, Callable 10/15/21 @ 100(a) | | | 250,294 | |
| | 310,000 | | | Aimco CLO 12, Ltd., Class A, Series 2020-12A(US0003M+121bps), 1/17/32(a) | | | 310,158 | |
| | 324,000 | | | AIMCO CLO, Ltd., Class A, Series 2019-10A, 1.54%(US0003M+132bps), 7/22/32, Callable 7/22/21 @ 100(a) | | | 324,108 | |
| | 250,000 | | | Allegany Park CLO, Ltd., Class A, Series 2019-1A, 1.55%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(a) | | | 250,370 | |
| | 256,000 | | | Ares CLO, Ltd., Class A, Series 2019-54A, 1.56%(US0003M+132bps), 10/15/32, Callable 10/15/21 @ 100(a) | | | 256,243 | |
| | 344,000 | | | Ares CLO, Ltd., Class AR, Series 2016-41A, 1.44%(US0003M+120bps), 1/15/29, Callable 1/15/21 @ 100(a) | | | 343,999 | |
| | 250,000 | | | Ares LV CLO, Ltd., Class A1, Series 2020-55A, 1.94%(US0003M+170bps), 4/15/31, Callable 7/15/21 @ 100(a) | | | 250,785 | |
| | 250,000 | | | Ares LVIII CLO, Ltd., Class A, Series 2020-58A(US0003M+122bps), 1/15/33(a) | | | 250,124 | |
| | 233,000 | | | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2020-JGDN, 2.91%(US0001M+275bps), 11/15/30(a) | | | 233,000 | |
| | 177,000 | | | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | | | 176,881 | |
| | 30,000 | | | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52 | | | 33,176 | |
| | 68,000 | | | Barclays, Class A, Series 2016-MART, 2.20%, 9/13/31(a) | | | 67,914 | |
| | 305,000 | | | Barings CLO, Ltd., Class A1, Series 2020-1A, 1.63%(US0003M+140bps), 10/15/32, Callable 10/15/21 @ 100(a) | | | 305,581 | |
| | 310,000 | | | Barings CLO, Ltd., Class A, Series 2020-4A(US0003M+122bps), 1/20/32(a) | | | 310,161 | |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 265,000 | | | Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 1.55%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(a) | | $ | 265,390 | |
| | 34,000 | | | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b) | | | 40,261 | |
| | 46,000 | | | Benchmark Mortgage Trust, Class A5, Series 2019-B14, 3.05%, 12/15/61 | | | 51,513 | |
| | 139,000 | | | BFLD Trust, Class A, Series 2020-OBRK, 2.21%(US0001M+205bps), 11/15/28(a) | | | 139,000 | |
| | 309,000 | | | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 1.23%(US0003M+99bps), 4/15/29, Callable 1/15/21 @ 100(a) | | | 307,370 | |
| | 98,905 | | | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.78%(US0001M+263bps), 9/15/37(a) | | | 73,542 | |
| | 152,860 | | | BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.16%(US0001M+100bps), 12/15/29(a) | | | 152,860 | |
| | 120,889 | | | BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.28%(US0001M+112bps), 12/15/29(a) | | | 120,419 | |
| | 142,869 | | | BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.76%(US0001M+160bps), 12/15/29(a) | | | 140,030 | |
| | 202,000 | | | BX Commercial Mortgage Trust, Class A, Series 2020-FOX, 1.16%(US0001M+100bps), 11/15/32(a) | | | 202,291 | |
| | 113,000 | | | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.76%(US0001M+160bps), 4/15/34(a) | | | 106,765 | |
| | 345,544 | | | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.96%(US0001M+180bps), 10/15/36(a) | | | 343,005 | |
| | 245,868 | | | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.61%(US0001M+145bps), 10/15/36(a) | | | 244,683 | |
| | 173,722 | | | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.41%(US0001M+125bps), 10/15/36(a) | | | 173,268 | |
| | 138,597 | | | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.24%(US0001M+108bps), 10/15/36(a) | | | 138,597 | |
| | 423,612 | | | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.96%(US0001M+80bps), 12/15/29(a) | | | 423,612 | |
| | 172,000 | | | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.46%(US0001M+130bps), 4/15/34(a) | | | 165,098 | |
| | 298,000 | | | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.16%(US0001M+100bps), 4/15/34(a) | | | 290,526 | |
| | 186,829 | | | BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.41%(US0001M+125bps), 12/15/29(a) | | | 184,735 | |
| | 94,500 | | | BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.96%(US0001M+180bps), 11/15/35(a) | | | 94,139 | |
| | 119,000 | | | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.06%(US0001M+190bps), 4/15/34(a) | | | 111,257 | |
| | 250,000 | | | Cedar Funding CLO, Ltd., Class A1A, Series 2019-11A, 1.57%(US0003M+135bps), 5/29/32, Callable 8/29/21 @ 100(a) | | | 250,060 | |
| | 250,000 | | | Cedar Funding CLO, Ltd., Class A, Series 2019-10A, 1.56%(US0003M+134bps), 10/20/32, Callable 10/20/21 @ 100(a) | | | 250,161 | |
| | 250,000 | | | Cedar Funding XII CLO, Ltd., Class A, Series 2020-12A, 1.51%(US0003M+127bps), 10/25/32, Callable 10/25/21 @ 100(a) | | | 250,162 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 99,570 | | | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.91%(US0001M+175bps), 6/15/34(a) | | $ | 93,945 | |
| | 404,256 | | | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.28%(US0001M+112bps), 6/15/34(a) | | | 387,808 | |
| | 99,570 | | | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.66%(US0001M+150bps), 6/15/34(a) | | | 93,904 | |
| | 247,000 | | | Columbia Cent CLO 29, Ltd., Class A1N, Series 2020-29A, 1.92%(US0003M+170bps), 7/20/31, Callable 1/20/22 @ 100(a) | | | 248,386 | |
| | 410,000 | | | Columbia Cent CLO 30, Ltd., Class A1, Series 2020-30A(US0003M+131bps), 1/20/34(a) | | | 410,210 | |
| | 57,000 | | | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47, Callable 6/15/24 @ 100 | | | 62,890 | |
| | 100,000 | | | Credit Suisse Mortgage Capital Certificates, Class A, Series 20-NET, 2.26%, 8/15/37(a) | | | 103,662 | |
| | 140,000 | | | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.39%(US0001M+123bps), 5/15/36(a) | | | 139,954 | |
| | 153,000 | | | Credit Suisse Mortgage Capital Certificates, Class C, Series 2019-ICE4, 1.59%(US0001M+143bps), 5/15/36(a) | | | 152,797 | |
| | 100,000 | | | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | | | 94,356 | |
| | 100,000 | | | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | | | 85,390 | |
| | 205,000 | | | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | | | 204,338 | |
| | 860,000 | | | CSMC Trust, Class D, Series 2017-PFHP, 2.41%(US0001M+225bps), 12/15/30(a) | | | 753,394 | |
| | 100,000 | | | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | | | 97,829 | |
| | 290,000 | | | Dryden 68 CLO, Ltd., Class A, Series 2019-68A, 1.55%(US0003M+131bps), 7/15/32, Callable 7/15/21 @ 100(a) | | | 289,722 | |
| | 250,000 | | | Dryden 76 CLO, Ltd., Class A1, Series 2019-76A, 1.55%(US0003M+133bps), 10/20/32, Callable 10/20/21 @ 100(a) | | | 250,383 | |
| | 250,000 | | | Dryden 83 CLO, Ltd., Class A, Series 2020-83A(US0003M+122bps), 1/18/32(a) | | | 250,000 | |
| | 250,000 | | | Dryden 85 CLO, Ltd., Class A1, Series 2020-85A, 1.56%(US0003M+135bps), 10/15/32, Callable 10/15/21 @ 100(a) | | | 250,474 | |
| | 250,000 | | | Dryden CLO, Ltd., Class A, Series 2020-78A, 1.40%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(a) | | | 249,862 | |
| | 275,000 | | | Dryden CLO, Ltd., Class A, Series 2019-72A, 1.55%(US0003M+133bps), 5/15/32, Callable 5/15/21 @ 100(a) | | | 275,039 | |
| | 300,000 | | | Eaton Vance CLO, Ltd., Class A, Series 2020-1A(US0003M+165bps), 10/15/30, Callable 10/15/21 @ 100(a) | | | 301,214 | |
| | 310,000 | | | Eaton Vance CLO, Ltd., Class A1, Series 2020-2A, 1.56%(US0003M+137bps), 10/15/32, Callable 1/15/22 @ 100(a) | | | 310,716 | |
| | 300,000 | | | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 1.55%(US0003M+130bps), 11/20/33, Callable 11/20/22 @ 100(a) | | | 300,563 | |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 286,000 | | | Flatiron CLO, Ltd., Class A, Series 2019-1A, 1.54%(US0003M+132bps), 11/16/32, Callable 11/16/21 @ 100(a) | | $ | 286,428 | |
| | 210,000 | | | GB Trust, Class A, Series 2020-FLIX, 1.28%(US0001M+112bps), 8/25/37(a) | | | 210,286 | |
| | 41,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | | | 42,024 | |
| | 64,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | | | 63,746 | |
| | 87,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | | | 83,634 | |
| | 250,000 | | | Lucali CLO, Ltd., Class A, Series 2020-1A(US0003M+121bps), 1/15/33(a) | | | 250,125 | |
| | 330,000 | | | Madison Park Funding XLV, Ltd., Class A, Series 2020-45A, 1.92%(US0003M+165bps), 7/15/31, Callable 7/15/21 @ 100(a) | | | 330,928 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 1.14%(US0003M+92bps), 1/22/28, Callable 1/22/21 @ 100(a) | | | 249,160 | |
| | 324,000 | | | Madison Park Funding, Ltd., Class A1, Series 2019-37A, 1.54%(US0003M+130bps), 7/15/32, Callable 7/15/21 @ 100(a) | | | 323,524 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class AR2, Series 2012-101, 1.44%(US0003M+122bps), 1/20/29, Callable 1/20/21 @ 100(a) | | | 250,007 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class A, Series 2019-33A, 1.57%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(a) | | | 250,342 | |
| | 500,000 | | | Magnetite, Ltd., Class A, Series 24, 1.57%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(a) | | | 500,737 | |
| | 302,000 | | | Magnetite, Ltd., Class A, Series 2019-21A, 1.50%(US0003M+128bps), 4/20/30, Callable 1/20/21 @ 100(a) | | | 301,712 | |
| | 315,000 | | | Milos CLO, Ltd., Class AR, Series 2017-1A, 1.29%(US0003M+107bps), 10/20/30, Callable 4/20/21 @ 100(a) | | | 313,322 | |
| | 53,000 | | | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | | | 48,394 | |
| | 56,000 | | | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | | | 54,104 | |
| | 385,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a) | | | 400,150 | |
| | 236,041 | | | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.41%(US0001M+125bps), 6/15/35(a) | | | 228,455 | |
| | 567,462 | | | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.66%(US0001M+150bps), 6/15/35(a) | | | 544,060 | |
| | 132,000 | | | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 12/15/28 @ 100 | | | 155,464 | |
| | 324,000 | | | Niagara Park CLO, Ltd., Class A, Series 2019-1A, 1.52%(US0003M+130bps), 7/17/32, Callable 7/17/21 @ 100(a) | | | 324,178 | |
| | 311,000 | | | RETL, Class C, Series 2019-RVP, 2.26%(US0001M+210bps), 3/15/36(a) | | | 298,535 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 335,277 | | | Stratus CLO, Ltd., Class A, Series 2020-1A, 2.20%(US0003M+198bps), 4/30/28, Callable 4/20/21 @ 100(a) | | $ | 336,190 | |
| | 250,000 | | | Symphony CLO XXIII, Ltd., Class A, Series 2020-23A, 1.49%(US0003M+132bps), 1/15/34, Callable 1/15/22 @ 100(a) | | | 250,473 | |
| | 250,000 | | | Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 1.22%(US0003M+100bps), 1/20/29, Callable 4/20/21 @ 100(a) | | | 248,805 | |
| | 332,000 | | | VERDE CLO, Ltd., Class A, Series 2019-1A, 1.59%(US0003M+135bps), 4/15/32, Callable 4/15/21 @ 100(a) | | | 332,086 | |
| | 185,000 | | | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(a) | | | 191,732 | |
| | 20,000 | | | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(a) | | | 20,795 | |
| | 390,000 | | | Voya CLO, Ltd., Class A1, Series 2020-3A, 1.50%(US0003M+130bps), 10/20/31, Callable 10/20/21 @ 100(a) | | | 390,311 | |
| | 335,000 | | | Voya CLO, Ltd., Class A, Series 2019-2, 1.49%(US0003M+127bps), 7/20/32, Callable 7/20/21 @ 100(a) | | | 335,092 | |
| | 300,000 | | | Voya CLO, Ltd., Class A1, Series 2020-2A, 1.78%(US0003M+160bps), 7/19/31, Callable 7/19/21 @ 100(a) | | | 300,662 | |
| | 283,000 | | | Voya CLO, Ltd., Class A, Series 2020-1A, 2.00%(US0003M+170bps), 7/16/31, Callable 7/16/21 @ 100(a) | | | 283,783 | |
| | 155,000 | | | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | | | 185,440 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $21,852,792) | | | 21,673,058 | |
| | | | | |
| Convertible Bonds (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 46,000 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(a) | | | 46,000 | |
| | 26,314 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(a) | | | 26,314 | |
| | | | | | | | |
| | | | | | | 72,314 | |
| | | | | | | | |
| | Total Convertible Bonds (Cost $72,314) | | | 72,314 | |
| | | | | |
| Bank Loans (0.0%†): | | | |
| Diversified Financial Services (0.0%†): | | | |
| | 96,022 | | | Intelsat Jackson Holdings SA, 5.58%(LIBOR+550bps), 7/13/21 | | | 97,798 | |
| | 10,000 | | | Intelsat Jackson Holdings SA, 5.58%(LIBOR+550bps), 1/2/24 | | | 10,140 | |
| | | | | | | | |
| | | | | | | 107,938 | |
| | | | | | | | |
| Software (0.0%†): | | | |
| | 55,000 | | | Ultimate Software Group, Inc. (The), 4.08%(LIBOR+400bps), 5/4/26 | | | 55,244 | |
| | | | | | | | |
| | Total Bank Loans (Cost $159,758) | | | 163,182 | |
| | | | | |
| Corporate Bonds (20.8%): | | | |
| Aerospace & Defense (0.4%): | | | |
| | 145,000 | | | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | | | 169,748 | |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Aerospace & Defense, continued | | | |
| $ | 145,000 | | | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | | $ | 175,460 | |
| | 100,000 | | | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | | | 129,643 | |
| | 100,000 | | | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | | | 137,396 | |
| | 150,000 | | | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | | | 212,612 | |
| | 210,000 | | | BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | | | 218,138 | |
| | 80,000 | | | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a) | | | 83,300 | |
| | 5,000 | | | Howmet Aerospace, Inc., 5.95%, 2/1/37 | | | 6,138 | |
| | 45,000 | | | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a) | | | 46,969 | |
| | 85,000 | | | Signature Aviation US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @ 102.69(a) | | | 87,125 | |
| | 15,000 | | | TransDigm, Inc., 6.50%, 5/15/25, Callable 2/11/21 @ 103.25 | | | 15,431 | |
| | 240,000 | | | TransDigm, Inc., 6.25%, 3/15/26, Callable 3/15/22 @ 103.13(a) | | | 255,600 | |
| | 40,000 | | | TransDigm, Inc., 6.88%, 5/15/26, Callable 5/15/21 @ 105.16 | | | 42,300 | |
| | 40,000 | | | TransDigm, Inc., 6.38%, 6/15/26, Callable 6/15/21 @ 103.19 | | | 41,500 | |
| | 35,000 | | | TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75 | | | 37,450 | |
| | 425,000 | | | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | | | 446,250 | |
| | | | | | | | |
| | | | | | | 2,105,060 | |
| | | | | | | | |
| Air Freight & Logistics (0.0%†): | | | |
| | 135,000 | | | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(a) | | | 144,956 | |
| | | | | | | | |
| Automobiles (0.1%): | | | |
| | 240,000 | | | Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(a) | | | 247,560 | |
| | 209,000 | | | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a) | | | 220,825 | |
| | | | | | | | |
| | | | | | | 468,385 | |
| | | | | | | | |
| Banks (1.7%): | | | |
| | 640,000 | | | Bank of America Corp., 4.20%, 8/26/24, MTN | | | 712,497 | |
| | 410,000 | | | Bank of America Corp., Series L, 3.95%, 4/21/25 | | | 461,743 | |
| | 151,000 | | | Bank of America Corp., Series G, 4.45%, 3/3/26 | | | 175,804 | |
| | 70,000 | | | CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100 | | | 74,025 | |
| | 165,000 | | | CIT Group, Inc., 6.13%, 3/9/28 | | | 200,681 | |
| | 730,000 | | | Citigroup, Inc., Series V, 4.05%, 7/30/22 | | | 770,214 | |
| | 255,000 | | | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | | | 277,166 | |
| | 1,098,000 | | | Citigroup, Inc., 4.30%, 11/20/26 | | | 1,282,095 | |
| | 456,000 | | | Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100 | | | 552,967 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 2,005,000 | | | JPMorgan Chase & Co., 3.88%, 9/10/24 | | $ | 2,238,490 | |
| | 181,000 | | | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | | | 198,232 | |
| | 205,000 | | | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | | | 216,470 | |
| | 645,000 | | | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | | | 788,525 | |
| | 921,000 | | | Wells Fargo & Co., 5.01% (US0003M+424 bps), 4/4/51, Callable 4/4/50 @ 100, MTN | | | 1,308,348 | |
| | | | | | | | |
| | | | | | | 9,257,257 | |
| | | | | | | | |
| Beverages (0.4%): | | | |
| | 400,000 | | | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | | | 462,859 | |
| | 150,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | | | 183,873 | |
| | 400,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | | | 504,744 | |
| | 333,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | | | 435,744 | |
| | 345,000 | | | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | | | 523,786 | |
| | 163,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 6/1/60, Callable 12/1/59 @ 100 | | | 209,862 | |
| | | | | | | | |
| | | | | | | 2,320,868 | |
| | | | | | | | |
| Biotechnology (0.2%): | | | |
| | 1,050,000 | | | AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100 | | | 1,082,784 | |
| | | | | | | | |
| Building Products (0.0%†): | | | |
| | 205,000 | | | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a) | | | 215,506 | |
| | | | | | | | |
| Capital Markets (1.4%): | | | |
| | 457,000 | | | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | | | 493,560 | |
| | 507,000 | | | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | | | 548,348 | |
| | 780,000 | | | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | | | 915,771 | |
| | 128,000 | | | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | | | 194,095 | |
| | 3,431,000 | | | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | | | 3,678,523 | |
| | 434,000 | | | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | | | 502,561 | |
| | 125,000 | | | Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 10.75%, 7/1/25, Callable 8/1/22 @ 108.06(a) | | | 134,531 | |
| | 296,000 | | | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | | | 350,384 | |
| | 300,000 | | | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | | | 389,480 | |
| | 280,000 | | | US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(a) | | | 308,350 | |
| | | | | | | | |
| | | | | | | 7,515,603 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Chemicals (0.3%): | | | |
| $ | 110,000 | | | CF Industries, Inc., 5.15%, 3/15/34 | | $ | 134,888 | |
| | 15,000 | | | CF Industries, Inc., 4.95%, 6/1/43 | | | 18,375 | |
| | 210,000 | | | CF Industries, Inc., 5.38%, 3/15/44 | | | 263,813 | |
| | 135,000 | | | Chemours Co., 7.00%, 5/15/25, Callable 2/11/21 @ 103.5 | | | 139,894 | |
| | 240,000 | | | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100^ | | | 254,400 | |
| | 235,000 | | | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(a) | | | 239,700 | |
| | 10,000 | | | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 5.00%, 12/31/26, Callable 6/30/23 @ 103.75(a) | | | 10,425 | |
| | 10,000 | | | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 7.00%, 12/31/27, Callable 12/31/23 @ 103.5(a) | | | 10,462 | |
| | 80,000 | | | Olin Corp., 5.63%, 8/1/29, Callable 8/1/24 @ 102.81 | | | 86,700 | |
| | 95,000 | | | Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5 | | | 101,175 | |
| | 25,000 | | | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | | | 26,375 | |
| | 90,000 | | | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(a) | | | 92,362 | |
| | 50,000 | | | WR Grace & Co., 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a) | | | 52,750 | |
| | | | | | | | |
| | | | | | | 1,431,319 | |
| | | | | | | | |
| Commercial Services & Supplies (0.2%): | | | |
| | 70,000 | | | Aramark Services, Inc., 5.00%, 4/1/25, Callable 2/11/21 @ 103.75(a) | | | 71,750 | |
| | 365,000 | | | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(a) | | | 384,619 | |
| | 70,000 | | | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(a) | | | 71,925 | |
| | 60,000 | | | Tempo Acquisition LLC /Tempo Acquisition Finance Corp., 5.75%, 6/1/25, Callable 6/1/22 @ 102.88(a) | | | 63,750 | |
| | 230,000 | | | Tempo Finance Corp., 6.75%, 6/1/25, Callable 1/22/21 @ 103.38(a) | | | 236,612 | |
| | | | | | | | |
| | | | | | | 828,656 | |
| | | | | | | | |
| Construction & Engineering (0.1%): | | | |
| | 190,000 | | | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100 | | | 210,900 | |
| | 235,000 | | | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 2/11/21 @ 106.34(a) | | | 238,525 | |
| | 170,000 | | | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(a) | | | 178,925 | |
| | | | | | | | |
| | | | | | | 628,350 | |
| | | | | | | | |
| Consumer Finance (2.0%): | | | |
| | 390,000 | | | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | | | 411,450 | |
| | 90,000 | | | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | | | 91,687 | |
| | 100,000 | | | Ally Financial, Inc., 5.13%, 9/30/24 | | | 114,875 | |
| | 224,000 | | | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | | | 266,280 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Consumer Finance, continued | | | |
| $ | 142,000 | | | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | | $ | 165,075 | |
| | 313,000 | | | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | | | 327,436 | |
| | 565,000 | | | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | | | 646,372 | |
| | 343,000 | | | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | | | 396,485 | |
| | 1,000,000 | | | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | | | 1,014,706 | |
| | 250,000 | | | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | | | 263,861 | |
| | 1,000,000 | | | Discover Financial Services, 5.20%, 4/27/22 | | | 1,058,707 | |
| | 253,000 | | | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | | | 291,913 | |
| | 35,000 | | | Ford Motor Credit Co LLC, 4.27%, 1/9/27, Callable 11/9/26 @ 100 | | | 36,941 | |
| | 75,000 | | | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | | | 78,614 | |
| | 140,000 | | | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | | | 147,029 | |
| | 200,000 | | | Ford Motor Credit Co. LLC, 5.09%, 1/7/21 | | | 200,013 | |
| | 313,000 | | | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | | | 323,556 | |
| | 329,000 | | | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | | | 354,534 | |
| | 968,000 | | | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | | | 1,009,142 | |
| | 70,000 | | | Ford Motor Credit Co. LLC, 4.69%, 6/9/25, Callable 4/9/25 @ 100 | | | 74,560 | |
| | 55,000 | | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | | | 59,668 | |
| | 160,000 | | | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | | | 177,897 | |
| | 130,000 | | | General Motors Acceptance Corp., 8.00%, 11/1/31 | | | 189,800 | |
| | 500,000 | | | General Motors Financial Co., Inc., 4.20%, 3/1/21, Callable 2/1/21 @ 100 | | | 501,473 | |
| | 20,000 | | | Navient Corp., 7.25%, 1/25/22, MTN | | | 20,925 | |
| | 115,000 | | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 133,687 | |
| | 110,000 | | | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | | | 113,712 | |
| | 271,000 | | | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100 | | | 273,603 | |
| | 510,000 | | | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100 | | | 517,399 | |
| | 76,000 | | | Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100 | | | 78,470 | |
| | 244,000 | | | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | | | 267,704 | |
| | 610,000 | | | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | | | 667,616 | |
| | 405,000 | | | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | | | 451,840 | |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Consumer Finance, continued | | | |
| $ | 423,000 | | | Synchrony Financial, 5.15%, 3/19/29, Callable 12/19/28 @ 100 | | $ | 508,614 | |
| | | | | | | | |
| | | | | | | 11,235,644 | |
| | | | | | | | |
| Containers & Packaging (0.0%†): | | | |
| | 5,000 | | | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 4.13%, 8/15/26, Callable 8/15/22 @ 102.06(a) | | | 5,225 | |
| | 100,000 | | | Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a) | | | 107,255 | |
| | 4,000 | | | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 2/11/21 @ 101.28(a) | | | 4,050 | |
| | | | | | | | |
| | | | | | | 116,530 | |
| | | | | | | | |
| Diversified Consumer Services (0.2%): | | | |
| | 90,000 | | | APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(a) | | | 96,750 | |
| | 125,000 | | | Ascend Learning LLC, 6.88%, 8/1/25, Callable 2/11/21 @ 103.44(a) | | | 128,750 | |
| | 190,000 | | | Ascend Learning LLC, 6.88%, 8/1/25, Callable 2/11/21 @ 103.44(a) | | | 195,700 | |
| | 65,000 | | | Double Eagle III Midco 1 LLC / Double Eagle Finance Corp., 7.75%, 12/15/25, Callable 12/15/22 @ 103.88(a) | | | 68,819 | |
| | 80,000 | | | Frontdoor, Inc., 6.75%, 8/15/26, Callable 8/15/21 @ 105.06(a) | | | 85,200 | |
| | 160,000 | | | Laureate Education, Inc., 8.25%, 5/1/25, Callable 2/11/21 @ 106.19(a) | | | 169,000 | |
| | 70,000 | | | Service Corp International, 5.13%, 6/1/29, Callable 6/1/24 @ 102.56 | | | 77,525 | |
| | 330,000 | | | Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69(a) | | | 353,100 | |
| | | | | | | | |
| | | | | | | 1,174,844 | |
| | | | | | | | |
| Diversified Financial Services (0.2%): | | | |
| | 60,000 | | | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | | | 64,514 | |
| | 45,000 | | | Banff Merger Sub, Inc., 9.75%, 9/1/26, Callable 9/1/21 @ 104.88(a) | | | 48,375 | |
| | 200,000 | | | Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 2/11/21 @ 101.72(a) | | | 202,750 | |
| | 126,000 | | | Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 7/15/21 @ 103.94(a) | | | 132,615 | |
| | 105,000 | | | Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 7/1/23 @ 102.13(a) | | | 107,625 | |
| | 15,000 | | | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(a) | | | 14,962 | |
| | 500,000 | | | Peachtree Funding Trust, 3.98%, 2/15/25(a) | | | 553,904 | |
| | 185,000 | | | Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100 | | | 199,783 | |
| | | | | | | | |
| | | | | | | 1,324,528 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.3%): | | | |
| | 28,000 | | | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | | | 31,256 | |
| | 138,000 | | | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | | | 164,684 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| $ | 76,000 | | | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100(a) | | $ | 77,811 | |
| | 400,000 | | | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | | | 522,206 | |
| | 234,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100(a) | | | 244,315 | |
| | 80,000 | | | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | | | 86,300 | |
| | 235,000 | | | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | | | 246,750 | |
| | 10,000 | | | CenturyLink, Inc., Series G, 6.88%, 1/15/28^ | | | 11,513 | |
| | 55,000 | | | Front Range BidCo, Inc., 4.00%, 3/1/27, Callable 3/1/21 @ 102(a) | | | 55,275 | |
| | 120,000 | | | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(a) | | | 126,900 | |
| | 40,000 | | | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(a) | | | 43,250 | |
| | 45,000 | | | Frontier Communications Corp., 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(a) | | | 46,912 | |
| | 45,000 | | | Frontier Communications Corp., 6.75%, 5/1/29, Callable 5/1/24 @ 103.38(a) | | | 48,150 | |
| | | | | | | | |
| | | | | | | 1,705,322 | |
| | | | | | | | |
| Electric Utilities (0.6%): | | | |
| | 10,000 | | | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | | | 10,175 | |
| | 371,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | | | 394,651 | |
| | 165,000 | | | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | | | 166,402 | |
| | 54,000 | | | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(a) | | | 55,896 | |
| | 790,000 | | | Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100 | | | 942,385 | |
| | 109,000 | | | Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100 | | | 109,922 | |
| | 75,000 | | | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | | | 88,505 | |
| | 33,000 | | | Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100 | | | 43,629 | |
| | 65,000 | | | Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 10/15/24 @ 104 | | | 64,675 | |
| | 136,000 | | | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | | | 148,267 | |
| | 17,000 | | | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100^(a) | | | 18,275 | |
| | 20,000 | | | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(a) | | | 20,475 | |
| | 40,000 | | | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(a) | | | 41,150 | |
| | 126,047 | | | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | | | 133,610 | |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 205,000 | | | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | | $ | 244,455 | |
| | 300,000 | | | PG&E Corp., 5.00%, 7/1/28, Callable 7/1/23 @ 102.5 | | | 319,500 | |
| | 246,000 | | | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | | | 270,600 | |
| | 80,000 | | | Vistra Operations Co. LLC, 5.63%, 2/15/27, Callable 2/15/22 @ 102.81(a) | | | 85,200 | |
| | 260,000 | | | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(a) | | | 276,250 | |
| | | | | | | | |
| | | | | | | 3,434,022 | |
| | | | | | | | |
| Electrical Equipment (0.0%†): | | | |
| | 55,000 | | | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a) | | | 61,050 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.0%†): | | | |
| | 185,000 | | | TTM Technologies, Inc., 5.63%, 10/1/25, Callable 2/11/21 @ 102.81(a) | | | 189,394 | |
| | | | | | | | |
| Entertainment (0.1%): | | | |
| | 200,000 | | | Netflix, Inc., 4.88%, 4/15/28 | | | 225,000 | |
| | 55,000 | | | Netflix, Inc., 5.88%, 11/15/28 | | | 65,725 | |
| | 25,000 | | | Netflix, Inc., 6.38%, 5/15/29 | | | 30,969 | |
| | 25,000 | | | Netflix, Inc., 5.38%, 11/15/29(a) | | | 29,406 | |
| | | | | | | | |
| | | | | | | 351,100 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (2.5%): | | | |
| | 184,000 | | | Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30, Callable 9/15/30 @ 100 | | | 233,879 | |
| | 164,000 | | | Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100 | | | 180,497 | |
| | 1,039,000 | | | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | | | 1,102,844 | |
| | 265,000 | | | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | | | 283,358 | |
| | 62,000 | | | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | | | 69,106 | |
| | 355,000 | | | Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100 | | | 388,809 | |
| | 528,000 | | | Brixmor Operating Partnership LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100 | | | 557,701 | |
| | 252,000 | | | Brixmor Operating Partnership LP, 4.13%, 5/15/29, Callable 2/15/29 @ 100 | | | 289,061 | |
| | 203,000 | | | Brixmor Operating Partnership LP, 4.05%, 7/1/30, Callable 4/1/30 @ 100 | | | 232,917 | |
| | 717,000 | | | Corporate Office Properties Trust, 5.25%, 2/15/24, Callable 11/15/23 @ 100 | | | 794,188 | |
| | 68,000 | | | Corporate Office Properties, LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | | | 70,680 | |
| | 130,000 | | | Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100 | | | 130,163 | |
| | 10,000 | | | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100^ | | | 9,700 | |
| | 183,000 | | | Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100 | | | 193,970 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 40,000 | | | Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 2/11/21 @ 101.96 | | $ | 33,000 | |
| | 110,000 | | | Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(a) | | | 112,352 | |
| | 34,000 | | | HCP, Inc., 3.50%, 7/15/29, Callable 4/15/29 @ 100 | | | 38,418 | |
| | 66,000 | | | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | | | 74,683 | |
| | 63,000 | | | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | | | 68,631 | |
| | 400,000 | | | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | | | 462,406 | |
| | 735,000 | | | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | | | 801,392 | |
| | 73,000 | | | Lexington Realty Trust, 2.70%, 9/15/30, Callable 6/15/30 @ 100 | | | 76,001 | |
| | 25,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | | | 26,594 | |
| | 195,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100 | | | 209,625 | |
| | 45,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100 | | | 50,400 | |
| | 135,000 | | | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63 | | | 141,244 | |
| | 549,000 | | | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | | | 594,360 | |
| | 101,000 | | | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | | | 110,359 | |
| | 1,278,000 | | | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | | | 1,437,705 | |
| | 282,000 | | | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | | | 300,461 | |
| | 133,000 | | | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | | | 139,613 | |
| | 42,000 | | | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | | | 47,617 | |
| | 15,000 | | | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | | | 15,912 | |
| | 297,000 | | | SBA Tower Trust, 2.84%, 1/15/25(a) | | | 314,815 | |
| | 74,000 | | | SBA Tower Trust, 2.33%, 1/15/28(a) | | | 75,688 | |
| | 97,000 | | | SBA Tower Trust, 1.88%, 7/15/50(a) | | | 99,515 | |
| | 130,000 | | | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100^ | | | 130,689 | |
| | 40,000 | | | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | | | 43,624 | |
| | 45,000 | | | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | | | 45,251 | |
| | 80,000 | | | Service Properties Trust, 4.38%, 2/15/30, Callable 8/15/29 @ 100 | | | 77,967 | |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 69,000 | | | Simon Property Group LP, 2.45%, 9/13/29, Callable 6/13/29 @ 100 | | $ | 72,449 | |
| | 96,000 | | | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | | | 110,839 | |
| | 77,000 | | | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | | | 78,120 | |
| | 700,000 | | | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100^ | | | 721,923 | |
| | 302,000 | | | Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | | | 316,327 | |
| | 165,000 | | | The Geo Group, Inc., 6.00%, 4/15/26, Callable 4/15/21 @ 103^ | | | 131,175 | |
| | 80,000 | | | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 8.25%, 10/15/23, Callable 2/11/21 @ 102.06 | | | 80,200 | |
| | 165,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.13%, 12/15/24, Callable 2/11/21 @ 103.56(a) | | | 166,444 | |
| | 305,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 2/15/22 @ 103.94(a) | | | 327,494 | |
| | 118,000 | | | Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100 | | | 124,507 | |
| | 131,000 | | | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | | | 149,166 | |
| | 367,000 | | | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | | | 394,409 | |
| | 430,000 | | | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | | | 525,375 | |
| | 65,000 | | | VEREIT Operating Partnership LP, 3.40%, 1/15/28, Callable 11/15/27 @ 100 | | | 71,789 | |
| | 31,000 | | | VEREIT Operating Partnership LP, 2.20%, 6/15/28, Callable 4/15/28 @ 100 | | | 31,742 | |
| | 38,000 | | | VEREIT Operating Partnership LP, 2.85%, 12/15/32, Callable 9/15/32 @ 100 | | | 39,701 | |
| | 60,000 | | | Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(a) | | | 61,200 | |
| | 85,000 | | | Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a) | | | 88,188 | |
| | 85,000 | | | Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(a) | | | 90,950 | |
| | 400,000 | | | WP Carey, Inc., 4.60%, 4/1/24, Callable 1/1/24 @ 100 | | | 444,080 | |
| | 66,000 | | | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | | | 75,600 | |
| | | | | | | | |
| | | | | | | 14,166,873 | |
| | | | | | | | |
| Food & Staples Retailing (0.2%): | | | |
| | 100,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(a) | | | 109,750 | |
| | 115,000 | | | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44^(a) | | | 123,050 | |
| | 85,000 | | | Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(a) | | | 89,675 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Food & Staples Retailing, continued | | | |
| $ | 120,000 | | | Sysco Corp., 5.65%, 4/1/25, Callable 3/1/25 @ 100 | | $ | 142,776 | |
| | 140,000 | | | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | | | 183,947 | |
| | 140,000 | | | Sysco Corp., 6.60%, 4/1/40, Callable 10/1/39 @ 100 | | | 204,516 | |
| | 140,000 | | | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | | | 215,228 | |
| | 45,000 | | | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(a) | | | 46,912 | |
| | | | | | | | |
| | | | | | | 1,115,854 | |
| | | | | | | | |
| Food Products (0.4%): | | | |
| | 110,000 | | | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(a) | | | 109,679 | |
| | 625,000 | | | JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 2/11/21 @ 102.88(a) | | | 645,312 | |
| | 50,000 | | | JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(a) | | | 56,000 | |
| | 345,000 | | | JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a) | | | 401,925 | |
| | 180,000 | | | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | | | 207,225 | |
| | 95,000 | | | Kraft Heinz Foods Co., 5.00%, 7/15/35, Callable 1/15/35 @ 100 | | | 114,459 | |
| | 115,000 | | | Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a) | | | 118,738 | |
| | 165,000 | | | Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a) | | | 173,250 | |
| | 45,000 | | | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a) | | | 47,981 | |
| | 50,000 | | | Post Holdings, Inc., 5.50%, 12/15/29, Callable 12/15/24 @ 102.75(a) | | | 54,562 | |
| | 70,000 | | | TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102 | | | 72,100 | |
| | | | | | | | |
| | | | | | | 2,001,231 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.0%†): | | | |
| | 90,000 | | | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(a) | | | 91,688 | |
| | | | | | | | |
| Health Care Providers & Services (0.9%): | | | |
| | 210,000 | | | Centene Corp., 4.75%, 1/15/25, Callable 2/11/21 @ 102.38 | | | 215,250 | |
| | 90,000 | | | Centene Corp., 5.38%, 6/1/26, Callable 6/1/21 @ 104.03(a) | | | 94,725 | |
| | 360,000 | | | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | | | 381,600 | |
| | 610,000 | | | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | | | 677,100 | |
| | 245,000 | | | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | | | 257,556 | |
| | 65,000 | | | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(a) | | | 70,119 | |
| | 65,000 | | | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103^(a) | | | 70,200 | |
| | 341,000 | | | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | | | 410,919 | |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Health Care Providers & Services, continued | | | |
| $ | 260,000 | | | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(a) | | $ | 280,800 | |
| | 78,000 | | | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | | | 88,957 | |
| | 347,000 | | | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | | | 438,791 | |
| | 135,000 | | | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | | | 143,100 | |
| | 20,000 | | | HCA, Inc., 4.75%, 5/1/23 | | | 21,775 | |
| | 240,000 | | | HCA, Inc., 5.38%, 2/1/25 | | | 269,100 | |
| | 170,000 | | | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | | | 179,138 | |
| | 40,000 | | | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | | | 42,400 | |
| | 106,000 | | | Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63^(a) | | | 118,720 | |
| | 235,000 | | | Tenet Healthcare Corp., 7.00%, 8/1/25, Callable 2/11/21 @ 103.5^ | | | 243,519 | |
| | 55,000 | | | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a) | | | 57,337 | |
| | 150,000 | | | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/1/22 @ 103.13(a) | | | 158,625 | |
| | 30,000 | | | Tenet Healthcare Corp., 4.63%, 6/15/28, Callable 6/15/23 @ 102.31(a) | | | 31,575 | |
| | 130,000 | | | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(a) | | | 135,362 | |
| | 117,000 | | | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | | | 135,652 | |
| | 216,000 | | | Toledo Hospital (The), 6.02%, 11/15/48 | | | 269,206 | |
| | 15,000 | | | Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(a) | | | 16,012 | |
| | | | | | | | |
| | | | | | | 4,807,538 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.5%): | | | |
| | 15,000 | | | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(a) | | | 15,675 | |
| | 75,000 | | | Boyd Gaming Corp., 6.38%, 4/1/26, Callable 4/1/21 @ 103.19 | | | 77,719 | |
| | 40,000 | | | Boyd Gaming Corp., 6.00%, 8/15/26, Callable 8/15/21 @ 103 | | | 41,650 | |
| | 115,000 | | | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38 | | | 119,456 | |
| | 260,000 | | | Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 1/22/21 @ 102.63(a) | | | 262,600 | |
| | 150,000 | | | Carnival Corp., 10.50%, 2/1/26, Callable 8/1/23 @ 105.25^(a) | | | 174,375 | |
| | 145,000 | | | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91(a) | | | 157,869 | �� |
| | 140,000 | | | Golden Entertainment, Inc., 3.75%, 10/20/24, Callable 2/10/21 @ 100 | | | 136,522 | |
| | 195,000 | | | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(a) | | | 208,406 | |
| | 210,000 | | | Golden Nugget, Inc., 6.75%, 10/15/24, Callable 2/11/21 @ 101.69(a) | | | 207,900 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| $ | 100,000 | | | Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26, Callable 5/1/21 @ 102.56 | | $ | 103,875 | |
| | 86,000 | | | McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100 | | | 100,687 | |
| | 44,000 | | | McDonald’s Corp., 4.20%, 4/1/50, Callable 10/1/49 @ 100 | | | 56,557 | |
| | 60,000 | | | NCL Corp., Ltd., 10.25%, 2/1/26, Callable 8/1/23 @ 105.13(a) | | | 70,500 | |
| | 20,000 | | | Royal Caribbean Cruises, Ltd., 9.13%, 6/15/23, Callable 3/15/23 @ 100(a) | | | 21,700 | |
| | 200,000 | | | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 6/1/22 @ 108.63(a) | | | 233,250 | |
| | 135,000 | | | Scientific Games International, Inc., 5.00%, 10/15/25, Callable 2/11/21 @ 103.75(a) | | | 139,219 | |
| | 140,000 | | | Station Casinos LLC, 5.00%, 10/1/25, Callable 2/11/21 @ 102.5(a) | | | 141,575 | |
| | 130,000 | | | Station Casinos LLC, 4.50%, 2/15/28, Callable 2/15/23 @ 102.25(a) | | | 130,650 | |
| | 65,000 | | | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 5/15/22 @ 109.75(a) | | | 77,187 | |
| | 110,000 | | | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | | | 114,675 | |
| | 100,000 | | | Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100(a) | | | 103,250 | |
| | 130,000 | | | Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88^(a) | | | 143,975 | |
| | | | | | | | |
| | | | | | | 2,839,272 | |
| | | | | | | | |
| Household Durables (0.0%†): | | | |
| | 15,000 | | | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(a) | | | 15,544 | |
| | 10,000 | | | Newell Brands, Inc., 5.88%, 4/1/36, Callable 10/1/35 @ 100 | | | 12,100 | |
| | 130,000 | | | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(a) | | | 147,550 | |
| | | | | | | | |
| | | | | | | 175,194 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 357,000 | | | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | | | 388,473 | |
| | 312,000 | | | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | | | 352,924 | |
| | 75,000 | | | Clearway Energy Operating LLC, 5.75%, 10/15/25, Callable 10/15/21 @ 102.88 | | | 78,750 | |
| | 30,000 | | | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a) | | | 32,175 | |
| | 110,000 | | | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | | | 119,625 | |
| | 90,000 | | | NRG Energy, Inc., 5.25%, 6/15/29, Callable 6/15/24 @ 102.63(a) | | | 98,550 | |
| | 35,000 | | | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(a) | | | 36,925 | |
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Independent Power and Renewable Electricity Producers, continued | |
| $ | 40,000 | | | Talen Energy Supply LLC, 10.50%, 1/15/26, Callable 1/15/22 @ 105.25(a) | | $ | 35,600 | |
| | 20,000 | | | TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(a) | | | 20,650 | |
| | 15,000 | | | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | | | 16,987 | |
| | | | | | | | |
| | | | | | | 1,180,659 | |
| | | | | | | | |
| Industrial Conglomerates (0.1%): | | | |
| | 80,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24, Callable 6/15/24 @ 100 | | | 83,400 | |
| | 205,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13 | | | 217,300 | |
| | 285,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | | | 304,238 | |
| | | | | | | | |
| | | | | | | 604,938 | |
| | | | | | | | |
| Insurance (1.3%): | | | |
| | 600,000 | | | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | | | 645,077 | |
| | 809,000 | | | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100 | | | 909,059 | |
| | 600,000 | | | American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100 | | | 685,092 | |
| | 275,000 | | | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | | | 294,250 | |
| | 40,000 | | | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(a) | | | 41,750 | |
| | 397,000 | | | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | | | 436,204 | |
| | 100,000 | | | HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a) | | | 104,000 | |
| | 1,415,000 | | | Metropolitan Life Global Funding I, 0.60% (SOFR+50 bps), 5/28/21(a) | | | 1,416,955 | |
| | 436,000 | | | Pacific Lifecorp, 5.13%, 1/30/43(a) | | | 556,449 | |
| | 289,000 | | | Unum Group, 4.50%, 3/15/25, Callable 2/15/25 @ 100 | | | 327,701 | |
| | 227,000 | | | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | | | 255,385 | |
| | 1,042,000 | | | Unum Group, 5.75%, 8/15/42 | | | 1,264,283 | |
| | 250,000 | | | USI, Inc., 6.88%, 5/1/25, Callable 2/11/21 @ 103.44(a) | | | 256,562 | |
| | | | | | | | |
| | | | | | | 7,192,767 | |
| | | | | | | | |
| Interactive Media & Services (0.0%†): | | | |
| | 25,000 | | | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a) | | | 25,812 | |
| | 60,000 | | | Rackspace Technology Global, Inc., 5.38%, 12/1/28, Callable 12/1/23 @ 102.69(a) | | | 62,550 | |
| | | | | | | | |
| | | | | | | 88,362 | |
| | | | | | | | |
| IT Services (0.1%): | | | |
| | 25,000 | | | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(a) | | | 25,313 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| IT Services, continued | | | |
| $ | 10,000 | | | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(a) | | $ | 10,325 | |
| | 120,000 | | | Black Knight Infoserv LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a) | | | 122,400 | |
| | 155,000 | | | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | | | 165,075 | |
| | 140,000 | | | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a) | | | 154,875 | |
| | 65,000 | | | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a) | | | 68,737 | |
| | 45,000 | | | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | | | 47,419 | |
| | 55,000 | | | Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a) | | | 59,950 | |
| | | | | | | | |
| | | | | | | 654,094 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 89,000 | | | Hasbro, Inc., 2.60%, 11/19/22 | | | 92,314 | |
| | 202,000 | | | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | | | 218,391 | |
| | 55,000 | | | Mattel, Inc., 6.75%, 12/31/25, Callable 1/22/21 @ 105.06(a) | | | 57,819 | |
| | 5,000 | | | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a) | | | 5,550 | |
| | 8,000 | | | Mattel, Inc., 5.45%, 11/1/41, Callable 5/1/41 @ 100 | | | 8,770 | |
| | | | | | | | |
| | | | | | | 382,844 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.0%†): | | | |
| | 130,000 | | | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a) | | | 137,475 | |
| | 15,000 | | | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a) | | | 15,769 | |
| | 90,000 | | | IQVIA, Inc., 5.00%, 5/15/27, Callable 5/15/22 @ 102.5(a) | | | 95,400 | |
| | | | | | | | |
| | | | | | | 248,644 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 55,000 | | | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(a) | | | 55,550 | |
| | | | | | | | |
| Media (1.4%): | | | |
| | 25,000 | | | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(a) | | | 26,125 | |
| | 20,000 | | | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(a) | | | 20,125 | |
| | 15,000 | | | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(a) | | | 15,656 | |
| | 435,000 | | | CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a) | | | 449,681 | |
| | 400,000 | | | CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a) | | | 416,500 | |
| | 65,000 | | | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | | | 69,225 | |
| | 100,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25(a) | | | 106,750 | |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Media, continued | | | |
| $ | 105,000 | | | CSC Holdings LLC, 7.50%, 4/1/28, Callable 4/1/23 @ 103.75(a) | | $ | 118,388 | |
| | 290,000 | | | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a) | | | 317,550 | |
| | 85,000 | | | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | | | 88,613 | |
| | 146,000 | | | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | | | 167,080 | |
| | 392,000 | | | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | | | 489,466 | |
| | 215,000 | | | DISH DBS Corp., 7.75%, 7/1/26 | | | 240,800 | |
| | 101,000 | | | DISH Network Corp., 2.38%, 3/15/24 | | | 95,565 | |
| | 290,000 | | | DISH Network Corp., 3.38%, 8/15/26 | | | 277,988 | |
| | 65,000 | | | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | | | 71,426 | |
| | 94,000 | | | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | | | 113,890 | |
| | 93,000 | | | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | | | 127,304 | |
| | 62,000 | | | Fox Corp., 5.58%, 1/25/49, Callable 7/25/48 @ 100 | | | 90,130 | |
| | 40,000 | | | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(a) | | | 40,700 | |
| | 110,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(a) | | | 113,300 | |
| | 135,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 102.25(a) | | | 142,425 | |
| | 65,000 | | | Sirius XM Radio, Inc., 4.63%, 7/15/24, Callable 7/15/21 @ 102.31(a) | | | 67,275 | |
| | 90,000 | | | Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | | | 93,825 | |
| | 70,000 | | | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a) | | | 73,850 | |
| | 30,000 | | | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a) | | | 33,000 | |
| | 25,000 | | | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a) | | | 26,563 | |
| | 90,000 | | | TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38(a) | | | 95,738 | |
| | 100,000 | | | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 104.44(a) | | | 110,250 | |
| | 623,000 | | | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100 | | | 631,974 | |
| | 239,000 | | | Time Warner Cable, Inc., 6.55%, 5/1/37 | | | 326,105 | |
| | 280,000 | | | Time Warner Cable, Inc., 7.30%, 7/1/38 | | | 414,862 | |
| | 1,500,000 | | | Time Warner Cable, Inc., 6.75%, 6/15/39 | | | 2,141,694 | |
| | 69,000 | | | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | | | 88,861 | |
| | 35,000 | | | Univision Communications, Inc., 6.63%, 6/1/27, Callable 6/1/23 @ 103.31(a) | | | 37,581 | |
| | | | | | | | |
| | | | | | | 7,740,265 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 20,000 | | | Allegheny Technologies, Inc., 7.88%, 8/15/23, Callable 5/15/23 @ 100 | | | 21,825 | |
| | 176,000 | | | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94^ | | | 185,240 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Metals & Mining, continued | | | |
| $ | 125,000 | | | Big River Steel LLC / BRS Finance Corp., 6.63%, 1/31/29, Callable 9/15/23 @ 103.31(a) | | $ | 134,687 | |
| | 27,000 | | | Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100 | | | 27,473 | |
| | 70,000 | | | Freeport-McMoRan, Inc., 5.45%, 3/15/43, Callable 9/15/42 @ 100 | | | 87,150 | |
| | 45,000 | | | Kaiser Aluminum Corp., 6.50%, 5/1/25, Callable 5/1/22 @ 103.25(a) | | | 48,150 | |
| | 125,000 | | | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a) | | | 129,062 | |
| | | | | | | | |
| | | | | | | 633,587 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 45,000 | | | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | | | 45,787 | |
| | | | | | | | |
| Multi-Utilities (0.1%): | | | |
| | 140,000 | | | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 158,468 | |
| | 339,000 | | | Sempra Energy, 6.00%, 10/15/39 | | | 485,959 | |
| | | | | | | | |
| | | | | | | 644,427 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.0%): | | | |
| | 110,000 | | | Antero Resources Corp., 5.00%, 3/1/25, Callable 2/11/21 @ 103.75^ | | | 102,300 | |
| | 85,000 | | | Apache Corp., 4.63%, 11/15/25, Callable 8/15/25 @ 100 | | | 89,144 | |
| | 105,000 | | | Apache Corp., 4.88%, 11/15/27, Callable 5/15/27 @ 100 | | | 111,563 | |
| | 45,000 | | | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | | | 47,250 | |
| | 10,000 | | | Apache Corp., 7.38%, 8/15/47 | | | 10,612 | |
| | 215,000 | | | Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 2/11/21 @ 102.63 | | | 220,913 | |
| | 247,000 | | | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | | | 289,967 | |
| | 205,000 | | | Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 2/11/21 @ 100(a) | | | 203,975 | |
| | 20,000 | | | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(a) | | | 20,400 | |
| | 132,000 | | | Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100 | | | 152,141 | |
| | 135,000 | | | Comstock Resources, Inc., 7.50%, 5/15/25, Callable 2/11/21 @ 105.63(a) | | | 137,700 | |
| | 55,000 | | | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | | | 59,125 | |
| | 30,000 | | | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | | | 32,250 | |
| | 125,000 | | | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(a) | | | 138,750 | |
| | 230,000 | | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/1/23, Callable 1/27/21 @ 101.56 | | | 230,288 | |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 157,000 | | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 2/11/21 @ 104.31^ | | $ | 159,355 | |
| | 148,000 | | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 5/1/27, Callable 5/1/22 @ 102.81(a) | | | 147,260 | |
| | 155,000 | | | CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(a) | | | 150,350 | |
| | 20,000 | | | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88^(a) | | | 18,900 | |
| | 125,000 | | | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | | | 137,188 | |
| | 105,000 | | | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | | | 116,287 | |
| | 700,000 | | | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(a) | | | 602,000 | |
| | 124,000 | | | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | | | 126,190 | |
| | 20,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a) | | | 21,400 | |
| | 70,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 1/30/26, Callable 2/11/21 @ 104.13(a) | | | 71,925 | |
| | 75,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | | | 80,625 | |
| | 52,000 | | | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | | | 54,535 | |
| | 65,000 | | | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | | | 69,713 | |
| | 229,000 | | | Energy Transfer Operating LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 264,495 | |
| | 106,000 | | | Energy Transfer Operating LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | | | 123,093 | |
| | 109,000 | | | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | | | 117,856 | |
| | 73,000 | | | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | | | 88,056 | |
| | 243,000 | | | Energy Transfer Operating LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | | | 265,174 | |
| | 67,000 | | | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | | | 72,192 | |
| | 128,000 | | | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | | | 146,240 | |
| | 83,000 | | | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | | | 98,874 | |
| | 90,000 | | | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(a) | | | 91,800 | |
| | 50,000 | | | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a) | | | 56,250 | |
| | 75,000 | | | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | | | 74,250 | |
| | 30,000 | | | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | | | 31,650 | |
| | 40,000 | | | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | | | 44,300 | |
| | 71,000 | | | Hess Corp., 7.30%, 8/15/31 | | | 91,590 | |
| | 50,000 | | | Hess Corp., 7.13%, 3/15/33 | | | 64,750 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 69,000 | | | Hess Corp., 5.60%, 2/15/41 | | $ | 83,749 | |
| | 166,000 | | | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | | | 210,197 | |
| | 105,000 | | | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a) | | | 108,937 | |
| | 105,000 | | | Hilcorp Energy LP, 5.00%, 12/1/24, Callable 2/11/21 @ 101.67(a) | | | 103,950 | |
| | 165,000 | | | Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 2/1/28, Callable 2/1/23 @ 103.75(a) | | | 166,237 | |
| | 97,000 | | | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | | | 102,112 | |
| | 42,000 | | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 55,386 | |
| | 479,000 | | | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | | | 598,944 | |
| | 125,000 | | | Kinder Morgan, Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100 | | | 160,045 | |
| | 112,000 | | | Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100 | | | 136,410 | |
| | 115,000 | | | MPLX LP, 1.33% (US0003M+110 bps), 9/9/22, Callable 2/11/21 @ 100 | | | 114,856 | |
| | 113,000 | | | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | | | 123,029 | |
| | 159,000 | | | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | | | 181,856 | |
| | 63,000 | | | MPLX LP, 4.80%, 2/15/29, Callable 11/15/28 @ 100 | | | 75,836 | |
| | 188,000 | | | MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100 | | | 243,695 | |
| | 100,000 | | | Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | | | 97,875 | |
| | 264,000 | | | Occidental Petroleum Corp., 2.90%, 8/15/24, Callable 7/15/24 @ 100 | | | 253,770 | |
| | 536,000 | | | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | | | 558,780 | |
| | 55,000 | | | Occidental Petroleum Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100 | | | 52,250 | |
| | 30,000 | | | Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100 | | | 28,050 | |
| | 176,000 | | | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | | | 160,600 | |
| | 65,000 | | | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | | | 76,537 | |
| | 954,000 | | | Occidental Petroleum Corp., 7.50%, 5/1/31 | | | 1,067,287 | |
| | 16,000 | | | Occidental Petroleum Corp., 7.88%, 9/15/31 | | | 17,840 | |
| | 222,000 | | | Occidental Petroleum Corp., 6.45%, 9/15/36 | | | 231,990 | |
| | 44,000 | | | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | | | 36,960 | |
| | 25,000 | | | Occidental Petroleum Corp., 6.20%, 3/15/40 | | | 24,781 | |
| | 410,000 | | | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | | | 415,637 | |
| | 75,000 | | | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | | | 64,875 | |
| | 110,000 | | | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | | | 89,650 | |
| | 55,000 | | | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | | | 45,100 | |
| | 79,000 | | | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | | | 66,557 | |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 155,000 | | | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63(a) | | $ | 152,675 | |
| | 20,000 | | | PDC Energy, Inc., 5.75%, 5/15/26, Callable 5/15/21 @ 104.31 | | | 20,600 | |
| | 20,000 | | | Phillips 66, 3.70%, 4/6/23 | | | 21,419 | |
| | 26,000 | | | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | | | 29,165 | |
| | 72,000 | | | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | | | 76,689 | |
| | 62,000 | | | Plains All Amer Pipeline, 3.55%, 12/15/29, Callable 9/15/29 @ 100 | | | 64,848 | |
| | 70,000 | | | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100^ | | | 65,625 | |
| | 100,000 | | | Regency Energy Partners LP/Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100 | | | 104,560 | |
| | 335,000 | | | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100(a) | | | 396,975 | |
| | 278,000 | | | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 1/20/21 @ 103.63(a)(c) | | | 512 | |
| | 10,000 | | | SM Energy Co., 5.63%, 6/1/25, Callable 2/11/21 @ 102.81 | | | 8,150 | |
| | 50,000 | | | SM Energy Co., 6.75%, 9/15/26, Callable 9/15/21 @ 103.38 | | | 40,500 | |
| | 80,000 | | | Southwestern Energy Co., 7.50%, 4/1/26, Callable 4/1/21 @ 105.63^ | | | 83,800 | |
| | 621,000 | | | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | | | 684,653 | |
| | 110,000 | | | Sunoco LP / Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25(a) | | | 114,262 | |
| | 5,000 | | | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103 | | | 5,294 | |
| | 62,000 | | | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | | | 66,728 | |
| | 90,000 | | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(a) | | | 92,700 | |
| | 130,000 | | | Targa Resources Partners LP, 5.13%, 2/1/25, Callable 2/11/21 @ 102.56 | | | 132,925 | |
| | 125,000 | | | Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41 | | | 131,563 | |
| | 130,000 | | | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69 | | | 136,175 | |
| | 25,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | | | 27,250 | |
| | 115,000 | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44(a) | | | 124,775 | |
| | 43,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100 | | | 47,989 | |
| | 137,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100 | | | 154,152 | |
| | 71,000 | | | Valero Energy Corp., 2.70%, 4/15/23 | | | 74,026 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 41,000 | | | Valero Energy Corp., 2.85%, 4/15/25, Callable 3/15/25 @ 100 | | $ | 43,584 | |
| | 100,000 | | | Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(a) | | | 104,500 | |
| | 60,000 | | | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | | | 61,200 | |
| | 157,000 | | | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | | | 164,065 | |
| | 1,000,000 | | | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | | | 1,035,000 | |
| | 66,000 | | | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | | | 68,805 | |
| | 80,000 | | | Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100 | | | 82,000 | |
| | 135,000 | | | Western Midstream Operating LP, 4.05%, 2/1/30, Callable 11/1/29 @ 100 | | | 149,850 | |
| | 40,000 | | | Western Midstream Operating LP, 5.30%, 3/1/48, Callable 9/1/47 @ 100 | | | 39,500 | |
| | 15,000 | | | Western Midstream Operating LP, 5.25%, 2/1/50, Callable 8/1/49 @ 100 | | | 16,425 | |
| | 354,000 | | | Williams Cos., Inc. (The), 3.50%, 11/15/30, Callable 8/15/30 @ 100 | | | 399,899 | |
| | 162,000 | | | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | | | 178,205 | |
| | 285,000 | | | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | | | 314,046 | |
| | 40,000 | | | WPX Energy, Inc., 5.25%, 10/15/27, Callable 10/15/22 @ 102.63 | | | 42,350 | |
| | | | | | | | |
| | | | | | | 16,543,893 | |
| | | | | | | | |
| Pharmaceuticals (0.2%): | | | |
| | 60,000 | | | Bausch Health Americas, Inc., 9.25%, 4/1/26, Callable 4/1/22 @ 104.63(a) | | | 66,825 | |
| | 100,000 | | | Bausch Health Cos, Inc., 5.25%, 1/30/30, Callable 1/30/25 @ 102.63(a) | | | 104,500 | |
| | 115,000 | | | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 1/22/21 @ 102.44(a) | | | 117,156 | |
| | 57,000 | | | Elanco Animal Health, Inc., 4.91%, 8/27/21 | | | 58,138 | |
| | 180,000 | | | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100 | | | 196,415 | |
| | 76,000 | | | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100 | | | 89,490 | |
| | 126,000 | | | Upjohn, Inc., 1.13%, 6/22/22(a) | | | 127,295 | |
| | 40,000 | | | Upjohn, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100(a) | | | 41,379 | |
| | 206,000 | | | Upjohn, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100(a) | | | 217,309 | |
| | 90,000 | | | Upjohn, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100(a) | | | 101,321 | |
| | 155,000 | | | Upjohn, Inc., 4.00%, 6/22/50, Callable 12/22/49 @ 100(a) | | | 177,410 | |
| | | | | | | | |
| | | | | | | 1,297,238 | |
| | | | | | | | |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Professional Services (0.1%): | | | |
| $ | 40,000 | | | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a) | | $ | 41,600 | |
| | 36,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22, Callable 2/11/21 @ 100(a) | | | 36,090 | |
| | 85,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.63%, 10/1/28, Callable 10/1/23 @ 102.81(a) | | | 92,013 | |
| | 85,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 102.94(a) | | | 96,156 | |
| | | | | | | | |
| | | | | | | 265,859 | |
| | | | | | | | |
| Real Estate Management & Development (0.1%): | | | |
| | 200,000 | | | Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 2/11/21 @ 104.03(a) | | | 206,250 | |
| | 185,000 | | | Vertical US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(a) | | | 194,944 | |
| | | | | | | | |
| | | | | | | 401,194 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.0%†): | | | |
| | 80,000 | | | Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a) | | | 85,200 | |
| | 50,000 | | | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | | | 51,938 | |
| | | | | | | | |
| | | | | | | 137,138 | |
| | | | | | | | |
| Software (0.1%): | | | |
| | 35,000 | | | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(a) | | | 37,931 | |
| | 140,000 | | | CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94 | | | 146,300 | |
| | 20,000 | | | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a) | | | 22,025 | |
| | 135,000 | | | Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a) | | | 152,550 | |
| | | | | | | | |
| | | | | | | 358,806 | |
| | | | | | | | |
| Specialty Retail (0.2%): | | | |
| | 32,000 | | | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | | | 38,392 | |
| | 49,000 | | | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | | | 54,868 | |
| | 229,000 | | | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | | | 269,798 | |
| | 110,000 | | | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41(a) | | | 114,132 | |
| | 55,000 | | | L Brands, Inc., 7.50%, 6/15/29, Callable 6/15/24 @ 103.75 | | | 60,912 | |
| | 145,000 | | | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(a) | | | 160,225 | |
| | 165,000 | | | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | | | 204,280 | |
| | 51,000 | | | O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | | | 61,168 | |
| | | | | | | | |
| | | | | | | 963,775 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Technology Hardware, Storage & Peripherals (0.1%): | | | |
| $ | 200,000 | | | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100(a) | | $ | 220,854 | |
| | 55,000 | | | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a) | | | 66,092 | |
| | 83,000 | | | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100(a) | | | 101,147 | |
| | 101,000 | | | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100(a) | | | 125,190 | |
| | 87,000 | | | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100(a) | | | 113,084 | |
| | | | | | | | |
| | | | | | | 626,367 | |
| | | | | | | | |
| Tobacco (0.4%): | | | |
| | 212,000 | | | Altria Group, Inc., 4.00%, 1/31/24 | | | 232,859 | |
| | 294,000 | | | Altria Group, Inc., 4.25%, 8/9/42 | | | 328,012 | |
| | 191,000 | | | Altria Group, Inc., 4.50%, 5/2/43 | | | 219,186 | |
| | 347,000 | | | Altria Group, Inc., 5.38%, 1/31/44 | | | 444,112 | |
| | 240,000 | | | Altria Group, Inc., 3.88%, 9/16/46, Callable 3/16/46 @ 100 | | | 252,773 | |
| | 200,000 | | | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | | | 279,649 | |
| | 232,000 | | | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | | | 263,859 | |
| | 120,000 | | | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | | | 151,549 | |
| | | | | | | | |
| | | | | | | 2,171,999 | |
| | | | | | | | |
| Trading Companies & Distributors (0.1%): | | | |
| | 63,000 | | | Air Lease Corp., 2.25%, 1/15/23 | | | 64,590 | |
| | 295,000 | | | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | | | 319,317 | |
| | 265,000 | | | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | | | 284,970 | |
| | | | | | | | |
| | | | | | | 668,877 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.4%): | | | |
| | 295,000 | | | Sprint Capital Corp., 8.75%, 3/15/32 | | | 465,362 | |
| | 325,000 | | | Sprint Communications, Inc., 6.88%, 11/15/28 | | | 428,594 | |
| | 260,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a) | | | 295,730 | |
| | 40,000 | | | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | | | 42,850 | |
| | 605,000 | | | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a) | | | 700,525 | |
| | 56,000 | | | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a) | | | 68,016 | |
| | 110,000 | | | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100(a) | | | 136,506 | |
| | | | | | | | |
| | | | | | | 2,137,583 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $105,832,778) | | | 115,833,481 | |
| | | | | |
| Foreign Bond (0.0%†): | | | |
| Sovereign Bond (0.0%†): | | | |
| | 50,000 | | | Korea Treasury Bond, Series 2103, 2.00%, 3/10/21+ | | | 46 | |
| | | | | | | | |
| | Total Foreign Bond (Cost $43) | | | 46 | |
| | | | | |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations (7.1%): | | | |
| Aerospace & Defense (0.2%): | | | |
| $ | 199,000 | | | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | | $ | 216,164 | |
| | 108,000 | | | Avolon Holdings Funding, Ltd., 3.95%, 7/1/24, Callable 6/1/24 @ 100(a) | | | 113,670 | |
| | 80,000 | | | Avolon Holdings Funding, Ltd., 4.25%, 4/15/26, Callable 3/15/26 @ 100(a) | | | 86,060 | |
| | 132,000 | | | Avolon Holdings Funding, Ltd., 4.38%, 5/1/26, Callable 3/1/26 @ 100(a) | | | 142,560 | |
| | 180,000 | | | Bombardier, Inc., 6.00%, 10/15/22, Callable 2/11/21 @ 100(a) | | | 176,400 | |
| | 210,000 | | | Bombardier, Inc., 6.13%, 1/15/23(a) | | | 205,800 | |
| | 10,000 | | | Bombardier, Inc., 7.50%, 12/1/24, Callable 2/11/21 @ 105.63(a) | | | 9,500 | |
| | 40,000 | | | Bombardier, Inc., 7.50%, 3/15/25, Callable 2/11/21 @ 103.75(a) | | | 37,300 | |
| | | | | | | | |
| | | | | | | 987,454 | |
| | | | | | | | |
| Banks (1.5%): | | | |
| | 585,000 | | | Barclays plc, 4.38%, 1/12/26 | | | 670,404 | |
| | 343,000 | | | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | | | 367,131 | |
| | 377,000 | | | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | | | 451,646 | |
| | 200,000 | | | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a) | | | 219,000 | |
| | 530,000 | | | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | | | 602,774 | |
| | 205,000 | | | HSBC Holdings plc, 4.25%, 3/14/24 | | | 226,122 | |
| | 200,000 | | | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | | | 218,000 | |
| | 656,000 | | | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | | | 749,480 | |
| | 362,000 | | | NatWest Markets plc, 2.38%, 5/21/23(a) | | | 375,683 | |
| | 2,550,000 | | | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | | | 2,794,377 | |
| | 547,000 | | | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | | | 611,563 | |
| | 125,000 | | | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | | | 142,596 | |
| | 193,000 | | | Royal Bank of Scotland Group plc, 3.07% (H15T1Y+255 bps), 5/22/28, Callable 5/22/27 @ 100 | | | 208,089 | |
| | 363,000 | | | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(a) | | | 365,722 | |
| | 350,000 | | | UniCredit SpA, 6.57%, 1/14/22(a) | | | 368,719 | |
| | 186,000 | | | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | | | 211,018 | |
| | | | | | | | |
| | | | | | | 8,582,324 | |
| | | | | | | | |
| Capital Markets (1.0%): | | | |
| | 509,000 | | | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a) | | | 535,472 | |
| | 414,000 | | | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(a) | | | 485,208 | |
| | 670,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | | | 706,291 | |
| | 787,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | | | 846,614 | |
| | 470,000 | | | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | | | 521,551 | |
| | 487,000 | | | Deutsche Bank AG, 5.00%, 2/14/22 | | | 508,571 | |
| | 860,000 | | | Deutsche Bank AG, 3.30%, 11/16/22 | | | 897,840 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Capital Markets, continued | | | |
| $ | 979,000 | | | Deutsche Bank AG, 4.50%, 4/1/25 | | $ | 1,055,091 | |
| | | | | | | | |
| | | | | | | 5,556,638 | |
| | | | | | | | |
| Chemicals (0.1%): | | | |
| | 15,000 | | | Consolidated Energy Finance SA, 3.97% (US0003M+375 bps), 6/15/22, Callable 1/22/21 @ 100(a) | | | 14,850 | |
| | 25,000 | | | Consolidated Energy Finance SA, 6.88%, 6/15/25, Callable 2/11/21 @ 105.16(a) | | | 25,219 | |
| | 165,000 | | | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 5/15/21 @ 104.88^(a) | | | 165,000 | |
| | 130,000 | | | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100^ | | | 141,375 | |
| | 60,000 | | | Methanex Corp., 5.25%, 12/15/29, Callable 9/15/29 @ 100 | | | 65,100 | |
| | 65,000 | | | Methanex Corp., 5.65%, 12/1/44, Callable 6/1/44 @ 100 | | | 70,381 | |
| | 170,000 | | | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a) | | | 173,825 | |
| | | | | | | | |
| | | | | | | 655,750 | |
| | | | | | | | |
| Containers & Packaging (0.0%†): | | | |
| | 15,000 | | | Intelligent Packaging, Ltd. Finco Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 9/15/22 @ 103(a) | | | 15,431 | |
| | 190,000 | | | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | | | 200,688 | |
| | 60,000 | | | Trivium Packaging Finance BV, 8.50%, 8/15/27, Callable 8/15/22 @ 104.25(a) | | | 65,925 | |
| | | | | | | | |
| | | | | | | 282,044 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 250,000 | | | GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(a) | | | 260,313 | |
| | | | | | | | |
| Diversified Financial Services (0.5%): | | | |
| | 220,000 | | | Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a) | | | 231,550 | |
| | 200,000 | | | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a) | | | 204,000 | |
| | 260,000 | | | C&W Senior Financing Dac, 7.50%, 10/15/26, Callable 10/15/21 @ 103.75(a) | | | 277,225 | |
| | 411,000 | | | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(a) | | | 444,394 | |
| | 110,000 | | | Dolya Holdco 18 DAC, 5.00%, 7/15/28, Callable 7/15/23 @ 102.5(a) | | | 113,438 | |
| | 1,355,000 | | | Park Aerospace Holdings, 5.50%, 2/15/24(a) | | | 1,480,337 | |
| | 200,000 | | | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a) | | | 204,000 | |
| | | | | | | | |
| | | | | | | 2,954,944 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.2%): | | | |
| | 320,000 | | | Altice France SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a) | | | 336,800 | |
| | 295,000 | | | Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(a) | | | 324,500 | |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| $ | 180,000 | | | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(a) | | $ | 183,150 | |
| | 120,000 | | | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(a) | | | 122,700 | |
| | 25,000 | | | Sable International Finance, Ltd., 5.75%, 9/7/27, Callable 9/7/22 @ 102.88(a) | | | 26,625 | |
| | 55,000 | | | Telecom Italia SpA, 6.00%, 9/30/34 | | | 66,688 | |
| | | | | | | | |
| | | | | | | 1,060,463 | |
| | | | | | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 105,000 | | | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/1/22 @ 105.16^(a) | | | 95,550 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.1%): | | | |
| | 35,000 | | | 1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(a) | | | 37,523 | |
| | 215,000 | | | 1011778 BC ULC New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(a) | | | 216,612 | |
| | 45,000 | | | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 7/21/23 @ 102.88(a) | | | 47,869 | |
| | 40,000 | | | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69(a) | | | 41,750 | |
| | 80,000 | | | Wynn Macau, Ltd., 5.50%, 10/1/27, Callable 10/1/22 @ 102.75(a) | | | 83,200 | |
| | | | | | | | |
| | | | | | | 426,954 | |
| | | | | | | | |
| Insurance (0.1%): | | | |
| | 314,000 | | | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | | | 352,241 | |
| | 200,000 | | | AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 100(a) | | | 213,541 | |
| | 200,000 | | | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(a) | | | 234,500 | |
| | | | | | | | |
| | | | | | | 800,282 | |
| | | | | | | | |
| Marine (0.0%†): | | | |
| | 80,000 | | | Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc., 11.25%, 8/15/22, Callable 2/11/21 @ 100(a) | | | 67,000 | |
| | | | | | | | |
| Media (0.1%): | | | |
| | 250,000 | | | Ziggo BV, 5.50%, 1/15/27, Callable 1/15/22 @ 102.75(a) | | | 262,188 | |
| | 85,000 | | | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | | | 89,462 | |
| | | | | | | | |
| | | | | | | 351,650 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 265,000 | | | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 3/1/21 @ 105.16(a) | | | 276,925 | |
| | 35,000 | | | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(a) | | | 37,887 | |
| | 5,000 | | | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | | | 5,469 | |
| | | | | | | | |
| | | | | | | 320,281 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Multi-Utilities (0.1%): | | | |
| $ | 473,000 | | | InterGen NV, 7.00%, 6/30/23, Callable 2/11/21 @ 101.17(a) | | $ | 454,080 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.3%): | | | |
| | 28,000 | | | Canadian Natural Resources, Ltd., 5.85%, 2/1/35 | | | 35,175 | |
| | 402,000 | | | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | | | 436,672 | |
| | 85,000 | | | eG Global Finance plc, 6.75%, 2/7/25, Callable 5/15/21 @ 103.38(a) | | | 87,550 | |
| | 130,000 | | | eG Global Finance plc, 8.50%, 10/30/25, Callable 10/30/21 @ 104.25(a) | | | 138,450 | |
| | 145,000 | | | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | | | 157,681 | |
| | 135,000 | | | Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100 | | | 157,163 | |
| | 165,000 | | | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 2/11/21 @ 101.15(a) | | | 165,000 | |
| | 190,000 | | | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a) | | | 195,700 | |
| | 108,000 | | | Petrobras Global Finance BV, 5.09%, 1/15/30 | | | 120,825 | |
| | 1,793,000 | | | Petrobras Global Finance BV, 7.25%, 3/17/44 | | | 2,310,729 | |
| | 1,196,000 | | | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | | | 1,242,898 | |
| | 2,228,000 | | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 2,082,596 | |
| | 336,000 | | | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | | | 317,462 | |
| | | | | | | | |
| | | | | | | 7,447,901 | |
| | | | | | | | |
| Pharmaceuticals (0.2%): | | | |
| | 75,000 | | | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 2/11/21 @ 102.75(a) | | | 77,250 | |
| | 459,000 | | | Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100 | | | 463,595 | |
| | 84,000 | | | Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21 | | | 84,000 | |
| | 127,000 | | | Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23 | | | 125,730 | |
| | 195,000 | | | VRX Escrow Corp., 6.13%, 4/15/25, Callable 2/11/21 @ 103.06(a) | | | 200,606 | |
| | | | | | | | |
| | | | | | | 951,181 | |
| | | | | | | | |
| Software (0.0%†): | | | |
| | 60,000 | | | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a) | | | 61,500 | |
| | | | | | | | |
| Sovereign Bond (1.0%): | | | |
| | 300,000 | | | Abu Dhabi Government International Bond, 3.13%, 4/16/30(a) | | | 338,989 | |
| | 300,000 | | | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | | | 365,352 | |
| | 37,622 | | | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 2/11/21 @ 100 | | | 16,366 | |
| | 342,505 | | | Argentine Republic Government International Bond, 0.13%, 7/9/30, Callable 2/11/21 @ 100 | | | 139,143 | |
| | 627,494 | | | Argentine Republic Government International Bond, 0.13%, 7/9/35, Callable 2/11/21 @ 100 | | | 229,035 | |
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Sovereign Bond, continued | | | |
| $ | 240,000 | | | Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100 | | $ | 257,020 | |
| | 300,000 | | | Corp. Andina de Fomento, 2.38%, 5/12/23 | | | 309,871 | |
| | 900,000 | | | Dominican Republic, 5.50%, 1/27/25(a) | | | 1,013,625 | |
| | 150,000 | | | Dominican Republic, 6.00%, 7/19/28(a) | | | 179,250 | |
| | 375,000 | | | Indonesia Government International Bond, 3.85%, 10/15/30^ | | | 435,929 | |
| | 375,000 | | | Indonesia Government International Bond, 4.20%, 10/15/50^ | | | 447,205 | |
| | 200,000 | | | Qatar Government International Bond, 3.40%, 4/16/25(a) | | | 220,600 | |
| | 350,000 | | | Qatar Government International Bond, 3.75%, 4/16/30(a) | | | 411,961 | |
| | 350,000 | | | Qatar Government International Bond, 4.40%, 4/16/50(a) | | | 456,207 | |
| | 200,000 | | | Saudi Government International Bond, 2.90%, 10/22/25(a) | | | 215,325 | |
| | 200,000 | | | Saudi Government International Bond, 3.25%, 10/22/30(a) | | | 220,612 | |
| | 200,000 | | | Saudi Government International Bond, 4.50%, 4/22/60^(a) | | | 250,953 | |
| | | | | | | | |
| | | | | | | 5,507,443 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.1%): | | | |
| | 200,000 | | | Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a) | | | 223,955 | |
| | 200,000 | | | Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100(a) | | | 246,613 | |
| | | | | | | | |
| | | | | | | 470,568 | |
| | | | | | | | |
| Tobacco (0.1%): | | | |
| | 462,000 | | | Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22 @ 100(a) | | | 481,657 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 320,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | | | 349,383 | |
| | 297,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | | | 307,220 | |
| | 151,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | | | 180,086 | |
| | 163,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | | | 182,816 | |
| | | | | | | | |
| | | | | | | 1,019,505 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.2%): | | | |
| | 330,000 | | | Empresa Nacional del Pet, 4.38%, 10/30/24(a) | | | 363,413 | |
| | 500,000 | | | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | | | 562,500 | |
| | 75,000 | | | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(a) | | | 80,812 | |
| | | | | | | | |
| | | | | | | 1,006,725 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $37,098,322) | | | 39,802,207 | |
| | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Municipal Bonds (0.9%): | | | |
| Illinois (0.6%): | | | |
| $ | 88,636 | | | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | | $ | 90,623 | |
| | 3,235,000 | | | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | | | 3,480,731 | |
| | | | | | | | |
| | | | | | | 3,571,354 | |
| | | | | | | | |
| New Jersey (0.1%): | |
| | 339,000 | | | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29 | | | 437,114 | |
| | | | | | | | |
| California (0.2%): | |
| | 10,000 | | | California State, Build America Bonds, GO, 7.35%, 11/1/39 | | | 16,617 | |
| | 400,000 | | | California State, Build America Bonds, GO, 7.50%, 4/1/34 | | | 670,144 | |
| | 140,000 | | | California State, Build America Bonds, GO, 7.55%, 4/1/39 | | | 246,341 | |
| | | | | | | | |
| | | | | | | 933,102 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $4,388,227) | | | 4,941,570 | |
| | | | | |
| U.S. Government Agency Mortgages (7.0%): | | | |
| Federal Home Loan Mortgage Corporation (1.9%) | | | |
| | 39,626 | | | 2.50%, 6/1/31, Pool #G18604 | | | 41,612 | |
| | 41,819 | | | 2.50%, 6/1/31, Pool #J34501 | | | 44,294 | |
| | 62,361 | | | 2.50%, 7/1/31, Pool #V61246 | | | 65,064 | |
| | 105,966 | | | 2.50%, 8/1/31, Pool #V61273 | | | 111,734 | |
| | 293,886 | | | 3.50%, 3/1/32, Pool #C91403 | | | 314,846 | |
| | 834,702 | | | 3.50%, 7/1/32, Pool #C91467 | | | 894,428 | |
| | 254,446 | | | 2.50%, 12/1/32, Pool #G18669 | | | 267,313 | |
| | 64,011 | | | 2.50%, 3/1/33, Pool #G18680 | | | 67,250 | |
| | 32,929 | | | 3.00%, 4/1/33, Pool #K90336 | | | 34,746 | |
| | 270,096 | | | 3.00%, 4/1/33, Pool #G18684 | | | 284,365 | |
| | 83,398 | | | 3.00%, 5/1/33, Pool #G16550 | | | 88,031 | |
| | 81,372 | | | 3.00%, 6/1/33, Pool #K90632 | | | 85,852 | |
| | 35,112 | | | 3.00%, 6/1/33, Pool #C91709 | | | 37,044 | |
| | 58,999 | | | 3.00%, 6/1/33, Pool #K90806 | | | 62,219 | |
| | 42,610 | | | 3.00%, 6/1/33, Pool #K90684 | | | 44,945 | |
| | 160,857 | | | 3.00%, 7/1/33, Pool #C91714 | | | 169,720 | |
| | 192,612 | | | 2.50%, 7/1/33, Pool #G16661 | | | 202,353 | |
| | 212,958 | | | 3.50%, 11/1/33, Pool #G16677 | | | 227,813 | |
| | 164,623 | | | 3.50%, 2/1/34, Pool #G16752 | | | 175,388 | |
| | 55,888 | | | 3.00%, 4/1/34, Pool #G16829 | | | 59,097 | |
| | 258,786 | | | 3.50%, 10/1/34, Pool #C91793 | | | 278,061 | |
| | 694,650 | | | 4.00%, 5/1/37, Pool #C91938 | | | 756,407 | |
| | 255,833 | | | 5.00%, 2/1/38, Pool #G60365 | | | 292,185 | |
| | 307,641 | | | 4.00%, 11/1/40, Pool #A95150 | | | 331,507 | |
| | 732,107 | | | 3.50%, 1/1/44, Pool #G07922 | | | 807,976 | |
| | 365,931 | | | 3.50%, 1/1/44, Pool #G60271 | | | 402,184 | |
| | 109,359 | | | 4.00%, 2/1/45, Pool #G07949 | | | 121,532 | |
| | 98,383 | | | 3.50%, 11/1/45, Pool #Q37467 | | | 106,954 | |
| | 11,056 | | | 4.00%, 4/1/46, Pool #Q39975 | | | 12,194 | |
| | 29,366 | | | 4.00%, 4/1/46, Pool #V82292 | | | 32,319 | |
| | 198,866 | | | 3.50%, 9/1/46, Pool #Q43257 | | | 216,716 | |
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal Home Loan Mortgage Corporation, continued | | | |
| $ | 303,402 | | | 3.00%, 12/1/46, Pool #G60989 | | $ | 325,133 | |
| | 13,127 | | | 4.50%, 12/1/46, Pool #Q45028 | | | 14,560 | |
| | 11,010 | | | 4.50%, 1/1/47, Pool #Q45635 | | | 12,202 | |
| | 24,105 | | | 4.50%, 2/1/47, Pool #Q46222 | | | 26,713 | |
| | 21,574 | | | 4.50%, 5/1/47, Pool #Q47942 | | | 23,908 | |
| | 50,430 | | | 4.50%, 5/1/47, Pool #Q47935 | | | 55,885 | |
| | 57,376 | | | 4.50%, 5/1/47, Pool #Q48095 | | | 63,583 | |
| | 66,608 | | | 4.50%, 6/1/47, Pool #Q48759 | | | 73,814 | |
| | 481,637 | | | 4.00%, 6/1/47, Pool #Q48877 | | | 530,364 | |
| | 50,826 | | | 4.50%, 7/1/47, Pool #Q49393 | | | 56,325 | |
| | 132,108 | | | 4.50%, 12/1/47, Pool #Q53017 | | | 145,488 | |
| | 15,212 | | | 4.50%, 1/1/48, Pool #Q53730 | | | 16,731 | |
| | 12,380 | | | 4.00%, 2/1/48, Pool #Q54499 | | | 13,378 | |
| | 51,456 | | | 4.00%, 2/1/48, Pool #G61343 | | | 55,646 | |
| | 64,414 | | | 4.50%, 4/1/48, Pool #Q55500 | | | 70,966 | |
| | 86,057 | | | 4.50%, 4/1/48, Pool #Q55660 | | | 94,812 | |
| | 109,551 | | | 4.50%, 4/1/48, Pool #Q55724 | | | 120,695 | |
| | 112,581 | | | 4.50%, 5/1/48, Pool #Q55839 | | | 124,034 | |
| | 230,804 | | | 4.00%, 5/1/48, Pool #Q55992 | | | 249,408 | |
| | 303,870 | | | 4.00%, 6/1/48, Pool #G67713 | | | 331,378 | |
| | 94,347 | | | 4.00%, 7/1/48, Pool #Q59935 | | | 104,029 | |
| | 50,312 | | | 4.50%, 10/1/48, Pool #G67716 | | | 56,196 | |
| | 540,769 | | | 3.50%, 5/1/49, Pool #Q63646 | | | 583,700 | |
| | 596,366 | | | 2.50%, 11/1/50, Pool #SD7530 | | | 634,770 | |
| | | | | | | | |
| | | | | | | 10,419,867 | |
| | | | | | | | |
| Federal National Mortgage Association (3.5%) | |
| | 50,000 | | | 2.50%, 7/1/23, Pool #AB9896 | | | 51,228 | |
| | 369,266 | | | 2.50%, 4/1/28, Pool #AT2060 | | | 385,207 | |
| | 55,455 | | | 2.50%, 5/1/31, Pool #BC0919 | | | 58,810 | |
| | 78,222 | | | 2.50%, 8/1/31, Pool #BC2778 | | | 82,970 | |
| | 53,027 | | | 2.50%, 10/1/31, Pool #AS8010 | | | 55,777 | |
| | 444,532 | | | 2.50%, 1/1/32, Pool #BE3032 | | | 466,846 | |
| | 236,907 | | | 3.00%, 9/1/32, Pool #BM5110 | | | 250,521 | |
| | 75,429 | | | 2.50%, 9/1/32, Pool #MA3124 | | | 79,073 | |
| | 132,374 | | | 3.00%, 12/1/32, Pool #BM5109 | | | 140,629 | |
| | 552,430 | | | 3.00%, 2/1/33, Pool #BM5108 | | | 585,617 | |
| | 32,450 | | | 3.00%, 3/1/33, Pool #BM4614 | | | 35,043 | |
| | 29,164 | | | 3.00%, 5/1/33, Pool #AT3000 | | | 31,370 | |
| | 30,684 | | | 3.00%, 6/1/33, Pool #AT6090 | | | 32,959 | |
| | 154,657 | | | 3.00%, 7/1/33, Pool #MA1490 | | | 166,352 | |
| | 169,798 | | | 2.50%, 5/1/34, Pool #BN6321 | | | 177,272 | |
| | 548,565 | | | 3.50%, 9/1/34, Pool #FM1577 | | | 593,237 | |
| | 286,845 | | | 3.50%, 9/1/34, Pool #FM1578 | | | 311,112 | |
| | 199,527 | | | 3.50%, 10/1/34, Pool #FM1579 | | | 212,813 | |
| | 522,318 | | | 6.00%, 5/1/36, Pool #745512 | | | 612,018 | |
| | 24,008 | | | 3.50%, 12/1/40, Pool #AH1556 | | | 25,900 | |
| | 58,078 | | | 4.00%, 10/1/43, Pool #BM1167 | | | 64,458 | |
| | 484,056 | | | 4.50%, 3/1/44, Pool #AV0957 | | | 529,263 | |
| | 447,429 | | | 4.50%, 7/1/44, Pool #AS3062 | | | 489,841 | |
| | 126,309 | | | 4.50%, 10/1/44, Pool #AV8856 | | | 138,285 | |
| | 270,239 | | | 4.50%, 12/1/44, Pool #AS4176 | | | 301,089 | |
| | 128,389 | | | 4.00%, 5/1/45, Pool #AZ1207 | | | 138,655 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 312,893 | | | 4.00%, 6/1/45, Pool #AY8096 | | $ | 337,818 | |
| | 112,871 | | | 4.00%, 6/1/45, Pool #AY8126 | | | 121,888 | |
| | 443,926 | | | 3.50%, 7/1/45, Pool #AZ0814 | | | 483,339 | |
| | 309,156 | | | 3.50%, 8/1/45, Pool #AY8424 | | | 336,605 | |
| | 390,728 | | | 4.50%, 12/1/45, Pool #BA6997 | | | 424,074 | |
| | 51,252 | | | 4.00%, 12/1/45, Pool #AS6352 | | | 55,441 | |
| | 14,787 | | | 4.50%, 1/1/46, Pool #AY3890 | | | 16,267 | |
| | 164,602 | | | 4.00%, 2/1/46, Pool #BC1578 | | | 177,301 | |
| | 5,586 | | | 4.50%, 3/1/46, Pool #BC0287 | | | 6,188 | |
| | 413,372 | | | 4.00%, 4/1/46, Pool #AL8468 | | | 455,628 | |
| | 40,677 | | | 4.00%, 4/1/46, Pool #AS7024 | | | 44,267 | |
| | 71,927 | | | 4.50%, 6/1/46, Pool #BD1238 | | | 80,323 | |
| | 358,281 | | | 4.00%, 6/1/46, Pool #AL9282 | | | 385,922 | |
| | 157,237 | | | 4.00%, 7/1/46, Pool #BC1443 | | | 174,858 | |
| | 426,152 | | | 3.50%, 7/1/46, Pool #AL9515 | | | 464,573 | |
| | 171,633 | | | 4.00%, 9/1/46, Pool #BC2843 | | | 190,889 | |
| | 42,266 | | | 4.00%, 9/1/46, Pool #BD1489 | | | 45,527 | |
| | 142,622 | | | 4.00%, 10/1/46, Pool #BC4754 | | | 157,270 | |
| | 23,379 | | | 4.00%, 10/1/46, Pool #BD7599 | | | 25,191 | |
| | 58,440 | | | 4.50%, 10/1/46, Pool #BE1671 | | | 64,314 | |
| | 169,770 | | | 3.50%, 10/1/46, Pool #AL9285 | | | 179,322 | |
| | 70,585 | | | 4.50%, 11/1/46, Pool #BE2386 | | | 78,276 | |
| | 121,399 | | | 4.50%, 12/1/46, Pool #BE4488 | | | 134,495 | |
| | 442,128 | | | 3.50%, 12/1/46, Pool #BC9077 | | | 481,912 | |
| | 11,173 | | | 4.50%, 12/1/46, Pool #BC9079 | | | 12,390 | |
| | 368,812 | | | 3.50%, 1/1/47, Pool #BE1526 | | | 399,458 | |
| | 54,984 | | | 4.50%, 1/1/47, Pool #BE7087 | | | 60,928 | |
| | 252,489 | | | 3.50%, 1/1/47, Pool #AL9776 | | | 273,690 | |
| | 88,448 | | | 4.50%, 1/1/47, Pool #BE6506 | | | 98,090 | |
| | 80,041 | | | 4.50%, 2/1/47, Pool #BE8498 | | | 89,923 | |
| | 594,421 | | | 4.00%, 2/1/47, Pool #AL9779 | | | 655,525 | |
| | 83,802 | | | 4.00%, 5/1/47, Pool #BM1277 | | | 91,950 | |
| | 14,724 | | | 4.50%, 6/1/47, Pool #BE9387 | | | 16,315 | |
| | 91,719 | | | 4.50%, 6/1/47, Pool #BE3663 | | | 101,633 | |
| | 10,638 | | | 4.00%, 6/1/47, Pool #BH4269 | | | 11,672 | |
| | 38,649 | | | 4.50%, 6/1/47, Pool #BH0561 | | | 42,554 | |
| | 52,162 | | | 4.00%, 7/1/47, Pool #AS9968 | | | 57,234 | |
| | 79,941 | | | 4.50%, 7/1/47, Pool #BE3749 | | | 88,583 | |
| | 96,863 | | | 4.00%, 4/1/48, Pool #BM3700 | | | 106,281 | |
| | 34,628 | | | 4.50%, 4/1/48, Pool #BJ5454 | | | 38,068 | |
| | 18,612 | | | 4.50%, 5/1/48, Pool #BJ5507 | | | 20,461 | |
| | 121,927 | | | 4.50%, 10/25/48, Pool #BM4548 | | | 135,429 | |
| | 371,338 | | | 4.50%, 9/1/49, Pool #FM1534 | | | 413,290 | |
| | 511,437 | | | 4.00%, 11/1/49, Pool #CA4628 | | | 558,127 | |
| | 80,309 | | | 3.50%, 11/1/49, Pool #CA4557 | | | 86,928 | |
| | 50,000 | | | 3.00%, 1/25/50, TBA | | | 52,383 | |
| | 342,740 | | | 3.00%, 2/1/50, Pool #CA5126 | | | 363,777 | |
| | 100,000 | | | 3.00%, 2/25/50, TBA | | | 104,867 | |
| | 3,769,232 | | | 3.00%, 3/1/50, Pool #FM3241 | | | 4,008,580 | |
| | 491,683 | | | 2.50%, 8/1/50, Pool #SD0430 | | | 521,863 | |
| | 197,826 | | | 2.50%, 10/1/50, Pool #CA7229 | | | 211,405 | |
| | | | | | | | |
| | | | | | | 19,559,437 | |
| | | | | | | | |
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Government National Mortgage Association (1.6%) | |
| $ | 31,097 | | | 4.00%, 10/20/40, Pool #G24833 | | $ | 34,155 | |
| | 92,873 | | | 4.00%, 1/20/41, Pool #4922 | | | 102,016 | |
| | 88,916 | | | 4.00%, 8/15/41, Pool #430354 | | | 96,169 | |
| | 1,025,001 | | | 4.00%, 1/20/42, Pool #5280 | | | 1,135,010 | |
| | 137,371 | | | 4.00%, 11/20/42, Pool #MA0535 | | | 152,116 | |
| | 293,343 | | | 3.00%, 12/20/42, Pool #AA5872 | | | 308,378 | |
| | 2,263,212 | | | 3.50%, 1/20/43, Pool #MA0699 | | | 2,456,117 | |
| | 184,816 | | | 3.00%, 3/20/43, Pool #AA6146 | | | 193,350 | |
| | 38,944 | | | 3.50%, 3/20/43, Pool #AD8884 | | | 41,986 | |
| | 72,960 | | | 3.00%, 3/20/43, Pool #AD8812 | | | 76,651 | |
| | 16,359 | | | 3.50%, 4/20/43, Pool #AB9891 | | | 17,645 | |
| | 39,574 | | | 3.50%, 4/20/43, Pool #AD9075 | | | 42,663 | |
| | 109,199 | | | 4.00%, 5/20/46, Pool #MA3664 | | | 118,980 | |
| | 186,230 | | | 3.50%, 6/20/46, Pool #MA3736 | | | 198,775 | |
| | 47,820 | | | 3.50%, 7/20/46, Pool #MA3803 | | | 51,042 | |
| | 560,294 | | | 3.00%, 12/20/46, Pool #MA4126 | | | 596,684 | |
| | 133,668 | | | 4.00%, 1/15/47, Pool #AX5857 | | | 142,768 | |
| | 108,027 | | | 4.00%, 1/15/47, Pool #AX5831 | | | 115,382 | |
| | 798,311 | | | 3.00%, 1/20/47, Pool #MA4195 | | | 850,159 | |
| | 390,666 | | | 4.00%, 3/20/47, Pool #MA4322 | | | 418,916 | |
| | 533,833 | | | 4.50%, 4/20/47, Pool #MA4384 | | | 580,347 | |
| | 149,184 | | | 4.00%, 4/20/47, Pool #784304 | | | 159,218 | |
| | 137,890 | | | 4.00%, 4/20/47, Pool #784303 | | | 147,164 | |
| | 68,473 | | | 4.00%, 4/20/47, Pool #MA4383 | | | 73,425 | |
| | 72,829 | | | 4.00%, 5/20/47, Pool #MA4452 | | | 78,096 | |
| | 705,752 | | | 4.50%, 6/20/47, Pool #MA4512 | | | 770,662 | |
| | 47,525 | | | 3.50%, 2/20/48, Pool #MA5019 | | | 50,951 | |
| | 39,701 | | | 4.00%, 4/20/48, Pool #BG3507 | | | 42,692 | |
| | 36,125 | | | 4.00%, 4/20/48, Pool #BG7744 | | | 38,848 | |
| | 14,570 | | | 3.50%, 12/20/49, Pool #BR8984 | | | 15,483 | |
| | 20,474 | | | 3.50%, 12/20/49, Pool #BR8985 | | | 22,261 | |
| | 15,071 | | | 3.50%, 12/20/49, Pool #BR8987 | | | 16,516 | |
| | 99,999 | | | 3.00%, 4/20/50, Pool #MA6599 | | | 104,830 | |
| | | | | | | | |
| | | | | | | 9,249,455 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $37,718,814) | | | 39,228,759 | |
| | | | | |
| U.S. Treasury Obligations (14.2%): | | | |
| U.S. Treasury Bonds (4.5%): | |
| | 226,000 | | | 1.13%, 5/15/40 | | | 214,559 | |
| | 8,868,000 | | | 3.00%, 2/15/47 | | | 11,603,224 | |
| | 4,388,600 | | | 1.38%, 8/15/50 | | | 4,109,512 | |
| | 9,164,000 | | | 1.63%, 11/15/50 | | | 9,126,771 | |
| | | | | | | | |
| | | | | | | 25,054,066 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations, continued | | | |
| U.S. Treasury Inflation Index Bonds (0.7%): | |
| $ | 2,241,355 | | | 0.75%, 2/15/45 | | $ | 2,891,400 | |
| | 84,508 | | | 1.00%, 2/15/46 | | | 115,222 | |
| | 796,773 | | | 1.00%, 2/15/49 | | | 1,122,465 | |
| | | | | | | | |
| | | | | | | 4,129,087 | |
| | | | | | | | |
| U.S. Treasury Inflation Index Notes (3.0%): | |
| | 3,290,172 | | | 0.13%, 10/15/24 | | | 3,527,716 | |
| | 1,846,908 | | | 0.25%, 1/15/25 | | | 1,993,524 | |
| | 5,218,390 | | | 0.63%, 1/15/26 | | | 5,825,950 | |
| | 2,205,169 | | | 0.13%, 7/15/26 | | | 2,425,019 | |
| | 1,350,898 | | | 0.88%, 1/15/29 | | | 1,587,954 | |
| | 967,053 | | | 0.25%, 7/15/29 | | | 1,095,047 | |
| | | | | | | | |
| | | | | | | 16,455,210 | |
| | | | | | | | |
| U.S. Treasury Notes (6.0%): | |
| | 2,996,000 | | | 0.13%, 8/15/23 | | | 2,994,127 | |
| | 668,000 | | | 0.13%, 12/15/23 | | | 667,165 | |
| | 900,000 | | | 2.50%, 1/31/24 | | | 964,125 | |
| | 12,859,000 | | | 0.25%, 7/31/25 | | | 12,820,825 | |
| | 5,588,000 | | | 2.50%, 2/28/26 | | | 6,193,076 | |
| | 4,179,000 | | | 0.63%, 11/30/27 | | | 4,178,347 | |
| | 2,365,000 | | | 0.63%, 12/31/27 | | | 2,362,413 | |
| | 3,269,000 | | | 0.88%, 11/15/30 | | | 3,257,763 | |
| | | | | | | | |
| | | | | | | 33,437,841 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $77,486,206) | | | 79,076,204 | |
| | | | | |
Short-Term Securities Held as Collateral for Securities on
Loan (0.8%): | | | |
| | 4,653,891 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(d)(e) | | | 4,653,891 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $4,653,891) | | | 4,653,891 | |
| | | | | |
| Unaffiliated Investment Companies (3.2%): | | | |
| Money Markets (3.2%): | | | |
| | 17,738,680 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(e) | | | 17,738,680 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $17,738,680) | | | 17,738,680 | |
| | | | | |
| | Total Investment Securities (Cost $477,724,674) — 100.8%(f) | | | 562,832,475 | |
| | Net other assets (liabilities) — (0.8)% | | | (4,305,619 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 558,526,856 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
CVR—Contingency Valued Rights
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
REIT—Real Estate Investment Trust
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USSW5—USD 5 Year Swap Rate
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $4,491,482. |
| + | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at December 31, 2020. |
| (d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (e) | The rate represents the effective yield at December 31, 2020. |
| (f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Securities Sold Short (-0.3%):
At December 31, 2020, the Fund’s securities sold short were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Security Description | | Coupon
Rate | | | Maturity
Date | | | Par
Amount | | | Proceeds
Received | | | Fair
Value | |
U.S. Government Agency Mortgages | | | | | | | | | | | | | | | | | | | | |
Federal National Mortgage Association | |
| | | | | |
Federal National Mortgage Association, TBA | | | 2.50 | % | | | 1/25/51 | | | $ | (600,000 | ) | | $ | (628,430 | ) | | $ | (632,437 | ) |
Federal National Mortgage Association, TBA | | | 3.50 | % | | | 1/25/51 | | | | (1,000,000 | ) | | | (1,055,664 | ) | | | (1,056,719 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $ | (1,684,094 | ) | | $ | (1,689,156 | ) |
| | | | | | | | | | | | | | | | | |
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/19/21 | | | | 20 | | | $ | 3,748,800 | | | $ | 54,232 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 54,232 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 477,724,674 | |
| | | | | |
Investment securities, at value(a) | | | $ | 562,832,475 | |
Cash | | | | 121,493 | |
Deposit at broker for futures contracts collateral | | | | 220,000 | |
Interest and dividends receivable | | | | 2,453,869 | |
Foreign currency, at value (cost $2) | | | | 2 | |
Receivable for capital shares issued | | | | 36 | |
Receivable for investments sold | | | | 143,658 | |
Receivable for TBA investments sold | | | | 1,840,824 | |
Receivable for variation margin on futures contracts | | | | 24,600 | |
Reclaims receivable | | | | 166,278 | |
Prepaid expenses | | | | 2,950 | |
| | | | | |
Total Assets | | | | 567,806,185 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 1,620,000 | |
Payable for TBA investments purchased | | | | 313,980 | |
Payable for capital shares redeemed | | | | 615,511 | |
Payable for collateral received on loaned securities | | | | 4,653,891 | |
Securities sold short (Proceeds received $1,684,094) | | | | 1,689,156 | |
Manager fees payable | | | | 173,425 | |
Administration fees payable | | | | 48,238 | |
Distribution fees payable | | | | 117,079 | |
Custodian fees payable | | | | 7,718 | |
Administrative and compliance services fees payable | | | | 1,654 | |
Transfer agent fees payable | | | | 1,065 | |
Trustee fees payable | | | | 5,989 | |
Other accrued liabilities | | | | 31,623 | |
| | | | | |
Total Liabilities | | | | 9,279,329 | |
| | | | | |
Net Assets | | | $ | 558,526,856 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 438,347,242 | |
Total distributable earnings | | | | 120,179,614 | |
| | | | | |
Net Assets | | | $ | 558,526,856 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 38,681,578 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.44 | |
| | | | | |
| (a) | Includes securities on loan of $4,491,482. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 10,570,686 | |
Dividends | | | | 3,370,307 | |
Income from securities lending | | | | 27,209 | |
Foreign withholding tax | | | | (295 | ) |
| | | | | |
Total Investment Income | | | | 13,967,907 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 3,716,332 | |
Administration fees | | | | 257,416 | |
Distribution fees | | | | 1,327,260 | |
Custodian fees | | | | 33,942 | |
Administrative and compliance services fees | | | | 9,469 | |
Transfer agent fees | | | | 6,462 | |
Trustee fees | | | | 32,215 | |
Professional fees | | | | 26,769 | |
Shareholder reports | | | | 28,460 | |
Other expenses | | | | 11,987 | |
| | | | | |
Total expenses before reductions | | | | 5,450,312 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (1,327,260 | ) |
Less expense contractually waived/reimbursed by the Manager | | | | (353,628 | ) |
| | | | | |
Net expenses | | | | 3,769,424 | |
| | | | | |
Net Investment Income/(Loss) | | | | 10,198,483 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 25,775,785 | |
Net realized gains/(losses) on futures contracts | | | | 966,374 | |
Net realized gains/(losses) on securities held short | | | | 43,602 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 27,791,498 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 22,303 | |
Change in net unrealized appreciation/depreciation on securities held short | | | | (5,062 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 54,594,500 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 64,792,983 | |
| | | | | |
See accompanying notes to the financial statements.
27
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 10,198,483 | | | | $ | 13,118,680 | |
Net realized gains/(losses) on investments | | | | 26,785,761 | | | | | 15,021,435 | |
Change in unrealized appreciation/depreciation on investments | | | | 27,808,739 | | | | | 60,424,961 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 64,792,983 | | | | | 88,565,076 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (28,810,320 | ) | | | | (35,430,519 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (28,810,320 | ) | | | | (35,430,519 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 14,403,625 | | | | | 9,032,090 | |
Proceeds from dividends reinvested | | | | 28,810,320 | | | | | 35,430,518 | |
Value of shares redeemed | | | | (79,696,573 | ) | | | | (77,925,529 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (36,482,628 | ) | | | | (33,462,921 | ) |
| | | | | | | | | | |
Change in net assets | | | | (499,965 | ) | | | | 19,671,636 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 559,026,821 | | | | | 539,355,185 | |
| | | | | | | | | | |
End of period | | | $ | 558,526,856 | | | | $ | 559,026,821 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 1,040,827 | | | | | 678,904 | |
Dividends reinvested | | | | 2,099,877 | | | | | 2,759,386 | |
Shares redeemed | | | | (6,007,621 | ) | | | | (5,869,044 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,866,917 | ) | | | | (2,430,754 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
28
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.45 | | | | $ | 12.26 | | | | $ | 13.35 | | | | $ | 12.43 | | | | $ | 12.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.26 | (a) | | | | 0.31 | (a) | | | | 0.34 | | | | | 0.28 | | | | | 0.34 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.51 | | | | | 1.76 | | | | | (0.58 | ) | | | | 1.09 | | | | | 0.44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.77 | | | | | 2.07 | | | | | (0.24 | ) | | | | 1.37 | | | | | 0.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.35 | ) | | | | (0.33 | ) | | | | (0.32 | ) | | | | — | | | | | (0.18 | ) |
Net Realized Gains | | | | (0.43 | ) | | | | (0.55 | ) | | | | (0.53 | ) | | | | (0.45 | ) | | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.78 | ) | | | | (0.88 | ) | | | | (0.85 | ) | | | | (0.45 | ) | | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.44 | | | | $ | 13.45 | | | | $ | 12.26 | | | | $ | 13.35 | | | | $ | 12.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 13.47 | % | | | | 17.27 | % | | | | (2.02 | )% | | | | 11.12 | % | | | | 6.52 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 558,527 | | | | $ | 559,027 | | | | $ | 539,355 | | | | $ | 627,375 | | | | $ | 657,727 | |
Net Investment Income/(Loss) | | | | 1.92 | % | | | | 2.35 | % | | | | 2.24 | % | | | | 2.06 | % | | | | 2.48 | % |
Expenses Before Reductions(c) | | | | 1.03 | % | | | | 1.02 | % | | | | 1.01 | % | | | | 1.00 | % | | | | 1.04 | % |
Expenses Net of Reductions | | | | 0.71 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.97 | % |
Portfolio Turnover Rate | | | | 77 | % | | | | 77 | % | | | | 66 | % | | | | 82 | % | | | | 148 | %(d) |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (d) | Effective October 14, 2016, the investment strategy of the Fund changed. Costs of purchases and proceeds from sales of portfolio securities associated with the changes in investment strategy contributed to higher portfolio turnover rate for the period ended December 31, 2016 as compared to prior years. |
See accompanying notes to the financial statements.
29
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Fidelity Institutional Asset Management Multi-Strategy Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Structured Notes
The Fund may invest in structured notes, the values of which are based on the price movements of a reference security or index. Structured notes are derivative debt securities, the interest rate or principal of which is determined by an unrelated indicator. The terms of the structured notes may provide that in certain circumstances no principal is due at maturity and therefore, may result in a loss of invested capital. Structured notes may be positively or negatively indexed, so that appreciation of the reference may produce an increase or a decrease in the interest rate or the value of the structured note at maturity may be calculated as a specified multiple of the change in the value of the reference; therefore, the value of such security may be very volatile. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
30
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments. All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,546 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,653,891 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
31
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of December 31, 2020, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $4.3 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | | |
Equity Risk | | | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 54,232 | | | Payable for variation margin on futures contracts* | | $ | — | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation
on Derivatives Recognized | |
| | | |
Equity Risk | | | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 966,374 | | | $ | 22,303 | |
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) —Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained two independent money management organizations (the “Subadviser”), FIAM LLC (“FIAM”) and Geode Capital Management, LLC (“Geode”), to make investment decisions on behalf of the Fund. Pursuant to subadvisory
32
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
agreements between the Manager and FIAM, and between FIAM and Geode, each of FIAM and Geode provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | | 0.70 | % | | | | 0.71 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.45% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At December 31, 2020, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Expires
12/31/2021 | | Expires
12/31/2022 | | Expires
12/31/2023 | | Total |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 287,302 | | | | $ | 328,039 | | | | $ | 353,628 | | | | $ | 968,969 | |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $2,907 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
33
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. 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.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 233,365,489 | | | | $ | 68,615 | | | | $ | — | | | | $ | 233,434,104 | |
Warrants+ | | | | 12,789 | | | | | — | | | | | — | | | | | 12,789 | |
Rights | | | | 2,183 | | | | | — | | | | | — | | | | | 2,183 | |
Asset Backed Securities | | | | — | | | | | 6,200,007 | | | | | — | | | | | 6,200,007 | |
Collateralized Mortgage Obligations | | | | — | | | | | 21,673,058 | | | | | — | | | | | 21,673,058 | |
Convertible Bonds | | | | — | | | | | 72,314 | | | | | — | | | | | 72,314 | |
Bank Loans | | | | — | | | | | 163,182 | | | | | — | | | | | 163,182 | |
Corporate Bonds+ | | | | — | | | | | 115,833,481 | | | | | — | | | | | 115,833,481 | |
Foreign Bonds+ | | | | — | | | | | 46 | | | | | — | | | | | 46 | |
Yankee Debt Obligations+ | | | | — | | | | | 39,802,207 | | | | | — | | | | | 39,802,207 | |
Municipal Bonds | | | | — | | | | | 4,941,570 | | | | | — | | | | | 4,941,570 | |
U.S. Government Agency Mortgages | | | | — | | | | | 39,228,759 | | | | | — | | | | | 39,228,759 | |
U.S. Treasury Obligations | | | | — | | | | | 79,076,204 | | | | | — | | | | | 79,076,204 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 4,653,891 | | | | | — | | | | | — | | | | | 4,653,891 | |
Unaffiliated Investment Companies | | | | 17,738,680 | | | | | — | | | | | — | | | | | 17,738,680 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 255,773,032 | | | | | 307,059,443 | | | | | — | | | | | 562,832,475 | |
| | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | — | | | | | (1,689,156 | ) | | | | — | | | | | (1,689,156 | ) |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 54,232 | | | | | — | | | | | — | | | | | 54,232 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 255,827,264 | | | | $ | 305,370,287 | | | | $ | — | | | | $ | 561,197,551 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 398,908,015 | | | | $ | 459,991,599 | |
For the year ended December 31, 2020, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 155,445,389 | | | | $ | 203,052,654 | |
34
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, investments in mortgage-related securities may cause the Fund to exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. The Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
35
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2020
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $478,379,878. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 87,638,861 | |
Unrealized (depreciation) | | | (4,875,420 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 82,763,441 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 15,135,367 | | | | $ | 13,674,953 | | | | $ | 28,810,320 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 15,313,364 | | | | $ | 20,117,155 | | | | $ | 35,430,519 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 14,483,114 | | | | $ | 22,909,101 | | | | $ | — | | | | $ | 82,787,399 | | | | $ | 120,179,614 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
36
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Fidelity Institutional Asset Management Multi-Strategy Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
37
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 27.40% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $2,039,213.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $13,674,953.
38
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
39
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
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The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
41
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
43
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
44
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Fidelity Institutional Asset Management®
Total Bond Fund
Annual Report
December 31, 2020
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Fidelity Institutional Asset Management® Total Bond Fund Review (Unaudited)
|
Allianz Investment Management LLC serves as the Manager for the AZL® Fidelity Institutional Asset Management® Total Bond Fund and FIAM LLC serves as Subadviser to the Fund. |
| |
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What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class
2 Shares) (the “Fund”) returned 8.84%. That compared to a 7.51% total return for its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index1.
The U.S. bond market experienced strong returns in 2020. Concerns about the economic fallout of the coronavirus (COVID-19) pandemic in late winter and early spring led investors to gravitate away from stocks toward the relative safety of fixed-income assets. This shift drove bond yields, especially U.S. Treasury yields, sharply lower. The resulting rise in fixed-income returns was partially offset by widening spreads on risk assets. Throughout the rest of the year, however, meaningful actions taken by the U.S. Federal Reserve Board (the Fed) helped to keep Treasury yields low and drove spreads significantly tighter, leading to higher prices for fixed-income assets. In particular, the central bank’s move to buy Treasuries and other securities kept interest rates low and drove up returns
The Fund outperformed its benchmark for the 12-month period ended December 31, 2020. Its position in investment-grade corporate bonds was a primary driver of relative returns. Late in the first quarter and early in the second quarter of the period, the Fund significantly increased its exposure to investment-grade corporate bonds, which subsequently experienced very strong returns as spreads tightened to multi-year lows. The Fund’s relative performance also benefited from an increase in its position in high-yield corporate bonds, which performed particularly well during the fourth quarter. Its holdings of Treasury Inflation Protected Securities also boosted relative returns, as these assets were buoyed by rising inflation expectations.*
The Fund’s return relative to the benchmark was modestly hurt by its exposure to energy-related assets, as well as holdings of bonds backed by leases on airplanes. Both assets suffered amid concerns about the pandemic’s effect on the energy and airline industries.*
The Fund did not hold derivatives during the period under review.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® Fidelity Institutional Asset Management® Total Bond Fund Review (Unaudited)
|
Fund Objective The Fund’s investment objective is to seek a high level of current income. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in investment-grade debt securities (those of medium and high quality) of all types and repurchase agreements for those securities. Investment Concerns Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Emerging market investing may be subject to additional economic, political, liquidity, and currency risks not associated with more developed countries. International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Mortgage-backed investments involve risk of loss due to prepayments and, like any bond, due to default. Because of the sensitivity of mortgage-related securities to changes in interest rates, the Fund’s performance may be more volatile than if it did not hold these securities. The performance of investments in real estate depends on the overall strength of the real estate market, the management of real estate investments trusts (REITs), real estate operating companies (REOCs), and foreign real estate companies, and property management, all of which can be affected by a variety of factors, including national and regional economic conditions. |
High-yield bonds have a higher risk of default or other adverse credit events, but have the potential to pay higher earnings over investment-grade bonds. The higher risk of default, or the inability of the creditor to repay its debt, is the primary reason for the higher interest rates on high-yield bonds. Debt securities held by the Fund may decline in value due to rising interest rates. For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
| |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 1
Year | | | 3
Year | | | 5
Year | | | Since
Inception | |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 1 Shares) | | | 10/17/16 | | | | 9.12 | % | | | 6.10 | % | | | — | | | | 4.88 | % |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 2 Shares) | | | 9/5/12 | | | | 8.84 | % | | | 5.83 | % | | | 5.45 | % | | | 3.58 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | 9/5/12 | | | | 7.51 | % | | | 5.34 | % | | | 4.44 | % | | | 3.23 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 1 Shares) | | | 0.57 | % |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 2 Shares) | | | 0.82 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses such as interest expense to 0.70% for Class 1 Shares and 0.95% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Bloomberg Barclays U.S. Aggregate Bond Index, which is an unmanaged market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Fidelity Institutional Asset Management Total Bond Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Fidelity Institutional Asset Management Total Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,046.10 | | | | $ | 3.03 | | | | | 0.59 | % |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,043.70 | | | | $ | 4.32 | | | | | 0.84 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.17 | | | | $ | 3.00 | | | | | 0.59 | % |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,020.91 | | | | $ | 4.27 | | | | | 0.84 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Corporate Bonds | | | | 38.5 | % |
| |
U.S. Treasury Obligations | | | | 22.0 | |
| |
U.S. Government Agency Mortgages | | | | 13.7 | |
| |
Yankee Debt Obligations | | | | 12.4 | |
| |
Collateralized Mortgage Obligations | | | | 7.0 | |
| |
Unaffiliated Investment Companies | | | | 2.8 | |
| |
Asset Backed Securities | | | | 1.8 | |
| |
Municipal Bonds | | | | 1.4 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 1.0 | |
| |
Common Stocks | | | | 0.1 | |
| |
Bank Loans | | | | 0.1 | |
| |
Convertible Bonds | | | | — | † |
| |
Warrants | | | | — | † |
| | | | | |
| |
Total Investment Securities | | | | 100.8 | |
| |
Net other assets (liabilities) | | | | (0.8 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Shares or
Principal
Amount | | | | | Value | |
| Common Stocks (0.1%): | | | |
| Oil, Gas & Consumable Fuels (0.1%): | | | |
| | 22 | | | Amplify Energy Corp., 0.24% | | $ | 29 | |
| | 267 | | | California Resources Corp.* | | | 6,299 | |
| | 281 | | | California Resources Corp.* | | | 6,629 | |
| | 20,949 | | | Denbury, Inc.* | | | 538,180 | |
| | 5,889 | | | Sanchez Energy Corp.* | | | 94,218 | |
| | | | | | | | |
| | Total Common Stocks (Cost $611,598) | | | 645,355 | |
| | | | | | | | |
| Warrant (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 95 | | | California Resources Corp., 10/27/24 | | | 380 | |
| | | | | | | | |
| | Total Warrant (Cost $—) | | | 380 | |
| | | | | | | | |
| Asset Backed Securities (1.8%): | | | |
| $ | 297,380 | | | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | | | 280,843 | |
| | 439,078 | | | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | | | 415,104 | |
| | 244,877 | | | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | | | 209,982 | |
| | 237,716 | | | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | | | 223,764 | |
| | 1,455,222 | | | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | | | 1,349,578 | |
| | 225,022 | | | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | | | 212,692 | |
| | 127,604 | | | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | | | 122,807 | |
| | 613,088 | | | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | | | 582,920 | |
| | 433,716 | | | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | | | 412,461 | |
| | 216,990 | | | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | | | 178,211 | |
| | 452,399 | | | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | | | 430,007 | |
| | 331,623 | | | DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/21 @ 100(a) | | | 341,084 | |
| | 557,243 | | | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | | | 590,841 | |
| | 227,235 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a) | | | 219,492 | |
| | 234,537 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a) | | | 226,261 | |
| | 333,630 | | | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | | | 314,633 | |
| | 384,362 | | | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | | | 368,660 | |
| | 233,783 | | | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | | | 190,322 | |
| | 387,799 | | | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | | | 375,432 | |
| | 554,024 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | | | 528,116 | |
| | 390,645 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | | | 374,900 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 542,995 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | | $ | 521,552 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $8,919,240) | | | 8,469,662 | |
| | | | | |
| Collateralized Mortgage Obligations (7.0%): | | | |
| | 280,000 | | | AIMCO CLO 11, Ltd., Class A, Series 2020-11A, 1.60%(US0003M+138bps), 10/15/31, Callable 10/15/21 @ 100(a) | | | 280,329 | |
| | 440,000 | | | Aimco CLO 12, Ltd., Class A, Series 2020-12A(US0003M+121bps), 1/17/32(a) | | | 440,224 | |
| | 750,000 | | | AIMCO CLO, Ltd., Class A, Series 2019-10A, 1.54%(US0003M+132bps), 7/22/32, Callable 7/22/21 @ 100(a) | | | 750,250 | |
| | 250,000 | | | Allegany Park CLO, Ltd., Class A, Series 2019-1A, 1.55%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(a) | | | 250,370 | |
| | 393,000 | | | Ares CLO, Ltd., Class A, Series 2019-54A, 1.56%(US0003M+132bps), 10/15/32, Callable 10/15/21 @ 100(a) | | | 393,374 | |
| | 250,000 | | | Ares CLO, Ltd., Class AR2, Series 2015-2A, 1.47%(US0003M+125bps), 4/17/33, Callable 4/17/21 @ 100(a) | | | 250,162 | |
| | 534,000 | | | Ares CLO, Ltd., Class AR, Series 2016-41A, 1.44%(US0003M+120bps), 1/15/29, Callable 1/15/21 @ 100(a) | | | 533,999 | |
| | 358,000 | | | Ares LV CLO, Ltd., Class A1, Series 2020-55A, 1.94%(US0003M+170bps), 4/15/31, Callable 7/15/21 @ 100(a) | | | 359,124 | |
| | 360,000 | | | Ares LVIII CLO, Ltd., Class A, Series 2020-58A(US0003M+122bps), 1/15/33(a) | | | 360,178 | |
| | 273,000 | | | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | | | 272,817 | |
| | 100,000 | | | BAMLL Commercial Mortgage Securities Trust, Class BNM, Series 2019-BPR, 3.47%, 11/5/32(a) | | | 88,661 | |
| | 340,000 | | | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2020-JGDN, 2.91%(US0001M+275bps), 11/15/30(a) | | | 340,000 | |
| | 43,000 | | | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52 | | | 47,552 | |
| | 102,000 | | | Barclays, Class A, Series 2016-MART, 2.20%, 9/13/31(a) | | | 101,871 | |
| | 440,000 | | | Barings CLO, Ltd., Class A, Series 2020-4A(US0003M+122bps), 1/20/32(a) | | | 440,229 | |
| | 443,000 | | | Barings CLO, Ltd., Class A1, Series 2020-1A, 1.63%(US0003M+140bps), 10/15/32, Callable 10/15/21 @ 100(a) | | | 443,843 | |
| | 272,000 | | | Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 1.55%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(a) | | | 272,401 | |
| | 67,000 | | | Benchmark Mortgage Trust, Class A5, Series 2019-B14, 3.05%, 12/15/61 | | | 75,030 | |
| | 49,000 | | | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b) | | | 58,023 | |
| | 201,000 | | | BFLD Trust, Class A, Series 2020-OBRK, 2.21%(US0001M+205bps), 11/15/28(a) | | | 201,000 | |
| | 461,000 | | | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 1.23%(US0003M+99bps), 4/15/29, Callable 1/15/21 @ 100(a) | | | 458,569 | |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 295,000 | | | BX Commercial Mortgage Trust, Class A, Series 2020-FOX, 1.16%(US0001M+100bps), 11/15/32(a) | | $ | 295,425 | |
| | 179,835 | | | BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.28%(US0001M+112bps), 12/15/29(a) | | | 179,136 | |
| | 226,792 | | | BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.16%(US0001M+100bps), 12/15/29(a) | | | 226,792 | |
| | 621,431 | | | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.96%(US0001M+80bps), 12/15/29(a) | | | 621,431 | |
| | 146,300 | | | BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.96%(US0001M+180bps), 11/15/35(a) | | | 145,741 | |
| | 154,256 | | | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.78%(US0001M+263bps), 9/15/37(a) | | | 114,698 | |
| | 277,746 | | | BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.41%(US0001M+125bps), 12/15/29(a) | | | 274,632 | |
| | 211,806 | | | BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.76%(US0001M+160bps), 12/15/29(a) | | | 207,598 | |
| | 400,000 | | | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.16%(US0001M+100bps), 4/15/34(a) | | | 389,967 | |
| | 266,000 | | | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.46%(US0001M+130bps), 4/15/34(a) | | | 255,325 | |
| | 176,000 | | | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.76%(US0001M+160bps), 4/15/34(a) | | | 166,289 | |
| | 185,000 | | | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.06%(US0001M+190bps), 4/15/34(a) | | | 172,962 | |
| | 212,643 | | | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.24%(US0001M+108bps), 10/15/36(a) | | | 212,643 | |
| | 266,753 | | | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.41%(US0001M+125bps), 10/15/36(a) | | | 266,056 | |
| | 378,770 | | | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.61%(US0001M+145bps), 10/15/36(a) | | | 376,944 | |
| | 531,607 | | | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.96%(US0001M+180bps), 10/15/36(a) | | | 527,699 | |
| | 346,000 | | | Cedar Funding CLO, Ltd., Class A, Series 2019-10A, 1.56%(US0003M+134bps), 10/20/32, Callable 10/20/21 @ 100(a) | | | 346,222 | |
| | 261,000 | | | Cedar Funding CLO, Ltd., Class A1A, Series 2019-11A, 1.57%(US0003M+135bps), 5/29/32, Callable 8/29/21 @ 100(a) | | | 261,063 | |
| | 250,000 | | | Cedar Funding XII CLO, Ltd., Class A, Series 2020-12A, 1.51%(US0003M+127bps), 10/25/32, Callable 10/25/21 @ 100(a) | | | 250,162 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 624,306 | | | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.28%(US0001M+112bps), 6/15/34(a) | | $ | 598,906 | |
| | 122,472 | | | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.66%(US0001M+150bps), 6/15/34(a) | | | 115,502 | |
| | 138,403 | | | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.91%(US0001M+175bps), 6/15/34(a) | | | 130,584 | |
| | 370,000 | | | Columbia Cent CLO 29, Ltd., Class A1N, Series 2020-29A, 1.92%(US0003M+170bps), 7/20/31, Callable 1/20/22 @ 100(a) | | | 372,076 | |
| | 580,000 | | | Columbia Cent CLO 30, Ltd., Class A1, Series 2020-30A(US0003M+131bps), 1/20/34(a) | | | 580,298 | |
| | 83,000 | | | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47, Callable 6/15/24 @ 100 | | | 91,577 | |
| | 225,000 | | | Credit Suisse Mortgage Capital Certificates, Class C, Series 2019-ICE4, 1.59%(US0001M+143bps), 5/15/36(a) | | | 224,701 | |
| | 205,000 | | | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.39%(US0001M+123bps), 5/15/36(a) | | | 204,932 | |
| | 119,000 | | | Credit Suisse Mortgage Capital Certificates, Class A, Series 20-NET, 2.26%, 8/15/37(a) | | | 123,358 | |
| | 1,384,000 | | | CSMC Trust, Class D, Series 2017-PFHP, 2.41%(US0001M+225bps), 12/15/30(a) | | | 1,212,439 | |
| | 309,000 | | | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | | | 308,002 | |
| | 100,000 | | | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | | | 97,829 | |
| | 100,000 | | | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | | | 94,356 | |
| | 128,000 | | | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | | | 109,299 | |
| | 360,000 | | | Dryden 68 CLO, Ltd., Class A, Series 2019-68A, 1.55%(US0003M+131bps), 7/15/32, Callable 7/15/21 @ 100(a) | | | 359,655 | |
| | 250,000 | | | Dryden 75 CLO, Ltd., Class AR, Series 2019-75A, 1.44%(US0003M+120bps), 7/15/30, Callable 1/15/21 @ 100(a) | | | 249,614 | |
| | 500,000 | | | Dryden 76 CLO, Ltd., Class A1, Series 2019-76A, 1.55%(US0003M+133bps), 10/20/32, Callable 10/20/21 @ 100(a) | | | 500,767 | |
| | 250,000 | | | Dryden 83 CLO, Ltd., Class A, Series 2020-83A(US0003M+122bps), 1/18/32(a) | | | 250,000 | |
| | 323,000 | | | Dryden 85 CLO, Ltd., Class A1, Series 2020-85A, 1.56%(US0003M+135bps), 10/15/32, Callable 10/15/21 @ 100(a) | | | 323,612 | |
| | 300,000 | | | Dryden CLO, Ltd., Class A, Series 2020-78A, 1.40%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(a) | | | 299,834 | |
| | 427,000 | | | Dryden CLO, Ltd., Class A, Series 2019-72A, 1.55%(US0003M+133bps), 5/15/32, Callable 5/15/21 @ 100(a) | | | 427,061 | |
| | 460,000 | | | Eaton Vance CLO, Ltd., Class A1, Series 2020-2A, 1.56%(US0003M+137bps), 10/15/32, Callable 1/15/22 @ 100(a) | | | 461,062 | |
| | 450,000 | | | Eaton Vance CLO, Ltd., Class A, Series 2020-1A(US0003M+165bps), 10/15/30, Callable 10/15/21 @ 100(a) | | | 451,822 | |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 430,000 | | | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 1.55%(US0003M+130bps), 11/20/33, Callable 11/20/22 @ 100(a) | | $ | 430,806 | |
| | 438,000 | | | Flatiron CLO, Ltd., Class A, Series 2019-1A, 1.54%(US0003M+132bps), 11/16/32, Callable 11/16/21 @ 100(a) | | | 438,655 | |
| | 100,000 | | | GB Trust, Class B, Series 2020-FLIX, 1.51%(US0001M+135bps), 8/25/37(a) | | | 100,452 | |
| | 310,000 | | | GB Trust, Class A, Series 2020-FLIX, 1.28%(US0001M+112bps), 8/25/37(a) | | | 310,422 | |
| | 63,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | | | 64,573 | |
| | 97,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | | | 96,615 | |
| | 133,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | | | 127,854 | |
| | 250,000 | | | Lucali CLO, Ltd., Class A, Series 2020-1A(US0003M+121bps),
1/15/33(a) | | | 250,124 | |
| | 480,000 | | | Madison Park Funding XLV, Ltd., Class A, Series 2020-45A, 1.92%(US0003M+165bps), 7/15/31, Callable 7/15/21 @ 100(a) | | | 481,349 | |
| | 295,000 | | | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 1.14%(US0003M+92bps), 1/22/28, Callable 1/22/21 @ 100(a) | | | 294,009 | |
| | 500,000 | | | Madison Park Funding, Ltd., Class A1, Series 2019-37A, 1.54%(US0003M+130bps), 7/15/32, Callable 7/15/21 @ 100(a) | | | 499,265 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class AR2, Series 2012-101, 1.44%(US0003M+122bps), 1/20/29, Callable 1/20/21 @ 100(a) | | | 250,007 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class A, Series 2019-33A, 1.57%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(a) | | | 250,342 | |
| | 590,000 | | | Magnetite, Ltd., Class A, Series 24, 1.57%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(a) | | | 590,870 | |
| | 461,000 | | | Magnetite, Ltd., Class A, Series 2019-21A, 1.50%(US0003M+128bps), 4/20/30, Callable 1/20/21 @ 100(a) | | | 460,560 | |
| | 464,000 | | | Milos CLO, Ltd., Class AR, Series 2017-1A, 1.29%(US0003M+107bps), 10/20/30, Callable 4/20/21 @ 100(a) | | | 461,528 | |
| | 82,000 | | | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | | | 74,874 | |
| | 86,000 | | | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | | | 83,089 | |
| | 593,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a) | | | 616,335 | |
| | 361,287 | | | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.41%(US0001M+125bps), 6/15/35(a) | | | 349,676 | |
| | 870,944 | | | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.66%(US0001M+150bps), 6/15/35(a) | | | 835,026 | |
| | 200,000 | | | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 12/15/28 @ 100 | | | 235,552 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 500,000 | | | Niagara Park CLO, Ltd., Class A, Series 2019-1A, 1.52%(US0003M+130bps), 7/17/32, Callable 7/17/21 @ 100(a) | | $ | 500,275 | |
| | 451,000 | | | RETL, Class C, Series 2019-RVP, 2.26%(US0001M+210bps), 3/15/36(a) | | | 432,924 | |
| | 491,433 | | | Stratus CLO, Ltd., Class A, Series 2020-1A, 2.20%(US0003M+198bps), 4/30/28, Callable 4/20/21 @ 100(a) | | | 492,772 | |
| | 260,000 | | | Symphony CLO XXIII, Ltd., Class A, Series 2020-23A, 1.49%(US0003M+132bps), 1/15/34, Callable 1/15/22 @ 100(a) | | | 260,492 | |
| | 304,000 | | | Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 1.22%(US0003M+100bps), 1/20/29, Callable 4/20/21 @ 100(a) | | | 302,547 | |
| | 509,000 | | | VERDE CLO, Ltd., Class A, Series 2019-1A, 1.59%(US0003M+135bps), 4/15/32, Callable 4/15/21 @ 100(a) | | | 509,132 | |
| | 20,000 | | | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(a) | | | 20,795 | |
| | 270,000 | | | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(a) | | | 279,826 | |
| | 420,000 | | | Voya CLO, Ltd., Class A, Series 2020-1A, 2.00%(US0003M+170bps), 7/16/31, Callable 7/16/21 @ 100(a) | | | 421,163 | |
| | 570,000 | | | Voya CLO, Ltd., Class A1, Series 2020-3A, 1.50%(US0003M+130bps), 10/20/31, Callable 10/20/21 @ 100(a) | | | 570,454 | |
| | 450,000 | | | Voya CLO, Ltd., Class A1, Series 2020-2A, 1.78%(US0003M+160bps), 7/19/31, Callable 7/19/21 @ 100(a) | | | 450,992 | |
| | 500,000 | | | Voya CLO, Ltd., Class A1, Series 2017-1A, 1.47%(US0003M+125bps), 4/17/30, Callable 1/17/21 @ 100(a) | | | 499,510 | |
| | 516,000 | | | Voya CLO, Ltd., Class A, Series 2019-2, 1.49%(US0003M+127bps), 7/20/32, Callable 7/20/21 @ 100(a) | | | 516,142 | |
| | 234,000 | | | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | | | 279,955 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $32,423,211) | | | 32,135,039 | |
| | | | | |
| Convertible Bonds (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 67,000 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(a) | | | 67,000 | |
| | 38,899 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(a) | | | 38,899 | |
| | | | | | | | |
| | Total Convertible Bonds (Cost $105,899) | | | 105,899 | |
| | | | | |
| Bank Loans (0.1%): | | | |
| Diversified Financial Services (0.1%): | | | |
| | 142,172 | | | Intelsat Jackson Holdings SA, 5.58%(LIBOR+550bps), 7/13/21 | | | 144,802 | |
| | 15,000 | | | Intelsat Jackson Holdings SA, 5.58%(LIBOR+550bps), 1/2/24 | | | 15,211 | |
| | | | | | | | |
| | | | | | | 160,013 | |
| | | | | | | | |
| Software (0.0%†): | | | |
| | 85,000 | | | Ultimate Software Group, Inc. (The), 4.08%(LIBOR+400bps), 5/4/26 | | | 85,377 | |
| | | | | | | | |
| | Total Bank Loans (Cost $240,249) | | | 245,390 | |
| | | | | |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds (38.5%): | | | |
| Aerospace & Defense (0.8%): | | | |
| $ | 214,000 | | | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | | $ | 250,524 | |
| | 214,000 | | | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | | | 258,955 | |
| | 200,000 | | | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | | | 259,286 | |
| | 200,000 | | | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | | | 274,793 | |
| | 210,000 | | | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | | | 297,657 | |
| | 315,000 | | | BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | | | 327,206 | |
| | 125,000 | | | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a) | | | 130,156 | |
| | 5,000 | | | Howmet Aerospace, Inc., 5.95%, 2/1/37 | | | 6,137 | |
| | 65,000 | | | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a) | | | 67,844 | |
| | 130,000 | | | Signature Aviation US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @
102.69(a) | | | 133,250 | |
| | 25,000 | | | TransDigm, Inc., 6.50%, 5/15/25, Callable 2/11/21 @ 103.25 | | | 25,719 | |
| | 360,000 | | | TransDigm, Inc., 6.25%, 3/15/26, Callable 3/15/22 @ 103.13(a) | | | 383,400 | |
| | 60,000 | | | TransDigm, Inc., 6.88%, 5/15/26, Callable 5/15/21 @ 105.16 | | | 63,450 | |
| | 60,000 | | | TransDigm, Inc., 6.38%, 6/15/26, Callable 6/15/21 @ 103.19 | | | 62,250 | |
| | 55,000 | | | TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75 | | | 58,850 | |
| | 610,000 | | | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | | | 640,500 | |
| | | | | | | | |
| | | | | | | 3,239,977 | |
| | | | | | | | |
| Air Freight & Logistics (0.1%): | | | |
| | 205,000 | | | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(a) | | | 220,119 | |
| | | | | | | | |
| Automobiles (0.2%): | | | |
| | 354,000 | | | Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(a) | | | 365,152 | |
| | 309,000 | | | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a) | | | 326,483 | |
| | | | | | | | |
| | | | | | | 691,635 | |
| | | | | | | | |
| Banks (3.1%): | | | |
| | 656,000 | | | Bank of America Corp., 4.20%, 8/26/24, MTN | | | 730,310 | |
| | 612,000 | | | Bank of America Corp., Series L, 3.95%, 4/21/25 | | | 689,236 | |
| | 128,000 | | | Bank of America Corp., Series G, 4.45%, 3/3/26 | | | 149,026 | |
| | 100,000 | | | CIT Group, Inc., 3.93%(SOFR+4bps), 6/19/24, Callable 6/19/23 @ 100 | | | 105,750 | |
| | 245,000 | | | CIT Group, Inc., 6.13%, 3/9/28 | | | 297,981 | |
| | 1,090,000 | | | Citigroup, Inc., Series V, 4.05%, 7/30/22 | | | 1,150,046 | |
| | 393,000 | | | Citigroup, Inc., 3.35%(US0003M+90bps), 4/24/25, Callable 4/24/24 @ 100 | | | 427,162 | |
| | 1,642,000 | | | Citigroup, Inc., 4.30%, 11/20/26 | | | 1,917,304 | |
| | 665,000 | | | Citigroup, Inc., 4.41%(SOFR+391bps), 3/31/31, Callable 3/31/30 @ 100 | | | 806,410 | |
| | 200,000 | | | Citizens Financial Group, Inc., 2.64%, 9/30/32, Callable 7/2/32 @ 100(a) | | | 211,135 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 2,994,000 | | | JPMorgan Chase & Co., 3.88%, 9/10/24 | | $ | 3,342,663 | |
| | 267,000 | | | JPMorgan Chase & Co., 2.96%(SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100 | | | 292,420 | |
| | 500,000 | | | Regions Bank, 6.45%, 6/26/37 | | | 705,195 | |
| | 296,000 | | | Wells Fargo & Co., 2.41%(US0003M+83bps), 10/30/25, Callable 10/30/24 @ 100, MTN | | | 312,561 | |
| | 938,000 | | | Wells Fargo & Co., 4.48%(US0003M+4bps), 4/4/31, Callable 4/4/30 @ 100, MTN | | | 1,146,723 | |
| | 1,340,000 | | | Wells Fargo & Co., 5.01%(US0003M+424bps), 4/4/51, Callable 4/4/50 @ 100, MTN | | | 1,903,568 | |
| | | | | | | | |
| | | | | | | 14,187,490 | |
| | | | | | | | |
| Beverages (0.8%): | | | |
| | 500,000 | | | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | | | 578,574 | |
| | 220,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | | | 269,681 | |
| | 500,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | | | 630,930 | |
| | 509,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | | | 666,047 | |
| | 523,000 | | | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | | | 794,029 | |
| | 239,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 6/1/60, Callable 12/1/59 @ 100 | | | 307,712 | |
| | | | | | | | |
| | | | | | | 3,246,973 | |
| | | | | | | | |
| Biotechnology (0.3%): | | | |
| | 1,489,000 | | | AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100 | | | 1,535,491 | |
| | | | | | | | |
| Building Products (0.1%): | | | |
| | 255,000 | | | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a) | | | 268,069 | |
| | | | | | | | |
| Capital Markets (2.8%): | | | |
| | 282,000 | | | Affiliated Managers Group, Inc., 4.25%, 2/15/24 | | | 310,522 | |
| | 572,000 | | | Affiliated Managers Group, Inc., 3.50%, 8/1/25 | | | 634,747 | |
| | 706,000 | | | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | | | 762,480 | |
| | 751,000 | | | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | | | 812,247 | |
| | 1,140,000 | | | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | | | 1,338,435 | |
| | 194,000 | | | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | | | 294,176 | |
| | 5,274,000 | | | Morgan Stanley, 3.74%(US0003M+85bps), 4/24/24, Callable 4/24/23 @ 100 | | | 5,654,482 | |
| | 632,000 | | | Morgan Stanley, 3.62%(SOFR+312bps), 4/1/31, Callable 4/1/30 @ 100 | | | 731,840 | |
| | 190,000 | | | Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 10.75%, 7/1/25, Callable 8/1/22 @ 108.06(a) | | | 204,487 | |
| | 457,000 | | | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | | | 540,964 | |
| | 500,000 | | | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | | | 649,133 | |
| | 425,000 | | | US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(a) | | | 468,031 | |
| | | | | | | | |
| | | | | | | 12,401,544 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Chemicals (0.5%): | | | |
| $ | 165,000 | | | CF Industries, Inc., 5.15%, 3/15/34 | | $ | 202,331 | |
| | 16,000 | | | CF Industries, Inc., 4.95%, 6/1/43 | | | 19,600 | |
| | 319,000 | | | CF Industries, Inc., 5.38%, 3/15/44 | | | 400,744 | |
| | 215,000 | | | Chemours Co., 7.00%, 5/15/25, Callable 2/11/21 @ 103.5 | | | 222,794 | |
| | 335,000 | | | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100^ | | | 355,100 | |
| | 355,000 | | | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(a) | | | 362,100 | |
| | 15,000 | | | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 5.00%, 12/31/26, Callable 6/30/23 @ 103.75(a) | | | 15,637 | |
| | 20,000 | | | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 7.00%, 12/31/27, Callable 12/31/23 @ 103.5(a) | | | 20,925 | |
| | 115,000 | | | Olin Corp., 5.63%, 8/1/29, Callable 8/1/24 @ 102.81 | | | 124,631 | |
| | 125,000 | | | Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5 | | | 133,125 | |
| | 35,000 | | | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | | | 36,925 | |
| | 135,000 | | | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(a) | | | 138,544 | |
| | 200,000 | | | W.R. Grace & Co., 5.63%, 10/1/24(a) | | | 216,500 | |
| | 80,000 | | | WR Grace & Co., 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a) | | | 84,400 | |
| | | | | | | | |
| | | | | | | 2,333,356 | |
| | | | | | | | |
| Commercial Services & Supplies (0.2%): | | | |
| | 105,000 | | | Aramark Services, Inc., 5.00%, 4/1/25, Callable 2/11/21 @ 103.75(a) | | | 107,625 | |
| | 555,000 | | | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(a) | | | 584,831 | |
| | 120,000 | | | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(a) | | | 123,300 | |
| | 95,000 | | | Tempo Acquisition LLC /Tempo Acquisition Finance Corp., 5.75%, 6/1/25, Callable 6/1/22 @ 102.88(a) | | | 100,937 | |
| | 340,000 | | | Tempo Finance Corp., 6.75%, 6/1/25, Callable 1/22/21 @ 103.38(a) | | | 349,775 | |
| | | | | | | | |
| | | | | | | 1,266,468 | |
| | | | | | | | |
| Construction & Engineering (0.3%): | | | |
| | 85,000 | | | AECOM, 5.88%, 10/15/24, Callable 7/15/24 @ 100 | | | 93,925 | |
| | 285,000 | | | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100 | | | 316,350 | |
| | 350,000 | | | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 2/11/21 @ 106.34(a) | | | 355,250 | |
| | 235,000 | | | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(a) | | | 247,338 | |
| | | | | | | | |
| | | | | | | 1,012,863 | |
| | | | | | | | |
| Consumer Finance (3.3%): | | | |
| | 578,000 | | | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | | | 609,790 | |
| | 130,000 | | | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | | | 132,437 | |
| | 148,000 | | | Ally Financial, Inc., 5.13%, 9/30/24 | | | 170,015 | |
| | 330,000 | | | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | | | 392,287 | |
| | 470,000 | | | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | | | 546,375 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Consumer Finance, continued | | | |
| $ | 462,000 | | | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | | $ | 483,307 | |
| | 833,000 | | | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | | | 952,970 | |
| | 534,000 | | | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | | | 617,268 | |
| | 644,000 | | | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | | | 653,471 | |
| | 250,000 | | | Discover Bank, Series B, 4.68%(USSW5+173bps), 8/9/28, Callable 8/9/23 @ 100 | | | 263,861 | |
| | 1,000,000 | | | Discover Financial Services, 5.20%, 4/27/22 | | | 1,058,707 | |
| | 383,000 | | | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | | | 441,908 | |
| | 457,000 | | | Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100 | | | 526,210 | |
| | 55,000 | | | Ford Motor Credit Co LLC, 4.27%, 1/9/27, Callable 11/9/26 @ 100 | | | 58,050 | |
| | 110,000 | | | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | | | 115,301 | |
| | 215,000 | | | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | | | 225,794 | |
| | 240,000 | | | Ford Motor Credit Co. LLC, 5.09%, 1/7/21 | | | 240,015 | |
| | 496,000 | | | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | | | 512,727 | |
| | 504,000 | | | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | | | 543,115 | |
| | 1,490,000 | | | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | | | 1,553,328 | |
| | 110,000 | | | Ford Motor Credit Co. LLC, 4.69%, 6/9/25, Callable 4/9/25 @ 100 | | | 117,166 | |
| | 80,000 | | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | | | 86,790 | |
| | 240,000 | | | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | | | 266,845 | |
| | 200,000 | | | General Motors Acceptance Corp., 8.00%, 11/1/31 | | | 292,000 | |
| | 747,000 | | | General Motors Financial Co., Inc., 4.20%, 3/1/21, Callable 2/1/21 @ 100 | | | 749,201 | |
| | 30,000 | | | Navient Corp., 7.25%, 1/25/22, MTN | | | 31,388 | |
| | 175,000 | | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 203,437 | |
| | 170,000 | | | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | | | 175,737 | |
| | 415,000 | | | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100 | | | 418,986 | |
| | 510,000 | | | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100 | | | 517,399 | |
| | 119,000 | | | Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100 | | | 122,867 | |
| | 381,000 | | | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | | | 418,014 | |
| | 314,000 | | | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | | | 343,658 | |
| | 663,000 | | | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | | | 739,679 | |
| | 644,000 | | | Synchrony Financial, 5.15%, 3/19/29, Callable 12/19/28 @ 100 | | | 774,344 | |
| | | | | | | | |
| | | | | | | 15,354,447 | |
| | | | | | | | |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Containers & Packaging (0.0%†): | | | |
| $ | 5,000 | | | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 4.13%, 8/15/26, Callable 8/15/22 @ 102.06(a) | | $ | 5,225 | |
| | 150,000 | | | Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a) | | | 160,882 | |
| | 10,000 | | | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 2/11/21 @ 101.28(a) | | | 10,125 | |
| | | | | | | | |
| | | | | | | 176,232 | |
| | | | | | | | |
| Diversified Consumer Services (0.3%): | | | |
| | 141,000 | | | APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(a) | | | 151,575 | |
| | 40,000 | | | Ascend Learning LLC, 6.88%, 8/1/25, Callable 2/11/21 @ 103.44(a) | | | 41,200 | |
| | 200,000 | | | Ascend Learning LLC, 6.88%, 8/1/25, Callable 2/11/21 @ 103.44(a) | | | 206,000 | |
| | 100,000 | | | Double Eagle III Midco 1 LLC / Double Eagle Finance Corp., 7.75%, 12/15/25, Callable 12/15/22 @ 103.88(a) | | | 105,875 | |
| | 120,000 | | | Frontdoor, Inc., 6.75%, 8/15/26, Callable 8/15/21 @ 105.06(a) | | | 127,800 | |
| | 240,000 | | | Laureate Education, Inc., 8.25%, 5/1/25, Callable 2/11/21 @ 106.19(a) | | | 253,500 | |
| | 100,000 | | | Service Corp International, 5.13%, 6/1/29, Callable 6/1/24 @ 102.56 | | | 110,750 | |
| | 410,000 | | | Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69^(a) | | | 438,700 | |
| | | | | | | | |
| | | | | | | 1,435,400 | |
| | | | | | | | |
| Diversified Financial Services (0.4%): | | | |
| | 91,000 | | | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | | | 97,846 | |
| | 70,000 | | | Banff Merger Sub, Inc., 9.75%, 9/1/26, Callable 9/1/21 @ 104.88(a) | | | 75,250 | |
| | 280,000 | | | Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 2/11/21 @ 101.72(a) | | | 283,850 | |
| | 200,000 | | | Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 7/15/21 @ 103.94(a) | | | 210,500 | |
| | 160,000 | | | Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 7/1/23 @ 102.13(a) | | | 164,000 | |
| | 20,000 | | | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(a) | | | 19,950 | |
| | 500,000 | | | Peachtree Funding Trust, 3.98%, 2/15/25(a) | | | 553,904 | |
| | 285,000 | | | Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100 | | | 307,774 | |
| | | | | | | | |
| | | | | | | 1,713,074 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.4%): | | | |
| | 42,000 | | | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | | | 46,884 | |
| | 215,000 | | | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | | | 256,573 | |
| | 109,000 | | | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100(a) | | | 111,598 | |
| | 500,000 | | | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | | | 652,757 | |
| | 351,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100(a) | | | 366,473 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| $ | 125,000 | | | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | | $ | 134,844 | |
| | 360,000 | | | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | | | 378,000 | |
| | 10,000 | | | CenturyLink, Inc., Series G, 6.88%, 1/15/28 | | | 11,512 | |
| | 85,000 | | | Front Range BidCo, Inc., 4.00%, 3/1/27, Callable 3/1/21 @ 102(a) | | | 85,425 | |
| | 185,000 | | | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(a) | | | 195,637 | |
| | 60,000 | | | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(a) | | | 64,875 | |
| | 65,000 | | | Frontier Communications Corp., 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(a) | | | 67,762 | |
| | 70,000 | | | Frontier Communications Corp., 6.75%, 5/1/29, Callable 5/1/24 @ 103.38(a) | | | 74,900 | |
| | | | | | | | |
| | | | | | | 2,447,240 | |
| | | | | | | | |
| Electric Utilities (1.7%): | | | |
| | 20,000 | | | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | | | 20,350 | |
| | 521,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | | | 554,214 | |
| | 255,000 | | | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | | | 257,167 | |
| | 78,000 | | | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(a) | | | 80,738 | |
| | 1,217,000 | | | Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100^ | | | 1,451,750 | |
| | 163,000 | | | Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100 | | | 164,378 | |
| | 110,000 | | | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | | | 129,807 | |
| | 49,000 | | | Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100 | | | 64,782 | |
| | 2,306,000 | | | FirstEnergy, Inc., Series B, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | | | 2,421,526 | |
| | 100,000 | | | Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 10/15/24 @ 104 | | | 99,500 | |
| | 211,000 | | | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | | | 230,032 | |
| | 29,000 | | | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @
100^(a) | | | 31,175 | |
| | 30,000 | | | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(a) | | | 30,712 | |
| | 55,000 | | | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(a) | | | 56,581 | |
| | 187,671 | | | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | | | 198,931 | |
| | 310,000 | | | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | | | 369,664 | |
| | 455,000 | | | PG&E Corp., 5.00%, 7/1/28, Callable 7/1/23 @ 102.5 | | | 484,575 | |
| | 365,000 | | | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | | | 401,500 | |
| | 120,000 | | | Vistra Operations Co. LLC, 5.63%, 2/15/27, Callable 2/15/22 @ 102.81(a) | | | 127,800 | |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 405,000 | | | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(a) | | $ | 430,313 | |
| | | | | | | | |
| | | | | | | 7,605,495 | |
| | | | | | | | |
| Electrical Equipment (0.0%†): | | | |
| | 85,000 | | | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a) | | | 94,350 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.1%): | | | |
| | 280,000 | | | TTM Technologies, Inc., 5.63%, 10/1/25, Callable 2/11/21 @ 102.81(a) | | | 286,650 | |
| | | | | | | | |
| Entertainment (0.1%): | | | |
| | 310,000 | | | Netflix, Inc., 4.88%, 4/15/28 | | | 348,750 | |
| | 100,000 | | | Netflix, Inc., 5.88%, 11/15/28 | | | 119,500 | |
| | 30,000 | | | Netflix, Inc., 6.38%, 5/15/29 | | | 37,163 | |
| | 30,000 | | | Netflix, Inc., 5.38%, 11/15/29(a) | | | 35,287 | |
| | | | | | | | |
| | | | | | | 540,700 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (4.3%): | | | |
| | 267,000 | | | Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30, Callable 9/15/30 @ 100 | | | 339,379 | |
| | 242,000 | | | Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100 | | | 266,343 | |
| | 454,000 | | | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | | | 481,897 | |
| | 421,000 | | | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | | | 450,165 | |
| | 522,000 | | | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | | | 581,826 | |
| | 489,000 | | | Brandywine Realty Trust, 3.95%, 2/15/23, Callable 11/15/22 @ 100 | | | 506,209 | |
| | 788,000 | | | Brixmor Operating Partnership LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100 | | | 832,327 | |
| | 393,000 | | | Brixmor Operating Partnership LP, 4.13%, 5/15/29, Callable 2/15/29 @ 100 | | | 450,797 | |
| | 303,000 | | | Brixmor Operating Partnership LP, 4.05%, 7/1/30, Callable 4/1/30 @ 100 | | | 347,654 | |
| | 414,000 | | | Corporate Office Properties Trust, 5.00%, 7/1/25, Callable 4/1/25 @ 100 | | | 477,275 | |
| | 98,000 | | | Corporate Office Properties, LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | | | 101,862 | |
| | 205,000 | | | Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100 | | | 205,256 | |
| | 35,000 | | | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100 | | | 33,950 | |
| | 273,000 | | | Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100 | | | 289,366 | |
| | 146,000 | | | Duke Realty LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | | | 161,345 | |
| | 55,000 | | | Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 2/11/21 @ 101.96 | | | 45,375 | |
| | 170,000 | | | Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(a) | | | 173,635 | |
| | 52,000 | | | HCP, Inc., 3.50%, 7/15/29, Callable 4/15/29 @ 100 | | | 58,757 | |
| | 102,000 | | | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | | | 115,419 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 98,000 | | | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | | $ | 106,759 | |
| | 615,000 | | | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | | | 710,949 | |
| | 135,000 | | | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | | | 147,194 | |
| | 105,000 | | | Lexington Realty Trust, 2.70%, 9/15/30, Callable 6/15/30 @ 100 | | | 109,316 | |
| | 500,000 | | | Mack-Cali Realty LP, 4.50%, 4/18/22, Callable 1/18/22 @ 100 | | | 501,286 | |
| | 401,000 | | | Mack-Cali Realty LP, 3.15%, 5/15/23, Callable 2/15/23 @ 100 | | | 393,983 | |
| | 40,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | | | 42,550 | |
| | 75,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100 | | | 84,000 | |
| | 205,000 | | | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63 | | | 214,481 | |
| | 820,000 | | | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | | | 887,751 | |
| | 126,000 | | | Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100 | | | 137,183 | |
| | 281,000 | | | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | | | 307,039 | |
| | 1,931,000 | | | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | | | 2,172,307 | |
| | 435,000 | | | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | | | 463,477 | |
| | 194,000 | | | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | | | 203,646 | |
| | 70,000 | | | Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100 | | | 73,161 | |
| | 62,000 | | | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | | | 70,292 | |
| | 68,000 | | | Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100 | | | 72,921 | |
| | 104,000 | | | Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100 | | | 108,940 | |
| | 22,000 | | | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | | | 23,338 | |
| | 458,000 | | | SBA Tower Trust, 2.84%, 1/15/25(a) | | | 485,472 | |
| | 111,000 | | | SBA Tower Trust, 2.33%, 1/15/28(a) | | | 113,532 | |
| | 146,000 | | | SBA Tower Trust, 1.88%, 7/15/50(a) | | | 149,786 | |
| | 200,000 | | | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100^ | | | 201,061 | |
| | 55,000 | | | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | | | 59,983 | |
| | 60,000 | | | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | | | 60,335 | |
| | 125,000 | | | Service Properties Trust, 4.38%, 2/15/30, Callable 8/15/29 @ 100 | | | 121,823 | |
| | 101,000 | | | Simon Property Group LP, 2.45%, 9/13/29, Callable 6/13/29 @ 100 | | | 106,049 | |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 147,000 | | | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | | $ | 169,723 | |
| | 112,000 | | | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | | | 113,629 | |
| | 161,000 | | | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100 | | | 166,042 | |
| | 452,000 | | | Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | | | 473,443 | |
| | 387,000 | | | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | | | 397,755 | |
| | 215,000 | | | The Geo Group, Inc., 6.00%, 4/15/26, Callable 4/15/21 @ 103 | | | 170,925 | |
| | 120,000 | | | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 8.25%, 10/15/23, Callable 2/11/21 @ 102.06 | | | 120,300 | |
| | 255,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.13%, 12/15/24, Callable 2/11/21 @ 103.56(a) | | | 257,231 | |
| | 460,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 2/15/22 @ 103.94(a) | | | 493,925 | |
| | 118,000 | | | Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100 | | | 124,507 | |
| | 199,000 | | | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | | | 226,596 | |
| | 569,000 | | | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | | | 611,495 | |
| | 631,000 | | | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | | | 770,957 | |
| | 97,000 | | | VEREIT Operating Partnership LP, 3.40%, 1/15/28, Callable 11/15/27 @ 100 | | | 107,131 | |
| | 45,000 | | | VEREIT Operating Partnership LP, 2.20%, 6/15/28, Callable 4/15/28 @ 100 | | | 46,077 | |
| | 56,000 | | | VEREIT Operating Partnership LP, 2.85%, 12/15/32, Callable 9/15/32 @ 100 | | | 58,506 | |
| | 90,000 | | | Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(a) | | | 91,800 | |
| | 130,000 | | | Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a) | | | 134,875 | |
| | 135,000 | | | Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(a) | | | 144,450 | |
| | 67,000 | | | Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100 | | | 69,103 | |
| | 814,000 | | | WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100 | | | 898,376 | |
| | 101,000 | | | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | | | 115,691 | |
| | | | | | | | |
| | | | | | | 19,809,988 | |
| | | | | | | | |
| Food & Staples Retailing (0.4%): | | | |
| | 155,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(a) | | | 170,112 | |
| | 165,000 | | | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44^(a) | | | 176,550 | |
| | 125,000 | | | Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(a) | | | 131,875 | |
| | 176,000 | | | Sysco Corp., 5.65%, 4/1/25, Callable 3/1/25 @ 100 | | | 209,405 | |
| | 210,000 | | | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | | | 275,920 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Food & Staples Retailing, continued | | | |
| $ | 210,000 | | | Sysco Corp., 6.60%, 4/1/40, Callable 10/1/39 @ 100 | | $ | 306,774 | |
| | 210,000 | | | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | | | 322,841 | |
| | 65,000 | | | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(a) | | | 67,762 | |
| | | | | | | | |
| | | | | | | 1,661,239 | |
| | | | | | | | |
| Food Products (0.5%): | | | |
| | 170,000 | | | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(a) | | | 169,504 | |
| | 955,000 | | | JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 2/11/21 @ 102.88(a) | | | 986,038 | |
| | 83,000 | | | JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(a) | | | 92,960 | |
| | 490,000 | | | JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a) | | | 570,850 | |
| | 225,000 | | | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | | | 259,031 | |
| | 140,000 | | | Kraft Heinz Foods Co., 5.00%, 7/15/35, Callable 1/15/35 @ 100 | | | 168,676 | |
| | 170,000 | | | Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a) | | | 175,525 | |
| | 70,000 | | | Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a) | | | 73,500 | |
| | 220,000 | | | Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a) | | | 233,200 | |
| | 55,000 | | | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a) | | | 58,644 | |
| | 55,000 | | | Post Holdings, Inc., 5.50%, 12/15/29, Callable 12/15/24 @ 102.75(a) | | | 60,019 | |
| | 95,000 | | | TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102 | | | 97,850 | |
| | | | | | | | |
| | | | | | | 2,945,797 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.0%†): | | | |
| | 140,000 | | | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(a) | | | 142,625 | |
| | | | | | | | |
| Health Care Providers & Services (1.6%): | | | |
| | 325,000 | | | Centene Corp., 4.75%, 1/15/25, Callable 2/11/21 @ 102.38 | | | 333,125 | |
| | 140,000 | | | Centene Corp., 5.38%, 6/1/26, Callable 6/1/21 @ 104.03(a) | | | 147,350 | |
| | 550,000 | | | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | | | 583,000 | |
| | 985,000 | | | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | | | 1,093,350 | |
| | 360,000 | | | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | | | 378,450 | |
| | 100,000 | | | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @
102.81(a) | | | 107,875 | |
| | 100,000 | | | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103^(a) | | | 108,000 | |
| | 526,000 | | | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | | | 633,851 | |
| | 475,000 | | | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(a) | | | 513,000 | |
| | 114,000 | | | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | | | 130,013 | |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Health Care Providers & Services, continued | | | |
| $ | 526,000 | | | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | | $ | 665,142 | |
| | 210,000 | | | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | | | 222,600 | |
| | 30,000 | | | HCA, Inc., 4.75%, 5/1/23 | | | 32,662 | |
| | 295,000 | | | HCA, Inc., 5.38%, 2/1/25 | | | 330,769 | |
| | 260,000 | | | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | | | 273,975 | |
| | 60,000 | | | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | | | 63,600 | |
| | 160,000 | | | Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63(a) | | | 179,200 | |
| | 360,000 | | | Tenet Healthcare Corp., 7.00%, 8/1/25, Callable 2/11/21 @ 103.5 | | | 373,050 | |
| | 90,000 | | | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a) | | | 93,825 | |
| | 215,000 | | | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/1/22 @ 103.13(a) | | | 227,363 | |
| | 45,000 | | | Tenet Healthcare Corp., 4.63%, 6/15/28, Callable 6/15/23 @ 102.31(a) | | | 47,362 | |
| | 195,000 | | | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(a) | | | 203,044 | |
| | 181,000 | | | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | | | 209,854 | |
| | 407,000 | | | Toledo Hospital (The), 6.02%, 11/15/48 | | | 507,253 | |
| | 20,000 | | | Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(a) | | | 21,350 | |
| | | | | | | | |
| | | | | | | 7,479,063 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.1%): | | | |
| | 25,000 | | | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(a) | | | 26,125 | |
| | 125,000 | | | Boyd Gaming Corp., 6.38%, 4/1/26, Callable 4/1/21 @ 103.19 | | | 129,531 | |
| | 55,000 | | | Boyd Gaming Corp., 6.00%, 8/15/26, Callable 8/15/21 @ 103 | | | 57,269 | |
| | 175,000 | | | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38 | | | 181,781 | |
| | 400,000 | | | Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 1/22/21 @ 102.63(a) | | | 404,000 | |
| | 220,000 | | | Carnival Corp., 10.50%, 2/1/26, Callable 8/1/23 @ 105.25^(a) | | | 255,750 | |
| | 220,000 | | | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91(a) | | | 239,525 | |
| | 210,000 | | | Golden Entertainment, Inc., 3.75%, 10/20/24, Callable 2/10/21 @ 100 | | | 204,784 | |
| | 300,000 | | | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(a) | | | 320,625 | |
| | 320,000 | | | Golden Nugget, Inc., 6.75%, 10/15/24, Callable 2/11/21 @ 101.69(a) | | | 316,800 | |
| | 150,000 | | | Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26, Callable 5/1/21 @ 102.56 | | | 155,812 | |
| | 126,000 | | | McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100 | | | 147,518 | |
| | 65,000 | | | McDonald’s Corp., 4.20%, 4/1/50, Callable 10/1/49 @ 100 | | | 83,549 | |
| | 250,000 | | | MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100 | | | 275,625 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| $ | 90,000 | | | NCL Corp., Ltd., 10.25%, 2/1/26, Callable 8/1/23 @ 105.13(a) | | $ | 105,750 | |
| | 35,000 | | | Royal Caribbean Cruises, Ltd., 9.13%, 6/15/23, Callable 3/15/23 @ 100(a) | | | 37,975 | |
| | 310,000 | | | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 6/1/22 @ 108.63(a) | | | 361,537 | |
| | 210,000 | | | Scientific Games International, Inc., 5.00%, 10/15/25, Callable 2/11/21 @ 103.75(a) | | | 216,563 | |
| | 215,000 | | | Station Casinos LLC, 5.00%, 10/1/25, Callable 2/11/21 @ 102.5(a) | | | 217,419 | |
| | 200,000 | | | Station Casinos LLC, 4.50%, 2/15/28, Callable 2/15/23 @ 102.25(a) | | | 201,000 | |
| | 100,000 | | | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 5/15/22 @ 109.75(a) | | | 118,750 | |
| | 170,000 | | | Wyndham Hotels & Resorts, Inc., 5.38%, 4/15/26, Callable 4/15/21 @ 102.69(a) | | | 175,100 | |
| | 165,000 | | | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | | | 172,012 | |
| | 150,000 | | | Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100(a) | | | 154,875 | |
| | 205,000 | | | Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88(a) | | | 227,037 | |
| | | | | | | | |
| | | | | | | 4,786,712 | |
| | | | | | | | |
| Household Durables (0.1%): | | | |
| | 25,000 | | | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(a) | | | 25,906 | |
| | 15,000 | | | Newell Brands, Inc., 5.88%, 4/1/36, Callable 10/1/35 @ 100 | | | 18,150 | |
| | 195,000 | | | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(a) | | | 221,325 | |
| | | | | | | | |
| | | | | | | 265,381 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.4%): | |
| | 528,000 | | | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | | | 574,548 | |
| | 461,000 | | | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | | | 521,468 | |
| | 115,000 | | | Clearway Energy Operating LLC, 5.75%, 10/15/25, Callable 10/15/21 @ 102.88 | | | 120,750 | |
| | 45,000 | | | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a) | | | 48,262 | |
| | 140,000 | | | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | | | 152,250 | |
| | 150,000 | | | NRG Energy, Inc., 5.25%, 6/15/29, Callable 6/15/24 @ 102.63(a) | | | 164,250 | |
| | 50,000 | | | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(a) | | | 52,750 | |
| | 60,000 | | | Talen Energy Supply LLC, 10.50%, 1/15/26, Callable 1/15/22 @ 105.25(a) | | | 53,400 | |
| | 35,000 | | | TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(a) | | | 36,138 | |
| | 40,000 | | | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | | | 45,300 | |
| | | | | | | | |
| | | | | | | 1,769,116 | |
| | | | | | | | |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Industrial Conglomerates (0.2%): | | | |
| $ | 130,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24, Callable 6/15/24 @ 100 | | $ | 135,525 | |
| | 305,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13 | | | 323,300 | |
| | 435,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | | | 464,362 | |
| | | | | | | | |
| | | | | | | 923,187 | |
| | | | | | | | |
| Insurance (2.4%): | | | |
| | 900,000 | | | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | | | 967,616 | |
| | 1,208,000 | | | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100 | | | 1,357,408 | |
| | 900,000 | | | American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100 | | | 1,027,638 | |
| | 400,000 | | | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | | | 428,000 | |
| | 55,000 | | | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(a) | | | 57,406 | |
| | 586,000 | | | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | | | 643,867 | |
| | 150,000 | | | HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a) | | | 156,000 | |
| | 40,000 | | | Liberty Mutual Group, Inc., 4.25%, 6/15/23(a) | | | 43,479 | |
| | 140,000 | | | Liberty Mutual Group, Inc., 4.57%, 2/1/29(a) | | | 170,376 | |
| | 2,184,000 | | | Metropolitan Life Global Funding I, 0.60%(SOFR+50bps), 5/28/21(a) | | | 2,187,018 | |
| | 651,000 | | | Pacific Lifecorp, 5.13%, 1/30/43(a) | | | 830,845 | |
| | 427,000 | | | Unum Group, 4.50%, 3/15/25, Callable 2/15/25 @ 100 | | | 484,181 | |
| | 463,000 | | | Unum Group, 3.88%, 11/5/25 | | | 512,830 | |
| | 349,000 | | | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | | | 392,640 | |
| | 1,556,000 | | | Unum Group, 5.75%, 8/15/42 | | | 1,887,931 | |
| | 375,000 | | | USI, Inc., 6.88%, 5/1/25, Callable 2/11/21 @ 103.44(a) | | | 384,844 | |
| | | | | | | | |
| | | | | | | 11,532,079 | |
| | | | | | | | |
| Interactive Media & Services (0.0%†): | | | |
| | 40,000 | | | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a) | | | 41,300 | |
| | 90,000 | | | Rackspace Technology Global, Inc., 5.38%, 12/1/28, Callable 12/1/23 @ 102.69(a) | | | 93,825 | |
| | | | | | | | |
| | | | | | | 135,125 | |
| | | | | | | | |
| IT Services (0.2%): | | | |
| | 40,000 | | | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(a) | | | 40,500 | |
| | 15,000 | | | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(a) | | | 15,488 | |
| | 175,000 | | | Black Knight Infoserv LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a) | | | 178,500 | |
| | 230,000 | | | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | | | 244,950 | |
| | 215,000 | | | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a) | | | 237,844 | |
| | 100,000 | | | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a) | | | 105,750 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| IT Services, continued | | | |
| $ | 65,000 | | | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | | $ | 68,494 | |
| | 85,000 | | | Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a) | | | 92,650 | |
| | | | | | | | |
| | | | | | | 984,176 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 311,000 | | | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | | | 336,236 | |
| | 90,000 | | | Mattel, Inc., 6.75%, 12/31/25, Callable 1/22/21 @ 105.06(a) | | | 94,613 | |
| | 5,000 | | | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a) | | | 5,550 | |
| | 10,000 | | | Mattel, Inc., 5.45%, 11/1/41, Callable 5/1/41 @ 100 | | | 10,963 | |
| | | | | | | | |
| | | | | | | 447,362 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.1%): | | | |
| | 195,000 | | | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a) | | | 206,212 | |
| | 20,000 | | | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a) | | | 21,025 | |
| | 50,000 | | | IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.5(a) | | | 52,375 | |
| | | | | | | | |
| | | | | | | 279,612 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 80,000 | | | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(a) | | | 80,800 | |
| | | | | | | | |
| Media (2.4%): | | | |
| | 35,000 | | | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(a) | | | 36,575 | |
| | 30,000 | | | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(a) | | | 30,187 | |
| | 25,000 | | | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(a) | | | 26,094 | |
| | 30,000 | | | CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a) | | | 31,013 | |
| | 700,000 | | | CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a) | | | 728,875 | |
| | 105,000 | | | CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a) | | | 111,038 | |
| | 395,000 | | | CCO Holdings LLC, 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(a) | | | 425,613 | |
| | 95,000 | | | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | | | 101,175 | |
| | 155,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25(a) | | | 165,462 | |
| | 160,000 | | | CSC Holdings LLC, 7.50%, 4/1/28, Callable 4/1/23 @ 103.75(a) | | | 180,400 | |
| | 440,000 | | | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a) | | | 481,800 | |
| | 130,000 | | | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | | | 135,525 | |
| | 215,000 | | | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | | | 246,043 | |
| | 580,000 | | | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | | | 724,211 | |
| | 325,000 | | | DISH DBS Corp., 7.75%, 7/1/26 | | | 364,000 | |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Media, continued | | | |
| $ | 157,000 | | | DISH Network Corp., 2.38%, 3/15/24 | | $ | 148,552 | |
| | 410,000 | | | DISH Network Corp., 3.38%, 8/15/26 | | | 393,018 | |
| | 103,000 | | | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | | | 113,183 | |
| | 149,000 | | | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | | | 180,527 | |
| | 147,000 | | | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | | | 201,223 | |
| | 98,000 | | | Fox Corp., 5.58%, 1/25/49, Callable 7/25/48 @ 100 | | | 142,463 | |
| | 65,000 | | | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(a) | | | 66,137 | |
| | 165,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(a) | | | 169,950 | |
| | 200,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 102.25(a) | | | 211,000 | |
| | 105,000 | | | Sirius XM Radio, Inc., 4.63%, 7/15/24, Callable 7/15/21 @ 102.31(a) | | | 108,675 | |
| | 135,000 | | | Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | | | 140,737 | |
| | 105,000 | | | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a) | | | 110,775 | |
| | 45,000 | | | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a) | | | 49,500 | |
| | 40,000 | | | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a) | | | 42,500 | |
| | 140,000 | | | TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38(a) | | | 148,925 | |
| | 145,000 | | | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 104.44(a) | | | 159,862 | |
| | 930,000 | | | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100 | | | 943,397 | |
| | 359,000 | | | Time Warner Cable, Inc., 6.55%, 5/1/37 | | | 489,839 | |
| | 418,000 | | | Time Warner Cable, Inc., 7.30%, 7/1/38 | | | 619,330 | |
| | 2,240,000 | | | Time Warner Cable, Inc., 6.75%, 6/15/39 | | | 3,198,263 | |
| | 103,000 | | | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | | | 132,647 | |
| | 55,000 | | | Univision Communications, Inc., 6.63%, 6/1/27, Callable 6/1/23 @ 103.31(a) | | | 59,056 | |
| | | | | | | | |
| | | | | | | 11,617,570 | |
| | | | | | | | |
| Metals & Mining (0.2%): | | | |
| | 30,000 | | | Allegheny Technologies, Inc., 7.88%, 8/15/23, Callable 5/15/23 @ 100 | | | 32,738 | |
| | 265,000 | | | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94^ | | | 278,913 | |
| | 190,000 | | | Big River Steel LLC / BRS Finance Corp., 6.63%, 1/31/29, Callable 9/15/23 @ 103.31(a) | | | 204,725 | |
| | 40,000 | | | Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100 | | | 40,700 | |
| | 110,000 | | | Freeport-McMoRan, Inc., 5.45%, 3/15/43, Callable 9/15/42 @ 100 | | | 136,950 | |
| | 60,000 | | | Kaiser Aluminum Corp., 6.50%, 5/1/25, Callable 5/1/22 @ 103.25(a) | | | 64,200 | |
| | 185,000 | | | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a) | | | 191,012 | |
| | | | | | | | |
| | | | | | | 949,238 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 65,000 | | | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | | | 66,138 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Multi-Utilities (0.3%): | | | |
| $ | 49,000 | | | Puget Energy, Inc., 6.00%, 9/1/21 | | $ | 50,659 | |
| | 207,000 | | | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 234,305 | |
| | 506,000 | | | Sempra Energy, 6.00%, 10/15/39 | | | 725,355 | |
| | | | | | | | |
| | | | | | | 1,010,319 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (5.5%): | | | |
| | 170,000 | | | Antero Resources Corp., 5.00%, 3/1/25, Callable 2/11/21 @ 103.75 | | | 158,100 | |
| | 130,000 | | | Apache Corp., 4.63%, 11/15/25, Callable 8/15/25 @ 100 | | | 136,338 | |
| | 160,000 | | | Apache Corp., 4.88%, 11/15/27, Callable 5/15/27 @ 100 | | | 170,000 | |
| | 55,000 | | | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | | | 57,750 | |
| | 25,000 | | | Apache Corp., 7.38%, 8/15/47 | | | 26,531 | |
| | 320,000 | | | Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 2/11/21 @ 102.63 | | | 328,800 | |
| | 361,000 | | | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | | | 423,798 | |
| | 320,000 | | | Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 2/11/21 @ 100(a) | | | 318,400 | |
| | 30,000 | | | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(a) | | | 30,600 | |
| | 197,000 | | | Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100 | | | 227,059 | |
| | 205,000 | | | Comstock Resources, Inc., 7.50%, 5/15/25, Callable 2/11/21 @ 105.63(a) | | | 209,100 | |
| | 40,000 | | | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | | | 43,000 | |
| | 80,000 | | | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | | | 86,000 | |
| | 195,000 | | | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(a) | | | 216,450 | |
| | 330,000 | | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/1/23, Callable 1/27/21 @ 101.56 | | | 330,413 | |
| | 342,000 | | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 2/11/21 @
104.31^ | | | 347,130 | |
| | 138,000 | | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 5/1/27, Callable 5/1/22 @
102.81(a) | | | 137,310 | |
| | 230,000 | | | CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(a) | | | 223,100 | |
| | 25,000 | | | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88^(a) | | | 23,625 | |
| | 163,000 | | | DCP Midstream Operating LP, 3.88%, 3/15/23, Callable 12/15/22 @ 100 | | | 167,890 | |
| | 200,000 | | | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | | | 219,500 | |
| | 160,000 | | | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | | | 177,200 | |
| | 750,000 | | | DCP Midstream Operating LP, 5.85%(US0003M+385bps), 5/21/43, Callable 5/21/23 @ 100(a) | | | 645,000 | |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 185,000 | | | DCP Midstream Operating LP, 5.60%, 4/1/44, Callable 10/1/43 @ 100 | | $ | 191,475 | |
| | 124,000 | | | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | | | 126,190 | |
| | 30,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a) | | | 32,100 | |
| | 110,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 1/30/26, Callable 2/11/21 @ 104.13(a) | | | 113,025 | |
| | 110,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | | | 118,250 | |
| | 81,000 | | | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | | | 84,949 | |
| | 103,000 | | | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | | | 110,467 | |
| | 350,000 | | | Energy Transfer Operating LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 404,250 | |
| | 167,000 | | | Energy Transfer Operating LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | | | 193,929 | |
| | 161,000 | | | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | | | 174,081 | |
| | 115,000 | | | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | | | 138,719 | |
| | 360,000 | | | Energy Transfer Operating LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | | | 392,850 | |
| | 103,000 | | | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | | | 110,983 | |
| | 195,000 | | | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | | | 222,788 | |
| | 127,000 | | | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | | | 151,289 | |
| | 135,000 | | | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(a) | | | 137,700 | |
| | 80,000 | | | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a) | | | 90,000 | |
| | 115,000 | | | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | | | 113,850 | |
| | 45,000 | | | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | | | 47,475 | |
| | 61,000 | | | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | | | 67,557 | |
| | 109,000 | | | Hess Corp., 7.30%, 8/15/31 | | | 140,610 | |
| | 78,000 | | | Hess Corp., 7.13%, 3/15/33 | | | 101,010 | |
| | 107,000 | | | Hess Corp., 5.60%, 2/15/41 | | | 129,871 | |
| | 302,000 | | | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | | | 382,408 | |
| | 190,000 | | | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a) | | | 197,125 | |
| | 165,000 | | | Hilcorp Energy LP, 5.00%, 12/1/24, Callable 2/11/21 @ 101.67(a) | | | 163,350 | |
| | 250,000 | | | Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 2/1/28, Callable 2/1/23 @ 103.75(a) | | | 251,875 | |
| | 150,000 | | | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | | | 157,905 | |
| | 63,000 | | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 83,080 | |
| | 712,000 | | | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | | | 890,288 | |
| | 198,000 | | | Kinder Morgan, Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100 | | | 253,512 | |
| | 167,000 | | | Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100 | | | 203,398 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 179,000 | | | MPLX LP, 1.33%(US0003M+110bps), 9/9/22, Callable 2/11/21 @ 100 | | $ | 178,776 | |
| | 172,000 | | | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | | | 187,265 | |
| | 242,000 | | | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | | | 276,788 | |
| | 95,000 | | | MPLX LP, 4.80%, 2/15/29, Callable 11/15/28 @ 100 | | | 114,356 | |
| | 285,000 | | | MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100 | | | 369,431 | |
| | 150,000 | | | Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | | | 146,812 | |
| | 409,000 | | | Occidental Petroleum Corp., 2.90%, 8/15/24, Callable 7/15/24 @ 100 | | | 393,151 | |
| | 809,000 | | | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | | | 843,383 | |
| | 80,000 | | | Occidental Petroleum Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100 | | | 76,000 | |
| | 47,000 | | | Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100 | | | 43,945 | |
| | 267,000 | | | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | | | 243,638 | |
| | 85,000 | | | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | | | 100,087 | |
| | 1,047,000 | | | Occidental Petroleum Corp., 7.50%, 5/1/31 | | | 1,171,331 | |
| | 25,000 | | | Occidental Petroleum Corp., 7.88%, 9/15/31 | | | 27,875 | |
| | 632,000 | | | Occidental Petroleum Corp., 6.45%, 9/15/36 | | | 660,440 | |
| | 62,000 | | | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | | | 52,080 | |
| | 40,000 | | | Occidental Petroleum Corp., 6.20%, 3/15/40 | | | 39,650 | |
| | 712,000 | | | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | | | 721,790 | |
| | 120,000 | | | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | | | 103,800 | |
| | 165,000 | | | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | | | 134,475 | |
| | 80,000 | | | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | | | 65,600 | |
| | 117,000 | | | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | | | 98,573 | |
| | 235,000 | | | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63(a) | | | 231,475 | |
| | 35,000 | | | PDC Energy, Inc., 5.75%, 5/15/26, Callable 5/15/21 @ 104.31 | | | 36,050 | |
| | 30,000 | | | Phillips 66, 3.70%, 4/6/23 | | | 32,128 | |
| | 39,000 | | | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | | | 43,748 | |
| | 110,000 | | | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | | | 117,163 | |
| | 95,000 | | | Plains All Amer Pipeline, 3.55%, 12/15/29, Callable 9/15/29 @ 100 | | | 99,364 | |
| | 110,000 | | | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100^ | | | 103,125 | |
| | 162,000 | | | Regency Energy Partners LP/Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100 | | | 169,387 | |
| | 493,000 | | | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100(a) | | | 584,205 | |
| | 408,000 | | | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 1/20/21 @ 103.63(a)(c) | | | 751 | |
| | 20,000 | | | SM Energy Co., 5.63%, 6/1/25, Callable 2/11/21 @ 102.81 | | | 16,300 | |
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 75,000 | | | SM Energy Co., 6.75%, 9/15/26, Callable 9/15/21 @ 103.38 | | $ | 60,750 | |
| | 346,000 | | | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100(a) | | | 343,860 | |
| | 120,000 | | | Southwestern Energy Co., 7.50%, 4/1/26, Callable 4/1/21 @ 105.63 | | | 125,700 | |
| | 958,000 | | | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | | | 1,056,195 | |
| | 165,000 | | | Sunoco LP / Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25(a) | | | 171,394 | |
| | 5,000 | | | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103 | | | 5,294 | |
| | 95,000 | | | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | | | 102,244 | |
| | 135,000 | | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(a) | | | 139,050 | |
| | 195,000 | | | Targa Resources Partners LP, 5.13%, 2/1/25, Callable 2/11/21 @ 102.56 | | | 199,387 | |
| | 195,000 | | | Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41 | | | 205,238 | |
| | 195,000 | | | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69 | | | 204,263 | |
| | 30,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | | | 32,700 | |
| | 185,000 | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @
102.44(a) | | | 200,725 | |
| | 63,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100 | | | 70,310 | |
| | 203,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100 | | | 228,415 | |
| | 104,000 | | | Valero Energy Corp., 2.70%, 4/15/23 | | | 108,432 | |
| | 200,000 | | | Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(a) | | | 209,000 | |
| | 92,000 | | | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | | | 93,840 | |
| | 232,000 | | | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | | | 242,440 | |
| | 900,000 | | | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | | | 931,500 | |
| | 101,000 | | | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | | | 105,293 | |
| | 120,000 | | | Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100 | | | 123,000 | |
| | 205,000 | | | Western Midstream Operating LP, 4.05%, 2/1/30, Callable 11/1/29 @ 100 | | | 227,550 | |
| | 60,000 | | | Western Midstream Operating LP, 5.30%, 3/1/48, Callable 9/1/47 @ 100 | | | 59,250 | |
| | 25,000 | | | Western Midstream Operating LP, 5.25%, 2/1/50, Callable 8/1/49 @ 100 | | | 27,375 | |
| | 524,000 | | | Williams Cos., Inc. (The), 3.50%, 11/15/30, Callable 8/15/30 @ 100 | | | 591,940 | |
| | 271,000 | | | Williams Partners LP, 4.00%, 11/15/21, Callable 8/15/21 @ 100 | | | 276,913 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 242,000 | | | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | | $ | 266,207 | |
| | 426,000 | | | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | | | 469,416 | |
| | 65,000 | | | WPX Energy, Inc., 5.25%, 10/15/27, Callable 10/15/22 @ 102.63 | | | 68,819 | |
| | | | | | | | |
| | | | | | | 25,108,895 | |
| | | | | | | | |
| Pharmaceuticals (0.5%): | | | |
| | 180,000 | | | Bausch Health Americas, Inc., 9.25%, 4/1/26, Callable 4/1/22 @ 104.63(a) | | | 200,475 | |
| | 150,000 | | | Bausch Health Cos, Inc., 5.25%, 1/30/30, Callable 1/30/25 @ 102.63(a) | | | 156,750 | |
| | 175,000 | | | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 1/22/21 @ 102.44(a) | | | 178,281 | |
| | 87,000 | | | Elanco Animal Health, Inc., 4.91%, 8/27/21 | | | 88,738 | |
| | 275,000 | | | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100 | | | 300,078 | |
| | 116,000 | | | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100 | | | 136,590 | |
| | 187,000 | | | Upjohn, Inc., 1.13%, 6/22/22(a) | | | 188,921 | |
| | 60,000 | | | Upjohn, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100(a) | | | 62,068 | |
| | 305,000 | | | Upjohn, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100(a) | | | 321,744 | |
| | 133,000 | | | Upjohn, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100(a) | | | 149,729 | |
| | 229,000 | | | Upjohn, Inc., 4.00%, 6/22/50, Callable 12/22/49 @ 100(a) | | | 262,109 | |
| | | | | | | | |
| | | | | | | 2,045,483 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 60,000 | | | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a) | | | 62,400 | |
| | 54,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22, Callable 2/11/21 @ 100(a) | | | 54,135 | |
| | 125,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.63%, 10/1/28, Callable 10/1/23 @
102.81(a) | | | 135,313 | |
| | 125,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @
102.94(a) | | | 141,406 | |
| | | | | | | | |
| | | | | | | 393,254 | |
| | | | | | | | |
| Real Estate Management & Development (0.2%): | | | |
| | 300,000 | | | Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 2/11/21 @ 104.03(a) | | | 309,375 | |
| | 275,000 | | | Vertical US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(a) | | | 289,781 | |
| | | | | | | | |
| | | | | | | 599,156 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.0%†): | | | |
| | 125,000 | | | Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a) | | | 133,125 | |
| | 75,000 | | | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | | | 77,906 | |
| | | | | | | | |
| | | | | | | 211,031 | |
| | | | | | | | |
| Software (0.3%): | | | |
| | 60,000 | | | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(a) | | | 65,025 | |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Software, continued | | | |
| $ | 225,000 | | | CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94 | | $ | 235,125 | |
| | 35,000 | | | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a) | | | 38,544 | |
| | 195,000 | | | Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a) | | | 220,350 | |
| | 240,000 | | | Symantec Corp., 5.00%, 4/15/25, Callable 1/22/21 @ 102.5(a) | | | 244,200 | |
| | | | | | | | |
| | | | | | | 803,244 | |
| | | | | | | | |
| Specialty Retail (0.3%): | | | |
| | 47,000 | | | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | | | 56,389 | |
| | 72,000 | | | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | | | 80,622 | |
| | 333,000 | | | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | | | 392,326 | |
| | 165,000 | | | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41(a) | | | 171,197 | |
| | 80,000 | | | L Brands, Inc., 7.50%, 6/15/29, Callable 6/15/24 @ 103.75 | | | 88,600 | |
| | 220,000 | | | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(a) | | | 243,100 | |
| | 240,000 | | | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | | | 297,134 | |
| | 74,000 | | | O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | | | 88,754 | |
| | | | | | | | |
| | | | | | | 1,418,122 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.1%): | | | |
| | 400,000 | | | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100(a) | | | 441,708 | |
| | 81,000 | | | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a) | | | 97,336 | |
| | 129,000 | | | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100(a) | | | 157,205 | |
| | 148,000 | | | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100(a) | | | 183,446 | |
| | 128,000 | | | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100(a) | | | 166,376 | |
| | | | | | | | |
| | | | | | | 1,046,071 | |
| | | | | | | | |
| Tobacco (0.9%): | | | |
| | 452,000 | | | Altria Group, Inc., 4.25%, 8/9/42 | | | 504,291 | |
| | 302,000 | | | Altria Group, Inc., 4.50%, 5/2/43 | | | 346,566 | |
| | 520,000 | | | Altria Group, Inc., 5.38%, 1/31/44 | | | 665,528 | |
| | 470,000 | | | Altria Group, Inc., 3.88%, 9/16/46, Callable 3/16/46 @ 100 | | | 495,014 | |
| | 300,000 | | | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | | | 419,474 | |
| | 179,000 | | | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | | | 226,060 | |
| | 600,000 | | | Reynolds American, Inc., 7.25%, 6/15/37 | | | 823,771 | |
| | | | | | | | |
| | | | | | | 3,480,704 | |
| | | | | | | | |
| Trading Companies & Distributors (0.3%): | | | |
| | 297,000 | | | Air Lease Corp., 3.88%, 4/1/21, Callable 3/1/21 @ 100 | | | 298,454 | |
| | 348,000 | | | Air Lease Corp., 3.38%, 6/1/21 | | | 351,764 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Trading Companies & Distributors, continued | | | |
| $ | 98,000 | | | Air Lease Corp., 2.25%, 1/15/23 | | $ | 100,473 | |
| | 82,000 | | | Air Lease Corp., 3.00%, 9/15/23, Callable 7/15/23 @ 100 | | | 85,916 | |
| | 467,000 | | | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | | | 505,495 | |
| | 393,000 | | | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | | | 422,616 | |
| | | | | | | | |
| | | | | | | 1,764,718 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.5%): | | | |
| | 445,000 | | | Sprint Capital Corp., 8.75%, 3/15/32 | | | 701,988 | |
| | 500,000 | | | Sprint Communications, Inc., 6.88%, 11/15/28 | | | 659,375 | |
| | 380,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a) | | | 432,221 | |
| | 65,000 | | | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | | | 69,631 | |
| | 725,000 | | | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a) | | | 839,472 | |
| | 82,000 | | | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a) | | | 99,595 | |
| | 161,000 | | | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100(a) | | | 199,795 | |
| | | | | | | | |
| | | | | | 3,002,077 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $160,393,300) | | | 176,815,855 | |
| | | | | | | | |
| Yankee Debt Obligations (12.4%): | |
| Aerospace & Defense (0.4%): | |
| | 305,000 | | | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | | | 331,306 | |
| | 167,000 | | | Avolon Holdings Funding, Ltd., 3.95%, 7/1/24, Callable 6/1/24 @ 100(a) | | | 175,768 | |
| | 130,000 | | | Avolon Holdings Funding, Ltd., 4.25%, 4/15/26, Callable 3/15/26 @ 100(a) | | | 139,848 | |
| | 204,000 | | | Avolon Holdings Funding, Ltd., 4.38%, 5/1/26, Callable 3/1/26 @ 100(a) | | | 220,320 | |
| | 280,000 | | | Bombardier, Inc., 6.00%, 10/15/22, Callable 2/11/21 @ 100(a) | | | 274,400 | |
| | 320,000 | | | Bombardier, Inc., 6.13%, 1/15/23(a) | | | 313,600 | |
| | 15,000 | | | Bombardier, Inc., 7.50%, 12/1/24, Callable 2/11/21 @ 105.63(a) | | | 14,250 | |
| | 65,000 | | | Bombardier, Inc., 7.50%, 3/15/25, Callable 2/11/21 @ 103.75(a) | | | 60,613 | |
| | | | | | | | |
| | | | | | | 1,530,105 | |
| | | | | | | | |
| Banks (2.7%): | |
| | 874,000 | | | Barclays plc, 4.38%, 1/12/26 | | | 1,001,594 | |
| | 503,000 | | | Barclays plc, 2.85%(US0003M+245bps), 5/7/26, Callable 5/7/25 @ 100 | | | 538,388 | |
| | 580,000 | | | Barclays plc, 5.09%(US0003M+305bps), 6/20/30, Callable 6/20/29 @ 100 | | | 694,840 | |
| | 200,000 | | | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @
100(a) | | | 219,000 | |
| | 791,000 | | | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | | | 899,611 | |
| | 205,000 | | | HSBC Holdings plc, 4.25%, 3/14/24 | | | 226,122 | |
| | 200,000 | | | Intesa Sanpaolo SpA, 5.02%,
6/26/24(a) | | | 218,000 | |
| | 1,180,000 | | | Intesa Sanpaolo SpA, 5.71%,
1/15/26(a) | | | 1,348,150 | |
| | 535,000 | | | NatWest Markets plc, 2.38%, 5/21/23(a) | | | 555,222 | |
| | 3,808,000 | | | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | | | 4,172,936 | |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Banks, continued | |
| $ | 826,000 | | | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | | $ | 923,494 | |
| | 347,000 | | | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | | | 395,846 | |
| | 286,000 | | | Royal Bank of Scotland Group plc, 3.07%(H15T1Y+255bps), 5/22/28, Callable 5/22/27 @ 100 | | | 308,360 | |
| | 513,000 | | | Societe Generale SA, 1.49%(H15T1Y+110bps), 12/14/26, Callable 12/14/25 @ 100(a) | | | 516,847 | |
| | 454,000 | | | UniCredit SpA, 6.57%, 1/14/22(a) | | | 478,281 | |
| | 289,000 | | | Westpac Banking Corp., 4.11%(H15T5Y+200bps), 7/24/34, Callable 7/24/29 @ 100 | | | 327,872 | |
| | | | | | | | |
| | | | | | | 12,824,563 | |
| | | | | | | | |
| Capital Markets (1.7%): | | | |
| | 788,000 | | | Credit Suisse Group AG, 2.59%(SOFR+156bps), 9/11/25, Callable 9/11/24 @ 100(a) | | | 828,982 | |
| | 602,000 | | | Credit Suisse Group AG, 4.19%(SOFR+373bps), 4/1/31, Callable 4/1/30 @ 100(a) | | | 705,544 | |
| | 1,000,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | | | 1,054,166 | |
| | 1,175,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | | | 1,264,004 | |
| | 720,000 | | | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | | | 798,972 | |
| | 742,000 | | | Deutsche Bank AG, 5.00%, 2/14/22 | | | 774,867 | |
| | 1,284,000 | | | Deutsche Bank AG, 3.30%, 11/16/22 | | | 1,340,496 | |
| | 1,462,000 | | | Deutsche Bank AG, 4.50%, 4/1/25 | | | 1,575,631 | |
| | | | | | | | |
| | | | | | | 8,342,662 | |
| | | | | | | | |
| Chemicals (0.3%): | | | |
| | 25,000 | | | Consolidated Energy Finance SA, 3.97%(US0003M+375bps), 6/15/22, Callable 1/22/21 @ 100(a) | | | 24,750 | |
| | 25,000 | | | Consolidated Energy Finance SA, 6.88%, 6/15/25, Callable 2/11/21 @ 105.16(a) | | | 25,219 | |
| | 240,000 | | | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 5/15/21 @ 104.88(a) | | | 240,000 | |
| | 195,000 | | | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100^ | | | 212,063 | |
| | 95,000 | | | Methanex Corp., 5.25%, 12/15/29, Callable 9/15/29 @ 100 | | | 103,075 | |
| | 75,000 | | | Methanex Corp., 5.65%, 12/1/44, Callable 6/1/44 @ 100 | | | 81,209 | |
| | 265,000 | | | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a) | | | 270,963 | |
| | | | | | | | |
| | | | | | | 957,279 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 25,000 | | | Intelligent Packaging, Ltd. Finco Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 9/15/22 @ 103(a) | | | 25,719 | |
| | 255,000 | | | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | | | 269,344 | |
| | 95,000 | | | Trivium Packaging Finance BV, 8.50%, 8/15/27, Callable 8/15/22 @ 104.25(a) | | | 104,381 | |
| | | | | | | | |
| | | | | | | 399,444 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 325,000 | | | GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(a) | | | 338,406 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Diversified Financial Services (0.9%): | | | |
| $ | 455,000 | | | Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a) | | $ | 478,887 | |
| | 200,000 | | | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a) | | | 204,000 | |
| | 306,000 | | | C&W Senior Financing Dac, 7.50%, 10/15/26, Callable 10/15/21 @ 103.75(a) | | | 326,273 | |
| | 725,000 | | | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(a) | | | 783,906 | |
| | 2,052,000 | | | Park Aerospace Holdings, 5.50%,
2/15/24(a) | | | 2,241,810 | |
| | 305,000 | | | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a) | | | 311,100 | |
| | | | | | | | |
| | | | | | | 4,345,976 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.2%): | | | |
| | 585,000 | | | Altice France SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a) | | | 615,713 | |
| | 325,000 | | | Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(a) | | | 357,500 | |
| | 270,000 | | | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(a) | | | 274,725 | |
| | 185,000 | | | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(a) | | | 189,162 | |
| | 40,000 | | | Sable International Finance, Ltd., 5.75%, 9/7/27, Callable 9/7/22 @ 102.88(a) | | | 42,600 | |
| | 80,000 | | | Telecom Italia SpA, 6.00%, 9/30/34 | | | 97,000 | |
| | | | | | | | |
| | | | | | | 1,576,700 | |
| | | | | | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 160,000 | | | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/1/22 @ 105.16^(a) | | | 145,600 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.1%): | | | |
| | 55,000 | | | 1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(a) | | | 58,964 | |
| | 330,000 | | | 1011778 BC ULC New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @
102(a) | | | 332,475 | |
| | 75,000 | | | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 7/21/23 @ 102.88(a) | | | 79,781 | |
| | 65,000 | | | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69(a) | | | 67,844 | |
| | 130,000 | | | Wynn Macau, Ltd., 5.50%, 10/1/27, Callable 10/1/22 @ 102.75(a) | | | 135,200 | |
| | | | | | | | |
| | | | | | | 674,264 | |
| | | | | | | | |
| Insurance (0.2%): | | | |
| | 465,000 | | | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | | | 521,630 | |
| | 206,000 | | | AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 100(a) | | | 219,948 | |
| | 200,000 | | | Swiss Re Finance Luxembourg SA, 5.00%(H15T5Y+358bps), 4/2/49, Callable 4/2/29 @ 100(a) | | | 234,500 | |
| | | | | | | | |
| | | | | | | 976,078 | |
| | | | | | | | |
| Marine (0.0%†): | | | |
| | 120,000 | | | Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc., 11.25%, 8/15/22, Callable 2/11/21 @ 100(a) | | | 100,500 | |
| | | | | | | | |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Media (0.1%): | | | |
| $ | 250,000 | | | Ziggo BV, 5.50%, 1/15/27, Callable 1/15/22 @ 102.75(a) | | $ | 262,187 | |
| | 120,000 | | | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | | | 126,300 | |
| | | | | | | | |
| | | | | | | 388,487 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 395,000 | | | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 3/1/21 @ 105.16(a) | | | 412,775 | |
| | 55,000 | | | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(a) | | | 59,537 | |
| | 5,000 | | | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | | | 5,469 | |
| | | | | | | | |
| | | | | | | 477,781 | |
| | | | | | | | |
| Multi-Utilities (0.2%): | | | |
| | 705,000 | | | InterGen NV, 7.00%, 6/30/23, Callable 2/11/21 @ 101.17(a) | | | 676,800 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.4%): | | | |
| | 309,000 | | | Canadian Natural Resources, Ltd., 5.85%, 2/1/35 | | | 388,181 | |
| | 619,000 | | | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | | | 672,389 | |
| | 115,000 | | | eG Global Finance plc, 6.75%, 2/7/25, Callable 5/15/21 @ 103.38(a) | | | 118,450 | |
| | 205,000 | | | eG Global Finance plc, 8.50%, 10/30/25, Callable 10/30/21 @ 104.25(a) | | | 218,325 | |
| | 223,000 | | | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | | | 242,503 | |
| | 218,000 | | | Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100 | | | 253,789 | |
| | 340,000 | | | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 2/11/21 @ 101.15(a) | | | 340,000 | |
| | 300,000 | | | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a) | | | 309,000 | |
| | 163,000 | | | Petrobras Global Finance BV, 5.09%, 1/15/30 | | | 182,356 | |
| | 2,677,000 | | | Petrobras Global Finance BV, 7.25%, 3/17/44 | | | 3,449,984 | |
| | 1,505,000 | | | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | | | 1,564,014 | |
| | 2,762,000 | | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 2,581,746 | |
| | 502,000 | | | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | | | 474,303 | |
| | | | | | | | |
| | | | | | 10,795,040 | |
| | | | | | | | |
| Pharmaceuticals (0.3%): | | | |
| | 115,000 | | | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 2/11/21 @ 102.75(a) | | | 118,450 | |
| | 685,000 | | | Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100 | | | 691,858 | |
| | 126,000 | | | Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21 | | | 126,000 | |
| | 191,000 | | | Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23 | | | 189,090 | |
| | 202,000 | | | VRX Escrow Corp., 6.13%, 4/15/25, Callable 2/11/21 @ 103.06(a) | | | 207,808 | |
| | | | | | | | |
| | | | | | 1,333,206 | |
| | | | | | | | |
| Software (0.0%†): | | | |
| | 95,000 | | | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a) | | | 97,375 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Sovereign Bond (1.7%): | | | |
| $ | 415,000 | | | Abu Dhabi Government International Bond, 3.13%, 4/16/30(a) | | $ | 468,934 | |
| | 355,000 | | | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | | | 432,333 | |
| | 56,434 | | | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 2/11/21 @ 100 | | | 24,549 | |
| | 513,757 | | | Argentine Republic Government International Bond, 0.13%, 7/9/30, Callable 2/11/21 @ 100 | | | 208,714 | |
| | 941,242 | | | Argentine Republic Government International Bond, 0.13%, 7/9/35, Callable 2/11/21 @ 100 | | | 343,553 | |
| | 355,000 | | | Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100 | | | 380,176 | |
| | 400,000 | | | Corp. Andina de Fomento, 2.38%, 5/12/23 | | | 413,161 | |
| | 1,344,000 | | | Dominican Republic, 5.50%, 1/27/25(a) | | | 1,513,680 | |
| | 250,000 | | | Dominican Republic, 6.00%, 7/19/28(a) | | | 298,750 | |
| | 600,000 | | | Indonesia Government International Bond, 3.85%, 10/15/30^ | | | 697,486 | |
| | 600,000 | | | Indonesia Government International Bond, 4.20%, 10/15/50^ | | | 715,528 | |
| | 230,000 | | | Qatar Government International Bond, 3.40%, 4/16/25(a) | | | 253,690 | |
| | 490,000 | | | Qatar Government International Bond, 3.75%, 4/16/30(a) | | | 576,746 | |
| | 470,000 | | | Qatar Government International Bond, 4.40%, 4/16/50(a) | | | 612,621 | |
| | 250,000 | | | Saudi Government International Bond, 2.90%, 10/22/25(a) | | | 269,156 | |
| | 230,000 | | | Saudi Government International Bond, 3.25%, 10/22/30(a) | | | 253,704 | |
| | 200,000 | | | Saudi Government International Bond, 4.50%, 4/22/60^(a) | | | 250,953 | |
| | | | | | | | |
| | | | | | 7,713,734 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.2%): | | | |
| | 200,000 | | | Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a) | | | 223,955 | |
| | 200,000 | | | Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100(a) | | | 246,613 | |
| | | | | | | | |
| | | | | | 470,568 | |
| | | | | | | | |
| Trading Companies & Distributors (0.4%): | | | |
| | 412,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | | | 449,831 | |
| | 463,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | | | 478,932 | |
| | 217,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | | | 258,798 | |
| | 251,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | | | 281,514 | |
| | | | | | | | |
| | | | | | 1,469,075 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 330,000 | | | Empresa Nacional del Pet, 4.38%, 10/30/24(a) | | | 363,412 | |
| | 700,000 | | | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | | | 787,500 | |
| | 135,000 | | | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(a) | | | 145,462 | |
| | | | | | | | |
| | | | | | | 1,296,374 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $53,168,242) | | | 56,930,017 | |
| | | | | |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Municipal Bonds (1.4%): | |
| California (0.4%): | |
| $ | 10,000 | | | California State, Build America Bonds, GO, 7.35%, 11/1/39 | | $ | 16,617 | |
| | 400,000 | | | California State, Build America Bonds, GO, 7.50%, 4/1/34 | | | 670,144 | |
| | 460,000 | | | California State, Build America Bonds, GO, 7.30%, 10/1/39 | | | 759,455 | |
| | | | | | | | |
| | | | | | | 1,446,216 | |
| | | | | | | | |
| Illinois (0.9%): | |
| | 310,000 | | | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series C1, 7.78%, 1/1/35 | | | 395,284 | |
| | 88,636 | | | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | | | 90,624 | |
| | 44,000 | | | Illinois State, Build America Bonds, GO, 6.20%, 7/1/21 | | | 44,818 | |
| | 315,000 | | | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | | | 360,464 | |
| | 425,000 | | | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | | | 489,634 | |
| | 1,935,000 | | | Illinois State, Build America Bonds, GO, 7.35%, 7/1/35 | | | 2,279,488 | |
| | 295,000 | | | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | | | 317,408 | |
| | | | | | | | |
| | | | | | 3,977,720 | |
| | | | | | | | |
| New Jersey (0.1%): | |
| | 504,000 | | | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29 | | | 649,868 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $5,503,279) | | | 6,073,804 | |
| | | | | | | | |
| U.S. Government Agency Mortgages (13.7%): | |
| Federal Home Loan Mortgage Corporation (3.7%): | |
| | 39,626 | | | 2.50%, 6/1/31, Pool #G18604 | | | 41,612 | |
| | 62,361 | | | 2.50%, 7/1/31, Pool #V61246 | | | 65,064 | |
| | 105,966 | | | 2.50%, 8/1/31, Pool #V61273 | | | 111,734 | |
| | 400,754 | | | 3.50%, 3/1/32, Pool #C91403 | | | 429,336 | |
| | 1,138,231 | | | 3.50%, 7/1/32, Pool #C91467 | | | 1,219,675 | |
| | 11,910 | | | 2.50%, 8/1/32, Pool #G18654 | | | 12,512 | |
| | 12,756 | | | 2.50%, 11/1/32, Pool #G18665 | | | 13,401 | |
| | 381,668 | | | 2.50%, 12/1/32, Pool #G18669 | | | 400,970 | |
| | 64,011 | | | 2.50%, 3/1/33, Pool #G18680 | | | 67,249 | |
| | 47,564 | | | 3.00%, 4/1/33, Pool #K90336 | | | 50,189 | |
| | 23,105 | | | 2.50%, 4/1/33, Pool #G18683 | | | 24,275 | |
| | 159,651 | | | 3.00%, 4/1/33, Pool #G18684 | | | 168,085 | |
| | 13,412 | | | 2.50%, 5/1/33, Pool #G18687 | | | 14,091 | |
| | 61,548 | | | 3.00%, 6/1/33, Pool #K90684 | | | 64,920 | |
| | 50,717 | | | 3.00%, 6/1/33, Pool #C91709 | | | 53,508 | |
| | 117,537 | | | 3.00%, 6/1/33, Pool #K90632 | | | 124,008 | |
| | 181,643 | | | 4.00%, 6/1/33, Pool #G30718 | | | 196,389 | |
| | 85,220 | | | 3.00%, 6/1/33, Pool #K90806 | | | 89,871 | |
| | 232,349 | | | 3.00%, 7/1/33, Pool #C91714 | | | 245,150 | |
| | 256,818 | | | 2.50%, 7/1/33, Pool #G16661 | | | 269,805 | |
| | 395,494 | | | 3.50%, 11/1/33, Pool #G16677 | | | 423,081 | |
| | 356,683 | | | 3.50%, 2/1/34, Pool #G16752 | | | 380,006 | |
| | 55,888 | | | 3.00%, 4/1/34, Pool #G16829 | | | 59,097 | |
| | 452,876 | | | 3.50%, 10/1/34, Pool #C91793 | | | 486,607 | |
| | 868,313 | | | 4.00%, 5/1/37, Pool #C91938 | | | 945,509 | |
| | 1,321,800 | | | 5.00%, 2/1/38, Pool #G60365 | | | 1,509,619 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 52,290 | | | 3.50%, 4/1/40, Pool #V81744 | | $ | 56,073 | |
| | 74,004 | | | 3.50%, 5/1/40, Pool #V81750 | | | 79,358 | |
| | 112,178 | | | 3.50%, 6/1/40, Pool #V81792 | | | 120,295 | |
| | 50,619 | | | 3.50%, 8/1/40, Pool #V81886 | | | 54,282 | |
| | 31,662 | | | 3.50%, 9/1/40, Pool #V81958 | | | 33,953 | |
| | 496,794 | | | 4.00%, 1/1/41, Pool #A96413 | | | 545,572 | |
| | 46,142 | | | 4.50%, 1/1/41, Pool #A96051 | | | 50,226 | |
| | 363,328 | | | 4.00%, 2/1/41, Pool #A96807 | | | 399,050 | |
| | 50,808 | | | 4.50%, 3/1/41, Pool #A97673 | | | 56,550 | |
| | 77,574 | | | 4.50%, 4/1/41, Pool #A97942 | | | 86,228 | |
| | 250,874 | | | 5.00%, 6/1/41, Pool #G06596 | | | 288,265 | |
| | 1,021,548 | | | 4.50%, 1/1/42, Pool #G60517 | | | 1,135,296 | |
| | 39,760 | | | 4.00%, 11/1/42, Pool #Q13121 | | | 42,924 | |
| | 112,302 | | | 3.00%, 12/1/42, Pool #C04320 | | | 121,972 | |
| | 68,099 | | | 4.00%, 5/1/43, Pool #Q18481 | | | 74,946 | |
| | 38,877 | | | 4.00%, 7/1/43, Pool #Q19597 | | | 42,810 | |
| | 45,852 | | | 4.00%, 10/1/43, Pool #Q22499 | | | 50,503 | |
| | 137,223 | | | 3.50%, 1/1/44, Pool #G60271 | | | 150,817 | |
| | 63,740 | | | 4.00%, 1/1/44, Pool #V80950 | | | 68,774 | |
| | 274,542 | | | 3.50%, 1/1/44, Pool #G07922 | | | 302,993 | |
| | 220,981 | | | 4.00%, 1/1/45, Pool #Q30720 | | | 239,471 | |
| | 164,039 | | | 4.00%, 2/1/45, Pool #G07949 | | | 182,299 | |
| | 39,860 | | | 3.50%, 3/1/45, Pool #Q32328 | | | 43,333 | |
| | 80,335 | | | 3.50%, 3/1/45, Pool #Q32008 | | | 87,333 | |
| | 44,301 | | | 3.50%, 3/1/45, Pool #Q31974 | | | 48,160 | |
| | 32,214 | | | 3.00%, 5/1/45, Pool #Q33468 | | | 34,708 | |
| | 213,702 | | | 3.50%, 5/1/45, Pool #Q33547 | | | 232,668 | |
| | 264,663 | | | 3.50%, 6/1/45, Pool #Q34164 | | | 288,126 | |
| | 284,399 | | | 3.50%, 6/1/45, Pool #Q34311 | | | 309,238 | |
| | 41,147 | | | 3.50%, 6/1/45, Pool #Q33791 | | | 44,788 | |
| | 182,451 | | | 3.00%, 6/1/45, Pool #Q34156 | | | 196,442 | |
| | 47,623 | | | 3.00%, 7/1/45, Pool #Q34759 | | | 51,600 | |
| | 14,708 | | | 3.00%, 7/1/45, Pool #Q34979 | | | 16,078 | |
| | 91,455 | | | 4.00%, 8/1/45, Pool #Q35845 | | | 101,373 | |
| | 17,233 | | | 4.00%, 9/1/45, Pool #Q37853 | | | 18,875 | |
| | 295,129 | | | 3.50%, 11/1/45, Pool #Q37467 | | | 320,839 | |
| | 10,973 | | | 4.00%, 11/1/45, Pool #Q38812 | | | 11,743 | |
| | 4,659 | | | 4.00%, 2/1/46, Pool #Q38879 | | | 5,139 | |
| | 15,803 | | | 4.00%, 2/1/46, Pool #Q38782 | | | 17,425 | |
| | 23,982 | | | 4.00%, 2/1/46, Pool #Q38783 | | | 26,191 | |
| | 54,984 | | | 4.00%, 4/1/46, Pool #V82292 | | | 60,514 | |
| | 11,056 | | | 4.00%, 4/1/46, Pool #Q39975 | | | 12,194 | |
| | 340,816 | | | 3.50%, 5/1/46, Pool #G60553 | | | 375,524 | |
| | 108,739 | | | 3.50%, 5/1/46, Pool #G60603 | | | 118,758 | |
| | 99,601 | | | 3.50%, 5/1/46, Pool #Q40647 | | | 108,094 | |
| | 298,299 | | | 3.50%, 9/1/46, Pool #Q43257 | | | 325,074 | |
| | 14,283 | | | 4.00%, 9/1/47, Pool #Q50433 | | | 15,758 | |
| | 18,483 | | | 4.00%, 10/1/47, Pool #Q51189 | | | 20,392 | |
| | 16,351 | | | 4.00%, 2/1/48, Pool #Q54192 | | | 17,669 | |
| | 215,905 | | | 3.50%, 3/1/48, Pool #G67710 | | | 233,159 | |
| | 284,231 | | | 4.00%, 5/1/48, Pool #Q55992 | | | 307,141 | |
| | 790,061 | | | 4.00%, 6/1/48, Pool #G67713 | | | 861,582 | |
| | 94,347 | | | 4.00%, 7/1/48, Pool #Q59935 | | | 104,029 | |
| | 216,307 | | | 3.50%, 5/1/49, Pool #Q63646 | | | 233,479 | |
| | 576,946 | | | 2.50%, 6/1/50, Pool #RA2645 | | | 610,846 | |
| | 695,760 | | | 2.50%, 11/1/50, Pool #SD7530 | | | 740,566 | |
| | | | | | | | |
| | | | | | | 17,647,258 | |
| | | | | | | | |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association (6.6%): | |
| $ | 225,720 | | | 2.50%, 6/1/29, Pool #MA3734 | | $ | 235,915 | |
| | 91,983 | | | 2.50%, 9/1/31, Pool #AS8012 | | | 97,598 | |
| | 411,650 | | | 3.00%, 4/1/32, Pool #BD9809 | | | 435,530 | |
| | 203,063 | | | 3.00%, 9/1/32, Pool #BM5110 | | | 214,732 | |
| | 598,891 | | | 3.00%, 12/1/32, Pool #BM5345 | | | 635,654 | |
| | 558,466 | | | 2.50%, 12/1/32, Pool #CA3748 | | | 586,909 | |
| | 32,450 | | | 3.00%, 3/1/33, Pool #BM4614 | | | 35,043 | |
| | 42,126 | | | 3.00%, 5/1/33, Pool #AT3000 | | | 45,313 | |
| | 44,322 | | | 3.00%, 6/1/33, Pool #AT6090 | | | 47,608 | |
| | 223,393 | | | 3.00%, 7/1/33, Pool #MA1490 | | | 240,287 | |
| | 1,338 | | | 4.50%, 7/1/33, Pool #720240 | | | 1,502 | |
| | 3,221 | | | 4.50%, 7/1/33, Pool #729327 | | | 3,538 | |
| | 5,821 | | | 4.50%, 8/1/33, Pool #723124 | | | 6,531 | |
| | 13,966 | | | 4.50%, 8/1/33, Pool #726928 | | | 15,674 | |
| | 5,614 | | | 4.50%, 8/1/33, Pool #729713 | | | 6,300 | |
| | 4,181 | | | 4.50%, 8/1/33, Pool #727160 | | | 4,590 | |
| | 3,053 | | | 4.50%, 8/1/33, Pool #727029 | | | 3,418 | |
| | 9,679 | | | 4.50%, 8/1/33, Pool #726956 | | | 10,841 | |
| | 29,312 | | | 4.50%, 8/1/33, Pool #729380 | | | 32,875 | |
| | 22,887 | | | 4.50%, 9/1/33, Pool #727147 | | | 25,661 | |
| | 9,297 | | | 4.50%, 9/1/33, Pool #734922 | | | 10,426 | |
| | 1,266,543 | | | 3.00%, 11/1/33, Pool #BM5111 | | | 1,343,480 | |
| | 32,225 | | | 4.50%, 12/1/33, Pool #AL5321 | | | 36,132 | |
| | 34,761 | | | 3.50%, 1/1/34, Pool #AS1406 | | | 37,622 | |
| | 92,049 | | | 3.50%, 1/1/34, Pool #AS1611 | | | 99,570 | |
| | 12,389 | | | 3.50%, 1/1/34, Pool #AS1614 | | | 13,345 | |
| | 63,468 | | | 3.50%, 1/1/34, Pool #AS1612 | | | 68,668 | |
| | 641,967 | | | 2.50%, 6/1/34, Pool #BN7572 | | | 682,786 | |
| | 627,037 | | | 3.50%, 9/1/34, Pool #FM1577 | | | 678,099 | |
| | 426,170 | | | 3.50%, 9/1/34, Pool #FM1578 | | | 462,223 | |
| | 296,366 | | | 3.50%, 10/1/34, Pool #FM1579 | | | 316,100 | |
| | 27,167 | | | 6.00%, 10/1/34, Pool #AL2130 | | | 32,141 | |
| | 57,029 | | | 4.50%, 9/1/35, Pool #AB8198 | | | 63,948 | |
| | 522,317 | | | 6.00%, 5/1/36, Pool #745512 | | | 612,018 | |
| | 257,485 | | | 6.00%, 1/1/37, Pool #932030 | | | 300,419 | |
| | 48,521 | | | 6.00%, 3/1/37, Pool #889506 | | | 57,628 | |
| | 67,711 | | | 6.00%, 1/1/38, Pool #889371 | | | 81,275 | |
| | 196,948 | | | 5.00%, 2/1/38, Pool #310165 | | | 226,782 | |
| | 24,177 | | | 6.00%, 3/1/38, Pool #889219 | | | 29,020 | |
| | 12,353 | | | 6.00%, 7/1/38, Pool #889733 | | | 14,579 | |
| | 78,433 | | | 4.50%, 3/1/39, Pool #AB0051 | | | 87,907 | |
| | 371,318 | | | 4.50%, 4/1/39, Pool #AB0043 | | | 416,291 | |
| | 133,277 | | | 5.00%, 6/1/39, Pool #AL7550 | | | 153,665 | |
| | 349,283 | | | 5.00%, 6/1/39, Pool #AL7521 | | | 402,655 | |
| | 235,073 | | | 2.50%, 8/1/39, Pool #MA3761 | | | 247,558 | |
| | 35,065 | | | 4.50%, 11/1/39, Pool #AC5442 | | | 38,907 | |
| | 94,004 | | | 6.00%, 5/1/40, Pool #AL2129 | | | 112,911 | |
| | 51,024 | | | 4.00%, 12/1/40, Pool #AA4757 | | | 56,236 | |
| | 49,646 | | | 4.50%, 2/1/41, Pool #AH5580 | | | 55,972 | |
| | 7,603 | | | 6.00%, 1/1/42, Pool #AL2128 | | | 8,846 | |
| | 240,760 | | | 2.50%, 2/1/43, Pool #AB8465 | | | 253,926 | |
| | 58,078 | | | 4.00%, 10/1/43, Pool #BM1167 | | | 64,458 | |
| | 272,616 | | | 4.50%, 3/1/44, Pool #AL5082 | | | 303,822 | |
| | 279,732 | | | 5.00%, 11/1/44, Pool #AL7307 | | | 322,454 | |
| | 13,678 | | | 4.00%, 12/1/44, Pool #AY0045 | | | 15,016 | |
| | 27,287 | | | 4.00%, 12/1/44, Pool #AW9502 | | | 29,961 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 114,609 | | | 4.00%, 12/1/44, Pool #AX8459 | | $ | 126,270 | |
| | 208,708 | | | 4.00%, 3/1/45, Pool #AL6541 | | | 232,437 | |
| | 72,316 | | | 3.00%, 5/1/45, Pool #AS4972 | | | 77,751 | |
| | 35,872 | | | 4.00%, 5/1/45, Pool #AZ1876 | | | 39,433 | |
| | 105,279 | | | 4.00%, 5/1/45, Pool #AZ1207 | | | 113,697 | |
| | 256,572 | | | 4.00%, 6/1/45, Pool #AY8096 | | | 277,011 | |
| | 35,905 | | | 5.00%, 6/1/45, Pool #AZ3448 | | | 42,110 | |
| | 46,959 | | | 4.00%, 6/1/45, Pool #AZ3341 | | | 51,622 | |
| | 25,661 | | | 4.00%, 6/1/45, Pool #AZ2719 | | | 28,208 | |
| | 92,554 | | | 4.00%, 6/1/45, Pool #AY8126 | | | 99,948 | |
| | 202,200 | | | 4.00%, 7/1/45, Pool #AZ0833 | | | 222,273 | |
| | 463,056 | | | 3.50%, 7/1/45, Pool #AZ0814 | | | 504,167 | |
| | 183,135 | | | 4.00%, 7/1/45, Pool #AZ1783 | | | 197,673 | |
| | 70,397 | | | 3.00%, 8/1/45, Pool #AZ8288 | | | 75,742 | |
| | 28,235 | | | 3.00%, 8/1/45, Pool #AZ3728 | | | 30,389 | |
| | 165,496 | | | 3.00%, 8/1/45, Pool #AS5634 | | | 177,932 | |
| | 90,896 | | | 4.00%, 10/1/45, Pool #AL7413 | | | 100,186 | |
| | 480,014 | | | 4.00%, 10/1/45, Pool #AL7593 | | | 529,153 | |
| | 34,566 | | | 4.00%, 11/1/45, Pool #AZ0560 | | | 37,310 | |
| | 66,674 | | | 4.00%, 12/1/45, Pool #BA6404 | | | 71,967 | |
| | 9,833 | | | 4.00%, 12/1/45, Pool #BC0997 | | | 10,614 | |
| | 38,440 | | | 4.00%, 12/1/45, Pool #AS6350 | | | 42,374 | |
| | 57,010 | | | 4.50%, 2/1/46, Pool #BM5199 | | | 63,580 | |
| | 780,330 | | | 4.00%, 2/1/46, Pool #BC1578 | | | 840,533 | |
| | 29,167 | | | 4.00%, 4/1/46, Pool #BC7809 | | | 31,496 | |
| | 31,280 | | | 4.00%, 4/1/46, Pool #BC3920 | | | 33,778 | |
| | 12,936 | | | 4.00%, 5/1/46, Pool #BC2276 | | | 14,177 | |
| | 427,831 | | | 3.50%, 5/1/46, Pool #BC0880 | | | 466,099 | |
| | 258,642 | | | 4.00%, 6/1/46, Pool #BC0960 | | | 278,597 | |
| | 403,066 | | | 4.00%, 6/1/46, Pool #AL9282 | | | 434,163 | |
| | 49,742 | | | 4.00%, 7/1/46, Pool #BC6148 | | | 53,580 | |
| | 168,580 | | | 4.00%, 7/1/46, Pool #BC1443 | | | 187,471 | |
| | 479,420 | | | 3.50%, 7/1/46, Pool #AL9515 | | | 522,644 | |
| | 73,141 | | | 4.00%, 8/1/46, Pool #BD1451 | | | 78,784 | |
| | 59,942 | | | 4.50%, 8/1/46, Pool #AL9111 | | | 66,457 | |
| | 52,833 | | | 4.00%, 9/1/46, Pool #BD1489 | | | 56,909 | |
| | 183,993 | | | 4.00%, 9/1/46, Pool #BC2843 | | | 204,636 | |
| | 29,065 | | | 4.00%, 10/1/46, Pool #BD7599 | | | 31,318 | |
| | 169,770 | | | 3.50%, 10/1/46, Pool #AL9285 | | | 179,322 | |
| | 552,659 | | | 3.50%, 12/1/46, Pool #BC9077 | | | 602,388 | |
| | 454,480 | | | 3.50%, 1/1/47, Pool #AL9776 | | | 492,643 | |
| | 99,120 | | | 3.50%, 2/1/47, Pool #BE5696 | | | 107,268 | |
| | 1,832,798 | | | 4.00%, 2/1/47, Pool #AL9779 | | | 2,021,203 | |
| | 827,979 | | | 4.50%, 2/1/47, Pool #AL9846 | | | 906,447 | |
| | 10,638 | | | 4.00%, 6/1/47, Pool #BH4269 | | | 11,672 | |
| | 52,292 | | | 3.00%, 8/1/49, Pool #CA4017 | | | 55,066 | |
| | 659,886 | | | 4.50%, 9/1/49, Pool #FM1534 | | | 734,437 | |
| | 160,619 | | | 3.50%, 11/1/49, Pool #CA4557 | | | 173,857 | |
| | 790,402 | | | 4.00%, 11/1/49, Pool #CA4628 | | | 862,559 | |
| | 195,851 | | | 3.00%, 2/1/50, Pool #CA5126 | | | 207,873 | |
| | 5,702,171 | | | 3.00%, 3/1/50, Pool #FM3241 | | | 6,064,261 | |
| | 442,515 | | | 2.50%, 8/1/50, Pool #SD0430 | | | 469,677 | |
| | | | | | | | |
| | | | | | | 29,763,527 | |
| | | | | | | | |
| Government National Mortgage Association (3.4%): | |
| | 10,236 | | | 5.00%, 6/15/34, Pool #629493 | | | 11,617 | |
| | 4,360 | | | 5.00%, 3/15/38, Pool #676766 | | | 4,899 | |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Government National Mortgage Association, continued | |
| $ | 2,124 | | | 5.00%, 4/15/38, Pool #672672 | | $ | 2,382 | |
| | 8,600 | | | 5.00%, 8/15/38, Pool #687818 | | | 9,661 | |
| | 73,860 | | | 5.00%, 1/15/39, Pool #705997 | | | 83,728 | |
| | 168,572 | | | 5.00%, 3/15/39, Pool #646746 | | | 191,189 | |
| | 915 | | | 5.00%, 3/15/39, Pool #697946 | | | 1,026 | |
| | 165,804 | | | 4.00%, 10/15/40, Pool #783143 | | | 180,784 | |
| | 46,646 | | | 4.00%, 10/20/40, Pool #G24833 | | | 51,233 | |
| | 139,309 | | | 4.00%, 1/20/41, Pool #4922 | | | 153,024 | |
| | 373,954 | | | 4.50%, 3/20/41, Pool #4978 | | | 411,894 | |
| | 270,895 | | | 4.00%, 5/20/41, Pool #5054 | | | 299,906 | |
| | 130,622 | | | 4.50%, 5/20/41, Pool #005055 | | | 143,697 | |
| | 118,402 | | | 4.50%, 6/15/41, Pool #366975 | | | 133,484 | |
| | 85,548 | | | 4.50%, 6/20/41, Pool #005082 | | | 94,225 | |
| | 310,105 | | | 4.00%, 10/20/41, Pool #5203 | | | 343,344 | |
| | 346,121 | | | 3.50%, 12/20/41, Pool #5258 | | | 378,776 | |
| | 605,685 | | | 4.00%, 1/20/42, Pool #5280 | | | 670,691 | |
| | 418,357 | | | 3.50%, 10/20/42, Pool #MA0462 | | | 457,173 | |
| | 293,343 | | | 3.00%, 12/20/42, Pool #AA5872 | | | 308,378 | |
| | 211,514 | | | 3.00%, 12/20/42, Pool #MA0624 | | | 225,297 | |
| | 37,296 | | | 3.00%, 1/20/43, Pool #MA0698 | | | 39,725 | |
| | 2,066,411 | | | 3.50%, 1/20/43, Pool #MA0699 | | | 2,242,542 | |
| | 462,540 | | | 3.50%, 2/20/43, Pool #MA0783 | | | 505,378 | |
| | 184,816 | | | 3.00%, 3/20/43, Pool #AA6146 | | | 193,350 | |
| | 58,417 | | | 3.50%, 3/20/43, Pool #AD8884 | | | 62,980 | |
| | 72,960 | | | 3.00%, 3/20/43, Pool #AD8812 | | | 76,651 | |
| | 24,538 | | | 3.50%, 4/20/43, Pool #AB9891 | | | 26,467 | |
| | 59,361 | | | 3.50%, 4/20/43, Pool #AD9075 | | | 63,994 | |
| | 377,182 | | | 3.50%, 4/20/43, Pool #783976 | | | 412,435 | |
| | 419,743 | | | 4.00%, 10/20/43, Pool #MA1376 | | | 462,079 | |
| | 5,933 | | | 4.00%, 7/20/44, Pool #MA2074 | | | 6,534 | |
| | 89,019 | | | 4.00%, 5/20/45, Pool #MA2893 | | | 96,920 | |
| | 140,835 | | | 4.00%, 8/20/45, Pool #MA3035 | | | 153,335 | |
| | 5,425 | | | 4.00%, 9/20/45, Pool #MA3106 | | | 5,907 | |
| | 5,630 | | | 4.00%, 10/20/45, Pool #MA3174 | | | 6,129 | |
| | 6,377 | | | 4.00%, 12/20/45, Pool #MA3311 | | | 6,943 | |
| | 6,312 | | | 4.00%, 1/20/46, Pool #MA3377 | | | 6,873 | |
| | 240,717 | | | 4.00%, 4/15/46, Pool #784232 | | | 265,300 | |
| | 19,628 | | | 3.50%, 5/20/46, Pool #AR9166 | | | 21,256 | |
| | 25,772 | | | 3.50%, 5/20/46, Pool #AS4272 | | | 27,907 | |
| | 382,197 | | | 4.00%, 5/20/46, Pool #MA3664 | | | 416,432 | |
| | 22,128 | | | 3.50%, 5/20/46, Pool #AR9028 | | | 23,957 | |
| | 29,379 | | | 3.50%, 6/20/46, Pool #AS4285 | | | 31,815 | |
| | 20,839 | | | 3.50%, 6/20/46, Pool #AT4134 | | | 22,561 | |
| | 258,869 | | | 3.50%, 6/20/46, Pool #MA3736 | | | 276,308 | |
| | 101,463 | | | 3.50%, 6/20/46, Pool #AT4139 | | | 109,897 | |
| | 143,461 | | | 3.50%, 7/20/46, Pool #MA3803 | | | 153,125 | |
| | 34,235 | | | 3.50%, 7/20/46, Pool #784391 | | | 36,868 | |
| | 25,636 | | | 3.00%, 10/20/46, Pool #MA4003 | | | 27,301 | |
| | 1,299,968 | | | 3.00%, 12/20/46, Pool #MA4126 | | | 1,384,397 | |
| | 148,538 | | | 4.00%, 1/15/47, Pool #AX5831 | | | 158,650 | |
| | 183,793 | | | 4.00%, 1/15/47, Pool #AX5857 | | | 196,305 | |
| | 410,881 | | | 3.00%, 1/20/47, Pool #MA4195 | | | 437,567 | |
| | 234,910 | | | 3.00%, 2/20/47, Pool #MA4261 | | | 249,796 | |
| | 55,809 | | | 4.00%, 3/20/47, Pool #MA4322 | | | 59,845 | |
| | 328,204 | | | 4.00%, 4/20/47, Pool #784304 | | | 350,279 | |
| | 836,585 | | | 4.50%, 4/20/47, Pool #MA4384 | | | 909,478 | |
| | | | | | | | |
Shares or
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Government National Mortgage Association, continued | |
| $ | 57,409 | | | 4.00%, 4/20/47, Pool #MA4383 | | $ | 61,560 | |
| | 303,359 | | | 4.00%, 4/20/47, Pool #784303 | | | 323,763 | |
| | 36,415 | | | 4.00%, 5/20/47, Pool #MA4452 | | | 39,048 | |
| | 517,550 | | | 4.50%, 6/20/47, Pool #MA4512 | | | 565,151 | |
| | 152,559 | | | 4.00%, 6/20/47, Pool #MA4511 | | | 165,763 | |
| | 144,501 | | | 4.00%, 4/20/48, Pool #BG7744 | | | 155,394 | |
| | 158,803 | | | 4.00%, 4/20/48, Pool #BG3507 | | | 170,770 | |
| | 50,000 | | | 3.00%, 2/20/50, TBA | | | 52,312 | |
| | 149,673 | | | 3.50%, 11/20/50, Pool #MA6997 | | | 160,608 | |
| | 150,000 | | | 3.00%, 1/20/51, TBA | | | 156,820 | |
| | 1,930 | | | Class JA, Series 2015-H21, 2.50%, 6/20/65, Callable 4/20/21 @ 100 | | | 1,932 | |
| | | | | | | | |
| | | | | | | 15,536,815 | |
| | | �� | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $60,496,450) | | | 62,947,600 | |
| | | | | |
| U.S. Treasury Obligations (22.0%): | | | |
| U.S. Treasury Bonds (7.7%): | |
| | 2,566,000 | | | 1.13%, 5/15/40 | | | 2,436,096 | |
| | 11,313,000 | | | 3.00%, 2/15/47 | | | 14,802,353 | |
| | 6,105,100 | | | 1.38%, 8/15/50 | | | 5,716,854 | |
| | 12,313,000 | | | 1.63%, 11/15/50 | | | 12,262,978 | |
| | | | | | | | |
| | | | | | | 35,218,281 | |
| | | | | | | | |
| U.S. Treasury Inflation Index Bonds (1.3%): | |
| | 3,463,209 | | | 0.75%, 2/15/45 | | | 4,467,620 | |
| | 87,145 | | | 1.00%, 2/15/46 | | | 118,818 | |
| | 1,055,465 | | | 1.00%, 2/15/49 | | | 1,486,901 | |
| | | | | | | | |
| | | | | | | 6,073,339 | |
| | | | | | | | |
| U.S. Treasury Inflation Index Notes (5.4%): | |
| | 4,908,820 | | | 0.13%, 10/15/24 | | | 5,263,227 | |
| | 2,066,778 | | | 0.25%, 1/15/25 | | | 2,230,849 | |
| | 8,108,120 | | | 0.63%, 1/15/26 | | | 9,052,121 | |
| | 4,314,744 | | | 0.13%, 7/15/26 | | | 4,744,914 | |
| | 2,083,064 | | | 0.88%, 1/15/29 | | | 2,448,601 | |
| | 967,053 | | | 0.25%, 7/15/29 | | | 1,095,047 | |
| | | | | | | | |
| | | | | | | 24,834,759 | |
| | | | | | | | |
| U.S. Treasury Notes (7.6%): | |
| | 2,034,000 | | | 2.13%, 7/31/24 | | | 2,172,566 | |
| | 19,438,000 | | | 0.25%, 7/31/25 | | | 19,380,292 | |
| | 3,535,600 | | | 1.63%, 9/30/26 | | | 3,768,729 | |
| | 3,500,000 | | | 0.63%, 11/30/27 | | | 3,499,453 | |
| | 1,980,000 | | | 0.63%, 12/31/27 | | | 1,977,834 | |
| | 4,125,000 | | | 0.88%, 11/15/30 | | | 4,110,820 | |
| | | | | | | | |
| | | | | | | 34,909,694 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $98,742,721) | | | 101,036,073 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (1.0%): | |
| | 4,731,332 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(d)(e) | | | 4,731,332 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $4,731,332) | | | 4,731,332 | |
| | | | | | | | |
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Shares or
Principal
Amount | | | | | Value | |
| Unaffiliated Investment Companies (2.8%): | | | |
| Money Markets (2.8%): | |
| | 12,632,389 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(e) | | | 12,632,389 | |
| | | | | |
| | Total Unaffiliated Investment Companies (Cost $12,632,389) | | | 12,632,389 | |
| | | | | |
| | Total Investment Securities (Cost $437,967,910) — 100.8%(f) | | | 462,768,795 | |
| | | | | |
| | Net other assets (liabilities) — (0.8)% | | | (3,470,943 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 459,297,852 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USSW5—USD 5 Year Swap Rate
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $4,575,373. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at December 31, 2020. |
| (d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (e) | The rate represents the effective yield at December 31, 2020. |
| (f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Securities Sold Short (-1.0%)
At December 31, 2020, the Fund’s securities sold short were as follows:
| | | | | | | | | | | | | | | | |
| Security Description | | Coupon
Rate | | Maturity
Date | | Par
Amount | | | Proceeds
Received | | | Fair Value | |
U.S. Government Agency Mortgages | | | | | | | | | | | | | | | | |
Federal National Mortgage Association | |
Federal National Mortgage Association, TBA | | 3.00% | | 1/25/50 | | $ | (3,600,000 | ) | | $ | (3,764,813 | ) | | $ | (3,771,563 | ) |
Federal National Mortgage Association, TBA | | 3.50% | | 1/25/51 | | | (825,000 | ) | | | (871,696 | ) | | | (871,793 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | $ | (4,636,509 | ) | | $ | (4,643,356 | ) |
| | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Total Bond Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 437,967,910 | |
| | | | | |
Investment securities, at value(a) | | | $ | 462,768,795 | |
Cash | | | | 234,419 | |
Interest and dividends receivable | | | | 3,436,392 | |
Receivable for capital shares issued | | | | 11,409 | |
Receivable for investments sold | | | | 259,424 | |
Receivable for TBA investments sold | | | | 5,322,839 | |
Prepaid expenses | | | | 2,481 | |
| | | | | |
Total Assets | | | | 472,035,759 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 2,095,000 | |
Payable for TBA investments purchased | | | | 896,643 | |
Payable for capital shares redeemed | | | | 852 | |
Payable for collateral received on loaned securities | | | | 4,731,332 | |
Securities sold short (Proceeds received $4,636,509) | | | | 4,643,356 | |
Interest payable on securities sold short | | | | 4,943 | |
Manager fees payable | | | | 193,240 | |
Administration fees payable | | | | 41,883 | |
Distribution fees payable | | | | 91,863 | |
Custodian fees payable | | | | 4,503 | |
Administrative and compliance services fees payable | | | | 1,306 | |
Transfer agent fees payable | | | | 1,886 | |
Trustee fees payable | | | | 4,729 | |
Other accrued liabilities | | | | 26,371 | |
| | | | | |
Total Liabilities | | | | 12,737,907 | |
| | | | | |
Net Assets | | | $ | 459,297,852 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 414,306,925 | |
Total distributable earnings | | | | 44,990,927 | |
| | | | | |
Net Assets | | | $ | 459,297,852 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 22,495,025 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 2,096,602 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.73 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 436,802,827 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 39,480,284 | |
Net Asset Value (offering and redemption price per share) | | | $ | 11.06 | |
| | | | | |
| (a) | Includes securities on loan of $4,575,373. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 15,307,463 | |
Dividends | | | | 41,088 | |
Income from securities lending | | | | 27,522 | |
| | | | | |
Total Investment Income | | | | 15,376,073 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,286,995 | |
Administration fees | | | | 236,747 | |
Distribution fees — Class 2 | | | | 1,087,492 | |
Custodian fees | | | | 21,059 | |
Administrative and compliance services fees | | | | 8,094 | |
Transfer agent fees | | | | 12,073 | |
Trustee fees | | | | 27,531 | |
Professional fees | | | | 22,546 | |
Shareholder reports | | | | 26,612 | |
Other expenses | | | | 9,695 | |
| | | | | |
Total expenses | | | | 3,738,844 | |
| | | | | |
Net Investment Income/(Loss) | | | | 11,637,229 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 16,862,609 | |
Net realized gains/(losses) on securities held short | | | | (65,187 | ) |
Change in net unrealized appreciation/depreciation on securities | | | | 9,276,471 | |
Change in net unrealized appreciation/depreciation on securities held short | | | | (6,062 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 26,067,831 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 37,705,060 | |
| | | | | |
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Total Bond Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 11,637,229 | | | | $ | 14,785,027 | |
Net realized gains/(losses) on investments | | | | 16,797,422 | | | | | 4,806,703 | |
Change in unrealized appreciation/depreciation on investments | | | | 9,270,409 | | | | | 30,038,295 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 37,705,060 | | | | | 49,630,025 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (814,539 | ) | | | | (762,762 | ) |
Class 2 | | | | (13,970,449 | ) | | | | (14,007,289 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (14,784,988 | ) | | | | (14,770,051 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 921,431 | | | | | 2,473,032 | |
Proceeds from dividends reinvested | | | | 814,539 | | | | | 762,762 | |
Value of shares redeemed | | | | (3,164,372 | ) | | | | (3,389,231 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (1,428,402 | ) | | | | (153,437 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 31,658,359 | | | | | 14,141,674 | |
Proceeds from dividends reinvested | | | | 13,970,449 | | | | | 14,007,289 | |
Value of shares redeemed | | | | (101,509,337 | ) | | | | (69,635,789 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (55,880,529 | ) | | | | (41,486,826 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (57,308,931 | ) | | | | (41,640,263 | ) |
| | | | | | | | | | |
Change in net assets | | | | (34,388,859 | ) | | | | (6,780,289 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 493,686,711 | | | | | 500,467,000 | |
| | | | | | | | | | |
End of period | | | $ | 459,297,852 | | | | $ | 493,686,711 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 87,272 | | | | | 246,124 | |
Dividends reinvested | | | | 77,723 | | | | | 75,446 | |
Shares redeemed | | | | (306,567 | ) | | | | (335,189 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (141,572 | ) | | | | (13,619 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 2,920,316 | | | | | 1,364,347 | |
Dividends reinvested | | | | 1,292,363 | | | | | 1,345,561 | |
Shares redeemed | | | | (9,574,371 | ) | | | | (6,698,382 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (5,361,692 | ) | | | | (3,988,474 | ) |
| | | | | | | | | | |
Change in shares | | | | (5,503,264 | ) | | | | (4,002,093 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Total Bond Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016^ |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.20 | | | | $ | 9.54 | | | | $ | 9.96 | | | | $ | 9.77 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.29 | (a) | | | | 0.32 | (a) | | | | 0.32 | | | | | 0.23 | | | | | 0.24 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.63 | | | | | 0.69 | | | | | (0.42 | ) | | | | 0.21 | | | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.92 | | | | | 1.01 | | | | | (0.10 | ) | | | | 0.44 | | | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.39 | ) | | | | (0.35 | ) | | | | (0.32 | ) | | | | (0.25 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.39 | ) | | | | (0.35 | ) | | | | (0.32 | ) | | | | (0.25 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.73 | | | | $ | 10.20 | | | | $ | 9.54 | | | | $ | 9.96 | | | | $ | 9.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 9.12 | % | | | | 10.57 | % | | | | (1.00 | )% | | | | 4.55 | % | | | | (2.30 | )%(c) |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 22,495 | | | | $ | 22,823 | | | | $ | 21,476 | | | | $ | 24,077 | | | | $ | 25,981 | |
Net Investment Income/(Loss)(d) | | | | 2.78 | % | | | | 3.17 | % | | | | 2.96 | % | | | | 2.23 | % | | | | 3.03 | % |
Expenses Before Reductions(d)(e) | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.59 | % |
Expenses Net of Reductions(d) | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.59 | % |
Portfolio Turnover Rate(f) | | | | 71 | % | | | | 68 | % | | | | 38 | % | | | | 81 | % | | | | 119 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.50 | | | | $ | 9.81 | | | | $ | 10.23 | | | | $ | 10.05 | | | | $ | 9.85 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.27 | (a) | | | | 0.30 | (a) | | | | 0.31 | | | | | 0.22 | | | | | 0.26 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.65 | | | | | 0.71 | | | | | (0.44 | ) | | | | 0.21 | | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.92 | | | | | 1.01 | | | | | (0.13 | ) | | | | 0.43 | | | | | 0.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.36 | ) | | | | (0.32 | ) | | | | (0.29 | ) | | | | (0.25 | ) | | | | (0.34 | ) |
Net Realized Gains | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.36 | ) | | | | (0.32 | ) | | | | (0.29 | ) | | | | (0.25 | ) | | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.06 | | | | $ | 10.50 | | | | $ | 9.81 | | | | $ | 10.23 | | | | $ | 10.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 8.84 | % | | | | 10.28 | % | | | | (1.25 | )% | | | | 4.28 | % | | | | 5.51 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 436,803 | | | | $ | 470,864 | | | | $ | 478,991 | | | | $ | 552,678 | | | | $ | 568,216 | |
Net Investment Income/(Loss) | | | | 2.53 | % | | | | 2.92 | % | | | | 2.71 | % | | | | 1.98 | % | | | | 3.06 | % |
Expenses Before Reductions(e) | | | | 0.83 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.83 | % |
Expenses Net of Reductions | | | | 0.83 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.83 | % |
Portfolio Turnover Rate(f) | | | | 71 | % | | | | 68 | % | | | | 38 | % | | | | 81 | % | | | | 119 | % |
| ^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Fidelity Institutional Asset Management Total Bond Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
27
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2020
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments. All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,616 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,731,332 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of December 31, 2020, no collateral had been posted by the Fund to counterparties for TBAs.
28
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2020
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with FIAM LLC (“FIAM”), FIAM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL Fidelity Institutional Asset Management Total Bond Fund Class 1 | | | | 0.50 | % | | | | 0.70 | % |
AZL Fidelity Institutional Asset Management Total Bond Fund Class 2 | | | | 0.50 | % | | | | 0.95 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $2,550 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-
29
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2020
interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 544,507 | | | | $ | 100,848 | | | | $ | — | | | | $ | 645,355 | |
Warrants+ | | | | 380 | | | | | — | | | | | — | | | | | 380 | |
Asset Backed Securities | | | | — | | | | | 8,469,662 | | | | | — | | | | | 8,469,662 | |
Collateralized Mortgage Obligations | | | | — | | | | | 32,135,039 | | | | | — | | | | | 32,135,039 | |
Convertible Bonds | | | | — | | | | | 105,899 | | | | | — | | | | | 105,899 | |
Bank Loans | | | | — | | | | | 245,390 | | | | | — | | | | | 245,390 | |
Corporate Bonds+ | | | | — | | | | | 176,815,855 | | | | | — | | | | | 176,815,855 | |
Yankee Debt Obligations+ | | | | — | | | | | 56,930,017 | | | | | — | | | | | 56,930,017 | |
Municipal Bonds | | | | — | | | | | 6,073,804 | | | | | — | | | | | 6,073,804 | |
U.S. Government Agency Mortgages | | | | — | | | | | 62,947,600 | | | | | — | | | | | 62,947,600 | |
U.S. Treasury Obligations | | | | — | | | | | 101,036,073 | | | | | — | | | | | 101,036,073 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 4,731,332 | | | | | — | | | | | — | | | | | 4,731,332 | |
Unaffiliated Investment Companies | | | | 12,632,389 | | | | | — | | | | | — | | | | | 12,632,389 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 17,908,608 | | | | | 444,860,187 | | | | | — | | | | | 462,768,795 | |
| | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | — | | | | | (4,643,356 | ) | | | | — | | | | | (4,643,356 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 17,908,608 | | | | $ | 440,216,831 | | | | $ | — | | | | $ | 458,125,439 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 317,650,184 | | | | $ | 377,307,662 | |
30
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2020
For the year ended December 31, 2020, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 195,818,606 | | | | $ | 267,025,620 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, investments in mortgage-related securities may cause the Fund to exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. The Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
31
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2020
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $433,480,941. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 29,038,865 | |
Unrealized (depreciation) | | | (4,394,367 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 24,644,498 | |
| | | | |
During the year ended December 31, 2020, the Fund utilized $8,181,785 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 14,784,988 | | | | $ | — | | | | $ | 14,784,988 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 14,770,051 | | | | $ | — | | | | $ | 14,770,051 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 13,753,867 | | | | $ | 6,592,562 | | | | $ | — | | | | $ | 24,644,498 | | | | $ | 44,990,927 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
32
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Fidelity Institutional Asset Management Total Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Fidelity Institutional Asset Management Total Bond Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
34
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
35
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
36
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
38
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
39
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Gateway Fund
Annual Report
December 31, 2020
Allianz Funds
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Gateway Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Gateway Fund and Gateway Investment Advisers, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Gateway Fund (the “Fund”) returned 7.30%. That compared to a 18.40% total return for its benchmark, the S&P 500 Index1. The Fund’s performance reflects its low-volatility equity strategy, which seeks to reduce fluctuations in the portfolio’s value that may be caused by equity market volatility. In achieving its low-volatility objective, the Fund’s annualized standard deviation2 of daily returns for the year was 14.83% compared to 34.43% for the S&P 500 Index.*
The Fund seeks to capture a majority of long-term returns expected with equity market investments while also providing less risk. To accomplish this goal, the Fund invests in a diversified portfolio of common stocks. In addition, the Fund sells index call options to lower volatility and generate cash flow; the Fund then uses a portion of this cash flow to purchase index put options, which helps mitigate any sharp, sudden price declines in the equity portfolio.*
The strong absolute return of the S&P 500 in 2020 belies the economic and market turmoil wrought by the coronavirus (COVID-19) pandemic that emerged globally in the first quarter of 2020. Stocks began to decline in late February, and by March, the equity market experienced record-setting volatility and entered bear market territory faster than previous declines. The Chicago Board Options Exchange Market Volatility Index3 (the VIX) rose as high as 85.47 on March 18, just shy of its all-time intra-day high set in 2008. Meanwhile, the large swings in the stock market resulted in a 93.44% annualized standard deviation of daily returns for the S&P 500 in March, the highest reading of monthly standard deviation in history.
Despite the unprecedented downturn, stocks rebounded strongly led by technology businesses geared toward helping individuals work, shop and find entertainment while at home. A resurgence of COVID-19 cases and election uncertainty later in the year triggered a brief reversal in stocks, but positive news around COVID-19 vaccines helped drive equities to strong gains to finish out the year.
The Fund underperformed its primary benchmark for the year while achieving its risk objective of exhibiting significantly less risk than the equity market. Throughout 2020, the Fund’s two-part option strategy delivered equity market participation when the market advanced and significant downside protection during declines. From January 1 until the pre-pandemic market high of February 19, the Fund returned 1.82%, underperforming the S&P 500 by 3.26%. When the equity market has a strong advance combined with below-average implied volatility levels, underperformance is expected as the risk-reducing option strategy generates losses that detract from the return of the Fund’s index-tracking equity portfolio.*
During the pandemic-driven bear market from February 19 to March 23, the Fund declined 15.85%, less than half the loss of its primary benchmark. Gains from its option strategy provided 17.94% of downside protection relative to the S&P 500 decline of 33.79%. However, during the market recovery period from March 23 to September 2, the Fund returned 20.27%, compared to 61.39% from the S&P 500. The Fund’s return differential was primarily due to losses from its option strategy, as the opportunity costs of hedging tend to exceed their benefit in such a sharply rising market. From September 2 through the end of the year, sustained implied volatility levels helped the Fund deliver strong market participation with a total return of 4.12% compared to the 5.45% total return for the S&P 500.*
The Fund employs equity index options as part of its low- volatility strategy. These derivatives, along with the Fund’s overall strategy worked as designed. Consistent with its investment objective, the measured risk of the Fund was low relative to the U.S. equity market. However, despite generating gains during market declines, the derivatives had an overall negative impact on the Fund’s return relative to its benchmark.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | Standard deviation of returns measures the average a return series deviates from its mean. It is often used as a measure of risk. When a fund has a high standard deviation, the predicted range of performance implies greater volatility. |
| 3 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near- term volatility conveyed by the S&P 500 Index options. |
1
AZL® Gateway Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing in a broadly diversified portfolio of common stocks, while also selling index call options.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations.
The performance of investments in real estate depends on the overall strength of the real estate market, the management of real estate investments trusts (REITs), real estate operating companies (REOCs), and foreign real estate companies, and property management, all of which can be affected by a variety of factors, including national and regional economic conditions.
Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio.
Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® Gateway Fund | | | 7.30 | % | | | 4.28 | % | | | 5.41 | % | | | 4.76 | % |
S&P 500 Index | | | 18.40 | % | | | 14.18 | % | | | 15.22 | % | | | 13.88 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® Gateway Fund | | | 1.11 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 1.25% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Standard & Poor’s 500 Index, an unmanaged index that is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, which is a measure of the U.S. Stock market as a whole. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Gateway Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Gateway Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Gateway Fund | | | $ | 1,000.00 | | | | $ | 1,099.40 | | | | $ | 5.96 | | | | | 1.13 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Gateway Fund | | | $ | 1,000.00 | | | | $ | 1,019.46 | | | | $ | 5.74 | | | | | 1.13 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Information Technology | | | | 28.4 | % |
| |
Health Care | | | | 13.5 | |
| |
Consumer Discretionary | | | | 11.0 | |
| |
Communication Services | | | | 11.0 | |
| |
Financials | | | | 10.3 | |
| |
Industrials | | | | 8.8 | |
| |
Consumer Staples | | | | 6.5 | |
| |
Utilities | | | | 2.7 | |
| |
Materials | | | | 2.6 | |
| |
Energy | | | | 2.5 | |
| |
Real Estate | | | | 2.4 | |
| | | | | |
| |
Total Common Stocks | | | | 99.7 | |
| |
Unaffiliated Investment Companies | | | | 3.7 | |
| |
Purchased Put Options | | | | 0.6 | |
| | | | | |
| |
Total Investment Securities | | | | 104.0 | |
| |
Net other assets (liabilities) | | | | (4.0 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+ (99.7%): | | | |
| Aerospace & Defense (1.5%): | | | |
| | 2,986 | | | Boeing Co. (The) | | $ | 639,183 | |
| | 961 | | | HEICO Corp. | | | 127,236 | |
| | 814 | | | Huntington Ingalls Industries, Inc. | | | 138,771 | |
| | 11,164 | | | Raytheon Technologies Corp. | | | 798,337 | |
| | 523 | | | Teledyne Technologies, Inc.* | | | 205,006 | |
| | 490 | | | TransDigm Group, Inc.* | | | 303,237 | |
| | | | | | | | |
| | | | | | | 2,211,770 | |
| | | | | | | | |
| Air Freight & Logistics (0.6%): | | | |
| | 4,628 | | | United Parcel Service, Inc., Class B | | | 779,355 | |
| | 749 | | | XPO Logistics, Inc.* | | | 89,281 | |
| | | | | | | | |
| | | | | | | 868,636 | |
| | | | | | | | |
| Airlines (0.4%): | | | |
| | 3,356 | | | Alaska Air Group, Inc. | | | 174,512 | |
| | 11,051 | | | JetBlue Airways Corp.* | | | 160,682 | |
| | 3,964 | | | United Airlines Holdings, Inc.* | | | 171,443 | |
| | | | | | | | |
| | | | | | | 506,637 | |
| | | | | | | | |
| Auto Components (0.1%): | | | |
| | 725 | | | Autoliv, Inc. | | | 66,773 | |
| | 2,316 | | | Cooper Tire & Rubber Co. | | | 93,798 | |
| | | | | | | | |
| | | | | | | 160,571 | |
| | | | | | | | |
| Automobiles (0.3%): | | | |
| | 41,730 | | | Ford Motor Co. | | | 366,807 | |
| | | | | | | | |
| Banks (3.8%): | | | |
| | 5,229 | | | Associated Banc-Corp. | | | 89,154 | |
| | 60,052 | | | Bank of America Corp. | | | 1,820,176 | |
| | 13,280 | | | Citigroup, Inc. | | | 818,845 | |
| | 24,520 | | | Huntington Bancshares, Inc. | | | 309,688 | |
| | 18,450 | | | JPMorgan Chase & Co. | | | 2,344,442 | |
| | 2,161 | | | Old National Bancorp | | | 35,786 | |
| | 645 | | | Signature Bank | | | 87,262 | |
| | | | | | | | |
| | | | | | | 5,505,353 | |
| | | | | | | | |
| Beverages (1.5%): | | | |
| | 7,943 | | | Keurig Dr Pepper, Inc. | | | 254,176 | |
| | 5,144 | | | Monster Beverage Corp.* | | | 475,717 | |
| | 9,633 | | | PepsiCo, Inc. | | | 1,428,574 | |
| | | | | | | | |
| | | | | | | 2,158,467 | |
| | | | | | | | |
| Biotechnology (2.0%): | | | |
| | 9,808 | | | AbbVie, Inc. | | | 1,050,926 | |
| | 3,510 | | | Amgen, Inc. | | | 807,019 | |
| | 1,089 | | | Biogen, Inc.* | | | 266,653 | |
| | 342 | | | Exact Sciences Corp.* | | | 45,312 | |
| | 701 | | | Ionis Pharmaceuticals, Inc.* | | | 39,635 | |
| | 425 | | | Seagen, Inc.* | | | 74,435 | |
| | 2,292 | | | Vertex Pharmaceuticals, Inc.* | | | 541,691 | |
| | | | | | | | |
| | | | | | | 2,825,671 | |
| | | | | | | | |
| Building Products (0.3%): | | | |
| | 7,167 | | | Carrier Global Corp. | | | 270,339 | |
| | 411 | | | Lennox International, Inc. | | | 112,602 | |
| | | | | | | | |
| | | | | | | 382,941 | |
| | | | | | | | |
| Capital Markets (2.1%): | | | |
| | 9,504 | | | Charles Schwab Corp. (The) | | | 504,092 | |
| | 1,655 | | | Eaton Vance Corp. | | | 112,424 | |
| | 297 | | | FactSet Research Systems, Inc. | | | 98,753 | |
| | 4,979 | | | Intercontinental Exchange, Inc. | | | 574,029 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+, continued | | | |
| Capital Markets, continued | | | |
| | 10,272 | | | Morgan Stanley | | $ | 703,940 | |
| | 843 | | | MSCI, Inc. | | | 376,425 | |
| | 2,177 | | | S&P Global, Inc. | | | 715,645 | |
| | | | | | | | |
| | | | | | | 3,085,308 | |
| | | | | | | | |
| Chemicals (1.6%): | | | |
| | 1,642 | | | Ashland Global Holdings, Inc. | | | 130,046 | |
| | 2,085 | | | Celanese Corp. | | | 270,925 | |
| | 7,489 | | | Corteva, Inc. | | | 289,974 | |
| | 6,799 | | | Dow, Inc. | | | 377,344 | |
| | 2,818 | | | Eastman Chemical Co. | | | 282,589 | |
| | 638 | | | Ingevity Corp.* | | | 48,316 | |
| | 1,658 | | | International Flavors & Fragrances, Inc. | | | 180,457 | |
| | 3,473 | | | LyondellBasell Industries NV, Class A | | | 318,335 | |
| | 5,079 | | | Mosaic Co. (The) | | | 116,868 | |
| | 3,215 | | | Olin Corp. | | | 78,960 | |
| | 1,952 | | | RPM International, Inc. | | | 177,203 | |
| | 3,968 | | | Valvoline, Inc. | | | 91,820 | |
| | | | | | | | |
| | | | | | | 2,362,837 | |
| | | | | | | | |
| Commercial Services & Supplies (0.7%): | | | |
| | 2,471 | | | Copart, Inc.* | | | 314,435 | |
| | 1,537 | | | Waste Connections, Inc. | | | 157,650 | |
| | 4,946 | | | Waste Management, Inc. | | | 583,282 | |
| | | | | | | | |
| | | | | | | 1,055,367 | |
| | | | | | | | |
| | | | | | | | |
| Communications Equipment (0.8%): | | | |
| | 27,124 | | | Cisco Systems, Inc. | | | 1,213,799 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 999 | | | Martin Marietta Materials, Inc. | | | 283,686 | |
| | | | | | | | |
| Consumer Finance (0.5%): | | | |
| | 2,467 | | | Ally Financial, Inc. | | | 87,973 | |
| | 3,643 | | | Discover Financial Services | | | 329,801 | |
| | 10,369 | | | Synchrony Financial | | | 359,908 | |
| | | | | | | | |
| | | | | | | 777,682 | |
| | | | | | | | |
| Containers & Packaging (0.5%): | | | |
| | 1,466 | | | Avery Dennison Corp. | | | 227,391 | |
| | 1,761 | | | Crown Holdings, Inc.* | | | 176,452 | |
| | 2,381 | | | Sonoco Products Co. | | | 141,074 | |
| | 5,265 | | | WestRock Co. | | | 229,186 | |
| | | | | | | | |
| | | | | | | 774,103 | |
| | | | | | | | |
| Distributors (0.2%): | | | |
| | 2,162 | | | Genuine Parts Co. | | | 217,130 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 1,395 | | | Service Corp. International | | | 68,495 | |
| | | | | | | | |
| Diversified Financial Services (1.8%): | | | |
| | 10,482 | | | Berkshire Hathaway, Inc., Class B* | | | 2,430,462 | |
| | 2,624 | | | Voya Financial, Inc. | | | 154,317 | |
| | | | | | | | |
| | | | | | | 2,584,779 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.9%): | | | |
| | 42,138 | | | AT&T, Inc. | | | 1,211,889 | |
| | 11,942 | | | CenturyLink, Inc. | | | 116,435 | |
| | 2,408 | | | Liberty Global plc, Series C* | | | 56,949 | |
| | 22,948 | | | Verizon Communications, Inc. | | | 1,348,194 | |
| | | | | | | | |
| | | | | | | 2,733,467 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+, continued | | | |
| Electric Utilities (1.4%): | | | |
| | 6,552 | | | Alliant Energy Corp. | | $ | 337,625 | |
| | 8,014 | | | American Electric Power Co., Inc. | | | 667,326 | |
| | 5,581 | | | Edison International | | | 350,598 | |
| | 3,822 | | | Entergy Corp. | | | 381,588 | |
| | 4,033 | | | Evergy, Inc. | | | 223,872 | |
| | 315 | | | Hawaiian Electric Industries, Inc. | | | 11,148 | |
| | 3,041 | | | OGE Energy Corp. | | | 96,886 | |
| | | | | | | | |
| | | | | | | 2,069,043 | |
| | | | | | | | |
| Electrical Equipment (0.8%): | | | |
| | 3,986 | | | Eaton Corp. plc | | | 478,878 | |
| | 6,431 | | | Emerson Electric Co. | | | 516,859 | |
| | 1,005 | | | Hubbell, Inc. | | | 157,574 | |
| | | | | | | | |
| | | | | | | 1,153,311 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.6%): | | | |
| | 1,927 | | | CDW Corp. | | | 253,959 | |
| | 7,601 | | | Corning, Inc. | | | 273,636 | |
| | 1,235 | | | Trimble, Inc.* | | | 82,461 | |
| | 675 | | | Zebra Technologies Corp., Class A* | | | 259,423 | |
| | | | | | | | |
| | | | | | | 869,479 | |
| | | | | | | | |
| Energy Equipment & Services (0.3%): | | | |
| | 7,885 | | | Baker Hughes Co. | | | 164,402 | |
| | 9,069 | | | Halliburton Co. | | | 171,404 | |
| | 3,411 | | | Helmerich & Payne, Inc. | | | 78,999 | |
| | | | | | | | |
| | | | | | | 414,805 | |
| | | | | | | | |
| Entertainment (2.2%): | | | |
| | 1,649 | | | Live Nation Entertainment, Inc.* | | | 121,169 | |
| | 2,293 | | | Netflix, Inc.* | | | 1,239,894 | |
| | 133 | | | Roku, Inc.* | | | 44,159 | |
| | 9,625 | | | Walt Disney Co. (The)* | | | 1,743,857 | |
| | | | | | | | |
| | | | | | | 3,149,079 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (2.4%): | | | |
| | 5,120 | | | American Homes 4 Rent, Class A | | | 153,600 | |
| | 2,800 | | | American Tower Corp. | | | 628,489 | |
| | 1,738 | | | Camden Property Trust | | | 173,661 | |
| | 2,507 | | | CubeSmart | | | 84,260 | |
| | 3,865 | | | Douglas Emmett, Inc. | | | 112,781 | |
| | 7,311 | | | Duke Realty Corp. | | | 292,222 | |
| | 2,920 | | | Equity Lifestyle Properties, Inc. | | | 185,011 | |
| | 2,018 | | | Extra Space Storage, Inc. | | | 233,805 | |
| | 5,209 | | | Healthcare Realty Trust, Inc. | | | 154,186 | |
| | 7,032 | | | Invitation Homes, Inc. | | | 208,850 | |
| | 2,919 | | | Kilroy Realty Corp. | | | 167,551 | |
| | 979 | | | Mack-Cali Realty Corp. | | | 12,198 | |
| | 9,086 | | | Medical Properties Trust, Inc. | | | 197,984 | |
| | 2,952 | | | National Retail Properties, Inc. | | | 120,796 | |
| | 3,803 | | | Sabra Health Care REIT, Inc. | | | 66,058 | |
| | 991 | | | Sun Communities, Inc. | | | 150,582 | |
| | 5,382 | | | UDR, Inc. | | | 206,830 | |
| | 3,362 | | | Ventas, Inc. | | | 164,872 | |
| | 1,790 | | | WP Carey, Inc. | | | 126,338 | |
| | | | | | | | |
| | | | | | | 3,440,074 | |
| | | | | | | | |
| Food & Staples Retailing (1.6%): | | | |
| | 522 | | | Casey’s General Stores, Inc. | | | 93,240 | |
| | 2,804 | | | Costco Wholesale Corp. | | | 1,056,491 | |
| | 357 | | | US Foods Holding Corp.* | | | 11,892 | |
| | 8,278 | | | Walmart, Inc. | | | 1,193,273 | |
| | | | | | | | |
| | | | | | | 2,354,896 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+, continued | | | |
| Food Products (0.8%): | | | |
| | 1,909 | | | Bunge, Ltd. | | $ | 125,192 | |
| | 1,936 | | | Lamb Weston Holdings, Inc. | | | 152,441 | |
| | 14,084 | | | Mondelez International, Inc., Class A | | | 823,491 | |
| | 890 | | | Post Holdings, Inc.* | | | 89,899 | |
| | | | | | | | |
| | | | | | | 1,191,023 | |
| | | | | | | | |
| Gas Utilities (0.1%): | | | |
| | 1,421 | | | National Fuel Gas Co. | | | 58,446 | |
| | 2,933 | | | UGI Corp. | | | 102,537 | |
| | | | | | | | |
| | | | | | | 160,983 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.5%): | | | |
| | 10,464 | | | Abbott Laboratories | | | 1,145,703 | |
| | 4,717 | | | Baxter International, Inc. | | | 378,492 | |
| | 12,853 | | | Boston Scientific Corp.* | | | 462,065 | |
| | 5,321 | | | Edwards Lifesciences Corp.* | | | 485,435 | |
| | 401 | | | Insulet Corp.* | | | 102,508 | |
| | 917 | | | Intuitive Surgical, Inc.* | | | 750,198 | |
| | 8,405 | | | Medtronic plc | | | 984,562 | |
| | 1,092 | | | Steris plc | | | 206,978 | |
| | 590 | | | Teleflex, Inc. | | | 242,826 | |
| | 971 | | | West Pharmaceutical Services, Inc. | | | 275,094 | |
| | | | | | | | |
| | | | | | | 5,033,861 | |
| | | | | | | | |
| Health Care Providers & Services (2.5%): | | | |
| | 1,689 | | | Anthem, Inc. | | | 542,321 | |
| | 9,097 | | | CVS Health Corp. | | | 621,325 | |
| | 2,439 | | | HCA Healthcare, Inc. | | | 401,118 | |
| | 339 | | | Molina Healthcare, Inc.* | | | 72,099 | |
| | 5,302 | | | UnitedHealth Group, Inc. | | | 1,859,305 | |
| | 1,294 | | | Universal Health Services, Inc., Class B | | | 177,925 | |
| | | | | | | | |
| | | | | | | 3,674,093 | |
| | | | | | | | |
| Health Care Technology (0.1%): | | | |
| | 696 | | | Veeva Systems, Inc., Class A* | | | 189,486 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.4%): | | | |
| | 386 | | | Domino’s Pizza, Inc. | | | 148,016 | |
| | 3,134 | | | Hilton Grand Vacations, Inc.* | | | 98,251 | |
| | 3,409 | | | Hilton Worldwide Holdings, Inc. | | | 379,285 | |
| | 4,604 | | | McDonald’s Corp. | | | 987,927 | |
| | 1,415 | | | Melco Resorts & Entertainment, Ltd., ADR | | | 26,248 | |
| | 3,283 | | | Restaurant Brands International, Inc. | | | 200,767 | |
| | 248 | | | Vail Resorts, Inc. | | | 69,182 | |
| | 4,219 | | | Wendy’s Co. (The) | | | 92,480 | |
| | | | | | | | |
| | | | | | | 2,002,156 | |
| | | | | | | | |
| Household Durables (0.5%): | | | |
| | 4,716 | | | Lennar Corp., Class A | | | 359,500 | |
| | 4,173 | | | Newell Brands, Inc. | | | 88,593 | |
| | 42 | | | NVR, Inc.* | | | 171,354 | |
| | 911 | | | Toll Brothers, Inc. | | | 39,601 | |
| | | | | | | | |
| | | | | | | 659,048 | |
| | | | | | | | |
| Household Products (1.5%): | | | |
| | 15,567 | | | Procter & Gamble Co. (The) | | | 2,165,992 | |
| | | | | | | | |
| Industrial Conglomerates (1.3%): | | | |
| | 4,143 | | | 3M Co. | | | 724,155 | |
| | 5,394 | | | Honeywell International, Inc. | | | 1,147,304 | |
| | | | | | | | |
| | | | | | | 1,871,459 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+, continued | | | |
| Insurance (2.0%): | | | |
| | 12,113 | | | Aflac, Inc. | | $ | 538,665 | |
| | 52 | | | Alleghany Corp. | | | 31,392 | |
| | 3,544 | | | Allstate Corp. (The) | | | 389,592 | |
| | 1,225 | | | American Financial Group, Inc. | | | 107,335 | |
| | 2,084 | | | Aon plc, Class A | | | 440,287 | |
| | 4,357 | | | Arch Capital Group, Ltd.* | | | 157,157 | |
| | 3,786 | | | Arthur J. Gallagher & Co. | | | 468,366 | |
| | 3,218 | | | Brown & Brown, Inc. | | | 152,565 | |
| | 1,551 | | | Fidelity National Financial, Inc. | | | 60,629 | |
| | 2,790 | | | Lincoln National Corp. | | | 140,365 | |
| | 208 | | | Markel Corp.* | | | 214,926 | |
| | 595 | | | RenaissanceRe Holdings, Ltd. | | | 98,663 | |
| | 4,833 | | | Unum Group | | | 110,869 | |
| | | | | | | | |
| | | | | | | 2,910,811 | |
| | | | | | | | |
| Interactive Media & Services (5.7%): | | | |
| | 995 | | | Alphabet, Inc., Class A* | | | 1,743,877 | |
| | 1,852 | | | Alphabet, Inc., Class C* | | | 3,244,481 | |
| | 11,562 | | | Facebook, Inc., Class A* | | | 3,158,275 | |
| | 321 | | | Match Group, Inc.* | | | 48,532 | |
| | 307 | | | Zillow Group, Inc., Class C* | | | 39,849 | |
| | | | | | | | |
| | | | | | | 8,235,014 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (5.0%): | | | |
| | 2,017 | | | Amazon.com, Inc.* | | | 6,569,227 | |
| | 250 | | | Booking Holdings, Inc.* | | | 556,818 | |
| | 51 | | | MercadoLibre, Inc.* | | | 85,436 | |
| | | | | | | | |
| | | | | | | 7,211,481 | |
| | | | | | | | |
| IT Services (5.3%): | | | |
| | 3,056 | | | Automatic Data Processing, Inc. | | | 538,467 | |
| | 229 | | | Black Knight, Inc.* | | | 20,232 | |
| | 217 | | | Booz Allen Hamilton Holding Corp. | | | 18,918 | |
| | 285 | | | EPAM Systems, Inc.* | | | 102,130 | |
| | 4,091 | | | Fidelity National Information Services, Inc. | | | 578,713 | |
| | 1,784 | | | Leidos Holdings, Inc. | | | 187,534 | |
| | 4,707 | | | MasterCard, Inc., Class A | | | 1,680,117 | |
| | 4,155 | | | Paychex, Inc. | | | 387,163 | |
| | 6,095 | | | PayPal Holdings, Inc.* | | | 1,427,449 | |
| | 93 | | | Shopify, Inc., Class A* | | | 105,271 | |
| | 317 | | | Square, Inc., Class A* | | | 68,992 | |
| | 177 | | | Twilio, Inc., Class A* | | | 59,915 | |
| | 1,705 | | | VeriSign, Inc.* | | | 368,962 | |
| | 9,497 | | | Visa, Inc., Class A | | | 2,077,278 | |
| | | | | | | | |
| | | | | | | 7,621,141 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 30 | | | Polaris, Inc. | | | 2,858 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.1%): | | | |
| | 1,025 | | | Illumina, Inc.* | | | 379,250 | |
| | 1,190 | | | PRA Health Sciences, Inc.* | | | 149,274 | |
| | 2,370 | | | Thermo Fisher Scientific, Inc. | | | 1,103,898 | |
| | | | | | | | |
| | | | | | | 1,632,422 | |
| | | | | | | | |
| Machinery (1.8%): | | | |
| | 3,706 | | | Caterpillar, Inc. | | | 674,565 | |
| | 1,816 | | | Cummins, Inc. | | | 412,414 | |
| | 2,476 | | | Deere & Co. | | | 666,168 | |
| | 1,628 | | | Parker Hannifin Corp. | | | 443,483 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+, continued | | | |
| Machinery, continued | | | |
| | 2,461 | | | Pentair plc | | $ | 130,654 | |
| | 904 | | | Snap-On, Inc. | | | 154,711 | |
| | 1,256 | | | Timken Co. | | | 97,164 | |
| | 292 | | | Woodward, Inc. | | | 35,487 | |
| | | | | | | | |
| | | | | | | 2,614,646 | |
| | | | | | | | |
| Media (1.2%): | | | |
| | 24,863 | | | Comcast Corp., Class A | | | 1,302,822 | |
| | 681 | | | Liberty Broadband Corp., Class C* | | | 107,850 | |
| | 4,598 | | | News Corp., Class B | | | 81,706 | |
| | 1,962 | | | Omnicom Group, Inc. | | | 122,370 | |
| | 20,324 | | | Sirius XM Holdings, Inc. | | | 129,464 | |
| | | | | | | | |
| | | | | | | 1,744,212 | |
| | | | | | | | |
| Metals & Mining (0.3%): | | | |
| | 2,376 | | | Southern Copper Corp. | | | 154,726 | |
| | 3,497 | | | Steel Dynamics, Inc. | | | 128,934 | |
| | 1,665 | | | Worthington Industries, Inc. | | | 85,481 | |
| | | | | | | | |
| | | | | | | 369,141 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 2,648 | | | Annaly Capital Management, Inc. | | | 22,376 | |
| | | | | | | | |
| Multiline Retail (0.5%): | | | |
| | 850 | | | Nordstrom, Inc. | | | 26,529 | |
| | 3,680 | | | Target Corp. | | | 649,630 | |
| | | | | | | | |
| | | | | | | 676,159 | |
| | | | | | | | |
| Multi-Utilities (1.2%): | | | |
| | 5,290 | | | Ameren Corp. | | | 412,937 | |
| | 6,141 | | | CenterPoint Energy, Inc. | | | 132,891 | |
| | 5,076 | | | Consolidated Edison, Inc. | | | 366,843 | |
| | 6,779 | | | Public Service Enterprise Group, Inc. | | | 395,216 | |
| | 4,658 | | | WEC Energy Group, Inc. | | | 428,676 | |
| | | | | | | | |
| | | | | | | 1,736,563 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.2%): | | | |
| | 1,266 | | | Cheniere Energy, Inc.* | | | 75,998 | |
| | 11,092 | | | Chevron Corp. | | | 936,719 | |
| | 8,310 | | | ConocoPhillips | | | 332,317 | |
| | 23,756 | | | Exxon Mobil Corp. | | | 979,223 | |
| | 1,827 | | | HollyFrontier Corp. | | | 47,228 | |
| | 4,021 | | | Marathon Petroleum Corp. | | | 166,309 | |
| | 3,251 | | | ONEOK, Inc. | | | 124,773 | |
| | 4,030 | | | Phillips 66 | | | 281,858 | |
| | 3,156 | | | Valero Energy Corp. | | | 178,535 | |
| | | | | | | | |
| | | | | | | 3,122,960 | |
| | | | | | | | |
| Personal Products (0.0%†): | | | |
| | 555 | | | Herbalife Nutrition, Ltd.* | | | 26,668 | |
| | | | | | | | |
| Pharmaceuticals (4.2%): | | | |
| | 13,307 | | | Bristol-Myers Squibb Co. | | | 825,433 | |
| | 4,471 | | | Eli Lilly & Co. | | | 754,884 | |
| | 33 | | | Jazz Pharmaceuticals plc* | | | 5,447 | |
| | 13,165 | | | Johnson & Johnson | | | 2,071,907 | |
| | 14,773 | | | Merck & Co., Inc. | | | 1,208,431 | |
| | 28,351 | | | Pfizer, Inc. | | | 1,043,600 | |
| | 9,294 | | | Viatris, Inc.* | | | 174,170 | |
| | | | | | | | |
| | | | | | | 6,083,872 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+, continued | | | |
| Professional Services (0.3%): | | | |
| | 198 | | | CoStar Group, Inc.* | | $ | 183,007 | |
| | 983 | | | ManpowerGroup, Inc. | | | 88,647 | |
| | 2,063 | | | TransUnion | | | 204,691 | |
| | | | | | | | |
| | | | | | | 476,345 | |
| | | | | | | | |
| Road & Rail (1.0%): | | | |
| | 466 | | | Canadian Pacific Railway, Ltd. | | | 161,558 | |
| | 7,907 | | | CSX Corp. | | | 717,559 | |
| | 1,447 | | | J.B. Hunt Transport Services, Inc. | | | 197,733 | |
| | 1,481 | | | Lyft, Inc., Class A* | | | 72,762 | |
| | 1,270 | | | Old Dominion Freight Line, Inc. | | | 247,879 | |
| | 1,047 | | | Uber Technologies, Inc.* | | | 53,397 | |
| | | | | | | | |
| | | | | | | 1,450,888 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (5.4%): | | | |
| | 6,583 | | | Advanced Micro Devices, Inc.* | | | 603,727 | |
| | 3,443 | | | Analog Devices, Inc. | | | 508,634 | |
| | 2,321 | | | Broadcom, Inc. | | | 1,016,250 | |
| | 21,571 | | | Intel Corp. | | | 1,074,667 | |
| | 1,672 | | | Marvell Technology Group, Ltd. | | | 79,487 | |
| | 7,331 | | | Micron Technology, Inc.* | | | 551,145 | |
| | 3,123 | | | NVIDIA Corp. | | | 1,630,831 | |
| | 6,215 | | | Qualcomm, Inc. | | | 946,793 | |
| | 583 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 63,570 | |
| | 2,113 | | | Teradyne, Inc. | | | 253,328 | |
| | 6,503 | | | Texas Instruments, Inc. | | | 1,067,337 | |
| | | | | | | | |
| | | | | | | 7,795,769 | |
| | | | | | | | |
| Software (9.4%): | | | |
| | 2,836 | | | Adobe, Inc.* | | | 1,418,340 | |
| | 3,804 | | | Cadence Design Systems, Inc.* | | | 518,980 | |
| | 1,595 | | | Fortinet, Inc.* | | | 236,905 | |
| | 36,657 | | | Microsoft Corp. | | | 8,153,249 | |
| | 2,319 | | | Nuance Communications, Inc.* | | | 102,245 | |
| | 12,235 | | | Oracle Corp. | | | 791,482 | |
| | 480 | | | Palo Alto Networks, Inc.* | | | 170,587 | |
| | 418 | | | Paycom Software, Inc.* | | | 189,041 | |
| | 849 | | | PTC, Inc.* | | | 101,549 | |
| | 4,637 | | | salesforce.com, Inc.* | | | 1,031,872 | |
| | 1,152 | | | ServiceNow, Inc.* | | | 634,095 | |
| | 466 | | | SS&C Technologies Holdings, Inc. | | | 33,902 | |
| | 453 | | | Workday, Inc., Class A* | | | 108,543 | |
| | 48 | | | Zoom Video Communications, Inc., Class A* | | | 16,191 | |
| | | | | | | | |
| | | | | | | 13,506,981 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks+, continued | | | |
| Specialty Retail (2.3%): | | | |
| | 2,295 | | | American Eagle Outfitters, Inc. | | $ | 46,061 | |
| | 354 | | | Burlington Stores, Inc.* | | | 92,589 | |
| | 785 | | | Foot Locker, Inc. | | | 31,745 | |
| | 6,132 | | | Home Depot, Inc. (The) | | | 1,628,782 | |
| | 4,922 | | | Lowe’s Cos., Inc. | | | 790,030 | |
| | 1,012 | | | Tiffany & Co. | | | 133,027 | |
| | 8,679 | | | TJX Cos., Inc. (The) | | | 592,689 | |
| | | | | | | | |
| | | | | | | 3,314,923 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (7.1%): | | | |
| | 75,695 | | | Apple, Inc. | | | 10,043,969 | |
| | 1,907 | | | Dell Technologies, Inc., Class C* | | | 139,764 | |
| | | | | | | | |
| | | | | | | 10,183,733 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.8%): | | | |
| | 333 | | | Lululemon Athletica, Inc.* | | | 115,894 | |
| | 7,228 | | | Nike, Inc., Class B | | | 1,022,545 | |
| | | | | | | | |
| | | | | | | 1,138,439 | |
| | | | | | | | |
| Tobacco (1.0%): | | | |
| | 13,916 | | | Altria Group, Inc. | | | 570,556 | |
| | 10,611 | | | Philip Morris International, Inc. | | | 878,485 | |
| | | | | | | | |
| | | | | | | 1,449,041 | |
| | | | | | | | |
| Trading Companies & Distributors (0.0%†): | | | |
| | 601 | | | GATX Corp. | | | 49,991 | |
| | | | | | | | |
| | Total Common Stocks (Cost $67,589,293) | | | 143,918,728 | |
| | | | | |
| Purchased Options (0.6%)^: | | | |
| | Total Purchased Options (Cost $1,611,972) | | | 860,600 | |
| | | | | |
| Unaffiliated Investment Companies (3.7%): | | | |
| Money Markets (3.7%): | | | |
| | 5,404,443 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(a) | | | 5,404,443 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $5,404,443) | | | 5,404,443 | |
| | | | | |
| | Total Investment Securities (Cost $74,605,708) — 104.0%(b) | | | 150,183,771 | |
| | Net other assets (liabilities) — (4.0)% | | | (5,800,511 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 144,383,260 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
| * | Non-income producing security. |
| + | All or a portion of each common stock has been pledged as collateral for outstanding call options written. |
| † | Represents less than 0.05%. |
| ^ | See Options table below for more details. |
| (a) | The rate represents the effective yield at December 31, 2020. |
| (b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
7
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2020
At December 31, 2020, the Fund’s exchange traded options purchased were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Put/
Call | | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Fair
Value | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3175.00 USD | | | | 2/19/21 | | | | 58 | | | $ | 184,150 | | | $ | 82,360 | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3200.00 USD | | | | 2/19/21 | | | | 39 | | | | 124,800 | | | | 60,060 | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3250.00 USD | | | | 2/19/21 | | | | 39 | | | | 126,750 | | | | 70,395 | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3350.00 USD | | | | 2/19/21 | | | | 39 | | | | 130,650 | | | | 98,280 | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3250.00 USD | | | | 3/19/21 | | | | 39 | | | | 126,750 | | | | 140,205 | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3300.00 USD | | | | 3/19/21 | | | | 58 | | | | 191,400 | | | | 238,090 | |
| | | | | | |
S&P 500 Index | | | Put | | | | 3325.00 USD | | | | 3/19/21 | | | | 39 | | | | 129,675 | | | | 171,210 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total (Cost $1,611,972) | | | | | | | | | | | | | | | | | | | $ | 860,600 | |
| | | | | | | | | | | | | | | | | | | | | |
At December 31, 2020, the Fund’s exchange traded options written were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Put/
Call | | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Fair Value | |
| | | | | | |
S&P 500 Index | | | Call | | | | 3600.00 USD | | | | 1/15/21 | | | | 42 | | | $ | 151,200 | | | $ | (722,190 | ) |
S&P 500 Index | | | Call | | | | 3650.00 USD | | | | 1/15/21 | | | | 42 | | | | 153,300 | | | | (539,490 | ) |
S&P 500 Index | | | Call | | | | 3700.00 USD | | | | 1/15/21 | | | | 43 | | | | 159,100 | | | | (376,680 | ) |
S&P 500 Index | | | Call | | | | 3750.00 USD | | | | 1/15/21 | | | | 42 | | | | 157,500 | | | | (221,760 | ) |
S&P 500 Index | | | Call | | | | 3750.00 USD | | | | 1/29/21 | | | | 42 | | | | 157,500 | | | | (319,830 | ) |
S&P 500 Index | | | Call | | | | 3600.00 USD | | | | 2/19/21 | | | | 42 | | | | 151,200 | | | | (879,900 | ) |
S&P 500 Index | | | Call | | | | 3625.00 USD | | | | 2/19/21 | | | | 42 | | | | 152,250 | | | | (796,530 | ) |
S&P 500 Index | | | Call | | | | 3725.00 USD | | | | 2/19/21 | | | | 42 | | | | 156,450 | | | | (491,400 | ) |
S&P 500 Index | | | Call | | | | 3800.00 USD | | | | 3/19/21 | | | | 42 | | | | 159,600 | | | | (422,310 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total (Premiums $3,730,041) | | | | | | | | | | | | | | | | | | | $ | (4,770,090 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| (a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
Balances Reported in the Consolidated Statement of Assets and Liabilities for Options Written
| | | | |
| | | Value | |
| |
Options Written | | $ | (4,770,090 | ) |
See accompanying notes to the financial statements.
8
AZL Gateway Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 74,605,708 | |
| | | | | |
Investment securities, at value | | | $ | 150,183,771 | |
Interest and dividends receivable | | | | 108,509 | |
Receivable for investments sold | | | | 405,197 | |
Reclaims receivable | | | | 1,179 | |
Prepaid expenses | | | | 774 | |
| | | | | |
Total Assets | | | | 150,699,430 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 1,043,615 | |
Payable for capital shares redeemed | | | | 354,082 | |
Written Options (Premiums received $3,730,041) | | | | 4,770,090 | |
Manager fees payable | | | | 97,625 | |
Administration fees payable | | | | 10,996 | |
Distribution fees payable | | | | 30,508 | |
Custodian fees payable | | | | 1,758 | |
Administrative and compliance services fees payable | | | | 299 | |
Transfer agent fees payable | | | | 686 | |
Trustee fees payable | | | | 1,084 | |
Other accrued liabilities | | | | 5,427 | |
| | | | | |
Total Liabilities | | | | 6,316,170 | |
| | | | | |
Net Assets | | | $ | 144,383,260 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 89,191,408 | |
Total distributable earnings | | | | 55,191,852 | |
| | | | | |
Net Assets | | | $ | 144,383,260 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 9,880,476 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.61 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 2,508,401 | |
Foreign withholding tax | | | | (2,172 | ) |
| | | | | |
Total Investment Income | | | | 2,506,229 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 1,116,223 | |
Administration fees | | | | 63,649 | |
Distribution fees | | | | 348,820 | |
Custodian fees | | | | 8,588 | |
Administrative and compliance services fees | | | | 2,260 | |
Transfer agent fees | | | | 5,417 | |
Trustee fees | | | | 7,653 | |
Professional fees | | | | 6,331 | |
Shareholder reports | | | | 5,725 | |
Other expenses | | | | 3,216 | |
| | | | | |
Total expenses | | | | 1,567,882 | |
| | | | | |
Net Investment Income/(Loss) | | | | 938,347 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 19,521,844 | |
Net realized gains/(losses) on written options contracts | | | | (14,072,232 | ) |
Change in net unrealized appreciation/depreciation on securities | | | | 2,061,788 | |
Change in net unrealized appreciation/depreciation on written options contracts | | | | 420,464 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 7,931,864 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 8,870,211 | |
| | | | | |
See accompanying notes to the financial statements.
9
AZL Gateway Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 938,347 | | | | $ | 1,536,335 | |
Net realized gains/(losses) on investments | | | | 5,449,612 | | | | | (16,196,484 | ) |
Change in unrealized appreciation/depreciation on investments | | | | 2,482,252 | | | | | 30,173,513 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 8,870,211 | | | | | 15,513,364 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (1,474,529 | ) | | | | (1,477,781 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (1,474,529 | ) | | | | (1,477,781 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 18,152,814 | | | | | 4,817,499 | |
Proceeds from dividends reinvested | | | | 1,474,529 | | | | | 1,477,781 | |
Value of shares redeemed | | | | (33,600,618 | ) | | | | (17,161,872 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (13,973,275 | ) | | | | (10,866,592 | ) |
| | | | | | | | | | |
Change in net assets | | | | (6,577,593 | ) | | | | 3,168,991 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 150,960,853 | | | | | 147,791,862 | |
| | | | | | | | | | |
End of period | | | $ | 144,383,260 | | | | $ | 150,960,853 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 1,356,062 | | | | | 366,473 | |
Dividends reinvested | | | | 106,005 | | | | | 111,784 | |
Shares redeemed | | | | (2,554,063 | ) | | | | (1,289,868 | ) |
| | | | | | | | | | |
Change in shares | | | | (1,091,996 | ) | | | | (811,611 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
10
AZL Gateway Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.76 | | | | $ | 12.54 | | | | $ | 13.32 | | | | $ | 12.29 | | | | $ | 11.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.09 | (a) | | | | 0.13 | (a) | | | | 0.18 | | | | | 0.12 | | | | | 0.17 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.91 | | | | | 1.22 | | | | | (0.79 | ) | | | | 1.04 | | | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.00 | | | | | 1.35 | | | | | (0.61 | ) | | | | 1.16 | | | | | 0.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.15 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | (0.13 | ) | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.15 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | (0.13 | ) | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.61 | | | | $ | 13.76 | | | | $ | 12.54 | | | | $ | 13.32 | | | | $ | 12.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 7.30 | % | | | | 10.82 | % | | | | (4.65 | )% | | | | 9.46 | % | | | | 4.84 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 144,383 | | | | $ | 150,961 | | | | $ | 147,792 | | | | $ | 213,295 | | | | $ | 178,951 | |
Net Investment Income/(Loss) | | | | 0.67 | % | | | | 1.01 | % | | | | 0.93 | % | | | | 1.06 | % | | | | 1.19 | % |
Expenses Before Reductions(c) | | | | 1.12 | % | | | | 1.11 | % | | | | 1.10 | % | | | | 1.10 | % | | | | 1.10 | % |
Expenses Net of Reductions | | | | 1.12 | % | | | | 1.11 | % | | | | 1.10 | % | | | | 1.10 | % | | | | 1.10 | % |
Portfolio Turnover Rate | | | | 30 | % | | | | 19 | % | | | | 9 | % | | | | 24 | % | | | | 20 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
11
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Gateway Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
12
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2020
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the year ended December 31, 2020, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. For the year ended December 31, 2020, the monthly average notional amount for written options contracts was $1.4 million. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | | |
Equity Risk | | | | | | | | | | | | |
| | | | |
| Options Contracts | | | | $ | — | | | Written Options Contracts | | $ | 4,770,090 | |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses) on Derivatives Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
| | |
Equity Risk | | | | | | | | |
| | | |
| Options Contracts | | Net realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | | $ | (14,072,232 | ) | | $ | 420,464 | |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Gateway Investment Advisers, LLC (“Gateway”), Gateway provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
13
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2020
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL Gateway Fund | | | | 0.80 | % | | | | 1.25 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $766 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
14
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2020
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 143,918,728 | | | | $ | — | | | | $ | — | | | | $ | 143,918,728 | |
Purchased Options | | | | 860,600 | | | | | — | | | | | — | | | | | 860,600 | |
Unaffiliated Investment Companies | | | | 5,404,443 | | | | | — | | | | | — | | | | | 5,404,443 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 150,183,771 | | | | | — | | | | | — | | | | | 150,183,771 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Written Options | | | | (4,770,090 | ) | | | | — | | | | | — | | | | | (4,770,090 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 145,413,681 | | | | $ | — | | | | $ | — | | | | $ | 145,413,681 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as written options. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Gateway Fund | | | $ | 41,143,226 | | | | $ | 70,078,028 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
15
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2020
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $71,514,017. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 76,931,291 | |
Unrealized (depreciation) | | | (3,031,627 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 73,899,664 | |
| | | | |
As of the end of its tax year ended December 31, 2020, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2020, the Fund utilized $5,362,319 in CLCFs to offset capital gains.
CLCF’s not subject to expiration:
| | | | | | | | | | | | | | | |
| | | Short-Term Amount | | Long-Term Amount | | Total Amount |
| | | |
AZL Gateway Fund | | | $ | 21,428,287 | | | | $ | — | | | | $ | 21,428,287 | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Gateway Fund | | | $ | 1,474,529 | | | | $ | — | | | | $ | 1,474,529 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Gateway Fund | | | $ | 1,477,781 | | | | $ | — | | | | $ | 1,477,781 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized Appreciation/
Depreciation(a) | | Total
Accumulated Earnings/
(Deficit) |
| | | | | |
AZL Gateway Fund | | | $ | 929,051 | | | | $ | — | | | | $ | (21,428,287 | ) | | | $ | 75,691,088 | | | | $ | 55,191,852 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of options contracts and other miscellaneous differences. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
16
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Gateway Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Gateway Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
17
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
18
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
19
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
20
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
21
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
22
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
23
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
24
Allianz Funds
| | |
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Government Money Market Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Government Money Market Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Government Money Market Fund and BlackRock Advisors, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Government Money Market Fund (the “Fund”) returned 0.21%. That compared to a 0.36% total return for its benchmark, the Three-Month U.S. Treasury Bill Index1.
The 12-month period began just after a four-month period of relative stability in bond markets. The Federal Open Market Committee’s (FOMC) target rate for the federal funds rate stood at 1.50% to 1.75% at the start of 2020, after a series of rate cuts in the summer and fall of 2019. However, the emerging coronavirus (COVID-19) crisis and resulting negative impacts on the global and American economies led the FOMC to take unprecedented action.
Starting on March 3rd, 2020, the FOMC cut the fed funds target rate by 0.5 percentage points, and then followed up with another cut, this time one percentage point, just two weeks later. In addition to bringing the target rate down to between 0.0% and 0.25%, the FOMC initiated additional efforts to support market functioning, including purchasing Treasuries and agency mortgage-backed securities. At the same time, President Trump signed into law a $2.2 trillion stimulus package in support of the American economy. In June, the Federal Reserve Board (the Fed) Chairman Powell stated that the FOMC had no intention of raising rates for the foreseeable future and would likely maintain an accommodative approach through at least 2023.
The speed at which the FOMC lowered rates in March surprised markets. The immediate response from investors led most of the Treasury yield curve below the one-year mark into negative territory. The Fund began the year
focused on extending duration and minimizing reinvestment needs. This strategy benefited relative results through the first quarter following the FOMC’s rapid moves to lower rates and the resulting negative yields on the short end of the yield curve.*
The Fund’s relative results also benefited from a shift in strategy as the short end of the curve went negative. A focus on shorter duration securities, including favoring repurchase agreements and short-dated U.S. Treasury and government agency securities, added to results during this time. At the end of the first quarter, record U.S. Treasury Cash Management bill issuance provided a lift to yields across the curve. The Fund’s performance then benefited as managers switched their focus again, this time targeting longer durations. The higher yields available for securities with longer-term maturities helped the Fund’s performance.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® Government Money Market Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek current income consistent with stability of principal. The Fund seeks to achieve its objective by investing at least 99.5% of its total assets in cash, government securities (including U.S. Treasury bills, notes, and other obligations guaranteed as to principal and interest by the U.S. Government, its agencies, or instrumentalities), or repurchase agreements that are collateralized fully by cash or government securities.
Investment Concerns
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. Past performance is not predictive of future performance as yields on money market funds fluctuate daily.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
| | | | | | | | | | | | | | | | |
| Average Annual Total Returns as of December 31, 2020 | |
| | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Years | |
AZL® Government Money Market Fund | | | 0.21 | % | | | 0.87 | % | | | 0.53 | % | | | 0.27 | % |
Three-Month U.S. Treasury Bill Index | | | 0.36 | % | | | 1.45 | % | | | 1.12 | % | | | 0.59 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® Government Money Market Fund | | | 0.64 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.34% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.87% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
Yield as of December 31, 2020
| | | | | | | | | | | | |
| | | 7 Day
Average | | | 7 Day
Effective | | | 30 Day
Average | |
AZL® Government Money Market Fund | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
The Manager has voluntarily agreed to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily net investment income for the Fund of 0.00%. The Distributor is also permitted to waive its Rule 12b-1 fees during such periods. Such voluntary waivers may be discontinued or modified at any time without notice. There is no guarantee the Fund will be able to avoid a negative yield. Amounts waived, reimbursed or paid by the Manager and/ or the Distributor are subject to repayment to the Manager and/or the Distributor, subject to certain limitations as further described in Note 3 of the Notes to Financial Statements.
The 7-day yield quotation is as of December 31, 2020 and more closely reflects the current earnings of the Fund than the total return quotation.
The Fund’s performance is measured against the Three-Month U.S. Treasury Bill Index, which is an unmanaged index and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Government Money Market Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Government Money Market Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid During Period 7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Government Money Market Fund | | | $ | 1,000.00 | | | | $ | 1,000.00 | | | | $ | 0.90 | | | | | 0.18 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending Account Value
12/31/20 | | Expenses Paid During Period 7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Government Money Market Fund | | | $ | 1,000.00 | | | | $ | 1,024.23 | | | | $ | 0.92 | | | | | 0.18 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
U.S. Treasury Obligations | | | | 50.0 | % |
| |
Repurchase Agreements | | | | 28.3 | |
| |
U.S. Government Agency Mortgages | | | | 26.3 | |
| | | | | |
| |
Total Investment Securities | | | | 104.6 | |
| |
Net other assets (liabilities) | | | | (4.6 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Government Money Market Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages (26.3%): | |
| Federal Farm Credit Bank (11.3%): | |
| | | | | | | | |
| $ | 990,000 | | | 0.32%(USBMMY3M+23bps), 1/1/21 | | $ | 990,000 | |
| | 4,000,000 | | | 0.38%, 1/1/21 | | | 4,000,000 | |
| | 1,785,000 | | | 0.36%(USBMMY3M+26bps), 1/4/21 | | | 1,784,919 | |
| | 2,250,000 | | | 0.19%(SOFR+8bps), 1/4/21 | | | 2,250,000 | |
| | 2,230,000 | | | 0.18%(SOFR+10bps), 1/4/21 | | | 2,230,000 | |
| | 860,000 | | | 0.17%(SOFR+8bps), 1/4/21 | | | 860,000 | |
| | 4,065,000 | | | 0.28%(FEDL01+18bps), 1/4/21 | | | 4,064,377 | |
| | 685,000 | | | 0.22%(USBMMY3M+12bps), 1/5/21 | | | 684,945 | |
| | 1,280,000 | | | 0.34%(USBMMY3M+15bps), 1/5/21 | | | 1,278,793 | |
| | 2,000,000 | | | 0.20%(SOFR+11bps), 1/15/21 | | | 2,000,000 | |
| | 1,270,000 | | | 0.16%(US0001M ), 3/17/21 | | | 1,269,983 | |
| | 2,565,000 | | | 0.34%, 1/19/21(a) | | | 2,564,564 | |
| | 570,000 | | | 0.89%, 1/20/21(a) | | | 569,735 | |
| | 1,085,000 | | | 0.16%(US0001M+1bps), 1/28/21 | | | 1,084,913 | |
| | 2,255,000 | | | 0.43%, 2/12/21(a) | | | 2,253,869 | |
| | 4,915,000 | | | 0.10%, 2/17/21(a) | | | 4,914,358 | |
| | 2,000,000 | | | 0.17%, 3/11/21(a) | | | 1,999,348 | |
| | 2,125,000 | | | 0.27%, 3/17/21(a) | | | 2,123,805 | |
| | 4,915,000 | | | 0.11%, 4/26/21(a) | | | 4,913,273 | |
| | 3,015,000 | | | 0.19%, 6/1/21(a) | | | 3,012,597 | |
| | 2,355,000 | | | 0.11%, 6/30/21(a) | | | 2,353,705 | |
| | 5,030,000 | | | 0.15%, 7/1/21(a) | | | 5,026,207 | |
| | 1,500,000 | | | 0.31%(US0001M+16bps), 7/1/21 | | | 1,500,000 | |
| | 480,000 | | | 0.26%(US0001M+11bps), 7/9/21 | | | 480,000 | |
| | 370,000 | | | 0.28%(US0001M+13bps), 10/8/21 | | | 370,000 | |
| | 535,000 | | | 0.26%(US0001M+11bps), 11/12/21 | | | 535,000 | |
| | 880,000 | | | 0.28%(SOFR+19bps), 11/18/21 | | | 880,000 | |
| | 1,415,000 | | | 0.10%, 12/2/21(a) | | | 1,413,683 | |
| | 1,955,000 | | | 0.27%(SOFR+18bps), 1/14/22 | | | 1,955,000 | |
| | 3,000,000 | | | 0.16%(SOFR+5bps), 5/5/22 | | | 2,999,816 | |
| | 1,475,000 | | | 0.28%(SOFR+19bps), 7/14/22 | | | 1,475,000 | |
| | 1,845,000 | | | 0.18%(SOFR+9bps), 10/7/22 | | | 1,845,000 | |
| | 2,705,000 | | | 0.19%(SOFR+8bps), 11/3/22 | | | 2,705,000 | |
| | | | | | | | |
| | | | | | | 68,387,890 | |
| | | | | | | | |
| Federal Home Loan Bank (12.0%): | | | |
| | | | | | | | |
| | 515,000 | | | 0.16%, 1/4/21(a) | | | 514,993 | |
| | 1,040,000 | | | 0.20%(SOFR+11bps), 1/4/21 | | | 1,040,000 | |
| | 1,180,000 | | | 0.17%(SOFR+8bps), 1/4/21 | | | 1,180,000 | |
| | 4,020,000 | | | 0.15%(SOFR+4bps), 1/4/21 | | | 4,019,927 | |
| | 1,600,000 | | | 0.06%(US0003M-17bps), 1/8/21 | | | 1,600,000 | |
| | 4,490,000 | | | 0.10%, 1/15/21(a) | | | 4,489,819 | |
| | 3,390,000 | | | 0.10%, 1/20/21(a) | | | 3,389,821 | |
| | 670,000 | | | 0.14%(SOFR+5bps), 1/22/21 | | | 670,000 | |
| | 2,165,000 | | | 0.08%, 2/17/21(a) | | | 2,164,774 | |
| | 5,085,000 | | | 0.11%(US0001M-3bps), 2/24/21 | | | 5,085,021 | |
| | 1,915,000 | | | 0.20%(SOFR+12bps), 3/12/21 | | | 1,915,000 | |
| | 4,930,000 | | | 0.08%, 3/17/21(a) | | | 4,929,189 | |
| | 3,305,000 | | | 0.09%, 3/19/21(a) | | | 3,304,392 | |
| | 2,165,000 | | | 0.09%, 3/24/21(a) | | | 2,164,561 | |
| | 3,535,000 | | | 0.14%(US0001M-1bps), 4/5/21 | | | 3,535,000 | |
| | 2,090,000 | | | 0.26%(SOFR+17bps), 4/9/21 | | | 2,090,000 | |
| | 1,785,000 | | | 0.16%(US0001M-2bps), 4/27/21 | | | 1,784,836 | |
| | 2,940,000 | | | 0.20%, 4/29/21(a) | | | 2,938,073 | |
| | 1,310,000 | | | 0.12%(SOFR+1bps), 5/3/21 | | | 1,310,000 | |
| | 5,680,000 | | | 0.25%(SOFR+16bps), 5/7/21 | | | 5,680,000 | |
| | 3,865,000 | | | 0.17%, 5/13/21 | | | 3,864,966 | |
| | 975,000 | | | 0.10%, 5/19/21(a) | | | 974,630 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Bank, continued | |
| $ | 2,150,000 | | | 0.20%, 6/11/21(a) | | $ | 2,148,077 | |
| | 3,180,000 | | | 0.21%, 6/17/21 | | | 3,179,886 | |
| | 1,420,000 | | | 0.17%(SOFR+8bps), 7/8/21 | | | 1,420,000 | |
| | 945,000 | | | 0.17%(SOFR+8bps), 7/23/21 | | | 945,000 | |
| | 3,230,000 | | | 0.17%(SOFR+9bps), 9/10/21 | | | 3,230,000 | |
| | 2,585,000 | | | 0.21%(SOFR+12bps), 2/28/22 | | | 2,585,000 | |
| | 885,000 | | | 0.18%(SOFR+7bps), 4/28/22 | | | 885,000 | |
| | | | | | | | |
| | | | | | | 73,037,965 | |
| | | | | | | | |
| Federal Home Loan Mortgage Corporation (1.9%): | | | |
| | | | | | | | |
| | 3,070,000 | | | 0.41%(SOFR+32bps), 9/23/21 | | | 3,070,000 | |
| | 4,115,000 | | | 0.41%(SOFR+12bps), 6/4/21 | | | 4,111,466 | |
| | 815,000 | | | 0.14%, 8/12/21 | | | 819,912 | |
| | 2,275,000 | | | 0.27%(SOFR+18bps), 12/13/21 | | | 2,275,000 | |
| | 1,535,000 | | | 0.16%(SOFR+7bps), 11/10/22 | | | 1,535,000 | |
| | | | | | | | |
| | | | | | | 11,811,378 | |
| | | | | | | | |
| Federal National Mortgage Association (1.1%): | | | |
| | 1,110,000 | | | 0.14%, 10/7/21 | | | 1,120,459 | |
| | 2,685,000 | | | 0.44%(SOFR+35bps), 4/7/22 | | | 2,685,000 | |
| | 2,935,000 | | | 0.48%(SOFR+39bps), 4/15/22 | | | 2,935,000 | |
| | | | | | | | |
| | | | | | | 6,740,459 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $159,977,692) | | | 159,977,692 | |
| | | | | | | | |
| U.S. Treasury Obligations (50.0%): | |
| U.S. Treasury Notes (1.1%): | |
| | 760,000 | | | 2.00%, 1/15/21 | | | 760,474 | |
| | 370,000 | | | 0.31%(USBMMY3M+14bps), 4/30/21 | | | 369,898 | |
| | 4,000,000 | | | 0.32%(USBMMY3M+22bps), 7/31/21 | | | 4,000,000 | |
| | 1,410,000 | | | 0.34%(USBMMY3M+30bps), 10/31/21 | | | 1,410,695 | |
| | | | | | | | |
| | | | | | | 6,541,067 | |
| | | | | | | | |
| U.S. Treasury Bills (48.9%): | |
| | 28,275,000 | | | 0.08%, 1/5/21(a) | | | 28,274,760 | |
| | 38,000,000 | | | 0.02%, 1/7/21(a) | | | 37,999,164 | |
| | 21,000,000 | | | 0.09%, 1/12/21(a) | | | 20,999,423 | |
| | 6,439,000 | | | 0.07%, 1/21/21(a) | | | 6,438,750 | |
| | 4,275,000 | | | 0.06%, 1/28/21(a) | | | 4,274,679 | |
| | 12,710,000 | | | 0.11%, 2/2/21(a) | | | 12,708,757 | |
| | 7,603,000 | | | 0.10%, 2/9/21(a) | | | 7,602,176 | |
| | 10,000,000 | | | 0.12%, 2/16/21(a) | | | 9,998,467 | |
| | 16,240,000 | | | 0.10%, 2/23/21(a) | | | 16,237,506 | |
| | 5,000,000 | | | 0.18%, 2/25/21(a) | | | 4,998,625 | |
| | 28,000,000 | | | 0.09%, 3/2/21(a) | | | 27,996,298 | |
| | 20,000,000 | | | 0.10%, 3/4/21(a) | | | 19,996,556 | |
| | 16,000,000 | | | 0.09%, 3/9/21(a) | | | 15,997,320 | |
| | 20,000,000 | | | 0.11%, 4/29/21(a) | | | 19,992,789 | |
| | 10,000,000 | | | 0.11%, 5/6/21(a) | | | 9,996,181 | |
| | 2,019,200 | | | 0.09%, 5/11/21(a) | | | 2,018,544 | |
| | 11,335,000 | | | 0.10%, 5/20/21(a) | | | 11,329,816 | |
| | 5,952,000 | | | 0.09%, 6/24/21(a) | | | 5,949,411 | |
| | 4,037,800 | | | 0.14%, 11/4/21(a) | | | 4,033,151 | |
| | 15,544,000 | | | 0.12%, 12/2/21(a) | | | 15,527,531 | |
| | 15,000,000 | | | 0.11%, 12/30/21(a) | | | 14,983,363 | |
| | | | | | | | |
| | | | | | | 297,353,267 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $303,894,334) | | | 303,894,334 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Government Money Market Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Repurchase Agreements (28.3%): | |
| $ | 25,000,000 | | | Bank of Nova Scotia, 0.06%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $25,000,167, Collateralized by U.S. Treasury Obligations, 0.00% - 7.88%, 2/15/21 - 2/15/48, fair value of $25,500,170) | | $ | 25,000,000 | |
| | 18,000,000 | | | BNP Paribas, 0.08%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $18,000,160, Collateralized by U.S. Government Agency Obligations, 0.00% - 6.00%, 3/25/21 - 6/20/50, fair value of $18,369,668) | | | 18,000,000 | |
| | 25,000,000 | | | Citigroup Global Markets, 0.08%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $25,000,222, Collateralized by U.S. Government Agency Obligations, 4.00% - 5.50%, 5/20/49, fair value of $25,500,822) | | | 25,000,000 | |
| | 20,000,000 | | | Mitsubishu UFJ Securities USA, Inc., 0.05%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $20,000,111, Collateralized by U.S. Treasury Obligations, 0.00% - 4.38%, 1/12/21 - 5/15/40, fair value of $20,400,000) | | | 20,000,000 | |
| | 15,000,000 | | | Natixis S.A., 0.06%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $15,000,100, Collateralized by U.S. Treasury Obligations, 0.00% - 2.88%, 3/4/21 - 11/15/49, fair value of $15,300,008) | | | 15,000,000 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Repurchase Agreements, continued | |
| $ | 15,000,000 | | | Natixis S.A., 0.08%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $15,000,133, Collateralized by U.S. Government Agency Obligations, 0.00% - 5.38%, 3/4/21 - 6/20/50, fair value of $15,444,397) | | $ | 15,000,000 | |
| | 25,000,000 | | | Toronto Dominion Bank NY, 0.05%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $25,000,139, Collateralized by U.S. Treasury Notes, 1.38% - 2.00%, 1/31/22 - 10/31/22, fair value of $25,500,059) | | | 25,000,000 | |
| | 29,000,000 | | | Toronto Dominion Bank NY, 0.07%, 1/4/21, (Purchased on 12/31/20, proceeds at maturity $29,000,226, Collateralized by U.S. Government Agency Obligations, 3.50% - 4.00%, 5/20/46 - 3/20/49, fair value of $29,580,000) | | | 29,000,000 | |
| | | | | | | | |
| | Total Repurchase Agreements (Cost $172,000,000) | | | 172,000,000 | |
| | | | | | | | |
| | Total Investment Securities
(Cost $635,872,026) — 104.6%(b) | | | 635,872,026 | |
| | Net other assets (liabilities) — (4.6)% | | | (27,801,560 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 608,070,466 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
FEDL01—Effective Federal Fund Rate
LIBOR—London Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USBMMY3M—3 Month Treasury Bill Rate
| (a) | The rate represents the effective yield at December 31, 2020. |
| (b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
5
AZL Government Money Market Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 463,872,026 | |
| | | | | |
Investment securities, at value | | | $ | 463,872,026 | |
Repurchase agreements, at value/cost | | | | 172,000,000 | |
Cash | | | | 251,308 | |
Interest and dividends receivable | | | | 49,012 | |
Receivable from Manager | | | | 89,496 | |
Prepaid expenses | | | | 3,195 | |
| | | | | |
Total Assets | | | | 636,265,037 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 27,996,298 | |
Administration fees payable | | | | 34,730 | |
Distribution fees payable | | | | 121,879 | |
Custodian fees payable | | | | 3,875 | |
Administrative and compliance services fees payable | | | | 1,655 | |
Transfer agent fees payable | | | | 971 | |
Trustee fees payable | | | | 5,994 | |
Other accrued liabilities | | | | 29,169 | |
| | | | | |
Total Liabilities | | | | 28,194,571 | |
| | | | | |
Net Assets | | | $ | 608,070,466 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 608,065,553 | |
Total distributable earnings | | | | 4,913 | |
| | | | | |
Net Assets | | | $ | 608,070,466 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 608,065,675 | |
Net Asset Value (offering and redemption price per share) | | | $ | 1.00 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 2,707,190 | |
| | | | | |
Total Investment Income | | | | 2,707,190 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 1,786,868 | |
Administration fees | | | | 169,972 | |
Distribution fees | | | | 1,276,340 | |
Custodian fees | | | | 14,322 | |
Administrative and compliance services fees | | | | 7,853 | |
Transfer agent fees | | | | 5,775 | |
Trustee fees | | | | 28,672 | |
Professional fees | | | | 25,129 | |
Shareholder reports | | | | 24,505 | |
Other expenses | | | | 9,334 | |
| | | | | |
Total expenses before reductions | | | | 3,348,770 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (1,550,195 | ) |
| | | | | |
Net expenses | | | | 1,798,575 | |
| | | | | |
Net Investment Income/(Loss) | | | | 908,615 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 3,042 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 3,042 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 911,657 | |
| | | | | |
See accompanying notes to the financial statements.
6
AZL Government Money Market Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 908,615 | | | | $ | 6,138,006 | |
Net realized gains/(losses) on investments | | | | 3,042 | | | | | 1,873 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 911,657 | | | | | 6,139,879 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (908,616 | ) | | | | (6,138,916 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (908,616 | ) | | | | (6,138,916 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 808,011,798 | | | | | 514,742,474 | |
Proceeds from dividends reinvested | | | | 908,615 | | | | | 6,138,917 | |
Value of shares redeemed | | | | (682,376,967 | ) | | | | (492,533,087 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 126,543,446 | | | | | 28,348,304 | |
| | | | | | | | | | |
Change in net assets | | | | 126,546,487 | | | | | 28,349,267 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 481,523,979 | | | | | 453,174,712 | |
| | | | | | | | | | |
End of period | | | $ | 608,070,466 | | | | $ | 481,523,979 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 808,011,797 | | | | | 514,742,475 | |
Dividends reinvested | | | | 908,614 | | | | | 6,138,917 | |
Shares redeemed | | | | (682,376,967 | ) | | | | (492,533,087 | ) |
| | | | | | | | | | |
Change in shares | | | | 126,543,444 | | | | | 28,348,305 | |
| | | | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Government Money Market Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | — | (a)(b) | | | | 0.01 | (b) | | | | 0.01 | | | | | — | (a) | | | | — | (a) |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | — | (a) | | | | — | (a) | | | | — | (a) | | | | — | (a) | | | | — | (a) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | — | (a) | | | | 0.01 | | | | | 0.01 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | — | (a) | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (a) | | | | — | |
Net Realized Gains | | | | — | | | | | — | (a) | | | | — | | | | | — | (a) | | | | — | (a) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | — | (a) | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (a) | | | | — | (a) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(c) | | | | 0.21 | % | | | | 1.39 | % | | | | 1.01 | % | | | | 0.05 | % | | | | 0.01 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 608,070 | | | | $ | 481,524 | | | | $ | 453,175 | | | | $ | 490,632 | | | | $ | 663,004 | |
Net Investment Income/(Loss) | | | | 0.18 | % | | | | 1.37 | % | | | | 1.00 | % | | | | 0.04 | % | | | | — | |
Expenses Before Reductions(d) | | | | 0.66 | % | | | | 0.88 | % | | | | 0.87 | % | | | | 0.87 | % | | | | 0.65 | % |
Expenses Net of Reductions | | | | 0.35 | %(e) | | | | 0.87 | % | | | | 0.87 | % | | | | 0.87 | % | | | | 0.44 | %(e) |
| (a) | Represents less than $0.005. |
| (b) | Calculated using the average shares method. |
| (c) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (e) | The expense ratio for the period reflects the reduction of certain expenses to maintain a certain minimum yield. |
See accompanying notes to the financial statements.
8
AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Government Money Market Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Repurchase Agreements
The Fund may invest in repurchase agreements with financial institutions such as member banks of the Federal Reserve System or from registered broker/dealers that the adviser deems creditworthy under guidelines approved by the Board, subject to the seller’s agreement to repurchase such securities at a mutually agreed-upon date and price. The repurchase price generally equals the price paid by the Fund plus interest negotiated on the basis of current short-term rates. The seller under a repurchase agreement is required to maintain the value of collateral held pursuant to the agreement at not less than the repurchase price (including accrued interest). Securities subject to repurchase agreements are held by the Fund’s custodian, another qualified sub-custodian, or in the Federal Reserve book-entry system. Master Repurchase Agreements (“MRA”) permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset receivables under the MRA with collateral posted by the counterparty and create one net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts.
Distributions to Shareholders
Dividends from net investment income are declared daily and paid monthly from the Fund. The net realized gains, if any, are declared and paid at least annually by the Fund. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
9
AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2020
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Advisors, LLC (“BlackRock Advisors”), BlackRock Advisors provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL Government Money Market Fund | | | | 0.35 | % | | | | 0.87 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.34% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
The Manager has voluntarily agreed to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily yield for the Fund of 0.00%. The Distributor may waive its Rule 12b-1 fees. Such voluntary waivers may be discontinued or modified at any time without notice. There is no guarantee the Fund will avoid a negative yield. The amount waived, reimbursed, or paid by the Manager and/or the Distributor will be repaid to the Manager and/or the Distributor subject to the following limitations:
| 1. | The repayments will not cause the Fund’s net investment income to fall below 0.00%. |
| 2. | The repayments must be made no later than three years after the end of the fiscal year in which the waiver, reimbursement, or payment took place. |
| 3. | Any expense recovery paid by the Fund will not cause its expense ratio to exceed 0.87%. |
The ability of the Manager and/or Distributor to receive such payments could negatively affect the Fund’s future yield. Amounts waived under this agreement during the year ended December 31, 2020 are reflected on the Statement of Operations as “Expenses voluntarily waived/reimbursed by the Manager.”
At December 31, 2020, the reimbursements of voluntary minimum daily yield waivers subject to repayment by the Fund in subsequent years were as follows:
| | | | | | | | | | |
| | | Expires 12/31/2023 | | Total |
| | |
AZL Government Money Market Fund | | | $ | 1,499,146 | | | | $ | 1,499,146 | |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
10
AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2020
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $2,688 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
The Fund, which operates as a government money market fund, is eligible and has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act. This involves valuing an instrument at its cost initially and thereafter assuming a constant accretion or amortization to maturity of any discount or premium, respectively, regardless of the impact of fluctuating interest rates on the market value of the instrument. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price the Fund would receive if it sold the investment.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
U.S. Government Agency Mortgages | | | $ | — | | | | $ | 159,977,692 | | | | $ | — | | | | $ | 159,977,692 | |
U.S. Treasury Obligations | | | | — | | | | | 303,894,334 | | | | | — | | | | | 303,894,334 | |
Repurchase Agreements | | | | — | | | | | 172,000,000 | | | | | — | | | | | 172,000,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | — | | | | $ | 635,872,026 | | | | $ | — | | | | $ | 635,872,026 | |
| | | | | | | | | | | | | | | | | | | | |
5. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Repurchase Agreement Risk: The Fund may invest in repurchase agreements as a principal strategy. There is a potential for loss to the Fund if the seller defaults and the Fund is delayed or prevented from exercising its rights to dispose of the collateral securities. It is possible the fair value of the collateral securities could decline in value during the period in which the Fund seeks to assert its rights.
6. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives.
11
AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2020
The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $635,872,026. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | — | |
Unrealized (depreciation) | | | — | |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | — | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Government Money Market Fund | | | $ | 908,616 | | | | $ | — | | | | $ | 908,616 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Government Money Market Fund | | | $ | 6,138,916 | | | | $ | — | | | | $ | 6,138,916 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Government Money Market Fund | | | $ | 4,913 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 4,913 | |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 90% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
12
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Government Money Market Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Government Money Market Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
13
Other Federal Income Tax Information (Unaudited)
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $1,872.
14
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission each month on Form N-MFP. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov. The Fund makes portfolio holdings information available to shareholders on its website.
15
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
16
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
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The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
19
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
20
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® International Index Fund
Annual Report
December 31, 2020
Table of Contents
Management Discussion and Analysis
Page 1
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 15
Statement of Operations
Page 15
Statements of Changes in Net Assets
Page 16
Financial Highlights
Page 17
Notes to the Financial Statements
Page 18
Report of Independent Registered Public Accounting Firm
Page 24
Other Federal Income Tax Information
Page 25
Other Information
Page 26
Approval of Investment Advisory and Subadvisory Agreements
Page 27
Information about the Board of Trustees and Officers
Page 30
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® International Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® International Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® International Index Fund (Class 2 Shares) (the “Fund”) returned 7.40%. That compared to a 8.28% total return for its benchmark, the MSCI EAFE Index1.
The Fund seeks investment results, before fees, expenses, and fair value adjustments to its portfolio at the close of the New York Stock Exchange, that correspond to the performance of the MSCI EAFE Index. The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Index. The Index is designed to provide a comprehensive measure of international equity markets. It is an unmanaged, market capitalization-weighted index comprising stocks of large-and mid-cap stocks across developed markets in Europe, Australasia, and the Far East.*
The first quarter saw mixed results among developed non-U.S. markets, as represented by the MSCI EAFE Index. Within the Asia-Pacific region, Japan outperformed its peers over the first quarter, while Singapore and Australia suffered from record drawdowns on coronavirus (COVID-19) fears. On continental Europe, Italy and Spain were among the worst performers as the COVID-19 outbreak in Italy intensified in late February and virus-related measures started to disrupt economic activities in the broader region, weighing on the index. The globally integrated European economy is particularly vulnerable to global supply chain disruptions, posing downside risks to growth. Macro data across the region showed a significant negative impact as export orders sharply declined. In the U.K., business sentiment improved in the first two months before the spread of COVID-19 started to rattle its economy.
In the second quarter, developed markets advanced (in U.S. dollar terms) amid strong fiscal and monetary stimulus, combined with the reopening of economies. The European Central Bank (ECB) continued its quantitative easing with a novel and flexible Pandemic Emergency Purchase Programme that allowed the ECB to buy government debt out of proportion to euro area country shareholdings in the bank. Meanwhile, the targeted long-term refinancing operation provided a record boost to the ECB balance sheet. On continental Europe, Germany outperformed with stronger government support while Italy, Switzerland and Spain lagged. Meanwhile, the U.K. underperformed the region. In the Asia-Pacific region, Australia led strong gains after suffering from record drawdowns on COVID-19 fears in the previous quarter. Hong Kong and Singapore underperformed in the region.
The third quarter saw continued recovery but at a slower pace than the previous quarter. Easing restrictions and supportive fiscal and monetary policies helped the market recovery in the third quarter despite a decline in September on signs of a third wave of COVID-19 infections. The ECB kept its quantitative easing policies unchanged despite rising concerns around inflation and debt levels in the eurozone. The low inflation rate, euro appreciation, and signs of a slower recovery pushed the ECB to consider adjusting its policies in the fourth quarter to tackle the low inflation rate.
The fourth quarter saw a rally in equity prices despite negative performance over October. The Index posted strong returns despite rising numbers of COVID-19 cases in Europe and reports of the newly discovered strain of the virus in the U.K. Additionally, the victory by the Biden-Harris ticket in the U.S. presidential elections caused market participants to forecast decreased trade tensions between the U.S. and its counterparties, along with more stable global policies. Positive news around COVID-19 vaccines also reinforced the performance of the developed equity markets.
Most sectors within the EAFE Index posted positive returns over the quarter. The information technology, materials, and consumer discretionary sectors were the top performers, while the energy sector lagged the most. Real estate and financial stocks were also among the lowest performers.
The Fund underperformed its benchmark primarily due to the impacts of fair value pricing and expenses incurred by the Fund.
The Fund uses derivatives, most notably futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2020.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® International Index Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek to match the performance of the Morgan Stanley Capital International Europe, Australasia and Far East Index (“MSCI EAFE® Index”) as closely as possible. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in a statistically selected sampling of equity securities of companies included in the MSCI EAFE Index and in derivative instruments linked to the MSCI EAFE Index, primarily futures contracts.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations.
The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines.
Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | | | Since
Inception | |
AZL® International Index Fund (Class 1 Shares) | | | 10/17/16 | | | | 7.66 | % | | | 4.13 | % | | | — | | | | — | | | | 8.73 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
AZL® International Index Fund (Class 2 Shares) | | | 5/1/09 | | | | 7.40 | % | | | 3.89 | % | | | 7.02 | % | | | 4.96 | % | | | 7.45 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index (gross of withholding taxes) | | | 5/1/09 | | | | 8.28 | % | | | 4.79 | % | | | 7.97 | % | | | 6.00 | % | | | 8.66 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index (net of withholding taxes) | | | 5/1/09 | | | | 7.82 | % | | | 4.28 | % | | | 7.45 | % | | | 5.51 | % | | | 8.17 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® International Index Fund (Class 1 Shares) | | | 0.44 | % |
| | | | |
AZL® International Index Fund (Class 2 Shares) | | | 0.69 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.52% for Class 1 Shares and 0.77% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Morgan Stanley Capital International, Europe, Australasia and Far East (MSCI EAFE) Index, which is an unmanaged free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The Index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Index noted as “gross of withholding taxes” reflects the maximum possible reinvestment of dividends with no adjustment for withholding tax deductions or tax credits. The Index noted as “net of withholding taxes” reflects the reinvestment of dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL International Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL International Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL International Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,213.50 | | | | $ | 2.56 | | | | | 0.46 | % |
| | | | |
AZL International Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,212.70 | | | | $ | 3.95 | | | | | 0.71 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL International Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.82 | | | | $ | 2.34 | | | | | 0.46 | % |
| | | | |
AZL International Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.57 | | | | $ | 3.61 | | | | | 0.71 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Japan | | | | 25.2 | % |
| |
United Kingdom | | | | 13.0 | |
| |
France | | | | 10.3 | |
| |
Switzerland | | | | 9.8 | |
| |
Germany | | | | 9.3 | |
| |
Australia | | | | 7.2 | |
| |
Netherlands | | | | 4.6 | |
| |
Sweden | | | | 3.2 | |
| |
Hong Kong | | | | 3.1 | |
| |
Denmark | | | | 2.5 | |
| |
All other countries | | | | 11.2 | |
| | | | | |
| |
Total Common and Preferred Stocks | | | | 99.4 | |
| |
Rights | | | | — | † |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.4 | |
| | | | | |
| |
Total Investment Securities | | | | 99.8 | |
| |
Net other assets (liabilities) | | | | 0.2 | |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.0%): | | | |
| Aerospace & Defense (1.1%): | | | |
| | 58,785 | | | Airbus SE* | | $ | 6,456,670 | |
| | 319,662 | | | BAE Systems plc | | | 2,137,658 | |
| | 260 | | | Dassault Aviation SA* | | | 285,184 | |
| | 2,648 | | | Elbit Systems, Ltd. | | | 349,187 | |
| | 5,260 | | | MTU Aero Engines AG | | | 1,370,320 | |
| | 861,278 | | | Rolls-Royce Holdings plc* | | | 1,311,096 | |
| | 32,466 | | | Safran SA* | | | 4,603,752 | |
| | 151,200 | | | Singapore Technologies Engineering, Ltd. | | | 436,651 | |
| | 10,518 | | | Thales SA | | | 963,355 | |
| | | | | | | | |
| | | | | | | 17,913,873 | |
| | | | | | | | |
| Air Freight & Logistics (0.4%): | | | |
| | 80,642 | | | Bollore, Inc. | | | 333,433 | |
| | 98,953 | | | Deutsche Post AG | | | 4,896,330 | |
| | 31,600 | | | SG Holdings Co., Ltd. | | | 862,746 | |
| | 29,800 | | | Yamato Holdings Co., Ltd. | | | 761,313 | |
| | | | | | | | |
| | | | | | | 6,853,822 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 11,500 | | | ANA Holdings, Inc. | | | 254,292 | |
| | 24,510 | | | Deutsche Lufthansa AG, Registered Shares*^ | | | 323,895 | |
| | 11,770 | | | Japan Airlines Co., Ltd.* | | | 228,064 | |
| | 83,673 | | | Qantas Airways, Ltd. | | | 313,223 | |
| | 131,950 | | | Singapore Airlines, Ltd.* | | | 426,590 | |
| | | | | | | | |
| | | | | | | 1,546,064 | |
| | | | | | | | |
| Auto Components (0.9%): | | | |
| | 17,400 | | | Aisin Sieki Co., Ltd. | | | 522,993 | |
| | 53,800 | | | Bridgestone Corp. | | | 1,767,535 | |
| | 16,997 | | | Compagnie Generale des Establissements Michelin SCA, Class B | | | 2,181,096 | |
| | 10,935 | | | Continental AG | | | 1,620,130 | |
| | 43,100 | | | Denso Corp. | | | 2,566,513 | |
| | 7,093 | | | Faurecia SA* | | | 363,585 | |
| | 10,300 | | | Koito Manufacturing Co., Ltd. | | | 700,640 | |
| | 15,600 | | | NGK Spark Plug Co., Ltd. | | | 267,124 | |
| | 12,500 | | | Stanley Electric Co., Ltd. | | | 403,435 | |
| | 74,500 | | | Sumitomo Electric Industries, Ltd. | | | 988,435 | |
| | 7,200 | | | Toyoda Gosei Co., Ltd. | | | 209,328 | |
| | 14,800 | | | Toyota Industries Corp. | | | 1,176,545 | |
| | 22,427 | | | Valeo SA | | | 885,615 | |
| | 184,000 | | | Xinyi Glass Holdings, Ltd. | | | 514,933 | |
| | | | | | | | |
| | | | | | | 14,167,907 | |
| | | | | | | | |
| Automobiles (2.7%): | | | |
| | 33,477 | | | Bayerische Motoren Werke AG (BMW) | | | 2,954,505 | |
| | 86,083 | | | Daimler AG, Registered Shares | | | 6,077,702 | |
| | 12,558 | | | Ferrari NV | | | 2,903,575 | |
| | 110,317 | | | Fiat Chrysler Automobiles NV* | | | 1,972,428 | |
| | 163,500 | | | Honda Motor Co., Ltd. | | | 4,566,930 | |
| | 57,100 | | | Isuzu Motors, Ltd. | | | 543,702 | |
| | 55,200 | | | Mazda Motor Corp. | | | 371,357 | |
| | 226,900 | | | Nissan Motor Co., Ltd.* | | | 1,234,572 | |
| | 58,744 | | | PSA Peugeot Citroen SA* | | | 1,607,449 | |
| | 18,706 | | | Renault SA* | | | 818,397 | |
| | 62,200 | | | Subaru Corp. | | | 1,246,517 | |
| | 37,400 | | | Suzuki Motor Corp. | | | 1,736,616 | |
| | 213,266 | | | Toyota Motor Corp. | | | 16,355,390 | |
| | 3,119 | | | Volkswagen AG | | | 648,237 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Automobiles, continued | | | |
| | 28,200 | | | Yamaha Motor Co., Ltd. | | $ | 576,717 | |
| | | | | | | | |
| | | | | | | 43,614,094 | |
| | | | | | | | |
| Banks (7.8%): | | | |
| | 44,661 | | | ABN AMRO Group NV* | | | 438,050 | |
| | 283,523 | | | Australia & New Zealand Banking Group, Ltd. | | | 4,967,280 | |
| | 675,914 | | | Banco Bilbao Vizcaya Argentaria SA | | | 3,312,966 | |
| | 1,744,001 | | | Banco Santander SA | | | 5,414,218 | |
| | 108,854 | | | Bank Hapoalim BM | | | 747,704 | |
| | 147,597 | | | Bank Leumi Le-Israel Corp. | | | 871,988 | |
| | 128,600 | | | Bank of East Asia, Ltd. (The)^ | | | 275,650 | |
| | 5,200 | | | Bank of Kyoto, Ltd. (The) | | | 272,292 | |
| | 3,273 | | | Banque Cantonale Vaudois, Registered Shares | | | 356,032 | |
| | 1,755,775 | | | Barclays plc | | | 3,523,328 | |
| | 112,150 | | | BNP Paribas SA* | | | 5,914,505 | |
| | 369,500 | | | BOC Hong Kong Holdings, Ltd. | | | 1,122,952 | |
| | 343,332 | | | CaixaBank SA | | | 882,174 | |
| | 50,300 | | | Chiba Bank, Ltd. (The) | | | 277,442 | |
| | 94,831 | | | Commerzbank AG* | | | 610,150 | |
| | 176,953 | | | Commonwealth Bank of Australia | | | 11,211,213 | |
| | 113,100 | | | Concordia Financial Group, Ltd. | | | 401,216 | |
| | 115,390 | | | Credit Agricole SA | | | 1,456,884 | |
| | 70,631 | | | Danske Bank A/S | | | 1,171,499 | |
| | 182,100 | | | DBS Group Holdings, Ltd. | | | 3,445,182 | |
| | 96,478 | | | DNB ASA* | | | 1,902,501 | |
| | 28,120 | | | Erste Group Bank AG* | | | 848,841 | |
| | 59,370 | | | Finecobank Banca Fineco SpA* | | | 968,772 | |
| | 16,300 | | | Fukuoka Financial Group, Inc. | | | 292,205 | |
| | 77,000 | | | Hang Seng Bank, Ltd. | | | 1,330,550 | |
| | 2,050,019 | | | HSBC Holdings plc | | | 10,694,833 | |
| | 390,454 | | | ING Groep NV* | | | 3,698,440 | |
| | 1,665,984 | | | Intesa Sanpaolo SpA* | | | 3,886,304 | |
| | 117,795 | | | Isreal Discount Bank | | | 454,864 | |
| | 39,400 | | | Japan Post Bank Co., Ltd. | | | 325,533 | |
| | 25,445 | | | KBC Group NV* | | | 1,783,143 | |
| | 7,159,188 | | | Lloyds Banking Group plc* | | | 3,608,289 | |
| | 61,717 | | | Mediobanca SpA* | | | 563,992 | |
| | 1,220,600 | | | Mitsubishi UFJ Financial Group, Inc. | | | 5,406,370 | |
| | 15,515 | | | Mizrahi Tefahot Bank, Ltd. | | | 359,932 | |
| | 240,663 | | | Mizuho Financial Group, Inc. | | | 3,068,200 | |
| | 329,251 | | | National Australia Bank, Ltd. | | | 5,743,107 | |
| | 474,367 | | | Natwest Group plc | | | 1,096,943 | |
| | 327,917 | | | Nordea Bank AB* | | | 2,678,882 | |
| | 341,299 | | | Oversea-Chinese Banking Corp., Ltd. | | | 2,595,388 | |
| | 13,355 | | | Raiffeisen International Bank-Holding AG* | | | 269,692 | |
| | 209,987 | | | Resona Holdings, Inc. | | | 739,537 | |
| | 14,600 | | | Shinsei Bank, Ltd. | | | 181,208 | |
| | 41,100 | | | Shizuoka Bank, Ltd. (The) | | | 302,795 | |
| | 158,897 | | | Skandinaviska Enskilda Banken AB, Class A* | | | 1,631,900 | |
| | 81,956 | | | Societe Generale | | | 1,707,108 | |
| | 265,156 | | | Standard Chartered plc | | | 1,700,015 | |
| | 131,769 | | | Sumitomo Mitsui Financial Group, Inc. | | | 4,077,933 | |
| | 34,103 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 1,057,604 | |
| | 158,850 | | | Svenska Handelsbanken AB, Class A* | | | 1,594,586 | |
| | 92,422 | | | Swedbank AB, Class A* | | | 1,625,717 | |
| | 214,918 | | | Unicredit SpA | | | 1,988,562 | |
| | 118,773 | | | United Overseas Bank, Ltd. | | | 2,028,144 | |
See accompanying notes to the financial statements.
4
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 359,776 | | | Westpac Banking Corp. | | $ | 5,366,982 | |
| | | | | | | | |
| | | | | | | 122,251,597 | |
| | | | | | | | |
| Beverages (2.1%): | | | |
| | 76,718 | | | Anheuser-Busch InBev NV | | | 5,360,559 | |
| | 45,200 | | | Asahi Breweries, Ltd. | | | 1,863,342 | |
| | 164,100 | | | Budweiser Brewing Co. APAC, Ltd. | | | 542,497 | |
| | 10,239 | | | Carlsberg A/S, Class B | | | 1,641,767 | |
| | 48,245 | | | Coca-Cola Amatil, Ltd. | | | 481,060 | |
| | 14,800 | | | Coca-Cola Bottlers Japan Holdings, Inc. | | | 231,270 | |
| | 20,200 | | | Coca-Cola European Partners plc | | | 975,211 | |
| | 21,123 | | | Coca-Cola HBC AG | | | 686,907 | |
| | 58,641 | | | David Campari-Milano NV | | | 670,669 | |
| | 235,274 | | | Diageo plc | | | 9,296,903 | |
| | 11,133 | | | Heineken Holding NV | | | 1,048,534 | |
| | 26,285 | | | Heineken NV | | | 2,930,923 | |
| | 5,800 | | | ITO EN, Ltd. | | | 367,053 | |
| | 84,200 | | | Kirin Holdings Co., Ltd. | | | 1,988,291 | |
| | 21,247 | | | Pernod Ricard SA | | | 4,072,278 | |
| | 2,253 | | | Remy Cointreau SA | | | 418,692 | |
| | 14,400 | | | Suntory Beverage & Food, Ltd. | | | 509,742 | |
| | 69,034 | | | Treasury Wine Estates, Ltd. | | | 500,675 | |
| | | | | | | | |
| | | | | | | 33,586,373 | |
| | | | | | | | |
| Biotechnology (1.0%): | | | |
| | 4,376 | | | Argenx SE* | | | 1,289,776 | |
| | 45,736 | | | CSL, Ltd. | | | 9,991,743 | |
| | 4,569 | | | Galapagos NV* | | | 449,523 | |
| | 6,547 | | | Genmab A/S* | | | 2,648,576 | |
| | 31,104 | | | Grifols SA^ | | | 907,913 | |
| | 9,300 | | | Peptidream, Inc.* | | | 472,727 | |
| | | | | | | | |
| | | | | | | 15,760,258 | |
| | | | | | | | |
| Building Products (1.1%): | | | |
| | 18,700 | | | AGC, Inc. | | | 653,168 | |
| | 100,719 | | | ASSA Abloy AB, Class B | | | 2,478,472 | |
| | 52,533 | | | Compagnie de Saint-Gobain SA* | | | 2,408,490 | |
| | 24,900 | | | Daikin Industries, Ltd. | | | 5,546,454 | |
| | 3,691 | | | Geberit AG, Registered Shares | | | 2,310,150 | |
| | 15,524 | | | Kingspan Group plc* | | | 1,089,651 | |
| | 28,100 | | | Lixil Corp. | | | 610,403 | |
| | 30,973 | | | Nibe Industrier AB, Class B | | | 1,017,537 | |
| | 817 | | | ROCKWOOL International A/S, Class B | | | 305,979 | |
| | 13,900 | | | TOTO, Ltd. | | | 836,609 | |
| | | | | | | | |
| | | | | | | 17,256,913 | |
| | | | | | | | |
| Capital Markets (2.7%): | | | |
| | 97,968 | | | 3i Group plc | | | 1,564,950 | |
| | 6,029 | | | Amundi SA | | | 492,235 | |
| | 20,108 | | | ASX, Ltd. | | | 1,116,758 | |
| | 244,140 | | | Credit Suisse Group AG | | | 3,141,832 | |
| | 146,900 | | | Daiwa Securities Group, Inc. | | | 670,094 | |
| | 194,987 | | | Deutsche Bank AG, Registered Shares* | | | 2,122,554 | |
| | 19,029 | | | Deutsche Boerse AG | | | 3,230,145 | |
| | 22,462 | | | EQT AB^ | | | 574,322 | |
| | 33,742 | | | Hargreaves Lansdown plc | | | 704,315 | |
| | 120,993 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 6,654,874 | |
| | 49,800 | | | Japan Exchange Group, Inc. | | | 1,273,532 | |
| | 22,896 | | | Julius Baer Group, Ltd. | | | 1,326,687 | |
| | 31,581 | | | London Stock Exchange Group plc | | | 3,892,249 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 34,405 | | | Macquarie Group, Ltd. | | $ | 3,675,560 | |
| | 12,857 | | | Magellan Financial Group, Ltd. | | | 535,147 | |
| | 101,059 | | | Natixis* | | | 347,796 | |
| | 322,400 | | | Nomura Holdings, Inc. | | | 1,706,939 | |
| | 1,853 | | | Partners Group Holding AG | | | 2,165,208 | |
| | 24,290 | | | SBI Holdings, Inc. | | | 577,135 | |
| | 12,878 | | | Schroders plc | | | 588,125 | |
| | 84,800 | | | Singapore Exchange, Ltd. | | | 596,971 | |
| | 56,912 | | | St. James Place plc | | | 882,831 | |
| | 369,406 | | | UBS Group AG | | | 5,168,422 | |
| | | | | | | | |
| | | | | | | 43,008,681 | |
| | | | | | | | |
| Chemicals (3.7%): | | | |
| | 47,446 | | | Air Liquide SA | | | 7,786,252 | |
| | 17,400 | | | Air Water, Inc. | | | 310,494 | |
| | 19,375 | | | Akzo Nobel NV | | | 2,080,982 | |
| | 6,889 | | | Arkema SA | | | 787,332 | |
| | 123,900 | | | Asahi Kasei Corp. | | | 1,274,575 | |
| | 92,448 | | | BASF SE | | | 7,299,214 | |
| | 10,903 | | | Christian Hansen Holding A/S* | | | 1,121,980 | |
| | 20,935 | | | Clariant AG | | | 444,946 | |
| | 17,715 | | | Covestro AG | | | 1,092,569 | |
| | 14,150 | | | Croda International plc | | | 1,278,206 | |
| | 798 | | | EMS-Chemie Holding AG | | | 770,064 | |
| | 20,951 | | | Evonik Industries AG | | | 682,485 | |
| | 6,565 | | | Fuchs Petrolub AG | | | 372,618 | |
| | 928 | | | Givaudan SA, Registered Shares | | | 3,910,320 | |
| | 71,434 | | | ICL Group, Ltd. | | | 364,934 | |
| | — | | | International Flavors & Fragrances, Inc. | | | 41 | |
| | 20,108 | | | Johnson Matthey plc | | | 667,470 | |
| | 19,200 | | | JSR Corp. | | | 536,361 | |
| | 18,300 | | | Kansai Paint Co., Ltd. | | | 563,948 | |
| | 17,304 | | | Koninklijke DSM NV | | | 2,980,509 | |
| | 32,800 | | | Kuraray Co., Ltd. | | | 350,370 | |
| | 7,976 | | | Lanxess AG | | | 611,548 | |
| | 136,800 | | | Mitsubishi Chemical Holdings Corp. | | | 832,311 | |
| | 17,500 | | | Mitsubishi Gas Chemical Co., Inc. | | | 402,988 | |
| | 19,500 | | | Mitsui Chemicals, Inc. | | | 572,957 | |
| | 14,800 | | | Nippon Paint Holdings Co., Ltd. | | | 1,627,193 | |
| | 16,500 | | | Nippon Sanso Holdings Corp. | | | 307,026 | |
| | 12,000 | | | Nissan Chemical Corp. | | | 752,219 | |
| | 15,800 | | | Nitto Denko Corp. | | | 1,418,938 | |
| | 21,397 | | | Novozymes A/S, Class B | | | 1,228,193 | |
| | 40,418 | | | Orica, Ltd. | | | 472,592 | |
| | 35,400 | | | Shin-Etsu Chemical Co., Ltd. | | | 6,198,151 | |
| | 14,213 | | | Sika AG | | | 3,881,494 | |
| | 7,132 | | | Solvay SA | | | 845,101 | |
| | 150,700 | | | Sumitomo Chemical Co., Ltd. | | | 607,216 | |
| | 13,207 | | | Symrise AG | | | 1,746,571 | |
| | 16,200 | | | Teijin, Ltd. | | | 305,509 | |
| | 146,700 | | | Toray Industries, Inc. | | | 870,616 | |
| | 27,300 | | | Tosoh Corp. | | | 427,812 | |
| | 19,229 | | | Umicore SA | | | 923,628 | |
| | 16,982 | | | Yara International ASA | | | 706,112 | |
| | | | | | | | |
| | | | | | | 59,413,845 | |
| | | | | | | | |
| Commercial Services & Supplies (0.5%): | | | |
| | 147,369 | | | Brambles, Ltd. | | | 1,207,130 | |
See accompanying notes to the financial statements.
5
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies, continued | | | |
| | 26,700 | | | Dai Nippon Printing Co., Ltd. | | $ | 481,678 | |
| | 24,560 | | | Edenred | | | 1,393,338 | |
| | 183,686 | | | Rentokil Initial plc* | | | 1,280,776 | |
| | 20,600 | | | SECOM Co., Ltd. | | | 1,902,232 | |
| | 31,678 | | | Securitas AB, Class B | | | 511,052 | |
| | 7,800 | | | Sohgo Security Services Co., Ltd. | | | 404,889 | |
| | 26,200 | | | Toppan Printing Co., Ltd. | | | 369,994 | |
| | | | | | | | |
| | | | | | | 7,551,089 | |
| | | | | | | | |
| Communications Equipment (0.4%): | | | |
| | 567,157 | | | Nokia OYJ* | | | 2,162,733 | |
| | 290,910 | | | Telefonaktiebolaget LM Ericsson, Class B | | | 3,451,539 | |
| | | | | | | | |
| | | | | | | 5,614,272 | |
| | | | | | | | |
| Construction & Engineering (0.8%): | | | |
| | 26,679 | | | ACS Actividades de Construccion y Servicios SA | | | 885,652 | |
| | 23,166 | | | Bouygues SA | | | 952,964 | |
| | 11,842 | | | Cimic Group, Ltd.* | | | 222,702 | |
| | 8,371 | | | Eiffage SA | | | 809,068 | |
| | 48,168 | | | Ferrovial SA | | | 1,330,824 | |
| | 2,182 | | | Hochtief AG | | | 212,088 | |
| | 42,800 | | | Kajima Corp. | | | 574,450 | |
| | 66,800 | | | Obayashi Corp. | | | 578,758 | |
| | 59,700 | | | Shimizu Corp. | | | 436,086 | |
| | 33,046 | | | Skanska AB, Class B | | | 841,942 | |
| | 20,200 | | | Taisei Corp. | | | 699,136 | |
| | 52,120 | | | Vinci SA | | | 5,185,347 | |
| | | | | | | | |
| | | | | | | 12,729,017 | |
| | | | | | | | |
| Construction Materials (0.6%): | | | |
| | 78,523 | | | CRH plc | | | 3,318,925 | |
| | 15,340 | | | HeidelbergCement AG | | | 1,147,328 | |
| | 44,879 | | | James Hardie Industries SE* | | | 1,327,305 | |
| | 52,330 | | | LafargeHolcim, Ltd., Registered Shares | | | 2,872,699 | |
| | 11,200 | | | Taiheiyo Cement Corp. | | | 281,818 | |
| | | | | | | | |
| | | | | | | 8,948,075 | |
| | | | | | | | |
| Consumer Finance (0.0%†): | | | |
| | 36,500 | | | ACOM Co., Ltd. | | | 156,207 | |
| | — | | | Isracard, Ltd. | | | 1 | |
| | | | | | | | |
| | | | | | | 156,208 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 24,856 | | | Smurfit Kappa Group plc | | | 1,155,893 | |
| | | | | | | | |
| Diversified Financial Services (0.8%): | | | |
| | 337,859 | | | AMP, Ltd. | | | 406,556 | |
| | 3,485 | | | Eurazeo Se* | | | 236,423 | |
| | 10,697 | | | EXOR NV | | | 858,510 | |
| | 11,180 | | | Groupe Bruxelles Lambert SA | | | 1,127,999 | |
| | 10,836 | | | Industrivarden AB, Class A* | | | 362,507 | |
| | 15,777 | | | Industrivarden AB, Class C | | | 511,216 | |
| | 45,330 | | | Investor AB, Class B | | | 3,314,575 | |
| | 24,510 | | | Kinnevik AB, Class B | | | 1,237,749 | |
| | 7,951 | | | L E Lundbergforetagen AB* | | | 425,855 | |
| | 261,753 | | | M&G plc | | | 708,931 | |
| | 39,200 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 189,196 | |
| | 130,300 | | | ORIX Corp. | | | 2,022,423 | |
| | 1,676 | | | Sofina SA | | | 567,439 | |
| | 222,697 | | | Standard Life Aberdeen plc | | | 863,121 | |
| | 3,900 | | | Tokyo Century Corp. | | | 309,842 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Financial Services, continued | | | |
| | 2,640 | | | Wendel | | $ | 316,092 | |
| | | | | | | | |
| | | | | | | 13,458,434 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.8%): | | | |
| | 877,074 | | | BT Group plc* | | | 1,587,321 | |
| | 31,347 | | | Cellnex Telecom SAU | | | 1,881,651 | |
| | 335,481 | | | Deutsche Telekom AG, Registered Shares | | | 6,130,007 | |
| | 13,990 | | | Elisa OYJ | | | 763,598 | |
| | 396,525 | | | HKT Trust & HKT, Ltd. | | | 514,758 | |
| | 1,661 | | | Iliad SA | | | 341,180 | |
| | 26,091 | | | Infrastrutture Wireless Italiane SpA | | | 316,236 | |
| | 357,363 | | | Koninklijke KPN NV | | | 1,083,309 | |
| | 130,804 | | | Nippon Telegraph & Telephone Corp. | | | 3,354,465 | |
| | 201,440 | | | Orange SA | | | 2,397,151 | |
| | 471,000 | | | PCCW, Ltd. | | | 283,664 | |
| | 15,181 | | | Proximus SADP | | | 301,060 | |
| | 827,600 | | | Singapore Telecommunications, Ltd. | | | 1,445,211 | |
| | 191,337 | | | Spark New Zealand, Ltd. | | | 646,738 | |
| | 2,637 | | | Swisscom AG, Registered Shares | | | 1,421,001 | |
| | 798,592 | | | Telecom Italia SpA | | | 367,726 | |
| | 576,307 | | | Telecom Italia SpA | | | 298,173 | |
| | 113,195 | | | Telefonica Deutschland Holding AG | | | 311,993 | |
| | 512,179 | | | Telefonica SA | | | 2,047,501 | |
| | 69,638 | | | Telenor ASA | | | 1,181,206 | |
| | 252,388 | | | Telia Co AB | | | 1,044,896 | |
| | 411,000 | | | Telstra Corp., Ltd. | | | 944,835 | |
| | 32,942 | | | TPG Telecom, Ltd.* | | | 183,502 | |
| | 9,884 | | | United Internet AG, Registered Shares | | | 416,444 | |
| | | | | | | | |
| | | | | | | 29,263,626 | |
| | | | | | | | |
| Electric Utilities (2.4%): | | | |
| | 193,004 | | | AusNet Services | | | 262,313 | |
| | 62,700 | | | Chubu Electric Power Co., Inc. | | | 755,052 | |
| | 26,000 | | | Chugoku Electric Power Co., Inc. (The) | | | 306,358 | |
| | 65,570 | | | CK Infrastructure Holdings, Ltd. | | | 352,423 | |
| | 168,000 | | | CLP Holdings, Ltd. | | | 1,555,273 | |
| | 282,152 | | | EDP — Energias de Portugal SA | | | 1,777,744 | |
| | 63,294 | | | Electricite de France* | | | 1,002,382 | |
| | 3,358 | | | Elia Group SA/NV | | | 400,111 | |
| | 31,425 | | | Endesa SA^ | | | 861,535 | |
| | 814,579 | | | Enel SpA | | | 8,224,861 | |
| | 45,200 | | | Fortum OYJ | | | 1,087,200 | |
| | 283,500 | | | HK Electric Investments, Ltd. | | | 279,034 | |
| | 606,090 | | | Iberdrola SA | | | 8,666,917 | |
| | 68,000 | | | Kansai Electric Power Co., Inc. (The) | | | 646,700 | |
| | 36,800 | | | Kyushu Electric Power Co., Inc. | | | 318,686 | |
| | 61,309 | | | Mercury NZ, Ltd. | | | 287,923 | |
| | 19,243 | | | Orsted A/S | | | 3,936,316 | |
| | 139,500 | | | Power Assets Holdings, Ltd. | | | 756,718 | |
| | 41,252 | | | Red Electrica Corp SA | | | 848,078 | |
| | 106,431 | | | Scottish & Southern Energy plc | | | 2,193,333 | |
| | 39,480 | | | Siemens Energy AG* | | | 1,448,765 | |
| | 140,073 | | | Terna SpA | | | 1,068,580 | |
| | 45,200 | | | Tohoku Electric Power Co., Inc. | | | 374,654 | |
| | 150,600 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 397,522 | |
| | 6,614 | | | Verbund AG, Class A | | | 565,824 | |
| | | | | | | | |
| | | | | | | 38,374,302 | |
| | | | | | | | |
| Electrical Equipment (2.0%): | | | |
| | 185,350 | | | ABB, Ltd. | | | 5,186,245 | |
See accompanying notes to the financial statements.
6
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electrical Equipment, continued | | | |
| | 13,400 | | | Fuji Electric Co., Ltd. | | $ | 483,636 | |
| | 26,692 | | | Legrand SA | | | 2,382,039 | |
| | 477,048 | | | Melrose Industries plc | | | 1,163,264 | |
| | 183,900 | | | Mitsubishi Electric Corp. | | | 2,784,340 | |
| | 44,600 | | | Nidec Corp. | | | 5,620,191 | |
| | 24,526 | | | Prysmian SpA | | | 874,236 | |
| | 54,083 | | | Schneider Electric SA | | | 7,821,859 | |
| | 24,868 | | | Siemens Gamesa Renewable Energy | | | 1,009,414 | |
| | 19,689 | | | Vestas Wind Systems A/S | | | 4,660,634 | |
| | | | | | | | |
| | | | | | | 31,985,858 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (2.1%): | | | |
| | 12,500 | | | Azbil Corp. | | | 683,822 | |
| | 38,107 | | | Halma plc | | | 1,276,648 | |
| | 13,900 | | | Hamamatsu Photonics KK | | | 795,946 | |
| | 28,420 | | | Hexagon AB, Class B | | | 2,589,220 | |
| | 3,214 | | | Hirose Electric Co., Ltd. | | | 487,342 | |
| | 97,020 | | | Hitachi, Ltd. | | | 3,828,909 | |
| | 10,700 | | | Ibiden Co., Ltd. | | | 497,391 | |
| | 18,380 | | | Keyence Corp. | | | 10,345,441 | |
| | 31,600 | | | Kyocera Corp. | | | 1,939,787 | |
| | 58,000 | | | Murata Manufacturing Co., Ltd. | | | 5,224,305 | |
| | 18,800 | | | Omron Corp. | | | 1,678,094 | |
| | 22,000 | | | Shimadzu Corp. | | | 857,024 | |
| | 13,000 | | | TDK Corp. | | | 1,961,060 | |
| | 27,200 | | | Venture Corp., Ltd. | | | 401,398 | |
| | 23,800 | | | Yaskawa Electric Corp. | | | 1,185,875 | |
| | 21,900 | | | Yokogawa Electric Corp. | | | 437,143 | |
| | | | | | | | |
| | | | | | | 34,189,405 | |
| | | | | | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 50,094 | | | Tenaris SA | | | 404,634 | |
| | | | | | | | |
| Entertainment (0.9%): | | | |
| | 8,900 | | | Capcom Co., Ltd. | | | 578,724 | |
| | 4,600 | | | Koei Tecmo Holdings Co., Ltd. | | | 281,250 | |
| | 9,600 | | | Konami Holdings Corp. | | | 540,426 | |
| | 48,200 | | | Nexon Co., Ltd. | | | 1,484,676 | |
| | 11,200 | | | Nintendo Co., Ltd. | | | 7,148,757 | |
| | 9,100 | | | Square Enix Holdings Co., Ltd. | | | 552,289 | |
| | 10,900 | | | Toho Co., Ltd. | | | 459,811 | |
| | 9,660 | | | UbiSoft Entertainment SA* | | | 930,692 | |
| | 83,363 | | | Vivendi Universal SA | | | 2,687,995 | |
| | | | | | | | |
| | | | | | | 14,664,620 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.4%): | | | |
| | 321,083 | | | Ascendas Real Estate Investment Trust | | | 723,173 | |
| | 85,015 | | | British Land Co. plc | | | 568,844 | |
| | 440,456 | | | CapitaLand Mall Trust | | | 718,989 | |
| | 5,451 | | | Covivio | | | 502,117 | |
| | 195 | | | Daiwahouse Residential Investment Corp. | | | 482,399 | |
| | 112,934 | | | Dexus | | | 822,650 | |
| | 4,889 | | | Gecina SA | | | 754,852 | |
| | 396 | | | GLP J-REIT | | | 624,516 | |
| | 170,223 | | | Goodman Group | | | 2,482,614 | |
| | 196,080 | | | GPT Group | | | 680,729 | |
| | 125 | | | Japan Real Estate Investment Corp. | | | 721,980 | |
| | 258 | | | Japan Retail Fund Investment Corp. | | | 470,571 | |
| | 20,181 | | | Klepierre^ | | | 453,980 | |
| | 67,234 | | | Land Securities Group plc | | | 620,035 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 207,000 | | | Link REIT (The) | | $ | 1,886,122 | |
| | 230,900 | | | Mapletree Commercial Trust | | | 371,753 | |
| | 246,994 | | | Mapletree Logistics Trust | | | 375,843 | |
| | 377,360 | | | Mirvac Group | | | 768,725 | |
| | 152 | | | Nippon Building Fund, Inc. | | | 880,486 | |
| | 208 | | | Nippon Prologis REIT, Inc. | | | 649,418 | |
| | 430 | | | Nomura Real Estate Master Fund, Inc. | | | 615,337 | |
| | 251 | | | Orix JREIT, Inc. | | | 415,046 | |
| | 533,552 | | | Scentre Group | | | 1,144,914 | |
| | 118,086 | | | SERGO plc | | | 1,530,683 | |
| | 243,016 | | | Stockland | | | 783,739 | |
| | 224,500 | | | Suntec Real Estate Investment Trust | | | 252,856 | |
| | 13,633 | | | Unibail-Rodamco-Westfield^ | | | 1,076,140 | |
| | 281 | | | United Urban Investment Corp. | | | 347,778 | |
| | 337,565 | | | Vicinity Centres | | | 418,233 | |
| | | | | | | | |
| | | | | | | 22,144,522 | |
| | | | | | | | |
| Food & Staples Retailing (1.7%): | | | |
| | 67,000 | | | AEON Co., Ltd. | | | 2,199,632 | |
| | 60,298 | | | Carrefour SA | | | 1,033,779 | |
| | 136,564 | | | Coles Group, Ltd. | | | 1,910,392 | |
| | 5,622 | | | Colruyt SA | | | 333,061 | |
| | 2,200 | | | Cosmos Pharmaceutical Corp. | | | 355,466 | |
| | 10,375 | | | ICA Gruppen AB | | | 518,637 | |
| | 177,104 | | | J Sainsbury plc | | | 546,277 | |
| | 26,537 | | | Jeronimo Martins SGPS SA | | | 448,726 | |
| | 27,701 | | | Kesko OYJ, Class B | | | 711,663 | |
| | 13,400 | | | Kobe Bussan Co., Ltd. | | | 413,670 | |
| | 109,955 | | | Koninklijke Ahold Delhaize NV | | | 3,104,751 | |
| | 5,100 | | | LAWSON, Inc. | | | 237,690 | |
| | 75,900 | | | Seven & I Holdings Co., Ltd. | | | 2,695,722 | |
| | 6,600 | | | Sundrug Co., Ltd. | | | 263,432 | |
| | 969,313 | | | Tesco plc | | | 3,059,817 | |
| | 3,700 | | | Tsuruha Holdings, Inc. | | | 527,588 | |
| | 9,400 | | | Welcia Holdings Co., Ltd. | | | 354,678 | |
| | 114,649 | | | Wesfarmers, Ltd. | | | 4,457,304 | |
| | 244,081 | | | William Morrison Supermarkets plc | | | 591,971 | |
| | 126,654 | | | Woolworths Group, Ltd. | | | 3,840,473 | |
| | | | | | | | |
| | | | | | | 27,604,729 | |
| | | | | | | | |
| Food Products (3.4%): | | | |
| | 70,514 | | | A2 Milk Co., Ltd.* | | | 611,380 | |
| | 46,800 | | | Ajinomoto Co., Inc. | | | 1,060,718 | |
| | 34,742 | | | Associated British Foods plc* | | | 1,076,241 | |
| | 316 | | | Barry Callebaut AG, Registered Shares | | | 750,864 | |
| | 8,800 | | | Calbee, Inc. | | | 265,095 | |
| | 10 | | | Chocoladefabriken Lindt & Spruengli AG | | | 999,644 | |
| | 62,817 | | | Danone SA | | | 4,128,178 | |
| | 7,602 | | | JDE Peet’s NV* | | | 342,645 | |
| | 16,434 | | | Kerry Group plc, Class A | | | 2,380,411 | |
| | 14,000 | | | Kikkoman Corp. | | | 972,516 | |
| | 104 | | | Lindt & Spruengli AG | | | 1,013,964 | |
| | 11,552 | | | Meiji Holdings Co., Ltd. | | | 812,437 | |
| | 42,991 | | | Mowi ASA | | | 959,007 | |
| | 289,210 | | | Nestle SA, Registered Shares | | | 34,059,914 | |
| | 8,400 | | | NH Foods, Ltd. | | | 369,801 | |
| | 19,545 | | | Nisshin Seifun Group, Inc. | | | 311,188 | |
| | 6,800 | | | Nissin Foods Holdings Co., Ltd. | | | 582,821 | |
See accompanying notes to the financial statements.
7
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 75,580 | | | Orkla ASA, Class A | | $ | 768,006 | |
| | 8,700 | | | Toyo Suisan Kaisha, Ltd. | | | 423,368 | |
| | 993,388 | | | WH Group, Ltd. | | | 832,990 | |
| | 189,300 | | | Wilmar International, Ltd. | | | 666,707 | |
| | 11,800 | | | Yakult Honsha Co., Ltd. | | | 594,919 | |
| | 13,600 | | | Yamazaki Baking Co., Ltd. | | | 227,303 | |
| | | | | | | | |
| | | | | | | 54,210,117 | |
| | | | | | | | |
| Gas Utilities (0.3%): | | | |
| | 116,178 | | | APA Group | | | 864,848 | |
| | 31,542 | | | Gas Natural SDG SA | | | 735,987 | |
| | 1,088,700 | | | Hong Kong & China Gas Co., Ltd. | | | 1,628,970 | |
| | 38,000 | | | Osaka Gas Co., Ltd. | | | 778,540 | |
| | 7,100 | | | Toho Gas Co., Ltd. | | | 471,778 | |
| | 38,500 | | | Tokyo Gas Co., Ltd. | | | 895,119 | |
| | | | | | | | |
| | | | | | | 5,375,242 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.6%): | | | |
| | 49,832 | | | Alcon, Inc.* | | | 3,327,894 | |
| | 15,407 | | | Ambu A/S, Class B | | | 665,349 | |
| | 20,600 | | | Asahi Intecc Co., Ltd. | | | 752,128 | |
| | 4,124 | | | BioMerieux | | | 581,497 | |
| | 4,288 | | | Carl Zeiss Meditec AG | | | 570,507 | |
| | 6,445 | | | Cochlear, Ltd. | | | 939,640 | |
| | 11,737 | | | Coloplast A/S, Class B | | | 1,793,261 | |
| | 10,001 | | | Demant A/S* | | | 394,858 | |
| | 2,737 | | | DiaSorin SpA | | | 569,766 | |
| | 28,754 | | | EssilorLuxottica SA | | | 4,483,787 | |
| | 57,960 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 1,376,006 | |
| | 12,636 | | | GN Store Nord A/S | | | 1,004,434 | |
| | 37,500 | | | HOYA Corp. | | | 5,184,342 | |
| | 91,276 | | | Koninklijke Philips NV | | | 4,884,133 | |
| | 117,000 | | | Olympus Corp. | | | 2,561,516 | |
| | 3,543 | | | Sartorius AG | | | 1,484,826 | |
| | 28,034 | | | Siemens Healthineers AG | | | 1,435,060 | |
| | 89,716 | | | Smith & Nephew plc | | | 1,873,170 | |
| | 5,497 | | | Sonova Holding AG, Registered Shares* | | | 1,415,643 | |
| | 1,037 | | | Straumann Holding AG, Registered Shares | | | 1,208,129 | |
| | 16,700 | | | Sysmex Corp. | | | 2,008,706 | |
| | 64,900 | | | Terumo Corp. | | | 2,714,815 | |
| | | | | | | | |
| | | | | | | 41,229,467 | |
| | | | | | | | |
| Health Care Providers & Services (0.5%): | | | |
| | 18,400 | | | Alfresa Holdings Corp. | | | 337,436 | |
| | 12,628 | | | Amplifon SpA* | | | 523,226 | |
| | 21,913 | | | Fresenius Medical Care AG & Co., KGaA | | | 1,827,506 | |
| | 41,527 | | | Fresenius SE & Co. KGaA | | | 1,918,636 | |
| | 20,100 | | | Medipal Holdings Corp. | | | 377,889 | |
| | 5,013 | | | Orpea* | | | 660,561 | |
| | 17,892 | | | Ramsay Health Care, Ltd. | | | 858,176 | |
| | 44,167 | | | Ryman Healthcare, Ltd. | | | 483,342 | |
| | 44,764 | | | Sonic Healthcare, Ltd. | | | 1,111,764 | |
| | 6,570 | | | Suzuken Co., Ltd. | | | 237,680 | |
| | | | | | | | |
| | | | | | | 8,336,216 | |
| | | | | | | | |
| Health Care Technology (0.3%): | | | |
| | 44,700 | | | M3, Inc. | | | 4,228,665 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.4%): | | | |
| | 19,564 | | | Accor SA* | | | 712,648 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 57,433 | | | Aristocrat Leisure, Ltd. | | $ | 1,374,147 | |
| | 180,657 | | | Compass Group plc | | | 3,370,632 | |
| | 42,677 | | | Crown Resorts, Ltd. | | | 317,063 | |
| | 16,272 | | | Evolution Gaming Group AB | | | 1,650,520 | |
| | 15,807 | | | Flutter Entertainment plc | | | 3,237,386 | |
| | 221,000 | | | Galaxy Entertainment Group, Ltd. | | | 1,719,014 | |
| | 628,157 | | | Genting Singapore, Ltd. | | | 403,437 | |
| | 60,301 | | | GVC Holdings plc* | | | 935,888 | |
| | 17,773 | | | InterContinental Hotels Group plc* | | | 1,154,406 | |
| | 9,344 | | | La Francaise des Jeux SAEM | | | 427,200 | |
| | 7,129 | | | McDonald’s Holdings Co., Ltd.^ | | | 345,290 | |
| | 20,557 | | | Melco Resorts & Entertainment, Ltd., ADR | | | 381,332 | |
| | 20,200 | | | Oriental Land Co., Ltd. | | | 3,339,301 | |
| | 239,532 | | | Sands China, Ltd. | | | 1,052,925 | |
| | 220,987 | | | SJM Holdings, Ltd. | | | 247,586 | |
| | 8,851 | | | Sodexo SA | | | 749,117 | |
| | 216,784 | | | Tabcorp Holdings, Ltd. | | | 652,306 | |
| | 19,679 | | | Whitbread plc* | | | 834,836 | |
| | 152,000 | | | Wynn Macau, Ltd.* | | | 255,575 | |
| | | | | | | | |
| | | | | | | 23,160,609 | |
| | | | | | | | |
| Household Durables (1.6%): | | | |
| | 99,944 | | | Barratt Developments plc* | | | 916,761 | |
| | 13,067 | | | Berkeley Group Holdings plc (The) | | | 848,066 | |
| | 19,600 | | | Casio Computer Co., Ltd. | | | 359,095 | |
| | 23,643 | | | Electrolux AB, Series B, Class B | | | 549,809 | |
| | 41,082 | | | Husqvarna AB, Class B | | | 531,698 | |
| | 16,200 | | | Iida Group Holdings Co., Ltd. | | | 327,566 | |
| | 220,700 | | | Panasonic Corp. | | | 2,550,545 | |
| | 32,959 | | | Persimmon plc | | | 1,248,250 | |
| | 3,700 | | | Rinnai Corp. | | | 429,894 | |
| | 2,235 | | | SEB SA | | | 407,075 | |
| | 37,400 | | | Sekisui Chemical Co., Ltd. | | | 709,603 | |
| | 62,400 | | | Sekisui House, Ltd. | | | 1,271,495 | |
| | 19,200 | | | Sharp Corp. | | | 291,496 | |
| | 126,900 | | | Sony Corp. | | | 12,760,847 | |
| | 349,568 | | | Taylor Wimpey plc | | | 794,626 | |
| | 140,500 | | | Techtronic Industries Co., Ltd. | | | 2,011,768 | |
| | | | | | | | |
| | | | | | | 26,008,594 | |
| | | | | | | | |
| Household Products (0.8%): | | | |
| | 59,979 | | | Essity AB, Class B | | | 1,928,463 | |
| | 10,576 | | | Henkel AG & Co. KGaA | | | 1,017,940 | |
| | 22,400 | | | Lion Corp. | | | 542,846 | |
| | 12,200 | | | Pigeon Corp. | | | 504,323 | |
| | 71,233 | | | Reckitt Benckiser Group plc | | | 6,369,823 | |
| | 39,700 | | | Unicharm Corp. | | | 1,883,926 | |
| | | | | | | | |
| | | | | | | 12,247,321 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.1%): | |
| | 124,024 | | | Meridian Energy, Ltd. | | | 661,830 | |
| | 21,504 | | | Uniper SE | | | 741,876 | |
| | | | | | | | |
| | | | | | | 1,403,706 | |
| | | | | | | | |
| Industrial Conglomerates (1.2%): | | | |
| | 265,244 | | | CK Hutchison Holdings, Ltd. | | | 1,852,317 | |
| | 10,325 | | | DCC plc | | | 733,793 | |
| | 16,095 | | | Investment AB Latour, Class B | | | 392,145 | |
| | 21,900 | | | Jardine Matheson Holdings, Ltd. | | | 1,226,572 | |
See accompanying notes to the financial statements.
8
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Industrial Conglomerates, continued | | | |
| | 23,500 | | | Jardine Strategic Holdings, Ltd. | | $ | 584,786 | |
| | 9,300 | | | Keihan Holdings Co., Ltd. | | | 446,398 | |
| | 135,600 | | | Keppel Corp., Ltd. | | | 551,372 | |
| | 18,600 | | | Seibu Holdings, Inc. | | | 182,698 | |
| | 76,684 | | | Siemens AG, Registered Shares | | | 10,974,109 | |
| | 39,419 | | | Smiths Group plc | | | 815,729 | |
| | 37,700 | | | Toshiba Corp. | | | 1,055,896 | |
| | | | | | | | |
| | | | | | | 18,815,815 | |
| | | | | | | | |
| Insurance (5.0%): | | | |
| | 19,559 | | | Admiral Group plc | | | 777,427 | |
| | 191,169 | | | AEGON NV | | | 763,345 | |
| | 17,693 | | | Ageas NV | | | 942,869 | |
| | 1,216,000 | | | AIA Group, Ltd. | | | 14,978,767 | |
| | 41,788 | | | Allianz SE, Registered Shares+ | | | 10,223,042 | |
| | 112,704 | | | Assicurazioni Generali SpA | | | 1,961,287 | |
| | 398,927 | | | Aviva plc | | | 1,788,993 | |
| | 193,713 | | | AXA SA | | | 4,646,747 | |
| | 4,634 | | | Baloise Holding AG, Registered Shares | | | 827,901 | |
| | 14,891 | | | CNP Assurances SA | | | 240,007 | |
| | 110,100 | | | Dai-ichi Life Holdings, Inc. | | | 1,672,654 | |
| | 144,862 | | | Direct Line Insurance Group plc | | | 629,601 | |
| | 19,206 | | | Gjensidige Forsikring ASA | | | 429,368 | |
| | 6,317 | | | Hannover Rueck SE | | | 1,003,635 | |
| | 227,520 | | | Insurance Australia Group, Ltd. | | | 825,313 | |
| | 158,500 | | | Japan Post Holdings Co., Ltd. | | | 1,234,996 | |
| | 20,400 | | | Japan Post Insurance Co., Ltd. | | | 418,231 | |
| | 612,261 | | | Legal & General Group plc | | | 2,250,128 | |
| | 298,241 | | | Medibank Private, Ltd. | | | 692,346 | |
| | 45,011 | | | MS&AD Insurance Group Holdings, Inc. | | | 1,372,677 | |
| | 14,076 | | | Muenchener Rueckversicherungs-Gesellschaft AG | | | 4,168,228 | |
| | 29,108 | | | NN Group NV | | | 1,273,245 | |
| | 55,732 | | | Phoenix Group Holdings plc | | | 534,210 | |
| | 49,727 | | | Poste Italiane SpA | | | 504,804 | |
| | 260,199 | | | Prudential plc | | | 4,802,099 | |
| | 147,754 | | | QBE Insurance Group, Ltd. | | | 972,523 | |
| | 101,751 | | | RSA Insurance Group plc | | | 947,623 | |
| | 47,412 | | | Sampo Oyj, Class A | | | 2,010,456 | |
| | 15,006 | | | SCOR SA* | | | 484,809 | |
| | 34,025 | | | Sompo Holdings, Inc. | | | 1,388,139 | |
| | 130,608 | | | Suncorp Group, Ltd. | | | 981,831 | |
| | 3,055 | | | Swiss Life Holding AG, Registered Shares | | | 1,422,592 | |
| | 28,897 | | | Swiss Re AG | | | 2,719,512 | |
| | 51,036 | | | T&D Holdings, Inc. | | | 604,087 | |
| | 63,300 | | | Tokio Marine Holdings, Inc. | | | 3,279,610 | |
| | 11,889 | | | Tryg A/S | | | 375,047 | |
| | 15,040 | | | Zurich Insurance Group AG | | | 6,376,727 | |
| | | | | | | | |
| | | | | | | 80,524,876 | |
| | | | | | | | |
| Interactive Media & Services (0.3%): | | | |
| | 25,015 | | | Adevinta ASA* | | | 420,653 | |
| | 94,929 | | | Auto Trader Group plc | | | 774,088 | |
| | 13,000 | | | Kakaku.com, Inc. | | | 356,985 | |
| | 5,276 | | | REA Group, Ltd. | | | 605,920 | |
| | 10,889 | | | Scout24 AG | | | 891,924 | |
| | 263,500 | | | Z Holdings Corp. | | | 1,598,397 | |
| | | | | | | | |
| | | | | | | 4,647,967 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Internet & Direct Marketing Retail (0.9%): | | | |
| | 13,178 | | | Delivery Hero SE* | | $ | 2,045,100 | |
| | 14,988 | | | HelloFresh SE* | | | 1,158,095 | |
| | 12,568 | | | Just Eat Takeaway* | | | 1,416,549 | |
| | 8,900 | | | Mercari, Inc.* | | | 395,624 | |
| | 47,582 | | | Ocado Group plc* | | | 1,490,734 | |
| | 49,058 | | | Prosus NV | | | 5,276,657 | |
| | 84,900 | | | Rakuten, Inc. | | | 815,520 | |
| | 15,444 | | | Zalando SE* | | | 1,720,541 | |
| | 10,400 | | | ZOZO, Inc. | | | 257,238 | |
| | | | | | | | |
| | | | | | | 14,576,058 | |
| | | | | | | | |
| IT Services (1.7%): | |
| | 1,827 | | | Adyen NV* | | | 4,250,716 | |
| | 21,006 | | | Afterpay, Ltd.* | | | 1,925,370 | |
| | 45,866 | | | Amadeus IT Group SA | | | 3,320,169 | |
| | 9,627 | | | Atos SE* | | | 880,210 | |
| | 2,769 | | | Bechtle AG | | | 603,789 | |
| | 16,493 | | | Capgemini SA | | | 2,557,260 | |
| | 46,480 | | | Computershare, Ltd. | | | 523,256 | |
| | 19,700 | | | Fujitsu, Ltd. | | | 2,852,250 | |
| | 3,900 | | | GMO Payment Gateway, Inc. | | | 521,072 | |
| | 9,500 | | | Itochu Techno-Solutions Corp. | | | 338,279 | |
| | 45,345 | | | Nexi SpA* | | | 900,662 | |
| | 32,038 | | | Nomura Research Institute, Ltd. | | | 1,144,919 | |
| | 60,800 | | | NTT Data Corp. | | | 833,293 | |
| | 7,100 | | | OBIC Co., Ltd. | | | 1,428,126 | |
| | 10,800 | | | Otsuka Corp. | | | 569,166 | |
| | 5,700 | | | SCSK Corp. | | | 326,328 | |
| | 24,300 | | | TIS, Inc. | | | 498,431 | |
| | 5,192 | | | Wix.com, Ltd.* | | | 1,297,792 | |
| | 24,130 | | | Worldline SA* | | | 2,333,610 | |
| | | | | | | | |
| | | | | | | 27,104,698 | |
| | | | | | | | |
| Leisure Products (0.3%): | | | |
| | 20,200 | | | Bandai Namco Holdings, Inc. | | | 1,748,573 | |
| | 18,400 | | | Sega Sammy Holdings, Inc. | | | 290,410 | |
| | 7,500 | | | Shimano, Inc. | | | 1,751,786 | |
| | 13,400 | | | Yamaha Corp. | | | 790,002 | |
| | | | | | | | |
| | | | | | | 4,580,771 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.5%): | | | |
| | 13,390 | | | Eurofins Scientific SE* | | | 1,123,362 | |
| | 7,452 | | | Lonza Group AG, Registered Shares | | | 4,787,784 | |
| | 22,493 | | | Qiagen NV* | | | 1,166,494 | |
| | 2,770 | | | Sartorius Stedim Biotech | | | 987,158 | |
| | | | | | | | |
| | | | | | | 8,064,798 | |
| | | | | | | | |
| Machinery (3.0%): | | | |
| | 31,249 | | | Alfa Laval AB* | | | 859,214 | |
| | 24,969 | | | Alstom SA* | | | 1,415,783 | |
| | 32,800 | | | Amada Holdings Co., Ltd. | | | 362,331 | |
| | 39,477 | | | Atlas Copco AB | | | 1,774,406 | |
| | 67,109 | | | Atlas Copco AB, Class A | | | 3,433,591 | |
| | 103,091 | | | CNH Industrial NV | | | 1,306,194 | |
| | 10,100 | | | Daifuku Co., Ltd. | | | 1,250,319 | |
| | 36,582 | | | Epiroc AB | | | 620,013 | |
| | 65,429 | | | Epiroc AB, Class A | | | 1,189,896 | |
| | 19,300 | | | FANUC Corp. | | | 4,752,685 | |
| | 15,509 | | | GEA Group AG | | | 554,868 | |
| | 3,900 | | | Harmonic Drive Systems, Inc. | | | 348,959 | |
See accompanying notes to the financial statements.
9
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 29,600 | | | Hino Motors, Ltd. | | $ | 253,575 | |
| | 10,100 | | | Hitachi Construction Machinery Co., Ltd. | | | 288,042 | |
| | 5,400 | | | Hoshizaki Corp. | | | 496,281 | |
| | 7,128 | | | Kion Group AG | | | 619,638 | |
| | 7,540 | | | Knorr-Bremse AG | | | 1,027,011 | |
| | 88,600 | | | Komatsu, Ltd. | | | 2,428,227 | |
| | 34,495 | | | Kone OYJ, Class B | | | 2,798,897 | |
| | 103,000 | | | Kubota Corp. | | | 2,250,546 | |
| | 9,900 | | | Kurita Water Industries, Ltd. | | | 379,003 | |
| | 22,400 | | | Makita Corp. | | | 1,124,604 | |
| | 35,200 | | | MINEBEA MITSUMI, Inc. | | | 700,410 | |
| | 27,500 | | | Misumi Group, Inc. | | | 903,346 | |
| | 31,400 | | | Mitsubishi Heavy Industries, Ltd. | | | 962,483 | |
| | 9,500 | | | Miura Co., Ltd. | | | 530,734 | |
| | 10,700 | | | Nabtesco Corp. | | | 469,775 | |
| | 25,300 | | | NGK Insulators, Ltd. | | | 391,260 | |
| | 32,800 | | | NSK, Ltd. | | | 286,665 | |
| | 519 | | | Rational AG | | | 482,848 | |
| | 113,810 | | | Sandvik AB* | | | 2,783,287 | |
| | 4,175 | | | Schindler Holding AG | | | 1,127,711 | |
| | 2,127 | | | Schindler Holding AG, Registered Shares | | | 572,722 | |
| | 38,524 | | | SKF AB, Class B | | | 998,598 | |
| | 5,700 | | | SMC Corp. | | | 3,481,625 | |
| | 7,350 | | | Spirax-Sarco Engineering plc | | | 1,135,819 | |
| | 12,100 | | | THK Co., Ltd. | | | 391,446 | |
| | 144,423 | | | Volvo AB, Class B | | | 3,400,179 | |
| | 45,633 | | | Wartsila OYJ Abp, Class B | | | 453,956 | |
| | | | | | | | |
| | | | | | | 48,606,947 | |
| | | | | | | | |
| Marine (0.2%): | | | |
| | 317 | | | A.P. Moeller — Maersk A/S, Class A | | | 657,921 | |
| | 620 | | | A.P. Moeller — Maersk A/S, Class B | | | 1,382,786 | |
| | 5,209 | | | Kuehne & Nagel International AG, Registered Shares | | | 1,181,232 | |
| | 17,000 | | | Nippon Yusen KK | | | 396,663 | |
| | | | | | | | |
| | | | | | | 3,618,602 | |
| | | | | | | | |
| Media (0.5%): | | | |
| | 65,352 | | | Altice Europe NV, Class A* | | | 425,424 | |
| | 10,400 | | | Cyberagent, Inc. | | | 717,641 | |
| | 23,277 | | | Dentsu Group, Inc. | | | 692,755 | |
| | 22,700 | | | Hakuhodo DY Holdings, Inc. | | | 312,072 | |
| | 149,972 | | | Informa plc* | | | 1,126,799 | |
| | 73,072 | | | Pearson plc | | | 676,746 | |
| | 21,343 | | | Publicis Groupe SA | | | 1,063,457 | |
| | 7,668 | | | Schibsted ASA, Class A* | | | 327,169 | |
| | 8,826 | | | Schibsted ASA, Class B* | | | 330,359 | |
| | 40,089 | | | SES Global, Class A | | | 379,155 | |
| | 123,545 | | | WPP plc | | | 1,342,121 | |
| | | | | | | | |
| | | | | | | 7,393,698 | |
| | | | | | | | |
| Metals & Mining (3.1%): | | | |
| | 122,347 | | | Anglo American plc | | | 4,074,442 | |
| | 38,773 | | | Antofagasta plc | | | 764,148 | |
| | 70,865 | | | ArcelorMittal* | | | 1,626,041 | |
| | 213,111 | | | BHP Group plc | | | 5,615,452 | |
| | 296,328 | | | BHP Group, Ltd. | | | 9,652,186 | |
| | 50,530 | | | BlueScope Steel, Ltd. | | | 682,642 | |
| | 28,378 | | | Boliden AB | | | 1,004,701 | |
| | 156,938 | | | Evolution Mining, Ltd. | | | 596,300 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 45,268 | | | EVRAZ plc | | $ | 292,077 | |
| | 171,886 | | | Fortescue Metals Group, Ltd. | | | 3,107,160 | |
| | 18,684 | | | Fresnillo plc | | | 288,992 | |
| | 998,837 | | | Glencore plc* | | | 3,185,715 | |
| | 23,000 | | | Hitachi Metals, Ltd. | | | 350,409 | |
| | 53,100 | | | JFE Holdings, Inc.* | | | 510,016 | |
| | 83,307 | | | Newcrest Mining, Ltd. | | | 1,659,239 | |
| | 83,948 | | | Nippon Steel Corp.* | | | 1,088,946 | |
| | 139,445 | | | Norsk Hydro ASA | | | 644,379 | |
| | 73,739 | | | Northern Star Resources, Ltd. | | | 713,353 | |
| | 112,091 | | | Rio Tinto plc | | | 8,385,837 | |
| | 37,667 | | | Rio Tinto, Ltd. | | | 3,307,839 | |
| | 503,161 | | | South32, Ltd. | | | 959,223 | |
| | 23,300 | | | Sumitomo Metal & Mining Co., Ltd. | | | 1,036,011 | |
| | 10,996 | | | Voestalpine AG | | | 395,461 | |
| | | | | | | | |
| | | | | | | 49,940,569 | |
| | | | | | | | |
| Multiline Retail (0.2%): | | | |
| | 20,000 | | | Marui Group Co., Ltd. | | | 351,930 | |
| | 13,072 | | | Next plc* | | | 1,267,428 | |
| | 40,300 | | | Pan Pacific International Holdings Corp. | | | 931,020 | |
| | 25,400 | | | Ryohin Keikaku Co., Ltd. | | | 518,982 | |
| | | | | | | | |
| | | | | | | 3,069,360 | |
| | | | | | | | |
| Multi-Utilities (0.9%): | | | |
| | 58,491 | | | AGL Energy, Ltd. | | | 539,212 | |
| | 226,718 | | | E.ON SE | | | 2,510,579 | |
| | 184,850 | | | Engie Group | | | 2,829,920 | |
| | 356,690 | | | National Grid plc | | | 4,247,753 | |
| | 65,249 | | | RWE AG | | | 2,755,486 | |
| | 35,447 | | | Suez | | | 702,542 | |
| | 54,326 | | | Veolia Environnement SA | | | 1,328,941 | |
| | | | | | | | |
| | | | | | | 14,914,433 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.2%): | | | |
| | 25,483 | | | Ampol, Ltd. | | | 558,777 | |
| | 2,024,299 | | | BP plc | | | 6,972,193 | |
| | 22,895 | | | Enagas SA | | | 502,673 | |
| | 309,320 | | | ENEOS Holdings, Inc. | | | 1,112,207 | |
| | 257,136 | | | ENI SpA | | | 2,661,351 | |
| | 97,921 | | | Equinor ASA | | | 1,627,300 | |
| | 50,007 | | | Galp Energia SGPS SA | | | 534,862 | |
| | 20,287 | | | Idemitsu Kosan Co., Ltd. | | | 446,760 | |
| | 101,400 | | | INPEX Corp. | | | 548,046 | |
| | 7,184 | | | Koninklijke Vopak NV | | | 376,668 | |
| | 17,171 | | | Lundin Energy AB | | | 463,887 | |
| | 42,556 | | | Neste Oyj | | | 3,073,827 | |
| | 214,511 | | | Oil Search, Ltd. | | | 613,740 | |
| | 15,669 | | | OMV AG | | | 632,497 | |
| | 174,874 | | | Origin Energy, Ltd. | | | 642,582 | |
| | 149,869 | | | Repsol SA | | | 1,510,647 | |
| | 413,042 | | | Royal Dutch Shell plc, Class A | | | 7,331,802 | |
| | 369,807 | | | Royal Dutch Shell plc, Class B | | | 6,370,202 | |
| | 172,375 | | | Santos, Ltd. | | | 833,479 | |
| | 203,652 | | | Snam SpA | | | 1,143,481 | |
| | 253,695 | | | TOTAL SE | | | 10,942,514 | |
| | 9,347 | | | Washington H. Soul Pattinson & Co., Ltd.^ | | | 217,004 | |
| | 95,804 | | | Woodside Petroleum, Ltd. | | | 1,679,884 | |
| | | | | | | | |
| | | | | | | 50,796,383 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Paper & Forest Products (0.4%): | | | |
| | 47,339 | | | Mondi plc | | $ | 1,117,121 | |
| | 91,400 | | | Oji Holdings Corp. | | | 520,712 | |
| | 56,458 | | | Stora Enso OYJ, Registered Shares, Class R | | | 1,078,128 | |
| | 60,140 | | | Svenska Cellulosa AB SCA, Class B* | | | 1,049,370 | |
| | 54,690 | | | UPM-Kymmene OYJ | | | 2,034,465 | |
| | | | | | | | |
| | | | | | | 5,799,796 | |
| | | | | | | | |
| Personal Products (2.2%): | | | |
| | 10,142 | | | Beiersdorf AG | | | 1,169,151 | |
| | 48,500 | | | Kao Corp. | | | 3,750,318 | |
| | 5,100 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 623,557 | |
| | 3,100 | | | Kose Corp. | | | 529,875 | |
| | 25,168 | | | L’Oreal SA | | | 9,561,519 | |
| | 10,700 | | | Pola Orbis Holdings, Inc. | | | 217,471 | |
| | 40,400 | | | Shiseido Co., Ltd. | | | 2,802,820 | |
| | 264,007 | | | Unilever plc | | | 15,890,165 | |
| | | | | | | | |
| | | | | | | 34,544,876 | |
| | | | | | | | |
| Pharmaceuticals (8.2%): | | | |
| | 188,100 | | | Astellas Pharma, Inc. | | | 2,908,350 | |
| | 131,930 | | | AstraZeneca plc | | | 13,179,027 | |
| | 99,394 | | | Bayer AG, Registered Shares | | | 5,841,405 | |
| | 67,100 | | | Chugai Pharmaceutical Co., Ltd. | | | 3,582,914 | |
| | 169,800 | | | Daiichi Sankyo Co., Ltd. | | | 5,821,659 | |
| | 24,900 | | | Eisai Co., Ltd. | | | 1,781,836 | |
| | 502,940 | | | GlaxoSmithKline plc | | | 9,214,030 | |
| | 7,816 | | | H. Lundbeck A/S | | | 267,783 | |
| | 15,806 | | | Hikma Pharmaceuticals plc | | | 544,379 | |
| | 5,000 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 297,324 | |
| | 3,643 | | | Ipsen SA | | | 302,860 | |
| | 26,800 | | | Kyowa Kirin Co., Ltd. | | | 732,577 | |
| | 12,832 | | | Merck KGaA | | | 2,199,296 | |
| | 4,200 | | | Nippon Shinyaku Co., Ltd. | | | 275,878 | |
| | 223,263 | | | Novartis AG, Registered Shares | | | 21,094,517 | |
| | 173,319 | | | Novo Nordisk A/S, Class B | | | 12,124,872 | |
| | 37,900 | | | Ono Pharmaceutical Co., Ltd. | | | 1,142,354 | |
| | 10,166 | | | Orion OYJ, Class B | | | 465,943 | |
| | 40,000 | | | Otsuka Holdings Co., Ltd. | | | 1,715,257 | |
| | 10,320 | | | Recordati SpA | | | 570,318 | |
| | 70,489 | | | Roche Holding AG | | | 24,602,504 | |
| | 114,045 | | | Sanofi | | | 11,017,677 | |
| | 37,900 | | | Santen Pharmaceutical Co., Ltd. | | | 615,756 | |
| | 26,000 | | | Shionogi & Co., Ltd. | | | 1,421,407 | |
| | 17,800 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 262,650 | |
| | 3,300 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 222,522 | |
| | 158,473 | | | Takeda Pharmacuetical Co., Ltd. | | | 5,745,743 | |
| | 108,160 | | | Teva Pharmaceutical Industries, Ltd., ADR* | | | 1,043,744 | |
| | 12,888 | | | UCB SA | | | 1,331,953 | |
| | 4,338 | | | Vifor Pharma AG | | | 684,079 | |
| | | | | | | | |
| | | | | | | 131,010,614 | |
| | | | | | | | |
| Professional Services (1.6%): | | | |
| | 15,635 | | | Adecco SA, Registered Shares | | | 1,048,720 | |
| | 28,401 | | | Bureau Veritas SA | | | 755,342 | |
| | 93,207 | | | Experian plc | | | 3,551,127 | |
| | 16,008 | | | Intertek Group plc | | | 1,236,868 | |
| | 14,900 | | | Nihon M&A Center, Inc. | | | 997,255 | |
| | 16,700 | | | Persol Holdings Co., Ltd. | | | 301,910 | |
| | 12,022 | | | Randstad NV | | | 782,480 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services, continued | | | |
| | 135,600 | | | Recruit Holdings Co., Ltd. | | $ | 5,688,367 | |
| | 194,366 | | | RELX plc | | | 4,780,093 | |
| | 32,954 | | | Seek, Ltd. | | | 725,393 | |
| | 619 | | | SGS SA, Registered Shares | | | 1,866,700 | |
| | 5,992 | | | Teleperformance | | | 1,986,768 | |
| | 27,345 | | | Wolters Kluwer NV | | | 2,307,704 | |
| | | | | | | | |
| | | | | | | 26,028,727 | |
| | | | | | | | |
| Real Estate Management & Development (1.7%): | | | |
| | 10,760 | | | AEON Mall Co., Ltd. | | | 178,237 | |
| | 103,076 | | | Aroundtown SA | | | 770,701 | |
| | 4,496 | | | Azrieli Group | | | 286,411 | |
| | 74,028 | | | BGP Holdings plc*(a) | | | — | |
| | 266,800 | | | CapitaLand, Ltd. | | | 661,465 | |
| | 47,900 | | | City Developments, Ltd. | | | 289,104 | |
| | 262,244 | | | CK Asset Holdings, Ltd. | | | 1,348,919 | |
| | 6,100 | | | Daito Trust Construction Co., Ltd. | | | 570,606 | |
| | 57,700 | | | Daiwa House Industry Co., Ltd. | | | 1,722,576 | |
| | 35,178 | | | Deutsche Wohnen SE | | | 1,877,663 | |
| | 170,600 | | | ESR Cayman, Ltd.* | | | 613,164 | |
| | 10,270 | | | Fastighets AB Balder* | | | 536,814 | |
| | 203,000 | | | Hang Lung Properties, Ltd. | | | 537,298 | |
| | 150,956 | | | Henderson Land Development Co., Ltd. | | | 589,364 | |
| | 107,700 | | | Hongkong Land Holdings, Ltd. | | | 444,916 | |
| | 32,500 | | | Hulic Co., Ltd. | | | 357,461 | |
| | 6,974 | | | LEG Immobilien AG | | | 1,081,101 | |
| | 70,590 | | | Lend Lease Group | | | 713,511 | |
| | 116,800 | | | Mitsubishi Estate Co., Ltd. | | | 1,886,519 | |
| | 93,400 | | | Mitsui Fudosan Co., Ltd. | | | 1,968,960 | |
| | 153,655 | | | New World Development Co., Ltd. | | | 715,934 | |
| | 12,300 | | | Nomura Real Estate Holdings, Inc. | | | 273,635 | |
| | 310,601 | | | Sino Land Co., Ltd. | | | 404,822 | |
| | 30,300 | | | Sumitomo Realty & Development Co., Ltd. | | | 936,362 | |
| | 130,500 | | | Sun Hung Kai Properties, Ltd. | | | 1,684,844 | |
| | 44,964 | | | Swire Pacific, Ltd., Class A | | | 250,029 | |
| | 122,000 | | | Swire Properties, Ltd. | | | 355,537 | |
| | 7,294 | | | Swiss Prime Site AG | | | 717,335 | |
| | 61,000 | | | Tokyu Fudosan Holdings Corp. | | | 326,066 | |
| | 51,296 | | | UOL Group, Ltd. | | | 299,988 | |
| | 51,789 | | | Vonovia SE | | | 3,776,073 | |
| | 161,300 | | | Wharf Real Estate Investment Co., Ltd. | | | 841,063 | |
| | | | | | | | |
| | | | | | | 27,016,478 | |
| | | | | | | | |
| Road & Rail (1.0%): | | | |
| | 192,112 | | | Aurizon Holdings, Ltd. | | | 578,049 | |
| | 14,300 | | | Central Japan Railway Co. | | | 2,031,432 | |
| | 21,104 | | | DSV PANALPINA A/S | | | 3,532,445 | |
| | 31,013 | | | East Japan Railway Co. | | | 2,076,294 | |
| | 23,800 | | | Hankyu Hanshin Holdings, Inc. | | | 793,661 | |
| | 23,600 | | | Keikyu Corp. | | | 405,953 | |
| | 10,000 | | | Keio Corp. | | | 776,521 | |
| | 13,700 | | | Keisei Electric Railway Co., Ltd. | | | 464,628 | |
| | 16,600 | | | Kintetsu Group Holdings Co., Ltd. | | | 728,584 | |
| | 16,600 | | | Kyushu Railway Co. | | | 358,669 | |
| | 150,494 | | | MTR Corp., Ltd. | | | 841,845 | |
| | 19,200 | | | Nagoya Railroad Co., Ltd.^ | | | 507,067 | |
| | 6,900 | | | Nippon Express Co., Ltd. | | | 464,288 | |
| | 28,800 | | | Odakyu Electric Railway Co., Ltd. | | | 905,435 | |
See accompanying notes to the financial statements.
11
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 20,200 | | | Tobu Railway Co., Ltd. | | $ | 604,298 | |
| | 50,200 | | | Tokyu Corp. | | | 624,625 | |
| | 15,600 | | | West Japan Railway Co. | | | 820,226 | |
| | | | | | | | |
| | | | | | | 16,514,020 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (2.5%): | | | |
| | 20,600 | | | Advantest Corp. | | | 1,546,810 | |
| | 29,200 | | | ASM Pacific Technology, Ltd. | | | 385,465 | |
| | 42,678 | | | ASML Holding NV | | | 20,622,009 | |
| | 2,800 | | | Disco Corp. | | | 944,548 | |
| | 130,354 | | | Infineon Technologies AG | | | 5,001,910 | |
| | 7,400 | | | Lasertec Corp. | | | 870,615 | |
| | 78,700 | | | Renesas Electronics Corp.* | | | 825,914 | |
| | 9,100 | | | ROHM Co., Ltd. | | | 882,792 | |
| | 64,477 | | | STMicroelectronics NV | | | 2,388,579 | |
| | 27,200 | | | SUMCO Corp. | | | 597,283 | |
| | 14,900 | | | Tokyo Electron, Ltd. | | | 5,558,298 | |
| | | | | | | | |
| | | | | | | 39,624,223 | |
| | | | | | | | |
| Software (1.7%): | | | |
| | 10,638 | | | AVEVA Group plc | | | 464,349 | |
| | 11,764 | | | Check Point Software Technologies, Ltd.* | | | 1,563,553 | |
| | 3,816 | | | CyberArk Software, Ltd.* | | | 616,627 | |
| | 13,241 | | | Dassault Systemes SA | | | 2,689,474 | |
| | 6,278 | | | Nemetschek SE | | | 463,293 | |
| | 6,468 | | | NICE Systems, Ltd.* | | | 1,828,633 | |
| | 3,700 | | | Oracle Corp. | | | 481,527 | |
| | 108,635 | | | Sage Group plc | | | 865,171 | |
| | 104,955 | | | SAP SE | | | 13,790,214 | |
| | 14,132 | | | TeamViewer AG* | | | 756,747 | |
| | 6,783 | | | Temenos AG | | | 946,787 | |
| | 13,300 | | | Trend Micro, Inc. | | | 765,811 | |
| | 16,409 | | | WiseTech Global, Ltd. | | | 388,403 | |
| | 12,314 | | | Xero, Ltd.* | | | 1,401,646 | |
| | | | | | | | |
| | | | | | | 27,022,235 | |
| | | | | | | | |
| Specialty Retail (0.9%): | | | |
| | 3,700 | | | ABC-Mart, Inc. | | | 205,905 | |
| | 5,800 | | | Fast Retailing Co., Ltd. | | | 5,205,360 | |
| | 81,766 | | | Hennes & Mauritz AB, Class B* | | | 1,708,746 | |
| | 2,000 | | | Hikari Tsushin, Inc. | | | 467,721 | |
| | 109,294 | | | Industria de Diseno Textil SA | | | 3,479,685 | |
| | 42,066 | | | JD Sports Fashion plc* | | | 495,517 | |
| | 205,036 | | | Kingfisher plc* | | | 758,593 | |
| | 8,200 | | | Nitori Co., Ltd. | | | 1,719,353 | |
| | 2,400 | | | Shimamura Co., Ltd. | | | 251,807 | |
| | 20,700 | | | USS Co., Ltd. | | | 418,806 | |
| | 67,300 | | | Yamada Holdings Co., Ltd. | | | 357,651 | |
| | | | | | | | |
| | | | | | | 15,069,144 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.5%): | | | |
| | 22,600 | | | Brother Industries, Ltd. | | | 466,616 | |
| | 98,600 | | | Canon, Inc. | | | 1,893,729 | |
| | 36,800 | | | FUJIFILM Holdings Corp. | | | 1,941,114 | |
| | 16,061 | | | Logitech International SA, Class R | | | 1,558,265 | |
| | 25,100 | | | NEC Corp. | | | 1,344,118 | |
| | 69,000 | | | Ricoh Co., Ltd. | | | 453,093 | |
| | 27,900 | | | Seiko Epson Corp. | | | 414,767 | |
| | | | | | | | |
| | | | | | | 8,071,702 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods (2.7%): | | | |
| | 19,184 | | | Adidas AG* | | $ | 6,982,663 | |
| | 42,083 | | | Burberry Group plc* | | | 1,030,649 | |
| | 52,011 | | | Cie Financiere Richemont SA | | | 4,701,428 | |
| | 3,152 | | | Hermes International SA | | | 3,389,085 | |
| | 7,654 | | | Kering | | | 5,563,727 | |
| | 27,814 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 17,376,812 | |
| | 19,203 | | | Moncler SpA | | | 1,174,424 | |
| | 10,406 | | | Pandora A/S | | | 1,162,733 | |
| | 8,997 | | | Puma SE* | | | 1,014,277 | |
| | 2,878 | | | Swatch Group AG (The), Class B | | | 784,664 | |
| | 5,032 | | | Swatch Group AG (The), Registered Shares | | | 265,703 | |
| | | | | | | | |
| | | | | | | 43,446,165 | |
| | | | | | | | |
| Tobacco (0.9%): | | | |
| | 231,610 | | | British American Tobacco plc | | | 8,613,435 | |
| | 97,026 | | | Imperial Brands plc, Class A | | | 2,038,346 | |
| | 120,400 | | | Japan Tobacco, Inc. | | | 2,453,933 | |
| | 15,801 | | | Swedish Match AB, Class B | | | 1,228,016 | |
| | | | | | | | |
| | | | | | | 14,333,730 | |
| | | | | | | | |
| Trading Companies & Distributors (1.4%): | | | |
| | 44,819 | | | Ashtead Group plc | | | 2,108,811 | |
| | 15,688 | | | Brenntag AG | | | 1,213,922 | |
| | 33,120 | | | Bunzl plc | | | 1,106,925 | |
| | 22,694 | | | Ferguson plc | | | 2,759,428 | |
| | 134,700 | | | Itochu Corp. | | | 3,880,092 | |
| | 166,200 | | | Marubeni Corp. | | | 1,107,917 | |
| | 134,500 | | | Mitsubishi Corp. | | | 3,317,363 | |
| | 163,600 | | | Mitsui & Co., Ltd. | | | 3,001,890 | |
| | 12,700 | | | MonotaRo Co., Ltd. | | | 645,841 | |
| | 121,200 | | | Sumitomo Corp. | | | 1,606,789 | |
| | 21,000 | | | Toyota Tsushu Corp. | | | 849,780 | |
| | | | | | | | |
| | | | | | | 21,598,758 | |
| | | | | | | | |
| Transportation Infrastructure (0.5%): | | | |
| | 6,691 | | | Aena SME SA* | | | 1,168,213 | |
| | 3,172 | | | Aeroports de Paris* | | | 411,706 | |
| | 51,721 | | | Atlantia SpA* | | | 928,439 | |
| | 132,104 | | | Auckland International Airport, Ltd.* | | | 721,780 | |
| | 42,517 | | | Getlink SE | | | 736,892 | |
| | 5,100 | | | Japan Airport Terminal Co., Ltd. | | | 309,807 | |
| | 137,229 | | | Sydney Airport* | | | 678,527 | |
| | 277,630 | | | Transurban Group | | | 2,925,952 | |
| | | | | | | | |
| | | | | | | 7,881,316 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 25,272 | | | Severn Trent plc | | | 791,396 | |
| | 68,705 | | | United Utilities Group plc | | | 844,924 | |
| | | | | | | | |
| | | | | | | 1,636,320 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.6%): | | | |
| | 163,000 | | | KDDI Corp. | | | 4,841,379 | |
| | 291,100 | | | Softbank Corp. | | | 3,649,948 | |
| | 157,700 | | | SoftBank Group Corp. | | | 12,352,164 | |
| | 47,222 | | | Tele2 AB | | | 624,469 | |
| | 2,682,025 | | | Vodafone Group plc | | | 4,412,974 | |
| | | | | | | | |
| | | | | | | 25,880,934 | |
| | | | | | | | |
| | Total Common Stocks (Cost $1,108,649,194) | | | 1,581,952,061 | |
| | | | | |
See accompanying notes to the financial statements.
12
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Preferred Stocks (0.5%): | | | |
| Automobiles (0.3%): | | | |
| | 5,302 | | | Bayerische Motoren Werke AG (BMW), 4.56%, 5/15/20 | | $ | 357,518 | |
| | 15,807 | | | Porsche Automobil Holding SE, 3.92%, 5/20/20 | | | 1,089,430 | |
| | 18,557 | | | Volkswagen AG, 3.19%, 5/8/20 | | | 3,456,916 | |
| | | | | | | | |
| | | | | | | 4,903,864 | |
| | | | | | | | |
| Household Products (0.2%): | | | |
| | 18,330 | | | Henkel AG & Co. KGaA, 2.01%, 4/21/20 | | | 2,065,235 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $5,141,936) | | | 6,969,099 | |
| | | | | |
| Right (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 149,869 | | | Repsol SA, Expires on 1/11/21^ | | | 51,386 | |
| | | | | | | | |
| | Total Right (Cost $52,921) | | | 51,386 | |
| | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.3%): | |
| | 5,558,815 | | | BlackRock Liquidity FedFund, Institutional Class, 0.38%(b)(c) | | | 5,558,815 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $5,558,815) | | | 5,558,815 | |
| | | | | | | | |
| | Total Investment Securities (Cost $1,119,402,866) — 99.8%(d) | | | 1,594,531,361 | |
| | Net other assets (liabilities) — 0.2% | | | 3,382,918 | |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,597,914,279 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $4,420,549. |
| † | Represents less than 0.05%. |
| (a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of December 31, 2020. The total of all such securities represent 0.00% of the net assets of the fund. |
| (b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—” round to less than 1 share or less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of December 31, 2020:
(Unaudited)
| | | | |
| Country | | Percentage | |
| |
Australia | | | 7.2 | % |
Austria | | | 0.2 | % |
Belgium | | | 0.9 | % |
Bermuda | | | 0.1 | % |
Denmark | | | 2.5 | % |
Finland | | | 1.2 | % |
France | | | 10.3 | % |
Germany | | | 9.2 | % |
Hong Kong | | | 3.0 | % |
Ireland | | | 1.3 | % |
Isle of Man | | | 0.1 | % |
Israel | | | 0.6 | % |
Italy | | | 2.3 | % |
| | | | |
| Country | | Percentage | |
| |
Japan | | | 25.3 | % |
Luxembourg | | | 0.2 | % |
Netherlands | | | 4.7 | % |
New Zealand | | | 0.2 | % |
Norway | | | 0.4 | % |
Portugal | | | 0.1 | % |
Singapore | | | 1.1 | % |
Spain | | | 2.5 | % |
Sweden | | | 3.2 | % |
Switzerland | | | 10.0 | % |
United Kingdom | | | 13.1 | % |
United States | | | 0.3 | % |
| | | | |
| | | 100.0 | % |
| | | | |
See accompanying notes to the financial statements.
13
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2020
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
ASX SPI 200 Index March Futures (Australian Dollar) | | | 3/18/21 | | | | 10 | | | $ | 1,259,683 | | | $ | (12,173 | ) |
DJ EURO STOXX 50 March Futures (Euro) | | | 3/19/21 | | | | 92 | | | | 3,989,397 | | | | 79,456 | |
FTSE 100 Index March Futures (British Pounds) | | | 3/19/21 | | | | 28 | | | | 2,457,853 | | | | (8,792 | ) |
SGX Nikkei 225 Index March Futures (Japanese Yen) | | | 3/11/21 | | | | 20 | | | | 2,662,728 | | | | 97,844 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 156,335 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
14
AZL International Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 1,113,681,634 | |
Investments in affiliates, at cost | | | | 5,721,232 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | $ | 1,584,308,319 | |
Investments in affiliates, at value | | | | 10,223,042 | |
Deposit at broker for futures contracts collateral | | | | 987,845 | |
Interest and dividends receivable | | | | 1,317,333 | |
Foreign currency, at value (cost $7,276,728) | | | | 7,390,012 | |
Receivable for investments sold | | | | 207,297 | |
Receivable for variation margin on futures contracts | | | | 20,718 | |
Reclaims receivable | | | | 7,215,607 | |
Prepaid expenses | | | | 8,291 | |
| | | | | |
Total Assets | | | | 1,611,678,464 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 4,982,155 | |
Payable for capital shares redeemed | | | | 2,137,948 | |
Payable for collateral received on loaned securities | | | | 5,558,815 | |
Manager fees payable | | | | 470,049 | |
Administration fees payable | | | | 99,701 | |
Distribution fees payable | | | | 314,046 | |
Custodian fees payable | | | | 52,895 | |
Administrative and compliance services fees payable | | | | 3,669 | |
Transfer agent fees payable | | | | 1,772 | |
Trustee fees payable | | | | 13,285 | |
Other accrued liabilities | | | | 129,850 | |
| | | | | |
Total Liabilities | | | | 13,764,185 | |
| | | | | |
Net Assets | | | $ | 1,597,914,279 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 1,142,525,144 | |
Total distributable earnings | | | | 455,389,135 | |
| | | | | |
Net Assets | | | $ | 1,597,914,279 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 100,924,261 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 8,581,551 | |
Net Asset Value (offering and redemption price per share) | | | $ | 11.76 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 1,496,990,018 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 85,904,566 | |
Net Asset Value (offering and redemption price per share) | | | $ | 17.43 | |
| | | | | |
| (a) | Includes securities on loan of $4,420,549. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 37,961,520 | |
Dividends from affiliates | | | | 463,330 | |
Income from securities lending | | | | 220,214 | |
Foreign withholding tax | | | | (3,326,580 | ) |
| | | | | |
Total Investment Income | | | | 35,318,484 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 5,165,814 | |
Administration fees | | | | 524,501 | |
Distribution fees — Class 2 | | | | 3,460,941 | |
Custodian fees | | | | 251,826 | |
Administrative and compliance services fees | | | | 25,988 | |
Transfer agent fees | | | | 13,034 | |
Trustee fees | | | | 87,524 | |
Professional fees | | | | 71,903 | |
Licensing fees | | | | 465,920 | |
Shareholder reports | | | | 64,463 | |
Other expenses | | | | 47,849 | |
| | | | | |
Total expenses | | | | 10,179,763 | |
| | | | | |
Net Investment Income/(Loss) | | | | 25,138,721 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | (13,951,937 | ) |
Net realized gains/(losses) on affiliated transactions | | | | 298,949 | |
Net realized gains/(losses) on futures contracts | | | | 7,098,077 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 78,594,803 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | (587,049 | ) |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 349,155 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 71,801,998 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 96,940,719 | |
| | | | | |
See accompanying notes to the financial statements.
15
AZL International Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 25,138,721 | | | | $ | 43,725,702 | |
Net realized gains/(losses) on investments | | | | (6,554,911 | ) | | | | 7,017,408 | |
Change in unrealized appreciation/depreciation on investments | | | | 78,356,909 | | | | | 265,416,714 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 96,940,719 | | | | | 316,159,824 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (4,836,469 | ) | | | | (4,671,747 | ) |
Class 2 | | | | (45,994,684 | ) | | | | (45,310,584 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (50,831,153 | ) | | | | (49,982,331 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 282,407 | | | | | 277,487 | |
Proceeds from dividends reinvested | | | | 4,836,469 | | | | | 4,671,747 | |
Value of shares redeemed | | | | (12,097,908 | ) | | | | (12,887,802 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (6,979,032 | ) | | | | (7,938,568 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 98,897,417 | | | | | 45,976,347 | |
Proceeds from dividends reinvested | | | | 45,994,684 | | | | | 45,310,584 | |
Value of shares redeemed | | | | (283,998,277 | ) | | | | (173,248,705 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (139,106,176 | ) | | | | (81,961,774 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (146,085,208 | ) | | | | (89,900,342 | ) |
| | | | | | | | | | |
Change in net assets | | | | (99,975,642 | ) | | | | 176,277,151 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,697,889,921 | | | | | 1,521,612,770 | |
| | | | | | | | | | |
End of period | | | $ | 1,597,914,279 | | | | $ | 1,697,889,921 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 29,223 | | | | | 24,903 | |
Dividends reinvested | | | | 465,493 | | | | | 441,564 | |
Shares redeemed | | | | (1,161,500 | ) | | | | (1,169,990 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (666,784 | ) | | | | (703,523 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 7,520,450 | | | | | 2,878,245 | |
Dividends reinvested | | | | 2,986,668 | | | | | 2,940,336 | |
Shares redeemed | | | | (19,371,973 | ) | | | | (10,864,598 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (8,864,855 | ) | | | | (5,046,017 | ) |
| | | | | | | | | | |
Change in shares | | | | (9,531,639 | ) | | | | (5,749,540 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
16
AZL International Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016^ |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.53 | | | | $ | 9.94 | | | | $ | 12.30 | | | | $ | 10.07 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.20 | (a) | | | | 0.32 | (a) | | | | 0.36 | | | | | 0.37 | | | | | 0.12 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.61 | | | | | 1.79 | | | | | (2.00 | ) | | | | 2.15 | | | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.81 | | | | | 2.11 | | | | | (1.64 | ) | | | | 2.52 | | | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.55 | ) | | | | (0.42 | ) | | | | (0.50 | ) | | | | (0.16 | ) | | | | — | |
Net Realized Gains | | | | (0.03 | ) | | | | (0.10 | ) | | | | (0.22 | ) | | | | (0.13 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.58 | ) | | | | (0.52 | ) | | | | (0.72 | ) | | | | (0.29 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.76 | | | | $ | 11.53 | | | | $ | 9.94 | | | | $ | 12.30 | | | | $ | 10.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 7.66 | % | | | | 21.67 | % | | | | (13.80 | )% | | | | 25.12 | % | | | | 0.70 | %(c) |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 100,924 | | | | $ | 106,657 | | | | $ | 98,902 | | | | $ | 132,265 | | | | $ | 123,158 | |
Net Investment Income/(Loss)(d) | | | | 1.93 | % | | | | 2.89 | % | | | | 2.62 | % | | | | 2.48 | % | | | | 1.19 | % |
Expenses Before Reductions(d)(e) | | | | 0.46 | % | | | | 0.44 | % | | | | 0.45 | % | | | | 0.48 | % | | | | 0.40 | % |
Expenses Net of Reductions(d) | | | | 0.46 | % | | | | 0.44 | % | | | | 0.45 | % | | | | 0.48 | % | | | | 0.40 | % |
Portfolio Turnover Rate(f) | | | | 9 | % | | | | 4 | % | | | | 2 | % | | | | 8 | % | | | | 55 | %(g) |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 16.79 | | | | $ | 14.25 | | | | $ | 17.30 | | | | $ | 14.10 | | | | $ | 14.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.26 | (a) | | | | 0.42 | (a) | | | | 0.43 | | | | | 0.36 | | | | | 0.15 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.91 | | | | | 2.60 | | | | | (2.81 | ) | | | | 3.12 | | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.17 | | | | | 3.02 | | | | | (2.38 | ) | | | | 3.48 | | | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.50 | ) | | | | (0.38 | ) | | | | (0.45 | ) | | | | (0.15 | ) | | | | (0.37 | ) |
Net Realized Gains | | | | (0.03 | ) | | | | (0.10 | ) | | | | (0.22 | ) | | | | (0.13 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.53 | ) | | | | (0.48 | ) | | | | (0.67 | ) | | | | (0.28 | ) | | | | (0.37 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 17.43 | | | | $ | 16.79 | | | | $ | 14.25 | | | | $ | 17.30 | | | | $ | 14.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 7.40 | % | | | | 21.44 | % | | | | (14.04 | )% | | | | 24.77 | % | | | | 0.37 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,496,990 | | | | $ | 1,591,233 | | | | $ | 1,422,711 | | | | $ | 1,862,508 | | | | $ | 1,605,552 | |
Net Investment Income/(Loss) | | | | 1.69 | % | | | | 2.64 | % | | | | 2.36 | % | | | | 2.21 | % | | | | 2.11 | % |
Expenses Before Reductions(e) | | | | 0.71 | % | | | | 0.69 | % | | | | 0.70 | % | | | | 0.73 | % | | | | 0.71 | % |
Expenses Net of Reductions | | | | 0.71 | % | | | | 0.69 | % | | | | 0.70 | % | | | | 0.73 | % | | | | 0.71 | % |
Portfolio Turnover Rate(f) | | | | 9 | % | | | | 4 | % | | | | 2 | % | | | | 8 | % | | | | 55 | %(g) |
| ^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
| (g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 55%. |
See accompanying notes to the financial statements.
17
AZL International Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL International Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears
18
AZL International Index Fund
Notes to the Financial Statements
December 31, 2020
expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $21,039 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $5,558,815 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $28.0 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 177,300 | | | Payable for variation margin on futures contracts* | | $ | 20,965 | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
19
AZL International Index Fund
Notes to the Financial Statements
December 31, 2020
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
| | | |
Equity Risk | | | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 7,098,077 | | | $ | 349,155 | |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL International Index Fund Class 1 | | | | 0.35 | % | | | | 0.52 | % |
AZL International Index Fund Class 2 | | | | 0.35 | % | | | | 0.77 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
At December 31, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Fair Value
12/31/2019 | | Purchases
at Cost | | Proceeds
from Sales | | Net
Realized
Gains(Losses) | | Change in Net
Unrealized
Appreciation/
Depreciation | | Fair Value
12/31/2020 | | Shares as of
12/31/2020 | | Dividend
Income | | Capital Gains
Distributions |
| | | | | | | | | |
Allianz SE, Registered Shares | | | $ | 11,646,273 | | | | $ | 486,543 | | | | $ | (1,621,674 | ) | | | $ | 298,949 | | | | $ | (587,049 | ) | | | $ | 10,223,042 | | | | | 41,788 | | | | $ | 463,330 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 11,646,273 | | | | $ | 486,543 | | | | $ | (1,621,674 | ) | | | $ | 298,949 | | | | $ | (587,049 | ) | | | $ | 10,223,042 | | | | | 41,788 | | | | $ | 463,330 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
20
AZL International Index Fund
Notes to the Financial Statements
December 31, 2020
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $8,094 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 4,903,089 | | | | $ | 1,577,048,972 | | | | $ | — | # | | | $ | 1,581,952,061 | |
Preferred Stocks+ | | | | — | | | | | 6,969,099 | | | | | — | | | | | 6,969,099 | |
Rights | | | | 51,386 | | | | | — | | | | | — | | | | | 51,386 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 5,558,815 | | | | | — | | | | | — | | | | | 5,558,815 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 10,513,290 | | | | | 1,584,018,071 | | | | | — | | | | | 1,594,531,361 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 156,335 | | | | | — | | | | | — | | | | | 156,335 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 10,669,625 | | | | $ | 1,584,018,071 | | | | $ | — | | | | $ | 1,594,687,696 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at December 31, 2020. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
21
AZL International Index Fund
Notes to the Financial Statements
December 31, 2020
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL International Index Fund | | | $ | 126,558,749 | | | | $ | 264,528,117 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $1,166,631,689. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 509,844,309 | |
Unrealized (depreciation) | | | (81,944,637 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 427,899,672 | |
| | | | |
As of the end of its tax year ended December 31, 2020, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
CLCF’s not subject to expiration:
| | | | | | | | | | | | | | | |
| 2020 | | Short-Term
Amount | | Long-Term
Amount | | Total
Amount |
| | | |
AZL International Index Fund | | | $ | — | | | | $ | 799,546 | | | | $ | 799,546 | |
22
AZL International Index Fund
Notes to the Financial Statements
December 31, 2020
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL International Index Fund | | | $ | 49,683,835 | | | | $ | 1,147,318 | | | | $ | 50,831,153 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL International Index Fund | | | $ | 39,883,140 | | | | $ | 10,099,191 | | | | $ | 49,982,331 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL International Index Fund | | | $ | 27,467,388 | | | | $ | — | | | | $ | (799,546 | ) | | | $ | 428,721,293 | | | | $ | 455,389,135 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and mark-to-market of futures contracts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 60% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
23
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of AZL International Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL International Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
24
Other Federal Income Tax Information (Unaudited)
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $1,829,510.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $1,147,318.
25
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (``Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
26
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
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The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
28
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
30
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
31
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® MetWest Total Return Bond Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® MetWest Total Return Bond Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® MetWest Total Return Bond Fund and Metropolitan West Asset Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® MetWest Total Return Bond Fund (the “Fund”) returned 8.58%. That compared to a 7.51% total return for its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index1.
In March 2020, the U.S. Federal Reserve Board (the Fed) cut interest rates and instituted a roughly $2 trillion fiscal stimulus package in response to the economic fallout from the coronavirus (COVID-19) crisis. These moves supported liquidity and reduced economic volatility, making risk assets attractive to investors. Economic sectors that had been aided by stay-at-home orders benefited economically alongside large companies with strong access to the credit markets. Conversely, sectors adversely affected by the pandemic, such as travel, hospitality, small business, and some brick-and-mortar retail sub-segments, experienced substantial losses.
In credit markets, some high-yield issuers were slow to recover from the economic shock of the pandemic and continued to carry wider spreads through the year. However, nearly half of the high-yield market ended the period trading at historically low yields. Investment-grade corporate bonds and high-yield bonds experienced a strong resurgence in returns through the fourth quarter. Within the securitized space, fourth-quarter returns were more muted, though full-year results remained positive.
The Fund added significantly to its corporate credit holdings in the first and second quarters of 2020, yet still wound up underweight compared to the benchmark, as yield premiums returned to pre-pandemic levels. This positioning hurt relative performance in the first quarter when investment-grade spreads increased, but benefited relative performance as investment-grade spreads contracted through the end of the year.*
The Fund’s emphasis on current-coupon agency forward-settling mortgage-backed securities (MBS) also contributed to the Fund’s relative performance, supported by Fed stimulus policy. Non-agency MBS also contributed to relative returns, as the sector steadily recovered following steep declines in March.*
The Fund reduced its holdings in collateralized mortgage-backed securities and asset-backed securities to fund credit purchases and improve its liquidity profile. These assets had little impact on the Fund’s performance during the year. In response to falling U.S. Treasury yields, the Fund reduced its duration, ending the year in a shorter position than its benchmark. This positioning detracted minimally from the Fund’s relative performance.*
The Fund held derivatives in the form of futures, forward currency contracts, written options and interest rate swaps during the period under review. None of these holdings materially affected performance.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® MetWest Total Return Bond Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to maximize long-term total return. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in investment-grade fixed income securities or unrated securities that are determined by the Subadvisor to be of similar quality.
Investment Concerns
Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return.
Emerging market investing may be subject to additional economic, political, liquidity, and currency risks not associated with more developed countries.
International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations.
Mortgage-backed investments involve risk of loss due to prepayments and, like any bond, due to default. Because of the sensitivity of mortgage-related securities to changes in interest rates, the Fund’s performance may be more volatile than if it did not hold these securities.
High-yield bonds have a higher risk of default or other adverse credit events, but have the potential to pay higher earnings over investment-grade bonds. The higher risk of default, or the inability of the creditor to repay its debt, is the primary reason for the higher interest rates on high-yield bonds.
Debt securities held by the Fund may decline in value due to rising interest rates.
Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | Since
Inception
(11/17/14) | |
AZL® MetWest Total Return Bond Fund | | | 8.58 | % | | | 5.54 | % | | | 4.40 | % | | | 3.66 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | 7.51 | % | | | 5.34 | % | | | 4.44 | % | | | 3.84 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® MetWest Total Return Bond Fund | | | 0.91 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.50% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.91% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Bloomberg Barclays U.S. Aggregate Bond Index, which is an unmanaged market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL MetWest Total Return Bond Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL MetWest Total Return Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL MetWest Total Return Bond Fund | | | $ | 1,000.00 | | | | $ | 1,025.50 | | | | $ | 4.23 | | | | | 0.83 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL MetWest Total Return Bond Fund | | | $ | 1,000.00 | | | | $ | 1,020.96 | | | | $ | 4.22 | | | | | 0.83 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
U.S. Treasury Obligations | | | | 41.4 | % |
| |
U.S. Government Agency Mortgages | | | | 30.9 | |
| |
Corporate Bonds | | | | 18.6 | |
| |
Collateralized Mortgage Obligations | | | | 8.4 | |
| |
Yankee Debt Obligations | | | | 5.6 | |
| |
Asset Backed Securities | | | | 3.8 | |
| |
Unaffiliated Investment Companies | | | | 2.0 | |
| |
Foreign Bonds | | | | 1.8 | |
| |
Municipal Bonds | | | | 1.3 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.1 | |
| | | | | |
| |
Total Investment Securities | | | | 113.9 | |
| |
Net other assets (liabilities) | | | | (13.9 | ) |
| | | | | |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities (3.8%): | |
| $ | 1,234,437 | | | Ajax Mortgage Loan Trust, Class A1, Series 2019-F, 2.86%, 7/25/59, Callable 11/25/22 @ 100(a)(b) | | $ | 1,268,246 | |
| | 965,000 | | | Navient Student Loan Trust, Class A3, Series 2016-2, 1.65%(US0001M+150bps), 6/25/65, Callable 7/25/32 @ 100 | | | 990,578 | |
| | 2,285,000 | | | SLC Student Loan Trust, Class 2A3, Series 2006-1, 0.38%(US0003M+16bps), 3/15/55, Callable 12/15/30 @ 100 | | | 2,194,892 | |
| | 845,899 | | | SLC Student Loan Trust, Class 2A3, Series 2008-1, 1.82%(US0003M+160bps), 12/15/32, Callable 12/15/27 @ 100 | | | 867,091 | |
| | 1,220,000 | | | SLM Student Loan Trust, Class 2A3, Series 2008-5, 2.06%(US0003M+185bps), 7/25/73, Callable 10/25/22 @ 100 | | | 1,147,059 | |
| | 240,000 | | | SLM Student Loan Trust, Class 2A3, Series 2008-9, 2.46%(US0003M+225bps), 10/25/83, Callable 10/25/22 @ 100 | | | 236,604 | |
| | 65,354 | | | SLM Student Loan Trust, Class A, Series 2009-3, 0.90%(US0001M+75bps), 1/25/45, Callable 10/25/34 @ 100 | | | 64,916 | |
| | 626,396 | | | SLM Student Loan Trust, Class A3, Series 2012-1, 1.10%(US0001M+95bps), 9/25/28, Callable 5/25/28 @ 100 | | | 596,773 | |
| | 931,590 | | | SLM Student Loan Trust, Class A4, Series 2008-6, 1.31%(US0003M+110bps), 7/25/23, Callable 10/25/24 @ 100 | | | 908,393 | |
| | 338,542 | | | SLM Student Loan Trust, Class A, Series 2008-9, 1.71%(US0003M+150bps), 4/25/23, Callable 10/25/22 @ 100 | | | 336,204 | |
| | 553,971 | | | SLM Student Loan Trust, Class 2A3, Series 2003-7, 0.79%(US0003M+57bps), 9/15/39, Callable 12/15/29 @ 100 | | | 511,922 | |
| | 602,622 | | | SLM Student Loan Trust, Class A4, Series 2007-7, 0.54%(US0003M+33bps), 1/25/22, Callable 7/25/23 @ 100 | | | 574,532 | |
| | 1,589,129 | | | Wachovia Student Loan Trust, Class 2A3, Series 2006-1, 0.38%(US0003M+17bps), 4/25/40, Callable 4/25/26 @ 100(a) | | | 1,535,920 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $11,226,824) | | | 11,233,130 | |
| | | | | |
| Collateralized Mortgage Obligations (8.4%): | |
| | 788,777 | | | AIMCO CLO, Class AR, Series 2015-AA, 1.09%(US0003M+85bps), 1/15/28, Callable 1/15/21 @ 100 | | | 787,119 | |
| | 1,230,883 | | | Alternative Loan Trust, Class 4A1, Series 2005-56, 0.77%(US0001M+31bps), 11/25/35, Callable 1/25/21 @ 100 | | | 1,144,746 | |
| | 663,695 | | | America Home Mortgage Investment Trust, Class 6A, Series 2005-1, 2.25%(US0006M+200bps), 6/25/45, Callable 1/25/21 @ 100 | | | 636,995 | |
| | 515,000 | | | Bank of America Merrill Lynch Large Loan, Inc., Class A, Series 2018-PARK, 4.09%, 8/10/38(a)(b) | | | 596,890 | |
| | 275,250 | | | Bank of America Mortgage Securities, Inc., Class 2A3, Series 2005-F, 3.09%, 7/25/35, Callable 1/25/21 @ 100(b) | | | 268,354 | |
| | 155,000 | | | BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(a) | | | 169,939 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | |
| $ | 355,000 | | | CALI Mortgage Trust, Class A, Series 2019-101C, 3.96%, 3/10/39(a) | | $ | 414,438 | |
| | 770,012 | | | Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5, 3.46%, 4/25/37, Callable 12/25/29 @ 100(b) | | | 754,956 | |
| | 300,000 | | | CPT Mortgage Trust, Class A, Series 2019-CPT, 2.87%, 11/13/39(a) | | | 326,157 | |
| | 875,612 | | | Credit Suisse Mortgage Capital Certificates, Class A2E, Series 2007-CB2, 3.83%, 2/25/37, Callable 8/25/23 @ 100(b) | | | 726,681 | |
| | 325,000 | | | DC Office Trust, Class A, Series 2019-MTC, 2.97%, 9/15/45(a) | | | 358,085 | |
| | 82,907 | | | First Franklin Mortgage Loan Trust, Class M1, Series 2005-FF8, 0.88%(US0001M+49bps), 9/25/35, Callable 1/25/21 @ 100 | | | 82,323 | |
| | 567,381 | | | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AA12, 2.59%, 2/25/36, Callable 1/25/21 @ 100(b) | | | 447,005 | |
| | 327,464 | | | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AR3, 3.20%, 8/25/35, Callable 1/25/21 @ 100(b) | | | 280,947 | |
| | 707,139 | | | First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 2.54%, 3/25/36, Callable 1/25/21 @ 100(b) | | | 560,465 | |
| | 526,351 | | | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 2.57%, 4/25/36, Callable 1/25/21 @ 100(b) | | | 436,035 | |
| | 667,610 | | | GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1, 3.59%, 4/19/36, Callable 1/19/21 @ 100(b) | | | 582,061 | |
| | 497,682 | | | GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5, 3.57%, 9/19/35, Callable 1/19/21 @ 100(b) | | | 501,838 | |
| | 850,000 | | | GoldenTree Loan Opportunities IX, Ltd., Class AR2, Series 2014-9A, 1.32%(US0003M+111bps), 10/29/29, Callable 1/29/21 @ 100(a) | | | 850,000 | |
| | 1,168,179 | | | GreenPoint Mortgage Funding Trust, Class A1A, Series 2006-AR1, 0.73%(US0001M+58bps), 2/25/36, Callable 1/25/21 @ 100 | | | 1,147,976 | |
| | 1,364,829 | | | HarborView Mortgage Loan Trust, Class 1A1A, Series 2006-10, 0.35%(US0001M+20bps), 11/19/36, Callable 3/19/25 @ 100 | | | 1,147,925 | |
| | 325,000 | | | Hudson Yards Mortgage Trust, Class A, Series 2019-55HY, 3.04%, 12/10/41(a) | | | 362,323 | |
| | 330,000 | | | Hudson Yards Mortgage Trust, Class A, Series 2019-30HY, 3.23%, 6/10/37(a) | | | 371,415 | |
| | 325,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2019-OSB, 3.40%, 6/5/39(a) | | | 370,601 | |
| | 820,000 | | | LCM LP, Class ARR, Series 13A, 1.36%(US0003M+114bps), 7/19/27, Callable 1/19/21 @ 100 | | | 818,998 | |
| | 784,975 | | | Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4, 0.27%(US0001M+12bps), 7/25/37, Callable 7/25/23 @ 100 | | | 515,528 | |
| | 395,000 | | | MKT Mortgage Trust, Class A, Series 2020-525M, 2.69%, 2/12/40(a) | | | 423,946 | |
See accompanying notes to the financial statements.
4
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | |
| $ | 315,901 | | | Morgan Stanley Resecuritization Trust, Class 3A, Series 2014-R8, 1.49%(12MTA+75bps), 6/26/47(a) | | $ | 309,295 | |
| | 284,443 | | | MortgageIT Trust, Class 2A3, Series 2005-2, 1.80%(US0001M+165bps), 5/25/35, Callable 1/25/21 @ 100 | | | 281,369 | |
| | 320,000 | | | Natixis Commercial Mortgage Securities, Class A, Series 20-2PAC, 2.97%, 1/15/25(a) | | | 334,225 | |
| | 387,128 | | | Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 5.69%, 7/25/35, Callable 1/25/21 @ 100(b) | | | 388,850 | |
| | 59,952 | | | Nomura Resecuritization Trust, Class 2A3, Series 2014-7R, 0.35%(US0001M+20bps), 12/26/35 | | | 59,873 | |
| | 133,727 | | | Octagon Investment Partners 25, Class AR, Series 2015-1A, 1.02%(US0003M+80bps), 10/20/26, Callable 1/20/21 @ 100 | | | 133,248 | |
| | 415,000 | | | One Bryant Park Trust, Class A, Series 2019-OBP, 2.52%, 9/13/49(a) | | | 440,514 | |
| | 750,000 | | | Park Avenue Institutional Advisers CLO, Ltd., Class A1A, Series 2021-1A(US0003M+139bps), 1/20/34 | | | 750,000 | |
| | 185,000 | | | RBSCF Trust, Class A, Series 2013-GSP, 3.83%, 1/13/32(a)(b) | | | 195,092 | |
| | 483,355 | | | Recette Clo, Ltd., Class AR, Series 2015-1A, 1.14%(US0003M+92bps), 10/20/27, Callable 1/20/21 @ 100 | | | 482,067 | |
| | 1,108,441 | | | Residential Accredit Loans, Inc., Class A2, Series 2006-QA10, 0.33%(US0001M+18bps), 12/25/36, Callable 8/25/21 @ 100 | | | 1,045,239 | |
| | 1,346,818 | | | Structured Asset Mortgage Investments II Trust, Class 3A1, Series 2006-AR1, 0.61%(US0001M+23bps), 2/25/36, Callable 1/25/21 @ 100 | | | 1,247,985 | |
| | 750,000 | | | TCI-Flatiron CLO, Ltd., Class AR2, Series 2016-1A(US0003M+115bps), 1/17/32 | | | 750,000 | |
| | 550,000 | | | TCI-Flatiron CLO, Ltd., Class AR, Series 2016-1, 1.44%(US0003M+122bps), 7/17/28 | | | 549,610 | |
| | 1,230,625 | | | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR8, 0.73%(US0001M+29bps), 7/25/45, Callable 1/25/21 @ 100 | | | 1,190,780 | |
| | 441,423 | | | WaMu Mortgage Pass-Through Certificates, Class A2, Series 2005-AR3, 3.60%, 3/25/35, Callable 1/25/21 @ 100(b) | | | 430,334 | |
| | 527,870 | | | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR6, 0.61%(US0001M+23bps), 4/25/45, Callable 1/25/21 @ 100 | | | 496,617 | |
| | 233,151 | | | WaMu Mortgage Pass-Through Certificates, Class A1A, Series 2004-AR10, 0.59%(US0001M+44bps), 7/25/44, Callable 1/25/21 @ 100 | | | 224,146 | |
| | 345,892 | | | Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 2.95%, 9/25/36, Callable 1/25/21 @ 100(b) | | | 309,865 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $24,321,119) | | | 24,702,855 | |
| | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds (18.6%): | |
| Airlines (0.2%): | |
| $ | 65,112 | | | U.S. Airways Group, Inc., Series 2001-1G PTT, 7.08%, 9/20/22 | | $ | 63,726 | |
| | 541,363 | | | U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24 | | | 512,102 | |
| | | | | | | | |
| | | | | | | 575,828 | |
| | | | | | | | |
| Banks (1.5%): | |
| | 110,000 | | | Bank of America Corp., 1.32%(SOFR+115bps), 6/19/26, Callable 6/19/25 @ 100, MTN | | | 111,750 | |
| | 220,000 | | | Bank of America Corp., 2.88%(US0003M+119bps), 10/22/30, Callable 10/22/29 @ 100, MTN | | | 240,376 | |
| | 160,000 | | | Bank of America Corp., 2.59%(SOFR+215bps), 4/29/31, Callable 4/29/30 @ 100 | | | 170,983 | |
| | 315,000 | | | Bank of America Corp., 4.08%(US0003M+315bps), 3/20/51, Callable 3/20/50 @ 100, MTN | | | 396,432 | |
| | 355,000 | | | Citigroup, Inc., 2.57%(SOFR+211bps), 6/3/31, Callable 6/3/30 @ 100 | | | 377,032 | |
| | 730,000 | | | JPMorgan Chase & Co., 4.02%(US0003M+100bps), 12/5/24, Callable 12/5/23 @ 100 | | | 802,022 | |
| | 410,000 | | | Wells Fargo & Co., 3.58%(US0003M+131bps), 5/22/28, Callable 5/22/27 @ 100, MTN | | | 464,515 | |
| | 200,000 | | | Wells Fargo & Co., 2.88%(US0003M+117bps), 10/30/30, Callable 10/30/29 @ 100, MTN | | | 217,102 | |
| | 410,000 | | | Wells Fargo & Co., 3.07%(SOFR+253bps), 4/30/41, Callable 4/30/40 @ 100 | | | 444,523 | |
| | 695,000 | | | Wells Fargo & Co., 5.01%(US0003M+424bps), 4/4/51, Callable 4/4/50 @ 100, MTN | | | 987,298 | |
| | | | | | | | |
| | | | | | | 4,212,033 | |
| | | | | | | | |
| Beverages (0.3%): | |
| | 710,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46, Callable 8/1/45 @ 100 | | | 921,466 | |
| | | | | | | | |
| Biotechnology (0.5%): | |
| | 428,000 | | | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | | | 540,987 | |
| | 143,000 | | | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | | | 179,723 | |
| | 145,000 | | | AbbVie, Inc., 4.05%, 11/21/39, Callable 5/21/39 @ 100 | | | 173,397 | |
| | 35,000 | | | AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100 | | | 44,456 | |
| | 150,000 | | | AbbVie, Inc., 4.88%, 11/14/48, Callable 5/14/48 @ 100 | | | 203,115 | |
| | 110,000 | | | AbbVie, Inc., 4.25%, 11/21/49, Callable 5/21/49 @ 100 | | | 137,114 | |
| | | | | | | | |
| | | | | | | 1,278,792 | |
| | | | | | | | |
| Capital Markets (0.3%): | |
| | 150,000 | | | Goldman Sachs Group, Inc. (The), 3.69%(US0003M+151bps), 6/5/28, Callable 6/5/27 @ 100 | | | 172,317 | |
| | 255,000 | | | Raymond James Financial, 4.95%, 7/15/46 | | | 348,844 | |
| | 250,000 | | | SL Green Operating Partnership LP, 3.25%, 10/15/22, Callable 9/15/22 @ 100 | | | 257,527 | |
| | | | | | | | |
| | | | | | | 778,688 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Chemicals (0.2%): | |
| $ | 425,000 | | | International Flavors & Fragrances, Inc., 5.00%, 9/26/48, Callable 3/26/48 @ 100 | | $ | 569,780 | |
| | 135,000 | | | Nutrition & Biosciences, Inc., 3.47%, 12/1/50, Callable 6/1/50 @ 100(a) | | | 146,610 | |
| | | | | | | | |
| | | | | | | 716,390 | |
| | | | | | | | |
| Commercial Services & Supplies (0.1%): | |
| | 267,000 | | | Clean Harbors, Inc., 5.13%, 7/15/29, Callable 7/15/24 @ 102.56 | | | 292,031 | |
| | 114,000 | | | Waste Pro USA, Inc., 5.50%, 2/15/26, Callable 2/15/21 @ 104.13(a) | | | 116,280 | |
| | | | | | | | |
| | | | | | | 408,311 | |
| | | | | | | | |
| Consumer Finance (1.2%): | |
| | 650,000 | | | Ford Motor Credit Co. LLC, 3.20%, 1/15/21 | | | 650,003 | |
| | 105,000 | | | Ford Motor Credit Co. LLC, 5.75%, 2/1/21 | | | 105,190 | |
| | 55,000 | | | Ford Motor Credit Co. LLC, 3.34%, 3/18/21 | | | 55,082 | |
| | 255,000 | | | Ford Motor Credit Co. LLC, 3.81%, 10/12/21 | | | 258,184 | |
| | 150,000 | | | Ford Motor Credit Co. LLC, 1.10%(US0003M+88bps), 10/12/21 | | | 148,135 | |
| | 95,000 | | | Ford Motor Credit Co. LLC, 3.22%, 1/9/22 | | | 95,832 | |
| | 455,000 | | | Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100 | | | 460,117 | |
| | 300,000 | | | General Motors Financial Co., Inc., 3.20%, 7/6/21, Callable 6/6/21 @ 100 | | | 303,086 | |
| | 275,000 | | | General Motors Financial Co., Inc., 4.38%, 9/25/21 | | | 282,425 | |
| | 575,000 | | | General Motors Financial Co., Inc., 4.20%, 11/6/21 | | | 591,471 | |
| | 60,000 | | | General Motors Financial Co., Inc., 3.45%, 4/10/22, Callable 2/10/22 @ 100 | | | 61,754 | |
| | 375,000 | | | General Motors Financial Co., Inc., 3.15%, 6/30/22, Callable 5/30/22 @ 100 | | | 388,194 | |
| | 155,000 | | | General Motors Financial Co., Inc., 3.55%, 7/8/22 | | | 161,773 | |
| | | | | | | | |
| | | | | | | 3,561,246 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | |
| | 200,000 | | | Ball Corp., 4.00%, 11/15/23 | | | 213,000 | |
| | 110,000 | | | Graphic Packaging International LLC, 4.75%, 7/15/27, Callable 4/15/27 @ 100 | | | 121,275 | |
| | 25,000 | | | Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24, Callable 2/11/21 @ 102.75(a) | | | 25,906 | |
| | 25,000 | | | Sealed Air Corp., 4.00%, 12/1/27, Callable 9/1/27 @ 100(a) | | | 26,625 | |
| | | | | | | | |
| | | | | | | 386,806 | |
| | | | | | | | |
| Diversified Financial Services (0.4%): | |
| | 600,000 | | | Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100 | | | 668,943 | |
| | 170,000 | | | BP Capital Markets America, Inc., 3.63%, 4/6/30, Callable 1/6/30 @ 100 | | | 197,632 | |
| | 55,000 | | | BP Capital Markets America, Inc., 3.00%, 2/24/50, Callable 8/24/49 @ 100 | | | 56,433 | |
| | 275,000 | | | GE Capital Funding LLC, 4.40%, 5/15/30, Callable 2/15/30 @ 100(a) | | | 323,397 | |
| | 35,000 | | | Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 2/11/21 @ 100 | | | 35,350 | |
| | | | | | | | |
| | | | | | | 1,281,755 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Diversified Telecommunication Services (1.0%): | |
| $ | 375,000 | | | AT&T, Inc., 1.40%(US0003M+118bps), 6/12/24 | | $ | 383,948 | |
| | 300,000 | | | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | | | 358,010 | |
| | 290,000 | | | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | | | 351,090 | |
| | 255,000 | | | AT&T, Inc., 4.30%, 12/15/42, Callable 6/15/42 @ 100 | | | 297,204 | |
| | 125,000 | | | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100 | | | 153,033 | |
| | 10,000 | | | AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100(a) | | | 10,034 | |
| | 1,115,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100(a) | | | 1,164,151 | |
| | 64,000 | | | CenturyLink, Inc., 4.00%, 2/15/27, Callable 2/15/23 @ 102 | | | 65,680 | |
| | 175,000 | | | Qwest Corp., 7.25%, 9/15/25 | | | 204,995 | |
| | | | | | | | |
| | | | | | | 2,988,145 | |
| | | | | | | | |
| Electric Utilities (1.4%): | |
| | 280,000 | | | American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44 @ 100 | | | 340,277 | |
| | 500,000 | | | Appalachian Power Co., Series H, 5.95%, 5/15/33 | | | 663,498 | |
| | 400,000 | | | Cleco Power LLC, 6.00%, 12/1/40 | | | 540,940 | |
| | 1,000,000 | | | Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100 | | | 1,265,941 | |
| | 750,000 | | | Jersey Central Power & Light Co., 6.40%, 5/15/36 | | | 970,971 | |
| | 700,000 | | | Public Service Oklahoma, 4.40%, 2/1/21 | | | 702,113 | |
| | | | | | | | |
| | | | | | | 4,483,740 | |
| | | | | | | | |
| Electrical Equipment (0.1%): | |
| | 165,000 | | | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a) | | | 183,150 | |
| | | | | | | | |
| Entertainment (0.3%): | |
| | 95,000 | | | Live Nation Entertainment Inc., 4.75%, 10/15/27, Callable 10/15/22 @ 103.56(a) | | | 97,019 | |
| | 275,000 | | | Walt Disney Co. (The), 2.65%, 1/13/31 | | | 301,748 | |
| | 420,000 | | | Walt Disney Co. (The), 3.60%, 1/13/51, Callable 7/13/50 @ 100 | | | 509,902 | |
| | | | | | | | |
| | | | | | | 908,669 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.3%): | |
| | 590,000 | | | American Campus Communities Operating Partnership LP, 3.63%, 11/15/27, Callable 8/15/27 @ 100 | | | 647,083 | |
| | 295,000 | | | CyrusOne LP/CyrusOne Finance Corp., 2.15%, 11/1/30, Callable 8/1/30 @ 100 | | | 287,867 | |
| | 205,000 | | | GLP Capital LP, 5.25%, 6/1/25, Callable 3/1/25 @ 100 | | | 230,885 | |
| | 440,000 | | | GLP Capital LP, 5.38%, 4/15/26, Callable 1/15/26 @ 100 | | | 504,983 | |
| | 105,000 | | | GLP Capital LP, 5.75%, 6/1/28, Callable 3/3/28 @ 100 | | | 124,272 | |
| | 290,000 | | | GLP Capital LP, 5.30%, 1/15/29, Callable 10/15/28 @ 100 | | | 336,594 | |
| | 5,000 | | | GLP Capital LP, 4.00%, 1/15/30, Callable 10/15/29 @ 100 | | | 5,437 | |
| | 20,000 | | | HCP, Inc., 4.25%, 11/15/23, Callable 8/15/23 @ 100 | | | 21,928 | |
| | 265,000 | | | HCP, Inc., 3.88%, 8/15/24, Callable 5/17/24 @ 100 | | | 293,147 | |
See accompanying notes to the financial statements.
6
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Equity Real Estate Investment Trusts, continued | |
| $ | 100,000 | | | MGM Growth/MGM Finance, 5.63%, 5/1/24, Callable 2/1/24 @ 100 | | $ | 108,250 | |
| | 112,000 | | | SBA Communications Corp., 4.88%, 9/1/24, Callable 2/11/21 @ 102.44 | | | 114,800 | |
| | 1,440,000 | | | Welltower, Inc., 3.75%, 3/15/23, Callable 12/15/22 @ 100 | | | 1,530,014 | |
| | | | | | | | |
| | | | | | | 4,205,260 | |
| | | | | | | | |
| Food & Staples Retailing (0.2%): | |
| | 190,000 | | | The Kroger Co., 5.40%, 1/15/49, Callable 7/15/48 @ 100 | | | 275,297 | |
| | 300,000 | | | Walgreens Boots Alliance, Inc., 4.80%, 11/18/44, Callable 5/18/44 @ 100 | | | 339,938 | |
| | | | | | | | |
| | | | | | | 615,235 | |
| | | | | | | | |
| Food Products (0.9%): | |
| | 30,000 | | | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75 | | | 34,538 | |
| | 215,000 | | | Kraft Heinz Foods Co., 5.00%, 6/4/42 | | | 251,819 | |
| | 705,000 | | | Kraft Heinz Foods Co., 4.38%, 6/1/46, Callable 12/1/45 @ 100 | | | 763,664 | |
| | 960,000 | | | Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 4/1/49 @ 100(a) | | | 1,117,683 | |
| | 25,000 | | | Pilgrim’s Pride Corp., 5.88%, 9/30/27, Callable 9/30/22 @ 102.94(a) | | | 27,000 | |
| | 150,000 | | | Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88 | | | 159,001 | |
| | | | | | | | |
| | | | | | | 2,353,705 | |
| | | | | | | | |
| Health Care Providers & Services (2.4%): | |
| | 200,000 | | | Aetna, Inc., 3.50%, 11/15/24, Callable 8/15/24 @ 100 | | | 219,740 | |
| | 140,000 | | | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | | | 148,400 | |
| | 183,000 | | | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | | | 192,379 | |
| | 840,000 | | | Centene Corp., 3.00%, 10/15/30, Callable 7/15/30 @ 100 | | | 888,300 | |
| | 1,300,000 | | | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | | | 1,494,431 | |
| | 145,000 | | | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | | | 153,406 | |
| | 1,140,000 | | | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100 | | | 1,540,977 | |
| | 164,000 | | | Encompass Health Corp., 4.75%, 2/1/30, Callable 2/1/25 @ 102.38 | | | 175,070 | |
| | 490,000 | | | HCA, Inc., 5.00%, 3/15/24 | | | 550,025 | |
| | 93,000 | | | HCA, Inc., 5.25%, 4/15/25 | | | 108,461 | |
| | 320,000 | | | HCA, Inc., 5.13%, 6/15/39, Callable 12/15/38 @ 100 | | | 406,000 | |
| | 145,000 | | | HCA, Inc., 5.25%, 6/15/49, Callable 12/15/48 @ 100 | | | 189,950 | |
| | 75,000 | | | Humana, Inc., 4.95%, 10/1/44, Callable 4/1/44 @ 100 | | | 101,294 | |
| | 170,000 | | | Molina Healthcare, Inc., 5.38%, 11/15/22, Callable 8/15/22 @ 100 | | | 179,987 | |
| | 109,000 | | | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | | | 115,540 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Health Care Providers & Services, continued | |
| $ | 156,000 | | | Tenet Healthcare Corp., 4.63%, 7/15/24, Callable 2/11/21 @ 102.31 | | $ | 159,900 | |
| | 135,000 | | | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44 | | | 140,738 | |
| | 135,000 | | | Tenet Healthcare Corp., 5.13%, 11/1/27, Callable 11/1/22 @ 102.56 | | | 143,100 | |
| | | | | | | | |
| | | | | | | 6,907,698 | |
| | | | | | | | |
| Health Care Technology (0.0%†): | | | |
| | 25,000 | | | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 3/1/25, Callable 1/22/21 @ 102.88(a) | | | 25,437 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.1%): | |
| | 274,000 | | | Churchill Downs, Inc., 5.50%, 4/1/27, Callable 4/1/22 @ 102.75 | | | 290,098 | |
| | 100,000 | | | Churchill Downs, Inc., 4.75%, 1/15/28, Callable 1/15/23 @ 102.38 | | | 105,500 | |
| | | | | | | | |
| | | | | | | 395,598 | |
| | | | | | | | |
| Household Products (0.1%): | |
| | 200,000 | | | Spectrum Brands, Inc., 5.75%, 7/15/25, Callable 2/11/21 @ 102.88 | | | 206,250 | |
| | | | | | | | |
| Industrial Conglomerates (0.2%): | |
| | 190,000 | | | General Electric Capital Corp., Series A, 6.75%, 3/15/32, MTN | | | 266,925 | |
| | 273,000 | | | General Electric Co., 5.88%, 1/14/38, MTN | | | 369,652 | |
| | | | | | | | |
| | | | | | | 636,577 | |
| | | | | | | | |
| Insurance (0.8%): | |
| | 900,000 | | | Farmers Exchange Capital III, 5.45%(US0003M+345bps), 10/15/54, Callable 10/15/34 @ 100(a) | | | 1,136,832 | |
| | 670,000 | | | Farmers Insurance Exchange, 4.75%(US0003M+323bps), 11/1/57, Callable 11/1/37 @ 100 | | | 732,158 | |
| | 565,000 | | | Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50, Callable 11/15/49 @ 100 | | | 622,214 | |
| | | | | | | | |
| | | | | | | 2,491,204 | |
| | | | | | | | |
| IT Services (0.0%†): | |
| | 87,000 | | | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | | | 92,655 | |
| | | | | �� | | | |
| Media (0.6%): | |
| | 290,000 | | | Cable One, Inc., 4.00%, 11/15/30, Callable 11/15/25 @ 102(a) | | | 300,875 | |
| | 125,000 | | | CCO Holdings LLC, 5.38%, 6/1/29, Callable 6/1/24 @ 102.69(a) | | | 137,188 | |
| | 210,000 | | | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | | | 223,650 | |
| | 172,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25 | | | 183,610 | |
| | 35,000 | | | Charter Communications Operating LLC, 4.80%, 3/1/50, Callable 9/1/49 @ 100 | | | 41,720 | |
| | 250,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.75%, 4/1/48, Callable 10/1/47 @ 100 | | | 326,880 | |
| | 200,000 | | | CSC Holdings LLC, 5.50%, 5/15/26, Callable 5/15/21 @ 102.75 | | | 207,500 | |
See accompanying notes to the financial statements.
7
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Media, continued | |
| $ | 30,000 | | | CSC Holdings LLC, 5.38%, 2/1/28, Callable 2/1/23 @ 102.69(a) | | $ | 32,025 | |
| | 290,000 | | | Time Warner Cable, Inc., 5.88%, 11/15/40, Callable 5/15/40 @ 100 | | | 384,132 | |
| | | | | | | | |
| | | | | | | 1,837,580 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.6%): | |
| | 76,000 | | | Antero Resources Corp., 5.13%, 12/1/22, Callable 2/11/21 @ 100 | | | 76,000 | |
| | 304,000 | | | Antero Resources Corp., 5.00%, 3/1/25, Callable 2/11/21 @ 103.75^ | | | 282,720 | |
| | 40,000 | | | Antero Resources Corp., 8.38%, 7/15/26, Callable 1/15/24 @ 104.19(a) | | | 40,600 | |
| | 25,000 | | | Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 2/11/21 @ 102.63 | | | 25,688 | |
| | 35,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88 | | | 37,625 | |
| | 210,000 | | | Energy Transfer Operating LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | | | 245,963 | |
| | 264,000 | | | Energy Transfer Operating LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 304,920 | |
| | 700,000 | | | Energy Transfer Partners LP, 5.95%, 10/1/43, Callable 4/1/43 @ 100 | | | 784,875 | |
| | 95,000 | | | Exxon Mobil Corp., 3.48%, 3/19/30, Callable 12/19/29 @ 100 | | | 109,984 | |
| | 185,000 | | | Exxon Mobil Corp., 4.23%, 3/19/40, Callable 9/19/39 @ 100 | | | 229,857 | |
| | 285,000 | | | Exxon Mobil Corp., 4.33%, 3/19/50, Callable 9/19/49 @ 100 | | | 371,491 | |
| | 400,000 | | | Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 | | | 501,209 | |
| | 200,000 | | | Occidental Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100 | | | 169,500 | |
| | 150,000 | | | Plains All American Pipeline LP, 4.65%, 10/15/25, Callable 7/15/25 @ 100 | | | 167,599 | |
| | 250,000 | | | Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100(a) | | | 263,750 | |
| | 250,000 | | | Rockies Express Pipeline LLC, 4.80%, 5/15/30, Callable 2/15/30 @ 100 | | | 256,250 | |
| | 60,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.88%, 1/15/29, Callable 1/15/24 @ 103.44^ | | | 67,200 | |
| | 350,000 | | | Williams Partners LP, 6.30%, 4/15/40 | | | 464,947 | |
| | | | | | | | |
| | | | | | | 4,400,178 | |
| | | | | | | | |
| Pharmaceuticals (1.0%): | |
| | 195,000 | | | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a) | | | 222,822 | |
| | 955,000 | | | Bayer US Finance II LLC, 4.38%, 12/15/28, Callable 9/15/28 @ 100(a) | | | 1,122,057 | |
| | 410,000 | | | Bayer US Finance II LLC, 4.63%, 6/25/38, Callable 12/25/37 @ 100(a) | | | 498,714 | |
| | 480,000 | | | Bayer US Finance II LLC, 4.88%, 6/25/48, Callable 12/25/47 @ 100(a) | | | 615,937 | |
| | 200,000 | | | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 1/22/21 @ 102.44 | | | 203,750 | |
| | | | | | | | |
| | | | | | | 2,663,280 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| | Semiconductors & Semiconductor Equipment (0.2%): | |
| $ | 485,000 | | | Intel Corp., 4.75%, 3/25/50, Callable 9/25/49 @ 100 | | $ | 676,718 | |
| | | | | | | | |
| Software (0.0%†): | |
| | 121,000 | | | SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22 @ 104.13(a) | | | 129,319 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.0%†): | |
| | 25,000 | | | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 4/1/26, Callable 4/1/21 @ 105.16 | | | 26,188 | |
| | 81,000 | | | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16 | | | 86,063 | |
| | | | | | | | |
| | | | | | | 112,251 | |
| | | | | | | | |
| Tobacco (0.5%): | |
| | 20,000 | | | BAT Capital Corp., 2.73%, 3/25/31, Callable 12/25/30 @ 100 | | | 20,715 | |
| | 615,000 | | | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100 | | | 681,345 | |
| | 610,000 | | | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | | | 779,148 | |
| | | | | | | | |
| | | | | | | 1,481,208 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | |
| | 655,000 | | | Air Lease Corp., 3.50%, 1/15/22 | | | 671,695 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.9%): | |
| | 27,000 | | | Sprint Corp., 7.88%, 9/15/23 | | | 31,252 | |
| | 194,250 | | | Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a) | | | 196,131 | |
| | 1,105,000 | | | Sprint Spectrum Co. LLC, 4.74%, 3/20/25(a) | | | 1,199,909 | |
| | 235,000 | | | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a) | | | 272,105 | |
| | 307,000 | | | T-Mobile USA, Inc., 2.55%, 2/15/31, Callable 11/15/30 @ 100(a) | | | 322,280 | |
| | 395,000 | | | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a) | | | 479,758 | |
| | | | | | | | |
| | | | | | | 2,501,435 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $49,029,223) | | | 55,088,302 | |
| | | | | | | | |
| Foreign Bonds (1.8%): | |
| Sovereign Bond (1.8%): | |
| | 310,000,000 | | | Japan Treasury Discount Bill, 3/15/21+(c)(d) | | | 3,003,298 | |
| | 230,000,000 | | | Japan Treasury Discount Bill, 3/22/21+(c)(d) | | | 2,228,293 | |
| | | | | | | | |
| | Total Foreign Bonds (Cost $5,199,028) | | | 5,231,591 | |
| | | | | | | | |
| Yankee Debt Obligations (5.6%): | |
| Aerospace & Defense (0.1%): | |
| | 35,000 | | | Avolon Holdings Funding, Ltd., 5.13%, 10/1/23, Callable 9/1/23 @ 100(a) | | | 37,669 | |
| | 30,000 | | | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | | | 32,587 | |
| | 345,000 | | | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(a) | | | 349,313 | |
| | | | | | | | |
| | | | | | | 419,569 | |
| | | | | | | | |
See accompanying notes to the financial statements.
8
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Banks (0.8%): | |
| $ | 345,000 | | | HSBC Holdings plc, 1.59%(SOFR+129bps), 5/24/27, Callable 5/24/26 @ 100 | | $ | 349,824 | |
| | 440,000 | | | HSBC Holdings plc, 2.01%(SOFR+173bps), 9/22/28, Callable 9/22/27 @ 100 | | | 446,973 | |
| | 145,000 | | | Lloyds Banking Group plc, 4.05%, 8/16/23 | | | 157,650 | |
| | 390,000 | | | Lloyds Banking Group plc, 3.90%, 3/12/24 | | | 428,510 | |
| | 390,000 | | | Santander UK Group Holdings plc, 4.80%(US0003M+157bps), 11/15/24, Callable 11/15/23 @ 100 | | | 432,123 | |
| | 410,000 | | | Santander UK plc, 5.00%, 11/7/23(a) | | | 453,728 | |
| | | | | | | | |
| | | | | | | 2,268,808 | |
| | | | | | | | |
| Beverages (0.1%): | |
| | 135,000 | | | Bacardi, Ltd., 4.70%, 5/15/28, Callable 2/15/28 @ 100(a) | | | 160,121 | |
| | 105,000 | | | Bacardi, Ltd., 5.30%, 5/15/48, Callable 11/15/47 @ 100(a) | | | 141,667 | |
| | | | | | | | |
| | | | | | | 301,788 | |
| | | | | | | | |
| Commercial Services & Supplies (0.1%): | |
| | 178,000 | | | GFL Environmental, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56 | | | 189,348 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | |
| | 250,000 | | | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | | | 264,063 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | |
| | 1,191,000 | | | GE Capital International Funding, 4.42%, 11/15/35 | | | 1,417,440 | |
| | 111,000 | | | Intelsat Jackson Holdings SA, 8.50% (LIBOR+550bps), 10/15/24, Callable
2/11/21 @ 106.38(a)(e) | | | 78,810 | |
| | 540,000 | | | Intelsat Jackson Holdings SA, 9.75% (LIBOR+550bps), 7/15/25, Callable
7/15/21 @ 104.88(a)(e) | | | 386,100 | |
| | 29,000 | | | OI European Group BV, 4.00%, 3/15/23, Callable 12/15/22 @ 100(a) | | | 29,580 | |
| | 100,000 | | | Park Aerospace Holdings, 5.25%, 8/15/22, Callable 7/15/22 @ 100(a) | | | 104,750 | |
| | 285,000 | | | Park Aerospace Holdings, 4.50%, 3/15/23, Callable 2/15/23 @ 100(a) | | | 298,538 | |
| | 255,000 | | | Park Aerospace Holdings, 5.50%, 2/15/24(a) | | | 278,587 | |
| | 20,000 | | | Shell International Finance BV, 4.00%, 5/10/46 | | | 25,089 | |
| | 290,000 | | | Virgin Media Secured Finance plc, 5.50%, 5/15/29, Callable 5/15/24 @ 102.75(a) | | | 313,200 | |
| | | | | | | | |
| | | | | | | 2,932,094 | |
| | | | | | | | |
| Energy Equipment & Services (0.0%†): | |
| | 58,200 | | | Transocean Phoenix 2, Ltd., 7.75%, 10/15/24, Callable 2/11/21 @ 103.88 | | | 56,745 | |
| | 117,780 | | | Transocean Pontus, Ltd., 6.13%, 8/1/25, Callable 8/1/21 @ 104.59(a) | | | 110,713 | |
| | 121,000 | | | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/1/22 @ 105.16(a) | | | 110,110 | |
| | 41,400 | | | Transocean Proteus, Ltd., 6.25%, 12/1/24, Callable 2/11/21 @ 103.13(a) | | | 38,812 | |
| | | | | | | | |
| | | | | | | 316,380 | |
| | | | | | | | |
| Food & Staples Retailing (0.2%): | |
| | 475,000 | | | Alimentation Couche-Tard, Inc., 3.55%, 7/26/27, Callable 4/26/27 @ 100 | | | 534,375 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Hotels, Restaurants & Leisure (0.1%): | |
| $ | 150,000 | | | 1011778 BC ULC / New Red Finance, Inc., 3.50%, 2/15/29, Callable 2/15/24 @ 101.75(a) | | $ | 150,000 | |
| | | | | | | | |
| Metals & Mining (0.1%): | |
| | 200,000 | | | Indonesia Asahan Aluminium Persero PT, 6.53%, 11/15/28 | | | 251,750 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.8%): | |
| | 200,000 | | | KazMunayGas National Co. JSC, 5.38%, 4/24/30 | | | 246,250 | |
| | 151,000 | | | Petrobras Global Finance BV, 5.09%, 1/15/30 | | | 168,931 | |
| | 200,000 | | | Petroleos del Peru SA, 4.75%, 6/19/32 | | | 230,500 | |
| | 175,000 | | | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100 | | | 173,919 | |
| | 365,000 | | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 360,429 | |
| | 630,000 | | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 588,885 | |
| | 85,000 | | | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | | | 80,310 | |
| | 300,000 | | | Shell International Finance BV, 4.38%, 5/11/45 | | | 395,007 | |
| | | | | | | | |
| | | | | | | 2,244,231 | |
| | | | | | | | |
| Pharmaceuticals (0.1%): | |
| | 215,000 | | | Bausch Health Cos., Inc., 7.00%, 3/15/24, Callable 2/11/21 @ 103.5(a) | | | 220,644 | |
| | | | | | | | |
| Professional Services (0.3%): | |
| | 121,000 | | | IHS Markit, Ltd., 5.00%, 11/1/22, Callable 8/1/22 @ 100(a) | | | 128,865 | |
| | 125,000 | | | IHS Markit, Ltd., 4.75%, 2/15/25, Callable 11/15/24 @ 100(a) | | | 143,438 | |
| | 104,000 | | | IHS Markit, Ltd., 4.00%, 3/1/26, Callable 12/1/25 @ 100(a) | | | 118,820 | |
| | 295,000 | | | IHS Markit, Ltd., 4.75%, 8/1/28, Callable 5/1/28 @ 100 | | | 362,481 | |
| | | | | | | | |
| | | | | | | 753,604 | |
| | | | | | | | |
| Sovereign Bond (1.1%): | |
| | 400,000 | | | Abu Dhabi Government International, 2.50%, 9/30/29 | | | 431,896 | |
| | 200,000 | | | Arab Republic of Egypt, 7.60%, 3/1/29 | | | 229,753 | |
| | 200,000 | | | Dominican Republic International Bond, 4.50%, 1/30/30(a) | | | 217,250 | |
| | 425,000 | | | Mexico Government International Bond, 2.66%, 5/24/31, Callable 2/24/31 @ 100 | | | 434,562 | |
| | 200,000 | | | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | | | 222,500 | |
| | 200,000 | | | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100 | | | 210,278 | |
| | 200,000 | | | Republic of Colombia, 5.00%, 6/15/45, Callable 12/15/44 @ 100 | | | 244,838 | |
| | 200,000 | | | Republic of Peru, 4.13%, 8/25/27 | | | 234,967 | |
| | 200,000 | | | Republic of South Africa Government International Bond, 4.85%, 9/30/29 | | | 212,252 | |
| | 200,000 | | | Russian Federation, 4.75%, 5/27/26 | | | 231,028 | |
| | 200,000 | | | Saudi Government International Bond, 3.63%, 3/4/28 | | | 224,254 | |
| | 200,000 | | | Saudi Government International Bond, 3.75%, 1/21/55(a) | | | 218,232 | |
| | 200,000 | | | State of Qatar, 4.63%, 6/2/46 | | | 265,940 | |
| | | | | | | | |
| | | | | | | 3,377,750 | |
| | | | | | | | |
See accompanying notes to the financial statements.
9
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Thrifts & Mortgage Finance (0.2%): | |
| $ | 230,000 | | | Nationwide Building Society, 3.62%(US0003M+118bps), 4/26/23, Callable 4/26/22 @ 100(a) | | $ | 238,929 | |
| | 330,000 | | | Nationwide Building Society, 3.77%(US0003M+106bps), 3/8/24, Callable 3/8/23 @ 100(a) | | | 350,655 | |
| | | | | | | | |
| | | | | | | 589,584 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | |
| | 555,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, 2/1/22, Callable 1/1/22 @ 100 | | | 570,365 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.4%): | |
| | 813,000 | | | Vodafone Group plc, 4.88%, 6/19/49 | | | 1,082,918 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $15,576,809) | | | 16,467,271 | |
| | | | | |
| Municipal Bonds (1.3%): | | | |
| Massachusetts (0.2%): | |
| | 460,000 | | | Commonwealth of Massachusetts, GO, Series C, 3.00%, 3/1/49, Continuously Callable @100 | | | 492,412 | |
| | | | | | | | |
| Florida (0.1%): | |
| | 130,000 | | | Greater Orlando Aviation Authority Revenue, 4.00%, 10/1/44, Continuously Callable @100 | | | 148,663 | |
| | | | | | | | |
| California (0.5%): | |
| | 700,000 | | | Los Angeles Unified School District, Build America Bonds, GO, 5.76%, 7/1/29 | | | 892,913 | |
| | 635,000 | | | Regents of the University of California Medical Center Pooled Revenue, Series N, 3.26%, 5/15/60, Continuously Callable @100 | | | 716,655 | |
| | 120,000 | | | San Francisco City & County Airport Comm-San Francisco International Airport Revenue, 5.00%, 5/1/49, Continuously Callable @100 | | | 147,708 | |
| | | | | | | | |
| | | | | | | 1,757,276 | |
| | | | | | | | |
| New York (0.5%): | |
| | 145,000 | | | New York City Transitional Finance Authority Future Tax Secured Revenue, 2.40%, 11/1/32, Continuously Callable @100 | | | 146,995 | |
| | 200,000 | | | New York City Transitional Finance Authority Future Tax Secured Revenue, 4.00%, 5/1/40, Continuously Callable @100 | | | 239,666 | |
| | 130,000 | | | New York City Water & Sewer System Revenue, 4.00%, 6/15/50, Continuously Callable @100 | | | 155,895 | |
| | 125,000 | | | New York City Water & Sewer System Revenue, 4.00%, 6/15/50, Continuously Callable @100 | | | 148,821 | |
| | 390,000 | | | New York State Dormitory Authority Revenue, 4.00%, 3/15/44, Continuously Callable @100 | | | 459,623 | |
| | 255,000 | | | New York State Urban Development Corp. Revenue, 4.00%, 3/15/43, Continuously Callable @100 | | | 302,598 | |
| | | | | | | | |
| | | | | | | 1,453,598 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $3,599,790) | | | 3,851,949 | |
| | | | | | | | |
| U.S. Government Agency Mortgages (30.9%): | |
| Federal Home Loan Mortgage Corporation (8.7%): | |
| | 337,079 | | | 3.00%, 3/1/31, Pool #G18592 | | | 356,819 | |
| | 915,053 | | | 3.50%, 1/1/34, Pool #G16756 | | | 978,875 | |
| | 1,335,624 | | | 3.50%, 4/1/44, Pool #G07848 | | | 1,481,789 | |
| | 1,859,829 | | | 3.50%, 4/1/45, Pool #G60023 | | | 2,062,837 | |
| | 1,503,083 | | | 4.00%, 12/1/45, Pool #G60344 | | | 1,665,687 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 1,175,843 | | | 3.50%, 6/1/46, Pool #G08711 | | $ | 1,256,006 | |
| | 683,093 | | | 3.00%, 8/1/46, Pool #G08715 | | | 722,498 | |
| | 807,339 | | | 3.50%, 8/1/46, Pool #G08716 | | | 862,379 | |
| | 316,291 | | | 3.50%, 9/1/46, Pool #G08722 | | | 337,854 | |
| | 183,787 | | | 3.00%, 9/1/46, Pool #G08721 | | | 194,389 | |
| | 910,586 | | | 3.00%, 10/1/46, Pool #G08726 | | | 963,114 | |
| | 1,010,061 | | | 3.00%, 11/1/46, Pool #G08732 | | | 1,068,328 | |
| | 1,225,777 | | | 3.00%, 1/1/47, Pool #G08741 | | | 1,296,489 | |
| | 1,001,140 | | | 3.50%, 4/1/47, Pool #G67703 | | | 1,103,074 | |
| | 337,253 | | | Class PA, Series 4846, 4.00%, 6/15/47 | | | 349,762 | |
| | 576,187 | | | 3.50%, 12/1/47, Pool #G08792 | | | 611,720 | |
| | 1,367,664 | | | 3.50%, 12/1/47, Pool #G67706 | | | 1,495,659 | |
| | 2,362,086 | | | 3.50%, 1/1/48, Pool #G67707 | | | 2,613,397 | |
| | 693,184 | | | 3.50%, 2/1/48, Pool #G08800 | | | 734,778 | |
| | 1,358,619 | | | 4.00%, 3/1/48, Pool #G67711 | | | 1,499,406 | |
| | 702,022 | | | 3.50%, 3/1/48, Pool #G67710 | | | 758,124 | |
| | 173,318 | | | Class CA, Series 4818, 3.00%, 4/15/48 | | | 180,091 | |
| | 5,655 | | | 4.00%, 6/1/48, Pool #G67713 | | | 6,167 | |
| | 705,944 | | | 3.50%, 6/1/48, Pool #G08816 | | | 748,305 | |
| | 220,804 | | | 5.00%, 7/1/48, Pool #G08833 | | | 244,422 | |
| | 515,197 | | | 4.50%, 10/1/48, Pool #G08843 | | | 558,815 | |
| | 1,301,675 | | | Class HZ, Series 4639, 3.25%, 4/15/53 | | | 1,471,627 | |
| | | | | | | | |
| | | | | | | 25,622,411 | |
| | | | | | | | |
| Federal National Mortgage Association (14.7%): | |
| | 1,245,000 | | | 3.06%, 5/1/22, Pool #471258 | | | 1,282,308 | |
| | 754,349 | | | Class X1, Series 2020-M10, 1.80%, 12/25/30 | | | 104,993 | |
| | 594,121 | | | 3.50%, 1/1/32, Pool #AB4262 | | | 627,662 | |
| | 97,123 | | | 3.00%, 7/1/32, Pool #MA3060 | | | 102,619 | |
| | 442,894 | | | 3.00%, 10/1/33, Pool #MA1676 | | | 476,472 | |
| | 1,375,000 | | | 1.50%, 1/25/35, TBA | | | 1,414,746 | |
| | 1,725,000 | | | 2.00%, 1/25/36, TBA | | | 1,803,434 | |
| | 485,000 | | | 2.46%, 4/1/40, Pool #BL6060 | | | 514,438 | |
| | 1,281,957 | | | 2.00%, 9/1/40, Pool #MA4152 | | | 1,338,153 | |
| | 1,557,308 | | | 2.00%, 10/1/40, Pool #MA4176 | | | 1,619,979 | |
| | 47,451 | | | 4.00%, 8/1/42, Pool #MA1146 | | | 52,147 | |
| | 883,512 | | | 3.50%, 4/1/43, Pool #MA1404 | | | 950,441 | |
| | 463,061 | | | 4.50%, 2/1/46, Pool #AL9106 | | | 511,433 | |
| | 273,988 | | | Class QA, Series 2018-57, 3.50%, 5/25/46 | | | 282,865 | |
| | 757,055 | | | Class PA, Series 2018-55, 3.50%, 1/25/47 | | | 775,010 | |
| | 340,676 | | | 4.00%, 6/1/47, Pool #AS9830 | | | 365,189 | |
| | 334,561 | | | 4.00%, 7/1/47, Pool #AS9972 | | | 358,634 | |
| | 20,721 | | | 4.00%, 8/1/47, Pool #MA3088 | | | 22,374 | |
| | 1,281,482 | | | 3.50%, 1/1/48, Pool #CA0996 | | | 1,398,875 | |
| | 75,664 | | | 3.50%, 1/1/48, Pool #MA3238 | | | 80,934 | |
| | 85,470 | | | 4.50%, 5/1/48, Pool #CA1711 | | | 93,797 | |
| | 912,181 | | | 4.50%, 5/1/48, Pool #CA1710 | | | 995,341 | |
| | 760,305 | | | Class CT, Series 2018-43, 3.00%, 6/25/48 | | | 796,490 | |
| | 616,853 | | | 4.50%, 8/1/48, Pool #CA2208 | | | 670,017 | |
| | 1,399,966 | | | 3.50%, 6/1/49, Pool #CA3633 | | | 1,527,163 | |
| | 665,558 | | | 3.00%, 10/1/49, Pool #MA3811 | | | 683,878 | |
| | 12,750,000 | | | 2.00%, 1/25/50, TBA | | | 13,244,062 | |
| | 7,975,000 | | | 2.00%, 2/25/50, TBA | | | 8,274,062 | |
| | 1,375,000 | | | 2.50%, 1/25/51, TBA | | | 1,449,336 | |
| | 1,750,000 | | | 2.50%, 2/25/51, TBA | | | 1,841,465 | |
| | | | | | | | |
| | | | | | | 43,658,317 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Government National Mortgage Association (7.5%): | |
| $ | 517,971 | | | 3.50%, 3/20/46, Pool #MA3521 | | $ | 553,526 | |
| | 543,091 | | | 3.50%, 4/20/46, Pool #MA3597 | | | 588,706 | |
| | 104,452 | | | 3.50%, 5/20/46, Pool #MA3663 | | | 111,784 | |
| | 222,931 | | | 3.50%, 9/20/46, Pool #MA3937 | | | 239,024 | |
| | 1,180,884 | | | 3.00%, 12/20/46, Pool #MA4126 | | | 1,257,579 | |
| | 909,933 | | | 3.50%, 1/20/47, Pool #MA4196 | | | 971,232 | |
| | 147,593 | | | 5.00%, 3/20/47, Pool #MA4324 | | | 166,144 | |
| | 191,178 | | | 3.50%, 6/20/47, Pool #MA4510 | | | 203,672 | |
| | 391,291 | | | 5.00%, 6/20/47, Pool #MA4513 | | | 428,951 | |
| | 541,264 | | | 4.00%, 9/20/47, Pool #MA4720 | | | 580,407 | |
| | 269,157 | | | 5.00%, 9/20/47, Pool #MA4722 | | | 300,295 | |
| | 603,454 | | | 3.00%, 11/20/47, Pool #MA4836 | | | 639,178 | |
| | 381,218 | | | 4.00%, 11/20/47, Pool #MA4838 | | | 408,787 | |
| | 230,347 | | | 3.50%, 11/20/47, Pool #MA4837 | | | 248,252 | |
| | 180,707 | | | 4.00%, 12/20/47, Pool #MA4901 | | | 193,775 | |
| | 1,915,088 | | | 3.50%, 12/20/47, Pool #MA4900 | | | 2,063,944 | |
| | 641,598 | | | 4.00%, 3/20/48, Pool #MA5078 | | | 689,942 | |
| | 1,282,817 | | | 4.50%, 8/20/48, Pool #MA5399 | | | 1,378,284 | |
| | 345,169 | | | 4.00%, 9/20/48, Pool #MA5466 | | | 371,492 | |
| | 456,415 | | | Class NW, Series 2018-124, 3.50%, 9/20/48 | | | 477,417 | |
| | 761,232 | | | 3.00%, 10/20/49, Pool #MA6209 | | | 793,122 | |
| | 3,375,000 | | | 2.50%, 7/20/50, TBA | | | 3,571,699 | |
| | 5,650,000 | | | 2.00%, 1/20/51, TBA | | | 5,906,016 | |
| | | | | | | | |
| | | | | | | 22,143,228 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $88,616,152) | | | 91,423,956 | |
| | | | | | | | |
| U.S. Treasury Obligations (41.4%): | | | |
| U.S. Treasury Bills (1.5%): | |
| | 300,000 | | | 0.02%, 1/7/21(d) | | | 299,999 | |
| | 885,000 | | | 0.04%, 1/19/21(d) | | | 884,983 | |
| | 1,110,000 | | | 0.07%, 1/21/21(d) | | | 1,109,971 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations, continued | | | |
| U.S. Treasury Bills, continued | |
| $ | 510,000 | | | 0.05%, 1/26/21(d) | | $ | 509,983 | |
| | 1,525,000 | | | 0.06%, 1/28/21(d) | | | 1,524,934 | |
| | | | | | | | |
| | | | | | | 4,329,870 | |
| | | | | | | | |
| U.S. Treasury Bonds (5.1%): | |
| | 15,149,000 | | | 1.63%, 11/15/50 | | | 15,087,457 | |
| | | | | | | | |
| U.S. Treasury Notes (34.8%): | |
| | 11,185,000 | | | 0.13%, 10/31/22 | | | 11,185,000 | |
| | 29,420,000 | | | 0.13%, 11/30/22 | | | 29,420,000 | |
| | 18,755,000 | | | 0.13%, 12/31/22 | | | 18,757,930 | |
| | 19,455,000 | | | 0.38%, 11/30/25 | | | 19,482,359 | |
| | 20,565,000 | | | 0.38%, 12/31/25 | | | 20,581,066 | |
| | 3,688,000 | | | 0.88%, 11/15/30 | | | 3,675,324 | |
| | | | | | | | |
| | | | | | | 103,101,679 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $122,426,937) | | | 122,519,006 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.1%): | |
| | 355,411 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(d)(f) | | | 355,411 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities
on Loan (Cost $355,411) | | | 355,411 | |
| | | | | |
| Unaffiliated Investment Companies (2.0%): | | | |
| Money Markets (2.0%): | | | |
| | 5,914,824 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(d) | | | 5,914,824 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $5,914,824) | | | 5,914,824 | |
| | | | | |
| | Total Investment Securities (Cost $326,266,117) — 113.9%(g) | | | 336,788,295 | |
| | Net other assets (liabilities) — (13.9)% | | | (41,002,535 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 295,785,760 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
12MTA—12 Month Treasury Average
GO—General Obligation
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
US0006M—6 Month US Dollar LIBOR
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $346,421. |
| + | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at December 31, 2020. |
| (c) | All or a portion of this security has been pledged as collateral for open derivative positions. |
| (d) | The rate represents the effective yield at December 31, 2020. |
| (f) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (g) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
11
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2020
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
Ultra Long Term U.S. Treasury Bond March Future (U.S. Dollar) | | | 3/22/21 | | | | 2 | | | $ | 427,125 | | | $ | (5,942 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (5,942 | ) |
| | | | | | | | | | | | | | | | |
Forward Currency Contracts
At December 31, 2020, the Fund’s open forward currency contracts were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
U.S. Dollar | | | 2,978,779 | | | Japanese Yen | | | 310,000,000 | | | | Goldman Sachs | | | | 3/15/21 | | | $ | (26,769 | ) |
U.S. Dollar | | | 2,225,232 | | | Japanese Yen | | | 230,000,000 | | �� | | Citigroup | | | | 3/22/21 | | | | (4,942 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (31,711 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Net Forward Currency Contracts | | | | | | | | | | | $ | (31,711 | ) |
| | | | | | | | | | | | | |
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
| | | | | | | | |
| | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Forward currency contracts | | $ | — | | | $ | 31,711 | |
See accompanying notes to the financial statements.
12
AZL MetWest Total Return Bond Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 326,266,117 | |
| | | | | |
Investment securities, at value(a) | | | $ | 336,788,295 | |
Cash | | | | 4,689 | |
Deposit at broker for futures contracts collateral | | | | 430,000 | |
Interest and dividends receivable | | | | 927,094 | |
Receivable for capital shares issued | | | | 36,832 | |
Receivable for investments sold | | | | 5,069,881 | |
Receivable for TBA investments sold | | | | 8,985,383 | |
Receivable for variation margin on futures contracts | | | | 1,500 | |
Prepaid expenses | | | | 1,593 | |
| | | | | |
Total Assets | | | | 352,245,267 | |
| | | | | |
Liabilities: | | | | | |
Unrealized depreciation on forward currency contracts | | | | 31,711 | |
Payable for investments purchased | | | | 9,549,169 | |
Payable for TBA investments purchased | | | | 46,282,625 | |
Payable for capital shares redeemed | | | | 4,973 | |
Payable for collateral received on loaned securities | | | | 355,411 | |
Manager fees payable | | | | 124,915 | |
Administration fees payable | | | | 25,289 | |
Distribution fees payable | | | | 62,458 | |
Custodian fees payable | | | | 3,929 | |
Administrative and compliance services fees payable | | | | 940 | |
Transfer agent fees payable | | | | 1,070 | |
Trustee fees payable | | | | 3,405 | |
Other accrued liabilities | | | | 13,612 | |
| | | | | |
Total Liabilities | | | | 56,459,507 | |
| | | | | |
Net Assets | | | $ | 295,785,760 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 265,704,191 | |
Total distributable earnings | | | | 30,081,569 | |
| | | | | |
Net Assets | | | $ | 295,785,760 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 26,984,613 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.96 | |
| | | | | |
| (a) | Includes securities on loan of $346,421. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 6,682,810 | |
Dividends | | | | 35,800 | |
Income from securities lending | | | | 5,990 | |
| | | | | |
Total Investment Income | | | | 6,724,600 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 1,760,905 | |
Administration fees | | | | 138,281 | |
Distribution fees | | | | 733,712 | |
Custodian fees | | | | 15,902 | |
Administrative and compliance services fees | | | | 5,169 | |
Transfer agent fees | | | | 6,072 | |
Trustee fees | | | | 17,506 | |
Professional fees | | | | 14,379 | |
Shareholder reports | | | | 9,037 | |
Other expenses | | | | 6,037 | |
| | | | | |
Total expenses before reductions | | | | 2,707,000 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (293,481 | ) |
| | | | | |
Net expenses | | | | 2,413,519 | |
| | | | | |
Net Investment Income/(Loss) | | | | 4,311,081 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 12,702,795 | |
Net realized gains/(losses) on forward currency contracts | | | | 419,633 | |
Net realized gains/(losses) on futures contracts | | | | 2,192,859 | |
Net realized gains/(losses) on written options contracts | | | | 70,121 | |
Net realized gains/(losses) on swap agreements | | | | 16,697 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 4,399,388 | |
Change in net unrealized appreciation/depreciation on forward currency contracts | | | | (94,126 | ) |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 1,942 | |
Change in net unrealized appreciation/depreciation on swap agreements | | | | (270 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 19,709,039 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 24,020,120 | |
| | | | | |
See accompanying notes to the financial statements.
13
AZL MetWest Total Return Bond Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 4,311,081 | | | | $ | 7,662,752 | |
Net realized gains/(losses) on investments | | | | 15,402,105 | | | | | 11,754,572 | |
Change in unrealized appreciation/depreciation on investments | | | | 4,306,934 | | | | | 7,398,188 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 24,020,120 | | | | | 26,815,512 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (12,644,991 | ) | | | | (7,861,474 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (12,644,991 | ) | | | | (7,861,474 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 35,317,127 | | | | | 8,208,805 | |
Proceeds from dividends reinvested | | | | 12,644,991 | | | | | 7,861,474 | |
Value of shares redeemed | | | | (81,958,486 | ) | | | | (37,961,471 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (33,996,368 | ) | | | | (21,891,192 | ) |
| | | | | | | | | | |
Change in net assets | | | | (22,621,239 | ) | | | | (2,937,154 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 318,406,999 | | | | | 321,344,153 | |
| | | | | | | | | | |
End of period | | | $ | 295,785,760 | | | | $ | 318,406,999 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 3,210,885 | | | | | 787,407 | |
Dividends reinvested | | | | 1,169,749 | | | | | 745,871 | |
Shares redeemed | | | | (7,566,839 | ) | | | | (3,603,464 | ) |
| | | | | | | | | | |
Change in shares | | | | (3,186,205 | ) | | | | (2,070,186 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
14
AZL MetWest Total Return Bond Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.55 | | | | $ | 9.97 | | | | $ | 10.20 | | | | $ | 10.07 | | | | $ | 10.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.16 | (a) | | | | 0.25 | (a) | | | | 0.26 | | | | | 0.17 | | | | | 0.16 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.74 | | | | | 0.60 | | | | | (0.29 | ) | | | | 0.15 | | | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.90 | | | | | 0.85 | | | | | (0.03 | ) | | | | 0.32 | | | | | 0.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.30 | ) | | | | (0.27 | ) | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.11 | ) |
Net Realized Gains | | | | (0.19 | ) | | | | — | | | | | — | | | | | (0.03 | ) | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.49 | ) | | | | (0.27 | ) | | | | (0.20 | ) | | | | (0.19 | ) | | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.96 | | | | $ | 10.55 | | | | $ | 9.97 | | | | $ | 10.20 | | | | $ | 10.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 8.58 | % | | | | 8.49 | % | | | | (0.21 | )% | | | | 3.14 | % | | | | 2.30 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 295,786 | | | | $ | 318,407 | | | | $ | 321,344 | | | | $ | 366,574 | | | | $ | 359,253 | |
Net Investment Income/(Loss) | | | | 1.47 | % | | | | 2.37 | % | | | | 2.25 | % | | | | 1.63 | % | | | | 1.45 | % |
Expenses Before Reductions(c) | | | | 0.92 | % | | | | 0.91 | % | | | | 0.91 | % | | | | 0.91 | % | | | | 0.91 | % |
Expenses Net of Reductions | | | | 0.82 | % | | | | 0.81 | % | | | | 0.85 | % | | | | 0.86 | % | | | | 0.86 | % |
Portfolio Turnover Rate | | | | 211 | % | | | | 203 | % | | | | 184 | % | | | | 198 | % | | | | 185 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
15
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services – Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MetWest Total Return Bond Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of netassets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
16
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $581 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $355,411 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of December 31, 2020, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the year ended December 31, 2020, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the year ended December 31, 2020, the monthly average notional amount for short contracts was $2.5 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
17
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $22.6 million, and the monthly average notional amount for short contracts was $2.8 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the year ended December 31, 2020, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option when purchasing options. As of December 31, 2020, the Fund had no purchased options contracts. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written when writing options. As of December 31, 2020, the Fund had no written options contracts. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. For the period ended December 31, 2020, the monthly average notional amount for written options contracts was $1.6 thousand. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
Swap Agreements
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate, foreign currencies and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be identified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.
Swaps are marked to market daily using pricing sources approved by the Trustees and the change in value, if any, is recorded as unrealized gain or loss. For OTC swaps, payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the OTC swap. A liquidation payment received or made at the termination of the OTC swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Upon entering a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or assets determined to be liquid (the amount is subject to the clearing organization that clears the trade). Daily changes in valuation of centrally cleared swaps, if any, are reported as “Payable/Receivable for variation margin on centrally cleared swap agreements” on the Statement of Assets and Liabilities.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for centrally cleared swap agreements is generally lower than for OTC swap agreements because generally a clearing organization becomes substituted for each counterparty to a centrally cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members will satisfy its obligations to the Fund.
The notional amounts reflect the extent of the total investment exposure the Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Schedule of Portfolio Investments. The Fund is a party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.
Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of December 31, 2020, the Fund entered into OTC and centrally cleared interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). The monthly average gross notional amount for interest rate swaps was $11.8 million for the year ended December 31, 2020. As of December 31, 2020, there were no investments in swaps agreements.
18
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | |
Interest Rate Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | — | | | Payable for variation margin on futures contracts* | | $ | 5,942 | |
| | | | |
Foreign Exchange Risk | | | | | | | | | | | | |
| | | | |
| Forward Currency Contracts | | Unrealized appreciation on forward currency contracts | | | — | | | Unrealized depreciation on forward currency contracts | | | 31,711 | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses) on Derivatives Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation
on Derivatives Recognized | |
| | |
Equity Risk | | | | | | | | |
| | | |
| Options Contracts | | Net realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | | $ | 70,121 | | | $ | — | |
| | |
Interest Rate Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | | 2,192,859 | | | | 1,942 | |
| | | |
| Interest Rate Swap Agreements | | Net Realized Gains/(Losses) on Swap Agreements | | | 16,697 | | | | (270 | ) |
| | | |
Foreign Exchange Risk | | | | | | | | | | |
| | | |
| Forward Currency Contracts | | Net Realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | | | 419,633 | | | | (94,126 | ) |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at December 31, 2020. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020.
As of December 31, 2020, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
| | |
Derivative Financial Instruments: | | | | | | | | | | |
Forward currency contracts | | | $ | — | | | | $ | 31,711 | |
Futures contracts | | | | 1,500 | | | | | — | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | 1,500 | | | | | 31,711 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | (1,500 | ) | | | | — | |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | — | | | | $ | 31,711 | |
| | | | | | | | | | |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Liabilities
Subject to a MNA by
Counterparty | | Derivatives Available
for Offset | | Non-cash
Collateral Pledged* | | Cash
Collateral Pledged* | | Net Amount
of Derivative
Liabilities |
Citigroup | | | $ | 4,942 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 4,942 | |
Goldman Sachs | | | | 26,769 | | | | | — | | | | | — | | | | | — | | | | | 26,769 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 31,711 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 31,711 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
19
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) —Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Metropolitan West Asset Management, LLC (“MetWest”), MetWest provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL MetWest Total Return Bond Fund | | | | 0.60 | % | | | | 0.91 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.50% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $1,637 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
20
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the forward foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Asset Backed Securities | | | $ | — | | | $11,233,130 | | | $ | — | | | | $ | 11,233,130 | |
Collateralized Mortgage Obligations | | | | — | | | 24,702,855 | | | | — | | | | | 24,702,855 | |
Corporate Bonds+ | | | | — | | | 55,088,302 | | | | — | | | | | 55,088,302 | |
Foreign Bonds+ | | | | — | | | 5,231,591 | | | | — | | | | | 5,231,591 | |
Yankee Debt Obligations+ | | | | — | | | 16,467,271 | | | | — | | | | | 16,467,271 | |
Municipal Bonds | | | | — | | | 3,851,949 | | | | — | | | | | 3,851,949 | |
U.S. Government Agency Mortgages | | | | — | | | 91,423,956 | | | | — | | | | | 91,423,956 | |
U.S. Treasury Obligations | | | | — | | | 122,519,006 | | | | — | | | | | 122,519,006 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 355,411 | | | — | | | | — | | | | | 355,411 | |
Unaffiliated Investment Companies | | | | 5,914,824 | | | — | | | | — | | | | | 5,914,824 | |
| | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 6,270,235 | | | 330,518,060 | | | | — | | | | | 336,788,295 | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | (5,942 | ) | | — | | | | — | | | | | (5,942 | ) |
Forward Currency Contracts | | | | — | | | (31,711) | | | | — | | | | | (31,711 | ) |
| | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 6,264,293 | | | $330,486,349 | | | $ | — | | | | $ | 336,750,642 | |
| | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts and forward currency contracts. These investments are generally presented in the financial statements at variation margin for futures contracts or at unrealized gain or loss on forward contracts. |
21
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL MetWest Total Return Bond Fund | | | $ | 559,750,648 | | | | $ | 597,906,982 | |
For the year ended December 31, 2020, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL MetWest Total Return Bond Fund | | | $ | 505,247,297 | | | | $ | 532,644,860 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, investments in mortgage-related securities may cause the Fund to exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. The Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
22
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2020
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $326,304,127. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 11,424,453 | |
Unrealized (depreciation) | | | (940,285 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 10,484,168 | |
| | | | |
As of the end of its tax year ended December 31, 2020, the Fund did not have capital forwards (“CLCFs”).
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MetWest Total Return Bond Fund | | | $ | 11,386,479 | | | | $ | 1,258,512 | | | | $ | 12,644,991 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MetWest Total Return Bond Fund | | | $ | 7,861,474 | | | | $ | — | | | | $ | 7,761,474 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized Appreciation/
Depreciation(a) | | Total
Accumulated Earnings/ (Deficit) |
| | | | | |
AZL MetWest Total Return Bond Fund | | | $ | 15,196,638 | | | | $ | 4,441,855 | | | | $ | — | | | | $ | 10,484,168 | | | | $ | 30,122,661 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, straddles and mark-to-market of futures contracts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 75% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
23
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL MetWest Total Return Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL MetWest Total Return Bond Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Federal Income Tax Information (Unaudited)
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $3,625,706.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $1,258,512.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
26
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
27
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
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The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust.( |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
31
| | | | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | | | |
| These Funds are not FDIC Insured. | | | ANNRPT1220 2/21 | |
AZL® Mid Cap Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Mid Cap Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Mid Cap Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Mid Cap Index Fund (Class 2 Shares) (the “Fund”) returned 14.53%. That compared to a 13.66% total return for its benchmark, the S&P MidCap 400 Index1.
The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of S&P MidCap 400 Index (“Index”) is designed to provide a comprehensive measure of mid-cap stock performance.
In the first quarter, fears of the coronavirus (COVID-19) outbreak and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Market Volatility Index2 (VIX) a measure of near-term stock market volatility surged to its highest level since the financial crisis and the S&P 500 Index3 experienced its quickest bear market contraction on record. Economic activity fell to a standstill with Purchasing Managers Index4 across the globe registering at their lowest levels on record and jobless claims surged. In late March, the U.S. saw a record number of initial claims with 3.3 million people filing claims for unemployment benefits compared to a consensus estimate of 1.4 million.
In the second quarter, global governments unleashed large stimulus packages to combat the shock on the economy. The U.S. passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Federal Reserve Board (the Fed) cut the federal funds rate target to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. The Fed also announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history. U.S. stocks outperformed other regions during this quarter, with a sharper recovery from the troughs of late March. This has largely been supported by the historic policy response. Towards the end of the second quarter, government measures to contain the virus were gradually lifted in many states, boosting activity and employment.
In the third quarter, U.S. stocks continued their recovery over July and August, recording all-time highs. However, valuation concerns sparked market volatility in early September, leading to a market sell-off. COVID-19 continued to take center stage over the third quarter but easing restrictions, coupled with a drop in the number of new cases in the U.S. and ongoing accommodative policies by the Fed, supported the U.S. market recovery over the quarter. This performance came despite spikes in volatility and a market sell-off that dampened the recovery momentum.
In the fourth quarter, U.S. markets reacted positively to the election results despite a weak start to the quarter. The victory of Joe Biden came as an indicator of more stable internal and external policies. The fear of rising COVID-19 cases in the U.S. was offset by positive vaccine news and the announcement of a $900 billion stimulus in late December, which ultimately supported positive market performance. Sectors that were severely impacted by the pandemic, such as energy and financials, recovered following positive vaccine news in November, prompting these two sectors to recoup some of the losses incurred earlier in the year.
Most sectors within the Index posted positive returns over the year. The information technology, consumer discretionary, and healthcare sectors were the best performers, while the energy sector lagged the most. Utilities and real estate stocks also were among the lowest performers.*
The Fund uses derivatives, most notably futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant affect on the Fund’s return in 2020.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by the S&P 500 Index options. |
| 3 | The Standard & Poor’s 500 Index is unmanaged and is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. Investors cannot invest directly in an index. |
| 4 | Purchasing Managers’ Index (PMI) is an indicator of the economic health of the manufacturing sector. The PMI is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. |
1
AZL® Mid Cap Index Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek to match the performance of the Standard & Poor’s MidCap 400 Index (“S&P 400”) as closely as possible. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 80% of its net assets in a statistically selected sampling of equity securities of companies included in the S&P 400 and in derivative instruments linked to the S&P 400, primarily futures contracts.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility.
The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines.
Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | | | Since
Inception | |
AZL® Mid Cap Index Fund (Class 1 Shares) | | | 10/14/16 | | | | 14.82 | % | | | 8.64 | % | | | — | | | | — | | | | 12.17 | % |
AZL® Mid Cap Index Fund (Class 2 Shares) | | | 5/1/09 | | | | 14.53 | % | | | 8.35 | % | | | 11.99 | % | | | 11.02 | % | | | 14.06 | % |
S&P MidCap 400 Index | | | 5/1/09 | | | | 13.66 | % | | | 8.45 | % | | | 12.35 | % | | | 11.51 | % | | | 14.69 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® Mid Cap Index Fund (Class 1 Shares) | | | 0.32 | % |
AZL® Mid Cap Index Fund (Class 2 Shares) | | | 0.57 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.46% for Class 1 Shares and 0.71% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Standard & Poor’s MidCap 400 Index (“S&P 400”), which is the most widely used index for mid-sized companies. The S&P 400 covers 7% of the U.S. equities market, and is part of a series of S&P U.S. indexes that can be used as building blocks for portfolio composition. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Mid Cap Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Mid Cap Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Mid Cap Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,320.40 | | | | $ | 1.92 | | | | | 0.33 | % |
| | | | |
AZL Mid Cap Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,318.60 | | | | $ | 3.38 | | | | | 0.58 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Mid Cap Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,023.48 | | | | $ | 1.68 | | | | | 0.33 | % |
| | | | |
AZL Mid Cap Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.22 | | | | $ | 2.95 | | | | | 0.58 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Industrials | | | | 17.7 | % |
| |
Information Technology | | | | 18.6 | |
| |
Financials | | | | 14.5 | |
| |
Consumer Discretionary | | | | 13.7 | |
| |
Health Care | | | | 10.7 | |
| |
Real Estate | | | | 8.7 | |
| |
Materials | | | | 5.5 | |
| |
Consumer Staples | | | | 3.5 | |
| |
Utilities | | | | 3.3 | |
| |
Communication Services | | | | 1.7 | |
| |
Energy | | | | 1.2 | |
| | | | | |
| |
Total Common Stocks | | | | 99.1 | |
| |
Unaffiliated Investment Companies | | | | 1.0 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.2 | |
| | | | | |
| |
Total Investment Securities | | | | 100.3 | |
| |
Net other assets (liabilities) | | | | (0.3 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.1%): | | | |
| Aerospace & Defense (1.0%): | | | |
| | 32,934 | | | Axon Enterprise, Inc.* | | $ | 4,035,402 | |
| | 21,576 | | | Curtiss-Wright Corp. | | | 2,510,368 | |
| | 43,489 | | | Hexcel Corp. | | | 2,108,782 | |
| | 28,796 | | | Mercury Systems, Inc.* | | | 2,535,776 | |
| | | | | | | | |
| | | | | | | 11,190,328 | |
| | | | | | | | |
| Air Freight & Logistics (0.5%): | | | |
| | 47,375 | | | XPO Logistics, Inc.* | | | 5,647,100 | |
| | | | | | | | |
| Airlines (0.2%): | | | |
| | 162,094 | | | JetBlue Airways Corp.* | | | 2,356,847 | |
| | | | | | | | |
| Auto Components (1.6%): | | | |
| | 48,655 | | | Adient plc* | | | 1,691,734 | |
| | 75,392 | | | Dana, Inc. | | | 1,471,652 | |
| | 21,489 | | | Fox Factory Holding Corp.* | | | 2,271,602 | |
| | 126,997 | | | Gentex Corp. | | | 4,309,008 | |
| | 121,827 | | | Goodyear Tire & Rubber Co. | | | 1,329,133 | |
| | 28,288 | | | Lear Corp. | | | 4,498,640 | |
| | 14,463 | | | Visteon Corp.* | | | 1,815,396 | |
| | | | | | | | |
| | | | | | | 17,387,165 | |
| | | | | | | | |
| Automobiles (0.5%): | | | |
| | 79,201 | | | Harley-Davidson, Inc. | | | 2,906,677 | |
| | 28,592 | | | Thor Industries, Inc. | | | 2,658,770 | |
| | | | | | | | |
| | | | | | | 5,565,447 | |
| | | | | | | | |
| Banks (6.0%): | | | |
| | 80,226 | | | Associated Banc-Corp. | | | 1,367,853 | |
| | 49,889 | | | BancorpSouth Bank | | | 1,368,954 | |
| | 20,733 | | | Bank of Hawaii Corp. | | | 1,588,562 | |
| | 63,143 | | | Bank OZK | | | 1,974,482 | |
| | 39,042 | | | Cathay General Bancorp | | | 1,256,762 | |
| | 50,661 | | | CIT Group, Inc. | | | 1,818,730 | |
| | 54,626 | | | Commerce Bancshares, Inc. | | | 3,588,928 | |
| | 28,855 | | | Cullen/Frost Bankers, Inc. | | | 2,517,022 | |
| | 73,363 | | | East West Bancorp, Inc. | | | 3,720,238 | |
| | 168,087 | | | F.N.B. Corp. | | | 1,596,827 | |
| | 73,346 | | | First Financial Bankshares, Inc. | | | 2,653,292 | |
| | 287,263 | | | First Horizon Corp. | | | 3,665,476 | |
| | 84,749 | | | Fulton Financial Corp. | | | 1,078,007 | |
| | 49,124 | | | Glacier Bancorp, Inc. | | | 2,260,195 | |
| | 45,012 | | | Hancock Whitney Corp. | | | 1,531,308 | |
| | 78,068 | | | Home Bancshares, Inc. | | | 1,520,765 | |
| | 29,085 | | | International Bancshares Corp. | | | 1,088,942 | |
| | 61,000 | | | PacWest Bancorp | | | 1,549,400 | |
| | 39,170 | | | Pinnacle Financial Partners, Inc. | | | 2,522,548 | |
| | 48,130 | | | Prosperity Bancshares, Inc. | | | 3,338,297 | |
| | 27,747 | | | Signature Bank | | | 3,753,892 | |
| | 99,834 | | | Sterling Bancorp | | | 1,795,015 | |
| | 76,487 | | | Synovus Financial Corp. | | | 2,475,884 | |
| | 78,774 | | | TCF Financial Corp. | | | 2,916,213 | |
| | 26,380 | | | Texas Capital Bancshares, Inc.* | | | 1,569,610 | |
| | 32,762 | | | Trustmark Corp. | | | 894,730 | |
| | 22,516 | | | UMB Financial Corp. | | | 1,553,379 | |
| | 115,034 | | | Umpqua Holdings Corp. | | | 1,741,615 | |
| | 67,558 | | | United Bankshares, Inc. | | | 2,188,879 | |
| | 208,582 | | | Valley National Bancorp | | | 2,033,675 | |
| | 47,115 | | | Webster Financial Corp. | | | 1,985,897 | |
| | 29,647 | | | Wintrust Financial Corp. | | | 1,811,135 | |
| | | | | | | | |
| | | | | | | 66,726,512 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages (0.4%): | | | |
| | 4,737 | | | Boston Beer Co., Inc. (The), Class A* | | $ | 4,709,952 | |
| | | | | | | | |
| Biotechnology (2.0%): | | | |
| | 53,252 | | | Arrowhead Pharmaceuticals, Inc.* | | | 4,086,026 | |
| | 23,260 | | | Emergent BioSolutions, Inc.* | | | 2,084,096 | |
| | 160,485 | | | Exelixis, Inc.* | | | 3,220,934 | |
| | 66,248 | | | Halozyme Therapeutics, Inc.* | | | 2,829,452 | |
| | 8,231 | | | Ligand Pharmaceuticals, Inc., Class B*^ | | | 818,573 | |
| | 26,083 | | | Repligen Corp.* | | | 4,998,286 | |
| | 23,031 | | | United Therapeutics Corp.* | | | 3,495,875 | |
| | | | | | | | |
| | | | | | | 21,533,242 | |
| | | | | | | | |
| Building Products (1.9%): | | | |
| | 105,883 | | | Builders FirstSource, Inc.* | | | 4,321,085 | |
| | 18,057 | | | Lennox International, Inc. | | | 4,947,076 | |
| | 56,090 | | | Owens Corning | | | 4,249,378 | |
| | 22,684 | | | Simpson Manufacturing Co., Inc. | | | 2,119,820 | |
| | 60,005 | | | Trex Co., Inc.* | | | 5,023,619 | |
| | | | | | | | |
| | | | | | | 20,660,978 | |
| | | | | | | | |
| Capital Markets (2.5%): | | | |
| | 23,508 | | | Affiliated Managers Group, Inc. | | | 2,390,764 | |
| | 59,025 | | | Eaton Vance Corp. | | | 4,009,568 | |
| | 21,057 | | | Evercore, Inc., Class A | | | 2,308,689 | |
| | 19,689 | | | FactSet Research Systems, Inc. | | | 6,546,594 | |
| | 49,360 | | | Federated Hermes, Inc., Class B | | | 1,426,010 | |
| | 42,073 | | | Interactive Brokers Group, Inc., Class A | | | 2,563,087 | |
| | 77,413 | | | Janus Henderson Group plc | | | 2,516,697 | |
| | 62,113 | | | SEI Investments Co. | | | 3,569,634 | |
| | 53,053 | | | Stifel Financial Corp. | | | 2,677,054 | |
| | | | | | | | |
| | | | | | | 28,008,097 | |
| | | | | | | | |
| Chemicals (2.5%): | | | |
| | 28,108 | | | Ashland Global Holdings, Inc. | | | 2,226,154 | |
| | 47,169 | | | Avient Corp. | | | 1,899,967 | |
| | 29,539 | | | Cabot Corp. | | | 1,325,710 | |
| | 85,704 | | | Chemours Co. (The) | | | 2,124,602 | |
| | 21,562 | | | Ingevity Corp.* | | | 1,632,890 | |
| | 17,756 | | | Minerals Technologies, Inc. | | | 1,103,003 | |
| | 3,817 | | | NewMarket Corp. | | | 1,520,273 | |
| | 74,001 | | | Olin Corp. | | | 1,817,465 | |
| | 67,338 | | | RPM International, Inc. | | | 6,112,944 | |
| | 21,071 | | | Scotts Miracle-Gro Co. (The) | | | 4,196,079 | |
| | 22,038 | | | Sensient Technologies Corp. | | | 1,625,743 | |
| | 95,638 | | | Valvoline, Inc. | | | 2,213,063 | |
| | | | | | | | |
| | | | | | | 27,797,893 | |
| | | | | | | | |
| Commercial Services & Supplies (2.0%): | | | |
| | 25,612 | | | Brink’s Co. (The) | | | 1,844,064 | |
| | 26,340 | | | Clean Harbors, Inc.* | | | 2,004,474 | |
| | 38,733 | | | Healthcare Services Group, Inc. | | | 1,088,397 | |
| | 30,849 | | | Herman Miller, Inc. | | | 1,042,696 | |
| | 22,539 | | | HNI Corp. | | | 776,694 | |
| | 69,684 | | | IAA, Inc.* | | | 4,528,067 | |
| | 67,145 | | | KAR Auction Services, Inc. | | | 1,249,568 | |
| | 18,706 | | | MSA Safety, Inc. | | | 2,794,489 | |
| | 47,357 | | | Stericycle, Inc.* | | | 3,283,261 | |
| | 27,984 | | | Tetra Tech, Inc. | | | 3,239,988 | |
| | | | | | | | |
| | | | | | | 21,851,698 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Communications Equipment (1.0%): | | | |
| | 79,974 | | | Ciena Corp.* | | $ | 4,226,625 | |
| | 16,094 | | | InterDigital, Inc. | | | 976,584 | |
| | 39,112 | | | Lumentum Holdings, Inc.* | | | 3,707,818 | |
| | 38,156 | | | NetScout Systems, Inc.* | | | 1,046,238 | |
| | 33,336 | | | ViaSat, Inc.* | | | 1,088,420 | |
| | | | | | | | |
| | | | | | | 11,045,685 | |
| | | | | | | | |
| Construction & Engineering (1.2%): | | | |
| | 78,085 | | | AECOM* | | | 3,887,070 | |
| | 16,669 | | | Dycom Industries, Inc.* | | | 1,258,843 | |
| | 28,526 | | | EMCOR Group, Inc. | | | 2,608,988 | |
| | 64,283 | | | Fluor Corp. | | | 1,026,600 | |
| | 29,038 | | | MasTec, Inc.* | | | 1,979,811 | |
| | 11,019 | | | Valmont Industries, Inc. | | | 1,927,554 | |
| | | | | | | | |
| | | | | | | 12,688,866 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 21,716 | | | Eagle Materials, Inc., Class A | | | 2,200,917 | |
| | | | | | | | |
| Consumer Finance (0.6%): | | | |
| | 21,330 | | | Firstcash, Inc. | | | 1,493,953 | |
| | 94,902 | | | Navient Corp. | | | 931,938 | |
| | 36,418 | | | PROG Holdings, Inc. | | | 1,961,838 | |
| | 193,443 | | | SLM Corp. | | | 2,396,758 | |
| | | | | | | | |
| | | | | | | 6,784,487 | |
| | | | | | | | |
| Containers & Packaging (1.0%): | | | |
| | 33,541 | | | AptarGroup, Inc. | | | 4,591,427 | |
| | 13,366 | | | Greif, Inc., Class A | | | 626,598 | |
| | 81,262 | | | O-I Glass, Inc. | | | 967,018 | |
| | 41,020 | | | Silgan Holdings, Inc. | | | 1,521,022 | |
| | 51,864 | | | Sonoco Products Co. | | | 3,072,942 | |
| | | | | | | | |
| | | | | | | 10,779,007 | |
| | | | | | | | |
| Diversified Consumer Services (1.1%): | | | |
| | 26,717 | | | Adtalem Global Education, Inc.* | | | 907,042 | |
| | 2,093 | | | Graham Holdings Co., Class B | | | 1,116,364 | |
| | 24,359 | | | Grand Canyon Education, Inc.* | | | 2,268,066 | |
| | 94,670 | | | H&R Block, Inc. | | | 1,501,466 | |
| | 89,522 | | | Service Corp. International | | | 4,395,531 | |
| | 12,551 | | | Strategic Education, Inc. | | | 1,196,487 | |
| | 24,058 | | | WW International, Inc.* | | | 587,015 | |
| | | | | | | | |
| | | | | | | 11,971,971 | |
| | | | | | | | |
| Diversified Financial Services (0.2%): | | | |
| | 107,678 | | | Jefferies Financial Group, Inc. | | | 2,648,879 | |
| | | | | | | | |
| Electric Utilities (1.0%): | | | |
| | 26,924 | | | ALLETE, Inc. | | | 1,667,673 | |
| | 56,575 | | | Hawaiian Electric Industries, Inc. | | | 2,002,189 | |
| | 26,151 | | | IDACORP, Inc. | | | 2,511,281 | |
| | 103,459 | | | OGE Energy Corp. | | | 3,296,204 | |
| | 41,514 | | | PNM Resources, Inc. | | | 2,014,674 | |
| | | | | | | | |
| | | | | | | 11,492,021 | |
| | | | | | | | |
| Electrical Equipment (3.4%): | | | |
| | 19,140 | | | Acuity Brands, Inc. | | | 2,317,663 | |
| | 21,855 | | | EnerSys | | | 1,815,276 | |
| | 65,470 | | | Enphase Energy, Inc.* | | | 11,488,020 | |
| | 32,566 | | | Generac Holdings, Inc.* | | | 7,405,834 | |
| | 28,107 | | | Hubbell, Inc. | | | 4,406,897 | |
| | 88,329 | | | nVent Electric plc | | | 2,057,182 | |
| | 21,038 | | | Regal-Beloit Corp. | | | 2,583,677 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electrical Equipment, continued | | | |
| | 80,870 | | | Sunrun, Inc.* | | $ | 5,610,761 | |
| | | | | | | | |
| | | | | | | 37,685,310 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (3.7%): | | | |
| | 39,132 | | | Arrow Electronics, Inc.* | | | 3,807,544 | |
| | 51,360 | | | Avnet, Inc. | | | 1,803,250 | |
| | 23,301 | | | Belden, Inc. | | | 976,312 | |
| | 90,501 | | | Cognex Corp. | | | 7,265,873 | |
| | 12,665 | | | Coherent, Inc.* | | | 1,900,003 | |
| | 53,639 | | | II-VI, Inc.* | | | 4,074,418 | |
| | 69,752 | | | Jabil, Inc. | | | 2,966,553 | |
| | 12,605 | | | Littlelfuse, Inc. | | | 3,209,989 | |
| | 67,783 | | | National Instruments Corp. | | | 2,978,385 | |
| | 21,298 | | | SYNNEX Corp. | | | 1,734,509 | |
| | 129,650 | | | Trimble, Inc.* | | | 8,656,731 | |
| | 69,395 | | | Vishay Intertechnology, Inc. | | | 1,437,170 | |
| | | | | | | | |
| | | | | | | 40,810,737 | |
| | | | | | | | |
| Energy Equipment & Services (0.1%): | | | |
| | 96,316 | | | ChampionX Corp.* | | | 1,473,635 | |
| | | | | | | | |
| Entertainment (0.2%): | | | |
| | 55,614 | | | Cinemark Holdings, Inc. | | | 968,240 | |
| | 24,390 | | | World Wrestling Entertainment, Inc., Class A | | | 1,171,939 | |
| | | | | | | | |
| | | | | | | 2,140,179 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (8.3%): | | | |
| | 71,326 | | | American Campus Communities, Inc. | | | 3,050,613 | |
| | 76,812 | | | Apartment Income REIT Corp.* | | | 2,950,349 | |
| | 153,416 | | | Brixmor Property Group, Inc. | | | 2,539,035 | |
| | 50,474 | | | Camden Property Trust | | | 5,043,362 | |
| | 22,083 | | | Coresite Realty Corp. | | | 2,766,558 | |
| | 58,136 | | | Corporate Office Properties Trust | | | 1,516,187 | |
| | 77,334 | | | Cousins Properties, Inc. | | | 2,590,689 | |
| | 62,407 | | | Cyrusone, Inc. | | | 4,565,072 | |
| | 85,756 | | | Douglas Emmett, Inc. | | | 2,502,360 | |
| | 20,500 | | | EastGroup Properties, Inc. | | | 2,830,230 | |
| | 38,839 | | | EPR Properties | | | 1,262,268 | |
| | 67,267 | | | First Industrial Realty Trust, Inc. | | | 2,833,959 | |
| | 69,983 | | | Healthcare Realty Trust, Inc. | | | 2,071,497 | |
| | 54,103 | | | Highwoods Properties, Inc. | | | 2,144,102 | |
| | 78,348 | | | Hudson Pacific Properties, Inc. | | | 1,881,919 | |
| | 57,633 | | | JBG SMITH Properties | | | 1,802,184 | |
| | 54,221 | | | Kilroy Realty Corp. | | | 3,112,285 | |
| | 44,790 | | | Lamar Advertising Co., Class A | | | 3,727,424 | |
| | 25,084 | | | Life Storage, Inc. | | | 2,994,779 | |
| | 277,772 | | | Medical Properties Trust, Inc. | | | 6,052,652 | |
| | 90,032 | | | National Retail Properties, Inc. | | | 3,684,109 | |
| | 117,641 | | | Omega Healthcare Investors, Inc. | | | 4,272,721 | |
| | 121,605 | | | Parks Hotels & Resorts, Inc. | | | 2,085,526 | |
| | 68,383 | | | Pebblebrook Hotel Trust | | | 1,285,600 | |
| | 108,235 | | | Physicians Realty Trust | | | 1,926,583 | |
| | 34,892 | | | PotlatchDeltic Corp. | | | 1,745,298 | |
| | 10,482 | | | PS Business Parks, Inc. | | | 1,392,743 | |
| | 71,118 | | | Rayonier, Inc. | | | 2,089,447 | |
| | 67,496 | | | Rexford Industrial Realty, Inc. | | | 3,314,729 | |
| | 107,809 | | | Sabra Health Care REIT, Inc. | | | 1,872,642 | |
| | 84,496 | | | Service Properties Trust | | | 970,859 | |
| | 59,431 | | | Spirit Realty Capital, Inc. | | | 2,387,343 | |
| | 122,477 | | | STORE Capital Corp. | | | 4,161,768 | |
See accompanying notes to the financial statements.
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 57,698 | | | The Macerich Co.^ | | $ | 615,638 | |
| | 57,002 | | | Urban Edge Properties | | | 737,606 | |
| | 62,815 | | | Weingarten Realty Investors | | | 1,361,201 | |
| | | | | | | | |
| | | | | | | 92,141,337 | |
| | | | | | | | |
| Food & Staples Retailing (0.8%): | | | |
| | 71,543 | | | BJ’s Wholesale Club Holdings, Inc.* | | | 2,667,123 | |
| | 19,141 | | | Casey’s General Stores, Inc. | | | 3,418,966 | |
| | 44,355 | | | Grocery Outlet Holding Corp.* | | | 1,740,934 | |
| | 61,624 | | | Sprouts Farmers Market, Inc.* | | | 1,238,642 | |
| | | | | | | | |
| | | | | | | 9,065,665 | |
| | | | | | | | |
| Food Products (1.8%): | | | |
| | 83,989 | | | Darling Ingredients, Inc.* | | | 4,844,485 | |
| | 102,348 | | | Flowers Foods, Inc. | | | 2,316,135 | |
| | 42,710 | | | Hain Celestial Group, Inc. (The)* | | | 1,714,807 | |
| | 34,842 | | | Ingredion, Inc. | | | 2,741,020 | |
| | 10,223 | | | Lancaster Colony Corp. | | | 1,878,272 | |
| | 24,940 | | | Pilgrim’s Pride Corp.* | | | 489,073 | |
| | 31,659 | | | Post Holdings, Inc.* | | | 3,197,875 | |
| | 10,198 | | | Sanderson Farms, Inc. | | | 1,348,176 | |
| | 9,041 | | | Tootsie Roll Industries, Inc.^ | | | 268,518 | |
| | 29,450 | | | TreeHouse Foods, Inc.* | | | 1,251,331 | |
| | | | | | | | |
| | | | | | | 20,049,692 | |
| | | | | | | | |
| Gas Utilities (1.2%): | | | |
| | 46,909 | | | National Fuel Gas Co. | | | 1,929,367 | |
| | 50,080 | | | New Jersey Resources Corp. | | | 1,780,344 | |
| | 27,606 | | | ONE Gas, Inc. | | | 2,119,313 | |
| | 29,601 | | | Southwest Gas Holdings, Inc. | | | 1,798,261 | |
| | 26,750 | | | Spire, Inc. | | | 1,713,070 | |
| | 107,587 | | | UGI Corp. | | | 3,761,241 | |
| | | | | | | | |
| | | | | | | 13,101,596 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.2%): | | | |
| | 24,985 | | | Avanos Medical, Inc.* | | | 1,146,312 | |
| | 19,378 | | | Cantel Medical Corp. | | | 1,528,149 | |
| | 39,739 | | | Globus Medical, Inc., Class A* | | | 2,591,778 | |
| | 26,253 | | | Haemonetics Corp.* | | | 3,117,544 | |
| | 34,572 | | | Hill-Rom Holdings, Inc. | | | 3,387,019 | |
| | 10,082 | | | ICU Medical, Inc.* | | | 2,162,488 | |
| | 36,685 | | | Integra LifeSciences Holdings Corp.* | | | 2,381,590 | |
| | 25,158 | | | LivaNova plc* | | | 1,665,711 | |
| | 26,249 | | | Masimo Corp.* | | | 7,044,706 | |
| | 27,634 | | | Neogen Corp.* | | | 2,191,376 | |
| | 26,850 | | | NuVasive, Inc.* | | | 1,512,461 | |
| | 17,457 | | | Penumbra, Inc.* | | | 3,054,975 | |
| | 19,821 | | | Quidel Corp.* | | | 3,560,842 | |
| | | | | | | | |
| | | | | | | 35,344,951 | |
| | | | | | | | |
| Health Care Providers & Services (2.9%): | | | |
| | 46,483 | | | Acadia Healthcare Co., Inc.* | | | 2,336,236 | |
| | 17,004 | | | Amedisys, Inc.* | | | 4,987,783 | |
| | 8,246 | | | Chemed Corp. | | | 4,391,902 | |
| | 51,502 | | | Encompass Health Corp. | | | 4,258,700 | |
| | 39,830 | | | HealthEquity, Inc.* | | | 2,776,549 | |
| | 16,354 | | | LHC Group, Inc.* | | | 3,488,635 | |
| | 30,732 | | | Molina Healthcare, Inc.* | | | 6,536,083 | |
| | 45,276 | | | Patterson Cos., Inc. | | | 1,341,528 | |
| | 54,413 | | | Tenet Healthcare Corp.* | | | 2,172,711 | |
| | | | | | | | |
| | | | | | | 32,290,127 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure (3.9%): | | | |
| | 41,566 | | | Boyd Gaming Corp.* | | $ | 1,784,013 | |
| | 107,936 | | | Caesars Entertainment, Inc.* | | | 8,016,406 | |
| | 15,036 | | | Choice Hotels International, Inc. | | | 1,604,792 | |
| | 18,393 | | | Churchill Downs, Inc. | | | 3,582,772 | |
| | 12,361 | | | Cracker Barrel Old Country Store, Inc. | | | 1,630,663 | |
| | 11,869 | | | Jack in the Box, Inc. | | | 1,101,443 | |
| | 21,180 | | | Marriott Vacations Worldwide Corp. | | | 2,906,320 | |
| | 16,953 | | | Papa John’s International, Inc. | | | 1,438,462 | |
| | 76,469 | | | Penn National Gaming, Inc.* | | | 6,604,628 | |
| | 29,347 | | | Scientific Games Corp., Class A* | | | 1,217,607 | |
| | 39,077 | | | Six Flags Entertainment Corp. | | | 1,332,526 | |
| | 33,670 | | | Texas Roadhouse, Inc., Class A | | | 2,631,647 | |
| | 93,364 | | | Wendy’s Co. (The) | | | 2,046,539 | |
| | 15,445 | | | Wingstop, Inc. | | | 2,047,235 | |
| | 44,848 | | | Wyndham Destinations, Inc. | | | 2,011,881 | |
| | 48,204 | | | Wyndham Hotels & Resorts, Inc. | | | 2,865,246 | |
| | | | | | | | |
| | | | | | | 42,822,180 | |
| | | | | | | | |
| Household Durables (1.4%): | | | |
| | 13,102 | | | Helen of Troy, Ltd.* | | | 2,911,133 | |
| | 46,005 | | | KB Home | | | 1,542,088 | |
| | 67,822 | | | Taylor Morrison Home Corp., Class A* | | | 1,739,634 | |
| | 99,019 | | | Tempur Sealy International, Inc.* | | | 2,673,513 | |
| | 59,270 | | | Toll Brothers, Inc. | | | 2,576,467 | |
| | 17,114 | | | TopBuild Corp.* | | | 3,150,345 | |
| | 65,031 | | | TRI Pointe Group, Inc.* | | | 1,121,785 | |
| | | | | | | | |
| | | | | | | 15,714,965 | |
| | | | | | | | |
| Household Products (0.1%): | | | |
| | 30,421 | | | Energizer Holdings, Inc. | | | 1,283,158 | |
| | | | | | | | |
| Industrial Conglomerates (0.4%): | | | |
| | 27,663 | | | Carlisle Cos., Inc. | | | 4,320,407 | |
| | | | | | | | |
| Insurance (4.2%): | | | |
| | 7,417 | | | Alleghany Corp. | | | 4,477,569 | |
| | 36,336 | | | American Financial Group, Inc. | | | 3,183,760 | |
| | 46,280 | | | Brighthouse Financial, Inc.* | | | 1,675,567 | |
| | 122,183 | | | Brown & Brown, Inc. | | | 5,792,696 | |
| | 71,535 | | | CNO Financial Group, Inc. | | | 1,590,223 | |
| | 57,839 | | | First American Financial Corp. | | | 2,986,228 | |
| | 263,865 | | | Genworth Financial, Inc., Class A* | | | 997,410 | |
| | 19,323 | | | Hanover Insurance Group, Inc. (The) | | | 2,259,245 | |
| | 31,858 | | | Kemper Corp. | | | 2,447,650 | |
| | 11,124 | | | Kinsale Capital Group, Inc. | | | 2,226,246 | |
| | 13,879 | | | Mercury General Corp. | | | 724,623 | |
| | 145,738 | | | Old Republic International Corp. | | | 2,872,496 | |
| | 20,478 | | | Primerica, Inc. | | | 2,742,619 | |
| | 35,149 | | | Reinsurance Group of America, Inc. | | | 4,073,769 | |
| | 26,331 | | | RenaissanceRe Holdings, Ltd. | | | 4,366,207 | |
| | 20,515 | | | RLI Corp. | | | 2,136,637 | |
| | 30,777 | | | Selective Insurance Group, Inc. | | | 2,061,443 | |
| | | | | | | | |
| | | | | | | 46,614,388 | |
| | | | | | | | |
| Interactive Media & Services (0.2%): | | | |
| | 50,229 | | | TripAdvisor, Inc.* | | | 1,445,591 | |
| | 35,388 | | | Yelp, Inc.* | | | 1,156,126 | |
| | | | | | | | |
| | | | | | | 2,601,717 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (2.3%): | | | |
| | 153,828 | | | Airbnb, Inc., Series D(a) | | | 21,584,581 | |
| | 48,018 | | | Grubhub, Inc.* | | | 3,566,297 | |
| | | | | | | | |
| | | | | | | 25,150,878 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services (2.7%): | | | |
| | 24,895 | | | Alliance Data Systems Corp. | | $ | 1,844,720 | |
| | 13,044 | | | CACI International, Inc., Class A* | | | 3,252,260 | |
| | 21,204 | | | Concentrix Corp.* | | | 2,092,835 | |
| | 40,172 | | | CoreLogic, Inc. | | | 3,106,099 | |
| | 73,862 | | | KBR, Inc. | | | 2,284,552 | |
| | 34,201 | | | LiveRamp Holdings, Inc.* | | | 2,503,171 | |
| | 31,742 | | | Maximus, Inc. | | | 2,323,197 | |
| | 70,957 | | | Perspecta, Inc. | | | 1,708,645 | |
| | 164,866 | | | Sabre Corp. | | | 1,981,689 | |
| | 30,151 | | | Science Applications International Corp. | | | 2,853,491 | |
| | 56,632 | | | Teradata Corp.* | | | 1,272,521 | |
| | 22,870 | | | WEX, Inc.* | | | 4,654,730 | |
| | | | | | | | |
| | | | | | | 29,877,910 | |
| | | | | | | | |
| Leisure Products (0.8%): | | | |
| | 40,515 | | | Brunswick Corp. | | | 3,088,864 | |
| | 181,396 | | | Mattel, Inc.* | | | 3,165,360 | |
| | 29,967 | | | Polaris, Inc. | | | 2,855,256 | |
| | | | | | | | |
| | | | | | | 9,109,480 | |
| | | | | | | | |
| Life Sciences Tools & Services (2.0%): | | | |
| | 20,008 | | | Bio-Techne Corp. | | | 6,353,540 | |
| | 25,779 | | | Charles River Laboratories International, Inc.* | | | 6,441,141 | |
| | 14,328 | | | Medpace Holdings, Inc.* | | | 1,994,458 | |
| | 33,244 | | | PRA Health Sciences, Inc.* | | | 4,170,127 | |
| | 39,092 | | | Syneos Health, Inc.* | | | 2,663,338 | |
| | | | | | | | |
| | | | | | | 21,622,604 | |
| | | | | | | | |
| Machinery (4.7%): | | | |
| | 31,829 | | | AGCO Corp. | | | 3,281,252 | |
| | 52,593 | | | Colfax Corp.* | | | 2,011,156 | |
| | 25,435 | | | Crane Co. | | | 1,975,282 | |
| | 65,375 | | | Donaldson Co., Inc. | | | 3,653,155 | |
| | 86,825 | | | Graco, Inc. | | | 6,281,788 | |
| | 44,775 | | | ITT, Inc. | | | 3,448,571 | |
| | 43,023 | | | Kennametal, Inc. | | | 1,559,154 | |
| | 30,792 | | | Lincoln Electric Holdings, Inc. | | | 3,579,570 | |
| | 28,963 | | | Middleby Corp. (The)* | | | 3,733,910 | |
| | 27,970 | | | Nordson Corp. | | | 5,620,571 | |
| | 35,246 | | | Oshkosh Corp. | | | 3,033,623 | |
| | 35,918 | | | Terex Corp. | | | 1,253,179 | |
| | 35,147 | | | Timken Co. | | | 2,718,972 | |
| | 55,605 | | | Toro Co. (The) | | | 5,273,578 | |
| | 44,535 | | | Trinity Industries, Inc. | | | 1,175,279 | |
| | 30,238 | | | Woodward, Inc. | | | 3,674,824 | |
| | | | | | | | |
| | | | | | | 52,273,864 | |
| | | | | | | | |
| Marine (0.2%): | | | |
| | 31,120 | | | Kirby Corp.* | | | 1,612,950 | |
| | | | | | | | |
| Media (1.2%): | | | |
| | 2,810 | | | Cable One, Inc. | | | 6,259,893 | |
| | 22,445 | | | John Wiley & Sons, Inc., Class A | | | 1,024,839 | |
| | 75,013 | | | New York Times Co. (The), Class A | | | 3,883,423 | |
| | 113,697 | | | Tegna, Inc. | | | 1,586,073 | |
| | | | | | | | |
| | | | | | | 12,754,228 | |
| | | | | | | | |
| Metals & Mining (1.5%): | | | |
| | 62,341 | | | Commercial Metals Co. | | | 1,280,484 | |
| | 17,736 | | | Compass Minerals International, Inc. | | | 1,094,666 | |
| | 32,958 | | | Reliance Steel & Aluminum Co. | | | 3,946,721 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 33,853 | | | Royal Gold, Inc. | | $ | 3,600,605 | |
| | 103,234 | | | Steel Dynamics, Inc. | | | 3,806,238 | |
| | 113,587 | | | United States Steel Corp. | | | 1,904,854 | |
| | 18,816 | | | Worthington Industries, Inc. | | | 966,013 | |
| | | | | | | | |
| | | | | | | 16,599,581 | |
| | | | | | | | |
| Multiline Retail (0.7%): | | | |
| | 81,550 | | | Kohl’s Corp. | | | 3,318,269 | |
| | 56,258 | �� | | Nordstrom, Inc.^ | | | 1,755,812 | |
| | 29,475 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 2,410,171 | |
| | | | | | | | |
| | | | | | | 7,484,252 | |
| | | | | | | | |
| Multi-Utilities (0.6%): | | | |
| | 32,556 | | | Black Hills Corp. | | | 2,000,566 | |
| | 103,434 | | | MDU Resources Group, Inc. | | | 2,724,452 | |
| | 26,066 | | | NorthWestern Corp. | | | 1,519,908 | |
| | | | | | | | |
| | | | | | | 6,244,926 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.0%): | | | |
| | 149,379 | | | Antero Midstream Corp. | | | 1,151,712 | |
| | 52,975 | | | Cimarex Energy Co. | | | 1,987,091 | |
| | 116,834 | | | CNX Resources Corp.* | | | 1,261,807 | |
| | 141,529 | | | EQT Corp.* | | | 1,798,834 | |
| | 208,891 | | | Equitrans Midstream Corp. | | | 1,679,484 | |
| | 75,416 | | | Murphy Oil Corp. | | | 912,534 | |
| | 32,643 | | | World Fuel Services Corp. | | | 1,017,156 | |
| | 207,399 | | | WPX Energy, Inc.* | | | 1,690,302 | |
| | | | | | | | |
| | | | | | | 11,498,920 | |
| | | | | | | | |
| Paper & Forest Products (0.3%): | | | |
| | 28,807 | | | Domtar Corp. | | | 911,742 | |
| | 56,781 | | | Louisiana-Pacific Corp. | | | 2,110,549 | |
| | | | | | | | |
| | | | | | | 3,022,291 | |
| | | | | | | | |
| Personal Products (0.3%): | | | |
| | 148,022 | | | Coty, Inc., Class A | | | 1,039,114 | |
| | 28,177 | | | Edgewell Personal Care Co. | | | 974,361 | |
| | 26,204 | | | Nu Skin Enterprises, Inc., Class A | | | 1,431,525 | |
| | | | | | | | |
| | | | | | | 3,445,000 | |
| | | | | | | | |
| Pharmaceuticals (0.7%): | | | |
| | 28,873 | | | Jazz Pharmaceuticals plc* | | | 4,765,489 | |
| | 92,819 | | | Nektar Therapeutics* | | | 1,577,923 | |
| | 26,171 | | | Prestige Consumer Healthcare, Inc.* | | | 912,583 | |
| | | | | | | | |
| | | | | | | 7,255,995 | |
| | | | | | | | |
| Professional Services (0.8%): | | | |
| | 27,255 | | | ASGN, Inc.* | | | 2,276,610 | |
| | 18,481 | | | FTI Consulting, Inc.* | | | 2,064,697 | |
| | 18,631 | | | Insperity, Inc. | | | 1,516,936 | |
| | 29,974 | | | ManpowerGroup, Inc. | | | 2,703,056 | |
| | | | | | | | |
| | | | | | | 8,561,299 | |
| | | | | | | | |
| Real Estate Management & Development (0.4%): | | | |
| | 26,587 | | | Jones Lang LaSalle, Inc.* | | | 3,944,713 | |
| | | | | | | | |
| Road & Rail (0.8%): | | | |
| | 26,855 | | | Avis Budget Group, Inc.* | | | 1,001,692 | |
| | 64,704 | | | Knight-Swift Transportation Holdings, Inc. | | | 2,705,921 | |
| | 19,990 | | | Landstar System, Inc. | | | 2,691,853 | |
| | 28,083 | | | Ryder System, Inc. | | | 1,734,406 | |
| | 29,878 | | | Werner Enterprises, Inc. | | | 1,171,815 | |
| | | | | | | | |
| | | | | | | 9,305,687 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment (4.4%): | | | |
| | 30,039 | | | Cirrus Logic, Inc.* | | $ | 2,469,206 | |
| | 15,060 | | | CMC Materials, Inc. | | | 2,278,578 | |
| | 57,182 | | | Cree, Inc.* | | | 6,055,574 | |
| | 43,926 | | | First Solar, Inc.* | | | 4,345,160 | |
| | 28,553 | | | MKS Instruments, Inc. | | | 4,295,799 | |
| | 21,969 | | | Monolithic Power Systems, Inc. | | | 8,045,706 | |
| | 33,614 | | | Semtech Corp.* | | | 2,423,233 | |
| | 22,835 | | | Silicon Laboratories, Inc.* | | | 2,907,809 | |
| | 26,539 | | | SolarEdge Technologies, Inc.* | | | 8,469,126 | |
| | 17,957 | | | Synaptics, Inc.* | | | 1,731,055 | |
| | 22,214 | | | Universal Display Corp. | | | 5,104,777 | |
| | | | | | | | |
| | | | | | | 48,126,023 | |
| | | | | | | | |
| Software (4.6%): | | | |
| | 60,152 | | | ACI Worldwide, Inc.* | | | 2,311,641 | |
| | 25,673 | | | Blackbaud, Inc. | | | 1,477,738 | |
| | 62,943 | | | CDK Global, Inc. | | | 3,262,336 | |
| | 67,405 | | | Ceridian HCM Holding, Inc.* | | | 7,182,677 | |
| | 24,618 | | | CommVault Systems, Inc.* | | | 1,363,099 | |
| | 15,080 | | | Fair Isaac Corp.* | | | 7,706,482 | |
| | 22,267 | | | J2 Global, Inc.* | | | 2,175,263 | |
| | 32,921 | | | Manhattan Associates, Inc.* | | | 3,462,631 | |
| | 183,770 | | | Palantir Technologies, Inc., Series G(a) | | | 4,221,984 | |
| | 54,138 | | | Palantir Technologies, Inc., Series H(a) | | | 1,243,775 | |
| | 54,138 | | | Palantir Technologies, Inc., Series H1(a) | | | 1,243,775 | |
| | 19,397 | | | Paylocity Holding Corp.* | | | 3,994,036 | |
| | 54,413 | | | PTC, Inc.* | | | 6,508,339 | |
| | 17,272 | | | Qualys, Inc.* | | | 2,104,939 | |
| | 46,887 | | | Sailpoint Technologies Holdings, Inc.* | | | 2,496,264 | |
| | | | | | | | |
| | | | | | | 50,754,979 | |
| | | | | | | | |
| Specialty Retail (2.5%): | | | |
| | 78,124 | | | American Eagle Outfitters, Inc. | | | 1,567,949 | |
| | 30,750 | | | AutoNation, Inc.* | | | 2,146,043 | |
| | 34,335 | | | Dick’s Sporting Goods, Inc. | | | 1,929,970 | |
| | 28,955 | | | Five Below, Inc.* | | | 5,066,545 | |
| | 54,323 | | | Foot Locker, Inc. | | | 2,196,822 | |
| | 13,537 | | | Lithia Motors, Inc., Class A | | | 3,961,874 | |
| | 13,761 | | | Murphy U.S.A., Inc. | | | 1,800,902 | |
| | 8,083 | | | RH* | | | 3,617,304 | |
| | 34,905 | | | Urban Outfitters, Inc.* | | | 893,568 | |
| | 39,690 | | | Williams-Sonoma, Inc. | | | 4,042,030 | |
| | | | | | | | |
| | | | | | | 27,223,007 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.2%): | | | |
| | 66,479 | | | NCR Corp.* | | | 2,497,616 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods (0.9%): | | | |
| | 22,707 | | | Carter’s, Inc. | | $ | 2,136,047 | |
| | 15,704 | | | Columbia Sportswear Co. | | | 1,372,216 | |
| | 14,554 | | | Deckers Outdoor Corp.* | | | 4,173,796 | |
| | 70,182 | | | Skechers U.S.A., Inc., Class A* | | | 2,522,341 | |
| | | | | | | | |
| | | | | | | 10,204,400 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.9%): | | | |
| | 58,109 | | | Essent Group, Ltd. | | | 2,510,309 | |
| | 5,627 | | | LendingTree, Inc.* | | | 1,540,616 | |
| | 174,887 | | | MGIC Investment Corp. | | | 2,194,832 | |
| | 240,695 | | | New York Community Bancorp, Inc. | | | 2,539,332 | |
| | 39,601 | | | Washington Federal, Inc. | | | 1,019,330 | |
| | | | | | | | |
| | | | | | | 9,804,419 | |
| | | | | | | | |
| Trading Companies & Distributors (0.8%): | | | |
| | 18,282 | | | GATX Corp. | | | 1,520,697 | |
| | 23,582 | | | MSC Industrial Direct Co., Inc., Class A | | | 1,990,085 | |
| | 88,040 | | | Univar Solutions, Inc.* | | | 1,673,640 | |
| | 16,964 | | | Watsco, Inc. | | | 3,843,194 | |
| | | | | | | | |
| | | | | | | 9,027,616 | |
| | | | | | | | |
| Water Utilities (0.5%): | | | |
| | 115,669 | | | Essential Utilities, Inc. | | | 5,469,988 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.1%): | | | |
| | 51,363 | | | Telephone & Data Systems, Inc. | | | 953,811 | |
| | | | | | | | |
| | Total Common Stocks (Cost $749,441,678) | | | 1,094,333,573 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.2%): | |
| | 2,327,037 | | | BlackRock Liquidity FedFund, Institutional Class, 0.38%(b)(c) | | | 2,327,037 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $2,327,037) | | | 2,327,037 | |
| | | | | |
| Unaffiliated Investment Companies (1.0%): | | | |
| Money Markets (1.0%): | | | |
| | 10,797,345 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 10,797,345 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $10,797,345) | | | 10,797,345 | |
| | | | | |
| | Total Investment Securities (Cost $762,566,060) — 100.3%(d) | | | 1,107,457,955 | |
| | Net other assets (liabilities) — (0.3)% | | | (3,433,663 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,104,024,292 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
REIT— Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $2,240,769. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. |
| (b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
See accompanying notes to the financial statements.
8
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2020
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
| (e) | This security underwent an Initial Public Offering in 2020 |
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
S&P MidCap 400 E-Mini March Futures (U.S Dollar) | | | 3/19/21 | | | | 44 | | | $ | 10,135,400 | | | $ | 137,341 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 137,341 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
9
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 762,566,060 | |
| | | | | |
Investment securities, at value(a) | | | $ | 1,107,457,955 | |
Cash | | | | 35 | |
Deposit at broker for futures contracts collateral | | | | 750,000 | |
Interest and dividends receivable | | | | 1,031,282 | |
Receivable for variation margin on futures contracts | | | | 21,748 | |
Reclaims receivable | | | | 4,328 | |
Prepaid expenses | | | | 5,674 | |
| | | | | |
Total Assets | | | | 1,109,271,022 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 1,864,689 | |
Payable for capital shares redeemed | | | | 389,067 | |
Payable for collateral received on loaned securities | | | | 2,327,037 | |
Manager fees payable | | | | 233,543 | |
Administration fees payable | | | | 71,461 | |
Distribution fees payable | | | | 222,736 | |
Custodian fees payable | | | | 12,830 | |
Administrative and compliance services fees payable | | | | 3,887 | |
Transfer agent fees payable | | | | 2,648 | |
Trustee fees payable | | | | 14,074 | |
Other accrued liabilities | | | | 104,758 | |
| | | | | |
Total Liabilities | | | | 5,246,730 | |
| | | | | |
Net Assets | | | $ | 1,104,024,292 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 710,638,279 | |
Total distributable earnings | | | | 393,386,013 | |
| | | | | |
Net Assets | | | $ | 1,104,024,292 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 51,879,140 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 6,176,400 | |
Net Asset Value (offering and redemption price per share) | | | $ | 8.40 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 1,052,145,152 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 43,738,904 | |
Net Asset Value (offering and redemption price per share) | | | $ | 24.06 | |
| | | | | |
| (a) | Includes securities on loan of $2,240,769. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 15,502,461 | |
Interest | | | | 2,530 | |
Income from securities lending | | | | 83,603 | |
Foreign withholding tax | | | | (5,009 | ) |
| | | | | |
Total Investment Income | | | | 15,583,585 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,529,045 | |
Administration fees | | | | 353,939 | |
Distribution fees — Class 2 | | | | 2,419,722 | |
Custodian fees | | | | 41,479 | |
Administrative and compliance services fees | | | | 18,013 | |
Transfer agent fees | | | | 12,539 | |
Trustee fees | | | | 60,069 | |
Professional fees | | | | 49,180 | |
Shareholder reports | | | | 43,944 | |
Other expenses | | | | 221,657 | |
| | | | | |
Total expenses | | | | 5,749,587 | |
| | | | | |
Net Investment Income/(Loss) | | | | 9,833,998 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 36,678,592 | |
Net realized gains/(losses) on futures contracts | | | | 4,837,680 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 87,047,608 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 92,274 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 128,656,154 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 138,490,152 | |
| | | | | |
See accompanying notes to the financial statements.
10
AZL Mid Cap Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 9,833,998 | | | | $ | 12,576,114 | |
Net realized gains/(losses) on investments | | | | 41,516,272 | | | | | 32,883,493 | |
Change in unrealized appreciation/depreciation on investments | | | | 87,139,882 | | | | | 215,795,657 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 138,490,152 | | | | | 261,255,264 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (5,274,542 | ) | | | | (8,975,429 | ) |
Class 2 | | | | (40,133,618 | ) | | | | (86,015,224 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (45,408,160 | ) | | | | (94,990,653 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 71,084 | | | | | 92,252 | |
Proceeds from dividends reinvested | | | | 5,274,542 | | | | | 8,975,429 | |
Value of shares redeemed | | | | (4,609,084 | ) | | | | (5,774,892 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 736,542 | | | | | 3,292,789 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 115,634,844 | | | | | 11,787,126 | |
Proceeds from dividends reinvested | | | | 40,133,618 | | | | | 86,015,225 | |
Value of shares redeemed | | | | (345,716,996 | ) | | | | (132,133,299 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (189,948,534 | ) | | | | (34,330,948 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (189,211,992 | ) | | | | (31,038,159 | ) |
| | | | | | | | | | |
Change in net assets | | | | (96,130,000 | ) | | | | 135,226,452 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,200,154,292 | | | | | 1,064,927,840 | |
| | | | | | | | | | |
End of period | | | $ | 1,104,024,292 | | | | $ | 1,200,154,292 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 10,141 | | | | | 10,059 | |
Dividends reinvested | | | | 739,767 | | | | | 1,188,799 | |
Shares redeemed | | | | (623,382 | ) | | | | (640,518 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 126,526 | | | | | 558,340 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 7,410,063 | | | | | 564,844 | |
Dividends reinvested | | | | 1,963,485 | | | | | 4,305,066 | |
Shares redeemed | | | | (18,128,902 | ) | | | | (6,051,749 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (8,755,354 | ) | | | | (1,181,839 | ) |
| | | | | | | | | | |
Change in shares | | | | (8,628,828 | ) | | | | (623,499 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Mid Cap Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016^ |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 8.28 | | | | $ | 8.16 | | | | $ | 11.25 | | | | $ | 10.90 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.09 | (a) | | | | 0.12 | (a) | | | | 0.15 | | | | | 0.25 | | | | | 0.12 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.97 | | | | | 1.79 | | | | | (1.13 | ) | | | | 1.41 | | | | | 0.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.06 | | | | | 1.91 | | | | | (0.98 | ) | | | | 1.66 | | | | | 0.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.31 | ) | | | | (0.30 | ) | | | | (0.28 | ) | | | | (0.12 | ) | | | | — | |
Net Realized Gains | | | | (0.63 | ) | | | | (1.49 | ) | | | | (1.83 | ) | | | | (1.19 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.94 | ) | | | | (1.79 | ) | | | | (2.11 | ) | | | | (1.31 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.40 | | | | $ | 8.28 | | | | $ | 8.16 | | | | $ | 11.25 | | | | $ | 10.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 14.82 | % | | | | 25.47 | % | | | | (11.01 | )% | | | | 16.08 | % | | | | 9.00 | %(c) |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 51,879 | | | | $ | 50,096 | | | | $ | 44,788 | | | | $ | 55,764 | | | | $ | 54,300 | |
Net Investment Income/(Loss)(d) | | | | 1.21 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.27 | % | | | | 1.26 | % |
Expenses Before Reductions(d)(e) | | | | 0.33 | % | | | | 0.32 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % |
Expenses Net of Reductions(d) | | | | 0.33 | % | | | | 0.32 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % |
Portfolio Turnover Rate(f) | | | | 22 | % | | | | 14 | % | | | | 18 | % | | | | 21 | % | | | | 86 | %(g) |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 21.91 | | | | $ | 19.00 | | | | $ | 23.45 | | | | $ | 21.45 | | | | $ | 21.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.19 | (a) | | | | 0.23 | (a) | | | | 0.25 | | | | | 0.24 | | | | | 0.13 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.84 | | | | | 4.41 | | | | | (2.65 | ) | | | | 3.06 | | | | | 3.67 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.03 | | | | | 4.64 | | | | | (2.40 | ) | | | | 3.30 | | | | | 3.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.25 | ) | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.11 | ) | | | | (0.24 | ) |
Net Realized Gains | | | | (0.63 | ) | | | | (1.49 | ) | | | | (1.83 | ) | | | | (1.19 | ) | | | | (3.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.88 | ) | | | | (1.73 | ) | | | | (2.05 | ) | | | | (1.30 | ) | | | | (3.45 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 24.06 | | | | $ | 21.91 | | | | $ | 19.00 | | | | $ | 23.45 | | | | $ | 21.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 14.53 | % | | | | 25.28 | % | | | | (11.35 | )% | | | | 15.80 | % | | | | 19.52 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,052,145 | | | | $ | 1,150,058 | | | | $ | 1,020,140 | | | | $ | 1,208,935 | | | | $ | 1,222,550 | |
Net Investment Income/(Loss) | | | | 0.96 | % | | | | 1.06 | % | | | | 1.08 | % | | | | 1.02 | % | | | | 1.14 | % |
Expenses Before Reductions(e) | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % |
Expenses Net of Reductions | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % |
Portfolio Turnover Rate(f) | | | | 22 | % | | | | 14 | % | | | | 18 | % | | | | 21 | % | | | | 86 | %(g) |
| ^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
| (g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 86%. |
See accompanying notes to the financial statements.
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Mid Cap Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Private Placements
The Fund may invest in private placement securities which are securities issued by corporations without registration under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on a “private placement” exemption. These unregistered securities may be restricted and generally are sold to institutional investors, such as the Fund, who agree that they are purchasing the securities for investment and not with a view to public distribution. Unregistered securities are normally resold to other institutional investors through or with the assistance of the issuer or investment dealers who make a market in such securities.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal
13
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2020
tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $7,704 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,327,037 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $13.9 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
14
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2020
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 137,341 | | | Payable for variation margin on futures contracts* | | $ | — | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation
on Derivatives Recognized | |
| | |
Equity Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 4,837,680 | | | $ | 92,274 | |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL Mid Cap Index Fund Class 1 | | | | 0.25 | % | | | | 0.46 | % |
| | |
AZL Mid Cap Index Fund Class 2 | | | | 0.25 | % | | | | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
15
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2020
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $5,575 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 1,066,039,458 | | | | $ | 28,294,115 | | | | $ | — | | | | $ | 1,094,333,573 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 2,327,037 | | | | | — | | | | | — | | | | | 2,327,037 | |
Unaffiliated Investment Companies | | | | 10,797,345 | | | | | — | | | | | — | | | | | 10,797,345 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,079,163,840 | | | | | 28,294,115 | | | | | — | | | | | 1,107,457,955 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 137,341 | | | | | — | | | | | — | | | | | 137,341 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,079,301,181 | | | | $ | 28,294,115 | | | | $ | — | | | | $ | 1,107,595,296 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
16
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2020
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Mid Cap Index Fund | | | $ | 216,780,013 | | | | $ | 418,273,490 | |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of December 31, 2020 are identified below.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition
Date(a) | | Acquisition
Cost | | Shares or
Principal
Amount | | Fair
Value | | Percentage of
Net Assets |
Airbnb, Inc., Series D, 0.00%* | | | | 4/16/14 | | | | $ | 3,131,402 | | | | $ | 153,828 | | | | $ | 21,584,581 | | | | | 1.97 | % |
Palantir Technologies, Inc., Series G, 0.00%** | | | | 7/19/12 | | | | | 562,335 | | | | | 183,770 | | | | | 4,221,984 | | | | | 0.38 | % |
Palantir Technologies, Inc., Series H, 0.00%** | | | | 10/25/13 | | | | | 190,023 | | | | | 54,138 | | | | | 1,243,775 | | | | | 0.11 | % |
Palantir Technologies, Inc., Series H1, 0.00%** | | | | 10/25/13 | | | | | 190,023 | | | | | 54,138 | | | | | 1,243,775 | | | | | 0.11 | % |
| * | The issuer has imposed a lockup period for 100% of Airbnb shares until the occurrence of certain agreed-upon events, not to extend beyond April 10, 2021. |
| ** | The issuer has imposed a lockup period for 80% of Palantir shares until the occurrence of certain agreed-upon events, not to extend beyond March 31, 2021. |
| (a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
8. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $779,448,768. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 363,385,525 | |
Unrealized (depreciation) | | | (35,376,338 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 328,009,187 | |
| | | | |
17
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2020
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Mid Cap Index Fund | | | $ | 12,950,819 | | | | $ | 32,457,341 | | | | $ | 45,408,160 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Mid Cap Index Fund | | | $ | 20,013,506 | | | | $ | 74,977,147 | | | | $ | 94,990,653 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Mid Cap Index Fund | | | $ | 17,910,086 | | | | $ | 47,466,382 | | | | $ | — | | | | $ | 328,009,545 | | | | $ | 393,386,013 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
10. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
18
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Mid Cap Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Mid Cap Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $32,457,341.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
21
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
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the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
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The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the ATM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
26
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Moderate Index Strategy Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Moderate Index Strategy Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Moderate Index Strategy Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Moderate Index Strategy Fund (the “Fund”) returned 12.84%. That compared to an 18.40%, 7.51% and 15.37% total return for its benchmarks, the S&P 500 Index1, the Bloomberg Barclays U.S. Aggregate Bond Index1 and the Moderate Composite Index1, respectively.
The Fund is a fund of funds that pursues broad diversification across four underlying equity sub-portfolios and one fixed income sub-portfolio. The four equity sub-portfolios pursue passive strategies that aim to achieve, before fees, returns similar to the S&P 500 Index (S&P 500), the S&P MidCap 400 Index2, the S&P SmallCap 600 Index3 and the MSCI EAFE4 Index. The fixed-income sub-portfolio is an enhanced bond index strategy that seeks to achieve a return that exceeds that of the Bloomberg Barclays U.S. Aggregate Bond Index. Generally, the Fund allocates 50% to 70% of its assets to the underlying equity portfolios and between 30% and 50% to the underlying fixed income portfolio.*
U.S. equities began the year with steady gains on low volatility. However, the emergence of coronavirus (COVID-19) as a global pandemic sent equity markets into a freefall in late February. By late March, the S&P 500 fell more than 30% from its February peak. The Federal Reserve Board (the Fed) cut rates by 150 bps (1.50%) and implemented asset-buying programs that increased its balance sheet by more than $3 trillion. These moves, coupled with a $2.2 trillion fiscal stimulus package, succeeded in easing liquidity and reassuring investors, which led to a dramatic rebound in stock prices. By early June, the S&P 500 had gained more than 40% from its March low, even as the pandemic crippled the U.S. economy, leading to a recession deeper than any since the Great Depression. Late in the year, promising news about vaccines helped push stock prices higher. Over the course of the year, the S&P 500 returned 18.40%. The S&P 400 returned 13.66%, and the S&P 600 returned 11.29%.
International developed market equities, as measured by the MSCI EAFE, returned 7.82% for the year, generally underperforming U.S. equities. Many global economies struggled with the slowdown in exports, reduction in travel, and other challenges. Developed international equities trailed U.S. equities during the first three quarters of the year, but made a strong resurgence in the fourth quarter.
U.S. bonds gained during the year and the Bloomberg Barclays U.S. Aggregate Bond Index returned 7.51%. Yields tumbled in March, with the 10-year Treasury reaching an all-time low of 0.50%. The accommodative policies of the Fed coupled with investor demand helped keep rates low for most of the year. As investors regained their appetite for risk, yields on intermediate and long-term bonds began to
rise in August, leading to a gradual steepening of the yield curve. After widening sharply in March, investment grade credit spreads narrowed throughout the rest of the year, leaving spreads tighter at the end of the period than at the start, which led corporate bonds to outpace government bonds for the year. Falling interest rates led to a surge of refinancing, which limited returns for mortgage-backed securities.
The Fund underperformed its Moderate Composite benchmark during the 12-month period. The Fund’s off-benchmark allocation to non-U.S. developed market equities detracted, as these holdings trailed U.S. equities. The Fund’s above-benchmark exposure to mid- and small-cap U.S. equities also weighed on relative results, as these companies generally lagged their large-cap counterparts.*
The fixed income allocation contributed slightly to the Fund’s relative performance. Its fixed income allocation benefited from overweight exposure to corporate bonds and Treasury Inflation Protected Securities. However, its focus on shorter duration detracted as interest rates fell during the year.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
| 2 | The Standard & Poor’s MidCap 400 Index (S&P 400) is the most widely used index for mid-sized companies. The S&P 400 covers 7% of the U.S. equities market, and is part of a series of S&P U.S. indexes that can be used as building blocks for portfolio composition. |
| 3 | The Standard & Poor’s SmallCap 600 Index (S&P 600) covers approximately 3% of the domestic equities market. Measuring the small-cap segment of the market that is typically renowned for poor trading liquidity and financial instability, the index is designed to be an efficient portfolio of companies that meet specific inclusion criteria to ensure that they are investable and financially viable. |
| 4 | MSCI EAFE Index (MSCI EAFE) is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. |
The indexes defined above are unmanaged. Investors cannot invest directly in an index.
1
AZL® Moderate Index Strategy Fund Review (Unaudited)
|
| Fund Objective |
| |
| The Fund’s investment objective is to seek long-term capital appreciation. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing primarily in a combination of five underlying index funds (the”Index Strategy Underlying Funds”), allocating 50%–70% of its assets in the underlying equity index funds and 30%–50% of its assets in the underlying bond index fund. |
| |
| Investment Concerns |
| |
| The Fund invests in underlying funds, so its investment performance is directly related to the performance of those underlying funds. Before investing, investors should assess the risks associated with and types of investments made by each of the underlying funds in which the Fund invests. |
| |
| International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. |
| |
| Stocks are more volatile and carry more risk and return potential than other forms of investments. |
| |
| Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility. |
| |
| The performance of the Fund is expected to be lower than that of the Indexes because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines. |
| |
| Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio. |
| |
| Debt securities held by the Fund may decline in value due to rising interest rates. |
| Mortgage-backed investments involve risk of loss due to prepayments and, like any bond, due to default. Because of the sensitivity of mortgage-related securities to changes in interest rates, the Fund’s performance may be more volatile than if it did not hold these securities. |
| |
| Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. |
| |
| For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
| |
| |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmarks and represents the reinvestment of dividends and capital gains in the Fund.
| | | | | | | | |
| Average Annual Total Returns as of December 31, 2020 |
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® Moderate Index Strategy Fund | | | 12.84 | % | | | 8.49 | % | | | 9.52 | % | | | 8.57 | % |
S&P 500 Index | | | 18.40 | % | | | 14.18 | % | | | 15.22 | % | | | 13.88 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | 7.51 | % | | | 5.34 | % | | | 4.44 | % | | | 3.84 | % |
Moderate Composite Index | | | 15.37 | % | | | 11.25 | % | | | 11.23 | % | | | 10.12 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® Moderate Index Strategy Fund | | | 1.03 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.05% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense and acquired fund fees and expenses), to 0.20% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
Acquired fund fees and expenses are incurred indirectly by the Fund through the valuation of the Fund’s investments in the Permitted Underlying Funds. Accordingly, acquired fund fees and expenses affect the Fund’s total returns. Because these fees and expenses are not included in the Fund’s financial highlights, the Fund’s total annual fund operating expenses, as shown in the prospectus, do not correlate to the ratios of expenses to average net assets shown in the Financial Highlights. Without acquired fund fees and expenses the Fund’s gross expense ratio would be 0.43%.
The Fund’s performance is measured against the Standard and Poor’s 500 Index (“S&P 500”), the Bloomberg Barclays U.S. Aggregate Bond Index and the Moderate Composite Index (“Composite”). The S&P 500 is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. The Bloomberg Barclays U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The Composite is a blended index comprised of (60%) of the S&P 500 and (40%) of the Bloomberg Barclays U.S. Aggregate Bond Index. These indexes are unmanaged and do not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Moderate Index Strategy Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Moderate Index Strategy Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Moderate Index Strategy Fund | | | $ | 1,000.00 | | | | $ | 1,149.10 | | | | $ | 0.43 | | | | | 0.08 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Moderate Index Strategy Fund | | | $ | 1,000.00 | | | | $ | 1,024.73 | | | | $ | 0.41 | | | | | 0.08 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Domestic Equity Funds | | | | 46.9 | % |
| |
Fixed Income Funds | | | | 37.4 | |
| |
International Equity Funds | | | | 15.7 | |
| | | | | |
| |
Total Investment Securities | | | | 100.0 | |
| |
Net other assets (liabilities) | | | | — | † |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Moderate Index Strategy Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Affiliated Investment Companies (100.0%): | |
| Domestic Equity Funds (46.9%): | |
| | 2,416,187 | | | AZL Mid Cap Index Fund, Class 2 | | $ | 58,133,471 | |
| | 9,698,329 | | | AZL S&P 500 Index Fund, Class 2 | | | 197,360,987 | |
| | 2,261,029 | | | AZL Small Cap Stock Index Fund, Class 2 | | | 31,066,541 | |
| | | | | | | | |
| | | | | | | 286,560,999 | |
| | | | | | | | |
| Fixed Income Funds (37.4%): | |
| | 19,422,597 | | | AZL Enhanced Bond Index Fund | | | 228,798,187 | |
| | | | | | | | |
| International Equity Funds (15.7%): | |
| | 5,510,695 | | | AZL International Index Fund, Class 2 | | | 96,051,410 | |
| | | | | | | | |
| | Total Affiliated Investment Companies (Cost $495,908,269) | | | 611,410,596 | |
| | | | | |
| | Total Investment Securities (Cost $495,908,269) — 100.0%(a) | | | 611,410,596 | |
| | Net other assets (liabilities) — 0.0%† | | | (131,349 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 611,279,247 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
| † | Represents less than 0.05%. |
| (a) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
4
AZL Moderate Index Strategy Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investments in affiliates, at cost | | | $ | 495,908,269 | |
| | | | | |
Investments in affiliates, at value | | | $ | 611,410,596 | |
Interest and dividends receivable | | | | 124 | |
Foreign currency, at value (cost $108,309) | | | | 117,413 | |
Receivable for affiliated investments sold | | | | 79,299 | |
Prepaid expenses | | | | 3,219 | |
| | | | | |
Total Assets | | | | 611,610,651 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 79,299 | |
Payable for capital shares redeemed | | | | 171,526 | |
Manager fees payable | | | | 25,647 | |
Administration fees payable | | | | 8,053 | |
Custodian fees payable | | | | 551 | |
Administrative and compliance services fees payable | | | | 2,023 | |
Transfer agent fees payable | | | | 1,212 | |
Trustee fees payable | | | | 7,325 | |
Other accrued liabilities | | | | 35,768 | |
| | | | | |
Total Liabilities | | | | 331,404 | |
| | | | | |
Net Assets | | | $ | 611,279,247 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 462,354,024 | |
Total distributable earnings | | | | 148,925,223 | |
| | | | | |
Net Assets | | | $ | 611,279,247 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 43,037,659 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.20 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends from affiliates | | | $ | 11,655,345 | |
Dividends from non-affiliates | | | | 120 | |
Foreign withholding tax | | | | (53,139 | ) |
| | | | | |
Total Investment Income | | | | 11,602,326 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,286,222 | |
Administration fees | | | | 66,706 | |
Custodian fees | | | | 3,165 | |
Administrative and compliance services fees | | | | 10,137 | |
Transfer agent fees | | | | 6,444 | |
Trustee fees | | | | 34,350 | |
Professional fees | | | | 28,586 | |
Shareholder reports | | | | 27,087 | |
Other expenses | | | | 12,089 | |
| | | | | |
Total expenses before reductions | | | | 2,474,786 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (2,000,429 | ) |
| | | | | |
Net expenses | | | | 474,357 | |
| | | | | |
Net Investment Income/(Loss) | | | | 11,127,969 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 22,043 | |
Net realized gains/(losses) on affiliated underlying funds | | | | 12,850,696 | |
Net realized gains distributions from affiliated underlying funds | | | | 9,789,808 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 8,304 | |
Change in net unrealized appreciation/depreciation on affiliated underlying funds | | | | 35,336,436 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 58,007,287 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 69,135,256 | |
| | | | | |
See accompanying notes to the financial statements.
5
AZL Moderate Index Strategy Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 11,127,969 | | | | $ | 10,910,835 | |
Net realized gains/(losses) on investments | | | | 22,662,547 | | | | | 21,142,999 | |
Change in unrealized appreciation/depreciation on investments | | | | 35,344,740 | | | | | 75,300,388 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 69,135,256 | | | | | 107,354,222 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (32,078,922 | ) | | | | (40,584,497 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (32,078,922 | ) | | | | (40,584,497 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 12,526,131 | | | | | 9,874,464 | |
Proceeds from dividends reinvested | | | | 32,078,922 | | | | | 40,584,497 | |
Value of shares redeemed | | | | (82,366,337 | ) | | | | (95,336,967 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (37,761,284 | ) | | | | (44,878,006 | ) |
| | | | | | | | | | |
Change in net assets | | | | (704,950 | ) | | | | 21,891,719 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 611,984,197 | | | | | 590,092,478 | |
| | | | | | | | | | |
End of period | | | $ | 611,279,247 | | | | $ | 611,984,197 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 983,912 | | | | | 756,832 | |
Dividends reinvested | | | | 2,437,608 | | | | | 3,228,679 | |
Shares redeemed | | | | (6,337,677 | ) | | | | (7,273,028 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,916,157 | ) | | | | (3,287,517 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
6
AZL Moderate Index Strategy Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.32 | | | | $ | 11.98 | | | | $ | 13.30 | | | | $ | 15.54 | | | | $ | 15.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.26 | (a) | | | | 0.23 | (a) | | | | 0.26 | | | | | 0.12 | | | | | 0.32 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.39 | | | | | 2.03 | | | | | (0.92 | ) | | | | 1.78 | | | | | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.65 | | | | | 2.26 | | | | | (0.66 | ) | | | | 1.90 | | | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.27 | ) | | | | (0.32 | ) | | | | (0.13 | ) | | | | (0.35 | ) | | | | (0.30 | ) |
Net Realized Gains | | | | (0.50 | ) | | | | (0.60 | ) | | | | (0.53 | ) | | | | (3.79 | ) | | | | (0.51 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.77 | ) | | | | (0.92 | ) | | | | (0.66 | ) | | | | (4.14 | ) | | | | (0.81 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.20 | | | | $ | 13.32 | | | | $ | 11.98 | | | | $ | 13.30 | | | | $ | 15.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 12.84 | % | | | | 19.33 | % | | | | (5.17 | )% | | | | 13.30 | % | | | | 8.91 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 611,279 | | | | $ | 611,984 | | | | $ | 590,092 | | | | $ | 740,959 | | | | $ | 720,934 | |
Net Investment Income/(Loss) | | | | 1.95 | % | | | | 1.78 | % | | | | 1.75 | % | | | | 0.77 | % | | | | 1.25 | % |
Expenses Before Reductions*(c) | | | | 0.43 | % | | | | 0.43 | % | | | | 0.42 | % | | | | 0.43 | % | | | | 0.96 | % |
Expenses Net of Reductions* | | | | 0.08 | % | | | | 0.08 | % | | | | 0.07 | % | | | | 0.08 | % | | | | 0.83 | % |
Portfolio Turnover Rate | | | | 15 | % | | | | 5 | % | | | | 4 | % | | | | 7 | %(d) | | | | 190 | % |
| * | The expense ratios exclude the impact of fees/expenses paid by each underlying fund. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (d) | The Fund’s purchase and sales of securities and, accordingly, portfolio turnover ratio decreased during 2017 as a result of a change in the Fund’s investment strategy which became effective October 14, 2016. |
See accompanying notes to the financial statements.
7
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Moderate Index Strategy Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Fund is a “fund of funds,” which means that the Fund invests primarily in other mutual funds (the “Underlying Funds”). Underlying Funds invest in stock, bonds, and other securities and reflect varying amounts of potential investment risk and reward. The Underlying Funds record their investments at fair value. Periodically, the Fund will adjust its asset allocation as it seeks to achieve its investment objective.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2020
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022. Expenses incurred for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.”
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL Moderate Index Strategy Fund | | | | 0.40 | % | | | | 0.20 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.05% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
The Manager or an affiliate of the Manager serves as the investment adviser of certain underlying funds in which the Fund invests. At December 31, 2020, these underlying funds are noted as Affiliated Investment Companies in the Fund’s Schedule of Portfolio Investments. Additional information, including financial statements, about these Funds is available at www.allianzlife.com. The Manager or an affiliate of the Manager is paid a separate fee from the underlying funds for such services. A summary of the Fund’s investments in affiliated investment companies for the year ended December 31, 2020 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Fair Value
12/31/2019 | | Purchases
at Cost | | Proceeds from
Sales | | Net
Realized
Gains(Losses) | | Change in Net
Unrealized
Appreciation/
Depreciation | | Fair Value
12/31/2020 | | Shares as of
12/31/2020 | | Dividend
Income | | Net Realized
Gains Distributions
from Affiliated
Underlying Funds |
| | | | | | | | | |
AZL Enhanced Bond Index Fund | | | $ | 240,597,281 | | | | $ | 31,173,962 | | | | $ | (54,103,361 | ) | | | $ | 2,714,820 | | | | $ | 8,415,485 | | | | $ | 228,798,187 | | | | | 19,422,597 | | | | $ | 5,097,129 | | | | $ | — | |
AZL International Index Fund, Class 2 | | | | 92,940,215 | | | | | 12,934,487 | | | | | (14,826,682 | ) | | | | 640,807 | | | | | 4,362,583 | | | | | 96,051,410 | | | | | 5,510,695 | | | | | 2,746,322 | | | | | 172,194 | |
AZL Mid Cap Index Fund, Class 2 | | | | 56,066,872 | | | | | 11,087,338 | | | | | (16,273,957 | ) | | | | 183,742 | | | | | 7,069,476 | | | | | 58,133,471 | | | | | 2,416,187 | | | | | 642,514 | | | | | 1,654,561 | |
AZL Small Cap Stock Index Fund, Class 2 | | | | 28,331,154 | | | | | 6,899,518 | | | | | (6,815,331 | ) | | | | (743,666 | ) | | | | 3,394,866 | | | | | 31,066,541 | | | | | 2,261,029 | | | | | 314,584 | | | | | 1,453,569 | |
AZL S&P 500 Index Fund, Class 2 | | | | 194,154,397 | | | | | 26,691,409 | | | | | (45,633,838 | ) | | | | 10,054,993 | | | | | 12,094,026 | | | | | 197,360,987 | | | | | 9,698,329 | | | | | 2,854,796 | | | | | 6,509,484 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 612,089,919 | | | | $ | 88,786,714 | | | | $ | (137,653,169 | ) | | | $ | 12,850,696 | | | | $ | 35,336,436 | | | | $ | 611,410,596 | | | | | 39,308,837 | | | | $ | 11,655,345 | | | | $ | 9,789,808 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to fees accrued daily and paid monthly. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
9
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2020
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $3,013 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Investments in other investment companies are valued at their published net asset value (“NAV”). Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). The investments utilizing Level 1 valuations represent investments in open-end investment companies.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | |
Affiliated Investment Companies+ | | | $ | 611,410,596 | | | | $ | — | | | | $ | — | | | | $ | 611,410,596 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 611,410,596 | | | | $ | — | | | | $ | — | | | | $ | 611,410,596 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Moderate Index Strategy Fund | | | $ | 88,786,712 | | | | $ | 137,653,167 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest directly or through affiliated or unaffiliated mutual funds or unregistered investment pools in derivative instruments such as futures, options, and options on futures. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The other party to a derivatives contract could default. During the year ended December 31, 2020, the Fund did not directly invest in derivatives.
Foreign Securities Risk: Investing in the securities of non-U.S. issuers involves a number of risks, such as fluctuations in currency values, adverse political, social or economic developments, and differences in social and economic developments or policies.
Fund of Fund Risk: The Fund, as a shareholder of the underlying funds, indirectly bears its proportionate share of any investment management fees and other expenses of the underlying funds. Further due to the fees and expenses paid by the Fund, as well as small variations in the Fund’s actual allocations to the underlying funds and any futures and cash held in the Fund’s portfolio, the performance and income distributions of the Fund will not be the same as the performance and income distributions of the underlying funds. In addition, the Fund maintains indirect exposure to various types of risk which may exist in the underlying Funds, such as foreign securities risk, fixed income securities risk and other risks.
Interest Rate Risk: Debt securities held by an underlying fund may decline in value due to rising interest rates.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
10
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2020
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $496,429,505. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 114,981,091 | |
Unrealized (depreciation) | | | — | |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 114,981,091 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Moderate Index Strategy Fund | | | $ | 11,245,115 | | | | $ | 20,833,807 | | | | $ | 32,078,922 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net
Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Moderate Index Strategy Fund | | | $ | 14,322,026 | | | | $ | 26,262,471 | | | | $ | 40,584,497 | |
(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Moderate Index Strategy Fund | | | $ | 11,539,919 | | | | $ | 22,394,996 | | | | $ | — | | | | $ | 114,990,308 | | | | $ | 148,925,223 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 90% of the Fund. As of December 31, 2020, the Fund had a controlling interest (in excess of 50%) in the AZL International Index Fund, which is affiliated with the Manager. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
11
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Moderate Index Strategy Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Moderate Index Strategy Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the transfer agent. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
12
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 34.61% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $20,833,807.
13
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
14
Approval of Investment Advisory Agreement (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of the Fund, which is a series of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Fund by Allianz Investment Management LLC (the “Manager”). The Manager manages the Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of the Fund. For management services, the Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of the Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Fund is offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Fund is offered only through Allianz Life and Allianz of New York variable products.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager. The Board’s decision to approve this contract reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of the contract, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s management philosophy, personnel, processes and investment performance, including its compliance history and the adequacy of its compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Manager. This includes fees received for services provided to the Fund by employees of the Manager or of affiliates of the Manager and research services received by the Manager from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) payments made by the underlying funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Management Agreement for the Fund.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Fund and the Manager. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Management Agreement occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of the Management Agreement is informed by reports covering such matters as: the Manager’s investment philosophy, personnel and processes, and the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark). In connection with comparing the performance of the Fund versus its benchmark, the Board receives reports on the extent to which the Fund’s performance may be attributed to various applicable factors, such as asset class allocation decisions, the performance of the underlying funds, rebalancing decisions, and the impact of cash positions and Fund fees and expenses. The Board also receives reports on the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of any brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Manager and its affiliates; compliance and audit reports concerning the Fund and the companies that service them; and relevant developments in the mutual fund industry and how the Fund and/or the Manager are responding to them.
The Board also receives financial information about the Manager, including reports on the compensation and benefits the Manager derives from its relationships with the Fund. These reports cover not only the fees under the Management Agreement, but also the fees, if any, received for providing other services to the Fund. The reports also discuss any indirect or “fall out” benefits the Manager or its affiliates may derive from their relationships with the Fund.
The Management Agreement was most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of the Management Agreement was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as at various other meetings preceding these meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Management Agreement at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Management Agreement was approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Agreement with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approvals. The Independent Trustees also discussed the proposed approvals in a private session with Independent Trustee Counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Management Agreement, in respect of the Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Management Agreement on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to the Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
15
Shareholder reports must include a discussion of certain factors relating to the selection of the investment adviser and the approval of the advisory fee. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager. The Trustees noted that the Manager, subject to the oversight of the Board, administers the Fund’s business and other affairs. The Trustees noted that the Manager also provides the Trust and the Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Fund) and executive and other personnel as are necessary for the operation of the Trust and the Fund. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager is responsible for maintaining and monitoring its own compliance program, and this compliance program has been continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and the Fund. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to the Fund under the Management Agreement.
(2) The investment performance of the Fund and the Manager. In connection with every quarterly Board meeting and the summer and fall 2020 contract review process, Trustees received extensive information on the performance results of the Fund. However, the Board also considered the fact that prior to October 14, 2016, the Fund was subadvised by Invesco Advisers, Inc., and managed pursuant to a different strategy. Accordingly, the investment performance of the Fund during the period prior to October 14, 2016, was not deemed relevant to the Board’s assessment of the approval of the Management Agreement in 2020. The performance information considered included performance information on absolute total return, performance versus the appropriate benchmark(s), the contribution to performance of the Manager’s asset class allocation decisions, the performance of the underlying funds, and the impact on performance of rebalancing decisions, cash and Fund fees. This included Lipper performance information on the Fund for the one- and three-year periods ended December 31, 2019, for which periods the Fund ranked in the top 40% against peers.
At the Board meeting held September 15, 2020, the Trustees determined that the investment performance of the Fund was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and its affiliates from the relationship with the Fund. The Board considered that the Manager receives an advisory fee from the Fund. The Manager reported that the advisory fee paid by the Fund put it in the 7th percentile of its customized peer group. (A lower percentile reflects lower fund fees and is better for fund shareholders.) Trustees were provided with information on the total expense ratios of the Fund and other funds in the customized peer group, and the Manager reported upon the challenges in making peer group comparisons for the Fund. The Board considered and found that the advisory fee paid to the Manager with respect to the Fund was based on services provided to the Fund that were in addition to, rather than duplicative of, the services provided pursuant to the advisory agreements for the underlying funds in which the Fund invests.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Fund before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to the Fund.
(4) and (5) The extent to which economies of scale would be realized as the Fund grows, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedule for the Fund does not contain breakpoints that reduce the fee rate on assets above specified levels. The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with funds that have substantial assets. The Board found there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the Fund. The Board noted that the total assets in the Fund, as of December 31, 2019, were approximately $612 million.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Fund grows larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Management Agreement or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Fund’s advisory fee rate schedule was acceptable under the Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Management Agreement, the Board concluded that the advisory fees were reasonable, and that the continuation of the Management Agreement was in the best interest of the Fund.
16
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
17
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
18
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® MSCI Emerging Markets Equity Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® MSCI Emerging Markets Equity Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® MSCI Emerging Markets Equity Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® MSCI Emerging Markets Equity Index Fund (Class 2 Shares) (the “Fund”) returned 16.92%. That compared to a 18.69% total return for its benchmark, the MSCI Emerging Markets Index1.
The Fund seeks investment results, before fees, expenses and fair value adjustments to its portfolio at the close of the New York Stock Exchange, that correspond to the performance of the MSCI Emerging Markets Index (“Index”). The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Index. The Index is designed to provide a comprehensive measure of emerging markets equities.*
The strong gains in emerging markets equities for the year belie the large drawdown that occurred in the first quarter of 2020. As coronavirus (COVID-19) emerged as a global pandemic in the first quarter, emerging markets experienced a 23.59% loss. China managed to outperform, however, posting a loss of just 10.3% over the same period. China outperformed due to strong fiscal and monetary policies, assisted by a drop in oil prices and slower inflation growth. Russia lagged its peers as an oil price war with Saudi Arabia triggered a decades-low price in crude oil price. In Latin America, Brazil underperformed, with its equity markets losing more than half their value across the first quarter on reduced growth expectations, a drop in the value of the Brazilian real and the collapse in oil prices. Colombia and Argentina fared similarly, experiencing their own major drawdowns.
The second quarter saw national governments instituting virus containment measures that brought global economic activity to a virtual standstill. This period was particularly challenging for emerging markets nations, given their limited financial and healthcare resources. Amid this environment, China continued to show strong performance, as did Taiwan and South Korea, where containment efforts had succeeded in flattening their respective COVID-19 infection curves. A recovery in oil prices helped Russia regain some of its losses from the first quarter. In Latin America, Brazil and Argentina’s equity markets rebounded from their poor first quarter performance, even as Colombia and Peru underperformed.
Even as COVID-19 cases continued to increase in a number of emerging markets countries in the third quarter, emerging markets stocks posted strong positive performance on a weaker U.S. dollar and signs of recovery in China and
Taiwan. Taiwan, India, and South Korea outperformed their peers during the third quarter. India benefited from policy progress on agriculture and labour reforms, while South Korea benefited from gains in its information technology sector. Turkey lagged its peers for the quarter as its currency lost value.
In the final quarter of the period, emerging markets posted their strongest quarterly return in over a decade, outperforming developed markets. A rally in commodity prices and hopes around a COVID-19 vaccine helped drive optimism for a recovery in global economic activity, which in turn lifted net exporters among emerging markets. A weaker U.S. dollar also helped boost overall emerging markets performance. China lagged other emerging markets countries in the fourth quarter, as it weathered escalation of the U.S.-China tension and an anti-trust investigation against a major online commerce company.
From a sector perspective, performance during the 12-month period was mixed. The largest gains came from the information technology, healthcare and consumer discretionary sectors, while the real estate, financials and utilities sectors lagged their peers and finished the year with negative returns.*
The Fund underperformed its benchmark primarily due to the impacts of fair value pricing and expenses incurred by the Fund.*
The Fund uses derivatives in the form of futures contracts to hedge its cash position. The futures had a negative impact on relative results.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
AZL® MSCI Emerging Markets Equity Index Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek to match the performance of the MSCI Emerging Markets Index as closely as possible. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 90% of its assets in the securities of the MSCI Emerging Markets Index (the “Underlying Index”) and in depositary receipts representing securities in its Underlying Index.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
Emerging market investing may be subject to additional economic, political, liquidity, and currency risks not associated with more developed countries.
International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations.
The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines.
Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio.
Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® MSCI Emerging Markets Equity Index Fund (Class 1 Shares) | | | 17.26 | % | | | 5.30 | % | | | 12.00 | % | | | 3.75 | % |
AZL® MSCI Emerging Markets Equity Index Fund (Class 2 Shares) | | | 16.92 | % | | | 5.02 | % | | | 11.70 | % | | | 3.48 | % |
MSCI Emerging Markets Index (gross of withholding taxes) | | | 18.69 | % | | | 6.56 | % | | | 13.22 | % | | | 4.00 | % |
MSCI Emerging Markets Index (net of withholding taxes) | | | 18.31 | % | | | 6.17 | % | | | 12.81 | % | | | 3.63 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® MSCI Emerging Markets Equity Index Fund (Class 1 Shares) | | | 1.10 | % |
AZL® MSCI Emerging Markets Equity Index Fund (Class 2 Shares) | | | 1.35 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.45% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.85% for Class 1 Shares and 1.10% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Morgan Stanley Capital International (“MSCI”) Emerging Markets Index, an unmanaged free float-adjusted market capitalization index that is designed to measure equity performance of emerging markets. The Index returns shown do not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Index noted as “gross of withholding taxes” reflects the maximum possible reinvestment of dividends with no adjustment for withholding tax deductions or tax credits. The Index noted as “net of withholding taxes” reflects the reinvestment of dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL MSCI Emerging Markets Equity Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL MSCI Emerging Markets Equity Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,303.80 | | | | $ | 4.81 | | | | | 0.83 | % |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,301.80 | | | | $ | 6.25 | | | | | 1.08 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,020.96 | | | | $ | 4.22 | | | | | 0.83 | % |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,019.71 | | | | $ | 5.48 | | | | | 1.08 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Information Technology | | | | 20.5 | % |
| |
Financials | | | | 18.0 | |
| |
Consumer Discretionary | | | | 17.2 | |
| |
Communication Services | | | | 12.7 | |
| |
Materials | | | | 7.5 | |
| |
Consumer Staples | | | | 5.8 | |
| |
Energy | | | | 5.0 | |
| |
Health Care | | | | 4.8 | |
| |
Industrials | | | | 4.2 | |
| |
Real Estate | | | | 2.1 | |
| |
Utilities | | | | 2.0 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.8 | |
| |
Rights | | | | — | † |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.8 | |
| |
Unaffiliated Investment Companies | | | | 0.3 | |
| | | | | |
| |
Total Investment Securities | | | | 100.9 | |
| |
Net other assets (liabilities) | | | | (0.9 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (98.2%): | | | |
| Aerospace & Defense (0.1%): | | | |
| | 2,399 | | | Aecc Aviation Power Co., Ltd. | | $ | 21,808 | |
| | 30,170 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 74,285 | |
| | 7,300 | | | Avic Aircraft Co., Ltd. | | | 41,055 | |
| | 800 | | | AVIC Shenyang Aircraft Co., Ltd., Class A | | | 9,572 | |
| | 83,000 | | | AviChina Industry & Technology Co., Ltd., Class H | | | 57,961 | |
| | 4,500 | | | China Spacesat Co., Ltd., Class A | | | 22,188 | |
| | 1,420 | | | Korea Aerospace Industries, Ltd. | | | 33,755 | |
| | | | | | | | |
| | | | | | | 260,624 | |
| | | | | | | | |
| Air Freight & Logistics (0.3%): | | | |
| | 33,361 | | | Agility Public Warehousing Co. KSC | | | 74,173 | |
| | 730 | | | Hyundai Glovis Co., Ltd. | | | 124,039 | |
| | 7,700 | | | SF Holding Co., Ltd., Class A | | | 104,109 | |
| | 3,900 | | | Yunda Holding Co., Ltd., Class A | | | 9,378 | |
| | 13,745 | | | ZTO Express Cayman, Inc., ADR | | | 400,804 | |
| | | | | | | | |
| | | | | | | 712,503 | |
| | | | | | | | |
| Airlines (0.1%†): | | | |
| | 66,000 | | | Air China, Ltd. | | | 51,983 | |
| | 39,299 | | | China Eastern Airlines Corp., Ltd. | | | 28,134 | |
| | 38,000 | | | China Southern Airlines Co., Ltd.* | | | 34,648 | |
| | 28,000 | | | China Southern Airlines Co., Ltd., Class H*^ | | | 16,587 | |
| | 4,189 | | | InterGlobe Aviation, Ltd.* | | | 99,177 | |
| | 3,707 | | | Korean Air Lines Co., Ltd.* | | | 93,027 | |
| | 28,736 | | | Turk Hava Yollari Anonim Ortakligi* | | | 50,017 | |
| | | | | | | | |
| | | | | | | 373,573 | |
| | | | | | | | |
| Auto Components (0.5%): | | | |
| | 3,039 | | | Balkrishna Industries, Ltd. | | | 68,556 | |
| | 6,982 | | | Bharat Forge, Ltd. | | | 50,346 | |
| | 77,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 120,367 | |
| | 10,000 | | | Fuyao Glass Industry Group Co., Ltd. | | | 73,696 | |
| | 12,800 | | | Fuyao Glass Industry Group Co., Ltd., Class H | | | 70,540 | |
| | 2,479 | | | Hankook Tire & Technology Co., Ltd. | | | 90,081 | |
| | 6,919 | | | Hanon Systems | | | 103,229 | |
| | 10,400 | | | Huayu Automotive Systems Co., Ltd. | | | 45,924 | |
| | 2,298 | | | Hyundai Mobis Co., Ltd. | | | 542,151 | |
| | 24,000 | | | Minth Group, Ltd. | | | 127,163 | |
| | 45,325 | | | Motherson Sumi Systems, Ltd. | | | 102,806 | |
| | 62 | | | MRF, Ltd. | | | 64,388 | |
| | 1,500 | | | Ningbo Joyson Electronic Corp. | | | 5,832 | |
| | | | | | | | |
| | | | | | | 1,465,079 | |
| | | | | | | | |
| Automobiles (2.9%): | | | |
| | 732,700 | | | Astra International Tbk PT | | | 314,920 | |
| | 2,257 | | | Bajaj Auto, Ltd. | | | 106,490 | |
| | 124,000 | | | Brilliance China Automotive Holdings, Ltd. | | | 113,143 | |
| | 3,933 | | | BYD Co., Ltd. | | | 117,496 | |
| | 23,000 | | | BYD Co., Ltd., Class H | | | 606,746 | |
| | 8,200 | | | Chongqing Changan Automobile Co., Ltd., Class A* | | | 27,543 | |
| | 108,000 | | | Dongfeng Motor Group Co., Ltd., Class H | | | 126,054 | |
| | 4,834 | | | Eicher Motors, Ltd. | | | 167,747 | |
| | 2,009 | | | Ford Otomotiv Sanayi AS | | | 34,193 | |
| | 205,000 | | | Geely Automobile Holdings, Ltd. | | | 702,013 | |
| | 111,000 | | | Great Wall Motor Co., Ltd., Class H | | | 382,233 | |
| | 125,200 | | | Guangzhou Automobile Group Co., Ltd. | | | 139,679 | |
| | 4,024 | | | Hero MotoCorp, Ltd. | | | 171,518 | |
| | 732 | | | Hyundai Motor Co., Ltd. | | | 59,806 | |
| | 5,299 | | | Hyundai Motor Co., Ltd. | | | 940,210 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Automobiles, continued | | | |
| | 9,245 | | | Kia Motors Corp. | | $ | 532,492 | |
| | 27,081 | | | Mahindra & Mahindra, Ltd. | | | 267,830 | |
| | 4,512 | | | Maruti Suzuki India, Ltd. | | | 473,472 | |
| | 45,064 | | | NIO, Inc., ADR* | | | 2,196,419 | |
| | 19,100 | | | SAIC Motor Corp., Ltd. | | | 71,438 | |
| | 65,884 | | | Tata Motors, Ltd.* | | | 165,812 | |
| | 3,802 | | | Xpeng, Inc., ADR*^ | | | 162,840 | |
| | 36,000 | | | Yadea Group Holdings, Ltd. | | | 74,434 | |
| | | | | | | | |
| | | | | | | 7,954,528 | |
| | | | | | | | |
| Banks (11.6%): | | | |
| | 23,886 | | | Absa Group, Ltd. | | | 196,009 | |
| | 115,432 | | | Abu Dhabi Commercial Bank | | | 195,049 | |
| | 143,000 | | | Agricultural Bank of China, Ltd. | | | 68,666 | |
| | 1,000,000 | | | Agricultural Bank of China, Ltd., Class A | | | 366,521 | |
| | 107,574 | | | Akbank T.A.S.* | | | 100,787 | |
| | 42,460 | | | Al Rajhi Bank | | | 833,064 | |
| | 33,870 | | | Alinma Bank* | | | 146,088 | |
| | 53,900 | | | AMMB Holdings Berhad | | | 48,960 | |
| | 25,089 | | | Arab National Bank | | | 134,571 | |
| | 84,432 | | | Axis Bank, Ltd.* | | | 718,800 | |
| | 41,984 | | | Banco Bradesco SA | | | 195,620 | |
| | 1,563,999 | | | Banco de Chile | | | 159,870 | |
| | 1,889 | | | Banco de Credito e Inversiones | | | 74,229 | |
| | 29,972 | | | Banco do Brasil SA | | | 223,904 | |
| | 11,234 | | | Banco Santander Brasil SA | | | 96,966 | |
| | 2,238,136 | | | Banco Santander Chile | | | 107,531 | |
| | 9,306 | | | Bancolombia SA | | | 95,350 | |
| | 12,686 | | | Bancolombia SA | | | 130,427 | |
| | 25,584 | | | Bandhan Bank, Ltd.* | | | 141,279 | |
| | 16,200 | | | Bangkok Bank Public Co., Ltd. | | | 64,092 | |
| | 13,481 | | | Bank AlBilad | | | 101,954 | |
| | 19,448 | | | Bank Al-Jazira | | | 70,875 | |
| | 75,300 | | | Bank of Beijing Co., Ltd., Class A | | | 55,736 | |
| | 2,715,000 | | | Bank of China, Ltd. | | | 928,575 | |
| | 72,500 | | | Bank of China, Ltd., Class A | | | 35,256 | |
| | 121,799 | | | Bank of Communications Co., Ltd., Class A | | | 83,443 | |
| | 251,000 | | | Bank of Communications Co., Ltd., Class H | | | 132,782 | |
| | 20,000 | | | Bank of Hangzhou Co., Ltd. | | | 45,640 | |
| | 36,920 | | | Bank of Jiangsu Co., Ltd. | | | 30,829 | |
| | 39,000 | | | Bank of Nanjing Co., Ltd. | | | 48,274 | |
| | 17,600 | | | Bank of Ningbo Co., Ltd. | | | 95,125 | |
| | 34,470 | | | Bank of Shanghai Co., Ltd., Class A | | | 41,360 | |
| | 24,736 | | | Bank of the Philippine Islands | | | 41,992 | |
| | 7,141 | | | Bank Pekao SA* | | | 116,914 | |
| | 22,647 | | | Banque Saudi Fransi | | | 190,812 | |
| | 81,114 | | | BDO Unibank, Inc. | | | 180,592 | |
| | 29,846 | | | Boubyan Bank KSCP | | | 55,783 | |
| | 2,422 | | | Capitec Bank Holdings, Ltd.* | | | 236,139 | |
| | 207,053 | | | Chang Hwa Commercial Bank | | | 132,593 | |
| | 39,000 | | | China Bohai Bank Co, Ltd., Class H* | | | 25,502 | |
| | 257,000 | | | China Citic Bank Co., Ltd. | | | 109,135 | |
| | 3,361,000 | | | China Construction Bank | | | 2,557,797 | |
| | 32,600 | | | China Construction Bank Corp. | | | 31,310 | |
| | 526,000 | | | China Development Financial Holding Corp. | | | 173,812 | |
| | 122,500 | | | China Everbright Bank Co., Ltd. | | | 74,754 | |
| | 13,000 | | | China Everbright Bank Co., Ltd., Class H | | | 4,959 | |
| | 134,500 | | | China Merchants Bank Co., Ltd. | | | 854,212 | |
See accompanying notes to the financial statements.
4
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 48,344 | | | China Merchants Bank Co., Ltd. | | $ | 324,996 | |
| | 182,300 | | | China Minsheng Banking Corp., Ltd. | | | 103,967 | |
| | 104,500 | | | China Minsheng Banking Corp., Ltd., Class A | | | 83,096 | |
| | 125,000 | | | Chongqing Rural Commercial Bank Co., Ltd. | | | 51,071 | |
| | 222,300 | | | CIMB Group Holdings Berhad | | | 238,669 | |
| | 77,279 | | | Commercial Bank of Qatar Qsc (The) | | | 93,375 | |
| | 49,952 | | | Commercial International Bank Egypt SAE | | | 188,565 | |
| | 2,377 | | | Credicorp, Ltd. | | | 389,876 | |
| | 626,000 | | | CTBC Financial Holding Co., Ltd. | | | 439,009 | |
| | 66,215 | | | Dubai Islamic Bank | | | 83,228 | |
| | 414,005 | | | E.Sun Financial Holding Co., Ltd. | | | 376,876 | |
| | 74,638 | | | Emirates NBD Bank PJSC | | | 209,385 | |
| | 105,346 | | | First Abu Dhabi Bank PJSC | | | 370,231 | |
| | 385,649 | | | First Financial Holdings Co., Ltd. | | | 293,661 | |
| | 94,903 | | | Grupo Financiero Banorte SAB de C.V.* | | | 524,406 | |
| | 58,223 | | | Grupo Financiero Inbursa SAB de C.V., Class O* | | | 58,708 | |
| | 35,515 | | | Gulf Bank KSCP | | | 25,590 | |
| | 12,569 | | | Habib Bank, Ltd. | | | 10,434 | |
| | 10,695 | | | Hana Financial Holdings Group, Inc. | | | 340,107 | |
| | 25,700 | | | Hong Leong Bank Berhad | | | 116,853 | |
| | 6,400 | | | Hong Leong Financial Group Berhad | | | 28,808 | |
| | 297,275 | | | Hua Nan Financial Holdings Co., Ltd. | | | 193,307 | |
| | 26,900 | | | Huaxia Bank Co., Ltd., Class A | | | 25,711 | |
| | 179,557 | | | ICICI Bank, Ltd.* | | | 1,318,141 | |
| | 143,100 | | | Industrial & Commercial Bank of China, Ltd., Class A | | | 109,299 | |
| | 2,095,000 | | | Industrial & Commercial Bank of China, Ltd., Class H | | | 1,363,136 | |
| | 54,200 | | | Industrial Bank Co., Ltd. | | | 173,033 | |
| | 8,902 | | | Industrial Bank of Korea (IBK) | | | 72,503 | |
| | 147,609 | | | Itausa — Investimentos Itau S.A. | | | 333,369 | |
| | 43,200 | | | Kasikornbank Public Co., Ltd. | | | 162,987 | |
| | 19,600 | | | Kasikornbank Public Co., Ltd. | | | 73,948 | |
| | 13,425 | | | KB Financial Group, Inc. | | | 533,242 | |
| | 2,004 | | | Komercni Banka AS* | | | 60,919 | |
| | 19,227 | | | Kotak Mahindra Bank, Ltd.* | | | 526,216 | |
| | 114,800 | | | Krung Thai Bank | | | 42,710 | |
| | 148,572 | | | Kuwait Finance House KSCP | | | 331,421 | |
| | 133,001 | | | Malayan Banking Bhd | | | 279,985 | |
| | 129,115 | | | Masraf Al Rayan | | | 160,890 | |
| | 29,363 | | | MCB Bank, Ltd. | | | 34,086 | |
| | 379,000 | | | Mega Financial Holdings Co., Ltd. | | | 402,451 | |
| | 46,592 | | | Metropolitan Bank & Trust | | | 47,609 | |
| | 24,321 | | | Moneta Money Bank AS* | | | 77,112 | |
| | 228,962 | | | National Bank of Kuwait SAKP | | | 632,912 | |
| | 52,956 | | | National Commercial Bank | | | 611,933 | |
| | 12,070 | | | Nedcor, Ltd. | | | 106,516 | |
| | 7,840 | | | OTP Bank Nyrt* | | | 353,380 | |
| | 41,800 | | | Ping An Bank Co., Ltd., Class A | | | 123,862 | |
| | 386,000 | | | Postal Savings Bank of China Co., Ltd., Class H | | | 218,635 | |
| | 30,583 | | | Powszechna Kasa Oszczednosci Bank Polski SA* | | | 236,137 | |
| | 342,200 | | | PT Bank Central Asia Tbk | | | 825,099 | |
| | 664,000 | | | PT Bank Mandiri Persero Tbk | | | 299,857 | |
| | 302,700 | | | PT Bank Negara Indonesia Tbk | | | 133,479 | |
| | 1,946,200 | | | PT Bank Rakyat Indonesia Tbk | | | 578,110 | |
| | 100,600 | | | Public Bank Berhad | | | 515,957 | |
| | 27,221 | | | Qatar International Islamic Bank QSC | | | 67,705 | |
| | 44,437 | | | Qatar Islamic Bank | | | 209,060 | |
| | 154,684 | | | Qatar National Bank | | | 757,806 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 59,900 | | | RHB Bank Bhd | | $ | 81,391 | |
| | 50,784 | | | Riyad Bank | | | 273,435 | |
| | 35,841 | | | Samba Financial Group | | | 292,090 | |
| | 1,058 | | | Santander Bank Polska SA* | | | 52,640 | |
| | 378,847 | | | Sberbank of Russia | | | 1,393,529 | |
| | 122,724 | | | Shanghai Commercial & Savings Bank, Ltd. (The) | | | 179,951 | |
| | 70,100 | | | Shanghai Pudong Development Bank Co., Ltd. | | | 103,899 | |
| | 15,612 | | | Shinhan Financial Group Co., Ltd. | | | 461,874 | |
| | 28,200 | | | Siam Commercial Bank Public Co., Ltd. | | | 82,384 | |
| | 354,800 | | | SinoPac Financial Holdings Co., Ltd. | | | 144,305 | |
| | 47,614 | | | Standard Bank Group, Ltd. | | | 413,030 | |
| | 64,773 | | | State Bank of India* | | | 244,473 | |
| | 337,078 | | | Taishin Financial Holding Co., Ltd. | | | 158,984 | |
| | 225,606 | | | Taiwan Business Bank | | | 78,202 | |
| | 339,752 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 245,641 | |
| | 25,381 | | | The Saudi British Bank | | | 167,217 | |
| | 84,640 | | | Turkiye Garanti Bankasi AS* | | | 118,735 | |
| | 75,100 | | | Turkiye Is Bankasi AS, Class C* | | | 71,118 | |
| | 18,589 | | | VTB Bank PJSC, GDR | | | 17,656 | |
| | 112,678,346 | | | VTB Bank PJSC | | | 57,641 | |
| | 18,684 | | | Woori Financial Group, Inc. | | | 168,220 | |
| | 100,695 | | | Yapi ve Kredi Bankasi AS* | | | 41,943 | |
| | | | | | | | |
| | | | | | | 31,745,730 | |
| | | | | | | | |
| Beverages (1.4%): | | | |
| | 163,191 | | | Ambev SA Com Npv | | | 491,728 | |
| | 1,100 | | | Anhui Gujing Distillery Co., Ltd., Class A | | | 45,828 | |
| | 3,000 | | | Anhui Gujing Distillery Co., Ltd., Class B | | | 41,797 | |
| | 1,300 | | | Anhui Kouzi Distillery Co., Ltd. | | | 13,726 | |
| | 18,016 | | | Arca Continental SAB de C.V. | | | 86,646 | |
| | 17,696 | | | Becle SAB de CV | | | 44,422 | |
| | 3,700 | | | Beijing Shunxin Agriculture Co., Ltd., Class A | | | 41,150 | |
| | 54,000 | | | China Resources Beer Holdings Co., Ltd. | | | 497,693 | |
| | 200 | | | Chongqing Brewery Co., Ltd., Class A | | | 3,640 | |
| | 15,966 | | | Coca-Cola Femsa S.A.B de C.V. | | | 73,441 | |
| | 3,027 | | | Compania Cervecerias Unidas SA | | | 22,378 | |
| | 18,288 | | | Embotelladora Andina SA | | | 47,127 | |
| | 68,415 | | | Fomento Economico Mexicano S.A.B. de C.V. | | | 517,008 | |
| | 6,500 | | | Fraser & Neave Holdings Bhd | | | 51,967 | |
| | 2,800 | | | Jiangsu King’s Luck Brewery JSC, Ltd., Class A | | | 24,607 | |
| | 3,200 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | | | 115,768 | |
| | 2,772 | | | Kweichow Moutai Co., Ltd. | | | 847,093 | |
| | 3,200 | | | Luzhou Laojiao Co., Ltd. | | | 110,891 | |
| | 23,700 | | | Osotspa pcl | | | 28,090 | |
| | 2,400 | | | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A | | | 137,964 | |
| | 2,600 | | | Tsingtao Brewery Co., Ltd., Class A | | | 39,599 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H | | | 146,482 | |
| | 11,271 | | | United Spirits, Ltd.* | | | 89,364 | |
| | 8,900 | | | Wuliangye Yibin Co., Ltd., Class A | | | 398,175 | |
| | | | | | | | |
| | | | | | | 3,916,584 | |
| | | | | | | | |
| Biotechnology (1.0%): | | | |
| | 51,000 | | | 3SBio, Inc.* | | | 46,527 | |
| | 718 | | | Alteogen, Inc.* | | | 119,214 | |
| | 1,565 | | | BeiGene, Ltd., ADR* | | | 404,381 | |
| | 5,400 | | | Beijing Tiantan Biological Products Corp., Ltd., Class A | | | 34,441 | |
See accompanying notes to the financial statements.
5
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 600 | | | BGI Genomics Co., Ltd. | | $ | 11,819 | |
| | 14,923 | | | Biocon, Ltd.* | | | 95,285 | |
| | 3,388 | | | Celltrion, Inc.* | | | 1,116,798 | |
| | 3,200 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A | | | 72,403 | |
| | 3,270 | | | Hualan Biological Engineering, Inc., Class A | | | 21,197 | |
| | 35,500 | | | Innovent Biologics, Inc.* | | | 377,062 | |
| | 619 | | | Seegne, Inc. | | | 110,291 | |
| | 21,600 | | | Shanghai Raas Blood Products Co., Ltd. | | | 24,445 | |
| | 1,600 | | | Shenzhen Kangtai Biological Products Co., Ltd., Class A | | | 42,874 | |
| | 4,000 | | | Walvax Biotechnology Co., Ltd., Class A | | | 23,592 | |
| | 2,191 | | | Zai Lab, Ltd., ADR* | | | 296,530 | |
| | | | | | | | |
| | | | | | | 2,796,859 | |
| | | | | | | | |
| Building Products (0.0%†): | | | |
| | 3,000 | | | Beijing New Building Materials plc | | | 18,419 | |
| | 35,000 | | | China Lesso Group Holdings, Ltd. | | | 54,949 | |
| | | | | | | | |
| | | | | | | 73,368 | |
| | | | | | | | |
| Capital Markets (1.3%): | | | |
| | 73,118 | | | B3 SA- Brasil Bolsa Balcao | | | 872,550 | |
| | 8,820 | | | Banco BTG Pactual SA | | | 159,629 | |
| | 68,300 | | | Bangkok Commercial Asset Management pcl, Class R | | | 50,172 | |
| | 17,800 | | | Caitong Securities Co., Ltd. | | | 34,513 | |
| | 410,000 | | | China Cinda Asset Management Co., Ltd., Class H | | | 77,877 | |
| | 26,000 | | | China Everbright, Ltd. | | | 34,895 | |
| | 164,000 | | | China Galaxy Securities Co. | | | 102,887 | |
| | 327,000 | | | China Huarong Asset Management Co., Ltd., Class H | | | 36,355 | |
| | 54,400 | | | China International Capital Corp., Ltd.* | | | 147,482 | |
| | 21,340 | | | China Merchants Securities Co., Ltd. | | | 76,179 | |
| | 29,100 | | | Citic Securities Co., Ltd., Class A | | | 131,121 | |
| | 71,000 | | | Citic Securities Co., Ltd., Class A | | | 160,758 | |
| | 5,300 | | | CSC Financial Co., Ltd., Class A | | | 34,130 | |
| | 19,440 | | | East Money Information Co., Ltd., Class A | | | 92,397 | |
| | 6,600 | | | Everbright Securities Co., Ltd. | | | 18,750 | |
| | 20,100 | | | Founder Securities Co., Ltd., Class A* | | | 31,924 | |
| | 54,800 | | | GF Securities Co., Ltd. | | | 77,527 | |
| | 15,400 | | | GF Securities Co., Ltd., Class A | | | 38,351 | |
| | 12,599 | | | Guosen Securities Co., Ltd., Class A | | | 26,325 | |
| | 30,400 | | | Guotai Junan Securities Co., Ltd. | | | 81,622 | |
| | 28,600 | | | Haitong Securities Co., Ltd. | | | 56,357 | |
| | 78,800 | | | Haitong Securities Co., Ltd. | | | 70,492 | |
| | 1,835 | | | HDFC Asset Management Co., Ltd. | | | 73,511 | |
| | 1,000 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A | | | 19,021 | |
| | 23,600 | | | Huatai Securities Co., Ltd., Class A | | | 65,109 | |
| | 44,600 | | | Huatai Securities Co., Ltd., Class H | | | 70,231 | |
| | 24,300 | | | Industrial Securities Co., Ltd. | | | 32,330 | |
| | 1,242 | | | Korea Investment Holdings Co., Ltd. | | | 90,440 | |
| | 10,139 | | | Meritz Securities Co., Ltd. | | | 34,402 | |
| | 9,168 | | | Mirae Asset Daewoo Co., Ltd. | | | 79,927 | |
| | 6,300 | | | Nanjing Securities Co., Ltd. | | | 11,823 | |
| | 2,777 | | | NH Investment & Securities Co., Ltd. | | | 28,959 | |
| | 540 | | | Noah Holdings, Ltd., ADR* | | | 25,817 | |
| | 20,500 | | | Orient Securities Co., Ltd./China | | | 36,531 | |
| | 15,700 | | | Pacific Securities Co. Ltd (The), Class A* | | | 9,808 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 5,890 | | | Reinet Investments SCA | | $ | 110,398 | |
| | 2,406 | | | Samsung Securities Co., Ltd. | | | 89,863 | |
| | 8,000 | | | SDIC Capital Co., Ltd., Class A | | | 16,957 | |
| | 69,900 | | | Shenwan Hongyuan Group Co., Ltd. | | | 56,531 | |
| | 58,293 | | | The Moscow Exchange | | | 126,212 | |
| | 26,100 | | | Tianfeng Securities Co., Ltd., Class A | | | 24,385 | |
| | 304,680 | | | Yuanta Financial Holding Co., Ltd. | | | 222,890 | |
| | 5,300 | | | Zheshang Securities Co., Ltd. | | | 12,404 | |
| | | | | | | | |
| | | | | | | 3,649,842 | |
| | | | | | | | |
| Chemicals (2.5%): | | | |
| | 4,207 | | | Advanced Petrochemical Co. | | | 75,121 | |
| | 13,135 | | | Asian Paints, Ltd. | | | 498,062 | |
| | 9,301 | | | Berger Paints India, Ltd. | | | 96,805 | |
| | 127,000 | | | Formosa Chemicals & Fibre Corp. | | | 383,549 | |
| | 131,000 | | | Formosa Plastics Corp. | | | 449,940 | |
| | 4,017 | | | Hanwha Chemical Corp. | | | 176,708 | |
| | 13,400 | | | Hengli Petrochemical Co., Ltd. | | | 57,467 | |
| | 21,292 | | | Hengyi Petrochemical Co., Ltd., Class A | | | 41,782 | |
| | 60,600 | | | Indorama Ventures pcl | | | 74,863 | |
| | 644 | | | Kumho Petrochemical Co., Ltd. | | | 86,228 | |
| | 1,649 | | | LG Chem, Ltd. | | | 1,255,351 | |
| | 226 | | | LG Chem, Ltd. | | | 79,652 | |
| | 540 | | | Lotte Chemical Corp. | | | 137,616 | |
| | 184,769 | | | Mesaieed Petrochemical Holding Co. | | | 103,925 | |
| | 192,000 | | | Nan Ya Plastics Corp. | | | 492,152 | |
| | 16,206 | | | National Industrialization Co.* | | | 59,154 | |
| | 39,450 | | | Orbia Advance Corp SAB de CV | | | 92,704 | |
| | 81,600 | | | Petronas Chemicals Group Berhad | | | 151,160 | |
| | 6,230 | | | PhosAgro, GDR | | | 84,957 | |
| | 2,928 | | | PI Industries, Ltd. | | | 88,178 | |
| | 4,066 | | | Pidilite Industries, Ltd. | | | 98,363 | |
| | 832,600 | | | PT Barito Pacific Tbk* | | | 65,317 | |
| | 75,400 | | | PTT Global Chemical Public Co., Ltd. | | | 147,277 | |
| | 12,900 | | | Rongsheng Petro Chemical Co., Ltd., Class A | | | 54,489 | |
| | 8,038 | | | SABIK Agri-Nutrients Co. | | | 172,692 | |
| | 16,532 | | | Sahara International Petrochemical Co. | | | 76,393 | |
| | 20,456 | | | Sasol, Ltd.* | | | 184,250 | |
| | 31,470 | | | Saudi Basic Industries Corp. | | | 850,623 | |
| | 9,924 | | | Saudi Industrial Investment Group | | | 72,486 | |
| | 25,640 | | | Saudi Kayan Petrochemical Co.* | | | 97,855 | |
| | 2,000 | | | Shanghai Putailai New Energy Technology Co., Ltd., Class A | | | 34,524 | |
| | 259 | | | SK Chemicals Co., Ltd.* | | | 94,077 | |
| | 4,019 | | | Sociedad Quimica y Minera de Chile SA | | | 195,924 | |
| | 17,837 | | | UPL, Ltd. | | | 114,025 | |
| | 9,000 | | | Wanhua Chemical Group Co., Ltd. | | | 125,506 | |
| | 8,939 | | | Yanbu National Petrochemical Co. | | | 152,262 | |
| | 14,800 | | | Zhejiang Longsheng Group Co., Ltd., Class A | | | 30,833 | |
| | | | | | | | |
| | | | | | | 7,052,270 | |
| | | | | | | | |
| Commercial Services & Supplies (0.2%): | | | |
| | 17,750 | | | A-Living Services Co., Ltd., Class H | | | 79,087 | |
| | 108,222 | | | China Everbright International, Ltd. | | | 61,277 | |
| | 53,000 | | | Country Garden Services Holdings Co., Ltd. | | | 359,495 | |
| | 44,000 | | | Greentown Service Group Co., Ltd. | | | 54,440 | |
| | 588 | | | S1 Corp. | | | 46,050 | |
| | 2,200 | | | Shanghai M&G Stationery, Inc., Class A | | | 29,828 | |
| | | | | | | | |
| | | | | | | 630,177 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Communications Equipment (0.2%): | | | |
| | 20,000 | | | Accton Technology Corp. | | $ | 225,843 | |
| | 20,500 | | | BYD Electronic International Co., Ltd. | | | 107,294 | |
| | 5,600 | | | Fiberhome Telecommunication Technologies Co., Ltd. | | | 20,652 | |
| | 702 | | | KMW Co., Ltd.* | | | 52,310 | |
| | 1,400 | | | Shenzhen Sunway Communication Co., Ltd., Class A | | | 7,711 | |
| | 1,800 | | | Yealink Network Technology Corp., Ltd., Class A | | | 20,122 | |
| | 8,300 | | | ZTE Corp. | | | 42,841 | |
| | 33,000 | | | ZTE Corp., Class H^ | | | 82,961 | |
| | | | | | | | |
| | | | | | | 559,734 | |
| | | | | | | | |
| Construction & Engineering (0.4%): | | | |
| | 129,000 | | | China Communications Construction Co., Ltd. | | | 55,758 | |
| | 30,798 | | | China Railway Construction Corp., Ltd., Class A | | | 37,244 | |
| | 68,500 | | | China Railway Construction Corp., Ltd., Class H | | | 37,481 | |
| | 118,000 | | | China Railway Group, Ltd. | | | 52,080 | |
| | 85,500 | | | China Railway Group, Ltd., Class A | | | 68,914 | |
| | 102,100 | | | China State Construction Engineering Corp., Ltd. | | | 77,674 | |
| | 44,000 | | | China State Construction International Holdings, Ltd. | | | 25,095 | |
| | 75,400 | | | Gamuda Berhad | | | 73,055 | |
| | 2,296 | | | GS Engineering & Construction Corp. | | | 79,971 | |
| | 15,500 | | | Hebei Construction Group Corp, Ltd., Class H | | | 8,457 | |
| | 2,035 | | | Hyundai Engineering & Construction Co., Ltd. | | | 70,298 | |
| | 22,115 | | | Larsen & Toubro, Ltd. | | | 390,444 | |
| | 71,700 | | | Metallurgical Corp. of China, Ltd. | | | 29,965 | |
| | 38,400 | | | Power Construction Corp. of China, Ltd. | | | 22,817 | |
| | 5,657 | | | Samsung Engineering Co., Ltd.* | | | 69,221 | |
| | | | | | | | |
| | | | | | | 1,098,474 | |
| | | | | | | | |
| Construction Materials (1.0%): | | | |
| | 1,933 | | | ACC, Ltd. | | | 42,849 | |
| | 19,842 | | | Ambuja Cements, Ltd. | | | 67,687 | |
| | 12,400 | | | Anhui Conch Cement Co., Ltd., Class A | | | 98,060 | |
| | 38,500 | | | Anhui Conch Cement Co., Ltd., Class H | | | 241,200 | |
| | 72,000 | | | Asia Cement Corp. | | | 110,938 | |
| | 25,400 | | | BBMG Corp. | | | 11,547 | |
| | 5,550 | | | Beijing Oriental Yuhong Waterproof Technology Co., Ltd. | | | 32,940 | |
| | 528,079 | | | Cemex SAB de C.V.* | | | 272,609 | |
| | 144,000 | | | China National Buildings Material Co., Ltd. | | | 173,682 | |
| | 102,000 | | | China Resources Cement Holdings, Ltd. | | | 114,006 | |
| | 11,216 | | | Grasim Industries, Ltd. | | | 142,786 | |
| | 8,000 | | | Huaxin Cement Co., Ltd. | | | 25,280 | |
| | 658 | | | POSCO Chemical Co., Ltd. | | | 63,230 | |
| | 70,800 | | | PT Indocement Tunggal Prakarsa Tbk | | | 73,099 | |
| | 112,100 | | | PT Semen Indonesia (Persero) Tbk | | | 99,407 | |
| | 3,423 | | �� | Saudi Cement Co. | | | 56,116 | |
| | 368 | | | Shree Cement, Ltd. | | | 121,235 | |
| | 180,374 | | | Taiwan Cement Corp. | | | 277,799 | |
| | 27,200 | | | The Siam Cement Public Co., Ltd. | | | 343,892 | |
| | 4,119 | | | Ultra Tech Cement, Ltd. | | | 298,381 | |
| | | | | | | | |
| | | | | | | 2,666,743 | |
| | | | | | | | |
| Consumer Finance (0.4%): | | | |
| | 9,523 | | | Bajaj Finance, Ltd. | | | 691,673 | |
| | 29,000 | | | Krungthai Card pcl | | | 57,852 | |
| | 6,252 | | | Lufax Holding, Ltd., ADR*^ | | | 88,778 | |
| | 28,300 | | | Muangthai Capital pcl, Class R | | | 55,972 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Consumer Finance, continued | | | |
| | 4,134 | | | Muthoot Finance, Ltd. | | $ | 68,710 | |
| | 590 | | | Samsung Card Co., Ltd. | | | 17,684 | |
| | 6,417 | | | Shriram Transport Finance | | | 92,318 | |
| | 27,700 | | | Srisawad Corp pcl | | | 60,806 | |
| | | | | | | | |
| | | | | | | 1,133,793 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 26,483 | | | Klabin SA | | | 134,970 | |
| | 1,500 | | | Yunnan Energy New Material Co., Ltd. | | | 32,637 | |
| | | | | | | | |
| | | | | | | 167,607 | |
| | | | | | | | |
| Diversified Consumer Services (0.8%): | | | |
| | 19,000 | | | China East Education Holdings, Ltd. | | | 45,730 | |
| | 25,000 | | | China Education Group Holdings, Ltd. | | | 48,179 | |
| | 48,000 | | | China Yuhua Education Corp., Ltd. | | | 41,876 | |
| | 2,786 | | | GSX Techedu, Inc., ADR*^ | | | 144,064 | |
| | 9,500 | | | Koolearn Technology Holding, Ltd.*^ | | | 34,298 | |
| | 5,196 | | | New Oriental Education & Technology Group, Inc., ADR* | | | 965,469 | |
| | 5,500 | | | Offcn Education Technology Co., Ltd., Class A | | | 29,592 | |
| | 13,410 | | | TAL Education Group, ADR* | | | 958,949 | |
| | | | | | | | |
| | | | | | | 2,268,157 | |
| | | | | | | | |
| Diversified Financial Services (0.7%): | | | |
| | 9,600 | | | Ayala Corp. | | | 165,361 | |
| | 44,263 | | | Chailease Holding Co., Ltd. | | | 265,394 | |
| | 84,000 | | | Far East Horizon, Ltd. | | | 86,709 | |
| | 165,655 | | | FirstRand, Ltd. | | | 577,951 | |
| | 212,000 | | | Fubon Financial Holdings Co., Ltd. | | | 353,439 | |
| | 8,105 | | | Grupo de Inversiones Suramericana SA | | | 60,016 | |
| | 2,293 | | | GT Capital Holdings, Inc. | | | 27,947 | |
| | 32,091 | | | Haci Omer Sabanci Holding AS | | | 49,589 | |
| | 431,800 | | | Metro Pacific Investments Corp. | | | 38,515 | |
| | 31,853 | | | REC, Ltd. | | | 58,692 | |
| | 21,246 | | | Remgro, Ltd. | | | 139,458 | |
| | | | | | | | |
| | | | | | | 1,823,071 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.1%): | | | |
| | 98,000 | | | China Communications Services Corp., Ltd. | | | 43,251 | |
| | 472,000 | | | China Telecom Corp., Ltd., Class H | | | 130,372 | |
| | 1,612,000 | | | China Tower Corp., Ltd., Class H | | | 237,310 | |
| | 218,000 | | | China Unicom Hong Kong, Ltd. | | | 124,378 | |
| | 120,000 | | | Chunghwa Telecom Co., Ltd. | | | 465,530 | |
| | 67,755 | | | Emirates Telecommunications Group Co. PJSC | | | 311,824 | |
| | 9,630 | | | Hellenic Telecommunications Organization SA (OTE) | | | 155,284 | |
| | 14,405 | | | Indus Towers, Ltd. | | | 45,462 | |
| | 6,438 | | | LG Uplus Corp. | | | 69,737 | |
| | 34,613 | | | Ooredoo Qsc | | | 71,508 | |
| | 22,338 | | | Orange Polska SA* | | | 39,457 | |
| | 1,659,700 | | | PT Telekomunikasi Indonesia Tbk | | | 391,984 | |
| | 497,700 | | | Sarana Menara Nusantara Tbk PT | | | 34,046 | |
| | 20,639 | | | Saudi Telecom Co. | | | 583,589 | |
| | 5,248 | | | Telecom Argentina SA, ADR | | | 34,427 | |
| | 15,765 | | | Telefonica Brasil SA | | | 141,144 | |
| | 37,500 | | | Telekom Malaysia Berhad | | | 50,551 | |
| | 26,304 | | | Telesites SAB de CV* | | | 28,453 | |
| | 494,000 | | | True Corp. pcl | | | 56,735 | |
| | | | | | | | |
| | | | | | | 3,015,042 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities (0.7%): | | | |
| | 8,926 | | | Centrais Eletricas Brasileiras S.A | | $ | 63,588 | |
| | 12,336 | | | Centrais Eletricas Brasileiras S.A | | | 87,096 | |
| | 5,163 | | | CEZ AS | | | 123,622 | |
| | 32,087 | | | Companhia Energetica de Minas Gerais | | | 89,951 | |
| | 7,090 | | | CPFL Energia SA | | | 44,434 | |
| | 1,144,575 | | | ENEL Americas SA | | | 187,083 | |
| | 1,011,183 | | | ENEL Chile SA | | | 78,644 | |
| | 6,011 | | | Energisa SA | | | 60,598 | |
| | 32,737 | | | Equatorial Energia SA | | | 145,980 | |
| | 1,337,191 | | | Inter Rao Ues PJSC | | | 96,390 | |
| | 18,686 | | | Interconexion Electrica SA ESP | | | 140,665 | |
| | 8,339 | | | Korea Electric Power Corp., Ltd. | | | 210,759 | |
| | 9,400 | | | Manila Electric Co. | | | 57,178 | |
| | 25,730 | | | PGE SA* | | | 45,041 | |
| | 59,179 | | | Power Grid Corp. of India, Ltd. | | | 154,310 | |
| | 29,789 | | | Saudi Electricity Co. | | | 169,395 | |
| | 82,200 | | | Tenega Nasional Berhad | | | 213,365 | |
| | | | | | | | |
| | | | | | | 1,968,099 | |
| | | | | | | | |
| Electrical Equipment (0.4%): | | | |
| | 5,000 | | | Contemporary Amperex Technology Co., Ltd., Class A | | | 269,741 | |
| | 6,272 | | | Doosan Heavy Industries & Construction Co., Ltd.* | | | 78,551 | |
| | 33,350 | | | Elswedy Cables Holding Co. | | | 20,867 | |
| | 3,801 | | | Eve Energy Co., Ltd., Class A | | | 47,530 | |
| | 9,805 | | | Havells India, Ltd. | | | 123,035 | |
| | 12,500 | | | Jiangsu Zhongtian Technology Co., Ltd., Class A | | | 20,789 | |
| | 17,559 | | | Luxshare Precision Industry Co., Ltd. | | | 151,392 | |
| | 12,400 | | | Nari Technology Co., Ltd. | | | 50,478 | |
| | 3,900 | | | Sungrow Power Supply Co., Ltd., Class A | | | 43,357 | |
| | 7,800 | | | Xinjiang Goldwind Science & Technology Co., Ltd.^ | | | 15,647 | |
| | 16,541 | | | Xinjiang Goldwind Science & Technology Co., Ltd. | | | 36,170 | |
| | 6,600 | | | Zhejiang Chint Electrics Co., Ltd., Class A | | | 39,601 | |
| | 19,900 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H | | | 86,956 | |
| | | | | | | | |
| | | | | | | 984,114 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (2.5%): | | | |
| | 24,500 | | | AAC Technologies Holdings, Inc. | | | 137,871 | |
| | 346,000 | | | AU Optronics Corp.* | | | 173,154 | |
| | 3,300 | | | AVIC Jonhon Optronic Technology Co., Ltd., Class A | | | 39,563 | |
| | 4,200 | | | Chaozhou Three-Circle Group Co., Ltd., Class A | | | 23,972 | |
| | 10,300 | | | Delta Electronics Thailand PCL | | | 167,125 | |
| | 69,000 | | | Delta Electronics, Inc. | | | 643,665 | |
| | 9,699 | | | Foxconn Industrial Internet Co., Ltd., Class A | | | 20,353 | |
| | 22,000 | | | Foxconn Technology Co., Ltd. | | | 41,708 | |
| | 8,100 | | | GoerTek, Inc., Class A | | | 46,449 | |
| | 2,100 | | | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A | | | 36,989 | |
| | 17,200 | | | Hangzhou Hikvision Digital | | | 127,849 | |
| | 433,000 | | | Hon Hai Precision Industry Co., Ltd. | | | 1,413,945 | |
| | 324,000 | | | Innolux Corp. | | | 162,014 | |
| | 25,500 | | | Kingboard Holdings, Ltd. | | | 107,557 | |
| | 37,500 | | | Kingboard Laminates Holdings, Ltd. | | | 61,321 | |
| | 3,000 | | | Largan Precision Co., Ltd. | | | 339,891 | |
| | 5,700 | | | Lens Technology Co., Ltd., Class A | | | 26,799 | |
| | 8,822 | | | LG Display Co., Ltd. | | | 151,128 | |
| | 549 | | | LG Innotek Co., Ltd. | | | 91,934 | |
| | 19,600 | | | Lingyi iTech Guangdong Co., Class A | | | 36,049 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 1,200 | | | NAURA Technology Group Co., Ltd., Class A | | $ | 33,290 | |
| | 4,200 | | | OFILM Group Co., Ltd., Class A | | | 8,489 | |
| | 2,107 | | | Samsung Electro-Mechanics Co., Ltd., Series L | | | 346,306 | |
| | 1,939 | | | Samsung SDI Co., Ltd. | | | 1,124,809 | |
| | 3,800 | | | Shengyi Technology Co., Ltd., Class A | | | 16,416 | |
| | 1,820 | | | Shennan Circuits Co., Ltd., Class A | | | 30,179 | |
| | 26,400 | | | Sunny Optical Technology Group Co., Ltd. | | | 580,951 | |
| | 7,000 | | | Suzhou Dongshan Precision Manufacturing Co., Ltd. | | | 27,915 | |
| | 55,000 | | | Synnex Technology International Corp. | | | 92,184 | |
| | 14,000 | | | Tianma Microelectronics Co., Ltd., Class A | | | 31,633 | |
| | 40,000 | | | Unimicron Technology Corp. | | | 125,252 | |
| | 6,300 | | | Unisplendour Corp., Ltd., Class A | | | 19,746 | |
| | 13,000 | | | Walsin Technology Corp. | | | 107,091 | |
| | 1,700 | | | Wingtech Technology Co., Ltd. | | | 25,808 | |
| | 47,960 | | | WPG Holdings, Ltd. | | | 73,144 | |
| | 7,140 | | | Wuhan Guide Infrared Co., Ltd. | | | 45,660 | |
| | 1,500 | | | WUS Printed Circuit Kunshan Co., Ltd., Class A | | | 4,325 | |
| | 1,700 | | | Wuxi Lead Intelligent Equipment Co., Ltd., Class A | | | 21,900 | |
| | 10,377 | | | Yageo Corp. | | | 191,267 | |
| | 9,200 | | | Zhejiang Dahua Technology Co., Ltd., Class A | | | 28,044 | |
| | 26,000 | | | Zhen Ding Technology Holding, Ltd. | | | 105,889 | |
| | | | | | | | |
| | | | | | | 6,889,634 | |
| | | | | | | | |
| Energy Equipment & Services (0.1%): | | | |
| | 72,000 | | | China Oilfield Services, Ltd. | | | 60,971 | |
| | 126,200 | | | Dialog Group Berhad | | | 108,643 | |
| | | | | | | | |
| | | | | | | 169,614 | |
| | | | | | | | |
| Entertainment (1.2%): | | | |
| | 500,000 | | | Alibaba Pictures Group, Ltd.* | | | 61,961 | |
| | 3,970 | | | Bilibili, Inc., ADR*^ | | | 340,309 | |
| | 2,591 | | | CD Projekt SA* | | | 190,777 | |
| | 2,951 | | | DouYu International Holdings, Ltd., ADR* | | | 32,638 | |
| | 400 | | | G-Bits Network Technology Xiamen Co., Ltd. | | | 26,060 | |
| | 2,528 | | | HUYA, Inc., ADR*^ | | | 50,383 | |
| | 7,471 | | | IQIYI, Inc., ADR*^ | | | 130,593 | |
| | 4,000 | | | Mango Excellent Media Co., Ltd., Class A | | | 44,412 | |
| | 563 | | | Ncsoft Corp. | | | 483,364 | |
| | 14,582 | | | NetEase, Inc., ADR | | | 1,396,519 | |
| | 657 | | | Netmarble Corp.* | | | 79,731 | |
| | 281 | | | Pearl Abyss Corp.* | | | 67,341 | |
| | 7,050 | | | Perfect World Co., Ltd., Class A | | | 31,858 | |
| | 12,970 | | | Tencent Music Entertainment Group, ADR* | | | 249,543 | |
| | 4,800 | | | Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A | | | 22,970 | |
| | 15,360 | | | Zhejiang Century Huatong Group Co., Ltd., Class A* | | | 16,735 | |
| | | | | | | | |
| | | | | | | 3,225,194 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.1%): | | | |
| | 120,342 | | | Fibra UNO Amdinistracion SA | | | 136,104 | |
| | 111,747 | | | Growthpoint Properties, Ltd. | | | 95,750 | |
| | | | | | | | |
| | | | | | | 231,854 | |
| | | | | | | | |
| Food & Staples Retailing (1.2%): | | | |
| | 1,612 | | | Abdullah Al Othaim Markets Co. | | | 52,845 | |
| | 13,933 | | | Atacadao Distribuicao Comercio e Industria, Ltd. | | | 52,016 | |
| | 5,379 | | | Avenue Supermarts, Ltd.* | | | 203,434 | |
| | 51,500 | | | Berli Jucker pcl | | | 59,315 | |
| | 376 | | | BGF Retail Co., Ltd. | | | 46,958 | |
| | 11,558 | | | Bid Corp., Ltd. | | | 207,677 | |
See accompanying notes to the financial statements.
8
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 15,705 | | | BIM Birlesik Magazalar AS | | $ | 159,769 | |
| | 53,777 | | | Cencosud SA | | | 95,848 | |
| | 6,328 | | | Cia Brasileira de Distribuicao | | | 91,439 | |
| | 8,233 | | | Clicks Group, Ltd. | | | 141,733 | |
| | 204,900 | | | CP All pcl | | | 396,690 | |
| | 1,862 | | | Dino Polska SA* | | | 144,423 | |
| | 631 | | | E-Mart Co., Ltd. | | | 88,237 | |
| | 1,004 | | | GS Retail Co., Ltd. | | | 31,879 | |
| | 12,547 | | | Magnit PJSC, GDR | | | 221,018 | |
| | 20,000 | | | President Chain Store Corp. | | | 189,994 | |
| | 33,800 | | | Puregold Price Club, Inc. | | | 28,896 | |
| | 37,127 | | | Raia Drogasil SA | | | 178,994 | |
| | 16,826 | | | Shoprite Holdings, Ltd. | | | 159,466 | |
| | 78,500 | | | Sun Art Retail Group, Ltd. | | | 79,965 | |
| | 5,844 | | | The Spar Group, Ltd. | | | 75,029 | |
| | 182,804 | | | Wal-Mart de Mexico SAB de C.V. | | | 514,387 | |
| | 4,483 | | | X5 Retail Group NV, GDR | | | 161,470 | |
| | 1,120 | | | Yifeng Pharmacy Chain Co., Ltd., Class A | | | 15,450 | |
| | 25,700 | | | Yonghui Superstores Co., Ltd. | | | 28,250 | |
| | | | | | | | |
| | | | | | | 3,425,182 | |
| | | | | | | | |
| Food Products (1.9%): | | | |
| | 8,424 | | | Almarai Co. JSC | | | 123,409 | |
| | 7,000 | | | Beijing Dabeinong Technology Group Co., Ltd. | | | 10,342 | |
| | 21,374 | | | BRF SA* | | | 90,701 | |
| | 3,392 | | | Britannia Industries, Ltd. | | | 166,330 | |
| | 147,100 | | | Charoen Pokphand Foods Public Co., Ltd. | | | 131,644 | |
| | 36,000 | | | China Feihe, Ltd. | | | 84,667 | |
| | 280,000 | | | China Huishan Dairy Holdings Co., Ltd.* | | | – | |
| | 102,000 | | | China Mengniu Dairy Co., Ltd. | | | 617,434 | |
| | 245 | | | CJ CheilJedang Corp. | | | 85,875 | |
| | 75,500 | | | Dali Foods Group Co., Ltd. | | | 43,157 | |
| | 5,560 | | | Foshan Haitian Flavouring & Food Co., Ltd. | | | 171,008 | |
| | 15,800 | | | Genting Plantations Berhad | | | 38,740 | |
| | 8,223 | | | Gruma, SAB de C.V., Class B | | | 97,931 | |
| | 55,199 | | | Grupo Bimbo SAB de C.V., Series A, Class A | | | 119,975 | |
| | 3,800 | | | Guangdong Haid Group Co., Ltd., Class A | | | 38,128 | |
| | 5,400 | | | Henan Shuanghui Investment & Development Co., Ltd. | | | 38,815 | |
| | 14,000 | | | Inner Mongolia Yili Indsutrial Group Co., Ltd. | | | 95,123 | |
| | 90,500 | | | IOI Corp. Berhad | | | 98,377 | |
| | 40,289 | | | JBS SA | | | 183,534 | |
| | 3,100 | | | Jiangxi Zhengbang Technology Co., Ltd., Class A | | | 8,079 | |
| | 1,500 | | | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. | | | 15,330 | |
| | 2,600 | | | Juewei Food Co., Ltd., Class A | | | 30,915 | |
| | 15,700 | | | Kuala Lumpur Kepong Berhad | | | 92,581 | |
| | 9,180 | | | Muyuan Foodstuff Co., Ltd. | | | 108,328 | |
| | 1,121 | | | Nestle India, Ltd. | | | 282,704 | |
| | 2,000 | | | Nestle Malaysia Bhd | | | 69,133 | |
| | 10,600 | | | New Hope Liuhe Co., Ltd., Class A | | | 36,385 | |
| | 951 | | | Orion Corp./ Republic of Korea | | | 108,358 | |
| | 84 | | | Ottogi Corp. | | | 44,675 | |
| | 20,980 | | | PPB Group Berhad | | | 96,694 | |
| | 277,800 | | | PT Charoen Pokphand Indonesia Tbk | | | 129,348 | |
| | 76,600 | | | PT Indofood CBP Sukses Makmur Tbk | | | 52,282 | |
| | 127,500 | | | PT Indofood Sukses Makmur Tbk | | | 62,209 | |
| | 51,450 | | | QL Resources Berhad | | | 74,243 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 77,300 | | | Sime Darby Plantation Bhd | | $ | 95,965 | |
| | 17,000 | | | Standard Foods Corp. | | | 37,154 | |
| | 20,577 | | | Tata Consumer Products, Ltd. | | | 166,565 | |
| | 56,100 | | | Thai Union Frozen Products pcl | | | 25,459 | |
| | 9,830 | | | The Savola Group | | | 111,376 | |
| | 5,794 | | | Tiger Brands, Ltd. | | | 81,696 | |
| | 70,000 | | | Tingyi (Caymen Is) Holding Corp. | | | 119,765 | |
| | 6,800 | | | Tongwei Co., Ltd., Class A | | | 40,191 | |
| | 43,000 | | | Uni-President China Holdings, Ltd. | | | 43,770 | |
| | 157,000 | | | Uni-President Enterprises Corp. | | | 377,883 | |
| | 32,810 | | | Universal Robina Corp. | | | 104,264 | |
| | 202,000 | | | Want Want China Holdings, Ltd. | | | 146,196 | |
| | 13,060 | | | Wens Foodstuffs Group Co., Ltd. | | | 36,464 | |
| | 18,000 | | | Yihai International Holding, Ltd. | | | 268,216 | |
| | | | | | | | |
| | | | | | | 5,101,418 | |
| | | | | | | | |
| Gas Utilities (0.5%): | | | |
| | 18,500 | | | Beijing Enterprises Holdings, Ltd. | | | 60,404 | |
| | 96,400 | | | China Gas Holdings, Ltd. | | | 384,379 | |
| | 32,000 | | | China Resources Gas Group, Ltd. | | | 170,207 | |
| | 28,300 | | | ENN Energy Holdings, Ltd. | | | 415,399 | |
| | 59,757 | | | GAIL India, Ltd. | | | 101,236 | |
| | 7,975 | | | Indraprastha Gas, Ltd. | | | 55,099 | |
| | 18,498 | | | Infraestructura Energetica Nova, SAB de C.V.* | | | 72,126 | |
| | 1,191 | | | Korea Gas Corp. | | | 33,942 | |
| | 31,800 | | | Petronas Gas Berhad | | | 135,914 | |
| | 548,900 | | | PT Perusahaan Gas Negara Tbk | | | 64,854 | |
| | | | | | | | |
| | | | | | | 1,493,560 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.5%): | | | |
| | 16,000 | | | AK Medical Holdings, Ltd. | | | 27,793 | |
| | 1,100 | | | Autobio Diagnostics Co., Ltd., Class A | | | 24,444 | |
| | 64,000 | | | Hartalega Holdings Berhad | | | 193,623 | |
| | 2,280 | | | Jafron Biomedical Co., Ltd., Class A | | | 23,684 | |
| | 900 | | | Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. | | | 3,894 | |
| | 43,800 | | | Kossan Rubber Industries | | | 49,151 | |
| | 7,700 | | | Lepu Medical Technology Beijing Co., Ltd., Class A | | | 32,010 | |
| | 25,000 | | | Microport Scientific Corp.^ | | | 135,707 | |
| | 1,200 | | | Ovctek China, Inc., Class A | | | 15,065 | |
| | 88,000 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | | | 199,405 | |
| | 2,500 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | | | 162,430 | |
| | 11,000 | | | Sri Trang Gloves Thailand PCL | | | 27,910 | |
| | 56,834 | | | Supermax Corp. Berhad* | | | 85,215 | |
| | 174,100 | | | Top Glove Corp. Berhad | | | 265,957 | |
| | | | | | | | |
| | | | | | | 1,246,288 | |
| | | | | | | | |
| Health Care Providers & Services (0.6%): | | | |
| | 9,613 | | | Aier Eye Hospital Group Co., Ltd., Class A | | | 110,101 | |
| | 3,000 | | | Apollo Hospitals Enterprise, Ltd. | | | 99,342 | |
| | 340,900 | | | Bangkok Dusit Medical Services Public Co., Ltd. | | | 236,740 | |
| | 13,700 | | | Bumrungrad Hospital pcl | | | 54,791 | |
| | 2,415 | | | Celltrion Healthcare Co., Ltd.* | | | 361,242 | |
| | 43,815 | | | Hapvida Participacoes e Investimentos SA | | | 128,734 | |
| | 3,300 | | | Huadong Medicine Co., Ltd., Class A | | | 13,435 | |
| | 85,100 | | | IHH Healthcare Berhad | | | 116,645 | |
| | 36,000 | | | Jinxin Fertility Group, Ltd. | | | 73,424 | |
See accompanying notes to the financial statements.
9
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services, continued | | | |
| | 11,000 | | | Jointown Pharmaceutical Group Co., Ltd.* | | $ | 30,590 | |
| | 15,300 | | | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A* | | | 26,503 | |
| | 17,992 | | | Notre Dame Intermedica Participacoes SA | | | 271,380 | |
| | 1,900 | | | Shanghai Pharmaceuticals Holding Co., Ltd. | | | 5,579 | |
| | 41,700 | | | Shanghai Pharmaceuticals Holding Co., Ltd. | | | 73,615 | |
| | 45,200 | | | Sinopharm Group Co., Series H | | | 110,183 | |
| | 700 | | | Topchoice Medical Corp., Class A* | | | 29,656 | |
| | | | | | | | |
| | | | | | | 1,741,960 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 138,000 | | | Alibaba Health Information Technology, Ltd.* | | | 409,506 | |
| | 17,500 | | | Ping An Healthcare and Technology Co., Ltd.* | | | 212,354 | |
| | 10,790 | | | Winning Health Technology Group Co., Ltd. | | | 28,959 | |
| | | | | | | | |
| | | | | | | 650,819 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.8%): | | | |
| | 231,900 | | | Asset World Corp. pcl | | | 35,177 | |
| | 4,100 | | | China International Travel Service Corp., Ltd., Class A | | | 177,428 | |
| | 67,600 | | | Genting Berhard | | | 75,200 | |
| | 86,800 | | | Genting Malaysia Berhad | | | 58,151 | |
| | 28,000 | | | Haidilao International Holding, Ltd. | | | 215,768 | |
| | 5,457 | | | Huazhu Group, Ltd., ADR | | | 245,729 | |
| | 15,230 | | | Jollibee Foods Corp. | | | 61,918 | |
| | 2,830 | | | Jubilant Foodworks, Ltd. | | | 108,442 | |
| | 3,833 | | | Kangwon Land, Inc. | | | 82,907 | |
| | 101,900 | | | Minor International pcl* | | | 87,811 | |
| | 9,175 | | | OPAP SA | | | 122,848 | |
| | 1,987 | | | Saudi Airlines Catering Co. | | | 40,834 | |
| | 25,400 | | | Shenzhen Overseas Chinese Town Co., Ltd., Class A | | | 27,552 | |
| | 6,660 | | | Songcheng Performance Development Co., Ltd., Class A | | | 18,054 | |
| | 14,262 | | | Yum China Holdings, Inc. | | | 814,218 | |
| | | | | | | | |
| | | | | | | 2,172,037 | |
| | | | | | | | |
| Household Durables (0.4%): | | | |
| | 73,600 | | | Haier Smart Home Co., Ltd., Class H*^ | | | 266,785 | |
| | 3,853 | | | LG Electronics, Inc. | | | 479,276 | |
| | 13,100 | | | NavInfo Co., Ltd. | | | 28,659 | |
| | 7,000 | | | Nien Made Enterprise Co., Ltd. | | | 81,308 | |
| | 17,100 | | | Qingdao Haier Co., Ltd. | | | 76,548 | |
| | 28,400 | | | TCL Corp., Class A | | | 30,845 | |
| | 1,893 | | | Woongjin Coway Co., Ltd.* | | | 126,717 | |
| | 1,600 | | | Zhejiang Supor Co., Ltd., Class A | | | 19,094 | |
| | | | | | | | |
| | | | | | | 1,109,232 | |
| | | | | | | | |
| Household Products (0.4%): | | | |
| | 29,792 | | | Hindustan Unilever, Ltd. | | | 978,285 | |
| | 54,099 | | | Kimberl- Clark de Mexico SAB de C.V. | | | 92,430 | |
| | 274,300 | | | PT Unilever Indonesia Tbk | | | 143,605 | |
| | 15,000 | | | Vinda International Holdings, Ltd. | | | 41,015 | |
| | | | | | | | |
| | | | | | | 1,255,335 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.5%): | |
| | 57,800 | | | Aboitiz Power Corp. | | | 31,994 | |
| | 13,831 | | | Adani Green Energy, Ltd.* | | | 199,843 | |
| | 26,100 | | | B Grimm Power pcl | | | 42,486 | |
| | 213,000 | | | Cgn Power Co., Ltd., Class H | | | 45,965 | |
| | 124,000 | | | China Longyuan Power Group Corp. | | | 124,058 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Independent Power and Renewable Electricity Producers, continued | |
| | 41,500 | | | China National Nuclear Power Co., Ltd. | | $ | 31,271 | |
| | 185,000 | | | China Power International Develpoment, Ltd. | | | 39,628 | |
| | 70,000 | | | China Resources Power Holdings Co. | | | 75,620 | |
| | 48,800 | | | China Yangtze Power Co., Ltd. | | | 143,110 | |
| | 271,021 | | | Colbun SA | | | 47,923 | |
| | 11,400 | | | Electricity Genera pcl | | | 73,506 | |
| | 7,616 | | | Engie Brasil Energia SA | | | 64,432 | |
| | 25,400 | | | Global Power Synergy pcl | | | 62,041 | |
| | 87,800 | | | Gulf Energy Development pcl, Class R | | | 100,693 | |
| | 13,900 | | | Huadian Power International Corp, Ltd., Class A | | | 7,228 | |
| | 168,000 | | | Huaneng Power International, Inc., Class H | | | 61,420 | |
| | 139,773 | | | NTPC, Ltd. | | | 191,016 | |
| | 33,400 | | | Ratch Group pcl | | | 58,788 | |
| | 20,900 | | | SDIC Power Holdings Co., Ltd., Class A | | | 27,629 | |
| | 21,900 | | | Sichuan Chuantou Energy Co., Ltd., Class A | | | 33,658 | |
| | | | | | | | |
| | | | | | | 1,462,309 | |
| | | | | | | | |
| Industrial Conglomerates (0.9%): | | | |
| | 77,690 | | | Aboitiz Equity Ventures, Inc. | | | 76,491 | |
| | 65,016 | | | Alfa SAB de C.V., Class A | | | 46,995 | |
| | 7,824 | | | Bidvest Group, Ltd. | | | 84,110 | |
| | 176,000 | | | Citic, Ltd. | | | 124,942 | |
| | 713 | | | CJ Corp. | | | 60,525 | |
| | 115,000 | | | Far Eastern New Century Corp. | | | 118,270 | |
| | 104,500 | | | Fosun International, Ltd. | | | 164,264 | |
| | 15,971 | | | Grupo Carso SAB de C.V.* | | | 53,289 | |
| | 1,087 | | | Hanwha Corp. | | | 28,261 | |
| | 28,800 | | | Hap Seng Consolidated Berhad | | | 61,639 | |
| | 63,698 | | | Industries Qatar Q.S.C. | | | 190,490 | |
| | 119,574 | | | JG Summit Holdings, Inc. | | | 178,312 | |
| | 20,331 | | | KOC Holdings AS | | | 58,013 | |
| | 3,133 | | | LG Corp. | | | 252,838 | |
| | 935 | | | Lotte Corp. | | | 30,437 | |
| | 3,059 | | | Samsung C&T Corp. | | | 388,067 | |
| | 2,872 | | | Siemens, Ltd. | | | 62,035 | |
| | 62,100 | | | Sime Darby Berhad | | | 35,699 | |
| | 1,183 | | | SK Holdings Co., Ltd. | | | 262,505 | |
| | 9,880 | | | SM Investments Corp. | | | 216,137 | |
| | | | | | | | |
| | | | | | | 2,493,319 | |
| | | | | | | | |
| Insurance (2.7%): | | | |
| | 1,480 | | | Bajaj Finserv, Ltd. | | | 180,723 | |
| | 23,439 | | | BB Seguridade Participacoes SA | | | 133,717 | |
| | 2,203 | | | Bupa Arabia For Cooperative Insurance Co.* | | | 71,717 | |
| | 254,137 | | | Cathay Financial Holding Co., Ltd. | | | 381,355 | |
| | 6,100 | | | China Life Insurance Co., Ltd. | | | 35,903 | |
| | 105,033 | | | China Life Insurance Co., Ltd. | | | 83,001 | |
| | 259,000 | | | China Life Insurance Co., Ltd. | | | 572,960 | |
| | 18,000 | | | China Pacific Insurance Group Co., Ltd., Class A | | | 105,890 | |
| | 91,200 | | | China Pacific Insurance Group Co., Ltd., Class H | | | 358,216 | |
| | 63,600 | | | China Taiping Insurance Holdings Co., Ltd. | | | 115,032 | |
| | 2,036 | | | DB Insurance Co., Ltd. | | | 82,049 | |
| | 13,781 | | | Discovery, Ltd. | | | 142,695 | |
| | 28,077 | | | HDFC Life Insurance Co., Ltd.* | | | 260,464 | |
| | 1,434 | | | Hyundai Marine & Fire Insurance Co., Ltd. | | | 29,995 | |
| | 7,561 | | | ICICI Lombard General Insurance Co., Ltd.* | | | 157,712 | |
| | 14,231 | | | ICICI Prudential Life Insurance Co., Ltd.* | | | 97,261 | |
| | 27,000 | | | New China Life Insurance Co., Ltd. | | | 105,717 | |
See accompanying notes to the financial statements.
10
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 4,500 | | | New China Life Insurance Co., Ltd., Class A | | $ | 39,984 | |
| | 145,915 | | | Old Mutual, Ltd. | | | 118,305 | |
| | 178,000 | | | People’s Insurance Co. Group of China, Ltd. (The) | | | 56,550 | |
| | 28,100 | | | People’s Insurance Co. Group of China, Ltd. (The) | | | 28,259 | |
| | 230,000 | | | Picc Property & Casuality Co., Ltd., Class H | | | 174,272 | |
| | 24,400 | | | Ping An Insurance Group Co. of China, Ltd. | | | 324,657 | |
| | 207,000 | | | Ping An Insurance Group Co. of China, Ltd. | | | 2,542,670 | |
| | 17,119 | | | Powszechny Zaklad Ubezpieczen SA* | | | 148,443 | |
| | 26,923 | | | Rand Merchant Investment Holdings, Ltd. | | | 58,927 | |
| | 1,138 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 196,825 | |
| | 2,642 | | | Samsung Life Insurance Co., Ltd. | | | 192,937 | |
| | 66,045 | | | Sanlam, Ltd. | | | 264,443 | |
| | 14,052 | | | SBI Life Insurance Co., Ltd.* | | | 174,644 | |
| | 303,521 | | | Shin Kong Financial Holdings Co., Ltd. | | | 95,198 | |
| | 10,061 | | | Sul America SA | | | 85,911 | |
| | 2,914 | | | The Co. for Cooperative Insurance* | | | 61,914 | |
| | 11,700 | | | Zhongan Online P&c Insurance Co., Ltd.* | | | 54,924 | |
| | | | | | | | |
| | | | | | | 7,533,270 | |
| | | | | | | | |
| Interactive Media & Services (7.3%): | | | |
| | 2,131 | | | Autohome, Inc., ADR | | | 212,290 | |
| | 9,581 | | | Baidu, Inc., ADR* | | | 2,071,796 | |
| | 2,752 | | | Info Edge India, Ltd. | | | 179,679 | |
| | 2,257 | | | JOYY, Inc., ADR^ | | | 180,515 | |
| | 2,022 | | | Kakao Corp. | | | 727,293 | |
| | 2,727 | | | Mail.Ru Group, Ltd., GDR* | | | 73,595 | |
| | 6,092 | | | Momo, Inc., ADR | | | 85,044 | |
| | 4,323 | | | NAVER Corp. | | | 1,167,410 | |
| | 2,472 | | | Sina Corp.*^ | | | 104,763 | |
| | 201,600 | | | Tencent Holdings, Ltd. | | | 14,730,828 | |
| | 2,211 | | | Weibo Corp., ADR*^ | | | 90,629 | |
| | 10,489 | | | Yandex NV, Class A* | | | 733,905 | |
| | | | | | | | |
| | | | | | | 20,357,747 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (9.7%): | | | |
| | 66,342 | | | Alibaba Group Holding, Ltd., ADR* | | | 15,439,776 | |
| | 9,562 | | | Allegro.eu SA* | | | 217,641 | |
| | 7,477 | | | B2W Cia Digital* | | | 108,848 | |
| | 1,271 | | | Baozun, Inc., ADR*^ | | | 43,659 | |
| | 320 | | | CJ ENM Co., Ltd. | | | 41,214 | |
| | 7,700 | | | JD Health International, Inc.* | | | 148,990 | |
| | 30,500 | | | JD.com, Inc., ADR* | | | 2,680,950 | |
| | 126,400 | | | Meituan* | | | 4,834,493 | |
| | 13,388 | | | Pinduoduo, Inc., ADR* | | | 2,378,646 | |
| | 31,200 | | | Tongcheng-Elong Holdings, Ltd.* | | | 60,446 | |
| | 16,606 | | | Trip.com Group, Ltd., ADR* | | | 560,120 | |
| | 15,757 | | | Vipshop Holdings, Ltd., ADR* | | | 442,929 | |
| | | | | | | | |
| | | | | | | 26,957,712 | |
| | | | | | | | |
| IT Services (1.9%): | | | |
| | 6,000 | | | Beijing Sinnet Technology Co., Ltd. | | | 15,790 | |
| | 9,100 | | | DHC Software Co., Ltd., Class A | | | 11,577 | |
| | 2,987 | | | GDS Holdings, Ltd., ADR*^ | | | 279,703 | |
| | 38,047 | | | HCL Technologies, Ltd. | | | 493,811 | |
| | 119,613 | | | Infosys, Ltd. | | | 2,057,893 | |
| | 1,744 | | | Kingsoft Cloud Holdings, Ltd., ADR*^ | | | 75,951 | |
| | 1,779 | | | Larsen & Toubro Infotech, Ltd. | | | 89,178 | |
| | 1,197 | | | Samsung SDS Co., Ltd. | | | 196,438 | |
| | 32,820 | | | Tata Consultancy Services, Ltd. | | | 1,288,057 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 21,287 | | | Tech Mahindra, Ltd. | | $ | 284,378 | |
| | 36,000 | | | Travelsky Technology, Ltd., Series H | | | 86,856 | |
| | 2,800 | | | Wangsu Science & Technology Co., Ltd., Class A | | | 2,958 | |
| | 40,643 | | | Wipro, Ltd. | | | 214,861 | |
| | | | | | | | |
| | | | | | | 5,097,451 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 11,000 | | | Giant Manufacturing Co., Ltd. | | | 107,915 | |
| | 1,684 | | | HLB, Inc.* | | | 143,113 | |
| | | | | | | | |
| | | | | | | 251,028 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.0%): | | | |
| | 4,557 | | | Divi’s Laboratories, Ltd. | | | 240,541 | |
| | 42,000 | | | Genscript Biotech Corp. | | | 61,379 | |
| | 1,800 | | | Hangzhou Tigermed Consulting Co., Ltd., Class A | | | 44,609 | |
| | 3,100 | | | Hangzhou Tigermed Consulting Co., Ltd., Class H* | | | 71,837 | |
| | 3,200 | | | Pharmaron Beijing Co., Ltd., Class H | | | 54,236 | |
| | 575 | | | Samsung Biologics Co., Ltd.* | | | 436,428 | |
| | 4,340 | | | WuXi AppTec Co., Ltd., Class A | | | 89,598 | |
| | 10,080 | | | WuXi AppTec Co., Ltd., Class H | | | 198,043 | |
| | 108,500 | | | Wuxi Biologics Cayman, Inc.* | | | 1,445,274 | |
| | | | | | | | |
| | | | | | | 2,641,945 | |
| | | | | | | | |
| Machinery (0.8%): | | | |
| | 5,000 | | | AirTac International Group | | | 160,228 | |
| | 60,500 | | | China Conch Venture Holdings, Ltd. | | | 294,355 | |
| | 72,200 | | | China Shipbuilding Industry Co., Ltd., Class A* | | | 46,307 | |
| | 52,699 | | | CRRC Corp., Ltd., Class A | | | 42,841 | |
| | 91,000 | | | CRRC Corp., Ltd., Class H | | | 31,357 | |
| | 1,406 | | | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | | | 35,572 | |
| | 2,359 | | | Doosan Bobcat, Inc. | | | 64,304 | |
| | 23,000 | | | Haitian International Holdings, Ltd. | | | 79,672 | |
| | 11,121 | | | Hiwin Technologies Corp. | | | 152,245 | |
| | 332 | | | Hyundai Heavy Industries Holdings Co., Ltd. | | | 86,738 | |
| | 3,108 | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A | | | 53,795 | |
| | 1,191 | | | Korea Shipbuilding & Offshore* | | | 118,738 | |
| | 14,774 | | | Samsung Heavy Industries Co., Ltd., Class R* | | | 95,884 | |
| | 19,700 | | | Sany Heavy Industry Co., Ltd. | | | 105,418 | |
| | 4,700 | | | Shenzhen Inovance Technology Co., Ltd. | | | 67,200 | |
| | 26,000 | | | Sinotruk Hong Kong, Ltd. | | | 66,589 | |
| | 29,398 | | | WEG SA | | | 428,704 | |
| | 15,600 | | | Weichai Power Co., Ltd., Class A | | | 37,778 | |
| | 68,000 | | | Weichai Power Co., Ltd., Class H | | | 136,792 | |
| | 30,200 | | | XCMG Construction Machinery Co., Ltd. | | | 24,829 | |
| | 14,560 | | | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | | | 55,044 | |
| | 900 | | | Zhongji Innolight Co., Ltd., Class A | | | 7,017 | |
| | 47,600 | | | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H | | | 57,128 | |
| | | | | | | | |
| | | | | | | 2,248,535 | |
| | | | | | | | |
| Marine (0.2%): | | | |
| | 134,000 | | | COSCO SHIPPING Holdings Co., Ltd.* | | | 160,872 | |
| | 86,835 | | | Evergreen Marine Corp., Ltd.* | | | 125,857 | |
| | 53,400 | | | MISC Berhad | | | 91,443 | |
| | 10,485 | | | Pan Ocean Co., Ltd.* | | | 48,374 | |
| | | | | | | | |
| | | | | | | 426,546 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media (1.4%): | | | |
| | 2,304 | | | Cheil Worldwide, Inc. | | $ | 43,662 | |
| | 9,800 | | | China Literature, Ltd.* | | | 77,220 | |
| | 9,928 | | | Cyfrowy Polsat SA | | | 80,986 | |
| | 74,210 | | | Grupo Televisa SAB* | | | 122,127 | |
| | 13,390 | | | Megacable Holdings SAB de C.V. | | | 48,918 | |
| | 14,568 | | | MultiChoice Group, Ltd. | | | 132,954 | |
| | 9,300 | | | Nanji E-Commerce Co., Ltd., Class A | | | 19,483 | |
| | 15,352 | | | Naspers, Ltd. | | | 3,143,725 | |
| | 16,600 | | | Oriental Pearl Group Co., Ltd. | | | 22,721 | |
| | 32,652 | | | ZEE Entertainment Enterprises, Ltd. | | | 100,270 | |
| | | | | | | | |
| | | | | | | 3,792,066 | |
| | | | | | | | |
| Metals & Mining (3.7%): | | | |
| | 2,136 | | | African Rainbow Minerals, Ltd. | | | 38,115 | |
| | 52,858 | | | Alrosa PAO | | | 70,524 | |
| | 200,000 | | | Aluminum Corp. of China, Ltd.* | | | 70,742 | |
| | 1,874 | | | Anglo American Platinum, Ltd. | | | 182,839 | |
| | 15,497 | | | AngloGold Ashanti, Ltd. | | | 354,452 | |
| | 57,100 | | | Baoshan Iron & Steel Co., Ltd., Class A | | | 51,988 | |
| | 6,515 | | | Bradespar SA | | | 79,917 | |
| | 50,500 | | | China Hongqiao Group, Ltd. | | | 46,258 | |
| | 58,500 | | | China Molybdenum Co., Ltd., Class A | | | 56,044 | |
| | 129,000 | | | China Molybdenum Co., Ltd., Class H | | | 84,268 | |
| | 21,400 | | | China Northern Rare Earth Group High-Tech Co., Ltd., Class A* | | | 42,921 | |
| | 405,000 | | | China Steel Corp. | | | 356,057 | |
| | 6,579 | | | Cia de Minas Buenaventura SA, ADR* | | | 80,198 | |
| | 22,695 | | | Companhia Siderurgica Nacional SA (CSN) | | | 139,173 | |
| | 41,694 | | | Eregli Demir ve Celik Fabrikalari T.A.S. | | | 84,110 | |
| | 2,000 | | | Ganfeng Lithium Co., Ltd. | | | 31,081 | |
| | 31,906 | | | Gold Fields | | | 296,072 | |
| | 109,311 | | | Grupo Mexico SAB de C.V., Series B, Class B | | | 462,205 | |
| | 17,328 | | | Harmony Gold Mining Co., Ltd.* | | | 83,365 | |
| | 54,379 | | | Hindalco Industries, Ltd. | | | 179,693 | |
| | 3,115 | | | Hyundai Steel Co. | | | 113,958 | |
| | 28,546 | | | Impala Platinum Holdings, Ltd. | | | 392,768 | |
| | 4,401 | | | Industrias Penoles SAB de C.V.* | | | 74,502 | |
| | 226,900 | | | Inner Mongolia Baotou Steel Union Co., Ltd.* | | | 40,625 | |
| | 49,000 | | | Jiangxi Copper Co., Ltd. | | | 77,044 | |
| | 6,400 | | | Jiangxi Copper Co., Ltd., Class A | | | 19,590 | |
| | 27,645 | | | JSW Steel, Ltd. | | | 146,977 | |
| | 4,974 | | | KGHM Polska Miedz SA* | | | 244,229 | |
| | 289 | | | Korea Zinc Co. | | | 106,700 | |
| | 2,403 | | | Kumba Iron Ore, Ltd. | | | 102,143 | |
| | 235,200 | | | Merdeka Copper Gold Tbk PT* | | | 40,780 | |
| | 2,253 | | | MMC Norilsk Nickel PJSC | | | 724,418 | |
| | 13,410 | | | Northam Platinum, Ltd.* | | | 191,672 | |
| | 42,350 | | | Novolipetsk Steel PJSC | | | 120,132 | |
| | 8,152 | | | Polymetal International plc | | | 191,923 | |
| | 1,157 | | | Polyus PJSC | | | 239,022 | |
| | 2,493 | | | POSCO | | | 624,762 | |
| | 46,000 | | | Press Metal Aluminium Holdings Bhd | | | 96,034 | |
| | 14,842 | | | Saudi Arabian Mining Co.* | | | 160,246 | |
| | 7,676 | | | Severstal | | | 137,004 | |
| | 8,120 | | | Shandong Gold Mining Co., Ltd. | | | 29,392 | |
| | 14,000 | | | Shandong Gold Mining Co., Ltd., Class H | | | 32,436 | |
| | 82,152 | | | Sibanye Stillwater, Ltd. | | | 330,989 | |
| | 2,868 | | | Southern Copper Corp. | | | 186,764 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 22,617 | | | Tata Steel, Ltd. | | $ | 199,969 | |
| | 32,700 | | | Tongling Nonferrous Metals Group Co., Ltd., Class A | | | 12,854 | |
| | 130,720 | | | Vale SA | | | 2,200,983 | |
| | 73,377 | | | Vedanta, Ltd. | | | 161,674 | |
| | 5,040 | | | Yintai Gold Co., Ltd. | | | 6,651 | |
| | 48,000 | | | Zhaojin Mining Industry Co., Ltd., Class H | | | 56,748 | |
| | 4,700 | | | Zhejiang Huayou Cobalt Co., Ltd., Class A* | | | 57,033 | |
| | 4,500 | | | Zhongjin Gold Corp., Ltd. | | | 6,075 | |
| | 38,700 | | | Zijin Mining Group Co., Ltd. | | | 55,186 | |
| | 214,000 | | | Zijin Mining Group Co., Ltd. | | | 240,780 | |
| | | | | | | | |
| | | | | | | 10,212,085 | |
| | | | | | | | |
| Multiline Retail (0.4%): | | | |
| | 72,375 | | | Central Retail Corp. pcl* | | | 74,311 | |
| | 28,144 | | | Lojas Renner SA | | | 235,933 | |
| | 497 | | | Lotte Shopping Co., Ltd. | | | 46,829 | |
| | 107,979 | | | Magazine Luiza SA | | | 518,710 | |
| | 29,155 | | | S.A.C.I. Falabella | | | 108,035 | |
| | 298 | | | Shinsegae Department Store Co. | | | 65,657 | |
| | 6,235 | | | Trent, Ltd. | | | 58,911 | |
| | 30,415 | | | Woolworths Holdings, Ltd. | | | 82,195 | |
| | | | | | | | |
| | | | | | | 1,190,581 | |
| | | | | | | | |
| Multi-Utilities (0.0%†): | | | |
| | 16,879 | | | Qatar Electricity & Water Co. | | | 82,870 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (5.0%): | | | |
| | 24,436 | | | Bharat Pertoleum Corp., Ltd. | | | 127,813 | |
| | 11,100 | | | China Merchants Energy Shipping Co., Ltd., Class A | | | 9,592 | |
| | 34,000 | | | China Petroleum & Chemical Corp., Class A | | | 20,952 | |
| | 844,000 | | | China Petroleum & Chemical Corp., Class H | | | 375,140 | |
| | 10,100 | | | China Shenhua Energy Co., Ltd. | | | 27,856 | |
| | 128,500 | | | China Shenhua Energy Co., Ltd. | | | 242,138 | |
| | 631,000 | | | CNOOC, Ltd. | | | 580,043 | |
| | 38,180 | | | Coal India, Ltd. | | | 70,845 | |
| | 5,197 | | | Cosan sa industria e Comercio | | | 75,777 | |
| | 8,500 | | | COSCO SHIPPING Energy Transportation Co., Ltd., Class A | | | 8,684 | |
| | 183,077 | | | Ecopetrol SA | | | 120,389 | |
| | 14,745 | | | Empresas Copec SA | | | 149,787 | |
| | 65,200 | | | Energy Absolute Public Co., Ltd. | | | 107,673 | |
| | 8,858 | | | Exxaro Resources, Ltd. | | | 83,100 | |
| | 38,000 | | | Formosa Petrochemical Corp. | | | 134,971 | |
| | 414,665 | | | Gazprom PJSC | | | 1,196,654 | |
| | 1,948 | | | GS Holdings | | | 67,399 | |
| | 22,086 | | | Hindustan Petroleum Corp., Ltd. | | | 66,082 | |
| | 70,847 | | | Indian Oil Corp., Ltd. | | | 88,309 | |
| | 124,000 | | | Kunlun Energy Co., Ltd. | | | 107,241 | |
| | 14,638 | | | LUKOIL PJSC | | | 1,026,429 | |
| | 16,206 | | | MOL Hungarian Oil And Gas plc* | | | 118,118 | |
| | 3,243 | | | Novatek PJSC, GDR | | | 526,154 | |
| | 8,128 | | | Oil & Gas Development Co., Ltd. | | | 5,293 | |
| | 66,144 | | | Oil & Natural Gas Corp., Ltd. | | | 84,378 | |
| | 45,900 | | | PetroChina Co., Ltd., Class A | | | 29,128 | |
| | 680,000 | | | PetroChina Co., Ltd., Class H | | | 208,812 | |
| | 129,319 | | | Petroleo Brasileiro SA | | | 718,328 | |
| | 172,571 | | | Petroleo Brasileiro SA | | | 941,635 | |
| | 11,400 | | | Petronas Dagangan Berhad | | | 60,955 | |
| | 21,431 | | | Petronet LNG, Ltd. | | | 72,819 | |
See accompanying notes to the financial statements.
12
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 10,578 | | | Polski Koncern Naftowy Orlen SA | | $ | 163,491 | |
| | 63,750 | | | Polskie Gornictwo Naftowe i Gazownictwo SA | | | 94,679 | |
| | 639,600 | | | PT Adaro Energy Tbk | | | 65,172 | |
| | 58,000 | | | PT United Tractors Tbk | | | 110,111 | |
| | 54,900 | | | PTT Exploration & Production pcl | | | 179,875 | |
| | 391,800 | | | PTT pcl | | | 555,503 | |
| | 19,690 | | | Qatar Fuel QSC | | | 101,061 | |
| | 46,623 | | | Qatar Gas Transport Co., Ltd. | | | 40,745 | |
| | 10,829 | | | Rabigh Refining & Petrochemical Co.* | | | 39,869 | |
| | 100,395 | | | Reliance Industries, Ltd. | | | 2,735,043 | |
| | 25,357 | | | Rosneft Oil Co. PJSC | | | 149,733 | |
| | 16,668 | | | Rosneft Oil Co. PJSC, GDR | | | 93,989 | |
| | 71,597 | | | Saudi Arabian Oil Co. | | | 667,935 | |
| | 26,100 | | | Shaanxi Coal Industry Co., Ltd. | | | 37,388 | |
| | 2,000 | | | Shanxi Meijin Energy Co., Ltd., Class A* | | | 2,043 | |
| | 1,982 | | | SK Innovation Co., Ltd. | | | 348,020 | |
| | 1,806 | | | S-Oil Corp. | | | 115,197 | |
| | 243,402 | | | Surgutneftegas PJSC | | | 119,324 | |
| | 199,091 | | | Surgutneftegas Prefernce | | | 112,972 | |
| | 50,853 | | | Tatneft PJSC | | | 353,402 | |
| | 49,100 | | | Thai Oil Public Co., Ltd. | | | 85,096 | |
| | 4,521 | | | Tupras-Turkiye Petrol Rafine* | | | 65,825 | |
| | 28,345 | | | Ultrapar Participacoes SA | | | 129,560 | |
| | 70,000 | | | Yanzhou Coal Mining Co. | | | 55,988 | |
| | 1,194 | | | YPF Sociedad Anonima, ADR* | | | 5,612 | |
| | | | | | | | |
| | | | | | | 13,880,127 | |
| | | | | | | | |
| Paper & Forest Products (0.2%): | | | |
| | 43,569 | | | Empresas CMPC SA | | | 114,793 | |
| | 43,000 | | | Lee & Man Paper Manufacturing, Ltd. | | | 35,233 | |
| | 67,000 | | | Nine Dragons Paper Holdings, Ltd. | | | 95,367 | |
| | 85,700 | | | PT Indah Kiat Pulp & Paper Corp Tbk | | | 63,731 | |
| | 25,330 | | | Suzano SA* | | | 285,498 | |
| | | | | | | | |
| | | | | | | 594,622 | |
| | | | | | | | |
| Personal Products (0.6%): | | | |
| | 1,189 | | | Amorepacific Corp. | | | 226,038 | |
| | 863 | | | Amorepacific Group | | | 43,654 | |
| | 3,754 | | | Colgate-Palmolive India, Ltd. | | | 80,514 | |
| | 20,734 | | | Dabur India, Ltd. | | | 151,706 | |
| | 14,700 | | | Godrej Consumer Products, Ltd. | | | 149,183 | |
| | 22,000 | | | Hengan International Group Co., Ltd. | | | 155,759 | |
| | 321 | | | LG Household & Health Care, Ltd. | | | 478,769 | |
| | 60 | | | LG Household & Health Care, Ltd. | | | 39,673 | |
| | 16,791 | | | Marico, Ltd. | | | 92,641 | |
| | 29,667 | | | Natura & Co. Holding SA* | | | 299,880 | |
| | | | | | | | |
| | | | | | | 1,717,817 | |
| | | | | | | | |
| Pharmaceuticals (1.5%): | | | |
| | 12,537 | | | Aspen Pharmacare Holdings, Ltd.* | | | 107,092 | |
| | 1,000 | | | Asymchem Laboratories Tianjin Co., Ltd., Class A | | | 45,754 | |
| | 11,197 | | | Aurobindo Pharma, Ltd. | | | 141,367 | |
| | 900 | | | Betta Pharmaceuticals Co., Ltd. | | | 14,801 | |
| | 2,400 | | | CanSino Biologics, Inc., Class H* | | | 54,931 | |
| | 518 | | | Celltrion Pharm, Inc.* | | | 113,366 | |
| | 1,200 | | | Changchun High & New Technology Industry Group, Inc., Class A | | | 82,635 | |
| | 1,500 | | | Chengdu Kanghong Pharmaceutical Group Co., Ltd. | | | 11,066 | |
| | 56,000 | | | China Medical System Holdings, Ltd. | | | 62,761 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Pharmaceuticals, continued | | | |
| | 308,000 | | | China Pharmaceutical Enterprise & Investment Corp. | | $ | 314,970 | |
| | 80,500 | | | China Resources Pharmaceutical | | | 41,342 | |
| | 100,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 49,598 | |
| | 14,918 | | | Cipla, Ltd. | | | 167,642 | |
| | 3,972 | | | Dr Reddy’s Laboratories, Ltd. | | | 283,497 | |
| | 2,900 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A | | | 12,993 | |
| | 268 | | | Hanmi Pharm Co., Ltd.* | | | 90,761 | |
| | 42,000 | | | Hansoh Pharmaceutical Group Co., Ltd.* | | | 204,267 | |
| | 2,773 | | | Hutchison China MediTech, Ltd., ADR* | | | 88,791 | |
| | 15,104 | | | Hypera SA | | | 99,602 | |
| | 2,134 | | | Ipca Laboratories, Ltd. | | | 64,097 | |
| | 11,856 | | | Jiangsu Hengrui Medicine Co., Ltd. | | | 202,534 | |
| | 7,523 | | | Lupin, Ltd. | | | 100,707 | |
| | 61,500 | | | Luye Pharma Group, Ltd. | | | 28,711 | |
| | 2,080 | | | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | | | 11,175 | |
| | 7,000 | | | Oneness Biotech Co., Ltd.* | | | 59,959 | |
| | 3,371 | | | Piramal Enterprises, Ltd. | | | 66,111 | |
| | 881,600 | | | PT Kalbe Farma Tbk | | | 92,937 | |
| | 5,856 | | | Richter Gedeon Nyrt | | | 147,213 | |
| | 5,700 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd. | | | 47,338 | |
| | 17,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd. | | | 81,559 | |
| | 4,800 | | | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A | | | 18,747 | |
| | 1,151 | | | Shin Poong Pharmaceutical Co., Ltd.* | | | 131,833 | |
| | 361,750 | | | Sino Biopharmaceutical, Ltd. | | | 349,938 | |
| | 463 | | | SK Biopharmaceuticals Co., Ltd.* | | | 72,107 | |
| | 30,000 | | | SSY Group, Ltd. | | | 17,068 | |
| | 32,087 | | | Sun Pharmaceutical Industries, Ltd. | | | 260,855 | |
| | 1,998 | | | Torrent Pharmaceuticals, Ltd. | | | 76,788 | |
| | 1,970 | | | Yuhan Corp.* | | | 136,283 | |
| | 3,600 | | | Yunnan Baiyao Group Co., Ltd. | | | 62,688 | |
| | 1,300 | | | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. | | | 53,338 | |
| | 6,380 | | | Zhejiang Huahai Pharmaceutical Co., Ltd. | | | 33,098 | |
| | 3,600 | | | Zhejiang NHU Co., Ltd., Class A | | | 18,578 | |
| | 500 | | | Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. | | | 5,865 | |
| | | | | | | | |
| | | | | | | 4,126,763 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 1,148 | | | 51job, Inc., ADR* | | | 80,360 | |
| | | | | | | | |
| Real Estate Management & Development (2.0%): | | | |
| | 50,000 | | | Agile Group Holdings, Ltd. | | | 66,711 | |
| | 126,385 | | | Aldar Properties PJSC | | | 108,492 | |
| | 291,100 | | | Ayala Land, Inc. | | | 247,945 | |
| | 78,422 | | | Barwa Real Estate Co. | | | 73,383 | |
| | 13,663 | | | Cencosud Shopping SA | | | 21,917 | |
| | 72,200 | | | Central Pattana pcl | | | 115,034 | |
| | 59,000 | | | China Aoyuan Group, Ltd. | | | 57,421 | |
| | 60,000 | | | China Everbright Environment Group, Ltd. | | | 115,396 | |
| | 12,350 | | | China Fortune Land Development Co., Ltd. | | | 24,448 | |
| | 218,000 | | | China Jinmao Holdings Group, Ltd. | | | 100,425 | |
| | 4,900 | | | China Merchants Property Operation & Service Co., Ltd., Class A | | | 16,143 | |
| | 24,100 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A | | | 49,018 | |
| | 126,000 | | | China Overseas Land & Investment, Ltd. | | | 274,105 | |
See accompanying notes to the financial statements.
13
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development, continued | | | |
| | 55,000 | | | China Overseas Property Holdings, Ltd. | | $ | 28,717 | |
| | 110,000 | | | China Resources Land, Ltd. | | | 455,802 | |
| | 26,600 | | | China Vanke Co., Ltd., Class A | | | 116,910 | |
| | 50,600 | | | China Vanke Co., Ltd., Class H | | | 174,965 | |
| | 108,000 | | | CIFI Holdings Group Co., Ltd. | | | 91,581 | |
| | 262,000 | | | Country Garden Holdings Co., Ltd. | | | 362,540 | |
| | 14,300 | | | Dar Al Arkan Real Estate Development Co.* | | | 33,033 | |
| | 25,683 | | | DLF, Ltd. | | | 82,086 | |
| | 9,596 | | | Emaar Economic City* | | | 23,556 | |
| | 100,129 | | | Emaar Malls PJSC* | | | 50,034 | |
| | 141,286 | | | Emaar Properties PJSC* | | | 135,956 | |
| | 6,000 | | | Future Land Holdings Co., Ltd. | | | 31,963 | |
| | 10,300 | | | Gemdale Corp., Class A | | | 21,309 | |
| | 17,700 | | | Greenland Holdings Corp., Ltd. | | | 15,808 | |
| | 22,000 | | | Greentown China Holdings, Ltd. | | | 32,207 | |
| | 48,400 | | | Guangzhou R&F Properties Co., Ltd., Class H | | | 62,383 | |
| | 28,600 | | | Highwealth Construction Corp. | | | 46,680 | |
| | 20,000 | | | Hopson Development Holdings, Ltd. | | | 50,974 | |
| | 12,500 | | | Jinke Properties Group Co., Ltd., Class A | | | 13,574 | |
| | 116,000 | | | Kaisa Group Holdings, Ltd. | | | 57,495 | |
| | 3,610 | | | KE Holdings, Inc., ADR*^ | | | 222,159 | |
| | 51,000 | | | KWG Group Holdings, Ltd. | | | 69,901 | |
| | 227,100 | | | Land & Houses Public Co., Ltd. | | | 59,874 | |
| | 60,000 | | | Logan Property Holdings Co., Ltd. | | | 98,333 | |
| | 65,000 | | | Longfor Group Holdings, Ltd. | | | 381,760 | |
| | 13,446 | | | Mabanee Co KPSC | | | 29,128 | |
| | 363,000 | | | Megaworld Corp. | | | 30,855 | |
| | 8,776 | | | Multiplan Empreendimentos Imobiliarios SA | | | 39,759 | |
| | 13,626 | | | NEPI Rockcastle plc | | | 86,704 | |
| | 4,800 | | | Poly Property Services Co., Ltd., Class H^ | | | 37,851 | |
| | 30,600 | | | Poly Real Estate Group Co., Ltd., Class A | | | 74,111 | |
| | 28,560 | | | Ruentex Development Co., Ltd. | | | 41,584 | |
| | 84,000 | | | Seazen Group, Ltd. | | | 70,039 | |
| | 44,500 | | | Shanghai Lujiazue | | | 34,846 | |
| | 156,000 | | | Shenzhen Investment, Ltd. | | | 53,639 | |
| | 42,000 | | | Shimao Property Holdings, Ltd. | | | 134,282 | |
| | 363,100 | | | SM Prime Holdings, Inc. | | | 291,162 | |
| | 95,000 | | | Sunac China Holdings, Ltd. | | | 351,313 | |
| | 43,000 | | | The Wharf Holdings, Ltd. | | | 115,824 | |
| | 56,700 | | | Xinhu Zhongbao Co., Ltd., Class A | | | 26,943 | |
| | 188,000 | | | Yuexiu Property Co., Ltd. | | | 37,909 | |
| | 62,000 | | | Zhenro Properties Group, Ltd. | | | 37,332 | |
| | | | | | | | |
| | | | | | | 5,483,319 | |
| | | | | | | | |
| Road & Rail (0.2%): | | | |
| | 303,300 | | | BTS Group Holdings pcl | | | 93,671 | |
| | 235 | | | CJ Logistics Corp.* | | | 35,820 | |
| | 5,655 | | | Container Corp. of India, Ltd. | | | 30,942 | |
| | 45,699 | | | Daqin Railway Co., Ltd., Class A | | | 45,147 | |
| | 22,041 | | | Localiza Rent a Car SA | | | 292,604 | |
| | 45,706 | | | Rumo SA* | | | 169,314 | |
| | | | | | | | |
| | | | | | | 667,498 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (8.5%): | | | |
| | 113,465 | | | ASE Technology Holding Co., Ltd. | | | 328,348 | |
| | 1,000 | | | ASMedia Technology, Inc. | | | 56,211 | |
| | 36,500 | | | GCL System Integration Technology Co., Ltd.* | | | 23,685 | |
| | 540 | | | Gigadevice Semiconductor Beijing, Inc., Class A | | | 16,350 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 7,000 | | | Globalwafers Co., Ltd. | | $ | 177,150 | |
| | 18,000 | | | Hua Hong Semiconductor, Ltd.* | | | 102,070 | |
| | 7,800 | | | Longi Green Energy Technology Co., Ltd. | | | 110,489 | |
| | 53,000 | | | MediaTek, Inc. | | | 1,415,458 | |
| | 47,000 | | | Nanya Technology Corp. | | | 145,756 | |
| | 20,000 | | | Novatek Microelectronics Corp. | | | 261,618 | |
| | 6,000 | | | Phison Electronics Corp. | | | 71,234 | |
| | 24,000 | | | Powertech Technology, Inc. | | | 81,306 | |
| | 18,000 | | | Realtek Semiconductor Corp. | | | 249,258 | |
| | 9,700 | | | Sanan Optoelectronics Co., Ltd., Class A | | | 40,133 | |
| | 130,800 | | | Semiconductor Manufacturing International Corp.* | | | 372,613 | |
| | 400 | | | SG Micro Corp., Class A | | | 16,085 | |
| | 1,400 | | | Shenzhen Goodix Technology Co., Ltd., Class A | | | 33,368 | |
| | 3,000 | | | Silergy Corp. | | | 257,198 | |
| | 19,136 | | | SK Hynix, Inc. | | | 2,093,624 | |
| | 863,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 16,208,994 | |
| | 10,700 | | | Tianjin Zhonghuan Semiconductor Co., Ltd. | | | 41,870 | |
| | 10,600 | | | Tianshui Huatian Technology Co., Ltd., Class A | | | 22,139 | |
| | 400 | | | Unigroup Guoxin Microelectronics Co., Ltd., Class A | | | 8,206 | |
| | 420,000 | | | United Microelectronics Corp. | | | 704,069 | |
| | 36,000 | | | Vanguard International Semiconductor Corp. | | | 149,203 | |
| | 1,300 | | | Will Semiconductor, Ltd., Class A | | | 46,096 | |
| | 12,000 | | | Win Semiconductors Corp. | | | 148,366 | |
| | 76,000 | | | Winbond Electronics Corp. | | | 78,080 | |
| | 146,000 | | | Xinyi Solar Holdings, Ltd. | | | 381,013 | |
| | | | | | | | |
| | | | | | | 23,639,990 | |
| | | | | | | | |
| Software (0.5%): | | | |
| | 8,800 | | | 360 Security Technology, Inc., Class A | | | 21,171 | |
| | 1,000 | | | Beijing Shiji Information Technology Co., Ltd., Class A | | | 4,755 | |
| | 900 | | | China National Software & Service Co., Ltd., Class A | | | 10,870 | |
| | 480,000 | | | China Youzan, Ltd.* | | | 143,832 | |
| | 802 | | | Douzone Bizon Co., Ltd. | | | 76,758 | |
| | 1,355 | | | Globant SA* | | | 294,862 | |
| | 3,400 | | | Glodon Co., Ltd., Class A | | | 40,950 | |
| | 1,950 | | | Hundsun Technologies, Inc. | | | 31,348 | |
| | 8,500 | | | Iflytek Co., Ltd. | | | 53,229 | |
| | 84,000 | | | Kingdee International Software Group Co., Ltd. | | | 344,737 | |
| | 32,000 | | | Kingsoft Corp., Ltd. | | | 206,286 | |
| | 700 | | | Sangfor Technologies, Inc., Class A | | | 26,551 | |
| | 3,400 | | | Shanghai Baosight Software Co., Ltd. | | | 35,873 | |
| | 10,312 | | | TOTVS SA | | | 57,022 | |
| | 7,150 | | | Yonyou Network Technology Co., Ltd. | | | 48,044 | |
| | | | | | | | |
| | | | | | | 1,396,288 | |
| | | | | | | | |
| Specialty Retail (0.5%): | | | |
| | 18,000 | | | China Meidong Auto Holdings, Ltd. | | | 73,185 | |
| | 2,316 | | | FF Group* | | | 28 | |
| | 381,000 | | | GOME Retail Holdings, Ltd.* | | | 45,727 | |
| | 225,000 | | | Home Product Center Public Co., Ltd. | | | 102,751 | |
| | 11,000 | | | Hotai Motor Co., Ltd. | | | 252,617 | |
| | 1,292 | | | Hotel Shilla Co., Ltd. | | | 97,828 | |
| | 2,192 | | | Jarir Marketing Co. | | | 101,314 | |
| | 3,482 | | | Jumbo SA | | | 60,625 | |
| | 9,879 | | | Mr Price Group, Ltd. | | | 114,950 | |
| | 27,899 | | | Petrobras Distribuidora SA | | | 118,873 | |
See accompanying notes to the financial statements.
14
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail, continued | | | |
| | 247,600 | | | PT Ace Hardware Indonesia Tbk | | $ | 30,276 | |
| | 17,100 | | | Suning.com Co., Ltd., Class A | | | 20,193 | |
| | 45,000 | | | Topsports International Holdings, Ltd. | | | 67,528 | |
| | 45,177 | | | Via Varejo SA* | | | 140,564 | |
| | 20,000 | | | Zhongsheng Group Holdings, Ltd. | | | 142,596 | |
| | | | | | | | |
| | | | | | | 1,369,055 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (6.1%): | | | |
| | 111,000 | | | Acer, Inc. | | | 93,778 | |
| | 11,616 | | | Advantech Co., Ltd. | | | 145,078 | |
| | 26,000 | | | Asustek Computer, Inc. | | | 232,427 | |
| | 80,300 | | | BOE Technology Group Co., Ltd., Class A | | | 73,902 | |
| | 24,000 | | | Catcher Technology Co., Ltd. | | | 176,529 | |
| | 25,360 | | | Chicony Electronics Co., Ltd. | | | 77,976 | |
| | 12,500 | | | China Greatwall Technology Group Co., Ltd., Class A | | | 36,411 | |
| | 139,000 | | | Compal Electronics, Inc. | | | 102,241 | |
| | 3,100 | | | Dawning Information Industry Co., Ltd. | | | 16,268 | |
| | 37,199 | | | Focus Media Information Technology Co., Ltd., Class A | | | 56,277 | |
| | 11,400 | | | GRG Banking Equipment Co., Ltd., Class A | | | 18,664 | |
| | 3,156 | | | Inspur Electronic Information Industry Co., Ltd., Class A | | | 13,004 | |
| | 103,000 | | | Inventec Corp. | | | 87,825 | |
| | 256,000 | | | Lenovo Group, Ltd. | | | 242,252 | |
| | 71,000 | | | Lite-On Technology Corp. | | | 126,048 | |
| | 24,000 | | | Micro-Star International Co., Ltd. | | | 113,227 | |
| | 5,000 | | | Ninestar Corp. | | | 20,470 | |
| | 67,000 | | | Pegatron Corp. | | | 160,796 | |
| | 104,000 | | | Quanta Computer, Inc. | | | 300,288 | |
| | 166,902 | | | Samsung Electronics Co., Ltd. | | | 12,474,974 | |
| | 6,100 | | | Shenzhen Kaifa Technology Co., Ltd., Class A | | | 17,780 | |
| | 112,863 | | | Wistron Corp. | | | 124,876 | |
| | 3,000 | | | Wiwynn Corp. | | | 75,148 | |
| | 503,400 | | | Xiaomi Corp., Class B* | | | 2,171,068 | |
| | | | | | | | |
| | | | | | | 16,957,307 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.9%): | | | |
| | 3,798 | | | Alpargatas SA | | | 30,713 | |
| | 38,000 | | | Anta Sports Products, Ltd. | | | 603,017 | |
| | 116,000 | | | Bosideng International Holdings, Ltd. | | | 59,182 | |
| | 6,220 | | | Eclat Textile Co., Ltd. | | | 93,751 | |
| | 15,000 | | | Feng Tay Enterprise Co., Ltd. | | | 106,788 | |
| | 1,622 | | | Fila Korea, Ltd. | | | 65,329 | |
| | 77,000 | | | Li Ning Co., Ltd. | | | 530,471 | |
| | 52 | | | LPP SA* | | | 115,826 | |
| | 236 | | | Page Industries, Ltd. | | | 89,287 | |
| | 83,000 | | | Pou Chen Corp. | | | 92,783 | |
| | 28,700 | | | Shenzhou International Group | | | 562,931 | |
| | 11,365 | | | Titan Co., Ltd. | | | 244,343 | |
| | | | | | | | |
| | | | | | | 2,594,421 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.8%): | | | |
| | 60,216 | | | Housing Development Finance Corp., Ltd. | | | 2,123,375 | |
| | | | | | | | |
| Tobacco (0.3%): | | | |
| | 43,949 | | | Eastern Co. SAE | | | 36,546 | |
| | 110,667 | | | ITC, Ltd. | | | 316,982 | |
| | 3,748 | | | KT&G Corp. | | | 287,096 | |
| | 12,100 | | | PT Gudang Garam Tbk* | | | 35,344 | |
| | 11,000 | | | Smoore International Holdings, Ltd.* | | | 84,910 | |
| | | | | | | | |
| | | | | | | 760,878 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Trading Companies & Distributors (0.0%†): | | | |
| | 7,500 | | | BOC Aviation, Ltd. | | $ | 64,868 | |
| | | | | | | | |
| Transportation Infrastructure (0.6%): | | | |
| | 18,445 | | | Adani Ports & Special Economic Zone, Ltd. | | | 122,377 | |
| | 145,200 | | | Airports of Thailand Public Co., Ltd. | | | 299,392 | |
| | 291,400 | | | Bangkok Expressway & Metro | | | 80,407 | |
| | 74,000 | | | Beijing Capital International Airport Co., Ltd. | | | 61,799 | |
| | 44,194 | | | CCR SA | | | 114,616 | |
| | 47,228 | | | China Merchants Port Holdings Co., Ltd. | | | 57,845 | |
| | 80,000 | | | COSCO SHIPPING Ports, Ltd. | | | 55,655 | |
| | 6,907 | | | Grupo Aeroportuario de Sur* | | | 114,300 | |
| | 15,047 | | | Grupo Aeroporturaio del Pacifico SAB de C.V.* | | | 168,015 | |
| | 11,100 | | | Guangzhou Baiyun International Airport Co., Ltd., Class A | | | 23,993 | |
| | 36,180 | | | International Container Terminal Services, Inc. | | | 93,076 | |
| | 36,000 | | | Jiangsu Expressway Co., Ltd., Series H, Class H | | | 40,310 | |
| | 28,300 | | | Malaysia Airports Holdings Berhad | | | 41,849 | |
| | 9,118 | | | Promotora Y Operadora de Infraestructura SAB de CV | | | 80,495 | |
| | 3,000 | | | Shanghai International Air | | | 34,723 | |
| | 35,399 | | | Shanghai International Port Group Co., Ltd. | | | 24,745 | |
| | 35,000 | | | Shenzhen International Holdings, Ltd. | | | 56,500 | |
| | 54,000 | | | Taiwan High Speed Rail Corp. | | | 60,823 | |
| | 33,400 | | | Westports Holding Berhad | | | 35,747 | |
| | 76,000 | | | Zhejiang Expressway Co., Ltd. | | | 64,286 | |
| | | | | | | | |
| | | | | | | 1,630,953 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 186,000 | | | Beijing Enterprises Water Group, Ltd. | | | 74,721 | |
| | 13,691 | | | Cia Saneamento Basico Do Estado de Sao Paulo | | | 117,145 | |
| | 108,000 | | | Guangdong Investment, Ltd. | | | 195,111 | |
| | | | | | | | |
| | | | | | | 386,977 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.7%): | | | |
| | 38,500 | | | Advanced Info Service Public Co., Ltd. | | | 226,486 | |
| | 1,198,163 | | | America Movil SAB de C.V., Series L | | | 872,681 | |
| | 91,800 | | | Axiata Group Berhad | | | 85,542 | |
| | 46,689 | | | Bharti Airtel, Ltd. | | | 326,392 | |
| | 214,500 | | | China Mobile, Ltd. | | | 1,225,826 | |
| | 98,000 | | | China United Network Communications, Ltd. | | | 66,926 | |
| | 100,300 | | | DIGI.com Berhad | | | 103,313 | |
| | 15,756 | | | Etihad Etisalat Co.* | | | 120,353 | |
| | 58,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 126,233 | |
| | 1,005 | | | Globe Telecom, Inc. | | | 42,501 | |
| | 90,400 | | | Intouch Holdings Public Co., Ltd. | | | 169,922 | |
| | 92,900 | | | Maxis Berhad | | | 116,721 | |
| | 45,853 | | | Mobile Telecommunications Co KSCP | | | 91,476 | |
| | 14,942 | | | Mobile TeleSystems PJSC, ADR | | | 133,731 | |
| | 58,041 | | | MTN Group, Ltd. | | | 238,107 | |
| | 2,760 | | | PLDT, Inc. | | | 77,284 | |
| | 1,318 | | | SK Telecom Co., Ltd. | | | 289,249 | |
| | 49,000 | | | Taiwan Mobile Co., Ltd. | | | 172,290 | |
| | 27,636 | | | TIM SA | | | 77,952 | |
| | 36,500 | | | Total Access Communication Public Co., Ltd. | | | 40,585 | |
| | 40,565 | | | Turkcell Iletisim Hizmetleri AS | | | 88,256 | |
| | 21,658 | | | Vodacom Group, Ltd. | | | 182,767 | |
| | | | | | | | |
| | | | | | | 4,874,593 | |
| | | | | | | | |
| | Total Common Stocks (Cost $174,155,672) | | | 272,124,773 | |
| | | | | |
See accompanying notes to the financial statements.
15
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Preferred Stocks (1.6%): | | | |
| Automobiles (0.0%†): | | | |
| | 1,265 | | | Hyundai Motor Co., Ltd., 3.45%, 6/29/20 | | $ | 104,644 | |
| | | | | | | | |
| Banks (0.7%): | | | |
| | 155,705 | | | Banco Bradesco SA, 0.64%, 1/3/20 | | | 813,630 | |
| | 169,022 | | | Itau Unibanco Holding SA, Series S, 0.57%, 1/5/21 | | | 1,029,337 | |
| | | | | | | | |
| | | | | | | 1,842,967 | |
| | | | | | | | |
| Electric Utilities (0.0%†): | | | |
| | 3,360 | | | Cia Paranaense de Energia, Class B, 0.51% | | | 48,481 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 42,438 | | | Gerdau SA, 0.78%, 3/6/20 | | | 199,778 | |
| | | | | | | | |
| Multiline Retail (0.1%): | | | |
| | 29,978 | | | Lojas Americanas SA, 0.06%, 1/11/21 | | | 151,743 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.7%): | | | |
| | 29,122 | | | Samsung Electronics Co., Ltd., 1.44%, 3/30/20 | | | 1,977,041 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $3,421,759) | | | 4,324,654 | |
| | | | | |
| Right (0.0%†): | | | |
| Construction Materials (0.0%†): | | | |
| | 156 | | | POSCO Chemical Co., Ltd., Expires on 1/15/21* | | | 4,373 | |
| | | | | | | | |
| | Total Right (Cost $—) | | | 4,373 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.8%): | |
| | 2,345,685 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(a)(b) | | | 2,345,685 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $2,345,685) | | | 2,345,685 | |
| | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Unaffiliated Investment Companies (0.3%): | | | |
| Money Markets (0.3%): | | | |
| | 784,555 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 784,555 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $784,555) | | | 784,555 | |
| | | | | |
| | Total Investment Securities (Cost $180,707,671) — 100.9%(c) | | | 279,584,040 | |
| | Net other assets (liabilities) — (0.9)% | | | (2,434,081 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 277,149,959 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
GDR—Global Depositary Receipt
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $2,205,751. |
| † | Represents less than 0.05%. |
| (a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (b) | The rate represents the effective yield at December 31, 2020. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—” are $0 or round to less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of December 31, 2020:
| | | | |
| Country | | Percentage | |
| |
Argentina | | | — | %† |
Bermuda | | | 0.1 | % |
Brazil | | | 5.1 | % |
Cayman Islands | | | 1.3 | % |
Chile | | | 0.5 | % |
China | | | 33.5 | % |
Colombia | | | 0.2 | % |
Czech Republic | | | 0.1 | % |
Egypt | | | 0.1 | % |
Greece | | | 0.1 | % |
Hong Kong | | | 3.7 | % |
Hungary | | | 0.2 | % |
India | | | 9.2 | % |
Indonesia | | | 1.3 | % |
Kuwait | | | 0.4 | % |
Luxembourg | | | 0.1 | % |
Malaysia | | | 1.5 | % |
Mexico | | | 1.7 | % |
| | | | |
| Country | | Percentage | |
Pakistan | | | — | %† |
Peru | | | — | %† |
Philippines | | | 0.7 | % |
Poland | | | 0.7 | % |
Qatar | | | 0.7 | % |
Republic of Korea (South) | | | 13.4 | % |
Romania | | | — | %† |
Russian Federation | | | 2.9 | % |
Saudi Arabia | | | 2.4 | % |
Singapore | | | — | %† |
South Africa | | | 3.3 | % |
Switzerland | | | 0.1 | % |
Taiwan, Province Of China | | | 12.5 | % |
Thailand | | | 1.8 | % |
Turkey | | | 0.4 | % |
United Arab Emirates | | | 0.5 | % |
United States | | | 1.5 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
16
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
Mini MSCI Emerging Markets Index March Futures (U.S. Dollar) | | | 3/19/21 | | | | 31 | | | $ | 1,996,710 | | | $ | 60,924 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 60,924 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
17
AZL MSCI Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 180,707,671 | |
| | | | | |
Investment securities, at value(a) | | | $ | 279,584,040 | |
Deposit at broker for futures contracts collateral | | | | 150,000 | |
Interest and dividends receivable | | | | 450,415 | |
Foreign currency, at value (cost $641,626) | | | | 652,035 | |
Receivable for capital shares issued | | | | 22,030 | |
Receivable for investments sold | | | | 55,757 | |
Reclaims receivable | | | | 51,942 | |
Prepaid expenses | | | | 1,421 | |
| | | | | |
Total Assets | | | | 280,967,640 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 562,533 | |
Payable for collateral received on loaned securities | | | | 2,345,685 | |
Payable for variation margin on futures contracts | | | | 3,255 | |
Accrued foreign taxes | | | | 504,444 | |
Manager fees payable | | | | 103,045 | |
Administration fees payable | | | | 24,414 | |
Distribution fees payable | | | | 53,603 | |
Custodian fees payable | | | | 64,444 | |
Administrative and compliance services fees payable | | | | 874 | |
Transfer agent fees payable | | | | 2,191 | |
Trustee fees payable | | | | 3,166 | |
Other accrued liabilities | | | | 150,027 | |
| | | | | |
Total Liabilities | | | | 3,817,681 | |
| | | | | |
Net Assets | | | $ | 277,149,959 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 178,895,749 | |
Total distributable earnings | | | | 98,254,210 | |
| | | | | |
Net Assets | | | $ | 277,149,959 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 17,702,844 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 2,072,815 | |
Net Asset Value (offering and redemption price per share) | | | $ | 8.54 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 259,447,115 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 30,363,996 | |
Net Asset Value (offering and redemption price per share) | | | $ | 8.54 | |
| | | | | |
| (a) | Includes securities on loan of $2,205,751. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 6,189,515 | |
Income from securities lending | | | | 24,250 | |
Foreign withholding tax | | | | (761,129 | ) |
| | | | | |
Total Investment Income | | | | 5,452,636 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,231,494 | |
Administration fees | | | | 136,445 | |
Distribution fees — Class 2 | | | | 617,451 | |
Custodian fees | | | | 293,036 | |
Administrative and compliance services fees | | | | 5,650 | |
Transfer agent fees | | | | 14,187 | |
Trustee fees | | | | 19,334 | |
Professional fees | | | | 23,722 | |
Licensing fees | | | | 137,279 | |
Shareholder reports | | | | 24,002 | |
Other expenses | | | | 181,356 | |
| | | | | |
Total expenses before reductions | | | | 3,683,956 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (1,050,121 | ) |
| | | | | |
Net expenses | | | | 2,633,835 | |
| | | | | |
Net Investment Income/(Loss) | | | | 2,818,801 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 2,884,203 | |
Net realized gains/(losses) on futures contracts | | | | 751,420 | |
Net realized gains/(losses) on foreign taxes | | | | (5,675 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 24,190,451 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 46,346 | |
Change in net unrealized appreciation/depreciation on foreign taxes | | | | (110,503 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 27,756,242 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 30,575,043 | |
| | | | | |
See accompanying notes to the financial statements.
18
AZL MSCI Emerging Markets Equity Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 2,818,801 | | | | $ | 4,942,565 | |
Net realized gains/(losses) on investments | | | | 3,629,948 | | | | | 8,439,023 | |
Change in unrealized appreciation/depreciation on investments | | | | 24,126,294 | | | | | 39,066,661 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 30,575,043 | | | | | 52,448,249 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (1,141,511 | ) | | | | (737,246 | ) |
Class 2 | | | | (16,322,201 | ) | | | | (10,511,678 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (17,463,712 | ) | | | | (11,248,924 | ) |
| | | | | | | | | | |
| | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 40,336 | | | | | 152,178 | |
Proceeds from dividends reinvested | | | | 1,141,512 | | | | | 737,246 | |
Value of shares redeemed | | | | (2,695,404 | ) | | | | (2,052,200 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (1,513,556 | ) | | | | (1,162,776 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 15,754,027 | | | | | 41,510,756 | |
Proceeds from dividends reinvested | | | | 16,322,200 | | | | | 10,511,678 | |
Value of shares redeemed | | | | (92,767,343 | ) | | | | (80,726,885 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (60,691,116 | ) | | | | (28,704,451 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (62,204,672 | ) | | | | (29,867,227 | ) |
| | | | | | | | | | |
Change in net assets | | | | (49,093,341 | ) | | | | 11,332,098 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 326,243,300 | | | | | 314,911,202 | |
| | | | | | | | | | |
End of period | | | $ | 277,149,959 | | | | $ | 326,243,300 | |
| | | | | | | | | | |
| | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 5,758 | | | | | 21,160 | |
Dividends reinvested | | | | 154,258 | | | | | 104,872 | |
Shares redeemed | | | | (380,214 | ) | | | | (274,606 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (220,198 | ) | | | | (148,574 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 2,391,693 | | | | | 5,610,295 | |
Dividends reinvested | | | | 2,205,703 | | | | | 1,493,136 | |
Shares redeemed | | | | (13,505,171 | ) | | | | (10,446,070 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (8,907,775 | ) | | | | (3,342,639 | ) |
| | | | | | | | | | |
Change in shares | | | | (9,127,973 | ) | | | | (3,491,213 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
19
AZL MSCI Emerging Markets Equity Index Fund
Financial Highlights
((Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.78 | | | | $ | 6.60 | | | | $ | 6.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.10 | (a) | | | | 0.15 | (a) | | | | 0.16 | | | | | 0.12 | | | | | 0.06 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.17 | | | | | 1.04 | | | | | (1.50 | ) | | | | 2.30 | | | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.27 | | | | | 1.19 | | | | | (1.34 | ) | | | | 2.42 | | | | | 0.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.29 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | | | (0.04 | ) | | | | (0.06 | ) |
Net Realized Gains | | | | (0.29 | ) | | | | (0.18 | ) | | | | (0.29 | ) | | | | (0.20 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.58 | ) | | | | (0.33 | ) | | | | (0.45 | ) | | | | (0.24 | ) | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.54 | | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.78 | | | | $ | 6.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 17.26 | % | | | | 17.55 | % | | | | (15.31 | )% | | | | 36.97 | % | | | | 10.21 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 17,703 | | | | $ | 17,995 | | | | $ | 17,072 | | | | $ | 22,883 | | | | $ | 19,006 | |
Net Investment Income/(Loss) | | | | 1.32 | % | | | | 1.97 | % | | | | 1.89 | % | | | | 1.56 | % | | | | 1.05 | % |
Expenses Before Reductions(c) | | | | 1.17 | % | | | | 1.10 | % | | | | 1.03 | % | | | | 1.11 | % | | | | 1.41 | % |
Expenses Net of Reductions | | | | 0.77 | % | | | | 0.70 | % | | | | 0.63 | % | | | | 0.71 | % | | | | 1.14 | % |
Portfolio Turnover Rate(d) | | | | 12 | % | | | | 25 | % | | | | 20 | % | | | | 19 | % | | | | 115 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.77 | | | | $ | 6.60 | | | | $ | 6.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.08 | (a) | | | | 0.12 | (a) | | | | 0.14 | | | | | 0.10 | | | | | 0.04 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.16 | | | | | 1.05 | | | | | (1.49 | ) | | | | 2.30 | | | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.24 | | | | | 1.17 | | | | | (1.35 | ) | | | | 2.40 | | | | | 0.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.26 | ) | | | | (0.13 | ) | | | | (0.14 | ) | | | | (0.03 | ) | | | | (0.04 | ) |
Net Realized Gains | | | | (0.29 | ) | | | | (0.18 | ) | | | | (0.29 | ) | | | | (0.20 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.55 | ) | | | | (0.31 | ) | | | | (0.43 | ) | | | | (0.23 | ) | | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.54 | | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.77 | | | | $ | 6.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 16.92 | % | | | | 17.18 | % | | | | (15.46 | )% | | | | 36.63 | % | | | | 9.89 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 259,447 | | | | $ | 308,248 | | | | $ | 297,839 | | | | $ | 351,886 | | | | $ | 248,872 | |
Net Investment Income/(Loss) | | | | 1.06 | % | | | | 1.65 | % | | | | 1.61 | % | | | | 1.35 | % | | | | 0.80 | % |
Expenses Before Reductions(c) | | | | 1.42 | % | | | | 1.35 | % | | | | 1.28 | % | | | | 1.36 | % | | | | 1.64 | % |
Expenses Net of Reductions | | | | 1.02 | % | | | | 0.95 | % | | | | 0.88 | % | | | | 0.96 | % | | | | 1.36 | % |
Portfolio Turnover Rate(d) | | | | 12 | % | | | | 25 | % | | | | 20 | % | | | | 19 | % | | | | 115 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (d) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
20
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MSCI Emerging Markets Equity Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears
21
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2020
expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,234 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,345,685 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $2.6 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 60,924 | | | Payable for variation margin on futures contracts* | | $ | – | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
22
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2020
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
| | |
Equity Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 751,420 | | | $ | 46,346 | |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL MSCI Emerging Markets Equity Index Fund Class 1 | | | | 0.85 | % | | | | 0.85 | % |
AZL MSCI Emerging Markets Equity Index Fund Class 2 | | | | 0.85 | % | | | | 1.10 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.45% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $1,487 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain
23
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2020
expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 54,525,147 | | | | $ | 217,599,626 | | | | $ | — | | | | $ | 272,124,773 | |
Preferred Stocks+ | | | | 2,242,969 | | | | | 2,081,685 | | | | | — | | | | | 4,324,654 | |
Rights+ | | | | 4,373 | | | | | — | | | | | — | | | | | 4,373 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 2,345,685 | | | | | — | | | | | — | | | | | 2,345,685 | |
Unaffiliated Investment Companies | | | | 784,555 | | | | | — | | | | | — | | | | | 784,555 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 59,902,729 | | | | | 219,681,311 | | | | | — | | | | | 279,584,040 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 60,924 | | | | | — | | | | | — | | | | | 60,924 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 59,963,653 | | | | $ | 219,681,311 | | | | $ | — | | | | $ | 279,644,964 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL MSCI Emerging Markets Equity Index Fund | | | $ | 32,339,341 | | | | $ | 107,515,952 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities
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AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2020
and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $188,574,430. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 103,788,335 | |
Unrealized (depreciation) | | | (12,778,725 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 91,009,610 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MSCI Emerging Markets Equity Index Fund | | | $ | 8,339,630 | | | | $ | 9,124,082 | | | | $ | 17,463,712 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MSCI Emerging Markets Equity Index Fund | | | $ | 4,738,622 | | | | $ | 6,510,302 | | | | $ | 11,248,924 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
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AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2020
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/(Deficit) |
| | | | | |
AZL MSCI Emerging Markets Equity Index Fund | | | $ | 3,376,802 | | | | $ | 4,359,675 | | | | $ | — | | | | $ | 90,517,733 | | | | $ | 98,254,210 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, mark-to-market of futures contracts and other miscellaneous differences. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL MSCI Emerging Markets Equity Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL MSCI Emerging Markets Equity Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 0.20% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $9,124,082.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
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Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
30
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
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The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
32
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
33
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
34
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® MSCI Global Equity Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® MSCI Global Equity Index Fund Review (Unaudited)
| | |
Allianz Investment Management LLC serves as the Manager for the AZL® MSCI Global Equity Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund. | | |
| |
| _ | | |
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020 the AZL® MSCI Global Equity Index Fund (the “Fund”) returned 15.36%. That compared to a 16.50% for its benchmark, the MSCI World Index1.
The Fund seeks investment results, before fees, expenses and fair value adjustments to its portfolio at the close of the New York Stock Exchange, that correspond to the performance of the MSCI World Index (“Index”). The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Index. The Index is designed to provide a comprehensive measure of global equity markets.*
Global equities posted strong gains over the course of 2020 despite a challenging first quarter due to the emergence of coronavirus (COVID-19). In the first quarter, U.S. equities experienced unprecedented levels of financial market volatility, with the Chicago Board Options Exchange Market Volatility Index2 (VIX) surging to its highest level since the 2008 financial crisis. U.S. economic activity declined dramatically, and the unemployment rate spiked. In response, the Federal Reserve Board (the Fed) slashed interest rates and launched a bond-buying program while Congress passed several fiscal stimulus measures, including a $2 trillion relief bill.
Outside of the U.S., the COVID-19 outbreak in Italy intensified, which led to disruptions in economic activity within the eurozone. In the Asia-Pacific region, Japan struggled but relatively outperformed its peers even as COVID-19 fears led to record drawdowns in both Australia and Singapore.
Pandemic containment efforts in the second quarter brought global economic activity to a virtual standstill. Even so, U.S. equities managed to rebound strongly through the second quarter, managing to exit the brief but dramatic bear market. European markets received a boost from the European Central Bank’s new, more flexible quantitative easing, as well as from a €750 billion recovery plan for the region. Among eurozone members, France and Germany outperformed on stronger government support, while Italy and Spain lagged. The U.K. underperformed the region. Australia led the Asia-Pacific region with a strong rebound from its earlier drawdown, while Hong Kong and Singapore underperformed.
In the third quarter, most of the world’s stock markets built on rallies that began in the second quarter. Signs of economic recovery and hope for a COVID-19 vaccine helped investors regain their appetite for risk. The U.S. markets gained on supportive Fed policies and a decline in COVID-19
cases. However, concerns over the valuations of market-leading technology companies led to a sell-off later in the third quarter. In Europe, most countries posted positive performance, although a resurgence of COVID-19 cases and weaker economic signals dragged on performance late in the quarter. The U.K. posted negative returns as it dealt with the COVID-19 cases and uncertainty around Brexit negotiations. Among Asia-Pacific nations, Japan outperformed along with Australia and Hong Kong, while New Zealand lagged as it posted a negative return for the third quarter.
Developed markets around the world largely began the fourth quarter with negative performance in October, although equity markets recovered quickly in November and December. The U.S. election results along with positive news around COVID-19 vaccines helped global markets end the year with strong gains.
From a sector perspective, results for 2020 were mixed. Some sectors of the Index generated strong positive returns for the period, while others lagged significantly. The information technology, consumer discretionary, and communication sectors were the top performers for the period, while the energy sector lagged significantly. The real estate and financial sectors also posted negative results, although they were not as severe as the results for energy stocks.
The Fund underperformed its benchmark primarily due to the impacts of fair value pricing and expenses incurred by the Fund.*
The Fund held derivatives in the form of futures contracts, which it used to hedge its cash position. The futures had a minimal impact on relative results.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. Investors cannot invest directly in an index. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
| 2 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by the S&P 500 Index options. |
1
AZL® MSCI Global Equity Index Fund Review (Unaudited)
| | |
Fund Objective The Fund’s investment objective is to seek to match the performance of the MSCI World Index as closely as possible. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 90% of its assets, plus the amount of any borrowing for investment purposes, in securities of the MSCI World Index (the “Underlying Index”) and in depositary receipts representing securities of the Underlying Index. Investment Concerns Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility. The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines. Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. | | |
Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio. For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. | | |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® MSCI Global Equity Index Fund | | | 15.36 | % | | | 10.16 | % | | | 10.10 | % | | | 4.86 | % |
MSCI World Index (gross of withholding taxes) | | | 16.50 | % | | | 11.15 | % | | | 12.82 | % | | | 10.48 | % |
MSCI World Index (net of withholding taxes) | | | 15.90 | % | | | 10.54 | % | | | 12.19 | % | | | 9.87 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratio | | Gross | |
AZL® MSCI Global Equity Index Fund (Class 2 Shares) | | | 1.12 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.31% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.80% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Morgan Stanley Capital International World Index (“MSCI World Index”), an unmanaged broad equity benchmark that represents large- and mid-cap equity performance across 23 developed markets countries. The Index noted as “gross of withholding taxes” reflects the maximum possible reinvestment of dividends with no adjustment for withholding tax deductions or tax credits. The Index noted as “net of withholding taxes” reflects the reinvestment of dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL MSCI Global Equity Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL MSCI Global Equity Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense Ratio During Period 7/1/20 - 12/31/20 |
| | | | |
AZL MSCI Global Equity Index Fund | | | $ | 1,000.00 | | | | $ | 1,227.90 | | | | $ | 3.92 | | | | | 0.70 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized
Expense Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL MSCI Global Equity Index Fund | | | $ | 1,000.00 | | | | $ | 1,021.62 | | | | $ | 3.56 | | | | | 0.70 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Information Technology | | | | 21.9 | % |
| |
Health Care | | | | 12.9 | |
| |
Financials | | | | 12.7 | |
| |
Consumer Discretionary | | | | 12.1 | |
| |
Industrials | | | | 10.4 | |
| |
Communication Services | | | | 8.7 | |
| |
Consumer Staples | | | | 7.7 | |
| |
Materials | | | | 4.5 | |
| |
Utilities | | | | 3.2 | |
| |
Energy | | | | 2.7 | |
| |
Real Estate | | | | 2.6 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.4 | |
| |
Rights | | | | — | † |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.4 | |
| |
Unaffiliated Investment Companies | | | | 0.3 | |
| | | | | |
| |
Total Investment Securities | | | | 100.1 | |
| |
Net other assets (liabilities) | | | | (0.1 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.3%): | | | |
| Aerospace & Defense (1.4%): | | | |
| | 3,642 | | | Airbus SE* | | $ | 400,020 | |
| | 21,226 | | | BAE Systems plc | | | 141,944 | |
| | 3,375 | | | Boeing Co. (The) | | | 722,454 | |
| | 1,996 | | | CAE, Inc. | | | 55,315 | |
| | 22 | | | Dassault Aviation SA* | | | 24,131 | |
| | 203 | | | Elbit Systems, Ltd. | | | 26,769 | |
| | 1,527 | | | General Dynamics Corp. | | | 227,248 | |
| | 333 | | | HEICO Corp. | | | 44,089 | |
| | 384 | | | HEICO Corp., Class A | | | 44,951 | |
| | 2,112 | | | Howmet Aerospace, Inc.* | | | 60,276 | |
| | 206 | | | Huntington Ingalls Industries, Inc. | | | 35,119 | |
| | 1,311 | | | L3harris Technologies, Inc. | | | 247,805 | |
| | 1,553 | | | Lockheed Martin Corp. | | | 551,284 | |
| | 322 | | | MTU Aero Engines AG | | | 83,887 | |
| | 1,003 | | | Northrop Grumman Corp. | | | 305,634 | |
| | 9,560 | | | Raytheon Technologies Corp. | | | 683,636 | |
| | 55,436 | | | Rolls-Royce Holdings plc* | | | 84,388 | |
| | 2,032 | | | Safran SA* | | | 288,142 | |
| | 7,400 | | | Singapore Technologies Engineering, Ltd. | | | 21,370 | |
| | 244 | | | Teledyne Technologies, Inc.* | | | 95,643 | |
| | 1,337 | | | Textron, Inc. | | | 64,617 | |
| | 588 | | | Thales SA | | | 53,856 | |
| | 324 | | | TransDigm Group, Inc.* | �� | | 200,507 | |
| | | | | | | | |
| | | | | | | 4,463,085 | |
| | | | | | | | |
| Air Freight & Logistics (0.6%): | | | |
| | 6,608 | | | Bollore, Inc. | | | 27,322 | |
| | 848 | | | C.H. Robinson Worldwide, Inc. | | | 79,602 | |
| | 6,215 | | | Deutsche Post AG | | | 307,527 | |
| | 1,094 | | | Expeditors International of Washington, Inc. | | | 104,050 | |
| | 1,532 | | | FedEx Corp. | | | 397,738 | |
| | 2,200 | | | SG Holdings Co., Ltd. | | | 60,065 | |
| | 4,376 | | | United Parcel Service, Inc., Class B | | | 736,919 | |
| | 531 | | | XPO Logistics, Inc.* | | | 63,295 | |
| | 1,800 | | | Yamato Holdings Co., Ltd. | | | 45,985 | |
| | | | | | | | |
| | | | | | | 1,822,503 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 990 | | | Air Canada* | | | 17,712 | |
| | 1,000 | | | ANA Holdings, Inc. | | | 22,112 | |
| | 760 | | | Delta Air Lines, Inc. | | | 30,560 | |
| | 1,823 | | | Deutsche Lufthansa AG, Registered Shares*^ | | | 24,091 | |
| | 1,000 | | | Japan Airlines Co., Ltd.* | | | 19,377 | |
| | 5,225 | | | Qantas Airways, Ltd. | | | 19,559 | |
| | 7,150 | | | Singapore Airlines, Ltd.* | | | 23,116 | |
| | 1,013 | | | Southwest Airlines Co. | | | 47,216 | |
| | | | | | | | |
| | | | | | | 203,743 | |
| | | | | | | | |
| Auto Components (0.4%): | | | |
| | 1,200 | | | Aisin Sieki Co., Ltd. | | | 36,069 | |
| | 1,668 | | | Aptiv plc | | | 217,324 | |
| | 453 | | | Autoliv, Inc. | | | 41,721 | |
| | 1,542 | | | BorgWarner, Inc. | | | 59,583 | |
| | 3,300 | | | Bridgestone Corp. | | | 108,417 | |
| | 1,124 | | | Compagnie Generale des Establissements Michelin SCA, Class B | | | 144,235 | |
| | 691 | | | Continental AG | | | 102,379 | |
| | 2,800 | | | Denso Corp. | | | 166,733 | |
| | 608 | | | Faurecia SA* | | | 31,166 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Auto Components, continued | | | |
| | 800 | | | Koito Manufacturing Co., Ltd. | | $ | 54,419 | |
| | 329 | | | Lear Corp. | | | 52,321 | |
| | 1,919 | | | Magna Internationl, Inc. | | | 135,869 | |
| | 800 | | | NGK Spark Plug Co., Ltd. | | | 13,699 | |
| | 600 | | | Stanley Electric Co., Ltd. | | | 19,365 | |
| | 4,300 | | | Sumitomo Electric Industries, Ltd. | | | 57,051 | |
| | 300 | | | Toyoda Gosei Co., Ltd. | | | 8,722 | |
| | 800 | | | Toyota Industries Corp. | | | 63,597 | |
| | 1,269 | | | Valeo SA | | | 50,111 | |
| | 12,000 | | | Xinyi Glass Holdings, Ltd. | | | 33,583 | |
| | | | | | | | |
| | | | | | | 1,396,364 | |
| | | | | | | | |
| Automobiles (2.0%): | | | |
| | 2,038 | | | Bayerische Motoren Werke AG (BMW) | | | 179,863 | |
| | 5,359 | | | Daimler AG, Registered Shares | | | 378,361 | |
| | 833 | | | Ferrari NV | | | 192,600 | |
| | 6,550 | | | Fiat Chrysler Automobiles NV* | | | 117,112 | |
| | 24,323 | | | Ford Motor Co. | | | 213,799 | |
| | 8,240 | | | General Motors Co. | | | 343,114 | |
| | 10,300 | | | Honda Motor Co., Ltd. | | | 287,702 | |
| | 4,200 | | | Isuzu Motors, Ltd. | | | 39,992 | |
| | 4,500 | | | Mazda Motor Corp. | | | 30,274 | |
| | 14,100 | | | Nissan Motor Co., Ltd.* | | | 76,719 | |
| | 3,490 | | | PSA Peugeot Citroen SA* | | | 95,499 | |
| | 1,032 | | | Renault SA* | | | 45,151 | |
| | 3,800 | | | Subaru Corp. | | | 76,154 | |
| | 2,300 | | | Suzuki Motor Corp. | | | 106,797 | |
| | 4,641 | | | Tesla, Inc.* | | | 3,275,014 | |
| | 13,000 | | | Toyota Motor Corp. | | | 996,970 | |
| | 149 | | | Volkswagen AG | | | 30,967 | |
| | 2,100 | | | Yamaha Motor Co., Ltd. | | | 42,947 | |
| | | | | | | | |
| | | | | | | 6,529,035 | |
| | | | | | | | |
| Banks (5.4%): | | | |
| | 3,369 | | | ABN AMRO Group NV* | | | 33,044 | |
| | 17,721 | | | Australia & New Zealand Banking Group, Ltd. | | | 310,469 | |
| | 41,491 | | | Banco Bilbao Vizcaya Argentaria SA | | | 203,366 | |
| | 109,158 | | | Banco Santander SA | | | 338,879 | |
| | 8,039 | | | Bank Hapoalim BM | | | 55,219 | |
| | 7,964 | | | Bank Leumi Le-Israel Corp. | | | 47,050 | |
| | 48,521 | | | Bank of America Corp. | | | 1,470,671 | |
| | 11,200 | | | Bank of East Asia, Ltd. (The)^ | | | 24,007 | |
| | 200 | | | Bank of Kyoto, Ltd. (The) | | | 10,473 | |
| | 3,989 | | | Bank of Montreal | | | 303,336 | |
| | 7,635 | | | Bank of Nova Scotia^ | | | 412,735 | |
| | 221 | | | Banque Cantonale Vaudois, Registered Shares | | | 24,040 | |
| | 107,759 | | | Barclays plc | | | 216,241 | |
| | 6,944 | | | BNP Paribas SA* | | | 366,209 | |
| | 24,500 | | | BOC Hong Kong Holdings, Ltd. | | | 74,458 | |
| | 20,425 | | | CaixaBank SA | | | 52,481 | |
| | 2,557 | | | Canadian Imperial Bank of Commerce^ | | | 218,431 | |
| | 2,800 | | | Chiba Bank, Ltd. (The) | | | 15,444 | |
| | 13,025 | | | Citigroup, Inc. | | | 803,122 | |
| | 2,688 | | | Citizens Financial Group, Inc. | | | 96,123 | |
| | 4,941 | | | Commerzbank AG* | | | 31,791 | |
| | 11,143 | | | Commonwealth Bank of Australia | | | 705,987 | |
| | 8,400 | | | Concordia Financial Group, Ltd. | | | 29,799 | |
| | 6,960 | | | Credit Agricole SA | | | 87,875 | |
See accompanying notes to the financial statements.
4
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 3,893 | | | Danske Bank A/S | | $ | 64,570 | |
| | 11,900 | | | DBS Group Holdings, Ltd. | | | 225,138 | |
| | 6,348 | | | DNB ASA* | | | 125,179 | |
| | 1,649 | | | Erste Group Bank AG* | | | 49,778 | |
| | 4,520 | | | Fifth Third Bancorp | | | 124,616 | |
| | 3,510 | | | Finecobank Banca Fineco SpA* | | | 57,275 | |
| | 1,119 | | | First Republic Bank | | | 164,415 | |
| | 1,400 | | | Fukuoka Financial Group, Inc. | | | 25,097 | |
| | 4,900 | | | Hang Seng Bank, Ltd. | | | 84,671 | |
| | 127,581 | | | HSBC Holdings plc | | | 665,583 | |
| | 6,066 | | | Huntington Bancshares, Inc. | | | 76,614 | |
| | 24,884 | | | ING Groep NV* | | | 235,705 | |
| | 101,156 | | | Intesa Sanpaolo SpA* | | | 235,969 | |
| | 7,605 | | | Isreal Discount Bank | | | 29,367 | |
| | 1,400 | | | Japan Post Bank Co., Ltd. | | | 11,567 | |
| | 18,964 | | | JPMorgan Chase & Co. | | | 2,409,754 | |
| | 1,508 | | | KBC Group NV* | | | 105,678 | |
| | 6,122 | | | KeyCorp | | | 100,462 | |
| | 441,813 | | | Lloyds Banking Group plc* | | | 222,677 | |
| | 862 | | | M&T Bank Corp. | | | 109,733 | |
| | 4,869 | | | Mediobanca SpA* | | | 44,495 | |
| | 76,700 | | | Mitsubishi UFJ Financial Group, Inc. | | | 339,726 | |
| | 1,110 | | | Mizrahi Tefahot Bank, Ltd. | | | 25,751 | |
| | 15,650 | | | Mizuho Financial Group, Inc. | | | 199,521 | |
| | 20,258 | | | National Australia Bank, Ltd. | | | 353,359 | |
| | 1,989 | | | National Bank of Canada | | | 111,960 | |
| | 25,642 | | | Natwest Group plc | | | 59,295 | |
| | 19,896 | | | Nordea Bank AB* | | | 162,538 | |
| | 21,300 | | | Oversea-Chinese Banking Corp., Ltd. | | | 161,975 | |
| | 2,602 | | | PNC Financial Services Group, Inc. (The) | | | 387,698 | |
| | 295 | | | Raiffeisen International Bank-Holding AG* | | | 5,957 | |
| | 5,891 | | | Regions Financial Corp. | | | 94,963 | |
| | 11,700 | | | Resona Holdings, Inc. | | | 41,205 | |
| | 8,575 | | | Royal Bank of Canada | | | 704,691 | |
| | 300 | | | Shinsei Bank, Ltd. | | | 3,723 | |
| | 3,700 | | | Shizuoka Bank, Ltd. (The) | | | 27,259 | |
| | 10,530 | | | Skandinaviska Enskilda Banken AB, Class A* | | | 108,145 | |
| | 4,809 | | | Societe Generale | | | 100,169 | |
| | 16,290 | | | Standard Chartered plc | | | 104,441 | |
| | 7,400 | | | Sumitomo Mitsui Financial Group, Inc. | | | 229,012 | |
| | 1,900 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 58,923 | |
| | 325 | | | SVB Financial Group* | | | 126,045 | |
| | 9,846 | | | Svenska Handelsbanken AB, Class A* | | | 98,837 | |
| | 5,915 | | | Swedbank AB, Class A* | | | 104,046 | |
| | 11,301 | | | Toronto-Dominion Bank (The) | | | 638,617 | |
| | 8,452 | | | Truist Financial Corp. | | | 405,104 | |
| | 8,452 | | | U.S. Bancorp | | | 393,779 | |
| | 12,995 | | | Unicredit SpA | | | 120,238 | |
| | 8,204 | | | United Overseas Bank, Ltd. | | | 140,090 | |
| | 24,567 | | | Wells Fargo & Co. | | | 741,432 | |
| | 22,912 | | | Westpac Banking Corp. | | | 341,791 | |
| | | | | | | | |
| | | | | | | 17,489,883 | |
| | | | | | | | |
| Beverages (1.7%): | | | |
| | 4,796 | | | Anheuser-Busch InBev NV | | | 335,113 | |
| | 2,700 | | | Asahi Breweries, Ltd. | | | 111,306 | |
| | 1,853 | | | Brown-Forman Corp., Class B | | | 147,184 | |
| | 10,000 | | | Budweiser Brewing Co. APAC, Ltd. | | | 33,059 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages, continued | | | |
| | 694 | | | Carlsberg A/S, Class B | | $ | 111,279 | |
| | 3,938 | | | Coca-Cola Amatil, Ltd. | | | 39,266 | |
| | 600 | | | Coca-Cola Bottlers Japan Holdings, Inc. | | | 9,376 | |
| | 25,496 | | | Coca-Cola Co. (The) | | | 1,398,201 | |
| | 1,380 | | | Coca-Cola European Partners plc | | | 66,623 | |
| | 1,242 | | | Coca-Cola HBC AG | | | 40,389 | |
| | 1,069 | | | Constellation Brands, Inc., Class C | | | 234,164 | |
| | 4,404 | | | David Campari-Milano NV | | | 50,368 | |
| | 14,463 | | | Diageo plc | | | 571,509 | |
| | 732 | | | Heineken Holding NV | | | 68,942 | |
| | 1,596 | | | Heineken NV | | | 177,962 | |
| | 400 | | | ITO EN, Ltd. | | | 25,314 | |
| | 3,572 | | | Keurig Dr Pepper, Inc. | | | 114,304 | |
| | 5,200 | | | Kirin Holdings Co., Ltd. | | | 122,792 | |
| | 992 | | | Molson Coors Brewing Co., Class B | | | 44,828 | |
| | 2,391 | | | Monster Beverage Corp.* | | | 221,120 | |
| | 8,604 | | | PepsiCo, Inc. | | | 1,275,973 | |
| | 1,316 | | | Pernod Ricard SA | | | 252,230 | |
| | 103 | | | Remy Cointreau SA | | | 19,141 | |
| | 700 | | | Suntory Beverage & Food, Ltd. | | | 24,779 | |
| | 5,399 | | | Treasury Wine Estates, Ltd. | | | 39,157 | |
| | | | | | | | |
| | | | | | | 5,534,379 | |
| | | | | | | | |
| Biotechnology (1.7%): | | | |
| | 11,036 | | | AbbVie, Inc. | | | 1,182,507 | |
| | 1,352 | | | Alexion Pharmaceuticals, Inc.* | | | 211,236 | |
| | 705 | | | Alnylam Pharmaceuticals, Inc.* | | | 91,629 | |
| | 3,636 | | | Amgen, Inc. | | | 835,989 | |
| | 295 | | | Argenx SE* | | | 86,948 | |
| | 1,015 | | | Biogen, Inc.* | | | 248,533 | |
| | 1,071 | | | BioMarin Pharmaceutical, Inc.* | | | 93,916 | |
| | 2,860 | | | CSL, Ltd. | | | 624,812 | |
| | 889 | | | Exact Sciences Corp.* | | | 117,784 | |
| | 246 | | | Galapagos NV* | | | 24,203 | |
| | 397 | | | Genmab A/S* | | | 160,606 | |
| | 7,872 | | | Gilead Sciences, Inc. | | | 458,623 | |
| | 1,713 | | | Grifols SA^ | | | 50,002 | |
| | 1,213 | | | Incyte Corp.* | | | 105,507 | |
| | 665 | | | Ionis Pharmaceuticals, Inc.* | | | 37,599 | |
| | 1,711 | | | Moderna, Inc.* | | | 178,748 | |
| | 515 | | | Neurocrine Biosciences, Inc.* | | | 49,363 | |
| | 700 | | | Peptidream, Inc.* | | | 35,582 | |
| | 658 | | | Regeneron Pharmaceuticals, Inc.* | | | 317,886 | |
| | 458 | | | Sarepta Therapeutics, Inc.* | | | 78,084 | |
| | 807 | | | Seagen, Inc.* | | | 141,338 | |
| | 1,620 | | | Vertex Pharmaceuticals, Inc.* | | | 382,871 | |
| | | | | | | | |
| | | | | | | 5,513,766 | |
| | | | | | | | |
| Building Products (0.6%): | | | |
| | 764 | | | A.O. Smith Corp. | | | 41,882 | |
| | 1,400 | | | AGC, Inc. | | | 48,900 | |
| | 548 | | | Allegion plc | | | 63,776 | |
| | 5,840 | | | ASSA Abloy AB, Class B | | | 143,710 | |
| | 5,080 | | | Carrier Global Corp. | | | 191,618 | |
| | 3,206 | | | Compagnie de Saint-Gobain SA* | | | 146,986 | |
| | 1,500 | | | Daikin Industries, Ltd. | | | 334,124 | |
| | 861 | | | Fortune Brands Home & Security, Inc. | | | 73,805 | |
| | 221 | | | Geberit AG, Registered Shares | | | 138,321 | |
| | 4,805 | | | Johnson Controls International plc | | | 223,865 | |
See accompanying notes to the financial statements.
5
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Building Products, continued | | | |
| | 964 | | | Kingspan Group plc* | | $ | 67,665 | |
| | 205 | | | Lennox International, Inc. | | | 56,164 | |
| | 2,000 | | | Lixil Corp. | | | 43,445 | |
| | 1,588 | | | Masco Corp. | | | 87,229 | |
| | 1,748 | | | Nibe Industrier AB, Class B | | | 57,426 | |
| | 588 | | | Owens Corning | | | 44,547 | |
| | 51 | | | ROCKWOOL International A/S, Class B | | | 19,100 | |
| | 700 | | | TOTO, Ltd. | | | 42,131 | |
| | 1,747 | | | Trane Technologies plc | | | 253,594 | |
| | | | | | | | |
| | | | | | | 2,078,288 | |
| | | | | | | | |
| Capital Markets (2.8%): | | | |
| | 5,939 | | | 3i Group plc | | | 94,870 | |
| | 763 | | | Ameriprise Financial, Inc. | | | 148,274 | |
| | 372 | | | Amundi SA | | | 30,371 | |
| | 940 | | | Apollo Global Management, Inc. | | | 46,041 | |
| | 1,244 | | | ASX, Ltd. | | | 69,089 | |
| | 4,927 | | | Bank of New York Mellon Corp. (The) | | | 209,102 | |
| | 962 | | | BlackRock, Inc., Class A+ | | | 694,122 | |
| | 4,098 | | | Blackstone Group, Inc. (The), Class A | | | 265,591 | |
| | 8,010 | | | Brookfield Asset Management, Inc., Class A | | | 331,175 | |
| | 885 | | | Carlyle Group, Inc. (The) | | | 27,824 | |
| | 655 | | | Cboe Global Markets, Inc. | | | 60,994 | |
| | 9,514 | | | Charles Schwab Corp. (The) | | | 504,623 | |
| | 753 | | | CI Financial Corp. | | | 9,336 | |
| | 2,277 | | | CME Group, Inc. | | | 414,528 | |
| | 15,130 | | | Credit Suisse Group AG | | | 194,708 | |
| | 8,500 | | | Daiwa Securities Group, Inc. | | | 38,773 | |
| | 11,921 | | | Deutsche Bank AG, Registered Shares* | | | 129,767 | |
| | 1,143 | | | Deutsche Boerse AG | | | 194,023 | |
| | 1,745 | | | EQT AB | | | 44,617 | |
| | 244 | | | FactSet Research Systems, Inc. | | | 81,130 | |
| | 1,602 | | | Franklin Resources, Inc. | | | 40,034 | |
| | 2,012 | | | Goldman Sachs Group, Inc. | | | 530,585 | |
| | 2,274 | | | Hargreaves Lansdown plc | | | 47,466 | |
| | 7,600 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 418,016 | |
| | 246 | | | IGM Financial, Inc. | | | 6,670 | |
| | 3,368 | | | Intercontinental Exchange, Inc. | | | 388,297 | |
| | 2,923 | | | Invesco, Ltd. | | | 50,948 | |
| | 3,100 | | | Japan Exchange Group, Inc. | | | 79,276 | |
| | 1,376 | | | Julius Baer Group, Ltd. | | | 79,731 | |
| | 3,196 | | | KKR & Co., Inc., Class A | | | 129,406 | |
| | 1,917 | | | London Stock Exchange Group plc | | | 236,265 | |
| | 2,087 | | | Macquarie Group, Ltd. | | | 222,959 | |
| | 973 | | | Magellan Financial Group, Ltd. | | | 40,499 | |
| | 224 | | | MarketAxess Holdings, Inc. | | | 127,805 | |
| | 1,046 | | | Moody’s Corp. | | | 303,591 | |
| | 8,347 | | | Morgan Stanley | | | 572,020 | |
| | 538 | | | MSCI, Inc., Class A | | | 240,233 | |
| | 733 | | | Nasdaq, Inc. | | | 97,298 | |
| | 7,385 | | | Natixis* | | | 25,416 | |
| | 21,300 | | | Nomura Holdings, Inc. | | | 112,773 | |
| | 1,323 | | | Northern Trust Corp. | | | 123,224 | |
| | 123 | | | Partners Group Holding AG | | | 143,724 | |
| | 787 | | | Raymond James Financial, Inc. | | | 75,292 | |
| | 1,527 | | | S&P Global, Inc. | | | 501,971 | |
| | 1,200 | | | SBI Holdings, Inc. | | | 28,512 | |
| | 935 | | | Schroders plc | | | 42,700 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 690 | | | SEI Investments Co. | | $ | 39,654 | |
| | 3,200 | | | Singapore Exchange, Ltd. | | | 22,527 | |
| | 2,950 | | | St. James Place plc | | | 45,761 | |
| | 2,157 | | | State Street Corp. | | | 156,986 | |
| | 1,384 | | | T. Rowe Price Group, Inc. | | | 209,524 | |
| | 413 | | | TMX Group, Ltd. | | | 41,258 | |
| | 599 | | | Tradeweb Markets, Inc., Class A | | | 37,408 | |
| | 23,139 | | | UBS Group AG | | | 323,741 | |
| | | | | | | | |
| | | | | | | 9,130,528 | |
| | | | | | | | |
| Chemicals (2.4%): | | | |
| | 2,931 | | | Air Liquide SA | | | 480,999 | |
| | 1,410 | | | Air Products & Chemicals, Inc. | | | 385,240 | |
| | 800 | | | Air Water, Inc. | | | 14,276 | |
| | 1,180 | | | Akzo Nobel NV | | | 126,739 | |
| | 637 | | | Albemarle Corp. | | | 93,970 | |
| | 367 | | | Arkema SA | | | 41,944 | |
| | 7,500 | | | Asahi Kasei Corp. | | | 77,153 | |
| | 1,522 | | | Axalta Coating Systems, Ltd.* | | | 43,453 | |
| | 5,809 | | | BASF SE | | | 458,647 | |
| | 740 | | | Celanese Corp. | | | 96,156 | |
| | 1,194 | | | CF Industries Holdings, Inc. | | | 46,220 | |
| | 657 | | | Christian Hansen Holding A/S* | | | 67,609 | |
| | 1,528 | | | Clariant AG | | | 32,476 | |
| | 4,853 | | | Corteva, Inc. | | | 187,908 | |
| | 1,000 | | | Covestro AG | | | 61,675 | |
| | 936 | | | Croda International plc | | | 84,551 | |
| | 4,723 | | | Dow, Inc. | | | 262,127 | |
| | 4,544 | | | DuPont de Nemours, Inc. | | | 323,124 | |
| | 814 | | | Eastman Chemical Co. | | | 81,628 | |
| | 1,612 | | | Ecolab, Inc. | | | 348,772 | |
| | 48 | | | EMS-Chemie Holding AG | | | 46,320 | |
| | 1,423 | | | Evonik Industries AG | | | 46,355 | |
| | 831 | | | FMC Corp. | | | 95,507 | |
| | 336 | | | Fuchs Petrolub AG | | | 19,071 | |
| | 59 | | | Givaudan SA, Registered Shares | | | 248,608 | |
| | 5,617 | | | ICL Group, Ltd. | | | 28,695 | |
| | 504 | | | International Flavors & Fragrances, Inc. | | | 54,855 | |
| | 1,443 | | | Johnson Matthey plc | | | 47,899 | |
| | 900 | | | JSR Corp. | | | 25,142 | |
| | 1,300 | | | Kansai Paint Co., Ltd. | | | 40,062 | |
| | 1,043 | | | Koninklijke DSM NV | | | 179,650 | |
| | 2,600 | | | Kuraray Co., Ltd. | | | 27,773 | |
| | 629 | | | Lanxess AG | | | 48,228 | |
| | 3,283 | | | Linde plc | | | 865,103 | |
| | 1,577 | | | LyondellBasell Industries NV, Class A | | | 144,548 | |
| | 7,100 | | | Mitsubishi Chemical Holdings Corp. | | | 43,197 | |
| | 1,400 | | | Mitsubishi Gas Chemical Co., Inc. | | | 32,239 | |
| | 1,400 | | | Mitsui Chemicals, Inc. | | | 41,135 | |
| | 1,983 | | | Mosaic Co. (The) | | | 45,629 | |
| | 900 | | | Nippon Paint Holdings Co., Ltd. | | | 98,951 | |
| | 1,100 | | | Nippon Sanso Holdings Corp. | | | 20,468 | |
| | 700 | | | Nissan Chemical Corp. | | | 43,879 | |
| | 900 | | | Nitto Denko Corp. | | | 80,826 | |
| | 1,417 | | | Novozymes A/S, Class B | | | 81,336 | |
| | 3,439 | | | Nutrien, Ltd. | | | 165,478 | |
| | 2,876 | | | Orica, Ltd. | | | 33,628 | |
| | 1,480 | | | PPG Industries, Inc. | | | 213,446 | |
See accompanying notes to the financial statements.
6
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 780 | | | RPM International, Inc. | | $ | 70,808 | |
| | 500 | | | Sherwin Williams Co. | | | 367,455 | |
| | 2,200 | | | Shin-Etsu Chemical Co., Ltd. | | | 385,197 | |
| | 890 | | | Sika AG | | | 243,054 | |
| | 411 | | | Solvay SA | | | 48,701 | |
| | 11,600 | | | Sumitomo Chemical Co., Ltd. | | | 46,740 | |
| | 841 | | | Symrise AG | | | 111,219 | |
| | 1,500 | | | Teijin, Ltd. | | | 28,288 | |
| | 7,300 | | | Toray Industries, Inc. | | | 43,323 | |
| | 2,000 | | | Tosoh Corp. | | | 31,342 | |
| | 1,138 | | | Umicore SA | | | 54,662 | |
| | 985 | | | Yara International ASA | | | 40,956 | |
| | | | | | | | |
| | | | | | | 7,604,440 | |
| | | | | | | | |
| Commercial Services & Supplies (0.5%): | | | |
| | 9,779 | | | Brambles, Ltd. | | | 80,102 | |
| | 536 | | | Cintas Corp. | | | 189,455 | |
| | 1,381 | | | Copart, Inc.* | | | 175,732 | |
| | 1,800 | | | Dai Nippon Printing Co., Ltd. | | | 32,473 | |
| | 1,448 | | | Edenred | | | 82,148 | |
| | 1,197 | | | GFL Environmental, Inc. | | | 34,903 | |
| | 11,407 | | | Rentokil Initial plc* | | | 79,537 | |
| | 1,442 | | | Republic Services, Inc., Class A | | | 138,865 | |
| | 568 | | | Ritchie Bros Auctioneers, Inc. | | | 39,488 | |
| | 1,291 | | | Rollins, Inc. | | | 50,439 | |
| | 1,300 | | | SECOM Co., Ltd. | | | 120,044 | |
| | 2,224 | | | Securitas AB, Class B | | | 35,879 | |
| | 600 | | | Sohgo Security Services Co., Ltd. | | | 31,145 | |
| | 2,100 | | | Toppan Printing Co., Ltd. | | | 29,656 | |
| | 1,620 | | | Waste Connections, Inc. | | | 166,163 | |
| | 2,610 | | | Waste Management, Inc. | | | 307,797 | |
| | | | | | | | |
| | | | | | | 1,593,826 | |
| | | | | | | | |
| Communications Equipment (0.7%): | | | |
| | 345 | | | Arista Networks, Inc.* | | | 100,247 | |
| | 26,212 | | | Cisco Systems, Inc. | | | 1,172,987 | |
| | 352 | | | F5 Networks, Inc.* | | | 61,931 | |
| | 1,971 | | | Juniper Networks, Inc. | | | 44,367 | |
| | 1,069 | | | Motorola Solutions, Inc. | | | 181,794 | |
| | 34,778 | | | Nokia OYJ* | | | 132,619 | |
| | 584 | | | Palo Alto Networks, Inc.* | | | 207,548 | |
| | 18,311 | | | Telefonaktiebolaget LM Ericsson, Class B | | | 217,253 | |
| | | | | | | | |
| | | | | | | 2,118,746 | |
| | | | | | | | |
| Construction & Engineering (0.3%): | | | |
| | 1,665 | | | ACS Actividades de Construccion y Servicios SA | | | 55,272 | |
| | 1,273 | | | Bouygues SA | | | 52,367 | |
| | 572 | | | Cimic Group, Ltd.* | | | 10,757 | |
| | 582 | | | Eiffage SA | | | 56,251 | |
| | 2,849 | | | Ferrovial SA | | | 78,715 | |
| | 206 | | | Hochtief AG | | | 20,023 | |
| | 874 | | | Jacobs Engineering Group, Inc. | | | 95,231 | |
| | 3,500 | | | Kajima Corp. | | | 46,975 | |
| | 4,900 | | | Obayashi Corp. | | | 42,454 | |
| | 4,500 | | | Shimizu Corp. | | | 32,871 | |
| | 1,796 | | | Skanska AB, Class B | | | 45,758 | |
| | 1,000 | | | Taisei Corp. | | | 34,611 | |
| | 3,206 | | | Vinci SA | | | 318,960 | |
| | 598 | | | WSP Global, Inc. | | | 56,661 | |
| | | | | | | | |
| | | | | | | 946,906 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction Materials (0.3%): | | | |
| | 4,963 | | | CRH plc | | $ | 209,771 | |
| | 889 | | | HeidelbergCement AG | | | 66,491 | |
| | 2,604 | | | James Hardie Industries SE* | | | 77,014 | |
| | 3,352 | | | LafargeHolcim, Ltd., Registered Shares | | | 184,011 | |
| | 394 | | | Martin Marietta Materials, Inc. | | | 111,884 | |
| | 1,000 | | | Taiheiyo Cement Corp. | | | 25,162 | |
| | 856 | | | Vulcan Materials Co. | | | 126,954 | |
| | | | | | | | |
| | | | | | | 801,287 | |
| | | | | | | | |
| Consumer Finance (0.4%): | | | |
| | 1,300 | | | ACOM Co., Ltd. | | | 5,564 | |
| | 2,209 | | | Ally Financial, Inc. | | | 78,773 | |
| | 4,272 | | | American Express Co. | | | 516,527 | |
| | 2,833 | | | Capital One Financial Corp. | | | 280,042 | |
| | 1,907 | | | Discover Financial Services | | | 172,641 | |
| | 1 | | | Isracard, Ltd. | | | 2 | |
| | 3,184 | | | Synchrony Financial | | | 110,517 | |
| | | | | | | | |
| | | | | | | 1,164,066 | |
| | | | | | | | |
| Containers & Packaging (0.3%): | | | |
| | 10,414 | | | Amcor plc | | | 122,573 | |
| | 502 | | | Avery Dennison Corp. | | | 77,865 | |
| | 2,067 | | | Ball Corp. | | | 192,604 | |
| | 807 | | | CCL Industries, Inc. | | | 36,644 | |
| | 814 | | | Crown Holdings, Inc.* | | | 81,563 | |
| | 2,375 | | | International Paper Co. | | | 118,085 | |
| | 612 | | | Packaging Corp. of America | | | 84,401 | |
| | 831 | | | Sealed Air Corp. | | | 38,051 | |
| | 1,544 | | | Smurfit Kappa Group plc | | | 71,802 | |
| | 1,534 | | | WestRock Co. | | | 66,775 | |
| | | | | | | | |
| | | | | | | 890,363 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 927 | | | Genuine Parts Co. | | | 93,099 | |
| | 1,781 | | | LKQ Corp.* | | | 62,762 | |
| | 254 | | | Pool Corp. | | | 94,615 | |
| | | | | | | | |
| | | | | | | 250,476 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | | | |
| | 25,594 | | | AMP, Ltd. | | | 30,798 | |
| | 8,691 | | | Berkshire Hathaway, Inc., Class B* | | | 2,015,183 | |
| | 2,365 | | | Equitable Holdings, Inc. | | | 60,520 | |
| | 114 | | | Eurazeo Se* | | | 7,734 | |
| | 818 | | | EXOR NV | | | 65,650 | |
| | 702 | | | Groupe Bruxelles Lambert SA | | | 70,828 | |
| | 678 | | | Industrivarden AB, Class A* | | | 22,682 | |
| | 753 | | | Industrivarden AB, Class C | | | 24,399 | |
| | 2,840 | | | Investor AB, Class B | | | 207,664 | |
| | 1,423 | | | Kinnevik AB, Class B | | | 71,861 | |
| | 387 | | | L E Lundbergforetagen AB* | | | 20,728 | |
| | 19,143 | | | M&G plc | | | 51,847 | |
| | 4,100 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 19,788 | |
| | 662 | | | Onex Corp. | | | 38,002 | |
| | 8,500 | | | ORIX Corp. | | | 131,932 | |
| | 113 | | | Sofina SA | | | 38,258 | |
| | 13,340 | | | Standard Life Aberdeen plc | | | 51,703 | |
| | 200 | | | Tokyo Century Corp. | | | 15,889 | |
| | 745 | | | Voya Financial, Inc. | | | 43,813 | |
| | 243 | | | Wendel | | | 29,095 | |
| | | | | | | | |
| | | | | | | 3,018,374 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Telecommunication Services (1.5%): | | | |
| | 44,285 | | | AT&T, Inc. | | $ | 1,273,637 | |
| | 845 | | | BCE, Inc. | | | 36,138 | |
| | 52,585 | | | BT Group plc* | | | 95,168 | |
| | 2,141 | | | Cellnex Telecom SAU | | | 128,517 | |
| | 5,765 | | | CenturyLink, Inc. | | | 56,209 | |
| | 21,201 | | | Deutsche Telekom AG, Registered Shares | | | 387,390 | |
| | 1,031 | | | Elisa OYJ | | | 56,274 | |
| | 16,000 | | | HKT Trust & HKT, Ltd. | | | 20,771 | |
| | 104 | | | Iliad SA | | | 21,362 | |
| | 2,133 | | | Infrastrutture Wireless Italiane SpA | | | 25,853 | |
| | 20,615 | | | Koninklijke KPN NV | | | 62,492 | |
| | 8,200 | | | Nippon Telegraph & Telephone Corp. | | | 210,289 | |
| | 12,240 | | | Orange SA | | | 145,657 | |
| | 32,000 | | | PCCW, Ltd. | | | 19,272 | |
| | 1,146 | | | Proximus SADP | | | 22,727 | |
| | 53,600 | | | Singapore Telecommunications, Ltd. | | | 93,600 | |
| | 9,013 | | | Spark New Zealand, Ltd. | | | 30,465 | |
| | 165 | | | Swisscom AG, Registered Shares | | | 88,914 | |
| | 28,896 | | | Telecom Italia SpA | | | 13,306 | |
| | 48,285 | | | Telecom Italia SpA | | | 24,982 | |
| | 3,616 | | | Telefonica Deutschland Holding AG | | | 9,967 | |
| | 33,675 | | | Telefonica SA | | | 134,620 | |
| | 4,437 | | | Telenor ASA | | | 75,261 | |
| | 16,020 | | | Telia Co AB | | | 66,323 | |
| | 23,866 | | | Telstra Corp., Ltd. | | | 54,865 | |
| | 3,020 | | | TELUS Corp. | | | 59,821 | |
| | 3,645 | | | TPG Telecom, Ltd.* | | | 20,304 | |
| | 500 | | | United Internet AG, Registered Shares | | | 21,067 | |
| | 25,563 | | | Verizon Communications, Inc. | | | 1,501,826 | |
| | | | | | | | |
| | | | | | | 4,757,077 | |
| | | | | | | | |
| Electric Utilities (1.9%): | | | |
| | 1,505 | | | Alliant Energy Corp. | | | 77,553 | |
| | 3,154 | | | American Electric Power Co., Inc. | | | 262,634 | |
| | 7,008 | | | AusNet Services | | | 9,525 | |
| | 3,700 | | | Chubu Electric Power Co., Inc. | | | 44,557 | |
| | 2,400 | | | Chugoku Electric Power Co., Inc. (The) | | | 28,279 | |
| | 5,500 | | | CK Infrastructure Holdings, Ltd. | | | 29,561 | |
| | 10,500 | | | CLP Holdings, Ltd. | | | 97,204 | |
| | 4,457 | | | Duke Energy Corp. | | | 408,083 | |
| | 2,311 | | | Edison International | | | 145,177 | |
| | 18,415 | | | EDP-Energias de Portugal SA | | | 116,027 | |
| | 3,315 | | | Electricite de France* | | | 52,499 | |
| | 226 | | | Elia Group SA/NV | | | 26,928 | |
| | 1,481 | | | Emera, Inc. | | | 62,954 | |
| | 2,089 | | | Endesa SA^ | | | 57,271 | |
| | 50,014 | | | Enel SpA | | | 504,994 | |
| | 1,282 | | | Entergy Corp. | | | 127,995 | |
| | 1,499 | | | Evergy, Inc. | | | 83,209 | |
| | 2,220 | | | Eversource Energy | | | 192,052 | |
| | 6,077 | | | Exelon Corp. | | | 256,571 | |
| | 3,449 | | | FirstEnergy Corp. | | | 105,574 | |
| | 2,731 | | | Fortis, Inc. | | | 111,584 | |
| | 2,566 | | | Fortum OYJ | | | 61,720 | |
| | 22,500 | | | HK Electric Investments, Ltd. | | | 22,146 | |
| | 2,263 | | | Hydro One, Ltd. | | | 50,943 | |
| | 38,178 | | | Iberdrola SA | | | 545,934 | |
| | 3,700 | | | Kansai Electric Power Co., Inc. (The) | | | 35,188 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities, continued | | | |
| | 3,000 | | | Kyushu Electric Power Co., Inc. | | $ | 25,980 | |
| | 4,873 | | | Mercury NZ, Ltd. | | | 22,885 | |
| | 12,118 | | | NextEra Energy, Inc. | | | 934,905 | |
| | 1,470 | | | OGE Energy Corp. | | | 46,834 | |
| | 1,185 | | | Orsted A/S | | | 242,402 | |
| | 9,240 | | | PG&E Corp.* | | | 115,130 | |
| | 634 | | | Pinnacle West Capital Corp. | | | 50,688 | |
| | 7,500 | | | Power Assets Holdings, Ltd. | | | 40,684 | |
| | 4,761 | | | PPL Corp. | | | 134,260 | |
| | 1,850 | | | Red Electrica Corp SA | | | 38,033 | |
| | 6,397 | | | Scottish & Southern Energy plc | | | 131,830 | |
| | 2,532 | | | Siemens Energy AG* | | | 92,915 | |
| | 6,259 | | | Southern Co. (The) | | | 384,490 | |
| | 8,907 | | | Terna SpA | | | 67,949 | |
| | 3,500 | | | Tohoku Electric Power Co., Inc. | | | 29,011 | |
| | 11,600 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 30,619 | |
| | 561 | | | Verbund AG, Class A | | | 47,993 | |
| | 3,217 | | | Xcel Energy, Inc. | | | 214,477 | |
| | | | | | | | |
| | | | | | | 6,167,247 | |
| | | | | | | | |
| Electrical Equipment (1.0%): | | | |
| | 11,919 | | | ABB, Ltd. | | | 333,503 | |
| | 1,390 | | | AMETEK, Inc. | | | 168,107 | |
| | 2,477 | | | Eaton Corp. plc | | | 297,586 | |
| | 3,631 | | | Emerson Electric Co. | | | 291,823 | |
| | 760 | | | Enphase Energy, Inc.* | | | 133,357 | |
| | 1,000 | | | Fuji Electric Co., Ltd. | | | 36,092 | |
| | 398 | | | Generac Holdings, Inc.* | | | 90,509 | |
| | 1,737 | | | Legrand SA | | | 155,013 | |
| | 27,548 | | | Melrose Industries plc | | | 67,175 | |
| | 12,200 | | | Mitsubishi Electric Corp. | | | 184,714 | |
| | 2,700 | | | Nidec Corp. | | | 340,236 | |
| | 1,299 | | | Prysmian SpA | | | 46,303 | |
| | 733 | | | Rockwell Automation, Inc. | | | 183,844 | |
| | 3,418 | | | Schneider Electric SA | | | 494,335 | |
| | 851 | | | Sensata Technologies Holding plc* | | | 44,882 | |
| | 1,384 | | | Siemens Gamesa Renewable Energy | | | 56,178 | |
| | 773 | | | Sunrun, Inc.* | | | 53,631 | |
| | 1,213 | | | Vestas Wind Systems A/S | | | 287,132 | |
| | | | | | | | |
| | | | | | | 3,264,420 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.1%): | | | |
| | 1,884 | | | Amphenol Corp., Class A | | | 246,371 | |
| | 423 | | | Arrow Electronics, Inc.* | | | 41,158 | |
| | 800 | | | Azbil Corp. | | | 43,765 | |
| | 951 | | | CDW Corp. | | | 125,332 | |
| | 1,046 | | | Cognex Corp. | | | 83,978 | |
| | 4,780 | | | Corning, Inc. | | | 172,080 | |
| | 2,299 | | | Halma plc | | | 77,020 | |
| | 1,000 | | | Hamamatsu Photonics KK | | | 57,262 | |
| | 1,832 | | | Hexagon AB, Class B | | | 166,905 | |
| | 205 | | | Hirose Electric Co., Ltd. | | | 31,084 | |
| | 6,200 | | | Hitachi, Ltd. | | | 244,684 | |
| | 700 | | | Ibiden Co., Ltd. | | | 32,540 | |
| | 210 | | �� | IPG Photonics Corp.* | | | 46,996 | |
| | 1,100 | | | Keyence Corp. | | | 619,149 | |
| | 1,126 | | | Keysight Technologies, Inc.* | | | 148,733 | |
| | 2,100 | | | Kyocera Corp. | | | 128,910 | |
| | 3,500 | | | Murata Manufacturing Co., Ltd. | | | 315,259 | |
See accompanying notes to the financial statements.
8
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | |
| | 1,200 | | | Omron Corp. | | $ | 107,112 | |
| | 1,100 | | | Shimadzu Corp. | | | 42,851 | |
| | 800 | | | TDK Corp. | | | 120,681 | |
| | 2,114 | | | TE Connectivity, Ltd. | | | 255,942 | |
| | 1,563 | | | Trimble, Inc.* | | | 104,362 | |
| | 1,300 | | | Venture Corp., Ltd. | | | 19,184 | |
| | 1,300 | | | Yaskawa Electric Corp. | | | 64,775 | |
| | 1,800 | | | Yokogawa Electric Corp. | | | 35,930 | |
| | 348 | | | Zebra Technologies Corp., Class A* | | | 133,747 | |
| | | | | | | | |
| | | | | | | 3,465,810 | |
| | | | | | | | |
| Energy Equipment & Services (0.1%): | | | |
| | 3,840 | | | Baker Hughes Co. | | | 80,064 | |
| | 5,524 | | | Halliburton Co. | | | 104,404 | |
| | 8,615 | | | Schlumberger, Ltd. | | | 188,065 | |
| | 3,492 | | | Tenaris SA | | | 28,207 | |
| | | | | | | | |
| | | | | | | 400,740 | |
| | | | | | | | |
| Entertainment (1.7%): | | | |
| | 4,906 | | | Activision Blizzard, Inc. | | | 455,522 | |
| | 600 | | | Capcom Co., Ltd. | | | 39,015 | |
| | 1,817 | | | Electronic Arts, Inc. | | | 260,921 | |
| | 700 | | | Konami Holdings Corp. | | | 39,406 | |
| | 1,134 | | | Liberty Media Corp-Liberty Formula One, Class C* | | | 48,308 | |
| | 1,117 | | | Live Nation Entertainment, Inc.* | | | 82,077 | |
| | 2,753 | | | Netflix, Inc.* | | | 1,488,630 | |
| | 3,000 | | | Nexon Co., Ltd. | | | 92,407 | |
| | 600 | | | Nintendo Co., Ltd. | | | 382,970 | |
| | 700 | | | Square Enix Holdings Co., Ltd. | | | 42,484 | |
| | 747 | | | Take-Two Interactive Software, Inc.* | | | 155,219 | |
| | 500 | | | Toho Co., Ltd. | | | 21,092 | |
| | 632 | | | UbiSoft Entertainment SA* | | | 60,890 | |
| | 5,176 | | | Vivendi Universal SA | | | 166,897 | |
| | 11,290 | | | Walt Disney Co. (The)* | | | 2,045,523 | |
| | | | | | | | |
| | | | | | | 5,381,361 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (2.0%): | | | |
| | 828 | | | Alexandria Real Estate Equities, Inc. | | | 147,566 | |
| | 2,802 | | | American Tower Corp. | | | 628,938 | |
| | 20,744 | | | Ascendas Real Estate Investment Trust | | | 46,721 | |
| | 757 | | | AvalonBay Communities, Inc. | | | 121,446 | |
| | 895 | | | Boston Properties, Inc. | | | 84,604 | |
| | 6,602 | | | British Land Co. plc | | | 44,175 | |
| | 559 | | | Camden Property Trust | | | 55,855 | |
| | 594 | | | Canadian Apartment Properties REIT | | | 23,332 | |
| | 28,132 | | | CapitaLand Mall Trust | | | 45,922 | |
| | 316 | | | Covivio | | | 29,108 | |
| | 2,737 | | | Crown Castle International Corp. | | | 435,703 | |
| | 15 | | | Daiwahouse Residential Investment Corp. | | | 37,108 | |
| | 5,182 | | | Dexus | | | 37,747 | |
| | 1,632 | | | Digital Realty Trust, Inc. | | | 227,680 | |
| | 2,319 | | | Duke Realty Corp. | | | 92,690 | |
| | 543 | | | Equinix, Inc. | | | 387,800 | |
| | 1,060 | | | Equity Lifestyle Properties, Inc. | | | 67,162 | |
| | 2,164 | | | Equity Residential | | | 128,282 | |
| | 410 | | | Essex Property Trust, Inc. | | | 97,342 | |
| | 817 | | | Extra Space Storage, Inc. | | | 94,658 | |
| | 330 | | | Gecina SA | | | 50,951 | |
| | 27 | | | GLP J-REIT | | | 42,581 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 10,133 | | | Goodman Group | | $ | 147,785 | |
| | 14,718 | | | GPT Group | | | 51,096 | |
| | 3,550 | | | Healthpeak Properties, Inc. | | | 107,317 | |
| | 4,174 | | | Host Hotels & Resorts, Inc. | | | 61,066 | |
| | 3,282 | | | Invitation Homes, Inc. | | | 97,475 | |
| | 1,586 | | | Iron Mountain, Inc.^ | | | 46,755 | |
| | 10 | | | Japan Real Estate Investment Corp. | | | 57,758 | |
| | 21 | | | Japan Retail Fund Investment Corp. | | | 38,302 | |
| | 1,471 | | | Klepierre^ | | | 33,091 | |
| | 3,515 | | | Land Securities Group plc | | | 32,416 | |
| | 11,800 | | | Link REIT (The) | | | 107,518 | |
| | 15,400 | | | Mapletree Commercial Trust | | | 24,794 | |
| | 19,870 | | | Mapletree Logistics Trust | | | 30,236 | |
| | 3,679 | | | Medical Properties Trust, Inc. | | | 80,165 | |
| | 454 | | | Mid-America Apartment Communities, Inc. | | | 57,517 | |
| | 20,422 | | | Mirvac Group | | | 41,602 | |
| | 9 | | | Nippon Building Fund, Inc. | | | 52,134 | |
| | 11 | | | Nippon Prologis REIT, Inc. | | | 34,344 | |
| | 31 | | | Nomura Real Estate Master Fund, Inc. | | | 44,362 | |
| | 1,146 | | | Omega Healthcare Investors, Inc. | | | 41,623 | |
| | 11 | | | Orix JREIT, Inc. | | | 18,189 | |
| | 4,562 | | | ProLogis, Inc. | | | 454,649 | |
| | 945 | | | Public Storage, Inc. | | | 218,229 | |
| | 2,106 | | | Realty Income Corp. | | | 130,930 | |
| | 952 | | | Regency Centers Corp. | | | 43,402 | |
| | 1,450 | | | RioCan REIT^ | | | 19,083 | |
| | 681 | | | SBA Communications Corp. | | | 192,131 | |
| | 30,074 | | | Scentre Group | | | 64,534 | |
| | 7,930 | | | SERGO plc | | | 102,791 | |
| | 1,977 | | | Simon Property Group, Inc. | | | 168,599 | |
| | 12,409 | | | Stockland | | | 40,020 | |
| | 623 | | | Sun Communities, Inc. | | | 94,665 | |
| | 5,400 | | | Suntec Real Estate Investment Trust | | | 6,082 | |
| | 1,738 | | | UDR, Inc. | | | 66,791 | |
| | 930 | | | Unibail-Rodamco-Westfield^ | | | 73,411 | |
| | 24 | | | United Urban Investment Corp. | | | 29,703 | |
| | 2,280 | | | Ventas, Inc. | | | 111,811 | |
| | 1,289 | | | VEREIT, Inc. | | | 48,711 | |
| | 3,386 | | | VICI Properties, Inc. | | | 86,343 | |
| | 24,703 | | | Vicinity Centres | | | 30,606 | |
| | 933 | | | Vornado Realty Trust | | | 34,838 | |
| | 2,678 | | | Welltower, Inc. | | | 173,052 | |
| | 4,846 | | | Weyerhaeuser Co. | | | 162,486 | |
| | 1,157 | | | WP Carey, Inc. | | | 81,661 | |
| | | | | | | | |
| | | | | | | 6,567,444 | |
| | | | | | | | |
| Food & Staples Retailing (1.6%): | | | |
| | 4,300 | | | AEON Co., Ltd. | | | 141,170 | |
| | 5,531 | | | Alimentation Couche-Tard, Inc. | | | 188,524 | |
| | 3,533 | | | Carrefour SA | | | 60,572 | |
| | 8,604 | | | Coles Group, Ltd. | | | 120,361 | |
| | 276 | | | Colruyt SA | | | 16,351 | |
| | 100 | | | Cosmos Pharmaceutical Corp. | | | 16,158 | |
| | 2,757 | | | Costco Wholesale Corp. | | | 1,038,782 | |
| | 1,286 | | | Empire Co., Ltd., Class A | | | 35,154 | |
| | 686 | | | ICA Gruppen AB | | | 34,293 | |
| | 8,045 | | | J Sainsbury plc | | | 24,815 | |
| | 1,994 | | | Jeronimo Martins SGPS SA | | | 33,717 | |
| | 1,733 | | | Kesko OYJ, Class B | | | 44,522 | |
See accompanying notes to the financial statements.
9
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 1,000 | | | Kobe Bussan Co., Ltd. | | $ | 30,871 | |
| | 7,149 | | | Koninklijke Ahold Delhaize NV | | | 201,863 | |
| | 5,048 | | | Kroger Co. (The) | | | 160,324 | |
| | 200 | | | LAWSON, Inc. | | | 9,321 | |
| | 1,122 | | | Loblaw Cos., Ltd. | | | 55,373 | |
| | 1,600 | | | Metro, Inc. | | | 71,407 | |
| | 4,500 | | | Seven & I Holdings Co., Ltd. | | | 159,826 | |
| | 600 | | | Sundrug Co., Ltd. | | | 23,948 | |
| | 3,066 | | | Sysco Corp. | | | 227,681 | |
| | 61,953 | | | Tesco plc | | | 195,566 | |
| | 100 | | | Tsuruha Holdings, Inc. | | | 14,259 | |
| | 4,684 | | | Walgreens Boots Alliance, Inc. | | | 186,798 | |
| | 8,864 | | | Walmart, Inc. | | | 1,277,747 | |
| | 400 | | | Welcia Holdings Co., Ltd. | | | 15,093 | |
| | 7,002 | | | Wesfarmers, Ltd. | | | 272,223 | |
| | 426 | | | Weston (George), Ltd. | | | 31,825 | |
| | 11,793 | | | William Morrison Supermarkets plc | | | 28,602 | |
| | 7,731 | | | Woolworths Group, Ltd. | | | 234,424 | |
| | | | | | | | |
| | | | | | | 4,951,570 | |
| | | | | | | | |
| Food Products (1.7%): | | | |
| | 4,311 | | | A2 Milk Co., Ltd.* | | | 37,378 | |
| | 2,500 | | | Ajinomoto Co., Inc. | | | 56,663 | |
| | 3,356 | | | Archer-Daniels-Midland Co. | | | 169,176 | |
| | 2,071 | | | Associated British Foods plc* | | | 64,156 | |
| | 17 | | | Barry Callebaut AG, Registered Shares | | | 40,395 | |
| | 826 | | | Bunge, Ltd. | | | 54,169 | |
| | 400 | | | Calbee, Inc. | | | 12,050 | |
| | 1,241 | | | Campbell Soup Co. | | | 60,002 | |
| | 3,195 | | | Conagra Brands, Inc. | | | 115,851 | |
| | 3,737 | | | Danone SA | | | 245,586 | |
| | 3,735 | | | General Mills, Inc. | | | 219,619 | |
| | 968 | | | Hershey Co. (The) | | | 147,455 | |
| | 1,872 | | | Hormel Foods Corp. | | | 87,254 | |
| | 476 | | | JDE Peet’s NV* | | | 21,455 | |
| | 719 | | | JM Smucker Co. (The) | | | 83,116 | |
| | 1,678 | | | Kellogg Co. | | | 104,422 | |
| | 1,011 | | | Kerry Group plc, Class A | | | 146,440 | |
| | 800 | | | Kikkoman Corp. | | | 55,572 | |
| | 4,046 | | | Kraft Heinz Co. (The) | | | 140,234 | |
| | 873 | | | Lamb Weston Holdings, Inc. | | | 68,740 | |
| | 6 | | | Lindt & Spruengli AG | | | 58,498 | |
| | 1,502 | | | McCormick & Co. | | | 143,591 | |
| | 700 | | | Meiji Holdings Co., Ltd. | | | 49,230 | |
| | 8,954 | | | Mondelez International, Inc., Class A | | | 523,541 | |
| | 2,526 | | | Mowi ASA | | | 56,348 | |
| | 18,020 | | | Nestle SA, Registered Shares | | | 2,122,193 | |
| | 300 | | | NH Foods, Ltd. | | | 13,207 | |
| | 700 | | | Nisshin Seifun Group, Inc. | | | 11,145 | |
| | 300 | | | Nissin Foods Holdings Co., Ltd. | | | 25,713 | |
| | 5,748 | | | Orkla ASA, Class A | | | 58,408 | |
| | 1,784 | | | Saputo, Inc. | | | 49,944 | |
| | 700 | | | Toyo Suisan Kaisha, Ltd. | | | 34,064 | |
| | 1,946 | | | Tyson Foods, Inc., Class A | | | 125,400 | |
| | 54,000 | | | WH Group, Ltd. | | | 45,281 | |
| | 10,100 | | | Wilmar International, Ltd. | | | 35,572 | |
| | 900 | | | Yakult Honsha Co., Ltd. | | | 45,375 | |
| | 500 | | | Yamazaki Baking Co., Ltd. | | | 8,357 | |
| | | | | | | | |
| | | | | | | 5,335,600 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Gas Utilities (0.2%): | | | |
| | 2,016 | | | AltaGas, Ltd.^ | | $ | 29,653 | |
| | 6,754 | | | APA Group | | | 50,278 | |
| | 801 | | | Atmos Energy Corp. | | | 76,440 | |
| | 2,302 | | | Gas Natural SDG SA | | | 53,714 | |
| | 67,302 | | | Hong Kong & China Gas Co., Ltd. | | | 100,701 | |
| | 2,100 | | | Osaka Gas Co., Ltd. | | | 43,025 | |
| | 500 | | | Toho Gas Co., Ltd. | | | 33,224 | |
| | 2,100 | | | Tokyo Gas Co., Ltd. | | | 48,824 | |
| | 1,144 | | | UGI Corp. | | | 39,994 | |
| | | | | | | | |
| | | | | | | 475,853 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.2%): | | | |
| | 10,965 | | | Abbott Laboratories | | | 1,200,558 | |
| | 284 | | | ABIOMED, Inc.* | | | 92,073 | |
| | 3,090 | | | Alcon, Inc.* | | | 206,358 | |
| | 472 | | | Align Technology, Inc.* | | | 252,227 | |
| | 815 | | | Ambu A/S, Class B | | | 35,196 | |
| | 1,400 | | | Asahi Intecc Co., Ltd. | | | 51,116 | |
| | 3,230 | | | Baxter International, Inc. | | | 259,175 | |
| | 1,784 | | | Becton Dickinson & Co. | | | 446,392 | |
| | 226 | | | BioMerieux | | | 31,867 | |
| | 8,743 | | | Boston Scientific Corp.* | | | 314,311 | |
| | 302 | | | Carl Zeiss Meditec AG | | | 40,180 | |
| | 426 | | | Cochlear, Ltd. | | | 62,108 | |
| | 751 | | | Coloplast A/S, Class B | | | 114,742 | |
| | 316 | | | Cooper Cos., Inc. (The) | | | 114,809 | |
| | 3,944 | | | Danaher Corp. | | | 876,120 | |
| | 460 | | | Demant A/S* | | | 18,162 | |
| | 1,305 | | | Dentsply Sirona, Inc. | | | 68,330 | |
| | 598 | | | DexCom, Inc.* | | | 221,093 | |
| | 184 | | | DiaSorin SpA | | | 38,304 | |
| | 3,960 | | | Edwards Lifesciences Corp.* | | | 361,271 | |
| | 1,771 | | | EssilorLuxottica SA | | | 276,163 | |
| | 3,635 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 86,297 | |
| | 749 | | | GN Store Nord A/S | | | 59,538 | |
| | 1,709 | | | Hologic, Inc.* | | | 124,466 | |
| | 2,400 | | | HOYA Corp. | | | 331,797 | |
| | 537 | | | IDEXX Laboratories, Inc.* | | | 268,430 | |
| | 393 | | | Insulet Corp.* | | | 100,463 | |
| | 721 | | | Intuitive Surgical, Inc.* | | | 589,850 | |
| | 5,645 | | | Koninklijke Philips NV | | | 302,061 | |
| | 306 | | | Masimo Corp.* | | | 82,124 | |
| | 8,319 | | | Medtronic plc | | | 974,488 | |
| | 545 | | | Novocure, Ltd.* | | | 94,307 | |
| | 7,600 | | | Olympus Corp. | | | 166,389 | |
| | 900 | | | ResMed, Inc. | | | 191,304 | |
| | 228 | | | Sartorius AG | | | 95,552 | |
| | 1,767 | | | Siemens Healthineers AG | | | 90,453 | |
| | 5,645 | | | Smith & Nephew plc | | | 117,861 | |
| | 342 | | | Sonova Holding AG, Registered Shares* | | | 88,075 | |
| | 542 | | | Steris plc | | | 102,731 | |
| | 63 | | | Straumann Holding AG, Registered Shares | | | 73,396 | |
| | 2,095 | | | Stryker Corp. | | | 513,359 | |
| | 1,000 | | | Sysmex Corp. | | | 120,282 | |
| | 304 | | | Teleflex, Inc. | | | 125,117 | |
| | 4,200 | | | Terumo Corp. | | | 175,689 | |
| | 587 | | | Varian Medical Systems, Inc.* | | | 102,731 | |
| | 433 | | | West Pharmaceutical Services, Inc. | | | 122,673 | |
| | 1,281 | | | Zimmer Biomet Holdings, Inc. | | | 197,389 | |
| | | | | | | | |
| | | | | | | 10,377,377 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services (1.8%): | | | |
| | 1,500 | | | Alfresa Holdings Corp. | | $ | 27,508 | |
| | 1,009 | | | AmerisourceBergen Corp. | | | 98,640 | |
| | 790 | | | Amplifon SpA* | | | 32,733 | |
| | 1,568 | | | Anthem, Inc. | | | 503,469 | |
| | 1,943 | | | Cardinal Health, Inc. | | | 104,067 | |
| | 3,633 | | | Centene Corp.* | | | 218,089 | |
| | 2,289 | | | Cigna Corp. | | | 476,524 | |
| | 8,162 | | | CVS Health Corp. | | | 557,465 | |
| | 418 | | | DaVita, Inc.* | | | 49,073 | |
| | 1,304 | | | Fresenius Medical Care AG & Co., KGaA | | | 108,751 | |
| | 2,394 | | | Fresenius SE & Co. KGaA | | | 110,608 | |
| | 1,739 | | | HCA Healthcare, Inc. | | | 285,996 | |
| | 867 | | | Henry Schein, Inc.* | | | 57,968 | |
| | 837 | | | Humana, Inc. | | | 343,396 | |
| | 591 | | | Laboratory Corp. of America Holdings* | | | 120,298 | |
| | 985 | | | McKesson Corp. | | | 171,311 | |
| | 1,400 | | | Medipal Holdings Corp. | | | 26,321 | |
| | 411 | | | Molina Healthcare, Inc.* | | | 87,411 | |
| | 258 | | | Orpea* | | | 33,997 | |
| | 879 | | | Quest Diagnostics, Inc. | | | 104,750 | |
| | 1,215 | | | Ramsay Health Care, Ltd. | | | 58,277 | |
| | 3,006 | | | Ryman Healthcare, Ltd. | | | 32,896 | |
| | 2,847 | | | Sonic Healthcare, Ltd. | | | 70,708 | |
| | 400 | | | Suzuken Co., Ltd. | | | 14,471 | |
| | 5,911 | | | UnitedHealth Group, Inc. | | | 2,072,870 | |
| | 464 | | | Universal Health Services, Inc., Class B | | | 63,800 | |
| | | | | | | | |
| | | | | | | 5,831,397 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 1,847 | | | Cerner Corp. | | | 144,953 | |
| | 2,700 | | | M3, Inc. | | | 255,423 | |
| | 739 | | | Teladoc Health, Inc.*^ | | | 147,770 | |
| | 843 | | | Veeva Systems, Inc., Class A* | | | 229,507 | |
| | | | | | | | |
| | | | | | | 777,653 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.5%): | | | |
| | 1,331 | | | Accor SA* | | | 48,484 | |
| | 1,226 | | | Aramark | | | 47,176 | |
| | 3,491 | | | Aristocrat Leisure, Ltd. | | | 83,526 | |
| | 3,148 | | | Carnival Corp., Class A | | | 68,186 | |
| | 166 | | | Chipotle Mexican Grill, Inc.* | | | 230,194 | |
| | 11,695 | | | Compass Group plc | | | 218,200 | |
| | 1,597 | | | Crown Resorts, Ltd. | | | 11,865 | |
| | 767 | | | Darden Restaurants, Inc. | | | 91,365 | |
| | 253 | | | Domino’s Pizza, Inc. | | | 97,015 | |
| | 1,080 | | | DraftKings, Inc., Class A* | | | 50,285 | |
| | 931 | | | Evolution Gaming Group AB | | | 94,434 | |
| | 1,035 | | | Flutter Entertainment plc | | | 211,975 | |
| | 12,000 | | | Galaxy Entertainment Group, Ltd. | | | 93,340 | |
| | 50,400 | | | Genting Singapore, Ltd. | | | 32,370 | |
| | 3,232 | | | GVC Holdings plc* | | | 50,162 | |
| | 1,765 | | | Hilton Worldwide Holdings, Inc. | | | 196,374 | |
| | 1,003 | | | InterContinental Hotels Group plc* | | | 65,148 | |
| | 630 | | | La Francaise des Jeux SAEM | | | 28,803 | |
| | 2,157 | | | Las Vegas Sands Corp. | | | 128,557 | |
| | 1,735 | | | Marriott International, Inc., Class A | | | 228,881 | |
| | 4,611 | | | McDonald’s Corp. | | | 989,429 | |
| | 300 | | | McDonald’s Holdings Co., Ltd. | | | 14,530 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 1,176 | | | Melco Resorts & Entertainment, Ltd., ADR | | $ | 21,815 | |
| | 2,796 | | | MGM Resorts International | | | 88,102 | |
| | 1,200 | | | Oriental Land Co., Ltd. | | | 198,375 | |
| | 1,727 | | | Restaurant Brands International, Inc. | | | 105,612 | |
| | 1,082 | | | Royal Caribbean Cruises, Ltd. | | | 80,815 | |
| | 14,400 | | | Sands China, Ltd. | | | 63,299 | |
| | 9,000 | | | SJM Holdings, Ltd. | | | 10,083 | |
| | 646 | | | Sodexo SA | | | 54,675 | |
| | 7,278 | | | Starbucks Corp. | | | 778,600 | |
| | 17,077 | | | Tabcorp Holdings, Ltd. | | | 51,385 | |
| | 234 | | | Vail Resorts, Inc. | | | 65,277 | |
| | 1,116 | | | Whitbread plc* | | | 47,344 | |
| | 12,400 | | | Wynn Macau, Ltd.* | | | 20,850 | |
| | 555 | | | Wynn Resorts, Ltd. | | | 62,621 | |
| | 1,888 | | | Yum! Brands, Inc. | | | 204,961 | |
| | | | | | | | |
| | | | | | | 4,934,113 | |
| | | | | | | | |
| Household Durables (0.8%): | | | |
| | 5,459 | | | Barratt Developments plc* | | | 50,074 | |
| | 898 | | | Berkeley Group Holdings plc (The) | | | 58,281 | |
| | 500 | | | Casio Computer Co., Ltd. | | | 9,161 | |
| | 2,264 | | | D.R. Horton, Inc. | | | 156,035 | |
| | 1,708 | | | Electrolux AB, Series B, Class B | | | 39,719 | |
| | 866 | | | Garmin, Ltd. | | | 103,626 | |
| | 2,231 | | | Husqvarna AB, Class B | | | 28,874 | |
| | 700 | | | Iida Group Holdings Co., Ltd. | | | 14,154 | |
| | 1,679 | | | Lennar Corp., Class A | | | 127,990 | |
| | 340 | | | Mohawk Industries, Inc.* | | | 47,923 | |
| | 2,160 | | | Newell Brands, Inc. | | | 45,857 | |
| | 22 | | | NVR, Inc.* | | | 89,757 | |
| | 14,000 | | | Panasonic Corp. | | | 161,793 | |
| | 1,904 | | | Persimmon plc | | | 72,110 | |
| | 1,612 | | | PulteGroup, Inc. | | | 69,509 | |
| | 300 | | | Rinnai Corp. | | | 34,856 | |
| | 643 | | | Roku, Inc.* | | | 213,488 | |
| | 92 | | | SEB SA | | | 16,757 | |
| | 1,800 | | | Sekisui Chemical Co., Ltd. | | | 34,152 | |
| | 4,100 | | | Sekisui House, Ltd. | | | 83,544 | |
| | 1,800 | | | Sharp Corp. | | | 27,328 | |
| | 7,900 | | | Sony Corp. | | | 794,410 | |
| | 24,626 | | | Taylor Wimpey plc | | | 55,979 | |
| | 9,000 | | | Techtronic Industries Co., Ltd. | | | 128,868 | |
| | 393 | | | Whirlpool Corp. | | | 70,933 | |
| | | | | | | | |
| | | | | | | 2,535,178 | |
| | | | | | | | |
| Household Products (1.2%): | | | |
| | 1,644 | | | Church & Dwight Co., Inc. | | | 143,406 | |
| | 780 | | | Clorox Co. (The) | | | 157,498 | |
| | 5,081 | | | Colgate-Palmolive Co. | | | 434,476 | |
| | 3,537 | | | Essity AB, Class B | | | 113,723 | |
| | 733 | | | Henkel AG & Co. KGaA | | | 70,551 | |
| | 2,134 | | | Kimberly-Clark Corp. | | | 287,727 | |
| | 1,700 | | | Lion Corp. | | | 41,198 | |
| | 500 | | | Pigeon Corp. | | | 20,669 | |
| | 15,452 | | | Procter & Gamble Co. (The) | | | 2,149,992 | |
| | 4,486 | | | Reckitt Benckiser Group plc | | | 401,149 | |
| | 2,700 | | | Unicharm Corp. | | | 128,126 | |
| | | | | | | | |
| | | | | | | 3,948,515 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Independent Power and Renewable Electricity Producers (0.1%): | |
| | 3,985 | | | AES Corp. (The) | | $ | 93,648 | |
| | 765 | | | Brookfield Renewable Corp., Class A | | | 44,637 | |
| | 9,703 | | | Meridian Energy, Ltd. | | | 51,778 | |
| | 1,209 | | | Northland Power, Inc. | | | 43,384 | |
| | 1,464 | | | NRG Energy, Inc. | | | 54,973 | |
| | 1,518 | | | Uniper SE | | | 52,370 | |
| | 2,743 | | | Vistra Corp. | | | 53,927 | |
| | | | | | | | |
| | | | | | | 394,717 | |
| | | | | | | | |
| Industrial Conglomerates (1.1%): | | | |
| | 3,623 | | | 3M Co. | | | 633,264 | |
| | 17,000 | | | CK Hutchison Holdings, Ltd. | | | 118,718 | |
| | 602 | | | DCC plc | | | 42,784 | |
| | 54,354 | | | General Electric Co. | | | 587,023 | |
| | 4,385 | | | Honeywell International, Inc. | | | 932,690 | |
| | 939 | | | Investment AB Latour, Class B | | | 22,878 | |
| | 1,300 | | | Jardine Matheson Holdings, Ltd. | | | 72,810 | |
| | 1,000 | | | Jardine Strategic Holdings, Ltd. | | | 24,885 | |
| | 700 | | | Keihan Holdings Co., Ltd. | | | 33,600 | |
| | 7,400 | | | Keppel Corp., Ltd. | | | 30,090 | |
| | 663 | | | Roper Technologies, Inc. | | | 285,813 | |
| | 1,600 | | | Seibu Holdings, Inc. | | | 15,716 | |
| | 4,808 | | | Siemens AG, Registered Shares | | | 688,064 | |
| | 2,166 | | | Smiths Group plc | | | 44,823 | |
| | 2,500 | | | Toshiba Corp. | | | 70,019 | |
| | | | | | | | |
| | | | | | | 3,603,177 | |
| | | | | | | | |
| Insurance (3.1%): | | | |
| | 997 | | | Admiral Group plc | | | 39,629 | |
| | 8,599 | | | AEGON NV | | | 34,336 | |
| | 4,225 | | | Aflac, Inc. | | | 187,886 | |
| | 1,008 | | | Ageas NV | | | 53,717 | |
| | 75,400 | | | AIA Group, Ltd. | | | 928,781 | |
| | 81 | | | Alleghany Corp. | | | 48,899 | |
| | 2,618 | | | Allianz SE, Registered Shares+ | | | 640,470 | |
| | 1,934 | | | Allstate Corp. (The) | | | 212,605 | |
| | 572 | | | American Financial Group, Inc. | | | 50,119 | |
| | 5,391 | | | American International Group, Inc. | | | 204,103 | |
| | 1,434 | | | Aon plc, Class A | | | 302,960 | |
| | 2,465 | | | Arch Capital Group, Ltd.* | | | 88,913 | |
| | 1,236 | | | Arthur J. Gallagher & Co. | | | 152,906 | |
| | 7,125 | | | Assicurazioni Generali SpA | | | 123,990 | |
| | 331 | | | Assurant, Inc. | | | 45,089 | |
| | 730 | | | Athene Holding, Ltd., Class A* | | | 31,492 | |
| | 24,775 | | | Aviva plc | | | 111,104 | |
| | 11,861 | | | AXA SA | | | 284,519 | |
| | 268 | | | Baloise Holding AG, Registered Shares | | | 47,880 | |
| | 1,397 | | | Brown & Brown, Inc. | | | 66,232 | |
| | 2,865 | | | Chubb, Ltd. | | | 440,981 | |
| | 948 | | | Cincinnati Financial Corp. | | | 82,827 | |
| | 1,241 | | | CNP Assurances SA | | | 20,002 | |
| | 6,800 | | | Dai-ichi Life Holdings, Inc. | | | 103,307 | |
| | 10,156 | | | Direct Line Insurance Group plc | | | 44,140 | |
| | 127 | | | Erie Indemnity Co., Class A | | | 31,191 | |
| | 236 | | | Everest Re Group, Ltd. | | | 55,245 | |
| | 164 | | | Fairfax Financial Holdings, Ltd. | | | 55,906 | |
| | 1,575 | | | Fidelity National Financial, Inc. | | | 61,567 | |
| | 561 | | | Gjensidige Forsikring ASA | | | 12,542 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 593 | | | Globe Life, Inc. | | $ | 56,311 | |
| | 2,031 | | | Great-West Lifeco, Inc. | | | 48,433 | |
| | 361 | | | Hannover Rueck SE | | | 57,355 | |
| | 2,281 | | | Hartford Financial Services Group, Inc. (The) | | | 111,723 | |
| | 826 | | | IA Financial Corp., Inc. | | | 35,813 | |
| | 13,695 | | | Insurance Australia Group, Ltd. | | | 49,678 | |
| | 912 | | | Intact Financial Corp. | | | 108,004 | |
| | 9,700 | | | Japan Post Holdings Co., Ltd. | | | 75,580 | |
| | 1,700 | | | Japan Post Insurance Co., Ltd. | | | 34,853 | |
| | 38,801 | | | Legal & General Group plc | | | 142,598 | |
| | 1,081 | | | Lincoln National Corp. | | | 54,385 | |
| | 1,660 | | | Loews Corp. | | | 74,733 | |
| | 12,188 | | | Manulife Financial Corp. | | | 216,907 | |
| | 92 | | | Markel Corp.* | | | 95,064 | |
| | 3,198 | | | Marsh & McLennan Cos., Inc. | | | 374,165 | |
| | 21,022 | | | Medibank Private, Ltd. | | | 48,801 | |
| | 4,996 | | | MetLife, Inc. | | | 234,562 | |
| | 3,000 | | | MS&AD Insurance Group Holdings, Inc. | | | 91,489 | |
| | 853 | | | Muenchener Rueckversicherungs-Gesellschaft AG | | | 252,593 | |
| | 1,280 | | | NN Group NV | | | 55,990 | |
| | 3,487 | | | Phoenix Group Holdings plc | | | 33,424 | |
| | 2,748 | | | Poste Italiane SpA | | | 27,896 | |
| | 3,459 | | | Power Corp. of Canada^ | | | 79,443 | |
| | 1,721 | | | Principal Financial Group, Inc. | | | 85,379 | |
| | 3,656 | | | Progressive Corp. (The) | | | 361,504 | |
| | 2,468 | | | Prudential Financial, Inc. | | | 192,677 | |
| | 16,301 | | | Prudential plc | | | 300,843 | |
| | 10,407 | | | QBE Insurance Group, Ltd. | | | 68,500 | |
| | 473 | | | Reinsurance Group of America, Inc. | | | 54,821 | |
| | 329 | | | RenaissanceRe Holdings, Ltd. | | | 54,555 | |
| | 5,761 | | | RSA Insurance Group plc | | | 53,653 | |
| | 3,079 | | | Sampo Oyj, Class A | | | 130,562 | |
| | 1,146 | | | SCOR SA* | | | 37,025 | |
| | 2,000 | | | Sompo Holdings, Inc. | | | 81,595 | |
| | 3,515 | | | Sun Life Financial, Inc. | | | 156,320 | |
| | 7,102 | | | Suncorp Group, Ltd. | | | 53,388 | |
| | 210 | | | Swiss Life Holding AG, Registered Shares | | | 97,789 | |
| | 1,783 | | | Swiss Re AG | | | 167,799 | |
| | 2,800 | | | T&D Holdings, Inc. | | | 33,142 | |
| | 4,000 | | | Tokio Marine Holdings, Inc. | | | 207,242 | |
| | 1,645 | | | Travelers Cos., Inc. (The) | | | 230,909 | |
| | 983 | | | Tryg A/S | | | 31,009 | |
| | 791 | | | Willis Towers Watson plc | | | 166,648 | |
| | 866 | | | WR Berkley Corp. | | | 57,520 | |
| | 945 | | | Zurich Insurance Group AG | | | 400,665 | |
| | | | | | | | |
| | | | | | | 9,946,683 | |
| | | | | | | | |
| Interactive Media & Services (3.8%): | | | |
| | 1,521 | | | Adevinta ASA* | | | 25,577 | |
| | 1,866 | | | Alphabet, Inc., Class A* | | | 3,270,426 | |
| | 1,866 | | | Alphabet, Inc., Class C* | | | 3,269,008 | |
| | 6,934 | | | Auto Trader Group plc | | | 56,543 | |
| | 14,940 | | | Facebook, Inc., Class A* | | | 4,081,011 | |
| | 538 | | | IAC/InterActive Corp.* | | | 101,870 | |
| | 1,100 | | | Kakaku.com, Inc. | | | 30,206 | |
| | 1,575 | | | Match Group, Inc.* | | | 238,124 | |
| | 2,936 | | | Pinterest, Inc., Class A* | | | 193,482 | |
| | 264 | | | REA Group, Ltd. | | | 30,319 | |
See accompanying notes to the financial statements.
12
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Interactive Media & Services, continued | | | |
| | 624 | | | Scout24 AG | | $ | 51,112 | |
| | 5,703 | | | Snap, Inc., Class A* | | | 285,549 | |
| | 4,997 | | | Twitter, Inc.* | | | 270,588 | |
| | 17,300 | | | Z Holdings Corp. | | | 104,943 | |
| | 381 | | | Zillow Group, Inc., Class A* | | | 51,793 | |
| | 950 | | | Zillow Group, Inc., Class C* | | | 123,310 | |
| | | | | | | | |
| | | | | | | 12,183,861 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (3.5%): | | | |
| | 2,649 | | | Amazon.com, Inc.* | | | 8,627,607 | |
| | 255 | | | Booking Holdings, Inc.* | | | 567,954 | |
| | 479 | | | Chewy, Inc., Class A*^ | | | 43,057 | |
| | 857 | | | Delivery Hero SE* | | | 132,998 | |
| | 4,336 | | | eBay, Inc. | | | 217,884 | |
| | 757 | | | Etsy, Inc.* | | | 134,678 | |
| | 860 | | | Expedia Group, Inc. | | | 113,864 | |
| | 938 | | | HelloFresh SE* | | | 72,478 | |
| | 826 | | | Just Eat Takeaway* | | | 93,099 | |
| | 283 | | | MercadoLibre, Inc.* | | | 474,087 | |
| | 400 | | | Mercari, Inc.* | | | 17,781 | |
| | 2,925 | | | Ocado Group plc* | | | 91,640 | |
| | 3,081 | | | Prosus NV | | | 331,391 | |
| | 5,100 | | | Rakuten, Inc. | | | 48,988 | |
| | 419 | | | Wayfair, Inc., Class A*^ | | | 94,614 | |
| | 902 | | | Zalando SE* | | | 100,487 | |
| | 400 | | | ZOZO, Inc. | | | 9,894 | |
| | | | | | | | |
| | | | | | | 11,172,501 | |
| | | | | | | | |
| IT Services (4.6%): | | | |
| | 3,947 | | | Accenture plc, Class C | | | 1,030,995 | |
| | 114 | | | Adyen NV* | | | 265,234 | |
| | 1,330 | | | Afterpay, Ltd.* | | | 121,905 | |
| | 982 | | | Akamai Technologies, Inc.* | | | 103,100 | |
| | 2,837 | | | Amadeus IT Group SA | | | 205,366 | |
| | 527 | | | Atos SE* | | | 48,184 | |
| | 2,664 | | | Automatic Data Processing, Inc. | | | 469,397 | |
| | 173 | | | Bechtle AG | | | 37,723 | |
| | 935 | | | Black Knight, Inc.* | | | 82,607 | |
| | 887 | | | Booz Allen Hamilton Holding Corp. | | | 77,329 | |
| | 741 | | | Broadridge Financial Solutions, Inc. | | | 113,521 | |
| | 1,046 | | | Capgemini SA | | | 162,184 | |
| | 1,471 | | | CGI, Inc.* | | | 116,726 | |
| | 3,374 | | | Cognizant Technology Solutions Corp., Class A | | | 276,499 | |
| | 3,761 | | | Computershare, Ltd. | | | 42,340 | |
| | 359 | | | EPAM Systems, Inc.* | | | 128,648 | |
| | 3,869 | | | Fidelity National Information Services, Inc. | | | 547,309 | |
| | 3,538 | | | Fiserv, Inc.* | | | 402,837 | |
| | 508 | | | FleetCor Technologies, Inc.* | | | 138,598 | |
| | 1,200 | | | Fujitsu, Ltd. | | | 173,742 | |
| | 556 | | | Gartner, Inc.* | | | 89,066 | |
| | 1,894 | | | Global Payments, Inc. | | | 408,005 | |
| | 300 | | | GMO Payment Gateway, Inc. | | | 40,082 | |
| | 969 | | | GoDaddy, Inc., Class A* | | | 80,379 | |
| | 5,498 | | | International Business Machines Corp. | | | 692,088 | |
| | 800 | | | Itochu Techno-Solutions Corp. | | | 28,487 | |
| | 498 | | | Jack Henry & Associates, Inc. | | | 80,671 | |
| | 922 | | | Leidos Holdings, Inc. | | | 96,921 | |
| | 5,579 | | | MasterCard, Inc., Class A | | | 1,991,367 | |
| | 266 | | | MongoDB, Inc.* | | | 95,505 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 2,299 | | | Nexi SpA* | | $ | 45,664 | |
| | 1,920 | | | Nomura Research Institute, Ltd. | | | 68,614 | |
| | 3,500 | | | NTT Data Corp. | | | 47,969 | |
| | 400 | | | OBIC Co., Ltd. | | | 80,458 | |
| | 731 | | | Okta, Inc.* | | | 185,864 | |
| | 800 | | | Otsuka Corp. | | | 42,160 | |
| | 1,971 | | | Paychex, Inc. | | | 183,658 | |
| | 6,926 | | | PayPal Holdings, Inc.* | | | 1,622,068 | |
| | 300 | | | SCSK Corp. | | | 17,175 | |
| | 678 | | | Shopify, Inc., Class A* | | | 765,698 | |
| | 190 | | | Snowflake, Inc., Class A*^ | | | 53,466 | |
| | 2,301 | | | Square, Inc., Class A* | | | 500,790 | |
| | 1,600 | | | TIS, Inc. | | | 32,818 | |
| | 805 | | | Twilio, Inc., Class A* | | | 272,493 | |
| | 685 | | | VeriSign, Inc.* | | | 148,234 | |
| | 10,499 | | | Visa, Inc., Class A | | | 2,296,445 | |
| | 2,498 | | | Western Union Co. | | | 54,806 | |
| | 313 | | | Wix.com, Ltd.* | | | 78,237 | |
| | 1,387 | | | Worldline SA* | | | 134,137 | |
| | | | | | | | |
| | | | | | | 14,777,569 | |
| | | | | | | | |
| Leisure Products (0.2%): | | | |
| | 1,200 | | | Bandai Namco Holdings, Inc. | | | 103,876 | |
| | 773 | | | Hasbro, Inc. | | | 72,306 | |
| | 1,196 | | | Peloton Interactive, Inc., Class A* | | | 181,458 | |
| | 800 | | | Sega Sammy Holdings, Inc. | | | 12,627 | |
| | 500 | | | Shimano, Inc. | | | 116,785 | |
| | 700 | | | Yamaha Corp. | | | 41,269 | |
| | | | | | | | |
| | | | | | | 528,321 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.9%): | | | |
| | 390 | | | 10X Genomics, Inc., Class A* | | | 55,224 | |
| | 1,980 | | | Agilent Technologies, Inc. | | | 234,610 | |
| | 3,158 | | | Avantor, Inc.* | | | 88,898 | |
| | 141 | | | Bio-Rad Laboratories, Inc., Class A* | | | 82,195 | |
| | 890 | | | Eurofins Scientific SE* | | | 74,667 | |
| | 918 | | | Illumina, Inc.* | | | 339,660 | |
| | 1,217 | | | IQVIA Holdings, Inc.* | | | 218,050 | |
| | 474 | | | Lonza Group AG, Registered Shares | | | 304,537 | |
| | 149 | | | Mettler-Toledo International, Inc.* | | | 169,812 | |
| | 700 | | | PerkinElmer, Inc. | | | 100,450 | |
| | 774 | | | PPD, Inc.* | | | 26,486 | |
| | 1,384 | | | Qiagen NV* | | | 71,775 | |
| | 159 | | | Sartorius Stedim Biotech | | | 56,664 | |
| | 2,455 | | | Thermo Fisher Scientific, Inc. | | | 1,143,490 | |
| | 357 | | | Waters Corp.* | | | 88,329 | |
| | | | | | | | |
| | | | | | | 3,054,847 | |
| | | | | | | | |
| Machinery (1.9%): | | | |
| | 2,355 | | | Alfa Laval AB* | | | 64,752 | |
| | 1,452 | | | Alstom SA* | | | 82,331 | |
| | 2,700 | | | Amada Holdings Co., Ltd. | | | 29,826 | |
| | 2,372 | | | Atlas Copco AB | | | 106,616 | |
| | 4,266 | | | Atlas Copco AB, Class A | | | 218,268 | |
| | 3,357 | | | Caterpillar, Inc. | | | 611,041 | |
| | 6,198 | | | CNH Industrial NV | | | 78,531 | |
| | 915 | | | Cummins, Inc. | | | 207,797 | |
| | 600 | | | Daifuku Co., Ltd. | | | 74,276 | |
| | 1,848 | | | Deere & Co. | | | 497,204 | |
See accompanying notes to the financial statements.
13
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 933 | | | Dover Corp. | | $ | 117,791 | |
| | 2,845 | | | Epiroc AB | | | 48,219 | |
| | 3,916 | | | Epiroc AB, Class A | | | 71,217 | |
| | 1,200 | | | FANUC Corp. | | | 295,505 | |
| | 1,947 | | | Fortive Corp. | | | 137,887 | |
| | 1,149 | | | GEA Group AG | | | 41,108 | |
| | 300 | | | Harmonic Drive Systems, Inc. | | | 26,843 | |
| | 1,800 | | | Hino Motors, Ltd. | | | 15,420 | |
| | 800 | | | Hitachi Construction Machinery Co., Ltd. | | | 22,815 | |
| | 200 | | | Hoshizaki Corp. | | | 18,381 | |
| | 476 | | | IDEX Corp. | | | 94,819 | |
| | 1,798 | | | Illinois Tool Works, Inc. | | | 366,576 | |
| | 2,289 | | | Ingersoll-Rand, Inc.* | | | 104,287 | |
| | 362 | | | Kion Group AG | | | 31,469 | |
| | 373 | | | Knorr-Bremse AG | | | 50,805 | |
| | 5,400 | | | Komatsu, Ltd. | | | 147,996 | |
| | 2,156 | | | Kone OYJ, Class B | | | 174,936 | |
| | 6,700 | | | Kubota Corp. | | | 146,395 | |
| | 800 | | | Kurita Water Industries, Ltd. | | | 30,627 | |
| | 1,300 | | | Makita Corp. | | | 65,267 | |
| | 1,900 | | | MINEBEA MITSUMI, Inc. | | | 37,806 | |
| | 1,600 | | | Misumi Group, Inc. | | | 52,558 | |
| | 1,700 | | | Mitsubishi Heavy Industries, Ltd. | | | 52,109 | |
| | 600 | | | Miura Co., Ltd. | | | 33,520 | |
| | 500 | | | Nabtesco Corp. | | | 21,952 | |
| | 2,000 | | | NGK Insulators, Ltd. | | | 30,930 | |
| | 323 | | | Nordson Corp. | | | 64,907 | |
| | 2,800 | | | NSK, Ltd. | | | 24,471 | |
| | 2,558 | | | Otis Worldwide Corp. | | | 172,793 | |
| | 2,197 | | | PACCAR, Inc. | | | 189,557 | |
| | 781 | | | Parker Hannifin Corp. | | | 212,752 | |
| | 1,179 | | | Pentair plc | | | 62,593 | |
| | 32 | | | Rational AG | | | 29,771 | |
| | 6,936 | | | Sandvik AB* | | | 169,624 | |
| | 251 | | | Schindler Holding AG | | | 67,798 | |
| | 95 | | | Schindler Holding AG, Registered Shares | | | 25,580 | |
| | 2,827 | | | SKF AB, Class B | | | 73,280 | |
| | 300 | | | SMC Corp. | | | 183,243 | |
| | 307 | | | Snap-On, Inc. | | | 52,540 | |
| | 441 | | | Spirax-Sarco Engineering plc | | | 68,149 | |
| | 984 | | | Stanley Black & Decker, Inc. | | | 175,703 | |
| | 1,000 | | | THK Co., Ltd. | | | 32,351 | |
| | 9,036 | | | Volvo AB, Class B | | | 212,736 | |
| | 1,131 | | | Wabtec Corp. | | | 82,789 | |
| | 3,440 | | | Wartsila OYJ Abp, Class B | | | 34,221 | |
| | 1,135 | | | Xylem, Inc. | | | 115,532 | |
| | | | | | | | |
| | | | | | | 6,258,270 | |
| | | | | | | | |
| Marine (0.1%): | | | |
| | 23 | | | A.P. Moeller — Maersk A/S, Class A | | | 47,736 | |
| | 41 | | | A.P. Moeller — Maersk A/S, Class B | | | 91,442 | |
| | 331 | | | Kuehne & Nagel International AG, Registered Shares | | | 75,060 | |
| | 600 | | | Nippon Yusen KK | | | 14,000 | |
| | | | | | | | |
| | | | | | | 228,238 | |
| | | | | | | | |
| Media (1.1%): | | | |
| | 4,894 | | | Altice Europe NV, Class A* | | | 31,859 | |
| | 1,443 | | | Altice USA, Inc., Class A* | | | 54,646 | |
| | 34 | | | Cable One, Inc. | | | 75,742 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 894 | | | Charter Communications, Inc., Class A* | | $ | 591,426 | |
| | 28,480 | | | Comcast Corp., Class A | | | 1,492,352 | |
| | 500 | | | Cyberagent, Inc. | | | 34,502 | |
| | 1,600 | | | Dentsu Group, Inc. | | | 47,618 | |
| | 1,927 | | | Discovery Communications, Inc., Class C* | | | 50,468 | |
| | 1,273 | | | Discovery, Inc., Class A*^ | | | 38,305 | |
| | 1,397 | | | DISH Network Corp., Class A* | | | 45,179 | |
| | 2,294 | | | Fox Corp., Class A | | | 66,801 | |
| | 1,218 | | | Fox Corp., Class B | | | 35,176 | |
| | 1,700 | | | Hakuhodo DY Holdings, Inc. | | | 23,371 | |
| | 10,104 | | | Informa plc* | | | 75,915 | |
| | 2,836 | | | Interpublic Group of Cos., Inc. (The) | | | 66,703 | |
| | 184 | | | Liberty Broadband Corp., Class A* | | | 28,995 | |
| | 637 | | | Liberty Broadband Corp., Class C* | | | 100,882 | |
| | 2,279 | | | Liberty Global plc, Series C* | | | 53,898 | |
| | 964 | | | Liberty Global plc, Class A* | | | 23,348 | |
| | 955 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | | 41,552 | |
| | 654 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 28,246 | |
| | 2,841 | | | News Corp., Class A | | | 51,053 | |
| | 1,344 | | | Omnicom Group, Inc. | | | 83,825 | |
| | 3,943 | | | Pearson plc | | | 36,518 | |
| | 1,183 | | | Publicis Groupe SA | | | 58,945 | |
| | 1,296 | | | Quebecor, Inc., Class B | | | 33,360 | |
| | 480 | | | Schibsted ASA, Class A* | | | 20,480 | |
| | 420 | | | Schibsted ASA, Class B* | | | 15,721 | |
| | 2,741 | | | SES Global, Class A | | | 25,924 | |
| | 2,684 | | | Shaw Communications, Inc., Class B | | | 47,113 | |
| | 8,083 | | | Sirius XM Holdings, Inc.^ | | | 51,489 | |
| | 3,645 | | | ViacomCBS, Inc., Class B | | | 135,813 | |
| | 7,264 | | | WPP plc | | | 78,912 | |
| | | | | | | | |
| | | | | | | 3,646,137 | |
| | | | | | | | |
| Metals & Mining (1.5%): | | | |
| | 1,594 | | | Agnico Eagle Mines, Ltd. | | | 112,207 | |
| | 7,759 | | | Anglo American plc | | | 258,393 | |
| | 2,725 | | | Antofagasta plc | | | 53,705 | |
| | 4,384 | | | ArcelorMittal* | | | 100,593 | |
| | 4,835 | | | B2Gold Corp. | | | 27,087 | |
| | 11,105 | | | Barrick Gold Corp. | | | 253,042 | |
| | 13,636 | | | BHP Group plc | | | 359,307 | |
| | 18,056 | | | BHP Group, Ltd. | | | 588,131 | |
| | 3,893 | | | BlueScope Steel, Ltd. | | | 52,593 | |
| | 1,532 | | | Boliden AB | | | 54,239 | |
| | 11,861 | | | Evolution Mining, Ltd. | | | 45,067 | |
| | 1,596 | | | EVRAZ plc | | | 10,298 | |
| | 3,016 | | | First Quantum Minerals, Ltd. | | | 54,149 | |
| | 10,418 | | | Fortescue Metals Group, Ltd. | | | 188,325 | |
| | 1,195 | | | Franco-Nevada Corp. | | | 149,857 | |
| | 8,950 | | | Freeport-McMoRan, Inc. | | | 232,879 | |
| | 1,169 | | | Fresnillo plc | | | 18,081 | |
| | 62,531 | | | Glencore plc* | | | 199,438 | |
| | 1,100 | | | Hitachi Metals, Ltd. | | | 16,759 | |
| | 3,900 | | | JFE Holdings, Inc.* | | | 37,459 | |
| | 8,423 | | | Kinross Gold Corp. | | | 61,814 | |
| | 1,658 | | | Kirkland Lake Gold, Ltd. | | | 68,524 | |
| | 4,863 | | | Lundin Mining Corp. | | | 43,177 | |
| | 5,020 | | | Newcrest Mining, Ltd. | | | 99,984 | |
| | 4,905 | | | Newmont Corp. | | | 293,761 | |
See accompanying notes to the financial statements.
14
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 4,800 | | | Nippon Steel Corp.* | | $ | 62,264 | |
| | 6,598 | | | Norsk Hydro ASA | | | 30,490 | |
| | 5,421 | | | Northern Star Resources, Ltd. | | | 52,443 | |
| | 1,932 | | | Nucor Corp. | | | 102,763 | |
| | 1,538 | | | Pan American Silver Corp. | | | 53,051 | |
| | 7,089 | | | Rio Tinto plc | | | 530,348 | |
| | 2,319 | | | Rio Tinto, Ltd. | | | 203,650 | |
| | 27,668 | | | South32, Ltd. | | | 52,746 | |
| | 1,390 | | | SSR Mining, Inc.* | | | 27,916 | |
| | 1,174 | | | Steel Dynamics, Inc. | | | 43,285 | |
| | 1,300 | | | Sumitomo Metal & Mining Co., Ltd. | | | 57,803 | |
| | 2,618 | | | Teck Cominco, Ltd., Class B | | | 47,518 | |
| | 477 | | | Voestalpine AG | | | 17,155 | |
| | 2,619 | | | Wheaton Precious Metals Corp. | | | 109,394 | |
| | 6,971 | | | Yamana Gold, Inc. | | | 39,820 | |
| | | | | | | | |
| | | | | | | 4,809,515 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 3,904 | | | AGNC Investment Corp. | | | 60,902 | |
| | 8,094 | | | Annaly Capital Management, Inc. | | | 68,395 | |
| | | | | | | | |
| | | | | | | 129,297 | |
| | | | | | | | |
| Multiline Retail (0.4%): | | | |
| | 319 | | | Canadian Tire Corp., Class A | | | 41,941 | |
| | 1,548 | | | Dollar General Corp. | | | 325,544 | |
| | 1,454 | | | Dollar Tree, Inc.* | | | 157,090 | |
| | 1,835 | | | Dollarama, Inc. | | | 74,801 | |
| | 1,500 | | | Marui Group Co., Ltd. | | | 26,395 | |
| | 807 | | | Next plc* | | | 78,245 | |
| | 2,600 | | | Pan Pacific International Holdings Corp. | | | 60,066 | |
| | 1,800 | | | Ryohin Keikaku Co., Ltd. | | | 36,778 | |
| | 3,141 | | | Target Corp. | | | 554,481 | |
| | | | | | | | |
| | | | | | | 1,355,341 | |
| | | | | | | | |
| Multi-Utilities (0.8%): | | | |
| | 3,493 | | | AGL Energy, Ltd. | | | 32,201 | |
| | 3,348 | | | Algonquin Power & Utilities Corp. | | | 55,112 | |
| | 1,556 | | | Ameren Corp. | | | 121,461 | |
| | 325 | | | Atco, Ltd. | | | 9,318 | |
| | 993 | | | Canadian Utilities, Ltd., Class A | | | 24,257 | |
| | 2,940 | | | CenterPoint Energy, Inc. | | | 63,622 | |
| | 1,833 | | | CMS Energy Corp. | | | 111,831 | |
| | 2,067 | | | Consolidated Edison, Inc. | | | 149,382 | |
| | 5,132 | | | Dominion Energy, Inc. | | | 385,927 | |
| | 1,252 | | | DTE Energy Co. | | | 152,005 | |
| | 12,693 | | | E.ON SE | | | 140,557 | |
| | 11,135 | | | Engie Group | | | 170,468 | |
| | 22,001 | | | National Grid plc | | | 262,006 | |
| | 2,706 | | | NiSource, Inc. | | | 62,076 | |
| | 3,177 | | | Public Service Enterprise Group, Inc. | | | 185,219 | |
| | 4,039 | | | RWE AG | | | 170,568 | |
| | 1,855 | | | Sempra Energy | | | 236,346 | |
| | 2,567 | | | Suez | | | 50,877 | |
| | 3,222 | | | Veolia Environnement SA | | | 78,818 | |
| | 2,007 | | | WEC Energy Group, Inc. | | | 184,704 | |
| | | | | | | | |
| | | | | | | 2,646,755 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.6%): | | | |
| | 1,849 | | | Ampol, Ltd. | | | 40,544 | |
| | 128,441 | | | BP plc | | | 442,383 | |
| | 2,285 | | | Cabot Oil & Gas Corp. | | | 37,200 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 3,160 | | | Cameco Corp. | | $ | 42,334 | |
| | 7,666 | | | Canadian Natural Resources, Ltd. | | | 184,256 | |
| | 7,554 | | | Cenovus Energy, Inc. | | | 45,999 | |
| | 1,449 | | | Cheniere Energy, Inc.* | | | 86,983 | |
| | 12,084 | | | Chevron Corp. | | | 1,020,494 | |
| | 1,219 | | | Concho Resources, Inc. | | | 71,129 | |
| | 6,701 | | | ConocoPhillips | | | 267,973 | |
| | 595 | | | Enagas SA | | | 13,064 | |
| | 12,397 | | | Enbridge, Inc. | | | 396,545 | |
| | 19,850 | | | ENEOS Holdings, Inc. | | | 71,373 | |
| | 15,583 | | | ENI SpA | | | 161,284 | |
| | 3,582 | | | EOG Resources, Inc. | | | 178,634 | |
| | 6,509 | | | Equinor ASA | | | 108,170 | |
| | 26,215 | | | Exxon Mobil Corp. | | | 1,080,583 | |
| | 2,569 | | | Galp Energia SGPS SA | | | 27,477 | |
| | 1,763 | | | Hess Corp. | | | 93,069 | |
| | 1,482 | | | Idemitsu Kosan Co., Ltd. | | | 32,637 | |
| | 2,002 | | | Imperial Oil, Ltd. | | | 38,004 | |
| | 7,700 | | | INPEX Corp. | | | 41,617 | |
| | 3,047 | | | Inter Pipeline, Ltd. | | | 28,418 | |
| | 1,625 | | | Keyera Corp. | | | 28,882 | |
| | 13,097 | | | Kinder Morgan, Inc. | | | 179,036 | |
| | 334 | | | Koninklijke Vopak NV | | | 17,512 | |
| | 1,394 | | | Lundin Energy AB | | | 37,660 | |
| | 4,229 | | | Marathon Petroleum Corp. | | | 174,911 | |
| | 2,543 | | | Neste Oyj | | | 183,681 | |
| | 5,220 | | | Occidental Petroleum Corp. | | | 90,358 | |
| | 11,878 | | | Oil Search, Ltd. | | | 33,984 | |
| | 1,126 | | | OMV AG | | | 45,452 | |
| | 2,784 | | | ONEOK, Inc. | | | 106,850 | |
| | 9,482 | | | Origin Energy, Ltd. | | | 34,842 | |
| | 613 | | | Parkland Corp. | | | 19,454 | |
| | 3,272 | | | Pembina Pipeline Corp. | | | 77,384 | |
| | 2,606 | | | Phillips 66 | | | 182,264 | |
| | 1,027 | | | Pioneer Natural Resources Co. | | | 116,965 | |
| | 9,151 | | | Repsol SA | | | 92,240 | |
| | 25,244 | | | Royal Dutch Shell plc, Class A | | | 448,099 | |
| | 22,735 | | | Royal Dutch Shell plc, Class B | | | 391,627 | |
| | 9,440 | | | Santos, Ltd. | | | 45,645 | |
| | 12,913 | | | Snam SpA | | | 72,505 | |
| | 9,318 | | | Suncor Energy, Inc. | | | 156,313 | |
| | 5,854 | | | TC Energy Corp. | | | 238,034 | |
| | 15,507 | | | TOTAL SE | | | 668,856 | |
| | 2,674 | | | Valero Energy Corp. | | | 151,268 | |
| | 518 | | | Washington H. Soul Pattinson & Co., Ltd. | | | 12,026 | |
| | 7,343 | | | Williams Cos., Inc. | | | 147,227 | |
| | 6,009 | | | Woodside Petroleum, Ltd. | | | 105,366 | |
| | | | | | | | |
| | | | | | | 8,368,611 | |
| | | | | | | | |
| Paper & Forest Products (0.1%): | | | |
| | 2,839 | | | Mondi plc | | | 66,996 | |
| | 6,500 | | | Oji Holdings Corp. | | | 37,031 | |
| | 3,431 | | | Stora Enso OYJ, Registered Shares, Class R | | | 65,519 | |
| | 3,362 | | | Svenska Cellulosa AB SCA, Class B* | | | 58,663 | |
| | 3,235 | | | UPM-Kymmene OYJ | | | 120,342 | |
| | | | | | | | |
| | | | | | | 348,551 | |
| | | | | | | | |
See accompanying notes to the financial statements.
15
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Personal Products (0.8%): | | | |
| | 626 | | | Beiersdorf AG | | $ | 72,164 | |
| | 1,377 | | | Estee Lauder Co., Inc. (The), Class A | | | 366,544 | |
| | 3,100 | | | Kao Corp. | | | 239,712 | |
| | 200 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 24,453 | |
| | 200 | | | Kose Corp. | | | 34,185 | |
| | 1,569 | | | L’Oreal SA | | | 596,075 | |
| | 400 | | | Pola Orbis Holdings, Inc. | | | 8,130 | |
| | 2,600 | | | Shiseido Co., Ltd. | | | 180,379 | |
| | 16,411 | | | Unilever plc | | | 987,752 | |
| | | | | | | | |
| | | | | | | 2,509,394 | |
| | | | | | | | |
| Pharmaceuticals (5.0%): | | | |
| | 12,000 | | | Astellas Pharma, Inc. | | | 185,541 | |
| | 8,256 | | | AstraZeneca plc | | | 824,725 | |
| | 1,545 | | | Bausch Health Cos., Inc.* | | | 32,061 | |
| | 6,163 | | | Bayer AG, Registered Shares | | | 362,201 | |
| | 13,942 | | | Bristol-Myers Squibb Co. | | | 864,822 | |
| | 1,580 | | | Canopy Growth Corp.*^ | | | 38,882 | |
| | 970 | | | Catalent, Inc.* | | | 100,948 | |
| | 4,100 | | | Chugai Pharmaceutical Co., Ltd. | | | 218,926 | |
| | 10,800 | | | Daiichi Sankyo Co., Ltd. | | | 370,281 | |
| | 1,600 | | | Eisai Co., Ltd. | | | 114,495 | |
| | 2,689 | | | Elanco Animal Health, Inc.* | | | 82,472 | |
| | 5,380 | | | Eli Lilly & Co. | | | 908,359 | |
| | 31,561 | | | GlaxoSmithKline plc | | | 578,208 | |
| | 256 | | | H. Lundbeck A/S | | | 8,771 | |
| | 1,065 | | | Hikma Pharmaceuticals plc | | | 36,680 | |
| | 300 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 17,839 | |
| | 1,398 | | | Horizon Therapeutics plc* | | | 102,264 | |
| | 283 | | | Ipsen SA | | | 23,527 | |
| | 306 | | | Jazz Pharmaceuticals plc* | | | 50,505 | |
| | 16,346 | | | Johnson & Johnson | | | 2,572,532 | |
| | 1,800 | | | Kyowa Kirin Co., Ltd. | | | 49,203 | |
| | 15,759 | | | Merck & Co., Inc. | | | 1,289,086 | |
| | 849 | | | Merck KGaA | | | 145,511 | |
| | 200 | | | Nippon Shinyaku Co., Ltd. | | | 13,137 | |
| | 13,815 | | | Novartis AG, Registered Shares | | | 1,305,280 | |
| | 10,950 | | | Novo Nordisk A/S, Class B | | | 766,030 | |
| | 2,300 | | | Ono Pharmaceutical Co., Ltd. | | | 69,325 | |
| | 791 | | | Orion OYJ, Class B | | | 36,254 | |
| | 2,500 | | | Otsuka Holdings Co., Ltd. | | | 107,204 | |
| | 644 | | | Perrigo Co. plc | | | 28,800 | |
| | 34,601 | | | Pfizer, Inc. | | | 1,273,663 | |
| | 529 | | | Recordati SpA | | | 29,234 | |
| | 4,396 | | | Roche Holding AG | | | 1,534,320 | |
| | 722 | | | Royalty Pharma plc, Class A^ | | | 36,136 | |
| | 7,172 | | | Sanofi | | | 692,873 | |
| | 2,700 | | | Santen Pharmaceutical Co., Ltd. | | | 43,867 | |
| | 1,800 | | | Shionogi & Co., Ltd. | | | 98,405 | |
| | 1,300 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 19,182 | |
| | 300 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 20,229 | |
| | 10,150 | | | Takeda Pharmacuetical Co., Ltd. | | | 368,008 | |
| | 6,517 | | | Teva Pharmaceutical Industries, Ltd., ADR* | | | 62,889 | |
| | 838 | | | UCB SA | | | 86,606 | |
| | 3,419 | | | Viatris, Inc.* | | | 64,072 | |
| | 228 | | | Vifor Pharma AG | | | 35,954 | |
| | 2,942 | | | Zoetis, Inc. | | | 486,901 | |
| | | | | | | | |
| | | | | | | 16,156,208 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services (0.8%): | | | |
| | 894 | | | Adecco SA, Registered Shares | | $ | 59,965 | |
| | 2,096 | | | Bureau Veritas SA | | | 55,744 | |
| | 248 | | | CoStar Group, Inc.* | | | 229,222 | |
| | 730 | | | Equifax, Inc. | | | 140,773 | |
| | 5,912 | | | Experian plc | | | 225,243 | |
| | 2,418 | | | IHS Markit, Ltd. | | | 217,208 | |
| | 978 | | | Intertek Group plc | | | 75,566 | |
| | 800 | | | Nihon M&A Center, Inc. | | | 53,544 | |
| | 1,300 | | | Persol Holdings Co., Ltd. | | | 23,502 | |
| | 622 | | | Randstad NV | | | 40,484 | |
| | 8,600 | | | Recruit Holdings Co., Ltd. | | | 360,767 | |
| | 11,792 | | | RELX plc | | | 290,003 | |
| | 640 | | | Robert Half International, Inc. | | | 39,987 | |
| | 1,724 | | | Seek, Ltd. | | | 37,949 | |
| | 35 | | | SGS SA, Registered Shares | | | 105,549 | |
| | 365 | | | Teleperformance | | | 121,024 | |
| | 1,057 | | | Thomson Reuters Corp. | | | 86,523 | |
| | 1,215 | | | TransUnion | | | 120,552 | |
| | 974 | | | Verisk Analytics, Inc. | | | 202,193 | |
| | 1,720 | | | Wolters Kluwer NV | | | 145,155 | |
| | | | | | | | |
| | | | | | | 2,630,953 | |
| | | | | | | | |
| Real Estate Management & Development (0.6%): | | | |
| | 400 | | | AEON Mall Co., Ltd. | | | 6,626 | |
| | 5,265 | | | Aroundtown SA | | | 39,367 | |
| | 75 | | | Azrieli Group | | | 4,778 | |
| | 14,700 | | | CapitaLand, Ltd. | | | 36,445 | |
| | 2,064 | | | CBRE Group, Inc., Class A* | | | 129,454 | |
| | 3,700 | | | City Developments, Ltd. | | | 22,332 | |
| | 14,500 | | | CK Asset Holdings, Ltd. | | | 74,584 | |
| | 500 | | | Daito Trust Construction Co., Ltd. | | | 46,771 | |
| | 3,600 | | | Daiwa House Industry Co., Ltd. | | | 107,474 | |
| | 2,062 | | | Deutsche Wohnen SE | | | 110,061 | |
| | 10,600 | | | ESR Cayman, Ltd.* | | | 38,098 | |
| | 643 | | | Fastighets AB Balder* | | | 33,610 | |
| | 248 | | | FirstService Corp. | | | 33,949 | |
| | 10,000 | | | Hang Lung Properties, Ltd. | | | 26,468 | |
| | 11,324 | | | Henderson Land Development Co., Ltd. | | | 44,211 | |
| | 7,400 | | | Hongkong Land Holdings, Ltd. | | | 30,570 | |
| | 2,400 | | | Hulic Co., Ltd. | | | 26,397 | |
| | 400 | | | LEG Immobilien AG | | | 62,007 | |
| | 4,194 | | | Lend Lease Group | | | 42,392 | |
| | 7,500 | | | Mitsubishi Estate Co., Ltd. | | | 121,138 | |
| | 5,800 | | | Mitsui Fudosan Co., Ltd. | | | 122,269 | |
| | 8,827 | | | New World Development Co., Ltd. | | | 41,128 | |
| | 1,000 | | | Nomura Real Estate Holdings, Inc. | | | 22,247 | |
| | 24,117 | | | Sino Land Co., Ltd. | | | 31,433 | |
| | 1,900 | | | Sumitomo Realty & Development Co., Ltd. | | | 58,716 | |
| | 8,000 | | | Sun Hung Kai Properties, Ltd. | | | 103,286 | |
| | 4,000 | | | Swire Pacific, Ltd., Class A | | | 22,243 | |
| | 9,800 | | | Swire Properties, Ltd. | | | 28,560 | |
| | 556 | | | Swiss Prime Site AG | | | 54,680 | |
| | 4,600 | | | Tokyu Fudosan Holdings Corp. | | | 24,589 | |
| | 1,769 | | | UOL Group, Ltd. | | | 10,345 | |
| | 3,357 | | | Vonovia SE | | | 244,768 | |
| | 12,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 62,571 | |
| | | | | | | | |
| | | | | | | 1,863,567 | |
| | | | | | | | |
See accompanying notes to the financial statements.
16
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail (1.3%): | | | |
| | 68 | | | AMERCO, Inc. | | $ | 30,869 | |
| | 10,863 | | | Aurizon Holdings, Ltd. | | | 32,686 | |
| | 4,404 | | | Canadian National Railway Co. | | | 484,243 | |
| | 874 | | | Canadian Pacific Railway, Ltd., Class 1 | | | 303,211 | |
| | 1,000 | | | Central Japan Railway Co. | | | 142,059 | |
| | 4,729 | | | CSX Corp. | | | 429,157 | |
| | 1,317 | | | DSV PANALPINA A/S | | | 220,443 | |
| | 1,900 | | | East Japan Railway Co. | | | 127,203 | |
| | 1,200 | | | Hankyu Hanshin Holdings, Inc. | | | 40,017 | |
| | 529 | | | J.B. Hunt Transport Services, Inc. | | | 72,288 | |
| | 602 | | | Kansas City Southern | | | 122,886 | |
| | 1,700 | | | Keikyu Corp. | | | 29,242 | |
| | 500 | | | Keio Corp. | | | 38,826 | |
| | 1,000 | | | Keisei Electric Railway Co., Ltd. | | | 33,914 | |
| | 900 | | | Kintetsu Group Holdings Co., Ltd. | | | 39,502 | |
| | 604 | | | Knight-Swift Transportation Holdings, Inc. | | | 25,259 | |
| | 1,200 | | | Kyushu Railway Co. | | | 25,928 | |
| | 8,500 | | | MTR Corp., Ltd. | | | 47,548 | |
| | 1,400 | | | Nagoya Railroad Co., Ltd.^ | | | 36,974 | |
| | 300 | | | Nippon Express Co., Ltd. | | | 20,186 | |
| | 1,561 | | | Norfolk Southern Corp. | | | 370,909 | |
| | 1,600 | | | Odakyu Electric Railway Co., Ltd. | | | 50,302 | |
| | 586 | | | Old Dominion Freight Line, Inc. | | | 114,375 | |
| | 900 | | | Tobu Railway Co., Ltd. | | | 26,924 | |
| | 2,600 | | | Tokyu Corp. | | | 32,351 | |
| | 6,034 | | | Uber Technologies, Inc.* | | | 307,734 | |
| | 4,256 | | | Union Pacific Corp. | | | 886,185 | |
| | 1,200 | | | West Japan Railway Co. | | | 63,094 | |
| | | | | | | | |
| | | | | | | 4,154,315 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (4.1%): | | | |
| | 7,379 | | | Advanced Micro Devices, Inc.* | | | 676,728 | |
| | 1,200 | | | Advantest Corp. | | | 90,105 | |
| | 2,355 | | | Analog Devices, Inc. | | | 347,904 | |
| | 5,654 | | | Applied Materials, Inc. | | | 487,940 | |
| | 2,200 | | | ASM Pacific Technology, Ltd. | | | 29,042 | |
| | 2,666 | | | ASML Holding NV | | | 1,288,212 | |
| | 2,525 | | | Broadcom, Inc. | | | 1,105,571 | |
| | 200 | | | Disco Corp. | | | 67,468 | |
| | 8,108 | | | Infineon Technologies AG | | | 311,118 | |
| | 26,415 | | | Intel Corp. | | | 1,315,995 | |
| | 949 | | | KLA Corp. | | | 245,706 | |
| | 910 | | | Lam Research Corp. | | | 429,766 | |
| | 400 | | | Lasertec Corp. | | | 47,060 | |
| | 4,290 | | | Marvell Technology Group, Ltd. | | | 203,947 | |
| | 1,606 | | | Maxim Integrated Products, Inc. | | | 142,372 | |
| | 1,627 | | | Microchip Technology, Inc. | | | 224,705 | |
| | 7,025 | | | Micron Technology, Inc.* | | | 528,140 | |
| | 271 | | | Monolithic Power Systems, Inc. | | | 99,248 | |
| | 3,829 | | | NVIDIA Corp. | | | 1,999,504 | |
| | 1,711 | | | NXP Semiconductors NV | | | 272,066 | |
| | 2,395 | | | ON Semiconductor Corp.* | | | 78,388 | |
| | 752 | | | Qorvo, Inc.* | | | 125,035 | |
| | 7,086 | | | Qualcomm, Inc. | | | 1,079,481 | |
| | 4,000 | | | Renesas Electronics Corp.* | | | 41,978 | |
| | 400 | | | ROHM Co., Ltd. | | | 38,804 | |
| | 1,058 | | | Skyworks Solutions, Inc. | | | 161,747 | |
| | 318 | | | SolarEdge Technologies, Inc.* | | | 101,480 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 3,879 | | | STMicroelectronics NV | | $ | 143,699 | |
| | 1,900 | | | SUMCO Corp. | | | 41,722 | |
| | 1,089 | | | Teradyne, Inc. | | | 130,560 | |
| | 5,617 | | | Texas Instruments, Inc. | | | 921,918 | |
| | 900 | | | Tokyo Electron, Ltd. | | | 335,736 | |
| | 1,504 | | | Xilinx, Inc. | | | 213,222 | |
| | | | | | | | |
| | | | | | | 13,326,367 | |
| | | | | | | | |
| Software (6.6%): | | | |
| | 2,979 | | | Adobe, Inc.* | | | 1,489,857 | |
| | 518 | | | ANSYS, Inc.* | | | 188,448 | |
| | 1,377 | | | Autodesk, Inc.* | | | 420,453 | |
| | 455 | | | Avalara, Inc.* | | | 75,025 | |
| | 821 | | | AVEVA Group plc | | | 35,837 | |
| | 2,273 | | | BlackBerry, Ltd.* | | | 15,074 | |
| | 1,751 | | | Cadence Design Systems, Inc.* | | | 238,889 | |
| | 843 | | | Ceridian HCM Holding, Inc.* | | | 89,830 | |
| | 707 | | | Check Point Software Technologies, Ltd.* | | | 93,967 | |
| | 744 | | | Citrix Systems, Inc. | | | 96,794 | |
| | 978 | | | Cloudflare, Inc., Class A* | | | 74,318 | |
| | 131 | | | Constellation Software, Inc. | | | 170,135 | |
| | 438 | | | Coupa Software, Inc.* | | | 148,443 | |
| | 871 | | | Crowdstrike Holdings, Inc., Class A* | | | 184,495 | |
| | 289 | | | CyberArk Software, Ltd.* | | | 46,700 | |
| | 804 | | | Dassault Systemes SA | | | 163,306 | |
| | 964 | | | Datadog, Inc., Class A* | | | 94,896 | |
| | 1,099 | | | DocuSign, Inc.* | | | 244,308 | |
| | 1,830 | | | Dropbox, Inc., Class A* | | | 40,608 | |
| | 926 | | | Dynatrace, Inc.* | | | 40,068 | |
| | 177 | | | Fair Isaac Corp.* | | | 90,454 | |
| | 857 | | | Fortinet, Inc.* | | | 127,290 | |
| | 487 | | | Guidewire Software, Inc.* | | | 62,692 | |
| | 275 | | | HubSpot, Inc.* | | | 109,021 | |
| | 1,635 | | | Intuit, Inc. | | | 621,055 | |
| | 44,735 | | | Microsoft Corp. | | | 9,949,960 | |
| | 423 | | | Nemetschek SE | | | 31,216 | |
| | 377 | | | NICE Systems, Ltd.* | | | 106,586 | |
| | 3,948 | | | NortonLifeLock, Inc. | | | 82,039 | |
| | 1,721 | | | Open Text Corp. | | | 78,214 | |
| | 300 | | | Oracle Corp. | | | 39,043 | |
| | 12,412 | | | Oracle Corp. | | | 802,932 | |
| | 317 | | | Paycom Software, Inc.* | | | 143,363 | |
| | 652 | | | PTC, Inc.* | | | 77,986 | |
| | 449 | | | RingCentral, Inc., Class A* | | | 170,158 | |
| | 6,424 | | | Sage Group plc | | | 51,161 | |
| | 5,695 | | | salesforce.com, Inc.* | | | 1,267,308 | |
| | 6,506 | | | SAP SE | | | 854,834 | |
| | 1,196 | | | ServiceNow, Inc.* | | | 658,314 | |
| | 2,254 | | | Slack Technologies, Inc., Class A* | | | 95,209 | |
| | 981 | | | Splunk, Inc.* | | | 166,662 | |
| | 1,454 | | | SS&C Technologies Holdings, Inc. | | | 105,779 | |
| | 939 | | | Synopsys, Inc.* | | | 243,426 | |
| | 952 | | | TeamViewer AG* | | | 50,978 | |
| | 373 | | | Temenos AG | | | 52,064 | |
| | 265 | | | The Trade Desk, Inc., Class A* | | | 212,265 | |
| | 244 | | | Topicus.com, Inc.* | | | 921 | |
| | 700 | | | Trend Micro, Inc. | | | 40,306 | |
| | 246 | | | Tyler Technologies, Inc.* | | | 107,384 | |
See accompanying notes to the financial statements.
17
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 498 | | | VMware, Inc., Class A*^ | | $ | 69,849 | |
| | 564 | | | WiseTech Global, Ltd. | | | 13,350 | |
| | 1,127 | | | Workday, Inc., Class A* | | | 270,040 | |
| | 770 | | | Xero, Ltd.* | | | 87,646 | |
| | 732 | | | Zendesk, Inc.* | | | 104,764 | |
| | 1,098 | | | Zoom Video Communications, Inc., Class A* | | | 370,377 | |
| | 475 | | | Zscaler, Inc.* | | | 94,862 | |
| | | | | | | | |
| | | | | | | 21,360,959 | |
| | | | | | | | |
| Specialty Retail (1.7%): | | | |
| | 100 | | | ABC-Mart, Inc. | | | 5,565 | |
| | 433 | | | Advance Auto Parts, Inc. | | | 68,202 | |
| | 147 | | | AutoZone, Inc.* | | | 174,260 | |
| | 1,469 | | | Best Buy Co, Inc. | | | 146,592 | |
| | 416 | | | Burlington Stores, Inc.* | | | 108,805 | |
| | 1,065 | | | CarMax, Inc.* | | | 100,600 | |
| | 397 | | | Carvana Co.* | | | 95,097 | |
| | 300 | | | Fast Retailing Co., Ltd. | | | 269,242 | |
| | 5,029 | | | Hennes & Mauritz AB, Class B* | | | 105,096 | |
| | 100 | | | Hikari Tsushin, Inc. | | | 23,386 | |
| | 6,711 | | | Home Depot, Inc. (The) | | | 1,782,575 | |
| | 6,922 | | | Industria de Diseno Textil SA | | | 220,382 | |
| | 3,319 | | | JD Sports Fashion plc* | | | 39,096 | |
| | 11,535 | | | Kingfisher plc* | | | 42,677 | |
| | 4,697 | | | Lowe’s Cos., Inc. | | | 753,915 | |
| | 500 | | | Nitori Co., Ltd. | | | 104,839 | |
| | 467 | | | O’Reilly Automotive, Inc.* | | | 211,350 | |
| | 2,228 | | | Ross Stores, Inc.* | | | 273,621 | |
| | 100 | | | Shimamura Co., Ltd. | | | 10,492 | |
| | 682 | | | Tiffany & Co. | | | 89,649 | |
| | 7,386 | | | TJX Cos., Inc. (The) | | | 504,390 | |
| | 779 | | | Tractor Supply Co. | | | 109,512 | |
| | 339 | | | Ulta Beauty, Inc.* | | | 97,347 | |
| | 1,700 | | | USS Co., Ltd. | | | 34,395 | |
| | 5,400 | | | Yamada Holdings Co., Ltd. | | | 28,697 | |
| | | | | | | | |
| | | | | | | 5,399,782 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (4.8%): | | | |
| | 106,420 | | | Apple, Inc. | | | 14,120,869 | |
| | 1,000 | | | Brother Industries, Ltd. | | | 20,647 | |
| | 6,300 | | | Canon, Inc. | | | 120,999 | |
| | 1,535 | | | Dell Technologies, Inc., Class C* | | | 112,500 | |
| | 2,300 | | | FUJIFILM Holdings Corp. | | | 121,319 | |
| | 8,053 | | | Hewlett Packard Enterprise Co. | | | 95,428 | |
| | 9,184 | | | HP, Inc. | | | 225,834 | |
| | 1,016 | | | Logitech International SA, Class R | | | 98,574 | |
| | 1,600 | | | NEC Corp. | | | 85,681 | |
| | 1,453 | | | NetApp, Inc. | | | 96,247 | |
| | 5,000 | | | Ricoh Co., Ltd. | | | 32,833 | |
| | 1,491 | | | Seagate Technology plc | | | 92,681 | |
| | 2,200 | | | Seiko Epson Corp. | | | 32,706 | |
| | 1,809 | | | Western Digital Corp. | | | 100,201 | |
| | | | | | | | |
| | | | | | | 15,356,519 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.3%): | | | |
| | 1,190 | | | Adidas AG* | | | 433,141 | |
| | 2,277 | | | Burberry Group plc* | | | 55,766 | |
| | 3,421 | | | Cie Financiere Richemont SA | | | 309,234 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods, continued | | | |
| | 861 | | | Gildan Activewear, Inc. | | $ | 24,077 | |
| | 199 | | | Hermes International SA | | | 213,968 | |
| | 487 | | | Kering | | | 354,002 | |
| | 772 | | | Lululemon Athletica, Inc.* | | | 268,679 | |
| | 1,723 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 1,076,445 | |
| | 1,185 | | | Moncler SpA | | | 72,473 | |
| | 7,755 | | | Nike, Inc., Class B | | | 1,097,100 | |
| | 565 | | | Pandora A/S | | | 63,131 | |
| | 629 | | | Puma SE* | | | 70,910 | |
| | 196 | | | Swatch Group AG (The), Class B | | | 53,438 | |
| | 199 | | | Swatch Group AG (The), Registered Shares | | | 10,508 | |
| | 2,034 | | | VF Corp. | | | 173,724 | |
| | | | | | | | |
| | | | | | | 4,276,596 | |
| | | | | | | | |
| Tobacco (0.7%): | | | |
| | 11,553 | | | Altria Group, Inc. | | | 473,673 | |
| | 14,113 | | | British American Tobacco plc | | | 524,854 | |
| | 5,754 | | | Imperial Brands plc, Class A | | | 120,881 | |
| | 8,000 | | | Japan Tobacco, Inc. | | | 163,052 | |
| | 9,711 | | | Philip Morris International, Inc. | | | 803,974 | |
| | 1,054 | | | Swedish Match AB, Class B | | | 81,914 | |
| | | | | | | | |
| | | | | | | 2,168,348 | |
| | | | | | | | |
| Trading Companies & Distributors (0.6%): | | | |
| | 2,947 | | | Ashtead Group plc | | | 138,661 | |
| | 900 | | | Brenntag AG | | | 69,641 | |
| | 1,969 | | | Bunzl plc | | | 65,807 | |
| | 3,578 | | | Fastenal Co. | | | 174,714 | |
| | 1,360 | | | Ferguson plc | | | 165,367 | |
| | 8,600 | | | Itochu Corp. | | | 247,727 | |
| | 9,300 | | | Marubeni Corp. | | | 61,995 | |
| | 8,500 | | | Mitsubishi Corp. | | | 209,648 | |
| | 10,200 | | | Mitsui & Co., Ltd. | | | 187,159 | |
| | 700 | | | MonotaRo Co., Ltd. | | | 35,598 | |
| | 8,100 | | | Sumitomo Corp. | | | 107,384 | |
| | 522 | | | Toromont Industries, Ltd. | | | 36,586 | |
| | 1,100 | | | Toyota Tsushu Corp. | | | 44,512 | |
| | 473 | | | United Rentals, Inc.* | | | 109,693 | |
| | 297 | | | W.W. Grainger, Inc. | | | 121,277 | |
| | | | | | | | |
| | | | | | | 1,775,769 | |
| | | | | | | | |
| Transportation Infrastructure (0.2%): | | | |
| | 429 | | | Aena SME SA* | | | 74,901 | |
| | 215 | | | Aeroports de Paris* | | | 27,906 | |
| | 2,737 | | | Atlantia SpA* | | | 49,132 | |
| | 7,444 | | | Auckland International Airport, Ltd.* | | | 40,672 | |
| | 3,224 | | | Getlink SE | | | 55,877 | |
| | 400 | | | Japan Airport Terminal Co., Ltd. | | | 24,299 | |
| | 7,066 | | | Sydney Airport* | | | 34,938 | |
| | 16,970 | | | Transurban Group | | | 178,847 | |
| | | | | | | | |
| | | | | | | 486,572 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 1,114 | | | American Water Works Co., Inc. | | | 170,966 | |
| | 1,615 | | | Essential Utilities, Inc. | | | 76,373 | |
| | 1,276 | | | Severn Trent plc | | | 39,958 | |
| | 5,043 | | | United Utilities Group plc | | | 62,018 | |
| | | | | | | | |
| | | | | | | 349,315 | |
| | | | | | | | |
See accompanying notes to the financial statements.
18
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Wireless Telecommunication Services (0.7%): | | | |
| | 10,300 | | | KDDI Corp. | | $ | 305,928 | |
| | 2,035 | | | Rogers Communications, Inc., Class B | | | 94,755 | |
| | 17,700 | | | Softbank Corp. | | | 221,931 | |
| | 9,800 | | | SoftBank Group Corp. | | | 767,604 | |
| | 3,563 | | | Tele2 AB | | | 47,117 | |
| | 3,411 | | | T-Mobile USA, Inc.* | | | 459,973 | |
| | 165,565 | | | Vodafone Group plc | | | 272,419 | |
| | | | | | | | |
| | | | | | | 2,169,727 | |
| | | | | | | | |
| | Total Common Stocks (Cost $250,273,751) | | | 319,158,195 | |
| | | | | |
| Preferred Stocks (0.1%): | | | |
| Automobiles (0.1%): | | | |
| | 468 | | | Bayerische Motoren Werke AG (BMW), 4.56%, 5/15/20 | | | 31,558 | |
| | 966 | | | Porsche Automobil Holding SE, 3.92%, 5/20/20 | | | 66,577 | |
| | 1,179 | | | Volkswagen AG, 3.19%, 5/8/20 | | | 219,631 | |
| | | | | | | | |
| | | | | | | 317,766 | |
| | | | | | | | |
| Household Products (0.0%†): | | | |
| | 1,106 | | | Henkel AG & Co. KGaA, 2.01%, 4/21/20 | | | 124,613 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $419,588) | | | 442,379 | |
| | | | | |
| Right (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 9,151 | | | Repsol SA, Expires on 1/11/21* | | | 3,138 | |
| | | | | | | | |
| | Total Right (Cost $3,231) | | | 3,138 | |
| | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.4%): | |
| | 1,295,392 | | | BlackRock Liquidity FedFund, Institutional Class, 0.38%(a)(b) | | | 1,295,392 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities
on Loan (Cost $1,295,392) | | | 1,295,392 | |
| | | | | |
| Unaffiliated Investment Companies (0.3%): | | | |
| Money Markets (0.3%): | | | |
| | 970,403 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 970,403 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $970,403) | | | 970,403 | |
| | | | | |
| | Total Investment Securities (Cost $252,962,365) — 100.1%(c) | | | 321,869,507 | |
| | Net other assets (liabilities) — (0.1)% | | | (232,645 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 321,636,862 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $1,226,831. |
| † | Represents less than 0.05%. |
| (a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (b) | The rate represents the effective yield at December 31, 2020. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
19
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2020
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of December 31, 2020:
| | | | | |
| Country | | Percentage |
| |
Argentina | | | | 0.1 | % |
Australia | | | | 2.2 | % |
Austria | | | | 0.1 | % |
Belgium | | | | 0.3 | % |
Bermuda | | | | 0.2 | % |
Canada | | | | 3.2 | % |
Denmark | | | | 0.8 | % |
Finland | | | | 0.4 | % |
France | | | | 3.2 | % |
Germany | | | | 2.8 | % |
Hong Kong | | | | 1.0 | % |
Ireland | | | | 0.9 | % |
Isle of Man | | | | — | %† |
Israel | | | | 0.2 | % |
Italy | | | | 0.7 | % |
Japan | | | | 7.8 | % |
| | | | | |
| Country | | Percentage |
Jersey | | | | — | %† |
Liberia | | | | — | %† |
Luxembourg | | | | 0.1 | % |
Netherlands | | | | 1.6 | % |
New Zealand | | | | 0.1 | % |
Norway | | | | 0.2 | % |
Panama | | | | — | %† |
Portugal | | | | 0.1 | % |
Singapore | | | | 0.3 | % |
Spain | | | | 0.7 | % |
Sweden | | | | 1.0 | % |
Switzerland | | | | 3.2 | % |
United Kingdom | | | | 4.6 | % |
United States | | | | 64.2 | % |
| | | | | |
| | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
DJ EURO STOXX 50 March Futures (Euro) | | | 3/19/21 | | | | 6 | | | $ | 260,178 | | | $ | 1,079 | |
FTSE 100 Index March Futures (British Pounds) | | | 3/19/21 | | | | 2 | | | | 175,561 | | | | (855 | ) |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/19/21 | | | | 8 | | | | 1,499,520 | | | | 27,820 | |
SGX Nikkei 225 Index March Futures (Japanese Yen) | | | 3/11/21 | | | | 2 | | | | 266,273 | | | | (734 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 27,310 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
20
AZL MSCI Global Equity Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 251,945,468 | |
Investments in affiliates, at cost | | | | 1,016,897 | |
| | | | | |
| | | | | |
Investment securities, at value(a) | | | $ | 320,534,915 | |
Investments in affiliates, at value | | | | 1,334,592 | |
Cash | | | | 1,454 | |
Deposit at broker for futures contracts collateral | | | | 155,622 | |
Interest and dividends receivable | | | | 247,930 | |
Foreign currency, at value (cost $924,216) | | | | 934,412 | |
Receivable for investments sold | | | | 10,422 | |
Receivable for variation margin on futures contracts | | | | 6,820 | |
Reclaims receivable | | | | 236,166 | |
Prepaid expenses | | | | 1,726 | |
| | | | | |
Total Assets | | | | 323,464,059 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 15,721 | |
Payable for capital shares redeemed | | | | 283,761 | |
Payable for collateral received on loaned securities | | | | 1,295,392 | |
Manager fees payable | | | | 83,688 | |
Administration fees payable | | | | 26,279 | |
Distribution fees payable | | | | 67,489 | |
Custodian fees payable | | | | 18,974 | |
Administrative and compliance services fees payable | | | | 667 | |
Transfer agent fees payable | | | | 726 | |
Trustee fees payable | | | | 2,414 | |
Other accrued liabilities | | | | 32,086 | |
| | | | | |
Total Liabilities | | | | 1,827,197 | |
| | | | | |
Net Assets | | | $ | 321,636,862 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 237,662,395 | |
Total distributable earnings | | | | 83,974,467 | |
| | | | | |
Net Assets | | | $ | 321,636,862 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 22,414,302 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.35 | |
| | | | | |
| (a) | Includes securities on loan of $1,226,831. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 6,362,860 | |
Dividends from affiliates | | | | 46,549 | |
Income from securities lending | | | | 24,229 | |
Foreign withholding tax | | | | (312,546 | ) |
| | | | | |
Total Investment Income | | | | 6,121,092 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 2,131,851 | |
Administration fees | | | | 135,360 | |
Distribution fees | | | | 761,375 | |
Custodian fees | | | | 81,004 | |
Administrative and compliance services fees | | | | 4,673 | |
Transfer agent fees | | | | 5,283 | |
Trustee fees | | | | 15,518 | |
Professional fees | | | | 12,995 | |
Shareholder reports | | | | 7,886 | |
Other expenses | | | | 134,855 | |
| | | | | |
Total expenses before reductions | | | | 3,290,800 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (1,187,741 | ) |
| | | | | |
Net expenses | | | | 2,103,059 | |
| | | | | |
Net Investment Income/(Loss) | | | | 4,018,033 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 18,456,289 | |
Net realized gains/(losses) on affiliated transactions | | | | 98,339 | |
Net realized gains/(losses) on futures contracts | | | | 1,157,633 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 22,730,323 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | 112,271 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 21,227 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 42,576,082 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 46,594,115 | |
| | | | | |
See accompanying notes to the financial statements.
21
AZL MSCI Global Equity Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 4,018,033 | | | | $ | 2,547,496 | |
Net realized gains/(losses) on investments | | | | 19,712,261 | | | | | 2,248,636 | |
Change in unrealized appreciation/depreciation on investments | | | | 22,863,821 | | | | | 33,469,897 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 46,594,115 | | | | | 38,266,029 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (2,665,945 | ) | | | | (2,286,543 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (2,665,945 | ) | | | | (2,286,543 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 38,589,996 | | | | | 183,461,714 | |
Proceeds from dividends reinvested | | | | 2,665,945 | | | | | 2,286,544 | |
Value of shares redeemed | | | | (94,685,298 | ) | | | | (18,449,808 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (53,429,357 | ) | | | | 167,298,450 | |
| | | | | | | | | | |
Change in net assets | | | | (9,501,187 | ) | | | | 203,277,936 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 331,138,049 | | | | | 127,860,113 | |
| | | | | | | | | | |
End of period | | | $ | 321,636,862 | | | | $ | 331,138,049 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 3,828,709 | | | | | 15,006,552 | |
Dividends reinvested | | | | 206,183 | | | | | 200,048 | |
Shares redeemed | | | | (8,015,099 | ) | | | | (1,563,140 | ) |
| | | | | | | | | | |
Change in shares | | | | (3,980,207 | ) | | | | 13,643,460 | |
| | | | | | | | | | |
See accompanying notes to the financial statements.
22
AZL MSCI Global Equity Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 12.55 | | | | $ | 10.03 | | | | $ | 11.22 | | | | $ | 9.36 | | | | $ | 9.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.16 | (a) | | | | 0.19 | (a) | | | | 0.21 | | | | | 0.20 | | | | | 0.20 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.75 | | | | | 2.52 | | | | | (1.19 | ) | | | | 1.86 | | | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.91 | | | | | 2.71 | | | | | (0.98 | ) | | | | 2.06 | | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.11 | ) | | | | (0.19 | ) | | | | (0.21 | ) | | | | (0.20 | ) | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.11 | ) | | | | (0.19 | ) | | | | (0.21 | ) | | | | (0.20 | ) | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.35 | | | | $ | 12.55 | | | | $ | 10.03 | | | | $ | 11.22 | | | | $ | 9.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 15.36 | % | | | | 27.25 | % | | | | (8.94 | )% | | | | 22.18 | % | | | | (0.93 | )% |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 321,637 | | | | $ | 331,138 | | | | $ | 127,860 | | | | $ | 153,857 | | | | $ | 147,265 | |
Net Investment Income/(Loss) | | | | 1.32 | % | | | | 1.68 | % | | | | 1.67 | % | | | | 1.62 | % | | | | 2.75 | % |
Expenses Before Reductions(c) | | | | 1.08 | % | | | | 1.12 | % | | | | 1.14 | % | | | | 1.16 | % | | | | 1.20 | % |
Expenses Net of Reductions | | | | 0.69 | % | | | | 0.73 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 1.10 | % |
Portfolio Turnover Rate | | | | 13 | % | | | | 9 | % | | | | 4 | % | | | | 4 | % | | | | 135 | %(d) |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (d) | Effective October 14, 2016, the investment strategy of the Fund changed. Costs of purchases and proceeds from sales of portfolio securities associated with the changes in investment strategy contributed to higher portfolio turnover rate for the period ended December 31, 2016 as compared to prior years. |
See accompanying notes to the financial statements.
23
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MSCI Global Equity Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
24
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2020
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,322 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,295,392 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $2.9 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair Value | | | Statement of Assets and Liabilities Location | | Total Fair Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 28,899 | | | Payable for variation margin on futures contracts* | | $ | 1,589 | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses) on Derivatives Recognized | | Realized Gains/(Losses) on Derivatives Recognized | | | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |
| | |
Equity Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 1,157,633 | | | $ | 21,227 | |
25
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2020
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL MSCI Global Equity Index Fund | | | | 0.70 | % | | | | 0.80 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.31% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
At December 31, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Fair Value
12/31/2019 | | Purchases
at Cost | | Proceeds from
Sales | | Net Realized Gains(Losses) | | Change in Net
Unrealized
Appreciation/
Depreciation | | Fair Value
12/31/2020 | | Shares as of
12/31/2020 | | Dividend
Income | | Capital
Gains
Distributions |
| | | | | | | | | |
Allianz SE, Registered Shares | | | $ | 767,690 | | | | $ | 60,272 | | | | $ | (168,969 | ) | | | $ | 43,202 | | | | $ | (61,725 | ) | | | $ | 640,470 | | | | | 2,618 | | | | $ | 32,319 | | | | $ | — | |
BlackRock Inc., Class A | | | | 430,814 | | | | | 173,916 | | | | | (139,741 | ) | | | | 55,137 | | | | | 173,996 | | | | | 694,122 | | | | | 962 | | | | | 14,230 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 1,198,504 | | | | $ | 234,188 | | | | $ | (308,710 | ) | | | $ | 98,339 | | | | $ | 112,271 | | | | $ | 1,334,592 | | | | | 3,580 | | | | $ | 46,549 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $1,640 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain
26
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2020
expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 221,399,381 | | | | $ | 97,758,814 | | | | $ | — | | | | $ | 319,158,195 | |
Preferred Stocks+ | | | | — | | | | | 442,379 | | | | | — | | | | | 442,379 | |
Rights+ | | | | 3,138 | | | | | — | | | | | — | | | | | 3,138 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 1,295,392 | | | | | — | | | | | — | | | | | 1,295,392 | |
Unaffiliated Investment Companies | | | | 970,403 | | | | | — | | | | | — | | | | | 970,403 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 223,668,314 | | | | | 98,201,193 | | | | | — | | | | | 321,869,507 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 27,310 | | | | | — | | | | | — | | | | | 27,310 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 223,695,624 | | | | $ | 98,201,193 | | | | $ | — | | | | $ | 321,896,817 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL MSCI Global Equity Index Fund | | | $ | 38,545,245 | | | | $ | 90,169,715 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives
27
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2020
also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $255,540,363. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 77,195,153 | |
Unrealized (depreciation) | | | (10,866,009 | ) |
| | | | |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 66,329,144 | |
| | | | |
During the year ended December 31, 2020, the Fund utilized $8,203,617 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term Capital Gains | | Total Distributions(a) |
| | | |
AZL MSCI Global Equity Index Fund | | | $ | 2,665,945 | | | | $ | — | | | | $ | 2,665,945 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
28
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2020
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term Capital Gains | | Total Distributions(a) |
| | | |
AZL MSCI Global Equity Index Fund | | | $ | 2,286,544 | | | | $ | — | | | | $ | 2,286,544 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and Other Losses | | Unrealized Appreciation/
Depreciation(a) | | Total
Accumulated Earnings/
(Deficit) |
| | | | | |
AZL MSCI Global Equity Index Fund | | | $ | 14,436,720 | | | | $ | 3,178,519 | | | | $ | — | | | | $ | 66,359,849 | | | | $ | 83,975,088 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, mark-to-market of futures and other miscellaneous differences. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
29
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL MSCI Global Equity Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL MSCI Global Equity Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
30
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 56.85% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
31
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
32
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
33
the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
34
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
36
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
37
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Russell 1000 Growth Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Russell 1000 Growth Index Fund Review (Unaudited)
| | | | |
| Allianz Investment Management LLC serves as the Manager for the AZL® Russell 1000 Growth Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund. | | | | |
| | |
| | | | |
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Russell 1000 Growth Index Fund (Class 2 Shares) (the “Fund”) returned 38.58%†. That compared to a 38.49% total return for its benchmark, the Russell 1000® Growth Index1.
The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Russell 1000® Growth Index (“Index”). The Index is designed to provide a comprehensive measure of growth stocks’ performance.*
In the first quarter, fears of the coronavirus (COVID-19) outbreak and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Market Volatility Index2 (VIX) of near-term stock market volatility surged to its highest level since the financial crisis and the S&P 500 Index3 experienced its quickest bear market contraction on record. Economic activity has fallen to a standstill with Purchasing Managers Index4 across the globe registering at their lowest levels on record and jobless claims surged. In late March, the U.S. saw a record number of initial claims with 3.3 million people filing claims for unemployment benefits compared to a consensus estimate of 1.4 million.
In the second quarter, global governments unleashed large stimulus packages to combat the shock on the economy. The U.S. passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Federal Reserve Board (Fed) cut the federal funds rate target to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. The Fed also announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history. U.S. stocks outperformed other regions during this quarter, with a sharper recovery from the troughs of late March. This has largely been supported by the historic policy response. Towards the end of the second quarter, government measures to contain the virus were gradually lifted in many states, boosting activity and employment.
In the third quarter, U.S. stocks continued their recovery over July and August, recording all-time highs. However, valuation concerns sparked market volatility in early September, leading to a market sell-off. COVID-19 continued to take center stage over the third quarter but the easing of restrictions, coupled with a drop in the number of new cases in the U.S. and ongoing accommodative policies by the Fed, supported the U.S. market recovery over the quarter. This performance came despite spikes in volatility and a market sell-off that dampened the recovery momentum.
In the fourth quarter, U.S. markets reacted positively to the election results despite a weak start to the quarter. The victory of Joe Biden came as an indicator of more stable internal and external policies. The fear of rising COVID-19
cases in the U.S. was offset by positive vaccine news and the announcement of a $900 billion stimulus in late December, which ultimately supported positive market performance. Sectors that were severely impacted by the pandemic, such as energy and financials, recovered following positive vaccine news in November, prompting these two sectors to recoup some of the losses incurred earlier in the year.
Most sectors within the Index posted positive returns over the year. The consumer discretionary, information technology and communication services sectors were the best performers, while the energy sector lagged the most, with the real estate, and industrials sectors among the lowest performers.
The Fund uses derivatives, most notably futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2020.*
Past performance does not guarantee future results.
| † | The recent appreciation in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. |
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by the S&P 500 Index options. |
| 3 | The Standard & Poor’s 500 Index is unmanaged and is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. Investors cannot invest directly in an index. |
| 4 | Purchasing Managers’ Index (PMI) is an indicator of the economic health of the manufacturing sector. The PMI is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. |
1
AZL® Russell 1000 Growth Index Fund Review (Unaudited)
| | |
Fund Objective The Fund’s investment objective is to match the total return of the Russell 1000® Growth Index. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing in all stocks in the Index in proportion to their weighting in the Index. Investment Concerns Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Returns on growth stocks may not move in tandem with returns on other categories of stocks or the market as a whole. Growth stocks may be susceptible to rapid price savings or to adverse developments in certain sectors of the market. The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines. | | |
Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio. Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. | | |
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | | | Since
Inception | |
AZL® Russell 1000 Growth Index Fund (Class 1 Shares ) | | | 10/17/16 | | | | 39.03 | %† | | | 22.74 | % | | | — | | | | — | | | | 23.77 | % |
AZL® Russell 1000 Growth Index Fund (Class 2 Shares) | | | 4/30/10 | | | | 38.58 | %† | | | 22.42 | % | | | 20.27 | % | | | 16.42 | % | | | 16.29 | % |
Russell 1000® Growth Index | | | 4/30/10 | | | | 38.49 | % | | | 22.99 | % | | | 21.00 | % | | | 17.21 | % | | | 17.11 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
| Expense Ratios | | Gross | |
AZL® Russell 1000 Growth Index Fund (Class 1 Shares) | | | 0.51 | % |
AZL® Russell 1000 Growth Index Fund (Class 2 Shares) | | | 0.76 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.35% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.59% for Class 1 Shares and 0.84% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
|
† The recent appreciation in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. |
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted. |
| The Fund’s performance is measured against the Russell 1000® Growth Index, an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index. |
2
AZL Russell 1000 Growth Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Russell 1000 Growth Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,270.60 | | | | $ | 2.45 | | | | | 0.43 | % |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,268.40 | | | | $ | 3.88 | | | | | 0.68 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.97 | | | | $ | 2.19 | | | | | 0.43 | % |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.72 | | | | $ | 3.46 | | | | | 0.68 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Information Technology | | | | 45.3 | % |
| |
Consumer Discretionary | | | | 16.5 | |
| |
Health Care | | | | 13.2 | |
| |
Communication Services | | | | 10.6 | |
| |
Industrials | | | | 4.5 | |
| |
Consumer Staples | | | | 4.5 | |
| |
Financials | | | | 1.8 | |
| |
Real Estate | | | | 1.6 | |
| |
Materials | | | | 0.8 | |
| |
Energy | | | | 0.1 | |
| |
Utilities | | | | — | † |
| | | | | |
| |
Total Common Stocks | | | | 98.9 | |
| |
Unaffiliated Investment Companies | | | | 1.1 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.4 | |
| | | | | |
| |
Total Investment Securities | | | | 100.4 | |
| |
Net other assets (liabilities) | | | | (0.4 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (98.9%): | |
| Aerospace & Defense (0.9%): | |
| | 3,475 | | | Axon Enterprise, Inc.* | | $ | 425,792 | |
| | 3,529 | | | BWX Technologies, Inc. | | | 212,728 | |
| | 2,064 | | | HEICO Corp. | | | 273,274 | |
| | 3,550 | | | HEICO Corp., Class A | | | 415,563 | |
| | 241 | | | Huntington Ingalls Industries, Inc. | | | 41,086 | |
| | 13,973 | | | Lockheed Martin Corp. | | | 4,960,136 | |
| | 2,572 | | | Mercury Systems, Inc.* | | | 226,490 | |
| | 8,104 | | | Northrop Grumman Corp. | | | 2,469,451 | |
| | 644 | | | TransDigm Group, Inc.* | | | 398,539 | |
| | 3,313 | | | Virgin Galactic Holdings, Inc.*^ | | | 78,617 | |
| | | | | | | | |
| | | | | | | 9,501,676 | |
| | | | | | | | |
| Air Freight & Logistics (0.5%): | | | |
| | 1,140 | | | C.H. Robinson Worldwide, Inc. | | | 107,012 | |
| | 5,916 | | | Expeditors International of Washington, Inc. | | | 562,671 | |
| | 26,696 | | | United Parcel Service, Inc., Class B | | | 4,495,606 | |
| | 292 | | | XPO Logistics, Inc.* | | | 34,806 | |
| | | | | | | | |
| | | | | | | 5,200,095 | |
| | | | | | | | |
| Auto Components (0.0%†): | | | |
| | 1,740 | | | BorgWarner, Inc. | | | 67,234 | |
| | | | | | | | |
| Automobiles (2.8%): | | | |
| | 42,702 | | | Tesla, Inc.* | | | 30,133,520 | |
| | | | | | | | |
| Beverages (1.8%): | | | |
| | 501 | | | Boston Beer Co., Inc. (The), Class A* | | | 498,139 | |
| | 2,204 | | | Brown-Forman Corp., Class A | | | 161,928 | |
| | 8,786 | | | Brown-Forman Corp., Class B | | | 697,872 | |
| | 128,146 | | | Coca-Cola Co. (The) | | | 7,027,527 | |
| | 20,795 | | | Monster Beverage Corp.* | | | 1,923,122 | |
| | 57,532 | | | PepsiCo, Inc. | | | 8,531,995 | |
| | | | | | | | |
| | | | | | | 18,840,583 | |
| | | | | | | | |
| Biotechnology (3.2%): | | | |
| | 93,515 | | | AbbVie, Inc. | | | 10,020,131 | |
| | 6,134 | | | ACADIA Pharmaceuticals, Inc.* | | | 327,924 | |
| | 2,772 | | | Acceleron Pharma, Inc.* | | | 354,650 | |
| | 480 | | | Agios Pharmaceuticals, Inc.*^ | | | 20,798 | |
| | 1,828 | | | Alexion Pharmaceuticals, Inc.* | | | 285,607 | |
| | 6,428 | | | Alnylam Pharmaceuticals, Inc.* | | | 835,447 | |
| | 32,897 | | | Amgen, Inc. | | | 7,563,678 | |
| | 2,656 | | | Biogen, Inc.* | | | 650,348 | |
| | 9,117 | | | BioMarin Pharmaceutical, Inc.* | | | 799,470 | |
| | 1,860 | | | Bluebird Bio, Inc.* | | | 80,482 | |
| | 7,251 | | | Exact Sciences Corp.* | | | 960,685 | |
| | 6,028 | | | Exelixis, Inc.* | | | 120,982 | |
| | 3,423 | | | Global Blood Therapeutics, Inc.* | | | 148,250 | |
| | 10,160 | | | Incyte Corp.* | | | 883,717 | |
| | 3,763 | | | Ionis Pharmaceuticals, Inc.* | | | 212,760 | |
| | 7,582 | | | Iovance Biotherapeutics, Inc.* | | | 351,805 | |
| | 16,098 | | | Moderna, Inc.* | | | 1,681,758 | |
| | 5,153 | | | Neurocrine Biosciences, Inc.* | | | 493,915 | |
| | 5,460 | | | Regeneron Pharmaceuticals, Inc.* | | | 2,637,781 | |
| | 2,954 | | | Repligen Corp.* | | | 566,075 | |
| | 243 | | | Sage Therapeutics, Inc.* | | | 21,022 | |
| | 4,214 | | | Sarepta Therapeutics, Inc.* | | | 718,445 | |
| | 7,130 | | | Seagen, Inc.* | | | 1,248,748 | |
| | 14,655 | | | Vertex Pharmaceuticals, Inc.* | | | 3,463,563 | |
| | | | | | | | |
| | | | | | | 34,448,041 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Building Products (0.2%): | | | |
| | 3,411 | | | Allegion plc | | $ | 396,972 | |
| | 1,132 | | | Armstrong World Industries, Inc. | | | 84,209 | |
| | 649 | | | AZEK Co., Inc. (The)* | | | 24,954 | |
| | 17,813 | | | Carrier Global Corp. | | | 671,907 | |
| | 6,478 | | | Trex Co., Inc.* | | | 542,338 | |
| | | | | | | | |
| | | | | | | 1,720,380 | |
| | | | | | | | |
| Capital Markets (1.2%): | | | |
| | 4,601 | | | Apollo Global Management, Inc. | | | 225,357 | |
| | 5,353 | | | Ares Management Corp., Class A | | | 251,859 | |
| | 669 | | | Carlyle Group, Inc. (The) | | | 21,033 | |
| | 1,329 | | | Cboe Global Markets, Inc. | | | 123,756 | |
| | 2,119 | | | FactSet Research Systems, Inc. | | | 704,568 | |
| | 10,960 | | | Intercontinental Exchange, Inc. | | | 1,263,578 | |
| | 398 | | | LPL Financial Holdings, Inc. | | | 41,480 | |
| | 2,083 | | | MarketAxess Holdings, Inc. | | | 1,188,476 | |
| | 9,167 | | | Moody’s Corp. | | | 2,660,631 | |
| | 1,031 | | | Morningstar, Inc. | | | 238,749 | |
| | 4,587 | | | MSCI, Inc., Class A | | | 2,048,233 | |
| | 8,022 | | | S&P Global, Inc. | | | 2,637,072 | |
| | 3,306 | | | T. Rowe Price Group, Inc. | | | 500,495 | |
| | 4,123 | | | Tradeweb Markets, Inc., Class A | | | 257,481 | |
| | 2,755 | | | Virtu Financial, Inc., Class A | | | 69,343 | |
| | | | | | | | |
| | | | | | | 12,232,111 | |
| | | | | | | | |
| Chemicals (0.5%): | | | |
| | 1,562 | | | Air Products & Chemicals, Inc. | | | 426,770 | |
| | 2,800 | | | Ecolab, Inc. | | | 605,808 | |
| | 1,457 | | | FMC Corp. | | | 167,453 | |
| | 341 | | | NewMarket Corp. | | | 135,817 | |
| | 6,040 | | | RPM International, Inc. | | | 548,311 | |
| | 2,168 | | | Scotts Miracle-Gro Co. (The) | | | 431,736 | |
| | 4,651 | | | Sherwin Williams Co. | | | 3,418,066 | |
| | 1,292 | | | W.R. Grace & Co. | | | 70,827 | |
| | | | | | | | |
| | | | | | | 5,804,788 | |
| | | | | | | | |
| Commercial Services & Supplies (0.4%): | | | |
| | 4,409 | | | Cintas Corp. | | | 1,558,405 | |
| | 11,515 | | | Copart, Inc.* | | | 1,465,284 | |
| | 1,727 | | | IAA, Inc.* | | | 112,220 | |
| | 380 | | | MSA Safety, Inc. | | | 56,768 | |
| | 11,183 | | | Rollins, Inc. | | | 436,920 | |
| | 3,064 | | | Waste Management, Inc. | | | 361,338 | |
| | | | | | | | |
| | | | | | | 3,990,935 | |
| | | | | | | | |
| Communications Equipment (0.3%): | | | |
| | 2,743 | | | Arista Networks, Inc.* | | | 797,034 | |
| | 31 | | | CommScope Holding Co., Inc.* | | | 415 | |
| | 512 | | | Lumentum Holdings, Inc.* | | | 48,538 | |
| | 988 | | | Motorola Solutions, Inc. | | | 168,019 | |
| | 5,249 | | | Palo Alto Networks, Inc.* | | | 1,865,442 | |
| | 413 | | | Ubiquiti, Inc. | | | 115,025 | |
| | | | | | | | |
| | | | | | | 2,994,473 | |
| | | | | | | | |
| Construction & Engineering (0.0%†): | | | |
| | 1,458 | | | Quanta Services, Inc. | | | 105,005 | |
| | | | | | | | |
| Consumer Finance (0.0%†): | | | |
| | 61 | | | Credit Acceptance Corp.* | | | 21,115 | |
| | 3,839 | | | SLM Corp. | | | 47,565 | |
| | | | | | | | |
| | | | | | | 68,680 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Containers & Packaging (0.2%): | | | |
| | 13,675 | | | Amcor plc | | $ | 160,955 | |
| | 1,969 | | | Avery Dennison Corp. | | | 305,412 | |
| | 16,838 | | | Ball Corp. | | | 1,568,964 | |
| | 2,524 | | | Berry Global Group, Inc.* | | | 141,824 | |
| | 645 | | | Crown Holdings, Inc.* | | | 64,629 | |
| | 3,878 | | | Graphic Packaging Holding Co. | | | 65,693 | |
| | | | | | | | |
| | | | | | | 2,307,477 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 2,157 | | | Pool Corp. | | | 803,483 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 2,411 | | | Bright Horizons Family Solutions, Inc.* | | | 417,079 | |
| | 6,747 | | | Chegg, Inc.* | | | 609,457 | |
| | 920 | | | Frontdoor, Inc.* | | | 46,193 | |
| | 7,422 | | | H&R Block, Inc. | | | 117,713 | |
| | | | | | | | |
| | | | | | | 1,190,442 | |
| | | | | | | | |
| Electrical Equipment (0.3%): | | | |
| | 44 | | | Array Technologies, Inc.* | | | 1,898 | |
| | 5,955 | | | Enphase Energy, Inc.* | | | 1,044,923 | |
| | 3,172 | | | Generac Holdings, Inc.* | | | 721,345 | |
| | 3,143 | | | Rockwell Automation, Inc. | | | 788,296 | |
| | 12,801 | | | Vertiv Holdings Co. | | | 238,995 | |
| | | | | | | | |
| | | | | | | 2,795,457 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.5%): | | | |
| | 9,725 | | | Amphenol Corp., Class A | | | 1,271,738 | |
| | 7,998 | | | CDW Corp. | | | 1,054,056 | |
| | 9,500 | | | Cognex Corp. | | | 762,708 | |
| | 1,102 | | | Coherent, Inc.* | | | 165,322 | |
| | 309 | | | Dolby Laboratories, Inc., Class A | | | 30,013 | |
| | 163 | | | IPG Photonics Corp.* | | | 36,478 | |
| | 1,434 | | | Jabil, Inc. | | | 60,988 | |
| | 3,577 | | | Keysight Technologies, Inc.* | | | 472,486 | |
| | 2,702 | | | Zebra Technologies Corp., Class A* | | | 1,038,460 | |
| | | | | | | | |
| | | | | | | 4,892,249 | |
| | | | | | | | |
| Entertainment (1.8%): | | | |
| | 17,023 | | | Activision Blizzard, Inc. | | | 1,580,586 | |
| | 2,228 | | | Electronic Arts, Inc. | | | 319,941 | |
| | 7,868 | | | Live Nation Entertainment, Inc.* | | | 578,141 | |
| | 24,016 | | | Netflix, Inc.* | | | 12,986,172 | |
| | 7,382 | | | Spotify Technology SA* | | | 2,322,820 | |
| | 5,980 | | | Take-Two Interactive Software, Inc.* | | | 1,242,584 | |
| | 2,489 | | | World Wrestling Entertainment, Inc., Class A | | | 119,596 | |
| | 40,558 | | | Zynga, Inc.* | | | 400,307 | |
| | | | | | | | |
| | | | | | | 19,550,147 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.6%): | | | |
| | 24,909 | | | American Tower Corp. | | | 5,591,073 | |
| | 1,273 | | | Americold Realty Trust | | | 47,521 | |
| | 2,358 | | | Brookfield Property REIT, Inc., Class A^ | | | 35,229 | |
| | 1,464 | | | Coresite Realty Corp. | | | 183,410 | |
| | 21,887 | | | Crown Castle International Corp. | | | 3,484,192 | |
| | 5,014 | | | Equinix, Inc. | | | 3,580,899 | |
| | 4,151 | | | Equity Lifestyle Properties, Inc. | | | 263,007 | |
| | 4,989 | | | Extra Space Storage, Inc. | | | 578,026 | |
| | 9,321 | | | Iron Mountain, Inc.^ | | | 274,783 | |
| | 5,538 | | | Public Storage, Inc. | | | 1,278,890 | |
| | 819 | | | SBA Communications Corp. | | | 231,064 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 14,282 | | | Simon Property Group, Inc. | | $ | 1,217,969 | |
| | | | | | | | |
| | | | | | | 16,766,063 | |
| | | | | | | | |
| Food & Staples Retailing (0.9%): | | | |
| | 1,341 | | | Albertsons Cos., Inc., Class A^ | | | 23,575 | |
| | 22,004 | | | Costco Wholesale Corp. | | | 8,290,668 | |
| | 2,385 | | | Grocery Outlet Holding Corp.* | | | 93,611 | |
| | 5,560 | | | Sprouts Farmers Market, Inc.* | | | 111,756 | |
| | 19,448 | | | Sysco Corp. | | | 1,444,208 | |
| | | | | | | | |
| | | | | | | 9,963,818 | |
| | | | | | | | |
| Food Products (0.3%): | | | |
| | 2,318 | | | Beyond Meat, Inc.*^ | | | 289,750 | |
| | 5,571 | | | Campbell Soup Co. | | | 269,358 | |
| | 6,411 | | | Hershey Co. (The) | | | 976,588 | |
| | 4,713 | | | Kellogg Co. | | | 293,290 | |
| | 1,929 | | | Lamb Weston Holdings, Inc. | | | 151,889 | |
| | 7,726 | | | McCormick & Co. | | | 738,606 | |
| | 1,200 | | | Pilgrim’s Pride Corp.* | | | 23,532 | |
| | | | | | | | |
| | | | | | | 2,743,013 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.9%): | | | |
| | 37,483 | | | Abbott Laboratories | | | 4,104,014 | |
| | 2,526 | | | ABIOMED, Inc.* | | | 818,929 | |
| | 4,397 | | | Align Technology, Inc.* | | | 2,349,669 | |
| | 12,021 | | | Baxter International, Inc. | | | 964,565 | |
| | 310 | | | Cooper Cos., Inc. (The) | | | 112,629 | |
| | 5,188 | | | DexCom, Inc.* | | | 1,918,107 | |
| | 34,808 | | | Edwards Lifesciences Corp.* | | | 3,175,534 | |
| | 2,583 | | | Haemonetics Corp.* | | | 306,731 | |
| | 501 | | | Hill-Rom Holdings, Inc. | | | 49,083 | |
| | 10,179 | | | Hologic, Inc.* | | | 741,337 | |
| | 334 | | | ICU Medical, Inc.* | | | 71,640 | |
| | 4,744 | | | IDEXX Laboratories, Inc.* | | | 2,371,383 | |
| | 3,689 | | | Insulet Corp.* | | | 943,019 | |
| | 6,535 | | | Intuitive Surgical, Inc.* | | | 5,346,285 | |
| | 2,735 | | | Masimo Corp.* | | | 734,019 | |
| | 5,616 | | | Novocure, Ltd.* | | | 971,793 | |
| | 1,818 | | | Penumbra, Inc.*^ | | | 318,150 | |
| | 2,097 | | | Quidel Corp.* | | | 376,726 | |
| | 8,047 | | | ResMed, Inc. | | | 1,710,470 | |
| | 304 | | | Steris plc | | | 57,620 | |
| | 6,376 | | | Stryker Corp. | | | 1,562,375 | |
| | 3,140 | | | Tandem Diabetes Care, Inc.* | | | 300,435 | |
| | 1,659 | | | Teleflex, Inc. | | | 682,795 | |
| | 621 | | | Varian Medical Systems, Inc.* | | | 108,681 | |
| | 4,137 | | | West Pharmaceutical Services, Inc. | | | 1,172,053 | |
| | | | | | | | |
| | | | | | | 31,268,042 | |
| | | | | | | | |
| Health Care Providers & Services (2.4%): | | | |
| | 1,780 | | | Amedisys, Inc.* | | | 522,127 | |
| | 4,024 | | | AmerisourceBergen Corp. | | | 393,386 | |
| | 3,589 | | | Anthem, Inc. | | | 1,152,392 | |
| | 16,420 | | | Cardinal Health, Inc. | | | 879,455 | |
| | 9,546 | | | Centene Corp.* | | | 573,046 | |
| | 893 | | | Chemed Corp. | | | 475,621 | |
| | 5,364 | | | Cigna Corp. | | | 1,116,678 | |
| | 703 | | | DaVita, Inc.* | | | 82,532 | |
| | 2,570 | | | Encompass Health Corp. | | | 212,513 | |
| | 4,687 | | | Guardant Health, Inc.* | | | 604,061 | |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Health Care Providers & Services, continued | | | |
| | 7,837 | | | HCA Healthcare, Inc. | | $ | 1,288,873 | |
| | 2,874 | | | Humana, Inc. | | | 1,179,116 | |
| | 243 | | | Laboratory Corp. of America Holdings* | | | 49,463 | |
| | 6,788 | | | McKesson Corp. | | | 1,180,569 | |
| | 2,182 | | | Molina Healthcare, Inc.* | | | 464,068 | |
| | 695 | | | Oak Street Health, Inc.*^ | | | 42,506 | |
| | 44,354 | | | UnitedHealth Group, Inc. | | | 15,554,061 | |
| | | | | | | | |
| | | | | | | 25,770,467 | |
| | | | | | | | |
| Health Care Technology (0.5%): | | | |
| | 1,795 | | | American Well Corp., Class A*^ | | | 45,467 | |
| | 17,109 | | | Cerner Corp. | | | 1,342,714 | |
| | 10,070 | | | Change Healthcare, Inc.* | | | 187,806 | |
| | 5,638 | | | Teladoc Health, Inc.* | | | 1,127,374 | |
| | 7,626 | | | Veeva Systems, Inc., Class A* | | | 2,076,179 | |
| | | | | | | | |
| | | | | | | 4,779,540 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.9%): | | | |
| | 1,570 | | | Chipotle Mexican Grill, Inc.* | | | 2,177,135 | |
| | 2,188 | | | Domino’s Pizza, Inc. | | | 839,010 | |
| | 8,155 | | | Las Vegas Sands Corp. | | | 486,038 | |
| | 6,012 | | | McDonald’s Corp. | | | 1,290,055 | |
| | 2,562 | | | Planet Fitness, Inc., Class A* | | | 198,888 | |
| | 38,082 | | | Starbucks Corp. | | | 4,074,012 | |
| | 205 | | | Vail Resorts, Inc. | | | 57,187 | |
| | 9,953 | | | Wendy’s Co. (The) | | | 218,170 | |
| | 1,318 | | | Wynn Resorts, Ltd. | | | 148,710 | |
| | 1,598 | | | Yum China Holdings, Inc. | | | 91,230 | |
| | 1,244 | | | Yum! Brands, Inc. | | | 135,049 | |
| | | | | | | | |
| | | | | | | 9,715,484 | |
| | | | | | | | |
| Household Durables (0.2%): | | | |
| | 17 | | | NVR, Inc.* | | | 69,358 | |
| | 6,141 | | | Roku, Inc.* | | | 2,038,934 | |
| | 7,876 | | | Tempur Sealy International, Inc.* | | | 212,652 | |
| | | | | | | | |
| | | | | | | 2,320,944 | |
| | | | | | | | |
| Household Products (1.0%): | | | |
| | 14,005 | | | Church & Dwight Co., Inc. | | | 1,221,656 | |
| | 5,043 | | | Clorox Co. (The) | | | 1,018,283 | |
| | 2,717 | | | Energizer Holdings, Inc. | | | 114,603 | |
| | 61,516 | | | Procter & Gamble Co. (The) | | | 8,559,336 | |
| | 904 | | | Reynolds Consumer Products, Inc. | | | 27,156 | |
| | | | | | | | |
| | | | | | | 10,941,034 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.0%†): | |
| | 4,872 | | | NRG Energy, Inc. | | | 182,944 | |
| | | | | | | | |
| Industrial Conglomerates (0.4%): | | | |
| | 20,943 | | | 3M Co. | | | 3,660,627 | |
| | 816 | | | Roper Technologies, Inc. | | | 351,769 | |
| | | | | | | | |
| | | | | | | 4,012,396 | |
| | | | | | | | |
| Insurance (0.7%): | | | |
| | 79 | | | Alleghany Corp. | | | 47,692 | |
| | 12,792 | | | Aon plc, Class A | | | 2,702,565 | |
| | 385 | | | Axis Capital Holdings, Ltd. | | | 19,400 | |
| | 542 | | | Brown & Brown, Inc. | | | 25,696 | |
| | 823 | | | Erie Indemnity Co., Class A | | | 202,129 | |
| | 1,516 | | | GoHealth, Inc., Class A* | | | 20,709 | |
| | 1,122 | | | Lincoln National Corp. | | | 56,448 | |
| | 22,195 | | | Marsh & McLennan Cos., Inc. | | | 2,596,814 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Insurance, continued | | | |
| | 1,452 | | | Primerica, Inc. | | $ | 194,466 | |
| | 9,483 | | | Progressive Corp. (The) | | | 937,679 | |
| | 1,005 | | | RenaissanceRe Holdings, Ltd. | | | 166,649 | |
| | | | | | | | |
| | | | | | | 6,970,247 | |
| | | | | | | | |
| Interactive Media & Services (8.1%): | | | |
| | 13,155 | | | Alphabet, Inc., Class A* | | | 23,055,979 | |
| | 12,742 | | | Alphabet, Inc., Class C* | | | 22,322,455 | |
| | 135,605 | | | Facebook, Inc., Class A* | | | 37,041,861 | |
| | 4,199 | | | IAC/InterActive Corp.* | | | 795,081 | |
| | 12,624 | | | Match Group, Inc.* | | | 1,908,623 | |
| | 18,882 | | | Pinterest, Inc., Class A* | | | 1,244,324 | |
| | 375 | | | Zillow Group, Inc., Class A* | | | 50,978 | |
| | 958 | | | Zillow Group, Inc., Class C* | | | 124,348 | |
| | | | | | | | |
| | | | | | | 86,543,649 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (8.2%): | | | |
| | 23,946 | | | Amazon.com, Inc.* | | | 77,990,445 | |
| | 2,307 | | | Booking Holdings, Inc.* | | | 5,138,312 | |
| | 33,855 | | | eBay, Inc. | | | 1,701,214 | |
| | 6,653 | | | Etsy, Inc.* | | | 1,183,635 | |
| | 807 | | | Expedia Group, Inc. | | | 106,847 | |
| | 567 | | | Grubhub, Inc.* | | | 42,111 | |
| | 3,613 | | | Wayfair, Inc., Class A*^ | | | 815,852 | |
| | | | | | | | |
| | | | | | | 86,978,416 | |
| | | | | | | | |
| IT Services (8.4%): | | | |
| | 35,995 | | | Accenture plc, Class C | | | 9,402,254 | |
| | 7,561 | | | Akamai Technologies, Inc.* | | | 793,829 | |
| | 20,868 | | | Automatic Data Processing, Inc. | | | 3,676,942 | |
| | 692 | | | BigCommerce Holdings, Inc.*^ | | | 44,392 | |
| | 8,658 | | | Black Knight, Inc.* | | | 764,934 | |
| | 7,569 | | | Booz Allen Hamilton Holding Corp. | | | 659,865 | |
| | 6,427 | | | Broadridge Financial Solutions, Inc. | | | 984,616 | |
| | 257 | | | CACI International, Inc., Class A* | | | 64,078 | |
| | 2,026 | | | Cognizant Technology Solutions Corp., Class A | | | 166,031 | |
| | 291 | | | CoreLogic, Inc. | | | 22,500 | |
| | 3,013 | | | EPAM Systems, Inc.* | | | 1,079,709 | |
| | 4,500 | | | Fastly, Inc., Class A*^ | | | 393,165 | |
| | 9,494 | | | Fiserv, Inc.* | | | 1,080,987 | |
| | 4,618 | | | FleetCor Technologies, Inc.* | | | 1,259,929 | |
| | 4,935 | | | Gartner, Inc.* | | | 790,538 | |
| | 4,213 | | | Genpact, Ltd. | | | 174,250 | |
| | 9,458 | | | GoDaddy, Inc., Class A* | | | 784,541 | |
| | 3,364 | | | Jack Henry & Associates, Inc. | | | 544,934 | |
| | 641 | | | Leidos Holdings, Inc. | | | 67,382 | |
| | 49,820 | | | MasterCard, Inc., Class A | | | 17,782,750 | |
| | 2,876 | | | MongoDB, Inc.* | | | 1,032,599 | |
| | 6,453 | | | Okta, Inc.* | | | 1,640,740 | |
| | 14,239 | | | Paychex, Inc. | | | 1,326,790 | |
| | 66,320 | | | PayPal Holdings, Inc.* | | | 15,532,144 | |
| | 479 | | | Science Applications International Corp. | | | 45,333 | |
| | 20,853 | | | Square, Inc., Class A* | | | 4,538,447 | |
| | 11,267 | | | StoneCo, Ltd., Class A* | | | 945,527 | |
| | 4,366 | | | Switch, Inc., Class A | | | 71,471 | |
| | 4,829 | | | Teradata Corp.* | | | 108,508 | |
| | 6,569 | | | Twilio, Inc., Class A* | | | 2,223,607 | |
| | 3,323 | | | VeriSign, Inc.* | | | 719,097 | |
| | 95,349 | | | Visa, Inc., Class A | | | 20,855,686 | |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| IT Services, continued | | | |
| | 4,590 | | | Western Union Co. | | $ | 100,705 | |
| | 239 | | | WEX, Inc.* | | | 48,644 | |
| | | | | | | | |
| | | | | | | 89,726,924 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 11,958 | | | Mattel, Inc.* | | | 208,667 | |
| | 3,525 | | | Peloton Interactive, Inc., Class A* | | | 534,813 | |
| | 384 | | | Polaris, Inc. | | | 36,588 | |
| | | | | | | | |
| | | | | | | 780,068 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.4%): | | | |
| | 3,279 | | | 10X Genomics, Inc., Class A* | | | 464,306 | |
| | 4,393 | | | Adaptive Biotechnologies Corp.* | | | 259,758 | |
| | 1,527 | | | Agilent Technologies, Inc. | | | 180,934 | |
| | 27,504 | | | Avantor, Inc.* | | | 774,238 | |
| | 396 | | | Berkeley Lights, Inc.*^ | | | 35,406 | |
| | 1,986 | | | Bio-Techne Corp. | | | 630,654 | |
| | 2,413 | | | Bruker Corp. | | | 130,616 | |
| | 2,458 | | | Charles River Laboratories International, Inc.* | | | 614,156 | |
| | 8,282 | | | Illumina, Inc.* | | | 3,064,340 | |
| | 4,077 | | | IQVIA Holdings, Inc.* | | | 730,476 | |
| | 1,250 | | | Mettler-Toledo International, Inc.* | | | 1,424,600 | |
| | 1,186 | | | PerkinElmer, Inc. | | | 170,191 | |
| | 7,716 | | | PPD, Inc.* | | | 264,042 | |
| | 3,004 | | | PRA Health Sciences, Inc.* | | | 376,822 | |
| | 554 | | | Syneos Health, Inc.* | | | 37,744 | |
| | 13,092 | | | Thermo Fisher Scientific, Inc. | | | 6,097,992 | |
| | 291 | | | Waters Corp.* | | | 71,999 | |
| | | | | | | | |
| | | | | | | 15,328,274 | |
| | | | | | | | |
| Machinery (0.3%): | | | |
| | 4,130 | | | Allison Transmission Holdings, Inc. | | | 178,127 | |
| | 840 | | | Donaldson Co., Inc. | | | 46,939 | |
| | 4,665 | | | Graco, Inc. | | | 337,513 | |
| | 7,820 | | | Illinois Tool Works, Inc. | | | 1,594,341 | |
| | 1,354 | | | Lincoln Electric Holdings, Inc. | | | 157,403 | |
| | 2,646 | | | Nordson Corp. | | | 531,713 | |
| | 5,527 | | | Toro Co. (The) | | | 524,181 | |
| | | | | | | | |
| | | | | | | 3,370,217 | |
| | | | | | | | |
| Media (0.6%): | | | |
| | 16,711 | | | Altice USA, Inc., Class A* | | | 632,846 | |
| | 301 | | | Cable One, Inc. | | | 670,544 | |
| | 7,383 | | | Charter Communications, Inc., Class A* | | | 4,884,223 | |
| | 1,288 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | | 56,041 | |
| | 549 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 23,711 | |
| | 1,492 | | | Nexstar Media Group, Inc., Class A | | | 162,911 | |
| | 39,023 | | | Sirius XM Holdings, Inc.^ | | | 248,577 | |
| | | | | | | | |
| | | | | | | 6,678,853 | |
| | | | | | | | |
| Metals & Mining (0.0%†): | | | |
| | 2,620 | | | Royal Gold, Inc. | | | 278,663 | |
| | | | | | | | |
| Multiline Retail (0.4%): | | | |
| | 14,206 | | | Dollar General Corp. | | | 2,987,522 | |
| | 6,394 | | | Dollar Tree, Inc.* | | | 690,808 | |
| | 2,708 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 221,433 | |
| | | | | | | | |
| | | | | | | 3,899,763 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Oil, Gas & Consumable Fuels (0.1%): | | | |
| | 13,101 | | | Cheniere Energy, Inc.* | | $ | 786,453 | |
| | 1,324 | | | Equitrans Midstream Corp. | | | 10,645 | |
| | | | | | | | |
| | | | | | | 797,098 | |
| | | | | | | | |
| Personal Products (0.3%): | | | |
| | 11,179 | | | Estee Lauder Co., Inc. (The), Class A | | | 2,975,738 | |
| | 888 | | | Herbalife Nutrition, Ltd.* | | | 42,668 | |
| | | | | | | | |
| | | | | | | 3,018,406 | |
| | | | | | | | |
| Pharmaceuticals (2.8%): | | | |
| | 46,410 | | | Bristol-Myers Squibb Co. | | | 2,878,812 | |
| | 47,567 | | | Eli Lilly & Co. | | | 8,031,212 | |
| | 10,320 | | | Horizon Therapeutics plc* | | | 754,908 | |
| | 19,954 | | | Johnson & Johnson | | | 3,140,361 | |
| | 124,689 | | | Merck & Co., Inc. | | | 10,199,560 | |
| | 1,237 | | | Reata Pharmaceuticals, Inc., Class A* | | | 152,918 | |
| | 2,651 | | | Royalty Pharma plc, Class A^ | | | 132,683 | |
| | 24,288 | | | Zoetis, Inc. | | | 4,019,664 | |
| | | | | | | | |
| | | | | | | 29,310,118 | |
| | | | | | | | |
| Professional Services (0.7%): | | | |
| | 2,190 | | | CoStar Group, Inc.* | | | 2,024,173 | |
| | 2,404 | | | Dun & Bradstreet Holdings, Inc.*^ | | | 59,860 | |
| | 5,055 | | | Equifax, Inc. | | | 974,806 | |
| | 12,199 | | | IHS Markit, Ltd. | | | 1,095,836 | |
| | 9,744 | | | TransUnion | | | 966,800 | |
| | 8,919 | | | Verisk Analytics, Inc. | | | 1,851,495 | |
| | | | | | | | |
| | | | | | | 6,972,970 | |
| | | | | | | | |
| Road & Rail (0.8%): | | | |
| | 1,252 | | | J.B. Hunt Transport Services, Inc. | | | 171,086 | |
| | 1,836 | | | Landstar System, Inc. | | | 247,236 | |
| | 4,731 | | | Old Dominion Freight Line, Inc. | | | 923,397 | |
| | 59,840 | | | Uber Technologies, Inc.* | | | 3,051,840 | |
| | 19,552 | | | Union Pacific Corp. | | | 4,071,117 | |
| | | | | | | | |
| | | | | | | 8,464,676 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (6.2%): | | | |
| | 62,879 | | | Advanced Micro Devices, Inc.* | | | 5,766,633 | |
| | 779 | | | Allegro MicroSystems, Inc.*^ | | | 20,768 | |
| | 2,495 | | | Analog Devices, Inc. | | | 368,586 | |
| | 51,730 | | | Applied Materials, Inc. | | | 4,464,299 | |
| | 21,144 | | | Broadcom, Inc. | | | 9,257,900 | |
| | 6,997 | | | Entegris, Inc. | | | 672,412 | |
| | 2,747 | | | Inphi Corp.* | | | 440,811 | |
| | 8,754 | | | KLA Corp. | | | 2,266,498 | |
| | 8,184 | | | Lam Research Corp. | | | 3,865,058 | |
| | 4,949 | | | Maxim Integrated Products, Inc. | | | 438,729 | |
| | 10,547 | | | Microchip Technology, Inc. | | | 1,456,646 | |
| | 2,320 | | | MKS Instruments, Inc. | | | 349,044 | |
| | 2,420 | | | Monolithic Power Systems, Inc. | | | 886,277 | |
| | 33,337 | | | NVIDIA Corp. | | | 17,408,580 | |
| | 63,555 | | | Qualcomm, Inc. | | | 9,681,969 | |
| | 2,753 | | | SolarEdge Technologies, Inc.* | | | 878,537 | |
| | 9,339 | | | Teradyne, Inc. | | | 1,119,653 | |
| | 25,815 | | | Texas Instruments, Inc. | | | 4,237,016 | |
| | 2,450 | | | Universal Display Corp. | | | 563,010 | |
| | 13,763 | | | Xilinx, Inc. | | | 1,951,181 | |
| | | | | | | | |
| | | | | | | 66,093,607 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Software (18.5%): | | | |
| | 1,331 | | | 2u, Inc.*^ | | $ | 53,253 | |
| | 27,166 | | | Adobe, Inc.* | | | 13,586,259 | |
| | 3,093 | | | Alteryx, Inc., Class A* | | | 376,696 | |
| | 7,430 | | | Anaplan, Inc.* | | | 533,846 | |
| | 4,812 | | | ANSYS, Inc.* | | | 1,750,606 | |
| | 3,552 | | | Aspen Technology, Inc.* | | | 462,648 | |
| | 7,402 | | | Atlassian Corp. plc, Class A* | | | 1,731,106 | |
| | 8,244 | | | Autodesk, Inc.* | | | 2,517,223 | |
| | 4,677 | | | Avalara, Inc.* | | | 771,191 | |
| | 4,174 | | | Bill.com Holdings, Inc.* | | | 569,751 | |
| | 15,546 | | | Cadence Design Systems, Inc.* | | | 2,120,941 | |
| | 994 | | | CDK Global, Inc. | | | 51,519 | |
| | 4,623 | | | Ceridian HCM Holding, Inc.* | | | 492,627 | |
| | 1,852 | | | Citrix Systems, Inc. | | | 240,945 | |
| | 6,223 | | | Cloudflare, Inc., Class A* | | | 472,886 | |
| | 3,866 | | | Coupa Software, Inc.* | | | 1,310,226 | |
| | 6,209 | | | Crowdstrike Holdings, Inc., Class A* | | | 1,315,190 | |
| | 8,558 | | | Datadog, Inc., Class A* | | | 842,450 | |
| | 768 | | | Datto Holding Corp.* | | | 20,736 | |
| | 10,053 | | | DocuSign, Inc.* | | | 2,234,782 | |
| | 13,570 | | | Dropbox, Inc., Class A* | | | 301,118 | |
| | 1,306 | | | Duck Creek Technologies, Inc.*^ | | | 56,550 | |
| | 10,205 | | | Dynatrace, Inc.* | | | 441,570 | |
| | 3,795 | | | Elastic NV* | | | 554,563 | |
| | 1,909 | | | Everbridge, Inc.* | | | 284,575 | |
| | 1,584 | | | Fair Isaac Corp.* | | | 809,487 | |
| | 3,182 | | | FireEye, Inc.* | | | 73,377 | |
| | 3,446 | | | Five9, Inc.* | | | 600,982 | |
| | 7,495 | | | Fortinet, Inc.* | | | 1,113,232 | |
| | 2,180 | | | Globant SA* | | | 474,390 | |
| | 849 | | | Guidewire Software, Inc.* | | | 109,292 | |
| | 2,318 | | | HubSpot, Inc.* | | | 918,948 | |
| | 14,228 | | | Intuit, Inc. | | | 5,404,506 | |
| | 869 | | | Jamf Holding Corp.* | | | 26,000 | |
| | 632 | | | Jfrog, Ltd.* | | | 39,709 | |
| | 3,098 | | | Manhattan Associates, Inc.* | | | 325,848 | |
| | 1,348 | | | McAfee Corp.^ | | | 22,498 | |
| | 4,675 | | | Medallia, Inc.*^ | | | 155,304 | |
| | 422,892 | | | Microsoft Corp. | | | 94,059,638 | |
| | 722 | | | nCino, Inc.*^ | | | 52,280 | |
| | 2,858 | | | New Relic, Inc.* | | | 186,913 | |
| | 30,912 | | | NortonLifeLock, Inc. | | | 642,351 | |
| | 11,157 | | | Nutanix, Inc., Class A* | | | 355,574 | |
| | 93,643 | | | Oracle Corp. | | | 6,057,766 | |
| | 3,743 | | | Pagerduty, Inc.* | | | 156,083 | |
| | 673,135 | | | Palantir Technologies, Inc., Series I*(a) | | | 15,464,832 | |
| | 2,777 | | | Paycom Software, Inc.* | | | 1,255,898 | |
| | 2,182 | | | Paylocity Holding Corp.* | | | 449,296 | |
| | 1,935 | | | Pegasystems, Inc. | | | 257,858 | |
| | 4,996 | | | Pluralsight, Inc., Class A* | | | 104,716 | |
| | 3,190 | | | Proofpoint, Inc.* | | | 435,148 | |
| | 5,932 | | | PTC, Inc.* | | | 709,527 | |
| | 4,409 | | | RealPage, Inc.*^ | | | 384,641 | |
| | 4,437 | | | RingCentral, Inc., Class A* | | | 1,681,490 | |
| | 45,898 | | | salesforce.com, Inc.* | | | 10,213,682 | |
| | 10,977 | | | ServiceNow, Inc.* | | | 6,042,070 | |
| | 21,350 | | | Slack Technologies, Inc., Class A* | | | 901,824 | |
| | 6,276 | | | Smartsheet, Inc.* | | | 434,864 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Software, continued | | | |
| | 8,925 | | | Splunk, Inc.* | | $ | 1,516,268 | |
| | 2,694 | | | SS&C Technologies Holdings, Inc. | | | 195,989 | |
| | 7,913 | | | Synopsys, Inc.* | | | 2,051,366 | |
| | 2,330 | | | The Trade Desk, Inc., Class A* | | | 1,866,330 | |
| | 2,214 | | | Tyler Technologies, Inc.* | | | 966,455 | |
| | 1,367 | | | Unity Software, Inc.* | | | 209,793 | |
| | 4,477 | | | VMware, Inc., Class A*^ | | | 627,944 | |
| | 9,932 | | | Workday, Inc., Class A* | | | 2,379,807 | |
| | 6,466 | | | Zendesk, Inc.* | | | 925,414 | |
| | 9,429 | | | Zoom Video Communications, Inc., Class A* | | | 3,180,590 | |
| | 4,039 | | | Zscaler, Inc.* | | | 806,629 | |
| | | | | | | | |
| | | | | | | 197,739,866 | |
| | | | | | | | |
| Specialty Retail (2.6%): | | | |
| | 776 | | | AutoZone, Inc.* | | | 919,901 | |
| | 2,282 | | | Best Buy Co, Inc. | | | 227,721 | |
| | 3,232 | | | Burlington Stores, Inc.* | | | 845,330 | |
| | 784 | | | CarMax, Inc.* | | | 74,057 | |
| | 3,127 | | | Carvana Co.* | | | 749,042 | |
| | 3,107 | | | Five Below, Inc.* | | | 543,663 | |
| | 5,301 | | | Floor & Decor Holdings, Inc., Class A* | | | 492,198 | |
| | 30,332 | | | Home Depot, Inc. (The) | | | 8,056,785 | |
| | 980 | | | Leslie’s, Inc.*^ | | | 27,195 | |
| | 42,681 | | | Lowe’s Cos., Inc. | | | 6,850,727 | |
| | 4,029 | | | O’Reilly Automotive, Inc.* | | | 1,823,405 | |
| | 15,940 | | | Ross Stores, Inc.* | | | 1,957,591 | |
| | 54,799 | | | TJX Cos., Inc. (The) | | | 3,742,224 | |
| | 6,540 | | | Tractor Supply Co. | | | 919,393 | |
| | 2,794 | | | Ulta Beauty, Inc.* | | | 802,325 | |
| | 1,106 | | | Vroom, Inc.* | | | 45,313 | |
| | 700 | | | Williams-Sonoma, Inc. | | | 71,288 | |
| | | | | | | | |
| | | | | | | 28,148,158 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (11.3%): | | | |
| | 911,372 | | | Apple, Inc. | | | 120,929,951 | |
| | 808 | | | Dell Technologies, Inc., Class C* | | | 59,218 | |
| | 6,734 | | | NetApp, Inc. | | | 446,060 | |
| | 7,584 | | | Pure Storage, Inc., Class A* | | | 171,474 | |
| | | | | | | | |
| | | | | | | 121,606,703 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.1%): | | | |
| | 6,401 | | | Lululemon Athletica, Inc.* | | | 2,227,740 | |
| | 69,219 | | | Nike, Inc., Class B | | | 9,792,412 | |
| | 977 | | | VF Corp. | | | 83,446 | |
| | | | | | | | |
| | | | | | | 12,103,598 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.0%†): | | | |
| | 588 | | | LendingTree, Inc.*^ | | | 160,988 | |
| | 2,416 | | | Rocket Cos., Inc., Class A*^ | | | 48,852 | |
| | | | | | | | |
| | | | | | | 209,840 | |
| | | | | | | | |
| Tobacco (0.2%): | | | |
| | 45,785 | | | Altria Group, Inc. | | | 1,877,184 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 26,033 | | | Fastenal Co. | | | 1,271,191 | |
| | 1,852 | | | W.W. Grainger, Inc. | | | 756,246 | |
| | | | | | | | |
| | | | | | | 2,027,437 | |
| | | | | | | | |
| | Total Common Stocks (Cost $464,949,303) | | | 1,054,035,256 | |
| | | | | |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.4%): | |
| $ | 4,412,706 | | | BlackRock Liquidity FedFund, Institutional Class, 0.38%(b)(c) | | $ | 4,412,706 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $4,412,706) | | | 4,412,706 | |
| | | | | |
| Unaffiliated Investment Companies (1.1%): | | | |
| Money Markets (1.1%): | | | |
| | 12,043,070 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 12,043,070 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $12,043,070) | | | 12,043,070 | |
| | | | | |
| | Total Investment Securities (Cost $481,405,079) — 100.4%(d) | | | 1,070,491,032 | |
| | Net other assets (liabilities) — (0.4)% | | | (4,237,506 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,066,253,526 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
REIT—Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $4,285,345. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of December 31, 2020, these securities represent 1.45% of the net assets of the fund. |
| (b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
Nasdaq 100 E-Mini March Futures (U.S. Dollar) | | | 3/19/21 | | | | 43 | | | $ | 11,081,530 | | | $ | 245,738 | |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/19/21 | | | | 11 | | | | 2,061,840 | | | | 40,749 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 286,487 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
9
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 481,405,079 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | $ | 1,070,491,032 | |
Deposit at broker for futures contracts collateral | | | | 817,200 | |
Interest and dividends receivable | | | | 360,886 | |
Receivable for variation margin on futures contracts | | | | 51,370 | |
Prepaid expenses | | | | 5,543 | |
| | | | | |
Total Assets | | | | 1,071,726,031 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 25 | |
Payable for capital shares redeemed | | | | 340,260 | |
Payable for collateral received on loaned securities | | | | 4,412,706 | |
Manager fees payable | | | | 312,934 | |
Administration fees payable | | | | 65,491 | |
Distribution fees payable | | | | 208,683 | |
Custodian fees payable | | | | 10,147 | |
Administrative and compliance services fees payable | | | | 2,946 | |
Transfer agent fees payable | | | | 1,966 | |
Trustee fees payable | | | | 10,668 | |
Other accrued liabilities | | | | 106,679 | |
| | | | | |
Total Liabilities | | | | 5,472,505 | |
| | | | | |
Net Assets | | | $ | 1,066,253,526 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 346,933,318 | |
Total distributable earnings | | | | 719,320,208 | |
| | | | | |
Net Assets | | | $ | 1,066,253,526 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 70,903,037 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 4,831,031 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.68 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 995,350,489 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 47,143,570 | |
Net Asset Value (offering and redemption price per share) | | | $ | 21.11 | |
| | | | | |
| (a) | Includes securities on loan of $4,285,345. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 9,329,879 | |
Interest | | | | 1,929 | |
Income from securities lending | | | | 24,705 | |
Foreign withholding tax | | | | (8 | ) |
| | | | | |
Total Investment Income | | | | 9,356,505 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 4,141,461 | |
Administration fees | | | | 333,615 | |
Distribution fees — Class 2 | | | | 2,201,820 | |
Custodian fees | | | | 40,528 | |
Administrative and compliance services fees | | | | 16,462 | |
Transfer agent fees | | | | 12,318 | |
Trustee fees | | | | 54,543 | |
Professional fees | | | | 47,913 | |
Shareholder reports | | | | 43,801 | |
Other expenses | | | | 197,304 | |
| | | | | |
Total expenses before reductions | | | | 7,089,765 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (847,108 | ) |
| | | | | |
Net expenses | | | | 6,242,657 | |
| | | | | |
Net Investment Income/(Loss) | | | | 3,113,848 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 124,619,030 | |
Net realized gains/(losses) on futures contracts | | | | 5,161,873 | |
Change in net unrealized appreciation/depreciation on securities | | | | 187,507,026 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 188,790 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 317,476,719 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 320,590,567 | |
| | | | | |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Growth Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 3,113,848 | | | | $ | 5,684,838 | |
Net realized gains/(losses) on investments | | | | 129,780,903 | | | | | 50,942,682 | |
Change in unrealized appreciation/depreciation on investments | | | | 187,695,816 | | | | | 214,638,374 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 320,590,567 | | | | | 271,265,894 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (5,195,430 | ) | | | | (8,764,900 | ) |
Class 2 | | | | (50,788,801 | ) | | | | (99,221,220 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (55,984,231 | ) | | | | (107,986,120 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 251,516 | | | | | 149,155 | |
Proceeds from dividends reinvested | | | | 5,195,429 | | | | | 8,764,900 | |
Value of shares redeemed | | | | (7,479,821 | ) | | | | (7,700,670 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (2,032,876 | ) | | | | 1,213,385 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 95,020,376 | | | | | 42,366,134 | |
Proceeds from dividends reinvested | | | | 50,788,801 | | | | | 99,221,220 | |
Value of shares redeemed | | | | (270,605,078 | ) | | | | (201,891,268 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (124,795,901 | ) | | | | (60,303,914 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (126,828,777 | ) | | | | (59,090,529 | ) |
| | | | | | | | | | |
Change in net assets | | | | 137,777,559 | | | | | 104,189,245 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 928,475,967 | | | | | 824,286,722 | |
| | | | | | | | | | |
End of period | | | $ | 1,066,253,526 | | | | $ | 928,475,967 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 21,604 | | | | | 12,270 | |
Dividends reinvested | | | | 390,048 | | | | | 848,490 | |
Shares redeemed | | | | (591,577 | ) | | | | (658,639 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (179,925 | ) | | | | 202,121 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 6,195,131 | | | | | 2,600,227 | |
Dividends reinvested | | | | 2,649,390 | | | | | 6,838,127 | |
Shares redeemed | | | | (15,818,600 | ) | | | | (12,630,974 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (6,974,079 | ) | | | | (3,192,620 | ) |
| | | | | | | | | | |
Change in shares | | | | (7,154,004 | ) | | | | (2,990,499 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Russell 1000 Growth Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016^ |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.46 | | | | $ | 10.12 | | | | $ | 11.74 | | | | $ | 10.28 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.07 | (a) | | | | 0.10 | (a) | | | | 0.13 | | | | | 0.14 | | | | | 0.03 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 4.28 | | | | | 3.28 | | | | | (0.20 | ) | | | | 2.73 | | | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 4.35 | | | | | 3.38 | | | | | (0.07 | ) | | | | 2.87 | | | | | 0.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.15 | ) | | | | (0.18 | ) | | | | (0.20 | ) | | | | (0.05 | ) | | | | — | |
Net Realized Gains | | | | (0.98 | ) | | | | (1.86 | ) | | | | (1.35 | ) | | | | (1.36 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.13 | ) | | | | (2.04 | ) | | | | (1.55 | ) | | | | (1.41 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.68 | | | | $ | 11.46 | | | | $ | 10.12 | | | | $ | 11.74 | | | | $ | 10.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 39.03 | % | | | | 35.53 | % | | | | (1.86 | )% | | | | 29.19 | % | | | | 2.80 | %(c) |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 70,903 | | | | $ | 57,430 | | | | $ | 48,665 | | | | $ | 55,307 | | | | $ | 49,297 | |
Net Investment Income/(Loss)(d) | | | | 0.56 | % | | | | 0.86 | % | | | | 0.96 | % | | | | 1.04 | % | | | | 1.26 | % |
Expenses Before Reductions(d)(e) | | | | 0.52 | % | | | | 0.51 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % |
Expenses Net of Reductions(d) | | | | 0.43 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.45 | % | | | | 0.45 | % |
Portfolio Turnover Rate(f) | | | | 22 | % | | | | 15 | % | | | | 17 | % | | | | 12 | % | | | | 158 | %(g) |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 16.10 | | | | $ | 13.53 | | | | $ | 15.21 | | | | $ | 12.99 | | | | $ | 15.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.06 | (a) | | | | 0.10 | (a) | | | | 0.15 | | | | | 0.13 | | | | | 0.04 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 6.04 | | | | | 4.46 | | | | | (0.33 | ) | | | | 3.49 | | | | | 0.84 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 6.10 | | | | | 4.56 | | | | | (0.18 | ) | | | | 3.62 | | | | | 0.88 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.15 | ) | | | | (0.04 | ) | | | | (0.16 | ) |
Net Realized Gains | | | | (0.98 | ) | | | | (1.86 | ) | | | | (1.35 | ) | | | | (1.36 | ) | | | | (3.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.09 | ) | | | | (1.99 | ) | | | | (1.50 | ) | | | | (1.40 | ) | | | | (3.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 21.11 | | | | $ | 16.10 | | | | $ | 13.53 | | | | $ | 15.21 | | | | $ | 12.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 38.58 | % | | | | 35.28 | % | | | | (2.14 | )% | | | | 28.89 | % | | | | 6.43 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 995,350 | | | | $ | 871,046 | | | | $ | 775,621 | | | | $ | 1,046,158 | | | | $ | 1,065,322 | |
Net Investment Income/(Loss) | | | | 0.31 | % | | | | 0.61 | % | | | | 0.71 | % | | | | 0.79 | % | | | | 0.99 | % |
Expenses Before Reductions(e) | | | | 0.77 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.75 | % | | | | 0.77 | % |
Expenses Net of Reductions | | | | 0.68 | % | | | | 0.68 | % | | | | 0.68 | % | | | | 0.70 | % | | | | 0.72 | % |
Portfolio Turnover Rate(f) | | | | 22 | % | | | | 15 | % | | | | 17 | % | | | | 12 | % | | | | 158 | %(g) |
| ^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
| (g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 158%. |
See accompanying notes to the financial statements.
12
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Russell 1000 Growth Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Private Placements
The Fund may invest in private placement securities which are securities issued by corporations without registration under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on a “private placement” exemption. These unregistered securities may be restricted and generally are sold to institutional investors, such as the Fund, who agree that they are purchasing the securities for investment and not with a view to public distribution. Unregistered securities are normally resold to other institutional investors through or with the assistance of the issuer or investment dealers who make a market in such securities.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal
13
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2020
tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,155 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,412,706 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $13.1 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2020
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | |
| Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 286,487 | | | Payable for variation margin on futures contracts* | | $ | — | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized |
| | |
| Equity Risk | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 5,161,873 | | | $188,790 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL Russell 1000 Growth Index Fund Class 1 | | | | 0.44 | % | | | | 0.59 | % |
AZL Russell 1000 Growth Index Fund Class 2 | | | | 0.44 | % | | | | 0.84 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.35% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2020
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $4,852 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 1,038,570,424 | | | | | $15,464,832 | | | | $ | — | | | | $ | 1,054,035,256 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 4,412,706 | | | | | — | | | | | — | | | | | 4,412,706 | |
Unaffiliated Investment Companies | | | | 12,043,070 | | | | | — | | | | | — | | | | | 12,043,070 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,055,026,200 | | | | | 15,464,832 | | | | | — | | | | | 1,070,491,032 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 286,487 | | | | | — | | | | | — | | | | | 286,487 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,055,312,687 | | | | $ | 15,464,832 | | | | $ | — | | | | $ | 1,070,777,519 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
16
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2020
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Russell 1000 Growth Index Fund | | | $ | 208,004,524 | | | | $ | 378,790,883 | |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of December 31, 2020 are identified below.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition
Date(a) | | Acquisition
Cost | | Shares or
Principal
Amount | | Fair
Value | | Percentage of
Net
Assets |
| | | | | |
Palantir Technologies, Inc., Series I* | | | | 2/7/14 | | | | $ | 4,126,319 | | | | $ | 673,135 | | | | $ | 15,464,832 | | | | | 1.45 | % |
| * | The issuer has imposed a lockup period for 80% of Palantir shares until the occurrence of certain agreed-upon events, not to extend beyond March 31, 2021. |
| (a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Concentration Risk: The Fund may be susceptible to an increased risk of loss, including losses due to adverse events that affect the Fund’s investments more than the market as a whole, to the extent that the Fund’s investments are concentrated in the securities of a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset class.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Technology Sector Risk: Technology companies, including information technology companies, may have limited product lines, markets, financial resources or personnel. Technology companies typically face intense competition and potentially rapid product obsolescence. They are also heavily dependent on intellectual property rights and may be adversely affected by the loss or impairment of those rights.
8. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
17
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2020
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $483,784,521. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 590,470,983 | |
Unrealized (depreciation) | | | (3,764,472 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 586,706,511 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Russell 1000 Growth Index Fund | | | $ | 7,875,714 | | | | $ | 48,108,517 | | | | $ | 55,984,231 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Russell 1000 Growth Index Fund | | | $ | 10,376,759 | | | | $ | 97,609,361 | | | | $ | 107,986,120 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Russell 1000 Growth Index Fund | | | $ | 3,122,661 | | | | $ | 129,491,036 | | | | $ | — | | | | $ | 586,706,511 | | | | $ | 719,320,208 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
10. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
18
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Russell 1000 Growth Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Russell 1000 Growth Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $2,188,532.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $48,108,517.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
21
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by
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the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
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The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
26
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Russell 1000 Value Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Russell 1000 Value Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Russell 1000 Value Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Russell 1000 Value Index Fund (Class 2 Shares) (the “Fund”) returned 2.01%. That compared to a 2.80% total return for its benchmark, the Russell 1000® Value Index1.
The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Russell 1000® Value Index (“Index”). The Index is designed to provide a comprehensive measure of value stocks’ performance.*
In the first quarter, fears of the coronavirus (COVID-19) outbreak and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Market Volatility Index2 (VIX) of near-term stock market volatility surged to its highest level since the financial crisis and the S&P 500 Index3 experienced its quickest bear market contraction on record. Economic activity fell to a standstill with Purchasing Managers’ Index4 across the globe registering at their lowest levels on record and jobless claims surged. In late March, the U.S. saw a record number of initial claims with 3.3 million people filing claims for unemployment benefits compared to a consensus estimate of 1.4 million.
In the second quarter, global governments unleashed large stimulus packages to combat the shock on the economy. The U.S. passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Federal Reserve Board (the Fed) cut the federal funds rate target to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. The Fed also announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history. U.S. stocks outperformed other regions during this quarter, with a sharper recovery from the troughs of late March. This has largely been supported by the historic policy response. Towards the end of the second quarter, government measures to contain the virus were gradually lifted in many states, boosting activity and employment.
In the third quarter, U.S. stocks continued their recovery over July and August, recording all-time highs. However, valuation concerns sparked market volatility in early September, leading to a market sell-off. COVID-19 continued to take center stage over the third quarter but the easing of restrictions, coupled with a drop in the number of new cases in the U.S. and ongoing accommodative policies by the Fed, supported the U.S. market recovery over the quarter. This performance came despite spikes in volatility and a market sell-off that dampened the recovery momentum.
In the fourth quarter, U.S. markets reacted positively to the election results despite a weak start to the quarter. The victory of Joe Biden came as an indicator of more stable internal and external policies. The fear of rising COVID-19 cases in the U.S. was offset by positive vaccine news and the announcement of a $900 billion stimulus in late December, which ultimately supported positive market performance. Sectors that were severely impacted by the pandemic, such as energy and financials, recovered following positive vaccine news in November, prompting these two sectors to recoup some of the losses incurred earlier in the year.
Most sectors within the Index posted positive returns over the year. The materials, healthcare, and industrials sectors were the best performers, while the energy sector lagged the most. Real estate and financial stocks also were among the lowest performers.
The Fund uses derivatives, most notably futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2020.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by the S&P 500 Index options. |
| 3 | The Standard & Poor’s 500 Index is unmanaged and is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. Investors cannot invest directly in an index. |
| 4 | Purchasing Managers’ Index (PMI) is an indicator of the economic health of the manufacturing sector. The PMI is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. |
1
AZL® Russell 1000 Value Index Fund Review (Unaudited)
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| Fund Objective |
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| The Fund’s investment objective is to match the total return of the Russell 1000® Value Index. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing in all stocks in the Index in proportion to their weighting in the Index. |
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| Investment Concerns |
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| Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. |
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| Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. |
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| The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines. |
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| Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. |
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| For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
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Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | | | Since
Inception | |
AZL® Russell 1000 Value Index Fund (Class 1 Shares) | | | 10/17/16 | | | | 2.25 | % | | | 5.68 | % | | | — | | | | — | | | | 9.10 | % |
AZL® Russell 1000 Value Index Fund (Class 2 Shares) | | | 4/30/10 | | | | 2.01 | % | | | 5.43 | % | | | 9.00 | % | | | 9.74 | % | | | 9.59 | % |
Russell 1000® Value Index | | | 4/30/10 | | | | 2.80 | % | | | 6.07 | % | | | 9.74 | % | | | 10.50 | % | | | 10.36 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® Russell 1000 Value Index Fund (Class 1 Shares) | | | 0.51 | % |
AZL® Russell 1000 Value Index Fund (Class 2 Shares) | | | 0.76 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.35% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.59% for Class 1 Shares and 0.84% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Russell 1000® Value Index, an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Russell 1000 Value Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Russell 1000 Value Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
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| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Russell 1000 Value Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,224.80 | | | | $ | 2.46 | | | | | 0.44 | % |
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AZL Russell 1000 Value Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,224.30 | | | | $ | 3.86 | | | | | 0.69 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
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| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
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AZL Russell 1000 Value Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.92 | | | | $ | 2.24 | | | | | 0.44 | % |
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AZL Russell 1000 Value Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.67 | | | | $ | 3.51 | | | | | 0.69 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Financials | | | | 19.3 | % |
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Health Care | | | | 13.4 | |
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Industrials | | | | 13.3 | |
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Information Technology | | | | 9.6 | |
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Communication Services | | | | 9.6 | |
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Consumer Staples | | | | 7.6 | |
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Consumer Discretionary | | | | 7.6 | |
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Utilities | | | | 5.4 | |
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Materials | | | | 4.7 | |
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Real Estate | | | | 4.4 | |
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Energy | | | | 4.3 | |
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Total Common Stocks | | | | 99.2 | |
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Unaffiliated Investment Companies | | | | 0.7 | |
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Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.3 | |
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Total Investment Securities | | | | 100.2 | |
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Net other assets (liabilities) | | | | (0.2 | ) |
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Net Assets | | | | 100.0 | % |
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3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.2%): | | | |
| Aerospace & Defense (2.2%): | | | |
| | 28,621 | | | Boeing Co. (The) | | $ | 6,126,610 | |
| | 1,906 | | | BWX Technologies, Inc. | | | 114,894 | |
| | 2,316 | | | Curtiss-Wright Corp. | | | 269,467 | |
| | 13,510 | | | General Dynamics Corp. | | | 2,010,558 | |
| | 489 | | | HEICO Corp. | | | 64,744 | |
| | 851 | | | HEICO Corp., Class A | | | 99,618 | |
| | 4,651 | | | Hexcel Corp. | | | 225,527 | |
| | 20,907 | | | Howmet Aerospace, Inc.* | | | 596,686 | |
| | 1,805 | | | Huntington Ingalls Industries, Inc. | | | 307,716 | |
| | 11,229 | | | L3harris Technologies, Inc. | | | 2,122,506 | |
| | 567 | | | Mercury Systems, Inc.* | | | 49,930 | |
| | 707 | | | Northrop Grumman Corp. | | | 215,437 | |
| | 76,402 | | | Raytheon Technologies Corp. | | | 5,463,507 | |
| | 5,849 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 228,637 | |
| | 1,952 | | | Teledyne Technologies, Inc.* | | | 765,145 | |
| | 12,017 | | | Textron, Inc. | | | 580,782 | |
| | 2,169 | | | TransDigm Group, Inc.* | | | 1,342,286 | |
| | | | | | | | |
| | | | | | | 20,584,050 | |
| | | | | | | | |
| Air Freight & Logistics (0.8%): | | | |
| | 5,896 | | | C.H. Robinson Worldwide, Inc. | | | 553,458 | |
| | 3,235 | | | Expeditors International of Washington, Inc. | | | 307,681 | |
| | 13,040 | | | FedEx Corp. | | | 3,385,445 | |
| | 12,946 | | | United Parcel Service, Inc., Class B | | | 2,180,106 | |
| | 4,815 | | | XPO Logistics, Inc.* | | | 573,948 | |
| | | | | | | | |
| | | | | | | 7,000,638 | |
| | | | | | | | |
| Airlines (0.5%): | | | |
| | 6,693 | | | Alaska Air Group, Inc. | | | 348,036 | |
| | 27,420 | | | American Airlines Group, Inc.^ | | | 432,413 | |
| | 1,749 | | | Copa Holdings SA, Class A | | | 135,075 | |
| | 34,099 | | | Delta Air Lines, Inc. | | | 1,371,121 | |
| | 15,037 | | | JetBlue Airways Corp.* | | | 218,638 | |
| | 31,565 | | | Southwest Airlines Co. | | | 1,471,244 | |
| | 15,370 | | | United Airlines Holdings, Inc.* | | | 664,753 | |
| | | | | | | | |
| | | | | | | 4,641,280 | |
| | | | | | | | |
| Auto Components (0.4%): | | | |
| | 14,335 | | | Aptiv plc | | | 1,867,707 | |
| | 11,550 | | | BorgWarner, Inc. | | | 446,292 | |
| | 13,689 | | | Gentex Corp. | | | 464,468 | |
| | 3,119 | | | Lear Corp. | | | 496,014 | |
| | | | | | | | |
| | | | | | | 3,274,481 | |
| | | | | | | | |
| Automobiles (0.6%): | | | |
| | 209,839 | | | Ford Motor Co. | | | 1,844,485 | |
| | 66,770 | | | General Motors Co. | | | 2,780,302 | |
| | 8,535 | | | Harley-Davidson, Inc. | | | 313,235 | |
| | 2,796 | | | Thor Industries, Inc. | | | 260,000 | |
| | | | | | | | |
| | | | | | | 5,198,022 | |
| | | | | | | | |
| Banks (7.5%): | | | |
| | 8,456 | | | Associated Banc-Corp. | | | 144,175 | |
| | 414,596 | | | Bank of America Corp. | | | 12,566,404 | |
| | 1,665 | | | Bank of Hawaii Corp. | | | 127,572 | |
| | 6,813 | | | Bank OZK | | | 213,043 | |
| | 1,750 | | | BOK Financial Corp. | | | 119,840 | |
| | 111,603 | | | Citigroup, Inc. | | | 6,881,440 | |
| | 22,731 | | | Citizens Financial Group, Inc. | | | 812,861 | |
| | 7,062 | | | Comerica, Inc. | | | 394,483 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 5,892 | | | Commerce Bancshares, Inc. | | $ | 387,104 | |
| | 3,124 | | | Cullen/Frost Bankers, Inc. | | | 272,507 | |
| | 7,321 | | | East West Bancorp, Inc. | | | 371,248 | |
| | 17,991 | | | F.N.B. Corp. | | | 170,915 | |
| | 38,339 | | | Fifth Third Bancorp | | | 1,057,006 | |
| | 282 | | | First Citizens BancShares, Inc., Class A | | | 161,944 | |
| | 7,231 | | | First Hawaiian, Inc. | | | 170,507 | |
| | 28,325 | | | First Horizon Corp. | | | 361,427 | |
| | 9,273 | | | First Republic Bank | | | 1,362,482 | |
| | 53,352 | | | Huntington Bancshares, Inc. | | | 673,836 | |
| | 162,357 | | | JPMorgan Chase & Co. | | | 20,630,703 | |
| | 51,965 | | | KeyCorp | | | 852,746 | |
| | 6,898 | | | M&T Bank Corp. | | | 878,115 | |
| | 6,511 | | | PacWest Bancorp | | | 165,379 | |
| | 23,600 | | | People’s United Financial, Inc. | | | 305,148 | |
| | 4,122 | | | Pinnacle Financial Partners, Inc. | | | 265,457 | |
| | 22,700 | | | PNC Financial Services Group, Inc. (The) | | | 3,382,300 | |
| | 4,236 | | | Popular, Inc. | | | 238,572 | |
| | 4,981 | | | Prosperity Bancshares, Inc. | | | 345,482 | |
| | 51,310 | | | Regions Financial Corp. | | | 827,117 | |
| | 2,903 | | | Signature Bank | | | 392,747 | |
| | 10,785 | | | Sterling Bancorp | | | 193,914 | |
| | 2,771 | | | SVB Financial Group* | | | 1,074,677 | |
| | 8,069 | | | Synovus Financial Corp. | | | 261,194 | |
| | 7,333 | | | TCF Financial Corp. | | | 271,468 | |
| | 72,120 | | | Truist Financial Corp. | | | 3,456,712 | |
| | 72,762 | | | U.S. Bancorp | | | 3,389,982 | |
| | 12,274 | | | Umpqua Holdings Corp. | | | 185,828 | |
| | 4,995 | | | Webster Financial Corp. | | | 210,539 | |
| | 201,255 | | | Wells Fargo & Co. | | | 6,073,876 | |
| | 5,485 | | | Western Alliance Bancorp | | | 328,826 | |
| | 3,185 | | | Wintrust Financial Corp. | | | 194,572 | |
| | 8,066 | | | Zions Bancorp | | | 350,387 | |
| | | | | | | | |
| | | | | | | 70,524,535 | |
| | | | | | | | |
| Beverages (1.2%): | | | |
| | 312 | | | Brown-Forman Corp., Class A | | | 22,923 | |
| | 1,492 | | | Brown-Forman Corp., Class B | | | 118,510 | |
| | 85,577 | | | Coca-Cola Co. (The) | | | 4,693,042 | |
| | 8,605 | | | Constellation Brands, Inc., Class C | | | 1,884,925 | |
| | 24,332 | | | Keurig Dr Pepper, Inc. | | | 778,624 | |
| | 9,036 | | | Molson Coors Brewing Co., Class B | | | 408,337 | |
| | 19,728 | | | PepsiCo, Inc. | | | 2,925,662 | |
| | | | | | | | |
| | | | | | | 10,832,023 | |
| | | | | | | | |
| Biotechnology (1.0%): | | | |
| | 5,651 | | | AbbVie, Inc. | | | 605,505 | |
| | 3,098 | | | Agios Pharmaceuticals, Inc.*^ | | | 134,236 | |
| | 9,800 | | | Alexion Pharmaceuticals, Inc.* | | | 1,531,152 | |
| | 8,806 | | | Alkermes plc* | | | 175,680 | |
| | 5,727 | | | Biogen, Inc.* | | | 1,402,313 | |
| | 938 | | | BioMarin Pharmaceutical, Inc.* | | | 82,253 | |
| | 1,991 | | | Bluebird Bio, Inc.* | | | 86,151 | |
| | 1,087 | | | Exact Sciences Corp.* | | | 144,017 | |
| | 10,800 | | | Exelixis, Inc.* | | | 216,756 | |
| | 67,301 | | | Gilead Sciences, Inc. | | | 3,920,956 | |
| | 3,703 | | | Ionis Pharmaceuticals, Inc.* | | | 209,368 | |
| | 2,644 | | | Sage Therapeutics, Inc.* | | | 228,732 | |
See accompanying notes to the financial statements.
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 2,200 | | | United Therapeutics Corp.* | | $ | 333,938 | |
| | | | | | | | |
| | | | | | | 9,071,057 | |
| | | | | | | | |
| Building Products (0.9%): | | | |
| | 7,405 | | | A.O. Smith Corp. | | | 405,942 | |
| | 1,800 | | | Allegion plc | | | 209,484 | |
| | 1,675 | | | Armstrong World Industries, Inc. | | | 124,603 | |
| | 1,430 | | | AZEK Co., Inc. (The)* | | | 54,984 | |
| | 29,573 | | | Carrier Global Corp. | | | 1,115,494 | |
| | 7,349 | | | Fortune Brands Home & Security, Inc. | | | 629,956 | |
| | 38,918 | | | Johnson Controls International plc | | | 1,813,190 | |
| | 1,825 | | | Lennox International, Inc. | | | 499,995 | |
| | 14,148 | | | Masco Corp. | | | 777,150 | |
| | 5,565 | | | Owens Corning | | | 421,604 | |
| | 12,881 | | | Trane Technologies plc | | | 1,869,806 | |
| | | | | | | | |
| | | | | | | 7,922,208 | |
| | | | | | | | |
| Capital Markets (4.3%): | | | |
| | 2,337 | | | Affiliated Managers Group, Inc. | | | 237,673 | |
| | 6,314 | | | Ameriprise Financial, Inc. | | | 1,227,000 | |
| | 4,798 | | | Apollo Global Management, Inc. | | | 235,006 | |
| | 43,082 | | | Bank of New York Mellon Corp. (The) | | | 1,828,400 | |
| | 7,889 | | | BlackRock, Inc., Class A+ | | | 5,692,228 | |
| | 5,887 | | | Carlyle Group, Inc. (The) | | | 185,087 | |
| | 4,419 | | | Cboe Global Markets, Inc. | | | 411,497 | |
| | 73,807 | | | Charles Schwab Corp. (The) | | | 3,914,723 | |
| | 19,010 | | | CME Group, Inc. | | | 3,460,771 | |
| | 6,179 | | | Eaton Vance Corp. | | | 419,739 | |
| | 2,203 | | | Evercore, Inc., Class A | | | 241,537 | |
| | 13,632 | | | Franklin Resources, Inc. | | | 340,664 | |
| | 17,752 | | | Goldman Sachs Group, Inc. | | | 4,681,379 | |
| | 4,024 | | | Interactive Brokers Group, Inc., Class A | | | 245,142 | |
| | 18,886 | | | Intercontinental Exchange, Inc. | | | 2,177,367 | |
| | 21,041 | | | Invesco, Ltd. | | | 366,745 | |
| | 28,906 | | | KKR & Co., Inc., Class A | | | 1,170,404 | |
| | 5,627 | | | Lazard, Ltd., Class A | | | 238,022 | |
| | 4,035 | | | LPL Financial Holdings, Inc. | | | 420,528 | |
| | 71,434 | | | Morgan Stanley | | | 4,895,371 | |
| | 177 | | | Morningstar, Inc. | | | 40,988 | |
| | 6,136 | | | Nasdaq, Inc. | | | 814,493 | |
| | 10,383 | | | Northern Trust Corp. | | | 967,073 | |
| | 6,563 | | | Raymond James Financial, Inc. | | | 627,882 | |
| | 5,321 | | | S&P Global, Inc. | | | 1,749,172 | |
| | 5,900 | | | SEI Investments Co. | | | 339,073 | |
| | 18,834 | | | State Street Corp. | | | 1,370,739 | |
| | 9,018 | | | T. Rowe Price Group, Inc. | | | 1,365,235 | |
| | 686 | | | Tradeweb Markets, Inc., Class A | | | 42,841 | |
| | | | | | | | |
| | | | | | | 39,706,779 | |
| | | | | | | | |
| Chemicals (3.1%): | | | |
| | 10,374 | | | Air Products & Chemicals, Inc. | | | 2,834,385 | |
| | 5,645 | | | Albemarle Corp. | | | 832,750 | |
| | 3,087 | | | Ashland Global Holdings, Inc. | | | 244,490 | |
| | 11,753 | | | Axalta Coating Systems, Ltd.* | | | 335,548 | |
| | 3,107 | | | Cabot Corp. | | | 139,442 | |
| | 6,313 | | | Celanese Corp. | | | 820,311 | |
| | 11,916 | | | CF Industries Holdings, Inc. | | | 461,268 | |
| | 9,113 | | | Chemours Co. (The) | | | 225,911 | |
| | 40,279 | | | Corteva, Inc. | | | 1,559,603 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 39,533 | | | Dow, Inc. | | $ | 2,194,082 | |
| | 39,269 | | | DuPont de Nemours, Inc. | | | 2,792,419 | |
| | 7,291 | | | Eastman Chemical Co. | | | 731,141 | |
| | 10,645 | | | Ecolab, Inc. | | | 2,303,152 | |
| | 12,108 | | | Element Solutions, Inc. | | | 214,675 | |
| | 5,528 | | | FMC Corp. | | | 635,333 | |
| | 11,175 | | | Huntsman Corp. | | | 280,940 | |
| | 5,695 | | | International Flavors & Fragrances, Inc. | | | 619,844 | |
| | 28,153 | | | Linde plc | | | 7,418,597 | |
| | 13,613 | | | Lyondellbasell Industries NV | | | 1,247,768 | |
| | 17,589 | | | Mosaic Co. (The) | | | 404,723 | |
| | 29 | | | NewMarket Corp. | | | 11,550 | |
| | 6,472 | | | Olin Corp. | | | 158,952 | |
| | 12,699 | | | PPG Industries, Inc. | | | 1,831,450 | |
| | 988 | | | RPM International, Inc. | | | 89,691 | |
| | 165 | | | Scotts Miracle-Gro Co. (The) | | | 32,858 | |
| | 10,340 | | | Valvoline, Inc. | | | 239,268 | |
| | 2,013 | | | W.R. Grace & Co. | | | 110,353 | |
| | 1,892 | | | Westlake Chemical Corp. | | | 154,387 | |
| | | | | | | | |
| | | | | | | 28,924,891 | |
| | | | | | | | |
| Commercial Services & Supplies (0.5%): | | | |
| | 8,980 | | | ADT, Inc. | | | 70,493 | |
| | 562 | | | Cintas Corp. | | | 198,645 | |
| | 2,871 | | | Clean Harbors, Inc.* | | | 218,483 | |
| | 5,277 | | | IAA, Inc.* | | | 342,899 | |
| | 1,580 | | | MSA Safety, Inc. | | | 236,036 | |
| | 11,401 | | | Republic Services, Inc., Class A | | | 1,097,916 | |
| | 1,551 | | | Rollins, Inc. | | | 60,598 | |
| | 4,708 | | | Stericycle, Inc.* | | | 326,406 | |
| | 19,614 | | | Waste Management, Inc. | | | 2,313,079 | |
| | | | | | | | |
| | | | | | | 4,864,555 | |
| | | | | | | | |
| Communications Equipment (1.5%): | | | |
| | 583 | | | Arista Networks, Inc.* | | | 169,402 | |
| | 8,529 | | | Ciena Corp.* | | | 450,758 | |
| | 227,610 | | | Cisco Systems, Inc. | | | 10,185,548 | |
| | 10,113 | | | CommScope Holding Co., Inc.* | | | 135,514 | |
| | 2,683 | | | EchoStar Corp., Class A* | | | 56,853 | |
| | 3,235 | | | F5 Networks, Inc.* | | | 569,166 | |
| | 17,088 | | | Juniper Networks, Inc. | | | 384,651 | |
| | 3,728 | | | Lumentum Holdings, Inc.* | | | 353,414 | |
| | 8,150 | | | Motorola Solutions, Inc. | | | 1,385,989 | |
| | 3,216 | | | ViaSat, Inc.* | | | 105,002 | |
| | | | | | | | |
| | | | | | | 13,796,297 | |
| | | | | | | | |
| Construction & Engineering (0.2%): | | | |
| | 8,010 | | | AECOM* | | | 398,738 | |
| | 6,734 | | | Jacobs Engineering Group, Inc. | | | 733,736 | |
| | 6,089 | | | Quanta Services, Inc. | | | 438,530 | |
| | 1,169 | | | Valmont Industries, Inc. | | | 204,493 | |
| | | | | | | | |
| | | | | | | 1,775,497 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 2,303 | | | Eagle Materials, Inc., Class A | | | 233,409 | |
| | 3,352 | | | Martin Marietta Materials, Inc. | | | 951,867 | |
| | 7,154 | | | Vulcan Materials Co. | | | 1,061,010 | |
| | | | | | | | |
| | | | | | | 2,246,286 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Consumer Finance (1.1%): | | | |
| | 19,821 | | | Ally Financial, Inc. | | $ | 706,817 | |
| | 35,043 | | | American Express Co. | | | 4,237,049 | |
| | 24,422 | | | Capital One Financial Corp. | | | 2,414,115 | |
| | 527 | | | Credit Acceptance Corp.*^ | | | 182,416 | |
| | 16,322 | | | Discover Financial Services | | | 1,477,631 | |
| | 3,626 | | | OneMain Holdings, Inc. | | | 174,628 | |
| | 4,212 | | | Santander Consumer USA Holdings, Inc. | | | 92,748 | |
| | 16,060 | | | SLM Corp. | | | 198,983 | |
| | 31,525 | | | Synchrony Financial | | | 1,094,233 | |
| | | | | | | | |
| | | | | | | 10,578,620 | |
| | | | | | | | |
| Containers & Packaging (0.7%): | | | |
| | 70,950 | | | Amcor plc | | | 835,082 | |
| | 3,329 | | | AptarGroup, Inc. | | | 455,707 | |
| | 1,027 | | | Ardagh Group SA | | | 17,675 | |
| | 2,550 | | | Avery Dennison Corp. | | | 395,531 | |
| | 1,140 | | | Ball Corp. | | | 106,225 | |
| | 4,891 | | | Berry Global Group, Inc.* | | | 274,825 | |
| | 6,208 | | | Crown Holdings, Inc.* | | | 622,042 | |
| | 12,129 | | | Graphic Packaging Holding Co. | | | 205,465 | |
| | 21,275 | | | International Paper Co. | | | 1,057,793 | |
| | 4,993 | | | Packaging Corp. of America | | | 688,585 | |
| | 8,075 | | | Sealed Air Corp. | | | 369,754 | |
| | 4,388 | | | Silgan Holdings, Inc. | | | 162,707 | |
| | 5,589 | | | Sonoco Products Co. | | | 331,148 | |
| | 13,574 | | | WestRock Co. | | | 590,876 | |
| | | | | | | | |
| | | | | | | 6,113,415 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 7,505 | | | Genuine Parts Co. | | | 753,727 | |
| | 16,042 | | | LKQ Corp.* | | | 565,320 | |
| | | | | | | | |
| | | | | | | 1,319,047 | |
| | | | | | | | |
| Diversified Consumer Services (0.2%): | | | |
| | 985 | | | Bright Horizons Family Solutions, Inc.* | | | 170,395 | |
| | 3,974 | | | Frontdoor, Inc.* | | | 199,535 | |
| | 230 | | | Graham Holdings Co., Class B | | | 122,677 | |
| | 2,603 | | | Grand Canyon Education, Inc.* | | | 242,365 | |
| | 3,198 | | | H&R Block, Inc. | | | 50,720 | |
| | 9,071 | | | Service Corp. International | | | 445,387 | |
| | 6,826 | | | Terminix Global Holdings, Inc.* | | | 348,194 | |
| | | | | | | | |
| | | | | | | 1,579,273 | |
| | | | | | | | |
| Diversified Financial Services (2.7%): | | | |
| | 100,833 | | | Berkshire Hathaway, Inc., Class B* | | | 23,380,148 | |
| | 21,668 | | | Equitable Holdings, Inc. | | | 554,484 | |
| | 11,487 | | | Jefferies Financial Group, Inc. | | | 282,580 | |
| | 6,367 | | | Voya Financial, Inc. | | | 374,443 | |
| | | | | | | | |
| | | | | | | 24,591,655 | |
| | | | | | | | |
| Diversified Telecommunication Services (2.7%): | | | |
| | 382,224 | | | AT&T, Inc. | | | 10,992,762 | |
| | 57,924 | | | CenturyLink, Inc. | | | 564,759 | |
| | 222,099 | | | Verizon Communications, Inc. | | | 13,048,316 | |
| | | | | | | | |
| | | | | | | 24,605,837 | |
| | | | | | | | |
| Electric Utilities (3.3%): | | | |
| | 13,319 | | | Alliant Energy Corp. | | | 686,328 | |
| | 26,589 | | | American Electric Power Co., Inc. | | | 2,214,066 | |
| | 3,163 | | | Avangrid, Inc. | | | 143,758 | |
| | 39,361 | | | Duke Energy Corp. | | | 3,603,894 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities, continued | | | |
| | 19,007 | | | Edison International | | $ | 1,194,020 | |
| | 10,887 | | | Entergy Corp. | | | 1,086,958 | |
| | 12,086 | | | Evergy, Inc. | | | 670,894 | |
| | 18,442 | | | Eversource Energy | | | 1,595,417 | |
| | 51,953 | | | Exelon Corp. | | | 2,193,456 | |
| | 29,150 | | | FirstEnergy Corp. | | | 892,282 | |
| | 5,969 | | | Hawaiian Electric Industries, Inc. | | | 211,243 | |
| | 2,810 | | | IDACORP, Inc. | | | 269,844 | |
| | 104,923 | | | NextEra Energy, Inc. | | | 8,094,810 | |
| | 10,327 | | | OGE Energy Corp. | | | 329,018 | |
| | 68,985 | | | PG&E Corp.* | | | 859,553 | |
| | 5,951 | | | Pinnacle West Capital Corp. | | | 475,782 | |
| | 41,007 | | | PPL Corp. | | | 1,156,397 | |
| | 56,563 | | | Southern Co. (The) | | | 3,474,665 | |
| | 28,024 | | | Xcel Energy, Inc. | | | 1,868,360 | |
| | | | | | | | |
| | | | | | | 31,020,745 | |
| | | | | | | | |
| Electrical Equipment (1.0%): | | | |
| | 2,194 | | | Acuity Brands, Inc. | | | 265,671 | |
| | 12,154 | | | AMETEK, Inc. | | | 1,469,905 | |
| | 2,701 | | | Array Technologies, Inc.* | | | 116,521 | |
| | 21,350 | | | Eaton Corp. plc | | | 2,564,988 | |
| | 31,787 | | | Emerson Electric Co. | | | 2,554,720 | |
| | 287 | | | Generac Holdings, Inc.* | | | 65,267 | |
| | 3,059 | | | GrafTech International, Ltd. | | | 32,609 | |
| | 2,810 | | | Hubbell, Inc. | | | 440,580 | |
| | 8,670 | | | nVent Electric plc | | | 201,924 | |
| | 2,259 | | | Regal-Beloit Corp. | | | 277,428 | |
| | 3,213 | | | Rockwell Automation, Inc. | | | 805,853 | |
| | 8,055 | | | Sensata Technologies Holding plc* | | | 424,821 | |
| | | | | | | | |
| | | | | | | 9,220,287 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.8%): | | | |
| | 6,256 | | | Amphenol Corp., Class A | | | 818,097 | |
| | 4,060 | | | Arrow Electronics, Inc.* | | | 395,038 | |
| | 5,470 | | | Avnet, Inc. | | | 192,052 | |
| | 221 | | | Coherent, Inc.* | | | 33,154 | |
| | 40,155 | | | Corning, Inc. | | | 1,445,581 | |
| | 3,101 | | | Dolby Laboratories, Inc., Class A | | | 301,200 | |
| | 7,278 | | | FLIR Systems, Inc. | | | 318,995 | |
| | 1,850 | | | IPG Photonics Corp.* | | | 414,012 | |
| | 6,644 | | | Jabil, Inc. | | | 282,569 | |
| | 6,665 | | | Keysight Technologies, Inc.* | | | 880,380 | |
| | 1,314 | | | Littlelfuse, Inc. | | | 334,623 | |
| | 7,190 | | | National Instruments Corp. | | | 315,929 | |
| | 2,317 | | | SYNNEX Corp. | | | 188,696 | |
| | 13,343 | | | Trimble, Inc.* | | | 890,912 | |
| | 6,643 | | | Vontier Corp.* | | | 221,876 | |
| | 252 | | | Zebra Technologies Corp., Class A* | | | 96,851 | |
| | | | | | | | |
| | | | | | | 7,129,965 | |
| | | | | | | | |
| Energy Equipment & Services (0.4%): | | | |
| | 35,257 | | | Baker Hughes Co. | | | 735,108 | |
| | 46,846 | | | Halliburton Co. | | | 885,390 | |
| | 5,830 | | | Helmerich & Payne, Inc. | | | 135,023 | |
| | 21,651 | | | NOV, Inc. | | | 297,268 | |
| | 74,414 | | | Schlumberger, Ltd. | | | 1,624,457 | |
| | | | | | | | |
| | | | | | | 3,677,246 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Entertainment (2.5%): | | | |
| | 24,617 | | | Activision Blizzard, Inc. | | $ | 2,285,688 | |
| | 13,256 | | | Electronic Arts, Inc. | | | 1,903,562 | |
| | 1,395 | | | Liberty Media Corp-Liberty Formula One, Class A* | | | 52,996 | |
| | 10,305 | | | Liberty Media Corp-Liberty Formula One, Class C* | | | 438,993 | |
| | 3,570 | | | Lions Gate Entertainment Corp., Class A* | | | 40,591 | |
| | 6,558 | | | Lions Gate Entertainment Corp., Class B* | | | 68,072 | |
| | 986 | | | Madison Square Garden Entertainment Corp.* | | | 103,569 | |
| | 1,046 | | | Madison Square Garden Sports Corp., Class A* | | | 192,569 | |
| | 471 | | | Take-Two Interactive Software, Inc.* | | | 97,869 | |
| | 96,873 | | | Walt Disney Co. (The)* | | | 17,551,450 | |
| | 8,763 | | | Zynga, Inc.* | | | 86,491 | |
| | | | | | | | |
| | | | | | | 22,821,850 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (4.2%): | | | |
| | 6,800 | | | Alexandria Real Estate Equities, Inc. | | | 1,211,896 | |
| | 7,638 | | | American Campus Communities, Inc. | | | 326,677 | |
| | 14,485 | | | American Homes 4 Rent, Class A | | | 434,550 | |
| | 10,068 | | | Americold Realty Trust | | | 375,838 | |
| | 8,215 | | | Apartment Income REIT Corp.* | | | 315,538 | |
| | 8,215 | | | Apartment Investment and Management Co. | | | 43,375 | |
| | 11,696 | | | Apple Hospitality REIT, Inc. | | | 150,995 | |
| | 7,668 | | | AvalonBay Communities, Inc. | | | 1,230,177 | |
| | 8,320 | | | Boston Properties, Inc. | | | 786,490 | |
| | 9,402 | | | Brandywine Realty Trust | | | 111,978 | |
| | 16,530 | | | Brixmor Property Group, Inc. | | | 273,572 | |
| | 4,955 | | | Camden Property Trust | | | 495,104 | |
| | 731 | | | Coresite Realty Corp. | | | 91,580 | |
| | 6,264 | | | Corporate Office Properties Trust | | | 163,365 | |
| | 8,259 | | | Cousins Properties, Inc. | | | 276,677 | |
| | 1,556 | | | Crown Castle International Corp. | | | 247,700 | |
| | 10,780 | | | CubeSmart | | | 362,316 | |
| | 6,416 | | | Cyrusone, Inc. | | | 469,330 | |
| | 14,488 | | | Digital Realty Trust, Inc. | | | 2,021,220 | |
| | 8,414 | | | Douglas Emmett, Inc. | | | 245,521 | |
| | 19,770 | | | Duke Realty Corp. | | | 790,207 | |
| | 8,160 | | | Empire State Realty Trust, Inc., Class A | | | 76,051 | |
| | 3,337 | | | EPR Properties | | | 108,453 | |
| | 6,512 | | | Equity Commonwealth | | | 177,647 | |
| | 5,267 | | | Equity Lifestyle Properties, Inc. | | | 333,717 | |
| | 20,017 | | | Equity Residential | | | 1,186,608 | |
| | 3,501 | | | Essex Property Trust, Inc. | | | 831,207 | |
| | 2,083 | | | Extra Space Storage, Inc. | | | 241,336 | |
| | 3,896 | | | Federal Realty Investment Trust | | | 331,628 | |
| | 7,043 | | | First Industrial Realty Trust, Inc. | | | 296,722 | |
| | 10,878 | | | Gaming and Leisure Properties, Inc. | | | 461,227 | |
| | 12,129 | | | Healthcare Trust of America, Inc., Class A | | | 334,033 | |
| | 29,049 | | | Healthpeak Properties, Inc. | | | 878,151 | |
| | 5,739 | | | Highwoods Properties, Inc. | | | 227,437 | |
| | 36,710 | | | Host Hotels & Resorts, Inc. | | | 537,067 | |
| | 8,380 | | | Hudson Pacific Properties, Inc. | | | 201,288 | |
| | 30,252 | | | Invitation Homes, Inc. | | | 898,484 | |
| | 6,608 | | | Iron Mountain, Inc.^ | | | 194,804 | |
| | 6,796 | | | JBG SMITH Properties | | | 212,511 | |
| | 5,970 | | | Kilroy Realty Corp. | | | 342,678 | |
| | 23,048 | | | Kimco Realty Corp. | | | 345,950 | |
| | 4,457 | | | Lamar Advertising Co., Class A | | | 370,912 | |
| | 2,602 | | | Life Storage, Inc. | | | 310,653 | |
| | 27,634 | | | Medical Properties Trust, Inc. | | | 602,145 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 6,116 | | | Mid-America Apartment Communities, Inc. | | $ | 774,836 | |
| | 8,843 | | | National Retail Properties, Inc. | | | 361,856 | |
| | 11,849 | | | Omega Healthcare Investors, Inc. | | | 430,356 | |
| | 7,522 | | | Outfront Media, Inc. | | | 147,130 | |
| | 10,557 | | | Paramount Group, Inc. | | | 95,435 | |
| | 13,359 | | | Parks Hotels & Resorts, Inc. | | | 229,107 | |
| | 39,443 | | | ProLogis, Inc. | | | 3,930,888 | |
| | 2,787 | | | Public Storage, Inc. | | | 643,602 | |
| | 6,475 | | | Rayonier, Inc. | | | 190,236 | |
| | 18,728 | | | Realty Income Corp. | | | 1,164,320 | |
| | 8,830 | | | Regency Centers Corp. | | | 402,560 | |
| | 6,439 | | | Rexford Industrial Realty, Inc. | | | 316,219 | |
| | 5,132 | | | SBA Communications Corp. | | | 1,447,890 | |
| | 3,618 | | | Simon Property Group, Inc. | | | 308,543 | |
| | 3,769 | | | SL Green Realty Corp. | | | 224,557 | |
| | 5,739 | | | Spirit Realty Capital, Inc. | | | 230,536 | |
| | 12,542 | | | STORE Capital Corp. | | | 426,177 | |
| | 5,193 | | | Sun Communities, Inc. | | | 789,076 | |
| | 15,502 | | | UDR, Inc. | | | 595,742 | |
| | 20,216 | | | Ventas, Inc. | | | 991,393 | |
| | 12,051 | | | VEREIT, Inc. | | | 455,407 | |
| | 28,145 | | | VICI Properties, Inc. | | | 717,698 | |
| | 9,106 | | | Vornado Realty Trust | | | 340,018 | |
| | 6,767 | | | Weingarten Realty Investors | | | 146,641 | |
| | 22,373 | | | Welltower, Inc. | | | 1,445,743 | |
| | 40,627 | | | Weyerhaeuser Co. | | | 1,362,223 | |
| | 9,108 | | | WP Carey, Inc. | | | 642,843 | |
| | | | | | | | |
| | | | | | | 38,735,847 | |
| | | | | | | | |
| Food & Staples Retailing (1.7%): | | | |
| | 1,938 | | | Albertsons Cos., Inc., Class A^ | | | 34,070 | |
| | 2,054 | | | Casey’s General Stores, Inc. | | | 366,885 | |
| | 2,732 | | | Costco Wholesale Corp. | | | 1,029,363 | |
| | 1,808 | | | Grocery Outlet Holding Corp.* | | | 70,964 | |
| | 41,381 | | | Kroger Co. (The) | | | 1,314,261 | |
| | 880 | | | Sprouts Farmers Market, Inc.* | | | 17,688 | |
| | 7,425 | | | Sysco Corp. | | | 551,381 | |
| | 12,260 | | | US Foods Holding Corp.* | | | 408,381 | |
| | 38,600 | | | Walgreens Boots Alliance, Inc. | | | 1,539,368 | |
| | 74,693 | | | Walmart, Inc. | | | 10,766,995 | |
| | | | | | | | |
| | | | | | | 16,099,356 | |
| | | | | | | | |
| Food Products (1.8%): | | | |
| | 29,670 | | | Archer-Daniels-Midland Co. | | | 1,495,665 | |
| | 581 | | | Beyond Meat, Inc.*^ | | | 72,625 | |
| | 7,119 | | | Bunge, Ltd. | | | 466,864 | |
| | 4,736 | | | Campbell Soup Co. | | | 228,986 | |
| | 26,348 | | | Conagra Brands, Inc. | | | 955,378 | |
| | 10,875 | | | Flowers Foods, Inc. | | | 246,101 | |
| | 32,344 | | | General Mills, Inc. | | | 1,901,827 | |
| | 4,540 | | | Hain Celestial Group, Inc. (The)* | | | 182,281 | |
| | 1,878 | | | Hershey Co. (The) | | | 286,076 | |
| | 14,978 | | | Hormel Foods Corp. | | | 698,125 | |
| | 3,745 | | | Ingredion, Inc. | | | 294,619 | |
| | 5,927 | | | JM Smucker Co. (The) | | | 685,161 | |
| | 8,787 | | | Kellogg Co. | | | 546,815 | |
| | 34,377 | | | Kraft Heinz Co. (The) | | | 1,191,507 | |
| | 5,853 | | | Lamb Weston Holdings, Inc. | | | 460,865 | |
| | 5,808 | | | McCormick & Co. | | | 555,245 | |
See accompanying notes to the financial statements.
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 75,678 | | | Mondelez International, Inc., Class A | | $ | 4,424,892 | |
| | 1,888 | | | Pilgrim’s Pride Corp.* | | | 37,024 | |
| | 3,556 | | | Post Holdings, Inc.* | | | 359,192 | |
| | 14 | | | Seaboard Corp. | | | 42,434 | |
| | 2,738 | | | TreeHouse Foods, Inc.* | | | 116,338 | |
| | 15,542 | | | Tyson Foods, Inc., Class A | | | 1,001,526 | |
| | | | | | | | |
| | | | | | | 16,249,546 | |
| | | | | | | | |
| Gas Utilities (0.1%): | | | |
| | 6,481 | | | Atmos Energy Corp. | | | 618,482 | |
| | 4,615 | | | National Fuel Gas Co. | | | 189,815 | |
| | 10,745 | | | UGI Corp. | | | 375,645 | |
| | | | | | | | |
| | | | | | | 1,183,942 | |
| | | | | | | | |
| Health Care Equipment & Supplies (4.3%): | | | |
| | 57,071 | | | Abbott Laboratories | | | 6,248,704 | |
| | 15,800 | | | Baxter International, Inc. | | | 1,267,792 | |
| | 14,783 | | | Becton Dickinson & Co. | | | 3,699,002 | |
| | 76,561 | | | Boston Scientific Corp.* | | | 2,752,368 | |
| | 2,308 | | | Cooper Cos., Inc. (The) | | | 838,543 | |
| | 33,555 | | | Danaher Corp. | | | 7,453,908 | |
| | 11,691 | | | Dentsply Sirona, Inc. | | | 612,141 | |
| | 8,904 | | | Envista Holdings Corp.* | | | 300,332 | |
| | 4,136 | | | Globus Medical, Inc., Class A* | | | 269,750 | |
| | 2,953 | | | Hill-Rom Holdings, Inc. | | | 289,305 | |
| | 4,323 | | | Hologic, Inc.* | | | 314,844 | |
| | 793 | | | ICU Medical, Inc.* | | | 170,091 | |
| | 3,982 | | | Integra LifeSciences Holdings Corp.* | | | 258,511 | |
| | 71,898 | | | Medtronic plc | | | 8,422,131 | |
| | 4,281 | | | Steris plc | | | 811,421 | |
| | 12,605 | | | Stryker Corp. | | | 3,088,729 | |
| | 422 | | | Tandem Diabetes Care, Inc.* | | | 40,377 | |
| | 892 | | | Teleflex, Inc. | | | 367,120 | |
| | 4,244 | | | Varian Medical Systems, Inc.* | | | 742,742 | |
| | 11,131 | | | Zimmer Biomet Holdings, Inc. | | | 1,715,176 | |
| | | | | | | | |
| | | | | | | 39,662,987 | |
| | | | | | | | |
| Health Care Providers & Services (2.5%): | | | |
| | 4,903 | | | Acadia Healthcare Co., Inc.* | | | 246,425 | |
| | 3,966 | | | AmerisourceBergen Corp. | | | 387,716 | |
| | 9,913 | | | Anthem, Inc. | | | 3,182,965 | |
| | 21,593 | | | Centene Corp.* | | | 1,296,228 | |
| | 13,863 | | | Cigna Corp. | | | 2,885,999 | |
| | 70,064 | | | CVS Health Corp. | | | 4,785,370 | |
| | 3,397 | | | DaVita, Inc.* | | | 398,808 | |
| | 2,771 | | | Encompass Health Corp. | | | 229,134 | |
| | 6,927 | | | HCA Healthcare, Inc. | | | 1,139,214 | |
| | 7,547 | | | Henry Schein, Inc.* | | | 504,592 | |
| | 4,410 | | | Humana, Inc. | | | 1,809,291 | |
| | 4,961 | | | Laboratory Corp. of America Holdings* | | | 1,009,812 | |
| | 2,301 | | | McKesson Corp. | | | 400,190 | |
| | 1,009 | | | Molina Healthcare, Inc.* | | | 214,594 | |
| | 614 | | | Oak Street Health, Inc.* | | | 37,552 | |
| | 6,505 | | | Premier, Inc., Class A | | | 228,326 | |
| | 7,205 | | | Quest Diagnostics, Inc. | | | 858,620 | |
| | 8,495 | | | UnitedHealth Group, Inc. | | | 2,979,027 | |
| | 3,903 | | | Universal Health Services, Inc., Class B | | | 536,663 | |
| | | | | | | | |
| | | | | | | 23,130,526 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Technology (0.0%†): | | | |
| | 3,584 | | | Change Healthcare, Inc.* | | $ | 66,842 | |
| | 396 | | | Teladoc Health, Inc.* | | | 79,184 | |
| | | | | | | | |
| | | | | | | 146,026 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (2.5%): | | | |
| | 11,992 | | | Aramark | | | 461,452 | |
| | 24,466 | | | Carnival Corp., Class A | | | 529,934 | |
| | 1,941 | | | Choice Hotels International, Inc. | | | 207,163 | |
| | 6,972 | | | Darden Restaurants, Inc. | | | 830,505 | |
| | 9,874 | | | Extended Stay America, Inc. | | | 146,234 | |
| | 14,593 | | | Hilton Worldwide Holdings, Inc. | | | 1,623,617 | |
| | 1,950 | | | Hyatt Hotels Corp., Class A | | | 144,788 | |
| | 10,081 | | | Las Vegas Sands Corp. | | | 600,828 | |
| | 14,406 | | | Marriott International, Inc., Class A | | | 1,900,440 | |
| | 34,197 | | | McDonald’s Corp. | | | 7,337,992 | |
| | 26,271 | | | MGM Resorts International | | | 827,799 | |
| | 14,256 | | | Norwegian Cruise Line Holdings, Ltd.*^ | | | 362,530 | |
| | 1,932 | | | Planet Fitness, Inc., Class A* | | | 149,981 | |
| | 9,485 | | | Royal Caribbean Cruises, Ltd. | | | 708,435 | |
| | 4,260 | | | Six Flags Entertainment Corp. | | | 145,266 | |
| | 26,434 | | | Starbucks Corp. | | | 2,827,909 | |
| | 1,950 | | | Vail Resorts, Inc. | | | 543,972 | |
| | 4,687 | | | Wyndham Destinations, Inc. | | | 210,259 | |
| | 4,639 | | | Wyndham Hotels & Resorts, Inc. | | | 275,742 | |
| | 3,780 | | | Wynn Resorts, Ltd. | | | 426,497 | |
| | 19,793 | | | Yum China Holdings, Inc. | | | 1,129,982 | |
| | 15,089 | | | Yum! Brands, Inc. | | | 1,638,062 | |
| | | | | | | | |
| | | | | | | 23,029,387 | |
| | | | | | | | |
| Household Durables (0.7%): | | | |
| | 17,676 | | | D.R. Horton, Inc. | | | 1,218,231 | |
| | 8,029 | | | Garmin, Ltd. | | | 960,750 | |
| | 7,367 | | | Leggett & Platt, Inc. | | | 326,358 | |
| | 14,312 | | | Lennar Corp., Class A | | | 1,091,004 | |
| | 928 | | | Lennar Corp., Class B | | | 56,794 | |
| | 2,996 | | | Mohawk Industries, Inc.* | | | 422,286 | |
| | 19,878 | | | Newell Brands, Inc. | | | 422,010 | |
| | 161 | | | NVR, Inc.* | | | 656,857 | |
| | 14,320 | | | PulteGroup, Inc. | | | 617,478 | |
| | 2,052 | | | Tempur Sealy International, Inc.* | | | 55,404 | |
| | 6,460 | | | Toll Brothers, Inc. | | | 280,816 | |
| | 3,255 | | | Whirlpool Corp. | | | 587,495 | |
| | | | | | | | |
| | | | | | | 6,695,483 | |
| | | | | | | | |
| Household Products (1.8%): | | | |
| | 2,050 | | | Clorox Co. (The) | | | 413,936 | |
| | 45,158 | | | Colgate-Palmolive Co. | | | 3,861,461 | |
| | 846 | | | Energizer Holdings, Inc. | | | 35,684 | |
| | 18,181 | | | Kimberly-Clark Corp. | | | 2,451,344 | |
| | 72,235 | | | Procter & Gamble Co. (The) | | | 10,050,778 | |
| | 1,633 | | | Reynolds Consumer Products, Inc. | | | 49,055 | |
| | 2,366 | | | Spectrum Brands Holdings, Inc. | | | 186,867 | |
| | | | | | | | |
| | | | | | | 17,049,125 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 35,418 | | | AES Corp. (The) | | | 832,323 | |
| | 8,863 | | | NRG Energy, Inc. | | | 332,806 | |
| | 25,787 | | | Vistra Corp. | | | 506,972 | |
| | | | | | | | |
| | | | | | | 1,672,101 | |
| | | | | | | | |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Industrial Conglomerates (1.9%): | | | |
| | 10,240 | | | 3M Co. | | $ | 1,789,850 | |
| | 2,830 | | | Carlisle Cos., Inc. | | | 441,989 | |
| | 465,733 | | | General Electric Co. | | | 5,029,916 | |
| | 37,634 | | | Honeywell International, Inc. | | | 8,004,752 | |
| | 4,850 | | | Roper Technologies, Inc. | | | 2,090,787 | |
| | | | | | | | |
| | | | | | | 17,357,294 | |
| | | | | | | | |
| Insurance (3.5%): | | | |
| | 37,220 | | | Aflac, Inc. | | | 1,655,173 | |
| | 658 | | | Alleghany Corp. | | | 397,228 | |
| | 16,251 | | | Allstate Corp. (The) | | | 1,786,472 | |
| | 3,717 | | | American Financial Group, Inc. | | | 325,684 | |
| | 46,487 | | | American International Group, Inc. | | | 1,759,998 | |
| | 412 | | | American National Group , Inc. | | | 39,601 | |
| | 21,161 | | | Arch Capital Group, Ltd.* | | | 763,276 | |
| | 10,148 | | | Arthur J. Gallagher & Co. | | | 1,255,409 | |
| | 3,095 | | | Assurant, Inc. | | | 421,601 | |
| | 3,829 | | | Assured Guaranty, Ltd. | | | 120,575 | |
| | 6,446 | | | Athene Holding, Ltd., Class A* | | | 278,080 | |
| | 4,217 | | | Axis Capital Holdings, Ltd. | | | 212,495 | |
| | 4,574 | | | Brighthouse Financial, Inc.* | | | 165,602 | |
| | 11,852 | | | Brown & Brown, Inc. | | | 561,903 | |
| | 24,085 | | | Chubb, Ltd. | | | 3,707,163 | |
| | 8,015 | | | Cincinnati Financial Corp. | | | 700,271 | |
| | 1,566 | | | CNA Financial Corp. | | | 61,011 | |
| | 600 | | | Erie Indemnity Co., Class A | | | 147,360 | |
| | 2,086 | | | Everest Re Group, Ltd. | | | 488,312 | |
| | 14,589 | | | Fidelity National Financial, Inc. | | | 570,284 | |
| | 6,053 | | | First American Financial Corp. | | | 312,516 | |
| | 5,517 | | | Globe Life, Inc. | | | 523,894 | |
| | 2,035 | | | GoHealth, Inc., Class A*^ | | | 27,798 | |
| | 1,806 | | | Hanover Insurance Group, Inc. (The) | | | 211,158 | |
| | 19,274 | | | Hartford Financial Services Group, Inc. (The) | | | 944,041 | |
| | 3,221 | | | Kemper Corp. | | | 247,469 | |
| | 524 | | | Lemonade, Inc.*^ | | | 64,190 | |
| | 8,677 | | | Lincoln National Corp. | | | 436,540 | |
| | 12,644 | | | Loews Corp. | | | 569,233 | |
| | 726 | | | Markel Corp.* | | | 750,176 | |
| | 6,073 | | | Marsh & McLennan Cos., Inc. | | | 710,541 | |
| | 1,523 | | | Mercury General Corp. | | | 79,516 | |
| | 41,504 | | | MetLife, Inc. | | | 1,948,613 | |
| | 15,793 | | | Old Republic International Corp. | | | 311,280 | |
| | 766 | | | Primerica, Inc. | | | 102,590 | |
| | 14,625 | | | Principal Financial Group, Inc. | | | 725,546 | |
| | 22,287 | | | Progressive Corp. (The) | | | 2,203,739 | |
| | 21,181 | | | Prudential Financial, Inc. | | | 1,653,601 | |
| | 3,553 | | | Reinsurance Group of America, Inc. | | | 411,793 | |
| | 1,808 | | | RenaissanceRe Holdings, Ltd. | | | 299,803 | |
| | 13,594 | | | Travelers Cos., Inc. (The) | | | 1,908,190 | |
| | 11,345 | | | Unum Group | | | 260,254 | |
| | 168 | | | White Mountains Insurance Group, Ltd. | | | 168,111 | |
| | 6,874 | | | Willis Towers Watson plc | | | 1,448,214 | |
| | 7,355 | | | WR Berkley Corp. | | | 488,519 | |
| | | | | | | | |
| | | | | | | 32,224,823 | |
| | | | | | | | |
| Interactive Media & Services (1.8%): | | | |
| | 3,604 | | | Alphabet, Inc., Class A* | | | 6,316,515 | |
| | 3,491 | | | Alphabet, Inc., Class C* | | | 6,115,813 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Interactive Media & Services, continued | | | |
| | 3,813 | | | Pinterest, Inc., Class A* | | $ | 251,277 | |
| | 5,609 | | | TripAdvisor, Inc.* | | | 161,427 | |
| | 41,473 | | | Twitter, Inc.* | | | 2,245,763 | |
| | 2,561 | | | Zillow Group, Inc., Class A* | | | 348,142 | |
| | 7,000 | | | Zillow Group, Inc., Class C* | | | 908,600 | |
| | | | | | | | |
| | | | | | | 16,347,537 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.2%): | | | |
| | 3,207 | | | eBay, Inc. | | | 161,152 | |
| | 6,445 | | | Expedia Group, Inc. | | | 853,317 | |
| | 4,256 | | | Grubhub, Inc.* | | | 316,093 | |
| | 21,245 | | | Qurate Retail, Inc., Class A | | | 233,058 | |
| | 323 | | | Wayfair, Inc., Class A*^ | | | 72,937 | |
| | | | | | | | |
| | | | | | | 1,636,557 | |
| | | | | | | | |
| IT Services (2.7%): | | | |
| | 1,571 | | | Akamai Technologies, Inc.* | | | 164,939 | |
| | 2,611 | | | Alliance Data Systems Corp. | | | 193,475 | |
| | 6,900 | | | Amdocs, Ltd. | | | 489,417 | |
| | 3,205 | | | Automatic Data Processing, Inc. | | | 564,721 | |
| | 1,162 | | | CACI International, Inc., Class A* | | | 289,721 | |
| | 26,585 | | | Cognizant Technology Solutions Corp., Class A | | | 2,178,641 | |
| | 2,317 | | | Concentrix Corp.* | | | 228,688 | |
| | 3,788 | | | CoreLogic, Inc. | | | 292,888 | |
| | 14,150 | | | DXC Technology Co. | | | 364,363 | |
| | 2,607 | | | Euronet Worldwide, Inc.* | | | 377,806 | |
| | 33,091 | | | Fidelity National Information Services, Inc. | | | 4,681,053 | |
| | 21,240 | | | Fiserv, Inc.* | | | 2,418,386 | |
| | 6,397 | | | Genpact, Ltd. | | | 264,580 | |
| | 16,068 | | | Global Payments, Inc. | | | 3,461,369 | |
| | 47,619 | | | International Business Machines Corp. | | | 5,994,281 | |
| | 923 | | | Jack Henry & Associates, Inc. | | | 149,517 | |
| | 6,467 | | | Leidos Holdings, Inc. | | | 679,811 | |
| | 3,423 | | | Paychex, Inc. | | | 318,955 | |
| | 13,838 | | | Sabre Corp. | | | 166,333 | |
| | 2,820 | | | Science Applications International Corp. | | | 266,885 | |
| | 1,702 | | | Teradata Corp.* | | | 38,244 | |
| | 1,202 | | | Twilio, Inc., Class A* | | | 406,877 | |
| | 2,161 | | | VeriSign, Inc.* | | | 467,640 | |
| | 17,226 | | | Western Union Co. | | | 377,938 | |
| | 2,208 | | | WEX, Inc.* | | | 449,394 | |
| | | | | | | | |
| | | | | | | 25,285,922 | |
| | | | | | | | |
| Leisure Products (0.3%): | | | |
| | 4,044 | | | Brunswick Corp. | | | 308,315 | |
| | 6,751 | | | Hasbro, Inc. | | | 631,489 | |
| | 7,420 | | | Mattel, Inc.* | | | 129,479 | |
| | 10,293 | | | Peloton Interactive, Inc., Class A* | | | 1,561,653 | |
| | 2,908 | | | Polaris, Inc. | | | 277,074 | |
| | | | | | | | |
| | | | | | | 2,908,010 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.1%): | | | |
| | 15,133 | | | Agilent Technologies, Inc. | | | 1,793,109 | |
| | 1,125 | | | Bio-Rad Laboratories, Inc., Class A* | | | 655,808 | |
| | 120 | | | Bio-Techne Corp. | | | 38,106 | |
| | 3,313 | | | Bruker Corp. | | | 179,333 | |
| | 311 | | | Charles River Laboratories International, Inc.* | | | 77,706 | |
| | 6,411 | | | IQVIA Holdings, Inc.* | | | 1,148,659 | |
| | 79 | | | Mettler-Toledo International, Inc.* | | | 90,035 | |
| | 4,810 | | | PerkinElmer, Inc. | | | 690,235 | |
See accompanying notes to the financial statements.
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Life Sciences Tools & Services, continued | | | |
| | 1,125 | | | PPD, Inc.* | | $ | 38,498 | |
| | 525 | | | PRA Health Sciences, Inc.* | | | 65,856 | |
| | 11,981 | | | Qiagen NV* | | | 633,196 | |
| | 3,117 | | | Syneos Health, Inc.* | | | 212,361 | |
| | 8,743 | | | Thermo Fisher Scientific, Inc. | | | 4,072,314 | |
| | 3,027 | | | Waters Corp.* | | | 748,940 | |
| | | | | | | | |
| | | | | | | 10,444,156 | |
| | | | | | | | |
| Machinery (3.2%): | | | |
| | 3,447 | | | AGCO Corp. | | | 355,351 | |
| | 2,213 | | | Allison Transmission Holdings, Inc. | | | 95,447 | |
| | 29,018 | | | Caterpillar, Inc. | | | 5,281,855 | |
| | 5,528 | | | Colfax Corp.* | | | 211,391 | |
| | 2,715 | | | Crane Co. | | | 210,847 | |
| | 7,941 | | | Cummins, Inc. | | | 1,803,401 | |
| | 15,109 | | | Deere & Co. | | | 4,065,075 | |
| | 5,770 | | | Donaldson Co., Inc. | | | 322,428 | |
| | 7,680 | �� | | Dover Corp. | | | 969,600 | |
| | 6,534 | | | Flowserve Corp. | | | 240,778 | |
| | 16,164 | | | Fortive Corp. | | | 1,144,734 | |
| | 2,489 | | | Gates Industrial Corp. plc* | | | 31,760 | |
| | 4,608 | | | Graco, Inc. | | | 333,389 | |
| | 4,044 | | | IDEX Corp. | | | 805,565 | |
| | 9,387 | | | Illinois Tool Works, Inc. | | | 1,913,822 | |
| | 18,638 | | | Ingersoll-Rand, Inc.* | | | 849,147 | |
| | 4,353 | | | ITT, Inc. | | | 335,268 | |
| | 1,828 | | | Lincoln Electric Holdings, Inc. | | | 212,505 | |
| | 2,842 | | | Middleby Corp. (The)* | | | 366,391 | |
| | 587 | | | Nordson Corp. | | | 117,958 | |
| | 3,779 | | | Oshkosh Corp. | | | 325,259 | |
| | 21,906 | | | Otis Worldwide Corp. | | | 1,479,750 | |
| | 18,146 | | | PACCAR, Inc. | | | 1,565,637 | |
| | 6,892 | | | Parker Hannifin Corp. | | | 1,877,450 | |
| | 8,681 | | | Pentair plc | | | 460,874 | |
| | 2,847 | | | Snap-On, Inc. | | | 487,236 | |
| | 8,266 | | | Stanley Black & Decker, Inc. | | | 1,475,977 | |
| | 3,534 | | | Timken Co. | | | 273,390 | |
| | 579 | | | Toro Co. (The) | | | 54,912 | |
| | 5,065 | | | Trinity Industries, Inc. | | | 133,665 | |
| | 9,624 | | | Wabtec Corp. | | | 704,477 | |
| | 2,874 | | | Woodward, Inc. | | | 349,277 | |
| | 9,659 | | | Xylem, Inc. | | | 983,190 | |
| | | | | | | | |
| | | | | | | 29,837,806 | |
| | | | | | | | |
| Marine (0.0%†): | | | |
| | 3,324 | | | Kirby Corp.* | | | 172,283 | |
| | | | | | | | |
| Media (2.2%): | | | |
| | 753 | | | Charter Communications, Inc., Class A* | | | 498,147 | |
| | 242,889 | | | Comcast Corp., Class A | | | 12,727,383 | |
| | 16,673 | | | Discovery Communications, Inc., Class C* | | | 436,666 | |
| | 8,708 | | | Discovery, Inc., Class A*^ | | | 262,024 | |
| | 12,753 | | | DISH Network Corp., Class A* | | | 412,432 | |
| | 17,891 | | | Fox Corp., Class A | | | 520,986 | |
| | 8,929 | | | Fox Corp., Class B | | | 257,870 | |
| | 20,510 | | | Interpublic Group of Cos., Inc. (The) | | | 482,395 | |
| | 2,407 | | | John Wiley & Sons, Inc., Class A | | | 109,904 | |
| | 1,380 | | | Liberty Broadband Corp., Class A* | | | 217,460 | |
| | 8,787 | | | Liberty Broadband Corp., Class C* | | | 1,391,596 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 7,923 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | $ | 344,730 | |
| | 4,093 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 176,777 | |
| | 8,871 | | | New York Times Co. (The), Class A | | | 459,252 | |
| | 20,172 | | | News Corp., Class A | | | 362,491 | |
| | 6,593 | | | News Corp., Class B | | | 117,158 | |
| | 703 | | | Nexstar Media Group, Inc., Class A | | | 76,761 | |
| | 11,307 | | | Omnicom Group, Inc. | | | 705,218 | |
| | 26,190 | | | Sirius XM Holdings, Inc.^ | | | 166,830 | |
| | 519 | | | ViacomCBS, Inc., Class A | | | 19,629 | |
| | 29,249 | | | ViacomCBS, Inc., Class B | | | 1,089,817 | |
| | | | | | | | |
| | | | | | | 20,835,526 | |
| | | | | | | | |
| Metals & Mining (0.7%): | | | |
| | 77,598 | | | Freeport-McMoRan, Inc. | | | 2,019,099 | |
| | 42,868 | | | Newmont Corp. | | | 2,567,364 | |
| | 16,124 | | | Nucor Corp. | | | 857,636 | |
| | 3,277 | | | Reliance Steel & Aluminum Co. | | | 392,421 | |
| | 1,039 | | | Royal Gold, Inc. | | | 110,508 | |
| | 4,034 | | | Southern Copper Corp. | | | 262,694 | |
| | 10,296 | | | Steel Dynamics, Inc. | | | 379,614 | |
| | | | | | | | |
| | | | | | | 6,589,336 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.2%): | | | |
| | 29,925 | | | AGNC Investment Corp. | | | 466,830 | |
| | 76,241 | | | Annaly Capital Management, Inc. | | | 644,236 | |
| | 23,119 | | | New Residential Investment Corp. | | | 229,803 | |
| | 13,843 | | | Starwood Property Trust, Inc. | | | 267,170 | |
| | | | | | | | |
| | | | | | | 1,608,039 | |
| | | | | | | | |
| Multiline Retail (0.6%): | | | |
| | 6,596 | | | Dollar Tree, Inc.* | | | 712,632 | |
| | 8,643 | | | Kohl’s Corp. | | | 351,684 | |
| | 6,090 | | | Nordstrom, Inc. | | | 190,069 | |
| | 325 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 26,575 | |
| | 26,783 | | | Target Corp. | | | 4,728,003 | |
| | | | | | | | |
| | | | | | | 6,008,963 | |
| | | | | | | | |
| Multi-Utilities (1.5%): | | | |
| | 12,986 | | | Ameren Corp. | | | 1,013,687 | |
| | 26,927 | | | CenterPoint Energy, Inc. | | | 582,700 | |
| | 15,469 | | | CMS Energy Corp. | | | 943,764 | |
| | 17,904 | | | Consolidated Edison, Inc. | | | 1,293,922 | |
| | 43,678 | | | Dominion Energy, Inc. | | | 3,284,586 | |
| | 10,223 | | | DTE Energy Co. | | | 1,241,174 | |
| | 11,124 | | | MDU Resources Group, Inc. | | | 293,006 | |
| | 21,363 | | | NiSource, Inc. | | | 490,067 | |
| | 27,199 | | | Public Service Enterprise Group, Inc. | | | 1,585,702 | |
| | 15,602 | | | Sempra Energy | | | 1,987,851 | |
| | 16,937 | | | WEC Energy Group, Inc. | | | 1,558,712 | |
| | | | | | | | |
| | | | | | | 14,275,171 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.9%): | | | |
| | 15,671 | | | Antero Midstream Corp. | | | 120,823 | |
| | 21,070 | | | Apache Corp. | | | 298,983 | |
| | 20,283 | | | Cabot Oil & Gas Corp. | | | 330,207 | |
| | 103,239 | | | Chevron Corp. | | | 8,718,534 | |
| | 5,604 | | | Cimarex Energy Co. | | | 210,206 | |
| | 10,219 | | | Concho Resources, Inc. | | | 596,279 | |
| | 57,341 | | | ConocoPhillips | | | 2,293,067 | |
| | 4,172 | | | Continental Resources, Inc.^ | | | 68,004 | |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 19,574 | | | Devon Energy Corp. | | $ | 309,465 | |
| | 8,120 | | | Diamondback Energy, Inc. | | | 393,008 | |
| | 31,123 | | | EOG Resources, Inc. | | | 1,552,104 | |
| | 14,226 | | | EQT Corp.* | | | 180,812 | |
| | 20,674 | | | Equitrans Midstream Corp. | | | 166,219 | |
| | 226,854 | | | Exxon Mobil Corp. | | | 9,350,921 | |
| | 14,653 | | | Hess Corp. | | | 773,532 | |
| | 8,332 | | | HollyFrontier Corp. | | | 215,382 | |
| | 103,717 | | | Kinder Morgan, Inc. | | | 1,417,811 | |
| | 43,971 | | | Marathon Oil Corp. | | | 293,287 | |
| | 34,675 | | | Marathon Petroleum Corp. | | | 1,434,158 | |
| | 8,113 | | | Murphy Oil Corp. | | | 98,167 | |
| | 45,045 | | | Occidental Petroleum Corp. | | | 779,729 | |
| | 23,509 | | | ONEOK, Inc. | | | 902,275 | |
| | 16,794 | | | Parsley Energy, Inc., Class A | | | 238,475 | |
| | 23,390 | | | Phillips 66 | | | 1,635,897 | |
| | 8,831 | | | Pioneer Natural Resources Co. | | | 1,005,763 | |
| | 11,883 | | | Targa Resources Corp. | | | 313,474 | |
| | 21,710 | | | Valero Energy Corp. | | | 1,228,135 | |
| | 65,035 | | | Williams Cos., Inc. | | | 1,303,952 | |
| | 22,436 | | | WPX Energy, Inc.* | | | 182,853 | |
| | | | | | | | |
| | | | | | | 36,411,522 | |
| | | | | | | | |
| Personal Products (0.1%): | | | |
| | 16,080 | | | Coty, Inc., Class A | | | 112,882 | |
| | 1,312 | | | Estee Lauder Co., Inc. (The), Class A | | | 349,241 | |
| | 4,094 | | | Herbalife Nutrition, Ltd.* | | | 196,717 | |
| | 2,863 | | | Nu Skin Enterprises, Inc., Class A | | | 156,406 | |
| | | | | | | | |
| | | | | | | 815,246 | |
| | | | | | | | |
| Pharmaceuticals (4.4%): | | | |
| | 77,301 | | | Bristol-Myers Squibb Co. | | | 4,794,981 | |
| | 8,789 | | | Catalent, Inc.* | | | 914,671 | |
| | 24,244 | | | Elanco Animal Health, Inc.* | | | 743,563 | |
| | 750 | | | Horizon Therapeutics plc* | | | 54,863 | |
| | 2,838 | | | Jazz Pharmaceuticals plc* | | | 468,412 | |
| | 122,403 | | | Johnson & Johnson | | | 19,263,783 | |
| | 16,960 | | | Merck & Co., Inc. | | | 1,387,328 | |
| | 9,466 | | | Nektar Therapeutics* | | | 160,922 | |
| | 7,623 | | | Perrigo Co. plc | | | 340,901 | |
| | 298,073 | | | Pfizer, Inc. | | | 10,972,067 | |
| | 2,460 | | | Royalty Pharma plc, Class A^ | | | 123,123 | |
| | 65,053 | | | Viatris, Inc.* | | | 1,219,084 | |
| | 2,525 | | | Zoetis, Inc. | | | 417,888 | |
| | | | | | | | |
| | | | | | | 40,861,586 | |
| | | | | | | | |
| Professional Services (0.3%): | | | |
| | 1,835 | | | Dun & Bradstreet Holdings, Inc.*^ | | | 45,692 | |
| | 1,742 | | | Equifax, Inc. | | | 335,927 | |
| | 2,038 | | | FTI Consulting, Inc.* | | | 227,685 | |
| | 9,742 | | | IHS Markit, Ltd. | | | 875,124 | |
| | 3,231 | | | ManpowerGroup, Inc. | | | 291,372 | |
| | 19,884 | | | Nielsen Holdings plc | | | 414,979 | |
| | 5,719 | | | Robert Half International, Inc. | | | 357,323 | |
| | 944 | | | TransUnion | | | 93,664 | |
| | | | | | | | |
| | | | | | | 2,641,766 | |
| | | | | | | | |
| Real Estate Management & Development (0.2%): | | | |
| | 18,026 | | | CBRE Group, Inc., Class A* | | | 1,130,590 | |
| | 2,176 | | | Howard Hughes Corp. (The)* | | | 171,752 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development, continued | | | |
| | 2,645 | | | Jones Lang LaSalle, Inc.* | | $ | 392,439 | |
| | | | | | | | |
| | | | | | | 1,694,781 | |
| | | | | | | | |
| Road & Rail (1.6%): | | | |
| | 498 | | | AMERCO, Inc. | | | 226,072 | |
| | 40,866 | | | CSX Corp. | | | 3,708,590 | |
| | 3,178 | | | J.B. Hunt Transport Services, Inc. | | | 434,274 | |
| | 4,969 | | | Kansas City Southern | | | 1,014,322 | |
| | 6,217 | | | Knight-Swift Transportation Holdings, Inc. | | | 259,995 | |
| | 400 | | | Landstar System, Inc. | | | 53,864 | |
| | 13,304 | | | Lyft, Inc., Class A* | | | 653,626 | |
| | 13,697 | | | Norfolk Southern Corp. | | | 3,254,544 | |
| | 751 | | | Old Dominion Freight Line, Inc. | | | 146,580 | |
| | 2,924 | | | Ryder System, Inc. | | | 180,586 | |
| | 3,290 | | | Schneider National, Inc., Class B | | | 68,103 | |
| | 17,097 | | | Uber Technologies, Inc.* | | | 871,947 | |
| | 17,826 | | | Union Pacific Corp. | | | 3,711,729 | |
| | | | | | | | |
| | | | | | | 14,584,232 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (3.3%): | | | |
| | 4,186 | | | Advanced Micro Devices, Inc.* | | | 383,898 | |
| | 17,489 | | | Analog Devices, Inc. | | | 2,583,650 | |
| | 1,135 | | | Broadcom, Inc. | | | 496,960 | |
| | 3,259 | | | Cirrus Logic, Inc.* | | | 267,890 | |
| | 5,735 | | | Cree, Inc.* | | | 607,337 | |
| | 436 | | | Entegris, Inc. | | | 41,900 | |
| | 4,639 | | | First Solar, Inc.* | | | 458,890 | |
| | 219,905 | | | Intel Corp. | | | 10,955,667 | |
| | 35,425 | | | Marvell Technology Group, Ltd. | | | 1,684,105 | |
| | 9,517 | | | Maxim Integrated Products, Inc. | | | 843,682 | |
| | 3,277 | | | Microchip Technology, Inc. | | | 452,586 | |
| | 59,593 | | | Micron Technology, Inc.* | | | 4,480,202 | |
| | 752 | | | MKS Instruments, Inc. | | | 113,138 | |
| | 21,538 | | | ON Semiconductor Corp.* | | | 704,939 | |
| | 6,242 | | | Qorvo, Inc.* | | | 1,037,857 | |
| | 9,048 | | | Skyworks Solutions, Inc. | | | 1,383,258 | |
| | 24,699 | | | Texas Instruments, Inc. | | | 4,053,847 | |
| | | | | | | | |
| | | | | | | 30,549,806 | |
| | | | | | | | |
| Software (0.7%): | | | |
| | 2,445 | | | 2u, Inc.*^ | | | 97,824 | |
| | 304 | | | Aspen Technology, Inc.* | | | 39,596 | |
| | 3,970 | | | Autodesk, Inc.* | | | 1,212,201 | |
| | 5,933 | | | CDK Global, Inc. | | | 307,507 | |
| | 1,759 | | | Ceridian HCM Holding, Inc.* | | | 187,439 | |
| | 4,794 | | | Citrix Systems, Inc. | | | 623,699 | |
| | 2,305 | | | Crowdstrike Holdings, Inc., Class A* | | | 488,245 | |
| | 9,466 | | | FireEye, Inc.* | | | 218,286 | |
| | 3,755 | | | Guidewire Software, Inc.* | | | 483,381 | |
| | 790 | | | Jamf Holding Corp.*^ | | | 23,637 | |
| | 452 | | | Manhattan Associates, Inc.* | | | 47,541 | |
| | 14,777 | | | Nuance Communications, Inc.* | | | 651,518 | |
| | 12,619 | | | Oracle Corp. | | | 816,324 | |
| | 63 | | | Pegasystems, Inc. | | | 8,395 | |
| | 733 | | | RealPage, Inc.*^ | | | 63,947 | |
| | 3,411 | | | salesforce.com, Inc.* | | | 759,050 | |
| | 2,959 | | | SolarWinds Corp.* | | | 44,237 | |
| | 9,441 | | | SS&C Technologies Holdings, Inc. | | | 686,833 | |
See accompanying notes to the financial statements.
11
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 602 | | | Synopsys, Inc.* | | $ | 156,062 | |
| | | | | | | | |
| | | | | | | 6,915,722 | |
| | | | | | | | |
| Specialty Retail (1.6%): | | | |
| | 3,533 | | | Advance Auto Parts, Inc. | | | 556,483 | |
| | 3,282 | | | AutoNation, Inc.* | | | 229,051 | |
| | 507 | | | AutoZone, Inc.* | | | 601,018 | |
| | 9,911 | | | Best Buy Co, Inc. | | | 989,019 | |
| | 384 | | | Burlington Stores, Inc.* | | | 100,435 | |
| | 8,073 | | | CarMax, Inc.* | | | 762,576 | |
| | 3,440 | | | Dick’s Sporting Goods, Inc. | | | 193,362 | |
| | 5,773 | | | Foot Locker, Inc. | | | 233,460 | |
| | 10,185 | | | Gap, Inc. (The) | | | 205,635 | |
| | 28,790 | | | Home Depot, Inc. (The) | | | 7,647,199 | |
| | 12,090 | | | L Brands, Inc. | | | 449,627 | |
| | 1,776 | | | Penske Automotive Group, Inc. | | | 105,477 | |
| | 3,482 | | | Ross Stores, Inc.* | | | 427,624 | |
| | 6,519 | | | Tiffany & Co. | | | 856,923 | |
| | 12,210 | | | TJX Cos., Inc. (The) | | | 833,821 | |
| | 210 | | | Ulta Beauty, Inc.* | | | 60,304 | |
| | 3,341 | | | Williams-Sonoma, Inc. | | | 340,247 | |
| | | | | | | | |
| | | | | | | 14,592,261 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.6%): | | | |
| | 12,938 | | | Dell Technologies, Inc., Class C* | | | 948,226 | |
| | 68,985 | | | Hewlett Packard Enterprise Co. | | | 817,472 | |
| | 73,591 | | | HP, Inc. | | | 1,809,603 | |
| | 7,093 | | | NCR Corp.* | | | 266,484 | |
| | 5,222 | | | NetApp, Inc. | | | 345,905 | |
| | 5,755 | | | Pure Storage, Inc., Class A* | | | 130,121 | |
| | 16,020 | | | Western Digital Corp. | | | 887,348 | |
| | 8,942 | | | Xerox Holdings Corp. | | | 207,365 | |
| | | | | | | | |
| | | | | | | 5,412,524 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.4%): | | | |
| | 7,919 | | | Capri Holdings, Ltd.* | | | 332,598 | |
| | 2,390 | | | Carter’s, Inc. | | | 224,827 | |
| | 1,607 | | | Columbia Sportswear Co. | | | 140,420 | |
| | 19,348 | | | Hanesbrands, Inc. | | | 282,094 | |
| | 3,592 | | | PVH Corp. | | | 337,253 | |
| | 2,359 | | | Ralph Lauren Corp. | | | 244,723 | |
| | 6,546 | | | Skechers U.S.A., Inc., Class A* | | | 235,263 | |
| | 14,475 | | | Tapestry, Inc. | | | 449,883 | |
| | 10,506 | | | Under Armour, Inc., Class A* | | | 180,388 | |
| | 10,576 | | | Under Armour, Inc., Class C* | | | 157,371 | |
| | 16,374 | | | VF Corp. | | | 1,398,503 | |
| | | | | | | | |
| | | | | | | 3,983,323 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.1%): | | | |
| | 18,844 | | | MGIC Investment Corp. | | | 236,492 | |
| | 25,097 | | | New York Community Bancorp, Inc. | | | 264,774 | |
| | 2,465 | | | Rocket Cos., Inc., Class A*^ | | | 49,842 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Thrifts & Mortgage Finance, continued | | | |
| | 2,725 | | | TFS Financial Corp. | | $ | 48,042 | |
| | | | | | | | |
| | | | | | | 599,150 | |
| | | | | | | | |
| Tobacco (1.0%): | | | |
| | 56,215 | | | Altria Group, Inc. | | | 2,304,815 | |
| | 83,402 | | | Philip Morris International, Inc. | | | 6,904,852 | |
| | | | | | | | |
| | | | | | | 9,209,667 | |
| | | | | | | | |
| Trading Companies & Distributors (0.3%): | | | |
| | 5,942 | | | Air Lease Corp. | | | 263,944 | |
| | 6,042 | | | Fastenal Co. | | | 295,031 | |
| | 2,493 | | | MSC Industrial Direct Co., Inc., Class A | | | 210,384 | |
| | 3,868 | | | United Rentals, Inc.* | | | 897,028 | |
| | 9,306 | | | Univar Solutions, Inc.* | | | 176,907 | |
| | 593 | | | W.W. Grainger, Inc. | | | 242,146 | |
| | 1,684 | | | Watsco, Inc. | | | 381,510 | |
| | | | | | | | |
| | | | | | | 2,466,950 | |
| | | | | | | | |
| Transportation Infrastructure (0.0%†): | | | |
| | 4,097 | | | Macquarie Infrastructure Corp. | | | 153,842 | |
| | | | | | | | |
| Water Utilities (0.2%): | | | |
| | 9,698 | | | American Water Works Co., Inc. | | | 1,488,352 | |
| | 11,907 | | | Essential Utilities, Inc. | | | 563,082 | |
| | | | | | | | |
| | | | | | | 2,051,434 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.4%): | | | |
| | 5,613 | | | Telephone & Data Systems, Inc. | | | 104,233 | |
| | 29,472 | | | T-Mobile USA, Inc.* | | | 3,974,299 | |
| | 614 | | | United States Cellular Corp.* | | | 18,844 | |
| | | | | | | | |
| | | | | | | 4,097,376 | |
| | | | | | | | |
| | Total Common Stocks (Cost $711,669,902) | | | 919,247,476 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.3%): | |
| | 2,472,590 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(a)(b) | | | 2,472,590 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $2,472,590) | | | 2,472,590 | |
| | | | | |
| Unaffiliated Investment Companies (0.7%): | | | |
| Money Markets (0.7%): | | | |
| | 6,213,298 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 6,213,298 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $6,213,298) | | | 6,213,298 | |
| | | | | |
| | Total Investment Securities (Cost $720,355,790) — 100.2%(c) | | | 927,933,364 | |
| | Net other assets (liabilities) — (0.2)% | | | (1,810,459 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 926,122,905 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
| REIT—Real | Estate Investment Trust |
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $2,397,682. |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2020
| (a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (b) | The rate represents the effective yield at December 31, 2020. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/19/21 | | | | 21 | | | $ | 3,936,240 | | | $ | 61,208 | |
| | | | |
S&P MidCap 400 E-Mini March Futures (U.S Dollar) | | | 3/19/21 | | | | 15 | | | | 3,455,250 | | | | 56,919 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 118,127 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 717,458,086 | |
Investments in affiliates, at cost | | | | 2,897,704 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | $ | 922,241,136 | |
Investments in affiliates, at value | | | | 5,692,228 | |
Cash | | | | 11,725 | |
Deposit at broker for futures contracts collateral | | | | 438,200 | |
Interest and dividends receivable | | | | 1,050,202 | |
Receivable for variation margin on futures contracts | | | | 31,980 | |
Reclaims receivable | | | | 13,772 | |
Prepaid expenses | | | | 4,839 | |
| | | | | |
Total Assets | | | | 929,484,082 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 267,145 | |
Payable for collateral received on loaned securities | | | | 2,472,590 | |
Manager fees payable | | | | 272,340 | |
Administration fees payable | | | | 61,641 | |
Distribution fees payable | | | | 163,795 | |
Custodian fees payable | | | | 9,433 | |
Administrative and compliance services fees payable | | | | 2,591 | |
Transfer agent fees payable | | | | 2,052 | |
Trustee fees payable | | | | 9,381 | |
Other accrued liabilities | | | | 100,209 | |
| | | | | |
Total Liabilities | | | | 3,361,177 | |
| | | | | |
Net Assets | | | $ | 926,122,905 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 712,269,858 | |
Total distributable earnings | | | | 213,853,047 | |
| | | | | |
Net Assets | | | $ | 926,122,905 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 146,474,346 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 16,232,533 | |
Net Asset Value (offering and redemption price per share) | | | $ | 9.02 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 779,648,559 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 62,457,554 | |
Net Asset Value (offering and redemption price per share) | | | $ | 12.48 | |
| | | | | |
| (a) | Includes securities on loan of $2,397,682. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 20,941,166 | |
Dividends from affiliates | | | | 122,614 | |
Interest | | | | 2,270 | |
Income from securities lending | | | | 29,225 | |
Foreign withholding tax | | | | (1,781 | ) |
| | | | | |
Total Investment Income | | | | 21,093,494 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 3,702,551 | |
Administration fees | | | | 304,155 | |
Distribution fees — Class 2 | | | | 1,761,884 | |
Custodian fees | | | | 38,078 | |
Administrative and compliance services fees | | | | 14,920 | |
Transfer agent fees | | | | 12,344 | |
Trustee fees | | | | 49,473 | |
Professional fees | | | | 41,390 | |
Shareholder reports | | | | 40,391 | |
Other expenses | | | | 183,521 | |
| | | | | |
Total expenses before reductions | | | | 6,148,707 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (757,332 | ) |
| | | | | |
Net expenses | | | | 5,391,375 | |
| | | | | |
Net Investment Income/(Loss) | | | | 15,702,119 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | (7,838,896 | ) |
Net realized gains/(losses) on affiliated transactions | | | | 470,157 | |
Net realized gains/(losses) on futures contracts | | | | 4,884,766 | |
Change in net unrealized appreciation/depreciation on securities | | | | 11,952,868 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | 1,333,584 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (122,227 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 10,680,252 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 26,382,371 | |
| | | | | |
See accompanying notes to the financial statements.
14
AZL Russell 1000 Value Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 15,702,119 | | | | $ | 18,741,676 | |
Net realized gains/(losses) on investments | | | | (2,483,973 | ) | | | | 43,369,593 | |
Change in unrealized appreciation/depreciation on investments | | | | 13,164,225 | | | | | 151,884,557 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 26,382,371 | | | | | 213,995,826 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (12,916,998 | ) | | | | (14,937,853 | ) |
Class 2 | | | | (49,843,957 | ) | | | | (52,687,956 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (62,760,955 | ) | | | | (67,625,809 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 437,497 | | | | | 41,842 | |
Proceeds from dividends reinvested | | | | 12,916,998 | | | | | 14,937,853 | |
Value of shares redeemed | | | | (19,992,808 | ) | | | | (20,385,177 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (6,638,313 | ) | | | | (5,405,482 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 122,965,871 | | | | | 8,176,828 | |
Proceeds from dividends reinvested | | | | 49,843,957 | | | | | 52,687,956 | |
Value of shares redeemed | | | | (156,409,611 | ) | | | | (118,250,607 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 16,400,217 | | | | | (57,385,823 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 9,761,904 | | | | | (62,791,305 | ) |
| | | | | | | | | | |
Change in net assets | | | | (26,616,680 | ) | | | | 83,578,712 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 952,739,585 | | | | | 869,160,873 | |
| | | | | | | | | | |
End of period | | | $ | 926,122,905 | | | | $ | 952,739,585 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 53,357 | | | | | 4,308 | |
Dividends reinvested | | | | 1,596,662 | | | | | 1,678,410 | |
Shares redeemed | | | | (2,372,746 | ) | | | | (2,129,392 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (722,727 | ) | | | | (446,674 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 12,177,510 | | | | | 662,245 | |
Dividends reinvested | | | | 4,450,353 | | | | | 4,394,325 | |
Shares redeemed | | | | (14,138,554 | ) | | | | (9,270,354 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 2,489,309 | | | | | (4,213,784 | ) |
| | | | | | | | | | |
Change in shares | | | | 1,766,582 | | | | | (4,660,458 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
15
AZL Russell 1000 Value Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016^ |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 9.75 | | | | $ | 8.55 | | | | $ | 10.65 | | | | $ | 10.79 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.18 | (a) | | | | 0.21 | (a) | | | | 0.24 | | | | | 0.27 | | | | | 0.08 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.06 | ) | | | | 1.94 | | | | | (1.02 | ) | | | | 1.08 | | | | | 0.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.12 | | | | | 2.15 | | | | | (0.78 | ) | | | | 1.35 | | | | | 0.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.27 | ) | | | | (0.30 | ) | | | | (0.30 | ) | | | | (0.10 | ) | | | | — | |
Net Realized Gains | | | | (0.58 | ) | | | | (0.65 | ) | | | | (1.02 | ) | | | | (1.39 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.85 | ) | | | | (0.95 | ) | | | | (1.32 | ) | | | | (1.49 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.02 | | | | $ | 9.75 | | | | $ | 8.55 | | | | $ | 10.65 | | | | $ | 10.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 2.25 | % | | | | 26.13 | % | | | | (8.50 | )% | | | | 13.38 | % | | | | 7.90 | %(c) |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 146,474 | | | | $ | 165,337 | | | | $ | 148,796 | | | | $ | 185,903 | | | | $ | 187,248 | |
Net Investment Income/(Loss)(d) | | | | 2.08 | % | | | | 2.21 | % | | | | 2.10 | % | | | | 2.07 | % | | | | 2.11 | % |
Expenses Before Reductions(d)(e) | | | | 0.52 | % | | | | 0.51 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.51 | % |
Expenses Net of Reductions(d) | | | | 0.43 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.45 | % | | | | 0.46 | % |
Portfolio Turnover Rate(f) | | | | 27 | % | | | | 15 | % | | | | 22 | % | | | | 12 | % | | | | 131 | %(g) |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.13 | | | | $ | 11.22 | | | | $ | 13.56 | | | | $ | 13.39 | | | | $ | 12.91 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.21 | (a) | | | | 0.25 | (a) | | | | 0.28 | | | | | 0.24 | | | | | 0.11 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.04 | ) | | | | 2.57 | | | | | (1.34 | ) | | | | 1.42 | | | | | 1.85 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.17 | | | | | 2.82 | | | | | (1.06 | ) | | | | 1.66 | | | | | 1.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.24 | ) | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.10 | ) | | | | (0.25 | ) |
Net Realized Gains | | | | (0.58 | ) | | | | (0.65 | ) | | | | (1.02 | ) | | | | (1.39 | ) | | | | (1.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.82 | ) | | | | (0.91 | ) | | | | (1.28 | ) | | | | (1.49 | ) | | | | (1.48 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 12.48 | | | | $ | 13.13 | | | | $ | 11.22 | | | | $ | 13.56 | | | | $ | 13.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 2.01 | % | | | | 25.86 | % | | | | (8.72 | )% | | | | 13.02 | % | | | | 16.15 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 779,649 | | | | $ | 787,403 | | | | $ | 720,365 | | | | $ | 893,400 | | | | $ | 991,296 | |
Net Investment Income/(Loss) | | | | 1.83 | % | | | | 1.96 | % | | | | 1.85 | % | | | | 1.81 | % | | | | 2.05 | % |
Expenses Before Reductions(e) | | | | 0.77 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.75 | % | | | | 0.77 | % |
Expenses Net of Reductions | | | | 0.68 | % | | | | 0.68 | % | | | | 0.68 | % | | | | 0.70 | % | | | | 0.72 | % |
Portfolio Turnover Rate(f) | | | | 27 | % | | | | 15 | % | | | | 22 | % | | | | 12 | % | | | | 131 | %(g) |
| ^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
| (g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 131%. |
See accompanying notes to the financial statements.
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Russell 1000 Value Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance
17
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2020
Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,722 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,472,590 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $13.6 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
| | | | |
Equity Risk | | | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 118,127 | | | Payable for variation margin on futures contracts* | | $ | — | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
18
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2020
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
| | | |
Equity Risk | | | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | | $ | 4,884,766 | | | | $(122,227) | |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL Russell 1000 Value Index Fund Class 1 | | | | 0.44 | % | | | | 0.59 | % |
AZL Russell 1000 Value Index Fund Class 2 | | | | 0.44 | % | | | | 0.84 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.35% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
At December 31, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Fair Value
12/31/2019 | | Purchases
at Cost | | Proceeds
from Sales | | Net
Realized
Gains(Losses) | | Change in Net
Unrealized
Appreciation/
Depreciation | | Fair Value
12/31/2020 | | Shares as of
12/31/2020 | | Dividend
Income | | Capital Gains
Distributions |
| | | | | | | | | |
BlackRock Inc., Class A | | | $ | 3,870,287 | | | | $ | 1,438,096 | | | | $ | (1,419,896 | ) | | | $ | 470,157 | | | | $ | 1,333,584 | | | | $ | 5,692,228 | | | | | 7,889 | | | | $ | 122,614 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 3,870,287 | | | | $ | 1,438,096 | | | | $ | (1,419,896 | ) | | | $ | 470,157 | | | | $ | 1,333,584 | | | | $ | 5,692,228 | | | | | 7,889 | | | | $ | 122,614 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
19
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2020
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $4,530 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 919,247,476 | | | | $ | — | | | | $ | — | | | | $ | 919,247,476 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 2,472,590 | | | | | — | | | | | — | | | | | 2,472,590 | |
Unaffiliated Investment Companies | | | | 6,213,298 | | | | | — | | | | | — | | | | | 6,213,298 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 927,933,364 | | | | | — | | | | | — | | | | | 927,933,364 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 118,127 | | | | | — | | | | | — | | | | | 118,127 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 928,051,491 | | | | $ | — | | | | $ | — | | | | $ | 928,051,491 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Russell 1000 Value Index Fund | | | $ | 226,444,892 | | | | $ | 249,149,734 | |
20
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2020
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Concentration Risk: The Fund may be susceptible to an increased risk of loss, including losses due to adverse events that affect the Fund’s investments more than the market as a whole, to the extent that the Fund’s investments are concentrated in the securities of a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset class.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $733,363,483. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 239,840,214 | |
Unrealized (depreciation) | | | (45,270,333 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 194,569,881 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Russell 1000 Value Index Fund | | | $ | 20,818,702 | | | | $ | 41,942,253 | | | | $ | 62,760,955 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Russell 1000 Value Index Fund | | | $ | 24,694,840 | | | | $ | 42,930,969 | | | | $ | 67,625,809 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Russell 1000 Value Index Fund | | | $ | 19,283,166 | | | | $ | — | | | | $ | — | | | | $ | 194,569,881 | | | | $ | 213,853,047 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
21
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2020
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
22
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL Russell 1000 Value Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Russell 1000 Value Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
23
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 94.34% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $2,052,269.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $41,942,253.
24
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624.0197.
25
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
26
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
27
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
28
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14
(Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective January 2022. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
29
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
30
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® S&P 500 Index Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® S&P 500 Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® S&P 500 Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® S&P 500 Index Fund (Class 2 Shares) (the “Fund”) returned 17.50%. That compared to a 18.40% total return for its benchmark, the S&P 500® Index1.
The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the S&P 500® Index (“Index”). The Index is designed to provide a comprehensive measure of the U.S. Stock market as a whole.*
In the first quarter, fears of the coronavirus (COVID-19) outbreak and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Market Volatility Index2 (VIX) of near-term stock market volatility surged to its highest level since the financial crisis and the Index experienced its quickest bear market contraction on record. Economic activity fell to a standstill with Purchasing Managers Index3 across the globe registering at their lowest levels on record and jobless claims surged. In late March, the U.S. saw a record number of initial claims with 3.3 million people filing claims for unemployment benefits compared to a consensus estimate of 1.4 million.
In the second quarter, global governments unleashed large stimulus packages to combat the shock on the economy. The U.S. passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Federal Reserve Board (the Fed) cut the federal funds rate target to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. The Fed also announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history. U.S. stocks outperformed other regions during this quarter, with a sharper recovery from the troughs of late March. This has largely been supported by the historic policy response. Towards the end of the second quarter, government measures to contain the virus were gradually lifted in many states, boosting activity and employment.
In the third quarter, U.S. stocks continued their recovery over July and August, recording all-time highs. However, valuation concerns sparked market volatility in early September, leading to a market sell-off. COVID-19 continued to take center stage over the third quarter but the easing of restrictions, coupled with a drop in the number of new cases in the U.S. and ongoing accommodative
policies by the Fed, supported the U.S. market recovery over the quarter. This performance came despite spikes in volatility and a market sell-off that dampened the recovery momentum.
In the fourth quarter, U.S. markets reacted positively to the election results despite a weak start to the quarter. The victory of Joe Biden came as an indicator of more stable internal and external policies. The fear of rising COVID-19 cases in the U.S. was offset by positive vaccine news and the announcement of a $900 billion stimulus in late December, which ultimately supported positive market performance. Sectors that were severely impacted by the pandemic, such as energy and financials, recovered following positive vaccine news in November, prompting these two sectors to recoup some of the losses incurred earlier in the year.
Most sectors within the Index posted positive returns over the year. The information technology, consumer discretionary, and communication services sectors were the best performers, while the energy sector lagged the most, with real estate and financial stocks among the lowest performers.
The Fund uses derivatives, most notably futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2020.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by the S&P 500 Index options. |
| 3 | Purchasing Managers’ Index (PMI) is an indicator of the economic health of the manufacturing sector. The PMI is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. |
1
AZL® S&P 500 Index Fund Review (Unaudited)
|
| Fund Objective |
| |
| The Fund’s investment objective is to seek to match the total return of the Standard & Poor’s 500® Index. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing in all 500 stocks in the Index in proportion to their weighting in the Index. |
| |
| Investment Concerns |
| |
| Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. |
| |
| The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines. |
| |
| Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio. |
| |
| Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. |
| |
| For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
| |
|
| |
|
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
| | | | | | | | | | | | | | | | |
| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® S&P 500 Index Fund (Class 1 Shares) | | | 17.82 | % | | | 13.83 | % | | | 14.93 | % | | | 13.60 | % |
AZL® S&P 500 Index Fund (Class 2 Shares) | | | 17.50 | % | | | 13.54 | % | | | 14.63 | % | | | 13.31 | % |
S&P 500® Index | | | 18.40 | % | | | 14.18 | % | | | 15.22 | % | | | 13.88 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® S&P 500 Index Fund (Class 1 Shares) | | | 0.24 | % |
AZL® S&P 500 Index Fund (Class 2 Shares) | | | 0.49 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.46% for Class 1 Shares and 0.71% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Standard & Poor’s 500® Index (“S&P 500®”), which is an unmanaged index that is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL S&P 500 Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL S&P 500 Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL S&P 500 Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,220.70 | | | | $ | 1.40 | | | | | 0.25 | % |
| | | | |
AZL S&P 500 Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,218.40 | | | | $ | 2.79 | | | | | 0.50 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL S&P 500 Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,023.88 | | | | $ | 1.27 | | | | | 0.25 | % |
| | | | |
AZL S&P 500 Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.62 | | | | $ | 2.54 | | | | | 0.50 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Information Technology | | | | 27.4 | % |
| |
Health Care | | | | 13.4 | |
| |
Consumer Discretionary | | | | 12.7 | |
| |
Communication Services | | | | 10.7 | |
| |
Financials | | | | 10.4 | |
| |
Industrials | | | | 8.4 | |
| |
Consumer Staples | | | | 6.5 | |
| |
Utilities | | | | 2.7 | |
| |
Materials | | | | 2.6 | |
| |
Real Estate | | | | 2.4 | |
| |
Energy | | | | 2.3 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.5 | |
| |
Unaffiliated Investment Companies | | | | 0.5 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.1 | |
| | | | | |
| |
Total Investment Securities | | | | 100.1 | |
| |
Net other assets (liabilities) | | | | (0.1 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.5%): | | | |
| Aerospace & Defense (1.6%): | | | |
| | 47,314 | | | Boeing Co. (The) | | $ | 10,128,034 | |
| | 20,725 | | | General Dynamics Corp. | | | 3,084,295 | |
| | 34,709 | | | Howmet Aerospace, Inc.* | | | 990,595 | |
| | 3,610 | | | Huntington Ingalls Industries, Inc. | | | 615,433 | |
| | 18,734 | | | L3harris Technologies, Inc. | | | 3,541,101 | |
| | 21,952 | | | Lockheed Martin Corp. | | | 7,792,521 | |
| | 13,824 | | | Northrop Grumman Corp. | | | 4,212,449 | |
| | 135,410 | | | Raytheon Technologies Corp. | | | 9,683,169 | |
| | 3,253 | | | Teledyne Technologies, Inc.* | | | 1,275,111 | |
| | 20,407 | | | Textron, Inc. | | | 986,270 | |
| | 4,862 | | | TransDigm Group, Inc.* | | | 3,008,849 | |
| | | | | | | | |
| | | | | | | 45,317,827 | |
| | | | | | | | |
| Air Freight & Logistics (0.7%): | | | |
| | 12,107 | | | C.H. Robinson Worldwide, Inc. | | | 1,136,484 | |
| | 15,092 | | | Expeditors International of Washington, Inc. | | | 1,435,400 | |
| | 21,540 | | | FedEx Corp. | | | 5,592,215 | |
| | 63,770 | | | United Parcel Service, Inc., Class B | | | 10,738,868 | |
| | | | | | | | |
| | | | | | | 18,902,967 | |
| | | | | | | | |
| Airlines (0.3%): | | | |
| | 11,026 | | | Alaska Air Group, Inc. | | | 573,352 | |
| | 54,457 | | | American Airlines Group, Inc.^ | | | 858,787 | |
| | 56,861 | | | Delta Air Lines, Inc. | | | 2,286,381 | |
| | 52,629 | | | Southwest Airlines Co. | | | 2,453,037 | |
| | 26,094 | | | United Airlines Holdings, Inc.* | | | 1,128,566 | |
| | | | | | | | |
| | | | | | | 7,300,123 | |
| | | | | | | | |
| Auto Components (0.1%): | | | |
| | 24,076 | | | Aptiv plc | | | 3,136,862 | |
| | 21,802 | | | BorgWarner, Inc. | | | 842,429 | |
| | | | | | | | |
| | | | | | | 3,979,291 | |
| | | | | | | | |
| Automobiles (2.0%): | | | |
| | 348,404 | | | Ford Motor Co. | | | 3,062,471 | |
| | 112,303 | | | General Motors Co. | | | 4,676,297 | |
| | 67,613 | | | Tesla, Inc.* | | | 47,712,466 | |
| | | | | | | | |
| | | | | | | 55,451,234 | |
| | | | | | | | |
| Banks (3.8%): | | | |
| | 678,756 | | | Bank of America Corp. | | | 20,573,094 | |
| | 185,630 | | | Citigroup, Inc. | | | 11,445,946 | |
| | 38,078 | | | Citizens Financial Group, Inc. | | | 1,361,669 | |
| | 11,886 | | | Comerica, Inc. | | | 663,952 | |
| | 63,897 | | | Fifth Third Bancorp | | | 1,761,640 | |
| | 15,555 | | | First Republic Bank | | | 2,285,496 | |
| | 90,704 | | | Huntington Bancshares, Inc. | | | 1,145,592 | |
| | 271,781 | | | JPMorgan Chase & Co. | | | 34,535,213 | |
| | 87,063 | | | KeyCorp | | | 1,428,704 | |
| | 11,511 | | | M&T Bank Corp. | | | 1,465,350 | |
| | 37,882 | | | People’s United Financial, Inc. | | | 489,814 | |
| | 37,778 | | | PNC Financial Services Group, Inc. (The) | | | 5,628,922 | |
| | 83,950 | | | Regions Financial Corp. | | | 1,353,274 | |
| | 4,586 | | | SVB Financial Group* | | | 1,778,588 | |
| | 120,200 | | | Truist Financial Corp. | | | 5,761,186 | |
| | 122,227 | | | U.S. Bancorp | | | 5,694,556 | |
| | 368,636 | | | Wells Fargo & Co. | | | 11,125,434 | |
| | 14,623 | | | Zions Bancorp | | | 635,223 | |
| | | | | | | | |
| | | | | | | 109,133,653 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages (1.6%): | | | |
| | 16,378 | | | Brown-Forman Corp., Class B | | $ | 1,300,905 | |
| | 344,848 | | | Coca-Cola Co. (The) | | | 18,911,464 | |
| | 15,113 | | | Constellation Brands, Inc., Class C | | | 3,310,503 | |
| | 16,775 | | | Molson Coors Brewing Co., Class B | | | 758,062 | |
| | 32,830 | | | Monster Beverage Corp.* | | | 3,036,118 | |
| | 123,217 | | | PepsiCo, Inc. | | | 18,273,081 | |
| | | | | | | | |
| | | | | | | 45,590,133 | |
| | | | | | | | |
| Biotechnology (1.9%): | | | |
| | 157,412 | | | AbbVie, Inc. | | | 16,866,697 | |
| | 19,605 | | | Alexion Pharmaceuticals, Inc.* | | | 3,063,085 | |
| | 51,907 | | | Amgen, Inc. | | | 11,934,457 | |
| | 13,720 | | | Biogen, Inc.* | | | 3,359,479 | |
| | 111,766 | | | Gilead Sciences, Inc. | | | 6,511,487 | |
| | 16,597 | | | Incyte Corp.* | | | 1,443,607 | |
| | 9,349 | | | Regeneron Pharmaceuticals, Inc.* | | | 4,516,595 | |
| | 23,185 | | | Vertex Pharmaceuticals, Inc.* | | | 5,479,543 | |
| | | | | | | | |
| | | | | | | 53,174,950 | |
| | | | | | | | |
| Building Products (0.5%): | | | |
| | 12,075 | | | A.O. Smith Corp. | | | 661,952 | |
| | 7,965 | | | Allegion plc | | | 926,967 | |
| | 72,638 | | | Carrier Global Corp. | | | 2,739,905 | |
| | 12,460 | | | Fortune Brands Home & Security, Inc. | | | 1,068,071 | |
| | 64,544 | | | Johnson Controls International plc | | | 3,007,105 | |
| | 23,331 | | | Masco Corp. | | | 1,281,572 | |
| | 21,410 | | | Trane Technologies plc | | | 3,107,875 | |
| | | | | | | | |
| | | | | | | 12,793,447 | |
| | | | | | | | |
| Capital Markets (2.7%): | | | |
| | 10,519 | | | Ameriprise Financial, Inc. | | | 2,044,157 | |
| | 72,688 | | | Bank of New York Mellon Corp. (The) | | | 3,084,879 | |
| | 12,647 | | | BlackRock, Inc., Class A+ | | | 9,125,315 | |
| | 9,633 | | | Cboe Global Markets, Inc. | | | 897,025 | |
| | 133,000 | | | Charles Schwab Corp. (The) | | | 7,054,320 | |
| | 32,008 | | | CME Group, Inc. | | | 5,827,056 | |
| | 24,295 | | | Franklin Resources, Inc. | | | 607,132 | |
| | 30,677 | | | Goldman Sachs Group, Inc. | | | 8,089,832 | |
| | 50,045 | | | Intercontinental Exchange, Inc. | | | 5,769,688 | |
| | 33,583 | | | Invesco, Ltd. | | | 585,352 | |
| | 3,379 | | | MarketAxess Holdings, Inc. | | | 1,927,922 | |
| | 14,400 | | | Moody’s Corp. | | | 4,179,456 | |
| | 127,435 | | | Morgan Stanley | | | 8,733,121 | |
| | 7,391 | | | MSCI, Inc., Class A | | | 3,300,303 | |
| | 10,238 | | | Nasdaq, Inc. | | | 1,358,992 | |
| | 18,434 | | | Northern Trust Corp. | | | 1,716,943 | |
| | 10,667 | | | Raymond James Financial, Inc. | | | 1,020,512 | |
| | 21,452 | | | S&P Global, Inc. | | | 7,051,916 | |
| | 31,456 | | | State Street Corp. | | | 2,289,368 | |
| | 20,189 | | | T. Rowe Price Group, Inc. | | | 3,056,413 | |
| | | | | | | | |
| | | | | | | 77,719,702 | |
| | | | | | | | |
| Chemicals (1.8%): | | | |
| | 19,707 | | | Air Products & Chemicals, Inc. | | | 5,384,346 | |
| | 9,492 | | | Albemarle Corp. | | | 1,400,260 | |
| | 10,485 | | | Celanese Corp. | | | 1,362,421 | |
| | 19,073 | | | CF Industries Holdings, Inc. | | | 738,316 | |
| | 66,426 | | | Corteva, Inc. | | | 2,572,015 | |
| | 66,135 | | | Dow, Inc. | | | 3,670,493 | |
See accompanying notes to the financial statements.
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 65,431 | | | DuPont de Nemours, Inc. | | $ | 4,652,798 | |
| | 11,942 | | | Eastman Chemical Co. | | | 1,197,544 | |
| | 22,142 | | | Ecolab, Inc. | | | 4,790,643 | |
| | 11,414 | | | FMC Corp. | | | 1,311,811 | |
| | 9,439 | | | International Flavors & Fragrances, Inc.^ | | | 1,027,341 | |
| | 46,797 | | | Linde plc | | | 12,331,476 | |
| | 22,925 | | | Lyondellbasell Industries NV | | | 2,101,306 | |
| | 30,758 | | | Mosaic Co. (The) | | | 707,742 | |
| | 21,159 | | | PPG Industries, Inc. | | | 3,051,551 | |
| | 7,288 | | | Sherwin Williams Co. | | | 5,356,024 | |
| | | | | | | | |
| | | | | | | 51,656,087 | |
| | | | | | | | |
| Commercial Services & Supplies (0.4%): | | | |
| | 7,836 | | | Cintas Corp. | | | 2,769,713 | |
| | 18,527 | | | Copart, Inc.* | | | 2,357,561 | |
| | 18,756 | | | Republic Services, Inc., Class A | | | 1,806,203 | |
| | 19,541 | | | Rollins, Inc. | | | 763,467 | |
| | 34,666 | | | Waste Management, Inc. | | | 4,088,160 | |
| | | | | | | | |
| | | | | | | 11,785,104 | |
| | | | | | | | |
| Communications Equipment (0.8%): | | | |
| | 4,857 | | | Arista Networks, Inc.* | | | 1,411,298 | |
| | 376,752 | | | Cisco Systems, Inc. | | | 16,859,653 | |
| | 5,493 | | | F5 Networks, Inc.* | | | 966,438 | |
| | 29,369 | | | Juniper Networks, Inc. | | | 661,096 | |
| | 15,115 | | | Motorola Solutions, Inc. | | | 2,570,457 | |
| | | | | | | | |
| | | | | | | 22,468,942 | |
| | | | | | | | |
| Construction & Engineering (0.1%): | | | |
| | 11,557 | | | Jacobs Engineering Group, Inc. | | | 1,259,250 | |
| | 12,381 | | | Quanta Services, Inc. | | | 891,680 | |
| | | | | | | | |
| | | | | | | 2,150,930 | |
| | | | | | | | |
| Construction Materials (0.1%): | | | |
| | 5,581 | | | Martin Marietta Materials, Inc. | | | 1,584,837 | |
| | 11,776 | | | Vulcan Materials Co. | | | 1,746,498 | |
| | | | | | | | |
| | | | | | | 3,331,335 | |
| | | | | | | | |
| Consumer Finance (0.5%): | | | |
| | 58,152 | | | American Express Co. | | | 7,031,158 | |
| | 40,782 | | | Capital One Financial Corp. | | | 4,031,301 | |
| | 27,328 | | | Discover Financial Services | | | 2,474,004 | |
| | 48,409 | | | Synchrony Financial | | | 1,680,276 | |
| | | | | | | | |
| | | | | | | 15,216,739 | |
| | | | | | | | |
| Containers & Packaging (0.4%): | | | |
| | 141,065 | | | Amcor plc | | | 1,660,335 | |
| | 7,438 | | | Avery Dennison Corp. | | | 1,153,708 | |
| | 29,166 | | | Ball Corp. | | | 2,717,688 | |
| | 35,049 | | | International Paper Co. | | | 1,742,636 | |
| | 8,266 | | | Packaging Corp. of America | | | 1,139,964 | |
| | 13,834 | | | Sealed Air Corp. | | | 633,459 | |
| | 23,324 | | | WestRock Co. | | | 1,015,294 | |
| | | | | | | | |
| | | | | | | 10,063,084 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 12,858 | | | Genuine Parts Co. | | | 1,291,329 | |
| | 24,965 | | | LKQ Corp.* | | | 879,767 | |
| | 3,581 | | | Pool Corp. | | | 1,333,922 | |
| | | | | | | | |
| | | | | | | 3,505,018 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Financial Services (1.4%): | | | |
| | 173,519 | | | Berkshire Hathaway, Inc., Class B* | | $ | 40,233,851 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.4%): | | | |
| | 635,362 | | | AT&T, Inc. | | | 18,273,011 | |
| | 88,039 | | | CenturyLink, Inc. | | | 858,380 | |
| | 368,957 | | | Verizon Communications, Inc. | | | 21,676,224 | |
| | | | | | | | |
| | | | | | | 40,807,615 | |
| | | | | | | | |
| Electric Utilities (1.7%): | | | |
| | 22,176 | | | Alliant Energy Corp. | | | 1,142,729 | |
| | 44,259 | | | American Electric Power Co., Inc. | | | 3,685,447 | |
| | 65,619 | | | Duke Energy Corp. | | | 6,008,075 | |
| | 33,749 | | | Edison International | | | 2,120,112 | |
| | 17,853 | | | Entergy Corp. | | | 1,782,444 | |
| | 20,225 | | | Evergy, Inc. | | | 1,122,690 | |
| | 30,527 | | | Eversource Energy | | | 2,640,891 | |
| | 86,983 | | | Exelon Corp. | | | 3,672,422 | |
| | 48,389 | | | FirstEnergy Corp. | | | 1,481,187 | |
| | 174,673 | | | NextEra Energy, Inc. | | | 13,476,021 | |
| | 10,039 | | | Pinnacle West Capital Corp. | | | 802,618 | |
| | 68,549 | | | PPL Corp. | | | 1,933,082 | |
| | 94,176 | | | Southern Co. (The) | | | 5,785,232 | |
| | 46,850 | | | Xcel Energy, Inc. | | | 3,123,490 | |
| | | | | | | | |
| | | | | | | 48,776,440 | |
| | | | | | | | |
| Electrical Equipment (0.5%): | | | |
| | 20,513 | | | AMETEK, Inc. | | | 2,480,842 | |
| | 35,540 | | | Eaton Corp. plc | | | 4,269,776 | |
| | 53,322 | | | Emerson Electric Co. | | | 4,285,489 | |
| | 10,359 | | | Rockwell Automation, Inc. | | | 2,598,141 | |
| | | | | | | | |
| | | | | | | 13,634,248 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.6%): | | | |
| | 26,673 | | | Amphenol Corp., Class A | | | 3,488,028 | |
| | 12,853 | | | CDW Corp. | | | 1,693,897 | |
| | 68,120 | | | Corning, Inc. | | | 2,452,320 | |
| | 11,473 | | | FLIR Systems, Inc. | | | 502,862 | |
| | 3,184 | | | IPG Photonics Corp.* | | | 712,547 | |
| | 16,522 | | | Keysight Technologies, Inc.* | | | 2,182,391 | |
| | 29,489 | | | TE Connectivity, Ltd. | | | 3,570,234 | |
| | 12,528 | | | Vontier Corp.* | | | 418,435 | |
| | 4,713 | | | Zebra Technologies Corp., Class A* | | | 1,811,347 | |
| | | | | | | | |
| | | | | | | 16,832,061 | |
| | | | | | | | |
| Energy Equipment & Services (0.2%): | | | |
| | 60,867 | | | Baker Hughes Co. | | | 1,269,077 | |
| | 78,819 | | | Halliburton Co. | | | 1,489,679 | |
| | 34,618 | | | NOV, Inc. | | | 475,305 | |
| | 124,115 | | | Schlumberger, Ltd. | | | 2,709,431 | |
| | 37,666 | | | TechnipFMC plc | | | 354,060 | |
| | | | | | | | |
| | | | | | | 6,297,552 | |
| | | | | | | | |
| Entertainment (2.3%): | | | |
| | 68,909 | | | Activision Blizzard, Inc. | | | 6,398,201 | |
| | 25,864 | | | Electronic Arts, Inc. | | | 3,714,070 | |
| | 12,749 | | | Live Nation Entertainment, Inc.* | | | 936,797 | |
| | 39,391 | | | Netflix, Inc.* | | | 21,299,895 | |
| | 10,241 | | | Take-Two Interactive Software, Inc.* | | | 2,127,977 | |
| | 161,425 | | | Walt Disney Co. (The)* | | | 29,246,982 | |
| | | | | | | | |
| | | | | | | 63,723,922 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts (2.3%): | | | |
| | 11,040 | | | Alexandria Real Estate Equities, Inc. | | $ | 1,967,549 | |
| | 39,607 | | | American Tower Corp. | | | 8,890,186 | |
| | 12,448 | | | AvalonBay Communities, Inc. | | | 1,997,033 | |
| | 12,630 | | | Boston Properties, Inc. | | | 1,193,914 | |
| | 38,455 | | | Crown Castle International Corp. | | | 6,121,651 | |
| | 24,980 | | | Digital Realty Trust, Inc. | | | 3,484,960 | |
| | 32,510 | | | Duke Realty Corp. | | | 1,299,425 | |
| | 7,944 | | | Equinix, Inc. | | | 5,673,446 | |
| | 30,148 | | | Equity Residential | | | 1,787,173 | |
| | 5,781 | | | Essex Property Trust, Inc. | | | 1,372,525 | |
| | 11,422 | | | Extra Space Storage, Inc. | | | 1,323,353 | |
| | 6,138 | | | Federal Realty Investment Trust | | | 522,467 | |
| | 159 | | | Gaming and Leisure Properties, Inc. | | | 6,742 | |
| | 48,345 | | | Healthpeak Properties, Inc. | | | 1,461,469 | |
| | 62,888 | | | Host Hotels & Resorts, Inc. | | | 920,051 | |
| | 25,694 | | | Iron Mountain, Inc.^ | | | 757,459 | |
| | 38,562 | | | Kimco Realty Corp. | | | 578,816 | |
| | 10,048 | | | Mid-America Apartment Communities, Inc. | | | 1,272,981 | |
| | 65,910 | | | ProLogis, Inc. | | | 6,568,591 | |
| | 13,561 | | | Public Storage, Inc. | | | 3,131,642 | |
| | 31,312 | | | Realty Income Corp. | | | 1,946,667 | |
| | 14,070 | | | Regency Centers Corp. | | | 641,451 | |
| | 9,907 | | | SBA Communications Corp. | | | 2,795,062 | |
| | 29,235 | | | Simon Property Group, Inc. | | | 2,493,161 | |
| | 6,470 | | | SL Green Realty Corp. | | | 385,483 | |
| | 26,256 | | | UDR, Inc. | | | 1,009,018 | |
| | 33,103 | | | Ventas, Inc. | | | 1,623,371 | |
| | 13,983 | | | Vornado Realty Trust | | | 522,125 | |
| | 37,207 | | | Welltower, Inc. | | | 2,404,316 | |
| | 66,552 | | | Weyerhaeuser Co. | | | 2,231,489 | |
| | | | | | | | |
| | | | | | | 66,383,576 | |
| | | | | | | | |
| Food & Staples Retailing (1.4%): | | | |
| | 39,340 | | | Costco Wholesale Corp. | | | 14,822,525 | |
| | 68,802 | | | Kroger Co. (The) | | | 2,185,152 | |
| | 45,330 | | | Sysco Corp. | | | 3,366,206 | |
| | 63,964 | | | Walgreens Boots Alliance, Inc. | | | 2,550,884 | |
| | 123,609 | | | Walmart, Inc. | | | 17,818,237 | |
| | | | | | | | |
| | | | | | | 40,743,004 | |
| | | | | | | | |
| Food Products (1.0%): | | | |
| | 49,373 | | | Archer-Daniels-Midland Co. | | | 2,488,893 | |
| | 18,055 | | | Campbell Soup Co. | | | 872,959 | |
| | 43,257 | | | Conagra Brands, Inc. | | | 1,568,499 | |
| | 54,504 | | | General Mills, Inc. | | | 3,204,835 | |
| | 13,154 | | | Hershey Co. (The) | | | 2,003,749 | |
| | 25,087 | | | Hormel Foods Corp. | | | 1,169,305 | |
| | 10,173 | | | JM Smucker Co. (The) | | | 1,175,999 | |
| | 22,678 | | | Kellogg Co. | | | 1,411,252 | |
| | 57,758 | | | Kraft Heinz Co. (The) | | | 2,001,892 | |
| | 13,048 | | | Lamb Weston Holdings, Inc. | | | 1,027,400 | |
| | 22,174 | | | McCormick & Co. | | | 2,119,834 | |
| | 127,515 | | | Mondelez International, Inc., Class A | | | 7,455,802 | |
| | 26,225 | | | Tyson Foods, Inc., Class A | | | 1,689,939 | |
| | | | | | | | |
| | | | | | | 28,190,358 | |
| | | | | | | | |
| Gas Utilities (0.0%†): | | | |
| | 11,224 | | | Atmos Energy Corp. | | | 1,071,106 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies (3.8%): | | | |
| | 158,026 | | | Abbott Laboratories | | $ | 17,302,268 | |
| | 3,936 | | | ABIOMED, Inc.* | | | 1,276,051 | |
| | 6,398 | | | Align Technology, Inc.* | | | 3,418,963 | |
| | 45,545 | | | Baxter International, Inc. | | | 3,654,531 | |
| | 25,859 | | | Becton Dickinson & Co. | | | 6,470,439 | |
| | 127,672 | | | Boston Scientific Corp.* | | | 4,589,808 | |
| | 4,392 | | | Cooper Cos., Inc. (The) | | | 1,595,701 | |
| | 56,371 | | | Danaher Corp. | | | 12,522,254 | |
| | 19,487 | | | Dentsply Sirona, Inc. | | | 1,020,339 | |
| | 8,562 | | | DexCom, Inc.* | | | 3,165,543 | |
| | 55,569 | | | Edwards Lifesciences Corp.* | | | 5,069,560 | |
| | 22,915 | | | Hologic, Inc.* | | | 1,668,899 | |
| | 7,644 | | | IDEXX Laboratories, Inc.* | | | 3,821,006 | |
| | 10,481 | | | Intuitive Surgical, Inc.* | | | 8,574,506 | |
| | 120,013 | | | Medtronic plc | | | 14,058,324 | |
| | 12,921 | | | ResMed, Inc. | | | 2,746,488 | |
| | 7,556 | | | Steris plc | | | 1,432,164 | |
| | 29,150 | | | Stryker Corp. | | | 7,142,916 | |
| | 4,167 | | | Teleflex, Inc. | | | 1,715,012 | |
| | 8,145 | | | Varian Medical Systems, Inc.* | | | 1,425,456 | |
| | 6,585 | | | West Pharmaceutical Services, Inc. | | | 1,865,596 | |
| | 18,506 | | | Zimmer Biomet Holdings, Inc. | | | 2,851,590 | |
| | | | | | | | |
| | | | | | | 107,387,414 | |
| | | | | | | | |
| Health Care Providers & Services (2.6%): | | | |
| | 13,103 | | | AmerisourceBergen Corp. | | | 1,280,949 | |
| | 22,175 | | | Anthem, Inc. | | | 7,120,171 | |
| | 25,987 | | | Cardinal Health, Inc. | | | 1,391,864 | |
| | 51,695 | | | Centene Corp.* | | | 3,103,251 | |
| | 32,211 | | | Cigna Corp. | | | 6,705,686 | |
| | 116,704 | | | CVS Health Corp. | | | 7,970,883 | |
| | 6,510 | | | DaVita, Inc.* | | | 764,274 | |
| | 23,533 | | | HCA Healthcare, Inc. | | | 3,870,237 | |
| | 12,730 | | | Henry Schein, Inc.* | | | 851,128 | |
| | 11,800 | | | Humana, Inc. | | | 4,841,186 | |
| | 8,659 | | | Laboratory Corp. of America Holdings* | | | 1,762,539 | |
| | 14,316 | | | McKesson Corp. | | | 2,489,839 | |
| | 12,016 | | | Quest Diagnostics, Inc. | | | 1,431,947 | |
| | 84,598 | | | UnitedHealth Group, Inc. | | | 29,666,826 | |
| | 6,930 | | | Universal Health Services, Inc., Class B | | | 952,875 | |
| | | | | | | | |
| | | | | | | 74,203,655 | |
| | | | | | | | |
| Health Care Technology (0.1%): | | | |
| | 27,336 | | | Cerner Corp. | | | 2,145,329 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.7%): | | | |
| | 66,310 | | | Carnival Corp., Class A | | | 1,436,275 | |
| | 2,495 | | | Chipotle Mexican Grill, Inc.* | | | 3,459,841 | |
| | 11,609 | | | Darden Restaurants, Inc. | | | 1,382,864 | |
| | 3,474 | | | Domino’s Pizza, Inc. | | | 1,332,140 | |
| | 24,737 | | | Hilton Worldwide Holdings, Inc. | | | 2,752,239 | |
| | 29,285 | | | Las Vegas Sands Corp. | | | 1,745,386 | |
| | 23,647 | | | Marriott International, Inc., Class A | | | 3,119,512 | |
| | 66,435 | | | McDonald’s Corp. | | | 14,255,623 | |
| | 36,553 | | | MGM Resorts International | | | 1,151,785 | |
| | 28,142 | | | Norwegian Cruise Line Holdings, Ltd.*^ | | | 715,651 | |
| | 16,602 | | | Royal Caribbean Cruises, Ltd. | | | 1,240,003 | |
| | 104,648 | | | Starbucks Corp. | | | 11,195,244 | |
| | 8,656 | | | Wynn Resorts, Ltd. | | | 976,656 | |
See accompanying notes to the financial statements.
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 26,874 | | | Yum! Brands, Inc. | | $ | 2,917,441 | |
| | | | | | | | |
| | | | | | | 47,680,660 | |
| | | | | | | | |
| Household Durables (0.4%): | | | |
| | 29,565 | | | D.R. Horton, Inc. | | | 2,037,619 | |
| | 13,300 | | | Garmin, Ltd. | | | 1,591,478 | |
| | 11,814 | | | Leggett & Platt, Inc. | | | 523,360 | |
| | 24,530 | | | Lennar Corp., Class A | | | 1,869,922 | |
| | 5,302 | | | Mohawk Industries, Inc.* | | | 747,317 | |
| | 33,670 | | | Newell Brands, Inc. | | | 714,814 | |
| | 308 | | | NVR, Inc.* | | | 1,256,597 | |
| | 23,865 | | | PulteGroup, Inc. | | | 1,029,059 | |
| | 5,577 | | | Whirlpool Corp. | | | 1,006,593 | |
| | | | | | | | |
| | | | | | | 10,776,759 | |
| | | | | | | | |
| Household Products (1.6%): | | | |
| | 22,117 | | | Church & Dwight Co., Inc. | | | 1,929,266 | |
| | 11,239 | | | Clorox Co. (The) | | | 2,269,379 | |
| | 76,426 | | | Colgate-Palmolive Co. | | | 6,535,187 | |
| | 30,327 | | | Kimberly-Clark Corp. | | | 4,088,989 | |
| | 221,084 | | | Procter & Gamble Co. (The) | | | 30,761,628 | |
| | | | | | | | |
| | | | | | | 45,584,449 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.1%): | |
| | 58,329 | | | AES Corp. (The) | | | 1,370,732 | |
| | 21,775 | | | NRG Energy, Inc. | | | 817,651 | |
| | | | | | | | |
| | | | | | | 2,188,383 | |
| | | | | | | | |
| Industrial Conglomerates (1.2%): | | | |
| | 51,430 | | | 3M Co. | | | 8,989,450 | |
| | 781,040 | | | General Electric Co. | | | 8,435,232 | |
| | 62,563 | | | Honeywell International, Inc. | | | 13,307,149 | |
| | 9,351 | | | Roper Technologies, Inc. | | | 4,031,123 | |
| | | | | | | | |
| | | | | | | 34,762,954 | |
| | | | | | | | |
| Insurance (1.8%): | | | |
| | 58,247 | | | Aflac, Inc. | | | 2,590,244 | |
| | 27,111 | | | Allstate Corp. (The) | | | 2,980,312 | |
| | 76,815 | | | American International Group, Inc. | | | 2,908,216 | |
| | 20,384 | | | Aon plc, Class A | | | 4,306,528 | |
| | 17,108 | | | Arthur J. Gallagher & Co. | | | 2,116,431 | |
| | 5,289 | | | Assurant, Inc. | | | 720,468 | |
| | 40,245 | | | Chubb, Ltd. | | | 6,194,509 | |
| | 13,299 | | | Cincinnati Financial Corp. | | | 1,161,934 | |
| | 3,563 | | | Everest Re Group, Ltd. | | | 834,063 | |
| | 8,585 | | | Globe Life, Inc. | | | 815,232 | |
| | 31,858 | | | Hartford Financial Services Group, Inc. (The) | | | 1,560,405 | |
| | 16,046 | | | Lincoln National Corp. | | | 807,274 | |
| | 20,753 | | | Loews Corp. | | | 934,300 | |
| | 45,222 | | | Marsh & McLennan Cos., Inc. | | | 5,290,974 | |
| | 68,204 | | | MetLife, Inc. | | | 3,202,178 | |
| | 22,780 | | | Principal Financial Group, Inc. | | | 1,130,116 | |
| | 52,213 | | | Progressive Corp. (The) | | | 5,162,821 | |
| | 35,066 | | | Prudential Financial, Inc. | | | 2,737,603 | |
| | 22,585 | | | Travelers Cos., Inc. (The) | | | 3,170,256 | |
| | 18,921 | | | Unum Group | | | 434,048 | |
| | 11,493 | | | Willis Towers Watson plc | | | 2,421,345 | |
| | 12,553 | | | WR Berkley Corp. | | | 833,770 | |
| | | | | | | | |
| | | | | | | 52,313,027 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Interactive Media & Services (5.4%): | | | |
| | 26,806 | | | Alphabet, Inc., Class A* | | $ | 46,981,268 | |
| | 25,882 | | | Alphabet, Inc., Class C* | | | 45,342,158 | |
| | 214,341 | | | Facebook, Inc., Class A* | | | 58,549,388 | |
| | 70,914 | | | Twitter, Inc.* | | | 3,839,993 | |
| | | | | | | | |
| | | | | | | 154,712,807 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (4.9%): | | | |
| | 38,026 | | | Amazon.com, Inc.* | | | 123,848,020 | |
| | 3,652 | | | Booking Holdings, Inc.* | | | 8,133,990 | |
| | 58,389 | | | eBay, Inc. | | | 2,934,047 | |
| | 11,092 | | | Etsy, Inc.* | | | 1,973,378 | |
| | 12,120 | | | Expedia Group, Inc. | | | 1,604,688 | |
| | | | | | | | |
| | | | | | | 138,494,123 | |
| | | | | | | | |
| IT Services (5.5%): | | | |
| | 56,489 | | | Accenture plc, Class C | | | 14,755,492 | |
| | 14,390 | | | Akamai Technologies, Inc.* | | | 1,510,806 | |
| | 38,234 | | | Automatic Data Processing, Inc. | | | 6,736,831 | |
| | 10,309 | | | Broadridge Financial Solutions, Inc. | | | 1,579,339 | |
| | 47,669 | | | Cognizant Technology Solutions Corp., Class A | | | 3,906,475 | |
| | 22,156 | | | DXC Technology Co. | | | 570,517 | |
| | 55,325 | | | Fidelity National Information Services, Inc. | | | 7,826,275 | |
| | 49,615 | | | Fiserv, Inc.* | | | 5,649,164 | |
| | 7,436 | | | FleetCor Technologies, Inc.* | | | 2,028,764 | |
| | 7,961 | | | Gartner, Inc.* | | | 1,275,273 | |
| | 26,689 | | | Global Payments, Inc. | | | 5,749,344 | |
| | 79,448 | | | International Business Machines Corp. | | | 10,000,914 | |
| | 6,693 | | | Jack Henry & Associates, Inc. | | | 1,084,199 | |
| | 11,933 | | | Leidos Holdings, Inc. | | | 1,254,397 | |
| | 78,438 | | | MasterCard, Inc., Class A | | | 27,997,659 | |
| | 28,528 | | | Paychex, Inc. | | | 2,658,239 | |
| | 104,469 | | | PayPal Holdings, Inc.* | | | 24,466,640 | |
| | 8,953 | | | VeriSign, Inc.* | | | 1,937,429 | |
| | 151,188 | | | Visa, Inc., Class A | | | 33,069,350 | |
| | 36,656 | | | Western Union Co. | | | 804,233 | |
| | | | | | | | |
| | | | | | | 154,861,340 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 11,277 | | | Hasbro, Inc. | | | 1,054,851 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.2%): | | | |
| | 27,283 | | | Agilent Technologies, Inc. | | | 3,232,763 | |
| | 1,919 | | | Bio-Rad Laboratories, Inc., Class A* | | | 1,118,662 | |
| | 13,018 | | | Illumina, Inc.* | | | 4,816,660 | |
| | 17,092 | | | IQVIA Holdings, Inc.* | | | 3,062,374 | |
| | 2,122 | | | Mettler-Toledo International, Inc.* | | | 2,418,401 | |
| | 9,905 | | | PerkinElmer, Inc. | | | 1,421,368 | |
| | 35,338 | | | Thermo Fisher Scientific, Inc. | | | 16,459,733 | |
| | 5,532 | | | Waters Corp.* | | | 1,368,727 | |
| | | | | | | | |
| | | | | | | 33,898,688 | |
| | | | | | | | |
| Machinery (1.6%): | | | |
| | 48,437 | | | Caterpillar, Inc. | | | 8,816,504 | |
| | 13,243 | | | Cummins, Inc. | | | 3,007,485 | |
| | 27,941 | | | Deere & Co. | | | 7,517,526 | |
| | 12,931 | | | Dover Corp. | | | 1,632,539 | |
| | 11,938 | | | Flowserve Corp. | | | 439,915 | |
| | 30,065 | | | Fortive Corp. | | | 2,129,203 | |
| | 6,688 | | | IDEX Corp. | | | 1,332,250 | |
| | 25,681 | | | Illinois Tool Works, Inc. | | | 5,235,842 | |
See accompanying notes to the financial statements.
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 33,142 | | | Ingersoll-Rand, Inc.* | | $ | 1,509,950 | |
| | 36,307 | | | Otis Worldwide Corp. | | | 2,452,538 | |
| | 30,954 | | | PACCAR, Inc. | | | 2,670,711 | |
| | 11,484 | | | Parker Hannifin Corp. | | | 3,128,356 | |
| | 14,832 | | | Pentair plc | | | 787,431 | |
| | 4,834 | | | Snap-On, Inc. | | | 827,291 | |
| | 14,286 | | | Stanley Black & Decker, Inc. | | | 2,550,908 | |
| | 15,782 | | | Wabtec Corp. | | | 1,155,242 | |
| | 16,029 | | | Xylem, Inc. | | | 1,631,592 | |
| | | | | | | | |
| | | | | | | 46,825,283 | |
| | | | | | | | |
| Media (1.3%): | | | |
| | 13,009 | | | Charter Communications, Inc., Class A* | | | 8,606,104 | |
| | 407,099 | | | Comcast Corp., Class A | | | 21,331,988 | |
| | 26,302 | | | Discovery Communications, Inc., Class C* | | | 688,849 | |
| | 14,294 | | | Discovery, Inc., Class A*^ | | | 430,106 | |
| | 22,086 | | | DISH Network Corp., Class A* | | | 714,261 | |
| | 30,444 | | | Fox Corp., Class A | | | 886,529 | |
| | 13,793 | | | Fox Corp., Class B | | | 398,342 | |
| | 34,776 | | | Interpublic Group of Cos., Inc. (The) | | | 817,932 | |
| | 34,858 | | | News Corp., Class A | | | 626,398 | |
| | 10,641 | | | News Corp., Class B | | | 189,091 | |
| | 19,167 | | | Omnicom Group, Inc. | | | 1,195,446 | |
| | 50,570 | | | ViacomCBS, Inc., Class B | | | 1,884,238 | |
| | | | | | | | |
| | | | | | | 37,769,284 | |
| | | | | | | | |
| Metals & Mining (0.3%): | | | |
| | 129,539 | | | Freeport-McMoRan, Inc. | | | 3,370,605 | |
| | 71,628 | | | Newmont Corp. | | | 4,289,801 | |
| | 26,844 | | | Nucor Corp. | | | 1,427,832 | |
| | | | | | | | |
| | | | | | | 9,088,238 | |
| | | | | | | | |
| Multiline Retail (0.5%): | | | |
| | 21,845 | | | Dollar General Corp. | | | 4,594,004 | |
| | 20,970 | | | Dollar Tree, Inc.* | | | 2,265,599 | |
| | 44,649 | | | Target Corp. | | | 7,881,887 | |
| | | | | | | | |
| | | | | | | 14,741,490 | |
| | | | | | | | |
| Multi-Utilities (0.8%): | | | |
| | 22,041 | | | Ameren Corp. | | | 1,720,520 | |
| | 48,577 | | | CenterPoint Energy, Inc. | | | 1,051,206 | |
| | 25,391 | | | CMS Energy Corp. | | | 1,549,105 | |
| | 30,388 | | | Consolidated Edison, Inc. | | | 2,196,141 | |
| | 72,739 | | | Dominion Energy, Inc. | | | 5,469,973 | |
| | 17,258 | | | DTE Energy Co. | | | 2,095,294 | |
| | 34,168 | | | NiSource, Inc. | | | 783,814 | |
| | 45,102 | | | Public Service Enterprise Group, Inc. | | | 2,629,447 | |
| | 25,720 | | | Sempra Energy | | | 3,276,985 | |
| | 28,298 | | | WEC Energy Group, Inc. | | | 2,604,265 | |
| | | | | | | | |
| | | | | | | 23,376,750 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.1%): | | | |
| | 33,656 | | | Apache Corp. | | | 477,579 | |
| | 35,538 | | | Cabot Oil & Gas Corp. | | | 578,559 | |
| | 171,640 | | | Chevron Corp. | | | 14,494,998 | |
| | 17,503 | | | Concho Resources, Inc. | | | 1,021,300 | |
| | 95,220 | | | ConocoPhillips | | | 3,807,848 | |
| | 33,819 | | | Devon Energy Corp. | | | 534,678 | |
| | 14,085 | | | Diamondback Energy, Inc. | | | 681,714 | |
| | 52,015 | | | EOG Resources, Inc. | | | 2,593,988 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 376,994 | | | Exxon Mobil Corp. | | $ | 15,539,694 | |
| | 24,227 | | | Hess Corp. | | | 1,278,943 | |
| | 13,531 | | | HollyFrontier Corp. | | | 349,776 | |
| | 172,569 | | | Kinder Morgan, Inc. | | | 2,359,018 | |
| | 73,038 | | | Marathon Oil Corp. | | | 487,163 | |
| | 58,013 | | | Marathon Petroleum Corp. | | | 2,399,418 | |
| | 74,725 | | | Occidental Petroleum Corp. | | | 1,293,490 | |
| | 39,623 | | | ONEOK, Inc. | | | 1,520,731 | |
| | 38,946 | | | Phillips 66 | | | 2,723,883 | |
| | 14,662 | | | Pioneer Natural Resources Co. | | | 1,669,855 | |
| | 36,232 | | | Valero Energy Corp. | | | 2,049,644 | |
| | 108,205 | | | Williams Cos., Inc. | | | 2,169,510 | |
| | | | | | | | |
| | | | | | | 58,031,789 | |
| | | | | | | | |
| Personal Products (0.2%): | | | |
| | 20,198 | | | Estee Lauder Co., Inc. (The), Class A | | | 5,376,506 | |
| | | | | | | | |
| Pharmaceuticals (3.9%): | | | |
| | 201,482 | | | Bristol-Myers Squibb Co. | | | 12,497,928 | |
| | 14,685 | | | Catalent, Inc.* | | | 1,528,268 | |
| | 70,791 | | | Eli Lilly & Co. | | | 11,952,352 | |
| | 234,720 | | | Johnson & Johnson | | | 36,940,234 | |
| | 225,581 | | | Merck & Co., Inc. | | | 18,452,526 | |
| | 12,170 | | | Perrigo Co. plc | | | 544,242 | |
| | 495,593 | | | Pfizer, Inc. | | | 18,242,778 | |
| | 107,567 | | | Viatris, Inc.* | | | 2,015,806 | |
| | 42,375 | | | Zoetis, Inc. | | | 7,013,063 | |
| | | | | | | | |
| | | | | | | 109,187,197 | |
| | | | | | | | |
| Professional Services (0.3%): | | | |
| | 10,846 | | | Equifax, Inc. | | | 2,091,543 | |
| | 33,230 | | | IHS Markit, Ltd. | | | 2,985,051 | |
| | 31,830 | | | Nielsen Holdings plc | | | 664,292 | |
| | 10,163 | | | Robert Half International, Inc. | | | 634,984 | |
| | 14,497 | | | Verisk Analytics, Inc. | | | 3,009,432 | |
| | | | | | | | |
| | | | | | | 9,385,302 | |
| | | | | | | | |
| Real Estate Management & Development (0.1%): | | | |
| | 2,485,087 | | | BGP Holdings plc*(a) | | | – | |
| | 29,870 | | | CBRE Group, Inc., Class A* | | | 1,873,446 | |
| | | | | | | | |
| | | | | | | 1,873,446 | |
| | | | | | | | |
| Road & Rail (1.0%): | | | |
| | 68,188 | | | CSX Corp. | | | 6,188,061 | |
| | 7,444 | | | J.B. Hunt Transport Services, Inc. | | | 1,017,223 | |
| | 8,346 | | | Kansas City Southern | | | 1,703,669 | |
| | 22,646 | | | Norfolk Southern Corp. | | | 5,380,916 | |
| | 8,578 | | | Old Dominion Freight Line, Inc. | | | 1,674,254 | |
| | 60,083 | | | Union Pacific Corp. | | | 12,510,482 | |
| | | | | | | | |
| | | | | | | 28,474,605 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (5.1%): | | | |
| | 107,235 | | | Advanced Micro Devices, Inc.* | | | 9,834,522 | |
| | 32,944 | | | Analog Devices, Inc. | | | 4,866,817 | |
| | 81,429 | | | Applied Materials, Inc. | | | 7,027,323 | |
| | 36,066 | | | Broadcom, Inc. | | | 15,791,498 | |
| | 365,382 | | | Intel Corp. | | | 18,203,331 | |
| | 13,772 | | | KLA Corp. | | | 3,565,709 | |
| | 12,840 | | | Lam Research Corp. | | | 6,063,947 | |
| | 23,765 | | | Maxim Integrated Products, Inc. | | | 2,106,767 | |
| | 23,215 | | | Microchip Technology, Inc. | | | 3,206,224 | |
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 99,256 | | | Micron Technology, Inc.* | | $ | 7,462,066 | |
| | 55,191 | | | NVIDIA Corp. | | | 28,820,740 | |
| | 10,169 | | | Qorvo, Inc.* | | | 1,690,800 | |
| | 100,841 | | | Qualcomm, Inc. | | | 15,362,118 | |
| | 14,808 | | | Skyworks Solutions, Inc. | | | 2,263,847 | |
| | 14,806 | | | Teradyne, Inc. | | | 1,775,091 | |
| | 81,845 | | | Texas Instruments, Inc. | | | 13,433,220 | |
| | 21,855 | | | Xilinx, Inc. | | | 3,098,383 | |
| | | | | | | | |
| | | | | | | 144,572,403 | |
| | | | | | | | |
| Software (8.7%): | | | |
| | 42,772 | | | Adobe, Inc.* | | | 21,391,133 | |
| | 7,665 | | | ANSYS, Inc.* | | | 2,788,527 | |
| | 19,606 | | | Autodesk, Inc.* | | | 5,986,496 | |
| | 24,774 | | | Cadence Design Systems, Inc.* | | | 3,379,917 | |
| | 10,978 | | | Citrix Systems, Inc. | | | 1,428,238 | |
| | 12,003 | | | Fortinet, Inc.* | | | 1,782,806 | |
| | 23,427 | | | Intuit, Inc. | | | 8,898,746 | |
| | 674,102 | | | Microsoft Corp. | | | 149,933,767 | |
| | 52,772 | | | NortonLifeLock, Inc. | | | 1,096,602 | |
| | 169,126 | | | Oracle Corp. | | | 10,940,761 | |
| | 4,368 | | | Paycom Software, Inc.* | | | 1,975,428 | |
| | 81,582 | | | salesforce.com, Inc.* | | | 18,154,442 | |
| | 17,395 | | | ServiceNow, Inc.* | | | 9,574,730 | |
| | 13,608 | | | Synopsys, Inc.* | | | 3,527,738 | |
| | 3,596 | | | Tyler Technologies, Inc.* | | | 1,569,726 | |
| | | | | | | | |
| | | | | | | 242,429,057 | |
| | | | | | | | |
| Specialty Retail (2.2%): | | | |
| | 6,050 | | | Advance Auto Parts, Inc. | | | 952,936 | |
| | 2,066 | | | AutoZone, Inc.* | | | 2,449,119 | |
| | 20,481 | | | Best Buy Co, Inc. | | | 2,043,799 | |
| | 14,605 | | | CarMax, Inc.* | | | 1,379,588 | |
| | 18,342 | | | Gap, Inc. (The) | | | 370,325 | |
| | 95,991 | | | Home Depot, Inc. (The) | | | 25,497,129 | |
| | 20,829 | | | L Brands, Inc. | | | 774,631 | |
| | 65,330 | | | Lowe’s Cos., Inc. | | | 10,486,118 | |
| | 6,460 | | | O’Reilly Automotive, Inc.* | | | 2,923,602 | |
| | 31,742 | | | Ross Stores, Inc.* | | | 3,898,235 | |
| | 9,563 | | | Tiffany & Co. | | | 1,257,056 | |
| | 107,050 | | | TJX Cos., Inc. (The) | | | 7,310,445 | |
| | 10,412 | | | Tractor Supply Co. | | | 1,463,719 | |
| | 5,023 | | | Ulta Beauty, Inc.* | | | 1,442,405 | |
| | | | | | | | |
| | | | | | | 62,249,107 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (7.0%): | | | |
| | 1,424,946 | | | Apple, Inc. | | | 189,076,084 | |
| | 114,750 | | | Hewlett Packard Enterprise Co. | | | 1,359,788 | |
| | 122,308 | | | HP, Inc. | | | 3,007,553 | |
| | 19,917 | | | NetApp, Inc. | | | 1,319,302 | |
| | 20,148 | | | Seagate Technology plc | | | 1,252,400 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals, continued | | | |
| | 27,127 | | | Western Digital Corp. | | $ | 1,502,565 | |
| | 14,858 | | | Xerox Holdings Corp. | | | 344,557 | |
| | | | | | | | |
| | | | | | | 197,862,249 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.7%): | | | |
| | 30,597 | | | Hanesbrands, Inc. | | | 446,104 | |
| | 111,880 | | | Nike, Inc., Class B | | | 15,827,663 | |
| | 6,339 | | | PVH Corp. | | | 595,169 | |
| | 4,443 | | | Ralph Lauren Corp. | | | 460,917 | |
| | 24,734 | | | Tapestry, Inc. | | | 768,733 | |
| | 16,810 | | | Under Armour, Inc., Class A* | | | 288,628 | |
| | 17,352 | | | Under Armour, Inc., Class C* | | | 258,198 | |
| | 28,514 | | | VF Corp. | | | 2,435,380 | |
| | | | | | | | |
| | | | | | | 21,080,792 | |
| | | | | | | | |
| Tobacco (0.6%): | | | |
| | 165,699 | | | Altria Group, Inc. | | | 6,793,659 | |
| | 138,852 | | | Philip Morris International, Inc. | | | 11,495,557 | |
| | | | | | | | |
| | | | | | | 18,289,216 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 51,187 | | | Fastenal Co. | | | 2,499,462 | |
| | 6,345 | | | United Rentals, Inc.* | | | 1,471,469 | |
| | 4,019 | | | W.W. Grainger, Inc. | | | 1,641,118 | |
| | | | | | | | |
| | | | | | | 5,612,049 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 16,162 | | | American Water Works Co., Inc. | | | 2,480,382 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 52,013 | | | T-Mobile USA, Inc.* | | | 7,013,953 | |
| | | | | | | | |
| | Total Common Stocks (Cost $1,153,783,321) | | | 2,822,017,836 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.1%): | |
| | 3,708,853 | | | BlackRock Liquidity FedFund, Institutional Class, 0.38%(b)(c) | | | 3,708,853 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $3,708,853) | | | 3,708,853 | |
| | | | | |
| Unaffiliated Investment Companies (0.5%): | | | |
| Money Markets (0.5%): | | | |
| | 14,257,322 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 14,257,322 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $14,257,322) | | | 14,257,322 | |
| | | | | |
| | Total Investment Securities (Cost $1,171,749,496) — 100.1%(d) | | | 2,839,984,011 | |
| | Net other assets (liabilities) — (0.1)% | | | (2,284,978 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 2,837,699,033 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $3,590,209. |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
9
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2020
| (a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of December 31, 2020. The total of all such securities represent 0.00% of the net assets of the fund. |
| b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—” are $0 or round to less than $1.
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/19/21 | | | | 87 | | | $ | 16,307,280 | | | $ | 337,018 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 337,018 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
10
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 1,168,205,517 | |
Investments in affiliates, at cost | | | | 3,543,979 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | $ | 2,830,858,696 | |
Investments in affiliates, at value | | | | 9,125,315 | |
Cash | | | | 67,163 | |
Deposit at broker for futures contracts collateral | | | | 967,000 | |
Interest and dividends receivable | | | | 2,004,316 | |
Foreign currency, at value (cost $88,826) | | | | 91,809 | |
Receivable for variation margin on futures contracts | | | | 107,010 | |
Reclaims receivable | | | | 138,796 | |
Receivable from Manager | | | | 6,470 | |
Prepaid expenses | | | | 14,731 | |
| | | | | |
Total Assets | | | | 2,843,381,306 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 422,140 | |
Payable for collateral received on loaned securities | | | | 3,708,853 | |
Manager fees payable | | | | 441,990 | |
Administration fees payable | | | | 183,440 | |
Distribution fees payable | | | | 583,559 | |
Custodian fees payable | | | | 41,903 | |
Administrative and compliance services fees payable | | | | 10,028 | |
Transfer agent fees payable | | | | 4,481 | |
Trustee fees payable | | | | 36,312 | |
Other accrued liabilities | | | | 249,567 | |
| | | | | |
Total Liabilities | | | | 5,682,273 | |
| | | | | |
Net Assets | | | $ | 2,837,699,033 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 995,790,987 | |
Total distributable earnings | | | | 1,841,908,046 | |
| | | | | |
Net Assets | | | $ | 2,837,699,033 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 86,299,964 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 4,203,670 | |
Net Asset Value (offering and redemption price per share) | | | $ | 20.53 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 2,751,399,069 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 135,174,234 | |
Net Asset Value (offering and redemption price per share) | | | $ | 20.35 | |
| | | | | |
| (a) | Includes securities on loan of $3,590,209. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 45,875,310 | |
Dividends from affiliates | | | | 195,457 | |
Interest | | | | 2,857 | |
Income from securities lending | | | | 39,578 | |
Foreign tax reclaims received | | | | 5,644 | |
| | | | | |
Total Investment Income | | | | 46,118,846 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 4,351,965 | |
Administration fees | | | | 872,921 | |
Distribution fees — Class 2 | | | | 6,223,875 | |
Custodian fees | | | | 125,044 | |
Administrative and compliance services fees | | | | 43,546 | |
Transfer agent fees | | | | 17,427 | |
Trustee fees | | | | 145,780 | |
Professional fees | | | | 122,955 | |
Shareholder reports | | | | 87,335 | |
Other expenses | | | | 533,511 | |
| | | | | |
Total expenses | | | | 12,524,359 | |
| | | | | |
Net Investment Income/(Loss) | | | | 33,594,487 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 152,888,265 | |
Net realized gains/(losses) on affiliated transactions | | | | 937,027 | |
Net realized gains/(losses) on futures contracts | | | | 7,896,898 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 220,220,194 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | 1,968,437 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 175,154 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 384,085,975 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 417,680,462 | |
| | | | | |
See accompanying notes to the financial statements.
11
AZL S&P 500 Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 33,594,487 | | | | $ | 42,104,525 | |
Net realized gains/(losses) on investments | | | | 161,722,190 | | | | | 94,141,209 | |
Change in unrealized appreciation/depreciation on investments | | | | 222,363,785 | | | | | 581,207,194 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 417,680,462 | | | | | 717,452,928 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (4,285,950 | ) | | | | (3,214,142 | ) |
Class 2 | | | | (130,497,086 | ) | | | | (118,738,444 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (134,783,036 | ) | | | | (121,952,586 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 177,984 | | | | | 612,585 | |
Proceeds from shares issued in merger | | | | 14,607,666 | | | | | — | |
Proceeds from dividends reinvested | | | | 4,285,950 | | | | | 3,214,143 | |
Value of shares redeemed | | | | (11,356,566 | ) | | | | (10,818,839 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 7,715,034 | | | | | (6,992,111 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 174,055,612 | | | | | 43,218,601 | |
Proceeds from shares issued in merger | | | | 60,521,801 | | | | | — | |
Proceeds from dividends reinvested | | | | 130,497,085 | | | | | 118,738,443 | |
Value of shares redeemed | | | | (608,017,403 | ) | | | | (393,581,816 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (242,942,905 | ) | | | | (231,624,772 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (235,227,871 | ) | | | | (238,616,883 | ) |
| | | | | | | | | | |
Change in net assets | | | | 47,669,555 | | | | | 356,883,459 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 2,790,029,478 | | | | | 2,433,146,019 | |
| | | | | | | | | | |
End of period | | | $ | 2,837,699,033 | | | | $ | 2,790,029,478 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 10,489 | | | | | 35,976 | |
Shares issued in merger | | | | 749,180 | | | | | — | |
Dividends reinvested | | | | 228,219 | | | | | 192,926 | |
Shares redeemed | | | | (631,480 | ) | | | | (633,051 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 356,408 | | | | | (404,149 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 12,037,843 | | | | | 2,632,549 | |
Shares issued in merger | | | | 3,134,464 | | | | | — | |
Dividends reinvested | | | | 7,004,675 | | | | | 7,183,209 | |
Shares redeemed | | | | (36,115,663 | ) | | | | (22,984,390 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (13,938,681 | ) | | | | (13,168,632 | ) |
| | | | | | | | | | |
Change in shares | | | | (13,582,273 | ) | | | | (13,572,781 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
12
AZL S&P 500 Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 18.39 | | | | $ | 14.72 | | | | $ | 16.25 | | | | $ | 14.15 | | | | $ | 14.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.28 | (a) | | | | 0.31 | (a) | | | | 0.29 | (a) | | | | 0.28 | | | | | 0.28 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.90 | | | | | 4.20 | | | | | (0.96 | ) | | | | 2.71 | | | | | 1.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.18 | | | | | 4.51 | | | | | (0.67 | ) | | | | 2.99 | | | | | 1.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.35 | ) | | | | (0.31 | ) | | | | (0.31 | ) | | | | (0.17 | ) | | | | (0.31 | ) |
Net Realized Gains | | | | (0.69 | ) | | | | (0.53 | ) | | | | (0.55 | ) | | | | (0.72 | ) | | | | (1.43 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.04 | ) | | | | (0.84 | ) | | | | (0.86 | ) | | | | (0.89 | ) | | | | (1.74 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 20.53 | | | | $ | 18.39 | | | | $ | 14.72 | | | | $ | 16.25 | | | | $ | 14.15 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 17.82 | % | | | | 31.27 | % | | | | (4.63 | )% | | | | 21.60 | % | | | | 11.79 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 86,300 | | | | $ | 70,738 | | | | $ | 62,599 | | | | $ | 76,049 | | | | $ | 72,604 | |
Net Investment Income/(Loss) | | | | 1.53 | % | | | | 1.81 | % | | | | 1.74 | % | | | | 1.83 | % | | | | 1.98 | % |
Expenses Before Reductions(c) | | | | 0.25 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.23 | % | | | | 0.24 | % |
Expenses Net of Reductions | | | | 0.25 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.23 | % | | | | 0.24 | % |
Portfolio Turnover Rate(d) | | | | 10 | % | | | | 3 | % | | | | 4 | % | | | | 2 | % | | | | 23 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 18.24 | | | | $ | 14.61 | | | | $ | 16.13 | | | | $ | 14.06 | | | | $ | 14.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.24 | (a) | | | | 0.26 | (a) | | | | 0.25 | (a) | | | | 0.24 | | | | | 0.24 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.86 | | | | | 4.17 | | | | | (0.95 | ) | | | | 2.70 | | | | | 1.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.10 | | | | | 4.43 | | | | | (0.70 | ) | | | | 2.94 | | | | | 1.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.30 | ) | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.15 | ) | | | | (0.27 | ) |
Net Realized Gains | | | | (0.69 | ) | | | | (0.53 | ) | | | | (0.55 | ) | | | | (0.72 | ) | | | | (1.43 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.99 | ) | | | | (0.80 | ) | | | | (0.82 | ) | | | | (0.87 | ) | | | | (1.70 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 20.35 | | | | $ | 18.24 | | | | $ | 14.61 | | | | $ | 16.13 | | | | $ | 14.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 17.50 | % | | | | 30.89 | % | | | | (4.84 | )% | | | | 21.36 | % | | | | 11.45 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 2,751,399 | | | | $ | 2,719,291 | | | | $ | 2,370,547 | | | | $ | 2,788,345 | | | | $ | 2,562,218 | |
Net Investment Income/(Loss) | | | | 1.31 | % | | | | 1.56 | % | | | | 1.49 | % | | | | 1.58 | % | | | | 1.75 | % |
Expenses Before Reductions(c) | | | | 0.50 | % | | | | 0.49 | % | | | | 0.48 | % | | | | 0.48 | % | | | | 0.49 | % |
Expenses Net of Reductions | | | | 0.50 | % | | | | 0.49 | % | | | | 0.48 | % | | | | 0.48 | % | | | | 0.49 | % |
Portfolio Turnover Rate(d) | | | | 10 | % | | | | 3 | % | | | | 4 | % | | | | 2 | % | | | | 23 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (d) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
13
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL S&P 500 Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2020
Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $3,703 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,708,853 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $23.3 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 337,018 | | | Payable for variation margin on futures contracts* | | $ | — | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
15
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2020
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
Equity Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 7,896,898 | | | $ | 175,153 | |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL S&P 500 Index Fund Class 1 | | | | 0.17 | % | | | | 0.46 | % |
AZL S&P 500 Index Fund Class 2 | | | | 0.17 | % | | | | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
At December 31, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Fair Value
12/31/2019 | | Purchases
at Cost | | Proceeds
from Sales | | Net
Realized
Gains(Losses) | | Change in Net
Unrealized
Appreciation/
Depreciation | | Fair Value
12/31/2020 | | Shares as of
12/31/2020 | | Dividend
Income | | Capital Gains
Distributions |
| | | | | | | | | |
BlackRock Inc., Class A | | | $ | 6,142,491 | | | | $ | 2,218,760 | | | | $ | (2,141,400 | ) | | | $ | 937,027 | | | | $ | 1,968,437 | | | | $ | 9,125,315 | | | | | 12,647 | | | | $ | 195,457 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 6,142,491 | | | | $ | 2,218,760 | | | | $ | (2,141,400 | ) | | | $ | 937,027 | | | | $ | 1,968,437 | | | | $ | 9,125,315 | | | | | 12,647 | | | | $ | 195,457 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
16
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2020
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $13,787 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 2,822,017,836 | | | | $ | — | | | | $ | — | # | | | $ | 2,822,017,836 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 3,708,853 | | | | | — | | | | | — | | | | | 3,708,853 | |
Unaffiliated Investment Companies | | | | 14,257,322 | | | | | — | | | | | — | | | | | 14,257,322 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 2,839,984,011 | | | | | — | | | | | — | | | | | 2,839,984,011 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 337,018 | | | | | — | | | | | — | | | | | 337,018 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 2,840,321,029 | | | | $ | — | | | | $ | — | | | | $ | 2,840,321,029 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at December 31, 2020. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL S&P 500 Index Fund | | | $ | 259,979,581 | | | | $ | 581,001,630 | |
17
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2020
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $1,206,763,488. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 1,677,463,117 | |
Unrealized (depreciation) | | | (44,242,594 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 1,633,220,523 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL S&P 500 Index Fund | | | $ | 44,011,694 | | | | $ | 90,771,342 | | | | $ | 134,783,036 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL S&P 500 Index Fund | | | $ | 40,928,869 | | | | $ | 81,023,717 | | | | $ | 121,952,586 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL S&P 500 Index Fund | | | $ | 37,097,316 | | | | $ | 171,580,756 | | | | $ | — | | | | $ | 1,633,229,974 | | | | $ | 1,841,908,046 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
18
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2020
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 65% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Acquisition of Funds
Effective as of the close of business August 21, 2020, the Fund acquired all of the net assets of the AZL Morgan Stanley Global Real Estate Fund (“MS Fund”), an open-end management investment company, pursuant to a plan of reorganization approved by the Board on June 12, 2020. While the acquisition is expected to be a taxable event for federal income tax purposes, it is not expected to be a taxable event for contract owners whose contracts values are determined by investment of shares in the MS Fund. The acquisition was accomplished by an exchange of 2,290,781 Class 1 shares and 8,716,896 Class 2 shares of the MS Fund outstanding as of close of business August 21, 2020, valued at $14,607,666 and $60,521,801, respectively, for 749,180 Class 1 shares and 3,134,464 Class 2 shares of the Fund.
The equity and cash equivalent securities of the MS Fund were the principal assets acquired by the Fund. At the close of business August 21, 2020, the MS Fund investment holdings had a fair value of $74,954,763 and identified cost of $74,951,246. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value. Immediately prior to the merger, the Fund’s net assets were $2,615,270,278. All fees and expenses incurred by the MS Fund and the Fund directly in connection with the plan of reorganization were borne by the Manager.
Assuming the acquisition had been completed on January 1, 2020, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the year ended December 31, 2020, are as follows:
| | | | |
Net investment income/(loss) | | $ | 37,535,087 | |
Net realized/unrealized gains/(losses) | | | 354,739,127 | |
| | | | |
Change in net assets resulting from operations | | $ | 392,274,214 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the MS Fund that have been included in the Fund’s statement of operations since August 22, 2020.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL S&P 500 Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL S&P 500 Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
20
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $2,779,372.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $90,771,342.
21
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
22
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
23
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
24
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
25
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
26
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
27
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® Small Cap Stock Index Fund
Annual Report
December 31, 2020
Table of Contents
Management Discussion and Analysis
Page 1
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 12
Statement of Operations
Page 12
Statements of Changes in Net Assets
Page 13
Financial Highlights
Page 14
Notes to the Financial Statements
Page 15
Report of Independent Registered Public Accounting Firm
Page 20
Other Federal Income Tax Information
Page 21
Other Information
Page 22
Approval of Investment Advisory and Subadvisory Agreements
Page 23
Information about the Board of Trustees and Officers
Page 26
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® Small Cap Stock Index Fund Review (Unaudited)
Allianz Investment Management LLC serves as the Manager for the AZL® Small Cap Stock Index Fund and BlackRock Investment Management, LLC serves as Subadviser to the Fund.
What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® Small Cap Stock Index Fund (Class 2 Shares) (the “Fund”) returned 10.71%. That compared to a 11.29% total return for its benchmark, the S&P SmallCap 600 Index1.
The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the S&P SmallCap 600 Index (“Index“). The Index is designed to provide a comprehensive measure of small-cap stock performance.*
In the first quarter, fears of the coronavirus (COVID-19) outbreak and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Market Volatility Index2 (VIX) of near-term stock market volatility surged to its highest level since the financial crisis and the S&P 500 Index3 experienced its quickest bear market contraction on record. Economic activity fell to a standstill with Purchasing Managers’ Index4 across the globe registering at their lowest levels on record and jobless claims surged. In late March, the U.S. saw a record number of initial claims with 3.3 million people filing claims for unemployment benefits compared to a consensus estimate of 1.4 million.
In the second quarter, global governments unleashed large stimulus packages to combat the shock on the economy. The U.S. passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Federal Reserve Board (the Fed) cut the federal funds rate target to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. The Fed also announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history. U.S. stocks outperformed other regions during this quarter, with a sharper recovery from the troughs of late March. This has largely been supported by the historic policy response. Towards the end of the second quarter, government measures to contain the virus were gradually lifted in many states, boosting activity and employment.
In the third quarter, U.S. stocks continued their recovery over July and August, recording all-time highs. However, valuation concerns sparked market volatility in early September, leading to a market sell-off. COVID-19 continued to take center stage over the third quarter but the easing of restrictions, coupled with a drop in the number of new cases in the U.S. and ongoing accommodative policies by the Fed, supported the U.S. market recovery over the quarter. This performance came despite spikes in volatility and a market sell-off that dampened the recovery momentum.
In the fourth quarter, U.S. markets reacted positively to the election results despite a weak start to the quarter. The victory of Joe Biden came as an indicator of more stable internal and external policies. The fear of rising COVID-19 cases in the U.S. was offset by positive vaccine news and the announcement of a $900 billion stimulus in late December, which ultimately supported positive market performance. Sectors that were severely impacted by the pandemic, such as energy and financials, recovered following positive vaccine news in November, prompting these two sectors to recoup some of the losses incurred earlier in the year.
Most sectors within the Index posted positive returns over the year. The healthcare, consumer discretionary, and information technology sectors were the best performers, while the energy sector lagged the most. Real estate and utilities sectors also were among the lowest performers.
The Fund uses derivatives, most notably futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2020.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | Chicago Board Options Exchange Market Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by the S&P 500 Index options. |
| 3 | The Standard & Poor’s 500 Index is unmanaged and is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. Investors cannot invest directly in an index. |
| 4 | Purchasing Managers’ Index (PMI) is an indicator of the economic health of the manufacturing sector. The PMI is based on five major indicators: new orders, inventory levels, production, supplier deliveries, and the employment environment. |
1
AZL® Small Cap Stock Index Fund Review (Unaudited)
Fund Objective
The Fund’s investment objective is to seek to match the performance of the Standard & Poor’s SmallCap 600 Index (“S&P 600”). This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing in all of the stocks in the S&P 600 in proportion to their weighting in the Index.
Investment Concerns
Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes.
Small- to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility.
The performance of the Fund is expected to be lower than that of the Index because of Fund fees and expenses. Securities in which the Fund will invest may involve substantial risk and may be subject to sudden severe price declines.
Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments.
For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus.
Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark and represents the reinvestment of dividends and capital gains in the Fund.
| | | | | | | | | | | | | | | | | | | | | | | | |
| Average Annual Total Returns as of December 31, 2020 | |
| | | | | | |
| | | Inception
Date | | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | | | Since
Inception | |
AZL® Small Cap Stock Index Fund (Class 1 Shares) | | | 10/17/16 | | | | 10.98 | % | | | 7.49 | % | | | — | | | | — | | | | 11.74 | % |
AZL® Small Cap Stock Index Fund (Class 2 Shares) | | | 5/1/07 | | | | 10.71 | % | | | 7.20 | % | | | 11.79 | % | | | 11.34 | % | | | 8.32 | % |
S&P SmallCap 600 Index | | | 5/1/07 | | | | 11.29 | % | | | 7.74 | % | | | 12.37 | % | | | 11.92 | % | | | 8.81 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
| | | | |
Expense Ratios | | Gross | |
AZL® Small Cap Stock Index Fund (Class 1 Shares) | | | 0.33 | % |
AZL® Small Cap Stock Index Fund (Class 2 Shares) | | | 0.58 | % |
The above expense ratios are based on the current Fund prospectus dated May 1, 2020. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.46% for Class 1 Shares and 0.71% for Class 2 Shares through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratios can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
The Fund’s performance is measured against the Standard & Poor’s SmallCap 600 Index, an unmanaged index which covers approximately 3% of the domestic equities market. Measuring the small-cap segment of the market that is typically renowned for poor trading liquidity and financial instability, the index is designed to be an efficient portfolio of companies that meet specific inclusion criteria to ensure that they are investable and financially viable. The index does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL Small Cap Stock Index Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Small Cap Stock Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Small Cap Stock Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,353.90 | | | | $ | 2.07 | | | | | 0.35 | % |
| | | | |
AZL Small Cap Stock Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,351.20 | | | | $ | 3.55 | | | | | 0.60 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
| | | | |
AZL Small Cap Stock Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,023.38 | | | | $ | 1.78 | | | | �� | 0.35 | % |
| | | | |
AZL Small Cap Stock Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.12 | | | | $ | 3.05 | | | | | 0.60 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
| | | | | |
| Investments | | Percent of Net Assets |
| |
Industrials | | | | 17.2 | % |
| |
Financials | | | | 16.1 | |
| |
Information Technology | | | | 14.8 | |
| |
Consumer Discretionary | | | | 14.6 | |
| |
Health Care | | | | 11.8 | |
| |
Real Estate | | | | 7.9 | |
| |
Materials | | | | 5.7 | |
| |
Consumer Staples | | | | 3.6 | |
| |
Energy | | | | 3.1 | |
| |
Communication Services | | | | 2.5 | |
| |
Utilities | | | | 1.6 | |
| | | | | |
| |
Total Common Stocks | | | | 98.9 | |
| |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 3.3 | |
| |
Unaffiliated Investment Companies | | | | 1.0 | |
| | | | | |
| |
Total Investment Securities | | | | 103.2 | |
| |
Net other assets (liabilities) | | | | (3.2 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (98.9%): | | | |
| Aerospace & Defense (1.4%): | | | |
| | 30,432 | | | AAR Corp. | | $ | 1,102,247 | |
| | 66,368 | | | Aerojet Rocketdyne Holdings, Inc.* | | | 3,507,548 | |
| | 20,265 | | | AeroVironment, Inc.* | | | 1,761,029 | |
| | 29,043 | | | Cubic Corp. | | | 1,801,828 | |
| | 27,253 | | | Moog, Inc., Class A | | | 2,161,162 | |
| | 4,825 | | | National Presto Industries, Inc. | | | 426,675 | |
| | 17,265 | | | Park Aerospace Corp., Class C | | | 231,524 | |
| | 49,194 | | | Triumph Group, Inc. | | | 617,877 | |
| | | | | | | | |
| | | | | | | 11,609,890 | |
| | | | | | | | |
| Air Freight & Logistics (0.7%): | | | |
| | 23,918 | | | Atlas Air Worldwide Holdings, Inc.* | | | 1,304,488 | |
| | 24,839 | | | Echo Global Logistics, Inc.* | | | 666,182 | |
| | 25,507 | | | Forward Air Corp. | | | 1,959,958 | |
| | 30,885 | | | Hub Group, Inc., Class A* | | | 1,760,445 | |
| | | | | | | | |
| | | | | | | 5,691,073 | |
| | | | | | | | |
| Airlines (0.6%): | | | |
| | 12,137 | | | Allegiant Travel Co. | | | 2,296,805 | |
| | 42,165 | | | Hawaiian Holdings, Inc. | | | 746,321 | |
| | 46,457 | | | SkyWest, Inc. | | | 1,872,682 | |
| | | | | | | | |
| | | | | | | 4,915,808 | |
| | | | | | | | |
| Auto Components (1.4%): | | | |
| | 106,184 | | | American Axle & Manufacturing Holdings, Inc.* | | | 885,575 | |
| | 46,460 | | | Cooper Tire & Rubber Co. | | | 1,881,630 | |
| | 15,819 | | | Cooper-Standard Holding, Inc.* | | | 548,445 | |
| | 26,548 | | | Dorman Products, Inc.* | | | 2,304,897 | |
| | 30,148 | | | Gentherm, Inc.* | | | 1,966,253 | |
| | 23,201 | | | LCI Industries | | | 3,008,705 | |
| | 17,663 | | | Motorcar Parts of America, Inc.* | | | 346,548 | |
| | 18,295 | | | Standard Motor Products, Inc. | | | 740,216 | |
| | | | | | | | |
| | | | | | | 11,682,269 | |
| | | | | | | | |
| Automobiles (0.2%): | | | |
| | 31,087 | | | Winnebago Industries, Inc. | | | 1,863,355 | |
| | | | | | | | |
| Banks (8.5%): | | | |
| | 17,357 | | | Allegiance Bancshares, Inc. | | | 592,394 | |
| | 64,265 | | | Ameris Bancorp | | | 2,446,569 | |
| | 40,917 | | | Banc of California, Inc. | | | 601,889 | |
| | 17,524 | | | BancFirst Corp. | | | 1,028,659 | |
| | 85,309 | | | BankUnited, Inc. | | | 2,967,046 | |
| | 32,889 | | | Banner Corp. | | | 1,532,299 | |
| | 47,594 | | | Berkshire Hills Bancorp, Inc. | | | 814,809 | |
| | 77,122 | | | Boston Private Financial Holdings, Inc. | | | 651,681 | |
| | 74,045 | | | Brookline Bancorp, Inc. | | | 891,502 | |
| | 116,405 | | | Cadence Bancorp | | | 1,911,370 | |
| | 27,013 | | | Central Pacific Financial Corp. | | | 513,517 | |
| | 14,605 | | | City Holding Co. | | | 1,015,778 | |
| | 66,412 | | | Columbia Banking System, Inc. | | | 2,384,191 | |
| | 49,539 | | | Community Bank System, Inc. | | | 3,086,774 | |
| | 26,459 | | | Customers Bancorp, Inc.* | | | 481,025 | |
| | 117,786 | | | CVB Financial Corp. | | | 2,296,827 | |
| | 29,787 | | | Eagle Bancorp, Inc. | | | 1,230,203 | |
| | 28,856 | | | FB Financial Corp. | | | 1,002,169 | |
| | 204,614 | | | First Bancorp | | | 1,886,541 | |
| | 26,073 | | | First Bancorp/Southern Pines NC | | | 882,050 | |
| | 89,269 | | | First Commonwealth Financial Corp. | | | 976,603 | |
| | 90,578 | | | First Financial Bancorp | | | 1,587,832 | |
| | 121,078 | | | First Hawaiian, Inc. | | | 2,855,019 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 107,039 | | | First Midwest Bancorp, Inc. | | $ | 1,704,061 | |
| | 51,707 | | | Great Western Bancorp, Inc. | | | 1,080,676 | |
| | 29,050 | | | Hanmi Financial Corp. | | | 329,427 | |
| | 33,646 | | | Heritage Financial Corp. | | | 786,980 | |
| | 116,171 | | | Hope BanCorp, Inc. | | | 1,267,426 | |
| | 30,468 | | | Independent Bank Corp. | | | 2,225,383 | |
| | 33,884 | | | Independent Bank Group, Inc. | | | 2,118,428 | |
| | 28,689 | | | National Bank Holdings Corp. | | | 939,852 | |
| | 40,264 | | | NBT Bancorp, Inc. | | | 1,292,474 | |
| | 47,535 | | | OFG Bancorp | | | 881,299 | |
| | 152,529 | | | Old National Bancorp | | | 2,525,880 | |
| | 87,360 | | | Pacific Premier Bancorp, Inc. | | | 2,736,989 | |
| | 13,193 | | | Park National Corp.^ | | | 1,385,397 | |
| | 12,721 | | | Preferred Bank Los Angeles | | | 642,029 | |
| | 51,901 | | | Renasant Corp. | | | 1,748,026 | |
| | 36,359 | | | S & T Bancorp, Inc. | | | 903,158 | |
| | 50,834 | | | Seacoast Banking Corp of Florida* | | | 1,497,061 | |
| | 43,268 | | | ServisFirst Bancshares, Inc. | | | 1,743,268 | |
| | 100,476 | | | Simmons First National Corp., Class A | | | 2,169,277 | |
| | 28,327 | | | Southside Bancshares, Inc. | | | 878,987 | |
| | 11,277 | | | Tompkins Financial Corp. | | | 796,156 | |
| | 20,591 | | | Triumph BanCorp, Inc.* | | | 999,693 | |
| | 80,036 | | | United Community Banks, Inc. | | | 2,276,224 | |
| | 45,670 | | | Veritex Holdings, Inc. | | | 1,171,892 | |
| | 24,876 | | | Westamerica Bancorp | | | 1,375,394 | |
| | | | | | | | |
| | | | | | | 69,112,184 | |
| | | | | | | | |
| Beverages (0.3%): | | | |
| | 4,243 | | | Coca-Cola Consolidated, Inc. | | | 1,129,783 | |
| | 12,387 | | | MGP Ingredients, Inc. | | | 582,932 | |
| | 10,954 | | | National Beverage Corp.^ | | | 929,995 | |
| | | | | | | | |
| | | | | | | 2,642,710 | |
| | | | | | | | |
| Biotechnology (1.2%): | | | |
| | 57,774 | | | Coherus Biosciences, Inc.* | | | 1,004,112 | |
| | 64,899 | | | Cytokinetics, Inc.* | | | 1,348,601 | |
| | 11,024 | | | Eagle Pharmaceuticals, Inc.* | | | 513,388 | |
| | 16,410 | | | Enanta Pharmaceuticals, Inc.* | | | 690,861 | |
| | 69,020 | | | Myriad Genetics, Inc.* | | | 1,364,871 | |
| | 27,579 | | | REGENXBIO, Inc.* | | | 1,250,983 | |
| | 136,985 | | | Spectrum Pharmaceuticals, Inc.* | | | 467,119 | |
| | 49,881 | | | Vanda Pharmaceuticals, Inc.* | | | 655,436 | |
| | 53,200 | | | Xencor, Inc.* | | | 2,321,116 | |
| | | | | | | | |
| | | | | | | 9,616,487 | |
| | | | | | | | |
| Building Products (2.1%): | | | |
| | 37,771 | | | AAON, Inc. | | | 2,516,682 | |
| | 15,685 | | | American Woodmark Corp.* | | | 1,472,037 | |
| | 24,064 | | | Apogee Enterprises, Inc. | | | 762,348 | |
| | 30,058 | | | Gibraltar Industries, Inc.* | | | 2,162,373 | |
| | 40,833 | | | Griffon Corp. | | | 832,177 | |
| | 18,137 | | | Insteel Industries, Inc. | | | 403,911 | |
| | 20,194 | | | Patrick Industries, Inc. | | | 1,380,260 | |
| | 54,164 | | | PGT Innovations, Inc.* | | | 1,101,696 | |
| | 30,679 | | | Quanex Building Products Corp. | | | 680,153 | |
| | 129,710 | | | Resideo Technologies, Inc.* | | | 2,757,635 | |
| | 56,519 | | | UFP Industries, Inc. | | | 3,139,629 | |
| | | | | | | | |
| | | | | | | 17,208,901 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets (1.0%): | | | |
| | 45,146 | | | Blucora, Inc.* | | $ | 718,273 | |
| | 55,021 | | | Brightsphere Investment Group, Inc. | | | 1,060,805 | |
| | 27,844 | | | Donnelley Financial Solutions, Inc.* | | | 472,513 | |
| | 13,410 | | | Greenhill & Co., Inc. | | | 162,797 | |
| | 12,730 | | | Piper Jaffray Cos., Inc. | | | 1,284,457 | |
| | 15,306 | | | StoneX Group, Inc.* | | | 886,217 | |
| | 6,557 | | | Virtus Investment Partners, Inc. | | | 1,422,869 | |
| | 57,394 | | | Waddell & Reed Financial, Inc., Class A | | | 1,461,825 | |
| | 105,448 | | | WisdomTree Investments, Inc. | | | 564,147 | |
| | | | | | | | |
| | | | | | | 8,033,903 | |
| | | | | | | | |
| Chemicals (2.9%): | | | |
| | 26,134 | | | AdvanSix, Inc.* | | | 522,419 | |
| | 25,353 | | | American Vanguard Corp. | | | 393,479 | |
| | 29,880 | | | Balchem Corp. | | | 3,442,773 | |
| | 75,782 | | | Ferro Corp.* | | | 1,108,691 | |
| | 23,175 | | | Futurefuel Corp. | | | 294,323 | |
| | 44,170 | | | GCP Applied Technologies, Inc.* | | | 1,044,621 | |
| | 47,903 | | | H.B. Fuller Co. | | | 2,485,208 | |
| | 8,659 | | | Hawkins, Inc. | | | 452,952 | |
| | 22,833 | | | Innospec, Inc. | | | 2,071,638 | |
| | 19,940 | | | Koppers Holdings, Inc.* | | | 621,330 | |
| | 29,863 | | | Kraton Corp.* | | | 829,893 | |
| | 135,158 | | | Livent Corp.*^ | | | 2,546,376 | |
| | 12,194 | | | Quaker Chemical Corp. | | | 3,089,837 | |
| | 58,924 | | | Rayonier Advanced Materials, Inc.* | | | 384,184 | |
| | 19,743 | | | Stepan Co. | | | 2,355,735 | |
| | 23,866 | | | Tredegar Corp. | | | 398,562 | |
| | 35,323 | | | Trinseo SA | | | 1,808,891 | |
| | | | | | | | |
| | | | | | | 23,850,912 | |
| | | | | | | | |
| Commercial Services & Supplies (1.6%): | | | |
| | 61,445 | | | ABM Industries, Inc. | | | 2,325,079 | |
| | 44,852 | | | Brady Corp., Class A | | | 2,369,083 | |
| | 38,159 | | | Deluxe Corp. | | | 1,114,243 | |
| | 52,878 | | | Interface, Inc. | | | 555,219 | |
| | 29,341 | | | Matthews International Corp., Class A | | | 862,625 | |
| | 162,348 | | | Pitney Bowes, Inc. | | | 1,000,064 | |
| | 28,824 | | | Team, Inc.* | | | 314,182 | |
| | 14,063 | | | UniFirst Corp. | | | 2,976,995 | |
| | 28,744 | | | US Ecology, Inc. | | | 1,044,270 | |
| | 19,365 | | | Viad Corp. | | | 700,432 | |
| | | | | | | | |
| | | | | | | 13,262,192 | |
| | | | | | | | |
| Communications Equipment (1.1%): | | | |
| | 44,447 | | | ADTRAN, Inc. | | | 656,482 | |
| | 19,883 | | | Applied Optoelectronics, Inc.*^ | | | 169,204 | |
| | 33,227 | | | CalAmp Corp.* | | | 329,612 | |
| | 22,480 | | | Comtech Telecommunications Corp. | | | 465,111 | |
| | 27,307 | | | Digi International, Inc.* | | | 516,102 | |
| | 111,999 | | | Extreme Networks, Inc.* | | | 771,673 | |
| | 91,372 | | | Harmonic, Inc.* | | | 675,239 | |
| | 27,597 | | | NETGEAR, Inc.* | | | 1,121,266 | |
| | 35,207 | | | Plantronics, Inc. | | | 951,645 | |
| | 212,197 | | | Viavi Solutions, Inc.* | | | 3,177,651 | |
| | | | | | | | |
| | | | | | | 8,833,985 | |
| | | | | | | | |
| Construction & Engineering (0.8%): | | | |
| | 28,029 | | | Aegion Corp.* | | | 532,271 | |
| | 44,597 | | | Arcosa, Inc. | | | 2,449,712 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering, continued | | | |
| | 33,577 | | | Comfort Systems USA, Inc. | | $ | 1,768,165 | |
| | 42,731 | | | Granite Construction, Inc. | | | 1,141,345 | |
| | 15,135 | | | MYR Group, Inc.* | | | 909,614 | |
| | | | | | | | |
| | | | | | | 6,801,107 | |
| | | | | | | | |
| Construction Materials (0.1%): | | | |
| | 14,978 | | | U.S. Concrete, Inc.* | | | 598,671 | |
| | | | | | | | |
| Consumer Finance (0.9%): | | | |
| | 28,528 | | | Encore Capital Group, Inc.* | | | 1,111,166 | |
| | 32,313 | | | Enova International, Inc.* | | | 800,393 | |
| | 46,974 | | | EZCORP, Inc., Class A* | | | 225,005 | |
| | 49,434 | | | Green Dot Corp., Class A* | | | 2,758,417 | |
| | 41,994 | | | PRA Group, Inc.* | | | 1,665,482 | |
| | 3,750 | | | World Acceptance Corp.*^ | | | 383,325 | |
| | | | | | | | |
| | | | | | | 6,943,788 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 32,657 | | | Myers Industries, Inc. | | | 678,612 | |
| | | | | | | | |
| Distributors (0.2%): | | | |
| | 41,040 | | | Core Markt Holdngs Co., Inc. | | | 1,205,345 | |
| | | | | | | | |
| Diversified Consumer Services (0.2%): | | | |
| | 13,711 | | | American Public Education, Inc.* | | | 417,911 | |
| | 62,886 | | | Perdoceo Education Corp.* | | | 794,251 | |
| | 22,891 | | | Regis Corp.* | | | 210,368 | |
| | | | | | | | |
| | | | | | | 1,422,530 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.3%): | | | |
| | 10,418 | | | ATN International, Inc. | | | 435,056 | |
| | 48,041 | | | Cincinnati Bell, Inc.* | | | 734,066 | |
| | 38,858 | | | Cogent Communications Holdings, Inc. | | | 2,326,428 | |
| | 67,426 | | | Consolidated Communications Holdings, Inc.* | | | 329,713 | |
| | 108,183 | | | Iridium Communications, Inc.* | | | 4,254,297 | |
| | 215,768 | | | Vonage Holdings Corp.* | | | 2,778,013 | |
| | | | | | | | |
| | | | | | | 10,857,573 | |
| | | | | | | | |
| Electrical Equipment (0.5%): | | | |
| | 23,955 | | | AZZ, Inc. | | | 1,136,425 | |
| | 19,139 | | | Encore Wire Corp. | | | 1,159,249 | |
| | 8,387 | | | Powell Industries, Inc. | | | 247,333 | |
| | 19,439 | | | Vicor Corp.* | | | 1,792,665 | |
| | | | | | | | |
| | | | | | | 4,335,672 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (3.9%): | | | |
| | 73,925 | | | Arlo Technologies, Inc.* | | | 575,876 | |
| | 26,877 | | | Badger Meter, Inc. | | | 2,528,051 | |
| | 9,688 | | | Bel Fuse, Inc., Class B | | | 145,611 | |
| | 33,860 | | | Benchmark Electronics, Inc. | | | 914,559 | |
| | 29,889 | | | CTS Corp. | | | 1,026,089 | |
| | 31,430 | | | Daktronics, Inc. | | | 147,092 | |
| | 12,451 | | | ePlus, Inc.* | | | 1,095,065 | |
| | 34,103 | | | Fabrinet* | | | 2,646,051 | |
| | 16,429 | | | FARO Technologies, Inc.* | | | 1,160,380 | |
| | 32,402 | | | Insight Enterprises, Inc.* | | | 2,465,468 | |
| | 37,266 | | | Itron, Inc.* | | | 3,573,810 | |
| | 84,557 | | | Knowles Corp.* | | | 1,558,386 | |
| | 4,478 | | | Mesa Labs, Inc. | | | 1,283,574 | |
| | 34,422 | | | Methode Electronics, Inc., Class A | | | 1,317,674 | |
| | 17,583 | | | MTS Systems Corp. | | | 1,022,627 | |
| | 15,374 | | | OSI Systems, Inc.* | | | 1,433,164 | |
| | 10,347 | | | PC Connection, Inc. | | | 489,310 | |
See accompanying notes to the financial statements.
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 26,673 | | | Plexus Corp.* | | $ | 2,086,095 | |
| | 17,272 | | | Rogers Corp.* | | | 2,682,169 | |
| | 60,171 | | | Sanmina Corp.* | | | 1,918,853 | |
| | 23,919 | | | ScanSource, Inc.* | | | 630,983 | |
| | 90,719 | | | TTM Technologies, Inc.* | | | 1,251,469 | |
| | | | | | | | |
| | | | | | | 31,952,356 | |
| | | | | | | | |
| Energy Equipment & Services (1.4%): | | | |
| | 117,308 | | | Archrock, Inc. | | | 1,015,887 | |
| | 21,529 | | | Bristow Group, Inc.* | | | 566,643 | |
| | 40,738 | | | Core Laboratories NV | | | 1,079,964 | |
| | 32,021 | | | Dril-Quip, Inc.* | | | 948,462 | |
| | 22,565 | | | Exterran Corp.* | | | 99,737 | |
| | 131,324 | | | Helix Energy Solutions Group, Inc.* | | | 551,561 | |
| | 99,263 | | | Helmerich & Payne, Inc. | | | 2,298,930 | |
| | 24,679 | | | Matrix Service Co.* | | | 271,963 | |
| | 5,729 | | | Nabors Industries, Ltd.*^ | | | 333,600 | |
| | 90,049 | | | Oceaneering International, Inc.* | | | 715,890 | |
| | 58,144 | | | Oil States International, Inc.* | | | 291,883 | |
| | 170,588 | | | Patterson-UTI Energy, Inc. | | | 897,293 | |
| | 76,089 | | | Propetro Holding Corp.* | | | 562,298 | |
| | 55,760 | | | RPC, Inc.* | | | 175,644 | |
| | 17,766 | | | SEACOR Holdings, Inc.* | | | 736,401 | |
| | 69,274 | | | U.S. Silica Holdings, Inc.* | | | 486,303 | |
| | | | | | | | |
| | | | | | | 11,032,459 | |
| | | | | | | | |
| Entertainment (0.2%): | | | |
| | 135,980 | | | Glu Mobile, Inc.* | | | 1,225,179 | |
| | 21,795 | | | Marcus Corp. | | | 293,797 | |
| | | | | | | | |
| | | | | | | 1,518,976 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (7.1%): | | | |
| | 80,910 | | | Acadia Realty Trust | | | 1,148,113 | |
| | 51,034 | | | Agree Realty Corp.^ | | | 3,397,843 | |
| | 66,308 | | | Alexander & Baldwin, Inc. | | | 1,139,171 | |
| | 46,302 | | | American Assets Trust, Inc. | | | 1,337,202 | |
| | 52,553 | | | Armada Hoffler Properties, Inc. | | | 589,645 | |
| | 157,481 | | | Brandywine Realty Trust | | | 1,875,599 | |
| | 88,406 | | | CareTrust REIT, Inc. | | | 1,960,845 | |
| | 12,102 | | | Centerspace | | | 854,885 | |
| | 44,208 | | | Chatham Lodging Trust | | | 477,446 | |
| | 20,001 | | | Community Healthcare Trust, Inc. | | | 942,247 | |
| | 111,316 | | | CoreCivic, Inc. | | | 729,120 | |
| | 184,398 | | | DiamondRock Hospitality Co.* | | | 1,521,284 | |
| | 222,904 | | | Diversified Healthcare Trust | | | 918,364 | |
| | 74,403 | | | Easterly Government Properties, Inc. | | | 1,685,228 | |
| | 67,824 | | | Four Corners Property Trust, Inc. | | | 2,019,120 | |
| | 91,877 | | | Franklin Street Properties Corp. | | | 401,502 | |
| | 115,046 | | | GEO Group, Inc. (The)^ | | | 1,019,308 | |
| | 33,316 | | | Getty Realty Corp. | | | 917,523 | |
| | 82,296 | | | Global Net Lease, Inc. | | | 1,410,553 | |
| | 34,803 | | | Hersha Hospitality Trust | | | 274,596 | |
| | 88,209 | | | Independence Realty Trust, Inc. | | | 1,184,647 | |
| | 60,357 | | | Industrial Logistics Properties Trust | | | 1,405,715 | |
| | 20,451 | | | Innovative Industrial Properties, Inc. | | | 3,745,191 | |
| | 68,127 | | | iStar, Inc.^ | | | 1,011,686 | |
| | 77,386 | | | Kite Realty Group Trust | | | 1,157,695 | |
| | 256,006 | | | Lexington Realty Trust | | | 2,718,783 | |
| | 36,312 | | | LTC Properties, Inc. | | | 1,412,900 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 80,620 | | | Mack-Cali Realty Corp. | | $ | 1,004,525 | |
| | 57,204 | | | National Storage Affiliates | | | 2,061,060 | |
| | 20,573 | | | NexPoint Residential Trust, Inc. | | | 870,444 | |
| | 43,945 | | | Office Properties Income Trust | | | 998,430 | |
| | 109,286 | | | Retail Opportunity Investments Corp. | | | 1,463,340 | |
| | 197,418 | | | Retail Properties of America, Inc., Class A | | | 1,689,898 | |
| | 73,200 | | | Rpt Realty | | | 633,180 | |
| | 13,356 | | | Safehold, Inc.^ | | | 968,176 | |
| | 11,755 | | | Saul Centers, Inc. | | | 372,398 | |
| | 139,443 | | | SITE Centers Corp. | | | 1,411,163 | |
| | 99,473 | | | Summit Hotel Properties, Inc. | | | 896,252 | |
| | 87,304 | | | Tanger Factory Outlet Centers, Inc.^ | | | 869,548 | |
| | 214,938 | | | Uniti Group, Inc. | | | 2,521,223 | |
| | 12,037 | | | Universal Health Realty Income Trust | | | 773,618 | |
| | 27,927 | | | Urstadt Biddle Properties, Inc., Class A | | | 394,609 | |
| | 75,912 | | | Washington Real Estate | | | 1,641,977 | |
| | 37,205 | | | Whitestone REIT | | | 296,524 | |
| | 104,988 | | | Xenia Hotels & Resorts, Inc. | | | 1,595,818 | |
| | | | | | | | |
| | | | | | | 57,718,394 | |
| | | | | | | | |
| Food & Staples Retailing (0.6%): | | | |
| | 21,465 | | | PriceSmart, Inc. | | | 1,955,247 | |
| | 33,501 | | | SpartanNash Co. | | | 583,252 | |
| | 28,669 | | | The Andersons, Inc. | | | 702,677 | |
| | 29,485 | | | The Chefs’ Warehouse, Inc.* | | | 757,470 | |
| | 52,341 | | | United Natural Foods, Inc.* | | | 835,886 | |
| | | | | | | | |
| | | | | | | 4,834,532 | |
| | | | | | | | |
| Food Products (1.3%): | | | |
| | 59,202 | | | B&G Foods, Inc.^ | | | 1,641,671 | |
| | 15,249 | | | Calavo Growers, Inc. | | | 1,058,738 | |
| | 34,933 | | | Cal-Maine Foods, Inc.* | | | 1,311,385 | |
| | 28,195 | | | Fresh Del Monte Produce, Inc. | | | 678,654 | |
| | 13,895 | | | J & J Snack Foods Corp. | | | 2,158,866 | |
| | 8,376 | | | John B Sanfilippo And Son, Inc. | | | 660,531 | |
| | 6,187 | | | Seneca Foods Corp., Class A* | | | 246,861 | |
| | 77,950 | | | Simply Good Foods Co. (The)* | | | 2,444,513 | |
| | | | | | | | |
| | | | | | | 10,201,219 | |
| | | | | | | | |
| Gas Utilities (0.6%): | | | |
| | 16,290 | | | Chesapeake Utilities Corp. | | | 1,762,741 | |
| | 28,241 | | | Northwest Natural Holding Co. | | | 1,298,804 | |
| | 93,073 | | | South Jersey Industries, Inc. | | | 2,005,723 | |
| | | | | | | | |
| | | | | | | 5,067,268 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.9%): | | | |
| | 35,694 | | | AngioDynamics, Inc.* | | | 547,189 | |
| | 13,435 | | | Anika Therapeutics, Inc.* | | | 608,068 | |
| | 36,999 | | | Cardiovascular Systems, Inc.* | | | 1,619,076 | |
| | 26,403 | | | CONMED Corp. | | | 2,957,136 | |
| | 36,119 | | | CryoLife, Inc.* | | | 852,770 | |
| | 16,642 | | | Cutera, Inc.* | | | 401,239 | |
| | 41,485 | | | Glaukos Corp.* | | | 3,122,161 | |
| | 8,137 | | | Heska Corp.* | | | 1,185,154 | |
| | 17,167 | | | Inogen, Inc.* | | | 767,022 | |
| | 30,334 | | | Integer Holdings Corp.* | | | 2,462,817 | |
| | 32,157 | | | Invacare Corp. | | | 287,805 | |
| | 62,422 | | | Lantheus Holdings, Inc.* | | | 842,073 | |
| | 15,540 | | | LeMaitre Vascular, Inc. | | | 629,370 | |
| | 39,942 | | | Meridian Bioscience, Inc.* | | | 746,516 | |
See accompanying notes to the financial statements.
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 45,093 | | | Merit Medical Systems, Inc.* | | $ | 2,503,112 | |
| | 31,519 | | | Natus Medical, Inc.* | | | 631,641 | |
| | 67,275 | | | OraSure Technologies, Inc.* | | | 712,106 | |
| | 17,683 | | | Orthofix Medical, Inc.* | | | 760,015 | |
| | 12,986 | | | Surmodics, Inc.* | | | 565,151 | |
| | 18,166 | | | Tactile Systems Technology, Inc.* | | | 816,380 | |
| | 36,797 | | | Varex Imaging Corp.* | | | 613,774 | |
| | 17,866 | | | Zynex, Inc.*^ | | | 240,476 | |
| | | | | | | | |
| | | | | | | 23,871,051 | |
| | | | | | | | |
| Health Care Providers & Services (4.0%): | | | |
| | 13,805 | | | Addus HomeCare Corp.* | | | 1,616,427 | |
| | 43,398 | | | AMN Healthcare Services, Inc.* | | | 2,961,914 | |
| | 31,565 | | | BioTelemetry, Inc.* | | | 2,275,205 | |
| | 102,044 | | | Community Health Systems, Inc.* | | | 758,187 | |
| | 8,532 | | | CorVel Corp.* | | | 904,392 | |
| | 91,446 | | | Covetrus, Inc.* | | | 2,628,158 | |
| | 32,892 | | | Cross Country Healthcare, Inc.* | | | 291,752 | |
| | 47,103 | | | Ensign Group, Inc. (The) | | | 3,434,751 | |
| | 12,184 | | | Fulgent Genetics, Inc.*^ | | | 634,786 | |
| | 35,845 | | | Hanger, Inc.* | | | 788,232 | |
| | 20,818 | | | Magellan Health, Inc.* | | | 1,724,563 | |
| | 78,863 | | | MEDNAX, Inc.* | | | 1,935,298 | |
| | 67,751 | | | Owens & Minor, Inc. | | | 1,832,665 | |
| | 11,329 | | | Providence Service Corp.* | | | 1,570,539 | |
| | 107,586 | | | R1 RCM, Inc.* | | | 2,584,216 | |
| | 39,958 | | | RadNet, Inc.* | | | 781,978 | |
| | 99,441 | | | Select Medical Holdings Corp.* | | | 2,750,538 | |
| | 23,322 | | | The Pennant Group, Inc.* | | | 1,354,075 | |
| | 35,180 | | | Tivity Health, Inc.* | | | 689,176 | |
| | 11,841 | | | U.S. Physical Therapy, Inc. | | | 1,423,880 | |
| | | | | | | | |
| | | | | | | 32,940,732 | |
| | | | | | | | |
| Health Care Technology (1.7%): | | | |
| | 145,636 | | | Allscripts Healthcare Solutions, Inc.* | | | 2,102,984 | |
| | 11,912 | | | Computer Programs & Systems, Inc. | | | 319,718 | |
| | 22,695 | | | HealthStream, Inc.* | | | 495,659 | |
| | 81,767 | | | HMS Holdings Corp.* | | | 3,004,937 | |
| | 51,885 | | | NextGen Healthcare, Inc.* | | | 946,382 | |
| | 39,017 | | | Omnicell, Inc.* | | | 4,682,821 | |
| | 13,890 | | | Simulations Plus, Inc. | | | 998,969 | |
| | 20,268 | | | Tabula Rasa Healthcare, Inc.*^ | | | 868,281 | |
| | | | | | | | |
| | | | | | | 13,419,751 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.7%): | | | |
| | 20,996 | | | BJ’s Restaurants, Inc. | | | 808,136 | |
| | 73,387 | | | Bloomin’ Brands, Inc. | | | 1,425,176 | |
| | 41,812 | | | Brinker International, Inc. | | | 2,365,305 | |
| | 38,700 | | | Cheesecake Factory, Inc. (The)^ | | | 1,434,222 | |
| | 18,616 | | | Chuy’s Holdings, Inc.* | | | 493,138 | |
| | 43,543 | | | Dave & Buster’s Entertainment, Inc.^ | | | 1,307,161 | |
| | 15,377 | | | Dine Brands Global, Inc. | | | 891,866 | |
| | 17,611 | | | El Pollo Loco Holdings, Inc.* | | | 318,759 | |
| | 16,170 | | | Fiesta Restaurant Group, Inc.* | | | 184,338 | |
| | 11,830 | | | Monarch Casino & Resort, Inc.* | | | 724,233 | |
| | 14,752 | | | Red Robin Gourmet Burgers* | | | 283,681 | |
| | 30,111 | | | Ruth’s Hospitality Group, Inc. | | | 533,868 | |
| | 32,871 | | | Shake Shack, Inc., Class A* | | | 2,786,802 | |
| | | | | | | | |
| | | | | | | 13,556,685 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables (2.4%): | | | |
| | 7,868 | | | Cavco Industries, Inc.* | | $ | 1,380,441 | |
| | 26,413 | | | Century Communities, Inc.* | | | 1,156,361 | |
| | 20,166 | | | Ethan Allen Interiors, Inc. | | | 407,555 | |
| | 20,939 | | | Installed Building Products, Inc.* | | | 2,134,312 | |
| | 25,969 | | | iRobot Corp.*^ | | | 2,085,051 | |
| | 42,111 | | | La-Z-Boy, Inc. | | | 1,677,702 | |
| | 20,442 | | | LGI Homes, Inc.* | | | 2,163,786 | |
| | 26,429 | | | M/I Homes, Inc.* | | | 1,170,540 | |
| | 46,994 | | | MDC Holdings, Inc. | | | 2,283,908 | |
| | 34,791 | | | Meritage Homes Corp.* | | | 2,881,391 | |
| | 45,222 | | | Tupperware Brands Corp.* | | | 1,464,741 | |
| | 12,850 | | | Universal Electronics, Inc.* | | | 674,111 | |
| | | | | | | | |
| | | | | | | 19,479,899 | |
| | | | | | | | |
| Household Products (0.6%): | | | |
| | 9,343 | | | Central Garden & Pet Co.* | | | 360,733 | |
| | 35,257 | | | Central Garden & Pet Co., Class A* | | | 1,280,887 | |
| | 12,627 | | | WD-40 Co. | | | 3,354,741 | |
| | | | | | | | |
| | | | | | | 4,996,361 | |
| | | | | | | | |
| Industrial Conglomerates (0.1%): | | | |
| | 32,833 | | | Raven Industries, Inc. | | | 1,086,444 | |
| | | | | | | | |
| Insurance (2.8%): | | | |
| | 42,229 | | | AMBAC Financial Group, Inc.* | | | 649,482 | |
| | 85,103 | | | American Equity Investment Life Holding Co. | | | 2,353,949 | |
| | 18,743 | | | Amerisafe, Inc. | | | 1,076,410 | |
| | 50,427 | | | Assured Guaranty, Ltd. | | | 1,587,946 | |
| | 23,959 | | | eHealth, Inc.* | | | 1,691,745 | |
| | 28,038 | | | Employers Holdings, Inc. | | | 902,543 | |
| | 11,676 | | | Fidelity National Financial, Inc. | | | 456,415 | |
| | 6,072 | | | HCI Group, Inc. | | | 317,566 | |
| | 39,313 | | | Horace Mann Educators Corp. | | | 1,652,719 | |
| | 28,380 | | | James River Group Holdings | | | 1,394,877 | |
| | 20,081 | | | Palomar Holdings, Inc.* | | | 1,783,996 | |
| | 51,112 | | | ProAssurance Corp. | | | 909,282 | |
| | 13,579 | | | Safety Insurance Group, Inc. | | | 1,057,804 | |
| | 24,844 | | | Stewart Information Services Corp. | | | 1,201,456 | |
| | 78,927 | | | Third Point Reinsurance, Ltd.* | | | 751,385 | |
| | 30,244 | | | Trupanion, Inc.* | | | 3,620,510 | |
| | 21,369 | | | United Fire Group, Inc. | | | 536,362 | |
| | 21,377 | | | United Insurance Holdings Co. | | | 122,276 | |
| | 27,683 | | | Universal Insurance Holdings, Inc. | | | 418,290 | |
| | | | | | | | |
| | | | | | | 22,485,013 | |
| | | | | | | | |
| Interactive Media & Services (0.1%): | | | |
| | 45,494 | | | QuinStreet, Inc.* | | | 975,391 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.7%): | | | |
| | 24,384 | | | Liquidity Services, Inc.* | | | 387,949 | |
| | 18,306 | | | PetMed Express, Inc.^ | | | 586,890 | |
| | 20,299 | | | Shutterstock, Inc. | | | 1,455,438 | |
| | 16,825 | | | Stamps.com, Inc.* | | | 3,300,898 | |
| | | | | | | | |
| | | | | | | 5,731,175 | |
| | | | | | | | |
| IT Services (2.2%): | | | |
| | 32,540 | | | Cardtronics plc* | | | 1,148,662 | |
| | 30,091 | | | CSG Systems International, Inc. | | | 1,356,201 | |
| | 54,909 | | | Evertec, Inc. | | | 2,159,022 | |
| | 31,244 | | | Exlservice Holdings, Inc.* | | | 2,659,802 | |
| | 25,103 | | | ManTech International Corp., Class A | | | 2,232,661 | |
See accompanying notes to the financial statements.
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 61,352 | | | NIC, Inc. | | $ | 1,584,722 | |
| | 30,551 | | | Perficient, Inc.* | | | 1,455,755 | |
| | 36,348 | | | Sykes Enterprises, Inc.* | | | 1,369,229 | |
| | 16,657 | | | TTEC Holdings, Inc. | | | 1,214,795 | |
| | 57,685 | | | Unisys Corp.* | | | 1,135,241 | |
| | 26,114 | | | Virtusa Corp.* | | | 1,335,209 | |
| | | | | | | | |
| | | | | | | 17,651,299 | |
| | | | | | | | |
| Leisure Products (1.1%): | | | |
| | 86,831 | | | Callaway Golf Co. | | | 2,084,812 | |
| | 15,979 | | | Sturm, Ruger & Co., Inc. | | | 1,039,754 | |
| | 53,391 | | | Vista Outdoor, Inc.* | | | 1,268,570 | |
| | 69,057 | | | YETI Holdings, Inc.* | | | 4,728,333 | |
| | | | | | | | |
| | | | | | | 9,121,469 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.8%): | | | |
| | 39,387 | | | Luminex Corp. | | | 910,627 | |
| | 102,378 | | | Neogenomics, Inc.* | | | 5,512,032 | |
| | | | | | | | |
| | | | | | | 6,422,659 | |
| | | | | | | | |
| Machinery (6.1%): | | | |
| | 9,195 | | | Alamo Group, Inc. | | | 1,268,450 | |
| | 28,441 | | | Albany International Corp., Class A | | | 2,088,138 | |
| | 20,681 | | | Astec Industries, Inc. | | | 1,197,016 | |
| | 43,176 | | | Barnes Group, Inc. | | | 2,188,591 | |
| | 32,592 | | | Chart Industries, Inc.* | | | 3,839,013 | |
| | 18,799 | | | CIRCOR International, Inc.* | | | 722,634 | |
| | 13,849 | | | DMC Global, Inc. | | | 598,969 | |
| | 54,804 | | | Enerpac Tool Group Corp. | | | 1,239,118 | |
| | 18,967 | | | EnPro Industries, Inc. | | | 1,432,388 | |
| | 24,099 | | | ESCO Technologies, Inc. | | | 2,487,499 | |
| | 55,847 | | | Federal Signal Corp. | | | 1,852,445 | |
| | 35,504 | | | Franklin Electric Co., Inc. | | | 2,457,232 | |
| | 72,504 | | | Harsco Corp.* | | | 1,303,622 | |
| | 69,034 | | | Hillenbrand, Inc. | | | 2,747,553 | |
| | 29,297 | | | John Bean Technologies Corp. | | | 3,336,049 | |
| | 9,946 | | | Lindsay Corp. | | | 1,277,663 | |
| | 15,667 | | | Lydall, Inc.* | | | 470,480 | |
| | 66,769 | | | Meritor, Inc.* | | | 1,863,523 | |
| | 52,493 | | | Mueller Industries, Inc. | | | 1,843,029 | |
| | 24,698 | | | Proto Labs, Inc.* | | | 3,788,674 | |
| | 41,385 | | | SPX Corp.* | | | 2,257,138 | |
| | 39,020 | | | SPX FLOW, Inc.* | | | 2,261,599 | |
| | 11,754 | | | Standex International Corp. | | | 911,170 | |
| | 16,960 | | | Tennant Co. | | | 1,190,083 | |
| | 30,599 | | | The Greenbrier Cos., Inc. | | | 1,113,192 | |
| | 45,693 | | | Titan International, Inc. | | | 222,068 | |
| | 49,666 | | | Wabash National Corp. | | | 855,745 | |
| | 25,463 | | | Watts Water Technologies, Inc., Class A | | | 3,098,847 | |
| | | | | | | | |
| | | | | | | 49,911,928 | |
| | | | | | | | |
| Marine (0.3%): | | | |
| | 39,768 | | | Matson, Inc. | | | 2,265,583 | |
| | | | | | | | |
| Media (0.6%): | | | |
| | 27,943 | | | AMC Networks, Inc., Class A*^ | | | 999,521 | |
| | 51,788 | | | E.W. Scripps Co. (The), Class A | | | 791,839 | |
| | 122,964 | | | Gannett Co, Inc.* | | | 413,159 | |
| | 37,699 | | | Meredith Corp. | | | 723,821 | |
| | 27,241 | | | Scholastic Corp. | | | 681,025 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 21,594 | | | TechTarget, Inc.* | | $ | 1,276,421 | |
| | | | | | | | |
| | | | | | | 4,885,786 | |
| | | | | | | | |
| Metals & Mining (2.0%): | | | |
| | 116,969 | | | Allegheny Technologies, Inc.* | | | 1,961,570 | |
| | 89,652 | | | Arconic Corp.* | | | 2,671,630 | |
| | 44,103 | | | Carpenter Technology Corp. | | | 1,284,279 | |
| | 46,669 | | | Century Aluminum Co.* | | | 514,759 | |
| | 368,523 | | | Cleveland-Cliffs, Inc.^ | | | 5,365,694 | |
| | 11,482 | | | Haynes International, Inc. | | | 273,731 | |
| | 14,422 | | | Kaiser Aluminum Corp. | | | 1,426,336 | |
| | 18,723 | | | Materion Corp. | | | 1,193,030 | |
| | 8,238 | | | Olympic Steel, Inc. | | | 109,813 | |
| | 76,426 | | | SunCoke Energy, Inc. | | | 332,453 | |
| | 35,974 | | | TimkenSteel Corp.* | | | 167,999 | |
| | 46,626 | | | Warrior Met Coal, Inc. | | | 994,066 | |
| | | | | | | | |
| | | | | | | 16,295,360 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (1.0%): | | | |
| | 118,671 | | | Apollo Commercial Real Estate Finance, Inc. | | | 1,325,555 | |
| | 59,968 | | | Armour Residential REIT, Inc. | | | 647,055 | |
| | 84,829 | | | Capstead Mortgage Corp. | | | 492,856 | |
| | 51,868 | | | Granite Point Mortgage Trust, Inc. | | | 518,161 | |
| | 170,049 | | | Invesco Mortgage Capital, Inc.^ | | | 574,766 | |
| | 25,102 | | | KKR Real Estate Finance Trust, Inc. | | | 449,828 | |
| | 346,597 | | | New York Mortgage Trust, Inc. | | | 1,278,943 | |
| | 91,225 | | | Pennymac Mortgage Investment Trust | | | 1,604,647 | |
| | 38,118 | | | Ready Capital Corp. | | | 474,569 | |
| | 102,020 | | | Redwood Trust, Inc. | | | 895,736 | |
| | | | | | | | |
| | | | | | | 8,262,116 | |
| | | | | | | | |
| Multiline Retail (0.6%): | | | |
| | 32,715 | | | Big Lots, Inc. | | | 1,404,455 | |
| | 286,465 | | | Macy’s, Inc.^ | | | 3,222,731 | |
| | | | | | | | |
| | | | | | | 4,627,186 | |
| | | | | | | | |
| Multi-Utilities (0.3%): | | | |
| | 63,593 | | | Avista Corp. | | | 2,552,623 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.7%): | | | |
| | 17,070 | | | Bonanza Creek Energy, Inc.* | | | 329,963 | |
| | 37,349 | | | Callon Petroleum Co.*^ | | | 491,513 | |
| | 24,208 | | | CONSOL Energy, Inc.* | | | 174,540 | |
| | 30,774 | | | Dorian LPG, Ltd.* | | | 375,135 | |
| | 31,508 | | | Green Plains, Inc.* | | | 414,960 | |
| | 8,241 | | | Laredo Petroleum, Inc.* | | | 162,348 | |
| | 100,507 | | | Matador Resources Co.* | | | 1,212,114 | |
| | 37,632 | | | PAR Pacific Holdings, Inc.* | | | 526,095 | |
| | 90,439 | | | PBF Energy, Inc., Class A | | | 642,117 | |
| | 91,579 | | | PDC Energy, Inc.* | | | 1,880,117 | |
| | 14,566 | | | Penn Virginia Corp.* | | | 147,845 | |
| | 226,431 | | | QEP Resources, Inc. | | | 541,170 | |
| | 235,616 | | | Range Resources Corp.* | | | 1,578,627 | |
| | 36,288 | | | Renewable Energy Group, Inc.* | | | 2,569,917 | |
| | 4,995 | | | REX American Resources Corp.* | | | 366,983 | |
| | 100,515 | | | SM Energy Co. | | | 615,152 | |
| | 594,827 | | | Southwestern Energy Co.* | | | 1,772,584 | |
| | 22,205 | | | Talos Energy, Inc.* | | | 182,969 | |
| | | | | | | | |
| | | | | | | 13,984,149 | |
| | | | | | | | |
See accompanying notes to the financial statements.
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Paper & Forest Products (0.7%): | | | |
| | 36,052 | | | Boise Cascade Co. | | $ | 1,723,285 | |
| | 15,462 | | | Clearwater Paper Corp.* | | | 583,691 | |
| | 41,119 | | | Glatfelter Corp. | | | 673,529 | |
| | 36,931 | | | Mercer International, Inc. | | | 378,543 | |
| | 15,355 | | | Neenah, Inc. | | | 849,439 | |
| | 28,645 | | | Schweitzer-Mauduit International, Inc. | | | 1,151,815 | |
| | | | | | | | |
| | | | | | | 5,360,302 | |
| | | | | | | | |
| Personal Products (0.5%): | | | |
| | 16,221 | | | Inter Parfums, Inc. | | | 981,208 | |
| | 10,871 | | | Medifast, Inc. | | | 2,134,412 | |
| | 10,969 | | | Usana Health Sciences, Inc.* | | | 845,710 | |
| | | | | | | | |
| | | | | | | 3,961,330 | |
| | | | | | | | |
| Pharmaceuticals (1.2%): | | | |
| | 33,900 | | | Amphastar Pharmaceuticals, Inc.* | | | 681,729 | |
| | 9,121 | | | ANI Pharmaceuticals, Inc.* | | | 264,874 | |
| | 96,424 | | | Corcept Therapeutics, Inc.* | | | 2,522,453 | |
| | 210,753 | | | Endo International plc* | | | 1,513,207 | |
| | 57,859 | | | Innoviva, Inc.* | | | 716,873 | |
| | 32,243 | | | Lannett Co., Inc.* | | | 210,224 | |
| | 40,154 | | | Pacira BioSciences, Inc.* | | | 2,402,815 | |
| | 19,074 | | | Phibro Animal Health Corp., Class A | | | 370,417 | |
| | 48,245 | | | Supernus Pharmaceuticals, Inc.* | | | 1,213,844 | |
| | | | | | | | |
| | | | | | | 9,896,436 | |
| | | | | | | | |
| Professional Services (1.1%): | | | |
| | 47,637 | | | Exponent, Inc. | | | 4,288,759 | |
| | 10,182 | | | Forrester Research, Inc.* | | | 426,626 | |
| | 18,217 | | | Heidrick & Struggles International, Inc. | | | 535,215 | |
| | 31,006 | | | Kelly Services, Inc., Class A | | | 637,793 | |
| | 50,101 | | | Korn Ferry | | | 2,179,394 | |
| | 28,171 | | | Resources Connection, Inc. | | | 354,109 | |
| | 33,250 | | | Trueblue, Inc.* | | | 621,443 | |
| | | | | | | | |
| | | | | | | 9,043,339 | |
| | | | | | | | |
| Real Estate Management & Development (0.8%): | | | |
| | 96,789 | | | Essential Properties Realty Trust, Inc. | | | 2,051,928 | |
| | 22,588 | | | Marcus & Millichap, Inc.* | | | 840,951 | |
| | 17,371 | | | RE/MAX Holdings, Inc., Class A | | | 631,088 | |
| | 106,234 | | | Realogy Holdings Corp.* | | | 1,393,790 | |
| | 28,574 | | | The St Joe Co. | | | 1,212,966 | |
| | | | | | | | |
| | | | | | | 6,130,723 | |
| | | | | | | | |
| Road & Rail (0.9%): | | | |
| | 23,692 | | | ArcBest Corp. | | | 1,010,938 | |
| | 45,073 | | | Heartland Express, Inc. | | | 815,821 | |
| | 54,743 | | | Marten Transport, Ltd. | | | 943,222 | |
| | 24,148 | | | Saia, Inc.* | | | 4,365,958 | |
| | | | | | | | |
| | | | | | | 7,135,939 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (4.2%): | | | |
| | 35,357 | | | Advanced Energy Industries, Inc.* | | | 3,428,568 | |
| | 31,368 | | | Axcelis Technologies, Inc.* | | | 913,436 | |
| | 68,234 | | | Brooks Automation, Inc. | | | 4,629,678 | |
| | 20,705 | | | CEVA, Inc.* | | | 942,078 | |
| | 38,678 | | | Cohu, Inc. | | | 1,476,726 | |
| | 38,982 | | | Diodes, Inc.* | | | 2,748,231 | |
| | 19,708 | | | DSP Group, Inc.* | | | 326,956 | |
| | 71,467 | | | FormFactor, Inc.* | | | 3,074,510 | |
| | 21,657 | | | Ichor Holdings, Ltd.* | | | 652,850 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 57,184 | | | Kulicke & Soffa Industries, Inc. | | $ | 1,819,023 | |
| | 62,356 | | | MaxLinear, Inc., Class A* | | | 2,381,376 | |
| | 44,999 | | | Onto Innovation, Inc.* | | | 2,139,702 | |
| | 27,353 | | | PDF Solutions, Inc.* | | | 590,825 | |
| | 59,709 | | | Photronics, Inc.* | | | 666,352 | |
| | 55,267 | | | Power Integrations, Inc. | | | 4,524,157 | |
| | 104,814 | | | Rambus, Inc.* | | | 1,830,052 | |
| | 13,045 | | | SMART Global Holdings, Inc.* | | | 490,883 | |
| | 36,984 | | | Ultra Clean Holdings, Inc.* | | | 1,152,052 | |
| | 45,095 | | | Veeco Instruments, Inc.* | | | 782,849 | |
| | | | | | | | |
| | | | | | | 34,570,304 | |
| | | | | | | | |
| Software (3.1%): | | | |
| | 98,096 | | | 8x8, Inc.* | | | 3,381,369 | |
| | 18,907 | | | Agilysys, Inc.* | | | 725,651 | |
| | 41,239 | | | Alarm.com Holding, Inc.* | | | 4,266,174 | |
| | 36,136 | | | Bottomline Technologies, Inc.* | | | 1,905,813 | |
| | 22,043 | | | Ebix, Inc. | | | 836,973 | |
| | 57,424 | | | LivePerson, Inc.* | | | 3,573,495 | |
| | 6,696 | | | MicroStrategy, Inc., Class A* | | | 2,601,731 | |
| | 31,912 | | | OneSpan, Inc.* | | | 659,940 | |
| | 41,474 | | | Progress Software Corp. | | | 1,874,210 | |
| | 32,662 | | | Sps Commerce, Inc.* | | | 3,546,767 | |
| | 97,568 | | | Xperi Holding Corp. | | | 2,039,171 | |
| | | | | | | | |
| | | | | | | 25,411,294 | |
| | | | | | | | |
| Specialty Retail (3.7%): | | | |
| | 31,490 | | | Aaron’s Co., Inc. (The)* | | | 597,050 | |
| | 56,892 | | | Abercrombie & Fitch Co., Class A | | | 1,158,321 | |
| | 5,761 | | | America’s Car Mart, Inc.* | | | 632,788 | |
| | 17,774 | | | Asbury Automotive Group, Inc.* | | | 2,590,384 | |
| | 28,130 | | | Barnes & Noble Education, Inc.* | | | 130,805 | |
| | 116,352 | | | Bed Bath & Beyond, Inc.^ | | | 2,066,412 | |
| | 26,559 | | | Boot Barn Holdings, Inc.* | | | 1,151,598 | |
| | 35,567 | | | Caleres, Inc. | | | 556,624 | |
| | 18,565 | | | Cato Corp., Class A | | | 178,038 | |
| | 112,898 | | | Chico’s FAS, Inc. | | | 179,508 | |
| | 17,913 | | | Conn’s, Inc.* | | | 209,403 | |
| | 56,060 | | | Designer Brands, Inc., Class A | | | 428,859 | |
| | 49,701 | | | GameStop Corp., Class A*^ | | | 936,367 | |
| | 13,504 | | | Genesco, Inc.* | | | 406,335 | |
| | 15,850 | | | Group 1 Automotive, Inc. | | | 2,078,569 | |
| | 35,123 | | | Guess?, Inc. | | | 794,482 | |
| | 15,739 | | | Haverty Furniture Cos., Inc. | | | 435,498 | |
| | 15,395 | | | Hibbett Sports, Inc.* | | | 710,941 | |
| | 26,884 | | | Lumber Liquidators Holdings, Inc.* | | | 826,414 | |
| | 20,467 | | | MarineMax, Inc.* | | | 716,959 | |
| | 69,024 | | | Michaels Cos., Inc. (The)*^ | | | 898,002 | |
| | 30,574 | | | Monro, Inc. | | | 1,629,594 | |
| | 48,168 | | | ODP Corp. (The)* | | | 1,411,322 | |
| | 44,717 | | | Rent-A-Center, Inc. | | | 1,712,214 | |
| | 103,555 | | | Sally Beauty Holdings, Inc.* | | | 1,350,357 | |
| | 8,137 | | | Shoe Carnival, Inc. | | | 318,808 | |
| | 47,982 | | | Signet Jewelers, Ltd. | | | 1,308,469 | |
| | 25,614 | | | Sleep Number Corp.* | | | 2,096,763 | |
| | 22,271 | | | Sonic Automotive, Inc., Class A | | | 858,992 | |
| | 26,025 | | | The Buckle, Inc.^ | | | 759,930 | |
| | 13,758 | | | The Children’s Place, Inc.*^ | | | 689,276 | |
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail, continued | | | |
| | 19,530 | | | Zumiez, Inc.* | | $ | 718,313 | |
| | | | | | | | |
| | | | | | | 30,537,395 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.2%): | | | |
| | 113,966 | | | 3D Systems Corp.*^ | | | 1,194,363 | |
| | 72,530 | | | Diebold Nixdorf, Inc.* | | | 773,170 | |
| | | | | | | | |
| | | | | | | 1,967,533 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (2.4%): | | | |
| | 139,078 | | | Capri Holdings, Ltd.* | | | 5,841,276 | |
| | 62,289 | | | Crocs, Inc.* | | | 3,903,028 | |
| | 43,582 | | | Fossil Group, Inc.* | | | 377,856 | |
| | 40,606 | | | G-III Apparel Group, Ltd.* | | | 963,986 | |
| | 43,229 | | | Kontoor Brands, Inc. | | | 1,753,368 | |
| | 15,443 | | | Movado Group, Inc.* | | | 256,663 | |
| | 15,816 | | | Oxford Industries, Inc. | | | 1,036,106 | |
| | 71,558 | | | Steven Madden, Ltd. | | | 2,527,429 | |
| | 14,271 | | | Unifi, Inc.* | | | 253,168 | |
| | 20,935 | | | Vera Bradley, Inc.* | | | 166,643 | |
| | 75,833 | | | Wolverine World Wide, Inc. | | | 2,369,781 | |
| | | | | | | | |
| | | | | | | 19,449,304 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (2.1%): | | | |
| | 47,485 | | | Axos Financial, Inc.* | | | 1,782,112 | |
| | 118,363 | | | Capitol Federal Financial, Inc. | | | 1,479,538 | |
| | 25,984 | | | Dime Community Bancshares, Inc. | | | 409,768 | |
| | 43,717 | | | Flagstar Bancorp, Inc. | | | 1,781,905 | |
| | 20,084 | | | HomeStreet, Inc. | | | 677,835 | |
| | 30,937 | | | Meta Financial Group, Inc. | | | 1,131,057 | |
| | 66,273 | | | Mr Cooper Group, Inc.* | | | 2,056,451 | |
| | 78,789 | | | NMI Holdings, Inc., Class A* | | | 1,784,571 | |
| | 42,076 | | | Northfield Bancorp, Inc. | | | 518,797 | |
| | 119,451 | | | Northwest Bancshares, Inc. | | | 1,521,806 | |
| | 67,019 | | | Provident Financial Services, Inc. | | | 1,203,661 | |
| | 88,888 | | | TrustCo Bank Corp NY | | | 592,883 | |
| | 26,854 | | | Wawlker & Dunlop, Inc. | | | 2,471,104 | |
| | | | | | | | |
| | | | | | | 17,411,488 | |
| | | | | | | | |
| Tobacco (0.3%): | | | |
| | 22,492 | | | Universal Corp. | | | 1,093,336 | |
| | 116,591 | | | Vector Group, Ltd. | | | 1,358,285 | |
| | | | | | | | |
| | | | | | | 2,451,621 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Trading Companies & Distributors (0.9%): | | | |
| | 35,872 | | | Applied Industrial Technologies, Inc. | | $ | 2,797,657 | |
| | 15,591 | | | DXP Enterprises, Inc.* | | | 346,588 | |
| | 20,570 | | | Foundation Building Materials, Inc.* | | | 395,150 | |
| | 39,199 | | | GMS, Inc.* | | | 1,194,786 | |
| | 26,037 | | | Kaman Corp., Class A | | | 1,487,494 | |
| | 102,911 | | | NOW, Inc.* | | | 738,901 | |
| | 11,879 | | | Veritiv Corp.* | | | 246,964 | |
| | | | | | | | |
| | | | | | | 7,207,540 | |
| | | | | | | | |
| Water Utilities (0.6%): | | | |
| | 34,156 | | | American States Water Co. | | | 2,715,744 | |
| | 46,048 | | | California Water Service Group | | | 2,487,973 | |
| | | | | | | | |
| | | | | | | 5,203,717 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 46,068 | | | Shenandoah Telecommunications Co. | | | 1,992,441 | |
| | 16,538 | | | Spok Holdings, Inc. | | | 184,068 | |
| | | | | | | | |
| | | | | | | 2,176,509 | |
| | | | | | | | |
| | Total Common Stocks (Cost $577,067,385) | | | 805,929,605 | |
| | | | | |
Short-Term Securities Held as Collateral for Securities on
Loan (3.3%): | | | |
| | 27,174,374 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(a)(b) | | | 27,174,374 | |
| | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $27,174,374) | | | 27,174,374 | |
| | | | | |
| Unaffiliated Investment Companies (1.0%): | | | |
| Money Markets (1.0%): | | | |
| | 7,853,457 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 7,853,457 | |
| | | | | |
| | Total Unaffiliated Investment Companies (Cost $7,853,457) | | | 7,853,457 | |
| | | | | |
| | Total Investment Securities (Cost $612,095,216) — 103.2%(c) | | | 840,957,436 | |
| | Net other assets (liabilities) — (3.2)% | | | (26,438,888 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 814,518,548 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
REIT—Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $26,198,751. |
| (a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (b) | The rate represents the effective yield at December 31, 2020. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
10
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2020
Futures Contracts
At December 31, 2020, the Fund’s open futures contracts were as follows:
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
Russell 2000 Mini Index March Future (U.S. Dollar) | | | 3/19/21 | | | | 90 | | | $ | 8,886,600 | | | $ | (93,188 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (93,188 | ) |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 612,095,216 | |
| | | | | |
Investment securities, at value(a) | | | $ | 840,957,436 | |
Deposit at broker for futures contracts collateral | | | | 570,600 | |
Interest and dividends receivable | | | | 878,196 | |
Prepaid expenses | | | | 4,061 | |
| | | | | |
Total Assets | | | | 842,410,293 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 207,446 | |
Payable for collateral received on loaned securities | | | | 27,174,374 | |
Payable for variation margin on futures contracts | | | | 8,660 | |
Manager fees payable | | | | 178,407 | |
Administration fees payable | | | | 54,561 | |
Distribution fees payable | | | | 162,629 | |
Custodian fees payable | | | | 11,649 | |
Administrative and compliance services fees payable | | | | 2,755 | |
Transfer agent fees payable | | | | 2,641 | |
Trustee fees payable | | | | 9,976 | |
Other accrued liabilities | | | | 78,647 | |
| | | | | |
Total Liabilities | | | | 27,891,745 | |
| | | | | |
Net Assets | | | $ | 814,518,548 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 577,758,053 | |
Total distributable earnings | | | | 236,760,495 | |
| | | | | |
Net Assets | | | $ | 814,518,548 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 42,847,691 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 4,390,841 | |
Net Asset Value (offering and redemption price per share) | | | $ | 9.76 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 771,670,857 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 56,177,498 | |
Net Asset Value (offering and redemption price per share) | | | $ | 13.74 | |
| | | | | |
| (a) | Includes securities on loan of $26,198,751. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 9,912,631 | |
Interest | | | | 1,225 | |
Income from securities lending | | | | 364,242 | |
Foreign withholding tax | | | | (15,629 | ) |
| | | | | |
Total Investment Income | | | | 10,262,469 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 1,833,199 | |
Administration fees | | | | 260,685 | |
Distribution fees — Class 2 | | | | 1,673,770 | |
Custodian fees | | | | 37,816 | |
Administrative and compliance services fees | | | | 12,659 | |
Transfer agent fees | | | | 12,301 | |
Trustee fees | | | | 41,792 | |
Professional fees | | | | 34,319 | |
Shareholder reports | | | | 37,462 | |
Other expenses | | | | 154,157 | |
| | | | | |
Total expenses | | | | 4,098,160 | |
| | | | | |
Net Investment Income/(Loss) | | | | 6,164,309 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 1,463,780 | |
Net realized gains/(losses) on futures contracts | | | | 5,040,417 | |
Change in net unrealized appreciation/depreciation on securities | | | | 62,668,244 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (98,276 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 69,074,165 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 75,238,474 | |
| | | | | |
See accompanying notes to the financial statements.
12
AZL Small Cap Stock Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 6,164,309 | | | | $ | 8,022,162 | |
Net realized gains/(losses) on investments | | | | 6,504,197 | | | | | 37,815,671 | |
Change in unrealized appreciation/depreciation on investments | | | | 62,569,968 | | | | | 116,937,869 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 75,238,474 | | | | | 162,775,702 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (3,190,100 | ) | | | | (6,106,200 | ) |
Class 2 | | | | (41,852,417 | ) | | | | (81,746,245 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (45,042,517 | ) | | | | (87,852,445 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 187,289 | | | | | 281,407 | |
Proceeds from dividends reinvested | | | | 3,190,100 | | | | | 6,106,200 | |
Value of shares redeemed | | | | (4,909,090 | ) | | | | (6,263,508 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (1,531,701 | ) | | | | 124,099 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 80,434,284 | | | | | 10,475,140 | |
Proceeds from dividends reinvested | | | | 41,852,417 | | | | | 81,746,245 | |
Value of shares redeemed | | | | (184,050,997 | ) | | | | (74,193,135 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (61,764,296 | ) | | | | 18,028,250 | |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (63,295,997 | ) | | | | 18,152,349 | |
| | | | | | | | | | |
Change in net assets | | | | (33,100,040 | ) | | | | 93,075,606 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 847,618,588 | | | | | 754,542,982 | |
| | | | | | | | | | |
End of period | | | $ | 814,518,548 | | | | $ | 847,618,588 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 26,260 | | | | | 26,661 | |
Dividends reinvested | | | | 397,768 | | | | | 705,919 | |
Shares redeemed | | | | (602,581 | ) | | | | (623,565 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (178,553 | ) | | | | 109,015 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 8,597,337 | | | | | 787,490 | |
Dividends reinvested | | | | 3,707,035 | | | | | 6,886,794 | |
Shares redeemed | | | | (16,856,826 | ) | | | | (5,537,516 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (4,552,454 | ) | | | | 2,136,768 | |
| | | | | | | | | | |
Change in shares | | | | (4,731,007 | ) | | | | 2,245,783 | |
| | | | | | | | | | |
See accompanying notes to the financial statements.
13
AZL Small Cap Stock Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016^ |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 9.65 | | | | $ | 9.26 | | | | $ | 11.68 | | | | $ | 11.38 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.09 | (a) | | | | 0.12 | (a) | | | | 0.16 | | | | | 0.16 | | | | | 0.06 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.80 | | | | | 1.78 | | | | | (0.93 | ) | | | | 1.24 | | | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.89 | | | | | 1.90 | | | | | (0.77 | ) | | | | 1.40 | | | | | 1.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.17 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | | | (0.08 | ) | | | | — | |
Net Realized Gains | | | | (0.61 | ) | | | | (1.34 | ) | | | | (1.47 | ) | | | | (1.02 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.78 | ) | | | | (1.51 | ) | | | | (1.65 | ) | | | | (1.10 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.76 | | | | $ | 9.65 | | | | $ | 9.26 | | | | $ | 11.68 | | | | $ | 11.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 10.98 | % | | | | 22.42 | % | | | | (8.59 | )% | | | | 12.94 | % | | | | 13.80 | %(c) |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 42,848 | | | | $ | 44,098 | | | | $ | 41,285 | | | | $ | 53,319 | | | | $ | 54,672 | |
Net Investment Income/(Loss)(d) | | | | 1.11 | % | | | | 1.21 | % | | | | 1.17 | % | | | | 1.21 | % | | | | 1.46 | % |
Expenses Before Reductions(d)(e) | | | | 0.34 | % | | | | 0.33 | % | | | | 0.33 | % | | | | 0.32 | % | | | | 0.32 | % |
Expenses Net of Reductions(d) | | | | 0.34 | % | | | | 0.33 | % | | | | 0.33 | % | | | | 0.32 | % | | | | 0.32 | % |
Portfolio Turnover Rate(f) | | | | 21 | % | | | | 14 | % | | | | 19 | % | | | | 16 | % | | | | 86 | %(g) |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.23 | | | | $ | 12.17 | | | | $ | 14.88 | | | | $ | 14.23 | | | | $ | 13.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.10 | (a) | | | | 0.13 | (a) | | | | 0.15 | | | | | 0.15 | | | | | 0.07 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.15 | | | | | 2.40 | | | | | (1.25 | ) | | | | 1.59 | | | | | 3.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.25 | | | | | 2.53 | | | | | (1.10 | ) | | | | 1.74 | | | | | 3.13 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.13 | ) | | | | (0.13 | ) | | | | (0.14 | ) | | | | (0.07 | ) | | | | (0.16 | ) |
Net Realized Gains | | | | (0.61 | ) | | | | (1.34 | ) | | | | (1.47 | ) | | | | (1.02 | ) | | | | (2.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.74 | ) | | | | (1.47 | ) | | | | (1.61 | ) | | | | (1.09 | ) | | | | (2.39 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 13.74 | | | | $ | 13.23 | | | | $ | 12.17 | | | | $ | 14.88 | | | | $ | 14.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 10.71 | % | | | | 22.19 | % | | | | (8.93 | )% | | | | 12.75 | % | | | | 25.71 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 771,671 | | | | $ | 803,521 | | | | $ | 713,258 | | | | $ | 869,770 | | | | $ | 909,979 | |
Net Investment Income/(Loss) | | | | 0.86 | % | | | | 0.96 | % | | | | 0.93 | % | | | | 0.96 | % | | | | 1.19 | % |
Expenses Before Reductions(e) | | | | 0.59 | % | | | | 0.58 | % | | | | 0.58 | % | | | | 0.57 | % | | | | 0.58 | % |
Expenses Net of Reductions | | | | 0.59 | % | | | | 0.58 | % | | | | 0.58 | % | | | | 0.57 | % | | | | 0.58 | % |
Portfolio Turnover Rate(f) | | | | 21 | % | | | | 14 | % | | | | 19 | % | | | | 16 | % | | | | 86 | %(g) |
| ^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
| (g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 86%. |
See accompanying notes to the financial statements.
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Small Cap Stock Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2020
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $33,823 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $27,174,374 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the year ended December 31, 2020, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended December 31, 2020, the monthly average notional amount for long contracts was $8.9 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | — | | | Payable for variation margin on futures contracts* | | $ | 93,188 | |
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2020
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
Equity Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | $ | 5,040,417 | | | $ | (98,276 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate | | Annual Expense Limit |
| | |
AZL Small Cap Stock Index Fund Class 1 | | | | 0.26 | % | | | | 0.46 | % |
| | |
AZL Small Cap Stock Index Fund Class 2 | | | | 0.26 | % | | | | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the year ended December 31, 2020, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $3,840 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
17
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2020
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 805,929,605 | | | | $ | — | | | | $ | — | | | | $ | 805,929,605 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 27,174,374 | | | | | — | | | | | — | | | | | 27,174,374 | |
Unaffiliated Investment Companies | | | | 7,853,457 | | | | | — | | | | | — | | | | | 7,853,457 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 840,957,436 | | | | | — | | | | | — | | | | | 840,957,436 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | (93,188 | ) | | | | — | | | | | — | | | | | (93,188 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 840,864,248 | | | | $ | — | | | | $ | — | | | | $ | 840,864,248 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Small Cap Stock Index Fund | | | $ | 147,482,373 | | | | $ | 235,456,957 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not
18
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2020
specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $632,998,729. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 262,695,970 | |
Unrealized (depreciation) | | | (54,737,263 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 207,958,707 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Small Cap Stock Index Fund | | | $ | 10,984,719 | | | | $ | 34,057,798 | | | | $ | 45,042,517 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
AZL Small Cap Stock Index Fund | | | $ | 9,043,377 | | | | $ | 78,809,068 | | | | $ | 87,852,445 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL Small Cap Stock Index Fund | | | $ | 10,815,990 | | | | $ | 17,985,798 | | | | $ | — | | | | $ | 207,958,707 | | | | $ | 236,760,495 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 60% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of AZL Small Cap Stock Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL Small Cap Stock Index Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
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Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 59.56% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $2,853,941.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $34,057,798.
21
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
22
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
23
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
24
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
25
Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
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| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
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Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
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Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
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Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
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Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
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Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
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Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
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Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
26
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present) |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
27
| | |
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
AZL® T. Rowe Price Capital Appreciation Fund
Annual Report
December 31, 2020
Table of Contents
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL® T. Rowe Price Capital Appreciation Fund Review (Unaudited)
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Allianz Investment Management LLC serves as the Manager for the AZL® T. Rowe Price Capital Appreciation Fund and T. Rowe Price Associates, Inc. serves as Subadviser to the Fund. |
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What factors affected the Fund’s performance during the year ended December 31, 2020?
For the year ended December 31, 2020, the AZL® T. Rowe Price Capital Appreciation Fund (the “Fund”) returned 17.48%. That compared to a 18.40%, 7.51% and 15.37% total return for its benchmarks, the S&P 500 Index1, the Bloomberg Barclays U.S. Aggregate Bond Index1, and the Moderate Composite Index1, respectively.
U.S. stocks rose in 2020, despite the coronavirus (COVID-19) pandemic and related economic dislocations. Equities declined sharply at the beginning of the year as the COVID-19 spread quickly in the U.S., prompting government officials to close schools, non-essential businesses, and public facilities. Stocks rebounded during the second quarter, driven by massive stimulus efforts by the Federal Reserve Board and federal government, as well as slowing global coronavirus infection rates.
The rebound continued during much of the third quarter, as a faster-than-expected rebound in the economy coupled with reports of progress in developing several possible coronavirus vaccines and treatments boosted stocks. During the final months of the year, stocks benefited from reduced political uncertainty as Vice President Joe Biden defeated incumbent President Donald Trump in the November 3 presidential election. Stocks also received a major boost following positive announcements in the development and eventual distribution of approved coronavirus vaccines.
The equity portion of the Fund strongly outperformed the S&P 500 Index while its fixed income holdings posted a positive return during the one-year period, slightly outperforming the Bloomberg Barclays U.S. Aggregate Index. Within equities, stock selection in healthcare and financials contributed the most to relative performance. These benefits were partly offset by stock selection in the information technology sector, which detracted from relative results.*
The Fund’s above-benchmark exposure to bank loans and high-yield bonds weighed on relative performance in early 2020 but helped relative results during the second half of the year.*
Overall, the Fund’s exposure to equities increased compared to the beginning of the period, as the Fund added to stocks in the financials and utilities sectors.*
The Fund’s overall weighting in fixed income modestly decreased during the year, as the subadviser reduced exposure to investment-grade corporates and high-yield bonds. The cash position slightly increased compared to the beginning of the period because of these shifts.*
The Fund maintained exposure to covered call options—a type of derivative that provided downside protection for the portfolio while offering the benefits of owning a stock, such as dividends and capital appreciation, so long as the stock remains below the option strike price. The Fund’s covered call strategy did not have a significant impact to the Fund’s return.*
Past performance does not guarantee future results.
| * | The Fund’s portfolio composition is subject to change. There is no guarantee that any sectors mentioned will continue to perform well or that securities in such sectors will be held by the Fund in the future. The information contained in this commentary is for informational purposes only and should not be construed as a recommendation to purchase or sell securities in the sector mentioned. The Fund’s holdings and weightings are as of December 31, 2020. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
1
AZL® T. Rowe Price Capital Appreciation Fund Review (Unaudited)
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Fund Objective |
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The Fund’s investment objective is to seek long-term capital appreciation with preservation of capital as an important intermediate-term objective. This objective may be changed by the Trustees of the Fund without shareholder approval. The Fund seeks to achieve its objective by investing at least 50% of its net assets in the common stock of established U.S. Companies that have above-average potential for capital growth. The remaining assets are generally invested in convertible securities, corporate and government debt, bank loans, and foreign securities. |
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Investment Concerns |
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Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. |
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International investing may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. |
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Small-to mid-capitalization companies typically have a higher risk of failure and historically have experienced a greater degree of volatility. |
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Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. |
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Investing in a single industry or sector, or concentrating investments in a limited number of industries or sectors, tends to increase the risk that economic, political, or regulatory developments affecting certain industries or sectors will have a large impact on the value of the portfolio. |
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Debt securities held by the Fund may decline in value due to rising interest rates. |
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Mortgage-backed investments involve risk of loss due to prepayments and, like any bond, due to default. Because of the sensitivity of mortgage-related securities to changes in interest rates, the Fund’s performance may be more volatile than if it did not hold these securities. |
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High-yield bonds have a higher risk of default or other adverse credit events, but have the potential to pay higher earnings over investment-grade bonds. The higher risk of default, or the inability of the creditor to repay its debt, is the primary reason for the higher interest rates on high-yield bonds. |
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Investing in derivative instruments involves risks that may be different from or greater than the risk associated with investing directly in securities or other traditional instruments. |
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For a complete description of these and other risks associated with investing in the Fund, please refer to the Fund’s prospectus. |
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Growth of $10,000 Investment
The chart above represents a comparison of a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmarks and represents the reinvestment of dividends and capital gains in the Fund.
Average Annual Total Returns as of December 31, 2020
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| | | 1
Year | | | 3
Year | | | 5
Year | | | 10
Year | |
AZL® T. Rowe Price Capital Appreciation Fund | | | 17.48 | % | | | 13.62 | % | | | 12.72 | % | | | 11.57 | % |
S&P 500 Index | | | 18.40 | % | | | 14.18 | % | | | 15.22 | % | | | 13.88 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | 7.51 | % | | | 5.34 | % | | | 4.44 | % | | | 3.84 | % |
Moderate Composite Index | | | 15.37 | % | | | 11.25 | % | | | 11.23 | % | | | 10.12 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.Allianzlife.com.
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Expense Ratio | | Gross | |
AZL® T. Rowe Price Capital Appreciation Fund | | | 1.07 | % |
The above expense ratio is based on the current Fund prospectus dated May 1, 2020. The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses such as interest expense and acquired fund fees and expenses, to 1.20% through April 30, 2022. Additional information pertaining to the December 31, 2020 expense ratio can be found in the Financial Highlights.
The total return of the Fund does not reflect the effect of any insurance charges, the annual maintenance fee or the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Such charges, fees and tax payments would reduce the performance quoted.
Acquired fund fees and expenses are incurred indirectly by the Fund through the valuation of the Fund’s investments in the other investment companies. Accordingly, acquired fund fees and expenses affect the Fund’s total returns. Because these fees and expenses are not included in the Fund’s financial highlights, the Fund’s total annual fund operating expenses, as shown in the prospectus, do not correlate to the ratios of expenses to average net assets shown in the Financial Highlights. Without acquired fund fees and expenses the Fund’s gross expense ratio would be 1.02%.
The Fund’s performance is measured against the Standard and Poor’s 500 Index (“S&P 500”), the Bloomberg Barclays U.S. Aggregate Bond Index and the Moderate Composite Index (“Composite”). The S&P 500 is representative of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock market as a whole. The Bloomberg Barclays U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The Composite is a blended index comprised of (60%) of the S&P 500 and (40%) of the Bloomberg Barclays U.S. Aggregate Bond Index. These indexes are unmanaged and do not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for services provided to the Fund. Investors cannot invest directly in an index.
2
AZL T. Rowe Price Capital Appreciation Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
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| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
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AZL T. Rowe Price Capital Appreciation Fund | | | $ | 1,000.00 | | | | $ | 1,179.00 | | | | $ | 5.59 | | | | | 1.02 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
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| | | Beginning
Account Value
7/1/20 | | Ending
Account Value
12/31/20 | | Expenses Paid
During Period
7/1/20 - 12/31/20* | | Annualized Expense
Ratio During Period
7/1/20 - 12/31/20 |
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AZL T. Rowe Price Capital Appreciation Fund | | | $ | 1,000.00 | | | | $ | 1,020.01 | | | | $ | 5.18 | | | | | 1.02 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
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| Investments | | Percent of Net Assets |
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Common Stocks | | | | 67.4 | % |
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Corporate Bonds | | | | 15.3 | |
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Unaffiliated Investment Companies | | | | 10.9 | |
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Bank Loans | | | | 5.1 | |
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Preferred Stocks | | | | 1.6 | |
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Convertible Preferred Stocks | | | | 0.6 | |
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Short-Term Securities Held as Collateral for Securities on Loan | | | | 0.6 | |
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Asset Backed Securities | | | | 0.3 | |
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Yankee Debt Obligations | | | | 0.2 | |
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Total Investment Securities | | | | 102.0 | |
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Net other assets (liabilities) | | | | (2.0 | ) |
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Net Assets | | | | 100.0 | % |
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3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2020
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| Shares | | | | | Value | |
| Common Stocks (67.4%): | | | |
| Aerospace & Defense (0.4%): | | | |
| | 13,071 | | | Teledyne Technologies, Inc.* | | $ | 5,123,571 | |
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| Banks (5.7%): | | | |
| | 965,687 | | | Bank of America Corp. | | | 29,269,973 | |
| | 125,589 | | | Huntington Bancshares, Inc. | | | 1,586,189 | |
| | 305,239 | | | PNC Financial Services Group, Inc. (The) | | | 45,480,611 | |
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| | | | | | | 76,336,773 | |
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| Beverages (1.6%): | | | |
| | 659,719 | | | Keurig Dr Pepper, Inc. | | | 21,111,008 | |
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| Capital Markets (1.5%): | | | |
| | 39,784 | | | CME Group, Inc. | | | 7,242,677 | |
| | 112,954 | | | Intercontinental Exchange, Inc. | | | 13,022,467 | |
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| | | | | | | 20,265,144 | |
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| Commercial Services & Supplies (0.6%): | | | |
| | 78,641 | | | Waste Connections, Inc. | | | 8,066,207 | |
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| Electric Utilities (4.1%): | | | |
| | 467,596 | | | American Electric Power Co., Inc. | | | 38,936,719 | |
| | 388,051 | | | Exelon Corp. | | | 16,383,513 | |
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| | | | | | | 55,320,232 | |
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| Electronic Equipment, Instruments & Components (1.4%): | | | |
| | 157,623 | | | TE Connectivity, Ltd. | | | 19,083,417 | |
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| Health Care Equipment & Supplies (3.3%): | | | |
| | 18,200 | | | Becton Dickinson & Co. | | | 4,554,004 | |
| | 118,246 | | | Boston Scientific Corp.* | | | 4,250,944 | |
| | 105,162 | | | Danaher Corp. | | | 23,360,687 | |
| | 358,435 | | | Envista Holdings Corp.* | | | 12,090,012 | |
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| | | | | | | 44,255,647 | |
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| Health Care Providers & Services (4.7%): | | | |
| | 85,478 | | | Humana, Inc. | | | 35,069,059 | |
| | 78,967 | | | UnitedHealth Group, Inc. | | | 27,692,148 | |
| | | | | | | | |
| | | | | | | 62,761,207 | |
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| Hotels, Restaurants & Leisure (3.6%): | | | |
| | 86,980 | | | Hilton Worldwide Holdings, Inc. | | | 9,677,395 | |
| | 93,386 | | | Marriott International, Inc., Class A | | | 12,319,481 | |
| | 246,144 | | | Yum! Brands, Inc. | | | 26,721,392 | |
| | | | | | | | |
| | | | | | | 48,718,268 | |
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| Industrial Conglomerates (4.4%): | | | |
| | 4,395,432 | | | General Electric Co. | | | 47,470,666 | |
| | 26,050 | | | Roper Technologies, Inc. | | | 11,229,894 | |
| | | | | | | | |
| | | | | | | 58,700,560 | |
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| Insurance (3.6%): | | | |
| | 59,979 | | | Arthur J. Gallagher & Co. | | | 7,420,002 | |
| | 346,256 | | | Marsh & McLennan Cos., Inc. | | | 40,511,952 | |
| | | | | | | | |
| | | | | | | 47,931,954 | |
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| Interactive Media & Services (4.4%): | | | |
| | 1,901 | | | Alphabet, Inc., Class A* | | | 3,331,769 | |
| | 25,534 | | | Alphabet, Inc., Class C* | | | 44,732,504 | |
| | 41,310 | | | Facebook, Inc., Class A* | | | 11,284,239 | |
| | | | | | | | |
| | | | | | | 59,348,512 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (3.7%): | | | |
| | 15,134 | | | Amazon.com, Inc.* | | | 49,290,379 | |
| | | | | | | | |
| IT Services (9.0%): | | | |
| | 348,177 | | | Fiserv, Inc.* | | | 39,643,433 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 154,888 | | | Global Payments, Inc. | | $ | 33,365,973 | |
| | 28,299 | | | MasterCard, Inc., Class A | | | 10,101,045 | |
| | 168,727 | | | Visa, Inc., Class A | | | 36,905,657 | |
| | | | | | | | |
| | | | | | | 120,016,108 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.9%): | | | |
| | 55,713 | | | PerkinElmer, Inc. | | | 7,994,815 | |
| | 36,083 | | | Thermo Fisher Scientific, Inc. | | | 16,806,740 | |
| | | | | | | | |
| | | | | | | 24,801,555 | |
| | | | | | | | |
| Machinery (1.0%): | | | |
| | 289,686 | | | Ingersoll-Rand, Inc.* | | | 13,198,094 | |
| | | | | | | | |
| Multi-Utilities (4.0%): | | | |
| | 273,181 | | | Ameren Corp. | | | 21,324,509 | |
| | 668,265 | | | NiSource, Inc. | | | 15,329,999 | |
| | 293,768 | | | Public Service Enterprise Group, Inc. | | | 17,126,674 | |
| | | | | | | | |
| | | | | | | 53,781,182 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (1.8%): | | | |
| | 150,167 | | | NXP Semiconductors NV | | | 23,878,055 | |
| | | | | | | | |
| Software (6.0%): | | | |
| | 313,623 | | | Microsoft Corp. | | | 69,756,028 | |
| | 43,900 | | | salesforce.com, Inc.* | | | 9,769,067 | |
| | | | | | | | |
| | | | | | | 79,525,095 | |
| | | | | | | | |
| Specialty Retail (0.7%): | | | |
| | 76,820 | | | Ross Stores, Inc.* | | | 9,434,263 | |
| | | | | | | | |
| | Total Common Stocks (Cost $651,155,226) | | | 900,947,231 | |
| | | | | |
| Preferred Stocks (1.6%): | | | |
| Capital Markets (0.0%†): | | | |
| | 3,600 | | | Charles Schwab Corp. (The), Series D, 5.95%, 11/14/19 | | | 93,744 | |
| | | | | | | | |
| Electric Utilities (0.4%): | | | |
| | 16,726 | | | Alabama Power Co., Series A, 5.00% | | | 467,492 | |
| | 78,461 | | | Duke Energy Corp., 5.63%, 9/15/78, Callable 9/15/23 @ 25 | | | 2,257,323 | |
| | 1,201 | | | SCE Trust III, Series H, 5.75%, 12/12/19, Perpetual Bond | | | 29,424 | |
| | 98,681 | | | SCE Trust IV, Series J, 5.28%, 12/31/49, Perpetual Bond | | | 2,390,054 | |
| | | | | | | | |
| | | | | | | 5,144,293 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.3%): | | | |
| | 36,473 | | | Boston Scientific Corp., 5.50%, 6/1/23^ | | | 3,996,347 | |
| | | | | | | | |
| Multi-Utilities (0.9%): | | | |
| | 163,900 | | | CMS Energy Corp., 1.46%, 3/1/79 | | | 4,574,449 | |
| | 122,500 | | | CMS Energy Corp., 1.43%, 10/15/78 | | | 3,479,000 | |
| | 86,906 | | | DTE Energy Co., Series E, 5.25%, 12/1/77 | | | 2,363,843 | |
| | 80,120 | | | NiSource, Inc., Series B, 6.50%, 11/21/19 | | | 2,282,619 | |
| | | | | | | | |
| | | | | | | 12,699,911 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $19,992,652) | | | 21,934,295 | |
| | | | | |
| Convertible Preferred Stocks (0.6%): | | | |
| Electric Utilities (0.1%): | | | |
| | 36,961 | | | American Electric Power Co., Inc., 5.35%, 3/15/22^ | | | 1,851,746 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.5%): | | | |
| | 70,417 | | | Avantor, Inc., Series A, 6.25%, 5/15/22 | | | 6,260,776 | |
| | | | | | | | |
| | Total Convertible Preferred Stocks (Cost $5,361,371) | | | 8,112,522 | |
| | | | | |
See accompanying notes to the financial statements.
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Asset Backed Securities (0.3%): | | | |
| $ | 1,431,720 | | | Dominos Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a) | | $ | 1,517,369 | |
| | 1,358,725 | | | Dominos Pizza Master Issuer LLC, Class A2I, Series 2018-1A, 4.12%, 7/25/48, Callable 10/25/22 @ 100(a) | | | 1,437,524 | |
| | 638,550 | | | Dominos Pizza Master Issuer LLC, Class A2, Series 2019-1A, 3.67%, 10/25/49, Callable 10/25/26 @ 100(a) | | | 668,391 | |
| | 904,040 | | | Wendy’s Funding LLC, Class A2I, Series 2018-1A, 3.57%, 3/15/48, Callable 3/15/22 @ 100(a) | | | 931,699 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $4,297,860) | | | 4,554,983 | |
| | | | | |
| Bank Loans (5.1%): | | | |
| Airlines (0.4%): | | | |
| | 5,430,000 | | | Delta 2 Lux Sarl, 0.00%, 2/1/24 | | | 5,364,080 | |
| | | | | | | | |
| Building Products (0.0%): | | | |
| | 294,263 | | | Filtration Group Corp., 4.50%, 3/29/25, Callable 2/10/21 @ 101 | | | 294,263 | |
| | | | | | | | |
| Chemicals (0.0%†): | | | |
| | 386,847 | | | H.B. Fuller Co. Term Loan B-1, 0.02% (US0003M ), 10/20/24 | | | 383,803 | |
| | | | | | | | |
| Insurance (1.4%): | | | |
| | 638,923 | | | AmWINS Group, Inc., 0.03% (US0003M ), 1/25/24 | | | 637,614 | |
| | 17,888,672 | | | HUB International, Ltd., 0.03% (US0003M ), 4/25/25 | | | 17,547,714 | |
| | | | | | | | |
| | | | | | | 18,185,328 | |
| | | | | | | | |
| IT Services (2.3%): | | | |
| | 30,130,221 | | | Refinitiv US Holdings, Inc. Term Loan B-1, 0.03% (US0001M ), 10/1/25 | | | 30,067,550 | |
| | | | | | | | |
| Pharmaceuticals (0.0%†): | | | |
| | 55,612 | | | Prestige Brands, Inc. Term Loan B5-1, 0.02% (US0003M ), 1/26/24 | | | 55,635 | |
| | | | | | | | |
| Software (1.0%): | | | |
| | 13,556,411 | | | CCC Information Services, Inc. Term Loan B-1, 0.03% (US0003M ), 4/29/24 | | | 13,505,574 | |
| | 499,950 | | | Ultimate Software Term Loan B-1l Bankdebt, 0.00% (LIBOR+400bps), 4/8/26 | | | 499,170 | |
| | | | | | | | |
| | | | | | | 14,004,744 | |
| | | | | | | | |
| | Total Bank Loans (Cost $68,299,354) | | | 68,355,403 | |
| | | | | |
| Corporate Bonds (15.3%): | | | |
| Airlines (0.6%): | | | |
| | 2,065,000 | | | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, 10/20/25(a) | | | 2,204,388 | |
| | 1,150,000 | | | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(a) | | | 1,254,937 | |
| | 1,250,000 | | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27, Callable 6/30/23 @ 103.25(a) | | | 1,346,875 | |
| | 2,770,000 | | | SkyMiles IP, Ltd., 4.75%, 9/16/27 | | | 2,867,892 | |
| | 207,265 | | | U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24 | | | 196,062 | |
| | | | | | | | |
| | | | | | | 7,870,154 | |
| | | | | | | | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks (0.1%): | | | |
| $ | 1,580,000 | | | PNC Financial Services Group, Inc., Series S, 5.00% (US0003M+330 bps), 12/31/49, Callable 11/1/26 @ 100 | | $ | 1,720,225 | |
| | | | | | | | |
| Building Products (0.2%): | | | |
| | 461,301 | | | Filteration Group Corp., 3.08% (LIBOR+300bps), 3/29/25, Callable 2/10/21 @ 100 | | | 455,904 | |
| | 1,540,000 | | | Filtration Group TL B 1L Bankdebt, 0.00%, 3/29/25 | | | 1,530,852 | |
| | 280,000 | | | Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100 | | | 294,997 | |
| | | | | | | | |
| | | | | | | 2,281,753 | |
| | | | | | | | |
| Capital Markets (0.3%): | | | |
| | 545,000 | | | Azalea Topco, Inc., 4.75%, 7/6/26, Callable 2/10/21 @ 101 | | | 543,638 | |
| | 1,415,000 | | | Bank of New York Mellon Corp. (The), Series E, 3.66% (US0003M+342 bps), Callable 3/20/21 @ 100 | | | 1,416,769 | |
| | 415,000 | | | Mega Broadband, 0.00%, 10/19/27 | | | 414,224 | |
| | 1,355,000 | | | State Street Corp., Series F, 3.81% (US0003M+360 bps), Callable 3/15/21 @ 100 | | | 1,351,612 | |
| | 445,000 | | | Woof Holdings, Inc., 4.50%, 12/21/27, Callable 2/10/21 @ 101 | | | 444,074 | |
| | | | | | | | |
| | | | | | | 4,170,317 | |
| | | | | | | | |
| Chemicals (0.6%): | | | |
| | 5,389,375 | | | USI, Inc., 3.23% (US0003M ), 5/16/24 | | | 5,307,403 | |
| | 1,177,050 | | | USI, Inc., 4.50%, 12/2/26 | | | 1,173,378 | |
| | 1,504,730 | | | USI, Inc., 4.14%, 12/2/26, Callable 2/10/21 @ 100 | | | 1,500,035 | |
| | | | | | | | |
| | | | | | | 7,980,816 | |
| | | | | | | | |
| Containers & Packaging (0.0%†): | | | |
| | 46,000 | | | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 2/11/21 @ 101.28(a) | | | 46,575 | |
| | | | | | | | |
| Diversified Consumer Services (0.3%): | | | |
| | 95,000 | | | Ascend Learning LLC, 4.00%, 7/12/24, Callable 2/10/21 @ 100 | | | 94,406 | |
| | 3,562,122 | | | Lgc Group TL, 0.00%, 1/24/27 | | | 3,490,880 | |
| | | | | | | | |
| | | | | | | 3,585,286 | |
| | | | | | | | |
| Diversified Financial Services (0.1%): | | | |
| | 1,330,000 | | | Hyperion Refinance Sarl, 4.75%, 10/22/27, Callable 2/10/21 @ 101 | | | 1,326,116 | |
| | | | | | | | |
| Electric Utilities (0.3%): | | | |
| | 1,173,461 | | | Alliant Holdings Intermediate LLC, 3.38%, 5/10/25, Callable 2/10/21 @ 100 | | | 1,153,899 | |
| | 970,076 | | | Alliant Holdings Intermediate LLC, 3.39%, 5/10/25, Callable 2/10/21 @ 100 | | | 952,741 | |
| | 1,345,000 | | | Alliant Holdings Intermediate LLC, 4.25%, 11/6/27, Callable 2/10/21 @ 101 | | | 1,344,166 | |
| | | | | | | | |
| | | | | | | 3,450,806 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Entertainment (2.0%): | | | |
| $ | 300,000 | | | Netflix, Inc., 5.50%, 2/15/22 | | $ | 313,875 | |
| | 1,690,000 | | | Netflix, Inc., 5.88%, 2/15/25 | | | 1,939,275 | |
| | 4,385,000 | | | Netflix, Inc., 4.38%, 11/15/26 | | | 4,845,425 | |
| | 5,093,000 | | | Netflix, Inc., 4.88%, 4/15/28 | | | 5,729,625 | |
| | 7,145,000 | | | Netflix, Inc., 5.88%, 11/15/28 | | | 8,538,275 | |
| | 3,940,000 | | | Netflix, Inc., 6.38%, 5/15/29 | | | 4,880,675 | |
| | | | | | | | |
| | | | | | | 26,247,150 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.3%): | | | |
| | 2,332,000 | | | SBA Communications Corp., 4.00%, 10/1/22, Callable 2/11/21 @ 101 | | | 2,355,320 | |
| | 1,191,000 | | | SBA Communications Corp., 4.88%, 9/1/24, Callable 2/11/21 @ 102.44 | | | 1,220,775 | |
| | 605,000 | | | SBA Communications Corp., 3.88%, 2/15/27, Callable 2/15/23 @ 101.94 | | | 635,250 | |
| | | | | | | | |
| | | | | | | 4,211,345 | |
| | | | | | | | |
| Food & Staples Retailing (0.2%): | | | |
| | 2,600,000 | | | Dino Grandparent, Inc., 2.38%, 2/19/23 | | | 2,548,000 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.2%): | | | |
| | 377,150 | | | CPI Holdco LLC, 4.39%, 11/4/26, Callable 2/10/21 @ 100 | | | 377,150 | |
| | 1,260,000 | | | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | | | 1,302,525 | |
| | 860,000 | | | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | | | 919,125 | |
| | | | | | | | |
| | | | | | | 2,598,800 | |
| | | | | | | | |
| Health Care Providers & Services (0.2%): | | | |
| | 324,169 | | | Dentalcorp Health Services ULC, 3.98%, 6/6/25, Callable 2/10/21 @ 100 | | | 318,091 | |
| | 169,569 | | | Heartland Dental LLC, 4.74%, 4/30/25 | | | 165,541 | |
| | 1,826,333 | | | Heartland Dental LLC, 3.97%, 4/30/25, Callable 2/10/21 @ 100 | | | 1,778,958 | |
| | | | | | | | |
| | | | | | | 2,262,590 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (3.1%): | | | |
| | 100,000 | | | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 5.50%, 5/1/25, Callable 5/1/22 @ 102.75(a) | | | 104,500 | |
| | 1,780,000 | | | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, 10/1/28, Callable 10/1/23 @ 103.25(a) | | | 1,929,075 | |
| | 2,308,000 | | | Cedar Fair, LP, 5.25%, 7/15/29, Callable 7/15/24 @ 102.63 | | | 2,371,470 | |
| | 3,038,000 | | | Cedar Fair, LP /Canada’s Wonderland Co. /Magnum Management Corp., 5.38%, 6/1/24, Callable 2/11/21 @ 101.79 | | | 3,060,785 | |
| | 2,262,000 | | | Cedar Fair, LP /Canada’s Wonderland Co. /Magnum Management Corp., 5.38%, 4/15/27, Callable 4/15/22 @ 102.69 | | | 2,318,550 | |
| | 848,453 | | | Four Seasons Hotels, Ltd., 2.25%, 11/30/23, Callable 2/10/21 @ 100 | | | 841,632 | |
| | 1,135,000 | | | IRB Holding Corp., 4.25%, 12/15/27, Callable 2/10/21 @ 101 | | | 1,135,352 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| $ | 3,440,000 | | | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 5.25%, 6/1/26, Callable 6/1/21 @ 102.63(a) | | $ | 3,569,000 | |
| | 4,548,000 | | | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 4.75%, 6/1/27, Callable 6/1/22 @ 102.38(a) | | | 4,798,140 | |
| | 2,459,814 | | | Life Time, Inc., 3.75%, 6/15/22, Callable 2/10/21 @ 100 | | | 2,387,250 | |
| | 415,000 | | | Marriott International, Inc., 0.88% (US0003M+65 bps), 3/8/21 | | | 415,164 | |
| | 355,000 | | | Marriott International, Inc., 3.13%, 6/15/26, Callable 3/15/26 @ 100 | | | 378,027 | |
| | 688,212 | | | SeaWorld Parks & Entertainment, Inc., 3.75%, 3/31/24, Callable 2/10/21 @ 100 | | | 667,566 | |
| | 3,949,000 | | | Six Flags Entertainment Corp., 4.88%, 7/31/24, Callable 3/15/21 @ 102.44(a) | | | 3,953,936 | |
| | 3,125,000 | | | Six Flags Entertainment Corp., 5.50%, 4/15/27, Callable 4/15/22 @ 102.75^(a) | | | 3,214,844 | |
| | 1,300,000 | | | Six Flags Theme Parks, Inc., 7.00%, 7/1/25, Callable 7/1/22 @ 103.5(a) | | | 1,407,250 | |
| | 3,169,000 | | | Yum! Brands, Inc., 3.75%, 11/1/21, Callable 8/1/21 @ 100 | | | 3,200,690 | |
| | 1,312,000 | | | Yum! Brands, Inc., 3.88%, 11/1/23, Callable 8/1/23 @ 100 | | | 1,371,040 | |
| | 370,000 | | | Yum! Brands, Inc., 4.75%, 1/15/30, Callable 10/15/29 @ 100(a) | | | 405,612 | |
| | 1,042,000 | | | Yum! Brands, Inc., 6.88%, 11/15/37 | | | 1,337,667 | |
| | 1,889,000 | | | Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100 | | | 2,132,209 | |
| | | | | | | | |
| | | | | | | 40,999,759 | |
| | | | | | | | |
| Industrial Conglomerates (0.6%): | | | |
| | 8,597,000 | | | General Electric Co., Series D, 5.00% (US0003M+333 bps), Callable 3/15/21 @ 100 | | | 7,997,598 | |
| | | | | | | | |
| Insurance (1.0%): | | | |
| | 90,000 | | | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | | | 96,300 | |
| | 1,240,000 | | | Aspen Dental TL B 1L Bankdebt, 0.00%, 12/15/27 | | | 1,239,690 | |
| | 7,747,576 | | | HUB International, Ltd., 5.00% (US0001M ), 4/25/25, Callable 2/10/21 @ 100 | | | 7,759,663 | |
| | 2,657,000 | | | HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a) | | | 2,763,280 | |
| | 703,238 | | | Ryan Specialty Group LLC, 0.00%, 7/23/27 | | | 700,600 | |
| | 1,045,000 | | | USI, Inc., 6.88%, 5/1/25, Callable 2/11/21 @ 103.44(a) | | | 1,072,431 | |
| | | | | | | | |
| | | | | | | 13,631,964 | |
| | | | | | | | |
| IT Services (0.3%): | | | |
| | 1,645,000 | | | Refinitiv US Holdings, Inc., 6.25%, 5/15/26, Callable 11/15/21 @ 103.13(a) | | | 1,753,981 | |
| | 1,835,000 | | | Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a) | | | 2,000,150 | |
| | | | | | | | |
| | | | | | | 3,754,131 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Life Sciences Tools & Services (0.3%): | | | |
| $ | 3,686,509 | | | Nestle Skin Health, 0.00%, 10/1/26 | | $ | 3,693,440 | |
| | | | | | | | |
| Machinery (0.1%): | | | |
| | 338,300 | | | Gardner Denver, Inc., 2.83% (LIBOR+275bps), 2/28/27, Callable 2/10/21 @ 101 | | | 337,962 | |
| | 1,042,000 | | | Manitowoc Foodservice, Inc., 9.50%, 2/15/24, Callable 2/11/21 @ 104.75^ | | | 1,073,260 | |
| | 500,000 | | | Welbilt, Inc., 2.73%, 10/23/25, Callable 2/10/21 @ 100 | | | 472,500 | |
| | | | | | | | |
| | | | | | | 1,883,722 | |
| | | | | | | | |
| Media (1.0%): | | | |
| | 1,405,000 | | | CCO Holdings LLC, 4.00%, 3/1/23, Callable 1/27/21 @ 101(a) | | | 1,415,538 | |
| | 4,304,000 | | | CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a) | | | 4,546,100 | |
| | 6,381,000 | | | CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a) | | | 6,747,908 | |
| | 559,000 | | | Liberty Broadband Corp., 2.75%, 9/30/50, Callable 10/5/23 @ 100(a) | | | 595,089 | |
| | 175,000 | | | Sirius XM Radio, Inc., 3.88%, 8/1/22, Callable 2/11/21 @ 101.94(a) | | | 177,187 | |
| | | | | | | | |
| | | | | | | 13,481,822 | |
| | | | | | | | |
| Metals & Mining (0.3%): | | | |
| | 4,490,000 | | | Thyssenkrupp Term Loan B-1l Bankdebt, 0.00%, 6/30/27 | | | 4,505,221 | |
| | | | | | | | |
| Multi-Utilities (0.1%): | | | |
| | 1,705,000 | | | NiSource, Inc., 5.65% (H15T5Y+284 bps), 12/31/99, Callable 6/15/23 @ 100 | | | 1,752,977 | |
| | | | | | | | |
| Pharmaceuticals (0.1%): | | | |
| | 1,404,000 | | | Elanco Animal Health, Inc., 4.91%, 8/27/21 | | | 1,432,042 | |
| | | | | | | | |
| Professional Services (0.2%): | | | |
| | 2,875,000 | | | Clarivate TL B 1L Bankdebt, 0.00%, 10/31/26 | | | 2,872,298 | |
| | 405,000 | | | Korn Ferry, 4.63%, 12/15/27, Callable 12/15/22 @ 102.31(a) | | | 421,706 | |
| | | | | | | | |
| | | | | | | 3,294,004 | |
| | | | | | | | |
| Software (2.2%): | | | |
| | 577,173 | | | Applied Systems, Inc., 4.25%, 9/19/24, Callable 2/10/21 @ 100 | | | 576,451 | |
| | 3,356,766 | | | Emerald Topco, Inc., 3.65% (US0001M ), 7/23/26, Callable 2/10/21 @ 100 | | | 3,310,611 | |
| | 8,725,000 | | | Solera LLC, 10.50%, 3/1/24, Callable 2/11/21 @ 105.25(a) | | | 9,030,375 | |
| | 525,000 | | | Ultimate Software Group, Inc. (The), 7.50% (LIBOR+400bps), 5/3/27, Callable 2/10/21 @ 102 | | | 538,781 | |
| | | | | | | | |
Contracts,
Shares,
Notional
Amount or
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Software, continued | | | |
| $ | 15,595,000 | | | Ultimate Software Term Loan B-1l Bankdebt, 4.75% (LIBOR+400bps), 5/3/26, Callable 2/10/21 @ 100 | | $ | 15,664,086 | |
| | | | | | | | |
| | | | | | | 29,120,304 | |
| | | | | | | | |
| Sovereign Bond (0.5%): | | | |
| | 6,225,000 | | | Mileage Plus Holdings LLC, 6.25%, 6/20/27 | | | 6,470,141 | |
| | | | | | | | |
| Specialty Retail (0.1%): | | | |
| | 472,670 | | | PetVet Care Centers LLC, 5.25%, 2/14/25, Callable 2/10/21 @ 101 | | | 473,261 | |
| | 478,331 | | | PetVet Care Centers LLC, 3.33% (LIBOR+325bps), 2/14/25, Callable 2/10/21 @ 100 | | | 471,458 | |
| | 308,810 | | | PetVet Care Centers LLC, 2.97%, 2/14/25, Callable 2/10/21 @ 100 | | | 301,475 | |
| | | | | | | | |
| | | | | | | 1,246,194 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.0%†): | | | |
| | 515,000 | | | T-Mobile USA, Inc., 6.00%, 3/1/23, Callable 2/23/21 @ 100 | | | 516,287 | |
| | 240,000 | | | T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/22/21 @ 103.25 | | | 247,800 | |
| | | | | | | | |
| | | | | | | 764,087 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $195,272,421) | | | 204,327,339 | |
| | | | | |
| Yankee Debt Obligations (0.2%): | | | |
| Electrical Equipment (0.2%): | | | |
| | 745,000 | | | Sensata Technologies BV, 4.88%, 10/15/23(a) | | | 801,806 | |
| | 260,000 | | | Sensata Technologies BV, 5.63%, 11/1/24(a) | | | 290,225 | |
| | 925,000 | | | Sensata Technologies BV, 5.00%, 10/1/25(a) | | | 1,024,438 | |
| | 300,000 | | | Sensata Technologies UK Financing Co. plc, 6.25%, 2/15/26, Callable 2/15/21 @ 103.13(a) | | | 310,875 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $2,263,951) | | | 2,427,344 | |
| | | | | |
| Short-Term Securities Held as Collateral for Securities on Loan (0.6%): | |
| | 7,449,360 | | | BlackRock Liquidity FedFund, Institutional Class , 0.38%(b)(c) | | | 7,449,360 | |
| | | | | | | | |
| Total Short-Term Securities Held as Collateral for Securities on
Loan (Cost $7,449,360) | | | 7,449,360 | |
| | | | | |
| Unaffiliated Investment Companies (10.9%): | |
| Money Markets (10.9%): | | | |
| | 145,562,450 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 145,562,450 | |
| | | | | | | | |
| | Total Unaffiliated Investment Companies (Cost $145,562,450) | | | 145,562,450 | |
| | | | | |
| | Total Investment Securities (Cost $1,099,654,645) — 102.0%(d) | | | 1,363,670,927 | |
| | Net other assets (liabilities) — (2.0)% | | | (27,417,350 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,336,253,577 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2020.
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
See accompanying notes to the financial statements.
7
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2020
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2020. The total value of securities on loan as of December 31, 2020 was $7,243,807. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2020. |
| (c) | The rate represents the effective yield at December 31, 2020. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Options Written
At December 31, 2020, the Fund’s over-the-counter options written were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Fair Value | |
| | | | | | | |
Alphabet, Inc. | | Citigroup | | Call | | | 1500.00 USD | | | | 1/15/21 | | | | 22 | | | $ | 33,000 | | | $ | (559,058 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1740.00 USD | | | | 1/15/21 | | | | 7 | | | | 12,180 | | | | (30,862 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1760.00 USD | | | | 1/15/21 | | | | 7 | | | | 12,320 | | | | (23,180 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1780.00 USD | | | | 1/15/21 | | | | 7 | | | | 12,460 | | | | (16,857 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1800.00 USD | | | | 1/15/21 | | | | 7 | | | | 12,600 | | | | (11,884 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1760.00 USD | | | | 1/21/22 | | | | 14 | | | | 24,640 | | | | (308,860 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1780.00 USD | | | | 1/21/22 | | | | 14 | | | | 24,920 | | | | (295,607 | ) |
Alphabet, Inc. | | Goldman Sachs | | Call | | | 1800.00 USD | | | | 1/21/22 | | | | 14 | | | | 25,200 | | | | (282,785 | ) |
Amazon.com, Inc. | | Credit Suisse First Boston | | Call | | | 3800.00 USD | | | | 1/21/22 | | | | 6 | | | | 22,800 | | | | (163,652 | ) |
Amazon.com, Inc. | | Credit Suisse First Boston | | Call | | | 3900.00 USD | | | | 1/21/22 | | | | 6 | | | | 23,400 | | | | (147,972 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | Call | | | 3900.00 USD | | | | 1/21/22 | | | | 3 | | | | 11,700 | | | | (73,986 | ) |
Amazon.com, Inc. | | Credit Suisse First Boston | | Call | | | 4000.00 USD | | | | 1/21/22 | | | | 6 | | | | 24,000 | | | | (133,815 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | Call | | | 4000.00 USD | | | | 1/21/22 | | | | 2 | | | | 8,000 | | | | (44,605 | ) |
Amazon.com, Inc. | | Citigroup | | Call | | | 4000.00 USD | | | | 1/21/22 | | | | 4 | | | | 16,000 | | | | (89,210 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | Call | | | 4100.00 USD | | | | 1/21/22 | | | | 2 | | | | 8,200 | | | | (40,342 | ) |
Amazon.com, Inc. | | Citigroup | | Call | | | 4100.00 USD | | | | 1/21/22 | | | | 4 | | | | 16,400 | | | | (80,685 | ) |
Amazon.com, Inc. | | Citigroup | | Call | | | 4200.00 USD | | | | 1/21/22 | | | | 4 | | | | 16,800 | | | | (72,980 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | Call | | | 4200.00 USD | | | | 1/21/22 | | | | 3 | | | | 12,600 | | | | (54,735 | ) |
Amazon.com, Inc. | | Citigroup | | Call | | | 4300.00 USD | | | | 1/21/22 | | | | 3 | | | | 12,900 | | | | (49,534 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | Call | | | 4300.00 USD | | | | 1/21/22 | | | | 2 | | | | 8,600 | | | | (33,023 | ) |
American Electric Power Co., Inc. | | Citigroup | | Call | | | 105.00 USD | | | | 1/15/21 | | | | 341 | | | | 35,805 | | | | — | |
American Electric Power Co., Inc. | | Citigroup | | Call | | | 115.00 USD | | | | 1/15/21 | | | | 101 | | | | 11,615 | | | | — | |
American Electric Power Co., Inc. | | JPMorgan Chase | | Call | | | 90.00 USD | | | | 1/21/22 | | | | 237 | | | | 21,330 | | | | (83,815 | ) |
American Electric Power Co., Inc. | | JPMorgan Chase | | Call | | | 95.00 USD | | | | 1/21/22 | | | | 289 | | | | 27,455 | | | | (63,564 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | Call | | | 30.00 USD | | | | 1/21/22 | | | | 736 | | | | 22,080 | | | | (289,178 | ) |
Bank of America Corp. | | Susquehanna | | Call | | | 30.00 USD | | | | 1/21/22 | | | | 1,213 | | | | 36,390 | | | | (476,593 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | Call | | | 32.00 USD | | | | 1/21/22 | | | | 382 | | | | 12,224 | | | | (116,536 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | Call | | | 35.00 USD | | | | 1/21/22 | | | | 764 | | | | 26,740 | | | | (156,445 | ) |
Becton Dickinson & Co. | | Goldman Sachs | | Call | | | 260.00 USD | | | | 1/15/21 | | | | 20 | | | | 5,200 | | | | (2,782 | ) |
Becton Dickinson & Co. | | Goldman Sachs | | Call | | | 270.00 USD | | | | 1/15/21 | | | | 20 | | | | 5,400 | | | | (850 | ) |
Becton Dickinson & Co. | | Goldman Sachs | | Call | | | 280.00 USD | | | | 1/15/21 | | | | 30 | | | | 8,400 | | | | (494 | ) |
Becton Dickinson & Co. | | Goldman Sachs | | Call | | | 300.00 USD | | | | 1/15/21 | | | | 112 | | | | 33,600 | | | | (353 | ) |
Danaher Corp. | | Credit Suisse First Boston | | Call | | | 250.00 USD | | | | 1/21/22 | | | | 118 | | | | 29,500 | | | | (195,940 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 195.00 USD | | | | 1/15/21 | | | | 40 | | | | 7,800 | | | | (313,269 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 200.00 USD | | | | 1/15/21 | | | | 40 | | | | 8,000 | | | | (293,333 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 265.00 USD | | | | 1/15/21 | | | | 59 | | | | 15,635 | | | | (72,216 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 270.00 USD | | | | 1/15/21 | | | | 59 | | | | 15,930 | | | | (53,027 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 275.00 USD | | | | 1/15/21 | | | | 59 | | | | 16,225 | | | | (37,424 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 380.00 USD | | | | 1/21/22 | | | | 10 | | | | 3,800 | | | | (11,211 | ) |
Facebook, Inc. | | JPMorgan Chase | | Call | | | 400.00 USD | | | | 1/21/22 | | | | 146 | | | | 58,400 | | | | (126,591 | ) |
General Electric Co. | | JPMorgan Chase | | Call | | | 8.00 USD | | | | 1/15/21 | | | | 3,100 | | | | 24,800 | | | | (870,533 | ) |
General Electric Co. | | JPMorgan Chase | | Call | | | 9.00 USD | | | | 1/15/21 | | | | 2,108 | | | | 18,972 | | | | (384,820 | ) |
General Electric Co. | | JPMorgan Chase | | Call | | | 15.00 USD | | | | 1/15/21 | | | | 5,937 | | | | 89,055 | | | | (3,635 | ) |
Hilton Worldwide Holding, Inc. | | Citigroup | | Call | | | 125.00 USD | | | | 1/15/21 | | | | 30 | | | | 3,750 | | | | (474 | ) |
Hilton Worldwide Holding, Inc. | | Citigroup | | Call | | | 130.00 USD | | | | 1/15/21 | | | | 30 | | | | 3,900 | | | | (146 | ) |
See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Fair Value | |
Hilton Worldwide Holdings, Inc. | | Credit Suisse First Boston | | Call | | | 87.50 USD | | | | 1/15/21 | | | | 10 | | | $ | 875 | | | $ | (23,790 | ) |
Hilton Worldwide Holdings, Inc. | | Credit Suisse First Boston | | Call | | | 90.00 USD | | | | 1/15/21 | | | | 10 | | | | 900 | | | | (21,312 | ) |
Humana, Inc. | | Credit Suisse First Boston | | Call | | | 370.00 USD | | | | 1/15/21 | | | | 20 | | | | 7,400 | | | | (83,776 | ) |
Humana, Inc. | | Credit Suisse First Boston | | Call | | | 380.00 USD | | | | 1/15/21 | | | | 20 | | | | 7,600 | | | | (65,505 | ) |
Humana, Inc. | | Credit Suisse First Boston | | Call | | | 420.00 USD | | | | 1/15/21 | | | | 15 | | | | 6,300 | | | | (9,144 | ) |
Humana, Inc. | | Credit Suisse First Boston | | Call | | | 430.00 USD | | | | 1/15/21 | | | | 15 | | | | 6,450 | | | | (4,954 | ) |
Intercontinental Exchange, Inc. | | JPMorgan Chase | | Call | | | 100.00 USD | | | | 1/15/21 | | | | 59 | | | | 5,900 | | | | (90,434 | ) |
Intercontinental Exchange, Inc. | | JPMorgan Chase | | Call | | | 105.00 USD | | | | 1/15/21 | | | | 59 | | | | 6,195 | | | | (61,434 | ) |
Mastercard, Inc. | | Goldman Sachs | | Call | | | 400.00 USD | | | | 1/21/22 | | | | 87 | | | | 34,800 | | | | (244,049 | ) |
Microsoft Corp. | | Citigroup | | Call | | | 165.00 USD | | | | 1/15/21 | | | | 120 | | | | 19,800 | | | | (689,040 | ) |
Microsoft Corp. | | Credit Suisse First Boston | | Call | | | 165.00 USD | | | | 1/15/21 | | | | 421 | | | | 69,465 | | | | (2,417,382 | ) |
Microsoft Corp. | | Citigroup | | Call | | | 170.00 USD | | | | 1/15/21 | | | | 119 | | | | 20,230 | | | | (623,798 | ) |
Microsoft Corp. | | JPMorgan Chase | | Call | | | 170.00 USD | | | | 1/15/21 | | | | 461 | | | | 78,370 | | | | (2,416,562 | ) |
Microsoft Corp. | | Citigroup | | Call | | | 280.00 USD | | | | 1/21/22 | | | | 189 | | | | 52,920 | | | | (165,912 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | Call | | | 125.00 USD | | | | 1/15/21 | | | | 25 | | | | 3,125 | | | | (85,089 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | Call | | | 135.00 USD | | | | 1/15/21 | | | | 67 | | | | 9,045 | | | | (161,916 | ) |
NXP Semiconductors NV | | Credit Suisse First Boston | | Call | | | 140.00 USD | | | | 1/15/21 | | | | 267 | | | | 37,380 | | | | (516,303 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | Call | | | 140.00 USD | | | | 1/15/21 | | | | 67 | | | | 9,380 | | | | (129,559 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | Call | | | 145.00 USD | | | | 1/15/21 | | | | 67 | | | | 9,715 | | | | (98,421 | ) |
Roper Technologies, Inc. | | Goldman Sachs | | Call | | | 420.00 USD | | | | 5/21/21 | | | | 24 | | | | 10,080 | | | | (83,916 | ) |
Roper Technologies, Inc. | | Goldman Sachs | | Call | | | 440.00 USD | | | | 5/21/21 | | | | 29 | | | | 12,760 | | | | (69,489 | ) |
Thermo Fisher Scientific, Inc. | | Royal Bank of Canada | | Call | | | 370.00 USD | | | | 1/15/21 | | | | 20 | | | | 7,400 | | | | (191,801 | ) |
Thermo Fisher Scientific, Inc. | | Royal Bank of Canada | | Call | | | 390.00 USD | | | | 1/15/21 | | | | 19 | | | | 7,410 | | | | (144,553 | ) |
UnitedHealth Group, Inc. | | JPMorgan Chase | | Call | | | 320.00 USD | | | | 1/15/21 | | | | 121 | | | | 38,720 | | | | (390,715 | ) |
UnitedHealth Group, Inc. | | JPMorgan Chase | | Call | | | 330.00 USD | | | | 1/15/21 | | | | 20 | | | | 6,600 | | | | (46,673 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 185.00 USD | | | | 1/15/21 | | | | 20 | | | | 3,700 | | | | (67,590 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 195.00 USD | | | | 1/15/21 | | | | 20 | | | | 3,900 | | | | (47,906 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 200.00 USD | | | | 1/15/21 | | | | 39 | | | | 7,800 | | | | (74,601 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 210.00 USD | | | | 1/15/21 | | | | 138 | | | | 28,980 | | | | (139,644 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 215.00 USD | | | | 1/15/21 | | | | 30 | | | | 6,450 | | | | (19,051 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 220.00 USD | | | | 1/15/21 | | | | 50 | | | | 11,000 | | | | (17,609 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 230.00 USD | | | | 1/15/21 | | | | 47 | | | | 10,810 | | | | (4,183 | ) |
Visa, Inc. | | Credit Suisse First Boston | | Call | | | 230.00 USD | | | | 1/15/21 | | | | 137 | | | | 31,510 | | | | (12,194 | ) |
Visa, Inc. | | Credit Suisse First Boston | | Call | | | 235.00 USD | | | | 1/15/21 | | | | 137 | | | | 32,195 | | | | (6,398 | ) |
Visa, Inc. | | Credit Suisse First Boston | | Call | | | 240.00 USD | | | | 1/15/21 | | | | 137 | | | | 32,880 | | | | (3,655 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 240.00 USD | | | | 1/15/21 | | | | 46 | | | | 11,040 | | | | (1,227 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 225.00 USD | | | | 1/21/22 | | | | 79 | | | | 17,775 | | | | (172,146 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 230.00 USD | | | | 1/21/22 | | | | 79 | | | | 18,170 | | | | (154,854 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 250.00 USD | | | | 1/21/22 | | | | 39 | | | | 9,750 | | | | (48,966 | ) |
Visa, Inc. | | Citigroup | | Call | | | 250.00 USD | | | | 1/21/22 | | | | 126 | | | | 31,500 | | | | (158,197 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 260.00 USD | | | | 1/21/22 | | | | 39 | | | | 10,140 | | | | (38,925 | ) |
Visa, Inc. | | Goldman Sachs | | Call | | | 270.00 USD | | | | 1/21/22 | | | | 39 | | | | 10,530 | | | | (30,929 | ) |
Yum! Brands, Inc. | | Bank of America | | Call | | | 95.00 USD | | | | 1/15/21 | | | | 59 | | | | 5,605 | | | | (52,159 | ) |
Yum! Brands, Inc. | | Bank of America | | Call | | | 100.00 USD | | | | 1/15/21 | | | | 58 | | | | 5,800 | | | | (79,238 | ) |
Yum! Brands, Inc. | | Citigroup | | Call | | | 100.00 USD | | | | 1/15/21 | | | | 98 | | | | 9,800 | | | | (133,885 | ) |
Yum! Brands, Inc. | | Citigroup | | Call | | | 105.00 USD | | | | 1/15/21 | | | | 98 | | | | 10,290 | | | | (43,537 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total (Premiums $8,460,655) | | | | | | | | | | | | | | | | | | $ | (16,209,282 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
Balances Reported in the Statement of Assets and Liabilities for Options Written
| | | | |
| | | Value | |
| |
Options Written | | $ | (16,209,282 | ) |
See accompanying notes to the financial statements.
9
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
December 31, 2020
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 1,099,654,645 | |
| | | | | |
Investment securities, at value(a) | | | $ | 1,363,670,927 | |
Cash | | | | 731,290 | |
Interest and dividends receivable | | | | 2,153,180 | |
Receivable for capital shares issued | | | | 249,041 | |
Receivable for investments sold | | | | 173,564 | |
Prepaid expenses | | | | 6,985 | |
| | | | | |
Total Assets | | | | 1,366,984,987 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 5,812,457 | |
Payable for capital shares redeemed | | | | 651 | |
Written Options (Premiums received $8,460,655) | | | | 16,209,282 | |
Payable for collateral received on loaned securities | | | | 7,449,360 | |
Manager fees payable | | | | 781,812 | |
Administration fees payable | | | | 90,469 | |
Distribution fees payable | | | | 279,218 | |
Custodian fees payable | | | | 15,409 | |
Administrative and compliance services fees payable | | | | 4,178 | |
Transfer agent fees payable | | | | 1,276 | |
Trustee fees payable | | | | 15,129 | |
Other accrued liabilities | | | | 72,169 | |
| | | | | |
Total Liabilities | | | | 30,731,410 | |
| | | | | |
Net Assets | | | $ | 1,336,253,577 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 924,030,057 | |
Total distributable earnings | | | | 412,223,520 | |
| | | | | |
Net Assets | | | $ | 1,336,253,577 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 63,203,225 | |
Net Asset Value (offering and redemption price per share) | | | $ | 21.14 | |
| | | | | |
| (a) | Includes securities on loan of $7,243,807. |
Statement of Operations
For the Year Ended December 31, 2020
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 12,111,733 | |
Dividends | | | | 11,770,050 | |
Income from securities lending | | | | 28,907 | |
Foreign withholding tax | | | | (53,735 | ) |
| | | | | |
Total Investment Income | | | | 23,856,955 | |
| | | | | |
Expenses: | | | | | |
Manager fees | | | | 9,035,211 | |
Administration fees | | | | 424,694 | |
Distribution fees | | | | 3,011,737 | |
Custodian fees | | | | 55,723 | |
Administrative and compliance services fees | | | | 20,602 | |
Transfer agent fees | | | | 6,865 | |
Trustee fees | | | | 69,162 | |
Professional fees | | | | 58,896 | |
Shareholder reports | | | | 53,823 | |
Other expenses | | | | 24,900 | |
| | | | | |
Total expenses before reductions | | | | 12,761,613 | |
Less expenses voluntarily waived/reimbursed by the Manager | | | | (602,339 | ) |
| | | | | |
Net expenses | | | | 12,159,274 | |
| | | | | |
Net Investment Income/(Loss) | | | | 11,697,681 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 153,754,523 | |
Net realized gains/(losses) on written options contracts | | | | (438,307 | ) |
Change in net unrealized appreciation/depreciation on securities | | | | 26,678,259 | |
Change in net unrealized appreciation/depreciation on written options contracts | | | | (800,234 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 179,194,241 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 190,891,922 | |
| | | | | |
See accompanying notes to the financial statements.
10
AZL T. Rowe Price Capital Appreciation Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2020 | | For the
Year Ended
December 31, 2019 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 11,697,681 | | | | $ | 16,358,437 | |
Net realized gains/(losses) on investments | | | | 153,316,216 | | | | | 83,171,528 | |
Change in unrealized appreciation/depreciation on investments | | | | 25,878,025 | | | | | 157,151,966 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 190,891,922 | | | | | 256,681,931 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (105,007,013 | ) | | | | (79,892,987 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (105,007,013 | ) | | | | (79,892,987 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 58,978,742 | | | | | 27,854,993 | |
Proceeds from dividends reinvested | | | | 105,007,013 | | | | | 79,892,987 | |
Value of shares redeemed | | | | (185,127,376 | ) | | | | (92,633,961 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (21,141,621 | ) | | | | 15,114,019 | |
| | | | | | | | | | |
Change in net assets | | | | 64,743,288 | | | | | 191,902,963 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,271,510,289 | | | | | 1,079,607,326 | |
| | | | | | | | | | |
End of period | | | $ | 1,336,253,577 | | | | $ | 1,271,510,289 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 3,181,285 | | | | | 1,439,519 | |
Dividends reinvested | | | | 5,384,975 | | | | | 4,332,592 | |
Shares redeemed | | | | (10,053,776 | ) | | | | (4,857,076 | ) |
| | | | | | | | | | |
Change in shares | | | | (1,487,516 | ) | | | | 915,035 | |
| | | | | | | | | | |
See accompanying notes to the financial statements.
11
AZL T. Rowe Price Capital Appreciation Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 19.66 | | | | $ | 16.93 | | | | $ | 18.03 | | | | $ | 16.48 | | | | $ | 16.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.19 | (a) | | | | 0.26 | (a) | | | | 0.41 | | | | | 0.17 | | | | | 0.21 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 3.10 | | | | | 3.79 | | | | | (0.31 | ) | | | | 2.28 | | | | | 1.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.29 | | | | | 4.05 | | | | | 0.10 | | | | | 2.45 | | | | | 1.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.29 | ) | | | | (0.42 | ) | | | | (0.17 | ) | | | | (0.24 | ) | | | | (0.12 | ) |
Net Realized Gains | | | | (1.52 | ) | | | | (0.90 | ) | | | | (1.03 | ) | | | | (0.66 | ) | | | | (0.68 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.81 | ) | | | | (1.32 | ) | | | | (1.20 | ) | | | | (0.90 | ) | | | | (0.80 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 21.14 | | | | $ | 19.66 | | | | $ | 16.93 | | | | $ | 18.03 | | | | $ | 16.48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 17.48 | % | | | | 24.38 | % | | | | 0.38 | % | | | | 15.04 | % | | | | 7.84 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,336,254 | | | | $ | 1,271,510 | | | | $ | 1,079,607 | | | | $ | 1,146,974 | | | | $ | 997,346 | |
Net Investment Income/(Loss) | | | | 0.97 | % | | | | 1.36 | % | | | | 2.25 | % | | | | 0.97 | % | | | | 1.10 | % |
Expenses Before Reductions(c) | | | | 1.06 | % | | | | 1.05 | % | | | | 1.05 | % | | | | 1.05 | % | | | | 1.05 | % |
Expenses Net of Reductions | | | | 1.01 | % | | | | 1.00 | % | | | | 1.00 | % | | | | 1.00 | % | | | | 1.00 | % |
Portfolio Turnover Rate | | | | 87 | % | | | | 45 | % | | | | 70 | % | | | | 65 | % | | | | 89 | % |
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
12
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays
13
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments. All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at December 31, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,656 during the year ended December 31, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $7,449,360 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2020. At December 31, 2020, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the year ended December 31, 2020, the Fund participated in the following cross-trade transactions:
| | | | | | | | | | | | | | | |
| | | Purchases | | Sales | | Realized
Gains/(Losses) |
| | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 1,843,839 | | | | $ | 2,861,542 | | | | $ | 18,900 | |
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the year ended December 31, 2020, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option when purchasing options. As of December 31, 2020, the Fund had no purchased options contracts. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. For the year ended December 31, 2020, the monthly average notional amount for written options contracts was $1.2 million. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
14
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Fair
Value | | | Statement of Assets and Liabilities Location | | Total Fair
Value | |
|
Equity Risk | |
| | | | |
| Options Contracts | | | | $ | — | | | Written Options contracts | | $ | 16,209,282 | |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended December 31, 2020:
| | | | | | | | | | |
| Primary Risk Exposure | | Location of Gains/(Losses)
on Derivatives
Recognized | | Realized Gains/(Losses)
on Derivatives
Recognized | | | Change in Net Unrealized
Appreciation/Depreciation on
Derivatives Recognized | |
Equity Risk | |
| | | |
| Options Contracts | | Net Realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written option contracts | | $ | (438,307 | ) | | $ | (800,234 | ) |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at December 31, 2020. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2020.
As of December 31, 2020, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
| | |
Written option contracts | | | $ | — | | | | $ | 16,209,282 | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | — | | | | | 16,209,282 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | — | | | | | — | |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | — | | | | $ | 16,209,282 | |
| | | | | | | | | | |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Liabilities
Subject to a MNA
by Counterparty | | Derivatives
Available
for Offset | | Non-cash
Collateral
Pledged* | | Cash
Collateral
Pledged* | | Net Amount
of Derivative
Liabilities |
| | | | | |
Bank of America | | | $ | 131,397 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 131,397 | |
Citigroup | | | | 2,666,456 | | | | | — | | | | | — | | | | | — | | | | | 2,666,456 | |
Credit Suisse First Boston | | | | 4,367,951 | | | | | — | | | | | — | | | | | — | | | | | 4,367,951 | |
Goldman Sachs | | | | 2,189,599 | | | | | — | | | | | — | | | | | — | | | | | 2,189,599 | |
JPMorgan Chase | | | | 5,794,241 | | | | | — | | | | | — | | | | | — | | | | | 5,794,241 | |
Royal Bank of Canada | | | | 583,045 | | | | | — | | | | | — | | | | | — | | | | | 583,045 | |
Susquehanna | | | | 476,593 | | | | | — | | | | | — | | | | | — | | | | | 476,593 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 16,209,282 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 16,209,282 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides the Fund with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., London Interbank Offering Rate or “LIBOR”) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications, such as those within the scope of Topic 310 on receivables, to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Fund will consider this optional guidance prospectively, if applicable.
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to an amended and restated subadvisory agreement, effective November 15, 2013, with T. Rowe Price Associates, Inc. (“T. Rowe Price”), T. Rowe Price provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2022.
For the year ended December 31, 2020, the annual rate due to the Manager and the annual expense limit were as follows:
| | | | | | | | | | |
| | | Annual Rate* | | Annual Expense Limit |
| | |
AZL T. Rowe Price Capital Appreciation Fund | | | | 0.75 | % | | | | 1.20 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2022. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At December 31, 2020, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund through December 8, 2020 was Senior Counsel. During the year ended December 31, 2020, $6,476 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the year ended December 31, 2020, actual Trustee compensation was $1,341,375 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
| | ● | | Level 1 — quoted prices in active markets for identical assets |
| | ● | | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
| | ● | | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of December 31, 2020 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Common Stocks+ | | | $ | 900,947,231 | | | | $ | — | | | | $ | — | | | | $ | 900,947,231 | |
Preferred Stocks+ | | | | 21,934,295 | | | | | — | | | | | — | | | | | 21,934,295 | |
Convertible Preferred Stocks | | | | 8,112,522 | | | | | — | | | | | — | | | | | 8,112,522 | |
Asset Backed Securities | | | | — | | | | | 4,554,983 | | | | | — | | | | | 4,554,983 | |
Bank Loans | | | | — | | | | | 68,355,403 | | | | | — | | | | | 68,355,403 | |
Corporate Bonds+ | | | | — | | | | | 204,327,339 | | | | | — | | | | | 204,327,339 | |
Yankee Debt Obligations+ | | | | — | | | | | 2,427,344 | | | | | — | | | | | 2,427,344 | |
Short-Term Securities Held as Collateral for Securities on Loan | | | | 7,449,360 | | | | | — | | | | | — | | | | | 7,449,360 | |
Unaffiliated Investment Companies | | | | 145,562,450 | | | | | — | | | | | — | | | | | 145,562,450 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,084,005,858 | | | | | 279,665,069 | | | | | — | | | | | 1,363,670,927 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Written Options | | | | — | | | | | (16,209,282 | ) | | | | — | | | | | (16,209,282 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,084,005,858 | | | | $ | 263,455,787 | | | | $ | — | | | | $ | 1,347,461,645 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as written options. |
5. Security Purchases and Sales
For the year ended December 31, 2020, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 954,843,888 | | | | $ | 1,065,787,811 | |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular
17
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
LIBOR Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, investments in mortgage-related securities may cause the Fund to exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
7. Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objectives. The extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2020 is $1,101,510,448. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 257,677,303 | |
Unrealized (depreciation) | | | (11,726,106 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 245,951,197 | |
| | | | |
18
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2020
The tax character of dividends paid to shareholders during the year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 78,912,829 | | | | $ | 26,094,184 | | | | $ | 105,007,013 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
The tax character of dividends paid to shareholders during the year ended December 31, 2019, was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 49,574,951 | | | | $ | 30,318,036 | | | | $ | 79,892,987 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2020, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
Depreciation(a) | | Total
Accumulated
Earnings/
(Deficit) |
| | | | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 157,669,968 | | | | $ | 11,982,925 | | | | $ | — | | | | $ | 245,951,197 | | | | $ | 415,604,090 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales and other miscellaneous adjustments. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of December 31, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Allianz Variable Insurance Products Trust and Shareholders of
AZL T. Rowe Price Capital Appreciation Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of AZL T. Rowe Price Capital Appreciation Fund (one of the funds constituting Allianz Variable Insurance Products Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for the years ended December 31, 2020 and 2019, including the related notes, and the financial highlights for the years ended December 31, 2020, 2019 and 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year ended December 31, 2020, the changes in its net assets for the years ended December 31, 2020 and 2019 and the financial highlights for the years ended December 31, 2020, 2019 and 2018 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended December 31, 2017 and the financial highlights for each of the periods ended on or prior to December 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 23, 2018 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
20
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2020, 7.35% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
During the year ended December 31, 2020, the Fund declared net short-term capital gain distributions of $62,230,917.
During the year ended December 31, 2020, the Fund declared net long-term capital gain distributions of $26,094,184.
21
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (``Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
22
Approval of Investment Advisory and Subadvisory Agreements (Unaudited)
Subject to the general supervision of the Board of Trustees (the “Board”) and in accordance with the investment objectives and restrictions of each separate series (together, the “Funds”) of the Allianz Variable Insurance Products Trust (the “Trust”), investment advisory services are provided to the Funds by Allianz Investment Management LLC (the “Manager”). As used in this section, “Fund” refers to any of the Funds other than the AZL Moderate Index Strategy Fund. The Manager manages each Fund pursuant to an investment management agreement (the “Management Agreement”) with the Trust in respect of each such Fund. The Management Agreement provides that the Manager, subject to the supervision and approval of the Board, is responsible for the management of each Fund. For management services, each Fund pays the Manager an investment advisory fee based upon the Fund’s average daily net assets. The Manager has contractually agreed to limit the expenses of each Fund by reimbursing the Fund if and when total Fund operating expenses exceed certain amounts until at least April 30, 2022 (the “Expense Limitation Agreement”).
Each Fund is a manager-of-managers fund. That means that the Manager is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the investment decisions made for each Fund. The Manager also is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the Management Agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America (“Allianz Life”) and its subsidiary, Allianz Life Insurance Company of New York (“Allianz of New York”). Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Board reviews and considers the information provided by the Manager in deciding which investment advisers to select as a Subadviser. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Board. Funds which are on the watch list are subject to additional scrutiny by the Manager and the Board. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board has subsequently considered and approved retention of the new Subadviser.
As required by the Investment Company Act of 1940 (the “1940 Act”), the Board has reviewed and approved the Management Agreement with the Manager and the portfolio management agreements (the “Subadvisory Agreements”; and together with the Management Agreement, the “Advisory Contracts”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considered many factors, among the most material of which are: the Fund’s investment objectives and long-term performance; the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”) management philosophy, personnel, processes and investment performance, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considered the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Services Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and received (along with its affiliated persons) any payments made by the Funds pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature, extent and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; the profitability of acting as adviser to the fund; and the extent to which the independent Board members, who are not “interested persons” of a fund as defined by the 1940 Act (“Independent Trustees”), are fully informed about all facts bearing on the adviser’s services and fees. The Board is aware of these factors and takes them into account in its review of the Advisory Contracts.
Each member of the Board considered and weighed these circumstances in light of his or her experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds. The Board is assisted in its deliberations by the advice of independent legal counsel to the Independent Trustees (“Independent Trustee Counsel”). In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meetings at which the Board’s formal review of the Advisory Contracts occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an Advisory Contracts is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s investment performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for the Expense Limitation Agreement and additional voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature, extent and quality of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about the Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the Advisory Contracts, but also the fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
In assessing the Advisory Organizations’ performance of their obligations, the Board may also consider whether there has occurred a circumstance or event that would constitute a reason for it to not renew an Advisory Contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
23
The Advisory Contracts were most recently considered at Board meetings held in the summer and fall of 2020. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 9, 2020, and September 15, 2020, as well as in various other meetings preceding those meetings. Pursuant to an exemptive order issued by the SEC (the “Exemptive Order”), providing relief from in-person meeting requirements under the 1940 Act, the Board, including the Independent Trustees, determined that reliance on the Exemptive Order was necessary and appropriate due to the circumstances related to the current and potential effects of the COVID-19 pandemic and determined to vote on the renewal of the Advisory Contracts at a meeting held by video conference call at which all Board members, including the Independent Trustees, participated and were able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved at the Board meeting on September 15, 2020. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2022.
In connection with such meetings, the Board requested and evaluated extensive materials from the Advisory Organizations, including performance and expense information for other investment companies with similar investment objectives derived from data compiled by an independent third-party provider and other sources believed to be reliable by the Manager and the Trustees. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Contracts with management and with Independent Trustee Counsel and received a memorandum from such counsel discussing the legal standards for their consideration of the proposed approval. The Independent Trustees also discussed the proposed approval in a private session with Independent Trustee Counsel at which no representatives of the Manager or Subadvisers were present. In reaching their determinations relating to the approval of the Advisory Contracts, in respect of each Fund, each member of the Board considered all factors he or she believed relevant. The Board based its decision to approve the Advisory Contracts on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
Shareholder reports must include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the oversight of the Board, administers each Fund’s business and other affairs. Under the Management Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As each Fund is a manager of managers fund, the Manager is authorized, under the Management Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board for selection as a Subadviser. The Board was aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Board regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Board also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any other service providers retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer and certain compliance staff, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Board considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of the services provided has continued to expand as a result of regulatory and other developments. The Board noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Board considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Board members concluded that, overall, they were satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Trust and to each of the Funds under the Advisory Contracts.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every quarterly Board meeting, as well as the summer and fall 2020 contract review process, the Board receives extensive information on the performance results of each of the Funds. This includes performance information on the Funds for the previous quarter, and previous one-, three- and five-year periods. (For Funds that have been in existence for less than five years, the Board receives performance information for such time periods as available.) The performance information considered includes information on absolute total return, performance versus the appropriate benchmark(s), and performance versus peer groups as reported by Lipper. For example, in connection with the Board meetings held June 9, 2020, and September 15, 2020, the Manager reported that for the one-year period ended December 31, 2019, five Funds were in the top 40%, three were in the middle 20%, and eleven were in the bottom 40%, and for the three-year period ended December 31, 2019, six Funds were in the top 40%, six were in the middle 20% and seven were in the bottom 40%. The Manager also reported that for the five-year period ended December 31, 2019, seven Funds were in the top 40%, two were in the middle 20%, and four were in the bottom 40%. For Funds which are index funds, the Board each quarter also receives information on the extent, if any, to which such Funds deviate from their particular benchmark index (referred to as “index attribution”).
Only three Funds, the AZL Enhanced Bond Index Fund, AZL MetWest Total Return Bond Fund and the AZL Government Money Market Fund, were in the bottom 40% for all of the one-, three- and five-year periods. The Board met with the portfolio managers of the AZL MetWest Total Return Bond Fund in June 2019, and AZL Enhanced Bond Index Fund and AZL Government Money Market Fund in February 2020, to review the Funds’ current investment strategy, process and outlook. As a result of these discussions, the Board understood that the performance of these Funds was a consequence of headwinds faced by their long-term investment strategies and not a reflection of the nature, extent or quality of services being provided by the respective Subadvisers. The Board also considered that the relative performance of the AZL Government Money Market Fund had been impacted by the unprecedented period of low short-term interest rates and the Fund’s reimbursement of expenses waived by the Manager during the period.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods. Thus, the Board determined that the overall investment performance of the Funds was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board pertaining to the level of investment advisory fees to which the Funds are subject. The Manager has agreed to temporarily limit Fund expenses at certain levels, and information is provided to the Board setting forth “contractual” advisory fees and “actual” fees after taking expense limits and any temporary fee waivers into account. The Board noted that the subadvisory fees are paid by the Manager to each Subadviser and are not additional fees borne by the Funds. Based upon the information provided, the “actual” advisory fees payable by the Funds overall are generally comparable to the average level of fees paid by the Funds’ peer groups. For the 19 Funds reviewed by the Board in the summer and fall of 2020, 16 Funds paid “actual” advisory fees in a percentage amount within the 65th percentile or lower for each Fund’s applicable category. (A lower percentile reflects lower fund fees and is better for fund shareholders.) The Board recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Based upon the information provided, the management fee ranking in 2019 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 12 Funds at or below the 50th percentile); and (2) for the AZL Enhanced Bond Index Fund, the AZL MSCI Emerging Markets Equity Index Fund, and the AZL MSCI Global Equity Index Fund, it was determined that there was poor (or no) peer group comparability.
24
The Manager has also supplied information to the Board pertaining to total Fund expenses (which include advisory fees, the 25 basis point 12b-1 fee paid by the Funds, and other Fund expenses). As noted above, the Manager has agreed to limit Fund expenses at certain levels.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time.
The Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2017 through 2019. The Board recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Board considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Board focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Board recognized that the Manager should earn a reasonable level of profits for the services it provides to each Fund.
The Manager, on behalf of the Board, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvised. The Manager was unable to obtain consistent profitability information from some of the Subadvisers that would allow the Board to determine the profits derived from the Subadviser’s relationship to the Fund or Funds, rather than its overall level of profitability. The Board considered the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. The Manager assured the Board that the Subadvisory Agreements with the Subadvisers, none of which are affiliated with the Manager, were negotiated on an “arm’s length” basis, which should not result in excessive profits for the Subadvisers.
(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Board noted that the advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels, although certain Subadvisory Agreements have such “breakpoints.” The Board recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. The Board found that there was no uniform methodology for establishing breakpoints that give effect to Fund-specific services provided by the Manager. The Board noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Board also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Board noted that the total assets in all of the Funds, as of December 31, 2019, were approximately $16.1 billion, and that no single Fund had assets in excess of $2.8 billion.
The Board noted that the Manager has agreed to temporarily limit Fund expenses under the Expense Limitation Agreement, which has the effect of reducing expenses similar to implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of expense limits and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. The Board expects to continue to consider: (a) the extent to which economies of scale have been realized, and (b) whether the advisory fee should be modified, either in connection with the next renewal of the Advisory Contracts or by modifying the Expense Limitation Agreement, to reflect such economies of scale, if any.
Having taken these factors into account, the Board concluded that the absence of breakpoints in the Funds’ advisory fee rate schedules was acceptable under each Fund’s circumstances.
In conclusion, after full consideration of the above factors, as well as such other factors as each member of the Board considered instructive in evaluating the Advisory Contracts, the Board concluded that the advisory fees were reasonable, and that the continuation of the Advisory Contracts was in the best interest of the Funds.
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Information about the Board of Trustees and Officers (Unaudited)
The Trust is managed by the Trustees in accordance with the laws of the state of Delaware governing business trusts. In addition to serving on the Board of Trustees of the Trust, each Trustee serves on the Board of the Allianz Variable Insurance Products Fund of Funds Trust (“FOF Trust”) (together, the Trust and the FOF Trust are the “AIM Complex”). There are currently seven Trustees, one of whom is an “interested person” of the Trust within the meaning of that term under the 1940 Act. The Trustees and Officers of the Trust, and their addresses, years of birth, positions held with the Trust, terms of office with the Trust and length of time served, principal occupation(s) during the past five years, the number of portfolios in the Trust they oversee, and other directorships held during the past five years are as follows:
Independent Trustees(1)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Peter R. Burnim (1947) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/07 | | Retired; previously, Chairman, Emrys Analytics and subsidiaries, July 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., February 2013 to 2017; Managing Director, iQ Venture Advisors, LLC, 2005 to 2016, Consultant thereafter; Chairman, Sterling Bank & Trust (Bahamas) Ltd., 2016 to present, and Sterling Trust (Cayman) Ltd. 2015 to present | | 40 | | Argus Group Holdings and Subsidiaries, Deputy Chairman; Sterling Trust (Cayman) Ltd., Chairman; Sterling Bank & Trust Limited (Bahamas); Emrys Analytics; EGB Insurance. |
| | | | | |
Peggy L. Ettestad (1957) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Lead
Independent
Trustee | | Since 10/14 (Trustee since 2/07) | | Managing Director, Red Canoe Management Consulting LLC, 2008 to present | | 40 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, March 2012 to December 2013 | | 40 | | Diamond Hill Funds (12 funds) |
| | | | | |
Richard H. Forde (1953) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Member of the Board and Chairman of the Finance and Investment Committee, Connecticut Water Service, Inc., 2013 to October 2019 | | 40 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Consultant
to the
IndependentTrustees(4) | | Since 02/20 | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to April 2019 | | 40 | | Esoterica Thematic Trust (Nov. 2019 - Dec. 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc., 2015 to 2018, and Connecticut Innovations, Inc., 2012 to 2015 | | 40 | | None |
| | | | | |
Dickson W. Lewis (1948) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, senior executive for Lifetouch National School Studios, 2006 to 2014, Jostens, 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 40 | | None |
Interested Trustee(5)
| | | | | | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(2)/Length
of Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
Overseen for the
AIM Complex(3) | | Other
Directorships Held
Outside the AIM
Complex During
Past 5 Years |
| | | | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 6/11 | | President, Allianz Investment Management LLC, 2010 to present; Vice President, Allianz Life Insurance Company of North America, 2011 to present | | 40 | | None |
| (1) | Member of the Audit Committee. |
| (3) | Each of the Trustees and Mr. Gee also serve as trustees for the AIM ETF Products Trust, which is reflected in the figure above. |
| (4) | Mr. Gee was appointed consultant to the Independent Trustees effective February, 2020. Mr. Gee attends meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and is not entitled to vote. |
| (5) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of Office(2)/
Length
of Time Served | | Principal Occupation(s) During Past 5 Years |
| | | |
Brian Muench (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | President | | Since 11/10 | | President, Allianz Investment Management LLC, November 2010 to present; Vice President, Allianz Life, April 2011 to present. |
| | | |
Erik Nelson (1972) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Secretary | | Since 12/20 | | Chief Legal Officer, Allianz Investment Management LLC; Senior Counsel, Allianz Life Insurance Company of North America, 2008 to present. |
| | | |
Bashir C. Asad (1963) Citi Fund Services Ohio, Inc. 4400 Easton Commons, Suite 200 Columbus, OH 43219 | | Treasurer, Principal Accounting Officer and Principal Financial Officer | | Since 06/16 | | Senior Vice President, Citi Fund Services Ohio, Inc. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(1) and Anti-MoneyLaundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the VIP Trust and the FOF Trust, February 2014 to present, and the AIM ETF Products Trust (February 2020 to present). |
| (1) | The Manager and the Trust are parties to a Chief Compliance Officer Agreement under which the Manager is compensated by the Trust for providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. The Chief Compliance Officer and Anti-Money Laundering Compliance Officer is not considered a corporate officer or executive employee of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) contains additional information about the Trust’s Trustees and Officers. The SAI is available without charge, upon request, by calling toll-free 800-624-0197 or at https://www.allianzlife.com.
27
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1220 2/21 |
Item 2. Code of Ethics.
| (a) | The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as an Exhibit. |
| (b) | During the period covered by the report, with respect to the Registrant’s code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions; there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2. |
Item 3. Audit Committee Financial Expert.
| 3(a)(1) | The Registrant’s board of directors has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. |
| 3(a)(2) | The audit committee financial expert is Tamara Lynn Fagely, who is “independent” for purposes of this Item 3 of Form N-CSR. |
Item 4. Principal Accountant Fees and Services.
| | | | | | |
| | | | | 2020 | | 2019 |
| (a) | | Audit Fees | | $329,300 | | $347,104 |
| (b) | | Audit-Related Fees | | $ 0 | | $ 0 |
| | Related to the consent on Form N-1A for the annual registration statement, and work performed over the merger of AZL Morgan Stanley Global Real Estate Fund with AZL S&P 500 Fund. | | | | |
| | | | | 2020 | | 2019 |
| (c) | | Tax Fees | | $125,375 | | $129,700 |
| | Preparation of the funds’ federal income tax returns. | | | | |
| | | | | 2020 | | 2019 |
| (d) | | All Other Fees | | $ 0 | | $ 0 |
| 4(e)(1) | The Audit Committee (“Committee”) of the Registrant is responsible for pre-approving all audit and non-audit services performed by the independent auditor in order to assure that the provision of such services does not impair the auditor’s independence. Before the Registrant engages the independent auditor to render a service, the engagement must be either specifically approved by the Committee or entered into pursuant to the pre-approval policy. The Committee may delegate preapproval authority to one or more of its members. The member or members to whom such authority is delegated shall report any pre-approval decisions to the Committee at its next scheduled meeting. The Committee may not delegate to management the Committee’s responsibilities to pre-approve services performed by the independent auditor. The Committee has delegated pre-approval authority to its Chairman for any services not exceeding $10,000. |
| 4(e)(2) | During the previous two fiscal years, the Registrant did not receive any non-audit services pursuant to a waiver from the audit committee approval or pre-approval requirement under paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| 4(g) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning were as follows: |
| | | | | | |
| | | | | 2020 | | 2019 |
| | | | $125,375 | | $129,700 |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | The Schedules of Investments as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of the Form N-CSR. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Allianz Variable Insurance Products Trust
By (Signature and Title) /s/ Brian Muench
Brian Muench, Principal Executive Officer
Date February 26, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) /s/ Brian Muench
Brian Muench, Principal Executive Officer
Date February 26, 2021
By (Signature and Title) /s/ Bashir C. Asad
Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer
Date March 4, 2021
