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, 2021
| Item 1. | Reports to Stockholders. |
AZL® DFA Five-Year Global Fixed Income Fund
Annual Report
December 31, 2021
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.
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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.
What factors affected the Fund’s performance during the year ended December 31, 2021?*
For the year ended December 31, 2021, the AZL® DFA Five-Year Global Fixed Income Fund (the “Fund”) returned (1.66)%. That compared to a (0.80)% total return for its benchmark, the FTSE World Government Bond Index, 1-5 Years, Currency Hedged in USD Terms.1
In global developed markets, yield curves were generally upwardly sloped, suggesting positive expected term premiums. Interest rates generally increased during the year. As a result, realized term premiums were generally negative across global developed markets, with longer-term bonds underperforming their shorter-term counterparts. Credit spreads also narrowed during the year, suggesting smaller expected credit premiums. Realized credit premiums, however, were generally positive across global developed markets.
The Fund underperformed its benchmark during the period. In response to upward-sloping yield curves, the Fund increased its duration during the period. This longer duration detracted from relative performance, as interest rates increased during the year and longer-term bonds underperformed shorter-term bonds. The Fund was also underweight euro-denominated bonds relative to the benchmark. This underweight position detracted from the Fund’s relative performance as euro-denominated bonds generally outperformed other foreign counterparts in the benchmark during the period.
The Fund’s average exposure to short-term bonds, specifically during the first half of the year, was above that of its benchmark during the period. This overweight position contributed positively to relative performance, as shorter-term bonds outperformed longer-term bonds during the period. Overweight positions in British pound and Canadian dollar-denominated bonds, which performed well during the period, also contributed positively to the Fund’s performance.
The Fund used currency forward 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
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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 to seek 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.
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.
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| Average Annual Total Returns as of December 31, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | Since
Inception
(4/27/15) |
AZL® DFA Five-Year Global Fixed Income Fund | | | | (1.66 | )% | | | | 0.78 | % | | | | 1.02 | % | | | | 0.81 | % |
FTSE World Government Bond Index, 1-5 Years, Currency-Hedged in USD Terms | | | | (0.80 | )% | | | | 2.07 | % | | | | 1.89 | % | | | | 1.68 | % |
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 | | | | 0.93 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.50% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 1,000.00 | | | | $ | 984.40 | | | | $ | 4.15 | | | | | 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.
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| | | Beginning
Account Value
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
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AZL DFA Five-Year Global Fixed Income Fund | | | $ | 1,000.00 | | | | $ | 1,021.02 | | | | $ | 4.23 | | | | | 0.83 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 |
| |
Yankee Debt Obligations | | | | 49.4 | % |
| |
Foreign Bonds | | | | 19.5 | |
| |
U.S. Treasury Obligations | | | | 17.6 | |
| |
Corporate Bonds | | | | 12.6 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1.7 | |
| |
Unaffiliated Investment Company | | | | 1.1 | |
| | | | | |
| |
Total Investment Securities | | | | 101.9 | |
| |
Net other assets (liabilities) | | | | (1.9 | ) |
| | | | | |
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Net Assets | | | | 100.0 | % |
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AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds (12.6%): | | | |
| Capital Markets (1.2%): | | | |
| $ | 2,250,000 | | | National Securities Clearing Corp., 0.75%, 12/7/25, Callable 11/7/25 @ 100^ | | $ | 2,192,449 | |
| | 3,000,000 | | | National Securities Clearing Corp., 0.75%, 12/7/25, Callable 11/7/25 @ 100^(a) | | | 2,923,266 | |
| | | | | | | | |
| | | | | | | 5,115,715 | |
| | | | | | | | |
| Diversified Financial Services (1.3%): | | | |
| | 5,144,000 | | | Berkshire Hathaway, Inc., 3.13%, 3/15/26, Callable 12/15/25 @ 100 | | | 5,493,936 | |
| | | | | | | | |
| Food & Staples Retailing (0.8%): | | | |
| | 3,600,000 | | | Walmart, Inc., 1.05%, 9/17/26, Callable 8/17/26 @ 100 | | | 3,565,397 | |
| | | | | | | | |
| Food Products (0.6%): | | | |
| | 2,550,000 | | | Nestle Holdings, Inc., 0.63%, 1/15/26, Callable 12/15/25 @ 100(a) | | | 2,470,427 | |
| | | | | | | | |
| Household Products (1.1%): | | | |
| | 4,827,000 | | | Procter & Gamble Co. (The), 1.00%, 4/23/26 | | | 4,778,320 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (1.8%): | | | |
| | 7,800,000 | | | Amazon.com, Inc., 1.00%, 5/12/26, Callable 4/12/26 @ 100 | | | 7,717,531 | |
| | | | | | | | |
| IT Services (0.4%): | | | |
| | 1,400,000 | | | Visa, Inc., 3.15%, 12/14/25, Callable 9/14/25 @ 100 | | | 1,494,018 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.3%): | | | |
| | 1,000,000 | | | Chevron Corp., 2.95%, 5/16/26, Callable 2/16/26 @ 100 | | | 1,058,111 | |
| | | | | | | | |
| Pharmaceuticals (2.2%): | | | |
| | 1,000,000 | | | Johnson & Johnson, 0.55%, 9/1/25, Callable 8/1/25 @ 100 | | | 977,573 | |
| | 2,200,000 | | | Merck & Co., Inc., 0.75%, 2/24/26, Callable 1/24/26 @ 100^ | | | 2,152,152 | |
| | 2,000,000 | | | Novartis Capital Corp., 3.00%, 11/20/25, Callable 8/20/25 @ 100 | | | 2,115,690 | |
| | 1,754,000 | | | Roche Holdings, Inc., 0.99%, 3/5/26, Callable 2/5/26 @ 100(a) | | | 1,723,784 | |
| | 2,200,000 | | | Roche Holdings, Inc., 2.63%, 5/15/26, Callable 2/15/26 @ 100(a) | | | 2,298,516 | |
| | | | | | | | |
| | | | | | | 9,267,715 | |
| | | | | | | | |
| Technology Hardware, Storage & (0.4%): | | | |
| | 2,000,000 | | | Apple, Inc., 2.51%, 8/19/24, Callable 6/19/24 @ 100 | | | 1,620,114 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (2.5%): | | | |
| | 3,376,000 | | | Apple, Inc., 0.70%, 2/8/26, Callable 1/8/26 @ 100 | | | 3,298,372 | |
| | 6,701,000 | | | Apple, Inc., 3.25%, 2/23/26, Callable 11/23/25 @ 100 | | | 7,166,204 | |
| | | | | | | | |
| | | | | | | 10,464,576 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $53,492,690) | | | 53,045,860 | |
| | | | | | | | |
| Foreign Bonds (19.5%): | |
| (1.7%): | |
| | 4,500,000 | | | New Zealand Local Government Funding Agency Bond, 2.25%, 4/15/24+ | | | 3,081,338 | |
| | 500,000 | | | New Zealand Local Government Funding Agency Bond, 2.75%, 4/15/25+ | | | 345,007 | |
| | 4,000,000 | | | Queensland Treasury Corp., 3.25%, 7/21/26+(a) | | | 3,132,096 | |
| | 500,000 | | | South Australian Government Financing Authority, 3.00%, 7/20/26+ | | | 387,686 | |
| | | | | | | | |
| | | | | | | 6,946,127 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | |
| Banks (3.2%): | | | |
| $ | 3,000,000 | | | Australia & New Zealand Banking Group, Ltd., 0.79%(BBSW3M+76bps), 1/16/25, MTN+ | | $ | 2,203,868 | |
| | 600,000 | | | Nordic Investment Bank, 3.40%, 2/6/26, MTN+ | | | 465,507 | |
| | 8,000,000 | | | Royal Bank of Canada, 4.93%, 7/16/25+ | | | 7,037,445 | |
| | 600,000 | | | Toronto-Dominion Bank (The), 1.03%(BBSW3M+100bps), 7/10/24+ | | | 442,646 | |
| | 2,000,000 | | | Westpac Banking Corp., 1.18%(BBSW3M+114bps), 4/24/24, MTN+ | | | 1,481,422 | |
| | 2,400,000 | | | Westpac Banking Corp., 4.13%, 6/4/26, MTN+ | | | 1,899,753 | |
| | | | | | | | |
| | | | | | | 13,530,641 | |
| | | | | | | | |
| Capital Markets (1.3%): | | | |
| | 1,000,000 | | | Canada Housing Trust NO 1, 1.25%, 6/15/26+(a) | | | 781,831 | |
| | 3,500,000 | | | International Finance Corp., 3.20%, 7/22/26, MTN+ | | | 2,712,223 | |
| | 2,600,000 | | | PSP Capital, Inc., 0.90%, 6/15/26+ | | | 1,999,356 | |
| | | | | | | | |
| | | | | | | 5,493,410 | |
| | | | | | | | |
| Diversified Financial Services (0.5%): | | | |
| | 9,000,000 | | | European Investment Bank, 0.75%, 9/9/24, MTN+ | | | 1,001,206 | |
| | 500,000 | | | Kreditanstalt fuer Wiederaufbau, 3.20%, 9/11/26, MTN+ | | | 387,857 | |
| | 1,100,000 | | | Landwirtschaftliche Rentenbank, 4.75%, 5/6/26, MTN+ | | | 902,358 | |
| | | | | | | | |
| | | | | | | 2,291,421 | |
| | | | | | | | |
| Sovereign Bond (12.8%): | | | |
| | 1,000,000 | | | Asian Development Bank, 0.50%, 5/5/26, MTN+ | | | 691,372 | |
| | 9,000,000 | | | Australia Government Bond, 0.25%, 11/21/25+ | | | 6,302,671 | |
| | 4,400,000 | | | Australia Government Bond, 4.25%, 4/21/26+ | | | 3,598,100 | |
| | 1,000,000 | | | Australia Government Bond, 0.50%, 9/21/26+ | | | 699,649 | |
| | 300,000 | | | Inter-American Development Bank, 2.75%, 10/30/25, MTN+ | | | 227,979 | |
| | 277,000 | | | Inter-American Development Bank, 4.40%, 1/26/26+ | | | 243,752 | |
| | 300,000 | | | Inter-American Development Bank, 4.25%, 6/11/26, MTN+ | | | 241,962 | |
| | 1,000,000 | | | Inter-American Development Bank, 1.00%, 6/29/26+ | | | 770,873 | |
| | 1,400,000 | | | International Bank for Reconstruction & Development, 0.63%, 1/14/26+ | | | 1,068,773 | |
| | 2,500,000 | | | International Bank for Reconstruction & Development, 0.50%, 5/18/26, MTN+ | | | 1,725,210 | |
| | 9,200,000 | | | New South Wales Treasury Corp., 4.00%, 5/20/26+ | | | 7,408,062 | |
| | 2,000,000 | | | New Zealand Government Bond, 0.50%, 5/15/24+ | | | 1,323,244 | |
| | 4,450,000 | | | New Zealand Government Bond, 0.50%, 5/15/26+ | | | 2,829,936 | |
| | 12,000,000 | | | Province of Alberta Canada, 2.20%, 6/1/26+ | | | 9,740,038 | |
| | 2,000,000 | | | Province of British Columbia Canada, 2.30%, 6/18/26+ | | | 1,634,725 | |
| | 2,300,000 | | | Province of Manitoba Canada, 2.55%, 6/2/26+ | | | 1,893,918 | |
| | 2,000,000 | | | Province of Ontario Canada, 2.40%, 6/2/26+ | | | 1,637,856 | |
| | 2,000,000 | | | Province of Ontario Canada, 1.35%, 9/8/26+ | | | 1,559,662 | |
| | 7,000,000 | | | Province of Quebec Canada, 2.50%, 9/1/26+ | | | 5,770,794 | |
| | 1,500,000 | | | Singapore Government Bond, 2.13%, 6/1/26+ | | | 1,152,872 | |
| | 4,200,000 | | | Treasury Corp. of Victoria, 0.50%, 11/20/25, MTN+ | | | 2,948,762 | |
| | | | | | | | |
| | | | | | | 53,470,210 | |
| | | | | | | | |
| | Total Foreign Bonds (Cost $84,811,644) | | | 81,731,809 | |
| | | | | |
| Yankee Debt Obligations (49.4%): | | | |
| Banks (9.3%): | | | |
| | 1,000,000 | | | Bank of New Zealand, 1.00%, 3/3/26(a) | | | 972,504 | |
| | 2,400,000 | | | Commonwealth Bank of Australia, 1.13%, 6/15/26(a) | | | 2,353,634 | |
See accompanying notes to the financial statements.
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AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Banks, continued | | | |
| $ | 400,000 | | | Dexia Credit Local SA, 1.13%, 4/9/26(a) | | $ | 394,863 | |
| | 3,850,000 | | | Dexia Credit Local SA, 1.13%, 4/9/26 | | | 3,800,554 | |
| | 3,540,000 | | | Kreditanstalt fuer Wiederaufbau, 0.63%, 1/22/26 | | | 3,453,373 | |
| | 1,000,000 | | | National Australia Bank, Ltd./New York, 3.38%, 1/14/26 | | | 1,076,757 | |
| | 3,000,000 | | | Nordea Bank Abp, 0.75%, 8/28/25(a) | | | 2,924,919 | |
| | 1,000,000 | | | Nordic Investment Bank, 0.50%, 1/21/26^ | | | 969,853 | |
| | 2,000,000 | | | Oesterreichische Kontrollbank AG, 0.38%, 9/17/25 | | | 1,938,536 | |
| | 2,000,000 | | | Oesterreichische Kontrollbank AG, 0.50%, 2/2/26, MTN | | | 1,937,706 | |
| | 2,000,000 | | | Skandinaviska Enskilda Banken AB, 0.85%, 9/2/25(a) | | | 1,956,200 | |
| | 7,100,000 | | | Skandinaviska Enskilda Banken AB, 1.20%, 9/9/26(a) | | | 6,964,028 | |
| | 3,860,000 | | | Toronto-Dominion Bank (The), 0.75%, 1/6/26, MTN | | | 3,729,316 | |
| | 19,000 | | | Toronto-Dominion Bank (The), 1.20%, 6/3/26 | | | 18,664 | |
| | 1,891,000 | | | Westpac Banking Corp., 2.35%, 2/19/25 | | | 1,951,866 | |
| | 1,000,000 | | | Westpac Banking Corp., 2.85%, 5/13/26 | | | 1,055,113 | |
| | 3,490,000 | | | Westpac Banking Corp., 1.15%, 6/3/26 | | | 3,434,111 | |
| | | | | | | | |
| | | | | | | 38,931,997 | |
| | | | | | | | |
| Capital Markets (0.6%): | | | |
| | 2,681,000 | | | PSP Capital, Inc., 1.00%, 6/29/26(a) | | | 2,630,335 | |
| | | | | | | | |
| Diversified Financial Services (20.3%): | | | |
| | 6,200,000 | | | Agence Francaise de Developpement Epic, 0.63%, 1/22/26, MTN | | | 6,041,528 | |
| | 2,894,000 | | | Bng Bank NV, 0.50%, 11/24/25, MTN | | | 2,813,315 | |
| | 668,000 | | | Bng Bank NV, 0.88%, 5/18/26, MTN | | | 656,343 | |
| | 1,000,000 | | | BNG Bank NV, 2.38%, 3/16/26 | | | 1,042,680 | |
| | 7,300,000 | | | BNG Bank NV, 0.88%, 5/18/26(a) | | | 7,172,674 | |
| | 7,100,000 | | | Caisse d’Amortissement de la Dette Sociale, 0.63%, 2/18/26 | | | 6,917,622 | |
| | 400,000 | | | Caisse d’Amortissement de la Dette Sociale, 0.63%, 2/18/26(a) | | | 389,725 | |
| | 9,650,000 | | | Cppib Capital, Inc., 0.88%, 9/9/26(a) | | | 9,405,546 | |
| | 12,177,000 | | | European Bank for Reconstruction & Development, 0.50%, 1/28/26^ | | | 11,817,462 | |
| | 7,413,000 | | | European Investment Bank, 0.38%, 3/26/26 | | | 7,141,781 | |
| | 2,900,000 | | | Finnvera Oyj, 1.13%, 10/27/26(a) | | | 2,866,131 | |
| | 648,000 | | | Kommunalbanken AS, 0.38%, 9/11/25 | | | 628,860 | |
| | 1,000,000 | | | Kommunalbanken AS, 0.50%, 1/13/26, MTN | | | 971,169 | |
| | 4,800,000 | | | Kommunalbanken AS, 1.13%, 10/26/26(a) | | | 4,752,830 | |
| | 4,758,000 | | | Kommunekredit, 0.50%, 1/28/26, MTN | | | 4,616,117 | |
| | 9,600,000 | | | Landwirtschaftliche Rentenbank, 0.88%, 3/30/26 | | | 9,437,520 | |
| | 1,894,000 | | | Nrw Bank, 0.88%, 3/9/26, MTN | | | 1,862,406 | |
| | 6,750,000 | | | Ontario Teachers’ Finance Trust, 0.88%, 9/21/26(a) | | | 6,562,742 | |
| | 390,000 | | | Shell International Finance BV, 2.88%, 5/10/26 | | | 413,975 | |
| | | | | | | | |
| | | | | | | 85,510,426 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.0%): | | | |
| | 4,000,000 | | | Equinor ASA, 1.75%, 1/22/26, Callable 12/22/25 @ 100 | | | 4,027,116 | |
| | | | | | | | |
| Sovereign Bond (18.2%): | | | |
| | 6,050,000 | | | African Development Bank, 0.88%, 3/23/26 | | | 5,955,426 | |
| | 5,400,000 | | | African Development Bank, 0.88%, 7/22/26 | | | 5,299,749 | |
| | 4,200,000 | | | Asian Development Bank, 0.50%, 2/4/26, MTN | | | 4,078,834 | |
| | 7,700,000 | | | Asian Development Bank, 1.00%, 4/14/26 | | | 7,621,152 | |
| | 7,687,000 | | | Asian Infrastructure Investment Bank (The), 0.50%, 1/27/26 | | | 7,457,312 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Sovereign Bond, continued | | | |
| $ | 4,000,000 | | | Canada Government International Bond, 0.75%, 5/19/26 | | $ | 3,908,984 | |
| | 9,850,000 | | | Inter-American Development Bank, 0.88%, 4/20/26, MTN | | | 9,689,287 | |
| | 489,000 | | | Inter-American Investment Corp., 0.63%, 2/10/26, MTN | | | 475,778 | |
| | 4,100,000 | | | Kuntarahoitus OYJ, 0.63%, 3/20/26, MTN | | | 3,987,521 | |
| | 7,200,000 | | | Province of British Columbia Canada, 0.90%, 7/20/26 | | | 7,055,618 | |
| | 3,650,000 | | | Province of Ontario Canada, 0.63%, 1/21/26 | | | 3,545,198 | |
| | 5,800,000 | | | Province of Ontario Canada, 1.05%, 4/14/26 | | | 5,712,049 | |
| | 5,200,000 | | | SFIL SA, 0.63%, 2/9/26, MTN | | | 5,055,440 | |
| | 6,300,000 | | | State of North Rhine-Westphalia Germany, 1.00%, 4/21/26, MTN | | | 6,222,321 | |
| | | | | | | | |
| | | | | | | 76,064,669 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $210,477,916) | | | 207,164,543 | |
| | | | | | | | |
| U.S. Treasury Obligations (17.6%): | |
| U.S. Treasury Notes (17.6%) | |
| | 4,000,000 | | | 2.25%, 3/31/26 | | | 4,173,750 | |
| | 13,750,000 | | | 0.75%, 3/31/26 | | | 13,494,336 | |
| | 16,500,000 | | | 0.75%, 4/30/26 | | | 16,180,312 | |
| | 5,000,000 | | | 2.38%, 4/30/26 | | | 5,246,875 | |
| | 19,000,000 | | | 1.63%, 5/15/26 | | | 19,329,531 | |
| | 15,500,000 | | | 0.75%, 5/31/26 | | | 15,190,000 | |
| | | | | | | | |
| | | | | | | 73,614,804 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $74,776,631) | | | 73,614,804 | |
| | | | | | | | |
| Short-Term Security Held as Collateral for Securities on Loan (1.7%): | |
| | 7,029,690 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(b)(c) | | | 7,029,690 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on Loan
(Cost $7,029,690) | | | 7,029,690 | |
| | | | | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (1.1%): | |
| Money Markets (1.1%): | |
| | 4,647,557 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | $ | 4,647,557 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $4,647,557) | | | 4,647,557 | |
| | | | | | | | |
| | Total Investment Securities (Cost $435,236,128) — 101.9%(d) | | | 427,234,263 | |
| | Net other assets (liabilities) — (1.9)% | | | (8,113,843 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 419,120,420 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
BBSW3M—3 Month Bank Bill Swap Rate
MTN—Medium Term Note
| ^ | This security or a partial position of this security was on loan as of December 31, 2021. The total value of securities on loan as of December 31, 2021 was $6,841,793. |
| + | 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) | 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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
5
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
December 31, 2021
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of December 31, 2021:
(Unaudited)
| | | | |
| Country | | Percentage | |
| |
Australia | | | 9.3 | % |
Austria | | | 0.9 | % |
Canada | | | 17.6 | % |
Denmark | | | 1.1 | % |
Finland | | | 2.3 | % |
France | | | 5.3 | % |
Germany | | | 5.2 | % |
Netherlands | | | 2.8 | % |
New Zealand | | | 2.0 | % |
Norway | | | 2.4 | % |
Singapore | | | 0.3 | % |
Supernational | | | 16.3 | % |
Sweden | | | 2.1 | % |
United States | | | 32.4 | % |
| | | | |
| | | 100.0 | % |
| | | | |
Forward Currency Contracts
At December 31, 2021, the Fund’s open forward currency contracts were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
Canadian Dollar | | | 3,512,784 | | | U.S. Dollar | | | 2,735,372 | | | BNY Mellon | | | 1/5/22 | | | $ | 41,975 | |
Canadian Dollar | | | 30,061,561 | | | U.S. Dollar | | | 23,657,795 | | | HSBC | | | 1/5/22 | | | | 110,073 | |
U.S. Dollar | | | 34,976,652 | | | Canadian Dollar | | | 44,175,340 | | | State Street | | | 1/5/22 | | | | 49,866 | |
Canadian Dollar | | | 9,526,840 | | | U.S. Dollar | | | 7,454,832 | | | State Street | | | 1/5/22 | | | | 77,468 | |
U.S. Dollar | | | 1,214,537 | | | Australian Dollar | | | 1,634,993 | | | HSBC | | | 1/7/22 | | | | 25,218 | |
U.S. Dollar | | | 434,846 | | | Australian Dollar | | | 587,643 | | | State Street | | | 1/7/22 | | | | 7,385 | |
U.S. Dollar | | | 345,822 | | | Australian Dollar | | | 467,175 | | | State Street | | | 1/7/22 | | | | 5,992 | |
Norwegian Krone | | | 1,529,399 | | | U.S. Dollar | | | 170,944 | | | Bank of America | | | 1/20/22 | | | | 2,733 | |
Norwegian Krone | | | 1,950,849 | | | U.S. Dollar | | | 219,620 | | | Barclays Bank | | | 1/20/22 | | | | 1,915 | |
Norwegian Krone | | | 1,042,449 | | | U.S. Dollar | | | 115,882 | | | HSBC | | | 1/20/22 | | | | 2,497 | |
U.S. Dollar | | | 1,598,734 | | | Norwegian Krone | | | 13,402,402 | | | HSBC | | | 1/20/22 | | | | 76,776 | |
U.S. Dollar | | | 809,719 | | | Canadian Dollar | | | 1,002,759 | | | State Street | | | 1/26/22 | | | | 16,893 | |
U.S. Dollar | | | 7,569,938 | | | New Zealand Dollar | | | 11,031,180 | | | Citigroup | | | 2/3/22 | | | | 20,753 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 439,544 | |
| | | | | | | | | | | | | | | | | | | | |
Canadian Dollar | | | 502,452 | | | U.S. Dollar | | | 398,380 | | | Bank of America | | | 1/5/22 | | | | (1,121 | ) |
Canadian Dollar | | | 571,703 | | | U.S. Dollar | | | 462,221 | | | Bank of America | | | 1/5/22 | | | | (10,209 | ) |
U.S. Dollar | | | 7,103,477 | | | Canadian Dollar | | | 8,986,318 | | | BNY Mellon | | | 1/26/22 | | | | (1,503 | ) |
U.S. Dollar | | | 35,523,128 | | | Australian Dollar | | | 49,333,429 | | | BNY Mellon | | | 2/1/22 | | | | (365,457 | ) |
U.S. Dollar | | | 4,235,724 | | | Canadian Dollar | | | 5,473,877 | | | Bank of America | | | 2/2/22 | | | | (92,144 | ) |
U.S. Dollar | | | 23,561,644 | | | Canadian Dollar | | | 29,940,801 | | | HSBC | | | 2/9/22 | | | | (110,417 | ) |
U.S. Dollar | | | 1,140,325 | | | Singapore Dollar | | | 1,560,510 | | | HSBC | | | 3/11/22 | | | | (17,503 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (598,354 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Net Forward Currency Contracts | | | | | | | | | | | | | | | $ | (158,810 | ) |
| | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
| | | | | | | | | | |
| | | Unrealized
Appreciation | | Unrealized
Depreciation |
Forward currency contracts | | | $ | 439,544 | | | | $ | (598,354 | ) |
See accompanying notes to the financial statements.
6
AZL DFA Five-Year Global Fixed Income Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 435,236,128 | |
| | | | | |
Investment securities, at value(a) | | | $ | 427,234,263 | |
Interest and dividends receivable | | | | 1,416,822 | |
Foreign currency, at value (cost $55,170) | | | | 55,909 | |
Unrealized appreciation on forward currency contracts | | | | 439,544 | |
Receivable for capital shares issued | | | | 1,463 | |
Prepaid expenses | | | | 2,012 | |
| | | | | |
Total Assets | | | | 429,150,013 | |
| | | | | |
Liabilities: | | | | | |
Unrealized depreciation on forward currency contracts | | | | 598,354 | |
Payable for investments purchased | | | | 2,045,429 | |
Payable for capital shares redeemed | | | | 43 | |
Payable for collateral received on loaned securities | | | | 7,029,690 | |
Manager fees payable | | | | 178,158 | |
Administration fees payable | | | | 63,822 | |
Distribution fees payable | | | | 89,079 | |
Custodian fees payable | | | | 6,135 | |
Administrative and compliance services fees payable | | | | 815 | |
Transfer agent fees payable | | | | 1,275 | |
Trustee fees payable | | | | 4,578 | |
Other accrued liabilities | | | | 12,215 | |
| | | | | |
Total Liabilities | | | | 10,029,593 | |
| | | | | |
Net Assets | | | $ | 419,120,420 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 419,958,591 | |
Total distributable earnings | | | | (838,171 | ) |
| | | | | |
Net Assets | | | $ | 419,120,420 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 44,150,014 | |
Net Asset Value (offering and redemption price per share) | | | $ | 9.49 | |
| | | | | |
| (a) | Includes securities on loan of $6,841,793. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 3,006,524 | |
Dividends | | | | 533 | |
Income from securities lending | | | | 7,815 | |
| | | | | |
Total Investment Income | | | | 3,014,872 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 2,534,205 | |
Administration fees | | | | 161,416 | |
Distribution fees | | | | 1,055,914 | |
Custodian fees | | | | 35,297 | |
Administrative and compliance services fees | | | | 4,756 | |
Transfer agent fees | | | | 4,883 | |
Trustee fees | | | | 19,955 | |
Professional fees | | | | 17,559 | |
Shareholder reports | | | | 7,907 | |
Other expenses | | | | 7,362 | |
| | | | | |
Total expenses before reductions | | | | 3,849,254 | |
Less Management fees contractually waived | | | | (422,362 | ) |
| | | | | |
Net expenses | | | | 3,426,892 | |
| | | | | |
Net Investment Income/(Loss) | | | | (412,020 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 15,598,865 | |
Net realized gains/(losses) on forward currency contracts | | | | (7,231,926 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | (26,587,759 | ) |
Change in net unrealized appreciation/depreciation on forward currency contracts | | | | 11,783,062 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | (6,437,758 | ) |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | (6,849,778 | ) |
| | | | | |
See accompanying notes to the financial statements.
7
AZL DFA Five-Year Global Fixed Income Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | (412,020 | ) | | | $ | (1,349,356 | ) |
Net realized gains/(losses) on investments | | | | 8,366,939 | | | | | (12,673,211 | ) |
Change in unrealized appreciation/depreciation on investments | | | | (14,804,697 | ) | | | | 16,558,191 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | (6,849,778 | ) | | | | 2,535,624 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | — | | | | | (9,025,103 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | — | | | | | (9,025,103 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 27,868,290 | | | | | 65,979,498 | |
Proceeds from dividends reinvested | | | | — | | | | | 9,025,103 | |
Value of shares redeemed | | | | (12,268,944 | ) | | | | (92,427,834 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 15,599,346 | | | | | (17,423,233 | ) |
| | | | | | | | | | |
Change in net assets | | | | 8,749,568 | | | | | (23,912,712 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 410,370,852 | | | | | 434,283,564 | |
| | | | | | | | | | |
End of period | | | $ | 419,120,420 | | | | $ | 410,370,852 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 2,894,674 | | | | | 6,746,246 | |
Dividends reinvested | | | | — | | | | | 935,244 | |
Shares redeemed | | | | (1,276,633 | ) | | | | (9,378,049 | ) |
| | | | | | | | | | |
Change in shares | | | | 1,618,041 | | | | | (1,696,559 | ) |
| | | | | | | | | | |
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
8
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 9.65 | | | | $ | 9.82 | | | | $ | 10.06 | | | | $ | 10.00 | | | | $ | 9.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | (0.01 | )(a) | | | | (0.03 | )(a) | | | | 0.01 | (a) | | | | 0.06 | | | | | 0.11 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.15 | ) | | | | 0.09 | | | | | 0.34 | | | | | 0.06 | | | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | (0.16 | ) | | | | 0.06 | | | | | 0.35 | | | | | 0.12 | | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | — | | | | | (0.23 | ) | | | | (0.59 | ) | | | | (0.06 | ) | | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | — | | | | | (0.23 | ) | | | | (0.59 | ) | | | | (0.06 | ) | | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.49 | | | | $ | 9.65 | | | | $ | 9.82 | | | | $ | 10.06 | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | (1.66 | )% | | | | 0.57 | % | | | | 3.50 | % | | | | 1.17 | % | | | | 1.57 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 419,120 | | | | $ | 410,371 | | | | $ | 434,284 | | | | $ | 460,894 | | | | $ | 506,088 | |
Net Investment Income/(Loss) | | | | (0.10 | )% | | | | (0.34 | )% | | | | 0.12 | % | | | | 0.45 | % | | | | 1.11 | % |
Expenses Before Reductions(c) | | | | 0.91 | % | | | | 0.93 | % | | | | 0.92 | % | | | | 0.91 | % | | | | 0.90 | % |
Expenses Net of Reductions | | | | 0.81 | % | | | | 0.83 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.80 | % |
Portfolio Turnover Rate | | | | 122 | % | | | | 62 | % | | | | 35 | % | | | | 69 | % | | | | 83 | % |
| (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.
9
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 on the cash collateral
10
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
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, 2021 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 $777 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $7,029,690 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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, 2021, the monthly average notional amount for long contracts was $35.8 million and the monthly average notional amount for short contracts was $199.9 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | | |
Foreign Exchange Risk | | | | | | | | | | | | |
| | | | |
| Forward Currency Contracts | | Unrealized appreciation on forward currency contracts | | $ | 439,544 | | | Unrealized depreciation on forward currency contracts | | $ | 598,354 | |
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, 2021:
| | | | | | | | | | |
| 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 | | $ | (7,231,926 | ) | | $ | 11,783,062 | |
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, 2021. 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, 2021.
11
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
As of December 31, 2021, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
| | |
Derivative Financial Instruments: | | | | | | | | | | |
Forward currency contracts | | | $ | 439,544 | | | | $ | 598,354 | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | 439,544 | | | | | 598,354 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | — | | | | | — | |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | 439,544 | | | | $ | 598,354 | |
| | | | | | | | | | |
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 2,733 | | | | $ | (2,733 | ) | | | $ | — | | | | $ | — | | | | $ | — | |
Barclays | | | | 1,915 | | | | | — | | | | | — | | | | | — | | | | | 1,915 | |
BNY Mellon | | | | 41,975 | | | | | (41,975 | ) | | | | — | | | | | — | | | | | — | |
Citigroup | | | | 20,753 | | | | | — | | | | | — | | | | | — | | | | | 20,753 | |
HSBC | | | | 214,564 | | | | | (127,920 | ) | | | | — | | | | | — | | | | | 86,644 | |
State Street | | | | 157,604 | | | | | — | | | | | — | | | | | — | | | | | 157,604 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 439,544 | | | | $ | (172,628 | ) | | | $ | — | | | | $ | — | | | | $ | 266,916 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 103,474 | | | | $ | (2,733 | ) | | | $ | — | | | | $ | — | | | | $ | 100,741 | |
BNY Mellon | | | | 366,960 | | | | | (41,975 | ) | | | | — | | | | | — | | | | | 324,985 | |
HSBC | | | | 127,920 | | | | | (127,920 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 598,354 | | | | $ | (172,628 | ) | | | $ | — | | | | $ | — | | | | $ | 425,726 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. 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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
12
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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 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. These procedures include the Fund’s use of 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.
13
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
The following is a summary of the valuation inputs used as of December 31, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Corporate Bonds+ | | | $ | — | | | | $ | 53,045,860 | | | | $ | — | | | | $ | 53,045,860 | |
Foreign Bonds+ | | | | — | | | | | 81,731,809 | | | | | — | | | | | 81,731,809 | |
Yankee Debt Obligations+ | | | | — | | | | | 207,164,543 | | | | | — | | | | | 207,164,543 | |
U.S. Treasury Obligations | | | | — | | | | | 73,614,804 | | | | | — | | | | | 73,614,804 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 7,029,690 | | | | | — | | | | | — | | | | | 7,029,690 | |
Unaffiliated Investment Company | | | | 4,647,557 | | | | | — | | | | | — | | | | | 4,647,557 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 11,677,247 | | | | | 415,557,016 | | | | | — | | | | | 427,234,263 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | — | | | | | (158,810 | ) | | | | — | | | | | (158,810 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 11,677,247 | | | | $ | 415,398,206 | | | | $ | — | | | | $ | 427,075,453 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 575,395,048 | | | | $ | 482,100,190 | |
For the year ended December 31, 2021, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 186,635,519 | | | | $ | 111,637,647 | |
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business
14
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $435,242,727. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 172,673 | |
Unrealized (depreciation) | | | (8,181,137 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | (8,008,464 | ) |
| | | | |
As of the end of its tax year ended December 31, 2021, the Fund had 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.
During the year ended December 31, 2021, the Fund utilized $1,035,176 in CLCFs to offset capital gains.
CLCFs not subject to expiration:
| | | | | | | | | | | | | | | |
| | | Short-Term Amount | | Long-Term Amount | | Total Amount |
| | | |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | 1,403,790 | | | | $ | 5,911,737 | | | | $ | 7,315,527 | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term Capital Gains | | Total Distributions(a) |
AZL DFA Five-Year Global Fixed Income Fund | | | $ | – | | | | $ | – | | | | $ | – | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 14,502,306 | | | | $ | – | | | | $ | (7,315,527 | ) | | | $ | (8,024,950 | ) | | | $ | (838,171 | ) |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, and other miscellaneous differences. |
15
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
December 31, 2021
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, 2021, 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 the shareholder 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.
16
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
17
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the 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.
18
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
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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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
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Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee
| | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM
Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
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| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® DFA International Core Equity Fund
Annual Report
December 31, 2021
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.
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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, 2021?
For the year ended December 31, 2021, the AZL® DFA International Core Equity Fund (the “Fund”) returned 13.05%. That compared to an 11.78% and 13.17% total return for its benchmarks, the MSCI EAFE Index and the MSCI World Ex-USA Index, respectively, each gross of withholding taxes.1
Developed market equities outside the United States posted positive performance for the year and outperformed emerging markets while trailing U.S. markets. While most currencies in developed markets depreciated relative to the U.S. dollar, there were exceptions — such as the Israeli shekel and Canadian dollar — which appreciated relative to the U.S. dollar. Overall, these currency movements had a negative impact on the Fund’s relative returns in U.S. dollar-denominated terms.
Within the developed ex-U.S. equity universe, small-cap stocks underperformed large-cap stocks, and mid-cap stocks underperformed both small-cap and large-cap stocks. Value stocks outperformed growth stocks across all market cap sizes.
The Fund’s emphasis on value stocks contributed positively to relative performance. Compared to the MSCI EAFE Index, the portfolio’s inclusion of Canadian stocks benefited relative results, as these stocks generally performed well during the period.
At the global level, the Fund’s performance was largely in line with the MSCI World ex-USA Index.
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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
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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.
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| Average Annual Total Returns as of December 31, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | Since
Inception
(4/27/15) |
AZL® DFA International Core Equity Fund | | | | 13.05 | % | | | | 13.54 | % | | | | 8.73 | % | | | | 5.34 | % |
MSCI EAFE Index (gross of withholding taxes) | | | | 11.78 | % | | | | 14.08 | % | | | | 10.07 | % | | | | 5.96 | % |
MSCI EAFE Index (net of withholding taxes) | | | | 11.26 | % | | | | 13.54 | % | | | | 9.55 | % | | | | 5.46 | % |
MSCI World Ex-USA Index (gross of withholding taxes) | | | | 13.17 | % | | | | 14.64 | % | | | | 10.18 | % | | | | 6.09 | % |
MSCI World Ex-USA Index (net of withholding taxes) | | | | 12.62 | % | | | | 14.07 | % | | | | 9.63 | % | | | | 5.56 | % |
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 | | | | 1.34 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.75% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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.
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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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA International Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,014.90 | | | | $ | 5.79 | | | | | 1.14 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA International Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,019.46 | | | | $ | 5.80 | | | | | 1.14 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 19.6 | % |
| |
Financials | | | | 15.7 | |
| |
Consumer Discretionary | | | | 13.4 | |
| |
Materials | | | | 11.5 | |
| |
Consumer Staples | | | | 7.8 | |
| |
Health Care | | | | 7.6 | |
| |
Information Technology | | | | 7.4 | |
| |
Communication Services | | | | 5.7 | |
| |
Energy | | | | 4.8 | |
| |
Utilities | | | | 3.4 | |
| |
Real Estate | | | | 2.4 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.3 | |
| |
Warrants | | | | — | † |
| | |
Rights | | | | — | † |
| | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.4 | |
| |
Unaffiliated Investment Company | | | | 0.2 | |
| | | | | |
| |
Total Investment Securities | | | | 99.9 | |
| |
Net other assets (liabilities) | | | | 0.1 | |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
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AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.0%): | | | |
| Aerospace & Defense (0.8%): | | | |
| | 3,860 | | | Airbus SE* | | $ | 492,930 | |
| | 512 | | | Avon Rubber plc | | | 7,771 | |
| | 48,629 | | | BAE Systems plc | | | 362,285 | |
| | 26,524 | | | Bombardier, Inc., Class B* | | | 35,231 | |
| | 1,189 | | | CAE, Inc.* | | | 29,998 | |
| | 3,081 | | | Chemring Group plc | | | 12,349 | |
| | 350 | | | Dassault Aviation SA | | | 37,815 | |
| | 223 | | | Elbit Systems, Ltd. | | | 38,654 | |
| | 89 | | | Facc AG* | | | 714 | |
| | 1,604 | | | Kongsberg Gruppen ASA | | | 52,077 | |
| | 9,452 | | | Leonardo SpA* | | | 67,440 | |
| | 1,132 | | | LISI | | | 36,541 | |
| | 19,535 | | | Meggitt plc* | | | 195,166 | |
| | 489 | | | MTU Aero Engines AG | | | 99,412 | |
| | 19,005 | | | QinetiQ Group plc | | | 68,395 | |
| | 84,719 | | | Rolls-Royce Holdings plc* | | | 141,266 | |
| | 2,553 | | | Saab AB | | | 64,946 | |
| | 527 | | | Safran SA | | | 64,719 | |
| | 15,312 | | | Senior plc* | | | 30,480 | |
| | 17,800 | | | Singapore Technologies Engineering, Ltd. | | | 49,712 | |
| | 1,841 | | | Thales SA | | | 156,660 | |
| | 2,146 | | | Ultra Electronics Holdings plc | | | 92,332 | |
| | | | | | | | |
| | | | | | | 2,136,893 | |
| | | | | | | | |
| Air Freight & Logistics (0.7%): | | | |
| | 4,417 | | | BPOST SA* | | | 38,567 | |
| | 2,399 | | | Cia de Distribucion Integral Logista Holdings SA | | | 47,768 | |
| | 6,355 | | | CTT-Correios de Portugal SA | | | 32,839 | |
| | 9,012 | | | Deutsche Post AG | | | 580,020 | |
| | 5,994 | | | Freightways, Ltd. | | | 52,716 | |
| | 73 | | | ID Logistics Group* | | | 30,528 | |
| | 37,500 | | | Kerry Network, Ltd. | | | 91,692 | |
| | 2,300 | | | Kintetsu World Express, Inc. | | | 59,803 | |
| | 1,800 | | | Konoike Transport Co., Ltd. | | | 19,284 | |
| | 1,428 | | | Mainfreight, Ltd. | | | 91,872 | |
| | 900 | | | Maruwa Unyu Kikan Co., Ltd. | | | 11,395 | |
| | 1,800 | | | Mitsui-Soko Holdings Co., Ltd. | | | 38,913 | |
| | 1,146 | | | Oesterreichische Post AG | | | 49,250 | |
| | 22,618 | | | PostNL NV | | | 98,193 | |
| | 26,724 | | | Royal Mail plc | | | 183,288 | |
| | 900 | | | SBS Holdings, Inc. | | | 25,553 | |
| | 3,000 | | | SG Holdings Co., Ltd. | | | 70,254 | |
| | 27,700 | | | Singapore Post, Ltd. | | | 13,364 | |
| | 5,312 | | | Wincanton plc | | | 26,428 | |
| | 4,600 | | | Yamato Holdings Co., Ltd. | | | 107,891 | |
| | | | | | | | |
| | | | | | | 1,669,618 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 26,921 | | | Air New Zealand, Ltd.* | | | 27,839 | |
| | 1,200 | | | ANA Holdings, Inc.* | | | 25,091 | |
| | 33,347 | | | Cathay Pacific Airways, Ltd.* | | | 27,330 | |
| | 6,007 | | | Deutsche Lufthansa AG, Registered Shares* | | | 42,268 | |
| | 5,559 | | | easyJet plc* | | | 41,739 | |
| | 1,128 | | | Exchange Income Corp. | | | 37,582 | |
| | 2,400 | | | Japan Airlines Co., Ltd.* | | | 45,831 | |
| | 2,549 | | | JET2 plc* | | | 38,303 | |
| | 6,700 | | | Singapore Airlines, Ltd.* | | | 24,839 | |
| | | | | | | | |
| | | | | | | 310,822 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Auto Components (1.9%): | | | |
| | 1,000 | | | Aisan Industry Co., Ltd. | | $ | 6,661 | |
| | 3,500 | | | Aisin Sieki Co., Ltd. | | | 134,224 | |
| | 7,300 | | | Akebono Brake Industry Co., Ltd.* | | | 11,743 | |
| | 1,027 | | | Akwel | | | 25,434 | |
| | 1,375 | | | Arb Corp., Ltd. | | | 52,538 | |
| | 202 | | | Autoneum Holding AG* | | | 37,601 | |
| | 3,367 | | | Brembo SpA | | | 47,810 | |
| | 4,000 | | | Bridgestone Corp. | | | 172,143 | |
| | 1,647 | | | Bulten AB | | | 16,878 | |
| | 2,344 | | | CIE Automotive SA | | | 72,447 | |
| | 3,565 | | | Compagnie Generale des Establissements Michelin SCA, Class B | | | 584,315 | |
| | 1,922 | | | Continental AG* | | | 203,464 | |
| | 2,800 | | | Daido Metal Co., Ltd. | | | 14,755 | |
| | 2,400 | | | Daikyonishikawa Corp. | | | 12,209 | |
| | 1,600 | | | Denso Corp. | | | 132,141 | |
| | 8,224 | | | Dometic Group AB(a) | | | 107,497 | |
| | 1,800 | | | Eagle Industry Co., Ltd. | | | 17,281 | |
| | 673 | | | Edag Engineering Group AG* | | | 9,073 | |
| | 1,724 | | | ElringKlinger AG* | | | 21,778 | |
| | 1,500 | | | Exco Technologies, Ltd. | | | 12,227 | |
| | 1,700 | | | Exedy Corp. | | | 24,613 | |
| | 4,682 | | | Faurecia SA | | | 222,709 | |
| | 483 | | | Faurecia SE | | | 22,549 | |
| | 2,300 | | | FCC Co., Ltd. | | | 29,940 | |
| | 1,000 | | | F-Tech, Inc. | | | 5,165 | |
| | 4,000 | | | Futaba Industrial Co., Ltd. | | | 15,131 | |
| | 1,400 | | | G-Tekt Corp. | | | 17,397 | |
| | 6,116 | | | Gud Holdings, Ltd. | | | 50,598 | |
| | 560 | | | Hella GmbH & Co. KGaA | | | 38,079 | |
| | 1,600 | | | Hi-Lex Corp. | | | 20,853 | |
| | 700 | | | H-One Co., Ltd. | | | 4,115 | |
| | 300 | | | Imasen Electric Industrial | | | 1,543 | |
| | 19,355 | | | Johnson Electric Holdings, Ltd. | | | 41,023 | |
| | 6,700 | | | JTEKT Corp. | | | 58,556 | |
| | 1,800 | | | Kasai Kogyo Co., Ltd.* | | | 4,586 | |
| | 258 | | | Kendrion NV | | | 6,169 | |
| | 900 | | | Koito Manufacturing Co., Ltd. | | | 47,664 | |
| | 25,060 | | | Kongsberg Automotive ASA* | | | 8,587 | |
| | 1,000 | | | KYB Corp. | | | 28,045 | |
| | 1,544 | | | Leoni AG* | | | 17,402 | |
| | 1,933 | | | Linamar Corp. | | | 114,516 | |
| | 3,438 | | | Magna International, Inc. | | | 278,272 | |
| | 2,811 | | | Magna Internationl, Inc. | | | 227,471 | |
| | 4,266 | | | Martinrea International, Inc. | | | 38,788 | |
| | 2,000 | | | Mitsuba Corp.* | | | 7,809 | |
| | 3,200 | | | Musashi Seimitsu Industry Co., Ltd. | | | 53,289 | |
| | 4,800 | | | NGK Spark Plug Co., Ltd. | | | 83,604 | |
| | 6,600 | | | NHK SPRING Co., Ltd. | | | 56,131 | |
| | 600 | | | Nichirin Co., Ltd. | | | 8,600 | |
| | 2,900 | | | Nifco, Inc. | | | 91,041 | |
| | 2,200 | | | Nippon Seiki Co., Ltd. | | | 22,210 | |
| | 2,700 | | | NOK Corp. | | | 29,352 | |
| | 4,876 | | | Nokian Renkaat OYJ | | | 184,082 | |
| | 2,600 | | | Pacific Industrial Co., Ltd. | | | 27,471 | |
| | 13,329 | | | Pirelli & C SpA(a) | | | 91,977 | |
| | 1,743 | | | Plastic Omnium SA | | | 45,323 | |
See accompanying notes to the financial statements.
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AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Auto Components, continued | | | |
| | 6,300 | | | Press Kogyo Co., Ltd. | | $ | 21,366 | |
| | 3,582 | | | PWR Holdings, Ltd. | | | 22,387 | |
| | 400 | | | Riken Corp. | | | 8,953 | |
| | 2,542 | | | SAF-Holland SE* | | | 35,610 | |
| | 1,900 | | | Sanoh Industrial Co., Ltd. | | | 15,631 | |
| | 2,535 | | | Schaeffler AG | | | 21,025 | |
| | 1,200 | | | Shoei Co., Ltd. | | | 47,272 | |
| | 2,300 | | | Stanley Electric Co., Ltd. | | | 57,583 | |
| | 12,500 | | | Sumitomo Electric Industries, Ltd. | | | 162,997 | |
| | 2,900 | | | Sumitomo Riko Co., Ltd. | | | 14,947 | |
| | 7,700 | | | Sumitomo Rubber Industries, Ltd. | | | 78,476 | |
| | 300 | | | T RAD Co., Ltd. | | | 7,294 | |
| | 1,400 | | | Tachi-S Co., Ltd. | | | 15,357 | |
| | 800 | | | Taiho Kogyo Co., Ltd. | | | 5,649 | |
| | 8,119 | | | TI Fluid Systems plc(a) | | | 27,948 | |
| | 2,500 | | | Tokai Rika Co., Ltd. | | | 33,653 | |
| | 2,500 | | | Topre Corp. | | | 25,892 | |
| | 4,500 | | | Toyo Tire Corp. | | | 69,931 | |
| | 1,700 | | | Toyoda Gosei Co., Ltd. | | | 36,987 | |
| | 3,500 | | | Toyota Boshoku Corp. | | | 68,665 | |
| | 700 | | | Toyota Industries Corp. | | | 55,942 | |
| | 1,500 | | | TPR Co., Ltd. | | | 18,600 | |
| | 2,800 | | | TS Tech Co., Ltd. | | | 34,429 | |
| | 2,000 | | | Unipres Corp. | | | 13,983 | |
| | 5,637 | | | Valeo SA | | | 170,369 | |
| | 384 | | | Vitesco Technologies Group AG* | | | 18,837 | |
| | 5,200 | | | Yokohama Rubber Co., Ltd. (The) | | | 83,339 | |
| | 600 | | | Yorozu Corp. | | | 5,598 | |
| | | | | | | | |
| | | | | | | 4,895,599 | |
| | | | | | | | |
| Automobiles (2.3%): | | | |
| | 6,553 | | | Bayerische Motoren Werke AG (BMW) | | | 660,298 | |
| | 12,614 | | | Daimler AG, Registered Shares | | | 968,537 | |
| | 822 | | | Ferrari NV | | | 212,750 | |
| | 630 | | | Honda Motor Co., Ltd., ADR | | | 17,923 | |
| | 11,100 | | | Honda Motor Co., Ltd. | | | 311,770 | |
| | 8,600 | | | Isuzu Motors, Ltd. | | | 107,020 | |
| | 7,900 | | | Mazda Motor Corp.* | | | 60,797 | |
| | 8,800 | | | Mitsubishi Motors Corp.* | | | 24,471 | |
| | 20,000 | | | Nissan Motor Co., Ltd.* | | | 96,665 | |
| | 2,700 | | | Nissan Shatai Co., Ltd. | | | 16,552 | |
| | 8,981 | | | Piaggio & C SpA | | | 29,226 | |
| | 4,600 | | | Renault SA* | | | 159,730 | |
| | 538 | | | Stellantis NV | | | 10,101 | |
| | 41,274 | | | Stellantis NV | | | 782,241 | |
| | 11,600 | | | Subaru Corp. | | | 207,492 | |
| | 2,300 | | | Suzuki Motor Corp. | | | 88,584 | |
| | 89,620 | | | Toyota Motor Corp. | | | 1,654,661 | |
| | 504 | | | Volkswagen AG | | | 148,226 | |
| | 5,100 | | | Yamaha Motor Co., Ltd. | | | 122,360 | |
| | | | | | | | |
| | | | | | | 5,679,404 | |
| | | | | | | | |
| Banks (7.7%): | | | |
| | 3,000 | | | 77th Bank | | | 34,827 | |
| | 5,339 | | | ABN AMRO Group NV(a) | | | 78,480 | |
| | 15,084 | | | AIB Group plc* | | | 36,753 | |
| | 500 | | | Aichi Bank, Ltd. (The) | | | 20,282 | |
| | 1,500 | | | Akita Bank, Ltd. (The) | | | 21,326 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 2,146 | | | Aktia Bank OYJ | | $ | 29,982 | |
| | 1,200 | | | Aomori Bank, Ltd. (The) | | | 18,483 | |
| | 3,300 | | | Aozora Bank, Ltd. | | | 72,207 | |
| | 19,030 | | | Australia & New Zealand Banking Group, Ltd. | | | 380,914 | |
| | 1,000 | | | Awa Bank, Ltd. (The) | | | 18,875 | |
| | 19,504 | | | Banca Monte dei Paschi di Siena SpA*^ | | | 19,654 | |
| | 21,166 | | | Banca Popolare di Sondrio SCPA | | | 88,935 | |
| | 7,989 | | | Banco Bilbao Vizcaya Argentaria SA | | | 47,426 | |
| | 29,969 | | | Banco Bilbao Vizcaya Argentaria SA, ADR | | | 175,918 | |
| | 44,790 | | | Banco Bpm SpA | | | 134,261 | |
| | 106,975 | | | Banco Comercial Portugues SA, Class R* | | | 17,154 | |
| | 238,968 | | | Banco de Sabadell SA* | | | 158,412 | |
| | 107,881 | | | Banco Santander SA | | | 360,045 | |
| | 6,287 | | | Banco Santander SA, ADR | | | 20,684 | |
| | 8,101 | | | Bank Hapoalim BM | | | 83,497 | |
| | 14,148 | | | Bank Leumi Le-Israel Corp. | | | 152,162 | |
| | 36,738 | | | Bank of East Asia, Ltd. (The) | | | 52,735 | |
| | 974 | | | Bank of Georgia Group plc | | | 21,982 | |
| | 29,096 | | | Bank of Ireland Group plc* | | | 165,058 | |
| | 900 | | | Bank of Iwate, Ltd. (The) | | | 14,619 | |
| | 1,200 | | | Bank of Kyoto, Ltd. (The) | | | 55,556 | |
| | 6,126 | | | Bank of Montreal | | | 659,893 | |
| | 980 | | | Bank of Montreal | | | 105,524 | |
| | 500 | | | Bank of Nagoya, Ltd. (The) | | | 11,906 | |
| | 9,618 | | | Bank of Nova Scotia | | | 689,514 | |
| | 22,032 | | | Bank of Queensland, Ltd. | | | 129,692 | |
| | 2,000 | | | Bank of The Ryukyus, Ltd. | | | 13,270 | |
| | 16,597 | | | Bankinter SA | | | 84,148 | |
| | 71 | | | Banque Cantonale de Geneve | | | 12,503 | |
| | 916 | | | Banque Cantonale Vaudois, Registered Shares | | | 71,163 | |
| | 23,543 | | | Barclays plc, ADR | | | 243,670 | |
| | 9,188 | | | Barclays plc | | | 23,350 | |
| | 943 | | | BAWAG Group AG(a) | | | 57,987 | |
| | 18,959 | | | Bendigo & Adelaide Bank, Ltd. | | | 125,593 | |
| | 218 | | | Berner Kantonalbank AG | | | 48,499 | |
| | 6,853 | | | BNP Paribas SA | | | 473,458 | |
| | 38,542 | | | BOC Hong Kong Holdings, Ltd. | | | 126,321 | |
| | 34,804 | | | BPER Banca | | | 71,678 | |
| | 72,467 | | | CaixaBank SA | | | 198,701 | |
| | 5,594 | | | Canadian Imperial Bank of Commerce | | | 652,037 | |
| | 200 | | | Canadian Imperial Bank of Commerce | | | 23,316 | |
| | 4,227 | | | Canadian Western Bank | | | 121,316 | |
| | 8,600 | | | Chiba Bank, Ltd. (The) | | | 49,209 | |
| | 6,200 | | | Chugoku Bank, Ltd. (The) | | | 48,576 | |
| | 700 | | | Chukyo Bank, Ltd. (The) | | | 11,038 | |
| | 31,551 | | | Commerzbank AG* | | | 240,413 | |
| | 7,457 | | | Commonwealth Bank of Australia | | | 547,992 | |
| | 12,500 | | | Concordia Financial Group, Ltd. | | | 45,437 | |
| | 7,042 | | | Credit Agricole SA | | | 100,576 | |
| | 5,165 | | | Credito Emiliano SpA | | | 34,190 | |
| | 16,000 | | | Dah Sing Banking Group, Ltd. | | | 13,666 | |
| | 5,600 | | | Dah Sing Financial Holdings, Ltd. | | | 16,950 | |
| | 1,900 | | | Daishi Hokuetsu Financial Group, Inc. | | | 41,918 | |
| | 10,124 | | | Danske Bank A/S | | | 173,045 | |
| | 7,992 | | | DBS Group Holdings, Ltd. | | | 193,539 | |
| | 6,142 | | | DNB Bank ASA | | | 140,773 | |
| | 1,600 | | | Ehime Bank, Ltd. (The) | | | 11,597 | |
See accompanying notes to the financial statements.
5
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 2,450 | | | Erste Group Bank AG | | $ | 115,161 | |
| | 650 | | | Fidea Holdings Co., Ltd. | | | 7,541 | |
| | 4,911 | | | Finecobank Banca Fineco SpA | | | 85,518 | |
| | 3,600 | | | First Bank of Toyama, Ltd. (The) | | | 9,235 | |
| | 1,816 | | | First International Bank of Israel | | | 75,675 | |
| | 1,000 | | | Fukui Bank, Ltd. (The) | | | 12,207 | |
| | 5,800 | | | Fukuoka Financial Group, Inc. | | | 99,409 | |
| | 13,200 | | | Gunma Bank, Ltd. (The) | | | 40,349 | |
| | 9,200 | | | Hachijuni Bank, Ltd. (The) | | | 31,416 | |
| | 5,105 | | | Hang Seng Bank, Ltd. | | | 93,468 | |
| | 30,196 | | | Heartland Group Holdings Npv | | | 52,152 | |
| | 11,800 | | | Hirogin Holdings, Inc. | | | 70,697 | |
| | 1,000 | | | Hokkoku Financial Holdings, Inc.* | | | 22,140 | |
| | 6,000 | | | Hokuhoku Financial Group, Inc. | | | 47,688 | |
| | 23,429 | | | HSBC Holdings plc, ADR^ | | | 706,384 | |
| | 9,400 | | | Hyakugo Bank, Ltd. (The) | | | 28,112 | |
| | 1,000 | | | Hyakujushi Bank, Ltd. (The) | | | 13,092 | |
| | 757 | | | Illimity Bank SpA* | | | 11,283 | |
| | 17,920 | | | ING Groep NV | | | 249,683 | |
| | 93,838 | | | Intesa Sanpaolo SpA | | | 242,421 | |
| | 15,332 | | | Isreal Discount Bank | | | 103,078 | |
| | 9,500 | | | Iyo Bank, Ltd. (The) | | | 47,567 | |
| | 620 | | | Jimoto Holdings, Inc. | | | 3,477 | |
| | 1,200 | | | Juroku Financial Group, Inc.* | | | 22,578 | |
| | 2,048 | | | Jyske Bank A/S* | | | 105,508 | |
| | 2,491 | | | KBC Group NV | | | 213,931 | |
| | 5,800 | | | Keiyo Bank, Ltd. (The) | | | 23,459 | |
| | 400 | | | Kita-Nippon Bank, Ltd. (The) | | | 5,531 | |
| | 2,500 | | | Kiyo Bank, Ltd. (The) | | | 30,674 | |
| | 16,490 | | | Kyushu Financial Group, Inc. | | | 59,952 | |
| | 1,296 | | | Laurentian Bank of Canada | | | 41,161 | |
| | 562 | | | Liechtensteinische Landesbank AG | | | 32,434 | |
| | 35,782 | | | Lloyds Banking Group plc | | | 23,064 | |
| | 96,996 | | | Lloyds TSB Group plc, ADR | | | 247,340 | |
| | 113 | | | Luzerner Kantonalbank AG | | | 51,441 | |
| | 24,670 | | | Mebuki Financial Group, Inc. | | | 50,778 | |
| | 11,475 | | | Mediobanca SpA | | | 131,157 | |
| | 700 | | | Michinoku Bank, Ltd. (The) | | | 4,985 | |
| | 62,500 | | | Mitsubishi UFJ Financial Group, Inc. | | | 339,618 | |
| | 800 | | | Miyazaki Bank, Ltd. (The) | | | 14,475 | |
| | 2,075 | | | Mizrahi Tefahot Bank, Ltd. | | | 80,068 | |
| | 12,880 | | | Mizuho Financial Group, Inc. | | | 163,852 | |
| | 1,300 | | | Musashino Bank, Ltd. (The) | | | 20,337 | |
| | 1,300 | | | Nanto Bank, Ltd. (The) | | | 21,940 | |
| | 25,880 | | | National Australia Bank, Ltd. | | | 543,077 | |
| | 3,432 | | | National Bank of Canada | | | 261,687 | |
| | 27,268 | | | Natwest Group plc | | | 83,073 | |
| | 4,800 | | | Nishi-Nippon Holdings, Inc. | | | 31,051 | |
| | 19,269 | | | Nordea Bank AB | | | 234,749 | |
| | 7,300 | | | North Pacific Bank, Ltd. | | | 15,860 | |
| | 1,800 | | | Ogaki Kyoritsu Bank, Ltd. (The) | | | 30,234 | |
| | 1,000 | | | Oita Bank, Ltd. (The) | | | 15,895 | |
| | 820 | | | Okinawa Financial Group, Inc.* | | | 15,742 | |
| | 17,046 | | | Oversea-Chinese Banking Corp., Ltd. | | | 144,338 | |
| | 28,000 | | | Public Financial Holdings, Ltd. | | | 9,332 | |
| | 6,482 | | | Raiffeisen International Bank-Holding AG | | | 190,615 | |
| | 33,575 | | | Resona Holdings, Inc. | | | 130,621 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 1,156 | | | Ringkjoebing Landbobank A/S | | $ | 155,300 | |
| | 5,197 | | | Royal Bank of Canada | | | 551,627 | |
| | 12,263 | | | Royal Bank of Canada | | | 1,301,595 | |
| | 1,190 | | | San Ju San Financial Group, Inc. | | | 15,232 | |
| | 6,200 | | | San-In Godo Bank, Ltd. (The) | | | 34,925 | |
| | 4,451 | | | Sbanken ASA(a) | | | 47,310 | |
| | 11,600 | | | Senshu Ikeda Holdings, Inc. | | | 17,147 | |
| | 24,500 | | | Seven Bank, Ltd. | | | 50,702 | |
| | 1,300 | | | Shiga Bank, Ltd. (The) | | | 23,389 | |
| | 1,000 | | | Shikoku Bank, Ltd. (The) | | | 6,748 | |
| | 400 | | | Shimizu Bank, Ltd. (The) | | | 5,537 | |
| | 5,900 | | | Shizuoka Bank, Ltd. (The) | | | 42,173 | |
| | 7,610 | | | Skandinaviska Enskilda Banken AB, Class A | | | 105,463 | |
| | 11,180 | | | Societe Generale | | | 383,881 | |
| | 4,543 | | | Spar Nord Bank A/S | | | 58,130 | |
| | 2,847 | | | Sparebank 1 Sr-Bank ASA | | | 43,041 | |
| | 121 | | | St. Galler Kantonalbank AG | | | 57,730 | |
| | 36,263 | | | Standard Chartered plc | | | 219,129 | |
| | 7,000 | | | Sumitomo Mitsui Financial Group, Inc. | | | 239,311 | |
| | 3,300 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 110,192 | |
| | 8,000 | | | Suruga Bank, Ltd. | | | 35,316 | |
| | 10,144 | | | Svenska Handelsbanken AB, Class A | | | 109,546 | |
| | 4,382 | | | Swedbank AB, Class A | | | 88,034 | |
| | 2,561 | | | Sydbank A/S | | | 81,036 | |
| | 6,500 | | | Toho Bank, Ltd. (The) | | | 11,982 | |
| | 1,100 | | | Tokyo Kiraboshi Financial Group, Inc. | | | 14,520 | |
| | 7,500 | | | Tomony Holdings, Inc. | | | 20,676 | |
| | 2,200 | | | Toronto-Dominion Bank (The) | | | 168,688 | |
| | 7,456 | | | Toronto-Dominion Bank (The) | | | 571,726 | |
| | 2,100 | | | Towa Bank, Ltd. (The) | | | 9,897 | |
| | 6,200 | | | Tsukuba Bank, Ltd. | | | 9,543 | |
| | 92,944 | | | Unicaja Banco SA(a) | | | 91,982 | |
| | 31,288 | | | Unicredit SpA | | | 481,597 | |
| | 7,627 | | | United Overseas Bank, Ltd. | | | 152,343 | |
| | 405 | | | Valiant Holding AG | | | 40,514 | |
| | 764 | | | Van Lanschot Kempen NV | | | 19,096 | |
| | 34,734 | | | Virgin Money UK plc* | | | 83,290 | |
| | 239 | | | Walliser Kantonalbank, Registered Shares | | | 26,502 | |
| | 25,814 | | | Westpac Banking Corp. | | | 401,253 | |
| | 1,600 | | | Yamagata Bank, Ltd. (The) | | | 12,077 | |
| | 7,200 | | | Yamaguchi Financial Group, Inc. | | | 42,115 | |
| | 1,800 | | | Yamanashi Chuo Bank, Ltd. (The) | | | 13,436 | |
| | 6 | | | Zuger Kantonalbank AG | | | 44,389 | |
| | | | | | | | |
| | | | | | | 19,449,115 | |
| | | | | | | | |
| Beverages (1.2%): | | | |
| | 1,900 | | | Andrew Peller, Ltd. | | | 12,258 | |
| | 7,966 | | | Anheuser-Busch InBev NV | | | 482,244 | |
| | 3,300 | | | Asahi Breweries, Ltd. | | | 128,092 | |
| | 10,973 | | | Britvic plc | | | 136,583 | |
| | 13,700 | | | Budweiser Brewing Co. APAC, Ltd.(a) | | | 35,934 | |
| | 14,772 | | | C&C Group plc* | | | 46,319 | |
| | 1,168 | | | Carlsberg A/S, Class B | | | 200,660 | |
| | 2,200 | | | Coca-Cola Bottlers Japan Holdings, Inc. | | | 25,252 | |
| | 3,492 | | | Coca-Cola European Partners plc | | | 194,534 | |
| | 3,318 | | | Coca-Cola HBC AG | | | 114,371 | |
| | 5,510 | | | David Campari-Milano NV | | | 80,214 | |
| | 2,815 | | | Diageo plc, ADR | | | 619,694 | |
See accompanying notes to the financial statements.
6
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages, continued | | | |
| | 812 | | | Fevertree Drinks plc | | $ | 29,716 | |
| | 1,642 | | | Heineken NV | | | 184,615 | |
| | 300 | | | ITO EN, Ltd. | | | 15,757 | |
| | 8,500 | | | Kirin Holdings Co., Ltd. | | | 136,341 | |
| | 109 | | | Laurent-Perrier | | | 12,839 | |
| | 653 | | | Olvi OYJ | | | 38,046 | |
| | 412 | | | Pernod Ricard SA | | | 99,117 | |
| | 4,250 | | | Primo Water Corp. | | | 75,000 | |
| | 194 | | | Remy Cointreau SA | | | 47,219 | |
| | 1,549 | | | Royal Unibrew A/S | | | 174,714 | |
| | 1,600 | | | Sapporo Breweries, Ltd. | | | 30,372 | |
| | 2,800 | | | Suntory Beverage & Food, Ltd. | | | 101,286 | |
| | 2,800 | | | Takara Holdings, Inc. | | | 29,729 | |
| | 6,474 | | | Treasury Wine Estates, Ltd. | | | 58,353 | |
| | | | | | | | |
| | | | | | | 3,109,259 | |
| | | | | | | | |
| Biotechnology (0.4%): | | | |
| | 569 | | | Abcam plc* | | | 13,345 | |
| | 143 | | | Argenx SE* | | | 50,537 | |
| | 1,271 | | | Bavarian Nordic A/S* | | | 52,132 | |
| | 291 | | | Biogaia AB | | | 16,658 | |
| | 2,049 | | | CSL, Ltd. | | | 433,816 | |
| | 225 | | | Galapagos NV* | | | 12,431 | |
| | 573 | | | Genmab A/S* | | | 229,458 | |
| | 634 | | | Genus plc | | | 42,291 | |
| | 3,433 | | | Grifols SA | | | 65,680 | |
| | 5,747 | | | Knight Therapeutics, Inc.* | | | 24,082 | |
| | 6,442 | | | Mesoblast, Ltd.* | | | 6,465 | |
| | 1,000 | | | Peptidream, Inc.* | | | 22,131 | |
| | 475 | | | Pharma Mar SA | | | 30,740 | |
| | 1,829 | | | Swedish Orphan Biovitrum AB* | | | 37,422 | |
| | 1,155 | | | Zealand Pharma A/S* | | | 25,535 | |
| | | | | | | | |
| | | | | | | 1,062,723 | |
| | | | | | | | |
| Building Products (1.4%): | | | |
| | 4,100 | | | AGC, Inc. | | | 195,733 | |
| | 1,100 | | | AICA Kogyo Co., Ltd. | | | 31,805 | |
| | 2,028 | | | Arbonia AG | | | 45,862 | |
| | 1,049 | | | ASSA Abloy AB, Class B | | | 31,878 | |
| | 203 | | | Belimo Holding AG, Class R | | | 128,531 | |
| | 2,400 | | | Bunka Shutter Co., Ltd. | | | 22,413 | |
| | 1,800 | | | Central Glass Co., Ltd. | | | 33,371 | |
| | 8,611 | | | Compagnie de Saint-Gobain SA | | | 605,645 | |
| | 1,200 | | | Daikin Industries, Ltd. | | | 272,272 | |
| | 114 | | | dorma kaba Holding AG | | | 75,206 | |
| | 484 | | | Geberit AG, Registered Shares | | | 394,130 | |
| | 5,784 | | | Genuit Group plc | | | 45,813 | |
| | 12,753 | | | Gwa Group, Ltd. | | | 25,531 | |
| | 3,298 | | | Inrom Construction Industries, Ltd. | | | 16,367 | |
| | 2,938 | | | Inwido AB | | | 60,377 | |
| | 2,479 | | | Kingspan Group plc | | | 296,690 | |
| | 2,801 | | | Lindab International AB | | | 99,635 | |
| | 3,900 | | | Lixil Corp. | | | 103,947 | |
| | 600 | | | Maeda Kosen Co., Ltd. | | | 20,479 | |
| | 2,700 | | | Nichias Corp. | | | 65,132 | |
| | 1,100 | | | Nichiha Corp. | | | 29,137 | |
| | 1,552 | | | Nordic Waterproofing Holding AB | | | 38,138 | |
| | 1,500 | | | Noritz Corp. | | | 21,887 | |
| | 1,400 | | | Okabe Co., Ltd. | | | 8,826 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Building Products, continued | | | |
| | 5,708 | | | Reliance Worldwide Corp., Ltd. | | $ | 26,043 | |
| | 144 | | | Rockwool International A/S | | | 52,911 | |
| | 232 | | | ROCKWOOL International A/S, Class B | | | 101,556 | |
| | 1,900 | | | Sankyo Tateyama, Inc. | | | 11,940 | |
| | 7,800 | | | Sanwa Holdings Corp. | | | 83,228 | |
| | 47 | | | Schweiter Technologies AG | | | 69,604 | |
| | 900 | | | Shin Nippon Air Technologies Co., Ltd. | | | 18,747 | |
| | 1,800 | | | Sinko Industries, Ltd. | | | 31,477 | |
| | 3,824 | | | Systemair AB | | | 43,092 | |
| | 1,800 | | | Takara Standard Co., Ltd. | | | 22,068 | |
| | 1,000 | | | TOTO, Ltd. | | | 46,004 | |
| | 7,093 | | | Tyman plc | | | 38,417 | |
| | 2,971 | | | Uponor OYJ | | | 70,799 | |
| | 32,000 | | | Xinyi Glass Holdings, Ltd. | | | 80,130 | |
| | 533 | | | Zehnder Group AG | | | 54,277 | |
| | | | | | | | |
| | | | | | | 3,419,098 | |
| | | | | | | | |
| Capital Markets (3.1%): | | | |
| | 10,264 | | | 3i Group plc | | | 200,778 | |
| | 24,792 | | | ABG Sundal Collier Holding ASA | | | 25,981 | |
| | 3,200 | | | AGF Management, Ltd. | | | 21,126 | |
| | 1,600 | | | Aizawa Securities Co., Ltd. | | | 14,205 | |
| | 2,242 | | | AJ Bell plc | | | 11,485 | |
| | 143 | | | Alantra Partners SA | | | 2,483 | |
| | 903 | | | Altamir | | | 26,104 | |
| | 817 | | | Amundi SA(a) | | | 67,436 | |
| | 7,128 | | | Anima Holding SpA(a) | | | 36,133 | |
| | 5,351 | | | Ashmore Group plc | | | 21,005 | |
| | 670 | | | ASX, Ltd. | | | 45,292 | |
| | 2,129 | | | Avanza Bank Holding AB | | | 77,985 | |
| | 4,260 | | | Azimut Holding SpA | | | 118,902 | |
| | 2,458 | | | Banca Generali SpA | | | 107,666 | |
| | 521 | | | Bellevue Group AG | | | 23,501 | |
| | 8,900 | | | Brewin Dolphin Holdings plc | | | 44,453 | |
| | 800 | | | Brookfield Asset Management, Inc., Class A | | | 48,318 | |
| | 614 | | | Brookfield Asset Management, Inc., Class A | | | 37,073 | |
| | 2,383 | | | Bure Equity AB | | | 115,311 | |
| | 2,497 | | | Canaccord Genuity Group, Inc. | | | 29,771 | |
| | 7,682 | | | CI Financial Corp. | | | 160,588 | |
| | 118 | | | Cie Financiere Tradition SA | | | 13,528 | |
| | 5,230 | | | Close Brothers Group plc | | | 99,082 | |
| | 20,849 | | | Credit Suisse Group AG | | | 202,286 | |
| | 4,319 | | | Credit Suisse Group AG, ADR | | | 41,635 | |
| | 18,300 | | | Daiwa Securities Group, Inc. | | | 103,231 | |
| | 4,462 | | | Dea Capital SpA | | | 6,651 | |
| | 10,467 | | | Deutsche Bank AG, Registered Shares* | | | 130,838 | |
| | 12,602 | | | Deutsche Bank AG, Registered Shares* | | | 158,161 | |
| | 552 | | | Deutsche Beteiligungs AG | | | 25,061 | |
| | 1,924 | | | Deutsche Boerse AG | | | 322,279 | |
| | 5,622 | | | EFG International AG | | | 42,806 | |
| | 258,000 | | | Emperor Capital Group, Ltd.* | | | 2,584 | |
| | 1,872 | | | Euronext NV(a) | | | 194,356 | |
| | 2,000 | | | Fiera Capital Corp. | | | 16,588 | |
| | 1,900 | | | Flow Traders(a) | | | 69,685 | |
| | 10,649 | | | GAM Holding AG* | | | 15,843 | |
| | 2,674 | | | Georgia Capital plc* | | | 25,809 | |
| | 824 | | | Gimv NV | | | 49,994 | |
| | 2,400 | | | GMO Financial Holdings, Inc. | | | 17,635 | |
See accompanying notes to the financial statements.
7
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 1,175 | | | Guardian Capital Group, Ltd., Class A | | $ | 32,422 | |
| | 142,000 | | | Guotai Junan International Hol | | | 19,670 | |
| | 135,243 | | | Haitong International Securities | | | 29,145 | |
| | 5,422 | | | Hargreaves Lansdown plc | | | 99,480 | |
| | 7,894 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 461,413 | |
| | 2,100 | | | iFAST Corp., Ltd. | | | 13,093 | |
| | 11,954 | | | IG Group Holdings plc | | | 131,577 | |
| | 1,732 | | | IGM Financial, Inc. | | | 62,471 | |
| | 647 | | | Impax Asset Management Group plc | | | 12,888 | |
| | 218 | | | Ina Invest Holding AG* | | | 4,476 | |
| | 28,134 | | | Insignia Financial, Ltd. | | | 74,163 | |
| | 2,872 | | | IntegraFin Holdings plc | | | 21,780 | |
| | 2,456 | | | Intermediate Capital Group plc | | | 72,654 | |
| | 22,533 | | | Investec plc | | | 122,433 | |
| | 60,525 | | | IP Group plc | | | 101,259 | |
| | 1,700 | | | IwaiCosmo Holdings, Inc. | | | 20,030 | |
| | 1,400 | | | JAFCO Group Co., Ltd. | | | 80,596 | |
| | 4,800 | | | Japan Exchange Group, Inc. | | | 105,103 | |
| | 4,910 | | | Julius Baer Group, Ltd. | | | 328,222 | |
| | 17,082 | | | Jupiter Fund Management plc | | | 59,248 | |
| | 138,000 | | | Kingston Financial Group, Ltd.* | | | 6,750 | |
| | 800 | | | Kyokuto Securities Co., Ltd. | | | 5,203 | |
| | 957 | | | London Stock Exchange Group plc | | | 89,557 | |
| | 500 | | | M&A Capital Partners Co., Ltd.* | | | 22,914 | |
| | 2,174 | | | Macquarie Group, Ltd. | | | 324,916 | |
| | 2,194 | | | Magellan Financial Group, Ltd. | | | 33,911 | |
| | 50,276 | | | Man Group plc/Jersey | | | 154,683 | |
| | 2,300 | | | Marusan Securities Co., Ltd. | | | 10,380 | |
| | 1,180,000 | | | Mason Group Holdings, Ltd.* | | | 3,024 | |
| | 2,600 | | | Matsui Securities Co., Ltd. | | | 17,884 | |
| | 2,900 | | | Mito Securities Co., Ltd. | | | 6,885 | |
| | 3,035 | | | MLP SE | | | 29,589 | |
| | 5,700 | | | Monex Group, Inc. | | | 34,750 | |
| | 4,265 | | | Navigator Global Investments, Ltd. | | | 5,765 | |
| | 3,008 | | | Netwealth Group, Ltd. | | | 38,724 | |
| | 11,266 | | | Ninety One plc | | | 42,202 | |
| | 5,431 | | | Nomura Holdings, Inc., ADR | | | 23,516 | |
| | 19,100 | | | Nomura Holdings, Inc. | | | 83,312 | |
| | 13,975 | | | NZX, Ltd. | | | 17,323 | |
| | 3,800 | | | Okasan Securities Group, Inc. | | | 12,590 | |
| | 253 | | | Partners Group Holding AG | | | 417,212 | |
| | 9,039 | | | Pendal Group, Ltd. | | | 36,637 | |
| | 1,616 | | | Perpetual, Ltd. | | | 42,296 | |
| | 11,593 | | | Platinum Asset Management, Ltd. | | | 22,802 | |
| | 2,595 | | | Polar Capital Holdings plc | | | 27,844 | |
| | 45,397 | | | Quilter plc(a) | | | 91,031 | |
| | 565 | | | Rathbones Group plc | | | 15,143 | |
| | 9,785 | | | Ratos AB, Class B | | | 62,635 | |
| | 1,549 | | | Rothschild & Co. | | | 71,069 | |
| | 4,200 | | | SBI Holdings, Inc. | | | 114,499 | |
| | 1,029 | | | Schroders plc | | | 32,112 | |
| | 1,783 | | | Schroders plc | | | 85,645 | |
| | 11,400 | | | Singapore Exchange, Ltd. | | | 78,739 | |
| | 5,446 | | | St. James Place plc | | | 124,037 | |
| | 700 | | | Strike Co., Ltd. | | | 30,981 | |
| | 667 | | | Swissquote Group Holding SA | | | 146,447 | |
| | 2,584 | | | Tamburi Investment Partners SP | | | 29,011 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 375 | | | Tikehau Capital SCA | | $ | 9,925 | |
| | 531 | | | TMX Group, Ltd. | | | 53,843 | |
| | 8,500 | | | Tokai Tokyo Financial Holdings, Inc. | | | 29,172 | |
| | 4,000 | | | Toyo Securities Co., Ltd. | | | 5,148 | |
| | 30,858 | | | TP ICAP Group plc | | | 63,799 | |
| | 15,471 | | | UBS Group AG | | | 277,766 | |
| | 19,229 | | | Uob-Kay Hian Holdings, Ltd. | | | 22,690 | |
| | 1,000 | | | Uzabase, Inc.* | | | 12,783 | |
| | 1,325 | | | Vontobel Holding AG | | | 115,975 | |
| | 245 | | | Vp Bank AG, Registered Shares | | | 25,943 | |
| | 550 | | | VZ Holding AG | | | 58,891 | |
| | | | | | | | |
| | | | | | | 7,693,724 | |
| | | | | | | | |
| Chemicals (4.1%): | | | |
| | 900 | | | Achilles Corp. | | | 9,774 | |
| | 3,300 | | | Adeka Corp. | | | 73,667 | |
| | 3,982 | | | Air Liquide SA | | | 694,303 | |
| | 7,800 | | | Air Water, Inc. | | | 120,461 | |
| | 2,028 | | | Akzo Nobel NV | | | 223,221 | |
| | 700 | | | Arakawa Chemical Industries, Ltd. | | | 7,256 | |
| | 2,785 | | | Arkema SA | | | 392,769 | |
| | 26,600 | | | Asahi Kasei Corp. | | | 250,049 | |
| | 1,100 | | | ASAHI YUKIZAI Corp. | | | 16,471 | |
| | 8,770 | | | BASF SE | | | 616,785 | |
| | 2,422 | | | Borregaard ASA | | | 61,064 | |
| | 52,400 | | | China Sunsine Chemical Holdings, Ltd. | | | 18,868 | |
| | 1,815 | | | Christian Hansen Holding A/S | | | 142,713 | |
| | 1,600 | | | CI Takiron Corp. | | | 7,833 | |
| | 10,241 | | | Clariant AG | | | 213,800 | |
| | 2,199 | | | Corbion NV | | | 103,397 | |
| | 4,872 | | | Covestro AG(a) | | | 300,599 | |
| | 444 | | | Croda International plc | | | 60,884 | |
| | 1,000 | | | Dai Nippon Toryo Co., Ltd. | | | 7,191 | |
| | 7,200 | | | Daicel Corp. | | | 49,775 | |
| | 900 | | | Dainichiseika Color & Chemical | | | 18,346 | |
| | 4,300 | | | Dainippon Ink & Chemicals, Inc. | | | 108,487 | |
| | 4,000 | | | Denka Co., Ltd. | | | 130,789 | |
| | 18,377 | | | Elementis plc* | | | 32,803 | |
| | 28 | | | EMS-Chemie Holding AG | | | 31,257 | |
| | 8,516 | | | Ercros SA* | | | 28,801 | |
| | 9,485 | | | Essentra plc | | | 44,228 | |
| | 2,424 | | | Evonik Industries AG | | | 78,556 | |
| | 1,653 | | | FUCHS PETROLUB SE | | | 75,120 | |
| | 701 | | | FUCHS PETROLUB SE | | | 24,630 | |
| | 300 | | | Fujimori Kogyo Co., Ltd. | | | 10,684 | |
| | 700 | | | Fuso Chemical Co., Ltd. | | | 29,553 | |
| | 37 | | | Givaudan SA, Registered Shares | | | 194,754 | |
| | 20 | | | Gurit Holding AG | | | 33,938 | |
| | 5,393 | | | Hexpol AB | | | 72,466 | |
| | 700 | | | Hodogaya Chemical Co., Ltd. | | | 35,921 | |
| | 3,950 | | | ICL Group, Ltd. | | | 37,982 | |
| | 37,389 | | | Incitec Pivot, Ltd. | | | 88,392 | |
| | 1,500 | | | Ishihara Sangyo Kaisha, Ltd. | | | 15,523 | |
| | 1,000 | | | JCU Corp. | | | 47,568 | |
| | 2,680 | | | Johnson Matthey plc | | | 74,431 | |
| | 700 | | | Jsp Corp. | | | 9,952 | |
| | 1,200 | | | JSR Corp. | | | 45,653 | |
| | 5,723 | | | K+S AG, Registered Shares* | | | 98,918 | |
See accompanying notes to the financial statements.
8
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 2,000 | | | Kaneka Corp. | | $ | 65,654 | |
| | 3,300 | | | Kanto Denka Kogyo Co., Ltd. | | | 32,514 | |
| | 4,999 | | | Kemira OYJ | | | 75,414 | |
| | 1,400 | | | Kh Neochem Co., Ltd. | | | 38,717 | |
| | 1,500 | | | Koatsu Gas Kogyo Co., Ltd. | | | 10,291 | |
| | 1,175 | | | Koninklijke DSM NV | | | 263,796 | |
| | 1,000 | | | Konishi Co., Ltd. | | | 15,061 | |
| | 11,800 | | | Kuraray Co., Ltd. | | | 102,507 | |
| | 800 | | | Kureha Corp. | | | 57,186 | |
| | 3,486 | | | Lanxess AG | | | 216,287 | |
| | 379 | | | Lenzing AG* | | | 52,654 | |
| | 1,300 | | | Lintec Corp. | | | 29,787 | |
| | 929 | | | Methanex Corp. | | | 36,742 | |
| | 700 | | | Methanex Corp. | | | 27,695 | |
| | 19,000 | | | Mitsubishi Chemical Holdings Corp. | | | 140,772 | |
| | 3,000 | | | Mitsubishi Gas Chemical Co., Inc. | | | 50,820 | |
| | 3,800 | | | Mitsui Chemicals, Inc. | | | 102,108 | |
| | 800 | | | Nihon Kagaku Sangyo Co., Ltd. | | | 9,635 | |
| | 2,300 | | | Nihon Nohyaku Co., Ltd. | | | 9,880 | |
| | 2,600 | | | Nihon Parkerizing Co., Ltd. | | | 25,436 | |
| | 600 | | | Nippon Chemical Industrial Co., Ltd. | | | 14,202 | |
| | 5,500 | | | Nippon Kayaku Co., Ltd. | | | 56,627 | |
| | 2,100 | | | Nippon Paint Holdings Co., Ltd. | | | 22,900 | |
| | 1,400 | | | Nippon Pillar Packing Co., Ltd. | | | 45,112 | |
| | 3,000 | | | Nippon Sanso Holdings Corp. | | | 65,559 | |
| | 700 | | | Nippon Shokubai Co., Ltd. | | | 32,382 | |
| | 800 | | | Nippon Soda Co., Ltd. | | | 23,027 | |
| | 1,900 | | | Nissan Chemical Corp. | | | 110,373 | |
| | 1,900 | | | Nitto Denko Corp. | | | 146,883 | |
| | 700 | | | NOF Corp. | | | 35,255 | |
| | 1,377 | | | Novozymes A/S, Class B | | | 112,774 | |
| | 8,438 | | | Nufarm, Ltd. | | | 29,872 | |
| | 4,481 | | | Nutrien, Ltd. | | | 336,971 | |
| | 2,255 | | | Nutrien, Ltd. | | | 169,517 | |
| | 1,600 | | | OCI NV* | | | 41,736 | |
| | 500 | | | Okamoto Industries, Inc. | | | 18,369 | |
| | 600 | | | Okura Industrial Co., Ltd. | | | 11,421 | |
| | 3,258 | | | Orica, Ltd. | | | 32,488 | |
| | 900 | | | Osaka Organic Chemical Industry, Ltd. | | | 25,985 | |
| | 2,613 | | | Recticel SA | | | 52,115 | |
| | 2,800 | | | Riken Technos Corp. | | | 12,661 | |
| | 500 | | | Sakai Chemical Industry Co., Ltd. | | | 9,965 | |
| | 2,400 | | | Sakata Inx Corp. | | | 20,745 | |
| | 700 | | | Sanyo Chemical Industries, Ltd. | | | 32,505 | |
| | 900 | | | Sekisui Plastics Co., Ltd. | | | 3,756 | |
| | 1,100 | | | Shikoku Chemicals Corp. | | | 13,497 | |
| | 1,800 | | | Shin-Etsu Chemical Co., Ltd. | | | 311,805 | |
| | 1,800 | | | Shin-Etsu Polymer Co., Ltd. | | | 17,328 | |
| | 5,000 | | | Showa Denko K.K. | | | 105,001 | |
| | 1,005 | | | Sika AG | | | 417,309 | |
| | 1,754 | | | SOL SpA | | | 41,961 | |
| | 1,805 | | | Solvay SA | | | 210,413 | |
| | 400 | | | Stella Chemifa Corp. | | | 9,200 | |
| | 1,500 | | | Sumitomo Bakelite Co., Ltd. | | | 76,050 | |
| | 23,200 | | | Sumitomo Chemical Co., Ltd. | | | 109,347 | |
| | 300 | | | Sumitomo Seika Chemicals Co. Ltd. | | | 8,178 | |
| | 1,462 | | | Symrise AG | | | 216,840 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 13,110 | | | Synthomer plc | | $ | 70,871 | |
| | 700 | | | T Hasegawa Co., Ltd. | | | 16,460 | |
| | 1,200 | | | T&K Toka Co., Ltd. | | | 8,682 | |
| | 600 | | | Taiyo Holdings Co., Ltd. | | | 18,157 | |
| | 600 | | | Takasago International Corp. | | | 15,078 | |
| | 600 | | | Tayca Corp. | | | 6,750 | |
| | 7,900 | | | Teijin, Ltd. | | | 97,204 | |
| | 500 | | | Tenma Corp. | | | 11,478 | |
| | 625 | | | Tessenderlo Group SA* | | | 23,731 | |
| | 4,900 | | | Toagosei Co., Ltd. | | | 49,257 | |
| | 6,900 | | | Tokai Carbon Co., Ltd. | | | 72,485 | |
| | 2,900 | | | Tokuyama Corp. | | | 46,098 | |
| | 600 | | | Tokyo Ohka Kogyo Co., Ltd. | | | 35,481 | |
| | 27,700 | | | Toray Industries, Inc. | | | 164,230 | |
| | 5,100 | | | Tosoh Corp. | | | 75,660 | |
| | 1,200 | | | Toyo Ink SC Holdings Co., Ltd. | | | 20,087 | |
| | 5,000 | | | Toyobo Co., Ltd. | | | 54,609 | |
| | 4,800 | | | Ube Industries, Ltd. | | | 83,396 | |
| | 3,116 | | | Umicore SA | | | 127,123 | |
| | 1,051 | | | Victrex plc | | | 34,861 | |
| | 329 | | | Wacker Chemie AG | | | 49,259 | |
| | 1,428 | | | Yara International ASA | | | 72,170 | |
| | 2,900 | | | Zeon Corp. | | | 33,466 | |
| | | | | | | | |
| | | | | | | 10,289,310 | |
| | | | | | | | |
| Commercial Services & Supplies (1.2%): | | | |
| | 800 | | | AEON Delight Co., Ltd. | | | 23,389 | |
| | 23,247 | | | Babcock International Group plc* | | | 100,299 | |
| | 748 | | | Befesa SA(a) | | | 57,370 | |
| | 1,800 | | | Bell System24 Holdings, Inc. | | | 19,581 | |
| | 13,069 | | | Biffa plc(a) | | | 63,265 | |
| | 896 | | | Bilfinger SE | | | 30,475 | |
| | 1,670 | | | Black Diamond Group, Ltd. | | | 5,849 | |
| | 14,490 | | | Brambles, Ltd. | | | 112,063 | |
| | 4,517 | | | Bravida Holding AB(a) | | | 63,480 | |
| | 200 | | | Calian Group, Ltd. | | | 9,731 | |
| | 1,476 | | | Cardno, Ltd.* | | | 2,075 | |
| | 2,850 | | | Caverion Corp. | | | 20,729 | |
| | 300 | | | Central Security Patrols Co., Ltd. | | | 6,295 | |
| | 338 | | | Cewe Stiftung & Co. KGAA | | | 49,408 | |
| | 46,000 | | | Cleanaway Waste Management, Ltd. | | | 104,829 | |
| | 10,948 | | | Collection House, Ltd.* | | | 1,036 | |
| | 1,829 | | | Coor Service Management Holding AB(a) | | | 16,734 | |
| | 2,400 | | | CTS Co., Ltd. | | | 17,552 | |
| | 3,200 | | | Dai Nippon Printing Co., Ltd. | | | 80,502 | |
| | 6,041 | | | De La Rue plc* | | | 12,686 | |
| | 3,731 | | | Derichebourg SA* | | | 43,045 | |
| | 2,180 | | | Dexterra Group, Inc. | | | 14,806 | |
| | 30,713 | | | Downer EDI, Ltd. | | | 133,218 | |
| | 1,100 | | | Duskin Co., Ltd. | | | 26,887 | |
| | 1,700 | | | EF-ON, Inc. | | | 9,136 | |
| | 8,596 | | | Elis SA* | | | 148,794 | |
| | 435 | | | GL Events* | | | 8,618 | |
| | 12,057 | | | HomeServe plc | | | 142,441 | |
| | 900 | | | Inaba Seisakusho Co., Ltd. | | | 10,721 | |
| | 2,297 | | | Intrum AB | | | 59,339 | |
| | 5,989 | | | ISS A/S* | | | 113,612 | |
| | 1,800 | | | Itoki Corp. | | | 5,588 | |
See accompanying notes to the financial statements.
9
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies, continued | | | |
| | 800 | | | Japan Elevator Service Holdings Co., Ltd. | | $ | 14,943 | |
| | 3,300 | | | Kokuyo Co., Ltd. | | | 49,184 | |
| | 400 | | | Kyodo Printing Co., Ltd. | | | 9,965 | |
| | 2,302 | | | Lassila & Tikanoja OYJ | | | 35,221 | |
| | 3,325 | | | Loomis AB | | | 88,598 | |
| | 700 | | | Matsuda Sangyo Co., Ltd. | | | 14,799 | |
| | 5,449 | | | Mears Group plc | | | 13,898 | |
| | 51,653 | | | Mitie Group plc | | | 45,135 | |
| | 1,400 | | | NAC Co., Ltd. | | | 11,697 | |
| | 15,900 | | | Nippon Parking Development Co., Ltd. | | | 19,080 | |
| | 1,600 | | | Okamura Corp. | | | 17,851 | |
| | 1,100 | | | Oyo Corp. | | | 20,525 | |
| | 2,700 | | | Park24 Co., Ltd.* | | | 37,003 | |
| | 2,696 | | | PayPoint plc | | | 24,255 | |
| | 1,400 | | | Pilot Corp. | | | 53,565 | |
| | 2,400 | | | Prestige International, Inc. | | | 13,942 | |
| | 13,654 | | | Prosegur Cia de Seguridad SA | | | 35,642 | |
| | 1,158 | | | Renewi plc* | | | 11,843 | |
| | 23,855 | | | Rentokil Initial plc | | | 188,670 | |
| | 2,500 | | | Ritchie Bros Auctioneers, Inc. | | | 153,008 | |
| | 3,299 | | | RPS Group plc | | | 5,520 | |
| | 900 | | | Sato Holdings Corp. | | | 17,169 | |
| | 700 | | | SECOM Co., Ltd. | | | 48,610 | |
| | 7,978 | | | Securitas AB, Class B | | | 109,693 | |
| | 3,267 | | | Smartgroup Corp., Ltd. | | | 18,439 | |
| | 787 | | | Societe BIC SA | | | 42,376 | |
| | 400 | | | Sohgo Security Services Co., Ltd. | | | 15,896 | |
| | 4,477 | | | Spie SA | | | 115,688 | |
| | 696 | | | Tomra Systems ASA | | | 49,860 | |
| | 3,280 | | | TOPPAN, INC. | | | 61,495 | |
| | 4,470 | | | Transcontinental, Inc. | | | 71,779 | |
| | 1,612 | | | TRE Holdings Corp.* | | | 24,731 | |
| | 200 | | | Waste Connections, Inc. | | | 27,261 | |
| | 580 | | | Waste Connections, Inc. | | | 79,037 | |
| | | | | | | | |
| | | | | | | 3,059,931 | |
| | | | | | | | |
| Communications Equipment (0.3%): | | | |
| | 2,792 | | | Adva Optical Networking Se* | | | 44,749 | |
| | 700 | | | Aiphone Co., Ltd. | | | 12,922 | |
| | 700 | | | DKK Co., Ltd. | | | 15,254 | |
| | 440 | | | HMS Networks AB | | | 27,166 | |
| | 500 | | | Icom, Inc. | | | 10,556 | |
| | 36,947 | | | Nokia OYJ* | | | 232,083 | |
| | 10,200 | | | Quarterhill, Inc. | | | 21,774 | |
| | 418 | | | RTX A/S | | | 12,639 | |
| | 600 | | | Sierra Wireless, Inc.* | | | 10,579 | |
| | 10,363 | | | Spirent Communications plc | | | 38,798 | |
| | 684 | | | Telefonaktiebolaget LM Ericsson, Class A | | | 7,586 | |
| | 27,309 | | | Telefonaktiebolaget LM Ericsson, Class B | | | 300,064 | |
| | 8,100 | | | VTech Holdings, Ltd. | | | 63,541 | |
| | | | | | | | |
| | | | | | | 797,711 | |
| | | | | | | | |
| Construction & Engineering (2.0%): | | | |
| | 4,873 | | | ACS Actividades de Construccion y Servicios SA | | | 130,689 | |
| | 3,353 | | | Aecon Group, Inc. | | | 44,749 | |
| | 1,894 | | | AF Gruppen ASA | | | 41,667 | |
| | 4,317 | | | Arcadis NV | | | 208,550 | |
| | 300 | | | Asanuma Corp. | | | 14,327 | |
| | 1,130 | | | Ashtrom Group, Ltd. | | | 30,703 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering, continued | | | |
| | 1,410 | | | Badger Infrastructure Solutions, Ltd. | | $ | 35,440 | |
| | 20,372 | | | Balfour Beatty plc | | | 72,058 | |
| | 519 | | | Bauer AG* | | | 5,825 | |
| | 1,831 | | | Boskalis Westminster | | | 53,462 | |
| | 16,800 | | | Boustead Singapore, Ltd. | | | 12,409 | |
| | 7,647 | | | Bouygues SA | | | 273,966 | |
| | 209 | | | Burkhalter Holding AG | | | 14,457 | |
| | 4,600 | | | Chiyoda Corp.* | | | 14,080 | |
| | 1,700 | | | Chudenko Corp. | | | 31,427 | |
| | 494 | | | CIE d’Entreprises CFE SA | | | 69,072 | |
| | 1,103 | | | Cimic Group, Ltd. | | | 13,564 | |
| | 1,721 | | | ComSys Holdings Corp. | | | 38,326 | |
| | 6,098 | | | Costain Group plc* | | | 4,407 | |
| | 500 | | | Dai-Dan Co., Ltd. | | | 9,991 | |
| | 900 | | | Daiho Corp. | | | 31,051 | |
| | 3,606 | | | Eiffage SA | | | 371,910 | |
| | 2,783 | | | Elecnor SA | | | 33,162 | |
| | 44 | | | Electra, Ltd./Israel | | | 30,515 | |
| | 7,737 | | | Eltel AB*(a) | | | 13,362 | |
| | 37,002 | | | Empresas ICA SAB de C.V.* | | | 156 | |
| | 2,127 | | | Ferrovial SA | | | 66,701 | |
| | 1,664 | | | FLSmidth & Co. A/S | | | 62,212 | |
| | 2,002 | | | Fomento de Construcciones y Contratas SA | | | 25,042 | |
| | 440 | | | Fudo Tetra Corp. | | | 6,405 | |
| | 4,141 | | | Fugro NV* | | | 32,531 | |
| | 200 | | | Fukuda Corp. | | | 7,506 | |
| | 4,363 | | | Galliford Try Holdings plc | | | 10,596 | |
| | 6,000 | | | Hazama Ando Corp. | | | 45,042 | |
| | 1,803 | | | Heijmans NV | | | 30,401 | |
| | 600 | | | Hibiya Engineering, Ltd. | | | 10,707 | |
| | 1,093 | | | Implenia AG* | | | 24,799 | |
| | 8,036 | | | INFRONEER Holdings, Inc.* | | | 73,045 | |
| | 7,400 | | | JGC Holdings Corp. | | | 61,840 | |
| | 10,188 | | | Johns Lyng Group, Ltd. | | | 67,818 | |
| | 8,000 | | | Kajima Corp. | | | 91,898 | |
| | 3,000 | | | Kandenko Co., Ltd. | | | 22,357 | |
| | 3,807 | | | Keller Group plc | | | 50,733 | |
| | 4,100 | | | Kinden Corp. | | | 61,607 | |
| | 15,900 | | | Koninklijke BAM Groep NV* | | | 48,788 | |
| | 1,600 | | | Kumagai Gumi Co., Ltd. | | | 39,945 | |
| | 2,500 | | | Kyowa Exeo Corp. | | | 52,696 | |
| | 1,700 | | | Kyudenko Corp. | | | 52,479 | |
| | 9,546 | | | Maire Tecnimont SpA | | | 44,809 | |
| | 1,700 | | | Meisei Industrial Co., Ltd. | | | 11,220 | |
| | 3,300 | | | Mirait Holdings Corp. | | | 54,437 | |
| | 1,922 | | | Morgan Sindall Group plc | | | 65,395 | |
| | 1,375 | | | NCC AB, Class B | | | 25,524 | |
| | 1,000 | | | Nichireki Co., Ltd. | | | 12,365 | |
| | 1,900 | | | Nippo Corp. | | | 65,896 | |
| | 1,600 | | | Nippon Densetsu Kogyo Co., Ltd. | | | 23,123 | |
| | 700 | | | Nippon Koei Co., Ltd. | | | 19,418 | |
| | 200 | | | Nippon Road Co., Ltd. (The) | | | 14,330 | |
| | 1,900 | | | Nishimatsu Construction Co., Ltd. | | | 60,222 | |
| | 20,879 | | | NRW Holdings, Ltd. | | | 26,859 | |
| | 9,100 | | | Obayashi Corp. | | | 70,428 | |
| | 6,495 | | | Obrascon Huarte Lain SA* | | | 7,532 | |
| | 1,100 | | | Okumura Corp. | | | 30,848 | |
See accompanying notes to the financial statements.
10
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering, continued | | | |
| | 8,600 | | | Oriental Shiraishi Corp. | | $ | 17,409 | |
| | 10,581 | | | Peab AB | | | 133,124 | |
| | 14,700 | | | Penta-Ocean Construction Co., Ltd. | | | 83,088 | |
| | 726 | | | Per Aarsleff Holding A/S | | | 33,933 | |
| | 2,400 | | | Raiznext Corp. | | | 24,356 | |
| | 22,988 | | | Sacyr SA | | | 59,812 | |
| | 1,900 | | | Sanki Engineering Co., Ltd. | | | 23,774 | |
| | 1,700 | | | Seikitokyu Kogyo Co., Ltd. | | | 11,976 | |
| | 40,165 | | | Service Stream, Ltd. | | | 23,523 | |
| | 3,211 | | | Shapir Engineering And Indus | | | 28,424 | |
| | 4,339 | | | Shikun & Binui, Ltd.* | | | 27,821 | |
| | 10,100 | | | Shimizu Corp. | | | 62,620 | |
| | 1,500 | | | Shinnihon Corp. | | | 10,656 | |
| | 4,094 | | | Skanska AB, Class B | | | 105,489 | |
| | 3,001 | | | SNC-Lavalin Group, Inc. | | | 73,340 | |
| | 881 | | | Strabag Se | | | 36,642 | |
| | 6,980 | | | Sumitomo Mitsui Construction | | | 25,913 | |
| | 3,299 | | | Sweco AB | | | 62,141 | |
| | 700 | | | Taihei Dengyo Kaisha, Ltd. | | | 17,488 | |
| | 800 | | | Taikisha, Ltd. | | | 21,711 | |
| | 3,500 | | | Taisei Corp. | | | 106,370 | |
| | 1,400 | | | Takamatsu Construction Group C | | | 23,964 | |
| | 400 | | | Tekken Corp. | | | 6,233 | |
| | 900 | | | TOA Corp. | | | 18,939 | |
| | 400 | | | TOA Road Corp. | | | 16,870 | |
| | 1,630 | | | Tobishima Corp. | | | 14,443 | |
| | 6,900 | | | Toda Corp. | | | 43,681 | |
| | 400 | | | Toenec Corp. | | | 11,756 | |
| | 1,000 | | | Tokyo Energy & Systems, Inc. | | | 9,496 | |
| | 5,100 | | | Tokyu Construction Co., Ltd. | | | 29,462 | |
| | 1,100 | | | Totetsu Kogyo Co., Ltd. | | | 23,979 | |
| | 4,300 | | | Toyo Construction Co., Ltd. | | | 21,724 | |
| | 2,100 | | | Toyo Engineering Corp.* | | | 12,929 | |
| | 3,109 | | | Veidekke ASA | | | 46,744 | |
| | 5,116 | | | Vinci SA | | | 542,010 | |
| | 555 | | | WSP Global, Inc. | | | 80,578 | |
| | 1,700 | | | Yahagi Construction Co., Ltd. | | | 11,309 | |
| | 3,849 | | | YIT OYJ | | | 18,898 | |
| | 1,200 | | | Yokogawa Bridge Holdings Corp. | | | 22,915 | |
| | 1,200 | | | Yurtec Corp. | | | 7,012 | |
| | | | | | | | |
| | | | | | | 5,029,431 | |
| | | | | | | | |
| Construction Materials (0.8%): | | | |
| | 13,883 | | | Adbri, Ltd. | | | 28,546 | |
| | 1,800 | | | Asia Pile Holdings Corp. | | | 7,033 | |
| | 2,976 | | | Brickworks, Ltd. | | | 52,314 | |
| | 2,431 | | | Buzzi Unicem SpA | | | 52,182 | |
| | 12,721 | | | CRH plc, ADR | | | 671,669 | |
| | 22,791 | | | CSR, Ltd. | | | 97,634 | |
| | 13,792 | | | Fletcher Building, Ltd. | | | 69,219 | |
| | 1,160 | | | H+H International A/S, Class B* | | | 40,846 | |
| | 2,326 | | | HeidelbergCement AG | | | 157,575 | |
| | 6,293 | | | Holcim, Ltd. | | | 320,368 | |
| | 13,005 | | | Ibstock plc(a) | | | 35,802 | |
| | 1,243 | | | Imerys SA | | | 51,801 | |
| | 3,763 | | | James Hardie Industries SE | | | 151,429 | |
| | 400 | | | Krosaki Harima Corp. | | | 15,333 | |
| | 5,422 | | | Marshalls plc | | | 50,664 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction Materials, continued | | | |
| | 2,500 | | | Nippon Concrete Industries Co., Ltd. | | $ | 6,065 | |
| | 500 | | | Shinagawa Refractories Co., Ltd. | | | 17,261 | |
| | 123 | | | STO SE & Co KGaA | | | 30,939 | |
| | 1,500 | | | Sumitomo Osaka Cement Co., Ltd. | | | 46,109 | |
| | 5,700 | | | Taiheiyo Cement Corp. | | | 112,748 | |
| | 1,300 | | | TYK Corp. | | | 3,484 | |
| | 998 | | | Vicat | | | 40,862 | |
| | 527 | | | Wienerberger AG | | | 19,372 | |
| | | | | | | | |
| | | | | | | 2,079,255 | |
| | | | | | | | |
| Consumer Finance (0.2%): | | | |
| | 3,600 | | | ACOM Co., Ltd. | | | 10,362 | |
| | 3,700 | | | AEON Financial Service Co., Ltd. | | | 39,962 | |
| | 7,800 | | | Aiful Corp. | | | 24,147 | |
| | 8,198 | | | Axactor SE* | | | 7,013 | |
| | 974 | | | Cembra Money Bank AG | | | 70,897 | |
| | 1,607 | | | Credit Corp. Group, Ltd. | | | 39,152 | |
| | 6,600 | | | Credit Saison Co., Ltd. | | | 69,388 | |
| | 18,226 | | | Eclipx Group, Ltd.* | | | 29,320 | |
| | 873 | | | Gruppo MutuiOnline SpA | | | 43,654 | |
| | 2,616 | | | H&T Group plc | | | 10,440 | |
| | 5,740 | | | Hoist Finance AB*(a) | | | 18,562 | |
| | 17,800 | | | Hong Leong Finance, Ltd. | | | 31,570 | |
| | 14,415 | | | International Personal Finance | | | 25,164 | |
| | 577 | | | Isracard, Ltd. | | | 2,849 | |
| | 4,300 | | | J Trust Co., Ltd. | | | 21,276 | |
| | 1,300 | | | Jaccs Co., Ltd. | | | 33,484 | |
| | 8,490 | | | Money3 Corp., Ltd. | | | 21,946 | |
| | 15,200 | | | Orient Corp. | | | 16,487 | |
| | 213,600 | | | Oshidori International Holdings, Ltd.* | | | 15,350 | |
| | 4,742 | | | Provident Financial plc* | | | 23,059 | |
| | 4,452 | | | Resurs Holding AB(a) | | | 18,651 | |
| | 38,000 | | | Sun Hung Kai & Co., Ltd. | | | 20,276 | |
| | | | | | | | |
| | | | | | | 593,009 | |
| | | | | | | | |
| Containers & Packaging (0.7%): | | | |
| | 3,618 | | | BillerudKorsnas AB | | | 67,959 | |
| | 4,231 | | | Cascades, Inc. | | | 46,732 | |
| | 1,780 | | | CCL Industries, Inc. | | | 95,460 | |
| | 28,702 | | | DS Smith plc | | | 149,350 | |
| | 1,600 | | | FP Corp. | | | 54,537 | |
| | 1,900 | | | Fuji Seal International, Inc. | | | 34,994 | |
| | 1,000 | | | Hokkan Holdings, Ltd. | | | 12,609 | |
| | 3,405 | | | Huhtamaki OYJ | | | 149,902 | |
| | 3,327 | | | Intertape Polymer Group, Inc. | | | 69,234 | |
| | 276 | | | Mayr Melnhof Karton AG | | | 55,511 | |
| | 36,741 | | | Orora, Ltd. | | | 93,715 | |
| | 6,607 | | | Pact Group Holdings, Ltd. | | | 12,163 | |
| | 8,600 | | | Rengo Co., Ltd. | | | 65,058 | |
| | 8,406 | | | SIG Combibloc Group AG | | | 235,082 | |
| | 8,090 | | | Smurfit Kappa Group plc | | | 447,188 | |
| | 500 | | | Taisei Lamick Co., Ltd. | | | 11,887 | |
| | 600 | | | Tomoku Co., Ltd. | | | 9,329 | |
| | 4,000 | | | Toyo Seikan Group Holdings, Ltd. | | | 47,658 | |
| | 659 | | | Verallia SA(a) | | | 23,220 | |
| | 750 | | | Vetropack Holding AG | | | 47,401 | |
| | 753 | | | Vidrala SA | | | 74,179 | |
| | 300 | | | Winpak, Ltd. | | | 8,816 | |
| | | | | | | | |
| | | | | | | 1,811,984 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Distributors (0.3%): | | | |
| | 600 | | | Arata Corp. | | $ | 22,982 | |
| | 11,493 | | | Bapcor, Ltd. | | | 58,627 | |
| | 1,300 | | | Canon Marketing Japan, Inc. | | | 25,833 | |
| | 500 | | | Chori Co., Ltd. | | | 7,944 | |
| | 564 | | | D’ieteren Group | | | 109,970 | |
| | 1,000 | | | Doshisha Co., Ltd. | | | 13,617 | |
| | 4,313 | | | Headlam Group plc | | | 24,979 | |
| | 20,473 | | | Inchcape plc | | | 251,641 | |
| | 3,000 | | | Jardine Cycle & Carriage, Ltd. | | | 45,907 | |
| | 3,365 | | | John Menzies plc* | | | 14,073 | |
| | 400 | | | Paltac Corp. | | | 16,433 | |
| | 85 | | | Tadiran Group, Ltd. | | | 11,902 | |
| | 3,025 | | | Uni-Select, Inc.* | | | 61,562 | |
| | | | | | | | |
| | | | | | | 665,470 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 3,986 | | | Academedia AB(a) | | | 24,439 | |
| | 2,000 | | | Benesse Holdings, Inc. | | | 39,203 | |
| | 3,227 | | | Dignity plc* | | | 25,778 | |
| | 8,000 | | | EC Healthcare | | | 11,434 | |
| | 44,648 | | | G8 Education, Ltd.* | | | 36,098 | |
| | 1,700 | | | IBJ, Inc. | | | 13,393 | |
| | 2,783 | | | IDP Education, Ltd. | | | 70,166 | |
| | 400 | | | Park Lawn Corp. | | | 13,125 | |
| | 900 | | | QB Net Holdings Co., Ltd.* | | | 14,076 | |
| | 2,600 | | | Riso Kyoiku Co., Ltd. | | | 8,885 | |
| | 700 | | | Studio Alice Co., Ltd. | | | 13,044 | |
| | 900 | | | Take And Give Needs Co., Ltd.* | | | 7,553 | |
| | | | | | | | |
| | | | | | | 277,194 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | | | |
| | 1,439 | | | ABC arbitrage | | | 11,696 | |
| | 863 | | | Ackermans & Van Haaren NV | | | 165,837 | |
| | 182 | | | Aker ASA, Class A Shares | | | 17,029 | |
| | 84,183 | | | AMP, Ltd.* | | | 61,870 | |
| | 3,396 | | | Banca Farmafactoring SpA(a) | | | 27,421 | |
| | 5,878 | | | Banca Mediolanum SpA | | | 57,615 | |
| | 4,759 | | | Burford Capital, Ltd. | | | 49,649 | |
| | 21,477 | | | Challenger, Ltd. | | | 102,050 | |
| | 5,800 | | | Ecn Capital Corp. | | | 24,488 | |
| | 16,244 | | | Element Fleet Management Corp. | | | 165,420 | |
| | 521 | | | Eurazeo SE | | | 45,542 | |
| | 900 | | | Fuyo General Lease Co., Ltd. | | | 62,376 | |
| | 20,600 | | | G-Resources Group, Ltd.* | | | 7,398 | |
| | 88 | | | Hypoport SE* | | | 51,238 | |
| | 156 | | | Industrivarden AB, Class A | | | 4,953 | |
| | 140 | | | Jackson Financial, Inc., Class A | | | 5,856 | |
| | 800 | | | Japan Investment Adviser Co., Ltd. | | | 9,051 | |
| | 4,600 | | | Japan Securities Finance Co., Ltd. | | | 38,400 | |
| | 63,712 | | | M&G plc | | | 171,964 | |
| | 24,220 | | | Mitsubishi HC Capital, Inc. | | | 119,838 | |
| | 1,800 | | | Mizuho Leasing Co., Ltd. | | | 49,931 | |
| | 900 | | | NEC Capital Solutions, Ltd. | | | 15,730 | |
| | 16,085 | | | Ofx Group, Ltd.* | | | 27,080 | |
| | 7,289 | | | Omni Bridgeway, Ltd.* | | | 19,521 | |
| | 2,247 | | | Onex Corp. | | | 176,377 | |
| | 14,700 | | | ORIX Corp. | | | 300,079 | |
| | 4,583 | | | Plus500, Ltd. | | | 84,287 | |
| | 1,100 | | | Ricoh Leasing Co., Ltd. | | | 36,922 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Financial Services, continued | | | |
| | 45,834 | | | Standard Life Aberdeen plc | | $ | 149,359 | |
| | 1,500 | | | Tokyo Century Corp. | | | 72,789 | |
| | 2,200 | | | Zenkoku Hosho Co., Ltd. | | | 95,848 | |
| | | | | | | | |
| | | | | | | 2,227,614 | |
| | | | | | | | |
| Diversified Telecommunication (0.0%†): | | | |
| | 3,751 | | | Uniti Group, Ltd.* | | | 12,148 | |
| | | | | | | | |
| Diversified Telecommunication Services (2.2%): | | | |
| | 14,353 | | | Airtel Africa plc(a) | | | 25,929 | |
| | 44 | | | BCE, Inc. | | | 2,289 | |
| | 974 | | | BCE, Inc. | | | 50,687 | |
| | 36,348 | | | Bezeq Israeli Telecommunication Corp., Ltd. (The)* | | | 60,166 | |
| | 258,528 | | | BT Group plc | | | 591,053 | |
| | 1,146 | | | Cellnex Telecom SAU(a) | | | 66,531 | |
| | 20,039 | | | Chorus, Ltd. | | | 98,389 | |
| | 90,000 | | | CITIC Telecom International Holdings, Ltd. | | | 30,375 | |
| | 46,971 | | | Deutsche Telekom AG, Registered Shares | | | 872,882 | |
| | 3,546 | | | Elisa OYJ | | | 217,762 | |
| | 2,209 | | | Gamma Communications plc | | | 49,339 | |
| | 27,500 | | | HKBN, Ltd. | | | 33,753 | |
| | 82,295 | | | HKT Trust & HKT, Ltd. | | | 110,628 | |
| | 3,856 | | | Infrastrutture Wireless Italiane SpA(a) | | | 46,682 | |
| | 2,000 | | | Internet Initiative Japan, Inc. | | | 82,616 | |
| | 121,735 | | | Koninklijke KPN NV | | | 377,987 | |
| | 41,300 | | | NetLink NBN Trust | | | 30,647 | |
| | 5,800 | | | Nippon Telegraph & Telephone Corp. | | | 158,611 | |
| | 48,762 | | | Orange SA | | | 522,342 | |
| | 174,202 | | | PCCW, Ltd. | | | 88,263 | |
| | 5,067 | | | Proximus SADP | | | 98,798 | |
| | 14,900 | | | Singapore Telecommunications, Ltd. | | | 25,658 | |
| | 16,483 | | | Spark New Zealand, Ltd. | | | 51,028 | |
| | 13,084 | | | Speedcast International, Ltd.*(b) | | | — | |
| | 12,209 | | | Superloop, Ltd.* | | | 10,571 | |
| | 893 | | | Swisscom AG, Registered Shares | | | 503,945 | |
| | 210,041 | | | Telecom Italia SpA | | | 99,418 | |
| | 334,376 | | | Telecom Italia SpA | | | 164,417 | |
| | 45,006 | | | Telefonica Deutschland Holding AG | | | 124,500 | |
| | 90,151 | | | Telefonica SA | | | 392,417 | |
| | 4,768 | | | Telekom Austria AG | | | 41,335 | |
| | 4,475 | | | Telenor ASA | | | 70,444 | |
| | 40,221 | | | Telia Co AB | | | 157,324 | |
| | 41,906 | | | Telstra Corp., Ltd. | | | 127,440 | |
| | 4,669 | | | TPG Telecom, Ltd. | | | 20,017 | |
| | 7,091 | | | Tuas, Ltd.* | | | 10,553 | |
| | 4,427 | | | United Internet AG, Registered Shares | | | 175,593 | |
| | | | | | | | |
| | | | | | | 5,590,389 | |
| | | | | | | | |
| Electric Utilities (1.5%): | | | |
| | 994 | | | Acciona SA | | | 189,413 | |
| | 17,641 | | | AusNet Services | | | 32,971 | |
| | 334 | | | BKW AG | | | 43,367 | |
| | 5,400 | | | Chubu Electric Power Co., Inc. | | | 57,024 | |
| | 2,800 | | | Chugoku Electric Power Co., Inc. (The) | | | 22,727 | |
| | 7,000 | | | CK Infrastructure Holdings, Ltd. | | | 44,575 | |
| | 9,564 | | | CLP Holdings, Ltd. | | | 96,595 | |
| | 3,804 | | | Contact Energy, Ltd. | | | 21,081 | |
| | 21,672 | | | EDP - Energias de Portugal SA | | | 118,867 | |
| | 4,908 | | | Electricite de France | | | 57,672 | |
See accompanying notes to the financial statements.
12
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities, continued | | | |
| | 633 | | | Elia Group SA/NV | | $ | 83,464 | |
| | 2,200 | | | Emera, Inc. | | | 109,965 | |
| | 4,746 | | | Endesa SA | | | 109,397 | |
| | 47,239 | | | Enel SpA | | | 376,175 | |
| | 240 | | | Energiedienst Holding AG, Registered Shares | | | 12,206 | |
| | 1,538 | | | EVN AG | | | 46,421 | |
| | 1,708 | | | Fortis, Inc. | | | 82,445 | |
| | 900 | | | Fortis, Inc. | | | 43,427 | |
| | 4,799 | | | Fortum OYJ | | | 146,567 | |
| | 14,936 | | | Genesis Energy, Ltd. | | | 29,243 | |
| | 30,000 | | | HK Electric Investments, Ltd. | | | 29,437 | |
| | 7,700 | | | Hokkaido Electric Power Co., Inc. | | | 34,315 | |
| | 3,500 | | | Hokuriku Electric Power Co. | | | 17,803 | |
| | 1,200 | | | Hydro One, Ltd.(a) | | | 31,224 | |
| | 67,020 | | | Iberdrola SA | | | 785,300 | |
| | 12,913 | | | Infratil, Ltd. | | | 70,717 | |
| | 3,500 | | | Kansai Electric Power Co., Inc. (The) | | | 32,762 | |
| | 7,200 | | | Kyushu Electric Power Co., Inc. | | | 53,738 | |
| | 1,800 | | | Okinawa Electric Power Co., Inc. (The) | | | 22,807 | |
| | 24,174 | | | Origin Energy, Ltd. | | | 92,338 | |
| | 730 | | | Orsted A/S(a) | | | 93,755 | |
| | 11,500 | | | Power Assets Holdings, Ltd. | | | 71,681 | |
| | 8,090 | | | Red Electrica Corp SA | | | 175,088 | |
| | 11 | | | Romande Energie Holding SA, Registered Shares | | | 16,484 | |
| | 15,382 | | | Scottish & Southern Energy plc | | | 342,942 | |
| | 3,300 | | | Shikoku Electric Power Co., Inc. | | | 23,320 | |
| | 13,794 | | | Terna SpA | | | 111,284 | |
| | 3,900 | | | Tohoku Electric Power Co., Inc. | | | 27,730 | |
| | 20,300 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 52,546 | |
| | 284 | | | Verbund AG, Class A | | | 32,050 | |
| | | | | | | | |
| | | | | | | 3,840,923 | |
| | | | | | | | |
| Electrical Equipment (1.2%): | | | |
| | 7,265 | | | ABB, Ltd. | | | 276,897 | |
| | 600 | | | Chiyoda Integre Co., Ltd. | | | 10,514 | |
| | 1,300 | | | Denyo Co., Ltd. | | | 20,877 | |
| | 2,000 | | | Fuji Electric Co., Ltd. | | | 109,229 | |
| | 12,400 | | | Fujikura, Ltd.* | | | 60,926 | |
| | 3,100 | | | Furukawa Electric Co., Ltd. (The) | | | 62,454 | |
| | 1,200 | | | Futaba Corp. | | | 7,294 | |
| | 485 | | | GARO AB | | | 11,521 | |
| | 38 | | | Gavazzi Carlo Holding AG | | | 11,467 | |
| | 3,000 | | | GS Yuasa Corp. | | | 66,734 | |
| | 400 | | | Hirakawa Hewtech Corp. | | | 4,351 | |
| | 553 | | | Huber & Suhner AG | | | 52,608 | |
| | 1,600 | | | Idec Corp./Japan | | | 38,778 | |
| | 3,691 | | | Legrand SA | | | 431,935 | |
| | 800 | | | Mabuchi Motor Co., Ltd. | | | 26,481 | |
| | 346 | | | Mersen | | | 14,546 | |
| | 9,100 | | | Mitsubishi Electric Corp. | | | 115,414 | |
| | 1,227 | | | Nexans SA | | | 120,082 | |
| | 1,000 | | | Nidec Corp. | | | 117,571 | |
| | 500 | | | Nippon Carbon Co., Ltd. | | | 18,131 | |
| | 1,500 | | | Nitto Kogyo Corp. | | | 20,678 | |
| | 1,094 | | | NKT A/S* | | | 52,838 | |
| | 3,878 | | | Nordex Se*^ | | | 61,415 | |
| | 17 | | | Phoenix Mecano AG | | | 7,568 | |
| | 2,550 | | | PNE AG | | | 24,320 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electrical Equipment, continued | | | |
| | 2,643 | | | Prysmian SpA | | $ | 99,574 | |
| | 400 | | | Sanyo Denki Co., Ltd. | | | 20,975 | |
| | 942 | | | Schneider Electric SA | �� | | 184,661 | |
| | 200 | | | SEC Carbon, Ltd. | | | 10,157 | |
| | 2,150 | | | SGL Carbon SE* | | | 18,804 | |
| | 4,069 | | | Siemens Energy AG* | | | 104,170 | |
| | 701 | | | Siemens Gamesa Renewable Energy* | | | 16,624 | |
| | 5,642 | | | Signify NV(a) | | | 260,042 | |
| | 1,000 | | | Sinfonia Technology Co., Ltd. | | | 11,409 | |
| | 355 | | | Somfy SA | | | 71,258 | |
| | 1,500 | | | SwCC Showa Holdings Co., Ltd. | | | 21,693 | |
| | 900 | | | Takaoka Toko Co., Ltd. | | | 11,121 | |
| | 1,055 | | | Tera Light, Ltd.* | | | 2,546 | |
| | 1,933 | | | TKH Group NV | | | 122,259 | |
| | 600 | | | Toyo Tanso Co., Ltd. | | | 16,696 | |
| | 3,300 | | | Ushio, Inc. | | | 54,813 | |
| | 140 | | | Varta AG | | | 18,247 | |
| | 6,780 | | | Vestas Wind Systems A/S | | | 205,059 | |
| | 527 | | | XP Power, Ltd. | | | 36,400 | |
| | | | | | | | |
| | | | | | | 3,031,137 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.4%): | | | |
| | 600 | | | Ai Holdings Corp. | | | 10,039 | |
| | 7,060 | | | Alps Alpine Co., Ltd. | | | 66,614 | |
| | 288 | | | ALSO Holding AG, Registered Shares | | | 94,217 | |
| | 2,300 | | | Amano Corp. | | | 52,783 | |
| | 2,100 | | | Anritsu Corp. | | | 32,449 | |
| | 1,200 | | | Arisawa Manufacturing Co., Ltd. | | | 10,299 | |
| | 1,280 | | | Austria Technologie & Systemte | | | 62,761 | |
| | 225 | | | Basler AG | | | 40,600 | |
| | 900 | | | Canon Electronics, Inc. | | | 12,412 | |
| | 5,004 | | | Celestica, Inc.* | | | 55,785 | |
| | 157 | | | Cicor Technologies, Ltd. | | | 9,091 | |
| | 13,600 | | | Citizen Watch Co., Ltd. | | | 58,769 | |
| | 3,400 | | | CMK Corp. | | | 20,490 | |
| | 3,981 | | | Codan, Ltd./Australia | | | 27,029 | |
| | 1,300 | | | Conexio Corp. | | | 16,685 | |
| | 5,000 | | | Daiwabo Holdings Co., Ltd. | | | 80,005 | |
| | 2,500 | | | Dexerials Corp. | | | 90,334 | |
| | 1,100 | | | Elematec Corp. | | | 10,331 | |
| | 700 | | | Evertz Technologies, Ltd. | | | 7,272 | |
| | 7,452 | | | Fingerprint Cards AB* | | | 16,910 | |
| | 2,100 | | | Furuno Electric Co., Ltd. | | | 22,116 | |
| | 400 | | | Hagiwara Electric Co., Ltd. | | | 7,290 | |
| | 500 | | | Hakuto Co., Ltd. | | | 11,461 | |
| | 511 | | | Halma plc | | | 22,065 | |
| | 400 | | | Hamamatsu Photonics KK | | | 25,531 | |
| | 2,429 | | | Hexagon AB, Class B | | | 38,255 | |
| | 200 | | | Hirose Electric Co., Ltd. | | | 33,636 | |
| | 1,200 | | | Hochiki Corp. | | | 13,586 | |
| | 700 | | | Horiba, Ltd. | | | 41,149 | |
| | 2,600 | | | Hosiden Corp. | | | 26,063 | |
| | 400 | | | Ibiden Co., Ltd. | | | 23,647 | |
| | 47 | | | Inficon Holding AG | | | 68,577 | |
| | 400 | | | I-PEX, Inc. | | | 6,804 | |
| | 300 | | | Iriso Electronics Co., Ltd. | | | 11,309 | |
| | 2,300 | | | Japan Aviation Electronics Industry, Ltd. | | | 39,669 | |
| | 1,100 | | | Japan Cash Machine Co., Ltd.* | | | 6,476 | |
See accompanying notes to the financial statements.
13
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 21,200 | | | Japan Display, Inc.* | | $ | 6,636 | |
| | 1,679 | | | Jenoptik AG | | | 70,891 | |
| | 1,000 | | | Kaga Electronics Co., Ltd. | | | 28,436 | |
| | 100 | | | Keyence Corp. | | | 62,857 | |
| | 1,200 | | | Koa Corp. | | | 16,833 | |
| | 1,800 | | | Kyocera Corp. | | | 112,497 | |
| | 3,500 | | | Kyosan Electric Manufacturing Co., Ltd. | | | 14,091 | |
| | 5,505 | | | Lagercrantz Group AB | | | 80,807 | |
| | 365 | | | Landis+Gyr Group AG | | | 24,617 | |
| | 26 | | | Lem Holding SA, Registered Shares | | | 72,491 | |
| | 2,200 | | | Macnica Fuji Electronics Holdings | | | 52,653 | |
| | 400 | | | Maruwa Co., Ltd./Aichi | | | 56,699 | |
| | 900 | | | Meiko Electronics Co., Ltd. | | | 37,257 | |
| | 978 | | | Micronic Mydata AB | | | 22,754 | |
| | 2,156 | | | Midwich Group plc | | | 18,348 | |
| | 4,600 | | | Murata Manufacturing Co., Ltd. | | | 365,278 | |
| | 267 | | | Nederland Apparatenfabriek | | | 19,026 | |
| | 2,800 | | | Nichicon Corp. | | | 30,753 | |
| | 600 | | | Nippon Chemi-Con Corp.* | | | 9,330 | |
| | 3,000 | | | Nippon Electric Glass Co., Ltd. | | | 76,932 | |
| | 3,400 | | | Nippon Signal Co., Ltd. | | | 26,978 | |
| | 1,800 | | | Nissha Co., Ltd. | | | 26,141 | |
| | 600 | | | Nohmi Bosai, Ltd. | | | 11,744 | |
| | 3,600 | | | OKI Electric Industry Co., Ltd. | | | 28,235 | |
| | 3,000 | | | Osaki Electric Co., Ltd. | | | 12,209 | |
| | 1,627 | | | Oxford Instruments plc | | | 57,890 | |
| | 3,149 | | | Pricer AB | | | 8,525 | |
| | 324 | | | Renishaw plc | | | 20,952 | |
| | 1,100 | | | Restar Holdings Corp. | | | 19,283 | |
| | 1,400 | | | Ryoden Corp. | | | 22,230 | |
| | 1,100 | | | Ryosan Co., Ltd. | | | 21,742 | |
| | 102 | | | Sensirion Holding AG*(a) | | | 14,812 | |
| | 400 | | | Shibaura Electronics Co., Ltd. | | | 30,235 | |
| | 900 | | | Shimadzu Corp. | | | 37,998 | |
| | 1,200 | | | Shinko Shoji Co., Ltd. | | | 9,559 | |
| | 2,000 | | | Siix Corp. | | | 24,627 | |
| | 3,154 | | | Smart Metering Systems plc | | | 35,857 | |
| | 1,318 | | | Spectris plc | | | 65,227 | |
| | 6,120 | | | Strix Group plc | | | 25,166 | |
| | 2,000 | | | Sumida Corp. | | | 22,036 | |
| | 700 | | | Tachibana Eletech Co., Ltd. | | | 9,745 | |
| | 2,200 | | | Taiyo Yuden Co., Ltd. | | | 125,825 | |
| | 2,500 | | | Tamura Corp. | | | 14,495 | |
| | 7,900 | | | TDK Corp. | | | 308,466 | |
| | 1,300 | | | Topcon Corp. | | | 18,755 | |
| | 1,300 | | | Toyo Corp. | | | 12,616 | |
| | 7,103 | | | TT Electronics plc | | | 24,611 | |
| | 100 | | | V Technology Co., Ltd. | | | 3,126 | |
| | 312 | | | Vaisala OYJ, Class A | | | 18,915 | |
| | 6,100 | | | Venture Corp., Ltd. | | | 82,966 | |
| | 44,000 | | | Vstecs Holdings, Ltd. | | | 41,258 | |
| | 2,800 | | | Yokogawa Electric Corp. | | | 50,501 | |
| | 1,100 | | | Yokowo Co., Ltd. | | | 28,313 | |
| | | | | | | | |
| | | | | | | 3,612,733 | |
| | | | | | | | |
| Energy Equipment & Services (0.3%): | | | |
| | 7,314 | | | Akastor ASA* | | | 4,428 | |
| | 5,393 | | | Aker Solutions ASA* | | | 14,286 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services, continued | | | |
| | 2,991 | | | BW Offshore, Ltd. | | $ | 9,053 | |
| | 5,874 | | | Ces Energy Solutions Corp. | | | 9,428 | |
| | 29,491 | | | CGG SA* | | | 21,347 | |
| | 4,726 | | | Computer Modelling Group, Ltd. | | | 15,918 | |
| | 6,058 | | | Enerflex, Ltd. | | | 36,689 | |
| | 8,606 | | | Ensign Energy Services, Inc.* | | | 11,431 | |
| | 106,730 | | | Ezion Holdings, Ltd.* | | | 642 | |
| | 6,704 | | | Hunting plc | | | 15,353 | |
| | 18,612 | | | John Wood Group plc* | | | 48,114 | |
| | 8,257 | | | Lamprell plc* | | | 3,991 | |
| | 1,000 | | | Modec, Inc. | | | 11,951 | |
| | 2,400 | | | North American Construction Group, Ltd. | | | 36,414 | |
| | 7,269 | | | Odfjell Drilling, Ltd.* | | | 16,690 | |
| | 1,450 | | | Pason Systems, Inc. | | | 13,230 | |
| | 7,745 | | | Petrofac, Ltd.* | | | 12,081 | |
| | 18,993 | | | Petroleum Geo-Services ASA* | | | 7,902 | |
| | 818 | | | Precision Drilling Corp.* | | | 28,903 | |
| | 15,278 | | | Saipem SpA*^ | | | 32,038 | |
| | 5,417 | | | SBM Offshore NV | | | 80,724 | |
| | 174 | | | Schoeller-Blackman Oilfield Equipment AG* | | | 6,129 | |
| | 8,377 | | | Secure Energy Services, Inc. | | | 34,838 | |
| | 3,900 | | | ShawCor, Ltd.* | | | 15,140 | |
| | 5,516 | | | Subsea 7 SA | | | 39,495 | |
| | 3,219 | | | Technip Energies NV* | | | 46,995 | |
| | 1,677 | | | Tecnicas Reunidas SA* | | | 13,254 | |
| | 2,634 | | | Tenaris SA, ADR | | | 54,945 | |
| | 1,938 | | | Tenaris SA | | | 20,225 | |
| | 2,965 | | | TGS ASA | | | 28,427 | |
| | 421 | | | The Drilling Co of 1972 A/S* | | | 16,492 | |
| | 900 | | | Total Energy Services, Inc.* | | | 4,291 | |
| | 400 | | | Toyo Kanetsu KK | | | 8,713 | |
| | 13,311 | | | Trican Well Service, Inc.* | | | 29,152 | |
| | 1,489 | | | Vallourec SA* | | | 14,910 | |
| | 7,807 | | | Worley, Ltd. | | | 60,483 | |
| | | | | | | | |
| | | | | | | 824,102 | |
| | | | | | | | |
| Entertainment (0.4%): | | | |
| | 800 | | | Akatsuki, Inc. | | | 20,056 | |
| | 900 | | | Avex, Inc. | | | 11,285 | |
| | 11,278 | | | Bollore, Inc. | | | 63,101 | |
| | 2,427 | | | Borussia Dortmund GMBH & Co. KGaA* | | | 12,045 | |
| | 2,800 | | | Capcom Co., Ltd. | | | 65,936 | |
| | 21,158 | | | Cineworld Group plc*^ | | | 9,117 | |
| | 268 | | | CTS Eventim AG & Co. KGaA* | | | 19,662 | |
| | 1,900 | | | DeNA Co., Ltd. | | | 29,261 | |
| | 2,590 | | | Event Hospitality And Entertainment, Ltd.* | | | 27,889 | |
| | 1,590 | | | Gungho Online Enetertainment, Inc. | | | 35,782 | |
| | 38,000 | | | IGG, Inc. | | | 33,789 | |
| | 82 | | | Kinepolis Group NV* | | | 5,115 | |
| | 1,300 | | | KLab, Inc.* | | | 5,607 | |
| | 1,600 | | | Konami Holdings Corp. | | | 76,804 | |
| | 1,100 | | | Nexon Co., Ltd. | | | 21,217 | |
| | 700 | | | Nintendo Co., Ltd. | | | 326,563 | |
| | 200 | | | Square Enix Holdings Co., Ltd. | | | 10,261 | |
| | 510 | | | Technicolor SA* | | | 1,642 | |
| | 100 | | | Toei Animation Co., Ltd. | | | 9,921 | |
| | 200 | | | Toei Co., Ltd. | | | 30,503 | |
| | 2,585 | | | UbiSoft Entertainment SA* | | | 126,766 | |
See accompanying notes to the financial statements.
14
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Entertainment, continued | | | |
| | 2,949 | | | Universal Music Group NV | | $ | 83,138 | |
| | 700 | | | UUUM, Inc.* | | | 4,882 | |
| | 2,949 | | | Vivendi Universal SA | | | 39,893 | |
| | 5,570 | | | WildBrain, Ltd.* | | | 15,149 | |
| | | | | | | | |
| | | | | | | 1,085,384 | |
| | | | | | | | |
| Food & Staples Retailing (2.2%): | | | |
| | 5,600 | | | AEON Co., Ltd. | | | 131,916 | |
| | 500 | | | Ain Holdings, Inc. | | | 24,913 | |
| | 3,200 | | | Alcanna, Inc.* | | | 17,305 | |
| | 8,272 | | | Alimentation Couche-Tard, Inc. | | | 346,629 | |
| | 702 | | | Amsterdam Commodities NV* | | | 19,862 | |
| | 2,400 | | | Arcs Co., Ltd. | | | 44,514 | |
| | 1,537 | | | Axfood AB | | | 44,206 | |
| | 800 | | | Axial Retailing, Inc. | | | 23,443 | |
| | 600 | | | Belc Co., Ltd. | | | 29,373 | |
| | 19,813 | | | Carrefour SA | | | 363,106 | |
| | 1,395 | | | Casino Guichard-Perrachon SA* | | | 36,750 | |
| | 1,100 | | | Cawachi, Ltd. | | | 21,062 | |
| | 9,262 | | | Coles Group, Ltd. | | | 120,891 | |
| | 1,589 | | | Colruyt SA | | | 67,403 | |
| | 200 | | | Cosmos Pharmaceutical Corp. | | | 29,387 | |
| | 1,300 | | | Create SD Holdings Co., Ltd. | | | 35,933 | |
| | 500 | | | Daikokutenbussan Co., Ltd. | | | 22,391 | |
| | 4,900 | | | Dairy Farm International Holdings, Ltd. | | | 14,017 | |
| | 3,491 | | | Empire Co., Ltd., Class A | | | 106,375 | |
| | 9,117 | | | Endeavour Group, Ltd. | | | 44,711 | |
| | 500 | | | Fuji Co., Ltd./Ehime | | | 8,491 | |
| | 1,600 | | | Heiwado Co., Ltd. | | | 26,866 | |
| | 200 | | | Itochu-Shokuhin Co., Ltd. | | | 8,676 | |
| | 38,289 | | | J Sainsbury plc | | | 142,733 | |
| | 600 | | | JM Holdings Co., Ltd. | | | 8,593 | |
| | 600 | | | Kato Sangyo Co., Ltd. | | | 17,478 | |
| | 2,778 | | | Kesko OYJ, Class A | | | 85,770 | |
| | 8,384 | | | Kesko OYJ, Class B | | | 278,099 | |
| | 2,400 | | | Kobe Bussan Co., Ltd. | | | 92,869 | |
| | 19,653 | | | Koninklijke Ahold Delhaize NV | | | 673,343 | |
| | 400 | | | Kusuri NO Aoki Holdings Co., Ltd. | | | 25,302 | |
| | 900 | | | LAWSON, Inc. | | | 42,597 | |
| | 800 | | | Life Corp. | | | 23,687 | |
| | 2,011 | | | Loblaw Cos., Ltd. | | | 164,785 | |
| | 1,380 | | | Matsumotokiyoshi Holdings Co., Ltd. | | | 50,975 | |
| | 38,026 | | | Metcash, Ltd. | | | 124,501 | |
| | 7,078 | | | METRO AG | | | 74,264 | |
| | 3,317 | | | Metro, Inc. | | | 176,550 | |
| | 600 | | | Ministop Co., Ltd. | | | 7,330 | |
| | 900 | | | Mitsubishi Shokuhin Co., Ltd. | | | 21,618 | |
| | 1,200 | | | Nihon Chouzai Co., Ltd. | | | 14,347 | |
| | 1,801 | | | North West Co., Inc. | | | 48,756 | |
| | 10,925 | | | Olam International, Ltd. | | | 14,191 | |
| | 1,200 | | | Qol Holdings Co., Ltd. | | | 14,609 | |
| | 1,094 | | | Rallye SA* | | | 6,274 | |
| | 337 | | | Rami Levy Chain Stores Hashikm | | | 25,318 | |
| | 1,000 | | | Retail Partners Co., Ltd. | | | 11,921 | |
| | 600 | | | San-A Co., Ltd. | | | 21,808 | |
| | 12,300 | | | Seven & I Holdings Co., Ltd. | | | 540,765 | |
| | 28,900 | | | Sheng Siong Group, Ltd. | | | 31,311 | |
| | 4,880 | | | Shufersal, Ltd. | | | 40,624 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 1,454 | | | Sligro Food Group NV* | | $ | 35,250 | |
| | 38,447 | | | Sonae SGPS SA | | | 43,871 | |
| | 500 | | | Sugi Holdings Co., Ltd. | | | 30,256 | |
| | 1,800 | | | Sundrug Co., Ltd. | | | 46,977 | |
| | 57,657 | | | Tesco plc | | | 226,012 | |
| | 400 | | | Tsuruha Holdings, Inc. | | | 38,359 | |
| | 2,100 | | | United Supermarkets Holdings | | | 19,301 | |
| | 2,200 | | | Valor Holdings Co., Ltd. | | | 41,054 | |
| | 1,400 | | | Watahan & Co., Ltd. | | | 15,400 | |
| | 1,400 | | | Welcia Holdings Co., Ltd. | | | 43,649 | |
| | 1,493 | | | Weston (George), Ltd. | | | 173,121 | |
| | 9,117 | | | Woolworths Group, Ltd. | | | 252,125 | |
| | 800 | | | YAKUODO Holdings Co., Ltd. | | | 15,624 | |
| | 700 | | | Yamatane Corp. | | | 9,811 | |
| | 700 | | | Yaoko Co., Ltd. | | | 42,487 | |
| | 2,800 | | | Yokorei Co., Ltd. | | | 20,330 | |
| | | | | | | | |
| | | | | | | 5,422,265 | |
| | | | | | | | |
| Food Products (3.1%): | | | |
| | 5,898 | | | A2 Milk Co., Ltd.* | | | 23,958 | |
| | 509 | | | AAK AB | | | 10,998 | |
| | 364 | | | Agrana Beteiligungs AG | | | 7,124 | |
| | 4,500 | | | Ajinomoto Co., Inc. | | | 136,839 | |
| | 44,180 | | | Aryzta AG* | | | 55,241 | |
| | 1,867 | | | Associated British Foods plc | | | 50,632 | |
| | 772 | | | Atria OYJ | | | 10,122 | |
| | 2,327 | | | Austevoll Seafood ASA | | | 28,081 | |
| | 363 | | | Bakkafrost P/F | | | 24,016 | |
| | 58 | | | Barry Callebaut AG, Registered Shares | | | 140,972 | |
| | 8,561 | | | Bega Cheese, Ltd. | | | 35,315 | |
| | 125 | | | Bell AG | | | 39,998 | |
| | 854 | | | Bonduelle S.C.A. | | | 20,272 | |
| | 2,000 | | | Calbee, Inc. | | | 46,416 | |
| | 1 | | | Chocoladefabriken Lindt & Spruengli AG | | | 134,096 | |
| | 800 | | | Chubu Shiryo Co., Ltd. | | | 6,852 | |
| | 12,278 | | | Cloetta AB | | | 35,533 | |
| | 15,071 | | | Costa Group Holdings, Ltd. | | | 33,226 | |
| | 2,030 | | | Cranswick plc | | | 101,602 | |
| | 4,274 | | | Danone SA | | | 265,456 | |
| | 1,700 | | | Delfi, Ltd. | | | 965 | |
| | 10,007 | | | Devro plc | | | 27,887 | |
| | 500 | | | DyDo Group Holdings, Inc. | | | 20,575 | |
| | 2,372 | | | Ebro Foods SA | | | 45,564 | |
| | 4,736 | | | Elders, Ltd. | | | 42,214 | |
| | 80 | | | Emmi AG | | | 94,253 | |
| | 400 | | | Ezaki Glico Co., Ltd. | | | 12,710 | |
| | 108,669 | | | First Pacific Co., Ltd. | | | 40,012 | |
| | 27,100 | | | First Resources, Ltd. | | | 30,384 | |
| | 1,616 | | | Forfarmers NV | | | 7,426 | |
| | 9,500 | | | Fraser & Neave, Ltd. | | | 9,944 | |
| | 1,000 | | | Fuji Oil Holdings, Inc. | | | 20,174 | |
| | 3,286 | | | Glanbia plc | | | 46,031 | |
| | 260,400 | | | Golden Agri-Resources, Ltd. | | | 47,374 | |
| | 11,957 | | | GrainCorp, Ltd. | | | 71,922 | |
| | 17,127 | | | Greencore Group plc*^ | | | 30,008 | |
| | 1,100 | | | High Liner Foods, Inc. | | | 12,967 | |
| | 1,923 | | | Hilton Food Group plc | | | 29,647 | |
| | 1,600 | | | Hokuto Corp. | | | 26,545 | |
See accompanying notes to the financial statements.
15
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 700 | | | House Foods Group, Inc. | | $ | 17,624 | |
| | 15,498 | | | Inghams Group, Ltd. | | | 39,466 | |
| | 2,700 | | | Itoham Yonekyu Holdings, Inc. | | | 15,429 | |
| | 300 | | | Iwatsuka Confectionery Co., Ltd. | | | 10,225 | |
| | 368 | | | JDE Peet’s NV | | | 11,338 | |
| | 600 | | | J-Oil Mills, Inc. | | | 8,713 | |
| | 800 | | | Kagome Co., Ltd. | | | 20,779 | |
| | 800 | | | Kakiyasu Honten Co., Ltd. | | | 19,533 | |
| | 400 | | | Kameda Seika Co., Ltd. | | | 14,851 | |
| | 700 | | | Kenko Mayonnaise Co., Ltd. | | | 8,137 | |
| | 506 | | | Kerry Group plc, Class A | | | 65,221 | |
| | 2,800 | | | Kewpie Corp. | | | 60,270 | |
| | 400 | | | Kikkoman Corp. | | | 33,636 | |
| | 163 | | | KWS Saat SE | | | 13,542 | |
| | 500 | | | Kyokuyo Co., Ltd. | | | 13,381 | |
| | 147 | | | Lassonde Industries, Inc. | | | 18,287 | |
| | 3,154 | | | Leroy Seafood Group ASA | | | 24,615 | |
| | 17 | | | Lotus Bakeries | | | 108,198 | |
| | 2,349 | | | Maple Leaf Foods, Inc. | | | 54,342 | |
| | 1,200 | | | Marudai Food Co., Ltd. | | | 15,902 | |
| | 2,600 | | | Maruha Nichiro Corp. | | | 54,276 | |
| | 1,700 | | | Megmilk Snow Brand Co., Ltd. | | | 29,360 | |
| | 41 | | | Mehadrin, Ltd.* | | | 2,375 | |
| | 2,300 | | | Meiji Holdings Co., Ltd. | | | 137,193 | |
| | 800 | | | Mitsui Sugar Co., Ltd. | | | 13,481 | |
| | 1,300 | | | Morinaga & Co., Ltd. | | | 42,407 | |
| | 1,900 | | | Morinaga Milk Industry Co., Ltd. | | | 90,030 | |
| | 1,241 | | | Mowi ASA | | | 29,382 | |
| | 23,355 | | | Nestle SA, Registered Shares | | | 3,265,914 | |
| | 389 | | | Neto Malinda Trading, Ltd.* | | | 13,825 | |
| | 2,400 | | | NH Foods, Ltd. | | | 86,399 | |
| | 2,600 | | | Nichirei Corp. | | | 60,207 | |
| | 1,200 | | | Nippn Corp. | | | 17,279 | |
| | 800 | | | Nippon Beet Sugar Manufacturing Co., Ltd. | | | 11,867 | |
| | 12,400 | | | Nippon Suisan Kaisha, Ltd. | | | 58,550 | |
| | 1,200 | | | Nisshin Oillio Group, Ltd. (The) | | | 30,249 | |
| | 2,700 | | | Nisshin Seifun Group, Inc. | | | 38,864 | |
| | 300 | | | Nissin Foods Holdings Co., Ltd. | | | 21,856 | |
| | 326 | | | Orior AG | | | 32,158 | |
| | 1,732 | | | Orkla ASA, Class A | | | 17,373 | |
| | 30,027 | | | Premier Foods plc | | | 45,454 | |
| | 688 | | | Premium Brands Holdings Corp. | | | 68,778 | |
| | 1,300 | | | Prima Meat Packers, Ltd. | | | 28,037 | |
| | 11,830 | | | Ridley Corp., Ltd. | | | 12,870 | |
| | 600 | | | S Foods, Inc. | | | 18,119 | |
| | 482 | | | Salmar ASA | | | 33,261 | |
| | 2,346 | | | Sanford, Ltd.* | | | 7,787 | |
| | 1,853 | | | Saputo, Inc. | | | 41,754 | |
| | 127 | | | Savencia SA | | | 8,847 | |
| | 3,496 | | | Scales Corp., Ltd. | | | 13,402 | |
| | 3,767 | | | Scandi Standard AB | | | 17,096 | |
| | 619 | | | Schouw & Co. | | | 53,902 | |
| | 2,867 | | | Select Harvests, Ltd. | | | 12,961 | |
| | 800 | | | Showa Sangyo Co., Ltd. | | | 18,496 | |
| | 306 | | | Sipef SA | | | 19,821 | |
| | 600 | | | Starzen Co., Ltd. | | | 10,434 | |
| | 1,353 | | | Strauss Group, Ltd. | | | 42,199 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 2,659 | | | Suedzucker AG | | $ | 40,116 | |
| | 2,839 | | | Synlait Milk, Ltd.* | | | 6,725 | |
| | 11,672 | | | Tassal Group, Ltd. | | | 29,659 | |
| | 14,193 | | | Tate & Lyle plc | | | 126,813 | |
| | 1,700 | | | Toyo Suisan Kaisha, Ltd. | | | 71,918 | |
| | 58 | | | United International Enterprises | | | 16,516 | |
| | 13,688 | | | United Malt Grp, Ltd. | | | 43,450 | |
| | 1,635 | | | Viscofan SA | | | 105,661 | |
| | 22,000 | | | Vitasoy International Holdings, Ltd.^ | | | 44,437 | |
| | 400 | | | Warabeya Nichiyo Holdings Co., Ltd. | | | 7,176 | |
| | 253,915 | | | WH Group, Ltd.(a) | | | 159,278 | |
| | 23,800 | | | Wilmar International, Ltd. | | | 73,187 | |
| | 200 | | | Yakult Honsha Co., Ltd. | | | 10,420 | |
| | 3,700 | | | Yamazaki Baking Co., Ltd. | | | 49,159 | |
| | | | | | | | |
| | | | | | | 7,687,618 | |
| | | | | | | | |
| Gas Utilities (0.4%): | | | |
| | 7,684 | | | AltaGas, Ltd. | | | 165,916 | |
| | 12,578 | | | APA Group | | | 92,134 | |
| | 1,714 | | | Brookfield Infrastructure Corp., Class A | | | 116,990 | |
| | 7,379 | | | Enagas SA | | | 170,649 | |
| | 17,850 | | | Hong Kong & China Gas Co., Ltd. | | | 27,791 | |
| | 14,289 | | | Italgas SpA | | | 97,994 | |
| | 800 | | | K&O Energy Group, Inc. | | | 9,989 | |
| | 5,000 | | | Nippon Gas Co., Ltd. | | | 66,306 | |
| | 2,900 | | | Osaka Gas Co., Ltd. | | | 48,029 | |
| | 1,181 | | | Rubis SCA | | | 35,293 | |
| | 1,300 | | | Saibu Gas Co., Ltd. | | | 24,021 | |
| | 1,300 | | | Shizuoka Gas Co. Ltd. | | | 11,134 | |
| | 14,036 | | | Snam SpA | | | 84,355 | |
| | 4,491 | | | Superior Plus Corp. | | | 46,160 | |
| | 1,100 | | | Toho Gas Co., Ltd. | | | 28,002 | |
| | 2,200 | | | Tokyo Gas Co., Ltd. | | | 39,550 | |
| | | | | | | | |
| | | | | | | 1,064,313 | |
| | | | | | | | |
| Health Care Equipment & Supplies (1.5%): | | | |
| | 644 | | | Alcon, Inc.^ | | | 56,105 | |
| | 4,403 | | | Alcon, Inc. | | | 388,054 | |
| | 1,070 | | | Ambu A/S, Class B | | | 28,010 | |
| | 3,762 | | | Ansell, Ltd. | | | 86,130 | |
| | 2,637 | | | Arjo AB, Class B | | | 32,281 | |
| | 1,200 | | | Asahi Intecc Co., Ltd. | | | 25,712 | |
| | 425 | | | BioMerieux | | | 60,406 | |
| | 84 | | | Carl Zeiss Meditec AG | | | 17,674 | |
| | 246 | | | Cellavision AB | | | 8,826 | |
| | 304 | | | Cochlear, Ltd. | | | 47,718 | |
| | 600 | | | Coloplast A/S, Class B | | | 104,980 | |
| | 251 | | | Coltene Holding AG | | | 30,906 | |
| | 15,016 | | | Convatec Group plc(a) | | | 39,218 | |
| | 1,762 | | | Demant A/S* | | | 89,399 | |
| | 419 | | | DiaSorin SpA | | | 79,701 | |
| | 509 | | | Draegerwerk AG & Co. KGaA | | | 32,017 | |
| | 238 | | | Draegerwerk AG & Co. KGaA | | | 14,639 | |
| | 458 | | | Eckert & Ziegler AG | | | 49,014 | |
| | 2,223 | | | Elekta AB, Class B | | | 28,094 | |
| | 3,206 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 71,874 | |
| | 300 | | | Fukuda Denshi Co., Ltd. | | | 22,407 | |
| | 2,253 | | | Getinge AB, Class B | | | 97,895 | |
| | 4,399 | | | GN Store Nord A/S | | | 274,908 | |
See accompanying notes to the financial statements.
16
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 405 | | | Guerbet | | $ | 17,185 | |
| | 800 | | | Hogy Medical Co., Ltd. | | | 22,678 | |
| | 2,500 | | | HOYA Corp. | | | 370,751 | |
| | 500 | | | Jeol, Ltd. | | | 39,740 | |
| | 710 | | | Koninklijke Philips Electronics NV, NYS | | | 26,164 | |
| | 5,281 | | | Koninklijke Philips NV | | | 196,273 | |
| | 700 | | | Mani, Inc. | | | 9,709 | |
| | 849 | | | Medmix AG*(a) | | | 41,960 | |
| | 1,000 | | | Menicon Co., Ltd. | | | 29,478 | |
| | 1,200 | | | Nakanishi, Inc. | | | 22,101 | |
| | 1,100 | | | Nihon Kohden Corp. | | | 30,097 | |
| | 7,000 | | | Nipro Corp. | | | 66,171 | |
| | 7,100 | | | Olympus Corp. | | | 163,110 | |
| | 1,800 | | | Paramount Bed Holdings Co., Ltd. | | | 30,538 | |
| | 457 | | | Revenio Group OYJ | | | 28,861 | |
| | 215 | | | Sartorius AG | | | 145,508 | |
| | 645 | | | Siemens Healthineers AG(a) | | | 48,328 | |
| | 1,648 | | | Smith & Nephew plc | | | 28,840 | |
| | 974 | | | Smith & Nephew plc, ADR | | | 33,720 | |
| | 386 | | | Sonova Holding AG, Registered Shares | | | 150,809 | |
| | 360 | | | Stratec Se | | | 56,460 | |
| | 56 | | | Straumann Holding AG, Registered Shares, Class R | | | 118,370 | |
| | 1,200 | | | Sysmex Corp. | | | 161,704 | |
| | 2,300 | | | Terumo Corp. | | | 97,205 | |
| | 180 | | | Ypsomed Holding AG | | | 36,720 | |
| | | | | | | | |
| | | | | | | 3,658,448 | |
| | | | | | | | |
| Health Care Providers & Services (0.9%): | | | |
| | 3,400 | | | Alfresa Holdings Corp. | | | 45,324 | |
| | 3,260 | | | Amplifon SpA | | | 175,159 | |
| | 18,541 | | | Arvida Group, Ltd. | | | 25,028 | |
| | 200 | | | As One Corp. | | | 13,408 | |
| | 6,164 | | | Attendo AB*(a) | | | 26,220 | |
| | 18,377 | | | Australian Pharmaceutical Industries, Ltd. | | | 23,132 | |
| | 700 | | | BML, Inc. | | | 21,761 | |
| | 3,715 | | | CareTech Holdings plc | | | 28,957 | |
| | 862 | | | CVS Group plc | | | 26,124 | |
| | 2,198 | | | Ebos Group, Ltd. | | | 62,036 | |
| | 1,000 | | | Elan Corp. | | | 9,653 | |
| | 4,012 | | | Extendicare, Inc. | | | 23,156 | |
| | 3,112 | | | Fagron | | | 52,370 | |
| | 1,400 | | | France Bed Holdings Co., Ltd. | | | 11,224 | |
| | 3,799 | | | Fresenius Medical Care AG & Co., KGaA | | | 246,074 | |
| | 5,366 | | | Fresenius SE & Co. KGaA | | | 216,334 | |
| | 2,800 | | | H.U. Group Holdings, Inc. | | | 70,965 | |
| | 27,126 | | | Healius, Ltd. | | | 104,223 | |
| | 2,572 | | | Humana AB* | | | 20,687 | |
| | 1,400 | | | Hygeia Healthcare Holdings Co., Ltd.(a) | | | 8,770 | |
| | 1,746 | | | Integral Diagnostics, Ltd. | | | 6,276 | |
| | 2,000 | | | Japan Lifeline Co., Ltd. | | | 19,061 | |
| | 1,000 | | | Japan Medical Dynamic Marketing, Inc. | | | 16,278 | |
| | 2,704 | | | Korian SA | | | 85,651 | |
| | 225 | | | Lna Sante | | | 12,884 | |
| | 3,204 | | | Medical Facilities Corp. | | | 23,685 | |
| | 15,698 | | | Mediclinic International plc* | | | 67,781 | |
| | 1,044 | | | Medicover AB, Class B | | | 42,588 | |
| | 3,300 | | | Medipal Holdings Corp. | | | 61,839 | |
| | 1,110 | | | NMC Health plc*(b) | | | — | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services, continued | | | |
| | 21,704 | | | Oceania Healthcare, Ltd. | | $ | 19,921 | |
| | 6,310 | | | Oriola Oyj, Class B | | | 14,387 | |
| | 1,066 | | | Orpea | | | 106,603 | |
| | 24,015 | | | Raffles Medical Group, Ltd. | | | 24,427 | |
| | 1,997 | | | Ramsay Health Care, Ltd. | | | 103,648 | |
| | 2,814 | | | Ryman Healthcare, Ltd. | | | 23,592 | |
| | 3,400 | | | Ship Healthcare Holdings, Inc. | | | 79,236 | |
| | 59,044 | | | Sigma Healthcare, Ltd. | | | 20,620 | |
| | 1,900 | | | Solasto Corp. | | | 20,405 | |
| | 3,465 | | | Sonic Healthcare, Ltd. | | | 117,675 | |
| | 8,887 | | | Spire Healthcare Group plc*(a) | | | 30,089 | |
| | 8,438 | | | Summerset Group Holdings, Ltd. | | | 79,062 | |
| | 1,500 | | | Suzuken Co., Ltd. | | | 43,230 | |
| | 1,422 | | | Terveystalo OYJ(a) | | | 19,097 | |
| | 1,800 | | | Toho Holdings Co., Ltd. | | | 27,469 | |
| | 500 | | | Tokai Corp./Gifu | | | 8,587 | |
| | 3,655 | | | Virtus Health, Ltd. | | | 18,215 | |
| | 2,800 | | | Vital Ksk Holdings, Inc. | | | 19,648 | |
| | | | | | | | |
| | | | | | | 2,322,559 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 7,980 | | | AGFA-Gevaert NV* | | | 34,414 | |
| | 1,026 | | | Ascom Holding AG* | | | 13,238 | |
| | 857 | | | CompuGroup Medical SE & Co KgaA | | | 69,339 | |
| | 2,389 | | | Emis Group plc | | | 43,838 | |
| | 2,400 | | | M3, Inc. | | | 120,907 | |
| | 700 | | | MedPeer, Inc.* | | | 21,823 | |
| | 800 | | | Nnit A/S(a) | | | 14,027 | |
| | 94 | | | Pharmagest Interactive | | | 10,050 | |
| | 1,258 | | | Pro Medicus, Ltd. | | | 57,168 | |
| | 1,213 | | | Raysearch Laboratories AB* | | | 7,567 | |
| | 3,335 | | | Sectra AB, Class B* | | | 73,306 | |
| | | | | | | | |
| | | | | | | 465,677 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.5%): | | | |
| | 2,190 | | | 888 Holdings plc | | | 8,925 | |
| | 3,592 | | | Accor SA* | | | 116,231 | |
| | 600 | | | AEON Fantasy Co., Ltd. | | | 9,716 | |
| | 1,000 | | | Arcland Service Holdings Co., Ltd. | | | 19,687 | |
| | 23,206 | | | Ardent Leisure Group, Ltd.* | | | 22,766 | |
| | 4,661 | | | Aristocrat Leisure, Ltd. | | | 147,795 | |
| | 1,059 | | | Basic-Fit NV*(a) | | | 50,436 | |
| | 3,095 | | | Betsson AB, Class B* | | | 18,616 | |
| | 20,000 | | | Cafe de Coral Holdings, Ltd. | | | 35,654 | |
| | 1,533 | | | Carnival plc, ADR* | | | 28,345 | |
| | 72,000 | | | Century City International Holdings, Ltd.* | | | 3,740 | |
| | 970 | | | CIE des Alpes* | | | 15,219 | |
| | 4,935 | | | Collins Foods, Ltd. | | | 48,008 | |
| | 700 | | | Colowide Co., Ltd. | | | 9,916 | |
| | 2,726 | | | Compass Group plc* | | | 60,714 | |
| | 1,300 | | | Create Restaurants Holdings In^ | | | 8,156 | |
| | 4,576 | | | Crown Resorts, Ltd.* | | | 39,899 | |
| | 799 | | | Domino’s Pizza Enterprises, Ltd. | | | 68,616 | |
| | 13,489 | | | Domino’s Pizza Group plc | | | 83,720 | |
| | 1,600 | | | Doutor Nichires Holdings Co., Ltd. | | | 22,289 | |
| | 4,906 | | | Elior Group*(a) | | | 35,453 | |
| | 253 | | | Evolution AB(a) | | | 35,605 | |
| | 6,500 | | | Fairwood Holdings, Ltd. | | | 12,926 | |
| | 1,821 | | | Flight Centre Travel Group, Ltd.* | | | 23,393 | |
See accompanying notes to the financial statements.
17
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 495 | | | Flutter Entertainment plc* | | $ | 78,100 | |
| | 2,342 | | | Flutter Entertainment plc* | | | 371,503 | |
| | 2,000 | | | Food & Life Cos., Ltd. | | | 75,365 | |
| | 200 | | | Fuji Kyuko Co., Ltd. | | | 7,081 | |
| | 557 | | | Fuller Smith & Turner plc, Class A | | | 5,376 | |
| | 7,000 | | | Galaxy Entertainment Group, Ltd.* | | | 36,273 | |
| | 200 | | | Genki Sushi Co., Ltd. | | | 4,430 | |
| | 38,700 | | | Genting Singapore, Ltd. | | | 22,262 | |
| | 3,888 | | | Greggs plc | | | 175,019 | |
| | 4,228 | | | GVC Holdings plc* | | | 95,979 | |
| | 18,230 | | | Hongkong & Shanghai Hotels (The)* | | | 16,017 | |
| | 1,499 | | | InterContinental Hotels Group plc, ADR* | | | 97,750 | |
| | 2,484 | | | JD Wetherspoon plc* | | | 32,288 | |
| | 868 | | | Jumbo Interactive, Ltd. | | | 12,160 | |
| | 1,100 | | | KFC Holdings Japan, Ltd. | | | 27,671 | |
| | 6,856 | | | Kindred Group plc | | | 81,087 | |
| | 1,700 | | | Komeda Holdings Co., Ltd. | | | 30,304 | |
| | 1,196 | | | La Francaise des Jeux SAEM(a) | | | 52,985 | |
| | 33,812 | | | Marston’s plc* | | | 35,130 | |
| | 200 | | | Matsuyafoods Holdings Co., Ltd. | | | 6,295 | |
| | 500 | | | McDonald’s Holdings Co., Ltd. | | | 22,129 | |
| | 23,000 | | | Melco International Development Ltd.* | | | 28,057 | |
| | 5,571 | | | Melia Hotels International SA* | | | 37,880 | |
| | 14,000 | | | Miramar Hotel & Investment | | | 23,001 | |
| | 14,923 | | | Mitchells & Butlers plc* | | | 51,579 | |
| | 400 | | | Monogatari Corp. (The) | | | 23,479 | |
| | 46,000 | | | NagaCorp, Ltd. | | | 40,121 | |
| | 200 | | | Oriental Land Co., Ltd. | | | 33,709 | |
| | 2,702 | | | Pandox AB* | | | 43,446 | |
| | 900 | | | Pizza Pizza Royalty Corp. | | | 8,553 | |
| | 10,182 | | | PlayTech plc* | | | 100,912 | |
| | 600 | | | Pollard Banknote, Ltd. | | | 18,904 | |
| | 12,439 | | | Rank Group plc* | | | 26,280 | |
| | 1,500 | | | Resorttrust, Inc. | | | 24,509 | |
| | 2,049 | | | Restaurant Brands International, Inc.^ | | | 124,333 | |
| | 3,018 | | | Restaurant Brands New Zealand, Ltd.* | | | 28,516 | |
| | 19,755 | | | Restaurant Group plc (The)* | | | 25,105 | |
| | 1,200 | | | Saint Marc Holdings Co., Ltd. | | | 15,266 | |
| | 3,788 | | | Sands China, Ltd.* | | | 8,824 | |
| | 5,463 | | | Scandic Hotels Group AB*(a) | | | 21,981 | |
| | 44,000 | | | Shangri-La Asia, Ltd.* | | | 36,738 | |
| | 78,868 | | | SJM Holdings, Ltd.* | | | 53,111 | |
| | 1,360 | | | SkiStar AB | | | 25,560 | |
| | 28,026 | | | Sky City Entertainment Group, Ltd. | | | 59,877 | |
| | 6,100 | | | Skylark Holdings Co., Ltd. | | | 80,146 | |
| | 700 | | | Sodexo SA | | | 61,373 | |
| | 13,126 | | | SSP Group plc* | | | 42,527 | |
| | 30,737 | | | Star Entertainment Group, Ltd. (The)* | | | 81,948 | |
| | 21,530 | | | Tabcorp Holdings, Ltd. | | | 78,735 | |
| | 581 | | | The Gym Group plc*(a) | | | 1,992 | |
| | 137 | | | Tivoli A/S* | | | 16,938 | |
| | 800 | | | Tokyotokeiba Co., Ltd. | | | 29,617 | |
| | 2,200 | | | Toridoll Holding Corp. | | | 47,560 | |
| | 2,341 | | | Whitbread plc* | | | 94,541 | |
| | 500 | | | Young & Co.’s Brewery plc, Class A | | | 10,538 | |
| | 2,700 | | | Zensho Holdings Co., Ltd. | | | 63,411 | |
| | | | | | | | |
| | | | | | | 3,680,096 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables (1.9%): | | | |
| | 5,875 | | | Azorim-Investment Development & Construction Co., Ltd.* | | $ | 35,165 | |
| | 4,812 | | | Bang & Olufsen A/S* | | | 20,493 | |
| | 12,573 | | | Barratt Developments plc | | | 126,987 | |
| | 3,181 | | | Bellway plc | | | 143,252 | |
| | 1,957 | | | Berkeley Group Holdings plc | | | 126,129 | |
| | 1,566 | | | Bigben Interactive | | | 28,815 | |
| | 3,728 | | | Bonava AB | | | 32,122 | |
| | 6,992 | | | Bovis Homes Group plc | | | 112,155 | |
| | 1,520 | | | Breville Group, Ltd. | | | 35,065 | |
| | 27,975 | | | Cairn Home plc | | | 35,957 | |
| | 1,700 | | | Casio Computer Co., Ltd. | | | 21,864 | |
| | 600 | | | Chofu Seisakusho Co., Ltd. | | | 10,625 | |
| | 9,695 | | | Countryside Properties plc*(a) | | | 58,850 | |
| | 6,556 | | | Crest Nicholson Holdings plc | | | 32,928 | |
| | 1,076 | | | De’Longhi | | | 38,442 | |
| | 7,507 | | | DFS Furniture plc | | | 26,864 | |
| | 1,000 | | | Dorel Industries, Inc.* | | | 16,200 | |
| | 2,152 | | | Duni AB* | | | 27,843 | |
| | 4,630 | | | Electrolux AB, Class B | | | 111,971 | |
| | 1,200 | | | Es-Con Japan, Ltd. | | | 8,170 | |
| | 2,053 | | | Fiskars OYJ Abp | | | 53,751 | |
| | 36 | | | Forbo Holding AG | | | 73,626 | |
| | 1,600 | | | Fuji Corp., Ltd. | | | 9,642 | |
| | 900 | | | Fujitsu General, Ltd. | | | 21,374 | |
| | 10,300 | | | Haseko Corp. | | | 127,723 | |
| | 2,710 | | | Henry Boot plc | | | 10,415 | |
| | 700 | | | Hoosiers Holdings | | | 4,133 | |
| | 679 | | | Husqvarna AB, Class A Shares | | | 10,766 | |
| | 6,964 | | | Husqvarna AB, Class B | | | 110,918 | |
| | 2,100 | | | Iida Group Holdings Co., Ltd. | | | 48,730 | |
| | 2,147 | | | JM AB | | | 96,871 | |
| | 5,000 | | | JS Global Lifestyle Co., Ltd.(a) | | | 8,429 | |
| | 10,600 | | | Jvc Kenwood Corp. | | | 16,222 | |
| | 958 | | | Kaufman & Broad SA | | | 40,260 | |
| | 1,300 | | | LEC, Inc. | | | 9,778 | |
| | 540 | | | Leifheit AG | | | 22,626 | |
| | 43,200 | | | Man Wah Holdings, Ltd. | | | 66,926 | |
| | 10 | | | Metall Zug AG | | | 22,612 | |
| | 1,363 | | | Neinor Homes SA(a) | | | 16,253 | |
| | 6,900 | | | Nikon Corp. | | | 74,404 | |
| | 5,576 | | | Nobia AB | | | 33,608 | |
| | 39,400 | | | Panasonic Corp. | | | 433,418 | |
| | 4,180 | | | Persimmon plc | | | 161,193 | |
| | 1,200 | | | Pressance Corp. | | | 21,799 | |
| | 6,708 | | | Redrow plc | | | 63,499 | |
| | 200 | | | Rinnai Corp. | | | 17,993 | |
| | 1,300 | | | Sangetsu Corp. | | | 18,342 | |
| | 864 | | | SEB SA | | | 134,562 | |
| | 5,900 | | | Sekisui Chemical Co., Ltd. | | | 98,611 | |
| | 4,600 | | | Sekisui House, Ltd. | | | 98,762 | |
| | 3,000 | | | Sharp Corp. | | | 34,383 | |
| | 11,300 | | | Sony Group Corp. | | | 1,428,673 | |
| | 2,500 | | | Space Value Holdings Co., Ltd. | | | 24,924 | |
| | 1,800 | | | Starts Corp., Inc. | | | 39,303 | |
| | 4,800 | | | Sumitomo Forestry Co., Ltd. | | | 92,917 | |
| | 328 | | | Surteco Group SE | | | 14,160 | |
See accompanying notes to the financial statements.
18
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables, continued | | | |
| | 1,100 | | | Tamron Co., Ltd. | | $ | 27,310 | |
| | 42,121 | | | Taylor Wimpey plc | | | 99,749 | |
| | 805 | | | The Vitec Group plc | | | 15,474 | |
| | 1,000 | | | TOA Corp. | | | 7,026 | |
| | 3,468 | | | TomTom NV* | | | 35,680 | |
| | 100 | | | V-ZUG Holding AG* | | | 13,498 | |
| | | | | | | | |
| | | | | | | 4,810,240 | |
| | | | | | | | |
| Household Products (0.3%): | | | |
| | 4,370 | | | Essity AB, Class B | | | 142,645 | |
| | 407 | | | Henkel AG & Co. KGaA | | | 31,819 | |
| | 4,900 | | | Lion Corp. | | | 65,486 | |
| | 14,255 | | | Mcbride plc* | | | 11,570 | |
| | 2,700 | | | Pigeon Corp. | | | 51,604 | |
| | 5,635 | | | PZ Cussons plc | | | 15,675 | |
| | 3,635 | | | Reckitt Benckiser Group plc | | | 311,782 | |
| | 800 | | | Unicharm Corp. | | | 34,774 | |
| | | | | | | | |
| | | | | | | 665,355 | |
| | | | | | | | |
Independent Power and Renewable Electricity
Producers (0.4%): | | | |
| | 1,528 | | | Albioma SA | | | 59,641 | |
| | 892 | | | Boralex, Inc., Class A | | | 24,458 | |
| | 1,800 | | | Capital Power Corp. | | | 56,157 | |
| | 4,606 | | | ContourGlobal plc(a) | | | 11,914 | |
| | 18,267 | | | Drax Group plc | | | 149,715 | |
| | 2,483 | | | EDP Renovaveis SA | | | 61,567 | |
| | 1,300 | | | Electric Power Development Co., Ltd. | | | 17,261 | |
| | 1,200 | | | Encavis AG | | | 21,243 | |
| | 2,646 | | | Energix-Renewable Energies, Ltd. | | | 11,246 | |
| | 1,000 | | | eRex Co., Ltd. | | | 17,749 | |
| | 1,756 | | | ERG SpA | | | 56,553 | |
| | 49 | | | Greenvolt-Energias Renovaveis SA* | | | 353 | |
| | 3,655 | | | Innergex Renewable Energy, Inc. | | | 53,750 | |
| | 690 | | | Kenon Holdings, Ltd. | | | 35,076 | |
| | 2,800 | | | New Energy Solar, Ltd. | | | 1,670 | |
| | 4,718 | | | Northland Power, Inc. | | | 141,562 | |
| | 2,264 | | | OPC Energy, Ltd.* | | | 25,362 | |
| | 1,500 | | | Polaris Infrastructure, Inc. | | | 19,995 | |
| | 500 | | | Renova, Inc.* | | | 9,053 | |
| | 438 | | | Scatec ASA(a) | | | 7,536 | |
| | 604 | | | Solaria Energia y Medio Ambiente SA* | | | 11,587 | |
| | 14,446 | | | Transalta Corp. | | | 160,473 | |
| | 2,200 | | | Transalta Renewables, Inc. | | | 32,614 | |
| | 1,431 | | | Uniper SE | | | 68,053 | |
| | 910 | | | West Holdings Corp. | | | 45,132 | |
| | | | | | | | |
| | | | | | | 1,099,720 | |
| | | | | | | | |
| Industrial Conglomerates (0.9%): | | | |
| | 1,137 | | | Bonheur ASA | | | 45,833 | |
| | 8,000 | | | Chevalier International Holdings Ltd. | | | 9,593 | |
| | 12,732 | | | CIR SpA-Compagnie Industriali* | | | 6,809 | |
| | 28,430 | | | CK Hutchison Holdings, Ltd. | | | 183,466 | |
| | 1,581 | | | DCC plc | | | 129,261 | |
| | 2,000 | | | Guoco Group, Ltd. | | | 21,802 | |
| | 8,100 | | | Hitachi, Ltd. | | | 438,829 | |
| | 822 | | | Indus Holding AG | | | 30,630 | |
| | 515 | | | Italmobiliare SpA | | | 19,009 | |
| | 1,500 | | | Katakura Industries Co., Ltd. | | | 32,152 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Industrial Conglomerates, continued | | | |
| | 1,700 | | | Keihan Holdings Co., Ltd. | | $ | 39,115 | |
| | 18,500 | | | Keppel Corp., Ltd. | | | 70,306 | |
| | 2,235 | | | Lifco AB, Class B | | | 66,949 | |
| | 51,933 | | | Melrose Industries plc | | | 112,668 | |
| | 5,400 | | | Nisshinbo Holdings, Inc. | | | 41,008 | |
| | 6,522 | | | Nolato AB, Class B | | | 77,165 | |
| | 23,000 | | | NWS Holdings, Ltd. | | | 21,564 | |
| | 1,821 | | | Rheinmetall AG | | | 172,202 | |
| | 3,900 | | | Seibu Holdings, Inc.* | | | 36,491 | |
| | 70,000 | | | Shun Tak Holdings, Ltd.* | | | 19,316 | |
| | 2,187 | | | Siemens AG, Registered Shares | | | 380,115 | |
| | 6,191 | | | Smiths Group plc | | | 131,948 | |
| | 5,400 | | | Tokai Holdings Corp. | | | 40,804 | |
| | 1,300 | | | Toshiba Corp. | | | 53,469 | |
| | | | | | | | |
| | | | | | | 2,180,504 | |
| | | | | | | | |
| Insurance (3.6%): | | | |
| | 2,838 | | | Admiral Group plc | | | 121,311 | |
| | 33,091 | | | AEGON NV | | | 164,903 | |
| | 3,360 | | | Ageas NV | | | 174,175 | |
| | 69,040 | | | AIA Group, Ltd. | | | 696,043 | |
| | 41,090 | | | Alm Brand A/S | | | 80,017 | |
| | 5,951 | | | ASR Nederland NV | | | 273,580 | |
| | 11,584 | | | Assicurazioni Generali SpA | | | 244,464 | |
| | 1,203 | | | AUB Group, Ltd. | | | 22,551 | |
| | 51,290 | | | Aviva plc | | | 284,779 | |
| | 10,959 | | | AXA SA | | | 326,571 | |
| | 999 | | | Baloise Holding AG, Registered Shares | | | 163,154 | |
| | 12,901 | | | Beazley plc* | | | 81,384 | |
| | 4 | | | Brookfield Asset Management Reinsurance Partners, Ltd., Class A | | | 250 | |
| | 7,384 | | | Chesnara plc | | | 28,468 | |
| | 2,213 | | | Clal Insurance Enterprises Holdings, Ltd.* | | | 56,827 | |
| | 2,983 | | | CNP Assurances SA | | | 73,868 | |
| | 5,028 | | | Coface SA | | | 71,667 | |
| | 4,900 | | | Dai-ichi Life Holdings, Inc. | | | 99,013 | |
| | 39,884 | | | Direct Line Insurance Group plc | | | 150,322 | |
| | 82 | | | E-L Financial Corp., Ltd. | | | 58,852 | |
| | 598 | | | Fairfax Financial Holdings, Ltd. | | | 294,196 | |
| | 1,054 | | | FBD Holdings plc* | | | 8,811 | |
| | 1,341 | | | Gjensidige Forsikring ASA | | | 32,585 | |
| | 500 | | | Great Eastern Holdings, Ltd. | | | 7,481 | |
| | 1,464 | | | Great-West Lifeco, Inc. | | | 43,938 | |
| | 1,465 | | | Grupo Catalana Occidente SA | | | 49,821 | |
| | 539 | | | Hannover Rueck SE | | | 102,625 | |
| | 5,987 | | | Harel Insurance Investments & | | | 67,913 | |
| | 1,758 | | | Helvetia Holding AG | | | 206,779 | |
| | 6,718 | | | Hiscox, Ltd. | | | 78,075 | |
| | 3,319 | | | IA Financial Corp., Inc. | | | 189,935 | |
| | 506 | | | IDI Insurance Co., Ltd. | | | 18,490 | |
| | 18,382 | | | Insurance Australia Group, Ltd. | | | 56,969 | |
| | 875 | | | Intact Financial Corp. | | | 113,747 | |
| | 6,700 | | | Japan Post Holdings Co., Ltd. | | | 52,303 | |
| | 1,900 | | | Japan Post Insurance Co., Ltd. | | | 30,535 | |
| | 52,851 | | | Just Group plc* | | | 59,663 | |
| | 7,487 | | | Lancashire Holdings, Ltd. | | | 53,609 | |
| | 58,863 | | | Legal & General Group plc | | | 236,907 | |
See accompanying notes to the financial statements.
19
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 16,597 | | | Linea Directa Aseguradora SA Cia de Seguros y Reaseguros | | $ | 30,203 | |
| | 13,095 | | | Manulife Financial Corp. | | | 249,722 | |
| | 1,683 | | | Manulife Financial Corp. | | | 32,082 | |
| | 25,567 | | | Mapfre SA | | | 51,997 | |
| | 40,419 | | | Medibank Private, Ltd. | | | 98,516 | |
| | 1,055 | | | Menora Mivtachim Holdings, Ltd. | | | 24,998 | |
| | 16,641 | | | Migdal Insurance & Financial Holding, Ltd. | | | 27,452 | |
| | 2,100 | | | MS&AD Insurance Group Holdings, Inc. | | | 64,808 | |
| | 702 | | | Muenchener Rueckversicherungs-Gesellschaft AG | | | 208,240 | |
| | 17,124 | | | NIB Holdings, Ltd. | | | 87,290 | |
| | 4,192 | | | NN Group NV | | | 226,542 | |
| | 4,541 | | | Phoenix Group Holdings plc | | | 40,046 | |
| | 7,577 | | | Phoenix Holdings, Ltd. (The) | | | 97,991 | |
| | 5,968 | | | Poste Italiane SpA(a) | | | 78,311 | |
| | 1,147 | | | Protector Forsikring ASA | | | 14,099 | |
| | 2,817 | | | Prudential plc, ADR | | | 96,989 | |
| | 20,613 | | | QBE Insurance Group, Ltd. | | | 170,241 | |
| | 3,005 | | | Sabre Insurance Group plc(a) | | | 7,467 | |
| | 3,822 | | | Saga plc* | | | 14,748 | |
| | 3,323 | | | Sampo Oyj, Class A | | | 165,769 | |
| | 5,815 | | | SCOR SA | | | 181,581 | |
| | 445 | | | Solid Forsakring AB* | | | 2,894 | |
| | 2,600 | | | Sompo Holdings, Inc. | | | 109,856 | |
| | 11,137 | | | Steadfast Group, Ltd. | | | 42,538 | |
| | 5,818 | | | Storebrand ASA | | | 58,397 | |
| | 3,075 | | | Sun Life Financial, Inc. | | | 171,247 | |
| | 15,987 | | | Suncorp Group, Ltd. | | | 128,810 | |
| | 434 | | | Swiss Life Holding AG, Registered Shares | | | 265,717 | |
| | 2,645 | | | Swiss Re AG | | | 261,336 | |
| | 5,900 | | | T&D Holdings, Inc. | | | 75,522 | |
| | 974 | | | Talanx AG | | | 47,196 | |
| | 3,700 | | | Tokio Marine Holdings, Inc. | | | 205,656 | |
| | 1,470 | | | Topdanmark A/S | | | 82,431 | |
| | 92 | | | Trisura Group, Ltd.* | | | 3,469 | |
| | 2,023 | | | Tryg A/S | | | 50,008 | |
| | 15,269 | | | Unipol Gruppo Finanziario SpA | | | 82,479 | |
| | 14,182 | | | UnipolSai Assicurazioni SpA | | | 39,855 | |
| | 6,313 | | | Uniqa Insurance Group AG | | | 57,805 | |
| | 54 | | | Vaudoise Assurances Holding SA | | | 26,375 | |
| | 2,033 | | | Vienna Insurance Group AG Wiener Versicherung Gruppe | | | 57,497 | |
| | 1,796 | | | Wuestenrot & Wuerttembergische AG | | | 35,945 | |
| | 967 | | | Zurich Insurance Group AG | | | 423,906 | |
| | | | | | | | |
| | | | | | | 9,074,612 | |
| | | | | | | | |
| Interactive Media & Services (0.3%): | | | |
| | 13,958 | | | Auto Trader Group plc(a) | | | 139,497 | |
| | 400 | | | Bengo4.com, Inc.* | | | 21,184 | |
| | 4,616 | | | Carsales.com, Ltd. | | | 84,283 | |
| | 1,200 | | | Dip Corp. | | | 40,856 | |
| | 5,012 | | | Domain Holdings Australia, Ltd. | | | 20,606 | |
| | 2,200 | | | Kakaku.com, Inc. | | | 58,734 | |
| | 2,000 | | | mixi, Inc. | | | 35,044 | |
| | 135 | | | New Work SE | | | 33,360 | |
| | 437 | | | REA Group, Ltd. | | | 53,308 | |
| | 14,661 | | | Rightmove plc | | | 157,402 | |
| | 897 | | | Scout24 AG(a) | | | 62,876 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Interactive Media & Services, continued | | | |
| | 1,561 | | | Seek, Ltd. | | $ | 37,236 | |
| | 2,124 | | | Solocal Group* | | | 2,968 | |
| | 6,000 | | | Z Holdings Corp. | | | 34,824 | |
| | | | | | | | |
| | | | | | | 782,178 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.4%): | | | |
| | 1,600 | | | ASKUL Corp. | | | 21,342 | |
| | 1,900 | | | Belluna Co., Ltd. | | | 11,714 | |
| | 621 | | | BHG Group AB* | | | 6,532 | |
| | 18,446 | | | Boohoo Group plc* | | | 30,671 | |
| | 1,898 | | | Cazoo Group, Ltd.* | | | 11,447 | |
| | 264 | | | Delivery Hero SE*(a) | | | 29,472 | |
| | 4,443 | | | Dustin Group AB(a) | | | 51,936 | |
| | 2,462 | | | eDreams ODIGEO SA* | | | 26,937 | |
| | 800 | | | Enigmo, Inc. | | | 5,294 | |
| | 1,765 | | | HelloFresh SE* | | | 135,753 | |
| | 10,000 | | | Hong Kong Technology Venture Co., Ltd. | | | 10,902 | |
| | 788 | | | Just Eat Takeaway.com NV*(a) | | | 43,288 | |
| | 500 | | | Media Do Co., Ltd. | | | 17,768 | |
| | 22,749 | | | Moneysupermarket.com Group plc | | | 66,346 | |
| | 6,515 | | | N Brown Group plc* | | | 3,802 | |
| | 821 | | | Ocado Group plc* | | | 18,624 | |
| | 5,176 | | | On The Beach Group plc*(a) | | | 19,859 | |
| | 1,785 | | | Prosus NV | | | 148,879 | |
| | 3,300 | | | Rakuten, Inc. | | | 33,115 | |
| | 1,817 | | | Takkt AG | | | 31,679 | |
| | 6,523 | | | Webjet, Ltd.* | | | 24,545 | |
| | 1,397 | | | Zalando SE*(a) | | | 113,275 | |
| | 1,200 | | | ZOZO, Inc. | | | 37,372 | |
| | | | | | | | |
| | | | | | | 900,552 | |
| | | | | | | | |
| IT Services (1.8%): | | | |
| | 1,006 | | | AddNode Group AB | | | 47,620 | |
| | 45 | | | Adyen NV*(a) | | | 117,719 | |
| | 370 | | | Allgeier SE | | | 23,493 | |
| | 725 | | | Alten SA | | | 130,260 | |
| | 776 | | | Amadeus IT Group SA* | | | 52,262 | |
| | 733 | | | Appen, Ltd. | | | 5,928 | |
| | 3,282 | | | Atea ASA | | | 61,002 | |
| | 2,869 | | | Atos SE | | | 121,845 | |
| | 180 | | | Aubay | | | 12,794 | |
| | 1,677 | | | Bechtle AG | | | 120,202 | |
| | 1,490 | | | Bouvet ASA | | | 12,756 | |
| | 2,289 | | | Capgemini SA | | | 559,037 | |
| | 2,893 | | | CGI, Inc.* | | | 256,031 | |
| | 700 | | | CGI, Inc.* | | | 61,903 | |
| | 4,933 | | | Columbus A/S | | | 7,181 | |
| | 2,733 | | | Computacenter plc | | | 107,694 | |
| | 5,121 | | | Computershare, Ltd. | | | 74,522 | |
| | 1,100 | | | Comture Corp. | | | 34,346 | |
| | 7,824 | | | Data#3, Ltd. | | | 33,472 | |
| | 500 | | | Densan System Holdings Co., Ltd. | | | 11,878 | |
| | 100 | | | Digital Garage, Inc. | | | 4,257 | |
| | 1,400 | | | DTS Corp. | | | 30,728 | |
| | 8,624 | | | Econocom Group SA/NV | | | 35,725 | |
| | 2,927 | | | Edenred | | | 135,076 | |
| | 1,000 | | | E-Guardian, Inc. | | | 29,501 | |
| | 558 | | | Enea AB* | | | 16,767 | |
| | 3,891 | | | Fdm Group Holdings plc | | | 67,095 | |
See accompanying notes to the financial statements.
20
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 457 | | | Formula Systems 1985, Ltd. | | $ | 55,737 | |
| | 700 | | | Fujitsu, Ltd. | | | 119,957 | |
| | 1,332 | | | GFT Technologies SE | | | 69,950 | |
| | 6,665 | | | Global Dominion Access SA(a) | | | 35,506 | |
| | 2,200 | | | GMO Internet, Inc. | | | 51,610 | |
| | 400 | | | GMO Payment Gateway, Inc. | | | 49,595 | |
| | 1,200 | | | ID Holdings Corp. | | | 9,308 | |
| | 4,290 | | | Indra Sistemas SA* | | | 46,156 | |
| | 1,200 | | | Infocom Corp. | | | 22,770 | |
| | 900 | | | Information Services Internati | | | 30,327 | |
| | 2,776 | | | Iomart Group plc | | | 6,361 | |
| | 1,100 | | | Itochu Techno-Solutions Corp. | | | 35,392 | |
| | 4,018 | | | Kainos Group plc | | | 104,359 | |
| | 400 | | | Kanematsu Electronics, Ltd. | | | 13,775 | |
| | 1,231 | | | Knowit AB | | | 50,987 | |
| | 19,489 | | | Link Administration Holdings, Ltd. | | | 79,009 | |
| | 896 | | | Matrix It, Ltd. | | | 27,228 | |
| | 300 | | | Mitsubishi Research Institute | | | 10,539 | |
| | 370 | | | Nagarro SE* | | | 85,066 | |
| | 7,286 | | | NCC Group plc | | | 22,975 | |
| | 600 | | | NEC Networks & System Integrat | | | 9,369 | |
| | 1,300 | | | NET One Systems Co., Ltd. | | | 34,905 | |
| | 2,520 | | | NEXTDC, Ltd.* | | | 23,398 | |
| | 3,000 | | | Nihon Unisys, Ltd. | | | 83,862 | |
| | 2,056 | | | Nomura Research Institute, Ltd. | | | 87,571 | |
| | 800 | | | NS Solutions Corp. | | | 24,609 | |
| | 2,200 | | | Nsd Co., Ltd. | | | 39,984 | |
| | 5,500 | | | NTT Data Corp. | | | 117,945 | |
| | 4,539 | | | Ordina NV | | | 21,174 | |
| | 1,400 | | | Otsuka Corp. | | | 66,833 | |
| | 1,200 | | | Poletowin Pitcrew Holdings, Inc. | | | 10,793 | |
| | 9,052 | | | Pushpay Holdings, Ltd.* | | | 8,173 | |
| | 2,400 | | | Relia, Inc. | | | 20,348 | |
| | 663 | | | Reply SpA | | | 133,820 | |
| | 2,400 | | | SCSK Corp. | | | 47,772 | |
| | 65 | | | Shopify, Inc., Class A* | | | 89,530 | |
| | 800 | | | Softbank Technology Corp. | | | 17,828 | |
| | 3,194 | | | Softcat plc | | | 77,926 | |
| | 795 | | | Sopra Steria Group | | | 142,058 | |
| | 16,000 | | | Sunevision Holdings, Ltd. | | | 15,144 | |
| | 1,200 | | | TDC Soft, Inc. | | | 12,053 | |
| | 1,700 | | | TechMatrix Corp. | | | 28,031 | |
| | 2,278 | | | Tieto OYJ | | | 70,839 | |
| | 3,000 | | | TIS, Inc. | | | 89,045 | |
| | 315 | | | Wavestone | | | 19,501 | |
| | 2,243 | | | Worldline SA*(a) | | | 124,979 | |
| | | | | | | | |
| | | | | | | 4,515,191 | |
| | | | | | | | |
| Leisure Products (0.4%): | | | |
| | 1,179 | | | Accell Group* | | | 64,356 | |
| | 1,700 | | | Bandai Namco Holdings, Inc. | | | 132,960 | |
| | 1,496 | | | Beneteau SA* | | | 24,221 | |
| | 606 | | | BRP, Inc. | | | 53,087 | |
| | 891 | | | Games Workshop Group plc | | | 120,200 | |
| | 1,000 | | | Globeride, Inc. | | | 27,480 | |
| | 72,000 | | | Goodbaby International Holdings, Ltd.* | | | 9,241 | |
| | 178 | | | Harvia OYJ | | | 11,842 | |
| | 2,500 | | | Heiwa Corp. | | | 41,110 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Leisure Products, continued | | | |
| | 500 | | | Mars Group Holdings Corp. | | $ | 7,326 | |
| | 1,659 | | | Maytronics, Ltd. | | | 40,948 | |
| | 342 | | | MIPS AB | | | 44,857 | |
| | 800 | | | Mizuno Corp. | | | 15,570 | |
| | 26,132 | | | Photo-Me International plc* | | | 22,275 | |
| | 1,200 | | | Sankyo Co., Ltd. | | | 31,105 | |
| | 3,600 | | | Sega Sammy Holdings, Inc. | | | 56,567 | |
| | 200 | | | Shimano, Inc. | | | 53,161 | |
| | 700 | | | Spin Master Corp.*(a) | | | 26,532 | |
| | 1,169 | | | Technogym SpA(a) | | | 11,185 | |
| | 1,995 | | | Thule Group AB (The)(a) | | | 120,628 | |
| | 4,700 | | | Tomy Co., Ltd. | | | 44,917 | |
| | 385 | | | Trigano SA | | | 74,818 | |
| | 700 | | | Universal Entertainment Corp.* | | | 14,858 | |
| | 500 | | | Yamaha Corp. | | | 24,653 | |
| | | | | | | | |
| | | | | | | 1,073,897 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.5%): | | | |
| | 1,444 | | | Addlife AB, Class B | | | 60,767 | |
| | 55 | | | Bachem Holding AG, Class B | | | 43,100 | |
| | 840 | | | Biotage AB | | | 24,314 | |
| | 223 | | | Chemometec A/S | | | 28,294 | |
| | 2,446 | | | Clinigen Group plc | | | 30,276 | |
| | 600 | | | Cmic Holdings Co., Ltd. | | | 7,988 | |
| | 2,245 | | | Eurofins Scientific SE | | | 277,925 | |
| | 1,196 | | | Gerresheimer AG | | | 115,365 | |
| | 124 | | | Lonza Group AG, Registered Shares | | | 103,331 | |
| | 2,345 | | | Qiagen NV* | | | 130,335 | |
| | 225 | | | Sartorius Stedim Biotech | | | 123,215 | |
| | 1,600 | | | Shin Nippon Biomedical Laborat | | | 19,709 | |
| | 97 | | | Siegfried Holding AG | | | 94,578 | |
| | 153 | | | Tecan Group AG | | | 93,067 | |
| | | | | | | | |
| | | | | | | 1,152,264 | |
| | | | | | | | |
| Machinery (4.4%): | | | |
| | 3,060 | | | Aalberts NV | | | 201,319 | |
| | 2,600 | | | Aichi Corp. | | | 18,290 | |
| | 2,100 | | | Aida Engineering, Ltd. | | | 19,522 | |
| | 781 | | | Alfa Laval AB | | | 31,259 | |
| | 1,607 | | | Alimak Group AB(a) | | | 20,327 | |
| | 900 | | | Alinco, Inc. | | | 7,677 | |
| | 907 | | | Alstom SA | | | 32,300 | |
| | 10,200 | | | Amada Holdings Co., Ltd. | | | 101,032 | |
| | 2,314 | | | Andritz AG | | | 119,219 | |
| | 2,000 | | | Anest Iwata Corp. | | | 15,461 | |
| | 2,700 | | | Asahi Diamond Industrial Co., Ltd. | | | 15,371 | |
| | 2,774 | | | Atlas Copco AB | | | 161,973 | |
| | 4,369 | | | Atlas Copco AB, Class A | | | 302,545 | |
| | 1,149 | | | ATS Automation Tooling Systems, Inc.* | | | 45,640 | |
| | 1,300 | | | Bando Chemical Industries, Ltd. | | | 10,095 | |
| | 2,296 | | | Beijer Alma AB | | | 69,762 | |
| | 183 | | | Bobst Group SA* | | | 16,652 | |
| | 4,886 | | | Bodycote plc | | | 57,108 | |
| | 243 | | | Bucher Industries AG | | | 119,883 | |
| | 66 | | | Burckhardt Compression Holding AG | | | 31,261 | |
| | 56 | | | Bystronic AG | | | 78,701 | |
| | 459 | | | Cargotec OYJ | | | 22,666 | |
| | 17,240 | | | CNH Industrial NV | | | 331,076 | |
| | 1,560 | | | Concentric AB | | | 48,229 | |
See accompanying notes to the financial statements.
21
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 1,110 | | | Construcc y Aux de Ferrocarr SA | | $ | 45,912 | |
| | 103 | | | Daetwyler Holding AG | | | 45,445 | |
| | 600 | | | Daifuku Co., Ltd. | | | 49,046 | |
| | 6,307 | | | Daimler Truck Holding AG* | | | 231,838 | |
| | 2,100 | | | Daiwa Industries, Ltd. | | | 23,034 | |
| | 745 | | | Danieli & C Officine Meccaniche SpA | | | 22,840 | |
| | 1,585 | | | Danieli & C Officine Meccaniche SpA | | | 30,926 | |
| | 3,954 | | | Deutz AG* | | | 29,570 | |
| | 4,700 | | | DMG Mori Co., Ltd. | | | 80,806 | |
| | 694 | | | Duerr AG | | | 31,705 | |
| | 800 | | | Ebara Corp. | | | 44,456 | |
| | 4,630 | | | Electrolux Professional AB, Class B* | | | 32,054 | |
| | 3,120 | | | Epiroc AB, Class A | | | 79,129 | |
| | 1,755 | | | Epiroc AB, Class B | | | 37,231 | |
| | 200 | | | FANUC Corp. | | | 42,405 | |
| | 114 | | | Feintool International Holding AG* | | | 7,233 | |
| | 19,282 | | | Fincantieri SpA*^ | | | 13,244 | |
| | 1,579 | | | Fluidra SA | | | 63,236 | |
| | 13,800 | | | Frencken Group, Ltd. | | | 20,210 | |
| | 2,000 | | | Fuji Corp. | | | 44,722 | |
| | 1,700 | | | Furukawa Co., Ltd. | | | 18,774 | |
| | 1,887 | | | GEA Group AG | | | 103,314 | |
| | 152 | | | Georg Fischer AG | | | 229,898 | |
| | 371 | | | Gesco AG* | | | 10,752 | |
| | 2,000 | | | Glory, Ltd. | | | 38,070 | |
| | 2,253 | | | Haldex AB* | | | 13,217 | |
| | 600 | | | Harmonic Drive Systems, Inc. | | | 25,270 | |
| | 4,700 | | | Hino Motors, Ltd. | | | 38,747 | |
| | 1,200 | | | Hisaka Works, Ltd. | | | 8,979 | |
| | 1,700 | | | Hitachi Construction Machinery Co., Ltd. | | | 49,157 | |
| | 9,200 | | | Hitachi Zosen Corp. | | | 63,843 | |
| | 1,000 | | | Hosokawa Micron Corp. | | | 29,572 | |
| | 6,200 | | | IHI Corp. | | | 124,870 | |
| | 13,720 | | | IMI plc | | | 321,508 | |
| | 791 | | | Interpump Group SpA | | | 57,573 | |
| | 17 | | | Interroll Holding AG, Registered Shares | | | 76,394 | |
| | 1,300 | | | Iseki & Co., Ltd. | | | 15,623 | |
| | 1,500 | | | Japan Steel Works, Ltd. (The) | | | 50,352 | |
| | 885 | | | JOST Werke AG(a) | | | 49,867 | |
| | 2,512 | | | Jungheinrich AG | | | 128,321 | |
| | 197 | | | Kardex Holding AG | | | 64,868 | |
| | 900 | | | Kato Works Co., Ltd. | | | 6,488 | |
| | 5,700 | | | Kawasaki Heavy Industries, Ltd. | | | 103,000 | |
| | 3,102 | | | Kion Group AG | | | 340,741 | |
| | 400 | | | Kitagawa Iron Works Co., Ltd. | | | 5,207 | |
| | 1,400 | | | Kito Corp. | | | 24,178 | |
| | 5,100 | | | Kitz Corp. | | | 31,576 | |
| | 572 | | | Koenig & Bauer AG* | | | 20,383 | |
| | 5,900 | | | Komatsu, Ltd. | | | 138,196 | |
| | 115 | | | Komax Holding AG* | | | 31,876 | |
| | 2,900 | | | Komori Corp. | | | 17,368 | |
| | 2,297 | | | Kone OYJ, Class B | | | 163,326 | |
| | 1,994 | | | Konecranes OYJ | | | 78,950 | |
| | 362 | | | Krones AG | | | 39,524 | |
| | 4,000 | | | Kubota Corp. | | | 88,822 | |
| | 900 | | | Kurita Water Industries, Ltd. | | | 42,560 | |
| | 1,000 | | | Kyokuto Kaihatsu Kogyo Co., Ltd. | | | 13,259 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 1,200 | | | Maezawa Kyuso Industries Co., Ltd. | | $ | 11,117 | |
| | 700 | | | Makino Milling Machine Co., Ltd. | | | 25,019 | |
| | 600 | | | Makita Corp. | | | 25,478 | |
| | 586 | | | Manitou Bf SA | | | 18,380 | |
| | 800 | | | Max Co., Ltd. | | | 13,320 | |
| | 1,800 | | | Meidensha Corp. | | | 42,890 | |
| | 800 | | | Metawater Co., Ltd. | | | 14,044 | |
| | 18,989 | | | Metso Outotec Oyj | | | 201,952 | |
| | 5,732 | | | MINEBEA MITSUMI, Inc. | | | 162,758 | |
| | 900 | | | Misumi Group, Inc. | | | 36,941 | |
| | 6,500 | | | Mitsubishi Heavy Industries, Ltd. | | | 150,478 | |
| | 1,000 | | | Mitsubishi Logisnext Co., Ltd. | | | 9,218 | |
| | 700 | | | Mitsuboshi Belting Co., Ltd. | | | 13,124 | |
| | 2,900 | | | Mitsui Engineering & Shipbuilding Co., Ltd.* | | | 9,612 | |
| | 1,100 | | | Miura Co., Ltd. | | | 37,881 | |
| | 12,954 | | | Morgan Advanced Materials plc | | | 62,941 | |
| | 1,500 | | | Morita Holdings Corp. | | | 17,061 | |
| | 2,400 | | | Nabtesco Corp. | | | 71,067 | |
| | 800 | | | Nachi-Fujikoshi Corp. | | | 28,662 | |
| | 2,000 | | | Namura Shipbuilding Co., Ltd.* | | | 3,635 | |
| | 3,340 | | | Neles OYJ | | | 51,860 | |
| | 1,456 | | | NFI Group, Inc. | | | 23,323 | |
| | 2,500 | | | NGK Insulators, Ltd. | | | 42,264 | |
| | 2,300 | | | Nikkiso Co., Ltd. | | | 16,058 | |
| | 1,267 | | | Nilfisk Holding A/S* | | | 41,697 | |
| | 3,900 | | | Nippon Thompson Co., Ltd. | | | 23,097 | |
| | 400 | | | Nissei ASB Machine Co., Ltd. | | | 10,993 | |
| | 800 | | | Nitta Corp. | | | 20,501 | |
| | 500 | | | Nitto Kohki Co., Ltd. | | | 7,961 | |
| | 1,900 | | | Nitto Seiko Co., Ltd. | | | 10,739 | |
| | 300 | | | Noritake Co., Ltd. | | | 13,060 | |
| | 995 | | | Norma Group SE | | | 38,354 | |
| | 7,700 | | | NSK, Ltd. | | | 49,415 | |
| | 14,800 | | | NTN Corp.* | | | 30,888 | |
| | 7,984 | | | OC Oerlikon Corp. AG | | | 81,721 | |
| | 1,700 | | | Oiles Corp. | | | 24,968 | |
| | 600 | | | Okuma Corp. | | | 26,716 | |
| | 400 | | | Organo Corp. | | | 30,087 | |
| | 2,800 | | | OSG Corp. | | | 43,487 | |
| | 692 | | | Palfinger AG | | | 27,006 | |
| | 174 | | | Pfeiffer Vacuum Technology AG | | | 42,787 | |
| | 150 | | | Plasson Industries, Ltd. | | | 10,606 | |
| | 118 | | | Rational AG | | | 120,962 | |
| | 70 | | | Rieter Holding AG* | | | 13,545 | |
| | 16,905 | | | Rotork plc | | | 81,536 | |
| | 1,800 | | | Ryobi, Ltd. | | | 17,155 | |
| | 8,822 | | | Sandvik AB | | | 246,572 | |
| | 364 | | | Schindler Holding AG, Registered Shares | | | 97,229 | |
| | 188,100 | | | SembCorp Marine, Ltd.* | | | 11,456 | |
| | 388 | | | SFS Group AG | | | 53,487 | |
| | 1,000 | | | Shibaura Machine Co., Ltd. | | | 32,697 | |
| | 1,200 | | | Shima Seiki Manufacturing, Ltd. | | | 20,610 | |
| | 1,900 | | | Shinmaywa Industries, Ltd. | | | 14,456 | |
| | 78,000 | | | Singamas Container Holdings, Ltd. | | | 11,706 | |
| | 2,200 | | | Sintokogio, Ltd. | | | 13,583 | |
| | 3,528 | | | Skellerup Holdings, Ltd. | | | 15,318 | |
| | 892 | | | SKF AB | | | 21,543 | |
See accompanying notes to the financial statements.
22
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 7,963 | | | SKF AB, Class B | | $ | 187,785 | |
| | 100 | | | SMC Corp. | | | 67,474 | |
| | 2,300 | | | Sodick Co., Ltd. | | | 16,381 | |
| | 995 | | | Spirax-Sarco Engineering plc | | | 216,461 | |
| | 891 | | | Stabilus SA | | | 65,449 | |
| | 1,600 | | | Star Micronics Co., Ltd. | | | 21,552 | |
| | 849 | | | Sulzer AG, Registered Shares | | | 83,720 | |
| | 3,700 | | | Sumitomo Heavy Industries, Ltd. | | | 89,740 | |
| | 3,900 | | | Tadano, Ltd. | | | 37,579 | |
| | 900 | | | Takeuchi Manufacturing Co., Ltd. | | | 21,359 | |
| | 1,300 | | | Takuma Co., Ltd. | | | 16,110 | |
| | 478 | | | Technotrans SE | | | 16,053 | |
| | 10,187 | | | Techtronic Industries Co., Ltd. | | | 202,786 | |
| | 1,500 | | | THK Co., Ltd. | | | 36,174 | |
| | 2,100 | | | Tocalo Co., Ltd. | | | 26,936 | |
| | 1,400 | | | Torishima Pump Manufacturing Co., Ltd. | | | 11,650 | |
| | 3,641 | | | Trelleborg AB | | | 95,179 | |
| | 1,098 | | | Troax Group AB | | | 56,334 | |
| | 1,100 | | | Tsubaki Nakashima Co., Ltd. | | | 14,052 | |
| | 1,400 | | | Tsubakimoto Chain Co. | | | 38,471 | |
| | 1,800 | | | Tsugami Corp. | | | 27,378 | |
| | 1,200 | | | Tsukishima Kikai Co., Ltd. | | | 11,833 | |
| | 600 | | | Tsurumi Manufacturing Co., Ltd. | | | 8,640 | |
| | 5,533 | | | Valmet Corp. | | | 235,535 | |
| | 803 | | | VAT Group AG(a) | | | 397,152 | |
| | 1,074 | | | VBG Group AB, Class B | | | 22,296 | |
| | 6,862 | | | Vesuvius plc | | | 41,710 | |
| | 4,198 | | | Volvo AB, Class A | | | 98,167 | |
| | 27,553 | | | Volvo AB, Class B | | | 635,477 | |
| | 229 | | | Vossloh AG | | | 11,772 | |
| | 1,416 | | | Wacker Neuson SE | | | 40,683 | |
| | 7,232 | | | Wartsila OYJ Abp, Class B | | | 100,707 | |
| | 560 | | | Washtec AG | | | 35,049 | |
| | 4,095 | | | Weir Group plc (The) | | | 94,456 | |
| | 3,000 | | | Yamabiko Corp. | | | 32,504 | |
| | 48,300 | | | Yangzijiang Shipbuilding Holdings, Ltd. | | | 48,084 | |
| | 7,188 | | | Zardoya Otis SA | | | 58,175 | |
| | | | | | | | |
| | | | | | | 11,132,717 | |
| | | | | | | | |
| Marine (0.6%): | | | |
| | 22 | | | A.P. Moeller — Maersk A/S, Class A | | | 73,345 | |
| | 30 | | | A.P. Moeller — Maersk A/S, Class B | | | 107,682 | |
| | 1,600 | | | Algoma Central Corp. | | | 21,543 | |
| | 3,578 | | | American Shipping Co. ASA | | | 13,095 | |
| | 556 | | | Clarkson plc | | | 29,152 | |
| | 1,333 | | | D/S Norden A/S | | | 33,837 | |
| | 1,307 | | | DFDS A/S* | | | 69,826 | |
| | 371 | | | Hapag-Lloyd AG(a) | | | 116,676 | |
| | 3,300 | | | Iino Kaiun Kaisha, Ltd. | | | 15,681 | |
| | 5,897 | | | Irish Continental Group* | | | 30,353 | |
| | 2,300 | | | Japan Transcity Corp. | | | 14,181 | |
| | 600 | | | Kawasaki Kisen Kaisha, Ltd.* | | | 36,107 | |
| | 725 | | | Kuehne & Nagel International AG, Registered Shares | | | 233,233 | |
| | 1,600 | | | Mitsui O.S.K. Lines, Ltd. | | | 118,823 | |
| | 3,100 | | | Nippon Yusen KK | | | 236,156 | |
| | 600 | | | NS United Kaiun Kaisha, Ltd. | | | 18,236 | |
| | 3,500 | | | Orient Overseas International, Ltd. | | | 85,872 | |
| | 215,000 | | | Pacific Basin Shipping, Ltd. | | | 78,969 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Marine, continued | | | |
| | 26,000 | | | SITC International Holdings Co., Ltd. | | $ | 94,110 | |
| | 1,962 | | | Stolt-Nielsen, Ltd. | | | 30,315 | |
| | | | | | | | |
| | | | | | | 1,457,192 | |
| | | | | | | | |
| Materials (0.0%†): | | | |
| | 1,334 | | | Aclara Resources, Inc.* | | | 1,171 | |
| | | | | | | | |
| Media (1.5%): | | | |
| | 1,008 | | | 4imprint Group plc | | | 38,403 | |
| | 3,715 | | | Aimia, Inc.* | | | 14,539 | |
| | 65 | | | APG SGA SA* | | | 14,192 | |
| | 14,475 | | | Arnoldo Mondadori Editore SpA* | | | 33,410 | |
| | 2,124 | | | Ascential plc* | | | 11,550 | |
| | 4,886 | | | Atresmedia Corp. de Medios de Comuicacion SA | | | 18,546 | |
| | 1,951 | | | Bloomsbury Publishing plc | | | 9,492 | |
| | 401 | | | Cogeco Communications, Inc. | | | 31,936 | |
| | 400 | | | Cogeco, Inc. | | | 25,689 | |
| | 5,394 | | | Corus Entertainment, Inc. | | | 20,300 | |
| | 5,200 | | | Cyberagent, Inc. | | | 86,551 | |
| | 3,302 | | | Daily Mail & General Trust plc | | | 12,060 | |
| | 1,800 | | | Dentsu Group, Inc. | | | 64,176 | |
| | 3,391 | | | Euromoney Institutional Investor plc | | | 42,415 | |
| | 8,672 | | | Eutelsat Communications SA | | | 106,096 | |
| | 1,700 | | | F@n Communications, Inc. | | | 5,736 | |
| | 2,800 | | | Fuji Media Holdings, Inc. | | | 26,911 | |
| | 1,123 | | | Future plc | | | 58,141 | |
| | 2,700 | | | Hakuhodo DY Holdings, Inc. | | | 44,988 | |
| | 8,376 | | | HT&E, Ltd. | | | 12,802 | |
| | 8,773 | | | Hyve Group plc* | | | 11,127 | |
| | 9,435 | | | Informa plc* | | | 65,682 | |
| | 2,000 | | | Intage Holdings, Inc. | | | 30,574 | |
| | 1,711 | | | Ipsos | | | 80,309 | |
| | 119,144 | | | ITV plc* | | | 177,669 | |
| | 9,582 | | | Ive Group, Ltd. | | | 12,141 | |
| | 3,439 | | | JCDecaux SA* | | | 86,162 | |
| | 1,600 | | | Kadokawa Corp. | | | 41,700 | |
| | 2,312 | | | Kin And Carta plc* | | | 9,079 | |
| | 1,467 | | | Lagardere SCA* | | | 40,705 | |
| | 1,449 | | | Liberty Global plc, Class A* | | | 40,195 | |
| | 3,548 | | | Liberty Global plc, Class C* | | | 99,663 | |
| | 1,664 | | | M6 Metropole Television SA | | | 32,492 | |
| | 1,300 | | | Macromill, Inc. | | | 12,515 | |
| | 8,183 | | | Mediaset Espana Comunicacion SA* | | | 38,162 | |
| | 10,230 | | | MFE-MediaForEurope NV, Class A* | | | 10,429 | |
| | 10,230 | | | MFE-MediaForEurope NV, Class B | | | 14,499 | |
| | 3,270 | | | Modern Times Group MTG AB, Class B* | | | 33,264 | |
| | 64,511 | | | Nine Entertainment Co. Holdings, Ltd. | | | 136,381 | |
| | 961 | | | Nordic Entertainment Group AB, Class B* | | | 49,882 | |
| | 12,519 | | | NOS SGPS SA | | | 48,620 | |
| | 1,307 | | | NRJ Group | | | 8,361 | |
| | 19,083 | | | Ooh!media, Ltd.* | | | 23,500 | |
| | 30 | | | Otello Corp. ASA* | | | 92 | |
| | 5,688 | | | Pearson plc | | | 47,090 | |
| | 2,872 | | | Pearson plc, ADR | | | 24,125 | |
| | 68,000 | | | PICO Far East Holdings, Ltd. | | | 11,076 | |
| | 1,050 | | | ProSiebenSat.1 Media SE | | | 16,762 | |
| | 1,300 | | | Proto Corp. | | | 15,482 | |
| | 6,455 | | | Publicis Groupe SA | | | 434,552 | |
| | 4,026 | | | Quebecor, Inc., Class B | | | 90,878 | |
See accompanying notes to the financial statements.
23
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 4,571 | | | RAI Way SpA(a) | | $ | 27,098 | |
| | 12,118 | | | Reach plc | | | 46,366 | |
| | 1,406 | | | RTL Group | | | 74,693 | |
| | 1,116 | | | S4 Capital plc* | | | 9,572 | |
| | 4,177 | | | Sanoma OYJ | | | 64,867 | |
| | 214 | | | Schibsted ASA, Class A | | | 8,272 | |
| | 239 | | | Schibsted ASA, Class B | | | 8,006 | |
| | 16,754 | | | SES Global, Class A | | | 133,017 | |
| | 60,999 | | | Seven West Media, Ltd.* | | | 28,626 | |
| | 7,456 | | | Shaw Communications, Inc. | | | 226,215 | |
| | 44,700 | | | Singapore Press Holdings, Ltd. | | | 77,304 | |
| | 7,455 | | | Sky Network Television, Ltd.* | | | 13,794 | |
| | 7,900 | | | SKY Perfect JSAT Holdings, Inc. | | | 28,851 | |
| | 4,175 | | | Societe Television Francaise 1 | | | 41,452 | |
| | 15,013 | | | Southern Cross Media Group, Ltd. | | | 21,190 | |
| | 1,167 | | | Stroeer SE & Co. KGaA | | | 92,107 | |
| | 1,900 | | | TBS Holdings, Inc. | | | 27,495 | |
| | 1,294 | | | Telenet Group Holding NV | | | 47,227 | |
| | 15,000 | | | Television Broadcasts, Ltd.* | | | 9,062 | |
| | 1,400 | | | TV Asahi Holdings Corp. | | | 17,403 | |
| | 500 | | | TV Tokyo Holdings Corp. | | | 8,878 | |
| | 232 | | | TX Group AG* | | | 39,812 | |
| | 1,000 | | | ValueCommerce Co., Ltd. | | | 38,873 | |
| | 500 | | | Wowow, Inc. | | | 7,631 | |
| | 10,008 | | | WPP plc | | | 151,248 | |
| | 700 | | | Zenrin Co., Ltd. | | | 6,044 | |
| | | | | | | | |
| | | | | | | 3,676,204 | |
| | | | | | | | |
| Metals & Mining (5.1%): | | | |
| | 3,860 | | | Acerinox SA | | | 49,620 | |
| | 500 | | | Agnico Eagle Mines, Ltd. | | | 26,562 | |
| | 1,039 | | | Agnico Eagle Mines, Ltd. | | | 55,212 | |
| | 400 | | | Aichi Steel Corp. | | | 8,664 | |
| | 17,686 | | | Alamos Gold, Inc., Class A | | | 136,057 | |
| | 16,230 | | | Allkem, Ltd.* | | | 123,479 | |
| | 25,386 | | | Alumina, Ltd. | | | 34,561 | |
| | 723 | | | Amg Advanced Metallurgical Group N.V. | | | 23,272 | |
| | 11,811 | | | Anglo American plc | | | 483,372 | |
| | 6,056 | | | Antofagasta plc | | | 110,059 | |
| | 1,842 | | | Aperam SA | | | 100,110 | |
| | 4,677 | | | ArcelorMittal | | | 150,424 | |
| | 3,007 | | | ArcelorMittal SA, NYS | | | 95,713 | |
| | 12,400 | | | Argonaut Gold, Inc.* | | | 23,529 | |
| | 2,200 | | | Asahi Holdings, Inc. | | | 39,217 | |
| | 16,100 | | | Ascot Resources, Ltd.* | | | 15,402 | |
| | 85,942 | | | Aurelia Metals, Ltd.* | | | 25,665 | |
| | 1,613 | | | Aurubis AG | | | 161,718 | |
| | 38,815 | | | B2Gold Corp. | | | 152,829 | |
| | 13,914 | | | Barrick Gold Corp. | | | 264,573 | |
| | 1,875 | | | Bekaert NV | | | 83,563 | |
| | 28,371 | | | BHP Group, Ltd. | | | 858,470 | |
| | 11,591 | | | Billiton plc, ADR | | | 692,794 | |
| | 11,697 | | | BlueScope Steel, Ltd. | | | 178,652 | |
| | 4,883 | | | Boliden AB | | | 189,360 | |
| | 10,300 | | | Capstone Mining Corp.* | | | 45,441 | |
| | 65,537 | | | Centamin plc | | | 78,825 | |
| | 8,200 | | | Centerra Gold, Inc. | | | 63,212 | |
| | 4,374 | | | Central Asia Metals plc | | | 15,284 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 16,254 | | | China Gold International Resources Corp., Ltd. | | $ | 43,565 | |
| | 1,300 | | | Daido Steel Co., Ltd. | | | 47,141 | |
| | 1,400 | | | Daiki Aluminium Industry Co., Ltd. | | | 19,443 | |
| | 5,323 | | | Deterra Royalties, Ltd. | | | 16,654 | |
| | 1,900 | | | DOWA Mining Co. | | | 79,887 | |
| | 7,500 | | | Dundee Precious Metals, Inc. | | | 46,371 | |
| | 4,662 | | | Eldorado Gold Corp.* | | | 43,715 | |
| | 10,499 | | | Endeavour Mining plc | | | 230,184 | |
| | 1,907 | | | Equinox Gold Corp.* | | | 12,906 | |
| | 539 | | | Eramet* | | | 44,265 | |
| | 2,899 | | | Ero Copper Corp.* | | | 44,237 | |
| | 30,536 | | | Evolution Mining, Ltd. | | | 90,338 | |
| | 7,778 | | | EVRAZ plc | | | 63,477 | |
| | 15,230 | | | Ferrexpo plc | | | 61,684 | |
| | 11,370 | | | First Quantum Minerals, Ltd. | | | 272,114 | |
| | 20,837 | | | Fortescue Metals Group, Ltd. | | | 292,328 | |
| | 400 | | | Franco-Nevada Corp. | | | 55,326 | |
| | 2,189 | | | Fresnillo plc | | | 26,409 | |
| | 8,215 | | | Galiano Gold, Inc.* | | | 5,911 | |
| | 99,934 | | | Glencore plc | | | 508,340 | |
| | 1,100 | | | Godo Steel, Ltd. | | | 13,210 | |
| | 20,162 | | | Gold Road Resources, Ltd. | | | 23,043 | |
| | 6,486 | | | Granges AB | | | 76,249 | |
| | 2,043 | | | Hill & Smith Holdings plc | | | 49,685 | |
| | 2,300 | | | Hitachi Metals, Ltd.* | | | 42,608 | |
| | 9,715 | | | Hochschild Mining plc | | | 17,056 | |
| | 8,995 | | | Hudbay Minerals, Inc. | | | 65,144 | |
| | 3,880 | | | i-80 Gold Corp.* | | | 9,479 | |
| | 15,631 | | | IAMGOLD Corp.* | | | 48,692 | |
| | 21,854 | | | IGO, Ltd. | | | 183,210 | |
| | 5,323 | | | Iluka Resources, Ltd. | | | 39,320 | |
| | 14,498 | | | Imdex, Ltd. | | | 31,106 | |
| | 3,605 | | | Ivanhoe Mines, Ltd., Class A* | | | 29,415 | |
| | 7,300 | | | JFE Holdings, Inc. | | | 93,128 | |
| | 50,009 | | | Jupiter Mines, Ltd. | | | 8,367 | |
| | 57,034 | | | Kinross Gold Corp. | | | 330,985 | |
| | 6,043 | | | Kirkland Lake Gold, Ltd. | | | 253,273 | |
| | 10,600 | | | Kobe Steel, Ltd. | | | 53,186 | |
| | 1,800 | | | Kyoei Steel, Ltd. | | | 22,148 | |
| | 800 | | | Labrador Iron Ore Royalty Corp. | | | 23,738 | |
| | 14,207 | | | Lucara Diamond Corp.* | | | 6,627 | |
| | 19,726 | | | Lundin Mining Corp. | | | 154,090 | |
| | 3,551 | | | Lynas Rare Earths, Ltd.* | | | 26,286 | |
| | 14,393 | | | MACA, Ltd. | | | 8,607 | |
| | 48,387 | | | Macmahon Holdings, Ltd. | | | 6,519 | |
| | 1,400 | | | Maruichi Steel Tube, Ltd. | | | 31,045 | |
| | 176,000 | | | Midas Holdings, Ltd.* | | | 4,703 | |
| | 4,298 | | | Mineral Resources, Ltd. | | | 175,167 | |
| | 3,300 | | | Mitsubishi Materials Corp. | | | 56,676 | |
| | 500 | | | Mitsubishi Steel Manufacturing Co., Ltd. | | | 4,579 | |
| | 2,500 | | | Mitsui Mining & Smelting Co., Ltd. | | | 68,157 | |
| | 27,183 | | | Mount Gibson Iron, Ltd. | | | 8,417 | |
| | 2,200 | | | Neturen Co., Ltd. | | | 11,153 | |
| | 27,410 | | | New Gold, Inc.* | | | 40,959 | |
| | 11,300 | | | Newcrest Mining, Ltd. | | | 201,405 | |
| | 6,200 | | | Nippon Denko Co., Ltd. | | | 15,743 | |
| | 2,700 | | | Nippon Light Metal Holdings Co. | | | 40,511 | |
See accompanying notes to the financial statements.
24
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 8,595 | | | Nippon Steel Corp. | | $ | 140,594 | |
| | 930 | | | Nippon Yakin Kogyo Co., Ltd. | | | 18,334 | |
| | 200 | | | Nittetsu Mining Co., Ltd. | | | 11,461 | |
| | 12,148 | | | Norsk Hydro ASA | | | 95,723 | |
| | 18,307 | | | Northern Star Resources, Ltd. | | | 125,453 | |
| | 34,228 | | | OceanaGold Corp.* | | | 59,536 | |
| | 21,175 | | | OM Holdings, Ltd.* | | | 13,884 | |
| | 500 | | | Osaka Steel Co., Ltd. | | | 5,026 | |
| | 3,243 | | | Osisko Gold Royalties, Ltd. | | | 39,691 | |
| | 10,428 | | | Outokumpu OYJ* | | | 64,672 | |
| | 10,556 | | | OZ Minerals, Ltd. | | | 217,715 | |
| | 900 | | | Pacific Metals Co., Ltd. | | | 16,743 | |
| | 3,217 | | | Pan American Silver Corp. | | | 80,272 | |
| | 33,353 | | | Perenti Global, Ltd. | | | 22,445 | |
| | 55,326 | | | Perseus Mining, Ltd. | | | 65,278 | |
| | 78,541 | | | Petropavlovsk plc* | | | 20,332 | |
| | 15,210 | | | Pilbara Minerals, Ltd.* | | | 35,429 | |
| | 5,733 | | | Pretium Resources, Inc.* | | | 80,773 | |
| | 23,878 | | | Ramelius Resources, Ltd. | | | 27,323 | |
| | 38,407 | | | Regis Resources, Ltd. | | | 54,552 | |
| | 47,236 | | | Resolute Mining, Ltd.* | | | 13,407 | |
| | 731 | | | Rio Tinto plc | | | 48,187 | |
| | 13,055 | | | Rio Tinto plc, Registered Shares, ADR | | | 873,902 | |
| | 4,167 | | | Rio Tinto, Ltd. | | | 304,390 | |
| | 6,000 | | | Sabina Gold & Silver Corp.* | | | 6,879 | |
| | 1,335 | | | Salzgitter AG* | | | 47,755 | |
| | 16,356 | | | Sandfire Resources, Ltd. | | | 78,561 | |
| | 4,142 | | | Sandstorm Gold, Ltd.* | | | 25,707 | |
| | 21,718 | | | Schmolz + Bickenbach AG* | | | 8,163 | |
| | 32,896 | | | Silver Lake Resources, Ltd.* | | | 42,516 | |
| | 7,523 | | | Sims, Ltd. | | | 88,234 | |
| | 52,227 | | | South32, Ltd. | | | 153,055 | |
| | 6,151 | | | SSAB AB, Class A* | | | 35,481 | |
| | 16,700 | | | SSAB AB, Class B* | | | 83,769 | |
| | 7,749 | | | SSR Mining, Inc. | | | 137,176 | |
| | 30,000 | | | St. Barbara, Ltd. | | | 32,015 | |
| | 2,000 | | | Sumitomo Metal & Mining Co., Ltd. | | | 75,654 | |
| | 19,859 | | | Syrah Resources, Ltd.* | | | 26,212 | |
| | 6,862 | | | Teck Cominco, Ltd., Class B | | | 197,646 | |
| | 10,621 | | | ThyssenKrupp AG* | | | 116,988 | |
| | 1,900 | | | Toho Titanium Co., Ltd. | �� | | 15,584 | |
| | 700 | | | Toho Zinc Co., Ltd. | | | 13,873 | |
| | 300 | | | Tokyo Rope Manufacturing Co. Ltd.* | | | 2,275 | |
| | 4,200 | | | Tokyo Steel Manufacturing Co., Ltd. | | | 50,294 | |
| | 4,685 | | | Torex Gold Resources, Inc.* | | | 48,709 | |
| | 969 | | | Trevali Mining Corp.* | | | 1,318 | |
| | 3,324 | | | Turquoise Hill Resources, Ltd.* | | | 54,664 | |
| | 1,500 | | | UACJ Corp. | | | 34,685 | |
| | 3,908 | | | Voestalpine AG | | | 142,450 | |
| | 4,200 | | | Wesdome Gold Mines, Ltd.* | | | 38,221 | |
| | 16,249 | | | Western Areas, Ltd.* | | | 40,608 | |
| | 13,013 | | | Westgold Resources, Ltd. | | | 19,322 | |
| | 700 | | | Wheaton Precious Metals Corp. | | | 30,041 | |
| | 31,047 | | | Yamana Gold, Inc. | | | 130,590 | |
| | 1,600 | | | Yamato Kogyo Co., Ltd. | | | 51,827 | |
| | 800 | | | Yodogawa Steel Works, Ltd. | | | 17,704 | |
| | | | | | | | |
| | | | | | | 12,846,718 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Multiline Retail (0.7%): | | | |
| | 13,107 | | | B&M European Value Retail SA | | $ | 112,163 | |
| | 447 | | | Canadian Tire Corp., Class A | | | 64,124 | |
| | 2,909 | | | Dollarama, Inc. | | | 145,611 | |
| | 6,286 | | | Europris ASA(a) | | | 50,270 | |
| | 3,300 | | | H2O Retailing Corp. | | | 23,244 | |
| | 15,674 | | | Harvey Norman Holdings, Ltd. | | | 56,375 | |
| | 6,800 | | | Isetan Mitsukoshi Holdings, Ltd. | | | 50,263 | |
| | 1,800 | | | Izumi Co., Ltd. | | | 50,480 | |
| | 6,000 | | | J. Front Retailing Co., Ltd. | | | 54,628 | |
| | 24,500 | | | Lifestyle International Holdings, Ltd.* | | | 13,488 | |
| | 73,250 | | | Marks & Spencer Group plc* | | | 228,656 | |
| | 1,300 | | | Marui Group Co., Ltd. | | | 24,475 | |
| | 30,000 | | | Metro Holdings, Ltd. | | | 16,923 | |
| | 47,139 | | | Myer Holdings, Ltd.* | | | 15,431 | |
| | 1,643 | | | Next plc | | | 180,735 | |
| | 3,600 | | | Pan Pacific International Holdings Corp. | | | 49,590 | |
| | 4,800 | | | Ryohin Keikaku Co., Ltd. | | | 73,212 | |
| | 1,000 | | | Seria Co., Ltd. | | | 28,997 | |
| | 4,800 | | | Takashimaya Co., Ltd. | | | 44,662 | |
| | 2,195 | | | Tokmanni Group Corp. | | | 49,042 | |
| | 3,646 | | | Warehouse Group, Ltd. (The) | | | 9,988 | |
| | 8,555 | | | Wesfarmers, Ltd. | | | 369,068 | |
| | 4,000 | | | Wing On Company International, Ltd. | | | 9,019 | |
| | | | | | | | |
| | | | | | | 1,720,444 | |
| | | | | | | | |
| Multi-Utilities (1.0%): | | | |
| | 2,232 | | | Acea SpA | | | 47,543 | |
| | 5,356 | | | AGL Energy, Ltd. | | | 23,927 | |
| | 4,720 | | | Algonquin Power & Utilities Corp. | | | 68,180 | |
| | 805 | | | Atco, Ltd. | | | 27,177 | |
| | 1,466 | | | Canadian Utilities, Ltd., Class A | | | 42,527 | |
| | 253,408 | | | Centrica plc* | | | 244,778 | |
| | 41,592 | | | E.ON SE | | | 576,887 | |
| | 22,269 | | | Engie Group | | | 329,709 | |
| | 23,363 | | | Hera SpA | | | 96,833 | |
| | 11,786 | | | Iren SpA | | | 35,437 | |
| | 33,157 | | | ITL AEM SpA | | | 64,554 | |
| | 110,123 | | | Keppel Infrastructure Trust | | | 44,553 | |
| | 1,915 | | | National Grid plc, ADR^ | | | 138,493 | |
| | 11,914 | | | Ren — Redes Energeticas Nacion | | | 34,541 | |
| | 6,785 | | | RWE AG | | | 275,644 | |
| | 35,300 | | | SembCorp Industries, Ltd. | | | 52,425 | |
| | 2,389 | | | Suez | | | 53,877 | |
| | 3,114 | | | Telecom Plus plc | | | 66,705 | |
| | 5,040 | | | Veolia Environnement SA | | | 184,863 | |
| | | | | | | | |
| | | | | | | 2,408,653 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (4.5%): | | | |
| | 9,181 | | | Advantage Energy, Ltd.* | | | 53,788 | |
| | 24,155 | | | Africa Oil Corp.* | | | 34,185 | |
| | 1,242 | | | Aker BP ASA | | | 38,167 | |
| | 3,921 | | | Ampol, Ltd. | | | 84,619 | |
| | 7,200 | | | Anglo Pacific Group plc | | | 13,111 | |
| | 26,837 | | | ARC Resources, Ltd. | | | 244,011 | |
| | 18,809 | | | Athabasca Oil Corp.* | | | 17,697 | |
| | 2,064 | | | Baytex Energy Corp.* | | | 6,378 | |
| | 71,371 | | | Beach Energy, Ltd. | | | 65,554 | |
| | 17,741 | | | Birchcliff Energy, Ltd. | | | 90,613 | |
| | 25,767 | | | BP plc, ADR | | | 686,175 | |
See accompanying notes to the financial statements.
25
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 10,317 | | | BP plc | | $ | 45,889 | |
| | 173,000 | | | Brightoil Petroleum Holdings, Ltd.* | | | 6,241 | |
| | 610 | | | BW Energy, Ltd.* | | | 1,389 | |
| | 2,656 | | | BW LPG, Ltd.(a) | | | 15,075 | |
| | 22,053 | | | Cairn Energy plc* | | | 56,036 | |
| | 2,686 | | | Cameco Corp. | | | 58,582 | |
| | 1,246 | | | Cameco Corp. | | | 27,170 | |
| | 7,637 | | | Canacol Energy, Ltd. | | | 19,382 | |
| | 2,732 | | | Canadian Natural Resources, Ltd. | | | 115,453 | |
| | 13,622 | | | Canadian Natural Resources, Ltd. | | | 575,529 | |
| | 3,012 | | | Cardinal Energy, Ltd.* | | | 10,169 | |
| | 14,453 | | | Cenovus Energy, Inc. | | | 177,234 | |
| | 2,956 | | | Cenovus Energy, Inc. | | | 36,300 | |
| | 13,100 | | | China Aviation Oil Singapore Corp., Ltd. | | | 9,141 | |
| | 40,015 | | | Cooper Energy, Ltd.* | | | 8,158 | |
| | 2,400 | | | Cosmo Energy Holdings Co., Ltd. | | | 46,914 | |
| | 8,781 | | | Crescent Point Energy | | | 46,891 | |
| | 7,561 | | | Crescent Point Energy Corp. | | | 40,352 | |
| | 8,223 | | | Crew Energy, Inc.* | | | 18,594 | |
| | 854 | | | CropEnergies AG | | | 11,908 | |
| | 252 | | | Delek Group, Ltd.* | | | 20,621 | |
| | 20,320 | | | DNO ASA | | | 24,042 | |
| | 6,087 | | | Enbridge, Inc. | | | 237,791 | |
| | 67,100 | | | ENEOS Holdings, Inc. | | | 251,214 | |
| | 7,800 | | | Enerplus Corp. | | | 82,268 | |
| | 26,541 | | | ENI SpA | | | 366,859 | |
| | 120,434 | | | EnQuest plc* | | | 30,364 | |
| | 10,152 | | | Equinor ASA | | | 267,963 | |
| | 1,004 | | | Equital, Ltd.* | | | 38,512 | |
| | 1,390 | | | Etablissements Maurel et Prom SA* | | | 3,607 | |
| | 9,112 | | | Euronav NV | | | 80,886 | |
| | 1,579 | | | Exmar NV | | | 7,720 | |
| | 1,267 | | | FLEX LNG, Ltd. | | | 28,318 | |
| | 3,700 | | | Freehold Royalties, Ltd. | | | 34,080 | |
| | 1,400 | | | Frontera Energy Corp.* | | | 11,335 | |
| | 3,784 | | | Frontline, Ltd.* | | | 26,995 | |
| | 3,100 | | | Fuji Oil Co., Ltd. | | | 6,893 | |
| | 9,184 | | | Galp Energia SGPS SA | | | 89,048 | |
| | 891 | | | Gaztransport et Technigaz SA | | | 83,341 | |
| | 6,249 | | | Genel Energy plc | | | 10,987 | |
| | 6,850 | | | Gibson Energy, Inc. | | | 121,424 | |
| | 19,607 | | | Gran Tierra Energy, Inc.* | | | 14,882 | |
| | 14,984 | | | Gulf Keystone Petroleum, Ltd. | | | 36,392 | |
| | 5,300 | | | Idemitsu Kosan Co., Ltd. | | | 135,393 | |
| | 3,270 | | | Imperial Oil, Ltd. | | | 117,945 | |
| | 18,800 | | | INPEX Corp. | | | 163,965 | |
| | 2,244 | | | International Petroleum Corp.* | | | 12,544 | |
| | 2,823 | | | International Petroleum Corp. / Sweden* | | | 15,525 | |
| | 3,600 | | | Itochu Enex Co., Ltd. | | | 31,210 | |
| | 1,000 | | | Japan Petroleum Exploration Co., Ltd. | | | 21,843 | |
| | 24,713 | | | Karoon Energy, Ltd.* | | | 30,219 | |
| | 7,300 | | | Kelt Exploration, Ltd.* | | | 27,819 | |
| | 2,001 | | | Keyera Corp. | | | 45,136 | |
| | 1,732 | | | Koninklijke Vopak NV | | | 60,721 | |
| | 2,011 | | | Lundin Energy AB | | | 72,145 | |
| | 10,707 | | | MEG Energy Corp.* | | | 99,045 | |
| | 1,700 | | | Mitsuuroko Holdings Co., Ltd. | | | 17,933 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 1,502 | | | Naphtha Israel Petroleum Corp.* | | $ | 10,815 | |
| | 2,178 | | | Neste Oyj | | | 107,388 | |
| | 14,065 | | | New Hope Corp., Ltd. | | | 22,849 | |
| | 7,392 | | | New Zealand Refining Co., Ltd. (The)* | | | 4,758 | |
| | 64,000 | | | NewOcean Energy Holdings, Ltd.* | | | 476 | |
| | 21,200 | | | Nippon Coke & Engineering Co., Ltd. | | | 24,340 | |
| | 7,654 | | | Nuvista Energy, Ltd.* | | | 42,119 | |
| | 104,047 | | | Oil Refineries, Ltd.* | | | 29,906 | |
| | 1,896 | | | OMV AG | | | 107,721 | |
| | 37,853 | | | Paladin Energy, Ltd.* | | | 24,384 | |
| | 1,307 | | | Paramount Resouces, Ltd., Class A | | | 25,410 | |
| | 5,263 | | | Parex Resources, Inc. | | | 89,922 | |
| | 5,000 | | | Parkland Corp. | | | 137,453 | |
| | 300 | | | Paz Oil Co., Ltd.* | | | 37,307 | |
| | 6,783 | | | Pembina Pipeline Corp. | | | 205,775 | |
| | 1,584 | | | Pembina Pipeline Corp. | | | 48,043 | |
| | 6,660 | | | Peyto Exploration & Development Corp. | | | 49,760 | |
| | 12,892 | | | Pharos Energy plc* | | | 4,537 | |
| | 5,032 | | | Prairiesky Royalty, Ltd. | | | 54,227 | |
| | 24,044 | | | Repsol SA | | | 285,364 | |
| | 32,725 | | | Royal Dutch Shell plc, Class B, ADR | | | 1,418,629 | |
| | 1,600 | | | Sala Corp. | | | 8,793 | |
| | 3,100 | | | San-Ai Oil Co., Ltd. | | | 35,989 | |
| | 62,302 | | | Santos, Ltd. | | | 286,358 | |
| | 23,460 | | | Saras SpA* | | | 14,632 | |
| | 7,584 | | | Senex Energy, Ltd. | | | 25,510 | |
| | 8,575 | | | Serica Energy plc | | | 27,965 | |
| | 400 | | | Sinanen Holdings Co., Ltd. | | | 12,627 | |
| | 15,527 | | | Stobart Group, Ltd.* | | | 2,971 | |
| | 9,472 | | | Suncor Energy, Inc. | | | 237,084 | |
| | 9,141 | | | Suncor Energy, Inc. | | | 228,742 | |
| | 16,600 | | | Tamarack Valley Energy, Ltd.* | | | 50,530 | |
| | 403 | | | TC Energy Corp. | | | 18,745 | |
| | 3,152 | | | TC Energy Corp.^ | | | 146,694 | |
| | 13,400 | | | Tidewater Midstream and Infrastructure, Ltd. | | | 13,773 | |
| | 1,559 | | | Torm plc*^ | | | 12,217 | |
| | 23,333 | | | TotalEnergies SE | | | 1,184,992 | |
| | 7,730 | | | Tourmaline Oil Corp. | | | 249,599 | |
| | 64,721 | | | Tullow Oil plc*^ | | | 40,671 | |
| | 542 | | | Verbio Vereinigte Bioenergie AG | | | 37,184 | |
| | 5,883 | | | Vermilion Energy, Inc.* | | | 73,956 | |
| | 24,351 | | | Viva Energy Group, Ltd.(a) | | | 41,636 | |
| | 17,452 | | | Whitecap Resources, Inc. | | | 103,349 | |
| | 31,393 | | | Whitehaven Coal, Ltd.* | | | 59,749 | |
| | 12,482 | | | Woodside Petroleum, Ltd. | | | 199,330 | |
| | 12,631 | | | Z Energy, Ltd. | | | 30,707 | |
| | | | | | | | |
| | | | | | | 11,262,676 | |
| | | | | | | | |
| Paper & Forest Products (0.8%): | | | |
| | 2,718 | | | Altri SGPS SA | | | 17,262 | |
| | 3,929 | | | Canfor Corp.* | | | 99,592 | |
| | 600 | | | Daiken Corp. | | | 11,327 | |
| | 4,500 | | | Daio Paper Corp. | | | 74,739 | |
| | 8,317 | | | Ence Energia y Celulosa S.A* | | | 21,443 | |
| | 301 | | | Hadera Paper, Ltd. | | | 22,044 | |
| | 6,700 | | | Hokuetsu Corp. | | | 41,768 | |
| | 1,316 | | | Holmen AB, Class B | | | 63,001 | |
| | 4,627 | | | Interfor Corp. | | | 148,197 | |
See accompanying notes to the financial statements.
26
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Paper & Forest Products, continued | | | |
| | 5,272 | | | Metsa Board OYJ | | $ | 51,224 | |
| | 7,408 | | | Mondi plc | | | 182,514 | |
| | 11,089 | | | Navigator Co. SA (The) | | | 42,117 | |
| | 4,800 | | | Nippon Paper Industries Co., Ltd. | | | 45,280 | |
| | 15,300 | | | Oji Holdings Corp. | | | 73,976 | |
| | 1,998 | | | Stella-Jones, Inc. | | | 63,204 | |
| | 12,930 | | | Stora Enso OYJ, Registered Shares, Class R | | | 235,115 | |
| | 6,842 | | | Svenska Cellulosa AB SCA, Class B | | | 121,242 | |
| | 600 | | | Tokushu Tokai Paper Co., Ltd. | | | 21,495 | |
| | 7,775 | | | UPM-Kymmene OYJ | | | 293,817 | |
| | 2,454 | | | West Fraser Timber Co., Ltd. | | | 234,147 | |
| | 24,618 | | | Western Forest Products, Inc. | | | 41,069 | |
| | | | | | | | |
| | | | | | | 1,904,573 | |
| | | | | | | | |
| Personal Products (0.7%): | | | |
| | 287 | | | Beiersdorf AG | | | 29,527 | |
| | 16,000 | | | Best World International, Ltd.* | | | 3,002 | |
| | 304 | | | Blackmores, Ltd. | | | 20,190 | |
| | 800 | | | Fancl Corp. | | | 23,861 | |
| | 1,514 | | | Jamieson Wellness, Inc.(a) | | | 48,049 | |
| | 3,900 | | | Kao Corp. | | | 204,117 | |
| | 300 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 23,582 | |
| | 200 | | | Kose Corp. | | | 22,696 | |
| | 465 | | | L’Oreal SA | | | 220,409 | |
| | 1,600 | | | Mandom Corp. | | | 19,701 | |
| | 400 | | | Milbon Co., Ltd. | | | 19,826 | |
| | 600 | | | Noevir Holdings Co., Ltd. | | | 28,122 | |
| | 2,645 | | | Ontex Group NV* | | | 21,047 | |
| | 1,200 | | | Pola Orbis Holdings, Inc. | | | 20,004 | |
| | 2,000 | | | Rohto Pharmaceutical Co., Ltd. | | | 60,435 | |
| | 800 | | | Shiseido Co., Ltd. | | | 44,620 | |
| | 14,440 | | | Unilever plc, ADR | | | 776,728 | |
| | 1,324 | | | Unilever plc | | | 70,920 | |
| | 1,300 | | | Ya-Man, Ltd. | | | 10,837 | |
| | | | | | | | |
| | | | | | | 1,667,673 | |
| | | | | | | | |
| Pharmaceuticals (4.1%): | | | |
| | 172 | | | Alk-Abello A/S* | | | 90,301 | |
| | 15,687 | | | Alliance Pharma plc | | | 23,094 | |
| | 1,934 | | | Almirall SA | | | 24,738 | |
| | 2,600 | | | Astellas Pharma, Inc. | | | 42,293 | |
| | 6,228 | | | AstraZeneca plc, ADR | | | 362,781 | |
| | 491 | | | Aurora Cannabis, Inc.* | | | 2,659 | |
| | 2,100 | | | Bausch Health Cos., Inc.* | | | 58,012 | |
| | 1,145 | | | Bausch Health Cos., Inc.* | | | 31,613 | |
| | 10,652 | | | Bayer AG, Registered Shares | | | 570,197 | |
| | 900 | | | Canopy Growth Corp.* | | | 7,856 | |
| | 1,800 | | | Chugai Pharmaceutical Co., Ltd. | | | 58,391 | |
| | 900 | | | Daiichi Sankyo Co., Ltd. | | | 22,890 | |
| | 300 | | | Daito Pharmaceutical Co., Ltd. | | | 7,731 | |
| | 305 | | | Dechra Pharmaceuticals plc | | | 21,978 | |
| | 500 | | | Eisai Co., Ltd. | | | 28,396 | |
| | 11,707 | | | Faes Farma SA | | | 46,315 | |
| | 700 | | | Fuji Pharma Co., Ltd. | | | 6,251 | |
| | 500 | | | Fuso Pharmaceutical Industries. Ltd. | | | 11,304 | |
| | 1,668 | | | Galenica AG(a) | | | 125,187 | |
| | 14,120 | | | GlaxoSmithKline plc, ADR | | | 622,692 | |
| | 3,801 | | | GlaxoSmithKline plc | | | 82,635 | |
| | 1,384 | | | H. Lundbeck A/S | | | 35,694 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Pharmaceuticals, continued | | | |
| | 3,600 | | | Haw Par Corp., Ltd. | | $ | 30,334 | |
| | 1,551 | | | Hikma Pharmaceuticals plc | | | 46,510 | |
| | 800 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 27,653 | |
| | 26,202 | | | Indivior plc* | | | 90,975 | |
| | 943 | | | Ipsen SA | | | 86,224 | |
| | 900 | | | JCR Pharmaceuticals Co., Ltd. | | | 17,405 | |
| | 1,000 | | | Kaken Pharmaceutical Co., Ltd. | | | 36,560 | |
| | 1,000 | | | Kissei Pharmaceutical Co., Ltd. | | | 19,600 | |
| | 166 | | | Laboratorios Farmaceuticos Rovi SA | | | 13,921 | |
| | 98,378 | | | Mayne Pharma Group, Ltd.* | | | 21,116 | |
| | 622 | | | Merck KGaA | | | 160,793 | |
| | 400 | | | Mochida Pharmaceutical Co., Ltd. | | | 12,104 | |
| | 3,200 | | | Nichi-Iko Pharmaceutical Co., Ltd. | | | 19,596 | |
| | 300 | | | Nippon Shinyaku Co., Ltd. | | | 20,853 | |
| | 12,667 | | | Novartis AG, Registered Shares | | | 1,112,735 | |
| | 15,241 | | | Novo Nordisk A/S, Class B | | | 1,704,086 | |
| | 2,600 | | | Ono Pharmaceutical Co., Ltd. | | | 64,463 | |
| | 1,037 | | | Orion OYJ | | | 42,599 | |
| | 4,216 | | | Orion OYJ, Class B | | | 174,934 | |
| | 2,000 | | | Otsuka Holdings Co., Ltd. | | | 72,387 | |
| | 2,502 | | | Recordati SpA | | | 160,253 | |
| | 5,202 | | | Roche Holding AG | | | 2,157,123 | |
| | 216 | | | Roche Holding AG | | | 96,685 | |
| | 4,419 | | | Sanofi | | | 443,952 | |
| | 2,500 | | | Santen Pharmaceutical Co., Ltd. | | | 30,508 | |
| | 800 | | | Sawai Group Holdings Co., Ltd. | | | 30,528 | |
| | 1,300 | | | Seikagaku Corp. | | | 10,637 | |
| | 500 | | | Shionogi & Co., Ltd. | | | 35,326 | |
| | 3,200 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 36,871 | |
| | 800 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 36,800 | |
| | 21,200 | | | Takeda Pharmacuetical Co., Ltd. | | | 579,482 | |
| | 11,486 | | | Teva Pharmaceutical Industries, Ltd., ADR* | | | 92,003 | |
| | 3,519 | | | Teva Pharmaceutical Industries, Ltd.* | | | 28,698 | |
| | 6,659 | | | Tilray, Inc.*^ | | | 46,813 | |
| | 800 | | | Torii Pharmaceutical Co., Ltd. | | | 20,021 | |
| | 1,200 | | | Towa Pharmaceutical Co., Ltd. | | | 29,886 | |
| | 1,400 | | | Tsumura & Co. | | | 39,870 | |
| | 525 | | | UCB SA | | | 59,989 | |
| | 26,000 | | | United Laboratories International Holdings, Ltd. | | | 14,549 | |
| | 209 | | | Vetoquinol SA | | | 31,374 | |
| | 1,434 | | | Vifor Pharma AG | | | 256,846 | |
| | 146 | | | Virbac SA | | | 70,391 | |
| | | | | | | | |
| | | | | | | 10,366,461 | |
| | | | | | | | |
| Professional Services (2.2%): | | | |
| | 2,941 | | | Adecco SA, Registered Shares | | | 150,411 | |
| | 1,864 | | | AFRY AB | | | 52,195 | |
| | 1,278 | | | Akka Technologies SA* | | | 70,282 | |
| | 7,883 | | | ALS, Ltd. | | | 75,042 | |
| | 770 | | | Altech Corp. | | | 12,728 | |
| | 111 | | | Amadeus Fire AG | | | 22,998 | |
| | 1,825 | | | Applus Services SA | | | 16,784 | |
| | 200 | | | Baycurrent Consulting, Inc. | | | 77,068 | |
| | 1,100 | | | Benefit One, Inc. | | | 47,206 | |
| | 1,953 | | | BeNEXT Group Inc. | | | 28,751 | |
| | 372 | | | Bertrandt AG | | | 24,117 | |
| | 3,926 | | | Bureau Veritas SA | | | 130,302 | |
| | 26,624 | | | Capita plc* | | | 13,116 | |
See accompanying notes to the financial statements.
27
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services, continued | | | |
| | 180 | | | Danel Adir Yeoshua, Ltd. | | $ | 40,786 | |
| | 1,707 | | | DKSH Holding, Ltd. | | | 140,721 | |
| | 900 | | | en Japan, Inc. | | | 25,435 | |
| | 6,782 | | | Experian plc | | | 332,629 | |
| | 1,200 | | | FULLCAST Holdings Co., Ltd. | | | 25,612 | |
| | 900 | | | Funai Soken Holdings, Inc. | | | 20,505 | |
| | 175 | | | Groupe Crit | | | 12,348 | |
| | 22,373 | | | Hays plc | | | 44,406 | |
| | 2,376 | | | Intertek Group plc | | | 180,647 | |
| | 3,227 | | | Intertrust NV*(a) | | | 72,002 | |
| | 1,565 | | | IPH, Ltd. | | | 10,024 | |
| | 300 | | | IR Japan Holdings, Ltd. | | | 17,921 | |
| | 1,000 | | | Jac Recruitment Co., Ltd. | | | 18,122 | |
| | 1,497 | | | LifeWorks, Inc. | | | 30,217 | |
| | 3,994 | | | McMillan Shakespeare, Ltd. | | | 35,117 | |
| | 1,100 | | | Meitec Corp. | | | 64,758 | |
| | 4,300 | | | Nihon M&A Center, Inc. | | | 105,148 | |
| | 3,000 | | | Outsourcing, Inc. | | | 40,437 | |
| | 8,516 | | | Pagegroup plc | | | 73,069 | |
| | 1,400 | | | Pasona Group, Inc. | | | 40,177 | |
| | 2,900 | | | Persol Holdings Co., Ltd. | | | 84,231 | |
| | 3,572 | | | Randstad NV | | | 244,686 | |
| | 7,800 | | | Recruit Holdings Co., Ltd. | | | 472,910 | |
| | 7,938 | | | RELX plc | | | 258,666 | |
| | 5,236 | | | RELX plc, ADR | | | 170,746 | |
| | 2,833 | | | Ricardo plc | | | 17,194 | |
| | 3,902 | | | Robert Walters plc | | | 40,656 | |
| | 4,254 | | | RWS Holdings plc | | | 37,376 | |
| | 84 | | | SGS SA, Registered Shares | | | 279,898 | |
| | 2,400 | | | SMS Co., Ltd. | | | 94,143 | |
| | 2,421 | | | Stantec, Inc. | | | 136,181 | |
| | 1,000 | | | Stantec, Inc. | | | 56,191 | |
| | 7,669 | | | SThree plc | | | 48,088 | |
| | 1,100 | | | Tanseisha Co., Ltd. | | | 7,509 | |
| | 2,900 | | | Technopro Holdings, Inc. | | | 88,008 | |
| | 902 | | | Teleperformance | | | 402,115 | |
| | 2,878 | | | Thomson Reuters Corp. | | | 344,266 | |
| | 1,065 | | | Tinexta SpA | | | 45,896 | |
| | 1,100 | | | UT Group Co., Ltd. | | | 41,372 | |
| | 5,588 | | | Wolters Kluwer NV | | | 656,728 | |
| | | | | | | | |
| | | | | | | 5,577,941 | |
| | | | | | | | |
| Real Estate Management & Development (2.4%): | | | |
| | 697 | | | Aedas Homes SA(a) | | | 19,031 | |
| | 1,700 | | | AEON Mall Co., Ltd. | | | 24,259 | |
| | 206 | | | AFI Properties, Ltd. | | | 13,662 | |
| | 1,001 | | | Airport City, Ltd.* | | | 22,463 | |
| | 2,300 | | | Airport Facilities Co., Ltd. | | | 11,000 | |
| | 372 | | | Allreal Holding AG | | | 82,248 | |
| | 1,972 | | | Alony Hetz Properties & Invest | | | 36,737 | |
| | 492 | | | Alrov Properties And Lodgings, Ltd.* | | | 30,297 | |
| | 700 | | | Altus Group, Ltd. | | | 39,278 | |
| | 2,393 | | | Amot Investments, Ltd. | | | 19,468 | |
| | 2,116 | | | Annehem Fastigheter AB* | | | 8,733 | |
| | 7,879 | | | Aroundtown SA | | | 47,718 | |
| | 28,100 | | | Ascendas India Trust | | | 29,630 | |
| | 46,000 | | | Asia Standard International Group, Ltd. | | | 5,013 | |
| | 3,626 | | | Atrium European Real Estate, Ltd. | | | 14,836 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development, continued | | | |
| | 1,281 | | | Atrium Ljungberg AB, Class B | | $ | 28,320 | |
| | 233 | | | Azrieli Group | | | 22,236 | |
| | 210 | | | Big Shopping Centers, Ltd. | | | 34,355 | |
| | 3,700 | | | Bukit Sembawang Estates, Ltd. | | | 13,759 | |
| | 4,800 | | | Capitaland Investment, Ltd. / Singapore* | | | 12,149 | |
| | 1,420 | | | Castellum AB | | | 38,095 | |
| | 626 | | | Catena AB | | | 39,086 | |
| | 2,946 | | | Cedar Woods Properties, Ltd. | | | 11,638 | |
| | 18,000 | | | Chinese Estates Holdings, Ltd. | | | 6,603 | |
| | 52,000 | | | Chuang’s Consortium International, Ltd. | | | 6,118 | |
| | 7,300 | | | City Developments, Ltd. | | | 36,927 | |
| | 1,684 | | | Citycon OYJ | | | 13,369 | |
| | 16,175 | | | CK Asset Holdings, Ltd. | | | 102,006 | |
| | 3,803 | | | CLS Holdings plc | | | 11,231 | |
| | 312 | | | Colliers International Group | | | 46,379 | |
| | 12,641 | | | Corem Property Group AB, Class B | | | 45,692 | |
| | 741 | | | Corestate Capital Holding SA*^ | | | 9,516 | |
| | 340,000 | | | CSI Properties, Ltd. | | | 9,027 | |
| | 900 | | | Daibiru Corp. | | | 17,291 | |
| | 1,200 | | | Daito Trust Construction Co., Ltd. | | | 137,117 | |
| | 10,600 | | | Daiwa House Industry Co., Ltd. | | | 304,912 | |
| | 887 | | | Deutsche Euroshop AG | | | 14,783 | |
| | 1,139 | | | Dic Asset AG | | | 19,921 | |
| | 2,651 | | | Dios Fastigheter AB | | | 34,642 | |
| | 1,450 | | | DREAM Unlimited Corp. | | | 44,516 | |
| | 34,000 | | | Emperor International Holdings | | | 4,059 | |
| | 7,600 | | | ESR Cayman, Ltd.*(a) | | | 25,725 | |
| | 2,062 | | | Fabege AB | | | 34,413 | |
| | 73,677 | | | Far East Consortium International, Ltd. | | | 26,837 | |
| | 687 | | | Fastighets AB Balder* | | | 49,574 | |
| | 862 | | | FastPartner AB, Class A | | | 11,579 | |
| | 867 | | | FirstService Corp. | | | 170,340 | |
| | 11,092 | | | Foxtons Group plc | | | 5,926 | |
| | 16,000 | | | Frasers Property, Ltd. | | | 13,533 | |
| | 3,677 | | | Gav-Yam Lands Corp., Ltd. | | | 45,478 | |
| | 1,100 | | | Goldcrest Co., Ltd. | | | 15,486 | |
| | 17,039 | | | Grainger plc | | | 72,645 | |
| | 1,873 | | | Grand City Properties SA | | | 44,511 | |
| | 10,197 | | | Great Eagle Holdings, Ltd. | | | 28,512 | |
| | 17,100 | | | GuocoLand, Ltd. | | | 19,168 | |
| | 28,000 | | | Hang Lung Group, Ltd. | | | 59,831 | |
| | 29,984 | | | Hang Lung Properties, Ltd. | | | 61,685 | |
| | 1,200 | | | Heiwa Real Estate Co., Ltd. | | | 40,382 | |
| | 5,154 | | | Helical plc | | | 31,602 | |
| | 17,706 | | | Henderson Land Development Co., Ltd. | | | 75,418 | |
| | 37,840 | | | HKR International, Ltd. | | | 15,045 | |
| | 9,400 | | | Ho Bee Land, Ltd. | | | 19,473 | |
| | 18,500 | | | Hong Fok Corp., Ltd. | | | 10,440 | |
| | 9,900 | | | Hongkong Land Holdings, Ltd. | | | 51,445 | |
| | 2,049 | | | Hufvudstaden AB | | | 30,668 | |
| | 6,800 | | | Hulic Co., Ltd. | | | 64,573 | |
| | 11,000 | | | Hysan Development Co., Ltd. | | | 34,001 | |
| | 12,900 | | | Ichigo, Inc. | | | 31,341 | |
| | 242 | | | Immobel SA | | | 20,085 | |
| | 1,302 | | | IMMOFINANZ AG | | | 33,409 | |
| | 1,253 | | | Instone Real Estate Group AG(a) | | | 23,725 | |
| | 29 | | | Intershop Holdings AG | | | 19,476 | |
See accompanying notes to the financial statements.
28
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development, continued | | | |
| | 2,000 | | | Invesque, Inc.* | | $ | 4,100 | |
| | 164 | | | Investis Holding SA | | | 18,815 | |
| | 29,717 | | | IWG plc* | | | 116,729 | |
| | 25,000 | | | K Wah International Holdings Ltd. | | | 9,651 | |
| | 1,500 | | | Katitas Co., Ltd. | | | 57,721 | |
| | 22,225 | | | Kerry Properties, Ltd. | | | 57,885 | |
| | 1,455 | | | Kojamo Oyj | | | 35,162 | |
| | 26,000 | | | Kowloon Development Co., Ltd. | | | 34,350 | |
| | 17,100 | | | Lai Sun Development Co., Ltd.* | | | 9,320 | |
| | 112,800 | | | Landing International Development, Ltd.* | | | 3,371 | |
| | 44,500 | | | Langham Hospitality Investment* | | | 4,796 | |
| | 944 | | | LEG Immobilien SE | | | 131,856 | |
| | 7,615 | | | Lend Lease Group | | | 59,235 | |
| | 883 | | | Lifestyle Communities, Ltd. | | | 13,386 | |
| | 8,000 | | | Liu Chong Hing Investment, Ltd. | | | 7,953 | |
| | 4,644 | | | LSL Property Services plc | | | 25,771 | |
| | 276 | | | Mega Or Holdings, Ltd. | | | 12,691 | |
| | 463 | | | Melisron, Ltd.* | | | 43,177 | |
| | 59,000 | | | Mingfa Group International Co., Ltd.* | | | 3,329 | |
| | 3,100 | | | Mirainovate Co., Ltd.* | | | 5,696 | |
| | 4,800 | | | Mitsubishi Estate Co., Ltd. | | | 66,552 | |
| | 5,100 | | | Mitsui Fudosan Co., Ltd. | | | 101,045 | |
| | 9,306 | | | Mivne Real Estate KD, Ltd. | | | 39,990 | |
| | 255 | | | Mobimo Holding AG, Registered Shares | | | 85,454 | |
| | 100 | | | Morguard Corp. | | | 10,789 | |
| | 28,087 | | | New World Development Co., Ltd. | | | 111,188 | |
| | 1,967 | | | Nexity SA | | | 92,496 | |
| | 800 | | | Nippon Commercial Development Co., Ltd. | | | 11,958 | |
| | 1,700 | | | Nisshin Group Holdings Co., Ltd. | | | 7,495 | |
| | 3,200 | | | Nomura Real Estate Holdings, Inc. | | | 73,656 | |
| | 3,463 | | | Nyfosa AB | | | 59,808 | |
| | 1,700 | | | Open House Co., Ltd. | | | 89,115 | |
| | 17,900 | | | Oue, Ltd. | | | 18,069 | |
| | 54,608 | | | Oxley Holdings, Ltd. | | | 7,619 | |
| | 25,655 | | | Pacific Century Premium Developments, Ltd.* | | | 1,974 | |
| | 522 | | | PATRIZIA AG | | | 12,126 | |
| | 1,195 | | | Platzer Fastigheter Holding AB, Class B | | | 17,931 | |
| | 779 | | | PSP Swiss Property AG | | | 97,005 | |
| | 700 | | | Raysum Co., Ltd. | | | 4,299 | |
| | 3,244 | | | Real Matters, Inc.* | | | 21,288 | |
| | 2,300 | | | Relo Group, Inc. | | | 41,582 | |
| | 556 | | | Sagax AB, Class B | | | 18,774 | |
| | 7,058 | | | Samhallsbyggnadsbolaget i Norden AB | | | 51,515 | |
| | 1,200 | | | SAMTY Co., Ltd. | | | 22,925 | |
| | 5,801 | | | Savills plc | | | 110,413 | |
| | 1,875 | | | Selvaag Bolig ASA | | | 10,856 | |
| | 2,600 | | | Shinoken Group Co., Ltd. | | | 20,958 | |
| | 795 | | | Shurgard Self Storage SA | | | 52,038 | |
| | 100,800 | | | Sinarmas Land, Ltd. | | | 18,344 | |
| | 55,980 | | | Sino Land Co., Ltd. | | | 69,738 | |
| | 11,926 | | | Sirius Real Estate, Ltd. | | | 22,824 | |
| | 5,000 | | | Soundwill Holdings, Ltd. | | | 4,926 | |
| | 200 | | | SRE Holdings Corp.* | | | 12,568 | |
| | 2,500 | | | Sumitomo Realty & Development Co., Ltd. | | | 73,545 | |
| | 1,493 | | | Summit Real Estate Holdings, Ltd.* | | | 31,494 | |
| | 1,800 | | | Sun Frontier Fudousan Co., Ltd. | | | 15,700 | |
| | 5,921 | | | Sun Hung Kai Properties, Ltd. | | | 71,880 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development, continued | | | |
| | 10,646 | | | Swire Pacific, Ltd., Class A | | $ | 60,579 | |
| | 17,500 | | | Swire Pacific, Ltd., Class B | | | 17,149 | |
| | 8,600 | | | Swire Properties, Ltd. | | | 21,554 | |
| | 2,643 | | | Swiss Prime Site AG | | | 259,320 | |
| | 2,596 | | | TAG Immobilien AG | | | 72,728 | |
| | 21,000 | | | TAI Cheung Holdings, Ltd. | | | 12,937 | |
| | 4,200 | | | Takara Leben Co., Ltd. | | | 10,554 | |
| | 2,900 | | | Toc Co., Ltd. | | | 16,745 | |
| | 6,400 | | | Tokyo Tatemono Co., Ltd. | | | 93,499 | |
| | 17,000 | | | Tokyu Fudosan Holdings Corp. | | | 95,053 | |
| | 2,400 | | | Tosei Corp. | | | 21,078 | |
| | 4,220 | | | Tricon Residential, Inc. | | | 64,595 | |
| | 213 | | | UBM Development AG | | | 10,476 | |
| | 7,900 | | | UOL Group, Ltd. | | | 41,599 | |
| | 49 | | | VGP NV | | | 14,275 | |
| | 1,814 | | | Vonovia SE | | | 100,153 | |
| | 1,918 | | | Wallenstam AB | | | 35,672 | |
| | 6 | | | Warteck Invest AG | | | 15,614 | |
| | 6,203 | | | Watkin Jones plc | | | 21,930 | |
| | 9,829 | | | Wharf Real Estate Investment Co., Ltd. | | | 49,931 | |
| | 2,034 | | | Wihlborgs Fastigheter AB | | | 46,131 | |
| | 20,700 | | | Wing Tai Holdings, Ltd. | | | 27,491 | |
| | 16,000 | | | Wing Tai Properties, Ltd. | | | 8,680 | |
| | 148 | | | YH Dimri Construction & Development, Ltd. | | | 14,406 | |
| | 17 | | | Zug Estates Holding AG | | | 36,955 | |
| | | | | | | | |
| | | | | | | 6,058,481 | |
| | | | | | | | |
| Road & Rail (1.3%): | | | |
| | 52,525 | | | Aurizon Holdings, Ltd. | | | 133,366 | |
| | 4,552 | | | Canadian National Railway Co. | | | 559,259 | |
| | 4,751 | | | Canadian Pacific Railway, Ltd. | | | 341,787 | |
| | 600 | | | Central Japan Railway Co. | | | 80,061 | |
| | 1,200 | | | Chilled & Frozen Logistics Holdings Co., Ltd. | | | 17,584 | |
| | 41,300 | | | ComfortDelGro Corp., Ltd. | | | 42,916 | |
| | 789 | | | DSV PANALPINA A/S | | | 182,335 | |
| | 1,300 | | | East Japan Railway Co. | | | 79,955 | |
| | 16,195 | | | FirstGroup plc* | | | 22,460 | |
| | 1,200 | | | Fukuyama Transporting Co., Ltd. | | | 40,957 | |
| | 3,244 | | | Go-Ahead Group plc* | | | 29,312 | |
| | 1,000 | | | Hamakyorex Co., Ltd. | | | 25,253 | |
| | 2,400 | | | Hankyu Hanshin Holdings, Inc. | | | 68,140 | |
| | 1,100 | | | Hitachi Transport System, Ltd. | | | 51,721 | |
| | 1,100 | | | Ichinen Holdings Co., Ltd. | | | 12,760 | |
| | 206 | | | Jungfraubahn Holding AG, Registered Shares* | | | 30,343 | |
| | 2,500 | | | Keikyu Corp. | | | 25,000 | |
| | 700 | | | Keio Corp. | | | 30,861 | |
| | 1,200 | | | Keisei Electric Railway Co., Ltd. | | | 32,454 | |
| | 1,500 | | | Kintetsu Group Holdings Co., Ltd.* | | | 41,942 | |
| | 1,000 | | | Kyushu Railway Co. | | | 20,800 | |
| | 400 | | | Maruzen Showa Unyu Co., Ltd. | | | 11,095 | |
| | 7,711 | | | MTR Corp., Ltd. | | | 41,389 | |
| | 4,500 | | | Mullen Group, Ltd. | | | 41,378 | |
| | 2,300 | | | Nagoya Railroad Co., Ltd.* | | | 35,000 | |
| | 1,600 | | | Nankai Electric Railway Co., Ltd. | | | 30,261 | |
| | 13,705 | | | National Express Group plc* | | | 47,557 | |
| | 2,200 | | | Nikkon Holdings Co., Ltd. | | | 41,438 | |
| | 1,800 | | | Nippon Express Co., Ltd. | | | 108,147 | |
| | 1,300 | | | Nishi-Nippon Railroad Co., Ltd. | | | 29,512 | |
See accompanying notes to the financial statements.
29
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 5,199 | | | Nobina AB(a) | | $ | 61,581 | |
| | 147 | | | NTG Nordic Transport Group A/S* | | | 12,014 | |
| | 2,000 | | | Odakyu Electric Railway Co., Ltd. | | | 37,148 | |
| | 11,036 | | | Redde Northgate plc | | | 65,053 | |
| | 500 | | | Sakai Moving Service Co., Ltd. | | | 18,826 | |
| | 2,300 | | | Sankyu, Inc. | | | 95,402 | |
| | 4,500 | | | Seino Holdings Co., Ltd. | | | 45,587 | |
| | 6,400 | | | Senko Group Holdings Co., Ltd. | | | 51,590 | |
| | 483 | | | Sixt SE | | | 47,729 | |
| | 368 | | | Sixt SE* | | | 65,190 | |
| | 1,000 | | | Sotetsu Holdings, Inc. | | | 18,319 | |
| | 31,768 | | | Stagecoach Group plc* | | | 38,595 | |
| | 278 | | | Stef S.A. | | | 32,283 | |
| | 2,098 | | | TFI International, Inc. | | | 235,328 | |
| | 1,500 | | | Tobu Railway Co., Ltd. | | | 34,226 | |
| | 3,400 | | | Tokyu Corp. | | | 45,176 | |
| | 300 | | | Tonami Holdings Co., Ltd. | | | 10,155 | |
| | 3,913 | | | Tourism Holdings, Ltd.* | | | 7,909 | |
| | 600 | | | Trancom Co., Ltd. | | | 46,643 | |
| | 15,330 | | | Transport International Holdings, Ltd. | | | 25,167 | |
| | 1,600 | | | West Japan Railway Co. | | | 66,769 | |
| | | | | | | | |
| | | | | | | 3,315,733 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (2.2%): | | | |
| | 1,500 | | | Advantest Corp. | | | 140,862 | |
| | 9,500 | | | Aem Holdings, Ltd. | | | 37,119 | |
| | 7,502 | | | ams AG* | | | 135,755 | |
| | 716 | | | ASM International NV | | | 314,387 | |
| | 7,219 | | | ASM Pacific Technology, Ltd. | | | 77,824 | |
| | 2,411 | | | ASML Holding NV, NYS | | | 1,919,494 | |
| | 2,670 | | | BE Semiconductor Industries NV | | | 226,161 | |
| | 25,000 | | | BOE Varitronix, Ltd. | | | 32,024 | |
| | 569 | | | Camtek, Ltd./Israel* | | | 25,948 | |
| | 300 | | | Disco Corp. | | | 91,703 | |
| | 1,700 | | | Ferrotec Holdings Corp. | | | 61,843 | |
| | 438 | | | First Sensor AG | | | 22,628 | |
| | 3,161 | | | Infineon Technologies AG | | | 146,559 | |
| | 2,200 | | | Japan Material Co., Ltd. | | | 36,235 | |
| | 500 | | | Lasertec Corp. | | | 152,025 | |
| | 879 | | | Melexis NV | | | 104,310 | |
| | 800 | | | Mimasu Semiconductor Industry | | | 18,436 | |
| | 500 | | | Mitsui High-Tec, Inc. | | | 49,006 | |
| | 473 | | | Nordic Semiconductor ASA* | | | 15,802 | |
| | 389 | | | Nova Measuring Instruments, Ltd.* | | | 55,794 | |
| | 1,100 | | | Optorun Co., Ltd. | | | 22,645 | |
| | 9,700 | | | Renesas Electronics Corp.* | | | 119,129 | |
| | 700 | | | ROHM Co., Ltd. | | | 63,344 | |
| | 900 | | | Sanken Electric Co., Ltd. | | | 49,386 | |
| | 500 | | | SCREEN Holdings Co., Ltd. | | | 53,372 | |
| | 300 | | | Shindengen Electric Manufacturing Co., Ltd.* | | | 9,679 | |
| | 1,100 | | | Shinko Electric Industries Co., Ltd. | | | 52,141 | |
| | 992 | | | Siltronic AG | | | 158,780 | |
| | 162 | | | Soitec* | | | 39,398 | |
| | 6,646 | | | STMicroelectronics NV | | | 325,737 | |
| | 409 | | | SUESS MicroTec SE* | | | 9,771 | |
| | 4,600 | | | SUMCO Corp. | | | 93,153 | |
| | 1,000 | | | Tokyo Electron, Ltd. | | | 572,555 | |
| | 800 | | | Tokyo Seimitsu Co., Ltd. | | | 35,230 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 1,000 | | | Towa Corp. | | $ | 27,910 | |
| | 2,902 | | | Tower Semiconductor, Ltd.* | | | 115,151 | |
| | 1,200 | | | Tri Chemical Laboratories, Inc. | | | 37,835 | |
| | 144 | | | u-blox Holding AG* | | | 11,093 | |
| | 1,100 | | | Ulvac, Inc. | | | 68,879 | |
| | 1,200 | | | Yamaichi Electronics Co., Ltd. | | | 24,273 | |
| | | | | | | | |
| | | | | | | 5,553,376 | |
| | | | | | | | |
| Software (1.1%): | | | |
| | 1,800 | | | Access Co., Ltd.* | | | 11,035 | |
| | 2,147 | | | Altium, Ltd. | | | 70,299 | |
| | 50 | | | Atoss Software AG | | | 12,335 | |
| | 3,980 | | | Avast plc(a) | | | 32,701 | |
| | 1,040 | | | AVEVA Group plc | | | 47,722 | |
| | 4,889 | | | BlackBerry, Ltd.* | | | 45,689 | |
| | 10,573 | | | Bravura Solutions, Ltd. | | | 18,939 | |
| | 4,900 | | | Broadleaf Co., Ltd. | | | 18,577 | |
| | 500 | | | Computer Engineering & Consulting, Ltd. | | | 4,722 | |
| | 101 | | | Constellation Software, Inc. | | | 187,414 | |
| | 1,400 | | | Cresco, Ltd. | | | 25,455 | |
| | 1,200 | | | Cybozu, Inc. | | | 18,961 | |
| | 1,568 | | | Dassault Systemes SE | | | 93,009 | |
| | 564 | | | Descartes Systems Group, Inc.* | | | 46,631 | |
| | 300 | | | Digital Arts, Inc. | | | 21,906 | |
| | 1,000 | | | Enghouse Systems, Ltd. | | | 38,291 | |
| | 1,966 | | | F-Secure Oyj | | | 11,116 | |
| | 800 | | | Fuji Soft, Inc. | | | 38,610 | |
| | 8,509 | | | Hansen Technology, Ltd. | | | 33,113 | |
| | 690 | | | Hilan, Ltd. | | | 46,120 | |
| | 3,100 | | | Infomart Corp. | | | 25,090 | |
| | 16,011 | | | Infomedia, Ltd. | | | 17,831 | |
| | 7,858 | | | Integrated Research, Ltd.* | | | 7,146 | |
| | 3,230 | | | IRESS, Ltd. | | | 29,445 | |
| | 600 | | | Justsystems Corp. | | | 27,914 | |
| | 200 | | | Kinaxis, Inc.* | | | 28,041 | |
| | 1,361 | | | Lectra | | | 64,964 | |
| | 172 | | | Linedata Services | | | 7,637 | |
| | 1,195 | | | Magic Software Enterprises, Ltd. | | | 25,384 | |
| | 8,235 | | | Micro Focus International plc, ADR | | | 45,869 | |
| | 500 | | | Miroku Jyoho Service Co., Ltd. | | | 5,989 | |
| | 1,788 | | | Nemetschek SE | | | 229,346 | |
| | 340 | | | Netcompany Group A/S(a) | | | 36,260 | |
| | 145 | | | NICE Systems, Ltd.* | | | 44,054 | |
| | 400 | | | OBIC Business Consultants Co., Ltd. | | | 16,824 | |
| | 3,485 | | | Open Text Corp. | | | 165,468 | |
| | 200 | | | Open Text Corp. | | | 9,494 | |
| | 400 | | | Oracle Corp. | | | 30,374 | |
| | 65 | | | QT Group Oyj* | | | 9,765 | |
| | 900 | | | Rakus Co., Ltd. | | | 23,984 | |
| | 7,104 | | | Sage Group plc | | | 81,705 | |
| | 2,503 | | | SAP SE | | | 357,448 | |
| | 1,391 | | | SimCorp A/S | | | 150,384 | |
| | 949 | | | Sinch AB*(a) | | | 11,972 | |
| | 1,484 | | | Software AG | | | 59,355 | |
| | 500 | | | SRA Holdings | | | 12,501 | |
| | 8,400 | | | Systena Corp. | | | 31,290 | |
| | 8,525 | | | Technology One, Ltd. | | | 79,173 | |
| | 1,295 | | | Temenos AG | | | 178,754 | |
See accompanying notes to the financial statements.
30
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 1,900 | | | Trend Micro, Inc. | | $ | 105,121 | |
| | 12,001 | | | Vista Group International, Ltd.* | | | 19,651 | |
| | 568 | | | WiseTech Global, Ltd. | | | 24,113 | |
| | 423 | | | Xero, Ltd.* | | | 43,318 | |
| | | | | | | | |
| | | | | | | 2,828,309 | |
| | | | | | | | |
| Specialty Retail (1.5%): | | | |
| | 400 | | | ABC-Mart, Inc. | | | 17,148 | |
| | 16,866 | | | Accent Group, Ltd. | | | 30,087 | |
| | 10,400 | | | Adairs, Ltd. | | | 30,378 | |
| | 1,300 | | | Adastria Co., Ltd. | | | 18,282 | |
| | 900 | | | Alpen Co., Ltd. | | | 16,717 | |
| | 2,600 | | | Aoki Holdings, Inc. | | | 13,950 | |
| | 2,800 | | | Aoyama Trading Co., Ltd.* | | | 16,289 | |
| | 3,236 | | | AP Eagers, Ltd. | | | 31,652 | |
| | 2,500 | | | Autobacs Seven Co., Ltd. | | | 30,499 | |
| | 613 | | | Autocanada, Inc.* | | | 20,695 | |
| | 2,300 | | | BIC Camera, Inc. | | | 19,260 | |
| | 4,193 | | | Bilia AB, Class A | | | 74,249 | |
| | 3,245 | | | Byggmax Group AB | | | 32,112 | |
| | 2,609 | | | Carasso Motors, Ltd. | | | 17,139 | |
| | 16,294 | | | Card Factory plc* | | | 13,170 | |
| | 3,919 | | | Ceconomy AG* | | | 16,901 | |
| | 800 | | | Chiyoda Co., Ltd. | | | 5,405 | |
| | 18,000 | | | Chow Sang Sang Holdings International, Ltd. | | | 25,165 | |
| | 31,200 | | | Chow Tai Fook Jewellery Group, Ltd. | | | 56,122 | |
| | 1,435 | | | Clas Ohlson AB, Class B | | | 21,806 | |
| | 4,700 | | | DCM Holdings Co., Ltd. | | | 43,525 | |
| | 39,375 | | | Dixons Carphone plc | | | 60,746 | |
| | 2,720 | | | Dufry AG, Registered Shares* | | | 134,134 | |
| | 4,536 | | | Dunelm Group plc | | | 84,626 | |
| | 4,900 | | | Edion Corp. | | | 45,718 | |
| | 115,950 | | | Esprit Holdings, Ltd.* | | | 10,566 | |
| | 400 | | | Fast Retailing Co., Ltd. | | | 227,175 | |
| | 1,157 | | | Fielmann AG | | | 77,894 | |
| | 878 | | | Fnac Darty SA | | | 57,441 | |
| | 7,248 | | | Frasers Group plc* | | | 75,474 | |
| | 2,300 | | | Geo Holdings Corp. | | | 24,739 | |
| | 130,000 | | | Giordano International, Ltd. | | | 24,824 | |
| | 10,860 | | | Halfords Group plc | | | 50,794 | |
| | 8,861 | | | Hennes & Mauritz AB, Class B | | | 173,842 | |
| | 300 | | | Hikari Tsushin, Inc. | | | 46,200 | |
| | 483 | | | Hornbach Baumarkt AG | | | 26,195 | |
| | 634 | | | Hornbach Holding AG & Co. KGaA | | | 95,679 | |
| | 2,800 | | | Idom, Inc. | | | 17,603 | |
| | 5,629 | | | Industria de Diseno Textil SA | | | 182,410 | |
| | 3,860 | | | JB Hi-Fi, Ltd. | | | 135,708 | |
| | 40,720 | | | JD Sports Fashion plc* | | | 119,619 | |
| | 700 | | | JINS Holdings, Inc. | | | 42,659 | |
| | 1,500 | | | Joshin Denki Co., Ltd. | | | 27,914 | |
| | 26,469 | | | Kathmandu Holdings, Ltd. | | | 27,529 | |
| | 1,700 | | | Keiyo Co., Ltd. | | | 12,521 | |
| | 744 | | | Kid ASA(a) | | | 9,517 | |
| | 36,342 | | | Kingfisher plc | | | 166,129 | |
| | 900 | | | Kohnan Shoji Co., Ltd. | | | 26,491 | |
| | 1,600 | | | Komeri Co., Ltd. | | | 35,575 | |
| | 5,800 | | | K’s Holding Corp. | | | 56,321 | |
| | 1,766 | | | Leon’s Furniture, Ltd. | | | 34,697 | |
| | 15,750 | | | L’occitane International SA | | | 63,732 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail, continued | | | |
| | 19,046 | | | Lookers plc* | | $ | 17,118 | |
| | 14,000 | | | Luk Fook Holdings International, Ltd. | | | 37,716 | |
| | 531 | | | Maisons du Monde SA(a) | | | 12,297 | |
| | 2,347 | | | Matas A/S | | | 44,761 | |
| | 1,681 | | | Mekonomen AB* | | | 29,103 | |
| | 2,955 | | | Mobilezone Holding AG | | | 44,145 | |
| | 234 | | | Musti Group OYJ | | | 8,241 | |
| | 600 | | | Nextage Co., Ltd. | | | 12,402 | |
| | 3,966 | | | Nick Scali, Ltd. | | | 44,305 | |
| | 1,900 | | | Nishimatsuya Chain Co., Ltd. | | | 22,816 | |
| | 400 | | | Nitori Co., Ltd. | | | 59,830 | |
| | 1,800 | | | Nojima Corp. | | | 37,691 | |
| | 28,290 | | | Oriental Watch Holdings | | | 17,706 | |
| | 76,677 | | | Pendragon plc* | | | 24,085 | |
| | 19,618 | | | Pets At Home Group plc | | | 123,343 | |
| | 2,736 | | | Premier Investments, Ltd. | | | 60,215 | |
| | 600 | | | Shimamura Co., Ltd. | | | 50,399 | |
| | 800 | | | Sleep Country Canada Holdings, Inc.(a) | | | 23,738 | |
| | 8,071 | | | Super Retail Group, Ltd. | | | 73,273 | |
| | 3,968 | | | Superdry plc* | | | 14,919 | |
| | 900 | | | T-Gaia Corp. | | | 12,960 | |
| | 2,400 | | | USS Co., Ltd. | | | 37,482 | |
| | 240 | | | Valora Holding AG* | | | 40,989 | |
| | 13,891 | | | Vertu Motors plc | | | 12,930 | |
| | 8,200 | | | VT Holdings Co., Ltd. | | | 33,300 | |
| | 1,939 | | | Watches of Switzerland Group plc*(a) | | | 37,245 | |
| | 1,871 | | | WHSmith plc* | | | 37,335 | |
| | 8,059 | | | Wickes Group plc | | | 25,810 | |
| | 300 | | | Workman Co., Ltd. | | | 14,347 | |
| | 800 | | | World Co., Ltd.* | | | 8,264 | |
| | 700 | | | Xebio Holdings Co., Ltd. | | | 5,612 | |
| | 2,913 | | | XXL ASA(a) | | | 4,623 | |
| | 15,400 | | | Yamada Holdings Co., Ltd. | | | 52,627 | |
| | 800 | | | Yellow Hat, Ltd. | | | 11,499 | |
| | | | | | | | |
| | | | | | | 3,818,149 | |
| | | | | | | | |
| Technology Hardware, Storage & (0.0%†): | | | |
| | 65,000 | | | Razer, Inc.*(a) | | | 20,184 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.5%): | | | |
| | 4,600 | | | Brother Industries, Ltd. | | | 88,447 | |
| | 4,400 | | | Canon, Inc. | | | 107,170 | |
| | 700 | | | EIZO Corp. | | | 24,561 | |
| | 1,800 | | | Elecom Co., Ltd. | | | 23,622 | |
| | 700 | | | FUJIFILM Holdings Corp. | | | 51,899 | |
| | 16,000 | | | Konica Minolta, Inc. | | | 72,905 | |
| | 1,323 | | | Logitech International SA, Class R | | | 110,768 | |
| | 1,900 | | | Maxell Holdings, Ltd. | | | 22,602 | |
| | 4,000 | | | Mcj Co., Ltd. | | | 37,503 | |
| | 5,300 | | | NEC Corp. | | | 244,725 | |
| | 1,300 | | | Noritsu Koki Co., Ltd. | | | 30,670 | |
| | 1,935 | | | Quadient | | | 42,091 | |
| | 10,400 | | | Ricoh Co., Ltd. | | | 96,857 | |
| | 600 | | | Roland Dg Corp. | | | 19,514 | |
| | 2,197 | | | S&T AG | | | 36,627 | |
| | 7,600 | | | Seiko Epson Corp. | | | 136,872 | |
| | 1,200 | | | Toshiba Tec Corp. | | | 49,097 | |
| | 4,400 | | | Wacom Co., Ltd. | | | 35,049 | |
| | | | | | | | |
| | | | | | | 1,230,979 | |
| | | | | | | | |
See accompanying notes to the financial statements.
31
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods (2.2%): | | | |
| | 1,248 | | | Adidas AG | | $ | 359,891 | |
| | 3,137 | | | Aritzia, Inc.* | | | 129,840 | |
| | 1,400 | | | Asics Corp. | | | 31,045 | |
| | 1,383 | | | Brunello Cucinelli SpA* | | | 94,968 | |
| | 5,577 | | | Burberry Group plc | | | 136,631 | |
| | 364 | | | Calida Holding AG | | | 19,403 | |
| | 600 | | | Canada Goose Holdings, Inc.* | | | 22,239 | |
| | 408 | | | Canada Goose Holdings, Inc.* | | | 15,121 | |
| | 973 | | | Chargeurs SA | | | 28,916 | |
| | 2,481 | | | Cie Financiere Richemont SA | | | 370,593 | |
| | 35,102 | | | Coats Group plc | | | 32,817 | |
| | 485 | | | Delta-Galil Industries, Ltd. | | | 33,350 | |
| | 1,146 | | | EssilorLuxottica SA | | | 243,926 | |
| | 449 | | | Fox Wizel, Ltd. | | | 80,865 | |
| | 1,142 | | | Gildan Activewear, Inc. | | | 48,409 | |
| | 2,431 | | | Gildan Activewear, Inc. | | | 103,079 | |
| | 400 | | | Goldwin, Inc. | | | 23,107 | |
| | 900 | | | Gunze, Ltd. | | | 31,552 | |
| | 189 | | | Hermes International SA | | | 329,996 | |
| | 2,296 | | | Hugo Boss AG | | | 139,908 | |
| | 473 | | | Kering | | | 379,497 | |
| | 1,500 | | | Komatsu Matere Co., Ltd. | | | 16,644 | |
| | 700 | | | Kurabo Industries, Ltd. | | | 11,882 | |
| | 1,826 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 1,506,677 | |
| | 2,248 | | | Moncler SpA | | | 162,461 | |
| | 3,560 | | | New Wave Group AB | | | 65,633 | |
| | 5,000 | | | Onward Holdings Co., Ltd. | | | 13,000 | |
| | 12,688 | | | Ovs SpA*(a) | | | 36,586 | |
| | 44,000 | | | Pacific Textiles Holdings, Ltd. | | | 20,768 | |
| | 3,344 | | | Pandora A/S | | | 416,251 | |
| | 8,500 | | | Prada SpA | | | 54,435 | |
| | 863 | | | Puma SE | | | 105,660 | |
| | 16,200 | | | Samsonite International SA*(a) | | | 32,915 | |
| | 2,100 | | | Sankyo Seiko Co., Ltd. | | | 10,159 | |
| | 500 | | | Sanyo Shokai, Ltd.* | | | 3,870 | |
| | 1,000 | | | Seiren Co., Ltd. | | | 21,887 | |
| | 17,500 | | | Stella International Holdings, Ltd. | | | 21,166 | |
| | 451 | | | Swatch Group AG (The), Class B | | | 137,440 | |
| | 862 | | | Swatch Group AG (The), Registered Shares | | | 50,317 | |
| | 2,999 | | | Ted Baker plc* | | | 4,173 | |
| | 60,000 | | | Texwinca Holdings, Ltd. | | | 11,928 | |
| | 404 | | | Tod’s SpA*^ | | | 22,485 | |
| | 3,200 | | | Tsi Holdings Co., Ltd.* | | | 9,434 | |
| | 5,500 | | | Unitika, Ltd.* | | | 14,348 | |
| | 377 | | | Van de Velde NV | | | 14,724 | |
| | 2,000 | | | Wacoal Holdings Corp. | | | 37,131 | |
| | 40,014 | | | Yue Yuen Industrial Holdings, Ltd.* | | | 66,961 | |
| | | | | | | | |
| | | | | | | 5,524,088 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.2%): | | | |
| | 1,484 | | | Aareal Bank AG | | | 48,591 | |
| | 1,900 | | | Aruhi Corp. | | | 17,232 | |
| | 3,618 | | | Deutsche Pfandbriefbank AG(a) | | | 43,443 | |
| | 1,230 | | | Equitable Group, Inc. | | | 67,014 | |
| | 1,100 | | | Firm Capital Mortgage Investment Corp. | | | 12,480 | |
| | 16,190 | | | Genworth Mortgage Insurance AU | | | 27,340 | |
| | 2,112 | | | Home Capital Group, Inc.* | | | 65,240 | |
| | 4,785 | | | MyState, Ltd. | | | 17,641 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Thrifts & Mortgage Finance, continued | | | |
| | 9,478 | | | OSB Group plc | | $ | 70,970 | |
| | 10,978 | | | Paragon Banking Group plc | | | 83,956 | |
| | 3,600 | | | Timbercreek Financial Corp. | | | 27,353 | |
| | | | | | | | |
| | | | | | | 481,260 | |
| | | | | | | | |
| Tobacco (0.5%): | | | |
| | 12,168 | | | British American Tobacco plc | | | 450,761 | |
| | 16,270 | | | Imperial Brands plc, Class A | | | 355,719 | |
| | 13,100 | | | Japan Tobacco, Inc. | | | 264,171 | |
| | 3,118 | | | Scandinavian Tobacco Group A/S(a) | | | 65,430 | |
| | 9,940 | | | Swedish Match AB | | | 79,006 | |
| | | | | | | | |
| | | | | | | 1,215,087 | |
| | | | | | | | |
| Trading Companies & Distributors (2.3%): | | | |
| | 5,540 | | | AddTech AB, Class B | | | 131,006 | |
| | 1,000 | | | Alconix Corp. | | | 11,626 | |
| | 1,271 | | | Alligo AB, Class B | | | 26,991 | |
| | 5,848 | | | Ashtead Group plc | | | 468,560 | |
| | 653 | | | BayWa AG | | | 28,659 | |
| | 4,032 | | | Beijer Ref AB | | | 88,293 | |
| | 1,271 | | | Bergman & Beving AB | | | 21,088 | |
| | 9,600 | | | BOC Aviation, Ltd.(a) | | | 70,382 | |
| | 388 | | | Bossard Holding AG | | | 139,774 | |
| | 2,597 | | | Brenntag AG | | | 235,266 | |
| | 1,375 | | | Bufab AB | | | 67,470 | |
| | 4,067 | | | Bunzl plc | | | 158,565 | |
| | 70,000 | | | China Strategic Holdings, Ltd.* | | | 413 | |
| | 400 | | | Daiichi Jitsugyo Co., Ltd. | | | 17,228 | |
| | 1,506 | | | Diploma plc | | | 68,802 | |
| | 4,000 | | | Doman Building Materials Group, Ltd. | | | 24,573 | |
| | 14,169 | | | Electrocomponents plc | | | 230,597 | |
| | 2,293 | | | Ferguson plc | | | 407,258 | |
| | 7,400 | | | Finning International, Inc. | | | 186,521 | |
| | 7,815 | | | Grafton Group plc | | | 130,128 | |
| | 1,700 | | | Hanwa Co., Ltd. | | | 48,194 | |
| | 17,460 | | | Howden Joinery Group plc | | | 212,426 | |
| | 1,189 | | | IMCD NV | | | 263,943 | |
| | 1,800 | | | Inaba Denki Sangyo Co., Ltd. | | | 42,291 | |
| | 1,800 | | | Inabata & Co., Ltd. | | | 26,249 | |
| | 3,146 | | | Indutrade AB | | | 95,525 | |
| | 9,800 | | | Itochu Corp. | | | 299,803 | |
| | 2,000 | | | Iwatani Corp. | | | 100,871 | |
| | 616 | | | Jacquet Metals SA | | | 14,747 | |
| | 500 | | | Japan Pulp & Paper Co., Ltd. | | | 17,912 | |
| | 700 | | | Kamei Corp. | | | 6,350 | |
| | 900 | | | Kanaden Corp. | | | 8,301 | |
| | 1,700 | | | Kanamoto Co., Ltd. | | | 35,627 | |
| | 3,100 | | | Kanematsu Corp. | | | 34,532 | |
| | 2,972 | | | Kloeckner & Co. SE* | | | 36,268 | |
| | 14,200 | | | Marubeni Corp. | | | 138,241 | |
| | 2,400 | | | Mitani Corp. | | | 42,407 | |
| | 6,700 | | | Mitsubishi Corp. | | | 212,771 | |
| | 8,600 | | | Mitsui & Co., Ltd. | | | 203,678 | |
| | 3,600 | | | MonotaRo Co., Ltd. | | | 64,895 | |
| | 4,300 | | | Nagase & Co., Ltd. | | | 69,662 | |
| | 600 | | | Nichiden Corp. | | | 12,237 | |
| | 500 | | | Nippon Steel Trading Corp. | | | 21,827 | |
| | 1,200 | | | Nishio Rent All Co., Ltd. | | | 29,969 | |
| | 700 | | | Onoken Co., Ltd. | | | 10,196 | |
See accompanying notes to the financial statements.
32
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Trading Companies & Distributors, continued | | | |
| | 1,494 | | | Reece, Ltd. | | $ | 29,421 | |
| | 9,256 | | | Rexel SA | | | 188,144 | |
| | 1,992 | | | Richelieu Hardware, Ltd. | | | 68,715 | |
| | 1,404 | | | Russel Metals, Inc. | | | 37,331 | |
| | 600 | | | Senshu Electric Co., Ltd. | | | 31,044 | |
| | 2,458 | | | Seven Group Holdings, Ltd. | | | 38,671 | |
| | 7,700 | | | Sojitz Corp. | | | 115,699 | |
| | 409 | | | Solar A/S | | | 49,290 | |
| | 17,864 | | | Speedy Hire plc | | | 15,322 | |
| | 6,600 | | | Sumitomo Corp. | | | 97,595 | |
| | 117 | | | Thermador Groupe | | | 13,534 | |
| | 2,372 | | | Toromont Industries, Ltd. | | | 214,470 | |
| | 1,900 | | | Toyota Tsushu Corp. | | | 87,572 | |
| | 7,192 | | | Travis Perkins plc | | | 150,947 | |
| | 1,000 | | | Trusco Nakayama Corp. | | | 23,748 | |
| | 800 | | | Wajax Corp. | | | 15,351 | |
| | 2,700 | | | Wakita & Co., Ltd. | | | 25,263 | |
| | 2,700 | | | Yamazen Corp. | | | 25,263 | |
| | 800 | | | Yuasa Trading Co., Ltd. | | | 20,724 | |
| | | | | | | | |
| | | | | | | 5,810,226 | |
| | | | | | | | |
| Transportation Infrastructure (0.4%): | | | |
| | 242 | | | Aena SME SA*(a) | | | 38,222 | |
| | 496 | | | Aeroports de Paris* | | | 64,080 | |
| | 4,161 | | | Atlantia SpA* | | | 82,650 | |
| | 13,785 | | | Atlas Arteria, Ltd. | | | 69,417 | |
| | 8,117 | | | Auckland International Airport, Ltd.* | | | 42,820 | |
| | 671 | | | Flughafen Zuerich AG* | | | 120,844 | |
| | 1,124 | | | Fraport AG* | | | 75,545 | |
| | 2,198 | | | Getlink SE | | | 36,460 | |
| | 1,618 | | | Hamburger Hafen und Logistik AG | | | 37,872 | |
| | 182,200 | | | Hutchison Port Holdings Trust | | | 40,996 | |
| | 1,940 | | | James Fisher & Sons plc* | | | 9,702 | |
| | 400 | | | Japan Airport Terminal Co., Ltd.* | | | 16,696 | |
| | 3,500 | | | Kamigumi Co., Ltd. | | | 66,135 | |
| | 1,400 | | | Mitsubishi Logistics Corp. | | | 35,123 | |
| | 400 | | | Nissin Corp. | | | 5,757 | |
| | 5,399 | | | Port of Tauranga, Ltd. | | | 24,666 | |
| | 32,939 | | | Qube Holdings, Ltd. | | | 76,081 | |
| | 2,100 | | | Sumitomo Warehouse Co., Ltd. (The) | | | 35,464 | |
| | 11,723 | | | Sydney Airport* | | | 74,058 | |
| | 10,150 | | | Transurban Group | | | 102,115 | |
| | 2,729 | | | Westshore Terminals Investment Corp. | | | 57,868 | |
| | | | | | | | |
| | | | | | | 1,112,571 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 4,740 | | | Pennon Group plc | | | 75,039 | |
| | 2,562 | | | Severn Trent plc | | | 102,300 | |
| | 45,000 | | | Siic Environment Holdings, Ltd. | | | 8,183 | |
| | 5,391 | | | United Utilities Group plc | | | 79,560 | |
| | | | | | | | |
| | | | | | | 265,082 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.2%): | | | |
| | 1,292 | | | 1&1 AG | | | 35,309 | |
| | 3,670 | | | Cellcom Israel, Ltd.* | | | 20,612 | |
| | 5,583 | | | Freenet AG | | | 148,164 | |
| | 88,000 | | | Hutchison Telecommunications Holdings, Ltd. | | | 14,108 | |
| | 27,900 | | | KDDI Corp. | | | 815,628 | |
| | 5,186 | | | Millicom International Cellular SA, SDR* | | | 147,014 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Wireless Telecommunication Services, continued | | | |
| | 1,000 | | | Okinawa Cellular Telephone Co. | | $ | 44,433 | |
| | 1,324 | | | Orange Belgium SA | | | 29,993 | |
| | 5,106 | | | Partner Communications Co.* | | | 41,541 | |
| | 1,708 | | | Rogers Communications, Inc., Class B | | | 81,352 | |
| | 1,900 | | | Rogers Communications, Inc., Class B | | | 90,478 | |
| | 35,000 | | | Smartone Telecommunications Ho | | | 18,632 | |
| | 9,900 | | | Softbank Corp. | | | 125,211 | |
| | 19,200 | | | SoftBank Group Corp. | | | 907,345 | |
| | 21,800 | | | StarHub, Ltd. | | | 21,999 | |
| | 9,411 | | | Tele2 AB | | | 134,182 | |
| | 306,023 | | | Vodafone Group plc | | | 456,346 | |
| | | | | | | | |
| | | | | | | 3,132,347 | |
| | | | | | | | |
| | Total Common Stocks (Cost $195,780,186) | | | 249,197,764 | |
| | | | | |
| Preferred Stocks (0.3%): | | | |
| Automobiles (0.3%): | | | |
| | 1,167 | | | Bayerische Motoren Werke AG (BMW), 2.62%, 5/15/20 | | | 97,398 | |
| | 1,645 | | | Porsche Automobil Holding SE, 2.65%, 5/20/20 | | | 156,095 | |
| | 2,660 | | | Volkswagen AG, 2.74%, 5/8/20 | | | 537,508 | |
| | | | | | | | |
| | | | | | | 791,001 | |
| | | | | | | | |
| Household Products (0.0%†): | | | |
| | 588 | | | Henkel AG & Co. KGaA, 2.60%, 4/21/20 | | | 47,614 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $744,381) | | | 838,615 | |
| | | | | |
| Contracts | | | | | Value | |
| Warrants (0.0%†): | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 64,038 | | | Ezion Holdings, Ltd., 4/6/23 | | | — | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 766 | | | Cenovus Energy, Inc., 1/1/26 | | | 5,760 | |
| | | | | | | | |
| | Total Warrants (Cost $—) | | | 5,760 | |
| | | | | |
| Shares | | | | | Value | |
| Rights (0.0%†): | | | |
| Pharmaceuticals (0.0%†): | | | |
| | 7 | | | Faes Farma SA, Expires on 12/31/21* | | | 1 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 1,173 | | | CA Immobilien Anla, Expires on 12/31/49*(b) | | | — | |
| | | | | | | | |
| | Total Rights (Cost $1) | | | 1 | |
| | | | | |
Principal
Amount | | | | | Value | |
Short-Term Security Held as Collateral for Securities on
Loan (0.4%): | | | |
| | 997,213 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(c)(d) | | | 997,213 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $997,213) | | | 997,213 | |
| | | | | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.2%): | | | |
| Money Markets (0.2%): | | | |
| | 554,612 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(d) | | | 554,612 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $554,612) | | | 554,612 | |
| | | | | |
| | Total Investment Securities (Cost $198,076,393) — 99.9%(e) | | | 251,593,965 | |
| | Net other assets (liabilities) — 0.1% | | | 224,481 | |
| | | | | |
| | Net Assets — 100.0% | | $ | 251,818,446 | |
| | | | | |
See accompanying notes to the financial statements.
33
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
Percentages indicated are based on net assets as of December 31, 2021.
ADR—American Depository Receipt
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, 2021. The total value of securities on loan as of December 31, 2021 was $959,018. |
| † | 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, 2021. 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, 2021. |
| (d) | The rate represents the effective yield at December 31, 2021. |
| (e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $0 or round to less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of December 31, 2021:
| | | | |
| Country | | Percentage | |
| |
Australia | | | 6.0 | % |
| |
Austria | | | 0.5 | % |
| |
Belgium | | | 1.1 | % |
| |
Bermuda | | | — | %† |
| |
Cambodia | | | — | %† |
| |
Canada | | | 10.2 | % |
| |
Cayman Islands | | | — | %† |
| |
China | | | 0.1 | % |
| |
Colombia | | | — | %† |
| |
Denmark | | | 2.5 | % |
| |
Egypt | | | — | %† |
| |
European Community | | | — | %† |
| |
Faroe Islands | | | — | %† |
| |
Finland | | | 1.7 | % |
| |
France | | | 7.6 | % |
| |
Germany | | | 7.1 | % |
| |
Hong Kong | | | 2.1 | % |
| |
India | | | — | %† |
| |
Ireland | | | 1.3 | % |
| |
Isle of Man | | | 0.1 | % |
| |
Israel | | | 1.1 | % |
| | | | |
| Country | | Percentage | |
| |
Italy | | | 2.4 | % |
| |
Japan | | | 21.8 | % |
| |
Jersey | | | — | %† |
| |
Liechtenstein | | | — | %† |
| |
Luxembourg | | | 0.6 | % |
| |
Malta | | | — | %† |
| |
Mexico | | | — | %† |
| |
Netherlands | | | 4.1 | % |
| |
New Zealand | | | 0.5 | % |
| |
Norway | | | 0.7 | % |
| |
Peru | | | — | %† |
| |
Portugal | | | 0.2 | % |
| |
Singapore | | | 0.9 | % |
| |
Spain | | | 2.1 | % |
| |
Sweden | | | 3.6 | % |
| |
Switzerland | | | 8.4 | % |
| |
United Arab Emirates | | | — | %† |
| |
United Kingdom | | | 12.5 | % |
| |
United States | | | 0.8 | % |
| | | | |
| |
| | | 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, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 198,076,393 | |
| | | | | |
Investment securities, at value(a) | | | $ | 251,593,965 | |
Cash | | | | 1,598 | |
Interest and dividends receivable | | | | 248,716 | |
Foreign currency, at value (cost $514,979) | | | | 517,909 | |
Receivable for investments sold | | | | 26,593 | |
Reclaims receivable | | | | 801,985 | |
Prepaid expenses | | | | 1,192 | |
| | | | | |
Total Assets | | | | 253,191,958 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 11,827 | |
Payable for capital shares redeemed | | | | 103,171 | |
Payable for collateral received on loaned securities | | | | 997,213 | |
Manager fees payable | | | | 156,562 | |
Administration fees payable | | | | 36,803 | |
Distribution fees payable | | | | 52,187 | |
Custodian fees payable | | | | 4,078 | |
Administrative and compliance services fees payable | | | | 132 | |
Transfer agent fees payable | | | | 326 | |
Trustee fees payable | | | | 742 | |
Other accrued liabilities | | | | 10,471 | |
| | | | | |
Total Liabilities | | | | 1,373,512 | |
| | | | | |
Net Assets | | | $ | 251,818,446 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 177,790,086 | |
Total distributable earnings | | | | 74,028,360 | |
| | | | | |
Net Assets | | | $ | 251,818,446 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 20,439,512 | |
Net Asset Value (offering and redemption price per share) | | | $ | 12.32 | |
| | | | | |
| (a) | Includes securities on loan of $959,018. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 7,825,633 | |
Interest | | | | 57 | |
Income from securities lending | | | | 44,489 | |
Foreign withholding tax | | | | (786,832 | ) |
| | | | | |
Total Investment Income | | | | 7,083,347 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 2,478,023 | |
Administration fees | | | | 135,217 | |
Distribution fees | | | | 652,110 | |
Custodian fees | | | | 72,566 | |
Administrative and compliance services fees | | | | 3,054 | |
Transfer agent fees | | | | 4,825 | |
Trustee fees | | | | 12,717 | |
Professional fees | | | | 11,043 | |
Shareholder reports | | | | 4,878 | |
Other expenses | | | | 42,350 | |
| | | | | |
Total expenses before reductions | | | | 3,416,783 | |
Less Management fees contractually waived | | | | (521,694 | ) |
| | | | | |
Net expenses | | | | 2,895,089 | |
| | | | | |
Net Investment Income/(Loss) | | | | 4,188,258 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 18,358,301 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 10,554,923 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 28,913,224 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 33,101,482 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 4,188,258 | | | | $ | 3,194,467 | |
Net realized gains/(losses) on investments | | | | 18,358,301 | | | | | (16,172 | ) |
Change in unrealized appreciation/depreciation on investments | | | | 10,554,923 | | | | | 17,605,651 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 33,101,482 | | | | | 20,783,946 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (3,585,492 | ) | | | | (6,243,472 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (3,585,492 | ) | | | | (6,243,472 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 1,475,506 | | | | | 28,562,814 | |
Proceeds from dividends reinvested | | | | 3,585,492 | | | | | 6,243,472 | |
Value of shares redeemed | | | | (47,818,960 | ) | | | | (60,172,623 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (42,757,962 | ) | | | | (25,366,337 | ) |
| | | | | | | | | | |
Change in net assets | | | | (13,241,972 | ) | | | | (10,825,863 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 265,060,418 | | | | | 275,886,281 | |
| | | | | | | | | | |
End of period | | | $ | 251,818,446 | | | | $ | 265,060,418 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 120,615 | | | | | 3,629,639 | |
Dividends reinvested | | | | 299,540 | | | | | 642,332 | |
Shares redeemed | | | | (3,943,848 | ) | | | | (6,396,250 | ) |
| | | | | | | | | | |
Change in shares | | | | (3,523,693 | ) | | | | (2,124,279 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.06 | | | | $ | 10.58 | | | | $ | 9.20 | | | | $ | 11.46 | | | | $ | 9.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.19 | (a) | | | | 0.12 | (a) | | | | 0.21 | (a) | | | | 0.17 | | | | | 0.19 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.25 | | | | | 0.61 | | | | | 1.65 | | | | | (2.16 | ) | | | | 2.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.44 | | | | | 0.73 | | | | | 1.86 | | | | | (1.99 | ) | | | | 2.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.18 | ) | | | | (0.25 | ) | | | | (0.15 | ) | | | | (0.21 | ) | | | | (0.15 | ) |
Net Realized Gains | | | | — | | | | | — | | | | | (0.33 | ) | | | | (0.06 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.18 | ) | | | | (0.25 | ) | | | | (0.48 | ) | | | | (0.27 | ) | | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 12.32 | | | | $ | 11.06 | | | | $ | 10.58 | | | | $ | 9.20 | | | | $ | 11.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 13.05 | % | | | | 7.25 | % | | | | 20.72 | % | | | | (17.65 | )% | | | | 26.09 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 251,818 | | | | $ | 265,060 | | | | $ | 275,886 | | | | $ | 253,044 | | | | $ | 258,959 | |
Net Investment Income/(Loss) | | | | 1.61 | % | | | | 1.29 | % | | | | 2.09 | % | | | | 1.63 | % | | | | 1.48 | % |
Expenses Before Reductions(c) | | | | 1.31 | % | | | | 1.34 | % | | | | 1.33 | % | | | | 1.38 | % | | | | 1.41 | % |
Expenses Net of Reductions | | | | 1.11 | % | | | | 1.14 | % | | | | 1.13 | % | | | | 1.18 | % | | | | 1.21 | % |
Portfolio Turnover Rate | | | | 7 | % | | | | 14 | % | | | | 6 | % | | | | 20 | % | | | | 4 | % |
| (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, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such
38
AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2021
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 on 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, 2021 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 $4,401 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $997,213 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
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AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 38,331,053 | | | | $ | 210,866,711 | | | | $ | — | # | | | $ | 249,197,764 | |
Preferred Stocks+ | | | | — | | | | | 838,615 | | | | | — | | | | | 838,615 | |
Warrants+ | | | | 5,760 | | | | | — | | | | | — | | | | | 5,760 | |
Rights+ | | | | 1 | | | | | — | | | | | — | # | | | | 1 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 997,213 | | | | | — | | | | | — | | | | | 997,213 | |
Unaffiliated Investment Company | | | | 554,612 | | | | | — | | | | | — | | | | | 554,612 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | $ | 39,888,639 | | | | $ | 211,705,326 | | | | $ | — | | | | $ | 251,593,965 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
5. Security Purchases and Sales
For the year ended December 31, 2021, 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 | | | $ | 18,744,015 | | | | $ | 64,040,797 | |
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.
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AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $199,636,211. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 74,166,982 | |
Unrealized (depreciation) | | | (22,209,228 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 51,957,754 | |
| | | | |
During the year ended December 31, 2021, the Fund utilized $973,492 in capital loss carry forwards (“CLCFs”) to offset capital gains. As of the end of its tax year ended December 31, 2021, the Fund had no remaining CLCFs.
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA International Core Equity Fund | | | $ | 3,585,492 | | | | $ | — | | | | $ | 3,585,492 | |
| (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, 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. |
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AZL DFA International Core Equity Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 5,881,660 | | | | $ | 16,176,251 | | | | $ | — | | | | $ | 51,970,449 | | | | $ | 74,028,360 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, mark-to-market of passive foreign investment companies, return of capital from underlying investments, straddles 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, 2021, 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.
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.
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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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
45
able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
46
Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019-2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
48
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® DFA U.S. Core Equity Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® DFA U.S. Core Equity Fund (the “Fund”) returned 27.31%. That compared to a 25.66% total return for its benchmark, the Russell 3000® Index.1
The ongoing economic recovery from the COVID-19 pandemic produced consistent growth in U.S. equities throughout the year. Fiscal and monetary stimulus, rising consumer confidence, and solid earnings performance fueled gains despite inflationary pressures late in the year.
Small-cap stocks underperformed large-cap stocks during the period. Large-cap value stocks underperformed large-cap growth stocks during the period. However, small-cap value stocks outperformed small-cap growth stocks.
In the large-cap universe, stocks with lower relative prices and higher profitability performed in line with stocks with higher relative prices and lower profitability. In the small-cap universe, however, stocks with lower relative prices
and higher profitability outperformed stocks with higher relative prices and lower profitability.
The Fund’s outperformance relative to its benchmark was primarily driven by its emphasis on small-cap value stocks, which were among the benchmark’s best performers during the period. The Fund’s emphasis on stocks with higher profitability also contributed to relative results, as these stocks performed better than their lower-profitability peers 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
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, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | Since
Inception
(4/27/15) |
AZL® DFA U.S. Core Equity Fund | | | | 27.31 | % | | | | 24.69 | % | | | | 16.64 | % | | | | 13.56 | % |
Russell 3000® Index | | | | 25.66 | % | | | | 25.79 | % | | | | 17.97 | % | | | | 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 Ratio | | Gross |
AZL® DFA U.S. Core Equity Fund | | | | 1.11 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.54% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA U.S. Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,085.80 | | | | $ | 4.57 | | | | | 0.87 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA U.S. Core Equity Fund | | | $ | 1,000.00 | | | | $ | 1,020.82 | | | | $ | 4.43 | | | | | 0.87 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 25.2 | % |
| |
Financials | | | | 13.6 | |
| |
Consumer Discretionary | | | | 12.4 | |
| |
Health Care | | | | 12.1 | |
| |
Industrials | | | | 12.0 | |
| |
Communication Services | | | | 8.1 | |
| |
Consumer Staples | | | | 5.7 | |
| |
Materials | | | | 4.3 | |
| |
Energy | | | | 3.5 | |
| |
Utilities | | | | 2.4 | |
| |
Real Estate | | | | 0.3 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.6 | |
| |
Rights | | | | — | † |
| | |
Unaffiliated Investment Company | | | | 0.6 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.3 | |
| | | | | |
| |
Total Investment Securities | | | | 100.5 | |
| |
Net other assets (liabilities) | | | | (0.5 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.6%): | | | |
| Aerospace & Defense (1.3%): | | | |
| | 1,210 | | | AAR Corp.* | | $ | 47,226 | |
| | 2,968 | | | Aerojet Rocketdyne Holdings, Inc. | | | 138,784 | |
| | 358 | | | AeroVironment, Inc.* | | | 22,207 | |
| | 712 | | | Astronics Corp.* | | | 8,544 | |
| | 415 | | | Astronics Corp., Class B* | | | 4,984 | |
| | 908 | | | Axon Enterprise, Inc.* | | | 142,556 | |
| | 3,878 | | | Boeing Co. (The)* | | | 780,719 | |
| | 2,720 | | | BWX Technologies, Inc. | | | 130,234 | |
| | 685 | | | CPI Aerostructures, Inc.* | | | 1,870 | |
| | 914 | | | Curtiss-Wright Corp. | | | 126,744 | |
| | 625 | | | Ducommun, Inc.* | | | 29,231 | |
| | 1,727 | | | General Dynamics Corp. | | | 360,028 | |
| | 569 | | | HEICO Corp. | | | 82,061 | |
| | 769 | | | HEICO Corp., Class A | | | 98,832 | |
| | 2,189 | | | Hexcel Corp.* | | | 113,390 | |
| | 5,511 | | | Howmet Aerospace, Inc. | | | 175,415 | |
| | 1,188 | | | Huntington Ingalls Industries, Inc. | | | 221,847 | |
| | 2,947 | | | Kratos Defense & Security Solutions, Inc.* | | | 57,172 | |
| | 2,175 | | | L3harris Technologies, Inc. | | | 463,797 | |
| | 3,238 | | | Lockheed Martin Corp. | | | 1,150,818 | |
| | 1,378 | | | Mercury Systems, Inc.* | | | 75,873 | |
| | 913 | | | Moog, Inc., Class A | | | 73,926 | |
| | 343 | | | National Presto Industries, Inc. | | | 28,136 | |
| | 1,391 | | | Northrop Grumman Corp. | | | 538,414 | |
| | 953 | | | Park Aerospace Corp., Class C | | | 12,580 | |
| | 10,908 | | | Raytheon Technologies Corp. | | | 938,742 | |
| | 2,265 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 97,599 | |
| | 2,800 | | | Textron, Inc. | | | 216,160 | |
| | 521 | | | TransDigm Group, Inc.* | | | 331,502 | |
| | 337 | | | Vectrus, Inc.* | | | 15,424 | |
| | | | | | | | |
| | | | | | | 6,484,815 | |
| | | | | | | | |
| Air Freight & Logistics (0.8%): | | | |
| | 2,159 | | | Air Transport Services Group, Inc.* | | | 63,431 | |
| | 464 | | | Atlas Air Worldwide Holdings, Inc.* | | | 43,672 | |
| | 3,174 | | | C.H. Robinson Worldwide, Inc. | | | 341,618 | |
| | 2,787 | | | Expeditors International of Washington, Inc. | | | 374,266 | |
| | 2,443 | | | FedEx Corp. | | | 631,857 | |
| | 619 | | | Forward Air Corp. | | | 74,955 | |
| | 1,805 | | | GXO Logistics, Inc.* | | | 163,948 | |
| | 766 | | | Hub Group, Inc., Class A* | | | 64,528 | |
| | 3,266 | | | Radiant Logistics, Inc.* | | | 23,809 | |
| | 8,651 | | | United Parcel Service, Inc., Class B | | | 1,854,255 | |
| | 2,834 | | | XPO Logistics, Inc.* | | | 219,437 | |
| | | | | | | | |
| | | | | | | 3,855,776 | |
| | | | | | | | |
| Airlines (0.3%): | | | |
| | 2,670 | | | Alaska Air Group, Inc.* | | | 139,107 | |
| | 229 | | | Allegiant Travel Co.* | | | 42,832 | |
| | 7,999 | | | American Airlines Group, Inc.*^ | | | 143,662 | |
| | 841 | | | Copa Holdings SA, Class A* | | | 69,517 | |
| | 9,886 | | | Delta Air Lines, Inc.* | | | 386,345 | |
| | 1,057 | | | Hawaiian Holdings, Inc.* | | | 19,417 | |
| | 9,359 | | | JetBlue Airways Corp.* | | | 133,272 | |
| | 1,602 | | | SkyWest, Inc.* | | | 62,959 | |
| | 5,986 | | | Southwest Airlines Co.* | | | 256,440 | |
| | 2,445 | | | Spirit Airlines, Inc.* | | | 53,423 | |
| | 3,464 | | | United Airlines Holdings, Inc.* | | | 151,654 | |
| | | | | | | | |
| | | | | | | 1,458,628 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Auto Components (0.5%): | | | |
| | 2,780 | | | Adient plc* | | $ | 133,106 | |
| | 4,269 | | | American Axle & Manufacturing Holdings, Inc.* | | | 39,830 | |
| | 1,883 | | | Aptiv plc* | | | 310,601 | |
| | 2,666 | | | Autoliv, Inc. | | | 275,691 | |
| | 6,004 | | | BorgWarner, Inc. | | | 270,600 | |
| | 1,256 | | | Cooper-Standard Holding, Inc.* | | | 28,147 | |
| | 3,513 | | | Dana, Inc. | | | 80,167 | |
| | 687 | | | Dorman Products, Inc.* | | | 77,638 | |
| | 798 | | | Fox Factory Holding Corp.* | | | 135,740 | |
| | 6,025 | | | Gentex Corp. | | | 209,971 | |
| | 799 | | | Gentherm, Inc.* | | | 69,433 | |
| | 6,635 | | | Goodyear Tire & Rubber Co. (The)* | | | 141,458 | |
| | 1,365 | | | Horizon Global Corp.* | | | 10,893 | |
| | 578 | | | LCI Industries | | | 90,093 | |
| | 1,505 | | | Lear Corp. | | | 275,340 | |
| | 3,637 | | | Modine Manufacturing Co.* | | | 36,697 | |
| | 1,190 | | | Motorcar Parts of America, Inc.* | | | 20,313 | |
| | 856 | | | Patrick Industries, Inc. | | | 69,071 | |
| | 4,082 | | | QuantumScape Corp.*^ | | | 90,580 | |
| | 616 | | | Standard Motor Products, Inc. | | | 32,272 | |
| | 587 | | | Stoneridge, Inc.* | | | 11,587 | |
| | 275 | | | Strattec Security Corp.* | | | 10,180 | |
| | 1,349 | | | Tenneco, Inc.* | | | 15,244 | |
| | 3,249 | | | Veoneer, Inc.* | | | 115,275 | |
| | 517 | | | Visteon Corp.* | | | 57,459 | |
| | 1,621 | | | VOXX International Corp.* | | | 16,486 | |
| | | | | | | | |
| | | | | | | 2,623,872 | |
| | | | | | | | |
| Automobiles (1.1%): | | | |
| | 31,520 | | | Ford Motor Co. | | | 654,670 | |
| | 20,655 | | | General Motors Co.* | | | 1,211,003 | |
| | 4,049 | | | Harley-Davidson, Inc. | | | 152,607 | |
| | 3,384 | | | Tesla, Inc.* | | | 3,576,143 | |
| | 375 | | | Thor Industries, Inc. | | | 38,914 | |
| | 729 | | | Winnebago Industries, Inc. | | | 54,617 | |
| | | | | | | | |
| | | | | | | 5,687,954 | |
| | | | | | | | |
| Banks (5.3%): | | | |
| | 859 | | | 1st Source Corp. | | | 42,606 | |
| | 504 | | | ACNB Corp. | | | 15,765 | |
| | 954 | | | Allegiance Bancshares, Inc. | | | 40,268 | |
| | 661 | | | American National Bankshares, Inc. | | | 24,906 | |
| | 1,776 | | | Ameris Bancorp | | | 88,232 | |
| | 704 | | | Ames National Corp. | | | 17,241 | |
| | 1,015 | | | Arrow Financial Corp. | | | 35,758 | |
| | 3,325 | | | Associated Banc-Corp. | | | 75,112 | |
| | 1,160 | | | Atlantic Capital Bancshares, Inc.* | | | 33,373 | |
| | 2,280 | | | Atlantic Union Bankshares Corp. | | | 85,021 | |
| | 2,056 | | | Banc of California, Inc. | | | 40,339 | |
| | 646 | | | BancFirst Corp. | | | 45,582 | |
| | 2,831 | | | Bancorp, Inc. (The)* | | | 71,653 | |
| | 53,873 | | | Bank of America Corp. | | | 2,396,810 | |
| | 1,028 | | | Bank of Hawaii Corp. | | | 86,105 | |
| | 724 | | | Bank of Marin Bancorp | | | 26,955 | |
| | 1,592 | | | Bank of Nt Butterfield & Son, Ltd. (The) | | | 60,671 | |
| | 3,554 | | | Bank OZK | | | 165,368 | |
| | 2,950 | | | BankUnited, Inc. | | | 124,815 | |
| | 1,129 | | | Banner Corp. | | | 68,496 | |
| | 433 | | | Bar Harbor Bankshares | | | 12,527 | |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 842 | | | BCB Bancorp, Inc. | | $ | 12,992 | |
| | 2,598 | | | Berkshire Hills Bancorp, Inc. | | | 73,861 | |
| | 1,565 | | | BOK Financial Corp. | | | 165,092 | |
| | 2,707 | | | Brookline Bancorp, Inc. | | | 43,826 | |
| | 578 | | | Bryn Mawr Bank Corp. | | | 26,016 | |
| | 977 | | | Byline BanCorp, Inc. | | | 26,721 | |
| | 74 | | | C&F Financial Corp. | | | 3,788 | |
| | 4,719 | | | Cadence Bank | | | 140,579 | |
| | 843 | | | Camden National Corp. | | | 40,599 | |
| | 489 | | | Capital City Bank Group, Inc. | | | 12,910 | |
| | 2,132 | | | Cathay General Bancorp | | | 91,655 | |
| | 1,225 | | | CBTX, Inc. | | | 35,525 | |
| | 1,402 | | | Central Pacific Financial Corp. | | | 39,494 | |
| | 933 | | | Central Valley Community Bancorp | | | 19,378 | |
| | 377 | | | Chemung Financial Corp. | | | 17,259 | |
| | 2,299 | | | CIT Group, Inc. | | | 118,031 | |
| | 20,877 | | | Citigroup, Inc. | | | 1,260,762 | |
| | 943 | | | Citizens & Northern Corp. | | | 24,631 | |
| | 5,111 | | | Citizens Financial Group, Inc. | | | 241,495 | |
| | 552 | | | Citizens Holding Co. | | | 10,350 | |
| | 365 | | | City Holding Co. | | | 29,853 | |
| | 938 | | | Civista Bancshares, Inc. | | | 22,887 | |
| | 735 | | | CNB Financial Corp. | | | 19,478 | |
| | 85 | | | Codorus Valley Bancorp, Inc. | | | 1,836 | |
| | 56 | | | Colony Bankcorp, Inc. | | | 956 | |
| | 2,267 | | | Columbia Banking System, Inc. | | | 74,176 | |
| | 3,274 | | | Comerica, Inc. | | | 284,838 | |
| | 3,042 | | | Commerce Bancshares, Inc. | | | 209,107 | |
| | 1,393 | | | Community Bank System, Inc. | | | 103,751 | |
| | 517 | | | Community Trust Bancorp, Inc. | | | 22,546 | |
| | 1,154 | | | ConnectOne Bancorp, Inc. | | | 37,747 | |
| | 1,311 | | | Cullen/Frost Bankers, Inc. | | | 165,278 | |
| | 1,643 | | | Customers Bancorp, Inc. | | | 107,403 | |
| | 4,350 | | | CVB Financial Corp. | | | 93,134 | |
| | 1,876 | | | Dime Community Bancshares, Inc. | | | 65,960 | |
| | 1,065 | | | Eagle Bancorp, Inc. | | | 62,132 | |
| | 3,269 | | | East West Bancorp, Inc. | | | 257,205 | |
| | 820 | | | Enterprise Financial Services Corp. | | | 38,614 | |
| | 682 | | | Equity Bancshares, Inc. | | | 23,140 | |
| | 312 | | | Evans Bancorp, Inc. | | | 12,574 | |
| | 8,341 | | | F.N.B. Corp. | | | 101,176 | |
| | 1,329 | | | Farmers National Banc Corp. | | | 24,653 | |
| | 1,408 | | | FB Financial Corp. | | | 61,699 | |
| | 9,314 | | | Fifth Third Bancorp | | | 405,625 | |
| | 1,053 | | | Financial Institutions, Inc. | | | 33,485 | |
| | 6,611 | | | First Bancorp | | | 91,100 | |
| | 814 | | | First Bancorp, Inc. | | | 25,560 | |
| | 1,262 | | | First Bancorp/Southern Pines NC | | | 57,699 | |
| | 611 | | | First Bancshares, Inc. (The) | | | 23,597 | |
| | 1,378 | | | First Busey Corp. | | | 37,371 | |
| | 664 | | | First Business Financial Services, Inc. | | | 19,369 | |
| | 221 | | | First Citizens BancShares, Inc., Class A | | | 183,395 | |
| | 2,520 | | | First Commonwealth Financial Corp. | | | 40,547 | |
| | 512 | | | First Community Bankshares | | | 17,111 | |
| | 3,105 | | | First Financial Bancorp | | | 75,700 | |
| | 3,432 | | | First Financial Bankshares, Inc. | | | 174,483 | |
| | 536 | | | First Financial Corp. | | | 24,275 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 733 | | | First Financial Northwest, Inc. | | $ | 11,853 | |
| | 1,155 | | | First Foundation, Inc. | | | 28,713 | |
| | 1,512 | | | First Hawaiian, Inc. | | | 41,323 | |
| | 12,573 | | | First Horizon Corp. | | | 205,317 | |
| | 1,244 | | | First Interstate BancSystem, Class A | | | 50,593 | |
| | 1,606 | | | First Merchants Corp. | | | 67,275 | |
| | 660 | | | First Mid Bancshares, Inc. | | | 28,241 | |
| | 4,022 | | | First Midwest Bancorp, Inc. | | | 82,371 | |
| | 1,573 | | | First of Long Island Corp. (The) | | | 33,961 | |
| | 1,741 | | | First Republic Bank | | | 359,534 | |
| | 2,253 | | | Flushing Financial Corp. | | | 54,748 | |
| | 5,044 | | | Fulton Financial Corp. | | | 85,748 | |
| | 769 | | | German American Bancorp, Inc. | | | 29,976 | |
| | 3,614 | | | Glacier Bancorp, Inc. | | | 204,914 | |
| | 397 | | | Great Southern Bancorp, Inc. | | | 23,522 | |
| | 2,353 | | | Great Western Bancorp, Inc. | | | 79,908 | |
| | 2,782 | | | Hancock Whitney Corp. | | | 139,156 | |
| | 2,408 | | | Hanmi Financial Corp. | | | 57,021 | |
| | 1,642 | | | HarborOne BanCorp, Inc. | | | 24,367 | |
| | 43 | | | Hawthorn Bancshares, Inc. | | | 1,111 | |
| | 1,853 | | | Heartland Financial USA, Inc. | | | 93,780 | |
| | 1,197 | | | Heritage Financial Corp. | | | 29,255 | |
| | 2,010 | | | Hertiage Commerce Corp. | | | 23,999 | |
| | 2,750 | | | Hilltop Holdings, Inc. | | | 96,635 | |
| | 4,922 | | | Home Bancshares, Inc. | | | 119,851 | |
| | 484 | | | Hometrust Bancshares, Inc. | | | 14,994 | |
| | 4,470 | | | Hope BanCorp, Inc. | | | 65,754 | |
| | 1,071 | | | Horizon Bancorp | | | 22,330 | |
| | 17,788 | | | Huntington Bancshares, Inc. | | | 274,291 | |
| | 1,236 | | | Independent Bank Corp. | | | 100,771 | |
| | 855 | | | Independent Bank Corp. | | | 20,409 | |
| | 1,169 | | | Independent Bank Group, Inc. | | | 84,343 | |
| | 1,836 | | | International Bancshares Corp. | | | 77,828 | |
| | 7,175 | | | Investors Bancorp, Inc. | | | 108,701 | |
| | 31,257 | | | JPMorgan Chase & Co. | | | 4,949,546 | |
| | 13,247 | | | KeyCorp | | | 306,403 | |
| | 1,465 | | | Lakeland Bancorp, Inc. | | | 27,820 | |
| | 582 | | | Lakeland Financial Corp. | | | 46,641 | |
| | 552 | | | Landmark Bancorp, Inc. | | | 15,732 | |
| | 712 | | | LCNB Corp. | | | 13,905 | |
| | 1,274 | | | Live Oak Bancshares, Inc. | | | 111,207 | |
| | 1,471 | | | M&T Bank Corp. | | | 225,916 | |
| | 2,571 | | | Macatawa Bank Corp. | | | 22,676 | |
| | 472 | | | Mercantile Bank Corp. | | | 16,534 | |
| | 241 | | | Midland States BanCorp, Inc. | | | 5,974 | |
| | 638 | | | MidWestone Financial Group, Inc. | | | 20,652 | |
| | 702 | | | National Bank Holdings Corp. | | | 30,846 | |
| | 514 | | | National Bankshares, Inc. | | | 18,638 | |
| | 1,264 | | | NBT Bancorp, Inc. | | | 48,689 | |
| | 373 | | | Nicolet Bankshares, Inc.* | | | 31,985 | |
| | 510 | | | Northrim Bancorp, Inc. | | | 22,165 | |
| | 511 | | | Norwood Financial Corp. | | | 13,281 | |
| | 2,292 | | | OFG Bancorp | | | 60,876 | |
| | 440 | | | Ohio Valley Banc Corp. | | | 12,782 | |
| | 4,797 | | | Old National Bancorp | | | 86,922 | |
| | 2,225 | | | Old Second Bancorp, Inc. | | | 28,013 | |
| | 550 | | | Origin Bancorp, Inc. | | | 23,606 | |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 638 | | | Orrstown Financial Services, Inc. | | $ | 16,078 | |
| | 2,518 | | | Pacific Premier Bancorp, Inc. | | | 100,796 | |
| | 2,447 | | | PacWest Bancorp | | | 110,531 | |
| | 467 | | | Park National Corp. | | | 64,124 | |
| | 1,165 | | | Peapack-Gladstone Financial Corp. | | | 41,241 | |
| | 546 | | | Penns Woods Bancorp, Inc. | | | 12,869 | |
| | 608 | | | Peoples Bancorp of NC | | | 16,775 | |
| | 1,117 | | | Peoples Bancorp, Inc. | | | 35,532 | |
| | 11,228 | | | People’s United Financial, Inc. | | | 200,083 | |
| | 1,752 | | | Pinnacle Financial Partners, Inc. | | | 167,316 | |
| | 3,044 | | | PNC Financial Services Group, Inc. (The) | | | 610,383 | |
| | 1,986 | | | Popular, Inc. | | | 162,931 | |
| | 432 | | | Preferred Bank Los Angeles | | | 31,013 | |
| | 707 | | | Primis Financial Corp. | | | 10,633 | |
| | 2,191 | | | Prosperity Bancshares, Inc. | | | 158,409 | |
| | 606 | | | QCR Holdings, Inc. | | | 33,936 | |
| | 487 | | | Rbb BanCorp | | | 12,759 | |
| | 13,669 | | | Regions Financial Corp. | | | 297,984 | |
| | 1,373 | | | Renasant Corp. | | | 52,105 | |
| | 917 | | | Republic Bancorp, Inc., Class A | | | 46,620 | |
| | 869 | | | S & T Bancorp, Inc. | | | 27,391 | |
| | 148 | | | Salisbury Bancorp, Inc. | | | 7,826 | |
| | 1,366 | | | Sandy Spring Bancorp, Inc. | | | 65,677 | |
| | 1,366 | | | Seacoast Banking Corp of Florida | | | 48,343 | |
| | 1,110 | | | ServisFirst Bancshares, Inc. | | | 94,283 | |
| | 1,113 | | | Shore Bancshares, Inc. | | | 23,206 | |
| | 1,028 | | | Sierra Bancorp | | | 27,910 | |
| | 784 | | | Signature Bank | | | 253,601 | |
| | 3,102 | | | Simmons First National Corp., Class A | | | 91,757 | |
| | 950 | | | Southside Bancshares, Inc. | | | 39,729 | |
| | 1,915 | | | SouthState Corp. | | | 153,411 | |
| | 5,238 | | | Sterling Bancorp | | | 135,088 | |
| | 527 | | | Stock Yards Bancorp, Inc. | | | 33,665 | |
| | 557 | | | Summit Financial Group, Inc. | | | 15,290 | |
| | 702 | | | SVB Financial Group* | | | 476,125 | |
| | 3,723 | | | Synovus Financial Corp. | | | 178,220 | |
| | 1,633 | | | Texas Capital Bancshares, Inc.* | | | 98,388 | |
| | 490 | | | Tompkins Financial Corp. | | | 40,954 | |
| | 2,209 | | | TowneBank | | | 69,782 | |
| | 820 | | | TriCo Bancshares | | | 35,227 | |
| | 959 | | | Tristate Capital Holdings, Inc.* | | | 29,019 | |
| | 1,001 | | | Triumph BanCorp, Inc.* | | | 119,199 | |
| | 9,462 | | | Truist Financial Corp. | | | 554,000 | |
| | 1,695 | | | Trustmark Corp. | | | 55,020 | |
| | 14,586 | | | U.S. Bancorp | | | 819,296 | |
| | 1,375 | | | UMB Financial Corp. | | | 145,901 | |
| | 6,312 | | | Umpqua Holdings Corp. | | | 121,443 | |
| | 3,681 | | | United Bankshares, Inc. | | | 133,547 | |
| | 1,942 | | | United Community Banks, Inc. | | | 69,795 | |
| | 1,190 | | | United Security Bancshares | | | 9,663 | |
| | 42 | | | Unity Bancorp, Inc. | | | 1,103 | |
| | 850 | | | Univest Financial Corp. | | | 25,432 | |
| | 12,068 | | | Valley National Bancorp | | | 165,935 | |
| | 501 | | | Washington Trust Bancorp | | | 28,241 | |
| | 2,517 | | | Webster Financial Corp. | | | 140,549 | |
| | 29,728 | | | Wells Fargo & Co. | | | 1,426,349 | |
| | 1,645 | | | WesBanco, Inc. | | | 57,559 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 1,062 | | | West Bancorp | | $ | 32,996 | |
| | 685 | | | Westamerica Bancorp | | | 39,545 | |
| | 2,129 | | | Western Alliance Bancorp | | | 229,187 | |
| | 1,524 | | | Wintrust Financial Corp. | | | 138,410 | |
| | 3,716 | | | Zions Bancorp | | | 234,703 | |
| | | | | | | | |
| | | | | | | 26,550,312 | |
| | | | | | | | |
| Beverages (1.3%): | | | |
| | 145 | | | Boston Beer Co., Inc. (The), Class A* | | | 73,240 | |
| | 1,105 | | | Brown-Forman Corp., Class A | | | 74,908 | |
| | 3,136 | | | Brown-Forman Corp., Class B | | | 228,489 | |
| | 374 | | | Celsius Holdings, Inc.* | | | 27,889 | |
| | 37,033 | | | Coca-Cola Co. (The) | | | 2,192,724 | |
| | 179 | | | Coca-Cola Consolidated, Inc. | | | 110,835 | |
| | 919 | | | Constellation Brands, Inc., Class C | | | 230,641 | |
| | 4,758 | | | Keurig Dr Pepper, Inc. | | | 175,380 | |
| | 615 | | | MGP Ingredients, Inc. | | | 52,269 | |
| | 3,243 | | | Molson Coors Brewing Co., Class B | | | 150,313 | |
| | 2,382 | | | Monster Beverage Corp.* | | | 228,767 | |
| | 1,621 | | | National Beverage Corp. | | | 73,480 | |
| | 15,698 | | | PepsiCo, Inc. | | | 2,726,900 | |
| | | | | | | | |
| | | | | | | 6,345,835 | |
| | | | | | | | |
| Biotechnology (2.3%): | | | |
| | 489 | | | 2Seventy Bio, Inc.* | | | 12,533 | |
| | 18,635 | | | AbbVie, Inc. | | | 2,523,179 | |
| | 2,144 | | | ACADIA Pharmaceuticals, Inc.* | | | 50,041 | |
| | 3,964 | | | Adverum Biotechnologies, Inc.* | | | 6,977 | |
| | 436 | | | Agios Pharmaceuticals, Inc.* | | | 14,331 | |
| | 7,184 | | | Akebia Therapeutics, Inc.* | | | 16,236 | |
| | 1,908 | | | Alector, Inc.* | | | 39,400 | |
| | 1,012 | | | Alkermes plc* | | | 23,539 | |
| | 2,313 | | | Allogene Therapeutics, Inc.* | | | 34,510 | |
| | 471 | | | Alnylam Pharmaceuticals, Inc.* | | | 79,872 | |
| | 6,716 | | | Amgen, Inc. | | | 1,510,899 | |
| | 955 | | | AnaptysBio, Inc.* | | | 33,186 | |
| | 990 | | | Arcus Biosciences, Inc.* | | | 40,065 | |
| | 984 | | | Arena Pharmaceuticals, Inc.* | | | 91,453 | |
| | 920 | | | Arrowhead Pharmaceuticals, Inc.* | | | 60,996 | |
| | 1,907 | | | Atara Biotherapeutics, Inc.* | | | 30,054 | |
| | 1,327 | | | Biogen, Inc.* | | | 318,374 | |
| | 535 | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | 73,728 | |
| | 2,087 | | | BioMarin Pharmaceutical, Inc.* | | | 184,386 | |
| | 1,469 | | | Bluebird Bio, Inc.* | | | 14,675 | |
| | 1,208 | | | Blueprint Medicines Corp.* | | | 129,389 | |
| | 723 | | | CareDx, Inc.* | | | 32,882 | |
| | 1,101 | | | Celldex Therapeutics, Inc.* | | | 42,543 | |
| | 718 | | | Concert Pharmaceuticals, Inc.* | | | 2,262 | |
| | 906 | | | CRISPR Therapeutics AG* | | | 68,657 | |
| | 1,534 | | | Denali Therapeutics, Inc.* | | | 68,416 | |
| | 233 | | | Eagle Pharmaceuticals, Inc.* | | | 11,864 | |
| | 1,370 | | | Editas Medicine, Inc.* | | | 36,374 | |
| | 1,656 | | | Emergent BioSolutions, Inc.* | | | 71,986 | |
| | 585 | | | Enanta Pharmaceuticals, Inc.* | | | 43,746 | |
| | 1,700 | | | Exact Sciences Corp.* | | | 132,311 | |
| | 6,966 | | | Exelixis, Inc.* | | | 127,338 | |
| | 567 | | | Fate Therapeutics, Inc.* | | | 33,175 | |
| | 522 | | | Fibrogen, Inc.* | | | 7,360 | |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 1,432 | | | G1 Therapeutics, Inc.*^ | | $ | 14,621 | |
| | 11,958 | | | Gilead Sciences, Inc. | | | 868,270 | |
| | 852 | | | Global Blood Therapeutics, Inc.* | | | 24,938 | |
| | 779 | | | Glycomimetics Industries* | | | 1,122 | |
| | 2,867 | | | Halozyme Therapeutics, Inc.* | | | 115,282 | |
| | 1,961 | | | Incyte Corp.* | | | 143,937 | |
| | 1,650 | | | Intellia Therapeutics, Inc.* | | | 195,096 | |
| | 1,964 | | | Ionis Pharmaceuticals, Inc.* | | | 59,765 | |
| | 2,315 | | | Iovance Biotherapeutics, Inc.* | | | 44,193 | |
| | 2,568 | | | Ironwood Pharmaceuticals, Inc.* | | | 29,943 | |
| | 275 | | | Karuna Therapeutics, Inc.* | | | 36,025 | |
| | 200 | | | Kodiak Sciences, Inc.* | | | 16,956 | |
| | 1,263 | | | Kura Oncology, Inc.* | | | 17,682 | |
| | 757 | | | Kymera Therapeutics, Inc.* | | | 48,062 | |
| | 340 | | | Ligand Pharmaceuticals, Inc.* | | | 52,516 | |
| | 1,449 | | | Macrogenics, Inc.* | | | 23,256 | |
| | 194 | | | Madrigal Pharmaceuticals, Inc.* | | | 16,440 | |
| | 710 | | | Mirati Therapeutics, Inc.* | | | 104,150 | |
| | 4,559 | | | Moderna, Inc.* | | | 1,157,895 | |
| | 2,351 | | | Myriad Genetics, Inc.* | | | 64,888 | |
| | 876 | | | Natera, Inc.* | | | 81,810 | |
| | 715 | | | Neurocrine Biosciences, Inc.* | | | 60,897 | |
| | 464 | | | Novavax, Inc.*^ | | | 66,384 | |
| | 10,235 | | | OPKO Health, Inc.* | | | 49,230 | |
| | 9,565 | | | PDL BioPharma, Inc. | | | 32,808 | |
| | 1,720 | | | Prothena Corp. plc* | | | 84,968 | |
| | 1,210 | | | Regeneron Pharmaceuticals, Inc.* | | | 764,139 | |
| | 895 | | | REGENXBIO, Inc.* | | | 29,267 | |
| | 440 | | | Repligen Corp.* | | | 116,530 | |
| | 1,053 | | | Rhythm Pharmaceuticals, Inc.* | | | 10,509 | |
| | 1,042 | | | Rocket Pharmaceuticals, Inc.* | | | 22,747 | |
| | 1,793 | | | Sage Therapeutics, Inc.* | | | 76,274 | |
| | 2,916 | | | Sangamo Therapeutics, Inc.* | | | 21,870 | |
| | 660 | | | Sarepta Therapeutics, Inc.* | | | 59,433 | |
| | 1,210 | | | Seagen, Inc.* | | | 187,066 | |
| | 2,126 | | | Spectrum Pharmaceuticals, Inc.* | | | 2,700 | |
| | 602 | | | SpringWorks Therapeutics, Inc.* | | | 37,312 | |
| | 874 | | | Travere Therapeutics, Inc.* | | | 27,129 | |
| | 1,104 | | | Ultragenyx Pharmaceutical, Inc.* | | | 92,835 | |
| | 882 | | | United Therapeutics Corp.* | | | 190,583 | |
| | 1,179 | | | Vanda Pharmaceuticals, Inc.* | | | 18,499 | |
| | 1,880 | | | Vertex Pharmaceuticals, Inc.* | | | 412,848 | |
| | 1,246 | | | Xencor, Inc.* | | | 49,990 | |
| | | | | | | | |
| | | | | | | 11,497,602 | |
| | | | | | | | |
| Building Products (1.0%): | | | |
| | 2,754 | | | A.O. Smith Corp. | | | 236,431 | |
| | 1,062 | | | AAON, Inc. | | | 84,355 | |
| | 1,812 | | | Advanced Drainage Systems, Inc. | | | 246,668 | |
| | 1,795 | | | Allegion plc | | | 237,730 | |
| | 515 | | | American Woodmark Corp.* | | | 33,578 | |
| | 1,085 | | | Apogee Enterprises, Inc. | | | 52,243 | |
| | 1,778 | | | Armstrong Flooring, Inc.* | | | 3,520 | |
| | 1,537 | | | Armstrong World Industries, Inc. | | | 178,476 | |
| | 3,106 | | | AZEK Co., Inc. (The)* | | | 143,621 | |
| | 4,473 | | | Builders FirstSource, Inc.* | | | 383,381 | |
| | 7,509 | | | Carrier Global Corp. | | | 407,288 | |
| | 3,362 | | | Cornerstone Building Brands, Inc.* | | | 58,633 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Building Products, continued | | | |
| | 547 | | | Csw Industrials, Inc. | | $ | 66,110 | |
| | 2,644 | | | Fortune Brands Home & Security, Inc. | | | 282,644 | |
| | 715 | | | Gibraltar Industries, Inc.* | | | 47,676 | |
| | 1,993 | | | Griffon Corp. | | | 56,761 | |
| | 1,209 | | | Insteel Industries, Inc. | | | 48,130 | |
| | 2,135 | | | Jeld-Wen Holding, Inc.* | | | 56,279 | |
| | 3,721 | | | Johnson Controls International plc | | | 302,555 | |
| | 617 | | | Lennox International, Inc. | | | 200,130 | |
| | 2,484 | | | Masco Corp. | | | 174,426 | |
| | 681 | | | Masonite International Corp.* | | | 80,324 | |
| | 2,995 | | | Owens Corning | | | 271,047 | |
| | 1,379 | | | PGT Innovations, Inc.* | | | 31,014 | |
| | 1,160 | | | Quanex Building Products Corp. | | | 28,745 | |
| | 3,728 | | | Resideo Technologies, Inc.* | | | 97,040 | |
| | 1,119 | | | Simpson Manufacturing Co., Inc. | | | 155,619 | |
| | 1,810 | | | Trane Technologies plc | | | 365,674 | |
| | 1,485 | | | Trex Co., Inc.* | | | 200,520 | |
| | 1,914 | | | UFP Industries, Inc. | | | 176,107 | |
| | 3,709 | | | Zurn Water Solutions Corp. | | | 135,008 | |
| | | | | | | | |
| | | | | | | 4,841,733 | |
| | | | | | | | |
| Capital Markets (3.0%): | | | |
| | 837 | | | Affiliated Managers Group, Inc. | | | 137,695 | |
| | 1,953 | | | Ameriprise Financial, Inc. | | | 589,142 | |
| | 3,221 | | | Apollo Asset Management, Inc. | | | 233,297 | |
| | 1,834 | | | Ares Management Corp., Class A | | | 149,049 | |
| | 1,585 | | | Artisan Partners Asset Management, Inc., Class A | | | 75,509 | |
| | 734 | | | B Riley Financial, Inc. | | | 65,223 | |
| | 6,009 | | | Bank of New York Mellon Corp. (The) | | | 349,003 | |
| | 9,837 | | | BGC Partners, Inc., Class A | | | 45,742 | |
| | 1,088 | | | BlackRock, Inc., Class A | | | 996,129 | |
| | 5,256 | | | Blackstone Group, Inc. (The), Class A | | | 680,074 | |
| | 2,377 | | | Blucora, Inc.* | | | 41,170 | |
| | 902 | | | Brightsphere Investment Group, Inc. | | | 23,091 | |
| | 1,257 | | | Cboe Global Markets, Inc. | | | 163,913 | |
| | 7,675 | | | Charles Schwab Corp. (The) | | | 645,468 | |
| | 1,955 | | | CME Group, Inc. | | | 446,639 | |
| | 1,396 | | | Cohen & Steers, Inc. | | | 129,144 | |
| | 190 | | | Diamond Hill Investment Group | | | 36,904 | |
| | 1,791 | | | Donnelley Financial Solutions, Inc.* | | | 84,428 | |
| | 566 | | | FactSet Research Systems, Inc. | | | 275,082 | |
| | 3,404 | | | Federated Hermes, Inc., Class B | | | 127,922 | |
| | 5,820 | | | Franklin Resources, Inc. | | | 194,912 | |
| | 388 | | | GAMCO Investors, Inc., Class A | | | 9,692 | |
| | 3,428 | | | Goldman Sachs Group, Inc. (The) | | | 1,311,381 | |
| | 255 | | | Greenhill & Co., Inc. | | | 4,572 | |
| | 569 | | | Hamilton Lane, Inc. | | | 58,960 | |
| | 211 | | | Hennessy Advisors, Inc. | | | 2,292 | |
| | 1,585 | | | Houlihan Lokey, Inc. | | | 164,079 | |
| | 693 | | | Interactive Brokers Group, Inc., Class A | | | 55,038 | |
| | 3,163 | | | Intercontinental Exchange, Inc. | | | 432,604 | |
| | 9,972 | | | Invesco, Ltd. | | | 229,555 | |
| | 4,134 | | | Janus Henderson Group plc | | | 173,380 | |
| | 4,821 | | | KKR & Co., Inc., Class A | | | 359,165 | |
| | 2,997 | | | Lazard, Ltd., Class A | | | 130,759 | |
| | 1,927 | | | LPL Financial Holdings, Inc. | | | 308,493 | |
| | 337 | | | MarketAxess Holdings, Inc. | | | 138,598 | |
| | 1,075 | | | Moelis & Co., Class A | | | 67,198 | |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 1,496 | | | Moody’s Corp. | | $ | 584,308 | |
| | 13,808 | | | Morgan Stanley | | | 1,355,393 | |
| | 806 | | | Morningstar, Inc. | | | 275,644 | |
| | 583 | | | MSCI, Inc., Class A | | | 357,198 | |
| | 2,070 | | | Nasdaq, Inc. | | | 434,721 | |
| | 2,692 | | | Northern Trust Corp. | | | 321,990 | |
| | 365 | | | Oppenheimer Holdings, Class A | | | 16,925 | |
| | 613 | | | Piper Jaffray Cos., Inc. | | | 109,427 | |
| | 394 | | | PJT Partners, Inc. | | | 29,191 | |
| | 1,113 | | | Pzena Investment Management, Inc. | | | 10,540 | |
| | 2,866 | | | Raymond James Financial, Inc. | | | 287,746 | |
| | 2,231 | | | S&P Global, Inc. | | | 1,052,876 | |
| | 3,335 | | | SEI Investments Co. | | | 203,235 | |
| | 660 | | | Silvercrest Asset Management Group, Inc., Class A | | | 11,332 | |
| | 4,353 | | | State Street Corp. | | | 404,829 | |
| | 2,748 | | | Stifel Financial Corp. | | | 193,514 | |
| | 597 | | | StoneX Group, Inc.* | | | 36,566 | |
| | 2,023 | | | T. Rowe Price Group, Inc. | | | 397,803 | |
| | 800 | | | Tradeweb Markets, Inc., Class A | | | 80,112 | |
| | 1,429 | | | Virtu Financial, Inc., Class A | | | 41,198 | |
| | 154 | | | Virtus Investment Partners, Inc. | | | 45,753 | |
| | 425 | | | Westwood Holdings, Inc. | | | 7,200 | |
| | 3,476 | | | WisdomTree Investments, Inc. | | | 21,273 | |
| | | | | | | | |
| | | | | | | 15,214,076 | |
| | | | | | | | |
| Chemicals (2.4%): | | | |
| | 1,846 | | | AdvanSix, Inc. | | | 87,224 | |
| | 1,737 | | | Air Products & Chemicals, Inc. | | | 528,500 | |
| | 1,313 | | | Albemarle Corp. | | | 306,940 | |
| | 1,157 | | | American Vanguard Corp. | | | 18,963 | |
| | 1,489 | | | Ashland Global Holdings, Inc. | | | 160,306 | |
| | 2,333 | | | Avient Corp. | | | 130,531 | |
| | 7,753 | | | Axalta Coating Systems, Ltd.* | | | 256,779 | |
| | 838 | | | Balchem Corp. | | | 141,287 | |
| | 1,642 | | | Cabot Corp. | | | 92,280 | |
| | 2,236 | | | Celanese Corp. | | | 375,782 | |
| | 3,882 | | | CF Industries Holdings, Inc. | | | 274,768 | |
| | 328 | | | Chase Corp. | | | 32,656 | |
| | 4,033 | | | Chemours Co. (The) | | | 135,347 | |
| | 578 | | | Core Molding Technologies, Inc.* | | | 4,919 | |
| | 8,592 | | | Corteva, Inc. | | | 406,230 | |
| | 17,492 | | | Dow, Inc. | | | 992,146 | |
| | 5,587 | | | DuPont de Nemours, Inc. | | | 451,318 | |
| | 1,908 | | | Eastman Chemical Co. | | | 230,696 | |
| | 2,031 | | | Ecolab, Inc. | | | 476,452 | |
| | 1,630 | | | Ecovyst, Inc. | | | 16,691 | |
| | 7,787 | | | Element Solutions, Inc. | | | 189,068 | |
| | 1,912 | | | Ferro Corp.* | | | 41,739 | |
| | 2,273 | | | FMC Corp. | | | 249,780 | |
| | 3,222 | | | Futurefuel Corp. | | | 24,616 | |
| | 1,709 | | | GCP Applied Technologies, Inc.* | | | 54,107 | |
| | 1,438 | | | H.B. Fuller Co. | | | 116,478 | |
| | 5,566 | | | Huntsman Corp. | | | 194,142 | |
| | 962 | | | Ingevity Corp.* | | | 68,975 | |
| | 571 | | | Innospec, Inc. | | | 51,584 | |
| | 2,916 | | | International Flavors & Fragrances, Inc. | | | 439,295 | |
| | 1,498 | | | Intrepid Potash, Inc.* | | | 64,010 | |
| | 783 | | | Koppers Holdings, Inc.* | | | 24,508 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 646 | | | Kraton Corp.* | | $ | 29,923 | |
| | 2,011 | | | Kronos Worldwide, Inc. | | | 30,185 | |
| | 3,813 | | | Linde plc | | | 1,320,938 | |
| | 2,160 | | | Livent Corp.* | | | 52,661 | |
| | 1,603 | | | LSB Industries, Inc.* | | | 17,713 | |
| | 9,096 | | | LyondellBasell Industries NV, Class A | | | 838,924 | |
| | 971 | | | Minerals Technologies, Inc. | | | 71,029 | |
| | 7,687 | | | Mosaic Co. (The) | | | 302,022 | |
| | 301 | | | NewMarket Corp. | | | 103,159 | |
| | 4,819 | | | Olin Corp. | | | 277,189 | |
| | 2,364 | | | Orion Engineered Carbons SA* | | | 43,403 | |
| | 3,040 | | | PPG Industries, Inc. | | | 524,218 | |
| | 3,631 | | | Rayonier Advanced Materials, Inc.* | | | 20,733 | |
| | 2,581 | | | RPM International, Inc. | | | 260,681 | |
| | 1,131 | | | Scotts Miracle-Gro Co. (The) | | | 182,091 | |
| | 1,042 | | | Sensient Technologies Corp. | | | 104,263 | |
| | 2,297 | | | Sherwin Williams Co. | | | 808,912 | |
| | 569 | | | Stepan Co. | | | 70,721 | |
| | 1,627 | | | Trecora Resources* | | | 13,146 | |
| | 1,070 | | | Tredegar Corp. | | | 12,647 | |
| | 1,279 | | | Trinseo PLC* | | | 67,096 | |
| | 4,906 | | | Tronox Holdings plc, Class A | | | 117,891 | |
| | 2,580 | | | Valvoline, Inc. | | | 96,208 | |
| | 4,276 | | | Venator Materials plc* | | | 10,861 | |
| | 2,150 | | | Westlake Chemical Corp. | | | 208,830 | |
| | | | | | | | |
| | | | | | | 12,223,561 | |
| | | | | | | | |
| Commercial Services & Supplies (0.9%): | | | |
| | 1,913 | | | ABM Industries, Inc. | | | 78,146 | |
| | 2,927 | | | ACCO Brands Corp. | | | 24,177 | |
| | 11,570 | | | ADT, Inc. | | | 97,304 | |
| | 1,067 | | | Brady Corp., Class A | | | 57,511 | |
| | 844 | | | Brink’s Co. (The) | | | 55,341 | |
| | 1,028 | | | Casella Waste Systems, Inc.* | | | 87,812 | |
| | 2,003 | | | CECO Environmental Corp.* | | | 12,479 | |
| | 518 | | | Cimpress plc* | | | 37,094 | |
| | 843 | | | Cintas Corp. | | | 373,592 | |
| | 433 | | | Civeo Corp.* | | | 8,301 | |
| | 1,794 | | | Clean Harbors, Inc.* | | | 178,987 | |
| | 3,043 | | | Copart, Inc.* | | | 461,380 | |
| | 859 | | | Deluxe Corp. | | | 27,582 | |
| | 1,613 | | | Ennis, Inc. | | | 31,502 | |
| | 2,148 | | | Healthcare Services Group, Inc. | | | 38,213 | |
| | 1,042 | | | Heritage-Crystal Clean, Inc.* | | | 33,365 | |
| | 1,467 | | | HNI Corp. | | | 61,687 | |
| | 2,623 | | | IAA, Inc.* | | | 132,776 | |
| | 2,041 | | | Interface, Inc. | | | 32,554 | |
| | 5,118 | | | KAR Auction Services, Inc.* | | | 79,943 | |
| | 2,829 | | | Kimball International, Inc., Class B | | | 28,941 | |
| | 919 | | | Matthews International Corp., Class A | | | 33,700 | |
| | 730 | | | McGrath Rentcorp | | | 58,590 | |
| | 1,866 | | | MillerKnoll, Inc. | | | 73,128 | |
| | 763 | | | MSA Safety, Inc. | | | 115,182 | |
| | 1,552 | | | NL Industries, Inc. | | | 11,485 | |
| | 4,238 | | | Pitney Bowes, Inc. | | | 28,098 | |
| | 2,606 | | | Quad Graphics, Inc.* | | | 10,424 | |
| | 4,992 | | | Republic Services, Inc., Class A | | | 696,134 | |
| | 5,020 | | | Rollins, Inc. | | | 171,734 | |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies, continued | | | |
| | 2,114 | | | RR Donnelley & Sons Co.* | | $ | 23,804 | |
| | 503 | | | SP Plus Corp.* | | | 14,195 | |
| | 2,563 | | | Steelcase, Inc., Class A | | | 30,038 | |
| | 2,286 | | | Stericycle, Inc.* | | | 136,337 | |
| | 1,534 | | | Team, Inc.* | | | 1,672 | |
| | 1,039 | | | Tetra Tech, Inc. | | | 176,422 | |
| | 542 | | | UniFirst Corp. | | | 114,037 | |
| | 1,141 | | | US Ecology, Inc.* | | | 36,444 | |
| | 1,003 | | | Viad Corp.* | | | 42,918 | |
| | 1,763 | | | Vidler Water Resouces, Inc.* | | | 21,297 | |
| | 824 | | | Vse Corp. | | | 50,215 | |
| | 5,622 | | | Waste Management, Inc. | | | 938,312 | |
| | | | | | | | |
| | | | | | | 4,722,853 | |
| | | | | | | | |
| Communications Equipment (0.9%): | | | |
| | 1,069 | | | ADTRAN, Inc. | | | 24,405 | |
| | 752 | | | Applied Optoelectronics, Inc.* | | | 3,865 | |
| | 2,864 | | | Arista Networks, Inc.* | | | 411,700 | |
| | 1,829 | | | CalAmp Corp.* | | | 12,913 | |
| | 644 | | | Calix, Inc.* | | | 51,501 | |
| | 2,888 | | | Ciena Corp.* | | | 222,289 | |
| | 38,576 | | | Cisco Systems, Inc. | | | 2,444,561 | |
| | 6,102 | | | CommScope Holding Co., Inc.* | | | 67,366 | |
| | 316 | | | Communications Systems, Inc. | | | 758 | |
| | 756 | | | Comtech Telecommunications Corp. | | | 17,910 | |
| | 1,262 | | | Digi International, Inc.* | | | 31,007 | |
| | 1,548 | | | EchoStar Corp., Class A* | | | 40,790 | |
| | 1,189 | | | EMCORE Corp.* | | | 8,299 | |
| | 868 | | | F5, Inc.* | | | 212,408 | |
| | 2,194 | | | Harmonic, Inc.* | | | 25,802 | |
| | 2,944 | | | Infinera Corp.* | | | 28,233 | |
| | 441 | | | InterDigital, Inc. | | | 31,589 | |
| | 5,828 | | | Juniper Networks, Inc. | | | 208,118 | |
| | 909 | | | KVH Industries, Inc.* | | | 8,354 | |
| | 1,533 | | | Lumentum Holdings, Inc.* | | | 162,145 | |
| | 1,630 | | | Motorola Solutions, Inc. | | | 442,871 | |
| | 1,010 | | | NETGEAR, Inc.* | | | 29,502 | |
| | 1,838 | | | NetScout Systems, Inc.* | | | 60,801 | |
| | 3,679 | | | Ribbon Communications, Inc.* | | | 22,258 | |
| | 181 | | | Ubiquiti, Inc. | | | 55,513 | |
| | 2,004 | | | ViaSat, Inc.* | | | 89,258 | |
| | 4,098 | | | Viavi Solutions, Inc.* | | | 72,207 | |
| | | | | | | | |
| | | | | | | 4,786,423 | |
| | | | | | | | |
| Construction & Engineering (0.4%): | | | |
| | 3,257 | | | AECOM* | | | 251,929 | |
| | 673 | | | Ameresco, Inc., Class A* | | | 54,809 | |
| | 1,062 | | | Arcosa, Inc. | | | 55,967 | |
| | 455 | | | Argan, Inc. | | | 17,604 | |
| | 1,049 | | | Comfort Systems USA, Inc. | | | 103,788 | |
| | 1,213 | | | Construction Partners, Inc., Class A* | | | 35,674 | |
| | 710 | | | Dycom Industries, Inc.* | | | 66,570 | |
| | 1,291 | | | EMCOR Group, Inc. | | | 164,460 | |
| | 2,848 | | | Fluor Corp.* | | | 70,545 | |
| | 1,277 | | | Granite Construction, Inc. | | | 49,420 | |
| | 2,266 | | | Great Lakes Dredge & Dock Co.* | | | 35,621 | |
| | 656 | | | IES Holdings, Inc.* | | | 33,220 | |
| | 1,326 | | | Jacobs Engineering Group, Inc. | | | 184,619 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering, continued | | | |
| | 2,313 | | | MasTec, Inc.* | | $ | 213,444 | |
| | 1,750 | | | Matrix Service Co.* | | | 13,160 | |
| | 487 | | | MYR Group, Inc.* | | | 53,838 | |
| | 346 | | | NV5 Global, Inc.* | | | 47,789 | |
| | 2,101 | | | Orion Group Holdings, Inc.* | | | 7,921 | |
| | 2,465 | | | Primoris Services Corp. | | | 59,111 | |
| | 1,798 | | | Quanta Services, Inc. | | | 206,159 | |
| | 1,648 | | | Tutor Perini Corp.* | | | 20,386 | |
| | 568 | | | Valmont Industries, Inc. | | | 142,284 | |
| | 4,673 | | | WillScot Mobile Mini Holdings Corp.* | | | 190,845 | |
| | | | | | | | |
| | | | | | | 2,079,163 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 961 | | | Eagle Materials, Inc., Class A | | | 159,968 | |
| | 754 | | | Martin Marietta Materials, Inc. | | | 332,152 | |
| | 3,273 | | | Summit Materials, Inc., Class A* | | | 131,378 | |
| | 131 | | | U.S. Lime & Minerals, Inc. | | | 16,902 | |
| | 1,485 | | | Vulcan Materials Co. | | | 308,256 | |
| | | | | | | | |
| | | | | | | 948,656 | |
| | | | | | | | |
| Consumer Finance (1.2%): | | | |
| | 6,825 | | | Ally Financial, Inc. | | | 324,938 | |
| | 7,809 | | | American Express Co. | | | 1,277,552 | |
| | 6,833 | | | Capital One Financial Corp. | | | 991,400 | |
| | 1,912 | | | Consumer Portfolio Services, Inc.* | | | 22,657 | |
| | 490 | | | Credit Acceptance Corp.* | | | 336,963 | |
| | 6,539 | | | Discover Financial Services | | | 755,647 | |
| | 950 | | | Encore Capital Group, Inc.* | | | 59,004 | |
| | 1,657 | | | Enova International, Inc.* | | | 67,871 | |
| | 3,948 | | | EZCORP, Inc., Class A* | | | 29,097 | |
| | 1,170 | | | FirstCash Holdings, Inc. | | | 87,528 | |
| | 1,425 | | | Green Dot Corp., Class A* | | | 51,642 | |
| | 5,431 | | | LendingClub Corp.* | | | 131,322 | |
| | 5,938 | | | Navient Corp. | | | 126,004 | |
| | 543 | | | Nelnet, Inc., Class A | | | 53,040 | |
| | 750 | | | Nicholas Financial, Inc.* | | | 8,843 | |
| | 4,313 | | | OneMain Holdings, Inc. | | | 215,823 | |
| | 1,392 | | | PRA Group, Inc.* | | | 69,892 | |
| | 2,187 | | | PROG Holdings, Inc.* | | | 98,656 | |
| | 568 | | | Regional Mgmt Corp. | | | 32,637 | |
| | 7,521 | | | Santander Consumer USA Holdings, Inc. | | | 316,032 | |
| | 10,574 | | | SLM Corp. | | | 207,991 | |
| | 12,153 | | | Synchrony Financial | | | 563,778 | |
| | 237 | | | World Acceptance Corp.* | | | 58,167 | |
| | | | | | | | |
| | | | | | | 5,886,484 | |
| | | | | | | | |
| Containers & Packaging (0.7%): | | | |
| | 21,700 | | | Amcor plc | | | 260,617 | |
| | 1,523 | | | AptarGroup, Inc. | | | 186,537 | |
| | 1,735 | | | Avery Dennison Corp. | | | 375,749 | |
| | 3,835 | | | Ball Corp. | | | 369,195 | |
| | 4,390 | | | Berry Global Group, Inc.* | | | 323,894 | |
| | 3,087 | | | Crown Holdings, Inc. | | | 341,484 | |
| | 11,400 | | | Graphic Packaging Holding Co. | | | 222,300 | |
| | 930 | | | Greif, Inc., Class A | | | 56,144 | |
| | 710 | | | Greif, Inc., Class B | | | 42,444 | |
| | 5,221 | | | International Paper Co. | | | 245,283 | |
| | 1,253 | | | Myers Industries, Inc. | | | 25,072 | |
| | 5,063 | | | O-I Glass, Inc.* | | | 60,908 | |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Containers & Packaging, continued | | | |
| | 1,879 | | | Packaging Corp. of America | | $ | 255,826 | |
| | 2,082 | | | Sealed Air Corp. | | | 140,473 | |
| | 3,830 | | | Silgan Holdings, Inc. | | | 164,077 | |
| | 2,780 | | | Sonoco Products Co. | | | 160,934 | |
| | 538 | | | UFP Technologies, Inc.* | | | 37,800 | |
| | 5,344 | | | Westrock Co. | | | 237,060 | |
| | | | | | | | |
| | | | | | | 3,505,797 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 1,267 | | | Funko, Inc., Class A* | | | 23,820 | |
| | 1,853 | | | Genuine Parts Co. | | | 259,790 | |
| | 3,391 | | | LKQ Corp. | | | 203,562 | |
| | 472 | | | Pool Corp. | | | 267,152 | |
| | 811 | | | Weyco Group, Inc. | | | 19,415 | |
| | | | | | | | |
| | | | | | | 773,739 | |
| | | | | | | | |
| Diversified Consumer Services (0.3%): | | | |
| | 1,249 | | | Adtalem Global Education, Inc.* | | | 36,921 | |
| | 541 | | | American Public Education, Inc.* | | | 12,037 | |
| | 1,282 | | | Bright Horizons Family Solutions, Inc.* | | | 161,378 | |
| | 418 | | | Carriage Services, Inc. | | | 26,936 | |
| | 1,372 | | | Chegg, Inc.* | | | 42,120 | |
| | 1,826 | | | Frontdoor, Inc.* | | | 66,923 | |
| | 112 | | | Graham Holdings Co., Class B | | | 70,541 | |
| | 1,296 | | | Grand Canyon Education, Inc.* | | | 111,080 | |
| | 3,465 | | | H&R Block, Inc. | | | 81,635 | |
| | 8,803 | | | Houghton Mifflin Harcourt Co.* | | | 141,728 | |
| | 3,406 | | | Laureate Education, Inc. | | | 41,689 | |
| | 2,522 | | | Perdoceo Education Corp.* | | | 29,659 | |
| | 1,309 | | | Regis Corp.* | | | 2,278 | |
| | 3,783 | | | Service Corp. International | | | 268,555 | |
| | 825 | | | Strategic Education, Inc. | | | 47,718 | |
| | 1,002 | | | Stride, Inc.* | | | 33,397 | |
| | 3,452 | | | Terminix Global Holdings, Inc.* | | | 156,134 | |
| | 1,696 | | | Universal Technical Institute, Inc.* | | | 13,263 | |
| | 1,419 | | | WW International, Inc.* | | | 22,889 | |
| | | | | | | | |
| | | | | | | 1,366,881 | |
| | | | | | | | |
| Diversified Financial Services (1.0%): | | | |
| | 13,725 | | | Berkshire Hathaway, Inc., Class B* | | | 4,103,775 | |
| | 2,704 | | | Cannae Holdings, Inc.* | | | 95,046 | |
| | 9,685 | | | Equitable Holdings, Inc. | | | 317,571 | |
| | 5,286 | | | Jefferies Financial Group, Inc. | | | 205,097 | |
| | 827 | | | Marlin Business Services, Inc. | | | 19,252 | |
| | 2,777 | | | Voya Financial, Inc. | | | 184,143 | |
| | | | | | | | |
| | | | | | | 4,924,884 | |
| | | | | | | | |
| Diversified Telecommunication (0.0%†): | | | |
| | 143 | | | Telesat Corp.* | | | 4,100 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.1%): | | | |
| | 398 | | | Anterix, Inc.* | | | 23,386 | |
| | 75,599 | | | AT&T, Inc. | | | 1,859,735 | |
| | 461 | | | ATN International, Inc. | | | 18,417 | |
| | 857 | | | Cogent Communications Holdings, Inc. | | | 62,715 | |
| | 4,558 | | | Consolidated Communications Holdings, Inc.* | | | 34,094 | |
| | 1,080 | | | IDT Corp.* | | | 47,693 | |
| | 3,009 | | | Iridium Communications, Inc.* | | | 124,242 | |
| | 26,553 | | | Lumen Technologies, Inc. | | | 333,240 | |
| | 63,605 | | | Verizon Communications, Inc. | | | 3,304,916 | |
| | | | | | | | |
| | | | | | | 5,808,438 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities (1.2%): | | | |
| | 925 | | | ALLETE, Inc. | | $ | 61,374 | |
| | 2,285 | | | Alliant Energy Corp. | | | 140,459 | |
| | 4,294 | | | American Electric Power Co., Inc. | | | 382,037 | |
| | 1,163 | | | Avangrid, Inc. | | | 58,010 | |
| | 5,521 | | | Duke Energy Corp. | | | 579,153 | |
| | 3,306 | | | Edison International | | | 225,634 | |
| | 2,041 | | | Entergy Corp. | | | 229,919 | |
| | 2,102 | | | Evergy, Inc. | | | 144,218 | |
| | 3,330 | | | Eversource Energy | | | 302,963 | |
| | 7,030 | | | Exelon Corp. | | | 406,053 | |
| | 5,033 | | | FirstEnergy Corp. | | | 209,322 | |
| | 1,272 | | | Genie Energy, Ltd., Class B* | | | 7,085 | |
| | 2,581 | | | Hawaiian Electric Industries, Inc. | | | 107,111 | |
| | 1,176 | | | IDACORP, Inc. | | | 133,253 | |
| | 734 | | | MGE Energy, Inc. | | | 60,372 | |
| | 13,851 | | | NextEra Energy, Inc. | | | 1,293,129 | |
| | 3,897 | | | OGE Energy Corp. | | | 149,567 | |
| | 737 | | | Otter Tail Corp. | | | 52,637 | |
| | 16,446 | | | PG&E Corp.* | | | 199,654 | |
| | 1,787 | | | Pinnacle West Capital Corp. | | | 126,144 | |
| | 2,755 | | | PNM Resources, Inc. | | | 125,656 | |
| | 2,036 | | | Portland General Electric Co. | | | 107,745 | |
| | 7,492 | | | PPL Corp. | | | 225,210 | |
| | 7,460 | | | Southern Co. (The) | | | 511,607 | |
| | 5,193 | | | Xcel Energy, Inc. | | | 351,566 | |
| | | | | | | | |
| | | | | | | 6,189,878 | |
| | | | | | | | |
| Electrical Equipment (0.8%): | | | |
| | 888 | | | Acuity Brands, Inc. | | | 188,007 | |
| | 424 | | | Allied Motion Technologies, Inc. | | | 15,472 | |
| | 2,727 | | | AMETEK, Inc. | | | 400,978 | |
| | 1,155 | | | Atkore, Inc.* | | | 128,425 | |
| | 394 | | | AZZ, Inc. | | | 21,784 | |
| | 2,912 | | | Eaton Corp. plc | | | 503,252 | |
| | 5,507 | | | Emerson Electric Co. | | | 511,986 | |
| | 823 | | | Encore Wire Corp. | | | 117,771 | |
| | 1,180 | | | EnerSys | | | 93,291 | |
| | 736 | | | Generac Holdings, Inc.* | | | 259,013 | |
| | 5,506 | | | GrafTech International, Ltd. | | | 65,136 | |
| | 1,280 | | | Hubbell, Inc. | | | 266,586 | |
| | 1,831 | | | LSI Industries, Inc. | | | 12,561 | |
| | 3,947 | | | nVent Electric plc | | | 149,986 | |
| | 5,002 | | | Plug Power, Inc.* | | | 141,207 | |
| | 606 | | | Powell Industries, Inc. | | | 17,871 | |
| | 400 | | | Preformed Line Products Co. | | | 25,880 | |
| | 1,374 | | | Regal-Beloit Corp. | | | 233,827 | |
| | 1,364 | | | Rockwell Automation, Inc. | | | 475,831 | |
| | 3,842 | | | Sensata Technologies Holding plc* | | | 237,013 | |
| | 4,144 | | | Sunrun, Inc.* | | | 142,139 | |
| | 1,298 | | | Thermon Group Holdings, Inc.* | | | 21,975 | |
| | 742 | | | Tpi Composites, Inc.* | | | 11,100 | |
| | 348 | | | Vicor Corp.* | | | 44,189 | |
| | | | | | | | |
| | | | | | | 4,085,280 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.3%): | | | |
| | 4,881 | | | Amphenol Corp., Class A | | | 426,892 | |
| | 2,582 | | | Arlo Technologies, Inc.* | | | 27,085 | |
| | 1,826 | | | Arrow Electronics, Inc.* | | | 245,177 | |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 2,249 | | | Avnet, Inc. | | $ | 92,726 | |
| | 724 | | | Badger Meter, Inc. | | | 77,150 | |
| | 550 | | | Bel Fuse, Inc., Class B | | | 7,112 | |
| | 1,417 | | | Belden, Inc. | | | 93,140 | |
| | 1,054 | | | Benchmark Electronics, Inc. | | | 28,563 | |
| | 1,649 | | | CDW Corp. | | | 337,682 | |
| | 2,100 | | | Cognex Corp. | | | 163,296 | |
| | 687 | | | Coherent, Inc.* | | | 183,113 | |
| | 11,578 | | | Corning, Inc. | | | 431,049 | |
| | 1,576 | | | CTS Corp. | | | 57,871 | |
| | 2,838 | | | Daktronics, Inc.* | | | 14,332 | |
| | 1,561 | | | Dolby Laboratories, Inc., Class A | | | 148,639 | |
| | 784 | | | ePlus, Inc.* | | | 42,242 | |
| | 839 | | | Fabrinet* | | | 99,396 | |
| | 392 | | | FARO Technologies, Inc.* | | | 27,448 | |
| | 15,072 | | | Flex, Ltd.* | | | 276,270 | |
| | 640 | | | Frequency Electronics, Inc.* | | | 6,310 | |
| | 1,346 | | | II-VI, Inc.* | | | 91,972 | |
| | 1,048 | | | Insight Enterprises, Inc.* | | | 111,717 | |
| | 959 | | | IPG Photonics Corp.* | | | 165,082 | |
| | 1,060 | | | Itron, Inc.* | | | 72,631 | |
| | 4,868 | | | Jabil, Inc. | | | 342,464 | |
| | 2,563 | | | Keysight Technologies, Inc.* | | | 529,285 | |
| | 1,603 | | | Kimball Electronics, Inc.* | | | 34,881 | |
| | 2,737 | | | Knowles Corp.* | | | 63,909 | |
| | 546 | | | Littlelfuse, Inc. | | | 171,815 | |
| | 790 | | | Methode Electronics, Inc., Class A | | | 38,844 | |
| | 2,559 | | | National Instruments Corp. | | | 111,752 | |
| | 702 | | | Novanta, Inc.* | | | 123,784 | |
| | 594 | | | OSI Systems, Inc.* | | | 55,361 | |
| | 621 | | | PC Connection, Inc. | | | 26,784 | |
| | 800 | | | Plexus Corp.* | | | 76,712 | |
| | 438 | | | Rogers Corp.* | | | 119,574 | |
| | 1,757 | | | Sanmina Corp.* | | | 72,845 | |
| | 738 | | | ScanSource, Inc.* | | | 25,889 | |
| | 1,795 | | | SYNNEX Corp. | | | 205,276 | |
| | 2,600 | | | TE Connectivity, Ltd. | | | 419,484 | |
| | 542 | | | Teledyne Technologies, Inc.* | | | 236,794 | |
| | 2,694 | | | Trimble, Inc.* | | | 234,890 | |
| | 3,068 | | | TTM Technologies, Inc.* | | | 45,713 | |
| | 3,363 | | | Vishay Intertechnology, Inc. | | | 73,549 | |
| | 2,080 | | | Vontier Corp. | | | 63,918 | |
| | 630 | | | Zebra Technologies Corp., Class A* | | | 374,976 | |
| | | | | | | | |
| | | | | | | 6,675,394 | |
| | | | | | | | |
| Energy Equipment & Services (0.4%): | | | |
| | 4,779 | | | Archrock, Inc. | | | 35,747 | |
| | 10,629 | | | Baker Hughes Co. | | | 255,734 | |
| | 519 | | | Bristow Group, Inc.* | | | 16,437 | |
| | 5,397 | | | ChampionX Corp.* | | | 109,073 | |
| | 711 | | | Core Laboratories NV | | | 15,862 | |
| | 562 | | | DMC Global, Inc.* | | | 22,261 | |
| | 1,028 | | | Dril-Quip, Inc.* | | | 20,231 | |
| | 2,010 | | | Exterran Corp.* | | | 5,990 | |
| | 306 | | | Forum Energy Technologies, Inc.* | | | 4,911 | |
| | 1,095 | | | Frank’s International NV* | | | 15,713 | |
| | 760 | | | Geospace Technologies Corp.* | | | 5,107 | |
| | 1,086 | | | Gulf Island Fabrication, Inc.* | | | 4,355 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services, continued | | | |
| | 11,703 | | | Halliburton Co. | | $ | 267,648 | |
| | 4,336 | | | Helix Energy Solutions Group, Inc.* | | | 13,528 | |
| | 2,727 | | | Helmerich & Payne, Inc. | | | 64,630 | |
| | 2,181 | | | Liberty Oilfield Services, Inc., Class A* | | | 21,156 | |
| | 1,436 | | | Mammoth Energy Services, Inc.* | | | 2,614 | |
| | 359 | | | Nabors Industries, Ltd.* | | | 29,111 | |
| | 935 | | | Natural Gas Services Group* | | | 9,790 | |
| | 4,799 | | | Newpark Resources, Inc.* | | | 14,109 | |
| | 8,513 | | | NexTier Oilfield Solutions, Inc.* | | | 30,221 | |
| | 8,395 | | | NOV, Inc. | | | 113,752 | |
| | 4,818 | | | Oceaneering International, Inc.* | | | 54,492 | |
| | 3,066 | | | Oil States International, Inc.* | | | 15,238 | |
| | 6,531 | | | Patterson-UTI Energy, Inc. | | | 55,187 | |
| | 2,684 | | | Propetro Holding Corp.* | | | 21,740 | |
| | 4,475 | | | RPC, Inc.* | | | 20,317 | |
| | 15,357 | | | Schlumberger, Ltd. | | | 459,942 | |
| | 493 | | | SEACOR Marine Holdings, Inc.* | | | 1,676 | |
| | 3,974 | | | Select Energy Services, Inc.* | | | 24,758 | |
| | 13,590 | | | TechnipFMC plc | | | 80,453 | |
| | 4,086 | | | TETRA Technologies, Inc.* | | | 11,604 | |
| | 2,510 | | | Tidewater, Inc.* | | | 26,882 | |
| | 14,584 | | | Transocean, Ltd.*^ | | | 40,252 | |
| | 4,546 | | | U.S. Silica Holdings, Inc.* | | | 42,732 | |
| | | | | | | | |
| | | | | | | 1,933,253 | |
| | | | | | | | |
| Entertainment (1.1%): | | | |
| | 5,649 | | | Activision Blizzard, Inc. | | | 375,828 | |
| | 2,561 | | | Cinemark Holdings, Inc.*^ | | | 41,283 | |
| | 2,791 | | | Electronic Arts, Inc. | | | 368,133 | |
| | 1,045 | | | Imax Corp.* | | | 18,643 | |
| | 247 | | | Liberty Media Corp.-Liberty Braves, Class A* | | | 7,101 | |
| | 527 | | | Liberty Media Corp.-Liberty Braves, Class C* | | | 14,809 | |
| | 619 | | | Liberty Media Corp-Liberty Formula One, Class A* | | | 36,731 | |
| | 4,474 | | | Liberty Media Corp-Liberty Formula One, Class C* | | | 282,936 | |
| | 2,111 | | | Lions Gate Entertainment Corp., Class A* | | | 35,127 | |
| | 2,411 | | | Lions Gate Entertainment Corp., Class B* | | | 37,105 | |
| | 2,071 | | | Live Nation Entertainment, Inc.* | | | 247,878 | |
| | 894 | | | Madison Square Garden Entertainment Corp.* | | | 62,884 | |
| | 1,459 | | | Marcus Corp.* | | | 26,058 | |
| | 3,160 | | | Netflix, Inc.* | | | 1,903,710 | |
| | 1,419 | | | Reading International, Inc., Class A* | | | 5,733 | |
| | 598 | | | ROBLOX Corp.* | | | 61,690 | |
| | 454 | | | Roku, Inc.* | | | 103,603 | |
| | 532 | | | Spotify Technology SA* | | | 124,504 | |
| | 1,270 | | | Take-Two Interactive Software, Inc.* | | | 225,704 | |
| | 9,527 | | | Walt Disney Co. (The)* | | | 1,475,637 | |
| | 1,420 | | | Warner Music Group Corp. | | | 61,315 | |
| | 1,208 | | | World Wrestling Entertainment, Inc., Class A | | | 59,603 | |
| | 24,922 | | | Zynga, Inc.* | | | 159,501 | |
| | | | | | | | |
| | | | | | | 5,735,516 | |
| | | | | | | | |
| Food & Staples Retailing (1.4%): | | | |
| | 1,374 | | | Albertsons Cos., Inc., Class A | | | 41,481 | |
| | 3,262 | | | BJ’s Wholesale Club Holdings, Inc.* | | | 218,456 | |
| | 998 | | | Casey’s General Stores, Inc. | | | 196,955 | |
| | 3,697 | | | Costco Wholesale Corp. | | | 2,098,787 | |
| | 613 | | | Ingles Markets, Inc., Class A | | | 52,926 | |
| | 15,716 | | | Kroger Co. (The) | | | 711,306 | |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 1,720 | | | Natural Grocers by Vitamin Cottage, Inc. | | $ | 24,510 | |
| | 3,849 | | | Performance Food Group Co.* | | | 176,631 | |
| | 678 | | | PriceSmart, Inc. | | | 49,609 | |
| | 1,864 | | | Rite Aid Corp.* | | | 27,382 | |
| | 1,048 | | | SpartanNash Co. | | | 26,997 | |
| | 4,494 | | | Sprouts Farmers Market, Inc.* | | | 133,382 | |
| | 6,150 | | | Sysco Corp. | | | 483,083 | |
| | 1,610 | | | The Andersons, Inc. | | | 62,323 | |
| | 1,143 | | | The Chefs’ Warehouse, Inc.* | | | 38,062 | |
| | 1,907 | | | United Natural Foods, Inc.* | | | 93,596 | |
| | 5,735 | | | US Foods Holding Corp.* | | | 199,750 | |
| | 738 | | | Village Super Market, Inc., Class A | | | 17,262 | |
| | 10,238 | | | Walgreens Boots Alliance, Inc. | | | 534,014 | |
| | 13,622 | | | Walmart, Inc. | | | 1,970,967 | |
| | 857 | | | Weis Markets, Inc. | | | 56,459 | |
| | | | | | | | |
| | | | | | | 7,213,938 | |
| | | | | | | | |
| Food Products (1.4%): | | | |
| | 6,537 | | | Archer-Daniels-Midland Co. | | | 441,836 | |
| | 2,035 | | | B&G Foods, Inc.^ | | | 62,535 | |
| | 4,205 | | | Bunge, Ltd. | | | 392,579 | |
| | 270 | | | Calavo Growers, Inc. | | | 11,448 | |
| | 1,477 | | | Cal-Maine Foods, Inc. | | | 54,634 | |
| | 5,711 | | | Campbell Soup Co. | | | 248,200 | |
| | 5,882 | | | Conagra Brands, Inc. | | | 200,870 | |
| | 3,472 | | | Darling Ingredients, Inc.* | | | 240,575 | |
| | 1,004 | | | Farmer Brothers Co.* | | | 7,480 | |
| | 5,664 | | | Flowers Foods, Inc. | | | 155,590 | |
| | 1,375 | | | Fresh Del Monte Produce, Inc. | | | 37,950 | |
| | 640 | | | Freshpet, Inc.* | | | 60,973 | |
| | 9,939 | | | General Mills, Inc. | | | 669,690 | |
| | 2,709 | | | Hain Celestial Group, Inc. (The)* | | | 115,430 | |
| | 1,995 | | | Hershey Co. (The) | | | 385,973 | |
| | 4,488 | | | Hormel Foods Corp. | | | 219,059 | |
| | 3,521 | | | Hostess Brands, Inc.* | | | 71,899 | |
| | 1,610 | | | Ingredion, Inc. | | | 155,590 | |
| | 376 | | | J & J Snack Foods Corp. | | | 59,393 | |
| | 1,263 | | | JM Smucker Co. (The) | | | 171,541 | |
| | 300 | | | John B Sanfilippo And Son, Inc. | | | 27,048 | |
| | 6,773 | | | Kellogg Co. | | | 436,317 | |
| | 10,751 | | | Kraft Heinz Co. (The) | | | 385,961 | |
| | 2,371 | | | Lamb Weston Holdings, Inc. | | | 150,274 | |
| | 736 | | | Lancaster Colony Corp. | | | 121,882 | |
| | 1,028 | | | Landec Corp.* | | | 11,411 | |
| | 2,911 | | | McCormick & Co. | | | 281,232 | |
| | 778 | | | McCormick & Co., Inc. | | | 74,213 | |
| | 9,925 | | | Mondelez International, Inc., Class A | | | 658,127 | |
| | 4,222 | | | Pilgrim’s Pride Corp.* | | | 119,060 | |
| | 1,836 | | | Post Holdings, Inc.* | | | 206,972 | |
| | 587 | | | Sanderson Farms, Inc. | | | 112,164 | |
| | 29 | | | Seaboard Corp. | | | 114,115 | |
| | 266 | | | Seneca Foods Corp., Class A* | | | 12,755 | |
| | 2,245 | | | Simply Good Foods Co. (The)* | | | 93,325 | |
| | 874 | | | Tootsie Roll Industries, Inc. | | | 31,665 | |
| | 1,535 | | | TreeHouse Foods, Inc.* | | | 62,214 | |
| | 3,990 | | | Tyson Foods, Inc., Class A | | | 347,768 | |
| | | | | | | | |
| | | | | | | 7,009,748 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Gas Utilities (0.2%): | | | |
| | 2,386 | | | Atmos Energy Corp. | | $ | 249,981 | |
| | 273 | | | Chesapeake Utilities Corp. | | | 39,806 | |
| | 2,171 | | | National Fuel Gas Co. | | | 138,814 | |
| | 2,685 | | | New Jersey Resources Corp. | | | 110,246 | |
| | 620 | | | Northwest Natural Holding Co. | | | 30,244 | |
| | 1,069 | | | ONE Gas, Inc. | | | 82,944 | |
| | 232 | | | RGC Resources, Inc. | | | 5,338 | |
| | 1,202 | | | South Jersey Industries, Inc. | | | 31,396 | |
| | 1,143 | | | Southwest Gas Holdings, Inc. | | | 80,067 | |
| | 912 | | | Spire, Inc. | | | 59,481 | |
| | 4,064 | | | UGI Corp. | | | 186,578 | |
| | | | | | | | |
| | | | | | | 1,014,895 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.5%): | | | |
| | 13,923 | | | Abbott Laboratories | | | 1,959,523 | |
| | 389 | | | ABIOMED, Inc.* | | | 139,717 | |
| | 2,269 | | | Accuray, Inc.* | | | 10,823 | |
| | 410 | | | Align Technology, Inc.* | | | 269,444 | |
| | 912 | | | AngioDynamics, Inc.* | | | 25,153 | |
| | 955 | | | Anika Therapeutics, Inc.* | | | 34,218 | |
| | 707 | | | AtriCure, Inc.* | | | 49,158 | |
| | 36 | | | Atrion Corp. | | | 25,376 | |
| | 991 | | | Avanos Medical, Inc.* | | | 34,358 | |
| | 744 | | | Axonics, Inc.* | | | 41,664 | |
| | 5,989 | | | Baxter International, Inc. | | | 514,096 | |
| | 1,924 | | | Becton Dickinson & Co. | | | 483,848 | |
| | 7,829 | | | Boston Scientific Corp.* | | | 332,576 | |
| | 629 | | | CONMED Corp. | | | 89,167 | |
| | 507 | | | Cooper Cos., Inc. (The) | | | 212,403 | |
| | 1,619 | | | CryoLife, Inc.* | | | 32,947 | |
| | 4,766 | | | Danaher Corp. | | | 1,568,062 | |
| | 3,528 | | | Dentsply Sirona, Inc. | | | 196,827 | |
| | 403 | | | DexCom, Inc.* | | | 216,391 | |
| | 3,086 | | | Edwards Lifesciences Corp.* | | | 399,791 | |
| | 2,838 | | | Envista Holdings Corp.* | | | 127,880 | |
| | 1,691 | | | Globus Medical, Inc.* | | | 122,090 | |
| | 1,463 | | | Haemonetics Corp.* | | | 77,598 | |
| | 149 | | | Heska Corp.* | | | 27,191 | |
| | 5,513 | | | Hologic, Inc.* | | | 422,075 | |
| | 473 | | | ICU Medical, Inc.* | | | 112,262 | |
| | 824 | | | IDEXX Laboratories, Inc.* | | | 542,571 | |
| | 516 | | | Inari Medical, Inc.* | | | 47,095 | |
| | 433 | | | Inogen, Inc.* | | | 14,722 | |
| | 334 | | | Insulet Corp.* | | | 88,867 | |
| | 940 | | | Integer Holdings Corp.* | | | 80,455 | |
| | 1,679 | | | Integra LifeSciences Holdings Corp.* | | | 112,476 | |
| | 1,614 | | | Intuitive Surgical, Inc.* | | | 579,910 | |
| | 2,327 | | | Invacare Corp.* | | | 6,329 | |
| | 1,705 | | | Lantheus Holdings, Inc.* | | | 49,257 | |
| | 809 | | | LeMaitre Vascular, Inc. | | | 40,636 | |
| | 725 | | | LENSAR, Inc.* | | | 4,321 | |
| | 1,168 | | | LivaNova plc* | | | 102,118 | |
| | 509 | | | Masimo Corp.* | | | 149,025 | |
| | 6,947 | | | Medtronic plc | | | 718,667 | |
| | 1,464 | | | Meridian Bioscience, Inc.* | | | 29,866 | |
| | 1,136 | | | Merit Medical Systems, Inc.* | | | 70,773 | |
| | 982 | | | Natus Medical, Inc.* | | | 23,303 | |
| | 1,608 | | | Neogen Corp.* | | | 73,019 | |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 598 | | | Novocure, Ltd.* | | $ | 44,898 | |
| | 1,066 | | | NuVasive, Inc.* | | | 55,944 | |
| | 2,205 | | | OraSure Technologies, Inc.* | | | 19,161 | |
| | 566 | | | Orthofix Medical, Inc.* | | | 17,597 | |
| | 466 | | | Penumbra, Inc.* | | | 133,891 | |
| | 1,007 | | | Quidel Corp.* | | | 135,935 | |
| | 1,401 | | | ResMed, Inc. | | | 364,933 | |
| | 624 | | | SeaSpine Holdings Corp.* | | | 8,499 | |
| | 176 | | | Shockwave Medical, Inc.* | | | 31,386 | |
| | 1,032 | | | Steris plc | | | 251,199 | |
| | 1,764 | | | Stryker Corp. | | | 471,729 | |
| | 3,310 | | | Surgalign Holdings, Inc.* | | | 2,371 | |
| | 406 | | | Tandem Diabetes Care, Inc.* | | | 61,111 | |
| | 531 | | | Teleflex, Inc. | | | 174,423 | |
| | 227 | | | Utah Medical Products, Inc. | | | 22,700 | |
| | 1,100 | | | Varex Imaging Corp.* | | | 34,705 | |
| | 684 | | | West Pharmaceutical Services, Inc. | | | 320,803 | |
| | 2,179 | | | Zimmer Biomet Holdings, Inc. | | | 276,820 | |
| | | | | | | | |
| | | | | | | 12,686,153 | |
| | | | | | | | |
| Health Care Providers & Services (2.8%): | | | |
| | 2,656 | | | Acadia Healthcare Co., Inc.* | | | 161,219 | |
| | 343 | | | Addus HomeCare Corp.* | | | 32,074 | |
| | 757 | | | Amedisys, Inc.* | | | 122,543 | |
| | 2,183 | | | AmerisourceBergen Corp. | | | 290,099 | |
| | 1,394 | | | AMN Healthcare Services, Inc.* | | | 170,528 | |
| | 1,844 | | | Anthem, Inc. | | | 854,768 | |
| | 1,245 | | | Apollo Medical Holdings, Inc.* | | | 91,483 | |
| | 9,264 | | | Brookdale Senior Living, Inc.* | | | 47,802 | |
| | 7,153 | | | Cardinal Health, Inc. | | | 368,308 | |
| | 4,279 | | | Centene Corp.* | | | 352,590 | |
| | 394 | | | Chemed Corp. | | | 208,442 | |
| | 3,568 | | | Cigna Corp. | | | 819,320 | |
| | 5,028 | | | Community Health Systems, Inc.* | | | 66,923 | |
| | 318 | | | CorVel Corp.* | | | 66,144 | |
| | 3,891 | | | Covetrus, Inc.* | | | 77,703 | |
| | 1,177 | | | Cross Country Healthcare, Inc.* | | | 32,673 | |
| | 14,231 | | | CVS Health Corp. | | | 1,468,070 | |
| | 3,006 | | | DaVita, Inc.* | | | 341,962 | |
| | 3,099 | | | Encompass Health Corp. | | | 202,241 | |
| | 1,585 | | | Ensign Group, Inc. (The) | | | 133,077 | |
| | 78 | | | Five Star Senior Living, Inc.* | | | 230 | |
| | 958 | | | Guardant Health, Inc.* | | | 95,819 | |
| | 609 | | | Hanger, Inc.* | | | 11,041 | |
| | 1,772 | | | HCA Healthcare, Inc. | | | 455,262 | |
| | 786 | | | HealthEquity, Inc.* | | | 34,773 | |
| | 2,772 | | | Henry Schein, Inc.* | | | 214,913 | |
| | 975 | | | Humana, Inc. | | | 452,263 | |
| | 1,529 | | | InfuSystems Holdings, Inc.* | | | 26,039 | |
| | 1,433 | | | Laboratory Corp. of America Holdings* | | | 450,263 | |
| | 742 | | | LHC Group, Inc.* | | | 101,825 | |
| | 1,171 | | | Magellan Health, Inc.* | | | 111,233 | |
| | 1,512 | | | McKesson Corp. | | | 375,838 | |
| | 1,710 | | | MEDNAX, Inc.* | | | 46,529 | |
| | 564 | | | ModivCare, Inc.* | | | 83,636 | |
| | 835 | | | Molina Healthcare, Inc.* | | | 265,597 | |
| | 575 | | | National Healthcare Corp. | | | 39,065 | |
| | 819 | | | National Research Corp. | | | 34,005 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services, continued | | | |
| | 2,228 | | | Option Care Health, Inc.* | | $ | 63,364 | |
| | 2,072 | | | Owens & Minor, Inc. | | | 90,132 | |
| | 3,095 | | | Patterson Cos., Inc. | | | 90,838 | |
| | 629 | | | Petiq, Inc.* | | | 14,285 | |
| | 2,269 | | | Premier, Inc., Class A | | | 93,415 | |
| | 861 | | | Progyny, Inc.* | | | 43,351 | |
| | 2,561 | | | Quest Diagnostics, Inc. | | | 443,079 | |
| | 5,426 | | | R1 RCM, Inc.* | | | 138,309 | |
| | 1,355 | | | RadNet, Inc.* | | | 40,799 | |
| | 2,778 | | | Select Medical Holdings Corp. | | | 81,673 | |
| | 585 | | | Surgery Partners, Inc.* | | | 31,245 | |
| | 2,695 | | | Tenet Healthcare Corp.* | | | 220,154 | |
| | 792 | | | The Pennant Group, Inc.* | | | 18,279 | |
| | 1,303 | | | Triple-S Management Corp., Class B* | | | 46,491 | |
| | 207 | | | U.S. Physical Therapy, Inc. | | | 19,779 | |
| | 7,399 | | | UnitedHealth Group, Inc. | | | 3,715,334 | |
| | 1,705 | | | Universal Health Services, Inc., Class B | | | 221,070 | |
| | | | | | | | |
| | | | | | | 14,077,897 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 4,097 | | | Allscripts Healthcare Solutions, Inc.* | | | 75,590 | |
| | 5,194 | | | Cerner Corp. | | | 482,367 | |
| | 4,924 | | | Change Healthcare, Inc.* | | | 105,275 | |
| | 339 | | | Computer Programs & Systems, Inc.* | | | 9,933 | |
| | 1,873 | | | Evolent Health, Inc., Class A* | | | 51,826 | |
| | 1,357 | | | HealthStream, Inc.* | | | 35,770 | |
| | 1,430 | | | NextGen Healthcare, Inc.* | | | 25,440 | |
| | 574 | | | Omnicell, Inc.* | | | 103,573 | |
| | 394 | | | Simulations Plus, Inc.^ | | | 18,636 | |
| | 1,470 | | | Teladoc Health, Inc.* | | | 134,975 | |
| | 705 | | | Veeva Systems, Inc., Class A* | | | 180,113 | |
| | | | | | | | |
| | | | | | | 1,223,498 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.7%): | | | |
| | 4,796 | | | Aramark | | | 176,733 | |
| | 6 | | | Biglari Holdings, Inc., Class A* | | | 4,170 | |
| | 67 | | | Biglari Holdings, Inc., Class B* | | | 9,552 | |
| | 492 | | | BJ’s Restaurants, Inc.* | | | 16,999 | |
| | 1,554 | | | Bloomin’ Brands, Inc.* | | | 32,603 | |
| | 491 | | | Bluegreen Vacations Holding Corp.* | | | 17,234 | |
| | 1,059 | | | Boyd Gaming Corp.* | | | 69,439 | |
| | 970 | | | Brinker International, Inc.* | | | 35,492 | |
| | 1,468 | | | Caesars Entertainment, Inc.* | | | 137,302 | |
| | 9,118 | | | Carnival Corp., Class A* | | | 183,454 | |
| | 2,943 | | | Carrols Restaurant Group, Inc. | | | 8,711 | |
| | 665 | | | Cheesecake Factory, Inc. (The)* | | | 26,035 | |
| | 207 | | | Chipotle Mexican Grill, Inc.* | | | 361,888 | |
| | 767 | | | Choice Hotels International, Inc. | | | 119,644 | |
| | 611 | | | Churchill Downs, Inc. | | | 147,190 | |
| | 429 | | | Chuy’s Holdings, Inc.* | | | 12,921 | |
| | 613 | | | Cracker Barrel Old Country Store, Inc. | | | 78,856 | |
| | 1,913 | | | Darden Restaurants, Inc. | | | 288,174 | |
| | 1,410 | | | Dave & Buster’s Entertainment, Inc.* | | | 54,144 | |
| | 2,144 | | | Del Taco Restaurants, Inc. | | | 26,693 | |
| | 1,239 | | | Denny’s Corp.* | | | 19,824 | |
| | 376 | | | Domino’s Pizza, Inc. | | | 212,188 | |
| | 1,288 | | | El Pollo Loco Holdings, Inc.* | | | 18,277 | |
| | 1,277 | | | Fiesta Restaurant Group, Inc.* | | | 14,060 | |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 1,551 | | | Hilton Grand Vacations, Inc.* | | $ | 80,823 | |
| | 2,611 | | | Hilton Worldwide Holdings, Inc.* | | | 407,290 | |
| | 1,051 | | | Hyatt Hotels Corp., Class A* | | | 100,791 | |
| | 3,762 | | | International Game Technology plc | | | 108,759 | |
| | 323 | | | Jack in the Box, Inc. | | | 28,256 | |
| | 2,311 | | | Las Vegas Sands Corp.* | | | 86,986 | |
| | 2,491 | | | Marriott International, Inc., Class A* | | | 411,613 | |
| | 844 | | | Marriott Vacations Worldwide Corp. | | | 142,619 | |
| | 5,177 | | | McDonald’s Corp. | | | 1,387,798 | |
| | 5,516 | | | MGM Resorts International | | | 247,558 | |
| | 341 | | | Nathans Famous, Inc. | | | 19,911 | |
| | 5,162 | | | Norwegian Cruise Line Holdings, Ltd.*^ | | | 107,060 | |
| | 671 | | | Papa John’s International, Inc. | | | 89,558 | |
| | 2,176 | | | Penn National Gaming, Inc.* | | | 112,826 | |
| | 1,693 | | | Planet Fitness, Inc., Class A* | | | 153,352 | |
| | 3,664 | | | Playa Hotels & Resorts NV* | | | 29,239 | |
| | 763 | | | Potbelly Corp.* | | | 4,258 | |
| | 878 | | | Red Robin Gourmet Burgers* | | | 14,513 | |
| | 1,400 | | | Red Rock Resorts, Inc. | | | 77,014 | |
| | 2,911 | | | Royal Caribbean Cruises, Ltd.* | | | 223,856 | |
| | 748 | | | Ruth’s Hospitality Group, Inc.* | | | 14,885 | |
| | 1,893 | | | Scientific Games Corp., Class A* | | | 126,509 | |
| | 1,359 | | | SeaWorld Entertainment, Inc.* | | | 88,145 | |
| | 1,371 | | | Six Flags Entertainment Corp.* | | | 58,377 | |
| | 8,104 | | | Starbucks Corp. | | | 947,925 | |
| | 1,701 | | | Texas Roadhouse, Inc., Class A | | | 151,865 | |
| | 1,976 | | | Travel + Leisure Co. | | | 109,214 | |
| | 359 | | | Vail Resorts, Inc. | | | 117,716 | |
| | 6,284 | | | Wendy’s Co. (The) | | | 149,873 | |
| | 548 | | | Wingstop, Inc. | | | 94,694 | |
| | 1,326 | | | Wyndham Hotels & Resorts, Inc. | | | 118,876 | |
| | 1,374 | | | Wynn Resorts, Ltd.* | | | 116,845 | |
| | 2,639 | | | Yum! Brands, Inc. | | | 366,452 | |
| | | | | | | | |
| | | | | | | 8,367,039 | |
| | | | | | | | |
| Household Durables (1.0%): | | | |
| | 1,784 | | | Bath & Body Works, Inc. | | | 124,505 | |
| | 906 | | | Beazer Homes USA, Inc.* | | | 21,037 | |
| | 183 | | | Cavco Industries, Inc.* | | | 58,130 | |
| | 858 | | | Century Communities, Inc. | | | 70,176 | |
| | 5,611 | | | DR Horton, Inc. | | | 608,513 | |
| | 730 | | | Ethan Allen Interiors, Inc. | | | 19,192 | |
| | 431 | | | Flexsteel Industries, Inc. | | | 11,577 | |
| | 2,269 | | | Garmin, Ltd. | | | 308,970 | |
| | 2,761 | | | GoPro, Inc., Class A* | | | 28,466 | |
| | 1,329 | | | Green Brick Partners, Inc.* | | | 40,309 | |
| | 484 | | | Helen of Troy, Ltd.* | | | 118,323 | |
| | 500 | | | Hooker Furnishings Corp. | | | 11,640 | |
| | 830 | | | Installed Building Products, Inc. | | | 115,968 | |
| | 596 | | | iRobot Corp.* | | | 39,264 | |
| | 2,155 | | | KB Home | | | 96,393 | |
| | 1,350 | | | La-Z-Boy, Inc. | | | 49,019 | |
| | 4,086 | | | Leggett & Platt, Inc. | | | 168,180 | |
| | 3,605 | | | Lennar Corp., Class A | | | 418,757 | |
| | 119 | | | Lennar Corp., Class B | | | 11,379 | |
| | 585 | | | LGI Homes, Inc.* | | | 90,371 | |
| | 1,017 | | | Lifetime Brands, Inc. | | | 16,241 | |
| | 1,880 | | | M/I Homes, Inc.* | | | 116,898 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables, continued | | | |
| | 1,985 | | | MDC Holdings, Inc. | | $ | 110,823 | |
| | 1,004 | | | Meritage Homes Corp.* | | | 122,548 | |
| | 1,361 | | | Mohawk Industries, Inc.* | | | 247,947 | |
| | 10,746 | | | Newell Brands, Inc. | | | 234,693 | |
| | 61 | | | NVR, Inc.* | | | 360,441 | |
| | 5,234 | | | PulteGroup, Inc. | | | 299,175 | |
| | 1,139 | | | Skyline Champion Corp.* | | | 89,958 | |
| | 1,307 | | | Sonos, Inc.* | | | 38,949 | |
| | 3,736 | | | Taylor Morrison Home Corp., Class A* | | | 130,611 | |
| | 3,449 | | | Tempur Sealy International, Inc. | | | 162,206 | |
| | 2,183 | | | Toll Brothers, Inc. | | | 158,027 | |
| | 935 | | | TopBuild Corp.* | | | 257,976 | |
| | 3,273 | | | Tri Pointe Homes, Inc.* | | | 91,284 | |
| | 905 | | | Tupperware Brands Corp.* | | | 13,837 | |
| | 320 | | | Universal Electronics, Inc.* | | | 13,040 | |
| | 1,418 | | | Whirlpool Corp. | | | 332,748 | |
| | | | | | | | |
| | | | | | | 5,207,571 | |
| | | | | | | | |
| Household Products (1.1%): | | | |
| | 1,509 | | | Central Garden & Pet Co., Class A* | | | 72,206 | |
| | 3,272 | | | Church & Dwight Co., Inc. | | | 335,380 | |
| | 1,448 | | | Clorox Co. (The) | | | 252,473 | |
| | 7,616 | | | Colgate-Palmolive Co. | | | 649,950 | |
| | 1,114 | | | Energizer Holdings, Inc. | | | 44,671 | |
| | 3,022 | | | Kimberly-Clark Corp. | | | 431,904 | |
| | 333 | | | Oil-Dri Corp of America | | | 10,899 | |
| | 20,457 | | | Procter & Gamble Co. (The) | | | 3,346,356 | |
| | 1,828 | | | Reynolds Consumer Products, Inc. | | | 57,399 | |
| | 1,245 | | | Spectrum Brands Holdings, Inc. | | | 126,641 | |
| | 218 | | | WD-40 Co. | | | 53,332 | |
| | | | | | | | |
| | | | | | | 5,381,211 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 7,504 | | | AES Corp. (The) | | | 182,347 | |
| | 2,247 | | | Atlantica Sustainable Infrastructure plc | | | 80,353 | |
| | 2,755 | | | Brookfield Renewable Corp., Class A | | | 101,467 | |
| | 1,323 | | | Clearway Energy, Inc., Class A | | | 44,294 | |
| | 2,153 | | | Clearway Energy, Inc., Class C | | | 77,572 | |
| | 6,130 | | | NRG Energy, Inc. | | | 264,080 | |
| | 1,462 | | | Ormat Technologies, Inc.^ | | | 115,937 | |
| | 1,658 | | | Sunnova Energy International, Inc.* | | | 46,291 | |
| | 10,410 | | | Vistra Corp. | | | 237,036 | |
| | | | | | | | |
| | | | | | | 1,149,377 | |
| | | | | | | | |
| Industrial Conglomerates (0.7%): | | | |
| | 7,811 | | | 3M Co. | | | 1,387,468 | |
| | 1,213 | | | Carlisle Cos., Inc. | | | 300,970 | |
| | 5,892 | | | General Electric Co. | | | 556,617 | |
| | 5,457 | | | Honeywell International, Inc. | | | 1,137,839 | |
| | 584 | | | Roper Technologies, Inc. | | | 287,246 | |
| | | | | | | | |
| | | | | | | 3,670,140 | |
| | | | | | | | |
| Insurance (2.7%): | | | |
| | 7,012 | | | Aflac, Inc. | | | 409,431 | |
| | 275 | | | Alleghany Corp.* | | | 183,587 | |
| | 5,498 | | | Allstate Corp. (The) | | | 646,840 | |
| | 1,297 | | | AMBAC Financial Group, Inc.* | | | 20,817 | |
| | 3,511 | | | American Equity Investment Life Holding Co. | | | 136,648 | |
| | 2,196 | | | American Financial Group, Inc. | | | 301,555 | |
| | 6,164 | | | American International Group, Inc. | | | 350,485 | |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 409 | | | American National Group , Inc. | | $ | 77,236 | |
| | 745 | | | Amerisafe, Inc. | | | 40,103 | |
| | 2,089 | | | Aon plc, Class A | | | 627,870 | |
| | 4,926 | | | Arch Capital Group, Ltd.* | | | 218,961 | |
| | 560 | | | Argo Group International Holdings, Ltd. | | | 32,542 | |
| | 2,269 | | | Arthur J. Gallagher & Co. | | | 384,981 | |
| | 1,280 | | | Assurant, Inc. | | | 199,501 | |
| | 2,447 | | | Assured Guaranty, Ltd. | | | 122,839 | |
| | 2,905 | | | Athene Holding, Ltd., Class A* | | | 242,074 | |
| | 2,351 | | | Axis Capital Holdings, Ltd. | | | 128,059 | |
| | 2,603 | | | Brighthouse Financial, Inc.* | | | 134,835 | |
| | 3,292 | | | Brown & Brown, Inc. | | | 231,362 | |
| | 3,095 | | | Chubb, Ltd. | | | 598,294 | |
| | 2,130 | | | Cincinnati Financial Corp. | | | 242,671 | |
| | 2,176 | | | Citizens, Inc.* | | | 11,555 | |
| | 1,199 | | | CNA Financial Corp. | | | 52,852 | |
| | 2,354 | | | Crawford & Co. | | | 17,631 | |
| | 895 | | | Crawford & Co., Class A | | | 6,704 | |
| | 1,631 | | | Donegal Group, Inc., Class A | | | 23,307 | |
| | 800 | | | eHealth, Inc.* | | | 20,400 | |
| | 781 | | | Employers Holdings, Inc. | | | 32,318 | |
| | 447 | | | Enstar Group, Ltd.* | | | 110,673 | |
| | 887 | | | Erie Indemnity Co., Class A | | | 170,889 | |
| | 748 | | | Everest Re Group, Ltd. | | | 204,892 | |
| | 1,054 | | | FedNat Holding Co.* | | | 1,486 | |
| | 6,172 | | | Fidelity National Financial, Inc. | | | 322,055 | |
| | 3,103 | | | First American Financial Corp. | | | 242,748 | |
| | 14,957 | | | Genworth Financial, Inc., Class A* | | | 60,576 | |
| | 695 | | | Global Indemnity Group LLC, Class A | | | 17,465 | |
| | 2,157 | | | Globe Life, Inc. | | | 202,154 | |
| | 318 | | | Goosehead Insurance, Inc. | | | 41,365 | |
| | 2,383 | | | Greenlight Capital Re, Ltd.* | | | 18,683 | |
| | 1,469 | | | Hallmark Financial Services, Inc.* | | | 6,390 | |
| | 1,180 | | | Hanover Insurance Group, Inc. (The) | | | 154,651 | |
| | 4,507 | | | Hartford Financial Services Group, Inc. (The) | | | 311,163 | |
| | 397 | | | HCI Group, Inc. | | | 33,165 | |
| | 387 | | | Heritage Insurance Holdings, Inc. | | | 2,276 | |
| | 1,293 | | | Horace Mann Educators Corp. | | | 50,039 | |
| | 497 | | | Independence Holding Co. | | | 28,170 | |
| | 153 | | | Investors Title Co. | | | 30,164 | |
| | 868 | | | James River Group Holdings | | | 25,007 | |
| | 2,246 | | | Kemper Corp. | | | 132,042 | |
| | 381 | | | Kinsale Capital Group, Inc. | | | 90,636 | |
| | 2,749 | | | Lincoln National Corp. | | | 187,647 | |
| | 3,441 | | | Loews Corp. | | | 198,752 | |
| | 5,556 | | | Maiden Holdings, Ltd.* | | | 17,001 | |
| | 182 | | | Markel Corp.* | | | 224,588 | |
| | 4,661 | | | Marsh & McLennan Cos., Inc. | | | 810,175 | |
| | 1,688 | | | Mercury General Corp. | | | 89,565 | |
| | 5,123 | | | MetLife, Inc. | | | 320,136 | |
| | 162 | | | National Western Life Group, Inc., Class A | | | 34,739 | |
| | 8,176 | | | Old Republic International Corp. | | | 200,966 | |
| | 1,239 | | | Primerica, Inc. | | | 189,902 | |
| | 3,562 | | | Principal Financial Group, Inc. | | | 257,639 | |
| | 1,399 | | | ProAssurance Corp. | | | 35,395 | |
| | 4,548 | | | Progressive Corp. (The) | | | 466,852 | |
| | 3,969 | | | Prudential Financial, Inc. | | | 429,605 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 1,379 | | | Reinsurance Group of America, Inc. | | $ | 150,987 | |
| | 830 | | | RenaissanceRe Holdings, Ltd. | | | 140,544 | |
| | 1,252 | | | RLI Corp. | | | 140,349 | |
| | 321 | | | Safety Insurance Group, Inc. | | | 27,295 | |
| | 1,898 | | | Selective Insurance Group, Inc. | | | 155,522 | |
| | 5,145 | | | SiriusPoint, Ltd.* | | | 41,829 | |
| | 1,277 | | | State Auto Financial Corp. | | | 66,008 | |
| | 612 | | | Stewart Information Services Corp. | | | 48,795 | |
| | 1,767 | | | Tiptree, Inc., Class A | | | 24,438 | |
| | 4,789 | | | Travelers Cos., Inc. (The) | | | 749,143 | |
| | 728 | | | United Fire Group, Inc. | | | 16,882 | |
| | 2,794 | | | United Insurance Holdings Co. | | | 12,126 | |
| | 1,869 | | | Universal Insurance Holdings, Inc. | | | 31,773 | |
| | 5,839 | | | Unum Group | | | 143,464 | |
| | 85 | | | White Mountains Insurance Group, Ltd. | | | 86,181 | |
| | 1,569 | | | Willis Towers Watson plc | | | 372,622 | |
| | 2,531 | | | WR Berkley Corp. | | | 208,529 | |
| | | | | | | | |
| | | | | | | 13,631,596 | |
| | | | | | | | |
| Interactive Media & Services (4.2%): | | | |
| | 2,397 | | | Alphabet, Inc., Class A* | | | 6,944,205 | |
| | 2,278 | | | Alphabet, Inc., Class C* | | | 6,591,598 | |
| | 2,370 | | | Cargurus, Inc.* | | | 79,727 | |
| | 1,955 | | | Cars.com, Inc.* | | | 31,456 | |
| | 2,881 | | | DHI Group, Inc.* | | | 17,977 | |
| | 2,717 | | | Match Group, Inc.* | | | 359,323 | |
| | 18,835 | | | Meta Platforms, Inc., Class A* | | | 6,335,152 | |
| | 2,021 | | | Pinterest, Inc., Class A* | | | 73,463 | |
| | 1,563 | | | QuinStreet, Inc.* | | | 28,431 | |
| | 2,381 | | | Snap, Inc., Class A* | | | 111,978 | |
| | 1,344 | | | Travelzoo, Inc.* | | | 12,661 | |
| | 2,514 | | | TripAdvisor, Inc.* | | | 68,532 | |
| | 2,857 | | | TrueCar, Inc.* | | | 9,714 | |
| | 6,686 | | | Twitter, Inc.* | | | 288,969 | |
| | 1,590 | | | Yelp, Inc.* | | | 57,622 | |
| | 664 | | | Zedge, Inc., Class B* | | | 5,644 | |
| | 642 | | | Zillow Group, Inc., Class A* | | | 39,945 | |
| | 1,617 | | | Zillow Group, Inc., Class C* | | | 103,245 | |
| | | | | | | | |
| | | | | | | 21,159,642 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (3.0%): | | | |
| | 893 | | | 1-800 Flowers.com, Inc., Class A* | | | 20,869 | |
| | 3,893 | | | Amazon.com, Inc.* | | | 12,980,586 | |
| | 192 | | | Booking Holdings, Inc.* | | | 460,652 | |
| | 690 | | | Chewy, Inc., Class A*^ | | | 40,689 | |
| | 7,298 | | | eBay, Inc. | | | 485,317 | |
| | 1,689 | | | Etsy, Inc.* | | | 369,790 | |
| | 757 | | | Expedia Group, Inc.* | | | 136,805 | |
| | 1,642 | | | Lands’ End, Inc.* | | | 32,232 | |
| | 1,736 | | | Liquidity Services, Inc.* | | | 38,331 | |
| | 588 | | | PetMed Express, Inc.^ | | | 14,853 | |
| | 1,526 | | | Quotient Technology, Inc.* | | | 11,323 | |
| | 8,810 | | | Qurate Retail, Inc., Class A | | | 66,956 | |
| | 649 | | | Revolve Group, Inc.* | | | 36,370 | |
| | 764 | | | Shutterstock, Inc. | | | 84,712 | |
| | 838 | | | Wayfair, Inc., Class A*^ | | | 159,195 | |
| | | | | | | | |
| | | | | | | 14,938,680 | |
| | | | | | | | |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services (4.0%): | | | |
| | 5,697 | | | Accenture plc, Class A | | $ | 2,361,691 | |
| | 2,020 | | | Akamai Technologies, Inc.* | | | 236,421 | |
| | 1,974 | | | Alliance Data Systems Corp. | | | 131,409 | |
| | 2,873 | | | Amdocs, Ltd. | | | 215,015 | |
| | 4,891 | | | Automatic Data Processing, Inc. | | | 1,206,023 | |
| | 2,534 | | | Black Knight, Inc.* | | | 210,043 | |
| | 918 | | | Block, Inc.* | | | 148,266 | |
| | 252 | | | BM Technologies, Inc.*^ | | | 2,321 | |
| | 1,706 | | | Broadridge Financial Solutions, Inc. | | | 311,891 | |
| | 687 | | | Cass Information Systems, Inc. | | | 27,013 | |
| | 6,097 | | | Cognizant Technology Solutions Corp., Class A | | | 540,926 | |
| | 1,091 | | | Concentrix Corp. | | | 194,874 | |
| | 6,347 | | | Conduent, Inc.* | | | 33,893 | |
| | 1,011 | | | CSG Systems International, Inc. | | | 58,254 | |
| | 6,526 | | | DXC Technology Co.* | | | 210,072 | |
| | 435 | | | EPAM Systems, Inc.* | | | 290,776 | |
| | 1,164 | | | Euronet Worldwide, Inc.* | | | 138,714 | |
| | 2,060 | | | Evertec, Inc. | | | 102,959 | |
| | 762 | | | Exlservice Holdings, Inc.* | | | 110,315 | |
| | 4,406 | | | Fidelity National Information Services, Inc. | | | 480,915 | |
| | 4,458 | | | Fiserv, Inc.* | | | 462,696 | |
| | 1,545 | | | FleetCor Technologies, Inc.* | | | 345,833 | |
| | 1,296 | | | Gartner, Inc.* | | | 433,279 | |
| | 5,428 | | | Genpact, Ltd. | | | 288,118 | |
| | 2,351 | | | Global Payments, Inc. | | | 317,808 | |
| | 3,037 | | | GoDaddy, Inc., Class A* | | | 257,720 | |
| | 1,357 | | | Hackett Group, Inc. (The) | | | 27,859 | |
| | 12,424 | | | International Business Machines Corp. | | | 1,660,592 | |
| | 1,582 | | | Jack Henry & Associates, Inc. | | | 264,178 | |
| | 2,484 | | | Kyndryl Holdings, Inc.* | | | 44,960 | |
| | 2,160 | | | Limelight Networks, Inc.* | | | 7,409 | |
| | 1,456 | | | LiveRamp Holdings, Inc.* | | | 69,815 | |
| | 8,053 | | | Mastercard, Inc., Class A | | | 2,893,604 | |
| | 1,540 | | | MAXIMUS, Inc. | | | 122,692 | |
| | 262 | | | MongoDB, Inc.* | | | 138,690 | |
| | 1,032 | | | Okta, Inc.* | | | 231,343 | |
| | 3,858 | | | Paychex, Inc. | | | 526,617 | |
| | 5,186 | | | PayPal Holdings, Inc.* | | | 977,976 | |
| | 728 | | | Perficient, Inc.* | | | 94,123 | |
| | 840 | | | PFSweb, Inc.* | | | 10,819 | |
| | 3,035 | | | Servicesource International, Inc.* | | | 3,005 | |
| | 1,655 | | | SolarWinds Corp. | | | 23,484 | |
| | 1,603 | | | Switch, Inc., Class A | | | 45,910 | |
| | 2,880 | | | Teradata Corp.* | | | 122,314 | |
| | 1,284 | | | TTEC Holdings, Inc. | | | 116,266 | |
| | 891 | | | Twilio, Inc., Class A* | | | 234,636 | |
| | 2,221 | | | Unisys Corp.* | | | 45,686 | |
| | 1,083 | | | VeriSign, Inc.* | | | 274,887 | |
| | 3,457 | | | Verra Mobility Corp.* | | | 53,342 | |
| | 14,011 | | | Visa, Inc., Class A | | | 3,036,324 | |
| | 6,143 | | | Western Union Co. (The.) | | | 109,591 | |
| | 975 | | | WEX, Inc.* | | | 136,880 | |
| | | | | | | | |
| | | | | | | 20,390,247 | |
| | | | | | | | |
| Leisure Products (0.3%): | | | |
| | 1,798 | | | Acushnet Holdings Corp. | | | 95,438 | |
| | 895 | | | American Outdoor Brands, Inc.* | | | 17,837 | |
| | 2,521 | | | Brunswick Corp. | | | 253,940 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Leisure Products, continued | | | |
| | 1,330 | | | Callaway Golf Co.* | | $ | 36,495 | |
| | 658 | | | Escalade, Inc. | | | 10,390 | |
| | 1,625 | | | Hasbro, Inc. | | | 165,392 | |
| | 303 | | | Johnson Outdoors, Inc., Class A | | | 28,388 | |
| | 531 | | | Malibu Boats, Inc.* | | | 36,496 | |
| | 662 | | | Marine Products Corp. | | | 8,275 | |
| | 8,660 | | | Mattel, Inc.* | | | 186,710 | |
| | 995 | | | Nautilus Group, Inc.* | | | 6,099 | |
| | 909 | | | Peloton Interactive, Inc., Class A* | | | 32,506 | |
| | 1,582 | | | Polaris, Inc. | | | 173,878 | |
| | 1,410 | | | Smith & Wesson Brands, Inc. | | | 25,098 | |
| | 1,612 | | | Vista Outdoor, Inc.* | | | 74,265 | |
| | 1,824 | | | YETI Holdings, Inc.* | | | 151,082 | |
| | | | | | | | |
| | | | | | | 1,302,289 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.1%): | | | |
| | 237 | | | 10X Genomics, Inc., Class A* | | | 35,303 | |
| | 1,835 | | | Agilent Technologies, Inc. | | | 292,958 | |
| | 7,162 | | | Avantor, Inc.* | | | 301,807 | |
| | 314 | | | Bio-Rad Laboratories, Inc., Class A* | | | 237,249 | |
| | 390 | | | Bio-Techne Corp. | | | 201,763 | |
| | 3,957 | | | Bruker Corp. | | | 332,032 | |
| | 534 | | | Charles River Laboratories International, Inc.* | | | 201,200 | |
| | 1,979 | | | Harvard Bioscience, Inc.* | | | 13,952 | |
| | 816 | | | Illumina, Inc.* | | | 310,439 | |
| | 1,517 | | | IQVIA Holdings, Inc.* | | | 428,006 | |
| | 765 | | | Medpace Holdings, Inc.* | | | 166,495 | |
| | 265 | | | Mettler-Toledo International, Inc.* | | | 449,761 | |
| | 1,400 | | | Neogenomics, Inc.* | | | 47,768 | |
| | 1,490 | | | PerkinElmer, Inc. | | | 299,579 | |
| | 2,322 | | | Syneos Health, Inc.* | | | 238,423 | |
| | 2,803 | | | Thermo Fisher Scientific, Inc. | | | 1,870,274 | |
| | 670 | | | Waters Corp.* | | | 249,642 | |
| | | | | | | | |
| | | | | | | 5,676,651 | |
| | | | | | | | |
| Machinery (2.6%): | | | |
| | 2,107 | | | AGCO Corp. | | | 244,454 | |
| | 228 | | | Alamo Group, Inc. | | | 33,557 | |
| | 737 | | | Albany International Corp., Class A | | | 65,188 | |
| | 3,881 | | | Allison Transmission Holdings, Inc. | | | 141,074 | |
| | 1,335 | | | Altra Industrial Motion Corp. | | | 68,846 | |
| | 656 | | | Astec Industries, Inc. | | | 45,441 | |
| | 1,591 | | | Barnes Group, Inc. | | | 74,125 | |
| | 837 | | | Blue Bird Corp.* | | | 13,091 | |
| | 4,839 | | | Caterpillar, Inc. | | | 1,000,415 | |
| | 904 | | | Chart Industries, Inc.* | | | 144,179 | |
| | 468 | | | CIRCOR International, Inc.* | | | 12,720 | |
| | 3,170 | | | Colfax Corp.* | | | 145,725 | |
| | 653 | | | Columbus McKinnon Corp. | | | 30,208 | |
| | 707 | | | Commercial Vehicle Group, Inc.* | | | 5,698 | |
| | 1,452 | | | Crane Co. | | | 147,712 | |
| | 2,397 | | | Cummins, Inc. | | | 522,882 | |
| | 3,976 | | | Deere & Co. | | | 1,363,331 | |
| | 2,678 | | | Donaldson Co., Inc. | | | 158,698 | |
| | 471 | | | Douglas Dynamics, Inc. | | | 18,397 | |
| | 2,058 | | | Dover Corp. | | | 373,733 | |
| | 1,250 | | | Enerpac Tool Group Corp. | | | 25,350 | |
| | 453 | | | EnPro Industries, Inc. | | | 49,862 | |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 372 | | | ESCO Technologies, Inc. | | $ | 33,476 | |
| | 2,747 | | | Evoqua Water Technologies Co.* | | | 128,422 | |
| | 1,153 | | | Federal Signal Corp. | | | 49,971 | |
| | 3,181 | | | Flowserve Corp. | | | 97,339 | |
| | 3,638 | | | Fortive Corp. | | | 277,543 | |
| | 983 | | | Franklin Electric Co., Inc. | | | 92,953 | |
| | 889 | | | Gencor Industries, Inc.* | | | 10,250 | |
| | 606 | | | Gorman-Rupp Co. (The) | | | 26,997 | |
| | 3,738 | | | Graco, Inc. | | | 301,358 | |
| | 2,503 | | | Harsco Corp.* | | | 41,825 | |
| | 650 | | | Helios Technologies, Inc. | | | 68,361 | |
| | 2,088 | | | Hillenbrand, Inc. | | | 108,555 | |
| | 490 | | | Hurco Cos, Inc. | | | 14,553 | |
| | 896 | | | Hyster-Yale Materials Handling, Inc., Class A | | | 36,826 | |
| | 704 | | | IDEX Corp. | | | 166,369 | |
| | 2,868 | | | Illinois Tool Works, Inc. | | | 707,822 | |
| | 4,169 | | | Ingersoll-Rand, Inc. | | | 257,936 | |
| | 1,926 | | | ITT, Inc. | | | 196,818 | |
| | 757 | | | John Bean Technologies Corp. | | | 116,245 | |
| | 286 | | | Kadant, Inc. | | | 65,917 | |
| | 2,377 | | | Kennametal, Inc. | | | 85,358 | |
| | 787 | | | L.B. Foster Co., Class A* | | | 10,821 | |
| | 1,490 | | | Lincoln Electric Holdings, Inc. | | | 207,810 | |
| | 221 | | | Lindsay Corp. | | | 33,592 | |
| | 1,213 | | | Manitex International, Inc.* | | | 7,715 | |
| | 2,529 | | | Manitowoc Co., Inc. (The)* | | | 47,014 | |
| | 2,774 | | | Meritor, Inc.* | | | 68,740 | |
| | 1,184 | | | Middleby Corp. (The)* | | | 232,964 | |
| | 1,706 | | | Mueller Industries, Inc. | | | 101,268 | |
| | 4,883 | | | Mueller Water Products, Inc., Class A | | | 70,315 | |
| | 1,258 | | | NN, Inc.* | | | 5,158 | |
| | 656 | | | Nordson Corp. | | | 167,457 | |
| | 158 | | | Omega Flex, Inc. | | | 20,058 | |
| | 1,389 | | | Oshkosh Corp. | | | 156,554 | |
| | 3,878 | | | Otis Worldwide Corp. | | | 337,657 | |
| | 4,640 | | | PACCAR, Inc. | | | 409,526 | |
| | 1,980 | | | Parker-Hannifin Corp. | | | 629,878 | |
| | 1,058 | | | Park-Ohio Holdings Corp. | | | 22,398 | |
| | 3,448 | | | Pentair plc | | | 251,807 | |
| | 524 | | | Proto Labs, Inc.* | | | 26,907 | |
| | 660 | | | RBC Bearings, Inc.* | | | 133,300 | |
| | 3,787 | | | REV Group, Inc. | | | 53,586 | |
| | 612 | | | Shyft Group, Inc. (The) | | | 30,068 | |
| | 1,192 | | | Snap-On, Inc. | | | 256,733 | |
| | 1,232 | | | SPX Corp.* | | | 73,526 | |
| | 878 | | | SPX FLOW, Inc. | | | 75,929 | |
| | 340 | | | Standex International Corp. | | | 37,624 | |
| | 1,980 | | | Stanley Black & Decker, Inc. | | | 373,468 | |
| | 537 | | | Tennant Co. | | | 43,518 | |
| | 1,823 | | | Terex Corp. | | | 80,121 | |
| | 863 | | | The Greenbrier Cos., Inc. | | | 39,603 | |
| | 2,219 | | | Timken Co. | | | 153,755 | |
| | 3,046 | | | Titan International, Inc.* | | | 33,384 | |
| | 2,441 | | | Toro Co. (The) | | | 243,880 | |
| | 1,022 | | | TriMas Corp. | | | 37,814 | |
| | 3,242 | | | Trinity Industries, Inc. | | | 97,908 | |
| | 1,510 | | | Wabash National Corp. | | | 29,475 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 2,471 | | | Wabtec Corp. | | $ | 227,604 | |
| | 615 | | | Watts Water Technologies, Inc., Class A | | | 119,415 | |
| | 4,275 | | | Welbilt, Inc.* | | | 101,617 | |
| | 1,534 | | | Woodward, Inc. | | | 167,912 | |
| | 1,831 | | | Xylem, Inc. | | | 219,574 | |
| | | | | | | | |
| | | | | | | 13,007,033 | |
| | | | | | | | |
| Marine (0.1%): | | | |
| | 3,979 | | | Costamare, Inc. | | | 50,334 | |
| | 239 | | | Eagle Bulk Shipping, Inc. | | | 10,875 | |
| | 147 | | | Eneti, Inc. | | | 1,138 | |
| | 1,300 | | | Genco Shipping & Trading, Ltd. | | | 20,800 | |
| | 1,654 | | | Kirby Corp.* | | | 98,281 | |
| | 1,541 | | | Matson, Inc. | | | 138,736 | |
| | | | | | | | |
| | | | | | | 320,164 | |
| | | | | | | | |
| Media (1.5%): | | | |
| | 3,595 | | | Altice USA, Inc., Class A* | | | 58,167 | |
| | 1,413 | | | AMC Networks, Inc., Class A* | | | 48,664 | |
| | 133 | | | Cable One, Inc. | | | 234,539 | |
| | 1,688 | | | Charter Communications, Inc., Class A* | | | 1,100,525 | |
| | 48,635 | | | Comcast Corp., Class A | | | 2,447,800 | |
| | 2,952 | | | comScore, Inc.* | | | 9,860 | |
| | 367 | | | DallasNews Corp. | | | 2,639 | |
| | 4,810 | | | Discovery Communications, Inc., Class C* | | | 110,149 | |
| | 3,389 | | | Discovery, Inc., Class A* | | | 79,777 | |
| | 4,832 | | | DISH Network Corp., Class A* | | | 156,750 | |
| | 2,931 | | | E.W. Scripps Co. (The), Class A* | | | 56,715 | |
| | 8,164 | | | Entercom Communications Corp.* | | | 20,981 | |
| | 4,792 | | | Entravision Communications Corp., Class A | | | 32,490 | |
| | 4,335 | | | Fox Corp., Class A | | | 159,961 | |
| | 3,199 | | | Fox Corp., Class B | | | 109,630 | |
| | 7,573 | | | Gannett Co, Inc.* | | | 40,364 | |
| | 2,788 | | | Gray Television, Inc. | | | 56,206 | |
| | 8,756 | | | Interpublic Group of Cos., Inc. (The) | | | 327,912 | |
| | 864 | | | John Wiley & Sons, Inc., Class A | | | 49,481 | |
| | 192 | | | John Wiley & Sons, Inc., Class B | | | 10,959 | |
| | 334 | | | Liberty Broadband Corp., Class A* | | | 53,741 | |
| | 1,855 | | | Liberty Broadband Corp., Class C* | | | 298,841 | |
| | 1,489 | | | Liberty Latin America, Ltd.* | | | 17,362 | |
| | 5,752 | | | Liberty Latin America, Ltd., Class C* | | | 65,573 | |
| | 2,706 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | | 137,600 | |
| | 1,327 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 67,478 | |
| | 789 | | | Loyalty Ventures, Inc.* | | | 23,725 | |
| | 131 | | | Marchex, Inc., Class B* | | | 325 | |
| | 3,726 | | | National CineMedia, Inc. | | | 10,470 | |
| | 3,530 | | | New York Times Co. (The), Class A | | | 170,499 | |
| | 7,458 | | | News Corp., Class A | | | 166,388 | |
| | 2,563 | | | News Corp., Class B | | | 57,667 | |
| | 1,496 | | | Nexstar Media Group, Inc., Class A | | | 225,866 | |
| | 5,061 | | | Omnicom Group, Inc. | | | 370,819 | |
| | 1,853 | | | Scholastic Corp. | | | 74,046 | |
| | 10,861 | | | Sirius XM Holdings, Inc.^ | | | 68,967 | |
| | 474 | | | TechTarget, Inc.* | | | 45,343 | |
| | 7,839 | | | Tegna, Inc. | | | 145,492 | |
| | 445 | | | ViacomCBS, Inc., Class A | | | 14,850 | |
| | 7,704 | | | ViacomCBS, Inc., Class B | | | 232,507 | |
| | | | | | | | |
| | | | | | | 7,361,128 | |
| | | | | | | | |
See accompanying notes to the financial statements.
17
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining (0.9%): | | | |
| | 5,171 | | | Alcoa Corp. | | $ | 308,088 | |
| | 4,528 | | | Allegheny Technologies, Inc.* | | | 72,131 | |
| | 799 | | | Ampco-Pittsburgh Corp.* | | | 3,995 | |
| | 3,002 | | | Arconic Corp.* | | | 99,096 | |
| | 1,138 | | | Carpenter Technology Corp. | | | 33,218 | |
| | 2,210 | | | Century Aluminum Co.* | | | 36,598 | |
| | 13,357 | | | Cleveland-Cliffs, Inc.* | | | 290,782 | |
| | 5,449 | | | Coeur Mining, Inc.* | | | 27,463 | |
| | 3,300 | | | Commercial Metals Co. | | | 119,757 | |
| | 702 | | | Compass Minerals International, Inc. | | | 35,858 | |
| | 7,323 | | | Ferroglobe plc* | | | 45,476 | |
| | 9,823 | | | Ferroglobe Unit*(a) | | | — | |
| | 841 | | | Fortitude Gold Corp. | | | 5,567 | |
| | 13,761 | | | Freeport-McMoRan, Inc. | | | 574,246 | |
| | 2,945 | | | Gold Resource Corp. | | | 4,594 | |
| | 943 | | | Haynes International, Inc. | | | 38,031 | |
| | 14,180 | | | Hecla Mining Co. | | | 74,020 | |
| | 151 | | | Kaiser Aluminum Corp. | | | 14,185 | |
| | 643 | | | Materion Corp. | | | 59,117 | |
| | 12,309 | | | McEwen Mining, Inc.* | | | 10,912 | |
| | 8,302 | | | Newmont Corp. | | | 514,890 | |
| | 6,998 | | | Nucor Corp. | | | 798,822 | |
| | 700 | | | Olympic Steel, Inc. | | | 16,450 | |
| | 1,439 | | | Reliance Steel & Aluminum Co. | | | 233,435 | |
| | 1,422 | | | Royal Gold, Inc. | | | 149,609 | |
| | 1,500 | | | Ryerson Holding Corp. | | | 39,075 | |
| | 1,365 | | | Schnitzer Steel Industries, Inc., Class A | | | 70,871 | |
| | 1,446 | | | Southern Copper Corp. | | | 89,233 | |
| | 6,814 | | | Steel Dynamics, Inc. | | | 422,945 | |
| | 3,673 | | | SunCoke Energy, Inc. | | | 24,205 | |
| | 760 | | | Synalloy Corp.* | | | 12,483 | |
| | 2,052 | | | TimkenSteel Corp.* | | | 33,858 | |
| | 7,629 | | | United States Steel Corp. | | | 181,646 | |
| | 548 | | | Universal Stainless & Alloy Products, Inc.* | | | 4,324 | |
| | 1,489 | | | Warrior Met Coal, Inc. | | | 38,282 | |
| | 1,135 | | | Worthington Industries, Inc. | | | 62,039 | |
| | | | | | | | |
| | | | | | | 4,545,301 | �� |
| | | | | | | | |
| Multiline Retail (0.7%): | | | |
| | 1,406 | | | Big Lots, Inc. | | | 63,340 | |
| | 1,248 | | | Dillard’s, Inc., Class A^ | | | 305,785 | |
| | 3,023 | | | Dollar General Corp. | | | 712,914 | |
| | 3,862 | | | Dollar Tree, Inc.* | | | 542,688 | |
| | 4,069 | | | Kohl’s Corp. | | | 200,968 | |
| | 10,647 | | | Macy’s, Inc. | | | 278,739 | |
| | 1,842 | | | Nordstrom, Inc.* | | | 41,666 | |
| | 1,737 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 88,917 | |
| | 6,499 | | | Target Corp. | | | 1,504,129 | |
| | | | | | | | |
| | | | | | | 3,739,146 | |
| | | | | | | | |
| Multi-Utilities (0.6%): | | | |
| | 2,267 | | | Ameren Corp. | | | 201,786 | |
| | 1,406 | | | Avista Corp. | | | 59,741 | |
| | 1,134 | | | Black Hills Corp. | | | 80,026 | |
| | 5,705 | | | CenterPoint Energy, Inc. | | | 159,226 | |
| | 2,837 | | | CMS Energy Corp. | | | 184,547 | |
| | 3,188 | | | Consolidated Edison, Inc. | | | 272,000 | |
| | 5,986 | | | Dominion Energy, Inc. | | | 470,260 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Multi-Utilities, continued | | | |
| | 1,902 | | | DTE Energy Co. | | $ | 227,365 | |
| | 5,409 | | | MDU Resources Group, Inc. | | | 166,814 | |
| | 6,003 | | | NiSource, Inc. | | | 165,743 | |
| | 993 | | | NorthWestern Corp. | | | 56,760 | |
| | 4,932 | | | Public Service Enterprise Group, Inc. | | | 329,112 | |
| | 2,268 | | | Sempra Energy | | | 300,011 | |
| | 305 | | | Unitil Corp. | | | 14,027 | |
| | 3,038 | | | WEC Energy Group, Inc. | | | 294,899 | |
| | | | | | | | |
| | | | | | | 2,982,317 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.2%): | | | |
| | 332 | | | Adams Resources & Energy, Inc. | | | 9,233 | |
| | 5,915 | | | Antero Midstream Corp. | | | 57,257 | |
| | 7,652 | | | Antero Resources Corp.* | | | 133,910 | |
| | 7,688 | | | APA Corp. | | | 206,730 | |
| | 432 | | | Arch Resources, Inc. | | | 39,450 | |
| | 1,988 | | | Berry Corp. | | | 16,739 | |
| | 990 | | | California Resources Corp. | | | 42,283 | |
| | 2,819 | | | Callon Petroleum Co.* | | | 133,198 | |
| | 6,243 | | | Centennial Resource Development, Inc., Class A* | | | 37,333 | |
| | 2,557 | | | Cheniere Energy, Inc. | | | 259,331 | |
| | 1,134 | | | Chesapeake Energy Corp. | | | 73,166 | |
| | 16,620 | | | Chevron Corp. | | | 1,950,357 | |
| | 1,149 | | | Civitas Resources, Inc. | | | 56,267 | |
| | 7,534 | | | Clean Energy Fuel Corp.* | | | 46,183 | |
| | 6,372 | | | CNX Resources Corp.* | | | 87,615 | |
| | 7,595 | | | Comstock Resources, Inc.* | | | 61,444 | |
| | 14,126 | | | ConocoPhillips | | | 1,019,615 | |
| | 1,846 | | | CONSOL Energy, Inc.* | | | 41,923 | |
| | 3,878 | | | Continental Resources, Inc. | | | 173,579 | |
| | 17,881 | | | Coterra Energy, Inc. | | | 339,739 | |
| | 2,225 | | | CVR Energy, Inc. | | | 37,402 | |
| | 2,204 | | | Delek US Holdings, Inc.* | | | 33,038 | |
| | 823 | | | Denbury, Inc.* | | | 63,034 | |
| | 23,604 | | | Devon Energy Corp. | | | 1,039,756 | |
| | 5,705 | | | DHT Holdings, Inc. | | | 29,609 | |
| | 2,202 | | | Diamondback Energy, Inc. | | | 237,486 | |
| | 58 | | | Dorian LPG, Ltd. | | | 736 | |
| | 1,125 | | | DT Midstream, Inc. | | | 53,977 | |
| | 11,550 | | | Enlink Midstream LLC | | | 79,580 | |
| | 6,280 | | | EOG Resources, Inc. | | | 557,852 | |
| | 7,807 | | | EQT Corp.* | | | 170,271 | |
| | 7,111 | | | Equitrans Midstream Corp. | | | 73,528 | |
| | 43,767 | | | Exxon Mobil Corp. | | | 2,678,103 | |
| | 1,014 | | | Green Plains, Inc.* | | | 35,247 | |
| | 5,293 | | | Hess Corp. | | | 391,841 | |
| | 4,760 | | | HollyFrontier Corp. | | | 156,033 | |
| | 1,180 | | | International Seaways, Inc. | | | 17,322 | |
| | 23,295 | | | Kinder Morgan, Inc. | | | 369,459 | |
| | 17,233 | | | Kosmos Energy, Ltd.* | | | 59,626 | |
| | 609 | | | Laredo Petroleum, Inc.* | | | 36,619 | |
| | 4,177 | | | Magnolia Oil & Gas Corp., Class A | | | 78,820 | |
| | 17,859 | | | Marathon Oil Corp. | | | 293,245 | |
| | 7,572 | | | Marathon Petroleum Corp. | | | 484,532 | |
| | 3,899 | | | Matador Resources Co. | | | 143,951 | |
| | 4,219 | | | Murphy Oil Corp. | | | 110,158 | |
| | 17,900 | | | Occidental Petroleum Corp. | | | 518,921 | |
| | 7,181 | | | ONEOK, Inc. | | | 421,956 | |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 4,281 | | | Ovintiv, Inc. | | $ | 144,270 | |
| | 2,936 | | | PAR Pacific Holdings, Inc.* | | | 48,415 | |
| | 3,458 | | | PBF Energy, Inc., Class A* | | | 44,850 | |
| | 3,014 | | | PDC Energy, Inc. | | | 147,023 | |
| | 4,173 | | | Peabody Energy Corp.* | | | 42,022 | |
| | 4,501 | | | Phillips 66 | | | 326,142 | |
| | 1,401 | | | PHX Minerals, Inc. | | | 3,040 | |
| | 1,849 | | | Pioneer Natural Resources Co. | | | 336,296 | |
| | 6 | | | PrimeEnergy Resources Corp.* | | | 414 | |
| | 4,715 | | | Range Resources Corp.* | | | 84,068 | |
| | 787 | | | Ranger Oil Corp.* | | | 21,186 | |
| | 1,426 | | | Renewable Energy Group, Inc.* | | | 60,519 | |
| | 374 | | | REX American Resources Corp.* | | | 35,904 | |
| | 1,682 | | | Scorpio Tankers, Inc. | | | 21,546 | |
| | 3,507 | | | SFL Corp., Ltd. | | | 28,582 | |
| | 4,141 | | | SM Energy Co. | | | 122,077 | |
| | 24,131 | | | Southwestern Energy Co.* | | | 112,450 | |
| | 3,310 | | | Talos Energy, Inc.* | | | 32,438 | |
| | 5,703 | | | Targa Resources Corp. | | | 297,925 | |
| | 6,407 | | | Teekay Shipping Corp.* | | | 20,118 | |
| | 1,031 | | | Teekay Tankers, Ltd., Class A* | | | 11,238 | |
| | 141 | | | Texas Pacific Land Corp. | | | 176,091 | |
| | 4,537 | | | Valero Energy Corp. | | | 340,774 | |
| | 853 | | | Whiting Petroleum Corp.* | | | 55,172 | |
| | 14,709 | | | Williams Cos., Inc. | | | 383,022 | |
| | 1,790 | | | World Fuel Services Corp. | | | 47,381 | |
| | | | | | | | |
| | | | | | | 15,900,417 | |
| | | | | | | | |
| Paper & Forest Products (0.1%): | | | |
| | 545 | | | Clearwater Paper Corp.* | | | 19,985 | |
| | 2,520 | | | Glatfelter Corp. | | | 43,344 | |
| | 3,240 | | | Louisiana-Pacific Corp. | | | 253,854 | |
| | 3,875 | | | Mercer International, Inc. | | | 46,461 | |
| | 617 | | | Neenah, Inc. | | | 28,555 | |
| | 2,344 | | | Resolute Forest Products | | | 35,793 | |
| | 665 | | | Schweitzer-Mauduit International, Inc. | | | 19,883 | |
| | 474 | | | Sylvamo Corp.* | | | 13,220 | |
| | 2,251 | | | Verso Corp. | | | 60,822 | |
| | | | | | | | |
| | | | | | | 521,917 | |
| | | | | | | | |
| Personal Products (0.2%): | | | |
| | 12,350 | | | Coty, Inc., Class A* | | | 129,675 | |
| | 1,291 | | | Edgewell Personal Care Co. | | | 59,012 | |
| | 854 | | | elf Beauty, Inc.* | | | 28,361 | |
| | 1,689 | | | Estee Lauder Co., Inc. (The), Class A | | | 625,268 | |
| | 2,298 | | | Herbalife Nutrition, Ltd.* | | | 94,057 | |
| | 594 | | | Inter Parfums, Inc. | | | 63,498 | |
| | 186 | | | Medifast, Inc. | | | 38,954 | |
| | 1,236 | | | Natures Sunshine Products, Inc. | | | 22,866 | |
| | 1,116 | | | Nu Skin Enterprises, Inc., Class A | | | 56,637 | |
| | 340 | | | United-Guardian, Inc. | | | 5,576 | |
| | 645 | | | Usana Health Sciences, Inc.* | | | 65,274 | |
| | | | | | | | |
| | | | | | | 1,189,178 | |
| | | | | | | | |
| Pharmaceuticals (3.1%): | | | |
| | 2,003 | | | Amphastar Pharmaceuticals, Inc.* | | | 46,650 | |
| | 900 | | | ANI Pharmaceuticals, Inc.* | | | 41,472 | |
| | 885 | | | Assembly Biosciences, Inc.* | | | 2,062 | |
| | 20,544 | | | Bristol-Myers Squibb Co. | | | 1,280,918 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Pharmaceuticals, continued | | | |
| | 2,125 | | | Catalent, Inc.* | | $ | 272,064 | |
| | 1,951 | | | Corcept Therapeutics, Inc.* | | | 38,630 | |
| | 1,468 | | | Cumberland Pharmaceuticals, Inc.* | | | 6,856 | |
| | 1,054 | | | Cymabay Therapeutics, Inc.* | | | 3,563 | |
| | 6,155 | | | Elanco Animal Health, Inc.* | | | 174,679 | |
| | 7,636 | | | Eli Lilly & Co. | | | 2,109,216 | |
| | 8,827 | | | Endo International plc* | | | 33,189 | |
| | 1,104 | | | Harmony Biosciences Holdings, Inc.* | | | 47,075 | |
| | 2,388 | | | Horizon Therapeutics plc* | | | 257,331 | |
| | 3,292 | | | Innoviva, Inc.* | | | 56,787 | |
| | 1,338 | | | Intra-Cellular Therapies, Inc.* | | | 70,031 | |
| | 1,466 | | | Jazz Pharmaceuticals plc* | | | 186,768 | |
| | 27,855 | | | Johnson & Johnson | | | 4,765,155 | |
| | 2,281 | | | Lannett Co., Inc.* | | | 3,695 | |
| | 22,984 | | | Merck & Co., Inc. | | | 1,761,494 | |
| | 3,567 | | | Nektar Therapeutics* | | | 48,190 | |
| | 4,552 | | | Organon & Co. | | | 138,608 | |
| | 1,317 | | | Otonomy, Inc.* | | | 2,739 | |
| | 3,223 | | | Perrigo Co. plc | | | 125,375 | |
| | 41,982 | | | Pfizer, Inc. | | | 2,479,037 | |
| | 793 | | | Phibro Animal Health Corp., Class A | | | 16,193 | |
| | 1,580 | | | Prestige Consumer Healthcare, Inc.* | | | 95,827 | |
| | 4,082 | | | Royalty Pharma plc, Class A | | | 162,668 | |
| | 1,789 | | | Supernus Pharmaceuticals, Inc.* | | | 52,167 | |
| | 923 | | | Taro Pharmaceutical Industries, Ltd.* | | | 46,252 | |
| | 14,776 | | | Viatris, Inc. | | | 199,919 | |
| | 4,336 | | | Zoetis, Inc. | | | 1,058,114 | |
| | 1,297 | | | Zogenix, Inc.* | | | 21,076 | |
| | | | | | | | |
| | | | | | | 15,603,800 | |
| | | | | | | | |
| Professional Services (1.0%): | | | |
| | 1,184 | | | ASGN, Inc.* | | | 146,106 | |
| | 494 | | | Barrett Business Services, Inc. | | | 34,116 | |
| | 3,676 | | | Booz Allen Hamilton Holding Corp. | | | 311,688 | |
| | 549 | | | CACI International, Inc., Class A* | | | 147,796 | |
| | 1,617 | | | CBIZ, Inc.* | | | 63,257 | |
| | 2,143 | | | Clarivate plc* | | | 50,403 | |
| | 3,570 | | | CoStar Group, Inc.* | | | 282,137 | |
| | 456 | | | CRA International, Inc. | | | 42,572 | |
| | 1,531 | | | Equifax, Inc. | | | 448,262 | |
| | 1,104 | | | Exponent, Inc. | | | 128,870 | |
| | 825 | | | Forrester Research, Inc.* | | | 48,452 | |
| | 723 | | | FTI Consulting, Inc.* | | | 110,923 | |
| | 421 | | | Heidrick & Struggles International, Inc. | | | 18,410 | |
| | 466 | | | Hill International, Inc.* | | | 909 | |
| | 660 | | | Huron Consulting Group, Inc.* | | | 32,934 | |
| | 329 | | | ICF International, Inc. | | | 33,739 | |
| | 3,021 | | | IHS Markit, Ltd. | | | 401,551 | |
| | 514 | | | Insperity, Inc. | | | 60,709 | |
| | 3,410 | | | KBR, Inc. | | | 162,384 | |
| | 1,042 | | | Kelly Services, Inc., Class A | | | 17,474 | |
| | 577 | | | Kforce, Inc. | | | 43,402 | |
| | 1,558 | | | Korn Ferry | | | 117,987 | |
| | 2,557 | | | Leidos Holdings, Inc. | | | 227,317 | |
| | 1,391 | | | ManpowerGroup, Inc. | | | 135,386 | |
| | 840 | | | ManTech International Corp., Class A | | | 61,261 | |
| | 659 | | | Mistras Group, Inc.* | | | 4,896 | |
| | 11,810 | | | Nielsen Holdings plc | | | 242,223 | |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services, continued | | | |
| | 2,125 | | | Resources Connection, Inc. | | $ | 37,910 | |
| | 3,000 | | | Robert Half International, Inc. | | | 334,560 | |
| | 1,873 | | | Science Applications International Corp. | | | 156,564 | |
| | 2,719 | | | TransUnion | | | 322,419 | |
| | 1,894 | | | TriNet Group, Inc.* | | | 180,423 | |
| | 1,029 | | | Trueblue, Inc.* | | | 28,473 | |
| | 1,755 | | | Verisk Analytics, Inc. | | | 401,421 | |
| | 633 | | | Willdan Group, Inc.* | | | 22,282 | |
| | | | | | | | |
| | | | | | | 4,859,216 | |
| | | | | | | | |
| Real Estate Management & Devel (0.0%†): | | | |
| | 1,549 | | | Douglas Elliman, Inc.* | | | 17,814 | |
| | | | | | | | |
| Real Estate Management & Development (0.3%): | | | |
| | 4,164 | | | CBRE Group, Inc., Class A* | | | 451,836 | |
| | 2,451 | | | Cushman & Wakefield plc* | | | 54,510 | |
| | 1,163 | | | eXp World Holdings, Inc. | | | 39,182 | |
| | 279 | | | Forestar Group, Inc.* | | | 6,068 | |
| | 232 | | | FRP Holdings, Inc.* | | | 13,410 | |
| | 1,280 | | | Howard Hughes Corp. (The)* | | | 130,278 | |
| | 323 | | | Indus Realty Trust, Inc. | | | 26,182 | |
| | 954 | | | Jones Lang LaSalle, Inc.* | | | 256,950 | |
| | 4,260 | | | Kennedy-Wilson Holdings, Inc. | | | 101,729 | |
| | 977 | | | Marcus & Millichap, Inc.* | | | 50,276 | |
| | 5,729 | | | Newmark Group, Inc. | | | 107,132 | |
| | 4,541 | | | Opendoor Technologies, Inc.* | | | 66,344 | |
| | 997 | | | Rafael Holdings, Inc., Class B* | | | 5,085 | |
| | 910 | | | RE/MAX Holdings, Inc., Class A | | | 27,746 | |
| | 3,814 | | | Realogy Holdings Corp.* | | | 64,113 | |
| | 681 | | | Redfin Corp.* | | | 26,144 | |
| | 1,447 | | | Tejon Ranch Co.* | | | 27,609 | |
| | 357 | | | The RMR Group, Inc., Class A | | | 12,381 | |
| | 1,857 | | | The St Joe Co. | | | 96,657 | |
| | | | | | | | |
| | | | | | | 1,563,632 | |
| | | | | | | | |
| Road & Rail (1.4%): | | | |
| | 346 | | | AMERCO, Inc. | | | 251,276 | |
| | 757 | | | ArcBest Corp. | | | 90,726 | |
| | 1,730 | | | Avis Budget Group, Inc.* | | | 358,750 | |
| | 4,150 | | | Canadian Pacific Railway, Ltd. | | | 298,551 | |
| | 419 | | | Covenant Logistics Group, Inc.* | | | 11,074 | |
| | 20,522 | | | CSX Corp. | | | 771,627 | |
| | 1,925 | | | Heartland Express, Inc. | | | 32,379 | |
| | 1,793 | | | J.B. Hunt Transport Services, Inc. | | | 366,489 | |
| | 4,311 | | | Knight-Swift Transportation Holdings, Inc. | | | 262,712 | |
| | 896 | | | Landstar System, Inc. | | | 160,402 | |
| | 1,740 | | | Lyft, Inc., Class A* | | | 74,350 | |
| | 2,410 | | | Marten Transport, Ltd. | | | 41,356 | |
| | 2,245 | | | Norfolk Southern Corp. | | | 668,359 | |
| | 1,887 | | | Old Dominion Freight Line, Inc. | | | 676,263 | |
| | 800 | | | P.A.M. Transportation SVCS* | | | 56,808 | |
| | 1,902 | | | Ryder System, Inc. | | | 156,782 | |
| | 576 | | | Saia, Inc.* | | | 194,129 | |
| | 2,500 | | | Schneider National, Inc., Class B | | | 67,275 | |
| | 6,290 | | | Uber Technologies, Inc.* | | | 263,740 | |
| | 8,160 | | | Union Pacific Corp. | | | 2,055,749 | |
| | 586 | | | Universal Logistics Holdings, Inc. | | | 11,052 | |
| | 1,023 | | | USA Truck, Inc.* | | | 20,337 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 2,378 | | | Werner Enterprises, Inc. | | $ | 113,336 | |
| | 1,829 | | | Yellow Corp.* | | | 23,027 | |
| | | | | | | | |
| | | | | | | 7,026,549 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (6.0%): | | | |
| | 870 | | | Advanced Energy Industries, Inc. | | | 79,222 | |
| | 9,116 | | | Advanced Micro Devices, Inc.* | | | 1,311,792 | |
| | 1,120 | | | Alpha & Omega Semiconductor, Ltd.* | | | 67,827 | |
| | 630 | | | Ambarella, Inc.* | | | 127,821 | |
| | 8,710 | | | Amkor Technology, Inc. | | | 215,921 | |
| | 5,357 | | | Analog Devices, Inc. | | | 941,600 | |
| | 7,890 | | | Applied Materials, Inc. | | | 1,241,570 | |
| | 608 | | | Axcelis Technologies, Inc.* | | | 45,333 | |
| | 1,701 | | | AXT, Inc.* | | | 14,986 | |
| | 1,411 | | | Azenta, Inc. | | | 145,488 | |
| | 4,534 | | | Broadcom, Inc. | | | 3,016,969 | |
| | 437 | | | CEVA, Inc.* | | | 18,896 | |
| | 1,136 | | | Cirrus Logic, Inc.* | | | 104,535 | |
| | 697 | | | CMC Materials, Inc. | | | 133,608 | |
| | 2,261 | | | Cohu, Inc.* | | | 86,122 | |
| | 1,027 | | | Diodes, Inc.* | | | 112,775 | |
| | 1,101 | | | Enphase Energy, Inc.* | | | 201,417 | |
| | 1,512 | | | Entegris, Inc. | | | 209,533 | |
| | 2,177 | | | First Solar, Inc.* | | | 189,747 | |
| | 1,662 | | | FormFactor, Inc.* | | | 75,987 | |
| | 1,314 | | | GSI Technology, Inc.* | | | 6,084 | |
| | 948 | | | Ichor Holdings, Ltd.* | | | 43,636 | |
| | 64,288 | | | Intel Corp. | | | 3,310,832 | |
| | 1,853 | | | KLA Corp. | | | 796,994 | |
| | 1,562 | | | Kulicke & Soffa Industries, Inc. | | | 94,563 | |
| | 1,575 | | | Lam Research Corp. | | | 1,132,661 | |
| | 2,049 | | | Lattice Semiconductor Corp.* | | | 157,896 | |
| | 876 | | | MA-COM Technology Solutions Holdings, Inc.* | | | 68,591 | |
| | 10,107 | | | Marvell Technology, Inc. | | | 884,261 | |
| | 1,132 | | | MaxLinear, Inc., Class A* | | | 85,342 | |
| | 4,383 | | | Microchip Technology, Inc. | | | 381,584 | |
| | 11,595 | | | Micron Technology, Inc. | | | 1,080,074 | |
| | 1,341 | | | MKS Instruments, Inc. | | | 233,562 | |
| | 334 | | | Monolithic Power Systems, Inc. | | | 164,772 | |
| | 1,500 | | | Neophotonics Corp.* | | | 23,055 | |
| | 150 | | | NVE Corp. | | | 10,245 | |
| | 16,996 | | | NVIDIA Corp. | | | 4,998,694 | |
| | 592 | | | NXP Semiconductors NV | | | 134,846 | |
| | 5,936 | | | ON Semiconductor Corp.* | | | 403,173 | |
| | 1,334 | | | Onto Innovation, Inc.* | | | 135,041 | |
| | 1,438 | | | PDF Solutions, Inc.* | | | 45,714 | |
| | 2,358 | | | Photronics, Inc.* | | | 44,448 | |
| | 1,116 | | | Power Integrations, Inc. | | | 103,665 | |
| | 1,567 | | | Qorvo, Inc.* | | | 245,063 | |
| | 13,444 | | | Qualcomm, Inc. | | | 2,458,504 | |
| | 2,888 | | | Rambus, Inc.* | | | 84,878 | |
| | 1,305 | | | Semtech Corp.* | | | 116,054 | |
| | 867 | | | Silicon Laboratories, Inc.* | | | 178,966 | |
| | 2,322 | | | Skyworks Solutions, Inc. | | | 360,235 | |
| | 1,151 | | | SMART Global Holdings, Inc.* | | | 81,710 | |
| | 371 | | | SolarEdge Technologies, Inc.* | | | 104,091 | |
| | 1,754 | | | SunPower Corp.*^ | | | 36,606 | |
| | 834 | | | Synaptics, Inc.* | | | 241,451 | |
See accompanying notes to the financial statements.
20
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 2,449 | | | Teradyne, Inc. | | $ | 400,485 | |
| | 10,811 | | | Texas Instruments, Inc. | | | 2,037,549 | |
| | 1,251 | | | Ultra Clean Holdings, Inc.* | | | 71,757 | |
| | 885 | | | Universal Display Corp. | | | 146,052 | |
| | 1,442 | | | Veeco Instruments, Inc.* | | | 41,054 | |
| | 1,114 | | | Wolfspeed, Inc.* | | | 124,512 | |
| | 3,065 | | | Xilinx, Inc. | | | 649,872 | |
| | | | | | | | |
| | | | | | | 30,059,721 | |
| | | | | | | | |
| Software (7.4%): | | | |
| | 3,453 | | | ACI Worldwide, Inc.* | | | 119,819 | |
| | 3,583 | | | Adobe, Inc.* | | | 2,031,776 | |
| | 695 | | | Alarm.com Holding, Inc.* | | | 58,943 | |
| | 583 | | | Altair Engineering, Inc.* | | | 45,078 | |
| | 591 | | | Alteryx, Inc., Class A* | | | 35,755 | |
| | 1,009 | | | American Software, Inc., Class A | | | 26,405 | |
| | 734 | | | ANSYS, Inc.* | | | 294,422 | |
| | 858 | | | Asana, Inc.* | | | 63,964 | |
| | 1,409 | | | Aspen Technology, Inc.* | | | 214,450 | |
| | 1,215 | | | Atlassian Corp. plc, Class A* | | | 463,267 | |
| | 2,154 | | | Autodesk, Inc.* | | | 605,683 | |
| | 813 | | | Avalara, Inc.* | | | 104,966 | |
| | 1,879 | | | Avaya Holdings Corp.* | | | 37,204 | |
| | 2,272 | | | Aware, Inc.* | | | 7,157 | |
| | 691 | | | Bill.com Holdings, Inc.* | | | 172,163 | |
| | 1,196 | | | Blackbaud, Inc.* | | | 94,460 | |
| | 3 | | | Blackline, Inc.* | | | 311 | |
| | 794 | | | Bottomline Technologies, Inc.* | | | 44,837 | |
| | 2,029 | | | Box, Inc.* | | | 53,139 | |
| | 2,111 | | | Cadence Design Systems, Inc.* | | | 393,385 | |
| | 2,601 | | | CDK Global, Inc. | | | 108,566 | |
| | 820 | | | Cerence, Inc.* | | | 62,845 | |
| | 1,198 | | | Ceridian HCM Holding, Inc.* | | | 125,143 | |
| | 1,606 | | | Citrix Systems, Inc. | | | 151,912 | |
| | 519 | | | Cloudflare, Inc., Class A* | | | 68,248 | |
| | 1,830 | | | Cognyte Software, Ltd.* | | | 28,676 | |
| | 505 | | | CommVault Systems, Inc.* | | | 34,805 | |
| | 491 | | | Consensus Cloud Solutions, Inc.* | | | 28,414 | |
| | 639 | | | Coupa Software, Inc.* | | | 100,994 | |
| | 487 | | | Crowdstrike Holdings, Inc., Class A* | | | 99,713 | |
| | 638 | | | Datadog, Inc., Class A* | | | 113,634 | |
| | 513 | | | DocuSign, Inc.* | | | 78,135 | |
| | 5,645 | | | Dropbox, Inc., Class A* | | | 138,528 | |
| | 1,822 | | | Dynatrace, Inc.* | | | 109,958 | |
| | 1,380 | | | Ebix, Inc. | | | 41,952 | |
| | 622 | | | Elastic NV* | | | 76,562 | |
| | 990 | | | Envestnet, Inc.* | | | 78,547 | |
| | 429 | | | Everbridge, Inc.* | | | 28,885 | |
| | 519 | | | Fair Isaac Corp.* | | | 225,075 | |
| | 337 | | | Five9, Inc.* | | | 46,277 | |
| | 2,322 | | | Fortinet, Inc.* | | | 834,527 | |
| | 485 | | | Globant SA* | | | 152,334 | |
| | 1,145 | | | Guidewire Software, Inc.* | | | 129,992 | |
| | 179 | | | HubSpot, Inc.* | | | 117,988 | |
| | 2,145 | | | Intuit, Inc. | | | 1,379,707 | |
| | 1,474 | | | J2 Global, Inc.* | | | 163,408 | |
| | 1,784 | | | Mandiant, Inc.* | | | 31,291 | |
| | 1,094 | | | Manhattan Associates, Inc.* | | | 170,106 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 62,637 | | | Microsoft Corp. | | $ | 21,066,076 | |
| | 1,654 | | | N-Able, Inc.* | | | 18,359 | |
| | 600 | | | New Relic, Inc.* | | | 65,976 | |
| | 5,406 | | | NortonLifeLock, Inc. | | | 140,448 | |
| | 3,699 | | | Nuance Communications, Inc.* | | | 204,629 | |
| | 3,580 | | | Nutanix, Inc., Class A* | | | 114,059 | |
| | 879 | | | OneSpan, Inc.* | | | 14,881 | |
| | 11,328 | | | Oracle Corp. | | | 987,915 | |
| | 7,336 | | | Palantir Technologies, Inc., Class A* | | | 133,589 | |
| | 332 | | | Palo Alto Networks, Inc.* | | | 184,844 | |
| | 513 | | | Paycom Software, Inc.* | | | 212,992 | |
| | 443 | | | Paylocity Holding Corp.* | | | 104,619 | |
| | 565 | | | Pegasystems, Inc. | | | 63,178 | |
| | 947 | | | Progress Software Corp. | | | 45,712 | |
| | 1,146 | | | PTC, Inc.* | | | 138,838 | |
| | 389 | | | Q2 Holdings, Inc.* | | | 30,902 | |
| | 894 | | | Qualys, Inc.* | | | 122,675 | |
| | 2,745 | | | RealNetworks, Inc.* | | | 2,690 | |
| | 371 | | | RingCentral, Inc., Class A* | | | 69,507 | |
| | 899 | | | Sailpoint Technologies Holdings, Inc.* | | | 43,458 | |
| | 5,162 | | | salesforce.com, Inc.* | | | 1,311,819 | |
| | 1,200 | | | Sapiens International Corp. NV | | | 41,340 | |
| | 512 | | | ServiceNow, Inc.* | | | 332,344 | |
| | 1,163 | | | Smartsheet, Inc., Class A* | | | 90,074 | |
| | 710 | | | Splunk, Inc.* | | | 82,161 | |
| | 347 | | | SPS Commerce, Inc.* | | | 49,395 | |
| | 3,224 | | | SS&C Technologies Holdings, Inc. | | | 264,303 | |
| | 2,279 | | | Synchronoss Technologies, Inc.* | | | 5,561 | |
| | 851 | | | Synopsys, Inc.* | | | 313,593 | |
| | 2,670 | | | The Trade Desk, Inc., Class A* | | | 244,679 | |
| | 328 | | | Tyler Technologies, Inc.* | | | 176,448 | |
| | 1,103 | | | Varonis Systems, Inc.* | | | 53,804 | |
| | 1,022 | | | Verint Systems, Inc.* | | | 53,665 | |
| | 1,567 | | | VMware, Inc., Class A | | | 181,584 | |
| | 2,930 | | | Vonage Holdings Corp.* | | | 60,915 | |
| | 758 | | | Workday, Inc., Class A* | | | 207,070 | |
| | 295 | | | Workiva, Inc.* | | | 38,495 | |
| | 7,046 | | | Xperi Holding Corp. | | | 133,240 | |
| | 645 | | | Zendesk, Inc.* | | | 67,267 | |
| | 185 | | | Zoom Video Communications, Inc., Class A* | | | 34,023 | |
| | 566 | | | Zscaler, Inc.* | | | 181,873 | |
| | | | | | | | |
| | | | | | | 37,282,406 | |
| | | | | | | | |
| Specialty Retail (2.7%): | | | |
| | 1,093 | | | Aaron’s Co., Inc. (The) | | | 26,942 | |
| | 2,382 | | | Abercrombie & Fitch Co., Class A* | | | 82,965 | |
| | 1,111 | | | Advance Auto Parts, Inc. | | | 266,507 | |
| | 5,007 | | | American Eagle Outfitters, Inc. | | | 126,777 | |
| | 200 | | | America’s Car Mart, Inc.* | | | 20,480 | |
| | 793 | | | Asbury Automotive Group, Inc.* | | | 136,975 | |
| | 2,111 | | | AutoNation, Inc.* | | | 246,670 | |
| | 211 | | | AutoZone, Inc.* | | | 442,338 | |
| | 3,164 | | | Barnes & Noble Education, Inc.* | | | 21,547 | |
| | 3,437 | | | Bed Bath & Beyond, Inc.* | | | 50,111 | |
| | 4,898 | | | Best Buy Co., Inc. | | | 497,637 | |
| | 1,657 | | | Big 5 Sporting Goods Corp.^ | | | 31,500 | |
| | 841 | | | Boot Barn Holdings, Inc.* | | | 103,485 | |
| | 583 | | | Build-A-Bear Workshop, Inc. | | | 11,380 | |
See accompanying notes to the financial statements.
21
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail, continued | | | |
| | 760 | | | Burlington Stores, Inc.* | | $ | 221,548 | |
| | 2,280 | | | Caleres, Inc. | | | 51,710 | |
| | 2,685 | | | CarMax, Inc.* | | | 349,668 | |
| | 155 | | | Carvana Co.* | | | 35,927 | |
| | 1,987 | | | Cato Corp., Class A | | | 34,097 | |
| | 7,822 | | | Chico’s FAS, Inc.* | | | 42,082 | |
| | 881 | | | Citi Trends, Inc.* | | | 83,475 | |
| | 1,572 | | | Conn’s, Inc.* | | | 36,973 | |
| | 3,425 | | | Designer Brands, Inc., Class A* | | | 48,669 | |
| | 2,039 | | | Dick’s Sporting Goods, Inc. | | | 234,465 | |
| | 1,302 | | | Five Below, Inc.* | | | 269,371 | |
| | 2,136 | | | Floor & Decor Holdings, Inc., Class A* | | | 277,701 | |
| | 3,374 | | | Foot Locker, Inc. | | | 147,208 | |
| | 8,563 | | | Gap, Inc. (The) | | | 151,137 | |
| | 435 | | | Genesco, Inc.* | | | 27,914 | |
| | 630 | | | Group 1 Automotive, Inc. | | | 122,989 | |
| | 2,846 | | | Guess?, Inc. | | | 67,393 | |
| | 583 | | | Haverty Furniture Cos., Inc. | | | 17,822 | |
| | 499 | | | Hibbett, Inc. | | | 35,893 | |
| | 8,873 | | | Home Depot, Inc. (The) | | | 3,682,384 | |
| | 717 | | | Lithia Motors, Inc. | | | 212,913 | |
| | 4,934 | | | Lowe’s Cos., Inc. | | | 1,275,340 | |
| | 527 | | | MarineMax, Inc.* | | | 31,114 | |
| | 751 | | | Monro, Inc. | | | 43,761 | |
| | 877 | | | Murphy U.S.A., Inc. | | | 174,734 | |
| | 1,200 | | | National Vision Holdings, Inc.* | | | 57,588 | |
| | 1,542 | | | ODP Corp. (The)* | | | 60,570 | |
| | 525 | | | O’Reilly Automotive, Inc.* | | | 370,771 | |
| | 1,891 | | | Penske Automotive Group, Inc. | | | 202,753 | |
| | 1,792 | | | Rent-A-Center, Inc. | | | 86,088 | |
| | 296 | | | RH* | | | 158,638 | |
| | 5,705 | | | Ross Stores, Inc. | | | 651,967 | |
| | 1,832 | | | Sally Beauty Holdings, Inc.* | | | 33,819 | |
| | 1,200 | | | Shoe Carnival, Inc. | | | 46,896 | |
| | 1,393 | | | Signet Jewelers, Ltd. | | | 121,233 | |
| | 472 | | | Sleep Number Corp.* | | | 36,155 | |
| | 844 | | | Sonic Automotive, Inc., Class A | | | 41,736 | |
| | 1,606 | | | Sportsman’s Warehouse Holdings, Inc.* | | | 18,951 | |
| | 1,722 | | | The Buckle, Inc. | | | 72,858 | |
| | 501 | | | The Children’s Place, Inc.* | | | 39,724 | |
| | 854 | | | Tilly’s, Inc. | | | 13,758 | |
| | 7,948 | | | TJX Cos., Inc. (The) | | | 603,412 | |
| | 1,642 | | | Tractor Supply Co. | | | 391,781 | |
| | 1,068 | | | Ulta Beauty, Inc.* | | | 440,379 | |
| | 2,187 | | | Urban Outfitters, Inc.* | | | 64,210 | |
| | 594 | | | Victoria’s Secret & Co.* | | | 32,991 | |
| | 1,871 | | | Williams-Sonoma, Inc. | | | 316,442 | |
| | 75 | | | Winmark Corp. | | | 18,622 | |
| | 729 | | | Zumiez, Inc.* | | | 34,985 | |
| | | | | | | | |
| | | | | | | 13,657,929 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (5.5%): | | | |
| | 2,378 | | | 3D Systems Corp.* | | | 51,222 | |
| | 144,440 | | | Apple, Inc. | | | 25,648,211 | |
| | 728 | | | AstroNova, Inc.* | | | 9,828 | |
| | 1,682 | | | Avid Technology, Inc.* | | | 54,783 | |
| | 1,874 | | | Dell Technologies, Inc., Class C* | | | 105,262 | |
| | 17,708 | | | Hewlett Packard Enterprise Co. | | | 279,255 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals, continued | | | |
| | 10,874 | | | HP, Inc. | | $ | 409,624 | |
| | 4,627 | | | NCR Corp.* | | | 186,005 | |
| | 2,576 | | | NetApp, Inc. | | | 236,966 | |
| | 4,094 | | | Pure Storage, Inc., Class A* | | | 133,260 | |
| | 2,694 | | | Seagate Technology Holdings plc | | | 304,368 | |
| | 1,794 | | | Stratasys, Ltd.* | | | 43,935 | |
| | 4,585 | | | Western Digital Corp.* | | | 298,988 | |
| | 4,758 | | | Xerox Holdings Corp. | | | 107,721 | |
| | | | | | | | |
| | | | | | | 27,869,428 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.0%): | | | |
| | 3,367 | | | Capri Holdings, Ltd.* | | | 218,552 | |
| | 1,250 | | | Carter’s, Inc. | | | 126,525 | |
| | 1,677 | | | Columbia Sportswear Co. | | | 163,407 | |
| | 1,693 | | | Crocs, Inc.* | | | 217,077 | |
| | 810 | | | Culp, Inc. | | | 7,703 | |
| | 624 | | | Deckers Outdoor Corp.* | | | 228,577 | |
| | 1,494 | | | Fossil Group, Inc.* | | | 15,373 | |
| | 2,480 | | | G-III Apparel Group, Ltd.* | | | 68,547 | |
| | 9,857 | | | Hanesbrands, Inc. | | | 164,809 | |
| | 795 | | | Kontoor Brands, Inc. | | | 40,744 | |
| | 1,887 | | | Levi Strauss & Co. | | | 47,232 | |
| | 1,042 | | | Lululemon Athletica, Inc.* | | | 407,891 | |
| | 1,551 | | | Movado Group, Inc. | | | 64,878 | |
| | 10,808 | | | Nike, Inc., Class B | | | 1,801,369 | |
| | 405 | | | Oxford Industries, Inc. | | | 41,116 | |
| | 1,441 | | | PVH Corp. | | | 153,683 | |
| | 1,225 | | | Ralph Lauren Corp. | | | 145,604 | |
| | 570 | | | Rocky Brands, Inc. | | | 22,686 | |
| | 3,202 | | | Skechers U.S.A., Inc., Class A* | | | 138,967 | |
| | 1,560 | | | Steven Madden, Ltd. | | | 72,493 | |
| | 700 | | | Superior Group of Cos., Inc. | | | 15,358 | |
| | 6,144 | | | Tapestry, Inc. | | | 249,446 | |
| | 3,369 | | | Under Armour, Inc., Class A* | | | 71,389 | |
| | 3,746 | | | Under Armour, Inc., Class C* | | | 67,578 | |
| | 1,027 | | | Unifi, Inc.* | | | 23,775 | |
| | 802 | | | Vera Bradley, Inc.* | | | 6,825 | |
| | 3,169 | | | VF Corp. | | | 232,034 | |
| | 1,153 | | | Wolverine World Wide, Inc. | | | 33,218 | |
| | | | | | | | |
| | | | | | | 4,846,856 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.4%): | | | |
| | 1,866 | | | Axos Financial, Inc.* | | | 104,328 | |
| | 1,591 | | | BankFinancial Corp. | | | 16,976 | |
| | 3,362 | | | Capitol Federal Financial, Inc. | | | 38,091 | |
| | 2,223 | | | Columbia Financial, Inc.* | | | 46,372 | |
| | 855 | | | ESSA Bancorp, Inc. | | | 14,817 | |
| | 3,469 | | | Essent Group, Ltd. | | | 157,944 | |
| | 403 | | | Federal Agricultural Mortgage Corp. | | | 49,944 | |
| | 408 | | | First Capital, Inc. | | | 16,300 | |
| | 1,989 | | | Flagstar Bancorp, Inc. | | | 95,353 | |
| | 8 | | | Greene County Bancorp, Inc. | | | 294 | |
| | 62 | | | Hingham Institution for Savings | | | 26,033 | |
| | 628 | | | HomeStreet, Inc. | | | 32,656 | |
| | 413 | | | IF Bancorp, Inc. | | | 10,255 | |
| | 2,442 | | | Kearny Financial Corp. | | | 32,357 | |
| | 1,249 | | | Kentucky First Federal Bancorp | | | 9,393 | |
| | 750 | | | Lake Shore Bancorp, Inc. | | | 11,310 | |
See accompanying notes to the financial statements.
22
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Thrifts & Mortgage Finance, continued | | | |
| | 194 | | | LendingTree, Inc.* | | $ | 23,784 | |
| | 1,240 | | | Meta Financial Group, Inc. | | | 73,978 | |
| | 10,413 | | | MGIC Investment Corp. | | | 150,155 | |
| | 2,681 | | | Mr Cooper Group, Inc.* | | | 111,556 | |
| | 11,597 | | | New York Community Bancorp, Inc. | | | 141,599 | |
| | 2,461 | | | NMI Holdings, Inc., Class A* | | | 53,773 | |
| | 1,501 | | | Northfield Bancorp, Inc. | | | 24,256 | |
| | 3,456 | | | Northwest Bancshares, Inc. | | | 48,937 | |
| | 1,932 | | | Oceanfirst Financial Corp. | | | 42,890 | |
| | 503 | | | Oconee Federal Financial Corp. | | | 10,965 | |
| | 465 | | | Ocwen Financial Corp.* | | | 18,586 | |
| | 1,369 | | | Premier Financial Corp. | | | 42,316 | |
| | 679 | | | Provident Financial Holdings, Inc. | | | 11,237 | |
| | 2,256 | | | Provident Financial Services, Inc. | | | 54,640 | |
| | 5,556 | | | Radian Group, Inc. | | | 117,398 | |
| | 420 | | | Riverview Bancorp, Inc. | | | 3,230 | |
| | 561 | | | Southern Missouri Bancorp, Inc. | | | 29,267 | |
| | 1,764 | | | Sterling Bancorp, Inc.* | | | 10,143 | |
| | 733 | | | Territorial Bancorp, Inc. | | | 18,508 | |
| | 4,281 | | | TFS Financial Corp. | | | 76,502 | |
| | 559 | | | TrustCo Bank Corp. NY | | | 18,620 | |
| | 2,436 | | | Washington Federal, Inc. | | | 81,314 | |
| | 728 | | | Waterstone Financial, Inc. | | | 15,914 | |
| | 1,074 | | | Wawlker & Dunlop, Inc. | | | 162,045 | |
| | 1,498 | | | Western New England BanCorp, Inc. | | | 13,123 | |
| | 1,389 | | | WSFS Financial Corp. | | | 69,617 | |
| | | | | | | | |
| | | | | | | 2,086,776 | |
| | | | | | | | |
| Tobacco (0.3%): | | | |
| | 13,165 | | | Altria Group, Inc. | | | 623,889 | |
| | 10,451 | | | Philip Morris International, Inc. | | | 992,845 | |
| | 518 | | | Universal Corp. | | | 28,449 | |
| | 3,098 | | | Vector Group, Ltd. | | | 35,565 | |
| | | | | | | | |
| | | | | | | 1,680,748 | |
| | | | | | | | |
| Trading Companies & Distributors (0.8%): | | | |
| | 3,334 | | | Air Lease Corp. | | | 147,463 | |
| | 948 | | | Applied Industrial Technologies, Inc. | | | 97,360 | |
| | 2,106 | | | Beacon Roofing Supply, Inc.* | | | 120,779 | |
| | 1,071 | | | Boise Cascade Co. | | | 76,255 | |
| | 644 | | | DXP Enterprises, Inc.* | | | 16,531 | |
| | 7,240 | | | Fastenal Co. | | | 463,794 | |
| | 876 | | | GATX Corp. | | | 91,270 | |
| | 977 | | | Global Industrial Co. | | | 39,959 | |
| | 1,243 | | | GMS, Inc.* | | | 74,717 | |
| | 1,047 | | | H&E Equipment Services, Inc. | | | 46,351 | |
| | 1,424 | | | Herc Holdings, Inc. | | | 222,927 | |
| | 1,307 | | | Huttig Building Products, Inc.* | | | 14,468 | |
| | 870 | | | Kaman Corp., Class A | | | 37,541 | |
| | 2,381 | | | MRC Global, Inc.* | | | 16,381 | |
| | 1,149 | | | MSC Industrial Direct Co., Inc. | | | 96,585 | |
| | 3,189 | | | NOW, Inc.* | | | 27,234 | |
| | 1,547 | | | Rush Enterprises, Inc., Class A | | | 86,075 | |
| | 1,003 | | | SiteOne Landscape Supply, Inc.* | | | 243,007 | |
| | 1,757 | | | Textainer Group Holdings, Ltd. | | | 62,742 | |
| | 651 | | | Titan Machinery, Inc.* | | | 21,932 | |
| | 173 | | | Transcat, Inc.* | | | 15,990 | |
| | 2,472 | | | Triton International, Ltd. | | | 148,889 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Trading Companies & Distributors, continued | | | |
| | 1,712 | | | United Rentals, Inc.* | | $ | 568,880 | |
| | 3,997 | | | Univar Solutions, Inc.* | | | 113,315 | |
| | 1,184 | | | Veritiv Corp.* | | | 145,123 | |
| | 744 | | | W.W. Grainger, Inc. | | | 385,571 | |
| | 662 | | | Watsco, Inc. | | | 207,127 | |
| | 84 | | | Watsco, Inc., Class B | | | 26,158 | |
| | 1,396 | | | WESCO International, Inc.* | | | 183,700 | |
| | | | | | | | |
| | | | | | | 3,798,124 | |
| | | | | | | | |
| Transportation Infrastructure (0.0%†): | | | |
| | 2,859 | | | Macquarie Infrastructure Holdings LLC | | | 10,435 | |
| | | | | | | | |
| Water Utilities (0.2%): | | | |
| | 830 | | | American States Water Co. | | | 85,855 | |
| | 1,750 | | | American Water Works Co., Inc. | | | 330,505 | |
| | 491 | | | Artesian Resources Corp. | | | 22,748 | |
| | 1,107 | | | California Water Service Group | | | 79,549 | |
| | 3,223 | | | Essential Utilities, Inc. | | | 173,043 | |
| | 355 | | | Middlesex Water Co. | | | 42,707 | |
| | 669 | | | Pure Cycle Corp.* | | | 9,767 | |
| | 498 | | | SJW Group | | | 36,454 | |
| | 372 | | | York Water Co. (The) | | | 18,518 | |
| | | | | | | | |
| | | | | | | 799,146 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.2%): | | | |
| | 1,333 | | | Shenandoah Telecommunications Co. | | | 33,990 | |
| | 1,649 | | | Spok Holdings, Inc. | | | 15,385 | |
| | 2,954 | | | Telephone & Data Systems, Inc. | | | 59,523 | |
| | 6,710 | | | T-Mobile USA, Inc.* | | | 778,226 | |
| | 1,151 | | | United States Cellular Corp.* | | | 36,280 | |
| | | | | | | | |
| | | | | | | 923,404 | |
| | | | | | | | |
| | Total Common Stocks (Cost $261,709,957) | | | 501,964,060 | |
| | | | | |
| Preferred Stocks (0.0%†): | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 264 | | | Qurate Retail, Inc., 3/15/31 | | | 27,250 | |
| | | | | | | | |
| Trading Companies & Distributors (0.0%†): | | | |
| | 1,076 | | | WESCO International, Inc., Series A | | | 32,979 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $113,834) | | | 60,229 | |
| | | | | |
| Rights (0.0%†): | | | |
| Biotechnology (0.0%†): | | | |
| | 3,743 | | | Achillion Pharm CVR, Expires on 1/29/49* | | | 5,427 | |
| | | | | | | | |
| Household Durables (0.0%†): | | | |
| | 1,918 | | | Zagg, Inc. CVR, Expires on 1/2/49* | | | 173 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 9,820 | | | Media General, Inc. CVR, Expires on 12/31/49 | | | 1,215 | |
| | | | | | | | |
| | Total Rights (Cost $3,216) | | | 6,815 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.3%): | |
| | 1,388,640 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(b)(c) | | | 1,388,640 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for
Securities on Loan (Cost $1,388,640) | | | 1,388,640 | |
| | | | | |
See accompanying notes to the financial statements.
23
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.6%): | | | |
| Money Markets (0.6%): | | | |
| | 3,050,996 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | $ | 3,050,996 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $3,050,996) | | | 3,050,996 | |
| | | | | |
| | Total Investment Securities (Cost $266,266,643) — 100.5%(d) | | | 506,470,740 | |
| | Net other assets (liabilities) — (0.5)% | | | (2,539,683 | ) |
| | | | | | | | |
| | Net Assets —100.0% | | $ | 503,931,057 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
CVR—Contingent Valued Rights
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2021. The total value of securities on loan as of December 31, 2021 was $1,328,039. |
| † | 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, 2021. 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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $0 or round to less than $1.
See accompanying notes to the financial statements.
24
AZL DFA U.S. Core Equity Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 266,266,643 | |
| | | | | |
Investment securities, at value(a) | | | $ | 506,470,740 | |
Interest and dividends receivable | | | | 277,162 | |
Reclaims receivable | | | | 2,458 | |
Prepaid expenses | | | | 2,266 | |
| | | | | |
Total Assets | | | | 506,752,626 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 5,027 | |
Payable for investments purchased | | | | 552,093 | |
Payable for capital shares redeemed | | | | 461,119 | |
Payable for collateral received on loaned securities | | | | 1,388,640 | |
Manager fees payable | | | | 223,745 | |
Administration fees payable | | | | 69,404 | |
Distribution fees payable | | | | 103,586 | |
Custodian fees payable | | | | 2,245 | |
Administrative and compliance services fees payable | | | | 650 | |
Transfer agent fees payable | | | | 890 | |
Trustee fees payable | | | | 3,651 | |
Other accrued liabilities | | | | 10,519 | |
| | | | | |
Total Liabilities | | | | 2,821,569 | |
| | | | | |
Net Assets | | | $ | 503,931,057 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 210,145,528 | |
Total distributable earnings | | | | 293,785,529 | |
| | | | | |
Net Assets | | | $ | 503,931,057 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 29,803,289 | |
Net Asset Value (offering and redemption price per share) | | | $ | 16.91 | |
| | | | | |
| (a) | Includes securities on loan of $1,328,039. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 7,171,414 | |
Interest | | | | 1 | |
Income from securities lending | | | | 14,249 | |
Foreign withholding tax | | | | (1,540 | ) |
| | | | | |
Total Investment Income | | | | 7,184,124 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 3,872,094 | |
Administration fees | | | | 181,589 | |
Distribution fees | | | | 1,210,027 | |
Custodian fees | | | | 15,274 | |
Administrative and compliance services fees | | | | 5,257 | |
Transfer agent fees | | | | 4,696 | |
Trustee fees | | | | 21,835 | |
Professional fees | | | | 19,335 | |
Shareholder reports | | | | 8,439 | |
Other expenses | | | | 9,749 | |
| | | | | |
Total expenses before reductions | | | | 5,348,295 | |
Less Management fees contractually waived | | | | (1,258,434 | ) |
| | | | | |
Net expenses | | | | 4,089,861 | |
| | | | | |
Net Investment Income/(Loss) | | | | 3,094,263 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 52,255,025 | |
Change in net unrealized appreciation/depreciation on securities | | | | 62,514,091 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 114,769,116 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 117,863,379 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 3,094,263 | | | | $ | 4,280,089 | |
Net realized gains/(losses) on investments | | | | 52,255,025 | | | | | 36,138,044 | |
Change in unrealized appreciation/depreciation on investments | | | | 62,514,091 | | | | | 38,192,478 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 117,863,379 | | | | | 78,610,611 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (42,256,910 | ) | | | | (37,601,702 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (42,256,910 | ) | | | | (37,601,702 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 38,872,269 | | | | | 47,489,042 | |
Proceeds from dividends reinvested | | | | 42,256,910 | | | | | 37,601,702 | |
Value of shares redeemed | | | | (131,585,201 | ) | | | | (143,637,221 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (50,456,022 | ) | | | | (58,546,477 | ) |
| | | | | | | | | | |
Change in net assets | | | | 25,150,447 | | | | | (17,537,568 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 478,780,610 | | | | | 496,318,178 | |
| | | | | | | | | | |
End of period | | | $ | 503,931,057 | | | | $ | 478,780,610 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 2,341,451 | | | | | 4,484,905 | |
Dividends reinvested | | | | 2,693,238 | | | | | 2,896,895 | |
Shares redeemed | | | | (7,999,959 | ) | | | | (11,296,601 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,965,270 | ) | | | | (3,914,801 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 14.61 | | | | $ | 13.53 | | | | $ | 11.32 | | | | $ | 12.76 | | | | $ | 10.74 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.11 | (a) | | | | 0.12 | (a) | | | | 0.13 | (a) | | | | 0.16 | | | | | 0.15 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 3.76 | | | | | 2.13 | | | | | 3.08 | | | | | (1.06 | ) | | | | 2.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.87 | | | | | 2.25 | | | | | 3.21 | | | | | (0.90 | ) | | | | 2.19 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.16 | ) | | | | (0.16 | ) | | | | (0.15 | ) | | | | (0.15 | ) | | | | (0.14 | ) |
Net Realized Gains | | | | (1.41 | ) | | | | (1.01 | ) | | | | (0.85 | ) | | | | (0.39 | ) | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.57 | ) | | | | (1.17 | ) | | | | (1.00 | ) | | | | (0.54 | ) | | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 16.91 | | | | $ | 14.61 | | | | $ | 13.53 | | | | $ | 11.32 | | | | $ | 12.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 27.31 | % | | | | 17.70 | % | | | | 29.36 | % | | | | (7.52 | )% | | | | 20.45 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 503,931 | | | | $ | 478,781 | | | | $ | 496,318 | | | | $ | 463,537 | | | | $ | 584,221 | |
Net Investment Income/(Loss) | | | | 0.64 | % | | | | 0.95 | % | | | | 1.03 | % | | | | 1.00 | % | | | | 1.02 | % |
Expenses Before Reductions(c) | | | | 1.10 | % | | | | 1.11 | % | | | | 1.10 | % | | | | 1.10 | % | | | | 1.10 | % |
Expenses Net of Reductions | | | | 0.84 | % | | | | 0.85 | % | | | | 0.84 | % | | | | 0.84 | % | | | | 0.84 | % |
Portfolio Turnover Rate | | | | 9 | % | | | | 11 | % | | | | 4 | % | | | | 4 | % | | | | 2 | % |
| (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, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
28
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2021
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $1,368 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,388,640 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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
29
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 501,931,252 | | | | $ | 32,808 | | | | $ | — | # | | | $ | 501,964,060 | |
Preferred Stocks+ | | | | 60,229 | | | | | — | | | | | — | | | | | 60,229 | |
Rights+ | | | | — | | | | | 6,815 | | | | | — | | | | | 6,815 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1,388,640 | | | | | — | | | | | — | | | | | 1,388,640 | |
Unaffiliated Investment Company | | | | 3,050,996 | | | | | — | | | | | — | | | | | 3,050,996 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | $ | 506,431,117 | | | | $ | 39,623 | | | | $ | — | | | | $ | 506,470,740 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
30
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2021
5. Security Purchases and Sales
For the year ended December 31, 2021, 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 | | | $ | 42,662,531 | | | | $ | 131,546,505 | |
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.
Value Stocks Risk: Value stocks may perform differently from the market as a whole and following a value-oriented investment strategy may cause the Fund to at times underperform equity funds that use other investment strategies.
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $267,288,229. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 256,942,899 | |
Unrealized (depreciation) | | | (17,760,388 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 239,182,511 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA U.S. Core Equity Fund | | | $ | 5,012,752 | | | | $ | 37,244,158 | | | | $ | 42,256,910 | |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
31
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
December 31, 2021
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. |
At December 31, 2021, 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 | | | $ | 3,464,909 | | | | $ | 51,138,109 | | | | $ | — | | | | $ | 239,182,511 | | | | $ | 293,785,529 | |
| (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, return of capital from underlying investments 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, 2021, 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 the shareholder 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.
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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. 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 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, 2021, the Fund declared net short-term capital gain distributions of $678,774.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $37,244,158.
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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.
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
36
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
37
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds
(10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22
(Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1
ETF Trust (2 Funds);
Esoterica Thematic Trust
(2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
39
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions Held with
AIM Complex | | Term of Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® DFA U.S. Small Cap Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® DFA U.S. Small Cap Fund returned 29.02%. That compared to a 14.82% return for its benchmark, The Russell 2000® Index.1
The ongoing economic recovery from the COVID-19 pandemic produced consistent growth in U.S. equities throughout the year. Fiscal and monetary stimulus, rising consumer confidence, and solid earnings performance fueled gains despite inflationary pressures late in the year.
Small-cap stocks underperformed large-cap stocks during the period. In the small-cap universe, value stocks outperformed growth stocks. Small-cap stocks with lower relative prices and higher profitability outperformed stocks with higher relative prices and lower profitability.
The Fund’s outperformance relative to its benchmark was primarily driven by its lesser exposure to stocks with the lowest profitability and highest relative prices. Such stocks
underperformed stocks with higher profitability and lower relative prices during the period. The Fund’s lesser exposure to stocks in the benchmark with the highest asset growth also contributed to its relative performance, as these stocks underperformed the smaller-cap stocks in the Fund’s portfolio.
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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
1
|
|
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, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | Since
Inception
(4/27/15) |
AZL® DFA U.S. Small Cap Fund | | | | 29.02 | % | | | | 21.21 | % | | | | 11.50 | % | | | | 10.77 | % |
Russell 2000® Index | | | | 14.82 | % | | | | 20.02 | % | | | | 12.02 | % | | | | 10.60 | % |
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 | | | | 1.19 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.70% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA U.S. Small Cap Fund | | | $ | 1,000.00 | | | | $ | 1,039.20 | | | | $ | 5.40 | | | | | 1.05 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL DFA U.S. Small Cap Fund | | | $ | 1,000.00 | | | | $ | 1,019.91 | | | | $ | 5.35 | | | | | 1.05 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 20.2 | % |
| |
Industrials | | | | 18.6 | |
| |
Health Care | | | | 13.6 | |
| |
Consumer Discretionary | | | | 13.1 | |
| |
Information Technology | | | | 13.1 | |
| |
Materials | | | | 6.5 | |
| |
Energy | | | | 4.4 | |
| |
Consumer Staples | | | | 4.0 | |
| |
Utilities | | | | 3.0 | |
| |
Communication Services | | | | 2.3 | |
| |
Real Estate | | | | 0.9 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.7 | |
| |
Rights | | | | — | † |
| | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.6 | |
| |
Unaffiliated Investment Company | | | | 0.3 | |
| | | | | |
| |
Total Investment Securities | | | | 100.6 | |
| |
Net other assets (liabilities) | | | | (0.6 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.6%): | | | |
| Aerospace & Defense (0.9%): | | | |
| | 2,230 | | | AAR Corp.* | | $ | 87,037 | |
| | 5,304 | | | Aerojet Rocketdyne Holdings, Inc. | | | 248,015 | |
| | 1,350 | | | AeroVironment, Inc.* | | | 83,741 | |
| | 2,615 | | | Astronics Corp.* | | | 31,380 | |
| | 392 | | | Astronics Corp., Class B* | | | 4,708 | |
| | 869 | | | BWX Technologies, Inc. | | | 41,608 | |
| | 1,113 | | | Curtiss-Wright Corp. | | | 154,340 | |
| | 766 | | | Ducommun, Inc.* | | | 35,826 | |
| | 2,314 | | | Hexcel Corp.* | | | 119,865 | |
| | 3,376 | | | Innovative Solutions & Support, Inc.* | | | 22,147 | |
| | 7,496 | | | Kratos Defense & Security Solutions, Inc.* | | | 145,422 | |
| | 1,825 | | | Maxar Technologies, Inc. | | | 53,892 | |
| | 1,336 | | | Mercury Systems, Inc.* | | | 73,560 | |
| | 1,513 | | | Moog, Inc., Class A | | | 122,508 | |
| | 516 | | | National Presto Industries, Inc. | | | 42,327 | |
| | 2,564 | | | Park Aerospace Corp., Class C | | | 33,845 | |
| | 1,291 | | | Parsons Corp.* | | | 43,442 | |
| | 759 | | | Vectrus, Inc.* | | | 34,739 | |
| | | | | | | | |
| | | | | | | 1,378,402 | |
| | | | | | | | |
| Air Freight & Logistics (0.4%): | | | |
| | 738 | | | Air T, Inc.* | | | 18,561 | |
| | 2,305 | | | Air Transport Services Group, Inc.* | | | 67,721 | |
| | 743 | | | Atlas Air Worldwide Holdings, Inc.* | | | 69,931 | |
| | 1,767 | | | Forward Air Corp. | | | 213,966 | |
| | 2,225 | | | Hub Group, Inc., Class A* | | | 187,434 | |
| | 5,212 | | | Radiant Logistics, Inc.* | | | 37,995 | |
| | | | | | | | |
| | | | | | | 595,608 | |
| | | | | | | | |
| Airlines (0.6%): | | | |
| | 3,632 | | | Alaska Air Group, Inc.* | | | 189,227 | |
| | 974 | | | Allegiant Travel Co.* | | | 182,177 | |
| | 899 | | | Copa Holdings SA, Class A* | | | 74,311 | |
| | 3,192 | | | Hawaiian Holdings, Inc.* | | | 58,637 | |
| | 12,473 | | | JetBlue Airways Corp.* | | | 177,616 | |
| | 2,017 | | | SkyWest, Inc.* | | | 79,268 | |
| | 4,325 | | | Spirit Airlines, Inc.* | | | 94,501 | |
| | | | | | | | |
| | | | | | | 855,737 | |
| | | | | | | | |
| Auto Components (1.4%): | | | |
| | 4,444 | | | Adient plc* | | | 212,779 | |
| | 4,351 | | | American Axle & Manufacturing Holdings, Inc.* | | | 40,595 | |
| | 2,031 | | | Cooper-Standard Holding, Inc.* | | | 45,515 | |
| | 8,170 | | | Dana, Inc. | | | 186,439 | |
| | 1,611 | | | Dorman Products, Inc.* | | | 182,059 | |
| | 2,028 | | | Fox Factory Holding Corp.* | | | 344,963 | |
| | 2,137 | | | Gentherm, Inc.* | | | 185,705 | |
| | 16,048 | | | Goodyear Tire & Rubber Co. (The)* | | | 342,143 | |
| | 1,306 | | | LCI Industries | | | 203,566 | |
| | 5,052 | | | Modine Manufacturing Co.* | | | 50,975 | |
| | 1,911 | | | Motorcar Parts of America, Inc.* | | | 32,621 | |
| | 928 | | | Patrick Industries, Inc. | | | 74,880 | |
| | 1,385 | | | Standard Motor Products, Inc. | | | 72,560 | |
| | 1,639 | | | Stoneridge, Inc.* | | | 32,354 | |
| | 1,139 | | | Tenneco, Inc.* | | | 12,871 | |
| | 472 | | | Veoneer, Inc.* | | | 16,746 | |
| | 1,448 | | | Visteon Corp.* | | | 160,931 | |
| | | | | | | | |
| | | | | | | 2,197,702 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Automobiles (0.2%): | | | |
| | 3,678 | | | Harley-Davidson, Inc. | | $ | 138,624 | |
| | 676 | | | Thor Industries, Inc. | | | 70,149 | |
| | 1,823 | | | Winnebago Industries, Inc. | | | 136,579 | |
| | | | | | | | |
| | | | | | | 345,352 | |
| | | | | | | | |
| Banks (11.5%): | | | |
| | 1,584 | | | 1st Constitution Bancorp | | | 40,693 | |
| | 1,859 | | | 1st Source Corp. | | | 92,206 | |
| | 410 | | | ACNB Corp. | | | 12,825 | |
| | 880 | | | Allegiance Bancshares, Inc. | | | 37,145 | |
| | 600 | | | Amalgamated Financial Corp. | | | 10,062 | |
| | 846 | | | Amerant Bancorp, Inc. | | | 29,229 | |
| | 939 | | | American National Bankshares, Inc. | | | 35,382 | |
| | 3,750 | | | Ameris Bancorp | | | 186,300 | |
| | 1,149 | | | Ames National Corp. | | | 28,139 | |
| | 1,609 | | | Arrow Financial Corp. | | | 56,685 | |
| | 7,329 | | | Associated Banc-Corp. | | | 165,562 | |
| | 1,465 | | | Atlantic Capital Bancshares, Inc.* | | | 42,148 | |
| | 3,631 | | | Atlantic Union Bankshares Corp. | | | 135,400 | |
| | 13 | | | Auburn National Bancorp, Inc. | | | 412 | |
| | 3,921 | | | Banc of California, Inc. | | | 76,930 | |
| | 1,785 | | | BancFirst Corp. | | | 125,950 | |
| | 3,525 | | | Bancorp, Inc. (The)* | | | 89,218 | |
| | 2,065 | | | Bank of Hawaii Corp. | | | 172,964 | |
| | 1,191 | | | Bank of Marin Bancorp | | | 44,341 | |
| | 2,982 | | | Bank of Nt Butterfield & Son, Ltd. (The) | | | 113,644 | |
| | 485 | | | Bank of South Carolina Corp. | | | 9,782 | |
| | 6,495 | | | Bank OZK | | | 302,212 | |
| | 4,913 | | | BankUnited, Inc. | | | 207,869 | |
| | 1,789 | | | Banner Corp. | | | 108,539 | |
| | 872 | | | Bar Harbor Bankshares | | | 25,227 | |
| | 1,217 | | | Baycom Corp.* | | | 22,831 | |
| | 595 | | | BCB Bancorp, Inc. | | | 9,181 | |
| | 2,938 | | | Berkshire Hills Bancorp, Inc. | | | 83,527 | |
| | 2,278 | | | BOK Financial Corp. | | | 240,306 | |
| | 3,537 | | | Brookline Bancorp, Inc. | | | 57,264 | |
| | 1,666 | | | Bryn Mawr Bank Corp. | | | 74,987 | |
| | 667 | | | Business First Bancshares, Inc. | | | 18,883 | |
| | 2,546 | | | Byline BanCorp, Inc. | | | 69,633 | |
| | 227 | | | C&F Financial Corp. | | | 11,620 | |
| | 10,635 | | | Cadence Bank | | | 316,817 | |
| | 436 | | | Cambridge Bancorp | | | 40,805 | |
| | 1,359 | | | Camden National Corp. | | | 65,449 | |
| | 1,471 | | | Capital City Bank Group, Inc. | | | 38,834 | |
| | 700 | | | Capstar Financial Holdings, Inc. | | | 14,721 | |
| | 3,988 | | | Cathay General Bancorp | | | 171,444 | |
| | 1,646 | | | CBTX, Inc. | | | 47,734 | |
| | 1,822 | | | Central Pacific Financial Corp. | | | 51,326 | |
| | 1,141 | | | Central Valley Community Bancorp | | | 23,699 | |
| | 668 | | | Chemung Financial Corp. | | | 30,581 | |
| | 6,348 | | | CIT Group, Inc. | | | 325,906 | |
| | 1,509 | | | Citizens & Northern Corp. | | | 39,415 | |
| | 718 | | | Citizens Holding Co. | | | 13,463 | |
| | 798 | | | City Holding Co. | | | 65,268 | |
| | 822 | | | Civista Bancshares, Inc. | | | 20,057 | |
| | 1,205 | | | CNB Financial Corp. | | | 31,932 | |
| | 85 | | | Codorus Valley Bancorp, Inc. | | | 1,836 | |
| | 56 | | | Colony Bankcorp, Inc. | | | 956 | |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 4,190 | | | Columbia Banking System, Inc. | | $ | 137,097 | |
| | 2,562 | | | Community Bank System, Inc. | | | 190,818 | |
| | 1,343 | | | Community Trust Bancorp, Inc. | | | 58,568 | |
| | 525 | | | Community West Bancshares | | | 6,982 | |
| | 2,115 | | | ConnectOne Bancorp, Inc. | | | 69,182 | |
| | 2,253 | | | CrossFirst Bankshares, Inc.* | | | 35,169 | |
| | 256 | | | Cullen/Frost Bankers, Inc. | | | 32,274 | |
| | 2,541 | | | Customers Bancorp, Inc. | | | 166,105 | |
| | 6,743 | | | CVB Financial Corp. | | | 144,368 | |
| | 2,220 | | | Dime Community Bancshares, Inc. | | | 78,055 | |
| | 609 | | | Eagle Bancorp Montana, Inc. | | | 13,995 | |
| | 1,599 | | | Eagle Bancorp, Inc. | | | 93,286 | |
| | 2,149 | | | Enterprise Financial Services Corp. | | | 101,196 | |
| | 924 | | | Equity Bancshares, Inc. | | | 31,351 | |
| | 534 | | | Evans Bancorp, Inc. | | | 21,520 | |
| | 15,713 | | | F.N.B. Corp. | | | 190,599 | |
| | 2,582 | | | Farmers National Banc Corp. | | | 47,896 | |
| | 2,391 | | | FB Financial Corp. | | | 104,774 | |
| | 1,568 | | | Financial Institutions, Inc. | | | 49,862 | |
| | 10,810 | | | First Bancorp | | | 148,962 | |
| | 1,491 | | | First Bancorp, Inc. | | | 46,817 | |
| | 1,761 | | | First Bancorp/Southern Pines NC | | | 80,513 | |
| | 1,053 | | | First Bancshares, Inc. (The) | | | 40,667 | |
| | 2,776 | | | First Busey Corp. | | | 75,285 | |
| | 940 | | | First Business Financial Services, Inc. | | | 27,420 | |
| | 41 | | | First Citizens BancShares, Inc., Class A | | | 34,023 | |
| | 4,622 | | | First Commonwealth Financial Corp. | | | 74,368 | |
| | 1,099 | | | First Community Bankshares | | | 36,729 | |
| | 4,894 | | | First Financial Bancorp | | | 119,316 | |
| | 3,090 | | | First Financial Bankshares, Inc. | | | 157,096 | |
| | 812 | | | First Financial Corp. | | | 36,775 | |
| | 1,717 | | | First Financial Northwest, Inc. | | | 27,764 | |
| | 2,543 | | | First Foundation, Inc. | | | 63,219 | |
| | 6,483 | | | First Hawaiian, Inc. | | | 177,180 | |
| | 402 | | | First Internet BanCorp | | | 18,910 | |
| | 1,968 | | | First Interstate BancSystem, Class A | | | 80,039 | |
| | 2,751 | | | First Merchants Corp. | | | 115,239 | |
| | 720 | | | First Mid Bancshares, Inc. | | | 30,809 | |
| | 5,629 | | | First Midwest Bancorp, Inc. | | | 115,282 | |
| | 1,367 | | | First of Long Island Corp. (The) | | | 29,514 | |
| | 84 | | | First Savings Financial Group | | | 2,218 | |
| | 234 | | | First United Corp. | | | 4,416 | |
| | 908 | | | First US Bancshares, Inc. | | | 9,607 | |
| | 2,675 | | | Flushing Financial Corp. | | | 65,002 | |
| | 8,311 | | | Fulton Financial Corp. | | | 141,287 | |
| | 1,937 | | | German American Bancorp, Inc. | | | 75,504 | |
| | 5,467 | | | Glacier Bancorp, Inc. | | | 309,979 | |
| | 1,038 | | | Great Southern Bancorp, Inc. | | | 61,501 | |
| | 2,977 | | | Great Western Bancorp, Inc. | | | 101,099 | |
| | 440 | | | Guaranty Bancshares, Inc. | | | 16,535 | |
| | 4,491 | | | Hancock Whitney Corp. | | | 224,640 | |
| | 1,888 | | | Hanmi Financial Corp. | | | 44,708 | |
| | 3,865 | | | HarborOne BanCorp, Inc. | | | 57,357 | |
| | 43 | | | Hawthorn Bancshares, Inc. | | | 1,111 | |
| | 2,024 | | | Heartland Financial USA, Inc. | | | 102,435 | |
| | 2,978 | | | Heritage Financial Corp. | | | 72,782 | |
| | 4,406 | | | Hertiage Commerce Corp. | | | 52,608 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 4,106 | | | Hilltop Holdings, Inc. | | $ | 144,285 | |
| | 8,713 | | | Home Bancshares, Inc. | | | 212,162 | |
| | 1,139 | | | Hometrust Bancshares, Inc. | | | 35,286 | |
| | 5,930 | | | Hope BanCorp, Inc. | | | 87,230 | |
| | 3,456 | | | Horizon Bancorp | | | 72,058 | |
| | 511 | | | Howard Bancorp, Inc.* | | | 11,135 | |
| | 2,325 | | | Independent Bank Corp. | | | 189,557 | |
| | 2,159 | | | Independent Bank Group, Inc. | | | 155,772 | |
| | 3,151 | | | International Bancshares Corp. | | | 133,571 | |
| | 12,986 | | | Investors Bancorp, Inc. | | | 196,738 | |
| | 3,767 | | | Lakeland Bancorp, Inc. | | | 71,535 | |
| | 1,510 | | | Lakeland Financial Corp. | | | 121,011 | |
| | 950 | | | Landmark Bancorp, Inc. | | | 27,075 | |
| | 1,512 | | | LCNB Corp. | | | 29,529 | |
| | 2,612 | | | Live Oak Bancshares, Inc. | | | 228,001 | |
| | 3,707 | | | Macatawa Bank Corp. | | | 32,696 | |
| | 1,659 | | | Mercantile Bank Corp. | | | 58,115 | |
| | 400 | | | Metropolitan Bank Holding Corp.* | | | 42,612 | |
| | 1,651 | | | Midland States BanCorp, Inc. | | | 40,928 | |
| | 1,041 | | | MidWestone Financial Group, Inc. | | | 33,697 | |
| | 300 | | | MVB Financial Corp. | | | 12,456 | |
| | 2,052 | | | National Bank Holdings Corp. | | | 90,165 | |
| | 769 | | | National Bankshares, Inc. | | | 27,884 | |
| | 2,224 | | | NBT Bancorp, Inc. | | | 85,668 | |
| | 974 | | | Nicolet Bankshares, Inc.* | | | 83,520 | |
| | 1,136 | | | Northeast Bank | | | 40,589 | |
| | 657 | | | Northrim Bancorp, Inc. | | | 28,553 | |
| | 609 | | | Norwood Financial Corp. | | | 15,828 | |
| | 2,428 | | | OFG Bancorp | | | 64,488 | |
| | 183 | | | Ohio Valley Banc Corp. | | | 5,316 | |
| | 8,328 | | | Old National Bancorp | | | 150,903 | |
| | 1,004 | | | Old Point Financial Corp. | | | 22,871 | |
| | 3,314 | | | Old Second Bancorp, Inc. | | | 41,723 | |
| | 1,182 | | | Origin Bancorp, Inc. | | | 50,731 | |
| | 1,208 | | | Orrstown Financial Services, Inc. | | | 30,442 | |
| | 4,752 | | | Pacific Premier Bancorp, Inc. | | | 190,223 | |
| | 6,187 | | | PacWest Bancorp | | | 279,467 | |
| | 534 | | | Park National Corp. | | | 73,324 | |
| | 1,636 | | | Parke Bancorp, Inc. | | | 34,814 | |
| | 1,540 | | | Peapack-Gladstone Financial Corp. | | | 54,516 | |
| | 952 | | | Penns Woods Bancorp, Inc. | | | 22,439 | |
| | 434 | | | Peoples Bancorp of NC | | | 11,974 | |
| | 2,085 | | | Peoples Bancorp, Inc. | | | 66,324 | |
| | 3,628 | | | People’s United Financial, Inc. | | | 64,651 | |
| | 1,675 | | | Pinnacle Financial Partners, Inc. | | | 159,962 | |
| | 3,166 | | | Popular, Inc. | | | 259,739 | |
| | 977 | | | Preferred Bank Los Angeles | | | 70,139 | |
| | 2,309 | | | Primis Financial Corp. | | | 34,727 | |
| | 474 | | | Prosperity Bancshares, Inc. | | | 34,270 | |
| | 1,118 | | | QCR Holdings, Inc. | | | 62,608 | |
| | 351 | | | Rbb BanCorp | | | 9,196 | |
| | 309 | | | Reliant Bancorp, Inc. | | | 10,969 | |
| | 2,844 | | | Renasant Corp. | | | 107,930 | |
| | 1,482 | | | Republic Bancorp, Inc., Class A | | | 75,345 | |
| | 6,466 | | | Republic First Bancorp, Inc.* | | | 24,054 | |
| | 2,122 | | | S & T Bancorp, Inc. | | | 66,885 | |
| | 320 | | | Salisbury Bancorp, Inc. | | | 16,922 | |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 2,295 | | | Sandy Spring Bancorp, Inc. | | $ | 110,344 | |
| | 552 | | | SB Financial Group, Inc. | | | 10,747 | |
| | 3,087 | | | Seacoast Banking Corp of Florida | | | 109,249 | |
| | 3,612 | | | ServisFirst Bancshares, Inc. | | | 306,803 | |
| | 1,438 | | | Shore Bancshares, Inc. | | | 29,982 | |
| | 1,279 | | | Sierra Bancorp | | | 34,725 | |
| | 6,333 | | | Simmons First National Corp., Class A | | | 187,330 | |
| | 562 | | | Southern First Bancshares, Inc.* | | | 35,119 | |
| | 1,502 | | | Southside Bancshares, Inc. | | | 62,814 | |
| | 3,064 | | | SouthState Corp. | | | 245,457 | |
| | 1,629 | | | Spirit of Texas Bancshares, Inc. | | | 46,883 | |
| | 9,411 | | | Sterling Bancorp | | | 242,710 | |
| | 1,444 | | | Stock Yards Bancorp, Inc. | | | 92,243 | |
| | 682 | | | Summit Financial Group, Inc. | | | 18,721 | |
| | 1,323 | | | Summit State Bank | | | 19,938 | |
| | 4,275 | | | Synovus Financial Corp. | | | 204,644 | |
| | 2,562 | | | Texas Capital Bancshares, Inc.* | | | 154,360 | |
| | 694 | | | Tompkins Financial Corp. | | | 58,005 | |
| | 3,635 | | | TowneBank | | | 114,830 | |
| | 1,824 | | | TriCo Bancshares | | | 78,359 | |
| | 2,571 | | | Tristate Capital Holdings, Inc.* | | | 77,798 | |
| | 1,894 | | | Triumph BanCorp, Inc.* | | | 225,538 | |
| | 3,236 | | | Trustmark Corp. | | | 105,041 | |
| | 2,867 | | | UMB Financial Corp. | | | 304,217 | |
| | 12,136 | | | Umpqua Holdings Corp. | | | 233,497 | |
| | 249 | | | Union Bankshares, Inc. | | | 7,236 | |
| | 450 | | | United Bancshares, Inc. | | | 13,725 | |
| | 8,109 | | | United Bankshares, Inc. | | | 294,195 | |
| | 4,792 | | | United Community Banks, Inc. | | | 172,224 | |
| | 916 | | | United Security Bancshares | | | 7,438 | |
| | 42 | | | Unity Bancorp, Inc. | | | 1,102 | |
| | 1,651 | | | Univest Financial Corp. | | | 49,398 | |
| | 21,320 | | | Valley National Bancorp | | | 293,150 | |
| | 1,563 | | | Veritex Holdings, Inc. | | | 62,176 | |
| | 1,461 | | | Washington Trust Bancorp | | | 82,357 | |
| | 4,406 | | | Webster Financial Corp. | | | 246,031 | |
| | 3,853 | | | WesBanco, Inc. | | | 134,816 | |
| | 1,569 | | | West Bancorp | | | 48,749 | |
| | 1,354 | | | Westamerica Bancorp | | | 78,166 | |
| | 3,352 | | | Wintrust Financial Corp. | | | 304,429 | |
| | | | | | | | |
| | | | | | | 17,798,306 | |
| | | | | | | | |
| Beverages (0.3%): | | | |
| | 321 | | | Celsius Holdings, Inc.* | | | 23,937 | |
| | 533 | | | Coca-Cola Consolidated, Inc. | | | 330,028 | |
| | 1,140 | | | MGP Ingredients, Inc. | | | 96,889 | |
| | 1,268 | | | National Beverage Corp. | | | 57,478 | |
| | 3,800 | | | NewAge, Inc.* | | | 3,914 | |
| | 985 | | | Willamette Valley Vineyards, Inc.* | | | 8,550 | |
| | | | | | | | |
| | | | | | | 520,796 | |
| | | | | | | | |
| Biotechnology (4.3%): | | | |
| | 308 | | | 2Seventy Bio, Inc.* | | | 7,894 | |
| | 1,733 | | | AC Immune SA* | | | 8,578 | |
| | 1,950 | | | ACADIA Pharmaceuticals, Inc.* | | | 45,513 | |
| | 3,308 | | | Adverum Biotechnologies, Inc.* | | | 5,822 | |
| | 3,984 | | | Aeglea BioTherapeutics, Inc.* | | | 18,924 | |
| | 2,640 | | | Agios Pharmaceuticals, Inc.* | | | 86,777 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 13,598 | | | Akebia Therapeutics, Inc.* | | $ | 30,732 | |
| | 2,076 | | | Akero Therapeutics, Inc.* | | | 43,907 | |
| | 1,262 | | | Albireo Pharma, Inc.* | | | 29,392 | |
| | 9,015 | | | Alkermes plc* | | | 209,689 | |
| | 2,613 | | | Allogene Therapeutics, Inc.* | | | 38,986 | |
| | 2,056 | | | AnaptysBio, Inc.* | | | 71,446 | |
| | 1,103 | | | Applied Genetic Technologies Corp.* | | | 2,096 | |
| | 629 | | | Applied Therapeutics, Inc.* | | | 5,630 | |
| | 283 | | | Arcturus Therapeutics Holdings, Inc.* | | | 10,474 | |
| | 629 | | | Arcus Biosciences, Inc.* | | | 25,456 | |
| | 3,961 | | | Arcutis Biotherapeutics, Inc.* | | | 82,151 | |
| | 6,613 | | | Ardelyx, Inc.* | | | 7,274 | |
| | 3,297 | | | Arena Pharmaceuticals, Inc.* | | | 306,423 | |
| | 4,656 | | | Atara Biotherapeutics, Inc.* | | | 73,379 | |
| | 2,342 | | | Atreca, Inc., Class A*^ | | | 7,096 | |
| | 2,657 | | | Avid Bioservices, Inc.* | | | 77,531 | |
| | 1,475 | | | Avidity Biosciences, Inc.* | | | 35,061 | |
| | 1,944 | | | Axcella Health, Inc.* | | | 4,063 | |
| | 1,038 | | | Beyondspring, Inc.* | | | 4,702 | |
| | 926 | | | Bluebird Bio, Inc.* | | | 9,251 | |
| | 1,718 | | | Blueprint Medicines Corp.* | | | 184,015 | |
| | 4,360 | | | Calithera Biosciences, Inc.* | | | 2,900 | |
| | 2,880 | | | Cara Therapeutics, Inc.* | | | 35,078 | |
| | 1,034 | | | CareDx, Inc.* | | | 47,026 | |
| | 1,421 | | | CASI Pharmaceuticals, Inc.* | | | 1,137 | |
| | 606 | | | Castle Biosciences, Inc.* | | | 25,979 | |
| | 1,053 | | | Catalyst Biosciences, Inc.* | | | 962 | |
| | 5,557 | | | Catalyst Pharmaceuticals, Inc.* | | | 37,621 | |
| | 236 | | | ChemoCentryx, Inc.* | | | 8,593 | |
| | 6,991 | | | Chimerix, Inc.* | | | 44,952 | |
| | 2,139 | | | Chinook Therapeutics, Inc.* | | | 34,887 | |
| | 3,561 | | | Concert Pharmaceuticals, Inc.* | | | 11,217 | |
| | 2,225 | | | Crinetics Pharmaceuticals, Inc.* | | | 63,212 | |
| | 407 | | | CRISPR Therapeutics AG* | | | 30,842 | |
| | 1,634 | | | Cue Biopharma, Inc.* | | | 18,481 | |
| | 2,539 | | | Cytomx Therapeutics, Inc.* | | | 10,994 | |
| | 1,720 | | | Deciphera Pharmaceuticals, Inc.* | | | 16,804 | |
| | 3,786 | | | Denali Therapeutics, Inc.* | | | 168,856 | |
| | 1,115 | | | Eagle Pharmaceuticals, Inc.* | | | 56,776 | |
| | 3,422 | | | Editas Medicine, Inc.* | | | 90,854 | |
| | 1,660 | | | Eiger BioPharmaceuticals, Inc.* | | | 8,615 | |
| | 2,263 | | | Emergent BioSolutions, Inc.* | | | 98,373 | |
| | 1,500 | | | Enanta Pharmaceuticals, Inc.* | | | 112,170 | |
| | 11,564 | | | Exelixis, Inc.* | | | 211,390 | |
| | 1,575 | | | Fibrogen, Inc.* | | | 22,208 | |
| | 2,705 | | | G1 Therapeutics, Inc.* | | | 27,618 | |
| | 1,199 | | | Global Blood Therapeutics, Inc.* | | | 35,095 | |
| | 1,738 | | | Glycomimetics Industries* | | | 2,503 | |
| | 2,547 | | | Gritstone bio, Inc.* | | | 32,754 | |
| | 7,175 | | | Halozyme Therapeutics, Inc.* | | | 288,507 | |
| | 1,570 | | | Harpoon Therapeutics, Inc.* | | | 11,854 | |
| | 2,828 | | | Heron Therapeutics, Inc.* | | | 25,820 | |
| | 1,889 | | | Ideaya Biosciences, Inc.* | | | 44,656 | |
| | 196 | | | IGM Biosciences, Inc.* | | | 5,749 | |
| | 592 | | | ImmuCell Corp.* | | | 4,730 | |
| | 1,281 | | | Immunovant, Inc.* | | | 10,914 | |
| | 3,325 | | | Infinity Pharmaceuticals, Inc.* | | | 7,481 | |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 1,583 | | | Insmed, Inc.* | | $ | 43,121 | |
| | 4,290 | | | Intellia Therapeutics, Inc.* | | | 507,250 | |
| | 2,237 | | | Iovance Biotherapeutics, Inc.* | | | 42,704 | |
| | 9,160 | | | Ironwood Pharmaceuticals, Inc.* | | | 106,806 | |
| | 422 | | | iTeos Therapeutics, Inc.* | | | 19,648 | |
| | 4,709 | | | IVERIC Bio, Inc.* | | | 78,734 | |
| | 3,800 | | | Jounce Therapeutics, Inc.* | | | 31,730 | |
| | 856 | | | KalVista Pharmaceuticals, Inc.* | | | 11,325 | |
| | 1,550 | | | Karuna Therapeutics, Inc.* | | | 203,050 | |
| | 1,356 | | | Kezar Life Sciences, Inc.* | | | 22,672 | |
| | 514 | | | Kiniksa Pharmaceuticals, Ltd., Class A* | | | 6,050 | |
| | 1,081 | | | Krystal Biotech, Inc.* | | | 75,616 | |
| | 2,093 | | | Kura Oncology, Inc.* | | | 29,302 | |
| | 4,768 | | | Lexicon Pharmaceuticals, Inc.* | | | 18,786 | |
| | 830 | | | Ligand Pharmaceuticals, Inc.* | | | 128,202 | |
| | 3,472 | | | Macrogenics, Inc.* | | | 55,726 | |
| | 977 | | | Madrigal Pharmaceuticals, Inc.* | | | 82,791 | |
| | 2,522 | | | Magenta Therapeutics, Inc.* | | | 11,172 | |
| | 900 | | | MediciNova, Inc.*^ | | | 2,412 | |
| | 2,101 | | | MeiraGTx Holdings plc* | | | 49,878 | |
| | 1,843 | | | Mersana Therapeutics, Inc.* | | | 11,463 | |
| | 1,300 | | | Minerva Neurosciences, Inc.* | | | 1,041 | |
| | 711 | | | Molecular Templates, Inc.*^ | | | 2,787 | |
| | 710 | | | Morphic Holding, Inc.* | | | 33,640 | |
| | 5,011 | | | Myriad Genetics, Inc.* | | | 138,304 | |
| | 326 | | | Nurix Therapeutics, Inc.* | | | 9,438 | |
| | 1,223 | | | Oncocyte Corp.* | | | 2,654 | |
| | 26,516 | | | OPKO Health, Inc.* | | | 127,542 | |
| | 14,857 | | | PDL BioPharma, Inc. | | | 50,960 | |
| | 2,083 | | | Precision BioSciences, Inc.* | | | 15,414 | |
| | 2,098 | | | Protagonist Therapeutics, Inc.* | | | 71,752 | |
| | 3,479 | | | Prothena Corp. plc* | | | 171,863 | |
| | 1,221 | | | RAPT Therapeutics, Inc.* | | | 44,847 | |
| | 2,449 | | | REGENXBIO, Inc.* | | | 80,082 | |
| | 427 | | | Repare Therapeutics, Inc.* | | | 9,005 | |
| | 1,686 | | | Replimune Group, Inc.* | | | 45,691 | |
| | 667 | | | REVOLUTION Medicines, Inc.* | | | 16,788 | |
| | 1,106 | | | Rhythm Pharmaceuticals, Inc.* | | | 11,038 | |
| | 9,636 | | | Rigel Pharmaceuticals, Inc.* | | | 25,535 | |
| | 2,920 | | | Rocket Pharmaceuticals, Inc.* | | | 63,744 | |
| | 2,335 | | | Sage Therapeutics, Inc.* | | | 99,331 | |
| | 10,666 | | | Sangamo Therapeutics, Inc.* | | | 79,995 | |
| | 1,550 | | | Scholar Rock Holding Corp.* | | | 38,502 | |
| | 9,500 | | | Spectrum Pharmaceuticals, Inc.* | | | 12,065 | |
| | 1,478 | | | Spero Therapeutics, Inc.* | | | 23,663 | |
| | 1,098 | | | SpringWorks Therapeutics, Inc.* | | | 68,054 | |
| | 954 | | | Stoke Therapeutics, Inc.* | | | 22,886 | |
| | 1,866 | | | Surface Oncology, Inc.* | | | 8,920 | |
| | 1,873 | | | Sutro Biopharma, Inc.* | | | 27,870 | |
| | 2,101 | | | Syndax Pharmaceuticals, Inc.* | | | 45,991 | |
| | 905 | | | Syros Pharmaceuticals, Inc.* | | | 2,950 | |
| | 1,755 | | | TCR2 Therapeutics, Inc.* | | | 8,178 | |
| | 2,757 | | | Travere Therapeutics, Inc.* | | | 85,577 | |
| | 533 | | | Turning Point Therapeutics, Inc.* | | | 25,424 | |
| | 1,282 | | | Ultragenyx Pharmaceutical, Inc.* | | | 107,803 | |
| | 303 | | | United Therapeutics Corp.* | | | 65,472 | |
| | 3,525 | | | Vanda Pharmaceuticals, Inc.* | | | 55,307 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 2,332 | | | Vaxart, Inc.*^ | | $ | 14,622 | |
| | 3,366 | | | VBI Vaccines, Inc.* | | | 7,876 | |
| | 8,204 | | | Verastem, Inc.* | | | 16,818 | |
| | 2,783 | | | Vericel Corp.* | | | 109,372 | |
| | 4,488 | | | Viking Therapeutics, Inc.* | | | 20,645 | |
| | 737 | | | Vir Biotechnology, Inc.* | | | 30,858 | |
| | 1,685 | | | Voyager Therapeutics, Inc.* | | | 4,566 | |
| | 3,464 | | | Xencor, Inc.* | | | 138,976 | |
| | 1,840 | | | Y-mAbs Therapeutics, Inc.* | | | 29,826 | |
| | | | | | | | |
| | | | | | | 6,701,980 | |
| | | | | | | | |
| Building Products (1.5%): | | | |
| | 3,183 | | | AAON, Inc. | | | 252,826 | |
| | 447 | | | Advanced Drainage Systems, Inc. | | | 60,850 | |
| | 824 | | | American Woodmark Corp.* | | | 53,725 | |
| | 1,705 | | | Apogee Enterprises, Inc. | | | 82,096 | |
| | 3,226 | | | Armstrong Flooring, Inc.* | | | 6,388 | |
| | 2,574 | | | Armstrong World Industries, Inc. | | | 298,893 | |
| | 1,277 | | | AZEK Co., Inc. (The)* | | | 59,048 | |
| | 3,446 | | | Cornerstone Building Brands, Inc.* | | | 60,098 | |
| | 815 | | | Csw Industrials, Inc. | | | 98,501 | |
| | 1,452 | | | Gibraltar Industries, Inc.* | | | 96,819 | |
| | 1,043 | | | Griffon Corp. | | | 29,705 | |
| | 1,762 | | | Insteel Industries, Inc. | | | 70,145 | |
| | 3,941 | | | Jeld-Wen Holding, Inc.* | | | 103,885 | |
| | 871 | | | Masonite International Corp.* | | | 102,734 | |
| | 3,341 | | | PGT Innovations, Inc.* | | | 75,139 | |
| | 2,436 | | | Quanex Building Products Corp. | | | 60,364 | |
| | 3,705 | | | Resideo Technologies, Inc.* | | | 96,441 | |
| | 2,222 | | | Simpson Manufacturing Co., Inc. | | | 309,014 | |
| | 2,113 | | | UFP Industries, Inc. | | | 194,417 | |
| | 6,630 | | | Zurn Water Solutions Corp. | | | 241,332 | |
| | | | | | | | |
| | | | | | | 2,352,420 | |
| | | | | | | | |
| Capital Markets (2.1%): | | | |
| | 1,665 | | | Affiliated Managers Group, Inc. | | | 273,909 | |
| | 3,557 | | | Artisan Partners Asset Management, Inc., Class A | | | 169,456 | |
| | 866 | | | Assetmark Financial Holdings, Inc.* | | | 22,698 | |
| | 16,135 | | | BGC Partners, Inc., Class A | | | 75,028 | |
| | 1,300 | | | Blucora, Inc.* | | | 22,516 | |
| | 2,455 | | | Brightsphere Investment Group, Inc. | | | 62,848 | |
| | 3,094 | | | Cohen & Steers, Inc. | | | 286,226 | |
| | 300 | | | Cowen, Inc., Class A | | | 10,830 | |
| | 239 | | | Diamond Hill Investment Group | | | 46,421 | |
| | 2,638 | | | Donnelley Financial Solutions, Inc.* | | | 124,355 | |
| | 4,076 | | | Federated Hermes, Inc., Class B | | | 153,176 | |
| | 989 | | | GAMCO Investors, Inc., Class A | | | 24,705 | |
| | 1,990 | | | Greenhill & Co., Inc. | | | 35,681 | |
| | 1,753 | | | Hamilton Lane, Inc. | | | 181,646 | |
| | 211 | | | Hennessy Advisors, Inc. | | | 2,292 | |
| | 2,282 | | | Houlihan Lokey, Inc. | | | 236,233 | |
| | 1,879 | | | Janus Henderson Group plc | | | 78,805 | |
| | 6,018 | | | Lazard, Ltd., Class A | | | 262,565 | |
| | 2,775 | | | Manning & Napier, Inc. | | | 23,060 | |
| | 3,592 | | | Moelis & Co., Class A | | | 224,536 | |
| | 853 | | | Oppenheimer Holdings, Class A | | | 39,554 | |
| | 671 | | | Piper Jaffray Cos., Inc. | | | 119,780 | |
| | 1,393 | | | PJT Partners, Inc. | | | 103,207 | |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 2,624 | | | Pzena Investment Management, Inc. | | $ | 24,849 | |
| | 3,824 | | | Safeguard Scientifics, Inc.* | | | 28,106 | |
| | 1,619 | | | Silvercrest Asset Management Group, Inc., Class A | | | 27,798 | |
| | 2,267 | | | Stifel Financial Corp. | | | 159,642 | |
| | 984 | | | StoneX Group, Inc.* | | | 60,270 | |
| | 207 | | | Value Line, Inc. | | | 9,692 | |
| | 5,549 | | | Virtu Financial, Inc., Class A | | | 159,978 | |
| | 411 | | | Virtus Investment Partners, Inc. | | | 122,108 | |
| | 1,478 | | | Westwood Holdings, Inc. | | | 25,037 | |
| | 10,429 | | | WisdomTree Investments, Inc. | | | 63,826 | |
| | | | | | | | |
| | | | | | | 3,260,833 | |
| | | | | | | | |
| Chemicals (3.4%): | | | |
| | 1,064 | | | Advanced Emmissions Solutions* | | | 7,044 | |
| | 2,212 | | | AdvanSix, Inc. | | | 104,517 | |
| | 1,429 | | | Agrofresh Solutions, Inc.* | | | 2,844 | |
| | 2,805 | | | American Vanguard Corp. | | | 45,974 | |
| | 2,989 | | | Ashland Global Holdings, Inc. | | | 321,796 | |
| | 4,531 | | | Avient Corp. | | | 253,510 | |
| | 2,017 | | | Balchem Corp. | | | 340,066 | |
| | 2,535 | | | Cabot Corp. | | | 142,467 | |
| | 639 | | | Chase Corp. | | | 63,619 | |
| | 8,006 | | | Chemours Co. (The) | | | 268,681 | |
| | 1,403 | | | Core Molding Technologies, Inc.* | | | 11,940 | |
| | 6,378 | | | Ecovyst, Inc. | | | 65,311 | |
| | 13,666 | | | Element Solutions, Inc. | | | 331,811 | |
| | 4,923 | | | Ferro Corp.* | | | 107,469 | |
| | 2,318 | | | Flotek Industries, Inc.* | | | 2,619 | |
| | 3,777 | | | Futurefuel Corp. | | | 28,856 | |
| | 3,684 | | | GCP Applied Technologies, Inc.* | | | 116,635 | |
| | 3,215 | | | H.B. Fuller Co. | | | 260,415 | |
| | 1,565 | | | Hawkins, Inc. | | | 61,739 | |
| | 2,726 | | | Huntsman Corp. | | | 95,083 | |
| | 1,866 | | | Ingevity Corp.* | | | 133,792 | |
| | 1,207 | | | Innospec, Inc. | | | 109,040 | |
| | 1,047 | | | Intrepid Potash, Inc.* | | | 44,738 | |
| | 1,147 | | | Koppers Holdings, Inc.* | | | 35,901 | |
| | 1,259 | | | Kraton Corp.* | | | 58,317 | |
| | 5,083 | | | Kronos Worldwide, Inc. | | | 76,296 | |
| | 9,357 | | | Livent Corp.* | | | 228,124 | |
| | 5,685 | | | LSB Industries, Inc.* | | | 62,819 | |
| | 1,815 | | | Minerals Technologies, Inc. | | | 132,767 | |
| | 389 | | | NewMarket Corp. | | | 133,318 | |
| | 1,786 | | | Northern Technologies International Corp. | | | 27,326 | |
| | 5,689 | | | Olin Corp. | | | 327,231 | |
| | 2,431 | | | Orion Engineered Carbons SA* | | | 44,633 | |
| | 241 | | | Quaker Chemical Corp. | | | 55,618 | |
| | 5,893 | | | Rayonier Advanced Materials, Inc.* | | | 33,649 | |
| | 2,468 | | | Sensient Technologies Corp. | | | 246,948 | |
| | 1,187 | | | Stepan Co. | | | 147,532 | |
| | 3,421 | | | Trecora Resources* | | | 27,642 | |
| | 2,589 | | | Tredegar Corp. | | | 30,602 | |
| | 2,135 | | | Trinseo PLC* | | | 112,002 | |
| | 8,671 | | | Tronox Holdings plc, Class A | | | 208,364 | |
| | 8,685 | | | Valvoline, Inc. | | | 323,864 | |
| | 8,372 | | | Venator Materials plc* | | | 21,265 | |
| | | | | | | | |
| | | | | | | 5,254,184 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies (1.9%): | | | |
| | 3,277 | | | ABM Industries, Inc. | | $ | 133,866 | |
| | 7,062 | | | ACCO Brands Corp. | | | 58,332 | |
| | 675 | | | Acme United Corp. | | | 22,748 | |
| | 1,342 | | | ADT, Inc. | | | 11,286 | |
| | 2,694 | | | Brady Corp., Class A | | | 145,207 | |
| | 3,882 | | | BrightView Holdings, Inc.* | | | 54,659 | |
| | 2,663 | | | Brink’s Co. (The) | | | 174,613 | |
| | 3,082 | | | Casella Waste Systems, Inc.* | | | 263,264 | |
| | 4,565 | | | CECO Environmental Corp.* | | | 28,440 | |
| | 1,426 | | | Cimpress plc* | | | 102,116 | |
| | 436 | | | Civeo Corp.* | | | 8,358 | |
| | 2,550 | | | Clean Harbors, Inc.* | | | 254,414 | |
| | 325 | | | CompX International, Inc. | | | 7,303 | |
| | 1,356 | | | Deluxe Corp. | | | 43,541 | |
| | 2,494 | | | Ennis, Inc. | | | 48,708 | |
| | 3,751 | | | Healthcare Services Group, Inc. | | | 66,730 | |
| | 1,000 | | | Heritage-Crystal Clean, Inc.* | | | 32,020 | |
| | 2,059 | | | HNI Corp. | | | 86,581 | |
| | 3,774 | | | Interface, Inc. | | | 60,195 | |
| | 3,764 | | | KAR Auction Services, Inc.* | | | 58,794 | |
| | 2,673 | | | Kimball International, Inc., Class B | | | 27,345 | |
| | 1,775 | | | Matthews International Corp., Class A | | | 65,089 | |
| | 1,489 | | | McGrath Rentcorp | | | 119,507 | |
| | 3,964 | | | MillerKnoll, Inc. | | | 155,349 | |
| | 276 | | | MSA Safety, Inc. | | | 41,665 | |
| | 2,566 | | | NL Industries, Inc. | | | 18,988 | |
| | 2,198 | | | Perma-Fix Environmental Services, Inc.* | | | 13,913 | |
| | 10,503 | | | Pitney Bowes, Inc. | | | 69,635 | |
| | 5,379 | | | Quad Graphics, Inc.* | | | 21,516 | |
| | 8,004 | | | RR Donnelley & Sons Co.* | | | 90,125 | |
| | 1,749 | | | SP Plus Corp.* | | | 49,357 | |
| | 4,831 | | | Steelcase, Inc., Class A | | | 56,619 | |
| | 1,241 | | | Stericycle, Inc.* | | | 74,013 | |
| | 4,115 | | | Team, Inc.* | | | 4,485 | |
| | 620 | | | Tetra Tech, Inc. | | | 105,276 | |
| | 763 | | | UniFirst Corp. | | | 160,535 | |
| | 2,366 | | | US Ecology, Inc.* | | | 75,570 | |
| | 373 | | | Viad Corp.* | | | 15,961 | |
| | 2,566 | | | Vidler Water Resouces, Inc.* | | | 30,997 | |
| | 3,364 | | | Virco Manufacturing Co.* | | | 10,294 | |
| | 1,177 | | | Vse Corp. | | | 71,726 | |
| | | | | | | | |
| | | | | | | 2,939,140 | |
| | | | | | | | |
| Communications Equipment (1.2%): | | | |
| | 3,614 | | | ADTRAN, Inc. | | | 82,508 | |
| | 1,444 | | | Applied Optoelectronics, Inc.* | | | 7,422 | |
| | 682 | | | Aviat Networks, Inc.* | | | 21,879 | |
| | 900 | | | BK Technologies Corp. | | | 2,169 | |
| | 3,195 | | | CalAmp Corp.* | | | 22,557 | |
| | 4,175 | | | Calix, Inc.* | | | 333,875 | |
| | 3,508 | | | Casa Systems, Inc.* | | | 19,890 | |
| | 980 | | | Clearfield, Inc.* | | | 82,732 | |
| | 3,616 | | | ClearOne, Inc.* | | | 4,665 | |
| | 1,300 | | | CommScope Holding Co., Inc.* | | | 14,352 | |
| | 316 | | | Communications Systems, Inc. | | | 758 | |
| | 1,983 | | | Comtech Telecommunications Corp. | | | 46,977 | |
| | 2,559 | | | Digi International, Inc.* | | | 62,875 | |
| | 1,222 | | | DZS, Inc.* | | | 19,821 | |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Communications Equipment, continued | | | |
| | 2,230 | | | EchoStar Corp., Class A* | | $ | 58,761 | |
| | 3,157 | | | EMCORE Corp.* | | | 22,036 | |
| | 6,919 | | | Harmonic, Inc.* | | | 81,367 | |
| | 9,258 | | | Infinera Corp.* | | | 88,784 | |
| | 1,456 | | | InterDigital, Inc. | | | 104,293 | |
| | 2,325 | | | KVH Industries, Inc.* | | | 21,367 | |
| | 1,172 | | | Lantronix, Inc.* | | | 9,177 | |
| | 1,612 | | | Lumentum Holdings, Inc.* | | | 170,501 | |
| | 1,769 | | | NETGEAR, Inc.* | | | 51,672 | |
| | 4,188 | | | NetScout Systems, Inc.* | | | 138,539 | |
| | 2,391 | | | Network-1 Technologies, Inc. | | | 6,743 | |
| | 131 | | | Optical Cable Corp.* | | | 703 | |
| | 7,260 | | | Ribbon Communications, Inc.* | | | 43,923 | |
| | 3,617 | | | ViaSat, Inc.* | | | 161,101 | |
| | 9,904 | | | Viavi Solutions, Inc.* | | | 174,508 | |
| | | | | | | | |
| | | | | | | 1,855,955 | |
| | | | | | | | |
| Construction & Engineering (1.7%): | | | |
| | 2,549 | | | Ameresco, Inc., Class A* | | | 207,591 | |
| | 11,298 | | | API Group Corp.* | | | 291,149 | |
| | 2,497 | | | Arcosa, Inc. | | | 131,592 | |
| | 952 | | | Argan, Inc. | | | 36,833 | |
| | 1,799 | | | Comfort Systems USA, Inc. | | | 177,993 | |
| | 1,234 | | | Concrete Pumping Holdings, Inc.* | | | 10,119 | |
| | 999 | | | Construction Partners, Inc., Class A* | | | 29,381 | |
| | 1,242 | | | Dycom Industries, Inc.* | | | 116,450 | |
| | 1,063 | | | EMCOR Group, Inc. | | | 135,416 | |
| | 2,210 | | | Granite Construction, Inc. | | | 85,527 | |
| | 4,498 | | | Great Lakes Dredge & Dock Co.* | | | 70,708 | |
| | 1,679 | | | IES Holdings, Inc.* | | | 85,025 | |
| | 3,105 | | | MasTec, Inc.* | | | 286,529 | |
| | 3,068 | | | Matrix Service Co.* | | | 23,071 | |
| | 1,083 | | | MYR Group, Inc.* | | | 119,726 | |
| | 879 | | | Northwest Pipe Co.* | | | 27,952 | |
| | 949 | | | NV5 Global, Inc.* | | | 131,076 | |
| | 5,203 | | | Orion Group Holdings, Inc.* | | | 19,615 | |
| | 1,563 | | | Primoris Services Corp. | | | 37,481 | |
| | 2,151 | | | Sterling Construction Co., Inc.* | | | 56,571 | |
| | 2,090 | | | Tutor Perini Corp.* | | | 25,853 | |
| | 1,224 | | | Valmont Industries, Inc. | | | 306,612 | |
| | 6,257 | | | WillScot Mobile Mini Holdings Corp.* | | | 255,536 | |
| | | | | | | | |
| | | | | | | 2,667,806 | |
| | | | | | | | |
| Construction Materials (0.4%): | | | |
| | 1,908 | | | Eagle Materials, Inc., Class A | | | 317,606 | |
| | 1,261 | | | Forterra, Inc.* | | | 29,986 | |
| | 5,455 | | | Summit Materials, Inc., Class A* | | | 218,964 | |
| | 466 | | | U.S. Lime & Minerals, Inc. | | | 60,123 | |
| | | | | | | | |
| | | | | | | 626,679 | |
| | | | | | | | |
| Consumer Finance (1.2%): | | | |
| | 1,070 | | | Atlanticus Holdings Corp.* | | | 76,312 | |
| | 1,688 | | | Consumer Portfolio Services, Inc.* | | | 20,003 | |
| | 3,041 | | | Curo Group Holdings Corp. | | | 48,687 | |
| | 1,249 | | | Encore Capital Group, Inc.* | | | 77,575 | |
| | 1,566 | | | Enova International, Inc.* | | | 64,143 | |
| | 5,775 | | | EZCORP, Inc., Class A* | | | 42,562 | |
| | 2,530 | | | FirstCash Holdings, Inc. | | | 189,269 | |
| | 2,615 | | | Green Dot Corp., Class A* | | | 94,768 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Consumer Finance, continued | | | |
| | 5,920 | | | LendingClub Corp.* | | $ | 143,146 | |
| | 6,374 | | | Navient Corp. | | | 135,256 | |
| | 1,807 | | | Nelnet, Inc., Class A | | | 176,508 | |
| | 1,556 | | | Nicholas Financial, Inc.* | | | 18,345 | |
| | 964 | | | Oportun Financial Corp.* | | | 19,521 | |
| | 2,712 | | | PRA Group, Inc.* | | | 136,170 | |
| | 3,728 | | | PROG Holdings, Inc.* | | | 168,170 | |
| | 821 | | | Regional Mgmt Corp. | | | 47,175 | |
| | 11,202 | | | SLM Corp. | | | 220,343 | |
| | 475 | | | World Acceptance Corp.* | | | 116,579 | |
| | | | | | | | |
| | | | | | | 1,794,532 | |
| | | | | | | | |
| Containers & Packaging (0.6%): | | | |
| | 13,394 | | | Graphic Packaging Holding Co. | | | 261,183 | |
| | 1,645 | | | Greif, Inc., Class A | | | 99,309 | |
| | 874 | | | Greif, Inc., Class B | | | 52,248 | |
| | 2,948 | | | Myers Industries, Inc. | | | 58,989 | |
| | 7,172 | | | O-I Glass, Inc.* | | | 86,279 | |
| | 613 | | | Ranpak Holdings Corp.* | | | 23,037 | |
| | 4,885 | | | Silgan Holdings, Inc. | | | 209,273 | |
| | 357 | | | Sonoco Products Co. | | | 20,667 | |
| | 671 | | | UFP Technologies, Inc.* | | | 47,144 | |
| | | | | | | | |
| | | | | | | 858,129 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 12 | | | AMCON Distributing Co. | | | 2,394 | |
| | 1,626 | | | Educational Development Corp. | | | 14,504 | |
| | 2,028 | | | Funko, Inc., Class A* | | | 38,126 | |
| | 1,655 | | | Weyco Group, Inc. | | | 39,621 | |
| | | | | | | | |
| | | | | | | 94,645 | |
| | | | | | | | |
| Diversified Consumer Services (1.0%): | | | |
| | 2,828 | | | 2u, Inc.* | | | 56,758 | |
| | 2,578 | | | Adtalem Global Education, Inc.* | | | 76,206 | |
| | 1,366 | | | American Public Education, Inc.* | | | 30,393 | |
| | 1,394 | | | Carriage Services, Inc. | | | 89,829 | |
| | 4,483 | | | Frontdoor, Inc.* | | | 164,302 | |
| | 201 | | | Graham Holdings Co., Class B | | | 126,596 | |
| | 2,210 | | | Grand Canyon Education, Inc.* | | | 189,419 | |
| | 8,298 | | | H&R Block, Inc. | | | 195,501 | |
| | 9,707 | | | Houghton Mifflin Harcourt Co.* | | | 156,283 | |
| | 2,311 | | | Laureate Education, Inc. | | | 28,286 | |
| | 2,747 | | | OneSpaWorld Holdings, Ltd.* | | | 27,525 | |
| | 4,264 | | | Perdoceo Education Corp.* | | | 50,145 | |
| | 2,561 | | | Regis Corp.* | | | 4,456 | |
| | 1,432 | | | Strategic Education, Inc. | | | 82,827 | |
| | 2,869 | | | Stride, Inc.* | | | 95,624 | |
| | 980 | | | Terminix Global Holdings, Inc.* | | | 44,325 | |
| | 5,156 | | | Universal Technical Institute, Inc.* | | | 40,320 | |
| | 2,647 | | | WW International, Inc.* | | | 42,696 | |
| | 3,362 | | | Zovio, Inc.* | | | 4,270 | |
| | | | | | | | |
| | | | | | | 1,505,761 | |
| | | | | | | | |
| Diversified Financial Services (0.1%): | | | |
| | 500 | | | Alerus Financial Corp. | | | 14,640 | |
| | 646 | | | A-Mark Precious Metals, Inc. | | | 39,470 | |
| | 3,167 | | | Cannae Holdings, Inc.* | | | 111,320 | |
| | 1,617 | | | Marlin Business Services, Inc. | | | 37,644 | |
| | | | | | | | |
| | | | | | | 203,074 | |
| | | | | | | | |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Telecommunication (0.0%†): | | | |
| | 500 | | | Telesat Corp.* | | $ | 14,335 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.4%): | | | |
| | 1,146 | | | Anterix, Inc.* | | | 67,339 | |
| | 879 | | | ATN International, Inc. | | | 35,116 | |
| | 2,189 | | | Cogent Communications Holdings, Inc. | | | 160,191 | |
| | 5,491 | | | Consolidated Communications Holdings, Inc.* | | | 41,073 | |
| | 2,097 | | | IDT Corp.* | | | 92,603 | |
| | 6,317 | | | Iridium Communications, Inc.* | | | 260,829 | |
| | | | | | | | |
| | | | | | | 657,151 | |
| | | | | | | | |
| Electric Utilities (0.8%): | | | |
| | 1,005 | | | ALLETE, Inc. | | | 66,682 | |
| | 3,043 | | | Genie Energy, Ltd., Class B* | | | 16,950 | |
| | 5,125 | | | Hawaiian Electric Industries, Inc. | | | 212,687 | |
| | 817 | | | IDACORP, Inc. | | | 92,574 | |
| | 1,832 | | | MGE Energy, Inc. | | | 150,682 | |
| | 3,078 | | | Otter Tail Corp. | | | 219,831 | |
| | 6,951 | | | PNM Resources, Inc. | | | 317,035 | |
| | 2,371 | | | Portland General Electric Co. | | | 125,473 | |
| | | | | | | | |
| | | | | | | 1,201,914 | |
| | | | | | | | |
| Electrical Equipment (1.3%): | | | |
| | 1,056 | | | Acuity Brands, Inc. | | | 223,576 | |
| | 1,513 | | | Allied Motion Technologies, Inc. | | | 55,209 | |
| | 2,221 | | | American Superconductor Corp.* | | | 24,165 | |
| | 634 | | | Atkore, Inc.* | | | 70,495 | |
| | 1,354 | | | AZZ, Inc. | | | 74,863 | |
| | 1,427 | | | Encore Wire Corp. | | | 204,204 | |
| | 2,640 | | | EnerSys | | | 208,719 | |
| | 411 | | | Espey Manufacturing & Electronics Corp.* | | | 5,840 | |
| | 9,534 | | | GrafTech International, Ltd. | | | 112,787 | |
| | 2,834 | | | LSI Industries, Inc. | | | 19,441 | |
| | 5,549 | | | nVent Electric plc | | | 210,862 | |
| | 569 | | | Powell Industries, Inc. | | | 16,780 | |
| | 690 | | | Preformed Line Products Co. | | | 44,643 | |
| | 2,341 | | | Regal-Beloit Corp. | | | 398,391 | |
| | 75 | | | Servotronics, Inc.* | | | 951 | |
| | 1,994 | | | Sunrun, Inc.* | | | 68,394 | |
| | 2,714 | | | Thermon Group Holdings, Inc.* | | | 45,948 | |
| | 3,104 | | | Ultralife Corp.* | | | 18,748 | |
| | 1,134 | | | Vicor Corp.* | | | 143,995 | |
| | | | | | | | |
| | | | | | | 1,948,011 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (2.6%): | | | |
| | 6,544 | | | Arlo Technologies, Inc.* | | | 68,647 | |
| | 4,800 | | | Avnet, Inc. | | | 197,904 | |
| | 1,818 | | | Badger Meter, Inc. | | | 193,726 | |
| | 254 | | | Bel Fuse, Inc., Class A | | | 3,670 | |
| | 1,595 | | | Bel Fuse, Inc., Class B | | | 20,623 | |
| | 3,057 | | | Belden, Inc. | | | 200,937 | |
| | 1,596 | | | Benchmark Electronics, Inc. | | | 43,252 | |
| | 543 | | | Coherent, Inc.* | | | 144,731 | |
| | 1,611 | | | CTS Corp. | | | 59,156 | |
| | 6,442 | | | Daktronics, Inc.* | | | 32,532 | |
| | 1,365 | | | Data I/O Corp.* | | | 6,293 | |
| | 662 | | | ePlus, Inc.* | | | 35,669 | |
| | 2,471 | | | Fabrinet* | | | 292,739 | |
| | 1,055 | | | FARO Technologies, Inc.* | | | 73,871 | |
| | 640 | | | Frequency Electronics, Inc.* | | | 6,310 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 2,112 | | | II-VI, Inc.* | | $ | 144,313 | |
| | 1,899 | | | Insight Enterprises, Inc.* | | | 202,433 | |
| | 2,324 | | | Itron, Inc.* | | | 159,241 | |
| | 1,856 | | | Kimball Electronics, Inc.* | | | 40,387 | |
| | 4,627 | | | Knowles Corp.* | | | 108,040 | |
| | 235 | | | Littlelfuse, Inc. | | | 73,950 | |
| | 1,600 | | | Luna Innovations, Inc.* | | | 13,504 | |
| | 1,993 | | | Methode Electronics, Inc., Class A | | | 97,996 | |
| | 1,643 | | | Napco Security Technologies, Inc.* | | | 82,117 | |
| | 3,997 | | | National Instruments Corp. | | | 174,549 | |
| | 1,187 | | | nLight, Inc.* | | | 28,429 | |
| | 2,576 | | | Novanta, Inc.* | | | 454,226 | |
| | 952 | | | OSI Systems, Inc.* | | | 88,726 | |
| | 844 | | | PAR Technology Corp.* | | | 44,538 | |
| | 1,367 | | | PC Connection, Inc. | | | 58,959 | |
| | 1,588 | | | Plexus Corp.* | | | 152,273 | |
| | 965 | | | Rogers Corp.* | | | 263,445 | |
| | 3,446 | | | Sanmina Corp.* | | | 142,871 | |
| | 1,880 | | | ScanSource, Inc.* | | | 65,950 | |
| | 5,308 | | | TTM Technologies, Inc.* | | | 79,089 | |
| | 7,337 | | | Vishay Intertechnology, Inc. | | | 160,460 | |
| | 999 | | | Vishay Precision Group, Inc.* | | | 37,083 | |
| | 311 | | | Wayside Technology Group, Inc. | | | 10,904 | |
| | 3,952 | | | Wireless Telecom Group, Inc.* | | | 8,694 | |
| | | | | | | | |
| | | | | | | 4,072,237 | |
| | | | | | | | |
| Energy Equipment & Services (1.1%): | | | |
| | 7,188 | | | Archrock, Inc. | | | 53,766 | |
| | 2,431 | | | Aspen Aerogels, Inc.* | | | 121,040 | |
| | 1,091 | | | Bristow Group, Inc.* | | | 34,552 | |
| | 2,624 | | | Cactus, Inc., Class A | | | 100,053 | |
| | 6,189 | | | ChampionX Corp.* | | | 125,080 | |
| | 2,103 | | | Core Laboratories NV | | | 46,918 | |
| | 1,457 | | | Dawson Geophysical Co.* | | | 3,373 | |
| | 1,256 | | | DMC Global, Inc.* | | | 49,750 | |
| | 2,539 | | | Dril-Quip, Inc.* | | | 49,968 | |
| | 618 | | | Expro Group Holdings NV* | | | 8,868 | |
| | 4,307 | | | Exterran Corp.* | | | 12,835 | |
| | 2,694 | | | Frank’s International NV* | | | 38,659 | |
| | 455 | | | FTS International, Inc.* | | | 11,944 | |
| | 1,260 | | | Geospace Technologies Corp.* | | | 8,467 | |
| | 2,641 | | | Gulf Island Fabrication, Inc.* | | | 10,590 | |
| | 7,520 | | | Helix Energy Solutions Group, Inc.* | | | 23,462 | |
| | 5,207 | | | Helmerich & Payne, Inc. | | | 123,406 | |
| | 5,674 | | | Liberty Oilfield Services, Inc., Class A* | | | 55,038 | |
| | 595 | | | Mammoth Energy Services, Inc.* | | | 1,083 | |
| | 494 | | | Nabors Industries, Ltd.* | | | 40,058 | |
| | 2,925 | | | National Energy Services Reunited Corp.* | | | 27,641 | |
| | 1,299 | | | Natural Gas Services Group* | | | 13,601 | |
| | 11,883 | | | Newpark Resources, Inc.* | | | 34,936 | |
| | 12,860 | | | NexTier Oilfield Solutions, Inc.* | | | 45,653 | |
| | 10,984 | | | NOV, Inc. | | | 148,833 | |
| | 5,737 | | | Oceaneering International, Inc.* | | | 64,885 | |
| | 3,039 | | | Oil States International, Inc.* | | | 15,104 | |
| | 9,819 | | | Patterson-UTI Energy, Inc. | | | 82,971 | |
| | 7,231 | | | Propetro Holding Corp.* | | | 58,571 | |
| | 8,632 | | | RPC, Inc.* | | | 39,189 | |
| | 1,598 | | | SEACOR Marine Holdings, Inc.* | | | 5,433 | |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services, continued | | | |
| | 4,229 | | | Select Energy Services, Inc.* | | $ | 26,347 | |
| | 1,537 | | | Solaris Oilfield Infrastructure, Inc. | | | 10,067 | |
| | 1,803 | | | Technip Energies NV, ADR* | | | 26,144 | |
| | 17,966 | | | TechnipFMC plc | | | 106,359 | |
| | 5,480 | | | TETRA Technologies, Inc.* | | | 15,563 | |
| | 1,075 | | | Tidewater, Inc.* | | | 11,513 | |
| | 20,620 | | | Transocean, Ltd.*^ | | | 56,911 | |
| | 5,730 | | | U.S. Silica Holdings, Inc.* | | | 53,862 | |
| | 372 | | | Weatherford International plc* | | | 10,312 | |
| | | | | | | | |
| | | | | | | 1,772,805 | |
| | | | | | | | |
| Entertainment (0.4%): | | | |
| | 2,527 | | | Ballantyne Strong, Inc.* | | | 7,303 | |
| | 4,904 | | | Cinemark Holdings, Inc.*^ | | | 79,053 | |
| | 2,533 | | | Imax Corp.* | | | 45,189 | |
| | 783 | | | Liberty Media Corp.-Liberty Braves, Class A* | | | 22,511 | |
| | 1,825 | | | Liberty Media Corp.-Liberty Braves, Class C* | | | 51,283 | |
| | 5,074 | | | Lions Gate Entertainment Corp., Class A* | | | 84,431 | |
| | 7,603 | | | Lions Gate Entertainment Corp., Class B* | | | 117,010 | |
| | 614 | | | Madison Square Garden Entertainment Corp.* | | | 43,189 | |
| | 870 | | | Marcus Corp.* | | | 15,538 | |
| | 2,715 | | | Reading International, Inc., Class A* | | | 10,969 | |
| | 951 | | | World Wrestling Entertainment, Inc., Class A | | | 46,922 | |
| | 13,548 | | | Zynga, Inc.* | | | 86,707 | |
| | | | | | | | |
| | | | | | | 610,105 | |
| | | | | | | | |
| Food & Staples Retailing (1.0%): | | | |
| | 5,498 | | | BJ’s Wholesale Club Holdings, Inc.* | | | 368,201 | |
| | 118 | | | Casey’s General Stores, Inc. | | | 23,287 | |
| | 2,742 | | | Grocery Outlet Holding Corp.* | | | 77,544 | |
| | 661 | | | Ingles Markets, Inc., Class A | | | 57,071 | |
| | 2,814 | | | Natural Grocers by Vitamin Cottage, Inc. | | | 40,100 | |
| | 769 | | | Performance Food Group Co.* | | | 35,289 | |
| | 1,654 | | | PriceSmart, Inc. | | | 121,023 | |
| | 1,602 | | | Rite Aid Corp.* | | | 23,533 | |
| | 2,176 | | | SpartanNash Co. | | | 56,054 | |
| | 4,696 | | | Sprouts Farmers Market, Inc.* | | | 139,377 | |
| | 1,855 | | | The Andersons, Inc. | | | 71,807 | |
| | 2,406 | | | The Chefs’ Warehouse, Inc.* | | | 80,120 | |
| | 3,444 | | | United Natural Foods, Inc.* | | | 169,032 | |
| | 1,999 | | | US Foods Holding Corp.* | | | 69,625 | |
| | 1,419 | | | Village Super Market, Inc., Class A | | | 33,190 | |
| | 1,746 | | | Weis Markets, Inc. | | | 115,027 | |
| | | | | | | | |
| | | | | | | 1,480,280 | |
| | | | | | | | |
| Food Products (1.5%): | | | |
| | 444 | | | Alico, Inc. | | | 16,441 | |
| | 2,325 | | | B&G Foods, Inc.^ | | | 71,447 | |
| | 1,273 | | | Calavo Growers, Inc. | | | 53,975 | |
| | 2,146 | | | Cal-Maine Foods, Inc. | | | 79,381 | |
| | 1,318 | | | Coffee Holding Co., Inc.* | | | 5,733 | |
| | 2,061 | | | Darling Ingredients, Inc.* | | | 142,807 | |
| | 2,411 | | | Farmer Brothers Co.* | | | 17,962 | |
| | 5,876 | | | Flowers Foods, Inc. | | | 161,414 | |
| | 2,300 | | | Fresh Del Monte Produce, Inc. | | | 63,480 | |
| | 3,206 | | | Hain Celestial Group, Inc. (The)* | | | 136,608 | |
| | 6,361 | | | Hostess Brands, Inc.* | | | 129,892 | |
| | 842 | | | Ingredion, Inc. | | | 81,371 | |
| | 1,040 | | | J & J Snack Foods Corp. | | | 164,278 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 519 | | | John B Sanfilippo And Son, Inc. | | $ | 46,793 | |
| | 1,489 | | | Lancaster Colony Corp. | | | 246,578 | |
| | 2,754 | | | Landec Corp.* | | | 30,569 | |
| | 2,175 | | | Limoneira Co. | | | 32,625 | |
| | 397 | | | Pilgrim’s Pride Corp.* | | | 11,195 | |
| | 800 | | | Post Holdings, Inc.* | | | 90,184 | |
| | 1,220 | | | Rocky Mountain Chocolate Factory, Inc.* | | | 9,516 | |
| | 1,074 | | | Sanderson Farms, Inc. | | | 205,220 | |
| | 46 | | | Seaboard Corp. | | | 181,010 | |
| | 708 | | | Seneca Foods Corp., Class A* | | | 33,949 | |
| | 12 | | | Seneca Foods Corp., Class B* | | | 565 | |
| | 4,807 | | | Simply Good Foods Co. (The)* | | | 199,827 | |
| | 2,229 | | | Tootsie Roll Industries, Inc. | | | 80,757 | |
| | 1,779 | | | TreeHouse Foods, Inc.* | | | 72,103 | |
| | | | | | | | |
| | | | | | | 2,365,680 | |
| | | | | | | | |
| Gas Utilities (0.8%): | | | |
| | 1,029 | | | Chesapeake Utilities Corp. | | | 150,038 | |
| | 1,610 | | | National Fuel Gas Co. | | | 102,943 | |
| | 5,705 | | | New Jersey Resources Corp. | | | 234,247 | |
| | 1,406 | | | Northwest Natural Holding Co. | | | 68,585 | |
| | 2,413 | | | ONE Gas, Inc. | | | 187,225 | |
| | 873 | | | RGC Resources, Inc. | | | 20,088 | |
| | 6,748 | | | South Jersey Industries, Inc. | | | 176,258 | |
| | 2,172 | | | Southwest Gas Holdings, Inc. | | | 152,149 | |
| | 2,974 | | | Spire, Inc. | | | 193,964 | |
| | | | | | | | |
| | | | | | | 1,285,497 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.0%): | | | |
| | 6,691 | | | Accuray, Inc.* | | | 31,916 | |
| | 3,324 | | | AngioDynamics, Inc.* | | | 91,676 | |
| | 1,309 | | | Anika Therapeutics, Inc.* | | | 46,902 | |
| | 5,744 | | | Antares Pharma, Inc.* | | | 20,506 | |
| | 2,193 | | | Apyx Medical Corp.* | | | 28,114 | |
| | 2,345 | | | AtriCure, Inc.* | | | 163,048 | |
| | 126 | | | Atrion Corp. | | | 88,817 | |
| | 3,108 | | | Avanos Medical, Inc.* | | | 107,754 | |
| | 2,841 | | | Axogen, Inc.* | | | 26,620 | |
| | 2,250 | | | Axonics, Inc.* | | | 126,000 | |
| | 3,014 | | | Cardiovascular Systems, Inc.* | | | 56,603 | |
| | 1,799 | | | CONMED Corp. | | | 255,026 | |
| | 2,615 | | | CryoLife, Inc.* | | | 53,215 | |
| | 2,081 | | | CytoSorbents Corp.* | | | 8,719 | |
| | 1,118 | | | Elctromed, Inc.* | | | 14,534 | |
| | 5,890 | | | Envista Holdings Corp.* | | | 265,403 | |
| | 427 | | | Fonar Corp.* | | | 6,397 | |
| | 2,248 | | | Glaukos Corp.* | | | 99,901 | |
| | 331 | | | Globus Medical, Inc.* | | | 23,898 | |
| | 956 | | | Haemonetics Corp.* | | | 50,706 | |
| | 682 | | | Heska Corp.* | | | 124,458 | |
| | 1,271 | | | ICU Medical, Inc.* | | | 301,659 | |
| | 1,790 | | | Inogen, Inc.* | | | 60,860 | |
| | 1,778 | | | Integer Holdings Corp.* | | | 152,179 | |
| | 4,094 | | | Integra LifeSciences Holdings Corp.* | | | 274,257 | |
| | 199 | | | IntriCon Corp.* | | | 3,218 | |
| | 4,509 | | | Invacare Corp.* | | | 12,265 | |
| | 850 | | | iRadimed Corp.* | | | 39,279 | |
| | 2,006 | | | IRIDEX Corp.* | | | 12,257 | |
| | 249 | | | Kewaunee Scientific CP* | | | 3,172 | |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 4,025 | | | Lantheus Holdings, Inc.* | | $ | 116,282 | |
| | 1,449 | | | LeMaitre Vascular, Inc. | | | 72,783 | |
| | 1,127 | | | LENSAR, Inc.* | | | 6,717 | |
| | 2,980 | | | LivaNova plc* | | | 260,541 | |
| | 3,167 | | | Meridian Bioscience, Inc.* | | | 64,607 | |
| | 3,244 | | | Merit Medical Systems, Inc.* | | | 202,101 | |
| | 186 | | | Mesa Laboratories, Inc. | | | 61,025 | |
| | 2,205 | | | Natus Medical, Inc.* | | | 52,325 | |
| | 5,233 | | | Neogen Corp.* | | | 237,631 | |
| | 216 | | | Nevro Corp.* | | | 17,511 | |
| | 2,684 | | | NuVasive, Inc.* | | | 140,856 | |
| | 5,745 | | | OraSure Technologies, Inc.* | | | 49,924 | |
| | 1,375 | | | Orthofix Medical, Inc.* | | | 42,749 | |
| | 1,025 | | | Orthopediatrics Corp.* | | | 61,357 | |
| | 1,517 | | | Quidel Corp.* | | | 204,780 | |
| | 2,363 | | | SeaSpine Holdings Corp.* | | | 32,184 | |
| | 200 | | | Shockwave Medical, Inc.* | | | 35,666 | |
| | 1,010 | | | SI-BONE, Inc.* | | | 22,432 | |
| | 2,196 | | | STAAR Surgical Co.* | | | 200,495 | |
| | 10,930 | | | Surgalign Holdings, Inc.* | | | 7,830 | |
| | 879 | | | Surmodics, Inc.* | | | 42,324 | |
| | 1,169 | | | Tactile Systems Technology, Inc.* | | | 22,246 | |
| | 1,583 | | | TransMedics Group, Inc.* | | | 30,330 | |
| | 435 | | | Utah Medical Products, Inc. | | | 43,500 | |
| | 2,566 | | | Varex Imaging Corp.* | | | 80,957 | |
| | 8,600 | | | ViewRay, Inc.* | | | 47,386 | |
| | 686 | | | Zynex, Inc.* | | | 6,840 | |
| | | | | | | | |
| | | | | | | 4,712,738 | |
| | | | | | | | |
| Health Care Providers & Services (3.7%): | | | |
| | 4,930 | | | Acadia Healthcare Co., Inc.* | | | 299,251 | |
| | 787 | | | Addus HomeCare Corp.* | | | 73,592 | |
| | 3,407 | | | AMN Healthcare Services, Inc.* | | | 416,778 | |
| | 1,143 | | | Apollo Medical Holdings, Inc.* | | | 83,988 | |
| | 12,191 | | | Brookdale Senior Living, Inc.* | | | 62,906 | |
| | 7,998 | | | Community Health Systems, Inc.* | | | 106,453 | |
| | 1,310 | | | CorVel Corp.* | | | 272,480 | |
| | 8,309 | | | Covetrus, Inc.* | | | 165,931 | |
| | 2,958 | | | Cross Country Healthcare, Inc.* | | | 82,114 | |
| | 1,589 | | | Encompass Health Corp. | | | 103,698 | |
| | 2,966 | | | Ensign Group, Inc. (The) | | | 249,025 | |
| | 190 | | | Five Star Senior Living, Inc.* | | | 561 | |
| | 2,033 | | | Hanger, Inc.* | | | 36,858 | |
| | 4,724 | | | HealthEquity, Inc.* | | | 208,990 | |
| | 1,999 | | | InfuSystems Holdings, Inc.* | | | 34,043 | |
| | 1,190 | | | Joint Corp. (The)* | | | 78,171 | |
| | 1,634 | | | LHC Group, Inc.* | | | 224,234 | |
| | 1,078 | | | Magellan Health, Inc.* | | | 102,399 | |
| | 5,006 | | | MEDNAX, Inc.* | | | 136,213 | |
| | 624 | | | ModivCare, Inc.* | | | 92,533 | |
| | 887 | | | National Healthcare Corp. | | | 60,263 | |
| | 2,297 | | | National Research Corp. | | | 95,372 | |
| | 9,359 | | | Option Care Health, Inc.* | | | 266,170 | |
| | 5,522 | | | Owens & Minor, Inc. | | | 240,207 | |
| | 5,186 | | | Patterson Cos., Inc. | | | 152,209 | |
| | 1,785 | | | Petiq, Inc.* | | | 40,537 | |
| | 6,461 | | | Premier, Inc., Class A | | | 265,999 | |
| | 4,936 | | | Progyny, Inc.* | | | 248,528 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services, continued | | | |
| | 1,080 | | | Psychemedics Corp. | | $ | 7,495 | |
| | 15,289 | | | R1 RCM, Inc.* | | | 389,717 | |
| | 2,898 | | | RadNet, Inc.* | | | 87,259 | |
| | 7,290 | | | Select Medical Holdings Corp. | | | 214,326 | |
| | 4,347 | | | Surgery Partners, Inc.* | | | 232,173 | |
| | 5,287 | | | Tenet Healthcare Corp.* | | | 431,895 | |
| | 1,764 | | | The Pennant Group, Inc.* | | | 40,713 | |
| | 1,778 | | | Tivity Health, Inc.* | | | 47,010 | |
| | 1,995 | | | Triple-S Management Corp., Class B* | | | 71,182 | |
| | 755 | | | U.S. Physical Therapy, Inc. | | | 72,140 | |
| | | | | | | | |
| | | | | | | 5,793,413 | |
| | | | | | | | |
| Health Care Technology (0.8%): | | | |
| | 8,761 | | | Allscripts Healthcare Solutions, Inc.* | | | 161,640 | |
| | 3,434 | | | Castlight Health, Inc., Class B* | | | 5,288 | |
| | 1,296 | | | Change Healthcare, Inc.* | | | 27,709 | |
| | 766 | | | Computer Programs & Systems, Inc.* | | | 22,444 | |
| | 5,645 | | | Evolent Health, Inc., Class A* | | | 156,197 | |
| | 2,021 | | | Health Catalyst, Inc.* | | | 80,072 | |
| | 2,627 | | | HealthStream, Inc.* | | | 69,248 | |
| | 1,239 | | | iCAD, Inc.* | | | 8,921 | |
| | 4,136 | | | NextGen Healthcare, Inc.* | | | 73,579 | |
| | 2,303 | | | Omnicell, Inc.* | | | 415,553 | |
| | 445 | | | OptimizeRx Corp.* | | | 27,639 | |
| | 2,596 | | | Vocera Communications, Inc.* | | | 168,325 | |
| | | | | | | | |
| | | | | | | 1,216,615 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (2.4%): | | | |
| | 1,724 | | | BBQ Holdings, Inc.* | | | 27,377 | |
| | 3 | | | Biglari Holdings, Inc., Class A* | | | 2,085 | |
| | 168 | | | Biglari Holdings, Inc., Class B* | | | 23,952 | |
| | 1,766 | | | BJ’s Restaurants, Inc.* | | | 61,015 | |
| | 4,676 | | | Bloomin’ Brands, Inc.* | | | 98,102 | |
| | 950 | | | Bluegreen Vacations Holding Corp.* | | | 33,345 | |
| | 1,994 | | | Brinker International, Inc.* | | | 72,960 | |
| | 4,497 | | | Carrols Restaurant Group, Inc. | | | 13,311 | |
| | 700 | | | Century Casinos, Inc.* | | | 8,526 | |
| | 2,493 | | | Cheesecake Factory, Inc. (The)* | | | 97,601 | |
| | 1,583 | | | Choice Hotels International, Inc. | | | 246,932 | |
| | 1,396 | | | Chuy’s Holdings, Inc.* | | | 42,047 | |
| | 1,237 | | | Cracker Barrel Old Country Store, Inc. | | | 159,128 | |
| | 2,431 | | | Dave & Buster’s Entertainment, Inc.* | | | 93,350 | |
| | 2,980 | | | Del Taco Restaurants, Inc. | | | 37,101 | |
| | 3,256 | | | Denny’s Corp.* | | | 52,096 | |
| | 2,394 | | | El Pollo Loco Holdings, Inc.* | | | 33,971 | |
| | 2,608 | | | Fiesta Restaurant Group, Inc.* | | | 28,714 | |
| | 100 | | | Flanigan’s Enterprises, Inc.* | | | 3,087 | |
| | 1,109 | | | Full House Resorts, Inc.* | | | 13,430 | |
| | 4,318 | | | Hilton Grand Vacations, Inc.* | | | 225,011 | |
| | 5,547 | | | International Game Technology plc | | | 160,364 | |
| | 1,031 | | | Jack in the Box, Inc. | | | 90,192 | |
| | 672 | | | Marriott Vacations Worldwide Corp. | | | 113,555 | |
| | 597 | | | Nathans Famous, Inc. | | | 34,859 | |
| | 1,669 | | | Noodles & Co.* | | | 15,138 | |
| | 3,039 | | | Norwegian Cruise Line Holdings, Ltd.*^ | | | 63,029 | |
| | 1,908 | | | Papa John’s International, Inc. | | | 254,661 | |
| | 3,630 | | | Playa Hotels & Resorts NV* | | | 28,967 | |
| | 1,540 | | | Playags, Inc.* | | | 10,457 | |
| | 300 | | | RCI Hospitality Holdings, Inc. | | | 23,364 | |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 1,368 | | | Red Robin Gourmet Burgers* | | $ | 22,613 | |
| | 662 | | | Red Rock Resorts, Inc. | | | 36,417 | |
| | 2,239 | | | Ruth’s Hospitality Group, Inc.* | | | 44,556 | |
| | 3,369 | | | Scientific Games Corp., Class A* | | | 225,150 | |
| | 2,640 | | | SeaWorld Entertainment, Inc.* | | | 171,230 | |
| | 1,613 | | | Shake Shack, Inc., Class A* | | | 116,394 | |
| | 2,192 | | | Texas Roadhouse, Inc., Class A | | | 195,702 | |
| | 3,865 | | | Travel + Leisure Co. | | | 213,619 | |
| | 10,098 | | | Wendy’s Co. (The) | | | 240,837 | |
| | 1,375 | | | Wingstop, Inc. | | | 237,600 | |
| | 449 | | | Wyndham Hotels & Resorts, Inc. | | | 40,253 | |
| | | | | | | | |
| | | | | | | 3,712,098 | |
| | | | | | | | |
| Household Durables (2.3%): | | | |
| | 608 | | | Bassett Furniture Industries, Inc. | | | 10,196 | |
| | 738 | | | Beazer Homes USA, Inc.* | | | 17,136 | |
| | 582 | | | Cavco Industries, Inc.* | | | 184,872 | |
| | 1,854 | | | Century Communities, Inc. | | | 151,639 | |
| | 2,480 | | | Ethan Allen Interiors, Inc. | | | 65,199 | |
| | 820 | | | Flexsteel Industries, Inc. | | | 22,025 | |
| | 1,624 | | | Green Brick Partners, Inc.* | | | 49,256 | |
| | 1,441 | | | Helen of Troy, Ltd.* | | | 352,281 | |
| | 670 | | | Hooker Furnishings Corp. | | | 15,598 | |
| | 1,677 | | | Installed Building Products, Inc. | | | 234,311 | |
| | 1,482 | | | iRobot Corp.* | | | 97,634 | |
| | 4,791 | | | KB Home | | | 214,302 | |
| | 1,138 | | | Koss Corp.* | | | 12,154 | |
| | 2,637 | | | La-Z-Boy, Inc. | | | 95,750 | |
| | 230 | | | Legacy Housing Corp.* | | | 6,088 | |
| | 3,296 | | | Leggett & Platt, Inc. | | | 135,663 | |
| | 1,096 | | | LGI Homes, Inc.* | | | 169,310 | |
| | 2,522 | | | Lifetime Brands, Inc. | | | 40,276 | |
| | 1,910 | | | M/I Homes, Inc.* | | | 118,764 | |
| | 3,861 | | | MDC Holdings, Inc. | | | 215,560 | |
| | 1,818 | | | Meritage Homes Corp.* | | | 221,905 | |
| | 723 | | | P & F Industries, Inc., Class A* | | | 4,410 | |
| | 2,534 | | | Purple Innovation, Inc.* | | | 33,626 | |
| | 3,692 | | | Skyline Champion Corp.* | | | 291,594 | |
| | 4,300 | | | Sonos, Inc.* | | | 128,140 | |
| | 7,727 | | | Taylor Morrison Home Corp., Class A* | | | 270,136 | |
| | 2,280 | | | Tempur Sealy International, Inc. | | | 107,228 | |
| | 219 | | | TopBuild Corp.* | | | 60,424 | |
| | 6,699 | | | Tri Pointe Homes, Inc.* | | | 186,835 | |
| | 3,274 | | | Tupperware Brands Corp.* | | | 50,060 | |
| | 798 | | | Universal Electronics, Inc.* | | | 32,519 | |
| | | | | | | | |
| | | | | | | 3,594,891 | |
| | | | | | | | |
| Household Products (0.4%): | | | |
| | 636 | | | Central Garden & Pet Co.* | | | 33,473 | |
| | 2,441 | | | Central Garden & Pet Co., Class A* | | | 116,802 | |
| | 3,493 | | | Energizer Holdings, Inc. | | | 140,069 | |
| | 1,767 | | | Ocean Bio-Chem, Inc. | | | 15,373 | |
| | 640 | | | Oil-Dri Corp of America | | | 20,947 | |
| | 1,701 | | | Spectrum Brands Holdings, Inc. | | | 173,026 | |
| | 714 | | | WD-40 Co. | | | 174,673 | |
| | | | | | | | |
| | | | | | | 674,363 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Independent Power and Renewable Electricity Producers (0.4%): | |
| | 4,220 | | | Atlantica Sustainable Infrastructure plc | | $ | 150,907 | |
| | 703 | | | Clearway Energy, Inc., Class A | | | 23,537 | |
| | 2,596 | | | Clearway Energy, Inc., Class C | | | 93,534 | |
| | 2,863 | | | Ormat Technologies, Inc.^ | | | 227,036 | |
| | 5,158 | | | Sunnova Energy International, Inc.* | | | 144,011 | |
| | | | | | | | |
| | | | | | | 639,025 | |
| | | | | | | | |
| Insurance (3.1%): | | | |
| | 2,802 | | | AMBAC Financial Group, Inc.* | | | 44,972 | |
| | 3,895 | | | American Equity Investment Life Holding Co. | | | 151,593 | |
| | 1,583 | | | American National Group , Inc. | | | 298,934 | |
| | 1,428 | | | Amerisafe, Inc. | | | 76,869 | |
| | 1,862 | | | Argo Group International Holdings, Ltd. | | | 108,201 | |
| | 4,486 | | | Assured Guaranty, Ltd. | | | 225,197 | |
| | 2,314 | | | Axis Capital Holdings, Ltd. | | | 126,044 | |
| | 4,299 | | | Brighthouse Financial, Inc.* | | | 222,688 | |
| | 5,374 | | | Citizens, Inc.* | | | 28,536 | |
| | 3,445 | | | Crawford & Co. | | | 25,803 | |
| | 2,876 | | | Crawford & Co., Class A | | | 21,541 | |
| | 2,691 | | | Donegal Group, Inc., Class A | | | 38,454 | |
| | 1,337 | | | eHealth, Inc.* | | | 34,094 | |
| | 1,475 | | | Employers Holdings, Inc. | | | 61,036 | |
| | 897 | | | Enstar Group, Ltd.* | | | 222,088 | |
| | 2,111 | | | FedNat Holding Co.* | | | 2,977 | |
| | 10,826 | | | Genworth Financial, Inc., Class A* | | | 43,845 | |
| | 1,050 | | | Global Indemnity Group LLC, Class A | | | 26,387 | |
| | 3,055 | | | Greenlight Capital Re, Ltd.* | | | 23,951 | |
| | 1,752 | | | Hallmark Financial Services, Inc.* | | | 7,621 | |
| | 1,817 | | | Hanover Insurance Group, Inc. (The) | | | 238,136 | |
| | 489 | | | HCI Group, Inc. | | | 40,851 | |
| | 1,369 | | | Heritage Insurance Holdings, Inc. | | | 8,050 | |
| | 2,079 | | | Horace Mann Educators Corp. | | | 80,457 | |
| | 756 | | | Independence Holding Co. | | | 42,850 | |
| | 135 | | | Investors Title Co. | | | 26,615 | |
| | 1,855 | | �� | James River Group Holdings | | | 53,443 | |
| | 2,661 | | | Kemper Corp. | | | 156,440 | |
| | 1,473 | | | Kingstone Co., Inc. | | | 7,365 | |
| | 714 | | | Kinsale Capital Group, Inc. | | | 169,854 | |
| | 12,677 | | | Maiden Holdings, Ltd.* | | | 38,792 | |
| | 2,856 | | | Mercury General Corp. | | | 151,539 | |
| | 198 | | | National Western Life Group, Inc., Class A | | | 42,459 | |
| | 929 | | | NI Holdings, Inc.* | | | 17,567 | |
| | 1,205 | | | Old Republic International Corp. | | | 29,619 | |
| | 1,464 | | | Primerica, Inc. | | | 224,387 | |
| | 2,637 | | | ProAssurance Corp. | | | 66,716 | |
| | 2,224 | | | RLI Corp. | | | 249,310 | |
| | 797 | | | Safety Insurance Group, Inc. | | | 67,769 | |
| | 2,998 | | | Selective Insurance Group, Inc. | | | 245,656 | |
| | 6,247 | | | SiriusPoint, Ltd.* | | | 50,788 | |
| | 3,755 | | | State Auto Financial Corp. | | | 194,096 | |
| | 1,966 | | | Stewart Information Services Corp. | | | 156,749 | |
| | 204 | | | The National Security Group, Inc. | | | 1,877 | |
| | 2,849 | | | Tiptree, Inc., Class A | | | 39,402 | |
| | 232 | | | Trupanion, Inc.* | | | 30,631 | |
| | 2,000 | | | United Fire Group, Inc. | | | 46,380 | |
| | 4,002 | | | United Insurance Holdings Co. | | | 17,369 | |
| | 2,274 | | | Universal Insurance Holdings, Inc. | | | 38,658 | |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 10,427 | | | Unum Group | | $ | 256,191 | |
| | 184 | | | White Mountains Insurance Group, Ltd. | | | 186,558 | |
| | | | | | | | |
| | | | | | | 4,767,405 | |
| | | | | | | | |
| Interactive Media & Services (0.4%): | | | |
| | 3,144 | | | ANGI, Inc., Class A* | | | 28,956 | |
| | 5,278 | | | Cargurus, Inc.* | | | 177,552 | |
| | 4,413 | | | Cars.com, Inc.* | | | 71,005 | |
| | 6,181 | | | DHI Group, Inc.* | | | 38,569 | |
| | 3,238 | | | QuinStreet, Inc.* | | | 58,899 | |
| | 1,095 | | | Travelzoo, Inc.* | | | 10,315 | |
| | 3,646 | | | TripAdvisor, Inc.* | | | 99,390 | |
| | 11,137 | | | TrueCar, Inc.* | | | 37,866 | |
| | 3,909 | | | Yelp, Inc.* | | | 141,662 | |
| | 1,473 | | | Zedge, Inc., Class B* | | | 12,521 | |
| | | | | | | | |
| | | | | | | 676,735 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.4%): | | | |
| | 1,021 | | | 1-800 Flowers.com, Inc., Class A* | | | 23,861 | |
| | 738 | | | Duluth Holdings, Inc.* | | | 11,203 | |
| | 1,300 | | | Lands’ End, Inc.* | | | 25,519 | |
| | 3,018 | | | Liquidity Services, Inc.* | | | 66,637 | |
| | 1,724 | | | PetMed Express, Inc.^ | | | 43,548 | |
| | 3,615 | | | Quotient Technology, Inc.* | | | 26,823 | |
| | 16,641 | | | Qurate Retail, Inc., Class A | | | 126,472 | |
| | 2,713 | | | Shutterstock, Inc. | | | 300,818 | |
| | | | | | | | |
| | | | | | | 624,881 | |
| | | | | | | | |
| IT Services (1.9%): | | | |
| | 2,157 | | | Alliance Data Systems Corp. | | | 143,591 | |
| | 622 | | | BM Technologies, Inc.*^ | | | 5,729 | |
| | 1,700 | | | Brightcove, Inc.* | | | 17,374 | |
| | 1,100 | | | Cantaloupe, Inc.* | | | 9,768 | |
| | 962 | | | Cass Information Systems, Inc. | | | 37,826 | |
| | 289 | | | Concentrix Corp. | | | 51,621 | |
| | 9,103 | | | Conduent, Inc.* | | | 48,610 | |
| | 1,673 | | | CSG Systems International, Inc. | | | 96,398 | |
| | 758 | | | CSP, Inc.* | | | 6,663 | |
| | 1,282 | | | DXC Technology Co.* | | | 41,268 | |
| | 1,133 | | | Euronet Worldwide, Inc.* | | | 135,020 | |
| | 4,223 | | | Evertec, Inc. | | | 211,066 | |
| | 1,270 | | | Evo Payments, Inc.* | | | 32,512 | |
| | 2,415 | | | Exlservice Holdings, Inc.* | | | 349,620 | |
| | 1,053 | | | Greensky, Inc.* | | | 11,962 | |
| | 2,654 | | | Hackett Group, Inc. (The) | | | 54,487 | |
| | 439 | | | I3 Verticals, Inc.* | | | 10,005 | |
| | 1,300 | | | Information Services Group, Inc. | | | 9,906 | |
| | 1,362 | | | International Money Express, Inc.* | | | 21,737 | |
| | 10,373 | | | Limelight Networks, Inc.* | | | 35,579 | |
| | 3,634 | | | LiveRamp Holdings, Inc.* | | | 174,250 | |
| | 2,575 | | | MAXIMUS, Inc. | | | 205,150 | |
| | 862 | | | Paysign, Inc.* | | | 1,379 | |
| | 2,404 | | | Perficient, Inc.* | | | 310,813 | |
| | 3,168 | | | PFSweb, Inc.* | | | 40,804 | |
| | 8,429 | | | Servicesource International, Inc.* | | | 8,346 | |
| | 1,555 | | | StarTek, Inc.* | | | 8,117 | |
| | 4,816 | | | Switch, Inc., Class A | | | 137,930 | |
| | 6,004 | | | Teradata Corp.* | | | 254,990 | |
| | 2,606 | | | TTEC Holdings, Inc. | | | 235,973 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 4,235 | | | Unisys Corp.* | | $ | 87,114 | |
| | 3,544 | | | Verra Mobility Corp.* | | | 54,684 | |
| | 892 | | | WEX, Inc.* | | | 125,228 | |
| | | | | | | | |
| | | | | | | 2,975,520 | |
| | | | | | | | |
| Leisure Products (0.5%): | | | |
| | 4,014 | | | Acushnet Holdings Corp. | | | 213,063 | |
| | 2,004 | | | American Outdoor Brands, Inc.* | | | 39,940 | |
| | 345 | | | Brunswick Corp. | | | 34,752 | |
| | 1,661 | | | Clarus Corp. | | | 46,043 | |
| | 1,402 | | | Escalade, Inc. | | | 22,138 | |
| | 723 | | | Johnson Outdoors, Inc., Class A | | | 67,738 | |
| | 1,065 | | | Malibu Boats, Inc.* | | | 73,197 | |
| | 2,419 | | | Marine Products Corp. | | | 30,238 | |
| | 850 | | | Mastercraft Boat Holdings, Inc.* | | | 24,080 | |
| | 2,805 | | | Mattel, Inc.* | | | 60,476 | |
| | 2,293 | | | Nautilus Group, Inc.* | | | 14,056 | |
| | 204 | | | Polaris, Inc. | | | 22,422 | |
| | 2,353 | | | Smith & Wesson Brands, Inc. | | | 41,883 | |
| | 2,209 | | | Vista Outdoor, Inc.* | | | 101,769 | |
| | 421 | | | YETI Holdings, Inc.* | | | 34,871 | |
| | | | | | | | |
| | | | | | | 826,666 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.6%): | | | |
| | 2,937 | | | Codexis, Inc.* | | | 91,840 | |
| | 7,407 | | | Enzo Biochem, Inc.* | | | 23,776 | |
| | 6,099 | | | Fluidigm Corp.*^ | | | 23,908 | |
| | 5,439 | | | Harvard Bioscience, Inc.* | | | 38,345 | |
| | 447 | | | Inotiv, Inc.* | | | 18,805 | |
| | 1,848 | | | Medpace Holdings, Inc.* | | | 402,199 | |
| | 2,010 | | | NanoString Technologies, Inc.* | | | 84,882 | |
| | 5,166 | | | Neogenomics, Inc.* | | | 176,264 | |
| | 647 | | | Personalis, Inc.* | | | 9,233 | |
| | 1,700 | | | Quanterix Corp.* | | | 72,080 | |
| | | | | | | | |
| | | | | | | 941,332 | |
| | | | | | | | |
| Machinery (4.7%): | | | |
| | 617 | | | Alamo Group, Inc. | | | 90,810 | |
| | 1,494 | | | Albany International Corp., Class A | | | 132,144 | |
| | 5,903 | | | Allison Transmission Holdings, Inc. | | | 214,574 | |
| | 1,910 | | | Altra Industrial Motion Corp. | | | 98,499 | |
| | 806 | | | Art’s-Way Manufacturing Co.* | | | 2,853 | |
| | 1,143 | | | Astec Industries, Inc. | | | 79,176 | |
| | 2,576 | | | Barnes Group, Inc. | | | 120,016 | |
| | 2,530 | | | Blue Bird Corp.* | | | 39,569 | |
| | 2,461 | | | Chart Industries, Inc.* | | | 392,505 | |
| | 1,959 | | | CIRCOR International, Inc.* | | | 53,246 | |
| | 2,632 | | | Colfax Corp.* | | | 120,993 | |
| | 1,556 | | | Columbus McKinnon Corp. | | | 71,981 | |
| | 3,325 | | | Commercial Vehicle Group, Inc.* | | | 26,799 | |
| | 2,638 | | | Crane Co. | | | 268,364 | |
| | 1,713 | | | Desktop Metal, Inc.* | | | 8,479 | |
| | 1,772 | | | Douglas Dynamics, Inc. | | | 69,214 | |
| | 500 | | | Eastern Co. (The) | | | 12,580 | |
| | 3,670 | | | Energy Recovery, Inc.* | | | 78,868 | |
| | 2,752 | | | Enerpac Tool Group Corp. | | | 55,811 | |
| | 1,044 | | | EnPro Industries, Inc. | | | 114,913 | |
| | 1,258 | | | ESCO Technologies, Inc. | | | 113,207 | |
| | 5,060 | | | Evoqua Water Technologies Co.* | | | 236,555 | |
| | 3,137 | | | Federal Signal Corp. | | | 135,958 | |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 5,909 | | | Flowserve Corp. | | $ | 180,815 | |
| | 2,736 | | | Franklin Electric Co., Inc. | | | 258,716 | |
| | 5,795 | | | Gates Industrial Corp. plc* | | | 92,198 | |
| | 1,765 | | | Gencor Industries, Inc.* | | | 20,350 | |
| | 2,094 | | | Gorman-Rupp Co. (The) | | | 93,288 | |
| | 459 | | | Graham Corp. | | | 5,710 | |
| | 4,634 | | | Harsco Corp.* | | | 77,434 | |
| | 2,380 | | | Helios Technologies, Inc. | | | 250,305 | |
| | 2,413 | | | Hillenbrand, Inc. | | | 125,452 | |
| | 785 | | | Hurco Cos, Inc. | | | 23,314 | |
| | 1,014 | | | Hyster-Yale Materials Handling, Inc., Class A | | | 41,675 | |
| | 219 | | | ITT, Inc. | | | 22,380 | |
| | 1,880 | | | John Bean Technologies Corp. | | | 288,693 | |
| | 472 | | | Kadant, Inc. | | | 108,787 | |
| | 3,498 | | | Kennametal, Inc. | | | 125,613 | |
| | 1,529 | | | L.B. Foster Co., Class A* | | | 21,024 | |
| | 238 | | | Lincoln Electric Holdings, Inc. | | | 33,194 | |
| | 578 | | | Lindsay Corp. | | | 87,856 | |
| | 1,597 | | | Luxfer Holdings plc | | | 30,838 | |
| | 3,228 | | | Manitex International, Inc.* | | | 20,530 | |
| | 2,653 | | | Manitowoc Co., Inc. (The)* | | | 49,319 | |
| | 589 | | | Mayville Engineering Co., Inc.* | | | 8,782 | |
| | 2,606 | | | Meritor, Inc.* | | | 64,577 | |
| | 728 | | | Miller Industries, Inc. | | | 24,315 | |
| | 3,522 | | | Mueller Industries, Inc. | | | 209,066 | |
| | 8,533 | | | Mueller Water Products, Inc., Class A | | | 122,875 | |
| | 3,562 | | | NN, Inc.* | | | 14,604 | |
| | 738 | | | Omega Flex, Inc. | | | 93,689 | |
| | 383 | | | Oshkosh Corp. | | | 43,168 | |
| | 1,229 | | | Park-Ohio Holdings Corp. | | | 26,018 | |
| | 1,599 | | | Proto Labs, Inc.* | | | 82,109 | |
| | 758 | | | RBC Bearings, Inc.* | | | 153,093 | |
| | 3,472 | | | REV Group, Inc. | | | 49,129 | |
| | 2,311 | | | Shyft Group, Inc. (The) | | | 113,539 | |
| | 1,692 | | | SPX Corp.* | | | 100,979 | |
| | 1,560 | | | SPX FLOW, Inc. | | | 134,909 | |
| | 731 | | | Standex International Corp. | | | 80,892 | |
| | 466 | | | Taylor Devices, Inc.* | | | 5,075 | |
| | 1,044 | | | Tennant Co. | | | 84,606 | |
| | 3,752 | | | Terex Corp. | | | 164,900 | |
| | 1,867 | | | The Greenbrier Cos., Inc. | | | 85,677 | |
| | 962 | | | Timken Co. | | | 66,657 | |
| | 5,430 | | | Titan International, Inc.* | | | 59,513 | |
| | 2,053 | | | TriMas Corp. | | | 75,961 | |
| | 4,025 | | | Trinity Industries, Inc. | | | 121,555 | |
| | 1,747 | | | Twin Disc, Inc.* | | | 19,147 | |
| | 3,327 | | | Wabash National Corp. | | | 64,943 | |
| | 2,027 | | | Watts Water Technologies, Inc., Class A | | | 393,583 | |
| | 13,695 | | | Welbilt, Inc.* | | | 325,530 | |
| | 282 | | | Woodward, Inc. | | | 30,868 | |
| | | | | | | | |
| | | | | | | 7,314,364 | |
| | | | | | | | |
| Marine (0.3%): | | | |
| | 6,821 | | | Costamare, Inc. | | | 86,286 | |
| | 315 | | | Eneti, Inc. | | | 2,438 | |
| | 3,087 | | | Genco Shipping & Trading, Ltd. | | | 49,392 | |
| | 2,099 | | | Kirby Corp.* | | | 124,722 | |
| | 2,096 | | | Matson, Inc. | | | 188,703 | |
| | | | | | | | |
| | | | | | | 451,541 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media (0.9%): | | | |
| | 1,560 | | | AMC Networks, Inc., Class A* | | $ | 53,726 | |
| | 478 | | | Beasley Broadcast Group, Inc., Class A* | | | 904 | |
| | 2,323 | | | Boston Omaha Corp.* | | | 66,740 | |
| | 7,836 | | | comScore, Inc.* | | | 26,172 | |
| | 144 | | | Daily Journal Corp.* | | | 51,369 | |
| | 976 | | | DallasNews Corp. | | | 7,018 | |
| | 4,222 | | | E.W. Scripps Co. (The), Class A* | | | 81,696 | |
| | 6,123 | | | Entercom Communications Corp.* | | | 15,736 | |
| | 6,190 | | | Entravision Communications Corp., Class A | | | 41,968 | |
| | 5,880 | | | Gannett Co, Inc.* | | | 31,341 | |
| | 3,567 | | | Gray Television, Inc. | | | 71,911 | |
| | 2,892 | | | Hemisphere Media Group* | | | 21,025 | |
| | 1,608 | | | iHeartMedia, Inc., Class A* | | | 33,832 | |
| | 2,165 | | | John Wiley & Sons, Inc., Class A | | | 123,990 | |
| | 2,864 | | | Liberty Latin America, Ltd.* | | | 33,394 | |
| | 9,557 | | | Liberty Latin America, Ltd., Class C* | | | 108,950 | |
| | 862 | | | Loyalty Ventures, Inc.* | | | 25,920 | |
| | 348 | | | Marchex, Inc., Class B* | | | 863 | |
| | 294 | | | Nexstar Media Group, Inc., Class A | | | 44,388 | |
| | 1,732 | | | Scholastic Corp. | | | 69,211 | |
| | 2,093 | | | TechTarget, Inc.* | | | 200,216 | |
| | 10,206 | | | Tegna, Inc. | | | 189,423 | |
| | 1,095 | | | Thryv Holdings, Inc.* | | | 45,037 | |
| | | | | | | | |
| | | | | | | 1,344,830 | |
| | | | | | | | |
| Metals & Mining (1.6%): | | | |
| | 9,254 | | | Alcoa Corp. | | | 551,353 | |
| | 6,908 | | | Allegheny Technologies, Inc.* | | | 110,044 | |
| | 751 | | | Alpha Metallurgical Resources, Inc.* | | | 45,849 | |
| | 2,124 | | | Ampco-Pittsburgh Corp.* | | | 10,620 | |
| | 1,062 | | | Arconic Corp.* | | | 35,057 | |
| | 3,338 | | | Carpenter Technology Corp. | | | 97,436 | |
| | 3,900 | | | Century Aluminum Co.* | | | 64,584 | |
| | 8,414 | | | Coeur Mining, Inc.* | | | 42,407 | |
| | 6,250 | | | Commercial Metals Co. | | | 226,812 | |
| | 1,994 | | | Compass Minerals International, Inc. | | | 101,853 | |
| | 13,641 | | | Ferroglobe plc* | | | 84,711 | |
| | 13,641 | | | Ferroglobe Unit*(a) | | | — | |
| | 515 | | | Fortitude Gold Corp. | | | 3,409 | |
| | 1,805 | | | Gold Resource Corp. | | | 2,816 | |
| | 1,257 | | | Haynes International, Inc. | | | 50,695 | |
| | 25,965 | | | Hecla Mining Co. | | | 135,537 | |
| | 754 | | | Kaiser Aluminum Corp. | | | 70,831 | |
| | 1,117 | | | Materion Corp. | | | 102,697 | |
| | 9,373 | | | McEwen Mining, Inc.* | | | 8,309 | |
| | 798 | | | Royal Gold, Inc. | | | 83,958 | |
| | 2,868 | | | Ryerson Holding Corp. | | | 74,711 | |
| | 1,487 | | | Schnitzer Steel Industries, Inc., Class A | | | 77,205 | |
| | 3,318 | | | SunCoke Energy, Inc. | | | 21,866 | |
| | 1,939 | | | Synalloy Corp.* | | | 31,856 | |
| | 3,542 | | | TimkenSteel Corp.* | | | 58,443 | |
| | 6,784 | | | United States Steel Corp. | | | 161,527 | |
| | 1,458 | | | Universal Stainless & Alloy Products, Inc.* | | | 11,504 | |
| | 2,207 | | | Warrior Met Coal, Inc. | | | 56,742 | |
| | 2,997 | | | Worthington Industries, Inc. | | | 163,816 | |
| | | | | | | | |
| | | | | | | 2,486,648 | |
| | | | | | | | |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Multiline Retail (0.3%): | | | |
| | 1,321 | | | Big Lots, Inc. | | $ | 59,511 | |
| | 654 | | | Dillard’s, Inc., Class A^ | | | 160,243 | |
| | 1,916 | | | Kohl’s Corp. | | | 94,631 | |
| | 4,638 | | | Macy’s, Inc. | | | 121,423 | |
| | 1,573 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 80,522 | |
| | 1,290 | | | Tuesday Morning Corp.* | | | 2,941 | |
| | | | | | | | |
| | | | | | | 519,271 | |
| | | | | | | | |
| Multi-Utilities (0.4%): | | | |
| | 3,314 | | | Avista Corp. | | | 140,812 | |
| | 2,243 | | | Black Hills Corp. | | | 158,288 | |
| | 3,280 | | | MDU Resources Group, Inc. | | | 101,155 | |
| | 2,992 | | | NorthWestern Corp. | | | 171,023 | |
| | 1,043 | | | Unitil Corp. | | | 47,968 | |
| | 2,565 | | | Via Renewables, Inc. | | | 29,318 | |
| | | | | | | | |
| | | | | | | 648,564 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.3%): | | | |
| | 2,222 | | | Alto Ingredients, Inc.* | | | 10,688 | |
| | 17,054 | | | Antero Midstream Corp. | | | 165,083 | |
| | 11,771 | | | Antero Resources Corp.* | | | 205,992 | |
| | 1,071 | | | Arch Resources, Inc. | | | 97,804 | |
| | 1,954 | | | Ardmore Shipping Corp.* | | | 6,605 | |
| | 4,767 | | | Berry Corp. | | | 40,138 | |
| | 2,455 | | | Brigham Minerals, Inc. | | | 51,776 | |
| | 2,716 | | | California Resources Corp. | | | 116,000 | |
| | 2,330 | | | Callon Petroleum Co.* | | | 110,092 | |
| | 7,813 | | | Centennial Resource Development, Inc., Class A* | | | 46,722 | |
| | 1,598 | | | Chesapeake Energy Corp. | | | 103,103 | |
| | 1,822 | | | Civitas Resources, Inc. | | | 89,223 | |
| | 14,346 | | | Clean Energy Fuel Corp.* | | | 87,941 | |
| | 12,514 | | | CNX Resources Corp.* | | | 172,068 | |
| | 8,019 | | | Comstock Resources, Inc.* | | | 64,874 | |
| | 2,015 | | | CONSOL Energy, Inc.* | | | 45,761 | |
| | 4,374 | | | CVR Energy, Inc. | | | 73,527 | |
| | 5,022 | | | Delek US Holdings, Inc.* | | | 75,280 | |
| | 1,575 | | | Denbury, Inc.* | | | 120,629 | |
| | 8,834 | | | DHT Holdings, Inc. | | | 45,848 | |
| | 2,156 | | | Dorian LPG, Ltd. | | | 27,360 | |
| | 1,337 | | | DT Midstream, Inc. | | | 64,149 | |
| | 1,598 | | | Earthstone Energy, Inc.* | | | 17,482 | |
| | 17,427 | | | Enlink Midstream LLC | | | 120,072 | |
| | 5,958 | | | EQT Corp.* | | | 129,944 | |
| | 15,991 | | | Equitrans Midstream Corp. | | | 165,347 | |
| | 2,943 | | | Evolution Petroleum Corp. | | | 14,862 | |
| | 2,611 | | | Green Plains, Inc.* | | | 90,758 | |
| | 6,066 | | | HollyFrontier Corp. | | | 198,843 | |
| | 1,720 | | | International Seaways, Inc. | | | 25,250 | |
| | 27,996 | | | Kosmos Energy, Ltd.* | | | 96,866 | |
| | 725 | | | Laredo Petroleum, Inc.* | | | 43,594 | |
| | 4,991 | | | Magnolia Oil & Gas Corp., Class A | | | 94,180 | |
| | 8,515 | | | Matador Resources Co. | | | 314,374 | |
| | 6,809 | | | Murphy Oil Corp. | | | 177,783 | |
| | 9,513 | | | Nordic American Tankers, Ltd. | | | 16,077 | |
| | 128 | | | Oasis Petroleum, Inc. | | | 16,127 | |
| | 5,300 | | | Overseas Shipholding Group, Inc.* | | | 9,964 | |
| | 2,838 | | | PAR Pacific Holdings, Inc.* | | | 46,799 | |
| | 6,480 | | | PBF Energy, Inc., Class A* | | | 84,046 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 5,985 | | | PDC Energy, Inc. | | $ | 291,948 | |
| | 5,636 | | | Peabody Energy Corp.* | | | 56,755 | |
| | 2,410 | | | PHX Minerals, Inc. | | | 5,230 | |
| | 6 | | | PrimeEnergy Resources Corp.* | | | 414 | |
| | 17,188 | | | Range Resources Corp.* | | | 306,462 | |
| | 523 | | | Ranger Oil Corp.* | | | 14,079 | |
| | 2,666 | | | Renewable Energy Group, Inc.* | | | 113,145 | |
| | 300 | | | REX American Resources Corp.* | | | 28,800 | |
| | 1,533 | | | SandRidge Energy, Inc.* | | | 16,035 | |
| | 3,705 | | | Scorpio Tankers, Inc. | | | 47,461 | |
| | 8,803 | | | SFL Corp., Ltd. | | | 71,744 | |
| | 400 | | | SilverBow Resources, Inc.* | | | 8,708 | |
| | 7,278 | | | SM Energy Co. | | | 214,555 | |
| | 29,966 | | | Southwestern Energy Co.* | | | 139,642 | |
| | 2,952 | | | Talos Energy, Inc.* | | | 28,930 | |
| | 1,980 | | | Teekay Shipping Corp.* | | | 6,217 | |
| | 2,363 | | | Teekay Tankers, Ltd., Class A* | | | 25,757 | |
| | 7,528 | | | Tellurian, Inc.* | | | 23,186 | |
| | 1,418 | | | Whiting Petroleum Corp.* | | | 91,716 | |
| | 3,425 | | | World Fuel Services Corp. | | | 90,660 | |
| | | | | | | | |
| | | | | | | 5,064,475 | |
| | | | | | | | |
| Paper & Forest Products (0.6%): | | | |
| | 1,565 | | | Clearwater Paper Corp.* | | | 57,388 | |
| | 3,299 | | | Glatfelter Corp. | | | 56,743 | |
| | 5,062 | | | Louisiana-Pacific Corp. | | | 396,608 | |
| | 5,170 | | | Mercer International, Inc. | | | 61,988 | |
| | 1,100 | | | Neenah, Inc. | | | 50,908 | |
| | 6,201 | | | Resolute Forest Products | | | 94,689 | |
| | 2,103 | | | Schweitzer-Mauduit International, Inc. | | | 62,880 | |
| | 3,241 | | | Verso Corp. | | | 87,572 | |
| | | | | | | | |
| | | | | | | 868,776 | |
| | | | | | | | |
| Personal Products (0.6%): | | | |
| | 4,160 | | | Coty, Inc., Class A* | | | 43,680 | |
| | 2,807 | | | Edgewell Personal Care Co. | | | 128,308 | |
| | 2,868 | | | elf Beauty, Inc.* | | | 95,246 | |
| | 1,964 | | | Inter Parfums, Inc. | | | 209,952 | |
| | 900 | | | Lifevantage Corp.* | | | 5,688 | |
| | 617 | | | Medifast, Inc. | | | 129,218 | |
| | 1,387 | | | Natural Alternatives International, Inc.* | | | 17,532 | |
| | 369 | | | Natural Health Trends Corp. | | | 2,498 | |
| | 2,257 | | | Natures Sunshine Products, Inc. | | | 41,754 | |
| | 1,929 | | | Nu Skin Enterprises, Inc., Class A | | | 97,897 | |
| | 340 | | | United-Guardian, Inc. | | | 5,576 | |
| | 1,070 | | | Usana Health Sciences, Inc.* | | | 108,284 | |
| | | | | | | | |
| | | | | | | 885,633 | |
| | | | | | | | |
| Pharmaceuticals (1.2%): | | | |
| | 900 | | | Adicet Bio, Inc.* | | | 15,741 | |
| | 9,876 | | | Amneal Pharmaceuticals, Inc.* | | | 47,306 | |
| | 3,334 | | | Amphastar Pharmaceuticals, Inc.* | | | 77,649 | |
| | 877 | | | ANI Pharmaceuticals, Inc.* | | | 40,412 | |
| | 1,496 | | | Aratana Therapeutics- CVR*(a) | | | — | |
| | 358 | | | Arvinas, Inc.* | | | 29,406 | |
| | 1,561 | | | Assembly Biosciences, Inc.* | | | 3,637 | |
| | 4,700 | | | BioDelivery Sciences International, Inc.* | | | 14,570 | |
| | 2,268 | | | Collegium Pharmaceutical, Inc.* | | | 42,366 | |
| | 6,217 | | | Corcept Therapeutics, Inc.*^ | | | 123,097 | |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Pharmaceuticals, continued | | | |
| | 3,415 | | | Cumberland Pharmaceuticals, Inc.* | | $ | 15,948 | |
| | 5,512 | | | Cymabay Therapeutics, Inc.* | | | 18,631 | |
| | 14,088 | | | Endo International plc* | | | 52,971 | |
| | 1,163 | | | EyePoint Pharmaceuticals, Inc.* | | | 14,235 | |
| | 1,224 | | | Harrow Health, Inc.*^ | | | 10,575 | |
| | 4,514 | | | Innoviva, Inc.* | | | 77,867 | |
| | 4,438 | | | Intra-Cellular Therapies, Inc.* | | | 232,285 | |
| | 1,144 | | | Kala Pharmaceuticals, Inc.* | | | 1,384 | |
| | 4,227 | | | Lannett Co., Inc.* | | | 6,848 | |
| | 10,744 | | | Nektar Therapeutics* | | | 145,151 | |
| | 882 | | | NGM Biopharmaceuticals, Inc.* | | | 15,620 | |
| | 2,308 | | | Otonomy, Inc.* | | | 4,801 | |
| | 2,257 | | | Pacira BioSciences, Inc.* | | | 135,804 | |
| | 2,916 | | | Perrigo Co. plc | | | 113,432 | |
| | 800 | | | Phathom Pharmaceuticals, Inc.* | | | 15,736 | |
| | 1,714 | | | Phibro Animal Health Corp., Class A | | | 35,000 | |
| | 3,434 | | | Prestige Consumer Healthcare, Inc.* | | | 208,272 | |
| | 420 | | | Relmada Therapeutics, Inc.* | | | 9,463 | |
| | 911 | | | scPharmaceuticals, Inc.* | | | 4,573 | |
| | 6,222 | | | SIGA Technologies, Inc.* | | | 46,789 | |
| | 2,677 | | | Supernus Pharmaceuticals, Inc.* | | | 78,061 | |
| | 1,805 | | | Taro Pharmaceutical Industries, Ltd.* | | | 90,449 | |
| | 3,530 | | | Zogenix, Inc.* | | | 57,363 | |
| | | | | | | | |
| | | | | | | 1,785,442 | |
| | | | | | | | |
| Professional Services (2.4%): | | | |
| | 1,888 | | | Acacia Research Corp.* | | | 9,685 | |
| | 3,722 | | | ASGN, Inc.* | | | 459,295 | |
| | 572 | | | Barrett Business Services, Inc. | | | 39,502 | |
| | 403 | | | CACI International, Inc., Class A* | | | 108,492 | |
| | 2,703 | | | CBIZ, Inc.* | | | 105,741 | |
| | 490 | | | CRA International, Inc. | | | 45,746 | |
| | 3,450 | | | Exponent, Inc. | | | 402,719 | |
| | 1,473 | | | Forrester Research, Inc.* | | | 86,509 | |
| | 1,282 | | | Franklin Covey Co.* | | | 59,434 | |
| | 1,796 | | | FTI Consulting, Inc.* | | | 275,542 | |
| | 1,280 | | | Heidrick & Struggles International, Inc. | | | 55,974 | |
| | 1,154 | | | Huron Consulting Group, Inc.* | | | 57,585 | |
| | 1,116 | | | ICF International, Inc. | | | 114,446 | |
| | 1,783 | | | Insperity, Inc. | | | 210,590 | |
| | 6,887 | | | KBR, Inc. | | | 327,959 | |
| | 2,940 | | | Kelly Services, Inc., Class A | | | 49,304 | |
| | 1,439 | | | Kforce, Inc. | | | 108,242 | |
| | 3,287 | | | Korn Ferry | | | 248,925 | |
| | 958 | | | ManpowerGroup, Inc. | | | 93,242 | |
| | 1,365 | | | ManTech International Corp., Class A | | | 99,549 | |
| | 1,332 | | | Mastech Digital, Inc.* | | | 22,737 | |
| | 3,943 | | | Mistras Group, Inc.* | | | 29,296 | |
| | 484 | | | Nielsen Holdings plc | | | 9,927 | |
| | 2,833 | | | Resources Connection, Inc. | | | 50,541 | |
| | 1,557 | | | Science Applications International Corp. | | | 130,150 | |
| | 4,127 | | | TriNet Group, Inc.* | | | 393,138 | |
| | 2,309 | | | Trueblue, Inc.* | | | 63,890 | |
| | 505 | | | Willdan Group, Inc.* | | | 17,776 | |
| | | | | | | | |
| | | | | | | 3,675,936 | |
| | | | | | | | |
| Real Estate Management & Devel (0.0%†): | | | |
| | 4,771 | | | Douglas Elliman, Inc.* | | | 54,867 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development (0.9%): | | | |
| | 1,580 | | | AMREP Corp.* | | $ | 24,016 | |
| | 395 | | | CKX Lands, Inc.* | | | 4,542 | |
| | 6,494 | | | Cushman & Wakefield plc* | | | 144,427 | |
| | 913 | | | eXp World Holdings, Inc. | | | 30,759 | |
| | 1,627 | | | Five Point Holdings LLC, Class A* | | | 10,641 | |
| | 1,972 | | | Forestar Group, Inc.* | | | 42,891 | |
| | 504 | | | FRP Holdings, Inc.* | | | 29,131 | |
| | 2,119 | | | Howard Hughes Corp. (The)* | | | 215,672 | |
| | 382 | | | Indus Realty Trust, Inc. | | | 30,965 | |
| | 10 | | | J.W. Mays, Inc.* | | | 406 | |
| | 7,966 | | | Kennedy-Wilson Holdings, Inc. | | | 190,228 | |
| | 2,463 | | | Marcus & Millichap, Inc.* | | | 126,746 | |
| | 1,035 | | | Maui Land & Pineapple Co.* | | | 10,309 | |
| | 8,443 | | | Newmark Group, Inc. | | | 157,884 | |
| | 1,207 | | | Rafael Holdings, Inc., Class B* | | | 6,156 | |
| | 688 | | | RE/MAX Holdings, Inc., Class A | | | 20,977 | |
| | 3,740 | | | Realogy Holdings Corp.* | | | 62,869 | |
| | 308 | | | Stratus Properties, Inc.* | | | 11,263 | |
| | 2,279 | | | Tejon Ranch Co.* | | | 43,483 | |
| | 1,076 | | | The RMR Group, Inc., Class A | | | 37,316 | |
| | 2,980 | | | The St Joe Co. | | | 155,109 | |
| | | | | | | | |
| | | | | | | 1,355,790 | |
| | | | | | | | |
| Road & Rail (0.8%): | | | |
| | 1,546 | | | ArcBest Corp. | | | 185,288 | |
| | 1,322 | | | Covenant Logistics Group, Inc.* | | | 34,940 | |
| | 4,045 | | | Heartland Express, Inc. | | | 68,037 | |
| | 279 | | | Landstar System, Inc. | | | 49,947 | |
| | 2,692 | | | Marten Transport, Ltd. | | | 46,195 | |
| | 440 | | | P.A.M. Transportation SVCS* | | | 31,244 | |
| | 1,507 | | | Ryder System, Inc. | | | 124,222 | |
| | 1,478 | | | Saia, Inc.* | | | 498,130 | |
| | 2,170 | | | Schneider National, Inc., Class B | | | 58,395 | |
| | 1,170 | | | Universal Logistics Holdings, Inc. | | | 22,066 | |
| | 1,009 | | | US Xpress Enterprises, Inc., Class A* | | | 5,923 | |
| | 988 | | | USA Truck, Inc.* | | | 19,641 | |
| | 2,850 | | | Werner Enterprises, Inc. | | | 135,831 | |
| | 2,752 | | | Yellow Corp.* | | | 34,648 | |
| | | | | | | | |
| | | | | | | 1,314,507 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (4.2%): | | | |
| | 1,889 | | | Advanced Energy Industries, Inc. | | | 172,012 | |
| | 2,013 | | | Alpha & Omega Semiconductor, Ltd.* | | | 121,907 | |
| | 1,892 | | | Ambarella, Inc.* | | | 383,868 | |
| | 12,720 | | | Amkor Technology, Inc. | | | 315,329 | |
| | 1,301 | | | Amtech Systems, Inc.* | | | 12,854 | |
| | 2,581 | | | Axcelis Technologies, Inc.* | | | 192,439 | |
| | 2,777 | | | AXT, Inc.* | | | 24,465 | |
| | 3,138 | | | Azenta, Inc. | | | 323,559 | |
| | 1,210 | | | CEVA, Inc.* | | | 52,320 | |
| | 3,357 | | | Cirrus Logic, Inc.* | | | 308,911 | |
| | 1,496 | | | CMC Materials, Inc. | | | 286,768 | |
| | 2,356 | | | Cohu, Inc.* | | | 89,740 | |
| | 522 | | | Cyberoptics Corp.* | | | 24,273 | |
| | 3,081 | | | Diodes, Inc.* | | | 338,325 | |
| | 4,503 | | | FormFactor, Inc.* | | | 205,877 | |
| | 4,679 | | | GSI Technology, Inc.* | | | 21,664 | |
| | 1,254 | | | Ichor Holdings, Ltd.* | | | 57,722 | |
See accompanying notes to the financial statements.
17
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 1,349 | | | inTest Corp.* | | $ | 17,159 | |
| | 2,631 | | | Kulicke & Soffa Industries, Inc. | | | 159,281 | |
| | 6,048 | | | Lattice Semiconductor Corp.* | | | 466,059 | |
| | 1,636 | | | MagnaChip Semiconductor Corp.* | | | 34,307 | |
| | 4,167 | | | MaxLinear, Inc., Class A* | | | 314,150 | |
| | 4,238 | | | Neophotonics Corp.* | | | 65,138 | |
| | 557 | | | NVE Corp. | | | 38,043 | |
| | 2,709 | | | Onto Innovation, Inc.* | | | 274,232 | |
| | 2,739 | | | PDF Solutions, Inc.* | | | 87,073 | |
| | 5,140 | | | Photronics, Inc.* | | | 96,889 | |
| | 2,109 | | | Pixelworks, Inc.* | | | 9,280 | |
| | 3,729 | | | Power Integrations, Inc. | | | 346,387 | |
| | 6,953 | | | Rambus, Inc.* | | | 204,349 | |
| | 3,315 | | | Semtech Corp.* | | | 294,803 | |
| | 1,031 | | | Silicon Laboratories, Inc.* | | | 212,819 | |
| | 1,126 | | | SMART Global Holdings, Inc.* | | | 79,935 | |
| | 2,469 | | | Synaptics, Inc.* | | | 714,800 | |
| | 2,584 | | | Ultra Clean Holdings, Inc.* | | | 148,218 | |
| | 2,559 | | | Veeco Instruments, Inc.* | | | 72,855 | |
| | | | | | | | |
| | | | | | | 6,567,810 | |
| | | | | | | | |
| Software (2.6%): | | | |
| | 3,492 | | | A10 Networks, Inc. | | | 57,897 | |
| | 5,809 | | | ACI Worldwide, Inc.* | | | 201,572 | |
| | 994 | | | Agilysys, Inc.* | | | 44,193 | |
| | 2,376 | | | Alarm.com Holding, Inc.* | | | 201,509 | |
| | 1,546 | | | Altair Engineering, Inc.* | | | 119,537 | |
| | 2,494 | | | American Software, Inc., Class A | | | 65,268 | |
| | 746 | | | Appfolio, Inc.* | | | 90,311 | |
| | 935 | | | Asure Software, Inc.* | | | 7,321 | |
| | 2,721 | | | Avaya Holdings Corp.* | | | 53,876 | |
| | 2,785 | | | Aware, Inc.* | | | 8,773 | |
| | 2,509 | | | Blackbaud, Inc.* | | | 198,161 | |
| | 2,226 | | | Bottomline Technologies, Inc.* | | | 125,702 | |
| | 2,350 | | | BSQUARE Corp.* | | | 4,019 | |
| | 1,046 | | | Cerence, Inc.* | | | 80,166 | |
| | 1,700 | | | ChannelAdvisor Corp.* | | | 41,956 | |
| | 3,799 | | | Cognyte Software, Ltd.* | | | 59,530 | |
| | 2,139 | | | CommVault Systems, Inc.* | | | 147,420 | |
| | 782 | | | Consensus Cloud Solutions, Inc.* | | | 45,254 | |
| | 1,708 | | | Duck Creek Technologies, Inc.* | | | 51,428 | |
| | 2,276 | | | Ebix, Inc. | | | 69,190 | |
| | 1,929 | | | Envestnet, Inc.* | | | 153,047 | |
| | 2,347 | | | J2 Global, Inc.* | | | 260,188 | |
| | 402 | | | Jamf Holding Corp.* | | | 15,280 | |
| | 4,947 | | | Mandiant, Inc.* | | | 86,770 | |
| | 3,326 | | | Mimecast, Ltd.* | | | 264,650 | |
| | 2,038 | | | Mitek Systems, Inc.* | | | 36,175 | |
| | 1,064 | | | New Relic, Inc.* | | | 116,997 | |
| | 2,582 | | | OneSpan, Inc.* | | | 43,713 | |
| | 1,415 | | | Ping Identity Holding Corp.* | | | 32,375 | |
| | 2,333 | | | Progress Software Corp. | | | 112,614 | |
| | 2,317 | | | Qualys, Inc.* | | | 317,939 | |
| | 5,408 | | | Sailpoint Technologies Holdings, Inc.* | | | 261,423 | |
| | 1,169 | | | Sapiens International Corp. NV | | | 40,272 | |
| | 539 | | | Shotspotter, Inc.* | | | 15,911 | |
| | 1,900 | | | Smith Micro Software, Inc.* | | | 9,348 | |
| | 684 | | | SPS Commerce, Inc.* | | | 97,367 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 3,280 | | | Synchronoss Technologies, Inc.* | | $ | 8,003 | |
| | 870 | | | Upland Software, Inc.* | | | 15,608 | |
| | 3,329 | | | Verint Systems, Inc.* | | | 174,806 | |
| | 5,538 | | | Vonage Holdings Corp.* | | | 115,135 | |
| | 7,970 | | | Xperi Holding Corp. | | | 150,713 | |
| | | | | | | | |
| | | | | | | 4,001,417 | |
| | | | | | | | |
| Specialty Retail (3.2%): | | | |
| | 2,730 | | | Aaron’s Co., Inc. (The) | | | 67,294 | |
| | 3,147 | | | Abercrombie & Fitch Co., Class A* | | | 109,610 | |
| | 10,208 | | | American Eagle Outfitters, Inc. | | | 258,466 | |
| | 422 | | | America’s Car Mart, Inc.* | | | 43,213 | |
| | 1,088 | | | Asbury Automotive Group, Inc.* | | | 187,930 | |
| | 1,671 | | | AutoNation, Inc.* | | | 195,256 | |
| | 5,705 | | | Barnes & Noble Education, Inc.* | | | 38,851 | |
| | 6,210 | | | Bed Bath & Beyond, Inc.* | | | 90,542 | |
| | 1,634 | | | Big 5 Sporting Goods Corp.^ | | | 31,062 | |
| | 1,202 | | | Boot Barn Holdings, Inc.* | | | 147,906 | |
| | 1,732 | | | Build-A-Bear Workshop, Inc. | | | 33,809 | |
| | 2,857 | | | Caleres, Inc. | | | 64,797 | |
| | 2,599 | | | Cato Corp., Class A | | | 44,599 | |
| | 12,553 | | | Chico’s FAS, Inc.* | | | 67,535 | |
| | 757 | | | Citi Trends, Inc.* | | | 71,726 | |
| | 2,251 | | | Conn’s, Inc.* | | | 52,943 | |
| | 4,771 | | | Designer Brands, Inc., Class A* | | | 67,796 | |
| | 5,378 | | | Foot Locker, Inc. | | | 234,642 | |
| | 1,152 | | | Genesco, Inc.* | | | 73,924 | |
| | 753 | | | Group 1 Automotive, Inc. | | | 147,001 | |
| | 3,762 | | | Guess?, Inc. | | | 89,084 | |
| | 1,284 | | | Haverty Furniture Cos., Inc. | | | 39,252 | |
| | 849 | | | Hibbett, Inc. | | | 61,069 | |
| | 1,529 | | | Lumber Liquidators Holdings, Inc.* | | | 26,100 | |
| | 1,251 | | | MarineMax, Inc.* | | | 73,859 | |
| | 1,923 | | | Monro, Inc. | | | 112,053 | |
| | 1,222 | | | Murphy U.S.A., Inc. | | | 243,471 | |
| | 4,523 | | | National Vision Holdings, Inc.* | | | 217,059 | |
| | 2,762 | | | ODP Corp. (The)* | | | 108,491 | |
| | 443 | | | OneWater Marine, Inc. | | | 27,010 | |
| | 3,398 | | | Penske Automotive Group, Inc. | | | 364,334 | |
| | 3,598 | | | Rent-A-Center, Inc. | | | 172,848 | |
| | 6,055 | | | Sally Beauty Holdings, Inc.* | | | 111,775 | |
| | 1,818 | | | Shoe Carnival, Inc. | | | 71,047 | |
| | 3,862 | | | Signet Jewelers, Ltd. | | | 336,110 | |
| | 1,362 | | | Sleep Number Corp.* | | | 104,329 | |
| | 1,462 | | | Sonic Automotive, Inc., Class A | | | 72,296 | |
| | 2,363 | | | Sportsman’s Warehouse Holdings, Inc.* | | | 27,883 | |
| | 3,031 | | | The Buckle, Inc. | | | 128,242 | |
| | 823 | | | The Children’s Place, Inc.* | | | 65,256 | |
| | 4,201 | | | The Container Store Group, Inc.* | | | 41,926 | |
| | 1,307 | | | Tile Shop Holdings, Inc. | | | 9,319 | |
| | 2,271 | | | Tilly’s, Inc. | | | 36,586 | |
| | 624 | | | TravelCenters of America, Inc.* | | | 32,211 | |
| | 5,052 | | | Urban Outfitters, Inc.* | | | 148,327 | |
| | 303 | | | Winmark Corp. | | | 75,232 | |
| | 1,549 | | | Zumiez, Inc.* | | | 74,336 | |
| | | | | | | | |
| | | | | | | 4,898,407 | |
| | | | | | | | |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals (0.6%): | | | |
| | 6,969 | | | 3D Systems Corp.* | | $ | 150,112 | |
| | 1,308 | | | AstroNova, Inc.* | | | 17,658 | |
| | 3,465 | | | Avid Technology, Inc.* | | | 112,855 | |
| | 6,556 | | | NCR Corp.* | | | 263,551 | |
| | 3,811 | | | Stratasys, Ltd.* | | | 93,332 | |
| | 2,418 | | | Super Micro Computer, Inc.* | | | 106,271 | |
| | 1,590 | | | TransAct Technologies, Inc.* | | | 17,331 | |
| | 600 | | | Turtle Beach Corp.* | | | 13,356 | |
| | 3,587 | | | Xerox Holdings Corp. | | | 81,210 | |
| | | | | | | | |
| | | | | | | 855,676 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.3%): | | | |
| | 2,061 | | | Carter’s, Inc. | | | 208,614 | |
| | 2,038 | | | Columbia Sportswear Co. | | | 198,583 | |
| | 4,198 | | | Crocs, Inc.* | | | 538,268 | |
| | 2,291 | | | Culp, Inc. | | | 21,787 | |
| | 2,091 | | | Fossil Group, Inc.* | | | 21,516 | |
| | 2,571 | | | G-III Apparel Group, Ltd.* | | | 71,062 | |
| | 1,322 | | | Hanesbrands, Inc. | | | 22,104 | |
| | 3,472 | | | Kontoor Brands, Inc. | | | 177,940 | |
| | 816 | | | Lakeland Industries, Inc.* | | | 17,707 | |
| | 844 | | | Movado Group, Inc. | | | 35,305 | |
| | 1,247 | | | Oxford Industries, Inc. | | | 126,595 | |
| | 830 | | | PVH Corp. | | | 88,520 | |
| | 674 | | | Rocky Brands, Inc. | | | 26,825 | |
| | 999 | | | Skechers U.S.A., Inc., Class A* | | | 43,357 | |
| | 4,945 | | | Steven Madden, Ltd. | | | 229,794 | |
| | 418 | | | Superior Group of Cos., Inc. | | | 9,171 | |
| | 957 | | | Unifi, Inc.* | | | 22,155 | |
| | 1,916 | | | Vera Bradley, Inc.* | | | 16,305 | |
| | 4,779 | | | Wolverine World Wide, Inc. | | | 137,683 | |
| | | | | | | | |
| | | | | | | 2,013,291 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (2.2%): | | | |
| | 3,407 | | | Axos Financial, Inc.* | | | 190,485 | |
| | 2,838 | | | BankFinancial Corp. | | | 30,281 | |
| | 2,024 | | | Bridgewater Bancshares, Inc.* | | | 35,805 | |
| | 7,770 | | | Capitol Federal Financial, Inc. | | | 88,034 | |
| | 280 | | | Citizens Community Bancorp, Inc. | | | 3,856 | |
| | 5,449 | | | Columbia Financial, Inc.* | | | 113,666 | |
| | 1,537 | | | ESSA Bancorp, Inc. | | | 26,636 | |
| | 4,677 | | | Essent Group, Ltd. | | | 212,944 | |
| | 696 | | | Federal Agricultural Mortgage Corp. | | | 86,255 | |
| | 242 | | | First Capital, Inc. | | | 9,668 | |
| | 1,936 | | | Flagstar Bancorp, Inc. | | | 92,812 | |
| | 986 | | | FS Bancorp, Inc. | | | 33,159 | |
| | 195 | | | Guaranty Federal Bankshares, Inc. | | | 6,228 | |
| | 206 | | | Hingham Institution for Savings | | | 86,495 | |
| | 629 | | | HMN Financial, Inc.* | | | 15,335 | |
| | 973 | | | Home Bancorp, Inc. | | | 40,389 | |
| | 86 | | | Home Federal Bancorp, Inc. | | | 1,704 | |
| | 1,829 | | | HomeStreet, Inc. | | | 95,108 | |
| | 869 | | | IF Bancorp, Inc. | | | 21,577 | |
| | 3,933 | | | Kearny Financial Corp. | | | 52,112 | |
| | 390 | | | Kentucky First Federal Bancorp | | | 2,933 | |
| | 289 | | | LendingTree, Inc.* | | | 35,431 | |
| | 1,892 | | | Luther Burbank Corp. | | | 26,564 | |
| | 940 | | | Malvern Bancorp, Inc.* | | | 14,730 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Thrifts & Mortgage Finance, continued | | | |
| | 1,234 | | | Merchants BanCorp | | $ | 58,405 | |
| | 1,842 | | | Meta Financial Group, Inc. | | | 109,894 | |
| | 2,242 | | | MGIC Investment Corp. | | | 32,330 | |
| | 3,941 | | | Mr Cooper Group, Inc.* | | | 163,985 | |
| | 18,699 | | | New York Community Bancorp, Inc. | | | 228,315 | |
| | 4,642 | | | NMI Holdings, Inc., Class A* | | | 101,428 | |
| | 3,578 | | | Northfield Bancorp, Inc. | | | 57,821 | |
| | 6,541 | | | Northwest Bancshares, Inc. | | | 92,621 | |
| | 3,132 | | | Oceanfirst Financial Corp. | | | 69,530 | |
| | 198 | | | Oconee Federal Financial Corp. | | | 4,316 | |
| | 1,129 | | | Ocwen Financial Corp.* | | | 45,126 | |
| | 2,010 | | | PCSB Financial Corp. | | | 38,270 | |
| | 1,668 | | | Premier Financial Corp. | | | 51,558 | |
| | 1,677 | | | Provident Financial Holdings, Inc. | | | 27,754 | |
| | 3,721 | | | Provident Financial Services, Inc. | | | 90,123 | |
| | 1,685 | | | Prudential Bancorp, Inc. | | | 22,882 | |
| | 4,780 | | | Radian Group, Inc. | | | 101,001 | |
| | 1,982 | | | Riverview Bancorp, Inc. | | | 15,242 | |
| | 3,418 | | | Security National Financial Corp., Class A* | | | 31,446 | |
| | 707 | | | Southern Missouri Bancorp, Inc. | | | 36,884 | |
| | 1,053 | | | Sterling Bancorp, Inc.* | | | 6,055 | |
| | 1,409 | | | Territorial Bancorp, Inc. | | | 35,577 | |
| | 3,100 | | | TFS Financial Corp. | | | 55,397 | |
| | 1,462 | | | TrustCo Bank Corp. NY | | | 48,699 | |
| | 3,395 | | | Washington Federal, Inc. | | | 113,325 | |
| | 1,247 | | | Waterstone Financial, Inc. | | | 27,259 | |
| | 1,850 | | | Wawlker & Dunlop, Inc. | | | 279,128 | |
| | 3,601 | | | Western New England BanCorp, Inc. | | | 31,545 | |
| | 2,314 | | | WSFS Financial Corp. | | | 115,978 | |
| | 35 | | | WVS Financial Corp. | | | 539 | |
| | | | | | | | |
| | | | | | | 3,414,640 | |
| | | | | | | | |
| Tobacco (0.1%): | | | |
| | 763 | | | Turning Point Brands, Inc. | | | 28,826 | |
| | 975 | | | Universal Corp. | | | 53,547 | |
| | 9,542 | | | Vector Group, Ltd. | | | 109,542 | |
| | | | | | | | |
| | | | | | | 191,915 | |
| | | | | | | | |
| Trading Companies & Distributors (2.0%): | | | |
| | 6,404 | | | Air Lease Corp. | | | 283,249 | |
| | 1,077 | | | Alta Equipment Group, Inc.* | | | 15,767 | |
| | 1,927 | | | Applied Industrial Technologies, Inc. | | | 197,903 | |
| | 3,172 | | | Beacon Roofing Supply, Inc.* | | | 181,914 | |
| | 569 | | | BlueLinx Holdings, Inc.* | | | 54,487 | |
| | 1,324 | | | Boise Cascade Co. | | | 94,269 | |
| | 2,002 | | | DXP Enterprises, Inc.* | | | 51,391 | |
| | 1,463 | | | EVI Industries, Inc.* | | | 45,690 | |
| | 1,550 | | | GATX Corp. | | | 161,495 | |
| | 2,503 | | | Global Industrial Co. | | | 102,373 | |
| | 573 | | | GMS, Inc.* | | | 34,443 | |
| | 1,299 | | | H&E Equipment Services, Inc. | | | 57,507 | |
| | 1,516 | | | Herc Holdings, Inc. | | | 237,330 | |
| | 1,475 | | | Kaman Corp., Class A | | | 63,646 | |
| | 989 | | | Lawson Products, Inc.* | | | 54,148 | |
| | 4,569 | | | MRC Global, Inc.* | | | 31,435 | |
| | 2,121 | | | MSC Industrial Direct Co., Inc. | | | 178,291 | |
| | 7,964 | | | NOW, Inc.* | | | 68,013 | |
| | 200 | | | Rush Enterprises, Inc. | | | 10,794 | |
| | 1,839 | | | Rush Enterprises, Inc., Class A | | | 102,322 | |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Trading Companies & Distributors, continued | | | |
| | 89 | | | SiteOne Landscape Supply, Inc.* | | $ | 21,563 | |
| | 2,140 | | | Textainer Group Holdings, Ltd. | | | 76,419 | |
| | 1,548 | | | Titan Machinery, Inc.* | | | 52,152 | |
| | 577 | | | Transcat, Inc.* | | | 53,332 | |
| | 3,118 | | | Triton International, Ltd. | | | 187,797 | |
| | 5,651 | | | Univar Solutions, Inc.* | | | 160,206 | |
| | 1,034 | | | Veritiv Corp.* | | | 126,737 | |
| | 3,051 | | | WESCO International, Inc.* | | | 401,481 | |
| | | | | | | | |
| | | | | | | 3,106,154 | |
| | | | | | | | |
| Transportation Infrastructure (0.0%†): | | | |
| | 4,399 | | | Macquarie Infrastructure Holdings LLC | | | 16,056 | |
| | | | | | | | |
| Water Utilities (0.6%): | | | |
| | 2,746 | | | American States Water Co. | | | 284,046 | |
| | 824 | | | Artesian Resources Corp. | | | 38,176 | |
| | 3,117 | | | California Water Service Group | | | 223,988 | |
| | 1,256 | | | Consolidated Water Co., Ltd. | | | 13,364 | |
| | 1,143 | | | Middlesex Water Co. | | | 137,503 | |
| | 2,502 | | | Pure Cycle Corp.* | | | 36,529 | |
| | 1,615 | | | SJW Group | | | 118,218 | |
| | 1,259 | | | York Water Co. (The) | | | 62,673 | |
| | | | | | | | |
| | | | | | | 914,497 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.2%): | | | |
| | 2,895 | | | Shenandoah Telecommunications Co. | | | 73,822 | |
| | 2,722 | | | Spok Holdings, Inc. | | | 25,396 | |
| | 6,578 | | | Telephone & Data Systems, Inc. | | | 132,547 | |
| | 2,003 | | | United States Cellular Corp.* | | | 63,135 | |
| | | | | | | | |
| | | | | | | 294,900 | |
| | | | | | | | |
| | Total Common Stocks (Cost $105,615,859) | | | 154,416,145 | |
| | | | | |
| Preferred Stocks (0.1%): | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 161 | | | Qurate Retail, Inc., 3/15/31 | | | 16,618 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 430 | | | Liberty Broadband Corp., Series A | | | 12,535 | |
| | | | | | | | |
| Trading Companies & Distributors (0.1%): | | | |
| | 2,540 | | | WESCO International, Inc., Series A | | | 77,851 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $81,328) | | | 107,004 | |
| | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Rights (0.0%†): | | | |
| Biotechnology (0.0%†): | | | |
| | 8,857 | | | Achillion Pharm CVR, Expires on 1/29/49* | | $ | 12,843 | |
| | 2,004 | | | Chinook Therapeutics-CVR, Expires on 12/31/49* | | | 3,627 | |
| | 1,429 | | | Pfenex, Inc. CVR, Expires on 1/3/22*^ | | | 1,072 | |
| | 4,400 | | | Progenics Pharmaceuticals, Inc., Expires on 12/31/22* | | | 1,672 | |
| | | | | | | | |
| | | | | | | 19,214 | |
| | | | | | | | |
| Household Durables (0.0%†): | | | |
| | 4,044 | | | Zagg, Inc. CVR, Expires on 1/2/49* | | | 364 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 21,894 | | | Media General, Inc. CVR, Expires on 12/31/49 | | | 2,708 | |
| | | | | | | | |
| Pharmaceuticals (0.0%†): | | | |
| | 8,452 | | | Xeris BioPharma Hold CVR, Expires on 10/6/49* | | | 1,183 | |
| | | | | | | | |
| | Total Rights (Cost $8,221) | | | 23,469 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
Short-Term Security Held as Collateral for Securities on
Loan (0.6%): | | | |
| | 878,871 | | | BlackRock Liquidity FedFund, Institutional Class, 0.03%(b)(c) | | | 878,871 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $878,871) | | | 878,871 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.3%): | | | |
| Money Markets (0.3%): | | | |
| | 492,136 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 492,136 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $492,136) | | | 492,136 | |
| | | | | |
| | Total Investment Securities (Cost $107,076,415) — 100.6%(d) | | | 155,917,625 | |
| | Net other assets (liabilities) — (0.6)% | | | (933,407 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 154,984,218 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
ADR—American Depository Receipt
CVR—Contingent Valued Rights
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2021. The total value of securities on loan as of December 31, 2021 was $849,287. |
| † | 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, 2021. 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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $0 or round to less than $1.
See accompanying notes to the financial statements.
20
AZL DFA U.S. Small Cap Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 107,076,415 | |
| | | | | |
Investment securities, at value(a) | | | $ | 155,917,625 | |
Cash | | | | 661 | |
Interest and dividends receivable | | | | 78,095 | |
Receivable for investments sold | | | | 231,205 | |
Prepaid expenses | | | | 775 | |
| | | | | |
Total Assets | | | | 156,228,361 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 119,173 | |
Payable for capital shares redeemed | | | | 91,163 | |
Payable for collateral received on loaned securities | | | | 878,871 | |
Manager fees payable | | | | 90,720 | |
Administration fees payable | | | | 24,181 | |
Distribution fees payable | | | | 32,400 | |
Custodian fees payable | | | | 1,429 | |
Administrative and compliance services fees payable | | | | 218 | |
Transfer agent fees payable | | | | 806 | |
Trustee fees payable | | | | 1,225 | |
Other accrued liabilities | | | | 3,957 | |
| | | | | |
Total Liabilities | | | | 1,244,143 | |
| | | | | |
Net Assets | | | $ | 154,984,218 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 74,592,300 | |
Total distributable earnings | | | | 80,391,918 | |
| | | | | |
Net Assets | | | $ | 154,984,218 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 10,481,607 | |
Net Asset Value (offering and redemption price per share) | | | $ | 14.79 | |
| | | | | |
| (a) | Includes securities on loan of $849,287. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 2,334,784 | |
Interest | | | | 31 | |
Income from securities lending | | | | 17,899 | |
Foreign withholding tax | | | | (1,616 | ) |
| | | | | |
Total Investment Income | | | | 2,351,098 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 1,404,840 | |
Administration fees | | | | 79,115 | |
Distribution fees | | | | 413,187 | |
Custodian fees | | | | 11,331 | |
Administrative and compliance services fees | | | | 1,932 | |
Transfer agent fees | | | | 4,663 | |
Trustee fees | | | | 7,970 | |
Professional fees | | | | 7,042 | |
Shareholder reports | | | | 3,071 | |
Other expenses | | | | 4,286 | |
| | | | | |
Total expenses before reductions | | | | 1,937,437 | |
Less Management fees contractually waived | | | | (247,913 | ) |
| | | | | |
Net expenses | | | | 1,689,524 | |
| | | | | |
Net Investment Income/(Loss) | | | | 661,574 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 30,812,302 | |
Change in net unrealized appreciation/depreciation on securities | | | | 12,016,166 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 42,828,468 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 43,490,042 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 661,574 | | | | $ | 827,180 | |
Net realized gains/(losses) on investments | | | | 30,812,302 | | | | | 11,486,293 | |
Change in unrealized appreciation/depreciation on investments | | | | 12,016,166 | | | | | 12,542,256 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 43,490,042 | | | | | 24,855,729 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (12,429,190 | ) | | | | (5,590,083 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (12,429,190 | ) | | | | (5,590,083 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 663,840 | | | | | 24,620,324 | |
Proceeds from dividends reinvested | | | | 12,429,190 | | | | | 5,590,083 | |
Value of shares redeemed | | | | (56,959,304 | ) | | | | (52,022,348 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (43,866,274 | ) | | | | (21,811,941 | ) |
| | | | | | | | | | |
Change in net assets | | | | (12,805,422 | ) | | | | (2,546,295 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 167,789,640 | | | | | 170,335,935 | |
| | | | | | | | | | |
End of period | | | $ | 154,984,218 | | | | $ | 167,789,640 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 44,285 | | | | | 3,060,070 | |
Dividends reinvested | | | | 881,503 | | | | | 536,476 | |
Shares redeemed | | | | (3,908,653 | ) | | | | (5,166,278 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,982,865 | ) | | | | (1,569,732 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 12.46 | | | | $ | 11.33 | | | | $ | 10.19 | | | | $ | 12.40 | | | | $ | 11.42 | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.06 | (a) | | | | 0.05 | (a) | | | | 0.05 | (a) | | | | 0.07 | | | | | 0.07 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 3.50 | | | | | 1.46 | | | | | 2.00 | | | | | (1.53 | ) | | | | 1.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.56 | | | | | 1.51 | | | | | 2.05 | | | | | (1.46 | ) | | | | 1.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.09 | ) | | | | (0.05 | ) | | | | (0.06 | ) | | | | (0.07 | ) | | | | (0.07 | ) |
Net Realized Gains | | | | (1.14 | ) | | | | (0.33 | ) | | | | (0.85 | ) | | | | (0.68 | ) | | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.23 | ) | | | | (0.38 | ) | | | | (0.91 | ) | | | | (0.75 | ) | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 14.79 | | | | $ | 12.46 | | | | $ | 11.33 | | | | $ | 10.19 | | | | $ | 12.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 29.02 | % | | | | 13.97 | % | | | | 21.10 | % | | | | (12.64 | )% | | | | 10.87 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 154,984 | | | | $ | 167,790 | | | | $ | 170,336 | | | | $ | 149,873 | | | | $ | 198,419 | |
Net Investment Income/(Loss) | | | | 0.40 | % | | | | 0.54 | % | | | | 0.46 | % | | | | 0.48 | % | | | | 0.55 | % |
Expenses Before Reductions(c) | | | | 1.17 | % | | | | 1.19 | % | | | | 1.17 | % | | | | 1.16 | % | | | | 1.16 | % |
Expenses Net of Reductions | | | | 1.02 | % | | | | 1.04 | % | | | | 1.02 | % | | | | 1.01 | % | | | | 1.01 | % |
Portfolio Turnover Rate | | | | 12 | % | | | | 22 | % | | | | 10 | % | | | | 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, 2021
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. 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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
24
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2021
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $1,776 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $878,871 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 154,365,185 | | | | $ | 50,960 | | | | $ | — | # | | | $ | 154,416,145 | |
Preferred Stocks+ | | | | 107,004 | | | | | — | | | | | — | | | | | 107,004 | |
Rights+ | | | | — | | | | | 23,469 | | | | | — | | | | | 23,469 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 878,871 | | | | | — | | | | | — | | | | | 878,871 | |
Unaffiliated Investment Company | | | | 492,136 | | | | | — | | | | | — | | | | | 492,136 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | $ | 155,843,196 | | | | $ | 74,429 | | | | $ | — | | | | $ | 155,917,625 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
5. Security Purchases and Sales
For the year ended December 31, 2021, 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 | | | $ | 18,905,518 | | | | $ | 74,133,877 | |
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.
26
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2021
Value Stocks Risk — Value stocks may perform differently from the market as a whole and following a value-oriented investment strategy may cause the Fund to at times underperform equity funds that use other investment strategies.
Capitalization Risk — Investing in small- to mid-sized companies creates risk because smaller companies may have unpredictable or limited earnings, and their securities may be less liquid or experience more volatile prices than those of large companies.
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $107,010,830. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 61,729,193 | |
Unrealized (depreciation) | | | (12,822,398 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 48,906,795 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL DFA U.S. Small Cap Fund | | | $ | 6,931,703 | | | | $ | 5,497,487 | | | | $ | 12,429,190 | |
| (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, 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. |
27
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 4,705,355 | | | | $ | 26,779,768 | | | | $ | — | | | | $ | 48,906,795 | | | | $ | 80,391,918 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, investments in real estate investment trusts 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, 2021, 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 the shareholder 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.
28
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
29
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2021, 31.28% 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, 2021, the Fund declared net short-term capital gain distributions of $6,008,307.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $5,497,487.
30
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.
31
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
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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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
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| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® Enhanced Bond Index Fund
Annual Report
December 31, 2021
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.
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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. BlackRock International Limited and BlackRock (Singapore) Limited serve as Sub-subadvisers to the Fund, effective December 1, 2021.
What factors affected the Fund’s performance during the year ended December 31, 2021?*
For the year ended December 31, 2021, the AZL® Enhanced Bond Index Fund (the “Fund”) returned (1.94)%. That compared to a (1.54)% total return for its benchmark, the Bloomberg U.S. Aggregate Bond Index.I
The year began amid expectations of strong growth in 2021. In January and February, yields rose higher as Democrats took control of the U.S. Senate, the vaccine rollout accelerated, and Congress passed a $1.9 trillion fiscal stimulus package. These events helped drive government bond yields higher, which rattled investors despite the Federal Reserve’s (the Fed) stated intentions to maintain low interest rates through the end of 2021. The Fed’s dovish tone helped anchor the long end of the yield curve even as inflation concerns rose, leading to a flattening of the yield curve.
The flattening trend continued into the summer as the risks around COVID-19 fell and the economy reopened. Amid this optimism, riskier assets performed well through the middle of the year, only faltering later in the period with the rise of the Delta and Omicron variants and concerns over slowing growth in China. The Fed’s shift to a more hawkish tone late in the year due to higher inflation put additional pressure on bond prices, which further boosted yields.
In absolute terms, U.S. Treasuries, agency mortgages and investment grade credit were the largest contributors to the Fund’s negative returns. Prices on these assets fell under pressure from rising interest rates and higher inflation.
The Fund underperformed its benchmark due to fees along with its positioning within agency mortgages. Mortgages came under pressure as the market factored in the potential for a faster-than-expected tapering of the Fed’s asset purchase stimulus efforts. This downward pressure
occurred despite ongoing purchases of these same assets by domestic banks, which otherwise helped support demand.
The Fund benefited from its duration and yield-curve positioning. The Fund generally held an underweight duration position throughout 2021, which added to relative performance as interest rates moved higher, particularly early in the year. The Fund’s curve positioning benefited as the market priced in a more hawkish tone by the Fed. The Fund also benefited from its decision to hold above-benchmark exposure to spread duration for most of the year, with a switch to below-benchmark exposure later in the year among investment grade credit as spreads tightened.
The Fund held derivatives in the form of foreign currency forward 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. These derivative positions benefited the portfolio by giving managers the ability to more precisely manage duration and yield curve risk, and to hedge currency risk from non-dollar bonds.
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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
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AZL® Enhanced Bond Index Fund Review (Unaudited) |
Fund Objective
The Fund’s investment objective is to exceed the total return of the Bloomberg 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.
Although the Fund seeks to provide a total return in excess of the Index, market conditions or implementation of the Fund’s investment strategy may result in losses, and the Fund may not achieve the desired correlation with and/or may not outperform the Index.
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, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | 10 Year |
AZL® Enhanced Bond Index Fund | | | | (1.94 | )% | | | | 4.55 | % | | | | 3.19 | % | | | | 2.55 | % |
Bloomberg U.S. Aggregate Bond Index | | | | (1.54 | )% | | | | 4.79 | % | | | | 3.57 | % | | | | 2.90 | % |
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 | | | | 0.66 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Enhanced Bond Index Fund | | | $ | 1,000.00 | | | | $ | 998.40 | | | | $ | 3.43 | | | | | 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Enhanced Bond Index Fund | | | $ | 1,000.00 | | | | $ | 1,021.78 | | | | $ | 3.47 | | | | | 0.68 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 31.8 | % |
| |
U.S. Government Agency Mortgages | | | | 27.6 | |
| |
Corporate Bonds | | | | 24.0 | |
| |
Unaffiliated Investment Company | | | | 8.5 | |
| |
Certificates of Deposit | | | | 7.0 | |
| |
Collateralized Mortgage Obligations | | | | 6.0 | |
| |
Yankee Debt Obligations | | | | 5.8 | |
| |
Asset Backed Securities | | | | 3.7 | |
| |
Foreign Bonds | | | | 2.8 | |
| |
Commercial Paper | | | | 2.6 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1.0 | |
| |
Municipal Bonds | | | | 0.2 | |
| | | | | |
| |
Total Investment Securities | | | | 121.0 | |
| |
Net other assets (liabilities) | | | | (21.0 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities (3.7%): | | | |
| $ | 11,370,000 | | | American Express Credit Account Master Trust, Class A, Series 2021-1, 0.90%, 11/15/26 | | $ | 11,284,385 | |
| | 2,292,581 | | | American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a) | | | 2,397,582 | |
| | 1,640,000 | | | Benchmark Mortgage Trust, Class A4, Series 2018-B7, 4.51%, 11/15/51, Callable 10/15/28 @ 100 | | | 1,886,853 | |
| | 885,000 | | | Citibank Credit Card Issuance Trust, Class A7, Series 2018-A7, 3.96%, 10/15/30 | | | 1,017,175 | |
| | 190,114 | | | College Ave Student Loans LLC, Class A1, Series 2021-A, 1.20%(US0001M+110bps), 7/25/51, Callable 2/25/32 @ 100(a) | | | 190,727 | |
| | 1,153,000 | | | College Ave Student Loans LLC, Class A2, Series 2021-C, 2.32%, 7/26/55(a) | | | 1,152,344 | |
| | 1,318,874 | | | College Avenue Student Loans LLC, Class A2, Series 2021-B, 1.76%, 6/25/52, Callable 1/25/34 @ 100(a) | | | 1,306,022 | |
| | 3,400,000 | | | Credit Acceptance Auto Loan Trust, Class A, Series 2021-4, 1.26%, 10/15/30, Callable 4/15/25 @ 100(a) | | | 3,370,968 | |
| | 3,640,000 | | | Credit Acceptance Auto Loan Trust, Class A, Series 2021-2A, 0.96%, 2/15/30, Callable 12/15/24 @ 100(a) | | | 3,613,853 | |
| | 160,000 | | | Credit Acceptance Auto Loan Trust, Class A, Series 20-2A, 1.37%, 7/16/29, Callable 1/15/24 @ 100(a) | | | 160,664 | |
| | 1,880,000 | | | Credit Acceptance Auto Loan Trust, Class A, Series 2021-3A, 1.00%, 5/15/30, Callable 11/15/24 @ 100(a) | | | 1,864,588 | |
| | 529,882 | | | EDvestinU Private Education Loan Issue No 3 LLC, Class A, Series 2021-A, 1.80%, 11/25/45(a) | | | 521,049 | |
| | 1,053,000 | | | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2021-5CS, 2.31%, 10/20/48(a) | | | 1,050,502 | |
| | 1,893,907 | | | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2021-4GS, 1.93%, 7/20/48, Callable 3/20/36 @ 100(a) | | | 1,852,107 | |
| | 2,960,000 | | | GPMT, Ltd., Class A, Series 2021-FL4, 1.45%(US0001M+135bps), 12/15/36, Callable 11/15/23 @ 100(a) | | | 2,959,027 | |
| | 2,900,000 | | | Hyundai Auto Receivables Trust, Class A3, Series 2021-C, 0.74%, 5/15/26, Callable 12/15/25 @ 100 | | | 2,879,856 | |
| | 1,390,000 | | | Lendmark Funding Trust, Class A, Series 2021-1A, 1.90%, 11/20/31, Callable 5/20/26 @ 100(a) | | | 1,375,145 | |
| | 711,963 | | | LoanCore Issuer, Ltd., Class A, Series 2018-CRE1, 1.24%(US0001M+113bps), 5/15/28, Callable 1/15/22 @ 100(a) | | | 711,612 | |
| | 1,200,000 | | | Mariner Finance Issuance Trust, Class A, Series 2021-AA, 1.86%, 3/20/36, Callable 3/20/26 @ 100(a) | | | 1,179,807 | |
| | 1,307,276 | | | Navient Private Education Loan Trust, Class A1B, Series 2020-lA, 1.11%(US0001M+100bps), 4/15/69, Callable 10/15/30 @ 100(a) | | | 1,319,082 | |
| | 2,984,558 | | | Navient Private Education Refi Loan Trust, Class A, Series 2021-DA, 1.26%(PRIME-(199)bps), 4/15/60, Callable 5/15/32 @ 100(a) | | | 2,976,155 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 8,027,880 | | | Navient Private Education Refi Loan Trust, Class A, Series 2021-EA, 0.97%, 12/16/69, Callable 3/15/29 @ 100(a) | | $ | 7,801,504 | |
| | 618,867 | | | Navient Private Education Refi Loan Trust, Class A, Series 2021-A, 0.84%, 5/15/69, Callable 12/15/27 @ 100(a) | | | 608,687 | |
| | 2,911,969 | | | Navient Private Education Refi Loan Trust, Class A, Series 20-FA, 1.22%, 7/15/69, Callable 1/15/27 @ 100(a) | | | 2,904,797 | |
| | 1,000,000 | | | Navient Student Loan Trust, Class A2B, Series 2020-CA, 1.71%(US0001M+160bps), 11/15/68, Callable 7/15/30 @ 100(a) | | | 1,029,579 | |
| | 223,841 | | | Navient Student Loan Trust, Class A2, Series 2018-EA, 4.00%, 12/15/59, Callable 5/15/25 @ 100(a) | | | 230,480 | |
| | 2,095,642 | | | Navient Student Loan Trust, Class A2B, Series 2019-D, 1.16%(US0001M+105bps), 12/15/59, Callable 9/15/30 @ 100(a) | | | 2,106,759 | |
| | 4,932,882 | | | Nelnet Student Loan Trust, Class AFL, Series 2021-CA, 0.84%(US0001M+74bps), 4/20/62, Callable 12/20/30 @ 100(a) | | | 4,943,630 | |
| | 4,169,896 | | | Nelnet Student Loan Trust, Class APT2, Series 2021-A, 1.36%, 4/20/62, Callable 9/20/29 @ 100(a) | | | 4,100,229 | |
| | 7,974,715 | | | Nelnet Student Loan Trust, Class AFL, Series 2021-BA, 0.88%(US0001M+78bps), 4/20/62, Callable 7/20/29 @ 100(a) | | | 7,982,432 | |
| | 3,420,092 | | | Nelnet Student Loan Trust, Class AFX, Series 2021-DA, 1.63%, 4/20/62, Callable 6/20/31 @ 100(a) | | | 3,386,724 | |
| | 1,400,000 | | | PFS Financing Corp., Class A, Series 2021-A, 0.71%, 4/15/26(a) | | | 1,380,538 | |
| | 1,025,157 | | | Prodigy Finance CM2021-1 DAC, Class A, Series 2021-1A, 1.35%(US0001M+125bps), 7/25/51, Callable 2/25/27 @ 100(a) | | | 1,025,313 | |
| | 2,009,000 | | | Regional Management Issuance Trust, Class A, Series 2021-2, 0.02%, 8/15/33, Callable 8/15/26 @ 100(a) | | | 1,970,786 | |
| | 1,619,070 | | | SMB Private Education Loan Trust, Class APT1, Series 2021-C, 1.39%, 1/15/53(a) | | | 1,589,062 | |
| | 29,080 | | | SMB Private Education Loan Trust, Class A2A, Series 2015-B, 2.98%, 7/15/27, Callable 5/15/28 @ 100(a) | | | 29,148 | |
| | 2,317,615 | | | SMB Private Education Loan Trust, Class A1A, Series BA, 1.29%, 7/15/53(a) | | | 2,296,159 | |
| | 386,956 | | | SMB Private Education Loan Trust, Class A2B, Series 2020-A, 0.94%(US0001M+83bps), 9/15/37(a) | | | 388,702 | |
| | 4,250,000 | | | SMB Private Education Loan Trust, Class A2A1, Series 2021-A, 0.84%(US0001M+73bps), 1/15/53(a) | | | 4,250,981 | |
| | 464,834 | | | SMB Private Education Loan Trust, Class A2B, Series 2017-B, 0.86%(US0001M+75bps), 10/15/35(a) | | | 462,950 | |
| | 490,000 | | | SMB Private Education Loan Trust, Class B, Series 2021-A, 2.31%, 1/15/53(a) | | | 485,613 | |
See accompanying notes to the financial statements.
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 810,174 | | | SoFi Professional Loan Program, Class AFX, Series 2020-C, 1.95%, 2/15/46, Callable 4/15/28 @ 100(a) | | $ | 721,729 | |
| | 707,430 | | | SoFi Professional Loan Program, Class A2FX, Series 2019-B, 3.09%, 8/17/48, Callable 9/15/26 @ 100(a) | | | 722,163 | |
| | 19,796 | | | SoFi Professional Loan Program, Class A2B, Series 2016-D, 2.34%, 4/25/33, Callable 3/25/24 @ 100(a) | | | 19,922 | |
| | 493,935 | | | SoFi Professional Loan Program, Class A2, Series 2015-d, 2.72%, 10/27/36, Callable 3/25/22 @ 100(a) | | | 494,492 | |
| | 2,121,149 | | | SoFi Professional Loan Program, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 5/25/25 @ 100(a) | | | 2,153,405 | |
| | 1,683,698 | | | SoFi Professional Loan Program, Class A2FX, Series 2020-A, 2.54%, 5/15/46, Callable 8/15/27 @ 100(a) | | | 1,713,618 | |
| | 831,883 | | | Westlake Automobile Receivables Trust, Class A2, Series 2020-1A, 1.44%, 9/15/23, Callable 9/15/23 @ 100(a) | | | 832,669 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $100,878,130) | | | 100,701,574 | |
| | | | | |
| Collateralized Mortgage Obligations (6.0%): | | | |
| | 1,930,000 | | | ACRES Commercial Realty, Ltd., Class A, Series 2021-FL2, 1.49%(US0001M+140bps), 1/15/37, Callable 12/15/23 @ 100(a) | | | 1,930,001 | |
| | 2,000,000 | | | AIMCO CLO, Class AR, Series 2017-AA, 1.18%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(a) | | | 1,990,184 | |
| | 2,810,000 | | | Alen Mortgage Trust, Class A, Series 2021-ACEN, 1.26%(US0001M+115bps), 4/15/38(a) | | | 2,806,431 | |
| | 1,000,000 | | | Anchorage Capital CLO 7, Ltd., Class AR2, Series 2015-7A, 1.23%(US0003M+109bps), 1/28/31, Callable 1/28/22 @ 100(a) | | | 999,991 | |
| | 1,735,000 | | | Arbor Multifamily Mortgage Securities Trust, Class A5, Series 2020-MF1, 2.76%, 5/15/53, Callable 2/15/30 @ 100(a) | | | 1,810,440 | |
| | 4,240,000 | | | Arbor Realty Commercial Real Estate Notes, Ltd., Class A, Series 2021-FL4, 1.44%(US0001M+135bps), 11/15/36, Callable 6/15/24 @ 100(a) | | | 4,243,287 | |
| | 500,000 | | | Ares XXXIIR CLO, Ltd., Class A1A, Series 2014-32RA, 1.10%(US0003M+94bps), 5/15/30, Callable 2/15/22 @ 100(a) | | | 500,087 | |
| | 3,830,000 | | | BANK, Class A5, Series 2021-BN38, 2.52%, 12/15/64, Callable 12/15/31 @ 100 | | | 3,937,404 | |
| | 3,850,000 | | | Barclays Commercial Mortgage Trust, Class A, Series 2018-TALL, 0.83%(US0001M+72bps), 3/15/37(a) | | | 3,806,687 | |
| | 1,250,000 | | | Battalion CLO VIII, Ltd., Class A1R2, Series 2015-8A, 1.19%(US0003M+107bps), 7/18/30, Callable 1/18/22 @ 100(a) | | | 1,249,972 | |
| | 2,290,000 | | | Battalion CLO X, Ltd., Class A1R2, Series 2016-10A, 1.29%(US0003M+117bps), 1/25/35, Callable 1/25/23 @ 100(a) | | | 2,290,728 | |
| | 4,580,000 | | | BDS, Ltd., Class A, Series 2021-FL10, 1.45%(US0001M+135bps), 12/18/36, Callable 12/18/23 @ 100(a) | | | 4,569,543 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 668,000 | | | Benchmark Mortgage Trust, Class C, Series 2019-B15, 3.84%, 12/15/72 | | $ | 687,646 | |
| | 2,920,000 | | | Benchmark Mortgage Trust, Class A5, Series 2021-B31, 2.67%, 12/15/54, Callable 12/15/31 @ 100 | | | 3,035,043 | |
| | 1,250,000 | | | Benchmark Mortgage Trust, Class B, Series 2019-B15, 3.56%, 12/15/72 | | | 1,325,238 | |
| | 1,332,000 | | | BF Mortgage Trust, Class B, Series 2019-NYT, 1.51%(US0001M+140bps), 11/15/35(a) | | | 1,329,669 | |
| | 1,540,000 | | | BSPRT Issuer, Ltd., Class A, Series 2021-FL7, 1.42%(US0001M+132bps), 12/15/38, Callable 12/15/23 @ 100(a) | | | 1,540,000 | |
| | 1,120,000 | | | BX, Class A, Series 2021-MFM1, 0.81%(US0001M+70bps), 1/15/34(a) | | | 1,111,477 | |
| | 3,350,000 | | | BX Commercial Mortgage Trust, Class A, Series 2020-ViV4, 2.84%, 3/9/44(a) | | | 3,425,944 | |
| | 2,705,000 | | | BX Commercial Mortgage Trust, Class A, Series 2021-XL2, 0.80%(US0001M+69bps), 10/15/38(a) | | | 2,691,989 | |
| | 3,444,544 | | | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.91%(US0001M+80bps), 12/15/29(a) | | | 3,442,512 | |
| | 2,007,175 | | | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 1.03%(US0001M+92bps), 10/15/36(a) | | | 2,006,613 | |
| | 2,110,000 | | | BX Commercial Mortgage Trust, Class A, Series 2021-CIP, 1.02%(US0001M+92bps), 12/15/28(a) | | | 2,109,345 | |
| | 551,000 | | | BX Trust, Class D, Series 2019-OC11, 4.08%, 12/9/41(a) | | | 565,568 | |
| | 4,800,000 | | | BX Trust, Class A, Series 2021-ARIA, 1.01%(US0001M+90bps), 10/15/36(a) | | | 4,791,013 | |
| | 615,000 | | | Cantor Commercial Real Estate Lending, Class A4, Series 2019-CF2, 2.62%, 11/15/52, Callable 8/15/29 @ 100 | | | 632,306 | |
| | 603,000 | | | Cantor Commercial Real Estate Lending, Class B, Series 2019-CF3, 3.50%, 1/15/53, Callable 12/15/29 @ 100(b) | | | 641,146 | |
| | 3,225,000 | | | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016-6A, 1.18%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(a) | | | 3,203,599 | |
| | 760,000 | | | CGRBS Commercial Mortgage Trust, Class A, Series 2013-VN05, 3.37%, 3/13/35(a) | | | 770,914 | |
| | 344,554 | | | Chase Home Lending Mortgage Trust, Class A11, Series 2019-ATR2, 1.00%(US0001M+90bps), 7/25/49, Callable 1/25/23 @ 100(a) | | | 345,611 | |
| | 3,320,000 | | | CIM Retail Portfolio Trust, Class A, Series 2021-RETL, 1.51%(US0001M+140bps), 8/15/36 | | | 3,311,833 | |
| | 1,047,105 | | | CIM Trust, Class A11, Series 2019-INV3, 1.04%(US0001M+100bps), 8/25/49, Callable 3/25/24 @ 100(a) | | | 1,048,274 | |
| | 3,360,000 | | | Cityline Commercial Mortgage Trust, Class A, Series 2016-CLNE, 2.78%, 11/10/31(a)(b) | | | 3,419,875 | |
| | 3,075,000 | | | Commercial Mortgage Loan Trust, Class A4, Series 2015-CCRE26, 3.63%, 10/10/48, Callable 8/10/25 @ 100 | | | 3,279,856 | |
See accompanying notes to the financial statements.
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 667,000 | | | Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48, Callable 7/10/25 @ 100 | | $ | 711,029 | |
| | 1,279,058 | | | Commercial Mortgage Loan Trust, Class AM, Series 2013-CR7, 3.31%, 3/10/46, Callable 4/6/23 @ 100(a) | | | 1,306,238 | |
| | 1,015,000 | | | Commercial Mortgage Loan Trust, Class D, Series 2013-WWP, 3.90%, 3/10/31, Callable 3/10/23 @ 100(a) | | | 1,051,916 | |
| | 3,870,000 | | | Cosmopolitan Hotel Trust, Class A, Series 2017-CSMO, 1.04%(US0001M+93bps), 11/15/36(a) | | | 3,867,175 | |
| | 2,306,000 | | | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(a) | | | 2,326,039 | |
| | 210,000 | | | CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51, Callable 2/15/28 @ 100(b) | | | 230,341 | |
| | 1,195,000 | | | CSAIL Commercial Mortgage Trust, Class B, Series 2019-C15, 4.48%, 3/15/52 | | | 1,322,745 | |
| | 2,335,000 | | | CSMC, Class B, Series 2021-BHAR, 1.61%(US0001M+150bps), 11/15/38(a) | | | 2,336,083 | |
| | 2,011,600 | | | CSMC, Class A1, Series 2021-NQM8, 1.84%, 10/25/66, Callable 11/25/24 @ 100(a)(b) | | | 2,009,938 | |
| | 2,000,000 | | | Dewolf Park CLO, Ltd., Class AR, Series 2017-1A, 1.04%(US0003M+92bps), 10/15/30, Callable 4/15/22 @ 100(a) | | | 1,999,516 | |
| | 2,095,000 | | | Dryden 43 Senior Loan Fund, Class AR2, Series 2016-43A, 1.17%(US0003M+104bps), 4/20/34, Callable 4/20/23 @ 100(a) | | | 2,083,538 | |
| | 4,750,000 | | | Elmwood CLO II, Ltd., Class AR, Series 2019-2A, 1.28%(US0003M+115bps), 4/20/34, Callable 4/20/23 @ 100(a) | | | 4,750,608 | |
| | 5,382,001 | | | Extended Stay America Trust, Class A, Series 2021-ESH, 1.19%(US0001M+108bps), 7/15/38(a) | | | 5,382,001 | |
| | 715,112 | | | Flagstar Mortgage Trust, Class A11, Series 2019-1, 1.05%(US0001M+95bps), 10/25/49, Callable 6/25/23 @ 100(a) | | | 715,730 | |
| | 1,147,438 | | | FRESB Multifamily Mortgage Pass Through, Class A10H, Series 2019-SB60, 3.50%(US0001M+350bps), 1/25/39, Callable 12/25/28 @ 100 | | | 1,192,957 | |
| | 1,230,000 | | | FS RIALTO, Class A, Series 2021-FL2, 1.33%(US0001M+122bps), 4/16/26, Callable 4/16/23 @ 100 | | | 1,227,566 | |
| | 4,345,000 | | | GCAT Trust, Class A1, Series 2021-NQM7, 1.92%, 8/25/66, Callable 1/25/22 @ 100(a)(b) | | | 4,345,953 | |
| | 1,525,000 | | | IMT Trust, Class BFX, Series 2017-APTS, 3.50%, 6/15/34(a)(b) | | | 1,573,739 | |
| | 585,836 | | | JP Morgan Chase Commercial Mortgage Securities Corp., Class A, Series 2021-MHC, 0.91%(US0001M+80bps), 4/15/38(a) | | | 584,742 | |
| | 3,660,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2021-NYAH, 0.87%(US0001M+76bps), 6/15/38 | | | 3,650,871 | |
| | 718,625 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-INV2, 1.00%(US0001M+90bps), 2/25/50, Callable 10/25/23 @ 100(a) | | | 719,416 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 271,883 | | | JP Morgan Mortgage Trust, Class A11, Series 2020-LTV1, 1.09%(US0001M+100bps), 6/25/50, Callable 2/25/23 @ 100(a) | | $ | 271,981 | |
| | 634,538 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-INV3, 1.09%(US0001M+100bps), 5/25/50, Callable 7/25/24 @ 100(a) | | | 635,116 | |
| | 508,852 | | | JP Morgan Mortgage Trust, Class A5, Series 2019-LTV3, 3.50%, 2/25/50, Callable 12/25/22 @ 100(a)(b) | | | 512,045 | |
| | 380,505 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-LTV3, 0.94%(US0001M+85bps), 2/25/50, Callable 12/25/22 @ 100(a) | | | 380,783 | |
| | 234,277 | | | JP Morgan Mortgage Trust, Class A11, Series 2019-7, 1.00%(US0001M+90bps), 2/25/50, Callable 12/25/22 @ 100(a) | | | 234,502 | |
| | 700,000 | | | JPMDB Commercial Mortgage Securities Trust, Class A5, Series 2017-C5, 3.69%, 3/15/50, Callable 1/15/27 @ 100 | | | 756,945 | |
| | 842,619 | | | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4FX, Series 2012-CBX, 3.48%, 6/15/45, Callable 6/15/22 @ 100(a) | | | 846,192 | |
| | 2,904,000 | | | KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 0.91%(US0001M+80bps), 5/15/36(a) | | | 2,900,777 | |
| | 1,530,000 | | | Life Mortgage Trust, Class A, Series 2021-BMR, 0.81%(US0001M+70bps), 3/15/38(a) | | | 1,518,540 | |
| | 1,875,000 | | | LoanCore Issuer, Ltd., Class A, Series 2021-CRE6, 1.41%(US0001M+130bps), 11/15/38, Callable 11/15/23 @ 100(a) | | | 1,873,847 | |
| | 630,000 | | | MF1, Class A, Series 2021-W10, 1.12%(SOFR30A+107bps), 12/15/34(a) | | | 629,458 | |
| | 3,570,000 | | | MHP, Class A, Series 2021-STOR, 0.81%(US0001M+70bps), 7/15/38(a) | | | 3,552,896 | |
| | 1,279,462 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48, Callable 5/15/25 @ 100 | | | 1,342,719 | |
| | 1,563,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2019-NUGS, 2.45%(US0001M+95bps), 12/15/36(a) | | | 1,565,954 | |
| | 1,540,000 | | | Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49, Callable 10/15/26 @ 100 | | | 1,626,009 | |
| | 3,100,000 | | | Neuberger Berman Loan Advisers CLO 45, Ltd., Class A, Series 2021-45A, 1.25%(US0003M+113bps), 10/14/35, Callable 10/14/23 @ 100(a) | | | 3,097,261 | |
| | 1,200,000 | | | Octagon Investment Partners XVII, Ltd., Class A2R2, Series 2013-1A, 1.22%(US0003M+110bps), 1/25/31, Callable 1/25/22 @ 100(a) | | | 1,190,264 | |
| | 3,001,595 | | | One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%, 10/15/30(a)(b) | | | 3,170,044 | |
| | 1,510,000 | | | One New York Plaza Trust, Class A, Series 2020-1NYP, 1.06%(US0001M+95bps), 1/15/26(a) | | | 1,510,604 | |
| | 2,515,722 | | | PRKCM Trust, Class A1, Series 2021-AFC2, 2.07%, 11/25/56, Callable 7/25/28 @ 100(a)(b) | | | 2,512,254 | |
| | 1,250,000 | | | RR 3, Ltd., Class A1R2, Series 2018-3A, 1.21%(US0003M+109bps), 1/15/30, Callable 1/15/22 @ 100(a) | | | 1,248,968 | |
See accompanying notes to the financial statements.
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 1,853,947 | | | Seasoned Credit Risk Transfer Trust, Class MA, Series 2019-2, 3.50%, 8/25/58, Callable 2/25/44 @ 100 | | $ | 1,929,123 | |
| | 782,059 | | | Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 7/25/31 @ 100 | | | 805,291 | |
| | 125,000 | | | SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48, Callable 6/10/26 @ 100 | | | 129,776 | |
| | 1,000,000 | | | Signal Peak CLO 8, Ltd., Class A, Series 2020-8A, 1.40%(US0003M+127bps), 4/20/33, Callable 4/20/22 @ 100(a) | | | 1,001,005 | |
| | 388,839 | | | Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 1.15%(US0001M+75bps), 11/11/34(a) | | | 388,395 | |
| | 1,000,000 | | | Voya CLO, Ltd., Class A1R, Series 2017-3A, 1.17%(US0003M+104bps), 4/20/34, Callable 4/20/23 @ 100(a) | | | 992,919 | |
| | 8,980,590 | | | Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 0.84%, 12/15/59, Callable 8/15/26 @ 100(b) | | | 301,927 | |
| | 775,000 | | | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48, Callable 4/15/25 @ 100 | | | 820,555 | |
| | 1,015,000 | | | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48 | | | 1,088,638 | |
| | 940,000 | | | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2018-C46, 4.15%, 8/15/51 | | | 1,053,872 | |
| | 1,250,000 | | | Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48, Callable 4/15/25 @ 100 | | | 1,293,600 | |
| | 1,500,000 | | | Whitebox CLO III, Ltd., Class A1, Series 2021-3A, 1.34%(US0003M+122bps), 10/15/34, Callable 10/15/23 @ 100(a) | | | 1,501,594 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $160,583,349) | | | 160,922,221 | |
| | | | | |
| Corporate Bonds (24.0%): | | | |
| Aerospace & Defense (1.1%): | | | |
| | 2,642,000 | | | BAE Systems Holdings, Inc., 3.80%, 10/7/24(a) | | | 2,803,566 | |
| | 647,000 | | | BAE Systems Holdings, Inc., 3.85%, 12/15/25, Callable 9/15/25 @ 100(a) | | | 694,089 | |
| | 216,000 | | | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | | | 299,004 | |
| | 1,062,000 | | | General Dynamics Corp., 3.50%, 4/1/27, Callable 2/1/27 @ 100 | | | 1,155,287 | |
| | 1,020,000 | | | General Dynamics Corp., 3.75%, 5/15/28, Callable 2/15/28 @ 100 | | | 1,129,065 | |
| | 1,249,000 | | | Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | | | 1,404,773 | |
| | 378,000 | | | Huntington Ingalls Industries, Inc., 3.84%, 5/1/25, Callable 4/1/25 @ 100 | | | 400,672 | |
| | 821,000 | | | Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100 | | | 869,234 | |
| | 1,197,000 | | | Huntington Ingalls Industries, Inc., 2.04%, 8/16/28, Callable 6/16/28 @ 100(a) | | | 1,171,676 | |
| | 1,315,000 | | | L3Harris Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100 | | | 1,427,813 | |
| | 1,383,000 | | | L3Harris Technologies, Inc., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | | | 1,550,203 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Aerospace & Defense, continued | | | |
| $ | 391,000 | | | Lockheed Martin Corp., Series B, 6.15%, 9/1/36 | | $ | 549,498 | |
| | 1,051,000 | | | Lockheed Martin Corp., 3.80%, 3/1/45, Callable 9/1/44 @ 100 | | | 1,206,665 | |
| | 325,000 | | | Lockheed Martin Corp., 4.09%, 9/15/52, Callable 3/15/52 @ 100 | | | 402,054 | |
| | 2,256,000 | | | Northrop Grumman Corp., 2.93%, 1/15/25, Callable 11/15/24 @ 100 | | | 2,352,821 | |
| | 214,000 | | | Northrop Grumman Corp., 4.75%, 6/1/43 | | | 270,845 | |
| | 217,000 | | | Northrop Grumman Corp., 3.85%, 4/15/45, Callable 10/15/44 @ 100 | | | 246,385 | |
| | 1,503,000 | | | Northrop Grumman Corp., 4.03%, 10/15/47, Callable 4/15/47 @ 100 | | | 1,778,150 | |
| | 115,000 | | | Raytheon Technologies Corp., 7.00%, 11/1/28 | | | 146,775 | |
| | 2,427,000 | | | Raytheon Technologies Corp., 4.13%, 11/16/28, Callable 8/16/28 @ 100 | | | 2,714,337 | |
| | 559,000 | | | Raytheon Technologies Corp., 2.15%, 5/18/30, Callable 2/18/30 @ 100 | | | 697,905 | |
| | 415,000 | | | Raytheon Technologies Corp., 4.20%, 12/15/44, Callable 6/15/44 @ 100 | | | 468,857 | |
| | 709,000 | | | Raytheon Technologies Corp., 4.35%, 4/15/47, Callable 10/15/46 @ 100 | | | 862,283 | |
| | 1,426,000 | | | Raytheon Technologies Corp., 4.63%, 11/16/48, Callable 5/16/48 @ 100 | | | 1,826,325 | |
| | 10,000 | | | Raytheon Technologies Corp., 2.82%, 9/1/51, Callable 3/1/51 @ 100 | | | 9,691 | |
| | 875,000 | | | Raytheon Technologies Corp., 3.03%, 3/15/52, Callable 9/15/51 @ 100 | | | 879,550 | |
| | 264,000 | | | Textron, Inc., 3.65%, 3/15/27, Callable 12/15/26 @ 100 | | | 283,554 | |
| | 1,098,000 | | | Textron, Inc., 3.90%, 9/17/29, Callable 6/17/29 @ 100 | | | 1,204,251 | |
| | | | | | | | |
| | | | | | | 28,805,328 | |
| | | | | | | | |
| Air Freight & Logistics (0.2%): | | | |
| | 620,000 | | | FedEx Corp., 0.45%, 5/4/29, Callable 2/4/29 @ 100 | | | 693,679 | |
| | 2,502,000 | | | FedEx Corp., 4.25%, 5/15/30, Callable 2/15/30 @ 100 | | | 2,847,364 | |
| | 2,000 | | | FedEx Corp., 4.90%, 1/15/34 | | | 2,418 | |
| | 695,000 | | | United Parcel Service, Inc., 0.38%, 11/15/23, Callable 8/15/23 @ 100 | | | 799,420 | |
| | 1,246,000 | | | United Parcel Service, Inc., 3.40%, 3/15/29, Callable 12/15/28 @ 100 | | | 1,360,531 | |
| | 384,000 | | | United Parcel Service, Inc., 4.45%, 4/1/30, Callable 1/1/30 @ 100 | | | 451,542 | |
| | | | | | | | |
| | | | | | | 6,154,954 | |
| | | | | | | | |
| Airlines (0.3%): | | | |
| | 869,401 | | | American Airlines Pass Through Trust, Series 2015-2, Class B, 4.40%, 3/22/25 | | | 857,629 | |
| | 319,624 | | | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.25%, 7/15/25 | | | 316,428 | |
| | 74,538 | | | American Airlines Pass Through Trust, Series 2017-1, Class B, 4.95%, 8/15/26 | | | 73,140 | |
| | 490,274 | | | American Airlines Pass Through Trust, Series 2015-2, Class AA, 3.60%, 3/22/29 | | | 502,199 | |
| | 207,180 | | | American Airlines Pass Through Trust, Series 2016-2, Class AA, 3.20%, 12/15/29 | | | 206,900 | |
See accompanying notes to the financial statements.
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Airlines, continued | | | |
| $ | 411,386 | | | American Airlines Pass Through Trust, Series 2016-3, Class AA, 3.00%, 4/15/30 | | $ | 411,831 | |
| | 169,531 | | | American Airlines Pass Through Trust, Series 2017-1, Class AA, 3.65%, 8/15/30 | | | 176,549 | |
| | 675,256 | | | American Airlines Pass Through Trust, Series 2019-1, 3.15%, 8/15/33 | | | 679,893 | |
| | 420,000 | | | Delta Airlines Pass Through Trust, Series 2019-1, Class AA, 3.20%, 10/25/25 | | | 432,980 | |
| | 122,000 | | | Southwest Airlines Co., 2.75%, 11/16/22, Callable 10/16/22 @ 100 | | | 123,586 | |
| | 8,234 | | | United Airlines Pass Through Trust, Series 2014-1, Class B, 4.75%, 10/11/23 | | | 8,284 | |
| | 44,912 | | | United Airlines Pass Through Trust, Series 2014-2, Class B, 4.63%, 3/3/24 | | | 45,188 | |
| | 6,574 | | | United Airlines Pass Through Trust, Series 2016-2, Class B, 3.65%, 4/7/27 | | | 6,514 | |
| | 269,404 | | | United Airlines Pass Through Trust, Series 2018-1, Class B, 4.60%, 9/1/27 | | | 272,773 | |
| | 1,174,290 | | | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29 | | | 1,282,912 | |
| | 11,011 | | | United Airlines Pass Through Trust, Series 2015-1, Class AA, 3.45%, 6/1/29 | | | 11,481 | |
| | 386,041 | | | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.50%, 11/1/29 | | | 381,285 | |
| | 45,758 | | | United Airlines Pass Through Trust, Series 2016-2, Class AA, 3.10%, 1/7/30 | | | 46,673 | |
| | 177,424 | | | United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.88%, 4/7/30 | | | 179,038 | |
| | 214,670 | | | United Airlines Pass Through Trust, Series 2018-1, Class AA, 3.50%, 9/1/31 | | | 223,119 | |
| | 344,172 | | | United Airlines Pass Through Trust, Series 2016-1, Class AA, 4.15%, 2/25/33 | | | 375,469 | |
| | 472,467 | | | United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.70%, 11/1/33 | | | 467,195 | |
| | | | | | | | |
| | | | | | | 7,081,066 | |
| | | | | | | | |
| Auto Components (0.0%†): | | | |
| | 520,000 | | | BorgWarner, Inc., 1.00%, 5/19/31, Callable 2/19/31 @ 100 | | | 581,748 | |
| | | | | | | | |
| Automobiles (0.2%): | | | |
| | 687,000 | | | Daimler Finance North America LLC, 3.40%, 2/22/22(a) | | | 689,740 | |
| | 1,577,000 | | | Daimler Finance North America LLC, 2.13%, 3/10/25(a) | | | 1,607,165 | |
| | 1,263,000 | | | Daimler Finance North America LLC, 3.30%, 5/19/25(a) | | | 1,333,674 | |
| | 150,000 | | | Daimler Finance North America LLC, 3.50%, 8/3/25(a) | | | 159,928 | |
| | 1,017,000 | | | Daimler Finance North America LLC, 1.45%, 3/2/26(a) | | | 1,007,162 | |
| | 534,000 | | | Nissan Motor Acceptance Co. LLC, 2.45%, 9/15/28, Callable 7/15/28 @ 100(a) | | | 521,102 | |
| | | | | | | | |
| | | | | | | 5,318,771 | |
| | | | | | | | |
| Banks (3.7%): | | | |
| | 3,067,000 | | | Bank of America Corp., 3.55% (US0003M+78 bps), 3/5/24, Callable 3/5/23 @ 100 | | | 3,154,437 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 1,283,000 | | | Bank of America Corp., 4.00%, 1/22/25, MTN | | $ | 1,369,491 | |
| | 913,000 | | | Bank of America Corp., Series L, 3.95%, 4/21/25 | | | 976,828 | |
| | 2,857,000 | | | Bank of America Corp., 0.98% (SOFR+69 bps), 4/22/25, Callable 4/22/24 @ 100 | | | 2,834,458 | |
| | 1,683,000 | | | Bank of America Corp., 3.37% (US0003M+81 bps), 1/23/26, Callable 1/23/25 @ 100 | | | 1,771,257 | |
| | 597,000 | | | Bank of America Corp., 2.01% (US0003M+64 bps), 2/13/26, Callable 2/13/25 @ 100, MTN | | | 604,380 | |
| | 748,000 | | | Bank of America Corp., Series G, 4.45%, 3/3/26 | | | 823,526 | |
| | 6,244,000 | | | Bank of America Corp., 1.32% (SOFR+115 bps), 6/19/26, Callable 6/19/25 @ 100, MTN | | | 6,180,511 | |
| | 6,920,000 | | | Bank of America Corp., 1.20% (SOFR+101 bps), 10/24/26, Callable 10/24/25 @ 100, MTN | | | 6,779,690 | |
| | 6,098,000 | | | Bank of America Corp., 3.56% (US0003M+106 bps), 4/23/27, Callable 4/23/26 @ 100, MTN | | | 6,515,963 | |
| | 1,447,000 | | | Bank of America Corp., 1.73% (SOFR+96 bps), 7/22/27, Callable 7/22/26 @ 100 | | | 1,438,186 | |
| | 2,767,000 | | | Bank of America Corp., 3.82% (US0003M+158 bps), 1/20/28, Callable 1/20/27 @ 100, MTN | | | 2,995,125 | |
| | 556,000 | | | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | | | 594,042 | |
| | 821,000 | | | Bank of America Corp., 3.97% (US0003M+107 bps), 3/5/29, Callable 3/5/28 @ 100, MTN | | | 898,799 | |
| | 1,535,000 | | | Bank of America Corp., 4.27% (US0003M+131 bps), 7/23/29, Callable 7/23/28 @ 100 | | | 1,711,025 | |
| | 735,000 | | | Bank of America Corp., 3.97% (US0003M+121 bps), 2/7/30, Callable 2/7/29 @ 100, MTN | | | 809,382 | |
| | 1,510,000 | | | Bank of America Corp., 3.19% (US0003M+118 bps), 7/23/30, Callable 7/23/29 @ 100, MTN | | | 1,591,351 | |
| | 6,772,000 | | | Bank of America Corp., 2.88% (US0003M+119 bps), 10/22/30, Callable 10/22/29 @ 100, MTN | | | 6,991,758 | |
| | 472,000 | | | Bank of America Corp., 2.50% (US0003M+99 bps), 2/13/31, Callable 2/13/30 @ 100, MTN | | | 473,427 | |
| | 793,000 | | | Bank of America Corp., 2.59% (SOFR+215 bps), 4/29/31, Callable 4/29/30 @ 100 | | | 800,211 | |
| | 295,000 | | | Bank of America Corp., 1.90% (SOFR+153 bps), 7/23/31, Callable 7/23/30 @ 100, MTN | | | 282,406 | |
| | 860,000 | | | Bank of America Corp., 1.92% (SOFR+137 bps), 10/24/31, Callable 10/24/30 @ 100, MTN | | | 822,129 | |
| | 580,000 | | | Bank of America Corp., 0.65% (EUR003M+94 bps), 10/26/31, Callable 10/26/30 @ 100, MTN(a) | | | 642,514 | |
| | 2,208,000 | | | Bank of America Corp., 4.08% (US0003M+132 bps), 4/23/40, Callable 4/23/39 @ 100, MTN | | | 2,538,259 | |
| | 1,180,000 | | | Bank of America Corp., 2.68% (SOFR+193 bps), 6/19/41, Callable 6/19/40 @ 100, MTN | | | 1,137,436 | |
| | 905,000 | | | Bank of America Corp., 5.87% (US0003M+293 bps), 12/31/99, Callable 3/15/28 @ 100 | | | 1,009,075 | |
| | 5,943,000 | | | Citigroup, Inc., 3.98% (US0003M+134 bps), 3/20/30, Callable 3/20/29 @ 100 | | | 6,558,630 | |
| | 4,621,000 | | | Citigroup, Inc., 2.98% (SOFR+142 bps), 11/5/30, Callable 11/5/29 @ 100 | | | 4,804,532 | |
| | 479,000 | | | Citigroup, Inc., 2.57% (SOFR+211 bps), 6/3/31, Callable 6/3/30 @ 100 | | | 482,709 | |
| | 480,000 | | | Citigroup, Inc., 4.00% (H15T5Y+4 bps), 12/31/99, Callable 12/10/25 @ 100 | | | 483,720 | |
See accompanying notes to the financial statements.
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 210,000 | | | JPMorgan Chase & Co., 4.02% (US0003M+100 bps), 12/5/24, Callable 12/5/23 @ 100 | | $ | 221,362 | |
| | 309,000 | | | JPMorgan Chase & Co., 3.90%, 7/15/25, Callable 4/15/25 @ 100 | | | 332,682 | |
| | 182,000 | | | JPMorgan Chase & Co., 2.30% (SOFR+116 bps), 10/15/25, Callable 10/15/24 @ 100 | | | 186,075 | |
| | 1,385,000 | | | JPMorgan Chase & Co., 2.00% (SOFR+159 bps), 3/13/26, Callable 3/13/25 @ 100 | | | 1,402,940 | |
| | 2,000 | | | JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100 | | | 2,124 | |
| | 2,230,000 | | | JPMorgan Chase & Co., 3.96% (US0003M+125 bps), 1/29/27, Callable 1/29/26 @ 100 | | | 2,414,379 | |
| | 2,697,000 | | | JPMorgan Chase & Co., 1.58% (SOFR+89 bps), 4/22/27, Callable 4/22/26 @ 100 | | | 2,669,164 | |
| | 5,311,000 | | | JPMorgan Chase & Co., 3.78% (US0003M+134 bps), 2/1/28, Callable 2/1/27 @ 100 | | | 5,753,406 | |
| | 1,750,000 | | | JPMorgan Chase & Co., 4.01% (US0003M+112 bps), 4/23/29, Callable 4/23/28 @ 100 | | | 1,931,557 | |
| | 1,318,000 | | | JPMorgan Chase & Co., 3.70% (US0003M+116 bps), 5/6/30, Callable 5/6/29 @ 100 | | | 1,435,531 | |
| | 977,000 | | | JPMorgan Chase & Co., 2.74% (SOFR+151 bps), 10/15/30, Callable 10/15/29 @ 100 | | | 1,003,268 | |
| | 1,346,000 | | | JPMorgan Chase & Co., 3.11% (SOFR+246 bps), 4/22/41, Callable 4/22/40 @ 100 | | | 1,396,534 | |
| | 1,468,000 | | | JPMorgan Chase & Co., 4.26% (US0003M+158 bps), 2/22/48, Callable 2/22/47 @ 100 | | | 1,802,173 | |
| | 400,000 | | | JPMorgan Chase & Co., 4.03% (US0003M+146 bps), 7/24/48, Callable 7/24/47 @ 100 | | | 475,370 | |
| | 381,000 | | | JPMorgan Chase & Co., 3.96% (US0003M+138 bps), 11/15/48, Callable 11/15/47 @ 100 | | | 447,722 | |
| | 254,000 | | | JPMorgan Chase & Co., 3.90% (US0003M+122 bps), 1/23/49, Callable 1/23/48 @ 100 | | | 295,118 | |
| | 105,000 | | | Synovus Financial Corp., 3.13%, 11/1/22, Callable 10/1/22 @ 100 | | | 106,623 | |
| | 1,676,000 | | | Wells Fargo & Co., 3.00%, 2/19/25 | | | 1,747,776 | |
| | 290,000 | | | Wells Fargo & Co., 1.34% (EUR003M+167 bps), 5/4/25, Callable 5/4/24 @ 100, MTN(a) | | | 339,451 | |
| | 2,090,000 | | | Wells Fargo & Co., 3.58% (US0003M+131 bps), 5/22/28, Callable 5/22/27 @ 100, MTN | | | 2,247,331 | |
| | 2,835,000 | | | Wells Fargo & Co., 2.88% (US0003M+117 bps), 10/30/30, Callable 10/30/29 @ 100, MTN | | | 2,948,114 | |
| | 331,000 | | | Wells Fargo & Co., 5.38%, 2/7/35 | | | 434,055 | |
| | 1,308,000 | | | Wells Fargo & Co., 3.07% (SOFR+253 bps), 4/30/41, Callable 4/30/40 @ 100 | | | 1,341,736 | |
| | | | | | | | |
| | | | | | | 99,009,748 | |
| | | | | | | | |
| Beverages (0.4%): | | | |
| | 7,123,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | | | 8,594,576 | |
| | 1,258,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46, Callable 8/1/45 @ 100 | | | 1,594,781 | |
| | 275,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48, Callable 10/15/47 @ 100 | | | 337,140 | |
| | 490,000 | | | Coca-Cola Co. (The), 1.00%, 3/9/41 | | | 539,004 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Beverages, continued | | | |
| $ | 923,000 | | | Keurig Dr Pepper, Inc., 3.20%, 5/1/30, Callable 2/1/30 @ 100 | | $ | 976,253 | |
| | | | | | | | |
| | | | | | | 12,041,754 | |
| | | | | | | | |
| Biotechnology (0.4%): | | | |
| | 160,000 | | | AbbVie, Inc., 1.38%, 5/17/24, Callable 2/17/24 @ 100 | | | 187,558 | |
| | 140,000 | | | AbbVie, Inc., 1.25%, 6/1/24, Callable 3/1/24 @ 100 | | | 163,804 | |
| | 2,680,000 | | | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | | | 3,191,768 | |
| | 1,789,000 | | | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | | | 2,139,057 | |
| | 864,000 | | | AbbVie, Inc., 4.63%, 10/1/42, Callable 4/1/42 @ 100 | | | 1,052,361 | |
| | 672,000 | | | Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100 | | | 803,140 | |
| | 612,000 | | | Amgen, Inc., 4.56%, 6/15/48, Callable 12/15/47 @ 100 | | | 759,346 | |
| | 700,000 | | | Biogen, Inc., 3.15%, 5/1/50, Callable 11/1/49 @ 100 | | | 684,494 | |
| | 1,178,000 | | | Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100 | | | 1,495,199 | |
| | 464,000 | | | Gilead Sciences, Inc., 4.75%, 3/1/46, Callable 9/1/45 @ 100 | | | 589,871 | |
| | | | | | | | |
| | | | | | | 11,066,598 | |
| | | | | | | | |
| Building Products (0.0%†): | | | |
| | 897,000 | | | Carrier Global Corp., 2.24%, 2/15/25, Callable 1/15/25 @ 100 | | | 917,415 | |
| | | | | | | | |
| Capital Markets (2.5%): | | | |
| | 2,221,000 | | | Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100 | | | 2,353,882 | |
| | 1,042,000 | | | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | | | 1,098,348 | |
| | 704,000 | | | Ares Capital Corp., 2.15%, 7/15/26, Callable 6/15/26 @ 100 | | | 694,761 | |
| | 370,000 | | | Bank of New York Mellon Corp. (The), 4.62% (US0003M+313 bps), 12/29/49, Callable 9/20/26 @ 100 | | | 390,861 | |
| | 1,150,000 | | | Bank of New York Mellon Corp. (The), 3.70% (H15T5Y+335 bps), 12/31/99, Callable 3/20/26 @ 100 | | | 1,177,312 | |
| | 1,578,000 | | | Blackstone Private Credit Fund, 3.25%, 3/15/27, Callable 2/15/27 @ 100(a) | | | 1,591,774 | |
| | 1,435,000 | | | Charles Schwab Corp. (The), Series E, 4.62% (US0003M+332 bps), 12/29/49, Callable 3/1/22 @ 100 | | | 1,438,587 | |
| | 3,115,000 | | | Charles Schwab Corp. (The), 4.00% (H15T5Y+317 bps), 12/31/99, Callable 6/1/26 @ 100 | | | 3,185,087 | |
| | 1,460,000 | | | Goldman Sachs Group, Inc. (The), 0.00% (EUR003M+55 bps), 4/21/23, Callable 4/21/22 @ 100, MTN(a) | | | 1,663,702 | |
| | 7,530,000 | | | Goldman Sachs Group, Inc. (The), 3.50%, 4/1/25, Callable 3/1/25 @ 100 | | | 7,950,806 | |
| | 1,633,000 | | | Goldman Sachs Group, Inc. (The), 3.75%, 5/22/25, Callable 2/22/25 @ 100 | | | 1,738,796 | |
See accompanying notes to the financial statements.
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Capital Markets, continued | | | |
| $ | 730,000 | | | Goldman Sachs Group, Inc. (The), 0.86% (SOFR+61 bps), 2/12/26, Callable 2/12/25 @ 100 | | $ | 714,080 | |
| | 849,000 | | | Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26, Callable 11/25/25 @ 100 | | | 912,604 | |
| | 1,234,000 | | | Goldman Sachs Group, Inc. (The), 1.33% (US0003M+117 bps), 5/15/26, Callable 5/15/25 @ 100 | | | 1,254,240 | |
| | 2,302,000 | | | Goldman Sachs Group, Inc. (The), 4.41% (US0003M+143 bps), 4/23/39, Callable 4/23/38 @ 100 | | | 2,748,489 | |
| | 1,581,000 | | | Goldman Sachs Group, Inc. (The), 6.25%, 2/1/41 | | | 2,294,099 | |
| | 347,000 | | | Goldman Sachs Group, Inc. (The), 3.21% (SOFR+151 bps), 4/22/42, Callable 4/22/41 @ 100 | | | 360,772 | |
| | 309,000 | | | Goldman Sachs Group, Inc. (The), 2.91% (SOFR+147 bps), 7/21/42, Callable 7/21/41 @ 100 | | | 307,426 | |
| | 992,000 | | | Intercontinental Exchange, Inc., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 984,229 | |
| | 683,000 | | | Moody’s Corp., 3.10%, 11/29/61, Callable 5/29/61 @ 100 | | | 677,458 | |
| | 3,423,000 | | | Morgan Stanley, 3.63%, 1/20/27 | | | 3,704,182 | |
| | 9,921,000 | | | Morgan Stanley, 1.59% (SOFR+88 bps), 5/4/27, Callable 5/4/26 @ 100 | | | 9,813,853 | |
| | 4,744,000 | | | Morgan Stanley, 3.59% (US0003M+134 bps), 7/22/28, Callable 7/22/27 @ 100 | | | 5,110,536 | |
| | 1,102,000 | | | Morgan Stanley, 3.77% (US0003M+114 bps), 1/24/29, Callable 1/24/28 @ 100 | | | 1,198,315 | |
| | 1,564,000 | | | Morgan Stanley, Series G, 4.43% (US0003M+163 bps), 1/23/30, Callable 1/23/29 @ 100, MTN | | | 1,777,680 | |
| | 6,959,000 | | | Morgan Stanley, 2.70% (SOFR+114 bps), 1/22/31, Callable 1/22/30 @ 100, MTN | | | 7,122,864 | |
| | 552,000 | | | Morgan Stanley, 1.79% (SOFR+1 bps), 2/13/32, Callable 2/13/31 @ 100, MTN | | | 521,525 | |
| | 1,111,000 | | | Morgan Stanley, 3.97% (US0003M+146 bps), 7/22/38, Callable 7/22/37 @ 100 | | | 1,264,469 | |
| | 196,000 | | | State Street Corp., 2.90% (SOFR+3 bps), 3/30/26, Callable 3/30/25 @ 100 | | | 205,398 | |
| | 661,000 | | | State Street Corp., Series F, 3.80% (US0003M+360 bps), Callable 3/15/22 @ 100 | | | 664,305 | |
| | 1,415,000 | | | State Street Corp., Series H, 5.63% (US0003M+254 bps), 12/31/99, Callable 12/15/23 @ 100 | | | 1,464,525 | |
| | | | | | | | |
| | | | | | | 66,384,965 | |
| | | | | | | | |
| Chemicals (0.3%): | | | |
| | 570,000 | | | Air Products and Chemicals, Inc., 2.80%, 5/15/50, Callable 11/15/49 @ 100 | | | 582,456 | |
| | 503,000 | | | Dow Chemical Co. (The), 1.13%, 3/15/32, Callable 12/15/31 @ 100 | | | 571,421 | |
| | 565,000 | | | Dow Chemical Co. (The), 5.55%, 11/30/48, Callable 5/30/48 @ 100 | | | 796,010 | |
| | 3,116,000 | | | DowDuPont, Inc., 4.49%, 11/15/25, Callable 9/15/25 @ 100 | | | 3,435,561 | |
| | 65,000 | | | Ecolab, Inc., 2.70%, 12/15/51, Callable 6/15/51 @ 100 | | | 64,160 | |
| | 635,000 | | | Ecolab, Inc., 2.75%, 8/18/55, Callable 2/18/55 @ 100 | | | 624,192 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Chemicals, continued | | | |
| $ | 663,000 | | | LYB International Finance III LLC, 4.20%, 5/1/50, Callable 11/1/49 @ 100 | | $ | 763,070 | |
| | 353,000 | | | Sherwin-Williams Co. (The), 4.50%, 6/1/47, Callable 12/1/46 @ 100 | | | 439,211 | |
| | 493,000 | | | Westlake Chemical Corp., 3.38%, 8/15/61, Callable 2/15/61 @ 100 | | | 475,763 | |
| | | | | | | | |
| | | | | | | 7,751,844 | |
| | | | | | | | |
| Commercial Services & Supplies (0.0%†): | | | |
| | 640,000 | | | Republic Services, Inc., 2.38%, 3/15/33, Callable 12/15/32 @ 100 | | | 636,810 | |
| | 472,000 | | | Waste Management, Inc., 2.00%, 6/1/29, Callable 4/1/29 @ 100^ | | | 469,222 | |
| | 107,000 | | | Waste Management, Inc., 2.95%, 6/1/41, Callable 12/1/40 @ 100 | | | 111,037 | |
| | | | | | | | |
| | | | | | | 1,217,069 | |
| | | | | | | | |
| Communications Equipment (0.2%): | | | |
| | 1,085,000 | | | Motorola Solutions, Inc., 4.60%, 2/23/28, Callable 11/23/27 @ 100 | | | 1,225,565 | |
| | 1,662,000 | | | Motorola Solutions, Inc., 4.60%, 5/23/29, Callable 2/23/29 @ 100 | | | 1,890,791 | |
| | 756,000 | | | Motorola Solutions, Inc., 2.30%, 11/15/30, Callable 8/15/30 @ 100 | | | 731,888 | |
| | 1,822,000 | | | Motorola Solutions, Inc., 2.75%, 5/24/31, Callable 2/24/31 @ 100 | | | 1,823,363 | |
| | 27,000 | | | Motorola Solutions, Inc., 5.50%, 9/1/44 | | | 35,323 | |
| | | | | | | | |
| | | | | | | 5,706,930 | |
| | | | | | | | |
| Consumer Finance (0.5%): | | | |
| | 740,000 | | | American Honda Finance Corp., 1.38%, 11/10/22 | | | 854,703 | |
| | 110,000 | | | American Honda Finance Corp., 0.55%, 3/17/23 | | | 126,405 | |
| | 1,000,000 | | | Capital One Financial Corp., 1.65%, 6/12/29 | | | 1,189,543 | |
| | 1,394,000 | | | General Motors Financial Co., Inc., 4.00%, 1/15/25, Callable 10/15/24 @ 100 | | | 1,483,090 | |
| | 2,801,000 | | | General Motors Financial Co., Inc., 4.35%, 4/9/25, Callable 2/9/25 @ 100 | | | 3,019,436 | |
| | 1,420,000 | | | Hyundai Capital America, 3.95%, 2/1/22(a) | | | 1,422,799 | |
| | 2,065,000 | | | Hyundai Capital America, 2.38%, 2/10/23(a) | | | 2,094,119 | |
| | 1,274,000 | | | Toyota Motor Credit Corp., 3.00%, 4/1/25, MTN | | | 1,339,334 | |
| | 1,166,000 | | | Toyota Motor Credit Corp., 0.80%, 1/9/26, MTN^ | | | 1,134,902 | |
| | | | | | | | |
| | | | | | | 12,664,331 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 1,876,000 | | | Amcor Flexibles North America, Inc., 2.69%, 5/25/31, Callable 2/25/31 @ 100 | | | 1,895,949 | |
| | 349,000 | | | International Paper Co., 4.80%, 6/15/44, Callable 12/15/43 @ 100 | | | 442,376 | |
| | 239,000 | | | Packaging Corp. of America, 3.05%, 10/1/51, Callable 4/1/51 @ 100 | | | 238,946 | |
| | | | | | | | |
| | | | | | | 2,577,271 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 145,000 | | | California Institute of Technology, 4.32%, 8/1/45 | | | 186,866 | |
| | 360,000 | | | Massachusetts Institute of Technology, 4.68%, 7/1/14 | | | 532,802 | |
| | | | | | | | |
| | | | | | | 719,668 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Financial Services (0.3%): | | | |
| $ | 1,000,000 | | | BP Capital Markets America, Inc., 3.00%, 3/17/52, Callable 9/17/51 @ 100 | | $ | 981,091 | |
| | 267,000 | | | DAE Funding LLC, 3.38%, 3/20/28, Callable 1/20/28 @ 100(a) | | | 270,004 | |
| | 3,284,000 | | | Glencore Funding LLC, 1.63%, 4/27/26, Callable 3/27/26 @ 100(a) | | | 3,224,425 | |
| | 1,032,000 | | | Glencore Funding LLC, 2.50%, 9/1/30, Callable 6/1/30 @ 100(a) | | | 999,951 | |
| | 536,000 | | | Glencore Funding LLC, 2.85%, 4/27/31, Callable 1/27/31 @ 100(a) | | | 530,871 | |
| | 644,000 | | | Glencore Funding LLC, 2.63%, 9/23/31, Callable 6/23/31 @ 100(a) | | | 624,388 | |
| | 331,000 | | | Glencore Funding LLC, 3.38%, 9/23/51, Callable 3/23/51 @ 100(a) | | | 318,751 | |
| | | | | | | | |
| | | | | | | 6,949,481 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.6%): | | | |
| | 2,000,000 | | | AT&T, Inc., 0.88%, 11/27/22(a)(c) | | | 1,983,900 | |
| | 425,000 | | | AT&T, Inc., 2.30%, 6/1/27, Callable 4/1/27 @ 100 | | | 432,455 | |
| | 435,000 | | | AT&T, Inc., 1.65%, 2/1/28, Callable 12/1/27 @ 100 | | | 425,643 | |
| | 375,000 | | | AT&T, Inc., 4.10%, 2/15/28, Callable 11/15/27 @ 100 | | | 416,722 | |
| | 1,173,000 | | | AT&T, Inc., 4.35%, 3/1/29, Callable 12/1/28 @ 100 | | | 1,319,054 | |
| | 2,753,000 | | | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | | | 3,100,610 | |
| | 935,000 | | | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | | | 1,080,970 | |
| | 930,000 | | | AT&T, Inc., 5.25%, 3/1/37, Callable 9/1/36 @ 100 | | | 1,152,518 | |
| | 490,000 | | | AT&T, Inc., 2.60%, 5/19/38, Callable 11/19/37 @ 100 | | | 624,204 | |
| | 694,000 | | | AT&T, Inc., 4.90%, 6/15/42 | | | 822,364 | |
| | 406,000 | | | AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100 | | | 457,807 | |
| | 1,116,000 | | | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100 | | | 1,340,939 | |
| | 602,000 | | | AT&T, Inc., 4.50%, 3/9/48, Callable 9/9/47 @ 100 | | | 706,170 | |
| | 1,808,000 | | | AT&T, Inc., 5.15%, 2/15/50, Callable 8/14/49 @ 100 | | | 2,322,506 | |
| | 786,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | | | 812,884 | |
| | 1,505,000 | | | AT&T, Inc., 3.50%, 2/1/61, Callable 8/1/60 @ 100 | | | 1,467,979 | |
| | 289,000 | | | Verizon Communications, Inc., 4.13%, 3/16/27 | | | 321,076 | |
| | 276,000 | | | Verizon Communications, Inc., 3.00%, 3/22/27, Callable 1/22/27 @ 100 | | | 291,196 | |
| | 3,288,000 | | | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | | | 3,291,397 | |
| | 807,000 | | | Verizon Communications, Inc., 4.33%, 9/21/28 | | | 915,568 | |
| | 3,102,000 | | | Verizon Communications, Inc., 4.02%, 12/3/29, Callable 9/3/29 @ 100 | | | 3,480,757 | |
| | 5,577,000 | | | Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100 | | | 5,892,050 | |
| | 466,000 | | | Verizon Communications, Inc., 1.50%, 9/18/30, Callable 6/18/30 @ 100 | | | 437,864 | |
| | 1,836,000 | | | Verizon Communications, Inc., 1.68%, 10/30/30, Callable 7/30/30 @ 100 | | | 1,741,584 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| $ | 1,673,000 | | | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | | $ | 1,686,372 | |
| | 3,900,000 | | | Verizon Communications, Inc., 2.65%, 11/20/40, Callable 5/20/40 @ 100 | | | 3,685,566 | |
| | 1,122,000 | | | Verizon Communications, Inc., 4.86%, 8/21/46 | | | 1,451,353 | |
| | 221,000 | | | Verizon Communications, Inc., 2.99%, 10/30/56, Callable 4/30/56 @ 100 | | | 206,911 | |
| | 417,000 | | | Verizon Communications, Inc., 3.00%, 11/20/60, Callable 5/20/60 @ 100 | | | 393,307 | |
| | | | | | | | |
| | | | | | | 42,261,726 | |
| | | | | | | | |
| Electric Utilities (2.2%): | | | |
| | 430,000 | | | AEP Texas, Inc., 2.40%, 10/1/22, Callable 9/1/22 @ 100 | | | 434,261 | |
| | 527,000 | | | AEP Texas, Inc., Series H, 3.45%, 1/15/50, Callable 7/15/49 @ 100 | | | 540,495 | |
| | 1,185,000 | | | AEP Texas, Inc., 3.45%, 5/15/51, Callable 11/15/50 @ 100 | | | 1,220,418 | |
| | 221,000 | | | AEP Transmission Co. LLC, 3.75%, 12/1/47, Callable 6/1/47 @ 100 | | | 244,944 | |
| | 565,000 | | | AEP Transmission Co. LLC, 3.15%, 9/15/49, Callable 3/15/49 @ 100 | | | 580,218 | |
| | 780,000 | | | AEP Transmission Co. LLC, 2.75%, 8/15/51, Callable 2/15/51 @ 100 | | | 745,418 | |
| | 1,044,000 | | | Alabama Power Co., 3.45%, 10/1/49, Callable 4/1/49 @ 100 | | | 1,113,100 | |
| | 819,000 | | | American Transmission Systems, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100(a) | | | 828,449 | |
| | 612,000 | | | Baltimore Gas & Electric Co., 3.50%, 8/15/46, Callable 2/15/46 @ 100 | | | 665,486 | |
| | 1,216,000 | | | Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | | | 1,385,649 | |
| | 335,000 | | | Baltimore Gas & Electric Co., 3.20%, 9/15/49, Callable 3/15/49 @ 100 | | | 346,004 | |
| | 750,000 | | | Commonwealth Edison Co., 3.13%, 3/15/51, Callable 9/15/50 @ 100 | | | 778,424 | |
| | 119,000 | | | DTE Electric Co., Series A, 4.05%, 5/15/48, Callable 11/15/47 @ 100 | | | 142,840 | |
| | 1,088,000 | | | DTE Electric Co., 3.95%, 3/1/49, Callable 9/1/48 @ 100 | | | 1,297,058 | |
| | 118,000 | | | Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100 | | | 129,719 | |
| | 718,000 | | | Duke Energy Carolinas LLC, 3.88%, 3/15/46, Callable 9/15/45 @ 100 | | | 799,487 | |
| | 259,000 | | | Duke Energy Carolinas LLC, 3.45%, 4/15/51, Callable 10/15/50 @ 100 | | | 283,004 | |
| | 2,718,000 | | | Duke Energy Florida LLC, 2.50%, 12/1/29, Callable 9/1/29 @ 100 | | | 2,784,991 | |
| | 955,000 | | | Duke Energy Florida LLC, 1.75%, 6/15/30, Callable 3/15/30 @ 100 | | | 920,275 | |
| | 397,000 | | | Duke Energy Florida LLC, 3.40%, 10/1/46, Callable 4/1/46 @ 100 | | | 422,174 | |
| | 391,000 | | | Duke Energy Florida LLC, 3.00%, 12/15/51, Callable 6/15/51 @ 100 | | | 397,308 | |
| | 555,000 | | | Duke Energy Ohio, Inc., 3.65%, 2/1/29, Callable 11/1/28 @ 100 | | | 603,655 | |
See accompanying notes to the financial statements.
11
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 95,000 | | | Duke Energy Progress LLC, 3.45%, 3/15/29, Callable 12/15/28 @ 100 | | $ | 102,719 | |
| | 337,000 | | | Duke Energy Progress LLC, 4.20%, 8/15/45, Callable 2/15/45 @ 100 | | | 402,602 | |
| | 315,000 | | | Duke Energy Progress LLC, 2.90%, 8/15/51, Callable 2/15/51 @ 100 | | | 316,915 | |
| | 220,000 | | | Duke Energy Progress, Inc., 5.70%, 4/1/35 | | | 287,945 | |
| | 471,000 | | | Duke Energy Progress, Inc., 4.10%, 5/15/42, Callable 11/15/41 @ 100 | | | 546,355 | |
| | 719,000 | | | Duke Energy Progress, Inc., 4.10%, 3/15/43, Callable 9/15/42 @ 100 | | | 834,645 | |
| | 2,153,000 | | | Edison International, 2.40%, 9/15/22, Callable 8/15/22 @ 100 | | | 2,170,170 | |
| | 258,000 | | | Edison International, 4.95%, 4/15/25, Callable 3/15/25 @ 100 | | | 280,872 | |
| | 258,000 | | | Entergy Arkansas LLC, 3.35%, 6/15/52, Callable 12/15/51 @ 100 | | | 273,346 | |
| | 754,000 | | | Entergy Louisiana LLC, 1.60%, 12/15/30, Callable 9/15/30 @ 100 | | | 712,141 | |
| | 386,000 | | | Entergy Louisiana LLC, 2.35%, 6/15/32, Callable 3/15/32 @ 100 | | | 383,232 | |
| | 511,000 | | | Entergy Louisiana LLC, 2.90%, 3/15/51, Callable 9/15/50 @ 100 | | | 500,361 | |
| | 382,000 | | | Exelon Corp., 5.63%, 6/15/35 | | | 487,090 | |
| | 898,000 | | | Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100 | | | 1,131,326 | |
| | 193,000 | | | FirstEnergy Corp., 2.05%, 3/1/25, Callable 2/1/25 @ 100 | | | 191,535 | |
| | 517,000 | | | FirstEnergy Corp., 2.65%, 3/1/30, Callable 12/1/29 @ 100 | | | 511,441 | |
| | 203,000 | | | FirstEnergy Corp., 7.38%, 11/15/31 | | | 274,441 | |
| | 636,000 | | | FirstEnergy Corp., Series C, 3.40%, 3/1/50, Callable 9/1/49 @ 100 | | | 618,121 | |
| | 505,000 | | | FirstEnergy Transmission LLC, 4.35%, 1/15/25, Callable 10/15/24 @ 100(a) | | | 535,313 | |
| | 303,000 | | | FirstEnergy Transmission LLC, 5.45%, 7/15/44, Callable 1/15/44 @ 100(a) | | | 380,265 | |
| | 990,000 | | | FirstEnergy Transmission LLC, 4.55%, 4/1/49, Callable 10/1/48 @ 100(a) | | | 1,135,969 | |
| | 817,000 | | | Florida Power & Light Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100 | | | 940,961 | |
| | 783,000 | | | Florida Power & Light Co., 3.95%, 3/1/48, Callable 9/1/47 @ 100 | | | 940,809 | |
| | 449,000 | | | Florida Power & Light Co., 3.99%, 3/1/49, Callable 9/1/48 @ 100 | | | 541,415 | |
| | 1,399,000 | | | Florida Power & Light Co., 3.15%, 10/1/49, Callable 4/1/49 @ 100 | | | 1,492,206 | |
| | 658,000 | | | MidAmerican Energy Co., 3.10%, 5/1/27, Callable 2/1/27 @ 100 | | | 699,638 | |
| | 1,639,000 | | | MidAmerican Energy Co., 3.65%, 4/15/29, Callable 1/15/29 @ 100 | | | 1,805,799 | |
| | 399,000 | | | MidAmerican Energy Co., 3.15%, 4/15/50, Callable 10/15/49 @ 100 | | | 419,853 | |
| | 705,000 | | | Northern States Power Co., 2.90%, 3/1/50, Callable 9/1/49 @ 100 | | | 710,589 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electric Utilities, continued | | | |
| $ | 1,070,000 | | | Northern States Power Co., 2.60%, 6/1/51, Callable 12/1/50 @ 100 | | $ | 1,027,566 | |
| | 174,000 | | | Northern States Power Co., 3.20%, 4/1/52, Callable 10/1/51 @ 100 | | | 186,920 | |
| | 2,318,000 | | | NRG Energy, Inc., 4.45%, 6/15/29, Callable 3/15/29 @ 100(a) | | | 2,520,825 | |
| | 451,000 | | | Ohio Power Co., 1.63%, 1/15/31, Callable 10/15/30 @ 100 | | | 424,576 | |
| | 362,000 | | | Ohio Power Co., 4.00%, 6/1/49, Callable 12/1/48 @ 100 | | | 418,594 | |
| | 716,000 | | | Ohio Power Co., 2.90%, 10/1/51, Callable 4/1/51 @ 100 | | | 696,442 | |
| | 1,406,000 | | | Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28, Callable 8/15/28 @ 100 | | | 1,544,539 | |
| | 10,000 | | | Oncor Electric Delivery Co. LLC, 5.75%, 3/15/29, Callable 12/15/28 @ 100 | | | 12,272 | |
| | 271,000 | | | Oncor Electric Delivery Co. LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100 | | | 316,711 | |
| | 383,000 | | | Oncor Electric Delivery Co. LLC, 4.10%, 11/15/48, Callable 5/15/48 @ 100 | | | 462,617 | |
| | 32,000 | | | Oncor Electric Delivery Co. LLC, 2.70%, 11/15/51, Callable 5/15/51 @ 100(a) | | | 30,859 | |
| | 97,000 | | | Pacific Gas and Electric Co., 2.50%, 2/1/31, Callable 11/1/30 @ 100 | | | 92,062 | |
| | 778,000 | | | Pacific Gas and Electric Co., 3.25%, 6/1/31, Callable 3/1/31 @ 100 | | | 779,989 | |
| | 1,167,000 | | | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | | | 1,278,304 | |
| | 614,000 | | | PECO Energy Co., 3.05%, 3/15/51, Callable 9/15/50 @ 100 | | | 627,171 | |
| | 535,000 | | | Public Service Electric & Gas Co., 3.65%, 9/1/28, Callable 6/1/28 @ 100 | | | 588,573 | |
| | 340,000 | | | Public Service Electric & Gas Co., 2.05%, 8/1/50, Callable 2/1/50 @ 100, MTN | | | 289,532 | |
| | 3,823,000 | | | Southern California Edison Co., Series E, 3.70%, 8/1/25, Callable 6/1/25 @ 100 | | | 4,061,559 | |
| | 813,000 | | | Southern California Edison Co., Series 20C, 1.20%, 2/1/26, Callable 1/1/26 @ 100 | | | 796,855 | |
| | 869,000 | | | Southwestern Public Service Co., 3.15%, 5/1/50, Callable 11/1/49 @ 100 | | | 903,713 | |
| | 215,000 | | | Tampa Electric Co., 4.20%, 5/15/45, Callable 11/15/44 @ 100 | | | 250,230 | |
| | 3,000 | | | Tampa Electric Co., 4.45%, 6/15/49, Callable 12/15/48 @ 100 | | | 3,718 | |
| | 540,000 | | | Tampa Electric Co., 3.63%, 6/15/50, Callable 12/15/49 @ 100 | | | 610,390 | |
| | 500,000 | | | Virginia Electric & Power Co., 3.45%, 9/1/22, Callable 6/1/22 @ 100 | | | 505,923 | |
| | 381,000 | | | Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 | | | 523,370 | |
| | 451,000 | | | Virginia Electric & Power Co., Series D, 4.65%, 8/15/43, Callable 2/15/43 @ 100 | | | 562,524 | |
| | 715,000 | | | Virginia Electric and Power Co., Series B, 4.20%, 5/15/45, Callable 11/15/44 @ 100 | | | 849,172 | |
| | 2,301,000 | | | Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100(a) | | | 2,464,946 | |
| | | | | | | | |
| | | | | | | 59,121,403 | |
| | | | | | | | |
See accompanying notes to the financial statements.
12
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electronic Equipment, Instruments & Components (0.0%†): | | | |
| $ | 198,000 | | | Corning, Inc., 4.38%, 11/15/57, Callable 5/15/57 @ 100 | | $ | 235,986 | |
| | | | | | | | |
| Entertainment (0.2%): | | | |
| | 1,457,000 | | | Activision Blizzard, Inc., 3.40%, 9/15/26, Callable 6/15/26 @ 100 | | | 1,560,351 | |
| | 889,000 | | | Activision Blizzard, Inc., 2.50%, 9/15/50, Callable 3/15/50 @ 100 | | | 782,428 | |
| | 2,344,000 | | | Electronic Arts, Inc., 1.85%, 2/15/31, Callable 11/15/30 @ 100 | | | 2,246,065 | |
| | 744,000 | | | ViacomCBS, Inc., 6.88%, 4/30/36 | | | 1,057,321 | |
| | | | | | | | |
| | | | | | | 5,646,165 | |
| | | | | | | | |
| Equity Real Estate Investment (0.1%): | | | |
| | 682,000 | | | American Tower Corp., 2.30%, 9/15/31, Callable 6/15/31 @ 100 | | | 662,215 | |
| | 968,000 | | | Crown Castle International Corp., 2.50%, 7/15/31, Callable 4/15/31 @ 100 | | | 960,362 | |
| | | | | | | | |
| | | | | | | 1,622,577 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.6%): | | | |
| | 810,000 | | | American Tower Corp., 0.40%, 2/15/27, Callable 12/15/26 @ 100 | | | 907,309 | |
| | 1,429,000 | | | American Tower Corp., 1.50%, 1/31/28, Callable 11/30/27 @ 100 | | | 1,367,074 | |
| | 1,429,000 | | | American Tower Corp., 3.80%, 8/15/29, Callable 5/15/29 @ 100 | | | 1,552,911 | |
| | 1,206,000 | | | American Tower Corp., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 1,164,084 | |
| | 430,000 | | | Crown Castle International Corp., 3.70%, 6/15/26, Callable 3/15/26 @ 100 | | | 460,944 | |
| | 2,244,000 | | | Crown Castle International Corp., 3.10%, 11/15/29, Callable 8/15/29 @ 100 | | | 2,334,983 | |
| | 1,155,000 | | | Crown Castle International Corp., 2.25%, 1/15/31, Callable 10/15/30 @ 100 | | | 1,122,833 | |
| | 714,000 | | | Crown Castle International Corp., 5.20%, 2/15/49, Callable 8/15/48 @ 100 | | | 919,149 | |
| | 362,000 | | | Duke Realty LP, 4.00%, 9/15/28, Callable 6/15/28 @ 100 | | | 404,961 | |
| | 1,136,000 | | | Duke Realty LP, 1.75%, 2/1/31, Callable 11/1/30 @ 100 | | | 1,077,763 | |
| | 2,070,000 | | | Equinix, Inc., 2.00%, 5/15/28, Callable 3/15/28 @ 100 | | | 2,032,848 | |
| | 697,000 | | | Equinix, Inc., 3.20%, 11/18/29, Callable 8/18/29 @ 100 | | | 731,849 | |
| | 329,000 | | | Invitation Homes Operating Partnership LP, 2.30%, 11/15/28, Callable 9/15/28 @ 100 | | | 325,797 | �� |
| | 593,000 | | | National Retail Properties, Inc., 3.10%, 4/15/50, Callable 10/15/49 @ 100 | | | 578,899 | |
| | 801,000 | | | National Retail Properties, Inc., 3.50%, 4/15/51, Callable 10/15/50 @ 100 | | | 833,836 | |
| | 92,000 | | | National Retail Properties, Inc., 3.00%, 4/15/52, Callable 10/15/51 @ 100 | | | 86,422 | |
| | 775,000 | | | Prologis Euro Finance LLC, 1.50%, 9/10/49, Callable 3/10/49 @ 100 | | | 828,085 | |
| | 611,000 | | | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | | | 655,298 | |
| | | | | | | | |
| | | | | | | 17,385,045 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Food Products (0.0%†): | | | |
| $ | 420,000 | | | General Mills, Inc., 0.45%, 1/15/26, Callable 10/15/25 @ 100 | | $ | 481,090 | |
| | 643,000 | | | Mondelez International, Inc., 2.75%, 4/13/30, Callable 1/13/30 @ 100 | | | 665,713 | |
| | | | | | | | |
| | | | | | | 1,146,803 | |
| | | | | | | | |
| Gas Utilities (0.0%†): | | | |
| | 262,000 | | | Atmos Energy Corp., 4.13%, 10/15/44, Callable 4/15/44 @ 100 | | | 305,784 | |
| | 461,000 | | | Piedmont Natural Gas Co, Inc., 3.50%, 6/1/29, Callable 3/1/29 @ 100 | | | 493,442 | |
| | 500,000 | | | Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31, Callable 12/15/30 @ 100 | | | 495,840 | |
| | | | | | | | |
| | | | | | | 1,295,066 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.1%): | | | |
| | 525,000 | | | Becton Dickinson & Co., 1.40%, 5/24/23, Callable 4/24/23 @ 100 | | | 609,168 | |
| | 510,000 | | | Becton Dickinson & Co., 0.03%, 8/13/25, Callable 7/13/25 @ 100 | | | 576,686 | |
| | 333,000 | | | Boston Scientific Corp., 2.65%, 6/1/30, Callable 3/1/30 @ 100 | | | 338,661 | |
| | 500,000 | | | DH Europe Finance II Sarl, 1.80%, 9/18/49, Callable 3/18/49 @ 100 | | | 598,596 | |
| | 100,000 | | | Medtronic Global Holdings SCA, 1.75%, 7/2/49, Callable 1/2/49 @ 100 | | | 116,722 | |
| | | | | | | | |
| | | | | | | 2,239,833 | |
| | | | | | | | |
| Health Care Providers & Services (1.0%): | | | |
| | 275,000 | | | AHS Hospital Corp., 2.78%, 7/1/51, Callable 1/1/51 @ 100 | | | 273,650 | |
| | 448,000 | | | Anthem, Inc., 4.55%, 3/1/48, Callable 9/1/47 @ 100 | | | 563,577 | |
| | 2,140,000 | | | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | | | 2,322,225 | |
| | 1,520,000 | | | Cigna Corp., 3.40%, 3/1/27, Callable 12/1/26 @ 100 | | | 1,634,538 | |
| | 350,000 | | | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | | | 356,843 | |
| | 498,000 | | | CVS Health Corp., 5.00%, 12/1/24, Callable 9/1/24 @ 100 | | | 543,207 | |
| | 5,000 | | | CVS Health Corp., 2.88%, 6/1/26, Callable 3/1/26 @ 100 | | | 5,234 | |
| | 1,539,000 | | | CVS Health Corp., 3.00%, 8/15/26, Callable 6/15/26 @ 100 | | | 1,622,648 | |
| | 1,470,000 | | | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | | | 1,594,534 | |
| | 587,000 | | | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100 | | | 657,599 | |
| | 1,817,000 | | | CVS Health Corp., 5.13%, 7/20/45, Callable 1/20/45 @ 100 | | | 2,376,727 | |
| | 7,636,000 | | | HCA, Inc., 5.25%, 4/15/25 | | | 8,456,870 | |
| | 2,570,000 | | | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | | | 2,891,250 | |
| | 90,000 | | | HCA, Inc., 5.25%, 6/15/49, Callable 12/15/48 @ 100 | | | 115,988 | |
| | 1,361,000 | | | Humana, Inc., 1.35%, 2/3/27, Callable 1/3/27 @ 100 | | | 1,322,765 | |
See accompanying notes to the financial statements.
13
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Health Care Providers & Services, continued | | | |
| $ | 221,000 | | | UnitedHealth Group, Inc., 4.75%, 7/15/45 | | $ | 290,339 | |
| | 957,000 | | | UnitedHealth Group, Inc., 4.20%, 1/15/47, Callable 7/15/46 @ 100 | | | 1,162,261 | |
| | 530,000 | | | UnitedHealth Group, Inc., 3.75%, 10/15/47, Callable 4/15/47 @ 100 | | | 606,002 | |
| | 427,000 | | | UnitedHealth Group, Inc., 4.25%, 6/15/48, Callable 12/15/47 @ 100 | | | 532,502 | |
| | | | | | | | |
| | | | | | | 27,328,759 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.3%): | | | |
| | 610,000 | | | Booking Holdings, Inc., 0.10%, 3/8/25, Callable 2/8/25 @ 100 | | | 694,497 | |
| | 626,000 | | | Marriott International, Inc., 4.63%, 6/15/30, Callable 3/15/30 @ 100 | | | 706,627 | |
| | 1,200,000 | | | McDonald’s Corp., Series G, 1.00%, 11/15/23, MTN(a) | | | 1,396,182 | |
| | 722,000 | | | McDonald’s Corp., 2.13%, 3/1/30, Callable 12/1/29 @ 100 | | | 720,002 | |
| | 885,000 | | | McDonald’s Corp., 4.88%, 12/9/45, Callable 6/9/45 @ 100, MTN | | | 1,139,368 | |
| | 336,000 | | | McDonald’s Corp., 4.45%, 9/1/48, Callable 3/1/48 @ 100, MTN | | | 414,564 | |
| | 893,000 | | | Starbucks Corp., 2.25%, 3/12/30, Callable 12/12/29 @ 100 | | | 890,416 | |
| | 844,000 | | | Starbucks Corp., 2.55%, 11/15/30, Callable 8/15/30 @ 100 | | | 860,552 | |
| | | | | | | | |
| | | | | | | 6,822,208 | |
| | | | | | | | |
| Industrial Conglomerates (0.2%): | | | |
| | 785,000 | | | 3M Co., Series E, 0.95%, 5/15/23 | | | 907,531 | |
| | 637,000 | | | General Electric Co., Series A, 6.75%, 3/15/32, MTN | | | 869,574 | |
| | 962,000 | | | Georgia-Pacific LLC, 3.60%, 3/1/25, Callable 12/1/24 @ 100(a) | | | 1,020,395 | |
| | 1,653,000 | | | Georgia-Pacific LLC, 0.95%, 5/15/26, Callable 4/15/26 @ 100(a) | | | 1,600,157 | |
| | | | | | | | |
| | | | | | | 4,397,657 | |
| | | | | | | | |
| Insurance (0.3%): | | | |
| | 342,000 | | | American International Group, Inc., 4.50%, 7/16/44, Callable 1/16/44 @ 100 | | | 420,408 | |
| | 1,013,000 | | | American International Group, Inc., 4.80%, 7/10/45, Callable 1/10/45 @ 100 | | | 1,284,310 | |
| | 572,000 | | | Aon Corp., 4.50%, 12/15/28, Callable 9/15/28 @ 100 | | | 653,119 | |
| | 1,903,000 | | | Aon Corp., 2.80%, 5/15/30, Callable 2/15/30 @ 100 | | | 1,962,539 | |
| | 103,000 | | | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | | | 121,913 | |
| | 480,000 | | | Marsh & McLennan Cos., Inc., 1.35%, 9/21/26, Callable 6/21/26 @ 100 | | | 569,538 | |
| | 433,000 | | | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29, Callable 12/15/28 @ 100 | | | 493,937 | |
| | 803,000 | | | Marsh & McLennan Cos., Inc., 1.98%, 3/21/30, Callable 12/21/29 @ 100 | | | 996,905 | |
| | 833,000 | | | Marsh & McLennan Cos., Inc., 2.25%, 11/15/30, Callable 8/15/30 @ 100 | | | 829,539 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Insurance, continued | | | |
| $ | 290,000 | | | Metropolitan Life Global Funding I, 0.00%, 9/23/22(a) | | $ | 331,089 | |
| | 404,000 | | | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a) | | | 522,109 | |
| | | | | | | | |
| | | | | | | 8,185,406 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 185,000 | | | eBay, Inc., 1.40%, 5/10/26, Callable 4/10/26 @ 100 | | | 181,735 | |
| | 773,000 | | | Expedia Group, Inc., 5.00%, 2/15/26, Callable 11/15/25 @ 100 | | | 861,523 | |
| | | | | | | | |
| | | | | | | 1,043,258 | |
| | | | | | | | |
| IT Services (0.5%): | | | |
| | 793,000 | | | Fidelity National Information Services, Inc., 3.10%, 3/1/41, Callable 9/1/40 @ 100 | | | 802,813 | |
| | 2,380,000 | | | Fiserv, Inc., 3.50%, 7/1/29, Callable 4/1/29 @ 100 | | | 2,561,389 | |
| | 404,000 | | | Global Payments, Inc., 2.15%, 1/15/27, Callable 12/15/26 @ 100 | | | 404,438 | |
| | 2,345,000 | | | Global Payments, Inc., 3.20%, 8/15/29, Callable 5/15/29 @ 100 | | | 2,444,060 | |
| | 315,000 | | | Global Payments, Inc., 2.90%, 5/15/30, Callable 2/15/30 @ 100 | | | 320,418 | |
| | 1,193,000 | | | IBM Corp., 2.85%, 5/15/40, Callable 11/15/39 @ 100 | | | 1,170,936 | |
| | 1,053,000 | | | International Business Machines Corp., 3.30%, 5/15/26 | | | 1,126,113 | |
| | 211,000 | | | International Business Machines Corp., 4.15%, 5/15/39 | | | 243,927 | |
| | 175,000 | | | International Business Machines Corp., 4.25%, 5/15/49 | | | 211,949 | |
| | 599,000 | | | Mastercard, Inc., 2.95%, 6/1/29, Callable 3/1/29 @ 100 | | | 640,510 | |
| | 1,725,000 | | | MasterCard, Inc., 1.10%, 12/1/22, Callable 9/1/22 @ 100 | | | 1,983,682 | |
| | 934,000 | | | Visa, Inc., 4.15%, 12/14/35, Callable 6/14/35 @ 100 | | | 1,119,599 | |
| | | | | | | | |
| | | | | | | 13,029,834 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.2%): | | | |
| | 866,000 | | | Agilent Technologies, Inc., 2.30%, 3/12/31, Callable 12/12/30 @ 100 | | | 857,702 | |
| | 2,442,000 | | | Thermo Fisher Scientific, Inc., 2.00%, 10/15/31, Callable 7/15/31 @ 100 | | | 2,409,580 | |
| | 1,000,000 | | | Thermo Fisher Scientific, Inc., Series E, 1.88%, 10/1/49, Callable 4/1/49 @ 100, MTN | | | 1,166,058 | |
| | | | | | | | |
| | | | | | | 4,433,340 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 663,000 | | | Parker-Hannifin Corp., 3.25%, 6/14/29, Callable 3/14/29 @ 100 | | | 700,002 | |
| | | | | | | | |
| Media (0.5%): | | | |
| | 1,480,000 | | | Comcast Corp., 0.30%, 9/14/26, Callable 8/14/26 @ 100 | | | 1,661,119 | |
| | 3,978,000 | | | Comcast Corp., 2.65%, 2/1/30, Callable 11/1/29 @ 100 | | | 4,115,110 | |
| | 937,000 | | | Comcast Corp., 3.40%, 7/15/46, Callable 1/15/46 @ 100 | | | 988,771 | |
See accompanying notes to the financial statements.
14
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Media, continued | | | |
| $ | 850,000 | | | Comcast Corp., 3.97%, 11/1/47, Callable 5/1/47 @ 100 | | $ | 978,381 | |
| | 358,000 | | | Comcast Corp., 2.89%, 11/1/51, Callable 5/1/51 @ 100(a) | | | 348,069 | |
| | 2,255,000 | | | Comcast Corp., 2.94%, 11/1/56, Callable 5/1/56 @ 100(a) | | | 2,152,104 | |
| | 674,000 | | | Cox Communications, Inc., 3.60%, 6/15/51, Callable 12/15/50 @ 100(a) | | | 710,099 | |
| | 724,000 | | | COX Communications, Inc., 3.15%, 8/15/24, Callable 6/15/24 @ 100(a) | | | 753,758 | |
| | 1,153,000 | | | Discovery Communications LLC, 1.90%, 3/19/27, Callable 12/19/26 @ 100 | | | 1,376,754 | |
| | 301,000 | | | NBCUniversal Media LLC, 4.45%, 1/15/43 | | | 365,227 | |
| | | | | | | | |
| | | | | | | 13,449,392 | |
| | | | | | | | |
| Multi-Utilities (0.2%): | | | |
| | 5,000 | | | Ameren Illinois Co., 4.15%, 3/15/46, Callable 9/15/45 @ 100 | | | 5,990 | |
| | 762,000 | | | Ameren Illinois Co., 3.25%, 3/15/50, Callable 9/15/49 @ 100 | | | 811,784 | |
| | 245,000 | | | Ameren Illinois Co., 2.90%, 6/15/51, Callable 12/15/50 @ 100 | | | 247,443 | |
| | 176,000 | | | CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100 | | | 210,396 | |
| | 695,000 | | | CenterPoint Energy Houston Electric LLC, 3.35%, 4/1/51, Callable 10/1/50 @ 100 | | | 768,846 | |
| | 1,542,000 | | | CenterPoint Energy Resources Corp., 1.75%, 10/1/30, Callable 7/1/30 @ 100 | | | 1,460,902 | |
| | 301,000 | | | Consumers Energy Co., 3.80%, 11/15/28, Callable 8/15/28 @ 100 | | | 334,251 | |
| | 430,000 | | | Consumers Energy Co., 4.05%, 5/15/48, Callable 11/15/47 @ 100 | | | 517,295 | |
| | 531,000 | | | Consumers Energy Co., 3.75%, 2/15/50, Callable 8/15/49 @ 100 | | | 611,454 | |
| | 778,000 | | | Consumers Energy Co., 3.10%, 8/15/50, Callable 2/15/50 @ 100 | | | 816,068 | |
| | 180,000 | | | Consumers Energy Co., 3.50%, 8/1/51, Callable 2/1/51 @ 100 | | | 201,923 | |
| | 318,000 | | | Consumers Energy Co., 2.65%, 8/15/52, Callable 2/15/52 @ 100 | | | 310,236 | |
| | | | | | | | |
| | | | | | | 6,296,588 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.5%): | | | |
| | 1,335,000 | | | Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100(a) | | | 1,400,398 | |
| | 575,000 | | | Cameron LNG LLC, 3.40%, 1/15/38, Callable 7/15/37 @ 100(a) | | | 597,709 | |
| | 771,000 | | | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24, Callable 1/1/24 @ 100 | | | 853,883 | |
| | 656,000 | | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25, Callable 10/2/24 @ 100 | | | 727,373 | |
| | 3,247,000 | | | Cheniere Corpus Christi Holdings LLC, 5.13%, 6/30/27, Callable 1/1/27 @ 100 | | | 3,665,051 | |
| | – | | | Devon Energy Corp., 5.88%, 6/15/28, Callable 0 @ – | | | ��� | |
| | 78,000 | | | Devon Energy Corp., 5.88%, 6/15/28, Callable 6/15/23 @ 102.94 | | | 84,497 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 753,000 | | | Diamondback Energy, Inc., 4.40%, 3/24/51, Callable 9/24/50 @ 100 | | $ | 865,747 | |
| | 1,007,000 | | | Energy Transfer LP, 5.88%, 1/15/24, Callable 10/15/23 @ 100 | | | 1,085,042 | |
| | 1,064,000 | | | Energy Transfer LP, 5.95%, 12/1/25, Callable 9/1/25 @ 100 | | | 1,212,960 | |
| | 587,000 | | | Energy Transfer LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | | | 670,647 | |
| | 1,900,000 | | | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 2,142,250 | |
| | 1,725,000 | | | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | | | 1,981,594 | |
| | 236,000 | | | Energy Transfer LP, 8.25%, 11/15/29, Callable 8/15/29 @ 100 | | | 311,000 | |
| | 1,329,000 | | | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | | | 1,531,673 | |
| | 857,000 | | | Energy Transfer Operating LP, 4.05%, 3/15/25, Callable 12/15/24 @ 100 | | | 908,420 | |
| | 515,000 | | | Enterprise Products Operating LLC, 4.20%, 1/31/50, Callable 7/31/49 @ 100 | | | 580,735 | |
| | 497,000 | | | Enterprise Products Operating LLC, 3.30%, 2/15/53, Callable 8/15/52 @ 100 | | | 495,857 | |
| | 1,090,000 | | | Exxon Mobil Corp., 1.41%, 6/26/39, Callable 12/26/38 @ 100 | | | 1,189,094 | |
| | 228,000 | | | Kinder Morgan Energy Partners LP, SERIES MTN, 6.95%, 1/15/38, MTN | | | 311,841 | |
| | 37,000 | | | Kinder Morgan Energy Partners LP, 7.50%, 11/15/40 | | | 54,525 | |
| | 1,313,000 | | | NGPL PipeCo LLC, 3.25%, 7/15/31, Callable 4/15/31 @ 100(a) | | | 1,335,374 | |
| | 1,292,000 | | | NGPL PipeCo. LLC, 4.88%, 8/15/27, Callable 2/15/27 @ 100(a) | | | 1,437,350 | |
| | 770,000 | | | Northern Natural Gas Co., 4.30%, 1/15/49, Callable 7/15/48 @ 100(a) | | | 890,678 | |
| | 2,523,000 | | | Northwest Pipeline LLC, 4.00%, 4/1/27, Callable 1/1/27 @ 100 | | | 2,746,866 | |
| | 1,268,000 | | | Sabine Pass Liquefaction LLC, 5.63%, 3/1/25, Callable 12/1/24 @ 100 | | | 1,407,480 | |
| | 1,255,000 | | | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27, Callable 9/15/26 @ 100 | | | 1,411,247 | |
| | 2,286,000 | | | Sabine Pass Liquefaction LLC, 4.20%, 3/15/28, Callable 9/15/27 @ 100 | | | 2,500,312 | |
| | 220,000 | | | Texas Eastern Transmission LP, 2.80%, 10/15/22, Callable 7/15/22 @ 100(a) | | | 222,744 | |
| | 1,373,000 | | | Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100(a) | | | 1,478,268 | |
| | 1,119,000 | | | Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47 @ 100(a) | | | 1,263,641 | |
| | 2,610,000 | | | Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100 | | | 3,187,141 | |
| | 2,198,000 | | | Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100 | | | 2,402,238 | |
| | 255,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100 | | | 286,771 | |
| | 240,000 | | | Williams Cos., Inc., Series A, 7.50%, 1/15/31 | | | 326,059 | |
| | | | | | | | |
| | | | | | | 41,566,465 | |
| | | | | | | | |
See accompanying notes to the financial statements.
15
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Pharmaceuticals (0.0%†): | | | |
| $ | 257,000 | | | Merck & Co., Inc., 2.75%, 12/10/51, Callable 6/10/51 @ 100 | | $ | 252,931 | |
| | 538,000 | | | Roche Holdings, Inc., 2.61%, 12/13/51, Callable 6/13/51 @ 100(a) | | | 526,388 | |
| | | | | | | | |
| | | | | | | 779,319 | |
| | | | | | | | |
| Professional Services (0.4%): | | | |
| | 4,169,000 | | | Leidos, Inc., 4.38%, 5/15/30, Callable 2/15/30 @ 100 | | | 4,658,858 | |
| | 3,657,000 | | | RELX Capital, Inc., 3.50%, 3/16/23, Callable 2/16/23 @ 100 | | | 3,766,004 | |
| | 1,797,000 | | | RELX Capital, Inc., 3.00%, 5/22/30, Callable 2/22/30 @ 100 | | | 1,884,765 | |
| | | | | | | | |
| | | | | | | 10,309,627 | |
| | | | | | | | |
| Real Estate Management & Development (0.2%): | | | |
| | 3,340,000 | | | CC Holdings GS V LLC, 3.85%, 4/15/23 | | | 3,452,855 | |
| | 915,000 | | | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a) | | | 951,678 | |
| | | | | | | | |
| | | | | | | 4,404,533 | |
| | | | | | | | |
| Road & Rail (0.6%): | | | |
| | 1,369,000 | | | Burlington Northern Santa Fe LLC, 4.15%, 12/15/48, Callable 6/15/48 @ 100 | | | 1,686,661 | |
| | 313,000 | | | Burlington Northern Santa Fe LLC, 2.88%, 6/15/52, Callable 12/15/51 @ 100 | | | 315,620 | |
| | 1,794,000 | | | CSX Corp., 2.60%, 11/1/26, Callable 8/1/26 @ 100 | | | 1,869,791 | |
| | 540,000 | | | CSX Corp., 3.25%, 6/1/27, Callable 3/1/27 @ 100 | | | 579,010 | |
| | 534,000 | | | CSX Corp., 4.10%, 3/15/44, Callable 9/15/43 @ 100 | | | 624,868 | |
| | 145,000 | | | Norfolk Southern Corp., 2.90%, 6/15/26, Callable 3/15/26 @ 100 | | | 152,170 | |
| | 1,356,000 | | | Norfolk Southern Corp., 2.55%, 11/1/29, Callable 8/1/29 @ 100 | | | 1,389,135 | |
| | 243,000 | | | Norfolk Southern Corp., 3.40%, 11/1/49, Callable 5/1/49 @ 100 | | | 261,456 | |
| | 478,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 3.95%, 3/10/25, Callable 1/10/25 @ 100(a) | | | 509,341 | |
| | 1,490,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 1.20%, 11/15/25, Callable 10/15/25 @ 100(a) | | | 1,455,088 | |
| | 397,000 | | | Penske Truck Leasing Co. LP / PTL Finance Corp., 4.45%, 1/29/26, Callable 11/29/25 @ 100(a) | | | 436,114 | |
| | 633,000 | | | Ryder System, Inc., 4.63%, 6/1/25, Callable 5/1/25 @ 100, MTN | | | 696,628 | |
| | 1,566,000 | | | Ryder System, Inc., 3.35%, 9/1/25, Callable 8/1/25 @ 100, MTN | | | 1,656,554 | |
| | 349,000 | | | Ryder System, Inc., 2.90%, 12/1/26, Callable 10/1/26 @ 100 | | | 363,558 | |
| | 1,707,000 | | | Union Pacific Corp., 2.89%, 4/6/36, Callable 1/6/36 @ 100 | | | 1,784,482 | |
| | 2,000 | | | Union Pacific Corp., 4.50%, 9/10/48, Callable 3/10/48 @ 100 | | | 2,563 | |
| | 1,224,000 | | | Union Pacific Corp., 3.25%, 2/5/50, Callable 8/5/49 @ 100 | | | 1,313,017 | |
| | 85,000 | | | Union Pacific Corp., 2.95%, 3/10/52, Callable 9/10/51 @ 100 | | | 86,215 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Road & Rail, continued | | | |
| $ | 383,397 | | | Union Pacific Railroad Co., Series 2014-1, 3.23%, 5/14/26 | | $ | 404,538 | |
| | | | | | | | |
| | | | | | | 15,586,809 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.7%): | | | |
| | 287,000 | | | Applied Materials, Inc., 4.35%, 4/1/47, Callable 10/1/46 @ 100 | | | 365,617 | |
| | 1,271,000 | | | Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27, Callable 10/15/26 @ 100 | | | 1,378,426 | |
| | 1,085,000 | | | Broadcom, Inc., 4.70%, 4/15/25, Callable 3/15/25 @ 100 | | | 1,185,631 | |
| | 288,000 | | | Broadcom, Inc., 3.46%, 9/15/26, Callable 7/15/26 @ 100 | | | 306,820 | |
| | 2,580,000 | | | Broadcom, Inc., 4.75%, 4/15/29, Callable 1/15/29 @ 100 | | | 2,935,947 | |
| | 2,111,000 | | | Broadcom, Inc., 5.00%, 4/15/30, Callable 1/15/30 @ 100 | | | 2,459,163 | |
| | 2,025,000 | | | Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 | | | 2,246,284 | |
| | 5,000 | | | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(a) | | | 4,888 | |
| | 335,000 | | | Intel Corp., 3.10%, 2/15/60, Callable 8/15/59 @ 100 | | | 337,792 | |
| | 797,000 | | | Intel Corp., 3.20%, 8/12/61, Callable 2/12/61 @ 100 | | | 818,097 | |
| | 16,000 | | | KLA Corp., 4.65%, 11/1/24, Callable 8/1/24 @ 100 | | | 17,346 | |
| | 925,000 | | | KLA Corp., 3.30%, 3/1/50, Callable 8/28/49 @ 100 | | | 986,648 | |
| | 2,110,000 | | | KLA-Tencor Corp., 4.10%, 3/15/29, Callable 12/15/28 @ 100 | | | 2,386,857 | |
| | 155,000 | | | Lam Research Corp., 3.75%, 3/15/26, Callable 1/15/26 @ 100 | | | 168,933 | |
| | 303,000 | | | Lam Research Corp., 4.88%, 3/15/49, Callable 9/15/48 @ 100 | | | 411,684 | |
| | 627,000 | | | Lam Research Corp., 2.88%, 6/15/50, Callable 12/15/49 @ 100 | | | 630,024 | |
| | 1,249,000 | | | NVIDIA Corp., 1.55%, 6/15/28, Callable 4/15/28 @ 100 | | | 1,233,842 | |
| | 685,000 | | | QUALCOMM, Inc., 4.30%, 5/20/47, Callable 11/20/46 @ 100 | | | 855,079 | |
| | | | | | | | |
| | | | | | | 18,729,078 | |
| | | | | | | | |
| Software (1.0%): | | | |
| | 1,438,000 | | | Autodesk, Inc., 2.85%, 1/15/30, Callable 10/15/29 @ 100 | | | 1,484,050 | |
| | 1,171,000 | | | Citrix Systems, Inc., 3.30%, 3/1/30, Callable 12/1/29 @ 100 | | | 1,185,033 | |
| | 3,721,000 | | | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | | | 3,837,605 | |
| | 3,274,000 | | | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | | | 3,260,158 | |
| | 120,000 | | | Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100 | | | 132,974 | |
| | 1,072,000 | | | Oracle Corp., 3.90%, 5/15/35, Callable 11/15/34 @ 100 | | | 1,149,788 | |
See accompanying notes to the financial statements.
16
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Software, continued | | | |
| $ | 1,560,000 | | | Oracle Corp., 3.85%, 7/15/36, Callable 1/15/36 @ 100 | | $ | 1,654,062 | |
| | 3,040,000 | | | Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100 | | | 3,162,336 | |
| | 591,000 | | | Oracle Corp., 6.13%, 7/8/39 | | | 781,035 | |
| | 2,111,000 | | | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | | | 2,127,147 | |
| | 3,356,000 | | | Oracle Corp., 5.38%, 7/15/40 | | | 4,115,560 | |
| | 374,000 | | | salesforce.com, Inc., 3.05%, 7/15/61, Callable 1/15/61 @ 100 | | | 385,828 | |
| | 1,499,000 | | | ServiceNow, Inc., 1.40%, 9/1/30, Callable 6/1/30 @ 100 | | | 1,392,593 | |
| | 281,000 | | | Vmware, Inc., 4.65%, 5/15/27, Callable 3/15/27 @ 100 | | | 316,996 | |
| | 427,000 | | | Vmware, Inc., 3.90%, 8/21/27, Callable 5/21/27 @ 100 | | | 466,255 | |
| | 361,000 | | | Vmware, Inc., 1.80%, 8/15/28, Callable 6/15/28 @ 100 | | | 351,714 | |
| | 1,164,000 | | | Vmware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 | | | 1,143,817 | |
| | | | | | | | |
| | | | | | | 26,946,951 | |
| | | | | | | | |
| Specialty Retail (0.1%): | | | |
| | 1,251,000 | | | Lowe’s Cos., Inc., 4.00%, 4/15/25, Callable 3/15/25 @ 100 | | | 1,350,757 | |
| | 861,000 | | | Lowe’s Cos., Inc., 3.65%, 4/5/29, Callable 1/5/29 @ 100 | | | 943,081 | |
| | 486,000 | | | Lowe’s Cos., Inc., 2.80%, 9/15/41, Callable 3/15/41 @ 100 | | | 474,603 | |
| | | | | | | | |
| | | | | | | 2,768,441 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.1%): | | | |
| | 1,261,000 | | | Apple, Inc., 4.65%, 2/23/46, Callable 8/23/45 @ 100 | | | 1,661,042 | |
| | 427,000 | | | Apple, Inc., 3.85%, 8/4/46, Callable 2/4/46 @ 100 | | | 505,583 | |
| | 98,000 | | | Dell International LLC/EMC Corp., 8.35%, 7/15/46, Callable 1/15/46 @ 100 | | | 163,805 | |
| | 541,000 | | | Dell International LLC/EMC Corp., 3.45%, 12/15/51, Callable 6/15/51 @ 100(a) | | | 517,320 | |
| | | | | | | | |
| | | | | | | 2,847,750 | |
| | | | | | | | |
| Tobacco (0.6%): | | | |
| | 415,000 | | | Altria Group, Inc., 2.20%, 6/15/27, Callable 4/15/27 @ 100 | | | 502,858 | |
| | 1,320,000 | | | Altria Group, Inc., 3.13%, 6/15/31, Callable 3/15/31 @ 100 | | | 1,665,857 | |
| | 4,955,000 | | | Altria Group, Inc., 5.80%, 2/14/39, Callable 8/14/38 @ 100 | | | 5,991,977 | |
| | 84,000 | | | Altria Group, Inc., 6.20%, 2/14/59, Callable 8/14/58 @ 100 | | | 108,744 | |
| | 1,549,000 | | | BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100 | | | 1,608,319 | |
| | 567,000 | | | BAT Capital Corp., 4.76%, 9/6/49, Callable 3/6/49 @ 100 | | | 608,758 | |
| | 900,000 | | | Philip Morris International, Inc., 2.00%, 5/9/36, Callable 2/9/36 @ 100 | | | 1,045,415 | |
| | 700,000 | | | Philip Morris International, Inc., 1.45%, 8/1/39, Callable 5/1/39 @ 100 | | | 736,601 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Tobacco, continued | | | |
| $ | 1,411,000 | | | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | | $ | 1,523,141 | |
| | 1,732,000 | | | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | | | 2,101,728 | |
| | | | | | | | |
| | | | | | | 15,893,398 | |
| | | | | | | | |
| Trading Companies & Distributors (0.1%): | | | |
| | 1,405,000 | | | Air Lease Corp., 2.88%, 1/15/26, Callable 12/15/25 @ 100, MTN | | | 1,444,867 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.5%): | | | |
| | 11,257,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | | | 12,185,613 | |
| | 290,000 | | | T-Mobile USA, Inc., 3.40%, 10/15/52, Callable 4/15/52 @ 100(a) | | | 289,495 | |
| | | | | | | | |
| | | | | | | 12,475,108 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $645,052,702) | | | 645,342,335 | |
| | | | | |
| Foreign Bonds (2.8%): | | | |
| Aerospace & Defense (0.2%): | | | |
| | 1,100,000 | | | Airbus SE, 2.00%, 4/7/28, Callable 1/7/28 @ 100+(a) | | | 1,361,116 | |
| | 1,000,000 | | | Thales SA, 0.00%, 5/31/22, Callable 4/30/22 @ 100, MTN+(a) | | | 1,139,635 | |
| | 1,200,000 | | | Thales SA, 0.75%, 6/7/23, Callable 3/7/23 @ 100, MTN+(a) | | | 1,382,480 | |
| | 100,000 | | | Thales SA, 0.75%, 1/23/25, Callable 10/23/24 @ 100, MTN+(a) | | | 115,891 | |
| | | | | | | | |
| | | | | | | 3,999,122 | |
| | | | | | | | |
| Auto Components (0.0%†): | | | |
| | 630,000 | | | Conti-Gummi Finance BV, 1.13%, 9/25/24, Callable 6/25/24 @ 100+(a) | | | 734,853 | |
| | | | | | | | |
| Automobiles (0.1%): | | | |
| | 310,000 | | | Daimler International Finance BV, Series E, 0.25%, 11/6/23, MTN+(a) | | | 355,277 | |
| | 870,000 | | | Stellantis NV, 1.25%, 6/20/33, Callable 3/20/33 @ 100, MTN+(a) | | | 964,287 | |
| | 300,000 | | | Volkswagen International Finance NV, 4.13%, 11/16/38+(a) | | | 472,624 | |
| | | | | | | | |
| | | | | | | 1,792,188 | |
| | | | | | | | |
| Banks (0.4%): | | | |
| | 900,000 | | | Banco de Sabadell SA, 1.12%(EUSA1+155bps), 3/11/27, Callable 3/11/26 @ 100+(a) | | | 1,042,505 | |
| | 600,000 | | | Banque Federative du Credit Mutuel SA, Series E, 0.75%, 6/15/23, MTN+(a) | | | 692,633 | |
| | 920,000 | | | Barclays plc, 0.58%(EUSA1+126bps), 8/9/29, Callable 8/9/28 @ 100+(a) | | | 1,021,926 | |
| | 2,000,000 | | | BNP Paribas SA, 0.25%(EUR003M+70bps), 4/13/27, Callable 4/13/26 @ 100, MTN+(a) | | | 2,251,175 | |
| | 800,000 | | | BNP Paribas SA, 0.50%(EUR0003M+83bps), 1/19/30, Callable 1/19/29 @ 100, MTN+(a) | | | 889,086 | |
| | 500,000 | | | BPCE SA, 0.25%, 1/15/26+(a) | | | 567,854 | |
| | 300,000 | | | de Volksbank NV, 1.75%(EUSA5+2.1bps), 10/22/30, Callable 10/22/25 @ 100, MTN+(a) | | | 353,472 | |
| | 300,000 | | | Erste Group Bank AG, 1.62%(EUAMDB05+210bps), 9/8/31, Callable 6/8/26 @ 100+(a) | | | 350,832 | |
See accompanying notes to the financial statements.
17
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Banks, continued | | | |
| $ | 540,000 | | | FCA Bank SpA, 0.50%, 9/18/23, Callable 6/18/23 @ 100+(a) | | $ | 618,926 | |
| | 400,000 | | | KBC Group NV, Series E, 1.13%, 1/25/24, MTN+(a) | | | 466,883 | |
| | 440,000 | | | Mizuho Financial Group, Inc., Series E, 0.52%, 6/10/24, MTN+(a) | | | 507,355 | |
| | 435,000 | | | Simon International Finance SCA, 1.38%, 11/18/22, Callable 8/18/22 @ 100+(a) | | | 500,629 | |
| | 1,000,000 | | | Toronto-Dominion Bank (The), Series E, 0.38%, 4/25/24+(a) | | | 1,148,822 | |
| | | | | | | | |
| | | | | | | 10,412,098 | |
| | | | | | | | |
| Beverages (0.1%): | | | |
| | 180,000 | | | Asahi Group Holdings, Ltd., 0.01%, 4/19/24, Callable 3/19/24 @ 100+(a) | | | 204,872 | |
| | 360,000 | | | Asahi Group Holdings, Ltd., 0.16%, 10/23/24, Callable 9/23/24 @ 100+(a) | | | 410,720 | |
| | 600,000 | | | Pernod Ricard SA, 0.00%, 10/24/23, Callable 9/24/23 @ 100+(a) | | | 685,140 | |
| | | | | | | | |
| | | | | | | 1,300,732 | |
| | | | | | | | |
| Capital Markets (0.2%): | | | |
| | 900,000 | | | Credit Suisse Group AG, 3.25%(EUAMDB01+350bps), 4/2/26, Callable 4/2/25 @ 100, MTN+(a) | | | 1,114,286 | |
| | 700,000 | | | Deutsche Bank AG, 1.00%(EUR003M+1.6bps), 11/19/25, Callable 11/19/24 @ 100+(a) | | | 810,256 | |
| | 670,000 | | | SELP Finance Sarl, 0.88%, 5/27/29, Callable 2/27/29 @ 100+(a) | | | 746,196 | |
| | 1,170,000 | | | UBS Group AG, 0.25%(EUSA1+55bps), 1/29/26, Callable 1/29/25 @ 100, MTN+(a) | | | 1,333,333 | |
| | 240,000 | | | UBS Group AG, 0.25%(EUSA1+0.77bps), 11/5/28, Callable 11/5/27 @ 100, MTN+(a) | | | 268,256 | |
| | 1,140,000 | | | Viterra Finance BV, 0.38%, 9/24/25, Callable 8/24/25 @ 100, MTN+(a) | | | 1,288,335 | |
| | | | | | | | |
| | | | | | | 5,560,662 | |
| | | | | | | | |
| Chemicals (0.1%): | | | |
| | 800,000 | | | Air Liquide Finance SA, Series E, 0.38%, 4/18/22, Callable 1/24/22 @ 100+(a) | | | 910,935 | |
| | 100,000 | | | Arkema SA, 0.13%, 10/14/26, Callable 7/14/26 @ 100, MTN+(a) | | | 113,877 | |
| | 390,000 | | | Covestro AG, 0.88%, 2/3/26, Callable 11/3/25 @ 100, MTN+(a) | | | 452,640 | |
| | | | | | | | |
| | | | | | | 1,477,452 | |
| | | | | | | | |
| Consumer Discretionary Products (0.1%): | | | |
| | 1,110,000 | | | Highland Holdings Sarl, 0.32%, 12/15/26, Callable 9/15/26 @ 100+ | | | 1,260,105 | |
| | | | | | | | |
| Consumer Finance (0.0%†): | | | |
| | 570,000 | | | Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22, MTN+(a) | | | 648,898 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 320,000 | | | Motability Operations Group plc, 0.13%, 7/20/28, MTN+(a) | | | 356,196 | |
| | | | | | | | |
| Diversified Financial Services (0.3%): | | | |
| | 660,000 | | | BAT International Finance plc, Series E, 0.88%, 10/13/23, Callable 7/13/23 @ 100+(a) | | | 760,710 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Diversified Financial Services, continued | | | |
| $ | 515,000 | | | BAT International Finance plc, 1.25%, 3/13/27, Callable 12/13/26 @ 100, MTN+(a) | | $ | 595,624 | |
| | 490,000 | | | BP Capital Markets BV, 1.47%, 9/21/41+(a) | | | 541,525 | |
| | 825,000 | | | BP Capital Matkets plc, 3.25%(EUSA5+388bps), Callable 3/22/26 @ 100+(a) | | | 993,178 | |
| | 330,000 | | | Enel Finance International NV, 0.03%, 6/17/24, Callable 5/17/24 @ 100, MTN+(a) | | | 375,347 | |
| | 600,000 | | | Holcim Finance Luxembourg SA, 0.13%, 7/19/27, MTN+(a) | | | 670,046 | |
| | 390,000 | | | Holcim Finance Luxembourg SA, 0.50%, 9/3/30, Callable 6/3/30 @ 100, MTN+(a) | | | 426,828 | |
| | 320,000 | | | Holcim Finance Luxembourg SA, 0.50%, 4/23/31, Callable 1/23/31 @ 100+(a) | | | 345,595 | |
| | 600,000 | | | PSA Banque France SA, 0.23%, 1/22/25, Callable 10/22/24 @ 100, MTN+(a) | | | 678,262 | |
| | 400,000 | | | Total Capital International SA, Series E, 2.13%, 3/15/23, MTN+(a) | | | 468,686 | |
| | 300,000 | | | Volvo Treasury AB, 0.00%, 2/11/23, MTN+(a) | | | 342,383 | |
| | 700,000 | | | Vonovia Finance BV, 0.75%, 1/25/22, MTN+(a) | | | 797,386 | |
| | 1,500,000 | | | Vonovia Finance BV, Series E, 0.13%, 4/6/23, Callable 3/6/23 @ 100, MTN+(a) | | | 1,712,851 | |
| | | | | | | | |
| | | | | | | 8,708,421 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.1%): | | | |
| | 200,000 | | | Orange SA, Series E, 0.75%, 9/11/23, Callable 6/11/23 @ 100, MTN+(a) | | | 230,951 | |
| | 1,705,000 | | | Telstra Corp., Ltd., Series E, 3.50%, 9/21/22, MTN+(a) | | | 1,992,126 | |
| | | | | | | | |
| | | | | | | 2,223,077 | |
| | | | | | | | |
| Electric Utilities (0.0%†): | | | |
| | 470,000 | | | National Grid Electricity Transmission, 0.19%, 1/20/25, Callable 10/20/24 @ 100+(a) | | | 536,067 | |
| | | | | | | | |
| Electrical Equipment (0.0%†): | | | |
| | 400,000 | | | Schneider Electric SE, 0.00%, 6/12/23, Callable 5/12/23 @ 100, MTN+(a) | | | 456,970 | |
| | 400,000 | | | Schneider Electric SE, Series E, 0.25%, 9/9/24, Callable 6/9/24 @ 100, MTN+(a) | | | 459,356 | |
| | | | | | | | |
| | | | | | | 916,326 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.0%†): | | | |
| | 750,000 | | | Amphenol Technologies Holding GmbH, 0.75%, 5/4/26, Callable 2/4/26 @ 100+(a) | | | 871,683 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.1%): | | | |
| | 200,000 | | | Icade Sante SAS, 1.38%, 9/17/30, Callable 6/17/30 @ 100+(a) | | | 233,414 | |
| | 1,500,000 | | | Merlin Properties Socimi SA, 1.88%, 12/4/34, Callable 9/4/34 @ 100+(a) | | | 1,674,516 | |
| | | | | | | | |
| | | | | | | 1,907,930 | |
| | | | | | | | |
| Food & Staples Retailing (0.0%†): | | | |
| | 240,000 | | | Tesco Corporate Treasury Services plc, 0.38%, 7/27/29, Callable 4/27/29 @ 100, MTN+(a) | | | 261,986 | |
| | | | | | | | |
| Food Products (0.0%†): | | | |
| | 280,000 | | | Mondelez International Holdings Netherlands BV, 1.25%, 9/9/41, Callable 6/9/41 @ 100+(a) | | | 305,251 | |
| | | | | | | | |
See accompanying notes to the financial statements.
18
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Health Care Equipment & Supplies (0.0%†): | | | |
| $ | 730,000 | | | DH Europe Finance II Sarl, 0.20%, 3/18/26, Callable 12/18/25 @ 100+ | | $ | 829,661 | |
| | 320,000 | | | Medtronic Global Holdings SCA, 1.38%, 10/15/40, Callable 4/15/40 @ 100+ | | | 362,541 | |
| | | | | | | | |
| | | | | | | 1,192,202 | |
| | | | | | | | |
| Health Care Providers & Services (0.0%†): | | | |
| | 390,000 | | | Fresenius Finance Ireland plc, 0.88%, 10/1/31, Callable 7/1/31 @ 100, MTN+(a) | | | 433,856 | |
| | | | | | | | |
| IT Services (0.0%†): | | | |
| | 700,000 | | | Amadeus IT Group SA, 2.88%, 5/20/27, Callable 2/20/27 @ 100, MTN+(a) | | | 882,437 | |
| | 100,000 | | | Amadeus IT Group SA, 1.88%, 9/24/28, Callable 6/24/28 @ 100, MTN+(a) | | | 120,698 | |
| | | | | | | | |
| | | | | | | 1,003,135 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 400,000 | | | KION Group AG, 1.63%, 9/24/25, Callable 6/24/25 @ 100, MTN+(a) | | | 478,804 | |
| | | | | | | | |
| Media (0.1%): | | | |
| | 870,000 | | | Informa plc, 2.13%, 10/6/25, Callable 7/6/25 @ 100, MTN+(a) | | | 1,036,972 | |
| | 610,000 | | | SES SA, 2.00%, 7/2/28, Callable 4/2/28 @ 100+(a) | | | 730,621 | |
| | 160,000 | | | WPP Finance SA, 2.38%, 5/19/27, MTN+(a) | | | 200,915 | |
| | | | | | | | |
| | | | | | | 1,968,508 | |
| | | | | | | | |
| Multi-Utilities (0.2%): | | | |
| | 1,300,000 | | | E.ON SE, 0.00%, 10/24/22, Callable 9/24/22 @ 100, MTN+(a) | | | 1,483,524 | |
| | 395,000 | | | ESB Finance DAC, Series E, 3.49%, 1/12/24+(a) | | | 481,628 | |
| | 280,000 | | | Innogy Finance BV, Series E, 0.75%, 11/30/22, Callable 8/30/22 @ 100, MTN+(a) | | | 320,950 | |
| | 200,000 | | | Redexis Gas Finance BV, 1.88%, 5/28/25, Callable 2/28/25 @ 100, MTN+(a) | | | 238,692 | |
| | 100,000 | | | Suez SA, 1.62%(EUAMDB05+215.1bps), Callable 6/1/26 @ 100+(a) | | | 114,266 | |
| | 1,300,000 | | | Veolia Environnement SA, Series E, 0.67%, 3/30/22, Callable 1/24/22 @ 100+(a) | | | 1,480,564 | |
| | 200,000 | | | Veolia Environnement SA, 1.59%, 1/10/28, Callable 10/10/27 @ 100, MTN+(a) | | | 244,325 | |
| | 100,000 | | | Veolia Environnement SA, 0.80%, 1/15/32, Callable 10/15/31 @ 100, MTN+(a) | | | 114,154 | |
| | | | | | | | |
| | | | | | | 4,478,103 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.2%): | | | |
| | 330,000 | | | Aker BP ASA, 1.13%, 5/12/29, Callable 2/12/29 @ 100, MTN+(a) | | | 372,744 | |
| | 720,000 | | | Digital Dutch Finco BV, 1.50%, 3/15/30, Callable 12/15/29 @ 100+(a) | | | 849,028 | |
| | 600,000 | | | Digital Dutch Finco BV, 1.00%, 1/15/32, Callable 10/15/31 @ 100+(a) | | | 661,487 | |
| | 800,000 | | | Repsol Europe Finance Sarl, 0.88%, 7/6/33, Callable 1/6/33 @ 100, MTN+(a) | | | 892,183 | |
| | 1,100,000 | | | TotalEnergies SE, 1.75%(EUSA5+176.5bps), 12/31/99, Callable 4/4/24 @ 100, MTN+(a) | | | 1,274,148 | |
| | 1,600,000 | | | TotalEnergies SE, 1.62%(EUSA5+199.3bps), 12/31/99, Callable 10/25/27 @ 100, MTN+(a) | | | 1,803,217 | |
| | | | | | | | |
| | | | | | | 5,852,807 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Foreign Bonds, continued | | | |
| Pharmaceuticals (0.2%): | | | |
| $ | 475,000 | | | Abbott Ireland Financing DAC, 0.88%, 9/27/23, Callable 8/27/23 @ 100+(a) | | $ | 550,914 | |
| | 490,000 | | | Abbott Ireland Financing DAC, 0.10%, 11/19/24, Callable 10/19/24 @ 100+(a) | | | 560,987 | |
| | 500,000 | | | Merck Financial Services GmbH, 0.13%, 7/16/25, Callable 4/16/25 @ 100, MTN+(a) | | | 571,645 | |
| | 200,000 | | | Merck KGaA, 1.62%(EUAMDB05+194.8bps), 6/25/79, Callable 9/18/24 @ 100+(a) | | | 233,480 | |
| | 1,125,000 | | | Takeda Pharmaceutical Co., Ltd., 2.00%, 7/9/40, Callable 1/9/40 @ 100+ | | | 1,381,690 | |
| | 840,000 | | | Upjohn Finance BV, 1.02%, 6/23/24, Callable 5/23/24 @ 100+(a) | | | 977,012 | |
| | | | | | | | |
| | | | | | | 4,275,728 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 520,000 | | | RELX Finance BV, 0.00%, 3/18/24, Callable 2/18/24 @ 100+(a) | | | 592,812 | |
| | 220,000 | | | Wolters Kluwer NV, 0.75%, 7/3/30, Callable 4/3/30 @ 100+(a) | | | 251,160 | |
| | | | | | | | |
| | | | | | | 843,972 | |
| | | | | | | | |
| Real Estate (0.1%): | | | |
| | 2,100,000 | | | Heimstaden Bostad Treasury BV, 0.25%, 10/13/24, Callable 9/13/24 @ 100, MTN+(a) | | | 2,393,689 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 280,000 | | | Kojamo Oyj, 0.88%, 5/28/29, Callable 2/28/29 @ 100, MTN+(a) | | | 313,778 | |
| | 600,000 | | | Vonovia SE, 0.63%, 12/14/29, Callable 9/14/29 @ 100, MTN+(a) | | | 671,596 | |
| | | | | | | | |
| | | | | | | 985,374 | |
| | | | | | | | |
| Road & Rail (0.1%): | | | |
| | 600,000 | | | Traton Finance Luxembourg SA, 0.12%, 6/14/24, Callable 5/14/24 @ 100, MTN+(a) | | | 680,995 | |
| | 600,000 | | | Traton Finance Luxembourg SA, 0.13%, 11/10/24, Callable 10/10/24 @ 100, MTN+(a) | | | 681,732 | |
| | | | | | | | |
| | | | | | | 1,362,727 | |
| | | | | | | | |
| Sovereign Bond (0.2%): | | | |
| | 4,165,000 | | | Mexico Government International Bond, 1.45%, 10/25/33, Callable 7/25/33 @ 100, MTN+ | | | 4,393,820 | |
| | 714,000 | | | Mexico Government International Bond, 2.13%, 10/25/51, Callable 4/25/51 @ 100+ | | | 670,726 | |
| | | | | | | | |
| | | | | | | 5,064,546 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.0%†): | | | |
| | 100,000 | | | Kering SA, 0.75%, 5/13/28, Callable 2/13/28 @ 100, MTN+(a) | | | 117,426 | |
| | 690,000 | | | LVMH Moet Hennessy Louis Vuitton SE, Series E, 0.38%, 5/26/22, Callable 2/26/22 @ 100, MTN+(a) | | | 786,396 | |
| | | | | | | | |
| | | | | | | 903,822 | |
| | | | | | | | |
| Tobacco (0.0%†): | | | |
| | 410,000 | | | Imperial Brands Finance Netherlands BV, 1.75%, 3/18/33, Callable 12/18/32 @ 100, MTN+(a) | | | 454,583 | |
| | | | | | | | |
| | Total Foreign Bonds (Cost $75,380,497) | | | 74,964,903 | |
| | | | | |
See accompanying notes to the financial statements.
19
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations (5.8%): | | | |
| Airlines (0.0%†): | | | |
| $ | 283,544 | | | Air Canada Pass Through Trust, Series 2017-1, Class A, 3.30%, 7/15/31(a) | | $ | 286,727 | |
| | | | | | | | |
| Automobiles (0.1%): | | | |
| | 1,122,000 | | | Nissan Motor Co., Ltd., 4.81%, 9/17/30, Callable 6/17/30 @ 100(a) | | | 1,256,406 | |
| | | | | | | | |
| Banking (0.0%†): | | | |
| | 278,000 | | | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa, 4.13%, 6/6/24(a) | | | 289,719 | |
| | | | | | | | |
| Banks (1.6%): | | | |
| | 290,000 | | | Banco Nacional de Panama, 2.50%, 8/11/30, Callable 5/11/30 @ 100(a) | | | 271,512 | |
| | 2,800,000 | | | Banco Santander SA, 2.71%, 6/27/24 | | | 2,895,085 | |
| | 405,000 | | | Barclays plc, 3.68%, 1/10/23, Callable 1/10/22 @ 100 | | | 405,021 | |
| | 1,576,000 | | | Barclays plc, 4.61% (US0003M+140 bps), 2/15/23, Callable 2/15/22 @ 100 | | | 1,582,613 | |
| | 1,752,000 | | | Barclays plc, 2.67% (H15T1Y+120 bps), 3/10/32, Callable 3/10/31 @ 100 | | | 1,735,475 | |
| | 2,084,000 | | | BNP Paribas SA, 2.82% (US0003M+1 bps), 11/19/25, Callable 11/19/24 @ 100(a) | | | 2,144,696 | |
| | 1,254,000 | | | BPCE SA, 2.70%, 10/1/29(a) | | | 1,278,002 | |
| | 331,000 | | | Credicorp, Ltd., 2.75%, 6/17/25, Callable 5/17/25 @ 100(a) | | | 334,310 | |
| | 772,000 | | | Danske Bank A/S, 5.00%, 1/12/22(a) | | | 772,753 | |
| | 854,000 | | | Danske Bank A/S, 3.88%, 9/12/23(a) | | | 889,478 | |
| | 1,102,000 | | | Danske Bank A/S, 5.38%, 1/12/24(a) | | | 1,186,419 | |
| | 3,787,000 | | | Danske Bank A/S, 1.23%, 6/22/24, Callable 6/22/23 @ 100(a) | | | 3,789,840 | |
| | 856,000 | | | Danske Bank A/S, 3.24% (US0003M+159 bps), 12/20/25, Callable 12/20/24 @ 100(a) | | | 890,091 | |
| | 681,000 | | | Danske Bank A/S, 1.55%, 9/10/27, Callable 9/10/26 @ 100(a) | | | 662,731 | |
| | 2,053,000 | | | HSBC Holdings plc, 3.26% (US0003M+106 bps), 3/13/23, Callable 3/13/22 @ 100 | | | 2,062,372 | |
| | 527,000 | | | HSBC Holdings plc, 1.59% (SOFR+129 bps), 5/24/27, Callable 5/24/26 @ 100 | | | 514,823 | |
| | 1,355,000 | | | HSBC Holdings plc, 2.25% (SOFR+110 bps), 11/22/27, Callable 11/22/26 @ 100 | | | 1,352,775 | |
| | 828,000 | | | HSBC Holdings plc, 4.58% (US0003M+153 bps), 6/19/29, Callable 6/19/28 @ 100 | | | 927,593 | |
| | 278,000 | | | HSBC Holdings plc, 2.21% (SOFR+129 bps), 8/17/29, Callable 8/17/28 @ 100 | | | 272,238 | |
| | 623,000 | | | HSBC Holdings plc, 2.80% (SOFR+119 bps), 5/24/32, Callable 5/24/31 @ 100 | | | 625,286 | |
| | 875,000 | | | ING Groep NV, 4.63%, 1/6/26(a) | | | 971,127 | |
| | 348,000 | | | Intercorp Peru, Ltd., 3.88%, 8/15/29, Callable 5/15/29 @ 100(a) | | | 338,804 | |
| | 1,330,000 | | | Lloyds Banking Group plc, 2.91% (US0003M+81 bps), 11/7/23, Callable 11/7/22 @ 100 | | | 1,351,300 | |
| | 1,751,000 | | | Lloyds Banking Group plc, 4.38%, 3/22/28 | | | 1,969,805 | |
| | 3,161,000 | | | Mitsubishi UFJ Financial Group, Inc., 3.20%, 7/18/29 | | | 3,338,443 | |
| | 1,415,000 | | | Mizuho Financial Group, Inc., 2.84% (US0003M+98 bps), 7/16/25, Callable 7/16/24 @ 100^ | | | 1,463,703 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Banks, continued | | | |
| $ | 1,015,000 | | | Mizuho Financial Group, Inc., 2.56% (US0003M+110 bps), 9/13/25, Callable 9/13/24 @ 100 | | $ | 1,043,167 | |
| | 352,000 | | | Mizuho Financial Group, Inc., 2.23% (US0003M+83 bps), 5/25/26, Callable 5/25/25 @ 100 | | | 356,976 | |
| | 2,242,000 | | | Mizuho Financial Group, Inc., 1.98% (US0003M+127 bps), 9/8/31, Callable 9/8/30 @ 100 | | | 2,170,476 | |
| | 811,000 | | | Mizuho Financial Group, Inc., 2.26% (H15T1Y+90 bps), 7/9/32, Callable 7/9/31 @ 100^ | | | 795,186 | |
| | 375,000 | | | Santander UK Group Holdings plc, 4.80% (US0003M+157 bps), 11/15/24, Callable 11/15/23 @ 100 | | | 398,038 | |
| | 1,586,000 | | | Santander UK Group Holdings plc, 1.09% (SOFR+79 bps), 3/15/25, Callable 3/15/24 @ 100 | | | 1,567,991 | |
| | 1,539,000 | | | Santander UK Group Holdings plc, 1.53% (H15T1Y+125 bps), 8/21/26, Callable 8/21/25 @ 100 | | | 1,514,287 | |
| | 1,518,000 | | | Sumitomo Mitsui Financial Group, Inc., 3.04%, 7/16/29 | | | 1,584,364 | |
| | 170,000 | | | Uruguay Government International Bond, 5.10%, 6/18/50 | | | 225,250 | |
| | | | | | | | |
| | | | | | | 43,682,030 | |
| | | | | | | | |
| Beverages (0.1%): | | | |
| | 260,000 | | | Embotelladora Andina SA, 3.95%, 1/21/50, Callable 7/21/49 @ 100(a) | | | 269,750 | |
| | 1,457,000 | | | Suntory Holdings, Ltd., 2.25%, 10/16/24, Callable 9/16/24 @ 100(a) | | | 1,485,952 | |
| | | | | | | | |
| | | | | | | 1,755,702 | |
| | | | | | | | |
| Biotechnology (0.2%): | | | |
| | 3,546,000 | | | Shire Acquisitions Investments, 3.20%, 9/23/26, Callable 6/23/26 @ 100 | | | 3,758,824 | |
| | | | | | | | |
| Capital Markets (0.4%): | | | |
| | 3,122,000 | | | Credit Suisse AG, 1.25%, 8/7/26 | | | 3,044,240 | |
| | 395,000 | | | Credit Suisse Group AG, 3.09% (SOFR+173 bps), 5/14/32, Callable 5/14/31 @ 100(a) | | | 401,526 | |
| | 1,640,000 | | | Deutsche Bank AG, 1.45% (SOFR+113 bps), 4/1/25, Callable 4/1/24 @ 100 | | | 1,631,134 | |
| | 206,000 | | | Deutsche Bank AG, 4.10%, 1/13/26^ | | | 220,713 | |
| | 1,921,000 | | | Deutsche Bank AG, 1.69%, 3/19/26 | | | 1,916,290 | |
| | 2,000 | | | Macquarie Group, Ltd., 4.65% (US0003M+173 bps), 3/27/29, Callable 3/27/28 @ 100(a) | | | 2,247 | |
| | 958,000 | | | Nomura Holdings, Inc., 2.68%, 7/16/30 | | | 955,887 | |
| | 475,000 | | | Nomura Holdings, Inc., 2.61%, 7/14/31 | | | 469,062 | |
| | 650,000 | | | SA Global Sukuk, Ltd., 2.69%, 6/17/31, Callable 3/17/31 @ 100(a) | | | 654,551 | |
| | 1,888,000 | | | UBS Group AG, 2.86% (US0003M+95 bps), 8/15/23, Callable 8/15/22 @ 100(a) | | | 1,909,661 | |
| | | | | | | | |
| | | | | | | 11,205,311 | |
| | | | | | | | |
| Chemicals (0.0%†): | | | |
| | 299,000 | | | Orbia Advance Corp. SAB de CV, 1.88%, 5/11/26, Callable 4/11/26 @ 100(a) | | | 293,847 | |
| | 255,000 | | | Sociedad Quimica y Minera de Chile SA, 4.25%, 1/22/50, Callable 7/22/49 @ 100(a) | | | 274,444 | |
| | | | | | | | |
| | | | | | | 568,291 | |
| | | | | | | | |
See accompanying notes to the financial statements.
20
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Consumer Finance (0.1%): | | | |
| $ | 1,675,000 | | | Hyundai Capital Services, Inc., 3.00%, 8/29/22(a) | | $ | 1,697,596 | |
| | 1,390,000 | | | Hyundai Capital Services, Inc., 3.75%, 3/5/23(a) | | | 1,430,602 | |
| | | | | | | | |
| | | | | | | 3,128,198 | |
| | | | | | | | |
| Diversified Financial Services (0.5%): | | | |
| | 270,000 | | | Banco Latinoamericano de Comercio Exterior SA, 2.38%, 9/14/25, Callable 8/15/25 @ 100(a) | | | 270,263 | |
| | 1,331,000 | | | GE Capital International Funding, 4.42%, 11/15/35 | | | 1,595,190 | |
| | 55,000 | | | nVent Finance Sarl, 2.75%, 11/15/31, Callable 8/15/31 @ 100 | | | 54,820 | |
| | 1,077,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.15%, 5/1/27, Callable 3/1/27 @ 100(a) | | | 1,129,428 | |
| | 4,280,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 6/18/29, Callable 3/18/29 @ 100(a) | | | 4,794,944 | |
| | 372,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 5/1/30, Callable 2/1/30 @ 100(a) | | | 396,781 | |
| | 1,164,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.50%, 5/11/31, Callable 2/11/31 @ 100(a) | | | 1,167,015 | |
| | 48,000 | | | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.25%, 11/30/51, Callable 5/30/51 @ 100(a) | | | 48,102 | |
| | 1,040,000 | | | ORIX Corp., 2.90%, 7/18/22 | | | 1,051,639 | |
| | 1,755,000 | | | Shell International Finance BV, 2.38%, 11/7/29, Callable 8/7/29 @ 100 | | | 1,791,820 | |
| | 289,000 | | | Shell International Finance BV, 4.55%, 8/12/43 | | | 358,869 | |
| | | | | | | | |
| | | | | | | 12,658,871 | |
| | | | | | | | |
| Diversified Telecommunication (0.0%†): | | | |
| | 250,000 | | | Saudi Telecom Co., 3.89%, 5/13/29(a) | | | 274,687 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.0%†): | | | |
| | 389,000 | | | Deutsche Telekom International Finance BV, 2.49%, 9/19/23, Callable 7/19/23 @ 100(a) | | | 396,732 | |
| | | | | | | | |
| Electric Utilities (0.0%†): | | | |
| | 327,000 | | | Kallpa Generacion SA, 4.13%, 8/16/27, Callable 5/16/27 @ 100(a) | | | 339,550 | |
| | 230,000 | | | Saudi Electricity Global Sukuk Co. 2, 5.06%, 4/8/43(a) | | | 291,928 | |
| | | | | | | | |
| | | | | | | 631,478 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.0%†): | | | |
| | 272,000 | | | Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV, 4.96%, 7/18/29, Callable 4/18/29 @ 100(a) | | | 293,420 | |
| | 269,000 | | | Trust Fibra Uno, 5.25%, 12/15/24, Callable 9/15/24 @ 100(a) | | | 290,856 | |
| | 253,000 | | | Trust Fibra Uno, 6.39%, 1/15/50, Callable 7/15/49 @ 100^(a) | | | 296,638 | |
| | | | | | | | |
| | | | | | | 880,914 | |
| | | | | | | | |
| Financial Services (0.0%†): | | | |
| | 260,000 | | | SURA Asset Management SA, 4.88%, 4/17/24(a) | | | 273,650 | |
| | | | | | | | |
| Food & Staples Retailing (0.0%†): | | | |
| | 556,000 | | | Alimentation Couche-Tard, Inc., 3.44%, 5/13/41, Callable 11/13/40 @ 100(a) | | | 573,199 | |
| | 250,000 | | | Cencosud SA, 5.15%, 2/12/25, Callable 11/12/24 @ 100(a) | | | 269,023 | |
| | | | | | | | |
| | | | | | | 842,222 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Food Products (0.0%†): | | | |
| $ | 277,000 | | | Grupo Bimbo SAB de CV, 4.00%, 9/6/49(a) | | $ | 300,125 | |
| | | | | | | | |
| Household Durables (0.0%†): | | | |
| | 302,000 | | | Consorcio Transmantaro SA, 4.70%, 4/16/34(a) | | | 332,200 | |
| | | | | | | | |
| Independent Power and Renewabl (0.0%†): | | | |
| | 210,000 | | | Colbun SA, 3.15%, 1/19/32, Callable 10/19/31 @ 100(a) | | | 206,706 | |
| | | | | | | | |
Independent Power and Renewable Electricity
Producers (0.0%†): | | | |
| | 280,000 | | | Adani Electricity Mumbai, Ltd., 3.95%, 2/12/30(a) | | | 276,850 | |
| | 270,000 | | | AES Panama Generation Holdings SRL, 4.38%, 5/31/30, Callable 2/28/30 @ 100(a) | | | 281,138 | |
| | | | | | | | |
| | | | | | | 557,988 | |
| | | | | | | | |
| Industrial Services (0.0%†): | | | |
| | 250,000 | | | Raizen Fuels Finance SA, 5.30%, 1/20/27(a) | | | 272,732 | |
| | | | | | | | |
| Interactive Media & Services (0.1%): | | | |
| | 490,000 | | | Baidu, Inc., 4.38%, 5/14/24, Callable 4/14/24 @ 100 | | | 521,160 | |
| | 475,000 | | | Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100 | | | 525,017 | |
| | 1,511,000 | | | Tencent Holdings, Ltd., 2.99%, 1/19/23, Callable 12/19/22 @ 100(a) | | | 1,535,404 | |
| | 515,000 | | | Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100(a) | | | 547,982 | |
| | | | | | | | |
| | | | | | | 3,129,563 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.0%†): | | | |
| | 320,000 | | | Alibaba Group Holding, Ltd., 2.80%, 6/6/23, Callable 5/6/23 @ 100 | | | 327,534 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 670,000 | | | Trane Technologies Luxembourg Finance SA, 3.50%, 3/21/26, Callable 1/21/26 @ 100 | | | 713,591 | |
| | | | | | | | |
| Materials (0.1%): | | | |
| | 260,000 | | | Celulosa Arauco y Constitucion SA, 4.20%, 1/29/30, Callable 10/29/29 @ 100(a) | | | 277,740 | |
| | 366,000 | | | Equate Petrochemical BV, 4.25%, 11/3/26(a) | | | 398,155 | |
| | 240,000 | | | Fibria Overseas Finance, Ltd., 5.50%, 1/17/27 | | | 268,800 | |
| | 250,000 | | | Inversiones CMPC SA, 4.38%, 4/4/27^(a) | | | 273,833 | |
| | 329,000 | | | MEGlobal Canada ULC, 5.88%, 5/18/30(a) | | | 398,501 | |
| | 540,000 | | | Metalloinvest Finance DAC, 3.38%, 10/22/28, Callable 7/22/28 @ 100(a) | | | 534,057 | |
| | 240,000 | | | SABIC Capital II BV, 4.50%, 10/10/28(a) | | | 270,690 | |
| | | | | | | | |
| | | | | | | 2,421,776 | |
| | | | | | | | |
| Metals & Mining (0.2%): | | | |
| | 2,622,000 | | | Anglo American Capital plc, 4.75%, 4/10/27(a) | | | 2,917,295 | |
| | 365,000 | | | Anglo American Capital plc, 4.00%, 9/11/27(a) | | | 392,909 | |
| | 297,000 | | | Anglo American Capital plc, 4.50%, 3/15/28, Callable 12/15/27 @ 100(a) | | | 327,597 | |
| | 1,074,000 | | | Anglo American Capital plc, 2.25%, 3/17/28, Callable 1/17/28 @ 100^(a) | | | 1,058,555 | |
| | 290,000 | | | Antofagasta plc, 2.38%, 10/14/30, Callable 7/14/30 @ 100^(a) | | | 276,698 | |
| | 260,000 | | | Corp Nacional del Cobre de Chile, 3.75%, 1/15/31, Callable 10/15/30 @ 100^(a) | | | 276,250 | |
| | 260,000 | | | Vale Overseas, Ltd., 3.75%, 7/8/30, Callable 4/8/30 @ 100 | | | 269,779 | |
See accompanying notes to the financial statements.
21
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Metals & Mining, continued | | | |
| $ | 200,000 | | | Vale Overseas, Ltd., 6.88%, 11/10/39 | | $ | 268,750 | |
| | | | | | | | |
| | | | | | | 5,787,833 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.2%): | | | |
| | 56,000 | | | Cenovus Energy, Inc., 3.75%, 2/15/52, Callable 8/15/51 @ 100 | | | 56,212 | |
| | 555,000 | | | Ecopetrol SA, 4.13%, 1/16/25 | | | 565,406 | |
| | 230,000 | | | Galaxy Pipeline Assets Bidco, Ltd., 2.94%, 9/30/40(a) | | | 229,371 | |
| | 270,000 | | | KazMunayGas National Co. JSC, 3.50%, 4/14/33, Callable 10/14/32 @ 100(a) | | | 279,112 | |
| | 281,000 | | | Lukoil Capital DAC, 2.80%, 4/26/27, Callable 1/26/27 @ 100(a) | | | 276,806 | |
| | 259,000 | | | Lukoil Securities BV, 3.88%, 5/6/30(a) | | | 264,180 | |
| | 270,000 | | | Pertamina Persero PT, 3.10%, 1/21/30, Callable 10/21/29 @ 100(a) | | | 275,062 | |
| | 280,000 | | | Pertamina Persero PT, 4.15%, 2/25/60, Callable 8/25/59 @ 100^(a) | | | 280,350 | |
| | 260,000 | | | Petronas Capital, Ltd., 3.50%, 4/21/30, Callable 1/21/30 @ 100(a) | | | 281,455 | |
| | 230,000 | | | Petronas Capital, Ltd., 4.55%, 4/21/50, Callable 10/21/49 @ 100(a) | | | 285,961 | |
| | 275,000 | | | Qatar Energy, 2.25%, 7/12/31, Callable 4/12/31 @ 100(a) | | | 272,087 | |
| | 269,000 | | | Qatar Energy, 3.30%, 7/12/51, Callable 1/12/51 @ 100(a) | | | 278,267 | |
| | 280,000 | | | Saudi Arabian Oil Co., 2.25%, 11/24/30, Callable 8/24/30 @ 100(a) | | | 272,300 | |
| | 290,000 | | | Saudi Arabian Oil Co., 3.25%, 11/24/50, Callable 5/24/50 @ 100(a) | | | 282,388 | |
| | 290,000 | | | Saudi Arabian Oil Co., 3.50%, 11/24/70, Callable 5/24/70 @ 100(a) | | | 282,025 | |
| | 298,000 | | | Suncor Energy, Inc., 6.80%, 5/15/38 | | | 417,061 | |
| | 250,000 | | | Transportadora de Gas Internacional SA ESP, 5.55%, 11/1/28, Callable 8/1/28 @ 100(a) | | | 276,250 | |
| | | | | | | | |
| | | | | | | 4,874,293 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | | | |
| | 240,000 | | | Suzano Austria GmbH, 5.75%, 7/14/26(a) | | | 273,650 | |
| | 270,000 | | | Suzano Austria GmbH, 3.75%, 1/15/31, Callable 10/15/30 @ 100 | | | 274,598 | |
| | | | | | | | |
| | | | | | | 548,248 | |
| | | | | | | | |
| Pharmaceuticals (0.1%): | | | |
| | 1,487,000 | | | AstraZeneca plc, 1.38%, 8/6/30, Callable 5/6/30 @ 100 | | | 1,405,112 | |
| | | | | | | | |
| Real Estate (0.0%†): | | | |
| | 250,000 | | | MAF Sukuk, Ltd., 3.93%, 2/28/30, MTN(a) | | | 268,125 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 250,000 | | | Mitsui Fudosan Co., Ltd., 2.95%, 1/23/23, Callable 12/23/22 @ 100(a) | | | 254,657 | |
| | | | | | | | |
| Sovereign Bond (1.9%): | | | |
| | 200,000 | | | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | | | 233,674 | |
| | 704,000 | | | Chile Government International Bond, 3.24%, 2/6/28, Callable 11/6/27 @ 100 | | | 742,972 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Sovereign Bond, continued | | | |
| $ | 220,000 | | | Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100 | | $ | 219,201 | |
| | 1,780,000 | | | Chile Government International Bond, 2.55%, 1/27/32, Callable 10/27/31 @ 100 | | | 1,778,307 | |
| | 2,563,000 | | | Chile Government International Bond, 2.55%, 7/27/33, Callable 4/27/33 @ 100 | | | 2,492,518 | |
| | 200,000 | | | Chile Government International Bond, 3.86%, 6/21/47 | | | 222,806 | |
| | 1,905,000 | | | Colombia Government International Bond, 3.13%, 4/15/31, Callable 1/15/31 @ 100 | | | 1,711,713 | |
| | 860,000 | | | Colombia Government International Bond, 3.25%, 4/22/32, Callable 1/22/32 @ 100 | | | 770,907 | |
| | 246,000 | | | Hungary Government International Bond, 7.63%, 3/29/41 | | | 402,977 | |
| | 200,000 | | | Indonesia Government International Bond, 3.85%, 10/15/30^ | | | 224,752 | |
| | 236,000 | | | Indonesia Government International Bond, 7.75%, 1/17/38(a) | | | 359,003 | |
| | 200,000 | | | Indonesia Government International Bond, 6.75%, 1/15/44(a) | | | 296,010 | |
| | 200,000 | | | Israel Government International Bond, 4.50%, 1/30/43 | | | 256,371 | |
| | 350,000 | | | Kazakhstan Government International Bond, 4.88%, 10/14/44(a) | | | 429,163 | |
| | 5,119,000 | | | Mexico Government International Bond, 4.15%, 3/28/27 | | | 5,658,220 | |
| | 1,120,000 | | | Mexico Government International Bond, 3.75%, 1/11/28 | | | 1,204,401 | |
| | 390,000 | | | Mexico Government International Bond, 4.75%, 4/27/32, Callable 1/27/32 @ 100 | | | 442,296 | |
| | 210,000 | | | Mexico Government International Bond, 4.60%, 2/10/48 | | | 225,348 | |
| | 370,000 | | | Mexico Government International Bond, 5.75%, 10/12/10 | | | 428,592 | |
| | 589,561 | | | Oriental Republic of Uruguay, 4.50%, 8/14/24^ | | | 624,140 | |
| | 2,175,000 | | | Oriental Republic of Uruguay, 4.38%, 10/27/27 | | | 2,441,438 | |
| | 884,000 | | | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | | | 914,940 | |
| | 2,295,000 | | | Panama Government International Bond, 4.50%, 4/1/56, Callable 10/1/55 @ 100 | | | 2,521,631 | |
| | 200,000 | | | Perusahaan Penerbit SBSN Indonesia III, 4.15%, 3/29/27(a) | | | 221,500 | |
| | 438,000 | | | Peruvian Government International Bond, 2.78%, 1/23/31, Callable 10/23/30 @ 100 | | | 436,287 | |
| | 55,000 | | | Peruvian Government International Bond, 3.00%, 1/15/34, Callable 10/15/33 @ 100 | | | 54,315 | |
| | 230,000 | | | Peruvian Government International Bond, 3.30%, 3/11/41, Callable 9/11/40 @ 100 | | | 231,762 | |
| | 230,000 | | | Philippine Government International Bond, 1.65%, 6/10/31 | | | 222,335 | |
| | 1,725,000 | | | Philippine Government International Bond, 1.95%, 1/6/32 | | | 1,698,985 | |
| | 210,000 | | | Philippine Government International Bond, 3.70%, 2/2/42 | | | 229,097 | |
| | 689,000 | | | Province of Manitoba, 3.05%, 5/14/24 | | | 721,721 | |
See accompanying notes to the financial statements.
22
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Sovereign Bond, continued | | | |
| $ | 200,000 | | | Qatar Government International Bond, 4.00%, 3/14/29(a) | | $ | 225,219 | |
| | 200,000 | | | Qatar Government International Bond, 3.75%, 4/16/30(a) | | | 224,189 | |
| | 200,000 | | | Qatar Government International Bond, 5.10%, 4/23/48(a) | | | 271,297 | |
| | 3,516,000 | | | Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100 | | | 3,540,369 | |
| | 275,000 | | | Republic of Colombia, 4.50%, 3/15/29, Callable 12/15/28 @ 100 | | | 280,955 | |
| | 567,000 | | | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100^ | | | 516,568 | |
| | 581,000 | | | Republic of Indonesia, 4.10%, 4/24/28 | | | 647,823 | |
| | 2,840,000 | | | Republic of Indonesia, 2.85%, 2/14/30 | | | 2,957,079 | |
| | 327,000 | | | Republic of Panama, 4.00%, 9/22/24, Callable 6/22/24 @ 100 | | | 347,029 | |
| | 820,000 | | | Republic of Panama, 3.88%, 3/17/28, Callable 12/17/27 @ 100 | | | 884,575 | |
| | 540,000 | | | Republic of Panama, 4.50%, 5/15/47 | | | 595,350 | |
| | 1,180,000 | | | Republic of Peru, 4.13%, 8/25/27 | | | 1,319,786 | |
| | 1,031,000 | | | Republic of Peru, 5.63%, 11/18/50 | | | 1,456,291 | |
| | 3,200,000 | | | Republic of Philippines, 3.00%, 2/1/28 | | | 3,433,747 | |
| | 220,000 | | | Romanian Government International Bond, 3.00%, 2/14/31^(a) | | | 223,193 | |
| | 420,000 | | | Romanian Government International Bond, 4.00%, 2/14/51(a) | | | 420,798 | |
| | 200,000 | | | Russian Foreign Bond—Eurobond, 4.25%, 6/23/27(a) | | | 215,790 | |
| | 200,000 | | | Russian Foreign Bond—Eurobond, 4.38%, 3/21/29(a) | | | 219,966 | |
| | 400,000 | | | Russian Foreign Bond—Eurobond, 5.10%, 3/28/35(a) | | | 473,484 | |
| | 200,000 | | | Russian Foreign Bond—Eurobond, 5.25%, 6/23/47(a) | | | 254,000 | |
| | 210,000 | | | Saudi Government International Bond, 2.50%, 2/3/27(a) | | | 216,315 | |
| | 212,000 | | | Saudi Government International Bond, 2.75%, 2/3/32(a) | | | 217,838 | |
| | 200,000 | | | Saudi Government International Bond, 5.00%, 4/17/49(a) | | | 254,564 | |
| | 236,000 | | | Saudi Government International Bond, 3.75%, 1/21/55(a) | | | 250,179 | |
| | 1,946,000 | | | United Mexican States, 4.50%, 4/22/29 | | | 2,168,311 | |
| | 1,190,000 | | | Uruguay Government International Bond, 4.38%, 1/23/31, Callable 10/23/30 @ 100 | | | 1,371,475 | |
| | | | | | | | |
| | | | | | | 51,403,572 | |
| | | | | | | | |
| Transportation Infrastructure (0.0%†): | | | |
| | 270,000 | | | Adani Ports & Special Economic Zone, Ltd., 3.38%, 7/24/24(a) | | | 277,386 | |
| | 256,000 | | | DP World Crescent, Ltd., 3.75%, 1/30/30, Callable 10/30/29 @ 100(a) | | | 270,450 | |
| | | | | | | | |
| | | | | | | 547,836 | |
| | | | | | | | |
| Utilities (0.1%): | | | |
| | 208,000 | | | Interchile SA, 4.50%, 6/30/56, Callable 12/30/55 @ 100(a) | | | 221,790 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Utilities, continued | | | |
| $ | 485,000 | | | Israel Electric Corp., Ltd., 4.25%, 8/14/28, MTN(a) | | $ | 531,209 | |
| | 280,000 | | | Saudi Electricity Global Sukuk Co. 5, 2.41%, 9/17/30(a) | | | 279,701 | |
| | | | | | | | |
| | | | | | | 1,032,700 | |
| | | | | | | | |
| Wireless Telecommunication Ser (0.0%†): | | | |
| | 280,000 | | | Bharti Airtel, Ltd., 3.25%, 6/3/31, Callable 3/5/31 @ 100(a) | | | 283,904 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.1%): | | | |
| | 892,000 | | | Vodafone Group plc, 5.25%, 5/30/48 | | | 1,167,467 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $156,027,739) | | | 157,725,724 | |
| | | | | |
| Municipal Bonds (0.2%): | | | |
| California (0.1%): | |
| | 905,000 | | | California State University Revenue, Series B, 2.72%, 11/1/52 | | | 860,375 | |
| | 50,000 | | | University of California Revenue, 4.86%, 5/15/12 | | | 74,645 | |
| | 347,000 | | | University of California Revenue, 4.77%, 5/15/15 | | | 498,153 | |
| | | | | | | | |
| | | | | | | 1,433,173 | |
| | | | | | | | |
| New Jersey (0.0%†): | |
| | 575,000 | | | New Jersey State Transportation Authority Revenue, Build America Bonds, GO, 6.56%, 12/15/40 | | | 849,229 | |
| | 270,000 | | | New Jersey Transportation Trust Fund Authority Revenue, 4.13%, 6/15/42 | | | 300,561 | |
| | 165,000 | | | New Jersey Turnpike Authority Revenue, Series B, 2.78%, 1/1/40, Continuously Callable @100 | | | 161,898 | |
| | | | | | | | |
| | | | | | | 1,311,688 | |
| | | | | | | | |
| New York (0.1%): | |
| | 1,160,000 | | | New York State Dormitory Authority Revenue, 5.00%, 2/15/31, Continuously Callable @100 | | | 1,510,761 | |
| | | | | | | | |
| Texas (0.0%†): | |
| | 430,000 | | | State of Texas, GO, Series B, 2.75%, 10/1/41, Continuously Callable @100 | | | 436,213 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $4,321,622) | | | 4,691,835 | |
| | | | | |
| U.S. Government Agency Mortgages (27.6%): | | | |
| Government National Mortgage Association (5.8%) | |
| | 10,262 | | | 4.50%, 9/15/33, Pool #615516 | | | 11,619 | |
| | 40,125 | | | 5.00%, 12/15/33, Pool #783571 | | | 45,616 | |
| | 12,381 | | | 6.50%, 8/20/38, Pool #4223 | | | 14,841 | |
| | 12,057 | | | 6.50%, 10/15/38, Pool #673213 | | | 13,685 | |
| | 6,849 | | | 6.50%, 11/20/38, Pool #4292 | | | 8,207 | |
| | 12,751 | | | 6.50%, 12/15/38, Pool #782510 | | | 14,478 | |
| | 138,480 | | | 5.00%, 1/15/39, Pool #782557 | | | 157,596 | |
| | 55,749 | | | 5.00%, 4/15/39, Pool #711939 | | | 63,408 | |
| | 83,926 | | | 5.00%, 4/15/39, Pool #782619 | | | 95,680 | |
| | 8,786 | | | 4.00%, 4/20/39, Pool #4422 | | | 9,424 | |
| | 8,094 | | | 5.00%, 6/15/39, Pool #782696 | | | 9,225 | |
| | 28,095 | | | 4.00%, 7/20/39, Pool #4494 | | | 30,133 | |
| | 50,067 | | | 5.00%, 10/20/39, Pool #4559 | | | 56,747 | |
| | 5,511 | | | 4.50%, 12/20/39, Pool #G24598 | | | 5,991 | |
| | 14,193 | | | 4.50%, 1/15/40, Pool #728627 | | | 15,902 | |
| | 6,750 | | | 4.50%, 1/20/40, Pool #4617 | | | 7,339 | |
| | 5,515 | | | 4.50%, 2/20/40, Pool #G24636 | | | 6,125 | |
| | 42,799 | | | 5.00%, 5/15/40, Pool #782958 | | | 48,640 | |
| | 355 | | | 4.50%, 5/20/40, Pool #G24696 | | | 386 | |
See accompanying notes to the financial statements.
23
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Government National Mortgage Association, continued | |
| $ | 28,212 | | | 5.00%, 6/15/40, Pool #697862 | | $ | 32,895 | |
| | 33,620 | | | 4.50%, 7/15/40, Pool #745793 | | | 37,870 | |
| | 283,931 | | | 4.50%, 7/15/40, Pool #733795 | | | 321,816 | |
| | 13,659 | | | 4.50%, 7/20/40, Pool #4746 | | | 14,851 | |
| | 25,666 | | | 4.50%, 8/20/40, Pool #4771 | | | 27,906 | |
| | 15,393 | | | 4.50%, 9/20/40, Pool #748948 | | | 16,816 | |
| | 7,532 | | | 4.00%, 9/20/40, Pool #G24800 | | | 8,110 | |
| | 55,409 | | | 4.50%, 10/15/40, Pool #783609 | | | 62,332 | |
| | 25,151 | | | 4.50%, 10/20/40, Pool #4834 | | | 27,348 | |
| | 196,923 | | | 4.00%, 10/20/40, Pool #G24833 | | | 212,041 | |
| | 369,905 | | | 4.00%, 11/20/40, Pool #4853 | | | 405,098 | |
| | 179,734 | | | 4.00%, 12/20/40, Pool #G24882 | | | 193,538 | |
| | 92,257 | | | 4.00%, 1/15/41, Pool #759138 | | | 100,463 | |
| | 162,195 | | | 4.00%, 1/20/41, Pool #4922 | | | 174,650 | |
| | 18,708 | | | 4.50%, 2/15/41, Pool #738019 | | | 21,290 | |
| | 591,632 | | | 4.00%, 2/20/41, Pool #742887 | | | 642,203 | |
| | 2,819 | | | 4.00%, 2/20/41, Pool #4945 | | | 3,035 | |
| | 51,498 | | | 4.00%, 3/15/41, Pool #762838 | | | 56,070 | |
| | 4,097 | | | 5.00%, 4/20/41, Pool #5018 | | | 4,643 | |
| | 63,961 | | | 4.50%, 6/20/41, Pool #783590 | | | 67,513 | |
| | 9,101 | | | 5.00%, 6/20/41, Pool #5083 | | | 10,315 | |
| | 4,789 | | | 5.00%, 7/20/41, Pool #5116 | | | 5,429 | |
| | 152,029 | | | 4.50%, 7/20/41, Pool #5115 | | | 170,295 | |
| | 23,329 | | | 4.50%, 7/20/41, Pool #754367 | | | 25,128 | |
| | 129,159 | | | 4.00%, 7/20/41, Pool #742895 | | | 140,228 | |
| | 45,109 | | | 4.50%, 7/20/41, Pool #783584 | | | 47,616 | |
| | 45,492 | | | 4.50%, 11/15/41, Pool #783610 | | | 51,572 | |
| | 121,819 | | | 3.50%, 1/15/42, Pool #553461 | | | 131,148 | |
| | 179,295 | | | 4.00%, 4/20/42, Pool #MA0023 | | | 193,078 | |
| | 77,631 | | | 5.00%, 7/20/42, Pool #MA0223 | | | 87,982 | |
| | 203,120 | | | 3.50%, 4/15/43, Pool #AD2334 | | | 221,173 | |
| | 339,663 | | | 3.50%, 4/20/43, Pool #MA0934 | | | 364,877 | |
| | 192,327 | | | 3.50%, 5/20/43, Pool #MA1012 | | | 206,595 | |
| | 16,629 | | | 4.00%, 7/20/43, Pool #MA1158 | | | 17,907 | |
| | 675,668 | | | 4.50%, 6/20/44, Pool #MA1997 | | | 734,642 | |
| | 16,390 | | | 4.00%, 8/20/44, Pool #AI4167 | | | 18,101 | |
| | 1,663 | | | 4.00%, 8/20/44, Pool #AI4166 | | | 1,753 | |
| | 12,091 | | | 4.00%, 8/20/44, Pool #AJ4687 | | | 13,351 | |
| | 12,022 | | | 4.00%, 8/20/44, Pool #AJ2723 | | | 13,256 | |
| | 555,071 | | | 4.00%, 8/20/44, Pool #MA2149 | | | 597,578 | |
| | 26,656 | | | 3.00%, 12/20/44, Pool #MA2444 | | | 28,056 | |
| | 308,884 | | | 5.00%, 12/20/44, Pool #MA2448 | | | 350,220 | |
| | 302,514 | | | 3.00%, 2/15/45, Pool #784439 | | | 311,834 | |
| | 1,444,608 | | | 3.50%, 5/20/45, Pool #MA2826 | | | 1,525,785 | |
| | 188,729 | | | 5.00%, 12/20/45, Pool #MA3313 | | | 213,966 | |
| | 7,356,241 | | | 3.50%, 3/20/46, Pool #MA3521 | | | 7,762,646 | |
| | 1,420,093 | | | 3.50%, 5/20/46, Pool #MA3663 | | | 1,498,549 | |
| | 479,226 | | | 3.50%, 7/20/46, Pool #MA3803 | | | 505,703 | |
| | 1,946,142 | | | 3.50%, 9/20/46, Pool #MA3937 | | | 2,053,665 | |
| | 113,201 | | | 3.50%, 10/20/46, Pool #AX4345 | | | 122,398 | |
| | 179,190 | | | 3.50%, 10/20/46, Pool #AX4344 | | | 191,753 | |
| | 61,865 | | | 3.50%, 10/20/46, Pool #AX4343 | | | 66,180 | |
| | 85,427 | | | 3.50%, 10/20/46, Pool #AX4342 | | | 91,072 | |
| | 73,175 | | | 3.50%, 10/20/46, Pool #AX4341 | | | 79,955 | |
| | 10,297 | | | 4.00%, 10/20/46, Pool #AQ0542 | | | 10,936 | |
| | 108,217 | | | 4.50%, 3/15/47, Pool #AZ8560 | | | 123,474 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Government National Mortgage Association, continued | |
| $ | 106,388 | | | 4.50%, 4/15/47, Pool #AZ8597 | | $ | 121,442 | |
| | 129,950 | | | 4.50%, 4/15/47, Pool #AZ8596 | | | 144,587 | |
| | 70,546 | | | 4.50%, 5/15/47, Pool #BA7888 | | | 78,492 | |
| | 1,899,788 | | | 4.00%, 6/20/47, Pool #MA4511 | | | 2,026,254 | |
| | 19,390 | | | 4.00%, 9/15/47, Pool #BC5919 | | | 20,917 | |
| | 22,001 | | | 4.00%, 10/15/47, Pool #BD3187 | | | 23,604 | |
| | 22,789 | | | 4.00%, 10/15/47, Pool #BE1031 | | | 24,568 | |
| | 18,461 | | | 4.00%, 11/15/47, Pool #BE1030 | | | 19,984 | |
| | 1,526,066 | | | 4.00%, 11/20/47, Pool #MA4838 | | | 1,627,657 | |
| | 25,688 | | | 4.00%, 12/15/47, Pool #BE4664 | | | 27,700 | |
| | 737,105 | | | 4.00%, 12/20/47, Pool #MA4901 | | | 786,174 | |
| | 20,152 | | | 4.00%, 1/15/48, Pool #BE0204 | | | 21,521 | |
| | 26,290 | | | 4.00%, 1/15/48, Pool #BE0143 | | | 28,352 | |
| | 368,671 | | | 4.50%, 9/20/48, Pool #BD0560 | | | 389,399 | |
| | 672,248 | | | 4.50%, 3/20/49, Pool #MA5818 | | | 712,508 | |
| | 28,212 | | | 4.50%, 4/20/49, Pool #MA5877 | | | 29,860 | |
| | 307,434 | | | 4.50%, 5/20/49, Pool #MA5932 | | | 326,140 | |
| | 825,935 | | | 3.00%, 4/20/50, Pool #MA6599 | | | 855,412 | |
| | 541,896 | | | 4.50%, 4/20/50, Pool #MA6602 | | | 574,870 | |
| | 104,183 | | | 3.00%, 5/20/50, Pool #MA6656 | | | 107,856 | |
| | 403,173 | | | 4.00%, 5/20/50, Pool #MA6658 | | | 425,539 | |
| | 1,856,027 | | | 3.00%, 10/20/50, Pool #MA6932 | | | 1,925,640 | |
| | 2,688,000 | | | 4.50%, 1/20/51, TBA | | | 2,833,740 | |
| | 1,701,553 | | | 3.00%, 1/20/51, Pool #MA7137 | | | 1,762,279 | |
| | 3,782,000 | | | 4.00%, 1/20/51, TBA | | | 3,977,009 | |
| | 9,492,797 | | | 3.50%, 1/20/51, TBA | | | 9,871,026 | |
| | 25,713,000 | | | 3.00%, 1/20/51, TBA | | | 26,620,990 | |
| | 6,600,000 | | | 2.50%, 2/20/51, TBA | | | 6,748,758 | |
| | 30,675,000 | | | 2.50%, 7/20/51, TBA | | | 31,432,289 | |
| | 41,834,000 | | | 2.00%, 1/20/52, TBA | | | 42,232,730 | |
| | | | | | | | |
| | | | | | | 156,811,043 | |
| | | | | | | | |
| Federal National Mortgage Association (19.2%) | |
| | 85,461 | | | 2.50%, 9/1/27, Pool #AB6194 | | | 88,951 | |
| | 58,238 | | | 2.50%, 9/1/27, Pool #AP5205 | | | 60,284 | |
| | 21,508 | | | 2.50%, 2/1/28, Pool #AB8446 | | | 22,265 | |
| | 34,149 | | | 3.00%, 4/1/28, Pool #AT3121 | | | 35,786 | |
| | 51,730 | | | 2.50%, 4/1/28, Pool #AB8870 | | | 53,765 | |
| | 37,118 | | | 3.00%, 5/1/28, Pool #AT6033 | | | 38,909 | |
| | 145,857 | | | 2.50%, 8/1/28, Pool #AS0190 | | | 151,599 | |
| | 8,404 | | | 3.00%, 10/1/28, Pool #AQ4132 | | | 8,797 | |
| | 86,088 | | | 3.00%, 10/1/28, Pool #AU8774 | | | 90,236 | |
| | 161,227 | | | 3.50%, 10/1/28, Pool #AV0198 | | | 169,996 | |
| | 9,386 | | | 3.00%, 11/1/28, Pool #AV0298 | | | 9,826 | |
| | 298,023 | | | 3.50%, 11/1/28, Pool #AV1360 | | | 314,335 | |
| | 209,360 | | | 3.00%, 4/1/29, Pool #AW0937 | | | 222,060 | |
| | 175,629 | | | 3.00%, 5/1/29, Pool #AW2544 | | | 184,179 | |
| | 302,680 | | | 3.00%, 6/1/29, Pool #AS2676 | | | 321,072 | |
| | 397,340 | | | 3.00%, 7/1/29, Pool #AW4229 | | | 416,594 | |
| | 73,210 | | | 3.00%, 7/1/29, Pool #AW1281 | | | 76,593 | |
| | 77,894 | | | 3.50%, 9/1/29, Pool #AX0105 | | | 82,306 | |
| | 188,308 | | | 3.00%, 9/1/29, Pool #AS3220 | | | 199,734 | |
| | 613,132 | | | 3.00%, 9/1/29, Pool #AL6897 | | | 641,179 | |
| | 24,311 | | | 3.50%, 10/1/29, Pool #AX2741 | | | 25,700 | |
| | 113,813 | | | 3.00%, 10/1/29, Pool #AS3594 | | | 119,332 | |
| | 435,583 | | | 3.00%, 1/1/30, Pool #AL6144 | | | 462,022 | |
| | 2,605,000 | | | 1.77%, 1/15/30(c) | | | 2,275,944 | |
See accompanying notes to the financial statements.
24
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 16,355 | | | 2.50%, 2/1/30, Pool #AS4488 | | $ | 16,964 | |
| | 56,561 | | | 2.50%, 2/1/30, Pool #BM3403 | | | 58,656 | |
| | 15,065 | | | 2.50%, 2/1/30, Pool #AS4485 | | | 15,679 | |
| | 87,078 | | | 3.00%, 3/1/30, Pool #AL6583 | | | 91,425 | |
| | 111,252 | | | 2.50%, 3/1/30, Pool #AS4688 | | | 115,917 | |
| | 46,283 | | | 2.50%, 4/1/30, Pool #AY3416 | | | 48,220 | |
| | 69,882 | | | 3.00%, 4/1/30, Pool #AL6584 | | | 73,506 | |
| | 42,406 | | | 3.00%, 5/1/30, Pool #AL6761 | | | 44,345 | |
| | 26,890 | | | 2.50%, 5/1/30, Pool #AY0828 | | | 27,950 | |
| | 3,901,000 | | | 1.80%, 5/15/30(c) | | | 3,383,575 | |
| | 224,377 | | | 3.00%, 6/1/30, Pool #AL9381 | | | 234,758 | |
| | 59,126 | | | 3.00%, 7/1/30, Pool #AL7139 | | | 62,197 | |
| | 75,056 | | | 3.00%, 7/1/30, Pool #AX9701 | | | 78,960 | |
| | 27,800 | | | 2.50%, 7/1/30, Pool #AZ2170 | | | 28,970 | |
| | 10,496 | | | 3.00%, 7/1/30, Pool #AZ2297 | | | 11,019 | |
| | 15,921 | | | 2.50%, 7/1/30, Pool #AS5405 | | | 16,600 | |
| | 90,838 | | | 2.50%, 7/1/30, Pool #AS5403 | | | 94,523 | |
| | 15,280 | | | 3.00%, 7/1/30, Pool #AX9700 | | | 16,040 | |
| | 13,511 | | | 3.00%, 8/1/30, Pool #AZ7833 | | | 14,182 | |
| | 6,669 | | | 3.00%, 8/1/30, Pool #AZ8597 | | | 7,002 | |
| | 60,724 | | | 3.50%, 8/1/30, Pool #AS5708 | | | 64,384 | |
| | 43,303 | | | 2.50%, 8/1/30, Pool #AS5548 | | | 45,048 | |
| | 103,281 | | | 3.00%, 8/1/30, Pool #AL7225 | | | 108,624 | |
| | 58,126 | | | 2.50%, 8/1/30, Pool #AS5614 | | | 60,565 | |
| | 169,477 | | | 2.50%, 8/1/30, Pool #BM3552 | | | 175,683 | |
| | 76,210 | | | 3.00%, 8/1/30, Pool #AS5623 | | | 80,795 | |
| | 73,050 | | | 3.00%, 8/1/30, Pool #AS5622 | | | 76,833 | |
| | 97,034 | | | 2.50%, 8/1/30, Pool #AS5616 | | | 100,976 | |
| | 15,933 | | | 3.00%, 8/1/30, Pool #AX3298 | | | 16,728 | |
| | 88,370 | | | 3.00%, 8/1/30, Pool #AL7227 | | | 93,707 | |
| | 32,167 | | | 3.00%, 9/1/30, Pool #AZ5719 | | | 33,775 | |
| | 76,217 | | | 3.00%, 9/1/30, Pool #AS5728 | | | 80,020 | |
| | 69,509 | | | 2.50%, 9/1/30, Pool #AS5872 | | | 72,430 | |
| | 20,326 | | | 3.00%, 9/1/30, Pool #AL7320 | | | 21,312 | |
| | 55,443 | | | 2.50%, 9/1/30, Pool #AS5786 | | | 57,694 | |
| | 60,967 | | | 3.00%, 9/1/30, Pool #AS5714 | | | 64,132 | |
| | 57,764 | | | 2.50%, 11/1/30, Pool #AS6142 | | | 60,101 | |
| | 9,006 | | | 2.50%, 11/1/30, Pool #AL7800 | | | 9,374 | |
| | 69,345 | | | 2.50%, 11/1/30, Pool #AS6141 | | | 72,257 | |
| | 54,567 | | | 2.50%, 11/1/30, Pool #AS6116 | | | 56,884 | |
| | 60,248 | | | 2.50%, 11/1/30, Pool #AS6115 | | | 62,702 | |
| | 1,109,619 | | | 3.00%, 1/1/31, Pool #BM3537 | | | 1,161,958 | |
| | 92,344 | | | 2.50%, 3/1/31, Pool #BM1595 | | | 95,707 | |
| | 104,088 | | | 2.50%, 6/1/31, Pool #AS7320 | | | 108,599 | |
| | 184,966 | | | 2.50%, 7/1/31, Pool #AS7617 | | | 192,983 | |
| | 172,331 | | | 2.50%, 7/1/31, Pool #AS7605 | | | 179,799 | |
| | 45,048 | | | 4.00%, 8/1/31, Pool #AY4707 | | | 48,331 | |
| | 6,949 | | | 2.50%, 8/1/31, Pool #BC2777 | | | 7,250 | |
| | 1,282,024 | | | 3.00%, 8/1/31, Pool #AL9376 | | | 1,348,282 | |
| | 22,757 | | | 4.00%, 8/1/31, Pool #AY4688 | | | 24,099 | |
| | 115,463 | | | 3.00%, 9/1/31, Pool #AL9378 | | | 121,813 | |
| | 429,077 | | | 2.50%, 10/1/31, Pool #AS8208 | | | 447,682 | |
| | 774,236 | | | 2.50%, 10/1/31, Pool #AS8195 | | | 812,281 | |
| | 293,546 | | | 2.50%, 10/1/31, Pool #AS8193 | | | 306,181 | |
| | 1,466,499 | | | 2.50%, 10/1/31, Pool #BC4773 | | | 1,538,050 | |
| | 59,803 | | | 2.00%, 10/1/31, Pool #MA2774 | | | 61,283 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 227,170 | | | 2.50%, 10/1/31, Pool #AS8009 | | $ | 236,968 | |
| | 98,931 | | | 2.00%, 11/1/31, Pool #BC9040 | | | 101,382 | |
| | 301,842 | | | 2.00%, 11/1/31, Pool #AS8251 | | | 309,347 | |
| | 140,563 | | | 2.50%, 11/1/31, Pool #BC2628 | | | 147,460 | |
| | 103,750 | | | 2.50%, 11/1/31, Pool #BC2629 | | | 108,213 | |
| | 222,958 | | | 2.50%, 11/1/31, Pool #BC2631 | | | 232,979 | |
| | 126,300 | | | 2.50%, 11/1/31, Pool #AS8245 | | | 132,500 | |
| | 163,010 | | | 2.50%, 11/1/31, Pool #AS8241 | | | 170,037 | |
| | 351,341 | | | 2.00%, 11/1/31, Pool #BM3054 | | | 360,088 | |
| | 18,748 | | | 2.00%, 11/1/31, Pool #AS8291 | | | 19,213 | |
| | 251,711 | | | 2.50%, 11/1/31, Pool #AS8240 | | | 262,602 | |
| | 83,802 | | | 2.00%, 12/1/31, Pool #MA2845 | | | 85,884 | |
| | 13,588 | | | 3.00%, 2/1/32, Pool #BE5670 | | | 14,360 | |
| | 22,247 | | | 2.50%, 2/1/32, Pool #BM1036 | | | 23,208 | |
| | 222,374 | | | 2.50%, 3/1/32, Pool #AS9317 | | | 231,225 | |
| | 407,072 | | | 2.50%, 3/1/32, Pool #AS9318 | | | 422,919 | |
| | 249,716 | | | 2.50%, 3/1/32, Pool #AS9316 | | | 259,343 | |
| | 533,844 | | | 2.00%, 3/1/32, Pool #BM3061 | | | 547,128 | |
| | 434,247 | | | 2.50%, 3/1/32, Pool #AS9319 | | | 451,090 | |
| | 347,198 | | | 3.00%, 3/1/32, Pool #AS9327 | | | 366,855 | |
| | 391,124 | | | 2.50%, 3/1/32, Pool #AS9321 | | | 410,386 | |
| | 1,718,026 | | | 3.50%, 4/1/32, Pool #BM3503 | | | 1,827,403 | |
| | 1,273,281 | | | 3.50%, 5/1/32, Pool #BM1602 | | | 1,346,081 | |
| | 1,797,842 | | | 3.00%, 6/1/32, Pool #BM1791 | | | 1,900,623 | |
| | 523,324 | | | 2.50%, 8/1/32, Pool #BM3578 | | | 545,247 | |
| | 213,869 | | | 3.00%, 9/1/32, Pool #BM3240 | | | 223,964 | |
| | 66,523 | | | 3.50%, 11/1/32, Pool #BJ2054 | | | 70,758 | |
| | 68,242 | | | 5.50%, 1/1/33, Pool #676661 | | | 77,985 | |
| | 42,903 | | | 3.50%, 1/1/33, Pool #BJ2096 | | | 45,916 | |
| | 1,057,019 | | | 2.50%, 2/1/33, Pool #BM3793 | | | 1,101,089 | |
| | 2,353,058 | | | 3.00%, 5/1/33, Pool #FM1880 | | | 2,468,692 | |
| | 49,168 | | | 5.50%, 5/1/33, Pool #555424 | | | 56,219 | |
| | 65,077 | | | 4.00%, 9/1/33, Pool #BK7642 | | | 70,176 | |
| | 199,503 | | | 4.00%, 10/1/33, Pool #CA2527 | | | 211,190 | |
| | 204,694 | | | 4.00%, 11/1/33, Pool #CA2555 | | | 219,417 | |
| | 404,845 | | | 2.50%, 12/1/33, Pool #FM1680 | | | 419,755 | |
| | 120,785 | | | 5.50%, 2/1/35, Pool #735989 | | | 135,948 | |
| | 370,611 | | | 5.00%, 2/1/35, Pool #735226 | | | 417,834 | |
| | 28,926 | | | 5.00%, 3/1/35, Pool #735288 | | | 32,892 | |
| | 11,350 | | | 6.00%, 4/1/35, Pool #735504 | | | 13,277 | |
| | 207,364 | | | 3.00%, 8/1/35, Pool #CA6849 | | | 219,427 | |
| | 206,065 | | | 3.00%, 8/1/35, Pool #CA6876 | | | 218,879 | |
| | 55,976 | | | 5.00%, 9/1/35, Pool #889974 | | | 63,799 | |
| | 1,127,848 | | | 2.50%, 12/1/35, Pool #CA8387 | | | 1,177,593 | |
| | 1,246,458 | | | 2.50%, 12/1/35, Pool #CA8388 | | | 1,298,477 | |
| | 122,382 | | | 3.00%, 12/1/35, Pool #CA8389 | | | 130,030 | |
| | 64,253 | | | 3.00%, 12/1/35, Pool #CA8391 | | | 67,827 | |
| | 135,051 | | | 4.00%, 1/1/36, Pool #AB0686 | | | 149,731 | |
| | 160,234 | | | 3.50%, 1/25/36, TBA | | | 168,246 | |
| | 2,275,000 | | | 2.50%, 1/25/36, TBA | | | 2,353,559 | |
| | 277,280 | | | 5.50%, 9/1/36, Pool #995113 | | | 316,657 | |
| | 30,296 | | | 3.00%, 10/1/36, Pool #AL9227 | | | 31,427 | |
| | 95,984 | | | 3.00%, 11/1/36, Pool #AS8349 | | | 101,027 | |
| | 238,425 | | | 3.00%, 11/1/36, Pool #AS8348 | | | 250,923 | |
| | 223,830 | | | 3.00%, 12/1/36, Pool #BE1896 | | | 238,392 | |
| | 308,318 | | | 3.00%, 12/1/36, Pool #AS8553 | | | 334,519 | |
See accompanying notes to the financial statements.
25
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 32,260,000 | | | 2.00%, 1/25/37, TBA | | $ | 33,051,378 | |
| | 22,524,000 | | | 1.50%, 1/25/37, TBA | | | 22,597,907 | |
| | 17,562 | | | 5.50%, 2/1/38, Pool #961545 | | | 19,665 | |
| | 9,909 | | | 6.00%, 3/1/38, Pool #889529 | | | 11,805 | |
| | 29,212 | | | 6.00%, 5/1/38, Pool #889466 | | | 34,805 | |
| | 55,185 | | | 5.50%, 5/1/38, Pool #889441 | | | 62,169 | |
| | 64,242 | | | 5.50%, 5/1/38, Pool #889692 | | | 73,279 | |
| | 42,451 | | | 5.50%, 6/1/38, Pool #995018 | | | 48,384 | |
| | 12,206 | | | 5.50%, 9/1/38, Pool #889995 | | | 13,823 | |
| | 29,763 | | | 6.00%, 10/1/38, Pool #889983 | | | 35,417 | |
| | 156,087 | | | 5.50%, 1/1/39, Pool #AB0200 | | | 180,781 | |
| | 55,276 | | | 4.50%, 4/1/39, Pool #930922 | | | 60,713 | |
| | 69,820 | | | 4.50%, 5/1/39, Pool #AL1472 | | | 77,904 | |
| | 50,581 | | | 3.50%, 5/1/39, Pool #MA3660 | | | 53,807 | |
| | 676,156 | | | 5.00%, 6/1/39, Pool #AL7521 | | | 770,656 | |
| | 461,452 | | | 6.00%, 7/1/39, Pool #BF0056 | | | 542,873 | |
| | 32,116 | | | 5.50%, 10/1/39, Pool #AD0362 | | | 36,180 | |
| | 30,339 | | | 5.50%, 12/1/39, Pool #AD0571 | | | 34,306 | |
| | 211,377 | | | 5.50%, 12/1/39, Pool #AC6680 | | | 241,465 | |
| | 201,825 | | | 3.50%, 12/1/39, Pool #MA3869 | | | 213,120 | |
| | 90,880 | | | 3.50%, 1/1/40, Pool #MA3891 | | | 96,677 | |
| | 3,136,565 | | | 4.50%, 1/1/40, Pool #AC8568 | | | 3,436,779 | |
| | 153,460 | | | 3.50%, 2/1/40, Pool #MA3935 | | | 163,250 | |
| | 26,992 | | | 5.50%, 3/1/40, Pool #AL5304 | | | 30,693 | |
| | 21,841 | | | 4.50%, 4/1/40, Pool #AD4038 | | | 24,776 | |
| | 197,692 | | | 6.00%, 4/1/40, Pool #AL4141 | | | 233,365 | |
| | 37,661 | | | 6.50%, 5/1/40, Pool #AL1704 | | | 43,489 | |
| | 46,244 | | | 4.50%, 7/1/40, Pool #AD7127 | | | 50,722 | |
| | 37,345 | | | 4.50%, 7/1/40, Pool #AB1226 | | | 40,948 | |
| | 22,766 | | | 6.00%, 9/1/40, Pool #AE0823 | | | 26,556 | |
| | 2,680,000 | | | Class CY, Series 2010-1364.00%, 12/25/40 | | | 2,910,027 | |
| | 23,974 | | | 4.00%, 1/1/41, Pool #AL7167 | | | 26,176 | |
| | 3,601,480 | | | Class ZA, Series 2011-84.00%, 2/25/41 | | | 3,829,353 | |
| | 45,736 | | | 6.00%, 6/1/41, Pool #AL4142 | | | 52,905 | |
| | 337,431 | | | 5.00%, 7/1/41, Pool #AL7524 | | | 380,639 | |
| | 18,499 | | | 4.50%, 7/1/41, Pool #AB3314 | | | 20,269 | |
| | 580,735 | | | 5.50%, 9/1/41, Pool #AL8430 | | | 659,243 | |
| | 31,458 | | | 4.50%, 9/1/41, Pool #AI8961 | | | 34,485 | |
| | 701,077 | | | 4.00%, 1/1/42, Pool #AB4307 | | | 771,206 | |
| | 159,393 | | | 3.50%, 1/1/42, Pool #AW8154 | | | 173,417 | |
| | 69,752 | | | 3.50%, 4/1/42, Pool #AO0777 | | | 73,415 | |
| | 24,819 | | | 3.50%, 4/1/42, Pool #AK7510 | | | 26,486 | |
| | 13,207 | | | 3.50%, 5/1/42, Pool #AO2881 | | | 14,095 | |
| | 141,874 | | | 4.00%, 5/1/42, Pool #AO2961 | | | 152,820 | |
| | 45,005 | | | 4.00%, 5/1/42, Pool #A02114 | | | 48,447 | |
| | 10,694 | | | 3.50%, 6/1/42, Pool #AO3048 | | | 11,400 | |
| | 15,099 | | | 3.50%, 6/1/42, Pool #AK9225 | | | 16,098 | |
| | 31,260 | | | 3.50%, 7/1/42, Pool #AO9707 | | | 33,327 | |
| | 143,623 | | | 4.50%, 9/1/42, Pool #AL2482 | | | 159,019 | |
| | 883,758 | | | 4.50%, 1/1/43, Pool #AL8206 | | | 974,560 | |
| | 76,085 | | | 3.00%, 3/1/43, Pool #AR9218 | | | 80,213 | |
| | 65,306 | | | 3.00%, 3/1/43, Pool #AR7576 | | | 68,800 | |
| | 54,383 | | | 3.00%, 3/1/43, Pool #AR7568 | | | 58,030 | |
| | 752 | | | 3.50%, 4/1/43, Pool #CA1530 | | | 795 | |
| | 77,893 | | | 3.00%, 4/1/43, Pool #AR8630 | | | 82,127 | |
| | 100,745 | | | 3.00%, 4/1/43, Pool #AT2040 | | | 106,165 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 66,068 | | | 3.00%, 4/1/43, Pool #AB8923 | | $ | 69,660 | |
| | 74,220 | | | 3.00%, 4/1/43, Pool #AT2043 | | | 78,195 | |
| | 58,970 | | | 3.00%, 4/1/43, Pool #AB8924 | | | 62,120 | |
| | 27,276 | | | 3.00%, 4/1/43, Pool #AT2037 | | | 29,096 | |
| | 8,980 | | | 3.00%, 6/1/43, Pool #AB9564 | | | 9,653 | |
| | 605,029 | | | 5.00%, 12/1/43, Pool #AL7777 | | | 681,639 | |
| | 312,699 | | | 5.00%, 11/1/44, Pool #AL8878 | | | 355,771 | |
| | 231,311 | | | 3.50%, 2/1/45, Pool #BM1100 | | | 250,728 | |
| | 734,837 | | | 3.50%, 2/1/45, Pool #FM5294 | | | 788,408 | |
| | 167,947 | | | 5.00%, 6/1/45, Pool #BM3784 | | | 188,995 | |
| | 121,369 | | | 4.50%, 9/1/45, Pool #AL7936 | | | 135,562 | |
| | 65,930 | | | 4.50%, 11/1/45, Pool #AL9501 | | | 74,037 | |
| | 7,168,172 | | | 3.50%, 11/1/45, Pool #FM6411 | | | 7,665,377 | |
| | 4,090 | | | 4.50%, 11/1/45, Pool #AS6233 | | | 4,470 | |
| | 176,175 | | | 4.50%, 12/1/45, Pool #BM1756 | | | 195,102 | |
| | 16,721 | | | 3.00%, 6/1/46, Pool #AS7365 | | | 17,640 | |
| | 413,270 | | | 4.50%, 7/1/46, Pool #BM3053 | | | 467,371 | |
| | 512,034 | | | 4.50%, 7/1/46, Pool #BM1920 | | | 573,402 | |
| | 1,313,121 | | | 3.50%, 7/1/46, Pool #BA7748 | | | 1,421,797 | |
| | 22,196 | | | 3.00%, 8/1/46, Pool #AL9031 | | | 23,859 | |
| | 726,440 | | | Class UF, Series 2016-480.50% (US0001M+40bps), 8/25/46 | | | 728,543 | |
| | 1,197,171 | | | 3.00%, 9/1/46, Pool #BD1469 | | | 1,257,402 | |
| | 119,571 | | | 3.00%, 11/1/46, Pool #BD9643 | | | 126,852 | |
| | 327,383 | | | 3.00%, 11/1/46, Pool #BD9644 | | | 347,110 | |
| | 265,443 | | | 3.00%, 11/1/46, Pool #BD9645 | | | 280,086 | |
| | 262,644 | | | 3.50%, 12/1/46, Pool #BE2103 | | | 285,380 | |
| | 1,099,320 | | | 3.00%, 12/1/46, Pool #AS8486 | | | 1,154,622 | |
| | 383,566 | | | 3.50%, 2/1/47, Pool #BE1534 | | | 415,938 | |
| | 990,745 | | | 3.50%, 2/1/47, Pool #AL9920 | | | 1,076,377 | |
| | 73,822 | | | 3.50%, 3/1/47, Pool #BH0158 | | | 80,054 | |
| | 319,087 | | | 4.00%, 5/1/47, Pool #BH0398 | | | 345,878 | |
| | 603,685 | | | 3.50%, 5/1/47, Pool #BD2417 | | | 654,161 | |
| | 459,840 | | | 3.50%, 5/1/47, Pool #BM1174 | | | 494,036 | |
| | 184,457 | | | 3.50%, 5/1/47, Pool #BE9375 | | | 199,945 | |
| | 158,890 | | | 3.50%, 6/1/47, Pool #BH0567 | | | 172,120 | |
| | 305,133 | | | 4.00%, 7/1/47, Pool #BH3401 | | | 330,760 | |
| | 396,260 | | | 4.00%, 8/1/47, Pool #BM1619 | | | 429,620 | |
| | 200,170 | | | 4.50%, 10/1/47, Pool #BM3052 | | | 224,592 | |
| | 835,413 | | | 3.50%, 11/1/47, Pool #MA3182 | | | 884,971 | |
| | 253,175 | | | 4.50%, 12/1/47, Pool #BH7067 | | | 276,038 | |
| | 1,739,518 | | | 3.50%, 1/1/48, Pool #FM5293 | | | 1,866,679 | |
| | 503,891 | | | 3.50%, 1/1/48, Pool #MA3238 | | | 533,783 | |
| | 381,267 | | | 3.50%, 2/1/48, Pool #BH9277 | | | 402,906 | |
| | 101,359 | | | 4.00%, 2/1/48, Pool #BJ9058 | | | 110,383 | |
| | 84,559 | | | 4.00%, 2/1/48, Pool #BJ9057 | | | 92,172 | |
| | 180,504 | | | 3.50%, 3/1/48, Pool #BK1958 | | | 190,748 | |
| | 489,549 | | | 3.50%, 3/1/48, Pool #BJ4916 | | | 517,333 | |
| | 256,055 | | | 3.50%, 3/1/48, Pool #BJ0648 | | | 270,588 | |
| | 288,408 | | | 3.50%, 4/1/48, Pool #FM5295 | | | 313,720 | |
| | 4,920,504 | | | 4.50%, 4/1/48, Pool #FM7783 | | | 5,324,742 | |
| | 191,031 | | | 4.50%, 4/1/48, Pool #BM3846 | | | 211,683 | |
| | 2,744,224 | | | 4.50%, 5/1/48, Pool #CA1704 | | | 3,035,753 | |
| | 17,183 | | | 3.50%, 5/1/48, Pool #MA3356 | | | 18,159 | |
| | 209,207 | | | 5.00%, 6/1/48, Pool #CA2317 | | | 228,853 | |
| | 104,532 | | | 4.50%, 7/1/48, Pool #BK6113 | | | 115,787 | |
See accompanying notes to the financial statements.
26
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 15,125 | | | 4.50%, 7/1/48, Pool #BK4471 | | $ | 16,726 | |
| | 1,084,678 | | | 5.00%, 9/1/48, Pool #MA3472 | | | 1,186,541 | |
| | 95,211 | | | 5.00%, 10/1/48, Pool #MA3501 | | | 104,152 | |
| | 212,060 | | | 5.00%, 10/1/48, Pool #BK7881 | | | 231,976 | |
| | 151,244 | | | 5.00%, 11/1/48, Pool #MA3527 | | | 165,447 | |
| | 11,102 | | | 3.50%, 11/1/48, Pool #FM1543 | | | 11,791 | |
| | 58,903 | | | 5.00%, 12/1/48, Pool #BN4404 | | | 64,206 | |
| | 1,617,294 | | | 4.00%, 1/1/49, Pool #FM5296 | | | 1,778,783 | |
| | 147,819 | | | 5.00%, 1/1/49, Pool #BN3949 | | | 161,599 | |
| | 54,754 | | | 5.00%, 1/1/49, Pool #BN4430 | | | 59,684 | |
| | 359,245 | | | 3.50%, 6/1/49, Pool #FM5315 | | | 381,555 | |
| | 834,844 | | | 3.50%, 12/1/49, Pool #MA3210 | | | 884,664 | |
| | 27,899,832 | | | 3.00%, 1/25/50, TBA | | | 28,919,920 | |
| | 138,415,000 | | | 2.00%, 2/25/50, TBA | | | 137,766,180 | |
| | 5,906,191 | | | 3.00%, 3/1/50, Pool #FM5290 | | | 6,231,855 | |
| | 398,000 | | | 4.00%, 8/1/50, Pool #FM7703 | | | 423,690 | |
| | 2,178,966 | | | 3.00%, 8/1/50, Pool #FM5292 | | | 2,267,835 | |
| | 442,107 | | | 2.00%, 9/1/50, Pool #BQ0697 | | | 441,293 | |
| | 369,434 | | | 2.00%, 11/1/50, Pool #BQ6334 | | | 368,864 | |
| | 3,483,000 | | | 2.00%, 1/25/51, TBA | | | 3,474,292 | |
| | 3,452,000 | | | 2.50%, 1/25/51, TBA | | | 3,524,276 | |
| | 19,963,055 | | | 3.50%, 1/25/51, TBA | | | 21,007,996 | |
| | 23,702,000 | | | 1.50%, 1/25/51, TBA | | | 22,894,651 | |
| | 8,700,000 | | | 3.00%, 2/25/51, TBA | | | 9,005,520 | |
| | 104,120,000 | | | 2.50%, 2/25/51, TBA | | | 106,039,712 | |
| | 7,213,411 | | | 3.00%, 6/1/51, Pool #CB0848 | | | 7,597,733 | |
| | 11,469,000 | | | 4.00%, 2/25/52, TBA | | | 12,195,669 | |
| | | | | | | | |
| | | | | | | 517,946,915 | |
| | | | | | | | |
| Federal Home Loan Mortgage Corporation (2.4%) | |
| | 3,650,000 | | | Class A2, Series KC023.37%, 7/25/25, Callable 7/25/25 @ 100.00 | | | 3,870,788 | |
| | 115,932 | | | 3.00%, 9/1/27, Pool #U70060 | | | 121,343 | |
| | 68,436 | | | 3.00%, 7/1/28, Pool #U79018 | | | 71,574 | |
| | 591,000 | | | 1.74%, 9/15/29(c) | | | 520,042 | |
| | 4,510,000 | | | Class XFX, Series KL061.36%, 12/25/29 | | | 383,305 | |
| | 25,989 | | | 3.00%, 1/1/30, Pool #V60696 | | | 27,244 | |
| | 31,660 | | | 3.00%, 1/1/30, Pool #V60724 | | | 33,249 | |
| | 54,827 | | | 2.50%, 3/1/30, Pool #V60770 | | | 57,008 | |
| | 117,709 | | | 3.00%, 5/1/30, Pool #J31689 | | | 123,450 | |
| | 58,489 | | | 2.50%, 5/1/30, Pool #J31418 | | | 60,940 | |
| | 139,941 | | | 2.50%, 5/1/30, Pool #J31728 | | | 145,471 | |
| | 87,194 | | | 2.50%, 5/1/30, Pool #V60796 | | | 90,782 | |
| | 224,950 | | | 3.00%, 6/1/30, Pool #V60840 | | | 236,733 | |
| | 110,965 | | | 3.00%, 7/1/30, Pool #G15520 | | | 117,707 | |
| | 5,656 | | | 2.50%, 7/1/30, Pool #V60905 | | | 5,886 | |
| | 14,872 | | | 3.00%, 7/1/30, Pool #J32181 | | | 15,595 | |
| | 19,374 | | | 2.50%, 7/1/30, Pool #J32209 | | | 20,185 | |
| | 20,933 | | | 2.50%, 7/1/30, Pool #J32204 | | | 21,696 | |
| | 5,095 | | | 2.50%, 7/1/30, Pool #J32491 | | | 5,294 | |
| | 97,703 | | | 2.50%, 8/1/30, Pool #V60886 | | | 101,829 | |
| | 14,849 | | | 3.00%, 8/1/30, Pool #J32436 | | | 15,756 | |
| | 82,107 | | | 2.50%, 8/1/30, Pool #V60902 | | | 85,573 | |
| | 24,231 | | | 3.00%, 8/1/30, Pool #V60909 | | | 25,506 | |
| | 235,773 | | | 2.50%, 9/1/30, Pool #V60904 | | | 245,496 | |
| | 76,364 | | | 2.50%, 9/1/30, Pool #V60903 | | | 79,254 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 7,286,322 | | | Class X1, Series K1211.03%, 10/25/30, Callable 7/25/30 @ 100.00 | | $ | 550,919 | |
| | 197,000 | | | 1.87%, 3/15/31(c) | | | 167,699 | |
| | 190,000 | | | 6.75%, 3/15/31^ | | | 272,630 | |
| | 398,091 | | | 2.50%, 4/1/31, Pool #G16186 | | | 414,983 | |
| | 8,463 | | | 3.00%, 10/1/32, Pool #J37706 | | | 8,874 | |
| | 10,222 | | | 3.00%, 11/1/32, Pool #J37835 | | | 10,714 | |
| | 8,446 | | | 3.00%, 12/1/32, Pool #J38060 | | | 8,852 | |
| | 2,801,232 | | | 2.50%, 4/1/33, Pool #ZS8087 | | | 2,906,758 | |
| | 127,687 | | | 3.50%, 1/1/34, Pool #ZS9068 | | | 138,783 | |
| | 80,656 | | | 5.50%, 2/1/35, Pool #G04692 | | | 93,545 | |
| | 492,536 | | | 3.50%, 5/1/35, Pool #SC0063 | | | 525,231 | |
| | 55,820 | | | 3.00%, 9/1/37, Pool #ZA2471 | | | 58,796 | |
| | 1,141,457 | | | 3.00%, 6/1/38, Pool #SC0111 | | | 1,199,426 | |
| | 128,120 | | | 6.00%, 4/1/39, Pool #G07613 | | | 155,109 | |
| | 18,040 | | | 4.50%, 12/1/39, Pool #A90196 | | | 19,828 | |
| | 657,300 | | | 3.50%, 1/1/40, Pool #RB5028 | | | 694,086 | |
| | 77,197 | | | 3.50%, 2/1/40, Pool #RB5034 | | | 81,517 | |
| | 17,642 | | | 4.50%, 7/1/40, Pool #A93010 | | | 19,336 | |
| | 19,219 | | | 4.00%, 8/1/40, Pool #A93534 | | | 20,969 | |
| | 132,201 | | | 4.00%, 9/1/40, Pool #A93851 | | | 146,420 | |
| | 372,075 | | | 4.50%, 9/1/40, Pool #A93700 | | | 407,953 | |
| | 29,606 | | | 4.00%, 10/1/40, Pool #A95923 | | | 32,791 | |
| | 17,167 | | | 4.00%, 11/1/40, Pool #A94779 | | | 19,019 | |
| | 19,683 | | | 4.00%, 11/1/40, Pool #A94977 | | | 21,802 | |
| | 21,809 | | | 4.00%, 11/1/40, Pool #A95144 | | | 24,137 | |
| | 1,228 | | | 4.00%, 4/1/41, Pool #Q00093 | | | 1,338 | |
| | 44,009 | | | 4.50%, 5/1/41, Pool #Q00804 | | | 48,225 | |
| | 51,186 | | | 4.50%, 5/1/41, Pool #Q00959 | | | 56,120 | |
| | 283,715 | | | Class FL, Series 42480.56%(US0001M+45bps), 5/15/41 | | | 284,685 | |
| | 315,284 | | | 5.50%, 6/1/41, Pool #G07553 | | | 358,994 | |
| | 63,169 | | | 5.00%, 10/1/41, Pool #G07642 | | | 70,586 | |
| | 25,757 | | | 4.00%, 10/1/41, Pool #Q03841 | | | 28,875 | |
| | 32,639 | | | 4.00%, 10/1/41, Pool #Q04022 | | | 36,567 | |
| | 163,568 | | | 3.50%, 4/1/42, Pool #C03811 | | | 175,603 | |
| | 145,583 | | | 3.50%, 4/1/42, Pool #Q07417 | | | 156,295 | |
| | 14,494 | | | 3.50%, 5/1/42, Pool #Q08239 | | | 15,458 | |
| | 4,983 | | | 3.50%, 5/1/42, Pool #Q08306 | | | 5,316 | |
| | 138,637 | | | 3.50%, 8/1/42, Pool #G07106 | | | 148,879 | |
| | 21,220 | | | 3.50%, 8/1/42, Pool #Q12162 | | | 22,800 | |
| | 8,170 | | | 3.50%, 10/1/42, Pool #Q11909 | | | 8,776 | |
| | 192,482 | | | 3.00%, 1/1/43, Pool #Q14866 | | | 204,333 | |
| | 145,516 | | | 3.00%, 3/1/43, Pool #Q16673 | | | 153,429 | |
| | 92,242 | | | 3.00%, 3/1/43, Pool #Q16403 | | | 97,218 | |
| | 99,515 | | | 3.50%, 6/1/43, Pool #Q18718 | | | 108,481 | |
| | 134,614 | | | 3.50%, 7/1/43, Pool #Q20206 | | | 146,135 | |
| | 62,047 | | | 4.00%, 9/1/43, Pool #Q21579 | | | 68,405 | |
| | 122,269 | | | 4.50%, 12/1/43, Pool #G60018 | | | 132,197 | |
| | 175,782 | | | 4.50%, 12/1/43, Pool #Q23779 | | | 190,994 | |
| | 15,417 | | | 3.50%, 1/1/44, Pool #Q24368 | | | 16,741 | |
| | 984,377 | | | Class XZ, Series 43164.50%, 3/15/44 | | | 1,130,400 | |
| | 67,837 | | | 4.00%, 4/1/44, Pool #Q25643 | | | 74,583 | |
| | 665,105 | | | 3.50%, 4/1/44, Pool #G07848 | | | 722,753 | |
| | 1,220,811 | | | Class ZX , Series 43524.00%, 4/15/44 | | | 1,313,576 | |
| | 17,233 | | | 3.50%, 5/1/44, Pool #Q26218 | | | 18,795 | |
See accompanying notes to the financial statements.
27
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 78,273 | | | 3.50%, 6/1/44, Pool #Q28764 | | $ | 84,024 | |
| | 2,141,858 | | | 3.00%, 6/1/44, Pool #SD0498 | | | 2,276,905 | |
| | 65,858 | | | 4.00%, 7/1/44, Pool #G60901 | | | 71,374 | |
| | 14,688 | | | 3.50%, 7/1/44, Pool #Q27319 | | | 16,018 | |
| | 24,943 | | | 3.50%, 9/1/44, Pool #Q28604 | | | 27,231 | |
| | 2,278,345 | | | 3.50%, 9/1/44, Pool #SD0481 | | | 2,476,202 | |
| | 2,276,767 | | | 4.00%, 1/1/45, Pool #SD0478 | | | 2,498,065 | |
| | 2,623,936 | | | 4.00%, 1/1/45, Pool #SD0490 | | | 2,861,093 | |
| | 8,688 | | | 4.00%, 2/1/45, Pool #Q31128 | | | 9,624 | |
| | 22,663 | | | 4.00%, 2/1/45, Pool #Q31338 | | | 25,108 | |
| | 3,359,038 | | | 4.00%, 9/1/45, Pool #SD0507 | | | 3,716,558 | |
| | 18,451 | | | 3.50%, 9/1/45, Pool #Q36302 | | | 20,145 | |
| | 25,183 | | | 4.00%, 12/1/45, Pool #Q37955 | | | 27,893 | |
| | 21,355 | | | 4.00%, 12/1/45, Pool #Q37957 | | | 23,600 | |
| | 1,545,539 | | | 3.50%, 3/1/46, Pool #SD0485 | | | 1,657,816 | |
| | 485,180 | | | Class FB, Series 46060.61%(US0001M+50bps), 8/15/46 | | | 491,684 | |
| | 781,689 | | | 3.00%, 9/1/46, Pool #Q42979 | | | 825,150 | |
| | 272,313 | | | 3.00%, 9/1/46, Pool #G60718 | | | 287,295 | |
| | 307,881 | | | 3.50%, 9/1/46, Pool #SD0486 | | | 329,422 | |
| | 943,329 | | | 3.00%, 12/1/46, Pool #V82781 | | | 991,479 | |
| | 83,288 | | | 3.00%, 12/1/46, Pool #Q45083 | | | 89,085 | |
| | 161,781 | | | 3.00%, 12/1/46, Pool #Q45080 | | | 172,021 | |
| | 285,348 | | | 3.00%, 12/1/46, Pool #Q45064 | | | 301,176 | |
| | 771,779 | | | 3.00%, 2/1/47, Pool #SD0496 | | | 821,821 | |
| | 484,333 | | | 3.50%, 3/1/47, Pool #G60968 | | | 540,389 | |
| | 1,127,678 | | | 4.50%, 7/1/47, Pool #G61047 | | | 1,239,922 | |
| | 849,630 | | | 4.00%, 7/1/47, Pool #SD0504 | | | 923,747 | |
| | 424,903 | | | 3.50%, 10/1/47, Pool #G61178 | | | 460,129 | |
| | 537,996 | | | 3.50%, 12/1/47, Pool #G61208 | | | 582,613 | |
| | 114,517 | | | 3.50%, 1/1/48, Pool #Q53648 | | | 123,781 | |
| | 72,367 | | | 3.50%, 1/1/48, Pool #Q53630 | | | 78,364 | |
| | 515,870 | | | 3.50%, 1/1/48, Pool #ZS4751 | | | 545,873 | |
| | 499,760 | | | 3.50%, 2/1/48, Pool #ZT1353 | | | 530,796 | |
| | 753,412 | | | 4.00%, 4/1/48, Pool #SD0489 | | | 833,414 | |
| | 1,271,145 | | | 4.50%, 8/1/48, Pool #G67715 | | | 1,407,493 | |
| | 3,617,016 | | | 4.00%, 8/1/48, Pool #SD0492 | | | 3,988,775 | |
| | 2,996,166 | | | 4.00%, 5/1/49, Pool #SD0488 | | | 3,232,173 | |
| | 13,833 | | | 3.00%, 7/1/50, Pool #QB1158 | | | 14,674 | |
| | 124,429 | | | 3.00%, 7/1/50, Pool #QB1479 | | | 132,353 | |
| | 13,996 | | | 3.00%, 7/1/50, Pool #QB1488 | | | 14,977 | |
| | 33,655 | | | 3.00%, 7/1/50, Pool #QB1486 | | | 36,039 | |
| | 100,922 | | | 3.00%, 8/1/50, Pool #QB2339 | | | 108,064 | |
| | 994,814 | | | 3.00%, 8/1/50, Pool #RA3282 | | | 1,050,638 | |
| | 998,763 | | | 3.00%, 8/1/50, Pool #RA3313 | | | 1,037,841 | |
| | 1,256,055 | | | 3.00%, 12/1/50, Pool #SD0519 | | | 1,311,689 | |
| | 1,145,065 | | | 4.00%, 12/1/50, Pool #SD0520 | | | 1,244,852 | |
| | 3,741,998 | | | 2.00%, 10/1/51, Pool #RA6071 | | | 3,736,180 | |
| | | | | | | | |
| | | | | | | 63,554,005 | |
| | | | | | | | |
| Federal Home Loan Bank (0.2%) | |
| | 4,080,000 | | | 3.56%, 5/16/33 | | | 4,793,229 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $737,872,602) | | | 743,105,192 | |
| | | | | |
| U.S. Treasury Obligations (31.8%): | | | |
| U.S. Treasury Bills (5.0%) | |
| | 134,310,000 | | | , 1/25/22(c) | | | 134,306,718 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations, continued | | | |
| U.S. Treasury Bonds (12.7%) | |
| $ | 2,480,000 | | | 5.38%, 2/15/31 | | $ | 3,317,000 | |
| | 14,025,000 | | | 4.75%, 2/15/37 | | | 19,919,883 | |
| | 10,000,000 | | | 5.00%, 5/15/37 | | | 14,581,250 | |
| | 16,745,000 | | | 1.13%, 8/15/40 | | | 14,662,341 | |
| | 35,585,000 | | | 1.88%, 2/15/41 | | | 35,329,233 | |
| | 36,860,000 | | | 1.75%, 8/15/41 | | | 35,846,350 | |
| | 8,765,000 | | | 2.00%, 11/15/41 | | | 8,890,997 | |
| | 29,385,000 | | | 3.13%, 11/15/41 | | | 35,436,473 | |
| | 7,022,500 | | | 3.63%, 8/15/43 | | | 9,141,320 | |
| | 1,205,000 | | | 3.13%, 8/15/44 | | | 1,468,782 | |
| | 15,000 | | | 2.50%, 2/15/45 | | | 16,566 | |
| | 955,000 | | | 3.00%, 5/15/45 | | | 1,146,895 | |
| | 1,770,000 | | | 2.88%, 8/15/45 | | | 2,086,111 | |
| | 12,235,000 | | | 3.00%, 11/15/45 | | | 14,762,292 | |
| | 22,700,000 | | | 2.25%, 8/15/46 | | | 24,090,375 | |
| | 6,855,000 | | | 2.88%, 11/15/46 | | | 8,142,455 | |
| | 3,293,000 | | | 3.00%, 2/15/47 | | | 4,002,024 | |
| | 3,105,000 | | | 2.75%, 11/15/47 | | | 3,629,939 | |
| | 5,645,000 | | | 3.00%, 2/15/48 | | | 6,917,771 | |
| | 30,570,000 | | | 3.13%, 5/15/48(d) | | | 38,341,467 | |
| | 4,055,000 | | | 3.38%, 11/15/48 | | | 5,325,989 | |
| | 8,700,000 | | | 3.00%, 2/15/49 | | | 10,739,062 | |
| | 125,000 | | | 2.88%, 5/15/49 | | | 151,172 | |
| | 10,975,000 | | | 1.25%, 5/15/50 | | | 9,363,047 | |
| | 16,515,000 | | | 1.38%, 8/15/50 | | | 14,535,780 | |
| | 11,849,000 | | | 1.63%, 11/15/50 | | | 11,088,072 | |
| | 9,092,000 | | | 1.88%, 11/15/51 | | | 9,063,588 | |
| | | | | | | | |
| | | | | | | 341,996,234 | |
| | | | | | | | |
| U.S. Treasury Notes (14.1%) | |
| | 21,185,000 | | | 0.38%, 4/15/24 | | | 20,973,150 | |
| | 5,570,000 | | | 2.00%, 5/31/24 | | | 5,723,175 | |
| | 7,700,000 | | �� | 0.25%, 6/15/24 | | | 7,588,109 | |
| | 43,620,000 | | | 0.75%, 11/15/24 | | | 43,388,269 | |
| | 1,700,000 | | | 1.50%, 11/30/24 | | | 1,727,094 | |
| | 5,615,000 | | | 1.75%, 12/31/24 | | | 5,743,970 | |
| | 1,140,000 | | | 1.38%, 1/31/25 | | | 1,153,181 | |
| | 20,065,000 | | | 1.13%, 2/28/25 | | | 20,143,379 | |
| | 3,164,000 | | | 0.50%, 3/31/25 | | | 3,112,091 | |
| | 16,246,000 | | | 0.38%, 4/30/25 | | | 15,890,619 | |
| | 13,710,000 | | | 0.25%, 5/31/25 | | | 13,339,402 | |
| | 890,000 | | | 3.00%, 10/31/25 | | | 952,161 | |
| | 1,550,000 | | | 2.88%, 11/30/25 | | | 1,652,688 | |
| | 7,810,000 | | | 0.38%, 12/31/25 | | | 7,573,259 | |
| | 4,310,000 | | | 0.50%, 2/28/26 | | | 4,188,781 | |
| | 8,275,000 | | | 2.25%, 3/31/26 | | | 8,634,445 | |
| | 37,085,000 | | | 0.75%, 3/31/26 | | | 36,395,451 | |
| | 7,832,000 | | | 0.75%, 4/30/26 | | | 7,680,255 | |
| | 2,435,000 | | | 2.38%, 4/30/26 | | | 2,555,228 | |
| | 12,592,000 | | | 0.75%, 5/31/26 | | | 12,340,160 | |
| | 1,520,000 | | | 2.13%, 5/31/26 | | | 1,579,612 | |
| | 2,407,000 | | | 1.88%, 6/30/26 | | | 2,475,449 | |
| | 14,160,000 | | | 0.63%, 7/31/26 | | | 13,777,237 | |
| | 2,430,000 | | | 1.88%, 7/31/26 | | | 2,500,242 | |
| | 32,048,000 | | | 0.75%, 8/31/26 | | | 31,346,950 | |
| | 18,485,000 | | | 1.25%, 11/30/26^ | | | 18,487,888 | |
| | 8,900,000 | | | 1.25%, 12/31/26 | | | 8,897,219 | |
See accompanying notes to the financial statements.
28
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations, continued | | | |
| U.S. Treasury Notes, continued | |
| $ | 10,580,000 | | | 0.38%, 7/31/27 | | $ | 10,055,959 | |
| | 3,345,000 | | | 0.50%, 8/31/27 | | | 3,193,952 | |
| | 4,620,000 | | | 0.38%, 9/30/27 | | | 4,376,006 | |
| | 5,455,000 | | | 1.25%, 6/30/28 | | | 5,403,007 | |
| | 1,005,000 | | | 1.00%, 7/31/28 | | | 979,090 | |
| | 3,458,000 | | | 2.88%, 8/15/28 | | | 3,778,946 | |
| | 2,000,000 | | | 1.38%, 12/31/28 | | | 1,992,813 | |
| | 255,000 | | | 2.38%, 5/15/29 | | | 271,973 | |
| | 11,880,000 | | | 0.63%, 5/15/30 | | | 11,120,794 | |
| | 9,750,000 | | | 0.63%, 8/15/30 | | | 9,104,063 | |
| | 10,183,000 | | | 1.25%, 8/15/31 | | | 9,969,793 | |
| | 18,543,000 | | | 1.38%, 11/15/31^ | | | 18,334,391 | |
| | | | | | | | |
| | | | | | | 378,400,251 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $838,651,439) | | | 854,703,203 | |
| | | | | |
| Certificates of Deposit (7.0%): | | | |
| | 27,100,000 | | | Bank of Nova Scotia, 0.25%, 5/31/22 | | | 27,096,233 | |
| | 26,945,000 | | | Canadian Imperial Holding, 0.25%, 5/18/22 | | | 26,941,263 | |
| | 26,940,000 | | | Credit Suisse AG, 0.30%, 6/1/22 | | | 26,941,805 | |
| | 25,800,000 | | | Nordea Bank Abp New York, 0.21%, 6/17/22 | | | 25,788,571 | |
| | 27,100,000 | | | Royal Bank of Canada NY, 0.25%, 6/1/22 | | | 27,096,097 | |
| | 27,100,000 | | | Skandinav Enskilda BK NY, 0.25%, 5/31/22 | | | 27,096,233 | |
| | 26,960,000 | | | Svenska Handelsbanken, 0.26%, 5/24/22 | | | 26,958,059 | |
| | | | | | | | |
| | Total Certificates of Deposit (Cost $187,945,529) | | | 187,918,261 | |
| | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Commercial Paper (2.6%): | | | |
| Banks (2.2%): | | | |
| $ | 21,440,000 | | | Banco Santander SA, 0.00%, 1/11/22(c) | | $ | 21,439,099 | |
| | 21,250,000 | | | DBS Bank, Ltd., 0.00%, 6/1/22(c) | | | 21,221,950 | |
| | 7,700,000 | | | Macquarie Bank, Ltd., 0.00%, 2/2/22(c) | | | 7,698,129 | |
| | 8,975,000 | | | Santander UK plc, 0.00%, 2/1/22(c) | | | 8,974,031 | |
| | | | | | | | |
| | | | | | | 59,333,209 | |
| | | | | | | | |
| Financial Services (0.4%): | | | |
| | 10,010,000 | | | Sumitomo Trust & Bank NY, 0.13%, 2/4/22(c) | | | 10,008,759 | |
| | | | | | | | |
| | Total Commercial Paper (Cost $69,348,176) | | | 69,341,968 | |
| | | | | |
| Short-Term Security Held as Collateral for Securities on Loan (1.0%): | |
| | 25,879,541 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(c)(e) | | | 25,879,541 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $25,879,541) | | | 25,879,541 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (8.5%): | | | |
| Money Markets (8.5%): | | | |
| | 229,213,158 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 229,213,158 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $229,213,158) | | | 229,213,158 | |
| | | | | |
| | Total Investment Securities (Cost $3,231,154,484) — 121.0%(f) | | | 3,254,509,915 | |
| | Net other assets (liabilities) — (21.0)% | | | (564,777,359 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 2,689,732,556 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $25,240,299. |
| + | 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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (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, 2021. |
| (f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
29
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
Amounts shown as “—“ are either $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 value of investments as of December 31, 2021:
| | | | |
| Country | | Percentage | |
| |
Australia | | | 0.3 | % |
| |
Austria | | | — | %† |
| |
Belgium | | | — | %† |
| |
Brazil | | | — | %† |
| |
Canada | | | 2.7 | % |
| |
Cayman Islands | | | 1.0 | % |
| |
Chile | | | 0.2 | % |
| |
China | | | — | %† |
| |
Colombia | | | 0.2 | % |
| |
Denmark | | | 0.3 | % |
| |
Finland | | | 0.8 | % |
| |
France | | | 0.6 | % |
| |
Germany | | | 0.3 | % |
| |
Hungary | | | — | %† |
| |
India | | | — | %† |
| |
Indonesia | | | 0.2 | % |
| |
Ireland | | | 0.3 | % |
| |
Israel | | | — | %† |
| |
Italy | | | — | %† |
| |
Japan | | | 0.9 | % |
| |
Kazakstan | | | — | %† |
| |
Kuwait | | | — | %† |
| |
Luxembourg | | | 0.3 | % |
| | | | |
| Country | | Percentage | |
| |
Malaysia | | | — | %† |
| |
Mexico | | | 0.5 | % |
| |
Netherlands | | | 0.8 | % |
| |
Norway | | | — | %† |
| |
Panama | | | 0.2 | % |
| |
Peru | | | 0.1 | % |
| |
Philippines | | | 0.2 | % |
| |
Qatar | | | — | %† |
| |
Republic of Korea (South) | | | 0.1 | % |
| |
Romania | | | — | %† |
| |
Russian Federation | | | 0.1 | % |
| |
Saudi Arabia | | | 0.1 | % |
| |
Singapore | | | 0.7 | % |
| |
South Africa | | | — | %† |
| |
Spain | | | 0.9 | % |
| |
Sweden | | | 1.8 | % |
| |
Switzerland | | | 1.1 | % |
| |
United Arab Emirates | | | — | %† |
| |
United Kingdom | | | 1.1 | % |
| |
United States | | | 84.1 | % |
| |
Uruguay | | | 0.1 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
Securities Sold Short (-0.1%):
At December 31, 2021, the Fund’s securities sold short were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Security Description | | Coupon
Rate | | | Maturity
Date | | | Par Amount | | | Proceeds
Received | | | Value | |
| | | | | |
U.S. Government Agency Mortgages | | | | | | | | | | | | | | | | | | | | |
|
Federal National Mortgage Association | |
Federal National Mortgage Association, TBA | | | 3.00% | | | | 1/25/36 | | | $ | (124,000 | ) | | $ | (129,653 | ) | | $ | (129,619 | ) |
Federal National Mortgage Association, TBA | | | 4.00% | | | | 1/25/51 | | | | (277,000 | ) | | | (294,734 | ) | | | (294,572 | ) |
Federal National Mortgage Association, TBA | | | 4.50% | | | | 1/25/51 | | | | (1,270,000 | ) | | | (1,361,780 | ) | | | (1,361,083 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $ | (1,786,167 | ) | | $ | (1,785,274 | ) |
| | | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
30
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
December 31, 2021
Futures Contracts
At December 31, 2021, 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 Futures (Euro) | | | 3/8/22 | | | | 42 | | | $ | (9,884,772 | ) | | $ | 446,704 | |
Euro Schatz Index March Futures (Euro) | | | 3/8/22 | | | | 118 | | | | (15,049,053 | ) | | | 17,976 | |
Euro-Bobl March Futures (Euro) | | | 3/8/22 | | �� | | 147 | | | | (22,296,916 | ) | | | 134,240 | |
Euro-Bund March Futures (Euro) | | | 3/8/22 | | | | 145 | | | | (28,287,570 | ) | | | 401,557 | |
U.S. Treasury 10-Year Note March Futures (U.S. Dollar) | | | 3/22/22 | | | | 434 | | | | (63,553,875 | ) | | | (744,996 | ) |
U.S. Treasury 30-Year Bond March Futures (U.S. Dollar) | | | 3/22/22 | | | | 56 | | | | (8,984,500 | ) | | | (72,281 | ) |
U.S. Treasury 5-Year Note March Futures (U.S. Dollar) | | | 3/31/22 | | | | 235 | | | | (28,429,492 | ) | | | 98,732 | |
Ultra Long Term U.S. Treasury Bond March Futures (U.S. Dollar) | | | 3/22/22 | | | | 78 | | | | (15,375,750 | ) | | | (321,335 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (39,403 | ) |
| | | | | | | | | | | | | | | | |
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
U.S. Treasury 10-Year Note March Futures (U.S. Dollar) | | | 3/22/22 | | | | 870 | | | $ | 113,507,813 | | | $ | 162,863 | |
U.S. Treasury 2-Year Note March Futures (U.S. Dollar) | | | 3/31/22 | | | | 944 | | | | 205,954,250 | | | | (136,693 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 26,170 | |
| | | | | | | | | | | | | | | | |
Total Net Futures Contracts | | | | | | | | | | | | | | $ | (13,233 | ) |
| | | | | | | | | | | | | | | | |
Forward Currency Contracts
At December 31, 2021, the Fund’s open forward currency contracts were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
U.S. Dollar | | | 105,658,855 | | | European Euro | | | 93,290,000 | | | Bank National Paribas | | | 3/16/22 | | | $ | (697,581 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Net Forward Currency Contracts | | | | | | | | | $ | (697,581 | ) |
| | | | | | | | | | | |
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
| | | | | | | | |
| | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Forward currency contracts | | $ | — | | | $ | (697,581 | ) |
See accompanying notes to the financial statements.
31
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 3,231,154,484 | |
| | | | | |
Investment securities, at value(a) | | | $ | 3,254,509,915 | |
Cash | | | | 311 | |
Interest and dividends receivable | | | | 11,681,462 | |
Foreign currency, at value (cost $1,442,488) | | | | 1,451,548 | |
Receivable for investments sold | | | | 41,707 | |
Receivable for TBA investments sold | | | | 408,307,836 | |
Prepaid expenses | | | | 13,265 | |
| | | | | |
Total Assets | | | | 3,676,006,044 | |
| | | | | |
Liabilities: | | | | | |
Unrealized depreciation on forward currency contracts | | | | 697,581 | |
Payable for investments purchased | | | | 64,302,338 | |
Payable for TBA investments purchased | | | | 891,508,125 | |
Payable for capital shares redeemed | | | | 1,936 | |
Payable for collateral received on loaned securities | | | | 25,879,541 | |
Securities sold short (Proceeds received $1,786,167) | | | | 1,785,274 | |
Payable for variation margin on futures contracts | | | | 188,900 | |
Manager fees payable | | | | 801,506 | |
Administration fees payable | | | | 438,881 | |
Distribution fees payable | | | | 572,505 | |
Custodian fees payable | | | | 13,562 | |
Administrative and compliance services fees payable | | | | 3,801 | |
Transfer agent fees payable | | | | 1,393 | |
Trustee fees payable | | | | 21,347 | |
Other accrued liabilities | | | | 56,798 | |
| | | | | |
Total Liabilities | | | | 986,273,488 | |
| | | | | |
Net Assets | | | $ | 2,689,732,556 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 2,637,658,467 | |
Total distributable earnings | | | | 52,074,089 | |
| | | | | |
Net Assets | | | $ | 2,689,732,556 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 240,814,453 | |
Net Asset Value (offering and redemption price per share) | | | $ | 11.17 | |
| | | | | |
| (a) | Includes securities on loan of $25,240,299. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 35,487,077 | |
Dividends | | | | 31,075 | |
Income from securities lending | | | | 45,505 | |
Foreign withholding tax | | | | (854 | ) |
| | | | | |
Total Investment Income | | | | 35,562,803 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 8,568,532 | |
Administration fees | | | | 962,130 | |
Distribution fees | | | | 6,120,392 | |
Custodian fees | | | | 80,274 | |
Administrative and compliance services fees | | | | 25,742 | |
Transfer agent fees | | | | 6,506 | |
Trustee fees | | | | 109,714 | |
Professional fees | | | | 102,677 | |
Shareholder reports | | | | 42,448 | |
Other expenses | | | | 41,730 | |
| | | | | |
Total expenses | | | | 16,060,145 | |
| | | | | |
Net Investment Income/(Loss) | | | | 19,502,658 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | (3,702,815 | ) |
Net realized gains/(losses) on forward currency contracts | | | | 8,681,809 | |
Net realized gains/(losses) on futures contracts | | | | 10,138,751 | |
Net realized gains/(losses) on securities held short | | | | 85,930 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | (76,838,039 | ) |
Change in net unrealized appreciation/depreciation on forward currency contracts | | | | 2,670,616 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (615,338 | ) |
Change in net unrealized appreciation/depreciation on securities held short | | | | 147,204 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | (59,431,882 | ) |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | (39,929,224 | ) |
| | | | | |
See accompanying notes to the financial statements.
32
AZL Enhanced Bond Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 19,502,658 | | | | $ | 29,818,819 | |
Net realized gains/(losses) on investments | | | | 15,203,675 | | | | | 79,683,517 | |
Change in unrealized appreciation/depreciation on investments | | | | (74,635,557 | ) | | | | 40,761,778 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | (39,929,224 | ) | | | | 150,264,114 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (89,324,077 | ) | | | | (46,897,494 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (89,324,077 | ) | | | | (46,897,494 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 711,480,744 | | | | | 174,282,361 | |
Proceeds from dividends reinvested | | | | 89,324,077 | | | | | 46,897,494 | |
Value of shares redeemed | | | | (63,249,445 | ) | | | | (482,673,018 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 737,555,376 | | | | | (261,493,163 | ) |
| | | | | | | | | | |
Change in net assets | | | | 608,302,075 | | | | | (158,126,543 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 2,081,430,481 | | | | | 2,239,557,024 | |
| | | | | | | | | | |
End of period | | | $ | 2,689,732,556 | | | | $ | 2,081,430,481 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 61,577,341 | | | | | 14,838,788 | |
Dividends reinvested | | | | 7,989,631 | | | | | 4,015,197 | |
Shares redeemed | | | | (5,508,649 | ) | | | | (41,915,324 | ) |
| | | | | | | | | | |
Change in shares | | | | 64,058,323 | | | | | (23,061,339 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
33
AZL Enhanced Bond Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.78 | | | | $ | 11.21 | | | | $ | 10.59 | | | | $ | 10.89 | | | | $ | 10.67 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.09 | (a) | | | | 0.17 | (a) | | | | 0.25 | (a) | | | | 0.28 | | | | | 0.20 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.32 | ) | | | | 0.67 | | | | | 0.64 | | | | | (0.35 | ) | | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | (0.23 | ) | | | | 0.84 | | | | | 0.89 | | | | | (0.07 | ) | | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.09 | ) | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.10 | ) |
Net Realized Gains | | | | (0.29 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.38 | ) | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.17 | | | | $ | 11.78 | | | | $ | 11.21 | | | | $ | 10.59 | | | | $ | 10.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | (1.94 | )% | | | | 7.53 | % | | | | 8.38 | % | | | | (0.58 | )% | | | | 3.01 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 2,689,733 | | | | $ | 2,081,430 | | | | $ | 2,239,557 | | | | $ | 1,936,318 | | | | $ | 2,048,679 | |
Net Investment Income/(Loss) | | | | 0.80 | % | | | | 1.45 | % | | | | 2.28 | % | | | | 2.41 | % | | | | 1.87 | % |
Expenses Before Reductions(c) | | | | 0.66 | % | | | | 0.66 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.65 | % |
Expenses Net of Reductions | | | | 0.66 | % | | | | 0.66 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.65 | % |
Portfolio Turnover Rate | | | | 137 | % | | | | 140 | % | | | | 119 | % | | | | 144 | % | | | | 214 | % |
| (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.
34
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
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 and Witholding 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.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest
35
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 on 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, 2021 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 $4,505 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $25,879,541 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, 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, 2021, 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 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, 2021, the Fund participated in the following cross-trade transactions:
| | | | | | | | | | | | | | | |
| | | Purchases | | Sales | | Realized
Gains/(Losses) |
| | | |
AZL Enhanced Bond Index Fund | | | $ | 1,604,625 | | | | $ | — | | | | $ | — | |
36
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021, 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, 2021, the monthly average notional amount for long contracts was $16.0 million and the monthly average notional amount for short contracts was $150.7 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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $309.3 million, and the monthly average notional amount for short contracts was $259.6 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | | |
Interest Rate Risk | | | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 1,262,072 | | | Payable for variation margin on futures contracts* | | $ | 1,275,305 | |
| | | | |
Foreign Exchange Risk | | | | | | | | | | | | |
| | | | |
| Forward Currency Contracts | | Unrealized appreciation on forward currency contracts | | | — | | | Unrealized depreciation on forward currency contracts | | | 697,581 | |
| * | 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, 2021:
| | | | | | | | | | |
| 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 | | $ | 10,138,751 | | | $ | (615,338 | ) |
| | | |
Foreign Exchange Risk | | | | | | | | | | |
| | | |
| Forward Currency Contracts | | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | | | 8,681,809 | | | | 2,670,616 | |
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, 2021. 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, 2021.
37
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
As of December 31, 2021, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
| | |
Derivative Financial Instruments: | | | | | | | | | | |
Forward currency contracts | | | $ | — | | | | $ | 697,581 | |
Futures contracts | | | | — | | | | | 188,900 | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | — | | | | | 886,481 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | — | | | | | (188,900 | ) |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | — | | | | $ | 697,581 | |
| | | | | | | | | | |
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 697,581 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 697,581 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 697,581 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 697,581 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. 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”), BlackRock Financial Management, Inc. (“BlackRock Financial”), which in turn has retained, effective December 1, 2021, BlackRock International Limited and BlackRock (Singapore) Limited (together, the “Sub-subadvisers”) to make investment decisions on behalf of the Fund. Pursuant to subadvisory agreements with the Manager and BlackRock Financial, BlackRock Financial and the Sub-subadvisers, respectively, provide investment advisory services as the Subadviser and Sub-subadvisers 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 “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Sub-subadvisers are entitled to a fee payable by the Subadviser. 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, 2023.
For the year ended December 31, 2021, 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 with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such 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.
38
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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 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. These procedures include the Fund’s use of 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, 2021 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 | | | $ | — | | | | $ | 100,701,574 | | | | $ | — | | | | $ | 100,701,574 | |
Collateralized Mortgage Obligations | | | | — | | | | | 160,922,221 | | | | | — | | | | | 160,922,221 | |
Corporate Bonds+ | | | | — | | | | | 645,342,335 | | | | | — | | | | | 645,342,335 | |
Foreign Bonds+ | | | | — | | | | | 74,964,903 | | | | | — | | | | | 74,964,903 | |
Yankee Debt Obligations+ | | | | — | | | | | 157,725,724 | | | | | — | | | | | 157,725,724 | |
Municipal Bonds | | | | — | | | | | 4,691,835 | | | | | — | | | | | 4,691,835 | |
U.S. Government Agency Mortgages | | | | — | | | | | 743,105,192 | | | | | — | | | | | 743,105,192 | |
U.S. Treasury Obligations | | | | — | | | | | 854,703,203 | | | | | — | | | | | 854,703,203 | |
Certificates of Deposit | | | | — | | | | | 187,918,261 | | | | | — | | | | | 187,918,261 | |
Commercial Paper | | | | — | | | | | 69,341,968 | | | | | — | | | | | 69,341,968 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 25,879,541 | | | | | — | | | | | — | | | | | 25,879,541 | |
Unaffiliated Investment Company | | | | 229,213,158 | | | | | — | | | | | — | | | | | 229,213,158 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 255,092,699 | | | | | 2,999,417,216 | | | | | — | | | | | 3,254,509,915 | |
| | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | — | | | | | (1,785,274 | ) | | | | — | | | | | (1,785,274 | ) |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | (13,233 | ) | | | | — | | | | | — | | | | | (13,233 | ) |
Forward Currency Contracts | | | | — | | | | | (697,581 | ) | | | | — | | | | | (697,581 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 255,079,466 | | | | $ | 2,996,934,361 | | | | $ | — | | | | $ | 3,252,013,827 | |
| | | | | | | | | | | | | | | | | | | | |
39
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
| + | 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, 2021, 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 | | | $ | 2,976,189,413 | | | | $ | 2,759,823,766 | |
For the year ended December 31, 2021, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Enhanced Bond Index Fund | | | $ | 1,741,046,508 | | | | $ | 1,754,379,230 | |
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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
40
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate otherpreexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $3,232,395,652. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 44,437,542 | |
Unrealized (depreciation) | | | (24,108,553 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 20,328,989 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term Capital Gains | | Total
Distributions(a) |
| | | |
AZL Enhanced Bond Index Fund | | | $ | 74,372,219 | | | | $ | 14,951,858 | | | | $ | 89,324,077 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 33,653,816 | | | | $ | 892,325 | | | | $ | — | | | | $ | 19,627,868 | | | | $ | 54,174,009 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses and other miscellaneous differences. |
41
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021, 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 the shareholder 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.
42
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
43
Other Federal Income Tax Information (Unaudited)
During the year ended December 31, 2021, the Fund declared net short-term capital gain distributions of $53,721,461.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $14,951,858.
44
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.
45
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
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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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
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Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc. (a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions Held with
AIM Complex | | Term of Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
50
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® Fidelity Institutional Asset Management Multi-Strategy Fund
Annual Report
December 31, 2021
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.
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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, 2021?*
For the year ended December 31, 2021, the AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 2 Shares) (the “Fund”) returned 11.65%. That compared to a 28.71%, (1.54)% and a 9.91% total return for its benchmarks, the S&P 500® Index, the Bloomberg U.S. Aggregate Bond Index, and the Income and Growth Composite Index, respectively.1
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 another subadviser, Geode Capital Management, LLC, investing primarily in large-cap common stocks.
U.S. equity markets performed well in 2021, with market sentiment improving as concerns fueled by the pandemic wound down, corporate earnings growth recovered, and monetary and fiscal government support remained abundant. Value-oriented stocks benefitted from normalizing economic conditions early in the year. As the period progressed, though, the rapid spread of the Delta variant led to new questions about the sustainability of the economic recovery. Growth-oriented companies regained momentum during the closing months of the year as markets remained resilient, balancing an outlook of general economic growth with the potential impact of rising inflation and subsequent monetary policy actions.
Meanwhile, the U.S. bond market experienced negative returns in 2021. The vaccine rollout, as well as the substantial fiscal stimulus, boosted yields at the beginning of the year. As the economy followed an uneven path to recovery over the ensuing months, the U.S. Federal Reserve (the “Fed”) maintained relatively low interest rates, helping to flatten the yield curve. Rising inflation toward the end of the year led to a more hawkish tone from the Fed, pushing yields higher and keeping bond prices low for the year.
The Fund outperformed its composite benchmark during the period, and the Fund’s equity component outperformed its equity benchmark, the S&P 500® Index. With value-oriented stocks performing well during the early part of the year and growth-oriented stocks getting a boost in the closing months, the Fund’s diversified and balanced approach to stock selection across various factors translated into positive relative returns. Stock selection in the consumer discretionary, industrials and communication services sectors was the largest contributor to relative returns, while stock selection in information technology and financials was the largest detractor. An overweight position in energy also contributed positively to relative returns.
The Fund’s fixed-income component also outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index. High-yield corporate bonds, which performed well over the year amid economic optimism, were a significant driver of relative returns. An underweight position in mortgage-backed securities also boosted relative returns, as this sector saw wider spreads after reaching historically high levels early in the year. In addition, the Fund’s holdings of Treasury Inflation Protected Securities (TIPS) contributed to relative performance, as the market priced in much higher levels of inflation.
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 a ny sectors mentioned will continue to perform as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmarks please refer to page 2 of this report. |
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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, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | 10 Year | | Since
Inception1 |
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 1 Shares) | | | | 6/21/2021 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 6.03 | % |
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 2 Shares) | | | | 10/23/2009 | | | | | 11.65 | % | | | | 14.11 | % | | | | 10.10 | % | | | | 8.47 | % | | | | 7.79 | % |
S&P 500® Index | | | | 10/23/2009 | | | | | 28.71 | % | | | | 26.07 | % | | | | 18.47 | % | | | | 16.55 | % | | | | 15.24 | % |
Bloomberg U.S. Aggregate Bond Index | | | | 10/23/2009 | | | | | (1.54 | )% | | | | 4.79 | % | | | | 3.57 | % | | | | 2.90 | % | | | | 3.56 | % |
Income & Growth Composite Index | | | | 10/23/2009 | | | | | 9.91 | % | | | | 13.49 | % | | | | 9.78 | % | | | | 8.48 | % | | | | 8.46 | % |
| 1 | Not annualized for periods less than one year. |
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® Multi-Strategy Fund (Class 1 Shares) | | | | 0.78 | % |
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund (Class 2 Shares) | | | | 1.03 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 and Poor’s 500 Index (“S&P 500®”), the Bloomberg 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 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 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,046.70 | | | | $ | 2.37 | | | | | 0.46 | % |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,045.60 | | | | $ | 3.66 | | | | | 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.89 | | | | $ | 2.35 | | | | | 0.46 | % |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.63 | | | | $ | 3.62 | | | | | 0.71 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 42.0 | % |
| |
U.S. Treasury Obligations | | | | 21.4 | |
| |
Corporate Bonds | | | | 16.9 | |
| |
U.S. Government Agency Mortgages | | | | 8.7 | |
| |
Yankee Debt Obligations | | | | 5.6 | |
| |
Collateralized Mortgage Obligations | | | | 4.6 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 3.8 | |
| |
Unaffiliated Investment Company | | | | 3.7 | |
| |
Asset Backed Securities | | | | 0.5 | |
| |
Municipal Bonds | | | | 0.2 | |
| |
Bank Loans | | | | 0.1 | |
| |
Convertible Bonds | | | | — | † |
| | |
Preferred Stock | | | | — | † |
| | |
Warrants | | | | — | † |
| | | | | |
| |
Total Investment Securities | | | | 107.5 | |
| |
Net other assets (liabilities) | | | | (7.5 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (42.0%): | | | |
| Aerospace & Defense (0.4%): | | | |
| | 1,708 | | | Axon Enterprise, Inc.* | | $ | 268,156 | |
| | 13,250 | | | Lockheed Martin Corp. | | | 4,709,183 | |
| | 31,724 | | | Mercury Systems, Inc.* | | | 1,746,723 | |
| | 18,306 | | | Moog, Inc., Class A | | | 1,482,237 | |
| | | | | | | | |
| | | | | | | 8,206,299 | |
| | | | | | | | |
| Air Freight & Logistics (0.2%): | | | |
| | 6,995 | | | FedEx Corp. | | | 1,809,187 | |
| | 5,410 | | | United Parcel Service, Inc., Class B | | | 1,159,579 | |
| | | | | | | | |
| | | | | | | 2,968,766 | |
| | | | | | | | |
| Automobiles (1.0%): | | | |
| | 96,716 | | | Ford Motor Co. | | | 2,008,791 | |
| | 15,611 | | | Tesla, Inc.* | | | 16,497,393 | |
| | 6,862 | | | Thor Industries, Inc. | | | 712,070 | |
| | | | | | | | |
| | | | | | | 19,218,254 | |
| | | | | | | | |
| Banks (1.9%): | | | |
| | 186,818 | | | Bank of America Corp. | | | 8,311,533 | |
| | 101,274 | | | Citigroup, Inc. | | | 6,115,937 | |
| | 2,335 | | | Fifth Third Bancorp | | | 101,689 | |
| | 4,617 | | | First Republic Bank | | | 953,457 | |
| | 8,290 | | | Hancock Whitney Corp. | | | 414,666 | |
| | 74,663 | | | JPMorgan Chase & Co. | | | 11,822,886 | |
| | 19,953 | | | Regions Financial Corp. | | | 434,975 | |
| | 30,824 | | | U.S. Bancorp | | | 1,731,384 | |
| | 103,925 | | | Wells Fargo & Co. | | | 4,986,321 | |
| | | | | | | | |
| | | | | | | 34,872,848 | |
| | | | | | | | |
| Beverages (0.4%): | | | |
| | 108,025 | | | Coca-Cola Co. (The) | | | 6,396,160 | |
| | 5,961 | | | Monster Beverage Corp.* | | | 572,495 | |
| | 3,083 | | | PepsiCo, Inc. | | | 535,548 | |
| | | | | | | | |
| | | | | | | 7,504,203 | |
| | | | | | | | |
| Biotechnology (1.1%): | | | |
| | 3,525 | | | AbbVie, Inc. | | | 477,285 | |
| | 21,136 | | | Amgen, Inc. | | | 4,754,966 | |
| | 3,323 | | | Biogen, Inc.* | | | 797,254 | |
| | 66,756 | | | Gilead Sciences, Inc. | | | 4,847,153 | |
| | 17,940 | | | Incyte Corp.* | | | 1,316,796 | |
| | 3,563 | | | Moderna, Inc.* | | | 904,931 | |
| | 3,213 | | | Regeneron Pharmaceuticals, Inc.* | | | 2,029,074 | |
| | 8,574 | | | United Therapeutics Corp.* | | | 1,852,670 | |
| | 12,019 | | | Vertex Pharmaceuticals, Inc.* | | | 2,639,372 | |
| | | | | | | | |
| | | | | | | 19,619,501 | |
| | | | | | | | |
| Capital Markets (1.0%): | | | |
| | 3,925 | | | Ameriprise Financial, Inc. | | | 1,184,015 | |
| | 14,347 | | | Goldman Sachs Group, Inc. (The) | | | 5,488,445 | |
| | 5,928 | | | LPL Financial Holdings, Inc. | | | 949,014 | |
| | 54,068 | | | Morgan Stanley | | | 5,307,315 | |
| | 2,195 | | | MSCI, Inc., Class A | | | 1,344,855 | |
| | 2,281 | | | Northern Trust Corp. | | | 272,830 | |
| | 8,310 | | | Raymond James Financial, Inc. | | | 834,324 | |
| | 3,565 | | | S&P Global, Inc. | | | 1,682,430 | |
| | 36,551 | | | SEI Investments Co. | | | 2,227,418 | |
| | | | | | | | |
| | | | | | | 19,290,646 | |
| | | | | | | | |
| Chemicals (0.6%): | | | |
| | 48,308 | | | CF Industries Holdings, Inc. | | | 3,419,240 | |
| | 38,793 | | | Chemours Co. (The) | | | 1,301,893 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 9,040 | | | Corteva, Inc. | | $ | 427,411 | |
| | 40,278 | | | Dow, Inc. | | | 2,284,568 | |
| | 12,939 | | | DuPont de Nemours, Inc. | | | 1,045,212 | |
| | 2,006 | | | Eastman Chemical Co. | | | 242,546 | |
| | 13,305 | | | FMC Corp. | | | 1,462,087 | |
| | | | | | | | |
| | | | | | | 10,182,957 | |
| | | | | | | | |
| Commercial Services & Supplies (0.1%): | | | |
| | 1,205 | | | Cintas Corp. | | | 534,020 | |
| | 1,556 | | | Copart, Inc.* | | | 235,921 | |
| | 11,111 | | | Republic Services, Inc., Class A | | | 1,549,429 | |
| | | | | | | | |
| | | | | | | 2,319,370 | |
| | | | | | | | |
| Communications Equipment (0.4%): | | | |
| | 124,368 | | | Cisco Systems, Inc. | | | 7,881,200 | |
| | | | | | | | |
| Construction & Engineering (0.1%): | | | |
| | 12,453 | | | EMCOR Group, Inc. | | | 1,586,388 | |
| | | | | | | | |
| Consumer Finance (0.4%): | | | |
| | 26,245 | | | Capital One Financial Corp. | | | 3,807,887 | |
| | 17,423 | | | Discover Financial Services | | | 2,013,402 | |
| | 12,950 | | | OneMain Holdings, Inc. | | | 648,018 | |
| | 4,072 | | | Synchrony Financial | | | 188,900 | |
| | | | | | | | |
| | | | | | | 6,658,207 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 47,712 | | | Westrock Co. | | | 2,116,504 | |
| | | | | | | | |
| Distributors (0.2%): | | | |
| | 23,402 | | | Genuine Parts Co. | | | 3,280,960 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | | | |
| | 49,349 | | | Berkshire Hathaway, Inc., Class B* | | | 14,755,351 | |
| | 65,938 | | | Jefferies Financial Group, Inc. | | | 2,558,394 | |
| | | | | | | | |
| | | | | | | 17,313,745 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.4%): | | | |
| | 1,791 | | | Frontier Communications Parent, Inc.* | | | 52,816 | |
| | 134,933 | | | Verizon Communications, Inc. | | | 7,011,119 | |
| | | | | | | | |
| | | | | | | 7,063,935 | |
| | | | | | | | |
| Electric Utilities (0.4%): | | | |
| | 6,850 | | | Duke Energy Corp. | | | 718,565 | |
| | 33,754 | | | Hawaiian Electric Industries, Inc. | | | 1,400,791 | |
| | 2,825 | | | IDACORP, Inc. | | | 320,101 | |
| | 51,006 | | | NextEra Energy, Inc. | | | 4,761,920 | |
| | 12,574 | | | Portland General Electric Co. | | | 665,416 | |
| | | | | | | | |
| | | | | | | 7,866,793 | |
| | | | | | | | |
| Electrical Equipment (0.5%): | | | |
| | 27,725 | | | AMETEK, Inc. | | | 4,076,684 | |
| | 18,828 | | | Atkore, Inc.* | | | 2,093,485 | |
| | 33,811 | | | Emerson Electric Co. | | | 3,143,409 | |
| | | | | | | | |
| | | | | | | 9,313,578 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.4%): | |
| | 91,492 | | | National Instruments Corp. | | | 3,995,456 | |
| | 84,489 | | | Vontier Corp. | | | 2,596,347 | |
| | | | | | | | |
| | | | | | | 6,591,803 | |
| | | | | | | | |
| Energy Equipment & Services (0.2%): | | | |
| | 52,758 | | | Halliburton Co. | | | 1,206,575 | |
| | 105,008 | | | Schlumberger, Ltd. | | | 3,144,990 | |
| | | | | | | | |
| | | | | | | 4,351,565 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Entertainment (0.5%): | | | |
| | 40,290 | | | Activision Blizzard, Inc. | | $ | 2,680,494 | |
| | 25,986 | | | Electronic Arts, Inc. | | | 3,427,553 | |
| | 4,096 | | | Netflix, Inc.* | | | 2,467,594 | |
| | 9,331 | | | Walt Disney Co. (The)* | | | 1,445,279 | |
| | | | | | | | |
| | | | | | | 10,020,920 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.1%): | | | |
| | 27,861 | | | American Homes 4 Rent, Class A | | | 1,215,018 | |
| | 6,783 | | | Apartment Income REIT Corp. | | | 370,827 | |
| | 5,156 | | | AvalonBay Communities, Inc. | | | 1,302,354 | |
| | 19,549 | | | Crown Castle International Corp. | | | 4,080,658 | |
| | 5,368 | | | CubeSmart | | | 305,493 | |
| | 3,694 | | | Douglas Emmett, Inc. | | | 123,749 | |
| | 1,136 | | | EastGroup Properties, Inc. | | | 258,838 | |
| | 1,933 | | | Extra Space Storage, Inc. | | | 438,269 | |
| | 8,696 | | | First Industrial Realty Trust, Inc. | | | 575,675 | |
| | 18,324 | | | National Storage Affiliates Trust | | | 1,268,021 | |
| | 10,097 | | | Public Storage, Inc. | | | 3,781,932 | |
| | 53,024 | | | Realty Income Corp. | | | 3,795,988 | |
| | 3,106 | | | SBA Communications Corp. | | | 1,208,296 | |
| | 50,652 | | | Weyerhaeuser Co. | | | 2,085,850 | |
| | | | | | | | |
| | | | | | | 20,810,968 | |
| | | | | | | | |
| Food & Staples Retailing (0.7%): | | | |
| | 9,643 | | | Costco Wholesale Corp. | | | 5,474,331 | |
| | 2,231 | | | Kroger Co. (The) | | | 100,975 | |
| | 55,443 | | | Walmart, Inc. | | | 8,022,048 | |
| | | | | | | | |
| | | | | | | 13,597,354 | |
| | | | | | | | |
| Food Products (0.5%): | | | |
| | 104,842 | | | Kraft Heinz Co. (The) | | | 3,763,828 | |
| | 41,889 | | | Mondelez International, Inc., Class A | | | 2,777,659 | |
| | 22,181 | | | Tyson Foods, Inc., Class A | | | 1,933,296 | |
| | | | | | | | |
| | | | | | | 8,474,783 | |
| | | | | | | | |
| Gas Utilities (0.0%†): | | | |
| | 1,490 | | | UGI Corp. | | | 68,406 | |
| | | | | | | | |
| Health Care Equipment & Supplies (1.2%): | | | |
| | 48,633 | | | Abbott Laboratories | | | 6,844,608 | |
| | 33,055 | | | Baxter International, Inc. | | | 2,837,441 | |
| | 4,148 | | | Danaher Corp. | | | 1,364,733 | |
| | 29,223 | | | Edwards Lifesciences Corp.* | | | 3,785,840 | |
| | 54,203 | | | Hologic, Inc.* | | | 4,149,782 | |
| | 2,189 | | | IDEXX Laboratories, Inc.* | | | 1,441,369 | |
| | 2,760 | | | Medtronic plc | | | 285,522 | |
| | 17,358 | | | Ortho Clinical Diagnostics Holdings plc* | | | 371,288 | |
| | 2,315 | | | West Pharmaceutical Services, Inc. | | | 1,085,758 | |
| | | | | | | | |
| | | | | | | 22,166,341 | |
| | | | | | | | |
| Health Care Providers & Services (1.2%): | | | |
| | 11,172 | | | Anthem, Inc. | | | 5,178,669 | |
| | 13,527 | | | Centene Corp.* | | | 1,114,625 | |
| | 27,889 | | | CVS Health Corp. | | | 2,877,029 | |
| | 3,519 | | | Laboratory Corp. of America Holdings* | | | 1,105,705 | |
| | 1,868 | | | Molina Healthcare, Inc.* | | | 594,174 | |
| | 14,485 | | | Select Medical Holdings Corp. | | | 425,859 | |
| | 21,374 | | | UnitedHealth Group, Inc. | | | 10,732,740 | |
| | | | | | | | |
| | | | | | | 22,028,801 | |
| | | | | | | | |
| Health Care Technology (0.0%†): | | | |
| | 2,172 | | | Veeva Systems, Inc., Class A* | | | 554,903 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure (0.9%): | | | |
| | 37,008 | | | International Game Technology plc | | $ | 1,069,901 | |
| | 28,477 | | | McDonald’s Corp. | | | 7,633,829 | |
| | 1,987 | | | Papa John’s International, Inc. | | | 265,205 | |
| | 21,595 | | | Scientific Games Corp., Class A* | | | 1,443,194 | |
| | 4,755 | | | SeaWorld Entertainment, Inc.* | | | 308,409 | |
| | 23,800 | | | Starbucks Corp. | | | 2,783,886 | |
| | 4,561 | | | Travel + Leisure Co. | | | 252,086 | |
| | 44,395 | | | Wendy’s Co. (The) | | | 1,058,821 | |
| | 8,175 | | | Yum! Brands, Inc. | | | 1,135,181 | |
| | | | | | | | |
| | | | | | | 15,950,512 | |
| | | | | | | | |
| Household Durables (0.3%): | | | |
| | 19,964 | | | DR Horton, Inc. | | | 2,165,096 | |
| | 7,455 | | | Lennar Corp., Class A | | | 865,973 | |
| | 33 | | | NVR, Inc.* | | | 194,992 | |
| | 26,344 | | | Toll Brothers, Inc. | | | 1,907,042 | |
| | 1,827 | | | Whirlpool Corp. | | | 428,724 | |
| | | | | | | | |
| | | | | | | 5,561,827 | |
| | | | | | | | |
| Household Products (0.7%): | | | |
| | 38,637 | | | Colgate-Palmolive Co. | | | 3,297,282 | |
| | 55,585 | | | Procter & Gamble Co. (The) | | | 9,092,594 | |
| | | | | | | | |
| | | | | | | 12,389,876 | |
| | | | | | | | |
| Industrial Conglomerates (0.1%): | | | |
| | 3,235 | | | 3M Co. | | | 574,633 | |
| | 9,682 | | | General Electric Co. | | | 914,659 | |
| | 5,161 | | | Honeywell International, Inc. | | | 1,076,120 | |
| | | | | | | | |
| | | | | | | 2,565,412 | |
| | | | | | | | |
| Insurance (0.5%): | | | |
| | 24,246 | | | Brown & Brown, Inc. | | | 1,704,009 | |
| | 4,875 | | | First American Financial Corp. | | | 381,371 | |
| | 1,295 | | | Marsh & McLennan Cos., Inc. | | | 225,097 | |
| | 23,111 | | | MetLife, Inc. | | | 1,444,206 | |
| | 18,718 | | | Primerica, Inc. | | | 2,868,908 | |
| | 8,032 | | | Travelers Cos., Inc. (The) | | | 1,256,446 | |
| | 12,750 | | | WR Berkley Corp. | | | 1,050,473 | |
| | | | | | | | |
| | | | | | | 8,930,510 | |
| | | | | | | | |
| Interactive Media & Services (2.7%): | | | |
| | 5,857 | | | Alphabet, Inc., Class A* | | | 16,967,963 | |
| | 5,455 | | | Alphabet, Inc., Class C* | | | 15,784,533 | |
| | 53,507 | | | Meta Platforms, Inc., Class A* | | | 17,997,080 | |
| | | | | | | | |
| | | | | | | 50,749,576 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (1.5%): | | | |
| | 7,921 | | | Amazon.com, Inc.* | | | 26,411,307 | |
| | 14,414 | | | eBay, Inc. | | | 958,531 | |
| | 3,461 | | | Expedia Group, Inc.* | | | 625,472 | |
| | 1,786 | | | Shutterstock, Inc. | | | 198,032 | |
| | | | | | | | |
| | | | | | | 28,193,342 | |
| | | | | | | | |
| IT Services (1.8%): | | | |
| | 3,111 | | | Accenture plc, Class A | | | 1,289,665 | |
| | 12,714 | | | Alliance Data Systems Corp. | | | 846,371 | |
| | 41,840 | | | Amdocs, Ltd. | | | 3,131,306 | |
| | 5,837 | | | Automatic Data Processing, Inc. | | | 1,439,287 | |
| | 10,624 | | | Black Knight, Inc.* | | | 880,623 | |
| | 3,914 | | | EPAM Systems, Inc.* | | | 2,616,313 | |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 10,602 | | | FleetCor Technologies, Inc.* | | $ | 2,373,152 | |
| | 6,640 | | | Gartner, Inc.* | | | 2,219,885 | |
| | 19,043 | | | GoDaddy, Inc., Class A* | | | 1,615,989 | |
| | 10,410 | | | International Business Machines Corp. | | | 1,391,401 | |
| | 22,581 | | | Mastercard, Inc., Class A | | | 8,113,805 | |
| | 8,524 | | | PayPal Holdings, Inc.* | | | 1,607,456 | |
| | 27,293 | | | Visa, Inc., Class A | | | 5,914,666 | |
| | 24,559 | | | Western Union Co. (The.) | | | 438,132 | |
| | | | | | | | |
| | | | | | | 33,878,051 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 13,154 | | | Brunswick Corp. | | | 1,325,002 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.6%): | | | |
| | 6,754 | | | Agilent Technologies, Inc. | | | 1,078,276 | |
| | 1,680 | | | Bio-Techne Corp. | | | 869,131 | |
| | 353 | | | Mettler-Toledo International, Inc.* | | | 599,115 | |
| | 10,963 | | | Thermo Fisher Scientific, Inc. | | | 7,314,952 | |
| | 1,491 | | | Waters Corp.* | | | 555,547 | |
| | | | | | | | |
| | | | | | | 10,417,021 | |
| | | | | | | | |
| Machinery (0.5%): | | | |
| | 10,223 | | | AGCO Corp. | | | 1,186,073 | |
| | 44,855 | | | Allison Transmission Holdings, Inc. | | | 1,630,479 | |
| | 11,741 | | | Caterpillar, Inc. | | | 2,427,334 | |
| | 6,460 | | | Cummins, Inc. | | | 1,409,184 | |
| | 3,447 | | | Deere & Co. | | | 1,181,942 | |
| | 2,617 | | | Parker-Hannifin Corp. | | | 832,520 | |
| | | | | | | | |
| | | | | | | 8,667,532 | |
| | | | | | | | |
| Media (0.2%): | | | |
| | 80,981 | | | Comcast Corp., Class A | | | 4,075,774 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 40,868 | | | Alcoa Corp. | | | 2,434,916 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 8,350 | | | Blackstone Mortgage Trust, Inc., Class A | | | 255,677 | |
| | | | | | | | |
| Multiline Retail (0.4%): | | | |
| | 6,431 | | | Dollar General Corp. | | | 1,516,623 | |
| | 21,185 | | | Target Corp. | | | 4,903,056 | |
| | | | | | | | |
| | | | | | | 6,419,679 | |
| | | | | | | | |
| Multi-Utilities (0.2%): | | | |
| | 57,069 | | | MDU Resources Group, Inc. | | | 1,760,008 | |
| | 6,441 | | | Public Service Enterprise Group, Inc. | | | 429,808 | |
| | 19,747 | | | WEC Energy Group, Inc. | | | 1,916,841 | |
| | | | | | | | |
| | | | | | | 4,106,657 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.5%): | | | |
| | 12,003 | | | APA Corp. | | | 322,761 | |
| | 17,981 | | | Chevron Corp. | | | 2,110,070 | |
| | 80,363 | | | ConocoPhillips | | | 5,800,601 | |
| | 23,061 | | | Continental Resources, Inc. | | | 1,032,210 | |
| | 5,526 | | | Denbury, Inc.* | | | 423,236 | |
| | 12,475 | | | Devon Energy Corp. | | | 549,524 | |
| | 50,301 | | | EOG Resources, Inc. | | | 4,468,238 | |
| | 138,200 | | | Exxon Mobil Corp. | | | 8,456,458 | |
| | 7,983 | | | Hess Corp. | | | 590,982 | |
| | 37,050 | | | Kinder Morgan, Inc. | | | 587,613 | |
| | 109,275 | | | Marathon Oil Corp. | | | 1,794,296 | |
| | 5,210 | | | Matador Resources Co. | | | 192,353 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 13,689 | | | Murphy Oil Corp. | | $ | 357,420 | |
| | 4,454 | | | Occidental Petroleum Corp. | | | 129,121 | |
| | 415 | | | PDC Energy, Inc. | | | 20,244 | |
| | 2,649 | | | Pioneer Natural Resources Co. | | | 481,800 | |
| | 4,011 | | | Sanchez Energy Corp.*(a) | | | 144,324 | |
| | 699 | | | Texas Pacific Land Corp. | | | 872,960 | |
| | | | | | | | |
| | | | | | | 28,334,211 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | | | |
| | 6,627 | | | Louisiana-Pacific Corp. | | | 519,226 | |
| | | | | | | | |
| Pharmaceuticals (1.8%): | | | |
| | 107,108 | | | Bristol-Myers Squibb Co. | | | 6,678,184 | |
| | 5,497 | | | Eli Lilly & Co. | | | 1,518,381 | |
| | 66,396 | | | Johnson & Johnson | | | 11,358,364 | |
| | 89,123 | | | Merck & Co., Inc. | | | 6,830,386 | |
| | 132,557 | | | Pfizer, Inc. | | | 7,827,491 | |
| | | | | | | | |
| | | | | | | 34,212,806 | |
| | | | | | | | |
| Professional Services (0.1%): | | | |
| | 4,878 | | | CoStar Group, Inc.* | | | 385,508 | |
| | 93 | | | IHS Markit, Ltd. | | | 12,362 | |
| | 8,465 | | | Korn Ferry | | | 641,054 | |
| | 5,938 | | | TriNet Group, Inc.* | | | 565,654 | |
| | | | | | | | |
| | | | | | | 1,604,578 | |
| | | | | | | | |
| Road & Rail (0.5%): | | | |
| | 67,295 | | | CSX Corp. | | | 2,530,292 | |
| | 1,496 | | | Norfolk Southern Corp. | | | 445,374 | |
| | 6,359 | | | Old Dominion Freight Line, Inc. | | | 2,278,938 | |
| | 18,231 | | | Union Pacific Corp. | | | 4,592,936 | |
| | | | | | | | |
| | | | | | | 9,847,540 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (2.8%): | | | |
| | 15,896 | | | Advanced Micro Devices, Inc.* | | | 2,287,434 | |
| | 29,681 | | | Applied Materials, Inc. | | | 4,670,602 | |
| | 13,815 | | | Broadcom, Inc. | | | 9,192,639 | |
| | 5,474 | | | Cirrus Logic, Inc.* | | | 503,717 | |
| | 155,357 | | | Intel Corp. | | | 8,000,886 | |
| | 13,485 | | | Kulicke & Soffa Industries, Inc. | | | 816,382 | |
| | 436 | | | Micron Technology, Inc. | | | 40,613 | |
| | 50,168 | | | NVIDIA Corp. | | | 14,754,911 | |
| | 1,384 | | | NXP Semiconductors NV | | | 315,248 | |
| | 44,689 | | | Qualcomm, Inc. | | | 8,172,277 | |
| | 9,263 | | | Semtech Corp.* | | | 823,759 | |
| | 17,796 | | | Texas Instruments, Inc. | | | 3,354,012 | |
| | 353 | | | Xilinx, Inc. | | | 74,847 | |
| | | | | | | | |
| | | | | | | 53,007,327 | |
| | | | | | | | |
| Software (4.3%): | | | |
| | 11,717 | | | Adobe, Inc.* | | | 6,644,242 | |
| | 136 | | | Atlassian Corp. plc, Class A* | | | 51,855 | |
| | 108,267 | | | Box, Inc.* | | | 2,835,513 | |
| | 9,232 | | | Cadence Design Systems, Inc.* | | | 1,720,383 | |
| | 2,893 | | | Crowdstrike Holdings, Inc., Class A* | | | 592,342 | |
| | 161,557 | | | Dropbox, Inc., Class A* | | | 3,964,609 | |
| | 540 | | | Intuit, Inc. | | | 347,339 | |
| | 145,220 | | | Microsoft Corp. | | | 48,840,390 | |
| | 12,715 | | | Nutanix, Inc., Class A* | | | 405,100 | |
| | 13,517 | | | Oracle Corp. | | | 1,178,818 | |
| | 7,118 | | | salesforce.com, Inc.* | | | 1,808,897 | |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Shares,
Contracts or
Principal
Amount | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 3,756 | | | ServiceNow, Inc.* | | $ | 2,438,057 | |
| | 19,535 | | | SS&C Technologies Holdings, Inc. | | | 1,601,479 | |
| | 14,704 | | | Synopsys, Inc.* | | | 5,418,424 | |
| | 24,471 | | | VMware, Inc., Class A | | | 2,835,700 | |
| | | | | | | | |
| | | | | | | 80,683,148 | |
| | | | | | | | |
| Specialty Retail (1.1%): | | | |
| | 4,090 | | | AutoNation, Inc.* | | | 477,916 | |
| | 555 | | | AutoZone, Inc.* | | | 1,163,496 | |
| | 15,218 | | | Dick’s Sporting Goods, Inc.^ | | | 1,749,918 | |
| | 9,660 | | | Foot Locker, Inc. | | | 421,466 | |
| | 22,354 | | | Home Depot, Inc. (The) | | | 9,277,134 | |
| | 10,843 | | | Lithia Motors, Inc. | | | 3,219,829 | |
| | 4,951 | | | Lowe’s Cos., Inc. | | | 1,279,734 | |
| | 2,890 | | | O’Reilly Automotive, Inc.* | | | 2,041,005 | |
| | 3,850 | | | Ulta Beauty, Inc.* | | | 1,587,509 | |
| | | | | | | | |
| | | | | | | 21,218,007 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (3.0%): | |
| | 285,682 | | | Apple, Inc. | | | 50,728,553 | |
| | 86,439 | | | HP, Inc. | | | 3,256,157 | |
| | 16,418 | | | NetApp, Inc. | | | 1,510,292 | |
| | 12,856 | | | Western Digital Corp.* | | | 838,340 | |
| | | | | | | | |
| | | | | | | 56,333,342 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.2%): | | | |
| | 24,081 | | | Nike, Inc., Class B | | | 4,013,580 | |
| | | | | | | | |
| Tobacco (0.0%†): | | | |
| | 11,944 | | | Altria Group, Inc. | | | 566,026 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 13,409 | | | MSC Industrial Direct Co., Inc. | | | 1,127,160 | |
| | 3,216 | | | W.W. Grainger, Inc. | | | 1,666,660 | |
| | | | | | | | |
| | | | | | | 2,793,820 | |
| | | | | | | | |
| | Total Common Stocks (Cost $682,315,202) | | | 784,984,973 | |
| | | | | |
| Preferred Stock (0.0%†): | | | |
| Electric Utilities (0.0%†): | | | |
| | 1,000 | | | PG&E Corp., 5.50%, 8/16/23 | | | 115,680 | |
| | | | | | | | |
| | Total Preferred Stock (Cost $117,395) | | | 115,680 | |
| | | | | |
| Warrants (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 63 | | | California Resources Corp., 10/27/24 | | | 781 | |
| | 4,538 | | | Occidental Petroleum Corp., 8/3/27 | | | 57,224 | |
| | | | | | | | |
| | | | | | | 58,005 | |
| | | | | | | | |
| | Total Warrants (Cost $50,290) | | | 58,005 | |
| | | | | |
| Asset Backed Securities (0.5%): | | | |
| $ | 874,008 | | | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(b) | | | 788,119 | |
| | 198,709 | | | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(b) | | | 186,487 | |
| | 163,801 | | | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(b) | | | 146,767 | |
| | 220,161 | | | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(b) | | | 191,943 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 817,471 | | | Aaset Trust, Class A, Series 2021-1A, 2.95%, 11/16/41(b) | | $ | 801,267 | |
| | 1,475,000 | | | Aaset Trust, Class A, Series 2021-2A, 2.80%, 1/15/47(b) | | | 1,464,095 | |
| | 244,877 | | | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(b) | | | 174,268 | |
| | 262,621 | | | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(b) | | | 250,068 | |
| | 537,992 | | | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(b)(c) | | | 537,126 | |
| | 96,354 | | | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(b)(c) | | | 96,479 | |
| | 1,146,349 | | | Blackbird Capital Aircraft, Class A, Series 2021-1A, 2.44%, 7/15/46, Callable 7/15/28 @ 100(b) | | | 1,131,398 | |
| | 186,315 | | | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(b) | | | 175,374 | |
| | 243,533 | | | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(b) | | | 240,074 | |
| | 240,164 | | | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(b) | | | 235,250 | |
| | 231,566 | | | Castlelake Aircraft Structured Trust, Class A, Series 2021-1A, 3.47%, 1/15/46(b) | | | 234,001 | |
| | 367,477 | | | CF Hippolyta LLC, Class A1, Series 2021-A, 1.53%, 3/15/61, Callable 3/15/24 @ 100(b) | | | 361,531 | |
| | 354,200 | | | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(b) | | | 368,150 | |
| | 219,019 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(b) | | | 214,601 | |
| | 200,632 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(b) | | | 194,634 | |
| | 215,600 | | | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(b) | | | 221,594 | |
| | 243,372 | | | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(b) | | | 235,951 | |
| | 238,365 | | | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(b) | | | 231,465 | |
| | 233,783 | | | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(b) | | | 201,968 | |
| | 239,006 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(b)(c) | | | 236,878 | |
| | 344,435 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(b)(c) | | | 338,074 | |
| | 348,821 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(b) | | | 345,347 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $9,914,283) | | | 9,602,909 | |
| | | | | |
| Collateralized Mortgage Obligations (4.6%): | | | |
| | 250,000 | | | AIMCO CLO, Class AR, Series 2018-BA, 1.22%(US0003M+110bps), 1/15/32, Callable 7/15/22 @ 100(b) | | | 250,406 | |
| | 523,000 | | | Aimco CLO 11, Ltd., Class AR, Series 2020-11A, 1.25%(US0003M+113bps), 10/17/34, Callable 1/17/24 @ 100(b) | | | 521,775 | |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 310,000 | | | Aimco CLO 12, Ltd., Class A, Series 2020-12A, 1.33%(US0003M+121bps), 1/17/32, Callable 1/17/22 @ 100(b) | | $ | 309,783 | |
| | 387,000 | | | Aimco CLO 14, Ltd., Class A, Series 2021-14A, 1.12%(US0003M+99bps), 4/20/34, Callable 4/20/23 @ 100(b) | | | 386,725 | |
| | 250,000 | | | Allegany Park CLO, Ltd., Class A, Series 2019-1A, 1.46%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(b) | | | 250,040 | |
| | 250,000 | | | Allegro CLO XIII, Ltd., Class A, Series 2021-1A, 1.27%(US0003M+114bps), 7/20/34, Callable 7/20/23 @ 100(b) | | | 249,576 | |
| | 2,812,000 | | | Allegro CLO XIV, Ltd., Class A1, Series 2021-2A, 1.24%(US0003M+116bps), 10/15/34, Callable 10/15/23 @ 100(b) | | | 2,810,363 | |
| | 256,000 | | | Ares CLO, Ltd., Class A, Series 2019-54A, 1.44%(US0003M+132bps), 10/15/32, Callable 1/15/22 @ 100(b) | | | 256,039 | |
| | 853,000 | | | Ares LV CLO, Ltd., Class A1R, Series 2020-55A, 1.25%(US0003M+113bps), 7/15/34, Callable 7/15/23 @ 100(b) | | | 852,522 | |
| | 476,000 | | | Ares LVIII CLO, Ltd., Class A, Series 2020-58A, 1.34%(US0003M+122bps), 1/15/33, Callable 1/15/22 @ 100(b) | | | 476,059 | |
| | 273,000 | | | Ares XLI CLO, Ltd., Class AR2, Series 2016-41A, 1.19%(US0003M+107bps), 4/15/34, Callable 4/15/23 @ 100(b) | | | 271,961 | |
| | 177,000 | | | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(b) | | | 180,411 | |
| | 30,000 | | | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52, Callable 9/15/29 @ 100 | | | 31,581 | |
| | 310,000 | | | Barings CLO, Ltd., Class A, Series 2020-4A, 1.35%(US0003M+122bps), 1/20/32, Callable 1/20/22 @ 100(b) | | | 310,004 | |
| | 536,000 | | | Barings CLO, Ltd., Class AR, Series 2020-1A, 1.27%(US0003M+115bps), 10/15/36, Callable 10/15/23 @ 100(b) | | | 536,094 | |
| | 540,000 | | | Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 1.45%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(b) | | | 540,099 | |
| | 34,000 | | | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(c) | | | 38,117 | |
| | 808,000 | | | Bethpage Park CLO, Ltd., Class A, Series 2021-1A, 1.27%(US0003M+113bps), 1/15/35, Callable 10/15/23 @ 100(b) | | | 807,520 | |
| | 139,000 | | | BFLD Trust, Class A, Series 2020-OBRK, 2.16%(US0001M+205bps), 11/15/22(b) | | | 139,748 | |
| | 309,000 | | | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 1.11%(US0003M+99bps), 4/15/29, Callable 1/15/22 @ 100(b) | | | 308,432 | |
| | 5,017,000 | | | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.11%(US0001M+100bps), 4/15/34(b) | | | 5,007,555 | |
| | 172,000 | | | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.41%(US0001M+130bps), 4/15/34(b) | | | 170,930 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 113,000 | | | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.71%(US0001M+160bps), 4/15/34(b) | | $ | 111,866 | |
| | 127,761 | | | BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.11%(US0001M+100bps), 12/15/29(b) | | | 127,610 | |
| | 309,400 | | | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.91%(US0001M+180bps), 10/15/36(b) | | | 308,806 | |
| | 94,500 | | | BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.91%(US0001M+180bps), 11/15/35(b) | | | 94,416 | |
| | 89,804 | | | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.73%(US0001M+263bps), 9/15/37(b) | | | 76,566 | |
| | 170,246 | | | BX Commercial Mortgage Trust, Class A, Series 2020-FOX, 1.11%(US0001M+100bps), 11/15/32(b) | | | 170,182 | |
| | 119,000 | | | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.01%(US0001M+190bps), 4/15/34(b) | | | 117,507 | |
| | 124,100 | | | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.19%(US0001M+108bps), 10/15/36(b) | | | 123,962 | |
| | 220,150 | | | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.56%(US0001M+145bps), 10/15/36(b) | | | 219,725 | |
| | 101,040 | | | BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.23%(US0001M+112bps), 12/15/29(b) | | | 100,803 | |
| | 354,057 | | | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.91%(US0001M+80bps), 12/15/29(b) | | | 353,848 | |
| | 119,411 | | | BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.71%(US0001M+160bps), 12/15/29(b) | | | 118,890 | |
| | 156,153 | | | BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.36%(US0001M+125bps), 12/15/29(b) | | | 155,559 | |
| | 155,550 | | | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.36%(US0001M+125bps), 10/15/36(b) | | | 155,292 | |
| | 730,000 | | | BX Mortgage Trust, Class E, Series 2021-PAC, 2.06%(US0001M+195bps), 10/15/36(b) | | | 727,698 | |
| | 210,000 | | | BX Mortgage Trust, Class D, Series 2021-PAC, 1.41%(US0001M+130bps), 10/15/36(b) | | | 209,615 | |
| | 1,081,000 | | | BX Mortgage Trust, Class A, Series 2021-PAC, 0.80%(US0001M+69bps), 10/15/36(b) | | | 1,078,991 | |
| | 162,000 | | | BX Mortgage Trust, Class B, Series 2021-PAC, 1.01%(US0001M+90bps), 10/15/36(b) | | | 161,626 | |
| | 216,000 | | | BX Mortgage Trust, Class C, Series 2021-PAC, 1.21%(US0001M+110bps), 10/15/36(b) | | | 215,603 | |
| | 5,000,000 | | | BX Trust, Class A, Series 2021-SOAR, 0.78%(US0001M+67bps), 6/15/38(b) | | | 4,971,300 | |
| | 632,619 | | | Cascade Funding Mortgage Trust, Class A, Series 2021-HB6, 0.90%, 6/25/36, Callable 6/25/22 @ 100(b)(c) | | | 631,722 | |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 17,105,000 | | | Cedar Funding V CLO, Ltd., Class A1R, Series 2016-5A, 1.22%(US0003M+110bps), 7/17/31, Callable 1/17/22 @ 100(b) | | $ | 17,104,978 | |
| | 235,000 | | | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016-6A, 1.18%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(b) | | | 233,441 | |
| | 643,000 | | | Cedar Funding X CLO, Ltd., Class AR, Series 2019-10A, 1.23%(US0003M+110bps), 10/20/32, Callable 10/20/22 @ 100(b) | | | 642,738 | |
| | 485,000 | | | Cedar Funding XII CLO, Ltd., Class A1R, Series 2020-12A, 1.26%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(b) | | | 483,872 | |
| | 403,058 | | | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.23%(US0001M+112bps), 6/15/34(b) | | | 402,572 | |
| | 99,275 | | | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.61%(US0001M+150bps), 6/15/34(b) | | | 98,650 | |
| | 99,275 | | | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.86%(US0001M+175bps), 6/15/34(b) | | | 98,408 | |
| | 204,000 | | | CIM Retail Portfolio Trust, Class D, Series 2021-RETL, 3.16%(US0001M+305bps), 8/15/36(b) | | | 202,001 | |
| | 222,000 | | | CIM Retail Portfolio Trust, Class B, Series 2021-RETL, 2.01%(US0001M+190bps), 8/15/36(b) | | | 220,664 | |
| | 165,000 | | | CIM Retail Portfolio Trust, Class C, Series 2021-RETL, 2.41%(US0001M+230bps), 8/15/36(b) | | | 163,796 | |
| | 721,000 | | | CIM Retail Portfolio Trust, Class A, Series 2021-RETL, 1.51%(US0001M+140bps), 8/15/36(b) | | | 719,226 | |
| | 791,000 | | | Columbia Cent CLO 29, Ltd., Class AR, Series 2020-29A, 1.32%(US0003M+117bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 790,998 | |
| | 410,000 | | | Columbia Cent CLO 30, Ltd., Class A1, Series 2020-30A, 1.44%(US0003M+131bps), 1/20/34, Callable 4/20/23 @ 100(b) | | | 410,747 | |
| | 310,000 | | | Columbia Cent CLO 31, Ltd., Class A1, Series 2021-31A, 1.33%(US0003M+120bps), 4/20/34, Callable 7/20/23 @ 100(b) | | | 310,143 | |
| | 57,000 | | | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47, Callable 6/15/24 @ 100 | | | 60,061 | |
| | 140,000 | | | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.34%(US0001M+123bps), 5/15/36(b) | | | 139,737 | |
| | 3,766,000 | | | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(b) | | | 3,798,727 | |
| | 860,000 | | | CSMC Trust, Class D, Series 2017-PFHP, 2.36%(US0001M+225bps), 12/15/30(b) | | | 856,182 | |
| | 100,000 | | | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(b) | | | 101,472 | |
| | 205,000 | | | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(b) | | | 210,045 | |
| | 100,000 | | | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(b) | | | 98,219 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 100,000 | | | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(b) | | $ | 100,646 | |
| | 527,000 | | | Dryden 76 CLO, Ltd., Class A1R, Series 2019-76A, 1.31%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 526,787 | |
| | 577,000 | | | Dryden 83 CLO, Ltd., Class A, Series 2020-83A, 1.34%(US0003M+122bps), 1/18/32, Callable 1/18/22 @ 100(b) | | | 577,045 | |
| | 723,000 | | | Dryden 85 CLO, Ltd., Class AR, Series 2020-85A, 1.27%(US0003M+115bps), 10/15/35, Callable 10/15/23 @ 100(b) | | | 723,127 | |
| | 420,000 | | | Dryden 90 Clo, Ltd., Class A1A, Series 2021-90A, 1.29%(US0003M+113bps), 2/20/35(b) | | | 419,743 | |
| | 250,000 | | | Dryden CLO, Ltd., Class A, Series 2020-78A, 1.30%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(b) | | | 250,097 | |
| | 363,000 | | | Eaton Vance CLO, Ltd., Class AR, Series 2019-1A, 1.22%(US0003M+110bps), 4/15/31, Callable 7/15/22 @ 100(b) | | | 363,692 | |
| | 930,000 | | | Eaton Vance CLO, Ltd., Class AR, Series 2020-2A, 1.26%(US0003M+115bps), 1/15/35, Callable 1/15/24 @ 100(b) | | | 929,214 | |
| | 250,000 | | | Eaton Vance CLO, Ltd., Class A13R, Series 2013-1A, 1.37%(US0003M+125bps), 1/15/34, Callable 1/15/23 @ 100(b) | | | 250,495 | |
| | 1,469,000 | | | ELP Commercial Mortgage Trust, Class A, Series 2021-ELP, 0.81%(US0001M+70bps), 11/15/38(b) | | | 1,460,568 | |
| | 447,671 | | | Extended Stay America Trust, Class D, Series 2021-ESH, 2.36%(US0001M+225bps), 7/15/38(b) | | | 447,671 | |
| | 223,836 | | | Extended Stay America Trust, Class C, Series 2021-ESH, 1.81%(US0001M+170bps), 7/15/38(b) | | | 223,835 | |
| | 303,421 | | | Extended Stay America Trust, Class B, Series 2021-ESH, 1.49%(US0001M+138bps), 7/15/38(b) | | | 303,421 | |
| | 532,231 | | | Extended Stay America Trust, Class A, Series 2021-ESH, 1.19%(US0001M+108bps), 7/15/38(b) | | | 532,231 | |
| | 300,000 | | | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 1.46%(US0003M+130bps), 11/20/33, Callable 11/20/22 @ 100(b) | | | 300,240 | |
| | 250,000 | | | Flatiron CLO 21, Ltd., Class A1, Series 2021-1A, 1.26%(US0003M+111bps), 7/19/34, Callable 7/19/23 @ 100(b) | | | 249,155 | |
| | 100,000 | | | GS Mortgage Securities Corp. Trust, Class C, Series 2021-IP, 1.66%(US0001M+155bps), 10/15/36(b) | | | 99,847 | |
| | 100,000 | | | GS Mortgage Securities Corp. Trust, Class B, Series 2021-IP, 1.26%(US0001M+115bps), 10/15/36(b) | | | 99,891 | |
| | 643,000 | | | GS Mortgage Securities Corp. Trust, Class A, Series 2021-IP, 1.06%(US0001M+95bps), 10/15/36(b) | | | 642,592 | |
| | 556,000 | | | Invesco CLO, Ltd., Class A, Series 2021-3A, 1.25%(US0003M+113bps), 10/22/34, Callable 10/22/23 @ 100(b) | | | 554,691 | |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 87,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(b) | | $ | 88,568 | |
| | 64,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(b) | | | 65,821 | |
| | 41,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(b) | | | 42,290 | |
| | 100,000 | | | Life Mortgage Trust, Class C, Series 2021-BMR, 1.21%(US0001M+110bps), 3/15/38(b) | | | 98,888 | |
| | 100,000 | | | Life Mortgage Trust, Class B, Series 2021-BMR, 0.99%(US0001M+88bps), 3/15/38(b) | | | 98,923 | |
| | 100,000 | | | Life Mortgage Trust, Class E, Series 2021-BMR, 1.86%(US0001M+175bps), 3/15/38(b) | | | 98,863 | |
| | 100,000 | | | Life Mortgage Trust, Class D, Series 2021-BMR, 1.51%(US0001M+140bps), 3/15/38(b) | | | 98,895 | |
| | 285,000 | | | Life Mortgage Trust, Class A, Series 2021-BMR, 0.81%(US0001M+70bps), 3/15/38(b) | | | 282,865 | |
| | 250,000 | | | Lucali CLO, Ltd., Class A, Series 2020-1A, 1.33%(US0003M+121bps), 1/15/32, Callable 1/15/22 @ 100(b) | | | 250,026 | |
| | 320,000 | | | Madison Park Funding L, Ltd., Class A, Series 2021-50A, 1.26%(US0003M+114bps), 4/19/34, Callable 4/19/23 @ 100(b) | | | 319,999 | |
| | 910,000 | | | Madison Park Funding LII, Ltd., Class A, Series 2021-52A, 1.19%(US0003M+110bps), 1/22/35(b) | | | 908,374 | |
| | 250,000 | | | Madison Park Funding XLV, Ltd., Class AR, Series 2020-45A, 1.24%(US0003M+112bps), 7/15/34, Callable 7/15/23 @ 100(b) | | | 249,861 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class A, Series 2019-33A, 1.45%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(b) | | | 250,062 | |
| | 236,276 | | | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 1.05%(US0003M+92bps), 1/22/28, Callable 1/22/22 @ 100(b) | | | 236,101 | |
| | 250,000 | | | Magnetite XXI, Ltd., Class AR, Series 2019-21A, 1.15%(US0003M+102bps), 4/20/34, Callable 4/20/22 @ 100(b) | | | 249,864 | |
| | 280,000 | | | Magnetite Xxix, Ltd., Class A, Series 2021-29A, 1.11%(US0003M+99bps), 1/15/34, Callable 1/15/22 @ 100(b) | | | 280,095 | |
| | 250,000 | | | Magnetite XXVII, Ltd., Class AR, Series 2020-27A, 1.27%(US0003M+114bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 249,999 | |
| | 968,000 | | | Magnetite Xxx, Ltd., Class A, Series 2021-30A, 1.26%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(b) | | | 967,427 | |
| | 500,000 | | | Magnetite, Ltd., Class A, Series 24, 1.45%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(b) | | | 500,036 | |
| | 260,000 | | | MHC Commercial Mortgage Trust, Class A, Series 2021-MHC, 0.91%(US0001M+80bps), 4/15/38(b) | | | 259,459 | |
| | 315,000 | | | Milos CLO, Ltd., Class AR, Series 2017-1A, 1.20%(US0003M+107bps), 10/20/30, Callable 1/20/22 @ 100(b) | | | 315,001 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 132,000 | | | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 12/15/28 @ 100 | | $ | 149,336 | |
| | 385,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(b) | | | 395,002 | |
| | 56,000 | | | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(b) | | | 56,618 | |
| | 53,000 | | | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(b)(c) | | | 52,941 | |
| | 236,041 | | | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.36%(US0001M+125bps), 6/15/35(b) | | | 236,612 | |
| | 567,462 | | | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.61%(US0001M+150bps), 6/15/35(b) | | | 564,342 | |
| | 326,000 | | | Peace Park CLO, Ltd., Class A, Series 2021-1A, 1.27%(US0003M+113bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 325,999 | |
| | 91,792 | | | Prima Capital CRE Securitization, Class A, Series 2021-9A, 1.55%(US0001M+145bps), 12/15/37(b) | | | 91,734 | |
| | 333,000 | | | Rockland Park CLO, Ltd., Class A, Series 2021-1A, 1.25%(US0003M+112bps), 4/20/34, Callable 4/20/23 @ 100(b) | | | 332,821 | |
| | 237,000 | | | SREIT Trust, Class D, Series 2021-MFP, 1.68%(US0001M+158bps), 11/15/38(b) | | | 236,773 | |
| | 1,013,000 | | | SREIT Trust, Class A, Series 2021-MFP, 0.83%(US0001M+73bps), 11/15/38(b) | | | 1,007,602 | |
| | 580,000 | | | SREIT Trust, Class B, Series 2021-MFP, 1.18%(US0001M+108bps), 11/15/38(b) | | | 576,518 | |
| | 360,000 | | | SREIT Trust, Class C, Series 2021-MFP, 1.43%(US0001M+133bps), 11/15/38(b) | | | 355,657 | |
| | 250,000 | | | Symphony CLO XXVI, Ltd., Class AR, Series 2021-26A, 1.21%(US0003M+108bps), 4/20/33, Callable 4/20/22 @ 100(b) | | | 249,454 | |
| | 10,250,000 | | | Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 1.13%(US0003M+100bps), 1/20/29, Callable 1/20/22 @ 100(b) | | | 10,244,260 | |
| | 20,000 | | | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(b) | | | 20,002 | |
| | 285,000 | | | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(b) | | | 283,336 | |
| | 551,000 | | | Voya CLO, Ltd., Class A1R, Series 2020-2A, 1.28%(US0003M+116bps), 7/19/34, Callable 7/19/23 @ 100(b) | | | 550,999 | |
| | 335,000 | | | Voya CLO, Ltd., Class A, Series 2019-2, 1.40%(US0003M+127bps), 7/20/32, Callable 1/20/22 @ 100(b) | | | 335,008 | |
| | 564,000 | | | Voya CLO, Ltd., Class AR, Series 2020-1A, 1.27%(US0003M+115bps), 7/16/34, Callable 7/16/23 @ 100(b) | | | 563,368 | |
| | 1,073,000 | | | Voya CLO, Ltd., Class AR, Series 2020-3A, 1.28%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 1,071,745 | |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 155,000 | | | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | | $ | 176,185 | |
| | 185,000 | | | Wells Fargo Commercial Mortgage Trust, Class A, Series 2021-FCMT, 1.31%(US0001M+120bps), 5/15/31(b) | | | 184,772 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $85,335,033) | | | 85,111,493 | |
| | | | | |
| Convertible Bonds (0.0%†): | | | |
| Entertainment (0.0%†): | | | |
| | 25,000 | | | Live Nation Entertainment, Inc., 2.00%, 2/15/25 | | | 32,950 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.0%†): | | | |
| | 37,000 | | | Booking Holdings, Inc., 0.75%, 5/1/25^ | | | 54,547 | |
| | 27,000 | | | Vail Resorts, Inc., 0.00%, 1/1/26^ | | | 28,864 | |
| | | | | | | | |
| | | | | | | 83,411 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 19,000 | | | Callaway Golf Co., 2.75%, 5/1/26 | | | 32,897 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 54,000 | | | DISH Network Corp., 2.38%, 3/15/24 | | | 51,763 | |
| | 146,000 | | | DISH Network Corp., 3.38%, 8/15/26 | | | 136,746 | |
| | | | | | | | |
| | | | | | | 188,509 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 30,543 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(d) | | | 105,985 | |
| | 52,844 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(a)(d) | | | 165,930 | |
| | | | | | | | |
| | | | | | | 271,915 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 16,000 | | | FTI Consulting, Inc., 2.00%, 8/15/23 | | | 24,718 | |
| | 23,000 | | | KBR, Inc., 2.50%, 11/1/23 | | | 43,621 | |
| | | | | | | | |
| | | | | | | 68,339 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.0%†): | |
| | 8,000 | | | ON Semiconductor Corp., 1.63%, 10/15/23 | | | 26,386 | |
| | | | | | | | |
| | Total Convertible Bonds (Cost $451,898) | | | 704,407 | |
| | | | | |
| Bank Loans (0.1%): | | | |
| Chemicals (0.0%†): | | | |
| | 14,963 | | | Consolidated Energy Term Incr B 1Ln, 3.56% (LIBOR+350bps) | | | 14,588 | |
| | 20,000 | | | Diversey Term B 1Ln, Amendment No 3 Refinancing TL 3.06% (LIBOR+300bps), 9/29/28 | | | 19,906 | |
| | | | | | | | |
| | | | | | | 34,494 | |
| | | | | | | | |
| Construction & Engineering (0.0%†): | | | |
| | 35,000 | | | Convergint Tech Term 2Ln, 7.50% (LIBOR+675bps), 3/31/29 | | | 34,913 | |
| | 4,988 | | | Convergint Tech Term B 1Ln, 4.25% (LIBOR+350bps), 3/31/28 | | | 4,981 | |
| | | | | | | | |
| | | | | | | 39,894 | |
| | | | | | | | |
| Consumer Discretionary Products (0.0%†): | | | |
| | 34,254 | | | Authentic Brands Term B2 1Ln, 3.56% (LIBOR+350bps), 1/31/29 | | | 33,997 | |
| | 5,373 | | | Authentic Brands Term B3 1Ln, 3.56% (LIBOR+350bps), 1/31/29 | | | 5,333 | |
| | | | | | | | |
| | | | | | | 39,330 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 15,000 | | | Ascend Learning Term 2 Ln, 5.81% (LIBOR+575bps), 12/10/29 | | | 14,963 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Bank Loans, continued | | | |
| Diversified Consumer Services, continued | | | |
| $ | 165,000 | | | Ascend Learning Term B 1 Ln, 3.56% (LIBOR+350bps), 11/18/28 | | $ | 164,622 | |
| | | | | | | | |
| | | | | | | 179,585 | |
| | | | | | | | |
| Diversified Financial Services (0.0%†): | | | |
| | 10,000 | | | Intelsat Term B-4, 5.56% (LIBOR+550bps), 1/2/24 | | | 9,973 | |
| | 131,789 | | | Intelsat Term Dip Dd Superpriority 1Ln, 5.75% (LIBOR+475bps), 10/13/22 | | | 131,583 | |
| | | | | | | | |
| | | | | | | 141,556 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.1%): | | | |
| | 250,000 | | | City Football Group Term B 1Ln, 3.56% (LIBOR+350bps), 7/21/28, Callable 2/7/22 @ 100(b) | | | 248,125 | |
| | 174,555 | | | Diamond Sports Broadcasting Term B 1Ln, 3.31% (LIBOR+325bps), 8/24/26, Callable 2/7/22 @ 100(b) | | | 80,440 | |
| | 122,409 | | | Golden Entertainment Term B 1Ln, 3.06% (LIBOR+300bps), 10/20/24, Callable 2/7/22 @ 100(b) | | | 122,002 | |
| | | | | | | | |
| | | | | | | 450,567 | |
| | | | | | | | |
| Media (0.0%†): | | | |
| | 5,373 | | | Authentic Brands Term B1 1Ln, 3.56% (LIBOR+350bps), 1/31/29 | | | 5,346 | |
| | | | | | | | |
| Software (0.0%†): | | | |
| | 3,385 | | | Ion Analytics Term 1 Ln, 4.06% (LIBOR+400bps), 2/16/28 | | | 3,393 | |
| | | | | | | | |
| | Total Bank Loans (Cost $912,458) | | | 894,165 | |
| | | | | |
| Corporate Bonds (16.9%): | | | |
| (0.0%†): | | | |
| | 70,000 | | | Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29, Callable 11/15/24 @ 102.25(b) | | | 70,875 | |
| | 190,000 | | | Railworks Holdings LP/Railworks Rally, Inc., 8.25%, 11/15/28, Callable 11/15/24 @ 104.13(b) | | | 195,700 | |
| | | | | | | | |
| | | | | | | 266,575 | |
| | | | | | | | |
| Aerospace & Defense (0.4%): | | | |
| | 1,145,000 | | | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | | | 1,289,871 | |
| | 145,000 | | | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | | | 169,239 | |
| | 1,100,000 | | | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | | | 1,411,094 | |
| | 100,000 | | | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | | | 135,461 | |
| | 1,150,000 | | | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | | | 1,591,918 | |
| | 310,000 | | | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(b) | | | 313,875 | |
| | 445,000 | | | BWX Technologies, Inc., 4.13%, 4/15/29, Callable 4/15/24 @ 102.06(b) | | | 451,675 | |
| | 5,000 | | | Howmet Aerospace, Inc., 5.95%, 2/1/37 | | | 5,956 | |
| | 145,000 | | | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(b) | | | 145,906 | |
| | 40,000 | | | TransDigm, Inc., 6.88%, 5/15/26, Callable 2/7/22 @ 105.16 | | | 41,750 | |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Aerospace & Defense, continued | | | |
| $ | 40,000 | | | TransDigm, Inc., 6.38%, 6/15/26, Callable 2/7/22 @ 103.19 | | $ | 41,050 | |
| | 35,000 | | | TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75 | | | 36,531 | |
| | 1,655,000 | | | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | | | 1,700,513 | |
| | 310,000 | | | TransDigm, Inc., 4.88%, 5/1/29, Callable 5/1/24 @ 102.44 | | | 310,000 | |
| | | | | | | | |
| | | | | | | 7,644,839 | |
| | | | | | | | |
| Air Freight & Logistics (0.0%†): | | | |
| | 255,000 | | | Cargo Aircraft Management, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38(b) | | | 259,781 | |
| | 525,000 | | | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(b) | | | 547,313 | |
| | | | | | | | |
| | | | | | | 807,094 | |
| | | | | | | | |
| Auto Components (0.0%†): | | | |
| | 125,000 | | | Dana, Inc., 4.50%, 2/15/32, Callable 2/15/27 @ 102.25 | | | 122,656 | |
| | | | | | | | |
| Automobiles (0.1%): | | | |
| | 40,000 | | | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63(b) | | | 40,000 | |
| | 270,000 | | | Magic Mergeco, Inc., 7.88%, 5/1/29, Callable 5/1/24 @ 103.94(b) | | | 265,275 | |
| | 165,000 | | | Thor Industries, Inc., 4.00%, 10/15/29, Callable 10/15/24 @ 102(b) | | | 163,556 | |
| | 240,000 | | | Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(b) | | | 241,895 | |
| | 209,000 | | | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(b) | | | 214,999 | |
| | | | | | | | |
| | | | | | | 925,725 | |
| | | | | | | | |
| Banking (0.0%†): | | | |
| | 70,000 | | | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(b) | | | 68,483 | |
| | | | | | | | |
| Banks (1.6%): | | | |
| | 3,840,000 | | | Bank of America Corp., 4.20%, 8/26/24, MTN | | | 4,109,487 | |
| | 410,000 | | | Bank of America Corp., Series L, 3.95%, 4/21/25, MTN | | | 438,663 | |
| | 151,000 | | | Bank of America Corp., Series G, 4.45%, 3/3/26 | | | 166,247 | |
| | 1,300,000 | | | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | | | 1,388,946 | |
| | 980,000 | | | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | | | 962,401 | |
| | 70,000 | | | CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100 | | | 72,537 | |
| | 165,000 | | | CIT Group, Inc., 6.13%, 3/9/28 | | | 198,413 | |
| | 730,000 | | | Citigroup, Inc., Series V, 4.05%, 7/30/22 | | | 744,300 | |
| | 2,455,000 | | | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | | | 2,564,876 | |
| | 1,098,000 | | | Citigroup, Inc., 4.30%, 11/20/26 | | | 1,214,802 | |
| | 1,156,000 | | | Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100 | | | 1,318,256 | |
| | 4,105,000 | | | JPMorgan Chase & Co., 3.88%, 9/10/24 | | | 4,361,029 | |
| | 2,500,000 | | | JPMorgan Chase & Co., 4.49% (SOFR+379 bps), 3/24/31, Callable 3/24/30 @ 100 | | | 2,891,182 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Banks, continued | | | |
| $ | 181,000 | | | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | | $ | 187,206 | |
| | 3,705,000 | | | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | | | 3,795,917 | |
| | 2,645,000 | | | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | | | 3,071,112 | |
| | 1,800,000 | | | Wells Fargo & Co., 5.01% (US0003M+424 bps), 4/4/51, Callable 4/4/50 @ 100, MTN | | | 2,471,996 | |
| | | | | | | | |
| | | | | | | 29,957,370 | |
| | | | | | | | |
| Beverages (0.6%): | | | |
| | 2,400,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | | | 2,895,828 | |
| | 3,100,000 | | | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | | | 3,395,520 | |
| | 150,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | | | 176,536 | |
| | 400,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | | | 493,873 | |
| | 333,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | | | 420,747 | |
| | 2,445,000 | | | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | | | 3,562,106 | |
| | 20,000 | | | Triton Water Holdings, Inc., 6.25%, 4/1/29, Callable 4/1/24 @ 103.13(b) | | | 19,300 | |
| | | | | | | | |
| | | | | | | 10,963,910 | |
| | | | | | | | |
| Biotechnology (0.1%): | | | |
| | 1,050,000 | | | AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100 | | | 1,053,692 | |
| | 120,000 | | | Emergent BioSolutions, Inc., 3.88%, 8/15/28, Callable 8/15/23 @ 101.94^(b) | | | 114,900 | |
| | | | | | | | |
| | | | | | | 1,168,592 | |
| | | | | | | | |
| Building Products (0.1%): | | | |
| | 795,000 | | | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(b) | | | 823,819 | |
| | 35,000 | | | Roller Bearing Co. of America, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19(b) | | | 35,700 | |
| | | | | | | | |
| | | | | | | 859,519 | |
| | | | | | | | |
| Capital Markets (1.3%): | | | |
| | 457,000 | | | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | | | 480,992 | |
| | 2,707,000 | | | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | | | 2,853,386 | |
| | 315,000 | | | Coinbase Global, Inc., 3.38%, 10/1/28, Callable 10/1/24 @ 101.69(b) | | | 294,525 | |
| | 315,000 | | | Coinbase Global, Inc., 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(b) | | | 289,800 | |
| | 2,880,000 | | | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | | | 3,165,517 | |
| | 1,263,000 | | | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100, MTN | | | 1,246,148 | |
| | 128,000 | | | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | | | 181,665 | |
| | 50,000 | | | HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 6/15/26, Callable 3/15/26 @ 100(b) | | | 50,750 | |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Capital Markets, continued | | | |
| $ | 55,000 | | | LCM Investments Holdings II LLC, 4.88%, 5/1/29, Callable 5/1/24 @ 102.44(b) | | $ | 56,238 | |
| | 55,000 | | | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(b) | | | 56,100 | |
| | 1,100,000 | | | Moody’s Corp., 3.75%, 3/24/25, Callable 2/24/25 @ 100 | | | 1,175,731 | |
| | 1,100,000 | | | Moody’s Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100 | | | 1,181,200 | |
| | 6,619,000 | | | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | | | 6,849,010 | |
| | 2,534,000 | | | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | | | 2,755,684 | |
| | 380,000 | | | Mozart Debt Merger Sub, Inc., 3.88%, 4/1/29, Callable 10/1/24 @ 101.94(b) | | | 378,575 | |
| | 150,000 | | | Mozart Debt Merger Sub, Inc., 5.25%, 10/1/29, Callable 10/1/24 @ 102.63(b) | | | 151,875 | |
| | 100,000 | | | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(b) | | | 101,250 | |
| | 485,000 | | | Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 10.75%, 7/1/25, Callable 8/1/22 @ 108.06(b) | | | 506,789 | |
| | 250,000 | | | Olympus Water US Holding Corp., 4.25%, 10/1/28, Callable 10/1/24 @ 102.13(b) | | | 244,375 | |
| | 2,296,000 | | | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(b) | | | 2,594,168 | |
| | 300,000 | | | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(b) | | | 395,192 | |
| | 15,000 | | | Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29, Callable 2/1/24 @ 103.13(b) | | | 14,981 | |
| | 35,000 | | | US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(b) | | | 35,656 | |
| | 55,000 | | | Victors Merger Corp., 6.38%, 5/15/29, Callable 5/15/24 @ 103.19(b) | | | 51,700 | |
| | | | | | | | |
| | | | | | | 25,111,307 | |
| | | | | | | | |
| Chemicals (0.2%): | | | |
| | 430,000 | | | CF Industries, Inc., 5.15%, 3/15/34 | | | 519,762 | |
| | 15,000 | | | CF Industries, Inc., 4.95%, 6/1/43 | | | 18,038 | |
| | 660,000 | | | CF Industries, Inc., 5.38%, 3/15/44 | | | 833,250 | |
| | 510,000 | | | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100^ | | | 545,062 | |
| | 915,000 | | | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(b) | | | 961,894 | |
| | 60,000 | | | Diamond BC BV, 4.63%, 10/1/29, Callable 10/1/24 @ 102.31(b) | | | 59,475 | |
| | 75,000 | | | LSB Industries, Inc., 6.25%, 10/15/28, Callable 10/15/24 @ 103.13(b) | | | 77,625 | |
| | 375,000 | | | Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5 | | | 393,750 | |
| | 135,000 | | | Scotts Miracle-GRO Co. (The), 4.38%, 2/1/32, Callable 8/1/26 @ 102.19(b) | | | 134,662 | |
| | 25,000 | | | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(b) | | | 25,500 | |
| | 350,000 | | | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(b) | | | 341,250 | |
| | 50,000 | | | WR Grace Holdings LLC, 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(b) | | | 51,358 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Chemicals, continued | | | |
| $ | 125,000 | | | WR Grace Holdings LLC, 5.63%, 8/15/29, Callable 8/15/24 @ 102.81(b) | | $ | 127,500 | |
| | | | | | | | |
| | | | | | | 4,089,126 | |
| | | | | | | | |
| Commercial Services & Supplies (0.1%): | | | |
| | 125,000 | | | ADT Security Corp. (The), 4.13%, 8/1/29, Callable 8/1/28 @ 100(b) | | | 123,438 | |
| | 430,000 | | | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(b) | | | 443,975 | |
| | 25,000 | | | Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 2/1/26, Callable 2/1/23 @ 102.5(b) | | | 25,187 | |
| | 25,000 | | | Pitney Bowes, Inc., 6.88%, 3/15/27, Callable 3/15/24 @ 103.44(b) | | | 25,875 | |
| | 45,000 | | | Pitney Bowes, Inc., 7.25%, 3/15/29, Callable 3/15/24 @ 103.63(b) | | | 46,575 | |
| | 270,000 | | | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(b) | | | 265,950 | |
| | | | | | | | |
| | | | | | | 931,000 | |
| | | | | | | | |
| Communications Equipment (0.0%†): | | | |
| | 205,000 | | | CommScope, Inc., 7.13%, 7/1/28, Callable 7/1/23 @ 103.56(b) | | | 202,438 | |
| | 200,000 | | | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(b) | | | 198,250 | |
| | 250,000 | | | Viavi Solutions, Inc., 3.75%, 10/1/29, Callable 10/1/24 @ 101.88(b) | | | 249,375 | |
| | | | | | | | |
| | | | | | | 650,063 | |
| | | | | | | | |
| Construction & Engineering (0.1%): | | | |
| | 25,000 | | | Arcosa, Inc., 4.38%, 4/15/29, Callable 4/15/24 @ 102.19(b) | | | 25,250 | |
| | 740,000 | | | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 2/7/22 @ 104.25^(b) | | | 738,150 | |
| | 270,000 | | | Dycom Industries, Inc., 4.50%, 4/15/29, Callable 4/15/24 @ 102.25(b) | | | 274,725 | |
| | 55,000 | | | Global Infrastructure Solutions, Inc., 5.63%, 6/1/29, Callable 6/1/24 @ 102.81(b) | | | 56,375 | |
| | 25,000 | | | Great Lakes Dredge & Dock Corp., 5.25%, 6/1/29, Callable 6/1/24 @ 102.63(b) | | | 25,750 | |
| | 660,000 | | | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(b) | | | 661,650 | |
| | | | | | | | |
| | | | | | | 1,781,900 | |
| | | | | | | | |
| Consumer Finance (1.4%): | | | |
| | 2,090,000 | | | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | | | 2,142,561 | |
| | 90,000 | | | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | | | 90,310 | |
| | 100,000 | | | Ally Financial, Inc., 5.13%, 9/30/24 | | | 109,344 | |
| | 224,000 | | | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | | | 252,810 | |
| | 1,837,000 | | | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | | | 2,071,657 | |
| | 590,000 | | | Ally Financial, Inc., 4.70% (H15T5Y+387 bps), Callable 5/15/26 @ 100 | | | 619,498 | |
| | 1,513,000 | | | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | | | 1,543,124 | |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Consumer Finance, continued | | | |
| $ | 2,665,000 | | | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | | $ | 2,873,813 | |
| | 343,000 | | | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | | | 373,625 | |
| | 250,000 | | | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | | | 261,249 | |
| | 1,000,000 | | | Discover Financial Services, 5.20%, 4/27/22 | | | 1,014,398 | |
| | 2,253,000 | | | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | | | 2,468,632 | |
| | 295,000 | | | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | | | 318,524 | |
| | 550,000 | | | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | | | 591,878 | |
| | 313,000 | | | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | | | 313,130 | |
| | 329,000 | | | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | | | 353,199 | |
| | 968,000 | | | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | | | 1,019,899 | |
| | 55,000 | | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | | | 59,800 | |
| | 620,000 | | | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | | | 704,422 | |
| | 130,000 | | | General Motors Acceptance Corp., 8.00%, 11/1/31 | | | 183,223 | |
| | 2,100,000 | | | General Motors Financial Co., Inc., 4.00%, 1/15/25, Callable 10/15/24 @ 100 | | | 2,234,211 | |
| | 445,000 | | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 495,062 | |
| | 295,000 | | | OneMain Finance Corp., 3.50%, 1/15/27, Callable 1/15/24 @ 101.75 | | | 292,050 | |
| | 155,000 | | | OneMain Finance Corp., 3.88%, 9/15/28, Callable 9/15/24 @ 101.94 | | | 152,094 | |
| | 430,000 | | | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | | | 421,938 | |
| | 76,000 | | | Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100 | | | 76,814 | |
| | 244,000 | | | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | | | 257,769 | |
| | 797,000 | | | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | | | 843,664 | |
| | 3,605,000 | | | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | | | 3,879,020 | |
| | | | | | | | |
| | | | | | | 26,017,718 | |
| | | | | | | | |
| 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(b) | | | 5,106 | |
| | 190,000 | | | Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | | | 187,863 | |
| | 65,000 | | | Graphic Packaging International LLC, 3.75%, 2/1/30, Callable 8/1/29 @ 100(b) | | | 65,650 | |
| | | | | | | | |
| | | | | | | 258,619 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 445,000 | | | Adtalem Global Education, Inc., 5.50%, 3/1/28, Callable 3/1/24 @ 102.75(b) | | | 432,763 | |
| | 22,000 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(b) | | | 21,532 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Consumer Services, continued | | | |
| $ | 350,000 | | | APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(b) | | $ | 369,687 | |
| | 875,000 | | | Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69(b) | | | 932,969 | |
| | | | | | | | |
| | | | | | | 1,756,951 | |
| | | | | | | | |
| Diversified Financial Services (0.1%): | | | |
| | 185,000 | | | Acrisure LLC / Acrisure Finance, Inc., 6.00%, 8/1/29, Callable 8/1/24 @ 103(b) | | | 181,300 | |
| | 38,000 | | | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | | | 39,377 | |
| | 565,000 | | | Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 2/7/22 @ 100(b) | | | 565,000 | |
| | 496,000 | | | Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 2/7/22 @ 103.94(b) | | | 515,220 | |
| | 15,000 | | | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(b) | | | 14,287 | |
| | 130,000 | | | OI European Group BV, 4.75%, 2/15/30, Callable 11/15/24 @ 102.38(b) | | | 131,787 | |
| | 500,000 | | | Peachtree Funding Trust, 3.98%, 2/15/25(b) | | | 533,877 | |
| | 155,000 | | | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | | | 161,006 | |
| | 150,000 | | | Venture Global Calcasieu Pass LLC, 4.13%, 8/15/31, Callable 2/15/31 @ 100(b) | | | 158,625 | |
| | 125,000 | | | Venture Global Calcasieu Pass LLC, 3.88%, 11/1/33, Callable 5/1/33 @ 100(b) | | | 130,938 | |
| | | | | | | | |
| | | | | | | 2,431,417 | |
| | | | | | | | |
| Diversified Support Services (0.0%†): | | | |
| | 55,000 | | | Ritchie Bros Holdings, Inc., 4.75%, 12/15/31, Callable 12/15/26 @ 102.38(b) | | | 57,406 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.5%): | | | |
| | 28,000 | | | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | | | 29,819 | |
| | 138,000 | | | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | | | 155,425 | |
| | 76,000 | | | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | | | 74,293 | |
| | 400,000 | | | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | | | 505,825 | |
| | 1,200,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | | | 1,241,045 | |
| | 310,000 | | | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | | | 327,825 | |
| | 915,000 | | | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(b) | | | 952,744 | |
| | 10,000 | | | CenturyLink, Inc., Series G, 6.88%, 1/15/28 | | | 11,125 | |
| | 55,000 | | | Cogent Communications Group, Inc., 3.50%, 5/1/26, Callable 2/1/26 @ 100(b) | | | 56,306 | |
| | 25,000 | | | Consolidated Communications, Inc., 5.00%, 10/1/28, Callable 10/1/23 @ 103.75^(b) | | | 25,437 | |
| | 185,000 | | | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(b) | | | 182,688 | |
| | 40,000 | | | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(b) | | | 42,300 | |
| | 45,000 | | | Frontier Communications Corp., 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(b) | | | 46,181 | |
| | 45,000 | | | Frontier Communications Corp., 6.75%, 5/1/29, Callable 5/1/24 @ 103.38(b) | | | 46,744 | |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| $ | 5,496 | | | Frontier Communications Holdings LLC, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94 | | $ | 5,496 | |
| | 155,000 | | | Frontier Communications Holdings LLC, 6.00%, 1/15/30, Callable 10/15/24 @ 103^(b) | | | 155,387 | |
| | 60,000 | | | Lumen Technologies, Inc., 5.38%, 6/15/29, Callable 6/15/24 @ 102.69^(b) | | | 60,225 | |
| | 3,725,000 | | | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | | | 3,728,848 | |
| | 209,000 | | | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | | | 210,671 | |
| | 1,250,000 | | | Verizon Communications, Inc., 2.99%, 10/30/56, Callable 4/30/56 @ 100 | | | 1,170,312 | |
| | 55,000 | | | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 2/7/22 @ 102(b) | | | 54,038 | |
| | | | | | | | |
| | | | | | | 9,082,734 | |
| | | | | | | | |
| 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(b) | | | 10,000 | |
| | 941,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(b) | | | 971,582 | |
| | 155,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94(b) | | | 157,713 | |
| | 165,000 | | | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | | | 168,558 | |
| | 54,000 | | | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(b) | | | 52,681 | |
| | 587,000 | | | Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100(b) | | | 583,808 | |
| | 1,000,000 | | | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100 | | | 1,063,328 | |
| | 1,075,000 | | | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | | | 1,196,515 | |
| | 2,000,000 | | | FirstEnergy Corp., 7.38%, 11/15/31 | | | 2,703,852 | |
| | 255,000 | | | Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 1/15/24 @ 104 | | | 262,012 | |
| | 136,000 | | | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | | | 142,290 | |
| | 17,000 | | | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(b) | | | 17,722 | |
| | 20,000 | | | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(b) | | | 19,575 | |
| | 40,000 | | | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(b) | | | 39,000 | |
| | 369,722 | | | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(b) | | | 395,140 | |
| | 795,000 | | | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | | | 870,824 | |
| | 1,370,000 | | | PG&E Corp., 5.00%, 7/1/28, Callable 7/1/23 @ 102.5 | | | 1,440,212 | |
| | 311,000 | | | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | | | 326,146 | |
| | 605,000 | | | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(b) | | | 626,175 | |
| | | | | | | | |
| | | | | | | 11,047,133 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Electrical Equipment (0.0%†): | | | |
| $ | 55,000 | | | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(b) | | $ | 57,888 | |
| | 65,000 | | | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(b) | | | 66,219 | |
| | 310,000 | | | Vertiv Group Corp., 4.13%, 11/15/28, Callable 11/15/24 @ 102.06(b) | | | 311,162 | |
| | | | | | | | |
| | | | | | | 435,269 | |
| | | | | | | | |
| Electronic Equipment, Instrume (0.0%†): | | | |
| | 80,000 | | | II-VI, Inc., 5.00%, 12/15/29, Callable 12/14/24 @ 102.5(b) | | | 82,000 | |
| | | | | | | | |
| Entertainment (0.3%): | | | |
| | 780,000 | | | Netflix, Inc., 4.88%, 4/15/28 | | | 889,200 | |
| | 25,000 | | | Netflix, Inc., 6.38%, 5/15/29 | | | 31,156 | |
| | 25,000 | | | Netflix, Inc., 5.38%, 11/15/29(b) | | | 29,688 | |
| | 310,000 | | | ROBLOX Corp., 3.88%, 5/1/30, Callable 11/1/24 @ 101.94(b) | | | 313,487 | |
| | 3,000,000 | | | Walt Disney Co. (The), 3.80%, 3/22/30 | | | 3,366,264 | |
| | | | | | | | |
| | | | | | | 4,629,795 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.3%): | | | |
| | 1,039,000 | | | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | | | 1,097,243 | |
| | 1,265,000 | | | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | | | 1,359,685 | |
| | 62,000 | | | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | | | 69,205 | |
| | 355,000 | | | Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100 | | | 375,404 | |
| | 46,000 | | | Corporate Office Properties LP, 2.75%, 4/15/31, Callable 1/15/31 @ 100 | | | 45,745 | |
| | 68,000 | | | Corporate Office Properties, LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | | | 68,663 | |
| | 10,000 | | | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100^ | | | 10,150 | |
| | 45,000 | | | CTR Partnership LP / CareTrust Capital Corp., 3.88%, 6/30/28, Callable 3/30/28 @ 100(b) | | | 46,290 | |
| | 40,000 | | | Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 2/7/22 @ 100.98 | | | 35,000 | |
| | 430,000 | | | Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(b) | | | 419,996 | |
| | 66,000 | | | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | | | 70,319 | |
| | 63,000 | | | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | | | 65,360 | |
| | 400,000 | | | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | | | 454,045 | |
| | 735,000 | | | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | | | 772,830 | |
| | 25,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(b) | | | 26,625 | |
| | 765,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100 | | | 818,550 | |
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 114,000 | | | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | | $ | 118,253 | |
| | 101,000 | | | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | | | 108,051 | |
| | 1,278,000 | | | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | | | 1,401,019 | |
| | 2,482,000 | | | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | | | 2,576,879 | |
| | 133,000 | | | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | | | 133,950 | |
| | 189,000 | | | Piedmont Operating Partnership, LP, 2.75%, 4/1/32, Callable 1/1/32 @ 100 | | | 185,469 | |
| | 15,000 | | | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | | | 16,583 | |
| | 1,214,000 | | | Sabra Health Care, LP, 3.20%, 12/1/31, Callable 9/1/31 @ 100 | | | 1,185,795 | |
| | 297,000 | | | SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100(b) | | | 305,549 | |
| | 97,000 | | | SBA Tower Trust, 1.88%, 7/15/50, Callable 1/15/25 @ 100(b) | | | 97,162 | |
| | 74,000 | | | SBA Tower Trust, 2.33%, 7/15/52, Callable 7/15/26 @ 100(b) | | | 75,195 | |
| | 40,000 | | | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100 | | | 38,791 | |
| | 40,000 | | | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | | | 41,102 | |
| | 45,000 | | | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | | | 42,861 | |
| | 310,000 | | | Service Properties Trust, 4.38%, 2/15/30, Callable 8/15/29 @ 100 | | | 285,949 | |
| | 96,000 | | | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | | | 107,971 | |
| | 1,277,000 | | | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | | | 1,275,168 | |
| | 272,000 | | | Sun Communities Operating LP, 2.70%, 7/15/31, Callable 4/15/31 @ 100 | | | 271,524 | |
| | 212,000 | | | Sun Communities Operating, LP, 2.30%, 11/1/28, Callable 9/1/28 @ 100 | | | 211,113 | |
| | 2,200,000 | | | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | | | 2,265,195 | |
| | 581,000 | | | Tanger Properties LP, 2.75%, 9/1/31, Callable 6/1/31 @ 100 | | | 554,362 | |
| | 85,000 | | | The Geo Group, Inc., 6.00%, 4/15/26, Callable 2/7/22 @ 103^ | | | 68,425 | |
| | 780,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 2/15/22 @ 103.94(b) | | | 814,125 | |
| | 355,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30, Callable 1/15/25 @ 103(b) | | | 341,687 | |
| | 131,000 | | | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | | | 145,008 | |
| | 367,000 | | | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | | | 380,709 | |
| | 1,430,000 | | | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | | | 1,670,856 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 60,000 | | | Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(b) | | $ | 61,050 | |
| | 335,000 | | | Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(b) | | | 348,819 | |
| | 335,000 | | | Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(b) | | | 355,519 | |
| | 72,000 | | | Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | | | 72,075 | |
| | 400,000 | | | WP Carey, Inc., 4.60%, 4/1/24, Callable 1/1/24 @ 100 | | | 424,932 | |
| | 3,000,000 | | | WP Carey, Inc., 4.25%, 10/1/26, Callable 7/1/26 @ 100 | | | 3,281,094 | |
| | 66,000 | | | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | | | 72,873 | |
| | | | | | | | |
| | | | | | | 25,070,223 | |
| | | | | | | | |
| Financial Services (0.0%†): | |
| | 120,000 | | | Cobra AcquisitionCo LLC, 6.38%, 11/1/29, Callable 11/1/24 @ 103.25(b) | | | 118,800 | |
| | | | | | | | |
| Food & Staples Retailing (0.1%): | |
| | 25,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.63%, 1/15/27, Callable 1/15/23 @ 103.47(b) | | | 26,313 | |
| | 50,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.50%, 3/15/29, Callable 9/15/23 @ 101.75(b) | | | 50,062 | |
| | 605,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(b) | | | 653,400 | |
| | 445,000 | | | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44^(b) | | | 466,138 | |
| | 335,000 | | | Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(b) | | | 349,656 | |
| | 70,000 | | | Performance Food Group, Inc., 4.25%, 8/1/29, Callable 8/1/24 @ 102.13(b) | | | 69,125 | |
| | 93,000 | | | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | | | 116,209 | |
| | 140,000 | | | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | | | 218,181 | |
| | 45,000 | | | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(b) | | | 48,150 | |
| | 160,000 | | | US Foods, Inc., 4.75%, 2/15/29, Callable 2/15/24 @ 102.38(b) | | | 162,600 | |
| | 60,000 | | | US Foods, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(b) | | | 60,600 | |
| | | | | | | | |
| | | | | | | 2,220,434 | |
| | | | | | | | |
| Food Products (0.4%): | |
| | 110,000 | | | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(b) | | | 103,675 | |
| | 1,380,000 | | | JBS Finance Luxembourg Sarl, 2.50%, 1/15/27, Callable 12/15/26 @ 100^(b) | | | 1,371,764 | |
| | 125,000 | | | JBS Finance Luxembourg Sarl, 3.63%, 1/15/32, Callable 1/15/27 @ 101.81(b) | | | 125,781 | |
| | 850,000 | | | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(b) | | | 923,313 | |
| | 151,000 | | | JBS USA LUX SA / JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(b) | | | 163,080 | |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Food Products, continued | |
| $ | 1,040,000 | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(b) | | $ | 1,144,000 | |
| | 1,260,000 | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100(b) | | | 1,248,975 | |
| | 271,000 | | | Kraft Heinz Foods Co., 5.00%, 7/15/35, Callable 1/15/35 @ 100 | | | 331,825 | |
| | 10,000 | | | Kraft Heinz Foods Co., 4.38%, 6/1/46, Callable 12/1/45 @ 100 | | | 11,778 | |
| | 45,000 | | | Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 4/1/49 @ 100 | | | 56,465 | |
| | 350,000 | | | Pilgrim’s Pride Corp., 4.25%, 4/15/31, Callable 4/15/26 @ 102.13(b) | | | 367,500 | |
| | 45,000 | | | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(b) | | | 47,644 | |
| | 405,000 | | | Post Holdings, Inc., 4.50%, 9/15/31, Callable 9/15/26 @ 102.25(b) | | | 401,963 | |
| | 270,000 | | | TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102 | | | 259,200 | |
| | | | | | | | |
| | | | | | | 6,556,963 | |
| | | | | | | | |
| Health Care (0.0%†): | |
| | 200,000 | | | 180 Medical, Inc., 3.88%, 10/15/29, Callable 10/7/24 @ 101.94(b) | | | 201,990 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.0%†): | |
| | 350,000 | | | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(b) | | | 350,000 | |
| | | | | | | | |
| Health Care Providers & Servic (0.0%†): | |
| | 170,000 | | | Molina Healthcare, Inc., 3.88%, 5/15/32, Callable 2/15/32 @ 100(b) | | | 170,850 | |
| | 140,000 | | | Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19(b) | | | 141,400 | |
| | | | | | | | |
| | | | | | | 312,250 | |
| | | | | | | | |
| Health Care Providers & Services (1.1%): | |
| | 140,000 | | | AHP Health Partners, Inc., 5.75%, 7/15/29, Callable 7/15/24 @ 102.88(b) | | | 137,550 | |
| | 35,000 | | | Cano Health LLC, 6.25%, 10/1/28, Callable 10/1/24 @ 103.13(b) | | | 34,737 | |
| | 3,765,000 | | | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | | | 3,925,013 | |
| | 1,485,000 | | | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | | | 1,466,438 | |
| | 1,190,000 | | | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | | | 1,279,250 | |
| | 245,000 | | | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | | | 250,513 | |
| �� | 610,000 | | | Centene Corp., 2.63%, 8/1/31, Callable 5/1/31 @ 100 | | | 597,800 | |
| | 255,000 | | | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(b) | | | 269,025 | |
| | 255,000 | | | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103(b) | | | 272,531 | |
| | 65,000 | | | CHS/Community Health Systems, Inc., 6.13%, 4/1/30, Callable 4/1/25 @ 103.06(b) | | | 64,513 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Health Care Providers & Services, continued | |
| $ | 45,000 | | | CHS/Community Health Systems, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38(b) | | $ | 45,337 | |
| | 4,341,000 | | | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | | | 4,931,202 | |
| | 1,000,000 | | | Cigna Corp., 4.90%, 12/15/48, Callable 6/15/48 @ 100 | | | 1,296,481 | |
| | 605,000 | | | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(b) | | | 634,494 | |
| | 780,000 | | | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(b) | | | 798,525 | |
| | 20,000 | | | HCA, Inc., 4.75%, 5/1/23 | | | 20,950 | |
| | 780,000 | | | HCA, Inc., 5.38%, 2/1/25 | | | 854,100 | |
| | 660,000 | | | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | | | 694,650 | |
| | 50,000 | | | HealthEquity, Inc., 4.50%, 10/1/29, Callable 10/1/24 @ 102.25(b) | | | 49,500 | |
| | 40,000 | | | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(b) | | | 41,350 | |
| | 25,000 | | | Owens & Minor, Inc., 4.50%, 3/31/29, Callable 3/31/24 @ 102.25(b) | | | 25,625 | |
| | 416,000 | | | Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63(b) | | | 431,080 | |
| | 590,000 | | | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/7/22 @ 103.13(b) | | | 609,175 | |
| | 510,000 | | | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(b) | | | 536,775 | |
| | 295,000 | | | Tenet Healthcare Corp., 4.25%, 6/1/29, Callable 6/1/24 @ 102.13(b) | | | 298,687 | |
| | 117,000 | | | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | | | 131,688 | |
| | 15,000 | | | Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(b) | | | 15,656 | |
| | | | | | | | |
| | | | | | | 19,712,645 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.4%): | | | |
| | 15,000 | | | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(b) | | | 15,600 | |
| | 445,000 | | | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38 | | | 456,125 | |
| | 145,000 | | | Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31(b) | | | 145,544 | |
| | 350,000 | | | Carnival Corp., 10.50%, 2/1/26, Callable 8/1/23 @ 105.25(b) | | | 397,250 | |
| | 565,000 | | | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91(b) | | | 589,012 | |
| | 125,000 | | | Carrols Restaurant Group, Inc., 5.88%, 7/1/29, Callable 7/1/24 @ 102.94^(b) | | | 111,875 | |
| | 680,000 | | | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 8/15/22 @ 102.69(b) | | | 340,000 | |
| | 765,000 | | | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(b) | | | 799,425 | |
| | 605,000 | | | Golden Nugget, Inc., 6.75%, 10/15/24, Callable 2/4/22 @ 100(b) | | | 604,244 | |
| | 40,000 | | | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 6/1/29, Callable 6/1/24 @ 102.5(b) | | | 41,000 | |
| | 45,000 | | | Life Time, Inc., 5.75%, 1/15/26, Callable 1/15/23 @ 102.88(b) | | | 46,631 | |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| $ | 40,000 | | | Marriott Ownership Resorts, Inc., 4.50%, 6/15/29, Callable 6/15/24 @ 102.25(b) | | $ | 40,150 | |
| | 150,000 | | | NCL Corp., Ltd., 10.25%, 2/1/26, Callable 8/1/23 @ 105.13(b) | | | 172,875 | |
| | 20,000 | | | NCL Finance, Ltd., 6.13%, 3/15/28, Callable 12/15/27 @ 100(b) | | | 19,800 | |
| | 20,000 | | | Peninsula Pacific Entert, 8.50%, 11/15/27, Callable 11/15/23 @ 104.25(b) | | | 21,725 | |
| | 20,000 | | | Royal Caribbean Cruises, Ltd., 9.13%, 6/15/23, Callable 3/15/23 @ 100(b) | | | 21,200 | |
| | 280,000 | | | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 6/1/22 @ 108.63(b) | | | 313,250 | |
| | 310,000 | | | Royal Caribbean Cruises, Ltd., 5.50%, 8/31/26, Callable 2/28/26 @ 100(b) | | | 313,487 | |
| | 510,000 | | | Station Casinos LLC, 4.50%, 2/15/28, Callable 2/15/23 @ 102.25(b) | | | 512,550 | |
| | 255,000 | | | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 5/15/22 @ 109.75(b) | | | 287,513 | |
| | 255,000 | | | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(b) | | | 263,925 | |
| | 390,000 | | | Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100^(b) | | | 398,775 | |
| | 510,000 | | | Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88(b) | | | 536,775 | |
| | 350,000 | | | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | | | 370,563 | |
| | | | | | | | |
| | | | | | | 6,819,294 | |
| | | | | | | | |
| Household Durables (0.1%): | | | |
| | 65,000 | | | Ambience Merger Sub, Inc., 4.88%, 7/15/28, Callable 7/15/23 @ 102.44(b) | | | 64,106 | |
| | 70,000 | | | Ashton Woods USA LLC / Ashton Woods Finance Co., 4.63%, 4/1/30, Callable 4/1/25 @ 102.31(b) | | | 69,475 | |
| | 150,000 | | | Century Communities, Inc., 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | | | 151,500 | |
| | 160,000 | | | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(b) | | | 159,200 | |
| | 10,000 | | | Newell Brands, Inc., 5.38%, 4/1/36, Callable 10/1/35 @ 100 | | | 12,250 | |
| | 90,000 | | | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 4/30/27, Callable 10/15/23 @ 102.38(b) | | | 88,875 | |
| | 15,000 | | | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103^(b) | | | 14,700 | |
| | 510,000 | | | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(b) | | | 561,000 | |
| | 130,000 | | | Tempur Sealy International, Inc., 3.88%, 10/15/31, Callable 10/15/26 @ 101.94(b) | | | 129,675 | |
| | 265,000 | | | TopBuild Corp., 4.13%, 2/15/32, Callable 10/15/26 @ 102.06(b) | | | 271,294 | |
| | | | | | | | |
| | | | | | | 1,522,075 | |
| | | | | | | | |
| Household Products (0.0%†): | | | |
| | 55,000 | | | Central Garden & Pet Co., 4.13%, 4/30/31, Callable 4/30/26 @ 102.06(b) | | | 55,206 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| $ | 1,457,000 | | | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(b) | | $ | 1,515,357 | |
| | 1,412,000 | | | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(b) | | | 1,495,268 | |
| | 30,000 | | | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(b) | | | 31,650 | |
| | 430,000 | | | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | | | 452,575 | |
| | 35,000 | | | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(b) | | | 36,313 | |
| | 85,000 | | | Sunnova Energy Corp., 5.88%, 9/1/26, Callable 9/1/23 @ 102.94^(b) | | | 86,275 | |
| | 20,000 | | | TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(b) | | | 20,400 | |
| | 15,000 | | | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(b) | | | 15,938 | |
| | | | | | | | |
| | | | | | | 3,653,776 | |
| | | | | | | | |
| Industrial Conglomerates (0.1%): | | | |
| | 550,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13 | | | 572,000 | |
| | 1,165,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | | | 1,194,125 | |
| | | | | | | | |
| | | | | | | 1,766,125 | |
| | | | | | | | |
| Insurance (0.5%): | | | |
| | 600,000 | | | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | | | 618,317 | |
| | 809,000 | | | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100 | | | 866,182 | |
| | 1,600,000 | | | American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100 | | | 1,730,909 | |
| | 70,000 | | | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(b) | | | 70,875 | |
| | 40,000 | | | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(b) | | | 38,900 | |
| | 2,597,000 | | | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(b) | | | 2,687,895 | |
| | 115,000 | | | HUB International, Ltd., 7.00%, 5/1/26, Callable 1/18/22 @ 103.5(b) | | | 118,019 | |
| | 105,000 | | | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(b) | | | 107,362 | |
| | 436,000 | | | Pacific Lifecorp, 5.13%, 1/30/43(b) | | | 557,159 | |
| | 227,000 | | | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | | | 250,914 | |
| | 1,000,000 | | | Unum Group, 5.75%, 8/15/42 | | | 1,226,188 | |
| | 685,000 | | | USI, Inc., 6.88%, 5/1/25, Callable 2/7/22 @ 101.72(b) | | | 690,994 | |
| | | | | | | | |
| | | | | | | 8,963,714 | |
| | | | | | | | |
| Interactive Media & Services (0.0%†): | | | |
| | 190,000 | | | Match Group Holdings II LLC, 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(b) | | | 184,300 | |
| | 25,000 | | | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(b) | | | 25,281 | |
| | 525,000 | | | Rackspace Technology Global, Inc., 3.50%, 2/15/28, Callable 2/15/24 @ 101.75(b) | | | 498,750 | |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Interactive Media & Services, continued | | | |
| $ | 60,000 | | | Rackspace Technology Global, Inc., 5.38%, 12/1/28, Callable 12/1/23 @ 102.69^(b) | | $ | 58,275 | |
| | | | | | | | |
| | | | | | | 766,606 | |
| | | | | | | | |
| IT Services (0.1%): | | | |
| | 25,000 | | | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(b) | | | 24,937 | |
| | 10,000 | | | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(b) | | | 10,025 | |
| | 470,000 | | | Black Knight Infoserv LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(b) | | | 468,825 | |
| | 15,000 | | | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(b) | | | 15,525 | |
| | 550,000 | | | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(b) | | | 607,750 | |
| | 255,000 | | | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(b) | | | 266,475 | |
| | 45,000 | | | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(b) | | | 45,675 | |
| | 40,000 | | | Square, Inc., 2.75%, 6/1/26, Callable 5/1/26 @ 100(b) | | | 40,200 | |
| | 40,000 | | | Square, Inc., 3.50%, 6/1/31, Callable 3/1/31 @ 100(b) | | | 41,200 | |
| | 35,000 | | | Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | | | 35,350 | |
| | 35,000 | | | Twilio, Inc., 3.88%, 3/15/31, Callable 3/15/26 @ 101.94 | | | 35,350 | |
| | | | | | | | |
| | | | | | | 1,591,312 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 202,000 | | | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | | | 210,184 | |
| | 5,000 | | | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(b) | | | 5,369 | |
| | 8,000 | | | Mattel, Inc., 5.45%, 11/1/41, Callable 5/1/41 @ 100 | | | 9,520 | |
| | | | | | | | |
| | | | | | | 225,073 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.0%†): | | | |
| | 510,000 | | | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(b) | | | 534,225 | |
| | 15,000 | | | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(b) | | | 15,619 | |
| | 30,000 | | | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(b) | | | 30,375 | |
| | | | | | | | |
| | | | | | | 580,219 | |
| | | | | | | | |
| Machinery (0.0%†): | | | |
| | 55,000 | | | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(b) | | | 55,756 | |
| | 170,000 | | | ITT Holdings LLC, 6.50%, 8/1/29, Callable 8/1/24 @ 103.25(b) | | | 167,875 | |
| | 230,000 | | | Madison IAQ LLC, 4.13%, 6/30/28, Callable 6/30/24 @ 102.06(b) | | | 230,287 | |
| | 45,000 | | | Madison IAQ LLC, 5.88%, 6/30/29, Callable 6/30/24 @ 102.94(b) | | | 44,944 | |
| | 45,000 | | | Mueller Water Products, Inc., 4.00%, 6/15/29, Callable 6/15/24 @ 102(b) | | | 45,563 | |
| | | | | | | | |
| | | | | | | 544,425 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Media (0.9%): | | | |
| $ | 255,000 | | | Allen Media LLC / Allen Media Co-Issuer, Inc., 10.50%, 2/15/28, Callable 2/15/23 @ 113(b) | | $ | 267,431 | |
| | 25,000 | | | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(b) | | | 25,813 | |
| | 20,000 | | | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(b) | | | 19,400 | |
| | 15,000 | | | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(b) | | | 14,775 | |
| | 65,000 | | | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(b) | | | 66,625 | |
| | 1,250,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(b) | | | 1,303,125 | |
| | 390,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25 | | | 401,212 | |
| | 270,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 6/1/33, Callable 6/1/27 @ 102.25(b) | | | 275,063 | |
| | 1,500,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25, Callable 4/23/25 @ 100 | | | 1,651,611 | |
| | 1,000,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, 5/1/47, Callable 11/1/46 @ 100 | | | 1,192,648 | |
| | 1,130,000 | | | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(b) | | | 1,125,762 | |
| | 335,000 | | | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(b) | | | 327,044 | |
| | 2,346,000 | | | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100^ | | | 2,508,721 | |
| | 392,000 | | | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | | | 457,260 | |
| | 605,000 | | | DISH DBS Corp., 7.75%, 7/1/26 | | | 638,275 | |
| | 65,000 | | | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | | | 68,677 | |
| | 1,094,000 | | | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | | | 1,249,192 | |
| | 93,000 | | | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | | | 119,826 | |
| | 140,000 | | | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(b) | | | 139,300 | |
| | 430,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(b) | | | 433,225 | |
| | 525,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 102.25(b) | | | 525,000 | |
| | 95,000 | | | Sirius XM Radio, Inc., 3.13%, 9/1/26, Callable 9/1/23 @ 101.56(b) | | | 94,762 | |
| | 270,000 | | | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(b) | | | 279,787 | |
| | 30,000 | | | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(b) | | | 32,325 | |
| | 25,000 | | | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(b) | | | 25,062 | |
| | 185,000 | | | Sirius XM Radio, Inc., 3.88%, 9/1/31, Callable 9/1/26 @ 101.94(b) | | | 181,069 | |
| | 350,000 | | | TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38(b) | | | 364,875 | |
| | 230,000 | | | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 104.44(b) | | | 248,400 | |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Media, continued | | | |
| $ | 1,620,000 | | | Time Warner Cable, Inc., 6.55%, 5/1/37 | | $ | 2,132,393 | |
| | 280,000 | | | Time Warner Cable, Inc., 7.30%, 7/1/38 | | | 395,054 | |
| | 69,000 | | | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | | | 83,085 | |
| | 35,000 | | | Univision Communications, Inc., 6.63%, 6/1/27, Callable 6/1/23 @ 103.31(b) | | | 37,625 | |
| | 245,000 | | | Univision Communications, Inc., 4.50%, 5/1/29, Callable 5/1/24 @ 102.25(b) | | | 247,450 | |
| | | | | | | | |
| | | | | | | 16,931,872 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 45,000 | | | Alcoa Nederland Holding BV, 4.13%, 3/31/29, Callable 3/31/24 @ 102.06(b) | | | 46,462 | |
| | 686,000 | | | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | | | 716,013 | |
| | 60,000 | | | Allegheny Technologies, Inc., 4.88%, 10/1/29, Callable 10/1/24 @ 102.44 | | | 60,060 | |
| | 45,000 | | | Allegheny Technologies, Inc., 5.13%, 10/1/31, Callable 10/1/26 @ 102.56^ | | | 45,169 | |
| | 45,000 | | | Cleveland-Cliffs, Inc., 4.63%, 3/1/29, Callable 3/1/24 @ 102.31^(b) | | | 46,237 | |
| | 45,000 | | | Cleveland-Cliffs, Inc., 4.88%, 3/1/31, Callable 3/1/26 @ 102.44^(b) | | | 46,744 | |
| | 485,000 | | | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(b) | | | 489,850 | |
| | 125,000 | | | Novelis Corp., 3.88%, 8/15/31, Callable 8/15/26 @ 101.94(b) | | | 124,375 | |
| | | | | | | | |
| | | | | | | 1,574,910 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 40,000 | | | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp, 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(b) | | | 40,900 | |
| | 45,000 | | | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | | | 47,138 | |
| | | | | | | | |
| | | | | | | 88,038 | |
| | | | | | | | |
| Multi-Utilities (0.1%): | | | |
| | 1,100,000 | | | NiSource, Inc., 2.95%, 9/1/29, Callable 6/1/29 @ 100 | | | 1,136,985 | |
| | 1,000,000 | | | NiSource, Inc., 5.25%, 2/15/43, Callable 8/15/42 @ 100 | | | 1,285,958 | |
| | 140,000 | | | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 151,762 | |
| | | | | | | | |
| | | | | | | 2,574,705 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.9%): | | | |
| | 430,000 | | | Antero Resources Corp., 5.00%, 3/1/25, Callable 2/7/22 @ 102.5^ | | | 437,525 | |
| | 335,000 | | | Apache Corp., 4.63%, 11/15/25, Callable 8/15/25 @ 100 | | | 358,450 | |
| | 45,000 | | | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | | | 50,906 | |
| | 10,000 | | | Apache Corp., 7.38%, 8/15/47 | | | 12,492 | |
| | 145,000 | | | Cheniere Energy Partners LP, 4.00%, 3/1/31, Callable 3/1/26 @ 102 | | | 152,975 | |
| | 125,000 | | | Cheniere Energy Partners, LP, 3.25%, 1/31/32, Callable 1/31/27 @ 101.63(b) | | | 125,938 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 247,000 | | | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(b) | | $ | 274,271 | |
| | 375,000 | | | CITGO Petroleum Corp., 6.38%, 6/15/26, Callable 6/15/23 @ 103.19(b) | | | 380,625 | |
| | 50,000 | | | Cnx Midstream Partners, LP, 4.75%, 4/15/30, Callable 4/15/25 @ 102.38(b) | | | 49,875 | |
| | 20,000 | | | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(b) | | | 20,800 | |
| | 65,000 | | | Colgate Energy Partners III LLC, 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(b) | | | 67,112 | |
| | 47,000 | | | Comstock Resources, Inc., 7.50%, 5/15/25, Callable 2/7/22 @ 103.75(b) | | | 48,527 | |
| | 55,000 | | | Comstock Resources, Inc., 6.75%, 3/1/29, Callable 3/1/24 @ 103.38(b) | | | 59,537 | |
| | 25,000 | | | Comstock Resources, Inc., 5.88%, 1/15/30, Callable 1/15/25 @ 102.94(b) | | | 25,719 | |
| | 485,000 | | | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(b) | | | 570,481 | |
| | 42,000 | | | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 2/7/22 @ 102.88 | | | 42,945 | |
| | 795,000 | | | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 2/1/29, Callable 2/1/24 @ 103(b) | | | 822,825 | |
| | 605,000 | | | CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(b) | | | 588,363 | |
| | 20,000 | | | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88^(b) | | | 19,450 | |
| | 230,000 | | | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | | | 251,275 | |
| | 2,905,000 | | | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | | | 3,297,175 | |
| | 700,000 | | | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(b) | | | 679,000 | |
| | 25,000 | | | Delek Logistics Partners LP / Delek Logistics Finance Corp., 7.13%, 6/1/28, Callable 6/1/24 @ 103.56(b) | | | 26,063 | |
| | 26,000 | | | Devon Energy Corp., 5.25%, 10/15/27, Callable 10/15/22 @ 102.63 | | | 27,429 | |
| | 40,000 | | | DT Midstream, Inc., 4.13%, 6/15/29, Callable 6/15/24 @ 102.06(b) | | | 41,100 | |
| | 124,000 | | | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | | | 129,544 | |
| | 20,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(b) | | | 21,150 | |
| | 295,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(b) | | | 311,963 | |
| | 2,229,000 | | | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 2,513,197 | |
| | 106,000 | | | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | | | 121,768 | |
| | 1,743,000 | | | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | | | 2,008,807 | |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 52,000 | | | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | | $ | 53,495 | |
| | 65,000 | | | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | | | 68,981 | |
| | 109,000 | | | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | | | 115,540 | |
| | 73,000 | | | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | | | 94,991 | |
| | 67,000 | | | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | | | 69,847 | |
| | 128,000 | | | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | | | 154,720 | |
| | 83,000 | | | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | | | 103,750 | |
| | 350,000 | | | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(b) | | | 363,562 | |
| | 50,000 | | | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(b) | | | 56,000 | |
| | 45,000 | | | EQM Midstream Partners LP, 4.50%, 1/15/29, Callable 7/15/28 @ 100(b) | | | 46,575 | |
| | 295,000 | | | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | | | 314,175 | |
| | 30,000 | | | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | | | 33,225 | |
| | 650,000 | | | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | | | 708,500 | |
| | 71,000 | | | Hess Corp., 7.30%, 8/15/31 | | | 94,519 | |
| | 50,000 | | | Hess Corp., 7.13%, 3/15/33 | | | 66,813 | |
| | 1,869,000 | | | Hess Corp., 5.60%, 2/15/41 | | | 2,296,534 | |
| | 1,166,000 | | | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | | | 1,498,310 | |
| | 405,000 | | | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/7/22 @ 104.22(b) | | | 417,150 | |
| | 80,000 | | | Hess Midstream Operations, LP, 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(b) | | | 79,800 | |
| | 97,000 | | | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | | | 99,182 | |
| | 125,000 | | | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29, Callable 7/1/24 @ 102.13(b) | | | 126,094 | |
| | 113,000 | | | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | | | 117,661 | |
| | 159,000 | | | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | | | 172,515 | |
| | 390,000 | | | Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | | | 405,600 | |
| | 400,000 | | | New Fortress Energy, Inc., 6.75%, 9/15/25, Callable 9/15/22 @ 103.38(b) | | | 404,000 | |
| | 375,000 | | | NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 2/1/26, Callable 2/1/23 @ 103.75(b) | | | 386,250 | |
| | 406,000 | | | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | | | 450,660 | |
| | 30,000 | | | Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100 | | | 30,788 | |
| | 406,000 | | | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | | | 415,135 | |
| | 255,000 | | | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | | | 344,250 | |
| | 1,464,000 | | | Occidental Petroleum Corp., 7.50%, 5/1/31 | | | 1,919,670 | |
| | 16,000 | | | Occidental Petroleum Corp., 7.88%, 9/15/31 | | | 21,440 | |
| | 78,000 | | | Occidental Petroleum Corp., 6.45%, 9/15/36 | | | 99,450 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 44,000 | | | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | | $ | 43,615 | |
| | 25,000 | | | Occidental Petroleum Corp., 6.20%, 3/15/40 | | | 30,656 | |
| | 410,000 | | | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | | | 534,025 | |
| | 295,000 | | | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | | | 302,375 | |
| | 430,000 | | | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | | | 421,400 | |
| | 55,000 | | | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | | | 54,587 | |
| | 79,000 | | | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | | | 79,889 | |
| | 605,000 | | | PBF Holding Co. LLC / PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63^(b) | | | 574,750 | |
| | 80,000 | | | PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 2/15/28, Callable 2/15/23 @ 103 | | | 51,400 | |
| | 20,000 | | | PDC Energy, Inc., 5.75%, 5/15/26, Callable 2/7/22 @ 104.31 | | | 20,700 | |
| | 20,000 | | | Phillips 66, 3.70%, 4/6/23 | | | 20,675 | |
| | 26,000 | | | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | | | 27,890 | |
| | 1,172,000 | | | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | | | 1,225,652 | |
| | 270,000 | | | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100 | | | 279,450 | |
| | 335,000 | | | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | | | 378,131 | |
| | 278,000 | | | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 1/18/22 @ 101.81(a)(d)(e) | | | — | |
| | 10,000 | | | SM Energy Co., 5.63%, 6/1/25, Callable 2/7/22 @ 101.88 | | | 10,075 | |
| | 50,000 | | | SM Energy Co., 6.75%, 9/15/26, Callable 2/7/22 @ 103.38^ | | | 51,250 | |
| | 130,000 | | | Southwestern Energy Co., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38 | | | 136,825 | |
| | 5,000 | | | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103 | | | 5,200 | |
| | 242,000 | | | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | | | 255,915 | |
| | 430,000 | | | Sunoco, LP / Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25 | | | 434,300 | |
| | 350,000 | | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(b) | | | 350,000 | |
| | 510,000 | | | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/7/22 @ 102.69 | | | 525,300 | |
| | 25,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | | | 27,312 | |
| | 445,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44 | | | 482,269 | |
| | 45,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102(b) | | | 47,025 | |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 43,000 | | | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100 | | $ | 45,168 | |
| | 41,000 | | | Valero Energy Corp., 2.85%, 4/15/25, Callable 3/15/25 @ 100 | | | 42,596 | |
| | 390,000 | | | Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(b) | | | 403,650 | |
| | 40,000 | | | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | | | 41,800 | |
| | 137,000 | | | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | | | 148,645 | |
| | 1,000,000 | | | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | | | 1,090,000 | |
| | 66,000 | | | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | | | 73,013 | |
| | 1,000,000 | | | Western Midstream Operating LP, 4.35%, 2/1/25, Callable 1/1/25 @ 100 | | | 1,042,500 | |
| | 525,000 | | | Western Midstream Operating LP, 5.30%, 2/1/30, Callable 11/1/29 @ 100 | | | 577,500 | |
| | 162,000 | | | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | | | 170,670 | |
| | 285,000 | | | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | | | 300,981 | |
| | | | | | | | |
| | | | | | | 35,473,658 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | | | |
| | 100,000 | | | Glatfelter Corp., 4.75%, 11/15/29, Callable 11/1/24 @ 102.38(b) | | | 103,125 | |
| | 45,000 | | | Mercer International, Inc., 5.13%, 2/1/29, Callable 2/1/24 @ 102.56 | | | 45,900 | |
| | | | | | | | |
| | | | | | | 149,025 | |
| | | | | | | | |
| Pharmaceuticals (0.2%): | | | |
| | 390,000 | | | Bausch Health Cos, Inc., 5.25%, 1/30/30, Callable 1/30/25 @ 102.63(b) | | | 343,200 | |
| | 1,000,000 | | | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(b) | | | 1,084,577 | |
| | 445,000 | | | Catalent Pharma Solutions, Inc., 3.13%, 2/15/29, Callable 2/15/24 @ 101.56(b) | | | 432,206 | |
| | 115,000 | | | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75(b) | | | 113,275 | |
| | 180,000 | | | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100 | | | 190,671 | |
| | 76,000 | | | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100 | | | 88,730 | |
| | 30,000 | | | Jazz Securities DAC, 4.38%, 1/15/29, Callable 7/15/24 @ 102.19(b) | | | 30,900 | |
| | 30,000 | | | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.13%, 4/30/28, Callable 4/30/24 @ 102.06(b) | | | 30,562 | |
| | 50,000 | | | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 5.13%, 4/30/31, Callable 4/30/26 @ 102.56(b) | | | 52,125 | |
| | 126,000 | | | Viatris, Inc., 1.13%, 6/22/22 | | | 126,244 | |
| | 40,000 | | | Viatris, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100 | | | 39,796 | |
| | 1,406,000 | | | Viatris, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100 | | | 1,408,158 | |
| | 90,000 | | | Viatris, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100 | | | 95,869 | |
| | | | | | | | |
| | | | | | | 4,036,313 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Professional Services (0.1%): | | | |
| $ | 140,000 | | | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(b) | | $ | 144,900 | |
| | 335,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.63%, 10/1/28, Callable 10/1/23 @ 102.81(b) | | | 345,469 | |
| | 335,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 102.94(b) | | | 351,331 | |
| | | | | | | | |
| | | | | | | 841,700 | |
| | | | | | | | |
| Real Estate Management & Development (0.1%): | | | |
| | 210,000 | | | CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | | | 210,720 | |
| | 175,000 | | | Kennedy-Wilson, Inc., 4.75%, 2/1/30, Callable 9/1/24 @ 102.38 | | | 177,188 | |
| | 145,000 | | | Realogy Group LLC / Realogy Co-Issuer Corp., 5.75%, 1/15/29, Callable 1/15/24 @ 102.88(b) | | | 148,625 | |
| | 725,000 | | | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(b) | | | 761,250 | |
| | | | | | | | |
| | | | | | | 1,297,783 | |
| | | | | | | | |
| Road & Rail (0.0%†): | | | |
| | 135,000 | | | Uber Technologies, Inc., 4.50%, 8/15/29, Callable 8/15/24 @ 102.25(b) | | | 137,700 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.4%): | | | |
| | 65,000 | | | Broadcom, Inc., 1.95%, 2/15/28, Callable 12/15/27 @ 100(b) | | | 63,949 | |
| | 4,136,000 | | | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(b) | | | 4,043,019 | |
| | 564,000 | | | Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100(b) | | | 548,609 | |
| | 1,648,000 | | | Broadcom, Inc., 3.50%, 2/15/41, Callable 8/15/40 @ 100(b) | | | 1,684,408 | |
| | 210,000 | | | Broadcom, Inc., 3.75%, 2/15/51, Callable 8/15/50 @ 100(b) | | | 219,237 | |
| | 310,000 | | | Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(b) | | | 318,912 | |
| | 375,000 | | | Entegris, Inc., 3.63%, 5/1/29, Callable 5/1/24 @ 102.72(b) | | | 378,750 | |
| | 50,000 | | | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(b) | | | 51,250 | |
| | | | | | | | |
| | | | | | | 7,308,134 | |
| | | | | | | | |
| Software (0.3%): | | | |
| | 40,000 | | | Acuris Finance Us Inc / Acuris Finance SARL, 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(b) | | | 39,800 | |
| | 35,000 | | | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(b) | | | 36,662 | |
| | 20,000 | | | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(b) | | | 21,100 | |
| | 25,000 | | | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(b) | | | 25,125 | |
| | 25,000 | | | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44^(b) | | | 25,250 | |
| | 65,000 | | | Elastic NV, 4.13%, 7/15/29, Callable 7/15/24 @ 102.06(b) | | | 63,944 | |
| | 150,000 | | | Fair Isaac Corp., 4.00%, 6/15/28, Callable 12/15/22 @ 102(b) | | | 154,125 | |
| | 30,000 | | | MicroStrategy, Inc., 6.13%, 6/15/28, Callable 6/15/24 @ 103.06^(b) | | | 30,038 | |
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Software, continued | | | |
| $ | 253,000 | | | Oracle Corp., 1.65%, 3/25/26, Callable 2/25/26 @ 100 | | $ | 250,737 | |
| | 2,200,000 | | | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | | | 2,268,941 | |
| | 400,000 | | | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | | | 398,309 | |
| | 2,990,000 | | | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | | | 3,002,334 | |
| | | | | | | | |
| | | | | | | 6,316,365 | |
| | | | | | | | |
| Specialty Retail (0.2%): | | | |
| | 80,000 | | | Asbury Automotive Group, Inc., 4.63%, 11/15/29, Callable 11/15/24 @ 102.31(b) | | | 81,400 | |
| | 85,000 | | | Asbury Automotive Group, Inc., 5.00%, 2/15/32, Callable 11/15/26 @ 102.5(b) | | | 87,550 | |
| | 32,000 | | | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | | | 36,586 | |
| | 49,000 | | | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | | | 52,175 | |
| | 1,229,000 | | | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | | | 1,373,690 | |
| | 120,000 | | | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41^(b) | | | 120,000 | |
| | 65,000 | | | Foot Locker, Inc., 4.00%, 10/1/29, Callable 10/1/24 @ 102^(b) | | | 64,594 | |
| | 125,000 | | | Gap, Inc. (The), 3.88%, 10/1/31, Callable 10/1/26 @ 101.94(b) | | | 123,281 | |
| | 565,000 | | | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(b) | | | 641,275 | |
| | 1,165,000 | | | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | | | 1,351,781 | |
| | 20,000 | | | Party City Holdings, Inc., 8.75%, 2/15/26, Callable 8/15/23 @ 104.38(b) | | | 20,650 | |
| | 15,000 | | | Rent-A-Center, Inc., 6.38%, 2/15/29, Callable 2/15/24 @ 103.19(b) | | | 15,581 | |
| | 85,000 | | | Victoria’s Secret & Co., 4.63%, 7/15/29, Callable 7/15/24 @ 102.31(b) | | | 86,700 | |
| | | | | | | | |
| | | | | | | 4,055,263 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.0%†): | | | |
| | 320,000 | | | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100 | | | 338,012 | |
| | 55,000 | | | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100 | | | 62,421 | |
| | 83,000 | | | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100 | | | 96,222 | |
| | 101,000 | | | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100 | | | 120,923 | |
| | 87,000 | | | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100 | | | 110,047 | |
| | | | | | | | |
| | | | | | | 727,625 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goo (0.0%†): | | | |
| | 40,000 | | | Kontoor Brands, Inc., 4.13%, 11/15/29, Callable 11/15/24 @ 102.06(b) | | | 40,050 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.0%†): | | | |
| | 130,000 | | | Crocs, Inc., 4.13%, 8/15/31, Callable 8/15/26 @ 102.06(b) | | | 126,100 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Textiles, Apparel & Luxury Goods, continued | | | |
| $ | 45,000 | | | Levi Strauss & Co., 3.50%, 3/1/31, Callable 3/1/26 @ 101.75^(b) | | $ | 45,788 | |
| | 235,000 | | | Wolverine World Wide, Inc., 4.00%, 8/15/29, Callable 8/15/24 @ 102(b) | | | 226,187 | |
| | | | | | | | |
| | | | | | | 398,075 | |
| | | | | | | | |
| Tobacco (0.1%): | | | |
| | 294,000 | | | Altria Group, Inc., 4.25%, 8/9/42 | | | 297,022 | |
| | 191,000 | | | Altria Group, Inc., 4.50%, 5/2/43 | | | 198,076 | |
| | 175,000 | | | Altria Group, Inc., 5.38%, 1/31/44 | | | 203,610 | |
| | 72,000 | | | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | | | 90,215 | |
| | 232,000 | | | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | | | 250,438 | |
| | 120,000 | | | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | | | 142,751 | |
| | 45,000 | | | Turning Point Brands, Inc., 5.63%, 2/15/26, Callable 2/15/23 @ 102.81(b) | | | 45,113 | |
| | | | | | | | |
| | | | | | | 1,227,225 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 295,000 | | | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | | | 313,907 | |
| | 2,465,000 | | | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | | | 2,579,157 | |
| | 30,000 | | | Foundation Building Materials, Inc., 6.00%, 3/1/29, Callable 3/1/24 @ 103(b) | | | 29,475 | |
| | 30,000 | | | SRS Distribution, Inc., 4.63%, 7/1/28, Callable 7/1/24 @ 102.31(b) | | | 30,263 | |
| | 15,000 | | | SRS Distribution, Inc., 6.13%, 7/1/29, Callable 7/1/24 @ 103.06^(b) | | | 15,131 | |
| | 90,000 | | | SRS Distribution, Inc., 6.00%, 12/1/29, Callable 12/1/24 @ 103(b) | | | 90,450 | |
| | | | | | | | |
| | | | | | | 3,058,383 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.4%): | | | |
| | 1,155,000 | | | Sprint Capital Corp., 8.75%, 3/15/32 | | | 1,738,275 | |
| | 1,265,000 | | | Sprint Communications, Inc., 6.88%, 11/15/28 | | | 1,600,225 | |
| | 2,860,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | | | 3,095,927 | |
| | 40,000 | | | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | | | 42,100 | |
| | 45,000 | | | T-Mobile USA, Inc., 3.38%, 4/15/29, Callable 4/15/24 @ 101.69 | | | 45,950 | |
| | 430,000 | | | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | | | 469,926 | |
| | 56,000 | | | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | | | 63,739 | |
| | 110,000 | | | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100 | | | 128,384 | |
| | | | | | | | |
| | | | | | | 7,184,526 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $312,558,128) | | | 315,599,681 | |
| | | | | |
| Yankee Debt Obligations (5.6%): | | | |
| Aerospace & Defense (0.2%): | | | |
| | 2,000,000 | | | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(b) | | | 2,042,500 | |
| | 10,000 | | | Bombardier, Inc., 7.50%, 12/1/24, Callable 2/7/22 @ 103.75(b) | | | 10,375 | |
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Aerospace & Defense, continued | | | |
| $ | 40,000 | | | Bombardier, Inc., 7.50%, 3/15/25, Callable 2/7/22 @ 102.5(b) | | $ | 40,750 | |
| | 55,000 | | | Bombardier, Inc., 7.13%, 6/15/26, Callable 6/15/23 @ 103.56(b) | | | 57,062 | |
| | 620,000 | | | Bombardier, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(b) | | | 621,550 | |
| | | | | | | | |
| | | | | | | 2,772,237 | |
| | | | | | | | |
| Banks (1.6%): | | | |
| | 585,000 | | | Barclays plc, 4.38%, 1/12/26 | | | 638,432 | |
| | 2,543,000 | | | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | | | 2,618,367 | |
| | 2,377,000 | | | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | | | 2,690,716 | |
| | 200,000 | | | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(b) | | | 209,269 | |
| | 530,000 | | | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | | | 574,904 | |
| | 205,000 | | | HSBC Holdings plc, 4.25%, 3/14/24 | | | 216,426 | |
| | 1,000,000 | | | HSBC Holdings plc, 4.95%, 3/31/30 | | | 1,171,857 | |
| | 200,000 | | | Intesa Sanpaolo SpA, 5.02%, 6/26/24(b) | | | 213,716 | |
| | 6,069,000 | | | Intesa Sanpaolo SpA, 5.71%, 1/15/26(b) | | | 6,710,724 | |
| | 3,200,000 | | | Natwest Group plc, 5.13%, 5/28/24 | | | 3,447,888 | |
| | 2,550,000 | | | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | | | 2,669,024 | |
| | 547,000 | | | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | | | 583,155 | |
| | 2,625,000 | | | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | | | 2,850,624 | |
| | 680,000 | | | Societe Generale SA, 1.04% (H15T1Y+75 bps), 6/18/25, Callable 6/18/24 @ 100^(b) | | | 664,413 | |
| | 3,863,000 | | | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(b) | | | 3,767,209 | |
| | 350,000 | | | UniCredit SpA, 6.57%, 1/14/22(b) | | | 350,531 | |
| | 186,000 | | | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | | | 200,863 | |
| | | | | | | | |
| | | | | | | 29,578,118 | |
| | | | | | | | |
| Biotechnology (0.0%†): | | | |
| | 200,000 | | | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(b) | | | 204,250 | |
| | | | | | | | |
| Capital Markets (0.9%): | | | |
| | 4,009,000 | | | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(b) | | | 4,085,660 | |
| | 2,514,000 | | | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(b) | | | 2,775,051 | |
| | 670,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | | | 684,420 | |
| | 787,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | | | 815,621 | |
| | 470,000 | | | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | | | 498,596 | |
| | 487,000 | | | Deutsche Bank AG, 5.00%, 2/14/22 | | | 489,174 | |
| | 860,000 | | | Deutsche Bank AG, 3.30%, 11/16/22 | | | 877,773 | |
| | 4,610,000 | | | Deutsche Bank AG, 4.50%, 4/1/25 | | | 4,901,947 | |
| | 774,000 | | | UBS Group AG, 1.49% (H15T1Y+85 bps), 8/10/27, Callable 8/10/26 @ 100(b) | | | 754,980 | |
| | | | | | | | |
| | | | | | | 15,883,222 | |
| | | | | | | | |
| Chemicals (0.1%): | | | |
| | 15,000 | | | Consolidated Energy Finance SA, 3.95% (US0003M+375 bps), 6/15/22, Callable 1/18/22 @ 100(b) | | | 14,962 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Chemicals, continued | | | |
| $ | 350,000 | | | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 1/18/22 @ 104.88(b) | | $ | 357,000 | |
| | 510,000 | | | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100 | | | 536,775 | |
| | 230,000 | | | Methanex Corp., 5.25%, 12/15/29, Callable 9/15/29 @ 100 | | | 242,650 | |
| | 255,000 | | | Methanex Corp., 5.65%, 12/1/44, Callable 6/1/44 @ 100 | | | 254,584 | |
| | 660,000 | | | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 2/7/22 @ 102.88(b) | | | 673,200 | |
| | 125,000 | | | SPCM SA, 3.13%, 3/15/27, Callable 3/15/24 @ 101.56(b) | | | 125,313 | |
| | | | | | | | |
| | | | | | | 2,204,484 | |
| | | | | | | | |
| 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(b) | | | 15,431 | |
| | 25,000 | | | Intertape Polymer Group, Inc., 4.38%, 6/15/29, Callable 6/15/24 @ 102.19(b) | | | 25,032 | |
| | 740,000 | | | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(b) | | | 772,375 | |
| | | | | | | | |
| | | | | | | 812,838 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 33,000 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(b) | | | 32,959 | |
| | 980,000 | | | GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(b) | | | 1,006,950 | |
| | | | | | | | |
| | | | | | | 1,039,909 | |
| | | | | | | | |
| Diversified Financial Services (0.3%): | | | |
| | 780,000 | | | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(b) | | | 756,600 | |
| | 1,050,000 | | | Altice Financing SA, 5.75%, 8/15/29, Callable 8/15/24 @ 102.88(b) | | | 1,034,250 | |
| | 1,601,000 | | | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(b) | | | 1,667,041 | |
| | 430,000 | | | Dolya Holdco 18 DAC, 5.00%, 7/15/28, Callable 7/15/23 @ 102.5(b) | | | 431,612 | |
| | 1,355,000 | | | Park Aerospace Holdings, 5.50%, 2/15/24(b) | | | 1,451,544 | |
| | 780,000 | | | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(b) | | | 752,700 | |
| | | | | | | | |
| | | | | | | 6,093,747 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.1%): | | | |
| | 1,155,000 | | | Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(b) | | | 1,227,188 | |
| | 700,000 | | | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(b) | | | 668,500 | |
| | 470,000 | | | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(b) | | | 455,313 | |
| | 55,000 | | | Telecom Italia SpA, 6.00%, 9/30/34 | | | 57,887 | |
| | | | | | | | |
| | | | | | | 2,408,888 | |
| | | | | | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 405,000 | | | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/7/22 @ 105.16(b) | | | 390,825 | |
| | | | | | | | |
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Hotels, Restaurants & Leisure (0.0%†): | | | |
| $ | 35,000 | | | 1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(b) | | $ | 36,312 | |
| | 525,000 | | | 1011778 BC ULC New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(b) | | | 517,125 | |
| | 45,000 | | | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 7/21/23 @ 102.88(b) | | | 44,438 | |
| | 40,000 | | | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69(b) | | | 38,850 | |
| | | | | | | | |
| | | | | | | 636,725 | |
| | | | | | | | |
| Insurance (0.2%): | | | |
| | 1,414,000 | | | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(b) | | | 1,529,025 | |
| | 1,200,000 | | | AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 100(b) | | | 1,230,879 | |
| | 200,000 | | | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(b) | | | 224,066 | |
| | | | | | | | |
| | | | | | | 2,983,970 | |
| | | | | | | | |
| Media (0.1%): | | | |
| | 590,000 | | | Ziggo BV, 5.50%, 1/15/27, Callable 1/18/22 @ 102.75(b) | | | 604,750 | |
| | 335,000 | | | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(b) | | | 337,513 | |
| | | | | | | | |
| | | | | | | 942,263 | |
| | | | | | | | |
| Metals & Mining (0.0%†): | | | |
| | 500,000 | | | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 1/18/22 @ 105.16(b) | | | 519,375 | |
| | 35,000 | | | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(b) | | | 37,669 | |
| | 5,000 | | | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(b) | | | 5,312 | |
| | 85,000 | | | Infrabuild Australia Pty, Ltd., 12.00%, 10/1/24, Callable 2/7/22 @ 109^(b) | | | 87,550 | |
| | | | | | | | |
| | | | | | | 649,906 | |
| | | | | | | | |
| Multi-Utilities (0.1%): | | | |
| | 1,373,000 | | | InterGen NV, 7.00%, 6/30/23, Callable 2/7/22 @ 100(b) | | | 1,355,838 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.0%): | | | |
| | 2,502,000 | | | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | | | 2,730,307 | |
| | 335,000 | | | eG Global Finance plc, 6.75%, 2/7/25, Callable 1/18/22 @ 103.38(b) | | | 337,513 | |
| | 510,000 | | | eG Global Finance plc, 8.50%, 10/30/25, Callable 2/7/22 @ 104.25(b) | | | 529,125 | |
| | 145,000 | | | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | | | 151,315 | |
| | 565,000 | | | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(b) | | | 601,019 | |
| | 2,500,000 | | | Petroleos Mexicanos, 4.50%, 1/23/26 | | | 2,537,997 | |
| | 1,196,000 | | | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | | | 1,242,015 | |
| | 4,500,000 | | | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100 | | | 4,386,537 | |
| | 2,228,000 | | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 1,979,594 | |
| | 5,000,000 | | | Petroleos Mexicanos, 6.35%, 2/12/48 | | | 4,292,610 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 336,000 | | | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | | $ | 299,115 | |
| | 45,000 | | | Teine Energy, Ltd., 6.88%, 4/15/29, Callable 4/15/24 @ 103.44(b) | | | 45,900 | |
| | | | | | | | |
| | | | | | | 19,133,047 | |
| | | | | | | | |
| Pharmaceuticals (0.0%†): | | | |
| | 295,000 | | | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 2/7/22 @ 101.38(b) | | | 298,688 | |
| | 313,000 | | | VRX Escrow Corp., 6.13%, 4/15/25, Callable 2/7/22 @ 102.04(b) | | | 318,477 | |
| | | | | | | | |
| | | | | | | 617,165 | |
| | | | | | | | |
| Software (0.0%†): | | | |
| | 60,000 | | | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(b) | | | 61,125 | |
| | 460,000 | | | Open Text Corp., 3.88%, 12/1/29, Callable 12/1/24 @ 101.94(b) | | | 465,750 | |
| | | | | | | | |
| | | | | | | 526,875 | |
| | | | | | | | |
| Sovereign Bond (0.5%): | | | |
| | 300,000 | | | Abu Dhabi Government International Bond, 3.13%, 4/16/30(b) | | | 324,494 | |
| | 300,000 | | | Abu Dhabi Government International Bond, 3.88%, 4/16/50(b) | | | 350,511 | |
| | 37,622 | | | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 2/7/22 @ 100 | | | 13,544 | |
| | 342,505 | | | Argentine Republic Government International Bond, 0.50%, 7/9/30, Callable 2/7/22 @ 100 | | | 119,534 | |
| | 627,494 | | | Argentine Republic Government International Bond, 0.12%, 7/9/35, Callable 2/7/22 @ 100 | | | 199,229 | |
| | 300,000 | | | Corp. Andina de Fomento, 2.38%, 5/12/23 | | | 305,317 | |
| | 900,000 | | | Dominican Republic, 5.50%, 1/27/25(b) | | | 972,000 | |
| | 3,150,000 | | | Dominican Republic, 6.00%, 7/19/28(b) | | | 3,516,188 | |
| | 375,000 | | | Indonesia Government International Bond, 3.85%, 10/15/30^ | | | 421,410 | |
| | 375,000 | | | Indonesia Government International Bond, 4.20%, 10/15/50 | | | 428,431 | |
| | 200,000 | | | Qatar Government International Bond, 3.40%, 4/16/25(b) | | | 212,018 | |
| | 350,000 | | | Qatar Government International Bond, 3.75%, 4/16/30(b) | | | 392,330 | |
| | 350,000 | | | Qatar Government International Bond, 4.40%, 4/16/50(b) | | | 436,454 | |
| | 200,000 | | | Saudi Government International Bond, 2.90%, 10/22/25(b) | | | 209,497 | |
| | 200,000 | | | Saudi Government International Bond, 3.25%, 10/22/30(b) | | | 214,921 | |
| | 200,000 | | | Saudi Government International Bond, 4.50%, 4/22/60(b) | | | 247,471 | |
| | | | | | | | |
| | | | | | | 8,363,349 | |
| | | | | | | | |
| Tobacco (0.0%†): | | | |
| | 462,000 | | | Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22 @ 100(b) | | | 467,174 | |
| | | | | | | | |
| Trading Companies & Distributors (0.3%): | | | |
| | 2,200,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | | | 2,257,279 | |
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Trading Companies & Distributors, continued | | | |
| $ | 320,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | | $ | 340,335 | |
| | 1,379,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24, Callable 9/29/24 @ 100 | | | 1,375,329 | |
| | 151,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | | | 172,707 | |
| | 163,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | | | 176,985 | |
| | 503,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | | | 506,894 | |
| | 527,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/28, Callable 8/29/28 @ 100 | | | 532,492 | |
| | 564,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | | | 572,640 | |
| | | | | | | | |
| | | | | | | 5,934,661 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.1%): | | | |
| | 330,000 | | | Empresa Nacional del Pet, 4.38%, 10/30/24(b) | | | 351,038 | |
| | 450,000 | | | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(b) | | | 487,125 | |
| | 295,000 | | | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(b) | | | 297,581 | |
| | | | | | | | |
| | | | | | | 1,135,744 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $104,389,765) | | | 104,135,235 | |
| | | | | |
| Municipal Bonds (0.2%): | | | |
| California (0.0%†): | |
| | 140,000 | | | California State, Build America Bonds, GO, 7.55%, 4/1/39 | | | 234,683 | |
| | 10,000 | | | California State, Build America Bonds, GO, 7.35%, 11/1/39 | | | 15,860 | |
| | | | | | | | |
| | | | | | | 250,543 | |
| | | | | | | | |
| Illinois (0.2%): | |
| | 3,235,000 | | | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | | | 3,731,152 | |
| | 63,636 | | | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | | | 66,120 | |
| | | | | | | | |
| | | | | | | 3,797,272 | |
| | | | | | | | |
| New Jersey (0.0%†): | |
| | 339,000 | | | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29 | | | 428,086 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $3,803,096) | | | 4,475,901 | |
| | | | | |
| U.S. Government Agency Mortgages (8.7%): | | | |
| Federal Home Loan Mortgage Corporation (1.3%) | |
| | 35,033 | | | 2.50%, 6/1/31, Pool #J34501 | | | 36,527 | |
| | 26,591 | | | 2.50%, 6/1/31, Pool #G18604 | | | 27,579 | |
| | 44,883 | | | 2.50%, 7/1/31, Pool #V61246 | | | 46,755 | |
| | 78,235 | | | 2.50%, 8/1/31, Pool #V61273 | | | 81,458 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 204,117 | | | 3.50%, 3/1/32, Pool #C91403 | | $ | 217,484 | |
| | 607,803 | | | 3.50%, 7/1/32, Pool #C91467 | | | 647,773 | |
| | 159,794 | | | 2.50%, 12/1/32, Pool #G18669 | | | 165,702 | |
| | 38,128 | | | 2.50%, 3/1/33, Pool #G18680 | | | 39,528 | |
| | 23,768 | | | 3.00%, 4/1/33, Pool #K90336 | | | 24,665 | |
| | 151,911 | | | 3.00%, 4/1/33, Pool #G18684 | | | 159,114 | |
| | 48,201 | | | 3.00%, 5/1/33, Pool #G16550 | | | 50,501 | |
| | 25,769 | | | 3.00%, 6/1/33, Pool #C91709 | | | 26,743 | |
| | 26,254 | | | 3.00%, 6/1/33, Pool #K90684 | | | 27,240 | |
| | 61,425 | | | 3.00%, 6/1/33, Pool #K90632 | | | 63,753 | |
| | 40,738 | | | 3.00%, 6/1/33, Pool #K90806 | | | 42,276 | |
| | 121,287 | | | 3.00%, 7/1/33, Pool #C91714 | | | 125,882 | |
| | 120,670 | | | 2.50%, 7/1/33, Pool #G16661 | | | 125,278 | |
| | 34,818 | | | 3.00%, 4/1/34, Pool #G16829 | | | 36,491 | |
| | 174,121 | | | 3.50%, 10/1/34, Pool #C91793 | | | 186,097 | |
| | 465,538 | | | 4.00%, 5/1/37, Pool #C91938 | | | 502,981 | |
| | 204,681 | | | 4.00%, 11/1/40, Pool #A95150 | | | 224,166 | |
| | 557,341 | | | 3.50%, 1/1/44, Pool #G07922 | | | 603,014 | |
| | 279,520 | | | 3.50%, 1/1/44, Pool #G60271 | | | 302,996 | |
| | 77,118 | | | 4.00%, 2/1/45, Pool #G07949 | | | 84,823 | |
| | 64,964 | | | 3.50%, 11/1/45, Pool #Q37467 | | | 70,310 | |
| | 7,112 | | | 4.00%, 4/1/46, Pool #Q39975 | | | 7,722 | |
| | 18,194 | | | 4.00%, 4/1/46, Pool #V82292 | | | 19,669 | |
| | 127,515 | | | 3.50%, 9/1/46, Pool #Q43257 | | | 135,870 | |
| | 207,649 | | | 3.00%, 12/1/46, Pool #G60989 | | | 217,543 | |
| | 9,408 | | | 4.50%, 12/1/46, Pool #Q45028 | | | 10,464 | |
| | 7,194 | | | 4.50%, 1/1/47, Pool #Q45635 | | | 7,986 | |
| | 14,509 | | | 4.50%, 2/1/47, Pool #Q46222 | | | 15,842 | |
| | 24,470 | | | 4.50%, 5/1/47, Pool #Q47935 | | | 26,699 | |
| | 36,020 | | | 4.50%, 5/1/47, Pool #Q48095 | | | 39,324 | |
| | 11,040 | | | 4.50%, 5/1/47, Pool #Q47942 | | | 12,046 | |
| | 277,397 | | | 4.00%, 6/1/47, Pool #Q48877 | | | 301,912 | |
| | 43,621 | | | 4.50%, 6/1/47, Pool #Q48759 | | | 47,600 | |
| | 25,001 | | | 4.50%, 7/1/47, Pool #Q49393 | | | 27,279 | |
| | 98,632 | | | 4.50%, 12/1/47, Pool #Q53017 | | | 106,990 | |
| | 11,919 | | | 4.00%, 2/1/48, Pool #Q54499 | | | 12,945 | |
| | 30,192 | | | 4.00%, 2/1/48, Pool #G61343 | | | 32,458 | |
| | 56,432 | | | 4.50%, 4/1/48, Pool #Q55500 | | | 61,455 | |
| | 49,383 | | | 4.50%, 4/1/48, Pool #Q55660 | | | 53,810 | |
| | 47,669 | | | 4.50%, 4/1/48, Pool #Q55724 | | | 51,891 | |
| | 75,788 | | | 4.50%, 5/1/48, Pool #Q55839 | | | 82,559 | |
| | 127,824 | | | 4.00%, 5/1/48, Pool #Q55992 | | | 138,628 | |
| | 181,960 | | | 4.00%, 6/1/48, Pool #G67713 | | | 198,142 | |
| | 56,690 | | | 4.00%, 7/1/48, Pool #Q59935 | | | 61,515 | |
| | 31,818 | | | 4.50%, 10/1/48, Pool #G67716 | | | 35,368 | |
| | 897,648 | | | 4.50%, 7/1/49, Pool #RA1171 | | | 991,638 | |
| | 6,490 | | | 3.00%, 10/1/49, Pool #QA3907 | | | 6,811 | |
| | 10,925 | | | 3.00%, 11/1/49, Pool #QA4483 | | | 11,466 | |
| | 11,254 | | | 3.00%, 12/1/49, Pool #QA5521 | | | 11,768 | |
| | 29,482 | | | 3.00%, 12/1/49, Pool #QA5154 | | | 30,948 | |
| | 380,006 | | | 2.00%, 6/1/50, Pool #RA2677 | | | 380,713 | |
| | 502,692 | | | 2.50%, 11/1/50, Pool #SD7530 | | | 517,940 | |
| | 2,501,188 | | | 2.50%, 2/1/51, Pool #SD7535 | | | 2,575,078 | |
| | 1,804,455 | | | 2.00%, 3/1/51, Pool #SD8134 | | | 1,801,111 | |
| | 2,396,186 | | | 2.50%, 5/1/51, Pool #SD7540 | | | 2,469,332 | |
| | 1,445,505 | | | 2.00%, 5/1/51, Pool #SD7541 | | | 1,442,821 | |
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 47,882 | | | 2.00%, 5/1/51, Pool #QC1514 | | $ | 47,971 | |
| | 29,162 | | | 2.00%, 7/1/51, Pool #QC4163 | | | 29,217 | |
| | 389,253 | | | 2.50%, 7/1/51, Pool #RA5574 | | | 399,588 | |
| | 1,083,802 | | | 2.50%, 8/1/51, Pool #QC5848 | | | 1,107,399 | |
| | 744,955 | | | 2.00%, 10/1/51, Pool #RA6076 | | | 745,652 | |
| | 1,295,281 | | | 2.00%, 11/1/51, Pool #RA6241 | | | 1,296,493 | |
| | 447,467 | | | 2.00%, 11/1/51, Pool #RA6302 | | | 446,665 | |
| | 698,303 | | | 2.50%, 12/1/51, Pool #RA6434 | | | 713,543 | |
| | 300,081 | | | 2.50%, 12/1/51, Pool #RA6496 | | | 306,630 | |
| | 500,005 | | | 2.00%, 12/1/51, Pool #RA6510 | | | 500,940 | |
| | 2,300,050 | | | 2.50%, 12/1/51, Pool #RA6435 | | | 2,363,498 | |
| | | | | | | | |
| | | | | | | 23,822,075 | |
| | | | | | | | |
| Federal National Mortgage Association (5.3%) | |
| | 41,543 | | | 2.50%, 5/1/31, Pool #BC0919 | | | 43,315 | |
| | 57,466 | | | 2.50%, 8/1/31, Pool #BC2778 | | | 59,915 | |
| | 40,643 | | | 2.50%, 10/1/31, Pool #AS8010 | | | 42,462 | |
| | 302,525 | | | 2.50%, 1/1/32, Pool #BE3032 | | | 313,778 | |
| | 46,272 | | | 2.50%, 9/1/32, Pool #MA3124 | | | 47,972 | |
| | 172,761 | | | 3.00%, 9/1/32, Pool #BM5110 | | | 181,421 | |
| | 24,334 | | | 3.00%, 3/1/33, Pool #BM4614 | | | 25,735 | |
| | 25,030 | | | 3.00%, 5/1/33, Pool #AT3000 | | | 26,311 | |
| | 23,386 | | | 3.00%, 6/1/33, Pool #AT6090 | | | 24,577 | |
| | 109,853 | | | 3.00%, 7/1/33, Pool #MA1490 | | | 115,447 | |
| | 403,627 | | | 6.00%, 5/1/36, Pool #745512 | | | 475,207 | |
| | 2,200,000 | | | 2.00%, 1/25/37, TBA | | | 2,253,969 | |
| | 2,400,000 | | | 1.50%, 1/25/37, TBA | | | 2,407,875 | |
| | 15,711 | | | 3.50%, 12/1/40, Pool #AH1556 | | | 16,864 | |
| | 41,080 | | | 4.00%, 10/1/43, Pool #BM1167 | | | 45,095 | |
| | 262,290 | | | 4.50%, 3/1/44, Pool #AV0957 | | | 286,459 | |
| | 137,093 | | | 4.50%, 7/1/44, Pool #AS3062 | | | 150,741 | |
| | 218,473 | | | 4.50%, 12/1/44, Pool #AS4176 | | | 239,255 | |
| | 125,514 | | | 4.00%, 5/1/45, Pool #AZ1207 | | | 135,722 | |
| | 133,614 | | | 4.00%, 6/1/45, Pool #AY8096 | | | 144,288 | |
| | 110,169 | | | 4.00%, 6/1/45, Pool #AY8126 | | | 119,128 | |
| | 282,227 | | | 3.50%, 7/1/45, Pool #AZ0814 | | | 305,205 | |
| | 199,851 | | | 3.50%, 8/1/45, Pool #AY8424 | | | 216,116 | |
| | 124,844 | | | 4.50%, 12/1/45, Pool #BA6997 | | | 134,832 | |
| | 30,091 | | | 4.00%, 12/1/45, Pool #AS6352 | | | 32,365 | |
| | 10,204 | | | 4.50%, 1/1/46, Pool #AY3890 | | | 10,980 | |
| | 78,310 | | | 4.00%, 2/1/46, Pool #BC1578 | | | 84,659 | |
| | 4,236 | | | 4.50%, 3/1/46, Pool #BC0287 | | | 4,710 | |
| | 25,946 | | | 4.00%, 4/1/46, Pool #AS7024 | | | 28,242 | |
| | 289,150 | | | 4.00%, 4/1/46, Pool #AL8468 | | | 317,712 | |
| | 53,203 | | | 4.50%, 6/1/46, Pool #BD1238 | | | 58,629 | |
| | 203,517 | | | 4.00%, 6/1/46, Pool #AL9282 | | | 220,017 | |
| | 113,217 | | | 4.00%, 7/1/46, Pool #BC1443 | | | 123,845 | |
| | 26,738 | | | 4.00%, 9/1/46, Pool #BD1489 | | | 28,925 | |
| | 116,393 | | | 4.00%, 9/1/46, Pool #BC2843 | | | 127,283 | |
| | 17,766 | | | 4.00%, 10/1/46, Pool #BD7599 | | | 19,217 | |
| | 95,794 | | | 3.50%, 10/1/46, Pool #AL9285 | | | 102,147 | |
| | 57,245 | | | 4.50%, 10/1/46, Pool #BE1671 | | | 62,500 | |
| | 110,621 | | | 4.00%, 10/1/46, Pool #BC4754 | | | 121,041 | |
| | 52,041 | | | 4.50%, 11/1/46, Pool #BE2386 | | | 57,867 | |
| | 102,686 | | | 4.50%, 12/1/46, Pool #BE4488 | | | 114,190 | |
| | 6,224 | | | 4.50%, 12/1/46, Pool #BC9079 | | | 6,908 | |
| | 296,443 | | | 3.50%, 12/1/46, Pool #BC9077 | | | 320,767 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 30,678 | | | 4.50%, 1/1/47, Pool #BE6506 | | $ | 33,804 | |
| | 36,419 | | | 4.50%, 1/1/47, Pool #BE7087 | | | 40,101 | |
| | 48,278 | | | 4.50%, 2/1/47, Pool #BE8498 | | | 52,694 | |
| | 418,733 | | | 4.00%, 2/1/47, Pool #AL9779 | | | 460,447 | |
| | 55,624 | | | 4.00%, 5/1/47, Pool #BM1277 | | | 60,234 | |
| | 6,425 | | | 4.00%, 6/1/47, Pool #BH4269 | | | 6,954 | |
| | 8,755 | | | 4.50%, 6/1/47, Pool #BE9387 | | | 9,625 | |
| | 60,380 | | | 4.50%, 6/1/47, Pool #BE3663 | | | 66,397 | |
| | 19,445 | | | 4.50%, 6/1/47, Pool #BH0561 | | | 21,081 | |
| | 31,171 | | | 4.00%, 7/1/47, Pool #AS9968 | | | 33,742 | |
| | 53,701 | | | 4.50%, 7/1/47, Pool #BE3749 | | | 59,037 | |
| | 58,608 | | | 4.00%, 4/1/48, Pool #BM3700 | | | 63,443 | |
| | 33,754 | | | 4.50%, 4/1/48, Pool #BJ5454 | | | 36,684 | |
| | 6,174 | | | 4.50%, 5/1/48, Pool #BJ5507 | | | 6,700 | |
| | 324,744 | | | 4.50%, 10/1/48, Pool #CA2432 | | | 354,069 | |
| | 77,557 | | | 4.50%, 10/25/48, Pool #BM4548 | | | 85,728 | |
| | 368,958 | | | 4.50%, 12/1/48, Pool #CA2797 | | | 408,123 | |
| | 216,712 | | | 4.50%, 9/1/49, Pool #FM1534 | | | 238,644 | |
| | 307,658 | | | 4.00%, 11/1/49, Pool #CA4628 | | | 332,548 | |
| | 49,485 | | | 3.50%, 11/1/49, Pool #CA4557 | | | 52,794 | |
| | 10,309 | | | 3.00%, 11/1/49, Pool #BO8254 | | | 10,822 | |
| | 19,000,000 | | | 3.00%, 1/25/50, TBA | | | 19,694,687 | |
| | 208,162 | | | 3.00%, 2/1/50, Pool #CA5126 | | | 217,970 | |
| | 5,700,000 | | | 2.00%, 2/25/50, TBA | | | 5,673,281 | |
| | 94,626 | | | 2.00%, 7/1/50, Pool #FM3897 | | | 94,802 | |
| | 137,660 | | | 2.00%, 7/1/50, Pool #CA6275 | | | 137,788 | |
| | 394,609 | | | 2.50%, 8/1/50, Pool #SD0430 | | | 404,977 | |
| | 3,236,953 | | | 3.50%, 8/1/50, Pool #FM7147 | | | 3,460,967 | |
| | 175,684 | | | 2.50%, 10/1/50, Pool #CA7229 | | | 181,084 | |
| | 144,417 | | | 2.00%, 10/1/50, Pool #CA7323 | | | 145,179 | |
| | 94,394 | | | 2.00%, 11/1/50, Pool #C47616 | | | 94,220 | |
| | 15,252,158 | | | 3.50%, 1/1/51, Pool #FM7599 | | | 16,051,707 | |
| | 9,600,000 | | | 2.00%, 1/25/51, TBA | | | 9,576,000 | |
| | 3,700,000 | | | 1.50%, 1/25/51, TBA | | | 3,573,969 | |
| | 5,975,000 | | | 2.50%, 1/25/51, TBA | | | 6,100,102 | |
| | 845,865 | | | 2.50%, 2/1/51, Pool #CA8950 | | | 865,260 | |
| | 1,100,000 | | | 1.50%, 2/25/51 | | | 1,060,984 | |
| | 2,342,138 | | | 2.00%, 3/1/51, Pool #MA4281 | | | 2,337,797 | |
| | 1,185,782 | | | 2.50%, 4/1/51, Pool #FM6540 | | | 1,231,802 | |
| | 4,110,925 | | | 2.00%, 4/1/51, Pool #MA4305 | | | 4,103,300 | |
| | 22,349 | | | 2.00%, 7/1/51, Pool #BT1461 | | | 22,390 | |
| | 47,408 | | | 2.00%, 7/1/51, Pool #BQ1010 | | | 47,320 | |
| | 539,351 | | | 2.50%, 8/1/51, Pool #CB1384 | | | 553,705 | |
| | 1,000,000 | | | 1.50%, 9/1/51, Pool #BQ6570 | | | 966,743 | |
| | 398,426 | | | 2.50%, 9/1/51, Pool #CB1549 | | | 409,774 | |
| | 690,875 | | | 2.00%, 10/1/51, Pool #CB1801 | | | 692,167 | |
| | 522,170 | | | 2.00%, 10/1/51, Pool #CB1799 | | | 524,125 | |
| | 199,999 | | | 1.50%, 11/1/51, Pool #MA4464 | | | 193,350 | |
| | 877,021 | | | 2.00%, 11/1/51, Pool #FM9568 | | | 879,752 | |
| | 568,034 | | | 2.00%, 11/1/51, Pool #FM9539 | | | 569,097 | |
| | 1,391,238 | | | 2.50%, 11/1/51, Pool #FM9501 | | | 1,430,854 | |
| | 378,157 | | | 2.50%, 12/1/51, Pool #CB2376 | | | 388,223 | |
| | 398,217 | | | 2.00%, 12/1/51, Pool #CB2350 | | | 398,589 | |
| | 420,562 | | | 2.50%, 12/1/51, Pool #CB2321 | | | 431,372 | |
| | 399,299 | | | 2.50%, 12/1/51, Pool #CB2320 | | | 410,671 | |
| | 946,776 | | | 2.50%, 12/1/51, Pool #CB2289 | | | 967,437 | |
See accompanying notes to the financial statements.
27
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 1,099,833 | | | 2.00%, 12/1/51, Pool #CB2349 | | $ | 1,101,890 | |
| | 299,623 | | | 2.00%, 12/1/51, Pool #CB2348 | | | 300,183 | |
| | 299,696 | | | 2.00%, 12/1/51, Pool #CB2347 | | | 300,629 | |
| | 1,700,172 | | | 2.50%, 12/1/51, Pool #FM9865 | | | 1,748,587 | |
| | | | | | | | |
| | | | | | | 99,430,098 | |
| | | | | | | | |
| Government National Mortgage Association (2.1%) | |
| | 20,983 | | | 4.00%, 10/20/40, Pool #G24833 | | | 22,593 | |
| | 63,045 | | | 4.00%, 1/20/41, Pool #4922 | | | 67,886 | |
| | 65,770 | | | 4.00%, 8/15/41, Pool #430354 | | | 72,508 | |
| | 717,487 | | | 4.00%, 1/20/42, Pool #5280 | | | 772,660 | |
| | 97,311 | | | 4.00%, 11/20/42, Pool #MA0535 | | | 104,805 | |
| | 231,982 | | | 3.00%, 12/20/42, Pool #AA5872 | | | 241,447 | |
| | 1,613,017 | | | 3.50%, 1/20/43, Pool #MA0699 | | | 1,696,820 | |
| | 27,936 | | | 3.50%, 3/20/43, Pool #AD8884 | | | 29,912 | |
| | 144,157 | | | 3.00%, 3/20/43, Pool #AA6146 | | | 156,920 | |
| | 62,729 | | | 3.00%, 3/20/43, Pool #AD8812 | | | 67,636 | |
| | 10,751 | | | 3.50%, 4/20/43, Pool #AB9891 | | | 11,509 | |
| | 29,030 | | | 3.50%, 4/20/43, Pool #AD9075 | | | 31,082 | |
| | 65,698 | | | 4.00%, 5/20/46, Pool #MA3664 | | | 70,478 | |
| | 323,891 | | | 3.00%, 12/20/46, Pool #MA4126 | | | 338,978 | |
| | 63,266 | | | 4.00%, 1/15/47, Pool #AX5857 | | | 67,875 | |
| | 43,327 | | | 4.00%, 1/15/47, Pool #AX5831 | | | 46,737 | |
| | 460,807 | | | 3.00%, 1/20/47, Pool #MA4195 | | | 482,409 | |
| | 205,299 | | | 4.00%, 3/20/47, Pool #MA4322 | | | 218,965 | |
| | 103,883 | | | 4.00%, 4/20/47, Pool #784303 | | | 110,230 | |
| | 35,962 | | | 4.00%, 4/20/47, Pool #MA4383 | | | 38,356 | |
| | 109,454 | | | 4.00%, 4/20/47, Pool #784304 | | | 116,139 | |
| | 38,330 | | | 4.00%, 5/20/47, Pool #MA4452 | | | 40,881 | |
| | 24,299 | | | 3.50%, 2/20/48, Pool #MA5019 | | | 25,404 | |
| | 18,758 | | | 4.00%, 4/20/48, Pool #BG7744 | | | 20,265 | |
| | 22,363 | | | 4.00%, 4/20/48, Pool #BG3507 | | | 24,159 | |
| | 8,932 | | | 3.50%, 12/20/49, Pool #BR8985 | | | 9,408 | |
| | 3,819 | | | 3.50%, 12/20/49, Pool #BR8984 | | | 4,008 | |
| | 4,712 | | | 3.50%, 12/20/49, Pool #BR8987 | | | 5,075 | |
| | 400,000 | | | 3.00%, 2/20/50, TBA | | | 413,422 | |
| | 337,320 | | | 3.50%, 4/20/50, Pool #MA6600 | | | 351,643 | |
| | 2,400,678 | | | 3.50%, 11/20/50, Pool #MA6997 | | | 2,502,615 | |
| | 11,900,000 | | | 3.50%, 1/20/51, TBA | | | 12,374,141 | |
| | 750,000 | | | 2.00%, 2/20/51, TBA | | | 755,742 | |
| | 1,370,478 | | | 3.00%, 5/20/51, Pool #MA7368^ | | | 1,419,559 | |
| | 973,988 | | | 3.00%, 6/20/51, Pool #MA7419 | | | 1,010,338 | |
| | 6,475,000 | | | 2.50%, 7/20/51, TBA | | | 6,634,852 | |
| | 8,100,000 | | | 2.00%, 1/20/52, TBA | | | 8,177,203 | |
| | | | | | | | |
| | | | | | | 38,534,660 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $161,606,530) | | | 161,786,833 | |
| | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations (21.4%): | | | |
| U.S. Treasury Bonds (6.0%) | |
| $ | 32,428,000 | | | 1.75%, 8/15/41 | | $ | 31,536,230 | |
| | 1,605,300 | | | 3.00%, 2/15/47 | | | 1,950,941 | |
| | 66,722,000 | | | 2.00%, 8/15/51 | | | 68,337,923 | |
| | 9,434,000 | | | 1.88%, 11/15/51 | | | 9,404,519 | |
| | | | | | | | |
| | | | | | | 111,229,613 | |
| | | | | | | | |
| U.S. Treasury Inflation Index Bonds (0.0%†) | |
| | 596,576 | | | 0.13%, 2/15/51 | | | 706,010 | |
| | | | | | | | |
| U.S. Treasury Notes (15.4%) | |
| | 75,000,000 | | | 0.13%, 5/31/23 | | | 74,531,250 | |
| | 900,000 | | | 2.50%, 1/31/24 | | | 932,203 | |
| | 584,000 | | | 0.25%, 5/15/24 | | | 576,153 | |
| | 3,000,000 | | | 0.75%, 4/30/26 | | | 2,941,875 | |
| | 85,000,000 | | | 0.75%, 5/31/26 | | | 83,300,000 | |
| | 18,472,000 | | | 1.25%, 12/31/26 | | | 18,466,227 | |
| | 32,355,200 | | | 1.25%, 5/31/28 | | | 32,056,926 | |
| | 17,310,000 | | | 1.25%, 9/30/28 | | | 17,120,672 | |
| | 59,291,000 | | | 1.38%, 11/15/31^ | | | 58,623,976 | |
| | | | | | | | |
| | | | | | | 288,549,282 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $401,988,008) | | | 400,484,905 | |
| | | | | |
| Short-Term Security Held as Collateral for Securities on Loan (3.8%): | |
| | 70,498,007 | | | BlackRock Liquidity FedFund, Institutional Class, 0.03%(f)(g) | | | 70,498,007 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $70,498,007) | | | 70,498,007 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (3.7%): | | | |
| Money Markets (3.7%): | | | |
| | 69,371,678 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(g) | | | 69,371,678 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $69,371,678) | | | 69,371,678 | |
| | | | | |
| | Total Investment Securities (Cost $1,903,311,771) — 107.5%(h) | | | 2,007,823,872 | |
| | Net other assets (liabilities) — (7.5)% | | | (140,113,826 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,867,710,046 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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
REIT—Real Estate Investment Trust
SOFR—Secured Overnight Financing Rate
See accompanying notes to the financial statements.
28
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
December 31, 2021
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, 2021. The total value of securities on loan as of December 31, 2021 was $69,033,339. |
| † | 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, 2021. The total of all such securities represent 0.02% of the net assets of the fund. |
| (b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (c) | 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, 2021. |
| (d) | 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, 2021, these securities represent 0.01% of the net assets of the fund. |
| (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, 2021. |
| (g) | The rate represents the effective yield at December 31, 2021. |
| (h) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $0 or round to less than $1.
Securities Sold Short (0.0%):
At December 31, 2021, 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 Mortgage Government National Mortgage Association | | | | | | | | | | | | | | | | | | | | |
Government National Mortgage Association, TBA | | | 3.00% | | | | 1/20/51 | | | $ | (400,000 | ) | | $ | (413,906 | ) | | $ | (414,125 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $ | (413,906 | ) | | $ | (414,125 | ) |
| | | | | | | | | | | | | | | | | |
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 26 | | | $ | 6,186,050 | | | $ | (18,240 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (18,240 | ) |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
29
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 1,903,311,771 | |
| | | | | |
Investment securities, at value(a) | | | $ | 2,007,823,872 | |
Interest and dividends receivable | | | | 6,884,902 | |
Foreign currency, at value (cost $1) | | | | 1 | |
Receivable for investments sold | | | | 7,870,211 | |
Receivable for TBA investments sold | | | | 14,831,522 | |
Receivable for variation margin on futures contracts | | | | 404,146 | |
Reclaims receivable | | | | 40,053 | |
Prepaid expenses | | | | 9,980 | |
| | | | | |
Total Assets | | | | 2,037,864,687 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 1,239,271 | |
Payable for investments purchased | | | | 11,060,255 | |
Payable for TBA investments purchased | | | | 84,998,634 | |
Payable for capital shares redeemed | | | | 359,718 | |
Payable for collateral received on loaned securities | | | | 70,498,007 | |
Securities sold short (Proceeds received $413,906) | | | | 414,125 | |
Due to Broker for futures contracts collateral | | | | 92,000 | |
Manager fees payable | | | | 707,695 | |
Administration fees payable | | | | 371,300 | |
Distribution fees payable | | | | 371,735 | |
Custodian fees payable | | | | 16,549 | |
Administrative and compliance services fees payable | | | | 316 | |
Transfer agent fees payable | | | | 3,412 | |
Trustee fees payable | | | | 1,776 | |
Other accrued liabilities | | | | 19,848 | |
| | | | | |
Total Liabilities | | | | 170,154,641 | |
| | | | | |
Net Assets | | | $ | 1,867,710,046 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 1,645,685,585 | |
Total distributable earnings | | | | 222,024,461 | |
| | | | | |
Net Assets | | | $ | 1,867,710,046 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 113,444,916 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 11,023,095 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.29 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 1,754,265,130 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 110,936,264 | |
Net Asset Value (offering and redemption price per share) | | | $ | 15.81 | |
| | | | | |
| (a) | Includes securities on loan of $69,033,339. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 17,174,857 | |
Dividends | | | | 7,471,886 | |
Income from securities lending | | | | 46,892 | |
Foreign withholding tax | | | | (110,821 | ) |
| | | | | |
Total Investment Income | | | | 24,582,814 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 6,117,912 | |
Administration fees | | | | 697,068 | |
Distribution fees | | | | 3,040,119 | |
Custodian fees | | | | 56,012 | |
Administrative and compliance services fees | | | | 11,249 | |
Transfer agent fees | | | | 23,507 | |
Trustee fees | | | | 48,576 | |
Professional fees | | | | 22,665 | |
Shareholder reports | | | | 23,395 | |
Other expenses | | | | 16,365 | |
| | | | | |
Total expenses before reductions | | | | 10,056,868 | |
Less Management fees contractually waived | | | | (580,008 | ) |
Less expenses contractually waived/reimbursed by the Manager | | | | (564,106 | ) |
| | | | | |
Net expenses | | | | 8,912,754 | |
| | | | | |
Net Investment Income/(Loss) | | | | 15,670,060 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 102,261,935 | |
Net realized gains/(losses) on futures contracts | | | | 2,018,086 | |
Net realized gains/(losses) on securities held short | | | | (32,459 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 19,386,624 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (72,472 | ) |
Change in net unrealized appreciation/depreciation on securities held short | | | | 4,843 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 123,566,557 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 139,236,617 | |
| | | | | |
See accompanying notes to the financial statements.
30
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 15,670,060 | | | | $ | 10,198,483 | |
Net realized gains/(losses) on investments | | | | 104,247,562 | | | | | 26,785,761 | |
Change in unrealized appreciation/depreciation on investments | | | | 19,318,995 | | | | | 27,808,739 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 139,236,617 | | | | | 64,792,983 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (3,330,348 | ) | | | | — | |
Class 2 | | | | (34,061,423 | ) | | | | (28,810,320 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (37,391,771 | ) | | | | (28,810,320 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1^ | | | | | | | | | | |
Proceeds from shares issued | | | | 116,811,345 | | | | | — | |
Proceeds from dividends reinvested | | | | 3,330,348 | | | | | — | |
Value of shares redeemed | | | | (9,762,492 | ) | | | | — | |
| | | | | | | | | | |
Total Class 1 Shares | | | | 110,379,201 | | | | | — | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 1,259,772,914 | | | | | 14,403,625 | |
Proceeds from dividends reinvested | | | | 34,061,423 | | | | | 28,810,320 | |
Value of shares redeemed | | | | (196,875,194 | ) | | | | (79,696,573 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 1,096,959,143 | | | | | (36,482,628 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 1,207,338,344 | | | | | (36,482,628 | ) |
| | | | | | | | | | |
Change in net assets | | | | 1,309,183,190 | | | | | (499,965 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 558,526,856 | | | | | 559,026,821 | |
| | | | | | | | | | |
End of period | | | $ | 1,867,710,046 | | | | $ | 558,526,856 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1^ | | | | | | | | | | |
Shares issued | | | | 11,643,238 | | | | | — | |
Dividends reinvested | | | | 336,739 | | | | | — | |
Shares redeemed | | | | (956,882 | ) | | | | — | |
| | | | | | | | | | |
Total Class 1 Shares | | | | 11,023,095 | | | | | — | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 82,739,673 | | | | | 1,040,827 | |
Dividends reinvested | | | | 2,240,883 | | | | | 2,099,877 | |
Shares redeemed | | | | (12,725,870 | ) | | | | (6,007,621 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 72,254,686 | | | | | (2,866,917 | ) |
| | | | | | | | | | |
Change in shares | | | | 83,277,781 | | | | | (2,866,917 | ) |
| | | | | | | | | | |
Amounts shown as “—” are either $0 or rounds to less than $1. | | | | | | | | | | |
| ^ | Class 1 activity is for the period June 21, 2021 (commencement of operations) to December 31, 2021. |
See accompanying notes to the financial statements.
31
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, |
| | | 2021^ | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.00 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.07 | (a) | | | | | | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.52 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.59 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.08 | ) | | | | | | | | | | | | | | | | | | | | |
Net Realized Gains | | | | (0.22 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.30 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.29 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 6.03 | %(c) | | | | | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 113,445 | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss)(d) | | | | 1.35 | % | | | | | | | | | | | | | | | | | | | | |
Expenses Before Reductions(d)(e) | | | | 0.51 | % | | | | | | | | | | | | | | | | | | | | |
Expenses Net of Reductions(d) | | | | 0.46 | % | | | | | | | | | | | | | | | | | | | | |
Portfolio Turnover Rate(f) | | | | 115 | % | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 14.44 | | | | $ | 13.45 | | | | $ | 12.26 | | | | $ | 13.35 | | | | $ | 12.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.19 | (a) | | | | 0.26 | (a) | | | | 0.31 | (a) | | | | 0.34 | | | | | 0.28 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.48 | | | | | 1.51 | | | | | 1.76 | | | | | (0.58 | ) | | | | 1.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.67 | | | | | 1.77 | | | | | 2.07 | | | | | (0.24 | ) | | | | 1.37 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.08 | ) | | | | (0.35 | ) | | | | (0.33 | ) | | | | (0.32 | ) | | | | — | |
Net Realized Gains | | | | (0.22 | ) | | | | (0.43 | ) | | | | (0.55 | ) | | | | (0.53 | ) | | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.30 | ) | | | | (0.78 | ) | | | | (0.88 | ) | | | | (0.85 | ) | | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 15.81 | | | | $ | 14.44 | | | | $ | 13.45 | | | | $ | 12.26 | | | | $ | 13.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 11.65 | % | | | | 13.47 | % | | | | 17.27 | % | | | | (2.02 | )% | | | | 11.12 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,754,265 | | | | $ | 558,527 | | | | $ | 559,027 | | | | $ | 539,355 | | | | $ | 627,375 | |
Net Investment Income/(Loss) | | | | 1.22 | % | | | | 1.92 | % | | | | 2.35 | % | | | | 2.24 | % | | | | 2.06 | % |
Expenses Before Reductions(e) | | | | 0.80 | % | | | | 1.03 | % | | | | 1.02 | % | | | | 1.01 | % | | | | 1.00 | % |
Expenses Net of Reductions | | | | 0.71 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.71 | % |
Portfolio Turnover Rate(f) | | | | 115 | % | | | | 77 | % | | | | 77 | % | | | | 66 | % | | | | 82 | % |
| ^ | Class 1 activity for the period June 21, 2021 (commencement of operations) to December 31, 2021. |
| (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. |
See accompanying notes to the financial statements.
32
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
33
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $4,653 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $70,498,007 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, 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
34
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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, 2021, 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 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $8.7 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | — | | | Payable for variation margin on futures contracts* | | $ | 18,240 | |
| * | 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, 2021:
| | | | | | | | | | |
| 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 | | $ | 2,018,086 | | | | $(72,472) | |
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”), FIAM LLC (“FIAM”), which in turn has retained Geode Capital Management, LLC (“Geode” or the “Sub-subadviser”), to make investment decisions on behalf of the Fund. Pursuant to subadvisory agreements with the Manager and FIAM, FIAM and Geode, respectively, provide investment advisory services as the Subadviser and Sub-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 “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Sub-subadviser is entitled to a fee payable by the Subadviser. 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),
35
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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, 2023.
For the year ended December 31, 2021, 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, Class 1 | | | | 0.43 | % | | | | 0.46 | % |
| | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 | | | | 0.43 | % | | | | 0.71 | % |
| * | The annual rate due to the Manager is 0.43% of the first $20 billion of the Fund’s net assets and 0.40% of the Fund’s net assets over $20 billion. Prior to June 1, 2021, the annual rate due to the Manager was 0.70% on all net assets, and the Manager waived, prior to any application of expense limit, the management fee to 0.45% on all assets in order to maintain more competitive expense ratios. |
Any amounts contractually waived or reimbursed by the Manager with respect to annual expense limits 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, 2021, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Expires 12/31/2022 | | Expires 12/31/2023 | | Expires 12/31/2024 | | Total |
| | | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 328,039 | | | | $ | 353,628 | | | | $ | 564,106 | | | | $ | 1,245,773 | |
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
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.
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.
36
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 784,840,649 | | | | $ | — | | | | $ | 144,324 | | | | $ | 784,984,973 | |
Preferred Stock+ | | | | 115,680 | | | | | — | | | | | — | | | | | 115,680 | |
Warrants+ | | | | 58,005 | | | | | — | | | | | — | | | | | 58,005 | |
Asset Backed Securities | | | | — | | | | | 9,602,909 | | | | | — | | | | | 9,602,909 | |
Collateralized Mortgage Obligations | | | | — | | | | | 85,111,493 | | | | | — | | | | | 85,111,493 | |
Convertible Bonds+ | | | | — | | | | | 538,477 | | | | | 165,930 | | | | | 704,407 | |
Bank Loans+ | | | | — | | | | | 894,165 | | | | | — | | | | | 894,165 | |
Corporate Bonds+ | | | | — | | | | | 315,599,681 | | | | | — | # | | | | 315,599,681 | |
Yankee Debt Obligations+ | | | | — | | | | | 104,135,235 | | | | | — | | | | | 104,135,235 | |
Municipal Bonds | | | | — | | | | | 4,475,901 | | | | | — | | | | | 4,475,901 | |
U.S. Government Agency Mortgages | | | | — | | | | | 161,786,833 | | | | | — | | | | | 161,786,833 | |
U.S. Treasury Obligations | | | | — | | | | | 400,484,905 | | | | | — | | | | | 400,484,905 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 70,498,007 | | | | | — | | | | | — | | | | | 70,498,007 | |
Unaffiliated Investment Company | | | | 69,371,678 | | | | | — | | | | | — | | | | | 69,371,678 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 924,884,019 | | | | | 1,082,629,599 | | | | | 310,254 | | | | | 2,007,823,872 | |
| | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | — | | | | | (414,125 | ) | | | | — | | | | | (414,125 | ) |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | (18,240 | ) | | | | — | | | | | — | | | | | (18,240 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 924,865,779 | | | | $ | 1,082,215,474 | | | | $ | 310,254 | | | | $ | 2,007,391,507 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
| * | 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, 2021, 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 | | | $ | 2,497,091,818 | | | | $ | 1,375,377,872 | |
For the year ended December 31, 2021, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 914,306,302 | | | | $ | 554,647,642 | |
37
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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, 2021 are identified below.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition
Date(a) | | Acquisition Cost | | Shares or Principal Amount | | Value | | Percentage of Net Assets |
| | | | | | | | | | | |
Mesquite Energy, Inc., 15.00%, 7/15/23 | | | | 7/10/20 | | | | $ | 26,314 | | | | | 30,543 | | | | $ | 105,985 | | | | | 0.00 | % |
Mesquite Energy, Inc., 15.00%, 7/15/23 | | | | 11/5/20 | | | | | 46,000 | | | | | 52,844 | | | | | 165,930 | | | | | 0.01 | % |
Sanchez Energy Corp., 7.25%, 2/15/23, Callable 1/18/22 @ 101.81 | | | | 10/30/18 | | | | | 256,808 | | | | | 278,000 | | | | | — | | | | | 0.00 | % |
| (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.
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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
38
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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.
8. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
9. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
10. 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, 2021 is $1,905,510,267. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 117,633,634 | |
Unrealized (depreciation) | | | (15,734,154 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 101,899,480 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | | | $ | 14,482,331 | | | | $ | 22,909,440 | | | | $ | 37,391,771 | |
| (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 Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
December 31, 2021
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. |
At December 31, 2021, 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 | | | $ | 42,139,842 | | | | $ | 77,978,859 | | | | $ | — | | | | $ | 101,905,760 | | | | $ | 222,024,461 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, return of capital from underlying investments and other miscellaneous differences. |
11. 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, 2021, 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 the shareholder could have a material impact to the Fund.
12. 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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four periods ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four periods ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian, agent banks 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 25.24% 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, 2021, the Fund declared net short-term capital gain distributions of $4,282,778.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $22,909,440.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
44
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
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Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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.
46
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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | | 46 | | | 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 | |
| 46
|
| | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | |
| 46
|
| | Diamond Hill Funds (10 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 2019 | | | 46 | | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | | 46 | | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | | 46 | | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | | 46 | | | None |
| | | | |
| Interested Trustee(4) | | | | | | | | | | |
| 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 | | | 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, 2011 to present | | | 46 | | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
47
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-
Money Laundering Compliance
Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
48
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® Fidelity Institutional Asset Management
Total Bond Fund
Annual Report
December 31, 2021
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® 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.
What factors affected the Fund’s performance during the year ended December 31, 2021?*
For the year ended December 31, 2021, the AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 2 shares) (the “Fund”) returned 0.31%. That compared to a (1.54)% total return for its benchmark, the Bloomberg U.S. Aggregate Bond Index.1
The U.S. bond market experienced negative returns in 2021. The vaccine rollout, as well as a substantial fiscal stimulus, boosted yields at the beginning of the year. As the economy followed an uneven path to recovery over the ensuing months, the U.S. Federal Reserve (the “Fed”) maintained relatively low interest rates, helping to flatten the yield curve. Stocks and other riskier assets tended to perform better than bonds in this environment. Rising inflation toward the end of the year led to a more hawkish tone from the Fed, pushing yields higher and keeping bond prices low for the year.
The Fund outperformed its benchmark for the period. The Fund’s relative return was helped considerably by its position in high-yield corporate bonds, which appreciated significantly amid economic optimism. An underweight position in mortgage-backed securities also boosted relative returns, as this sector saw wider spreads after reaching historically high levels early in the year.
Additionally, the Fund’s holdings of Treasury Inflation Protected Securities (TIPS) contributed to relative performance, as the market priced in much higher levels of inflation.
The Fund’s return relative to the benchmark was modestly hurt by an underweight position in the bonds of industrial companies within investment grade corporates.
The Fund did not hold derivatives 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 as described 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, 2021. |
| 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, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | Since
Inception |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 1 Shares) | | | | 10/17/2016 | | | | | 0.59 | % | | | | 6.67 | % | | | | 4.67 | % | | | | 4.04 | % |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 2 Shares) | | | | 9/5/2012 | | | | | 0.31 | % | | | | 6.39 | % | | | | 4.39 | % | | | | 3.22 | % |
Bloomberg U.S. Aggregate Bond Index | | | | 9/5/2012 | | | | | (1.54 | )% | | | | 4.79 | % | | | | 3.57 | % | | | | 2.70 | % |
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) | | | | 0.58 | % |
AZL® Fidelity Institutional Asset Management® Total Bond Fund (Class 2 Shares) | | | | 0.83 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,005.00 | | | | $ | 2.98 | | | | | 0.59 | % |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,003.10 | | | | $ | 4.24 | | | | | 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.23 | | | | $ | 3.01 | | | | | 0.59 | % |
| | | | |
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,020.97 | | | | $ | 4.28 | | | | | 0.84 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 31.8 | % |
| |
Corporate Bonds | | | | 31.0 | |
| |
U.S. Government Agency Mortgages | | | | 14.8 | |
| |
Yankee Debt Obligations | | | | 10.7 | |
| |
Collateralized Mortgage Obligations | | | | 7.8 | |
| |
Unaffiliated Investment Company | | | | 5.4 | |
| |
Asset Backed Securities | | | | 2.2 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1.0 | |
| |
Municipal Bonds | | | | 0.7 | |
| |
Convertible Bonds | | | | 0.2 | |
| |
Bank Loans | | | | 0.2 | |
| |
Common Stocks | | | | 0.1 | |
| |
Preferred Stock | | | | — | † |
| | |
Warrant | | | | — | † |
| | | | | |
| |
Total Investment Securities | | | | 105.9 | |
| |
Net other assets (liabilities) | | | | (5.9 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (0.1%): | | | |
| Diversified Telecommunication Services (0.0%†): | | | |
| | 1,287 | | | Frontier Communications Parent, Inc.* | | $ | 37,954 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.1%): | | | |
| | 22 | | | Amplify Energy Corp.* | | | 68 | |
| | 2,649 | | | Denbury, Inc.* | | | 202,887 | |
| | 5,889 | | | Sanchez Energy Corp.*(a) | | | 211,873 | |
| | | | | | | | |
| | | | | | | 414,828 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.0%†): | | | |
| | 698 | | | Micron Technology, Inc. | | | 65,018 | |
| | | | | | | | |
| | Total Common Stocks (Cost $188,959) | | | 517,800 | |
| | | | | |
| Preferred Stock (0.0%†): | | | |
| Electric Utilities (0.0%†): | | | |
| | 600 | | | PG&E Corp., 5.50%, 8/16/23 | | | 69,408 | |
| | | | | | | | |
| | Total Preferred Stock (Cost $70,437) | | | 69,408 | |
| | | | | |
| Contracts | | | | | Value | |
| Warrant (0.0%†): | | | |
| Oil, Gas & Consumable Fuels (0.0%†): | | | |
| | 95 | | | California Resources Corp., 10/27/24 | | | 1,178 | |
| | | | | | | | |
| | Total Warrant (Cost $–) | | | 1,178 | |
| | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities (2.2%): | | | |
| $ | 1,299,413 | | | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(b) | | | 1,171,719 | |
| | 244,877 | | | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(b) | | | 174,268 | |
| | 243,461 | | | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(b) | | | 212,257 | |
| | 403,580 | | | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(b) | | | 384,290 | |
| | 598,000 | | | Aaset Trust, Class A, Series 2021-2A, 2.80%, 1/15/47(b) | | | 593,579 | |
| | 198,709 | | | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(b) | | | 186,487 | |
| | 340,940 | | | Aaset Trust, Class A, Series 2021-1A, 2.95%, 11/16/41(b) | | | 334,182 | |
| | 252,403 | | | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(b) | | | 226,155 | |
| | 96,354 | | | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(b)(c) | | | 96,479 | |
| | 562,257 | | | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(b)(c) | | | 561,352 | |
| | 486,005 | | | Blackbird Capital Aircraft, Class A, Series 2021-1A, 2.44%, 7/15/46, Callable 7/15/28 @ 100(b) | | | 479,667 | |
| | 366,161 | | | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(b) | | | 358,669 | |
| | 209,476 | | | Castlelake Aircraft Structured Trust, Class A, Series 2021-1A, 3.47%, 1/15/46(b) | | | 211,678 | |
| | 186,315 | | | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(b) | | | 175,374 | |
| | 375,594 | | | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(b) | | | 370,260 | |
| | 526,620 | | | CF Hippolyta LLC, Class A1, Series 2021-A, 1.53%, 3/15/61, Callable 3/15/24 @ 100(b) | | | 518,100 | |
| | 551,513 | | | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(b) | | | 573,233 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities, continued | | | |
| $ | 219,019 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(b) | | $ | 214,601 | |
| | 205,447 | | | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(b) | | | 199,305 | |
| | 330,260 | | | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(b) | | | 339,442 | |
| | 376,367 | | | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(b) | | | 364,891 | |
| | 233,783 | | | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(b) | | | 201,968 | |
| | 353,438 | | | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(b) | | | 343,206 | |
| | 361,973 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(b)(c) | | | 358,750 | |
| | 534,859 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(b) | | | 529,532 | |
| | 525,220 | | | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(b)(c) | | | 515,521 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $10,057,522) | | | 9,694,965 | |
| | | | | |
| Collateralized Mortgage Obligations (7.8%): | | | |
| | 250,000 | | | Aimco CLO 11, Ltd., Class AR, Series 2020-11A, 1.25%(US0003M+113bps), 10/17/34, Callable 1/17/24 @ 100(b) | | | 249,414 | |
| | 440,000 | | | Aimco CLO 12, Ltd., Class A, Series 2020-12A, 1.33%(US0003M+121bps), 1/17/32, Callable 1/17/22 @ 100(b) | | | 439,692 | |
| | 460,000 | | | Aimco CLO 14, Ltd., Class A, Series 2021-14A, 1.12%(US0003M+99bps), 4/20/34, Callable 4/20/23 @ 100(b) | | | 459,673 | |
| | 250,000 | | | Allegany Park CLO, Ltd., Class A, Series 2019-1A, 1.46%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(b) | | | 250,040 | |
| | 273,000 | | | Allegro CLO XIII, Ltd., Class A, Series 2021-1A, 1.27%(US0003M+114bps), 7/20/34, Callable 7/20/23 @ 100(b) | | | 272,538 | |
| | 393,000 | | | Ares CLO, Ltd., Class A, Series 2019-54A, 1.44%(US0003M+132bps), 10/15/32, Callable 1/15/22 @ 100(b) | | | 393,060 | |
| | 250,000 | | | Ares CLO, Ltd., Class AR2, Series 2015-2A, 1.37%(US0003M+125bps), 4/17/33, Callable 1/17/22 @ 100(b) | | | 250,059 | |
| | 342,000 | | | Ares LV CLO, Ltd., Class A1R, Series 2020-55A, 1.25%(US0003M+113bps), 7/15/34, Callable 7/15/23 @ 100(b) | | | 341,808 | |
| | 452,000 | | | Ares LVIII CLO, Ltd., Class A, Series 2020-58A, 1.34%(US0003M+122bps), 1/15/33, Callable 1/15/22 @ 100(b) | | | 452,056 | |
| | 387,000 | | | Ares XLI CLO, Ltd., Class AR2, Series 2016-41A, 1.19%(US0003M+107bps), 4/15/34, Callable 4/15/23 @ 100(b) | | | 385,527 | |
| | 273,000 | | | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(b) | | | 278,261 | |
| | 100,000 | | | BAMLL Commercial Mortgage Securities Trust, Class BNM, Series 2019-BPR, 3.47%, 11/5/32(b) | | | 98,205 | |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 43,000 | | | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52, Callable 9/15/29 @ 100 | | $ | 45,267 | |
| | 440,000 | | | Barings CLO, Ltd., Class A, Series 2020-4A, 1.35%(US0003M+122bps), 1/20/32, Callable 1/20/22 @ 100(b) | | | 440,006 | |
| | 250,000 | | | Barings CLO, Ltd., Class AR, Series 2020-1A, 1.27%(US0003M+115bps), 10/15/36, Callable 10/15/23 @ 100(b) | | | 250,044 | |
| | 383,000 | | | Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 1.45%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(b) | | | 383,070 | |
| | 49,000 | | | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(c) | | | 54,933 | |
| | 331,000 | | | Bethpage Park CLO, Ltd., Class A, Series 2021-1A, 1.27%(US0003M+113bps), 1/15/35, Callable 10/15/23 @ 100(b) | | | 330,803 | |
| | 201,000 | | | BFLD Trust, Class A, Series 2020-OBRK, 2.16%(US0001M+205bps), 11/15/22(b) | | | 202,081 | |
| | 461,000 | | | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 1.11%(US0003M+99bps), 4/15/29, Callable 1/15/22 @ 100(b) | | | 460,153 | |
| | 177,029 | | | BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.71%(US0001M+160bps), 12/15/29(b) | | | 176,257 | |
| | 339,150 | | | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.56%(US0001M+145bps), 10/15/36(b) | | | 338,495 | |
| | 519,396 | | | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.91%(US0001M+80bps), 12/15/29(b) | | | 519,089 | |
| | 248,627 | | | BX Commercial Mortgage Trust, Class A, Series 2020-FOX, 1.11%(US0001M+100bps), 11/15/32(b) | | | 248,533 | |
| | 146,300 | | | BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.91%(US0001M+180bps), 11/15/35(b) | | | 146,170 | |
| | 238,850 | | | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.36%(US0001M+125bps), 10/15/36(b) | | | 238,454 | |
| | 140,061 | | | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.73%(US0001M+263bps), 9/15/37(b) | | | 119,415 | |
| | 266,000 | | | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.41%(US0001M+130bps), 4/15/34(b) | | | 264,345 | |
| | 476,000 | | | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.91%(US0001M+180bps), 10/15/36(b) | | | 475,086 | |
| | 150,307 | | | BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.23%(US0001M+112bps), 12/15/29(b) | | | 149,956 | |
| | 189,554 | | | BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.11%(US0001M+100bps), 12/15/29(b) | | | 189,331 | |
| | 190,400 | | | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.19%(US0001M+108bps), 10/15/36(b) | | | 190,189 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 232,141 | | | BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.36%(US0001M+125bps), 12/15/29(b) | | $ | 231,259 | |
| | 400,000 | | | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.11%(US0001M+100bps), 4/15/34(b) | | | 399,247 | |
| | 185,000 | | | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.01%(US0001M+190bps), 4/15/34(b) | | | 182,678 | |
| | 176,000 | | | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.71%(US0001M+160bps), 4/15/34(b) | | | 174,234 | |
| | 100,000 | | | BX Mortgage Trust, Class D, Series 2021-PAC, 1.41%(US0001M+130bps), 10/15/36(b) | | | 99,817 | |
| | 302,000 | | | BX Mortgage Trust, Class E, Series 2021-PAC, 2.06%(US0001M+195bps), 10/15/36(b) | | | 301,048 | |
| | 100,000 | | | BX Mortgage Trust, Class B, Series 2021-PAC, 1.01%(US0001M+90bps), 10/15/36(b) | | | 99,769 | |
| | 447,000 | | | BX Mortgage Trust, Class A, Series 2021-PAC, 0.80%(US0001M+69bps), 10/15/36(b) | | | 446,169 | |
| | 100,000 | | | BX Mortgage Trust, Class C, Series 2021-PAC, 1.21%(US0001M+110bps), 10/15/36(b) | | | 99,816 | |
| | 268,411 | | | Cascade Funding Mortgage Trust, Class A, Series 2021-HB6, 0.90%, 6/25/36, Callable 6/25/22 @ 100(b)(c) | | | 268,031 | |
| | 336,000 | | | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016-6A, 1.18%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(b) | | | 333,770 | |
| | 264,000 | | | Cedar Funding X CLO, Ltd., Class AR, Series 2019-10A, 1.23%(US0003M+110bps), 10/20/32, Callable 10/20/22 @ 100(b) | | | 263,892 | |
| | 250,000 | | | Cedar Funding XII CLO, Ltd., Class A1R, Series 2020-12A, 1.26%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(b) | | | 249,419 | |
| | 122,109 | | | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.61%(US0001M+150bps), 6/15/34(b) | | | 121,339 | |
| | 137,993 | | | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.86%(US0001M+175bps), 6/15/34(b) | | | 136,787 | |
| | 622,457 | | | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.23%(US0001M+112bps), 6/15/34(b) | | | 621,706 | |
| | 291,000 | | | CIM Retail Portfolio Trust, Class A, Series 2021-RETL, 1.51%(US0001M+140bps), 8/15/36(b) | | | 290,284 | |
| | 100,000 | | | CIM Retail Portfolio Trust, Class B, Series 2021-RETL, 2.01%(US0001M+190bps), 8/15/36(b) | | | 99,398 | |
| | 100,000 | | | CIM Retail Portfolio Trust, Class D, Series 2021-RETL, 3.16%(US0001M+305bps), 8/15/36(b) | | | 99,020 | |
| | 100,000 | | | CIM Retail Portfolio Trust, Class C, Series 2021-RETL, 2.41%(US0001M+230bps), 8/15/36(b) | | | 99,270 | |
| | 328,000 | | | Columbia Cent CLO 29, Ltd., Class AR, Series 2020-29A, 1.32%(US0003M+117bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 327,999 | |
| | 580,000 | | | Columbia Cent CLO 30, Ltd., Class A1, Series 2020-30A, 1.44%(US0003M+131bps), 1/20/34, Callable 4/20/23 @ 100(b) | | | 581,056 | |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 440,000 | | | Columbia Cent CLO 31, Ltd., Class A1, Series 2021-31A, 1.33%(US0003M+120bps), 4/20/34, Callable 7/20/23 @ 100(b) | | $ | 440,203 | |
| | 83,000 | | | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47, Callable 6/15/24 @ 100 | | | 87,458 | |
| | 205,000 | | | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.34%(US0001M+123bps), 5/15/36(b) | | | 204,615 | |
| | 119,000 | | | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(b) | | | 120,034 | |
| | 1,384,000 | | | CSMC Trust, Class D, Series 2017-PFHP, 2.36%(US0001M+225bps), 12/15/30(b) | | | 1,377,855 | |
| | 128,000 | | | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(b) | | | 125,720 | |
| | 100,000 | | | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(b) | | | 100,646 | |
| | 100,000 | | | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(b) | | | 101,472 | |
| | 309,000 | | | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(b) | | | 316,605 | |
| | 250,000 | | | Dryden 76 CLO, Ltd., Class A1R, Series 2019-76A, 1.31%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 249,899 | |
| | 382,000 | | | Dryden 83 CLO, Ltd., Class A, Series 2020-83A, 1.34%(US0003M+122bps), 1/18/32, Callable 1/18/22 @ 100(b) | | | 382,030 | |
| | 296,000 | | | Dryden 85 CLO, Ltd., Class AR, Series 2020-85A, 1.27%(US0003M+115bps), 10/15/35, Callable 10/15/23 @ 100(b) | | | 296,052 | |
| | 250,000 | | | Dryden 90 Clo, Ltd., Class A1A, Series 2021-90A, 1.29%(US0003M+113bps), 2/20/35(b) | | | 249,847 | |
| | 300,000 | | | Dryden CLO, Ltd., Class A, Series 2020-78A, 1.30%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(b) | | | 300,116 | |
| | 250,000 | | | Eaton Vance CLO, Ltd., Class A13R, Series 2013-1A, 1.37%(US0003M+125bps), 1/15/34, Callable 1/15/23 @ 100(b) | | | 250,495 | |
| | 378,000 | | | Eaton Vance CLO, Ltd., Class AR, Series 2020-2A, 1.26%(US0003M+115bps), 1/15/35, Callable 1/15/24 @ 100(b) | | | 377,681 | |
| | 612,000 | | | ELP Commercial Mortgage Trust, Class A, Series 2021-ELP, 0.81%(US0001M+70bps), 11/15/38(b) | | | 608,487 | |
| | 134,301 | | | Extended Stay America Trust, Class D, Series 2021-ESH, 2.36%(US0001M+225bps), 7/15/38(b) | | | 134,301 | |
| | 121,369 | | | Extended Stay America Trust, Class B, Series 2021-ESH, 1.49%(US0001M+138bps), 7/15/38(b) | | | 121,369 | |
| | 99,482 | | | Extended Stay America Trust, Class C, Series 2021-ESH, 1.81%(US0001M+170bps), 7/15/38(b) | | | 99,482 | |
| | 213,887 | | | Extended Stay America Trust, Class A, Series 2021-ESH, 1.19%(US0001M+108bps), 7/15/38(b) | | | 213,887 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 250,000 | | | Flatiron CLO 19, Ltd., CLASS: AR, SERIES:19-1A CLASS: AR, 1.24%(US0003M+108bps), 11/16/34, Callable 11/16/22 @ 100(b) | | $ | 249,999 | |
| | 430,000 | | | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 1.46%(US0003M+130bps), 11/20/33, Callable 11/20/22 @ 100(b) | | | 430,344 | |
| | 250,000 | | | Flatiron CLO 21, Ltd., Class A1, Series 2021-1A, 1.26%(US0003M+111bps), 7/19/34, Callable 7/19/23 @ 100(b) | | | 249,155 | |
| | 264,000 | | | GS Mortgage Securities Corp. Trust, Class A, Series 2021-IP, 1.06%(US0001M+95bps), 10/15/36(b) | | | 263,833 | |
| | 100,000 | | | GS Mortgage Securities Corp. Trust, Class B, Series 2021-IP, 1.26%(US0001M+115bps), 10/15/36(b) | | | 99,891 | |
| | 250,000 | | | Invesco CLO, Ltd., Class A, Series 2021-3A, 1.25%(US0003M+113bps), 10/22/34, Callable 10/22/23 @ 100(b) | | | 249,411 | |
| | 63,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(b) | | | 64,982 | |
| | 97,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(b) | | | 99,761 | |
| | 133,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(b) | | | 135,397 | |
| | 100,000 | | | Life Mortgage Trust, Class E, Series 2021-BMR, 1.86%(US0001M+175bps), 3/15/38(b) | | | 98,863 | |
| | 100,000 | | | Life Mortgage Trust, Class D, Series 2021-BMR, 1.51%(US0001M+140bps), 3/15/38(b) | | | 98,895 | |
| | 100,000 | | | Life Mortgage Trust, Class B, Series 2021-BMR, 0.99%(US0001M+88bps), 3/15/38(b) | | | 98,923 | |
| | 395,000 | | | Life Mortgage Trust, Class A, Series 2021-BMR, 0.81%(US0001M+70bps), 3/15/38(b) | | | 392,041 | |
| | 100,000 | | | Life Mortgage Trust, Class C, Series 2021-BMR, 1.21%(US0001M+110bps), 3/15/38(b) | | | 98,888 | |
| | 250,000 | | | Lucali CLO, Ltd., Class A, Series 2020-1A, 1.33%(US0003M+121bps), 1/15/32, Callable 1/15/22 @ 100(b) | | | 250,026 | |
| | 460,000 | | | Madison Park Funding L, Ltd., Class A, Series 2021-50A, 1.26%(US0003M+114bps), 4/19/34, Callable 4/19/23 @ 100(b) | | | 459,999 | |
| | 369,000 | | | Madison Park Funding LII, Ltd., Class A, Series 2021-52A, 1.19%(US0003M+110bps), 1/22/35(b) | | | 368,341 | |
| | 250,000 | | | Madison Park Funding XLV, Ltd., Class AR, Series 2020-45A, 1.24%(US0003M+112bps), 7/15/34, Callable 7/15/23 @ 100(b) | | | 249,861 | |
| | 278,806 | | | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 1.05%(US0003M+92bps), 1/22/28, Callable 1/22/22 @ 100(b) | | | 278,599 | |
| | 250,000 | | | Madison Park Funding, Ltd., Class A, Series 2019-33A, 1.45%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(b) | | | 250,062 | |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 325,000 | | | Magnetite XXI, Ltd., Class AR, Series 2019-21A, 1.15%(US0003M+102bps), 4/20/34, Callable 4/20/22 @ 100(b) | | $ | 324,824 | |
| | 271,000 | | | Magnetite Xxiii, Ltd., CLASS: AR, SERIES:19-23A CLASS: AR, 1.25%(US0003M+113bps), 1/25/35(b) | | | 270,772 | |
| | 400,000 | | | Magnetite Xxix, Ltd., Class A, Series 2021-29A, 1.11%(US0003M+99bps), 1/15/34, Callable 1/15/22 @ 100(b) | | | 400,136 | |
| | 250,000 | | | Magnetite XXVII, Ltd., Class AR, Series 2020-27A, 1.27%(US0003M+114bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 250,000 | |
| | 400,000 | | | Magnetite Xxx, Ltd., Class A, Series 2021-30A, 1.26%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(b) | | | 399,763 | |
| | 590,000 | | | Magnetite, Ltd., Class A, Series 24, 1.45%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(b) | | | 590,042 | |
| | 464,000 | | | Milos CLO, Ltd., Class AR, Series 2017-1A, 1.20%(US0003M+107bps), 10/20/30, Callable 1/20/22 @ 100(b) | | | 464,001 | |
| | 200,000 | | | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 12/15/28 @ 100 | | | 226,266 | |
| | 870,944 | | | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.61%(US0001M+150bps), 6/15/35(b) | | | 866,154 | |
| | 82,000 | | | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(b)(c) | | | 81,908 | |
| | 86,000 | | | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(b) | | | 86,949 | |
| | 593,000 | | | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(b) | | | 608,406 | |
| | 361,287 | | | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.36%(US0001M+125bps), 6/15/35(b) | | | 362,162 | |
| | 250,000 | | | Peace Park CLO, Ltd., Class A, Series 2021-1A, 1.27%(US0003M+113bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 249,999 | |
| | 131,131 | | | Prima Capital CRE Securitization, Class A, Series 2021-9A, 1.55%(US0001M+145bps), 12/15/37(b) | | | 131,049 | |
| | 470,000 | | | Rockland Park CLO, Ltd., Class A, Series 2021-1A, 1.25%(US0003M+112bps), 4/20/34, Callable 4/20/23 @ 100(b) | | | 469,747 | |
| | 410,000 | | | SREIT Trust, Class A, Series 2021-MFP, 0.83%(US0001M+73bps), 11/15/38(b) | | | 407,815 | |
| | 235,000 | | | SREIT Trust, Class B, Series 2021-MFP, 1.18%(US0001M+108bps), 11/15/38(b) | | | 233,589 | |
| | 146,000 | | | SREIT Trust, Class C, Series 2021-MFP, 1.43%(US0001M+133bps), 11/15/38(b) | | | 144,239 | |
| | 100,000 | | | SREIT Trust, Class D, Series 2021-MFP, 1.68%(US0001M+158bps), 11/15/38(b) | | | 99,904 | |
| | 350,000 | | | Symphony CLO XXVI, Ltd., Class AR, Series 2021-26A, 1.21%(US0003M+108bps), 4/20/33, Callable 4/20/22 @ 100(b) | | | 349,235 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 304,000 | | | Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 1.13%(US0003M+100bps), 1/20/29, Callable 1/20/22 @ 100(b) | | $ | 303,830 | |
| | 370,000 | | | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(b) | | | 367,839 | |
| | 20,000 | | | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(b) | | | 20,002 | |
| | 250,000 | | | Voya CLO, Ltd., Class A1R, Series 2020-2A, 1.28%(US0003M+116bps), 7/19/34, Callable 7/19/23 @ 100(b) | | | 250,000 | |
| | 444,000 | | | Voya CLO, Ltd., Class AR, Series 2020-3A, 1.28%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(b) | | | 443,481 | |
| | 516,000 | | | Voya CLO, Ltd., Class A, Series 2019-2, 1.40%(US0003M+127bps), 7/20/32, Callable 1/20/22 @ 100(b) | | | 516,013 | |
| | 250,000 | | | Voya CLO, Ltd., Class AR, Series 2020-1A, 1.27%(US0003M+115bps), 7/16/34, Callable 7/16/23 @ 100(b) | | | 249,720 | |
| | 261,000 | | | Wells Fargo Commercial Mortgage Trust, Class A, Series 2021-FCMT, 1.31%(US0001M+120bps), 5/15/31(b) | | | 260,678 | |
| | 234,000 | | | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | | | 265,983 | |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $34,977,078) | | | 34,958,049 | |
| | | | | | | | |
| Convertible Bonds (0.2%): | | | |
| Entertainment (0.0%†): | | | |
| | 37,000 | | | Live Nation Entertainment, Inc., 2.00%, 2/15/25 | | | 48,766 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.0%†): | | | |
| | 38,000 | | | Booking Holdings, Inc., 0.75%, 5/1/25 | | | 56,021 | |
| | 40,000 | | | Vail Resorts, Inc., 0.00%, 1/1/26^ | | | 42,762 | |
| | | | | | | | |
| | | | | | | 98,783 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 28,000 | | | Callaway Golf Co., 2.75%, 5/1/26 | | | 48,480 | |
| | | | | | | | |
| Media (0.1%): | | | |
| | 85,000 | | | DISH Network Corp., 2.38%, 3/15/24 | | | 81,478 | |
| | 209,000 | | | DISH Network Corp., 3.38%, 8/15/26 | | | 195,753 | |
| | | | | | | | |
| | | 277,231 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.1%): | |
| | 76,968 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(a) | | | 241,680 | |
| | 45,151 | | | Mesquite Energy, Inc., 15.00%, 7/15/23(d) | | | 156,674 | |
| | | | | | | | |
| | | | | | | 398,354 | |
| | | | | | | | |
| Professional Services (0.0%†): | |
| | 23,000 | | | FTI Consulting, Inc., 2.00%, 8/15/23 | | | 35,533 | |
| | 33,000 | | | KBR, Inc., 2.50%, 11/1/23 | | | 62,586 | |
| | | | | | | | |
| | | | | | | 98,119 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.0%†): | | | |
| | 13,000 | | | ON Semiconductor Corp., 1.63%, 10/15/23 | | | 42,878 | |
| | | | | | | | |
| | Total Convertible Bonds (Cost $642,156) | | | 1,012,611 | |
| | | | | | | | |
| Bank Loans (0.2%): | | | |
| Chemicals (0.0%†): | | | |
| | 24,938 | | | Consolidated Energy Term Incr B 1Ln, 3.56% (LIBOR+350bps) | | | 24,314 | |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Bank Loans, continued | | | |
| Chemicals, continued | | | |
| $ | 10,000 | | | Diversey Term B 1Ln, Amendment No 3 Refinancing TL, 3.06% (LIBOR+300bps), 9/29/28 | | $ | 9,953 | |
| | | | | | | | |
| | | | | | | 34,267 | |
| | | | | | | | |
| Construction & Engineering (0.0%†): | |
| | 50,000 | | | Convergint Tech Term 2Ln, 7.50% (LIBOR+675bps), 3/31/29 | | | 49,875 | |
| | 9,975 | | | Convergint Tech Term B 1Ln, 4.25% (LIBOR+350bps), 3/31/28 | | | 9,963 | |
| | | | | | | | |
| | | | | | | 59,838 | |
| | | | | | | | |
| Consumer Discretionary Products (0.0%†): | |
| | 15,224 | | | Authentic Brands Term B2 1Ln, 3.56% (LIBOR+350bps), 1/31/29 | | | 15,110 | |
| | 2,388 | | | Authentic Brands Term B3 1Ln, 3.56% (LIBOR+350bps), 1/31/29 | | | 2,370 | |
| | | | | | | | |
| | | | | | | 17,480 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | |
| | 5,000 | | | Ascend Learning Term 2 Ln, 5.81% (LIBOR+575bps), 12/10/29 | | | 4,988 | |
| | 75,000 | | | Ascend Learning Term B 1 Ln, 3.56% (LIBOR+350bps), 11/18/28 | | | 74,828 | |
| | | | | | | | |
| | | | | | | 79,816 | |
| | | | | | | | |
| Diversified Financial Services (0.1%): | |
| | 15,000 | | | Intelsat Term B-4, 5.56% (LIBOR+550bps), 1/2/24 | | | 14,960 | |
| | 195,130 | | | Intelsat Term Dip Dd Superpriority 1Ln, 5.75% (LIBOR+475bps), 10/13/22 | | | 194,825 | |
| | | | | | | | |
| | | | | | | 209,785 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.1%): | |
| | 110,000 | | | City Football Group Term B 1Ln, 3.56% (LIBOR+350bps), 7/21/28, Callable 2/7/22 @ 100(b) | | | 109,175 | |
| | 76,048 | | | Diamond Sports Broadcasting Term B 1Ln, 3.31% (LIBOR+325bps), 8/24/26, Callable 2/7/22 @ 100(b) | | | 35,045 | |
| | 183,614 | | | Golden Entertainment Term B 1Ln, 3.06% (LIBOR+300bps), 10/20/24, Callable 2/7/22 @ 100(b) | | | 183,003 | |
| | | | | | | | |
| | | | | | | 327,223 | |
| | | | | | | | |
| Media (0.0%†): | |
| | 2,388 | | | Authentic Brands Term B1 1Ln, 3.56% (LIBOR+350bps), 1/31/29 | | | 2,376 | |
| | | | | | | | |
| Software (0.0%†): | |
| | 6,771 | | | Ion Analytics Term 1 Ln, 4.06% (LIBOR+400bps), 2/16/28 | | | 6,785 | |
| | | | | | | | |
| | Total Bank Loans (Cost $743,268) | | | 737,570 | |
| | | | | | | | |
| Corporate Bonds (31.0%): | |
| Aerospace & Defense (0.6%): | |
| | 214,000 | | | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | | | 241,076 | |
| | 214,000 | | | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | | | 249,774 | |
| | 200,000 | | | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | | | 256,563 | |
| | 200,000 | | | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | | | 270,921 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Aerospace & Defense, continued | |
| $ | 210,000 | | | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | | $ | 290,698 | |
| | 125,000 | | | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(b) | | | 126,563 | |
| | 170,000 | | | BWX Technologies, Inc., 4.13%, 4/15/29, Callable 4/15/24 @ 102.06(b) | | | 172,550 | |
| | 5,000 | | | Howmet Aerospace, Inc., 5.95%, 2/1/37 | | | 5,956 | |
| | 65,000 | | | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(b) | | | 65,406 | |
| | 60,000 | | | TransDigm, Inc., 6.88%, 5/15/26, Callable 2/7/22 @ 105.16 | | | 62,625 | |
| | 60,000 | | | TransDigm, Inc., 6.38%, 6/15/26, Callable 2/7/22 @ 103.19 | | | 61,575 | |
| | 55,000 | | | TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75 | | | 57,406 | |
| | 610,000 | | | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | | | 626,775 | |
| | 115,000 | | | TransDigm, Inc., 4.88%, 5/1/29, Callable 5/1/24 @ 102.44 | | | 115,000 | |
| | | | | | | | |
| | | | | | | 2,602,888 | |
| | | | | | | | |
| Air Freight & Logistics (0.1%): | |
| | 100,000 | | | Cargo Aircraft Management, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38(b) | | | 101,875 | |
| | 205,000 | | | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(b) | | | 213,712 | |
| | | | | | | | |
| | | | | | | 315,587 | |
| | | | | | | | |
| Auto Components (0.0%†): | |
| | 55,000 | | | Dana, Inc., 4.50%, 2/15/32, Callable 2/15/27 @ 102.25 | | | 53,969 | |
| | | | | | | | |
| Automobiles (0.2%): | |
| | 55,000 | | | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63(b) | | | 55,000 | |
| | 105,000 | | | Magic Mergeco, Inc., 7.88%, 5/1/29, Callable 5/1/24 @ 103.94(b) | | | 103,163 | |
| | 75,000 | | | Thor Industries, Inc., 4.00%, 10/15/29, Callable 10/15/24 @ 102(b) | | | 74,344 | |
| | 354,000 | | | Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(b) | | | 356,794 | |
| | 309,000 | | | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(b) | | | 317,870 | |
| | | | | | | | |
| | | | | | | 907,171 | |
| | | | | | | | |
| Banking (0.0%†): | |
| | 30,000 | | | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(b) | | | 29,350 | |
| | | | | | | | |
| Banks (2.5%): | |
| | 656,000 | | | Bank of America Corp., 4.20%, 8/26/24, MTN | | | 702,037 | |
| | 612,000 | | | Bank of America Corp., Series L, 3.95%, 4/21/25, MTN | | | 654,785 | |
| | 128,000 | | | Bank of America Corp., Series G, 4.45%, 3/3/26 | | | 140,924 | |
| | 930,000 | | | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | | | 913,299 | |
| | 100,000 | | | CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100 | | | 103,625 | |
| | 245,000 | | | CIT Group, Inc., 6.13%, 3/9/28 | | | 294,612 | |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Banks, continued | |
| $ | 1,090,000 | | | Citigroup, Inc., Series V, 4.05%, 7/30/22 | | $ | 1,111,352 | |
| | 393,000 | | | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | | | 410,589 | |
| | 1,642,000 | | | Citigroup, Inc., 4.30%, 11/20/26 | | | 1,816,671 | |
| | 200,000 | | | Citizens Financial Group, Inc., 2.64%, 9/30/32, Callable 7/2/32 @ 100 | | | 197,593 | |
| | 2,994,000 | | | JPMorgan Chase & Co., 3.88%, 9/10/24 | | | 3,180,736 | |
| | 267,000 | | | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | | | 276,154 | |
| | 296,000 | | | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | | | 303,264 | |
| | 938,000 | | | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | | | 1,089,113 | |
| | | | | | | | |
| | | | | | | 11,194,754 | |
| | | | | | | | |
| Beverages (0.6%): | |
| | 500,000 | | | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | | | 547,664 | |
| | 220,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | | | 258,920 | |
| | 500,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | | | 617,341 | |
| | 509,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | | | 643,124 | |
| | 523,000 | | | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | | | 761,956 | |
| | 30,000 | | | Triton Water Holdings, Inc., 6.25%, 4/1/29, Callable 4/1/24 @ 103.13(b) | | | 28,950 | |
| | | | | | | | |
| | | | | | | 2,857,955 | |
| | | | | | | | |
| Biotechnology (0.3%): | |
| | 1,489,000 | | | AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100 | | | 1,494,235 | |
| | 50,000 | | | Emergent BioSolutions, Inc., 3.88%, 8/15/28, Callable 8/15/23 @ 101.94^(b) | | | 47,875 | |
| | | | | | | | |
| | | | | | | 1,542,110 | |
| | | | | | | | |
| Building Products (0.1%): | |
| | 255,000 | | | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(b) | | | 264,244 | |
| | 15,000 | | | Roller Bearing Co. of America, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19(b) | | | 15,300 | |
| | | | | | | | |
| | | | | | | 279,544 | |
| | | | | | | | |
| Capital Markets (2.2%): | |
| | 282,000 | | | Affiliated Managers Group, Inc., 4.25%, 2/15/24 | | | 299,199 | |
| | 572,000 | | | Affiliated Managers Group, Inc., 3.50%, 8/1/25 | | | 608,492 | |
| | 706,000 | | | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | | | 743,065 | |
| | 751,000 | | | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | | | 791,612 | |
| | 140,000 | | | Coinbase Global, Inc., 3.38%, 10/1/28, Callable 10/1/24 @ 101.69(b) | | | 130,900 | |
| | 140,000 | | | Coinbase Global, Inc., 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(b) | | | 128,800 | |
| | 1,140,000 | | | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | | | 1,253,017 | |
| | 510,000 | | | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100, MTN | | | 503,195 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Capital Markets, continued | |
| $ | 194,000 | | | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | | $ | 275,335 | |
| | 70,000 | | | HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 6/15/26, Callable 3/15/26 @ 100(b) | | | 71,050 | |
| | 25,000 | | | LCM Investments Holdings II LLC, 4.88%, 5/1/29, Callable 5/1/24 @ 102.44(b) | | | 25,563 | |
| | 25,000 | | | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(b) | | | 25,500 | |
| | 2,124,000 | | | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | | | 2,197,809 | |
| | 632,000 | | | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | | | 687,290 | |
| | 170,000 | | | Mozart Debt Merger Sub, Inc., 3.88%, 4/1/29, Callable 10/1/24 @ 101.94(b) | | | 169,363 | |
| | 70,000 | | | Mozart Debt Merger Sub, Inc., 5.25%, 10/1/29, Callable 10/1/24 @ 102.63(b) | | | 70,875 | |
| | 45,000 | | | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(b) | | | 45,563 | |
| | 190,000 | | | Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 10.75%, 7/1/25, Callable 8/1/22 @ 108.06(b) | | | 198,536 | |
| | 200,000 | | | Olympus Water US Holding Corp., 4.25%, 10/1/28, Callable 10/1/24 @ 102.13(b) | | | 195,500 | |
| | 457,000 | | | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(b) | | | 516,348 | |
| | 500,000 | | | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(b) | | | 658,653 | |
| | 20,000 | | | Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29, Callable 2/1/24 @ 103.13(b) | | | 19,975 | |
| | 50,000 | | | US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(b) | | | 50,937 | |
| | 80,000 | | | Victors Merger Corp., 6.38%, 5/15/29, Callable 5/15/24 @ 103.19(b) | | | 75,200 | |
| | | | | | | | |
| | | | | | | 9,741,777 | |
| | | | | | | | |
| Chemicals (0.4%): | |
| | 165,000 | | | CF Industries, Inc., 5.15%, 3/15/34 | | | 199,444 | |
| | 16,000 | | | CF Industries, Inc., 4.95%, 6/1/43 | | | 19,240 | |
| | 259,000 | | | CF Industries, Inc., 5.38%, 3/15/44 | | | 326,988 | |
| | 170,000 | | | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100^ | | | 181,687 | |
| | 355,000 | | | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(b) | | | 373,194 | |
| | 25,000 | | | Diamond BC BV, 4.63%, 10/1/29, Callable 10/1/24 @ 102.31(b) | | | 24,781 | |
| | 35,000 | | | LSB Industries, Inc., 6.25%, 10/15/28, Callable 10/15/24 @ 103.13(b) | | | 36,225 | |
| | 125,000 | | | Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5 | | | 131,250 | |
| | 60,000 | | | Scotts Miracle-GRO Co. (The), 4.38%, 2/1/32, Callable 8/1/26 @ 102.19(b) | | | 59,850 | |
| | 35,000 | | | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(b) | | | 35,700 | |
| | 135,000 | | | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(b) | | | 131,625 | |
| | 80,000 | | | WR Grace Holdings LLC, 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(b) | | | 82,172 | |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Chemicals, continued | |
| $ | 55,000 | | | WR Grace Holdings LLC, 5.63%, 8/15/29, Callable 8/15/24 @ 102.81(b) | | $ | 56,100 | |
| | | | | | | | |
| | | | | | | 1,658,256 | |
| | | | | | | | |
| Commercial Services & Supplies (0.1%): | |
| | 55,000 | | | ADT Security Corp. (The), 4.13%, 8/1/29, Callable 8/1/28 @ 100(b) | | | 54,312 | |
| | 165,000 | | | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(b) | | | 170,363 | |
| | 35,000 | | | Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 2/1/26, Callable 2/1/23 @ 102.5(b) | | | 35,262 | |
| | 35,000 | | | Pitney Bowes, Inc., 6.88%, 3/15/27, Callable 3/15/24 @ 103.44(b) | | | 36,225 | |
| | 70,000 | | | Pitney Bowes, Inc., 7.25%, 3/15/29, Callable 3/15/24 @ 103.63(b) | | | 72,450 | �� |
| | 120,000 | | | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(b) | | | 118,200 | |
| | | | | | | | |
| | | | | | | 486,812 | |
| | | | | | | | |
| Communications Equipment (0.1%): | |
| | 90,000 | | | CommScope, Inc., 7.13%, 7/1/28, Callable 7/1/23 @ 103.56(b) | | | 88,875 | |
| | 90,000 | | | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(b) | | | 89,212 | |
| | 115,000 | | | Viavi Solutions, Inc., 3.75%, 10/1/29, Callable 10/1/24 @ 101.88(b) | | | 114,713 | |
| | | | | | | | |
| | | | | | | 292,800 | |
| | | | | | | | |
| Construction & Engineering (0.2%): | |
| | 40,000 | | | Arcosa, Inc., 4.38%, 4/15/29, Callable 4/15/24 @ 102.19(b) | | | 40,400 | |
| | 280,000 | | | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 2/7/22 @ 104.25^(b) | | | 279,300 | |
| | 105,000 | | | Dycom Industries, Inc., 4.50%, 4/15/29, Callable 4/15/24 @ 102.25(b) | | | 106,837 | |
| | 80,000 | | | Global Infrastructure Solutions, Inc., 5.63%, 6/1/29, Callable 6/1/24 @ 102.81(b) | | | 82,000 | |
| | 35,000 | | | Great Lakes Dredge & Dock Corp., 5.25%, 6/1/29, Callable 6/1/24 @ 102.63(b) | | | 36,050 | |
| | 235,000 | | | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(b) | | | 235,588 | |
| | | | | | | | |
| | | | | | | 780,175 | |
| | | | | | | | |
| Consumer Finance (2.7%): | |
| | 578,000 | | | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | | | 592,536 | |
| | 130,000 | | | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | | | 130,448 | |
| | 148,000 | | | Ally Financial, Inc., 5.13%, 9/30/24 | | | 161,829 | |
| | 330,000 | | | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | | | 372,444 | |
| | 505,000 | | | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | | | 569,508 | |
| | 200,000 | | | Ally Financial, Inc., 4.70% (H15T5Y+387 bps), Callable 5/15/26 @ 100 | | | 209,999 | |
| | 462,000 | | | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | | | 471,198 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Consumer Finance, continued | |
| $ | 833,000 | | | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | | $ | 898,269 | |
| | 636,000 | | | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | | | 692,786 | |
| | 250,000 | | | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | | | 261,249 | |
| | 1,000,000 | | | Discover Financial Services, 5.20%, 4/27/22 | | | 1,014,398 | |
| | 383,000 | | | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | | | 419,657 | |
| | 355,000 | | | Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100 | | | 385,321 | |
| | 110,000 | | | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | | | 118,772 | |
| | 215,000 | | | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | | | 231,371 | |
| | 496,000 | | | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | | | 496,206 | |
| | 504,000 | | | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | | | 541,071 | |
| | 1,490,000 | | | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | | | 1,569,886 | |
| | 80,000 | | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | | | 86,981 | |
| | 240,000 | | | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | | | 272,679 | |
| | 200,000 | | | General Motors Acceptance Corp., 8.00%, 11/1/31 | | | 281,881 | |
| | 175,000 | | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 194,688 | |
| | 110,000 | | | OneMain Finance Corp., 3.50%, 1/15/27, Callable 1/15/24 @ 101.75 | | | 108,900 | |
| | 100,000 | | | OneMain Finance Corp., 3.88%, 9/15/28, Callable 9/15/24 @ 101.94 | | | 98,125 | |
| | 170,000 | | | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | | | 166,813 | |
| | 119,000 | | | Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100 | | | 120,274 | |
| | 381,000 | | | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | | | 402,500 | |
| | 577,000 | | | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | | | 610,783 | |
| | 663,000 | | | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | | | 713,395 | |
| | | | | | | | |
| | | | | | | 12,193,967 | |
| | | | | | | | |
| 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(b) | | | 5,106 | |
| | 85,000 | | | Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | | | 84,044 | |
| | 30,000 | | | Graphic Packaging International LLC, 3.75%, 2/1/30, Callable 8/1/29 @ 100(b) | | | 30,300 | |
| | | | | | | | |
| | | | | | | 119,450 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | |
| | 170,000 | | | Adtalem Global Education, Inc., 5.50%, 3/1/28, Callable 3/1/24 @ 102.75(b) | | | 165,325 | |
| | 32,000 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(b) | | | 31,320 | |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Diversified Consumer Services, continued | |
| $ | 141,000 | | | APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(b) | | $ | 148,931 | |
| | 275,000 | | | Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69(b) | | | 293,219 | |
| | | | | | | | |
| | | | | | | 638,795 | |
| | | | | | | | |
| Diversified Financial Services (0.3%): | |
| | 85,000 | | | Acrisure LLC / Acrisure Finance, Inc., 6.00%, 8/1/29, Callable 8/1/24 @ 103(b) | | | 83,300 | |
| | 59,000 | | | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | | | 61,137 | |
| | 200,000 | | | Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 2/7/22 @ 100(b) | | | 200,000 | |
| | 200,000 | | | Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 2/7/22 @ 103.94(b) | | | 207,750 | |
| | 20,000 | | | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(b) | | | 19,050 | |
| | 55,000 | | | OI European Group BV, 4.75%, 2/15/30, Callable 11/15/24 @ 102.38(b) | | | 55,756 | |
| | 500,000 | | | Peachtree Funding Trust, 3.98%, 2/15/25(b) | | | 533,877 | |
| | 70,000 | | | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | | | 72,713 | |
| | 65,000 | | | Venture Global Calcasieu Pass LLC, 4.13%, 8/15/31, Callable 2/15/31 @ 100(b) | | | 68,738 | |
| | 55,000 | | | Venture Global Calcasieu Pass LLC, 3.88%, 11/1/33, Callable 5/1/33 @ 100(b) | | | 57,612 | |
| | | | | | | | |
| | | | | | | 1,359,933 | |
| | | | | | | | |
| Diversified Support Services (0.0%†): | |
| | 25,000 | | | Ritchie Bros Holdings, Inc., 4.75%, 12/15/31, Callable 12/15/26 @ 102.38(b) | | | 26,094 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.7%): | |
| | 42,000 | | | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | | | 44,729 | |
| | 215,000 | | | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | | | 242,147 | |
| | 109,000 | | | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | | | 106,552 | |
| | 500,000 | | | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | | | 632,281 | |
| | 351,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | | | 363,006 | |
| | 125,000 | | | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | | | 132,187 | |
| | 360,000 | | | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(b) | | | 374,850 | |
| | 10,000 | | | CenturyLink, Inc., Series G, 6.88%, 1/15/28 | | | 11,125 | |
| | 80,000 | | | Cogent Communications Group, Inc., 3.50%, 5/1/26, Callable 2/1/26 @ 100(b) | | | 81,900 | |
| | 40,000 | | | Consolidated Communications, Inc., 5.00%, 10/1/28, Callable 10/1/23 @ 103.75^(b) | | | 40,700 | |
| | 30,000 | | | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(b) | | | 29,625 | |
| | 60,000 | | | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(b) | | | 63,450 | |
| | 65,000 | | | Frontier Communications Corp., 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(b) | | | 66,706 | |
| | 70,000 | | | Frontier Communications Corp., 6.75%, 5/1/29, Callable 5/1/24 @ 103.38(b) | | | 72,712 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Diversified Telecommunication Services, continued | |
| $ | 8,244 | | | Frontier Communications Holdings LLC, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94 | | $ | 8,244 | |
| | 70,000 | | | Frontier Communications Holdings LLC, 6.00%, 1/15/30, Callable 10/15/24 @ 103^(b) | | | 70,175 | |
| | 85,000 | | | Lumen Technologies, Inc., 5.38%, 6/15/29, Callable 6/15/24 @ 102.69(b) | | | 85,319 | |
| | 323,000 | | | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | | | 323,334 | |
| | 299,000 | | | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | | | 301,390 | |
| | 85,000 | | | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 2/7/22 @ 102(b) | | | 83,513 | |
| | | | | | | | |
| | | | | | | 3,133,945 | |
| | | | | | | | |
| Electric Utilities (1.2%): | |
| | 326,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(b) | | | 336,595 | |
| | 20,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(b) | | | 20,000 | |
| | 70,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94(b) | | | 71,225 | |
| | 255,000 | | | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | | | 260,498 | |
| | 78,000 | | | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(b) | | | 76,094 | |
| | 249,000 | | | Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100(b) | | | 247,646 | |
| | 110,000 | | | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | | | 122,434 | |
| | 2,306,000 | | | FirstEnergy, Inc., Series B, 4.25%, 3/15/23 | | | 2,411,084 | |
| | 100,000 | | | Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 1/15/24 @ 104 | | | 102,750 | |
| | 211,000 | | | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | | | 220,759 | |
| | 29,000 | | | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(b) | | | 30,233 | |
| | 30,000 | | | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(b) | | | 29,362 | |
| | 55,000 | | | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(b) | | | 53,625 | |
| | 141,551 | | | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(b) | | | 151,282 | |
| | 310,000 | | | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | | | 339,567 | |
| | 575,000 | | | PG&E Corp., 5.00%, 7/1/28, Callable 7/1/23 @ 102.5^ | | | 604,469 | |
| | 140,000 | | | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | | | 146,818 | |
| | 260,000 | | | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(b) | | | 269,100 | |
| | | | | | | | |
| | | | | | | 5,493,541 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Electrical Equipment (0.1%): | |
| $ | 85,000 | | | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(b) | | $ | 89,462 | |
| | 105,000 | | | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(b) | | | 106,969 | |
| | 140,000 | | | Vertiv Group Corp., 4.13%, 11/15/28, Callable 11/15/24 @ 102.06(b) | | | 140,525 | |
| | | | | | | | |
| | | | | | | 336,956 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.0%†): | |
| | 35,000 | | | II-VI, Inc., 5.00%, 12/15/29, Callable 12/14/24 @ 102.5(b) | | | 35,875 | |
| | | | | | | | |
| Entertainment (0.1%): | |
| | 310,000 | | | Netflix, Inc., 4.88%, 4/15/28 | | | 353,400 | |
| | 30,000 | | | Netflix, Inc., 6.38%, 5/15/29 | | | 37,387 | |
| | 30,000 | | | Netflix, Inc., 5.38%, 11/15/29(b) | | | 35,625 | |
| | 140,000 | | | ROBLOX Corp., 3.88%, 5/1/30, Callable 11/1/24 @ 101.94(b) | | | 141,575 | |
| | | | | | | | |
| | | | | | | 567,987 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (3.0%): | |
| | 454,000 | | | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | | | 479,450 | |
| | 421,000 | | | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | | | 452,512 | |
| | 522,000 | | | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | | | 582,661 | |
| | 489,000 | | | Brandywine Realty Trust, 3.95%, 2/15/23, Callable 11/15/22 @ 100 | | | 500,588 | |
| | 66,000 | | | Corporate Office Properties LP, 2.75%, 4/15/31, Callable 1/15/31 @ 100 | | | 65,634 | |
| | 98,000 | | | Corporate Office Properties, LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | | | 98,955 | |
| | 35,000 | | | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100^ | | | 35,525 | |
| | 65,000 | | | CTR Partnership LP / CareTrust Capital Corp., 3.88%, 6/30/28, Callable 3/30/28 @ 100(b) | | | 66,864 | |
| | 146,000 | | | Duke Realty LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | | | 154,897 | |
| | 55,000 | | | Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 2/7/22 @ 100.98 | | | 48,125 | |
| | 170,000 | | | Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(b) | | | 166,045 | |
| | 102,000 | | | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | | | 108,674 | |
| | 98,000 | | | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | | | 101,672 | |
| | 615,000 | | | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | | | 698,095 | |
| | 135,000 | | | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | | | 141,948 | |
| | 40,000 | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(b) | | | 42,600 | |
| | 169,000 | | | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | | | 175,306 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Equity Real Estate Investment Trusts, continued | |
| $ | 126,000 | | | Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100 | | $ | 134,158 | |
| | 281,000 | | | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | | | 300,617 | |
| | 1,931,000 | | | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | | | 2,116,876 | |
| | 435,000 | | | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | | | 451,629 | |
| | 194,000 | | | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | | | 195,386 | |
| | 78,000 | | | Piedmont Operating Partnership, LP, 2.75%, 4/1/32, Callable 1/1/32 @ 100 | | | 76,543 | |
| | 35,000 | | | Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100 | | | 35,498 | |
| | 68,000 | | | Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100 | | | 71,785 | |
| | 104,000 | | | Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100 | | | 109,283 | |
| | 22,000 | | | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | | | 24,322 | |
| | 498,000 | | | Sabra Health Care, LP, 3.20%, 12/1/31, Callable 9/1/31 @ 100 | | | 486,430 | |
| | 458,000 | | | SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100(b) | | | 471,183 | |
| | 146,000 | | | SBA Tower Trust, 1.88%, 7/15/50, Callable 1/15/25 @ 100(b) | | | 146,243 | |
| | 111,000 | | | SBA Tower Trust, 2.33%, 7/15/52, Callable 7/15/26 @ 100(b) | | | 112,793 | |
| | 65,000 | | | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100 | | | 63,035 | |
| | 55,000 | | | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | | | 56,515 | |
| | 60,000 | | | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | | | 57,148 | |
| | 125,000 | | | Service Properties Trust, 4.38%, 2/15/30, Callable 8/15/29 @ 100 | | | 115,302 | |
| | 147,000 | | | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | | | 165,331 | |
| | 112,000 | | | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | | | 111,839 | |
| | 232,000 | | | Sun Communities Operating LP, 2.70%, 7/15/31, Callable 4/15/31 @ 100 | | | 231,594 | |
| | 87,000 | | | Sun Communities Operating, LP, 2.30%, 11/1/28, Callable 9/1/28 @ 100 | | | 86,636 | |
| | 387,000 | | | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | | | 398,468 | |
| | 237,000 | | | Tanger Properties LP, 2.75%, 9/1/31, Callable 6/1/31 @ 100 | | | 226,134 | |
| | 95,000 | | | The Geo Group, Inc., 6.00%, 4/15/26, Callable 2/7/22 @ 103^ | | | 76,475 | |
| | 300,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 2/15/22 @ 103.94(b) | | | 313,125 | |
| | 160,000 | | | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30, Callable 1/15/25 @ 103(b) | | | 154,000 | |
| | 199,000 | | | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | | | 220,279 | |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Equity Real Estate Investment Trusts, continued | |
| $ | 569,000 | | | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | | $ | 590,255 | |
| | 631,000 | | | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | | | 737,280 | |
| | 135,000 | | | Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(b) | | | 143,269 | |
| | 103,000 | | | Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | | | 103,108 | |
| | 67,000 | | | Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100 | | | 67,916 | |
| | 814,000 | | | WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100 | | | 867,683 | |
| | 101,000 | | | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | | | 111,517 | |
| | | | | | | | |
| | | | | | | 13,549,206 | |
| | | | | | | | |
| Financial Services (0.0%†): | |
| | 60,000 | | | Cobra AcquisitionCo LLC, 6.38%, 11/1/29, Callable 11/1/24 @ 103.25(b) | | | 59,400 | |
| | 30,000 | | | Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29, Callable 11/15/24 @ 102.25(b) | | | 30,375 | |
| | | | | | | | |
| | | | | | | 89,775 | |
| | | | | | | | |
| Food & Staples Retailing (0.3%): | |
| | 35,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.63%, 1/15/27, Callable 1/15/23 @ 103.47(b) | | | 36,837 | |
| | 80,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.50%, 3/15/29, Callable 9/15/23 @ 101.75(b) | | | 80,100 | |
| | 240,000 | | | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(b) | | | 259,200 | |
| | 165,000 | | | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44^(b) | | | 172,838 | |
| | 125,000 | | | Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(b) | | | 130,469 | |
| | 30,000 | | | Performance Food Group, Inc., 4.25%, 8/1/29, Callable 8/1/24 @ 102.13(b) | | | 29,625 | |
| | 140,000 | | | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | | | 174,938 | |
| | 210,000 | | | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | | | 327,272 | |
| | 65,000 | | | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(b) | | | 69,550 | |
| | 90,000 | | | US Foods, Inc., 4.75%, 2/15/29, Callable 2/15/24 @ 102.38(b) | | | 91,463 | |
| | 25,000 | | | US Foods, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(b) | | | 25,250 | |
| | | | | | | | |
| | | | | | | 1,397,542 | |
| | | | | | | | |
| Food Products (0.7%): | |
| | 170,000 | | | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(b) | | | 160,225 | |
| | 555,000 | | | JBS Finance Luxembourg Sarl, 2.50%, 1/15/27, Callable 12/15/26 @ 100^(b) | | | 551,688 | |
| | 50,000 | | | JBS Finance Luxembourg Sarl, 3.63%, 1/15/32, Callable 1/15/27 @ 101.81(b) | | | 50,313 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Food Products, continued | |
| $ | 290,000 | | | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(b) | | $ | 315,012 | |
| | 65,000 | | | JBS USA LUX SA / JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(b) | | | 70,200 | |
| | 545,000 | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(b) | | | 599,500 | |
| | 510,000 | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100(b) | | | 505,538 | |
| | 101,000 | | | Kraft Heinz Foods Co., 5.00%, 7/15/35, Callable 1/15/35 @ 100 | | | 123,669 | |
| | 20,000 | | | Kraft Heinz Foods Co., 4.38%, 6/1/46, Callable 12/1/45 @ 100 | | | 23,555 | |
| | 65,000 | | | Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 4/1/49 @ 100 | | | 81,561 | |
| | 135,000 | | | Pilgrim’s Pride Corp., 4.25%, 4/15/31, Callable 4/15/26 @ 102.13(b) | | | 141,750 | |
| | 55,000 | | | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(b) | | | 58,231 | |
| | 165,000 | | | Post Holdings, Inc., 4.50%, 9/15/31, Callable 9/15/26 @ 102.25(b) | | | 163,762 | |
| | 95,000 | | | TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102 | | | 91,200 | |
| | | | | | | | |
| | | | | | | 2,936,204 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.0%†): | |
| | 140,000 | | | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(b) | | | 140,000 | |
| | | | | | | | |
| Health Care Providers & Servic (0.0%†): | |
| | 75,000 | | | Molina Healthcare, Inc., 3.88%, 5/15/32, Callable 2/15/32 @ 100(b) | | | 75,375 | |
| | 65,000 | | | Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19(b) | | | 65,650 | |
| | | | | | | | |
| | | | | | | 141,025 | |
| | | | | | | | |
| Health Care Providers & Services (1.4%): | |
| | 65,000 | | | AHP Health Partners, Inc., 5.75%, 7/15/29, Callable 7/15/24 @ 102.88(b) | | | 63,863 | |
| | 15,000 | | | Cano Health LLC, 6.25%, 10/1/28, Callable 10/1/24 @ 103.13(b) | | | 14,887 | |
| | 405,000 | | | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | | | 422,212 | |
| | 600,000 | | | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | | | 592,500 | |
| | 985,000 | | | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | | | 1,058,875 | |
| | 360,000 | | | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | | | 368,100 | |
| | 245,000 | | | Centene Corp., 2.63%, 8/1/31, Callable 5/1/31 @ 100 | | | 240,100 | |
| | 100,000 | | | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(b) | | | 105,500 | |
| | 100,000 | | | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103(b) | | | 106,875 | |
| | 95,000 | | | CHS/Community Health Systems, Inc., 6.13%, 4/1/30, Callable 4/1/25 @ 103.06(b) | | | 94,288 | |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Health Care Providers & Services, continued | |
| $ | 70,000 | | | CHS/Community Health Systems, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38(b) | | $ | 70,525 | |
| | 526,000 | | | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | | | 597,515 | |
| | 315,000 | | | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(b) | | | 330,356 | |
| | 114,000 | | | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | | | 123,658 | |
| | 260,000 | | | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | | | 317,082 | |
| | 310,000 | | | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(b) | | | 317,362 | |
| | 30,000 | | | HCA, Inc., 4.75%, 5/1/23 | | | 31,425 | |
| | 235,000 | | | HCA, Inc., 5.38%, 2/1/25 | | | 257,325 | |
| | 260,000 | | | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | | | 273,650 | |
| | 25,000 | | | HealthEquity, Inc., 4.50%, 10/1/29, Callable 10/1/24 @ 102.25(b) | | | 24,750 | |
| | 60,000 | | | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(b) | | | 62,025 | |
| | 40,000 | | | Owens & Minor, Inc., 4.50%, 3/31/29, Callable 3/31/24 @ 102.25(b) | | | 41,000 | |
| | 160,000 | | | Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63(b) | | | 165,800 | |
| | 215,000 | | | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/7/22 @ 103.13(b) | | | 221,987 | |
| | 195,000 | | | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(b) | | | 205,238 | |
| | 110,000 | | | Tenet Healthcare Corp., 4.25%, 6/1/29, Callable 6/1/24 @ 102.13(b) | | | 111,375 | |
| | 181,000 | | | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | | | 203,723 | |
| | 20,000 | | | Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(b) | | | 20,875 | |
| | | | | | | | |
| | | | | | | 6,442,871 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.7%): | |
| | 25,000 | | | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(b) | | | 26,000 | |
| | 175,000 | | | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38 | | | 179,375 | |
| | 65,000 | | | Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31(b) | | | 65,244 | |
| | 130,000 | | | Carnival Corp., 10.50%, 2/1/26, Callable 8/1/23 @ 105.25(b) | | | 147,550 | |
| | 220,000 | | | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91(b) | | | 229,350 | |
| | 55,000 | | | Carrols Restaurant Group, Inc., 5.88%, 7/1/29, Callable 7/1/24 @ 102.94^(b) | | | 49,225 | |
| | 280,000 | | | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 8/15/22 @ 102.69(b) | | | 140,000 | |
| | 100,000 | | | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(b) | | | 104,500 | |
| | 240,000 | | | Golden Nugget, Inc., 6.75%, 10/15/24, Callable 2/4/22 @ 100(b) | | | 239,700 | |
| | 55,000 | | | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 6/1/29, Callable 6/1/24 @ 102.5(b) | | | 56,375 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Hotels, Restaurants & Leisure, continued | |
| $ | 70,000 | | | Life Time, Inc., 5.75%, 1/15/26, Callable 1/15/23 @ 102.88(b) | | $ | 72,538 | |
| | 55,000 | | | Marriott Ownership Resorts, Inc., 4.50%, 6/15/29, Callable 6/15/24 @ 102.25(b) | | | 55,206 | |
| | 126,000 | | | McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100 | | | 139,420 | |
| | 250,000 | | | MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100^ | | | 269,062 | |
| | 60,000 | | | NCL Corp., Ltd., 10.25%, 2/1/26, Callable 8/1/23 @ 105.13(b) | | | 69,150 | |
| | 25,000 | | | NCL Finance, Ltd., 6.13%, 3/15/28, Callable 12/15/27 @ 100(b) | | | 24,750 | |
| | 30,000 | | | Peninsula Pacific Entert, 8.50%, 11/15/27, Callable 11/15/23 @ 104.25(b) | | | 32,588 | |
| | 35,000 | | | Royal Caribbean Cruises, Ltd., 9.13%, 6/15/23, Callable 3/15/23 @ 100(b) | | | 37,100 | |
| | 117,000 | | | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 6/1/22 @ 108.63(b) | | | 130,894 | |
| | 140,000 | | | Royal Caribbean Cruises, Ltd., 5.50%, 8/31/26, Callable 2/28/26 @ 100(b) | | | 141,575 | |
| | 200,000 | | | Station Casinos LLC, 4.50%, 2/15/28, Callable 2/15/23 @ 102.25(b) | | | 201,000 | |
| | 100,000 | | | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 5/15/22 @ 109.75(b) | | | 112,750 | |
| | 100,000 | | | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(b) | | | 103,500 | |
| | 150,000 | | | Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100^(b) | | | 153,375 | |
| | 135,000 | | | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | | | 142,931 | |
| | | | | | | | |
| | | | | | | 2,923,158 | |
| | | | | | | | |
| Household Durables (0.2%): | |
| | 30,000 | | | Ambience Merger Sub, Inc., 4.88%, 7/15/28, Callable 7/15/23 @ 102.44(b) | | | 29,587 | |
| | 35,000 | | | Ashton Woods USA LLC / Ashton Woods Finance Co., 4.63%, 4/1/30, Callable 4/1/25 @ 102.31(b) | | | 34,738 | |
| | 65,000 | | | Century Communities, Inc., 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | | | 65,650 | |
| | 90,000 | | | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(b) | | | 89,550 | |
| | 15,000 | | | Newell Brands, Inc., 5.38%, 4/1/36, Callable 10/1/35 @ 100 | | | 18,375 | |
| | 40,000 | | | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 4/30/27, Callable 10/15/23 @ 102.38(b) | | | 39,500 | |
| | 25,000 | | | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103^(b) | | | 24,500 | |
| | 195,000 | | | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(b) | | | 214,500 | |
| | 60,000 | | | Tempur Sealy International, Inc., 3.88%, 10/15/31, Callable 10/15/26 @ 101.94(b) | | | 59,850 | |
| | 120,000 | | | TopBuild Corp., 4.13%, 2/15/32, Callable 10/15/26 @ 102.06(b) | | | 122,850 | |
| | | | | | | | |
| | | | | | | 699,100 | |
| | | | | | | | |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Household Products (0.0%†): | |
| $ | 80,000 | | | Central Garden & Pet Co., 4.13%, 4/30/31, Callable 4/30/26 @ 102.06(b) | | $ | 80,300 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.3%): | |
| | 528,000 | | | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(b) | | | 549,148 | |
| | 461,000 | | | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(b) | | | 488,186 | |
| | 45,000 | | | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(b) | | | 47,475 | |
| | 140,000 | | | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | | | 147,350 | |
| | 50,000 | | | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(b) | | | 51,875 | |
| | 40,000 | | | Sunnova Energy Corp., 5.88%, 9/1/26, Callable 9/1/23 @ 102.94^(b) | | | 40,600 | |
| | 40,000 | | | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(b) | | | 42,500 | |
| | | | | | | | |
| | | | | | | 1,367,134 | |
| | | | | | | | |
| Industrial Conglomerates (0.2%): | |
| | 205,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13 | | | 213,200 | |
| | 510,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | | | 522,750 | |
| | | | | | | | |
| | | | | | | 735,950 | |
| | | | | | | | |
| Industrial Services (0.0%†): | |
| | 85,000 | | | Railworks Holdings LP/Railworks Rally, Inc., 8.25%, 11/15/28, Callable 11/15/24 @ 104.13(b) | | | 87,550 | |
| | | | | | | | |
| Insurance (1.2%): | |
| | 900,000 | | | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | | | 927,475 | |
| | 1,208,000 | | | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100 | | | 1,293,384 | |
| | 35,000 | | | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(b) | | | 35,438 | |
| | 55,000 | | | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(b) | | | 53,487 | |
| | 586,000 | | | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(b) | | | 606,510 | |
| | 55,000 | | | HUB International, Ltd., 7.00%, 5/1/26, Callable 1/18/22 @ 103.5(b) | | | 56,444 | |
| | 50,000 | | | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(b) | | | 51,125 | |
| | 40,000 | | | Liberty Mutual Group, Inc., 4.25%, 6/15/23(b) | | | 41,776 | |
| | 140,000 | | | Liberty Mutual Group, Inc., 4.57%, 2/1/29(b) | | | 161,192 | |
| | 651,000 | | | Pacific Lifecorp, 5.13%, 1/30/43(b) | | | 831,905 | |
| | 463,000 | | | Unum Group, 3.88%, 11/5/25 | | | 497,844 | |
| | 349,000 | | | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | | | 385,767 | |
| | 260,000 | | | USI, Inc., 6.88%, 5/1/25, Callable 2/7/22 @ 101.72(b) | | | 262,275 | |
| | | | | | | | |
| | | | | | | 5,204,622 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Interactive Media & Services (0.1%): | |
| $ | 85,000 | | | Match Group Holdings II LLC, 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(b) | | $ | 82,450 | |
| | 40,000 | | | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(b) | | | 40,450 | |
| | 205,000 | | | Rackspace Technology Global, Inc., 3.50%, 2/15/28, Callable 2/15/24 @ 101.75(b) | | | 194,750 | |
| | | | | | | | |
| | | | | | | 317,650 | |
| | | | | | | | |
| IT Services (0.2%): | |
| | 40,000 | | | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(b) | | | 39,900 | |
| | 15,000 | | | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(b) | | | 15,037 | |
| | 175,000 | | | Black Knight Infoserv LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(b) | | | 174,563 | |
| | 20,000 | | | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(b) | | | 20,700 | |
| | 215,000 | | | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(b) | | | 237,575 | |
| | 100,000 | | | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(b) | | | 104,500 | |
| | 65,000 | | | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(b) | | | 65,975 | |
| | 55,000 | | | Square, Inc., 2.75%, 6/1/26, Callable 5/1/26 @ 100(b) | | | 55,275 | |
| | 55,000 | | | Square, Inc., 3.50%, 6/1/31, Callable 3/1/31 @ 100(b) | | | 56,650 | |
| | 50,000 | | | Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | | | 50,500 | |
| | 50,000 | | | Twilio, Inc., 3.88%, 3/15/31, Callable 3/15/26 @ 101.94 | | | 50,500 | |
| | | | | | | | |
| | | | | | | 871,175 | |
| | | | | | | | |
| Leisure Products (0.1%): | |
| | 311,000 | | | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | | | 323,600 | |
| | 5,000 | | | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(b) | | | 5,369 | |
| | 10,000 | | | Mattel, Inc., 5.45%, 11/1/41, Callable 5/1/41 @ 100 | | | 11,900 | |
| | | | | | | | |
| | | | | | | 340,869 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.1%): | |
| | 195,000 | | | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(b) | | | 204,263 | |
| | 20,000 | | | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(b) | | | 20,825 | |
| | 45,000 | | | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(b) | | | 45,562 | |
| | | | | | | | |
| | | | | | | 270,650 | |
| | | | | | | | |
| Machinery (0.1%): | |
| | 80,000 | | | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(b) | | | 81,100 | |
| | 75,000 | | | ITT Holdings LLC, 6.50%, 8/1/29, Callable 8/1/24 @ 103.25(b) | | | 74,062 | |
| | 40,000 | | | Madison IAQ LLC, 4.13%, 6/30/28, Callable 6/30/24 @ 102.06(b) | | | 40,050 | |
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Machinery, continued | |
| $ | 65,000 | | | Madison IAQ LLC, 5.88%, 6/30/29, Callable 6/30/24 @ 102.94(b) | | $ | 64,919 | |
| | 60,000 | | | Mueller Water Products, Inc., 4.00%, 6/15/29, Callable 6/15/24 @ 102(b) | | | 60,750 | |
| | | | | | | | |
| | | | | | | 320,881 | |
| | | | | | | | |
| Media (1.6%): | |
| | 100,000 | | | Allen Media LLC / Allen Media Co-Issuer, Inc., 10.50%, 2/15/28, Callable 2/15/23 @ 113(b) | | | 104,875 | |
| | 35,000 | | | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(b) | | | 36,137 | |
| | 30,000 | | | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(b) | | | 29,100 | |
| | 25,000 | | | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(b) | | | 24,625 | |
| | 105,000 | | | CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(b) | | | 109,200 | |
| | 95,000 | | | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(b) | | | 97,375 | |
| | 395,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(b) | | | 411,787 | |
| | 155,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25 | | | 159,456 | |
| | 105,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 6/1/33, Callable 6/1/27 @ 102.25(b) | | | 106,969 | |
| | 440,000 | | | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(b) | | | 438,350 | |
| | 130,000 | | | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(b) | | | 126,913 | |
| | 215,000 | | | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100^ | | | 229,913 | |
| | 580,000 | | | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | | | 676,558 | |
| | 230,000 | | | DISH DBS Corp., 7.75%, 7/1/26 | | | 242,650 | |
| | 103,000 | | | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | | | 108,827 | |
| | 149,000 | | | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | | | 170,137 | |
| | 147,000 | | | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | | | 189,403 | |
| | 65,000 | | | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(b) | | | 64,675 | |
| | 165,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(b) | | | 166,237 | |
| | 200,000 | | | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 102.25(b) | | | 200,000 | |
| | 45,000 | | | Sirius XM Radio, Inc., 3.13%, 9/1/26, Callable 9/1/23 @ 101.56(b) | | | 44,887 | |
| | 105,000 | | | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(b) | | | 108,806 | |
| | 45,000 | | | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(b) | | | 48,487 | |
| | 40,000 | | | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(b) | | | 40,100 | |
| | 85,000 | | | Sirius XM Radio, Inc., 3.88%, 9/1/31, Callable 9/1/26 @ 101.94(b) | | | 83,194 | |
| | 140,000 | | | TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38(b) | | | 145,950 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Media, continued | |
| $ | 80,000 | | | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 104.44(b) | | $ | 86,400 | |
| | 359,000 | | | Time Warner Cable, Inc., 6.55%, 5/1/37 | | | 472,549 | |
| | 418,000 | | | Time Warner Cable, Inc., 7.30%, 7/1/38 | | | 589,759 | |
| | 1,100,000 | | | Time Warner Cable, Inc., 6.75%, 6/15/39 | | | 1,492,157 | |
| | 103,000 | | | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | | | 124,025 | |
| | 55,000 | | | Univision Communications, Inc., 6.63%, 6/1/27, Callable 6/1/23 @ 103.31(b) | | | 59,125 | |
| | 65,000 | | | Univision Communications, Inc., 4.50%, 5/1/29, Callable 5/1/24 @ 102.25(b) | | | 65,650 | |
| | | | | | | | |
| | | | | | | 7,054,276 | |
| | | | | | | | |
| Metals & Mining (0.2%): | |
| | 70,000 | | | Alcoa Nederland Holding BV, 4.13%, 3/31/29, Callable 3/31/24 @ 102.06(b) | | | 72,275 | |
| | 265,000 | | | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | | | 276,594 | |
| | 30,000 | | | Allegheny Technologies, Inc., 4.88%, 10/1/29, Callable 10/1/24 @ 102.44 | | | 30,030 | |
| | 20,000 | | | Allegheny Technologies, Inc., 5.13%, 10/1/31, Callable 10/1/26 @ 102.56^ | | | 20,075 | |
| | 70,000 | | | Cleveland-Cliffs, Inc., 4.63%, 3/1/29, Callable 3/1/24 @ 102.31^(b) | | | 71,925 | |
| | 70,000 | | | Cleveland-Cliffs, Inc., 4.88%, 3/1/31, Callable 3/1/26 @ 102.44^(b) | | | 72,712 | |
| | 185,000 | | | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(b) | | | 186,850 | |
| | 55,000 | | | Novelis Corp., 3.88%, 8/15/31, Callable 8/15/26 @ 101.94(b) | | | 54,725 | |
| | | | | | | | |
| | | | | | | 785,186 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | |
| | 55,000 | | | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp, 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(b) | | | 56,238 | |
| | 65,000 | | | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | | | 68,087 | |
| | | | | | | | |
| | | | | | | 124,325 | |
| | | | | | | | |
| Multi-Utilities (0.1%): | |
| | 207,000 | | | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | | | 224,391 | |
| | 110,000 | | | Sempra Energy, 6.00%, 10/15/39 | | | 152,010 | |
| | | | | | | | |
| | | | | | | 376,401 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (4.4%): | | | |
| | 170,000 | | | Antero Resources Corp., 5.00%, 3/1/25, Callable 2/7/22 @ 102.5^ | | | 172,975 | |
| | 130,000 | | | Apache Corp., 4.63%, 11/15/25, Callable 8/15/25 @ 100 | | | 139,100 | |
| | 55,000 | | | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | | | 62,219 | |
| | 25,000 | | | Apache Corp., 7.38%, 8/15/47 | | | 31,229 | |
| | 70,000 | | | Cheniere Energy Partners LP, 4.00%, 3/1/31, Callable 3/1/26 @ 102 | | | 73,850 | |
| | 55,000 | | | Cheniere Energy Partners, LP, 3.25%, 1/31/32, Callable 1/31/27 @ 101.63(b) | | | 55,413 | |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 361,000 | | | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(b) | | $ | 400,858 | |
| | 145,000 | | | CITGO Petroleum Corp., 6.38%, 6/15/26, Callable 6/15/23 @ 103.19(b) | | | 147,175 | |
| | 25,000 | | | Cnx Midstream Partners, LP, 4.75%, 4/15/30, Callable 4/15/25 @ 102.38(b) | | | 24,937 | |
| | 30,000 | | | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(b) | | | 31,200 | |
| | 30,000 | | | Colgate Energy Partners III LLC, 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(b) | | | 30,975 | |
| | 71,000 | | | Comstock Resources, Inc., 7.50%, 5/15/25, Callable 2/7/22 @ 103.75(b) | | | 73,307 | |
| | 80,000 | | | Comstock Resources, Inc., 6.75%, 3/1/29, Callable 3/1/24 @ 103.38(b) | | | 86,600 | |
| | 40,000 | | | Comstock Resources, Inc., 5.88%, 1/15/30, Callable 1/15/25 @ 102.94(b) | | | 41,150 | |
| | 195,000 | | | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(b) | | | 229,369 | |
| | 167,000 | | | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 2/7/22 @ 102.88 | | | 170,757 | |
| | 305,000 | | | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 2/1/29, Callable 2/1/24 @ 103(b) | | | 315,675 | |
| | 230,000 | | | CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(b) | | | 223,675 | |
| | 25,000 | | | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88^(b) | | | 24,312 | |
| | 163,000 | | | DCP Midstream Operating LP, 3.88%, 3/15/23, Callable 12/15/22 @ 100 | | | 167,075 | |
| | 105,000 | | | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | | | 114,712 | |
| | 160,000 | | | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | | | 181,600 | |
| | 750,000 | | | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(b) | | | 727,500 | |
| | 185,000 | | | DCP Midstream Operating LP, 5.60%, 4/1/44, Callable 10/1/43 @ 100 | | | 225,700 | |
| | 35,000 | | | Delek Logistics Partners LP / Delek Logistics Finance Corp., 7.13%, 6/1/28, Callable 6/1/24 @ 103.56(b) | | | 36,487 | |
| | 43,000 | | | Devon Energy Corp., 5.25%, 10/15/27, Callable 10/15/22 @ 102.63 | | | 45,363 | |
| | 55,000 | | | DT Midstream, Inc., 4.13%, 6/15/29, Callable 6/15/24 @ 102.06(b) | | | 56,512 | |
| | 124,000 | | | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | | | 129,544 | |
| | 30,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(b) | | | 31,725 | |
| | 110,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(b) | | | 116,325 | |
| | 350,000 | | | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 394,625 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 167,000 | | | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | | $ | 191,841 | |
| | 360,000 | | | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | | | 414,900 | |
| | 81,000 | | | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | | | 83,329 | |
| | 103,000 | | | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | | | 109,309 | |
| | 161,000 | | | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | | | 170,660 | |
| | 115,000 | | | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | | | 149,644 | |
| | 103,000 | | | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | | | 107,378 | |
| | 195,000 | | | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | | | 235,706 | |
| | 127,000 | | | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | | | 158,750 | |
| | 135,000 | | | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(b) | | | 140,231 | |
| | 80,000 | | | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(b) | | | 89,600 | |
| | 70,000 | | | EQM Midstream Partners LP, 4.50%, 1/15/29, Callable 7/15/28 @ 100(b) | | | 72,450 | |
| | 115,000 | | | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | | | 122,475 | |
| | 45,000 | | | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | | | 49,837 | |
| | 311,000 | | | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | | | 338,990 | |
| | 109,000 | | | Hess Corp., 7.30%, 8/15/31 | | | 145,106 | |
| | 78,000 | | | Hess Corp., 7.13%, 3/15/33 | | | 104,228 | |
| | 847,000 | | | Hess Corp., 5.60%, 2/15/41 | | | 1,040,751 | |
| | 302,000 | | | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | | | 388,070 | |
| | 190,000 | | | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/7/22 @ 104.22(b) | | | 195,700 | |
| | 35,000 | | | Hess Midstream Operations, LP, 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(b) | | | 34,913 | |
| | 150,000 | | | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | | | 153,375 | |
| | 63,000 | | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 85,290 | |
| | 55,000 | | | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29, Callable 7/1/24 @ 102.13(b) | | | 55,481 | |
| | 172,000 | | | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | | | 179,095 | |
| | 242,000 | | | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | | | 262,570 | |
| | 70,000 | | | MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100 | | | 89,075 | |
| | 150,000 | | | Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | | | 156,000 | |
| | 135,000 | | | NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 2/1/26, Callable 2/1/23 @ 103.75(b) | | | 139,050 | |
| | 609,000 | | | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | | | 675,990 | |
| | 47,000 | | | Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100 | | | 48,234 | |
| | 267,000 | | | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | | | 273,008 | |
| | 85,000 | | | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | | | 114,750 | |
| | 1,047,000 | | | Occidental Petroleum Corp., 7.50%, 5/1/31 | | | 1,372,879 | |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 25,000 | | | Occidental Petroleum Corp., 7.88%, 9/15/31 | | $ | 33,500 | |
| | 422,000 | | | Occidental Petroleum Corp., 6.45%, 9/15/36 | | | 538,050 | |
| | 62,000 | | | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | | | 61,457 | |
| | 40,000 | | | Occidental Petroleum Corp., 6.20%, 3/15/40 | | | 49,050 | |
| | 712,000 | | | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | | | 927,380 | |
| | 120,000 | | | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | | | 123,000 | |
| | 165,000 | | | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | | | 161,700 | |
| | 80,000 | | | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | | | 79,400 | |
| | 117,000 | | | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | | | 118,316 | |
| | 235,000 | | | PBF Holding Co. LLC / PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63^(b) | | | 223,250 | |
| | 120,000 | | | PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 2/15/28, Callable 2/15/23 @ 103 | | | 77,100 | |
| | 35,000 | | | PDC Energy, Inc., 5.75%, 5/15/26, Callable 2/7/22 @ 104.31 | | | 36,225 | |
| | 30,000 | | | Phillips 66, 3.70%, 4/6/23 | | | 31,013 | |
| | 39,000 | | | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | | | 41,835 | |
| | 110,000 | | | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | | | 115,036 | |
| | 110,000 | | | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100 | | | 113,850 | |
| | 493,000 | | | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | | | 556,474 | |
| | 408,000 | | | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 1/18/22 @ 101.81(a)(e) | | | — | |
| | 20,000 | | | SM Energy Co., 5.63%, 6/1/25, Callable 2/7/22 @ 101.88 | | | 20,150 | |
| | 75,000 | | | SM Energy Co., 6.75%, 9/15/26, Callable 2/7/22 @ 103.38^ | | | 76,875 | |
| | 346,000 | | | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100^(b) | | | 355,051 | |
| | 55,000 | | | Southwestern Energy Co., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38 | | | 57,888 | |
| | 5,000 | | | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103 | | | 5,200 | |
| | 95,000 | | | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | | | 100,463 | |
| | 165,000 | | | Sunoco, LP / Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25 | | | 166,650 | |
| | 135,000 | | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(b) | | | 135,000 | |
| | 195,000 | | | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/7/22 @ 102.69 | | | 200,850 | |
| | 30,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | | | 32,775 | |
| | 185,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44 | | | 200,494 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 70,000 | | | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102(b) | | $ | 73,150 | |
| | 200,000 | | | Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(b) | | | 207,000 | |
| | 62,000 | | | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | | | 64,790 | |
| | 205,000 | | | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | | | 222,425 | |
| | 900,000 | | | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | | | 981,000 | |
| | 101,000 | | | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | | | 111,731 | |
| | 205,000 | | | Western Midstream Operating LP, 5.30%, 2/1/30, Callable 11/1/29 @ 100 | | | 225,500 | |
| | 242,000 | | | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | | | 254,951 | |
| | 426,000 | | | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | | | 449,887 | |
| | | | | | | | |
| | | | | | | 19,739,075 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | |
| | 45,000 | | | Glatfelter Corp., 4.75%, 11/15/29, Callable 11/1/24 @ 102.38(b) | | | 46,406 | |
| | 70,000 | | | Mercer International, Inc., 5.13%, 2/1/29, Callable 2/1/24 @ 102.56 | | | 71,400 | |
| | | | | | | | |
| | | | | | | 117,806 | |
| | | | | | | | |
| Pharmaceuticals (0.4%): | |
| | 150,000 | | | Bausch Health Cos, Inc., 5.25%, 1/30/30, Callable 1/30/25 @ 102.63(b) | | | 132,000 | |
| | 170,000 | | | Catalent Pharma Solutions, Inc., 3.13%, 2/15/29, Callable 2/15/24 @ 101.56(b) | | | 165,112 | |
| | 50,000 | | | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75(b) | | | 49,250 | |
| | 275,000 | | | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100 | | | 291,303 | |
| | 116,000 | | | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100 | | | 135,430 | |
| | 45,000 | | | Jazz Securities DAC, 4.38%, 1/15/29, Callable 7/15/24 @ 102.19(b) | | | 46,350 | |
| | 40,000 | | | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.13%, 4/30/28, Callable 4/30/24 @ 102.06(b) | | | 40,750 | |
| | 75,000 | | | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 5.13%, 4/30/31, Callable 4/30/26 @ 102.56(b) | | | 78,188 | |
| | 187,000 | | | Viatris, Inc., 1.13%, 6/22/22 | | | 187,362 | |
| | 60,000 | | | Viatris, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100 | | | 59,693 | |
| | 305,000 | | | Viatris, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100 | | | 305,468 | |
| | 133,000 | | | Viatris, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100 | | | 141,673 | |
| | | | | | | | |
| | | | | | | 1,632,579 | |
| | | | | | | | |
| Professional Services (0.0%†): | |
| | 60,000 | | | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(b) | | | 62,100 | |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Professional Services, continued | |
| $ | 125,000 | | | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 102.94(b) | | $ | 131,094 | |
| | | | | | | | |
| | | | | | | 193,194 | |
| | | | | | | | |
| Real Estate Management & Development (0.2%): | |
| | 301,000 | | | CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | | | 302,032 | |
| | 85,000 | | | Kennedy-Wilson, Inc., 4.75%, 2/1/30, Callable 9/1/24 @ 102.38 | | | 86,063 | |
| | 70,000 | | | Realogy Group LLC / Realogy Co-Issuer Corp., 5.75%, 1/15/29, Callable 1/15/24 @ 102.88(b) | | | 71,750 | |
| | 275,000 | | | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(b) | | | 288,750 | |
| | | | | | | | |
| | | | | | | 748,595 | |
| | | | | | | | |
| Road & Rail (0.0%†): | |
| | 60,000 | | | Uber Technologies, Inc., 4.50%, 8/15/29, Callable 8/15/24 @ 102.25(b) | | | 61,200 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.7%): | |
| | 92,000 | | | Broadcom, Inc., 1.95%, 2/15/28, Callable 12/15/27 @ 100(b) | | | 90,513 | |
| | 899,000 | | | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(b) | | | 878,790 | |
| | 797,000 | | | Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100(b) | | | 775,251 | |
| | 633,000 | | | Broadcom, Inc., 3.50%, 2/15/41, Callable 8/15/40 @ 100(b) | | | 646,984 | |
| | 297,000 | | | Broadcom, Inc., 3.75%, 2/15/51, Callable 8/15/50 @ 100(b) | | | 310,064 | |
| | 135,000 | | | Entegris, Inc., 3.63%, 5/1/29, Callable 5/1/24 @ 102.72(b) | | | 136,350 | |
| | 75,000 | | | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(b) | | | 76,875 | |
| | | | | | | | |
| | | | | | | 2,914,827 | |
| | | | | | | | |
| Software (0.4%): | |
| | 55,000 | | | Acuris Finance Us Inc / Acuris Finance SARL, 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(b) | | | 54,725 | |
| | 60,000 | | | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(b) | | | 62,850 | |
| | 35,000 | | | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(b) | | | 36,925 | |
| | 40,000 | | | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(b) | | | 40,200 | |
| | 40,000 | | | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44(b) | | | 40,400 | |
| | 30,000 | | | Elastic NV, 4.13%, 7/15/29, Callable 7/15/24 @ 102.06(b) | | | 29,513 | |
| | 70,000 | | | Fair Isaac Corp., 4.00%, 6/15/28, Callable 12/15/22 @ 102(b) | | | 71,925 | |
| | 40,000 | | | MicroStrategy, Inc., 6.13%, 6/15/28, Callable 6/15/24 @ 103.06^(b) | | | 40,050 | |
| | 351,000 | | | Oracle Corp., 1.65%, 3/25/26, Callable 2/25/26 @ 100 | | | 347,861 | |
| | 555,000 | | | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | | | 552,653 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Software, continued | |
| $ | 690,000 | | | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | | $ | 692,846 | |
| | | | | | | | |
| | | | | | | 1,969,948 | |
| | | | | | | | |
| Specialty Retail (0.3%): | |
| | 35,000 | | | Asbury Automotive Group, Inc., 4.63%, 11/15/29, Callable 11/15/24 @ 102.31(b) | | | 35,613 | |
| | 40,000 | | | Asbury Automotive Group, Inc., 5.00%, 2/15/32, Callable 11/15/26 @ 102.5(b) | | | 41,200 | |
| | 47,000 | | | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | | | 53,735 | |
| | 72,000 | | | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | | | 76,666 | |
| | 333,000 | | | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | | | 372,204 | |
| | 55,000 | | | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41^(b) | | | 55,000 | |
| | 30,000 | | | Foot Locker, Inc., 4.00%, 10/1/29, Callable 10/1/24 @ 102(b) | | | 29,812 | |
| | 55,000 | | | Gap, Inc. (The), 3.88%, 10/1/31, Callable 10/1/26 @ 101.94(b) | | | 54,244 | |
| | 220,000 | | | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(b) | | | 249,700 | |
| | 240,000 | | | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | | | 278,478 | |
| | 74,000 | | | O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | | | 83,621 | |
| | 30,000 | | | Party City Holdings, Inc., 8.75%, 2/15/26, Callable 8/15/23 @ 104.38(b) | | | 30,975 | |
| | 20,000 | | | Rent-A-Center, Inc., 6.38%, 2/15/29, Callable 2/15/24 @ 103.19(b) | | | 20,775 | |
| | 40,000 | | | Victoria’s Secret & Co., 4.63%, 7/15/29, Callable 7/15/24 @ 102.31(b) | | | 40,800 | |
| | | | | | | | |
| | | | | | | 1,422,823 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.2%): | |
| | 106,000 | | | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100 | | | 111,966 | |
| | 81,000 | | | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100 | | | 91,928 | |
| | 129,000 | | | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100 | | | 149,550 | |
| | 148,000 | | | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100 | | | 177,195 | |
| | 128,000 | | | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100 | | | 161,909 | |
| | | | | | | | |
| | | | | | | 692,548 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goo (0.0%†): | |
| | 20,000 | | | Kontoor Brands, Inc., 4.13%, 11/15/29, Callable 11/15/24 @ 102.06(b) | | | 20,025 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.0%†): | |
| | 60,000 | | | Crocs, Inc., 4.13%, 8/15/31, Callable 8/15/26 @ 102.06(b) | | | 58,200 | |
| | 70,000 | | | Levi Strauss & Co., 3.50%, 3/1/31, Callable 3/1/26 @ 101.75(b) | | | 71,225 | |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | |
| Textiles, Apparel & Luxury Goods, continued | |
| $ | 105,000 | | | Wolverine World Wide, Inc., 4.00%, 8/15/29, Callable 8/15/24 @ 102(b) | | $ | 101,062 | |
| | | | | | | | |
| | | | | | | 230,487 | |
| | | | | | | | |
| Tobacco (0.5%): | |
| | 452,000 | | | Altria Group, Inc., 4.25%, 8/9/42 | | | 456,647 | |
| | 302,000 | | | Altria Group, Inc., 4.50%, 5/2/43 | | | 313,189 | |
| | 262,000 | | | Altria Group, Inc., 5.38%, 1/31/44 | | | 304,832 | |
| | 108,000 | | | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | | | 135,323 | |
| | 179,000 | | | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | | | 212,936 | |
| | 600,000 | | | Reynolds American, Inc., 7.25%, 6/15/37 | | | 798,550 | |
| | 70,000 | | | Turning Point Brands, Inc., 5.63%, 2/15/26, Callable 2/15/23 @ 102.81(b) | | | 70,175 | |
| | | | | | | | |
| | | | | | | 2,291,652 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | |
| | 467,000 | | | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | | | 496,931 | |
| | 393,000 | | | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | | | 411,200 | |
| | 40,000 | | | Foundation Building Materials, Inc., 6.00%, 3/1/29, Callable 3/1/24 @ 103(b) | | | 39,300 | |
| | 45,000 | | | SRS Distribution, Inc., 4.63%, 7/1/28, Callable 7/1/24 @ 102.31(b) | | | 45,394 | |
| | 25,000 | | | SRS Distribution, Inc., 6.13%, 7/1/29, Callable 7/1/24 @ 103.06^(b) | | | 25,219 | |
| | 40,000 | | | SRS Distribution, Inc., 6.00%, 12/1/29, Callable 12/1/24 @ 103(b) | | | 40,200 | |
| | | | | | | | |
| | | | | | | 1,058,244 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.6%): | |
| | 445,000 | | | Sprint Capital Corp., 8.75%, 3/15/32 | | | 669,725 | |
| | 300,000 | | | Sprint Communications, Inc., 6.88%, 11/15/28 | | | 379,500 | |
| | 380,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | | | 411,347 | |
| | 65,000 | | | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | | | 68,412 | |
| | 70,000 | | | T-Mobile USA, Inc., 3.38%, 4/15/29, Callable 4/15/24 @ 101.69 | | | 71,478 | |
| | 630,000 | | | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | | | 688,496 | |
| | 82,000 | | | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | | | 93,332 | |
| | 161,000 | | | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100 | | | 187,908 | |
| | | | | | | | |
| | | | | | | 2,570,198 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $129,982,097) | | | 138,568,742 | |
| | | | | | | | |
| Yankee Debt Obligations (10.7%): | |
| Aerospace & Defense (0.1%): | |
| | 15,000 | | | Bombardier, Inc., 7.50%, 12/1/24, Callable 2/7/22 @ 103.75(b) | | | 15,562 | |
| | 65,000 | | | Bombardier, Inc., 7.50%, 3/15/25, Callable 2/7/22 @ 102.5(b) | | | 66,219 | |
| | 80,000 | | | Bombardier, Inc., 7.13%, 6/15/26, Callable 6/15/23 @ 103.56(b) | | | 83,000 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Aerospace & Defense, continued | |
| $ | 170,000 | | | Bombardier, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(b) | | $ | 170,425 | |
| | | | | | | | |
| | | | | | | 335,206 | |
| | | | | | | | |
| Banks (2.9%): | |
| | 874,000 | | | Barclays plc, 4.38%, 1/12/26 | | | 953,829 | |
| | 503,000 | | | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | | | 517,907 | |
| | 580,000 | | | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | | | 656,548 | |
| | 200,000 | | | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(b) | | | 209,269 | |
| | 791,000 | | | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | | | 858,017 | |
| | 205,000 | | | HSBC Holdings plc, 4.25%, 3/14/24 | | | 216,427 | |
| | 200,000 | | | Intesa Sanpaolo SpA, 5.02%, 6/26/24(b) | | | 213,716 | |
| | 1,432,000 | | | Intesa Sanpaolo SpA, 5.71%, 1/15/26(b) | | | 1,583,417 | |
| | 3,808,000 | | | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | | | 3,985,742 | |
| | 826,000 | | | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | | | 880,596 | |
| | 347,000 | | | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | | | 376,825 | |
| | 286,000 | | | Royal Bank of Scotland Group plc, 3.07% (H15T1Y+255 bps), 5/22/28, Callable 5/22/27 @ 100 | | | 297,158 | |
| | 980,000 | | | Societe Generale SA, 1.04% (H15T1Y+75 bps), 6/18/25, Callable 6/18/24 @ 100(b) | | | 957,537 | |
| | 513,000 | | | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(b) | | | 500,279 | |
| | 454,000 | | | UniCredit SpA, 6.57%, 1/14/22(b) | | | 454,689 | |
| | 289,000 | | | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | | | 312,093 | |
| | | | | | | | |
| | | | | | | 12,974,049 | |
| | | | | | | | |
| Biotechnology (0.0%†): | |
| | 200,000 | | | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(b) | | | 204,250 | |
| | | | | | | | |
| Capital Markets (1.9%): | |
| | 788,000 | | | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(b) | | | 803,068 | |
| | 602,000 | | | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(b) | | | 664,511 | |
| | 1,000,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | | | 1,021,522 | |
| | 1,175,000 | | | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | | | 1,217,731 | |
| | 720,000 | | | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | | | 763,808 | |
| | 742,000 | | | Deutsche Bank AG, 5.00%, 2/14/22 | | | 745,312 | |
| | 1,284,000 | | | Deutsche Bank AG, 3.30%, 11/16/22 | | | 1,310,535 | |
| | 1,462,000 | | | Deutsche Bank AG, 4.50%, 4/1/25 | | | 1,554,587 | |
| | 314,000 | | | UBS Group AG, 1.49% (H15T1Y+85 bps), 8/10/27, Callable 8/10/26 @ 100(b) | | | 306,284 | |
| | | | | | | | |
| | | | | | | 8,387,358 | |
| | | | | | | | |
| Chemicals (0.1%): | |
| | 25,000 | | | Consolidated Energy Finance SA, 3.95% (US0003M+375 bps), 6/15/22, Callable 1/18/22 @ 100(b) | | | 24,937 | |
| | 130,000 | | | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 1/18/22 @ 104.88(b) | | | 132,600 | |
| | 195,000 | | | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100 | | | 205,238 | |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Chemicals, continued | |
| $ | 95,000 | | | Methanex Corp., 5.25%, 12/15/29, Callable 9/15/29 @ 100 | | $ | 100,225 | |
| | 55,000 | | | SPCM SA, 3.13%, 3/15/27, Callable 3/15/24 @ 101.56(b) | | | 55,138 | |
| | | | | | | | |
| | | | | | | 518,138 | |
| | | | | | | | |
| 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(b) | | | 25,719 | |
| | 35,000 | | | Intertape Polymer Group, Inc., 4.38%, 6/15/29, Callable 6/15/24 @ 102.19(b) | | | 35,044 | |
| | 255,000 | | | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(b) | | | 266,156 | |
| | | | | | | | |
| | | | | | | 326,919 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | |
| | 48,000 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(b) | | | 47,940 | |
| | 225,000 | | | GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(b) | | | 231,187 | |
| | | | | | | | |
| | | | | | | 279,127 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | |
| | 200,000 | | | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(b) | | | 194,000 | |
| | 610,000 | | | Altice Financing SA, 5.75%, 8/15/29, Callable 8/15/24 @ 102.88(b) | | | 600,850 | |
| | 725,000 | | | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(b) | | | 754,906 | |
| | 2,052,000 | | | Park Aerospace Holdings, 5.50%, 2/15/24(b) | | | 2,198,205 | |
| | 305,000 | | | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(b) | | | 294,325 | |
| | | | | | | | |
| | | | | | | 4,042,286 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.2%): | |
| | 325,000 | | | Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(b) | | | 345,312 | |
| | 270,000 | | | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(b) | | | 257,850 | |
| | 185,000 | | | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(b) | | | 179,219 | |
| | 80,000 | | | Telecom Italia SpA, 6.00%, 9/30/34 | | | 84,200 | |
| | | | | | | | |
| | | | | | | 866,581 | |
| | | | | | | | |
| Energy Equipment & Services (0.0%†): | |
| | 160,000 | | | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/7/22 @ 105.16(b) | | | 154,400 | |
| | | | | | | | |
| 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(b) | | | 57,063 | |
| | 210,000 | | | 1011778 BC ULC New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(b) | | | 206,850 | |
| | 75,000 | | | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 7/21/23 @ 102.88(b) | | | 74,062 | |
| | 65,000 | | | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69(b) | | | 63,131 | |
| | | | | | | | |
| | | | | | | 401,106 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Insurance (0.2%): | |
| $ | 465,000 | | | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(b) | | $ | 502,826 | |
| | 200,000 | | | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(b) | | | 224,066 | |
| | | | | | | | |
| | | | | | | 726,892 | |
| | | | | | | | |
| Marine (0.0%†): | |
| | 85,000 | | | Seaspan Corp., 5.50%, 8/1/29, Callable 8/1/24 @ 102.75(b) | | | 85,850 | |
| | | | | | | | |
| Media (0.1%): | |
| | 250,000 | | | Ziggo BV, 5.50%, 1/15/27, Callable 1/18/22 @ 102.75(b) | | | 256,250 | |
| | 120,000 | | | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(b) | | | 120,900 | |
| | | | | | | | |
| | | | | | | 377,150 | |
| | | | | | | | |
| Metals & Mining (0.1%): | |
| | 170,000 | | | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 1/18/22 @ 105.16(b) | | | 176,588 | |
| | 55,000 | | | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(b) | | | 59,194 | |
| | 5,000 | | | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(b) | | | 5,312 | |
| | 105,000 | | | Infrabuild Australia Pty, Ltd., 12.00%, 10/1/24, Callable 2/7/22 @ 109(b) | | | 108,150 | |
| | | | | | | | |
| | | | | | | 349,244 | |
| | | | | | | | |
| Multi-Utilities (0.1%): | |
| | 525,000 | | | InterGen NV, 7.00%, 6/30/23, Callable 2/7/22 @ 100(b) | | | 518,438 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.4%): | |
| | 619,000 | | | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | | | 675,484 | |
| | 115,000 | | | eG Global Finance plc, 6.75%, 2/7/25, Callable 1/18/22 @ 103.38(b) | | | 115,862 | |
| | 205,000 | | | eG Global Finance plc, 8.50%, 10/30/25, Callable 2/7/22 @ 104.25(b) | | | 212,688 | |
| | 223,000 | | | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | | | 232,713 | |
| | 235,000 | | | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(b) | | | 249,981 | |
| | 1,505,000 | | | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | | | 1,562,903 | |
| | 295,000 | | | Petroleos Mexicanos, 6.70%, 2/16/32, Callable 11/16/31 @ 100(b) | | | 297,213 | |
| | 2,762,000 | | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 2,454,056 | |
| | 502,000 | | | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | | | 446,892 | |
| | 70,000 | | | Teine Energy, Ltd., 6.88%, 4/15/29, Callable 4/15/24 @ 103.44(b) | | | 71,400 | |
| | | | | | | | |
| | | | | | | 6,319,192 | |
| | | | | | | | |
| Pharmaceuticals (0.1%): | |
| | 115,000 | | | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 2/7/22 @ 101.38(b) | | | 116,438 | |
| | 162,000 | | | VRX Escrow Corp., 6.13%, 4/15/25, Callable 2/7/22 @ 102.04(b) | | | 164,835 | |
| | | | | | | | |
| | | | | | | 281,273 | |
| | | | | | | | |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Software (0.0%†): | |
| $ | 95,000 | | | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(b) | | $ | 96,781 | |
| | 115,000 | | | Open Text Corp., 3.88%, 12/1/29, Callable 12/1/24 @ 101.94(b) | | | 116,438 | |
| | | | | | | | |
| | | | | | | 213,219 | |
| | | | | | | | |
| Sovereign Bond (1.6%): | |
| | 415,000 | | | Abu Dhabi Government International Bond, 3.13%, 4/16/30(b) | | | 448,884 | |
| | 355,000 | | | Abu Dhabi Government International Bond, 3.88%, 4/16/50(b) | | | 414,771 | |
| | 56,434 | | | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 2/7/22 @ 100 | | | 20,316 | |
| | 513,757 | | | Argentine Republic Government International Bond, 0.50%, 7/9/30, Callable 2/7/22 @ 100 | | | 179,301 | |
| | 941,242 | | | Argentine Republic Government International Bond, 0.12%, 7/9/35, Callable 2/7/22 @ 100 | | | 298,844 | |
| | 400,000 | | | Corp. Andina de Fomento, 2.38%, 5/12/23 | | | 407,090 | |
| | 1,344,000 | | | Dominican Republic, 5.50%, 1/27/25(b) | | | 1,451,520 | |
| | 250,000 | | | Dominican Republic, 6.00%, 7/19/28(b) | | | 279,063 | |
| | 600,000 | | | Indonesia Government International Bond, 3.85%, 10/15/30^ | | | 674,255 | |
| | 600,000 | | | Indonesia Government International Bond, 4.20%, 10/15/50 | | | 685,490 | |
| | 230,000 | | | Qatar Government International Bond, 3.40%, 4/16/25(b) | | | 243,821 | |
| | 490,000 | | | Qatar Government International Bond, 3.75%, 4/16/30(b) | | | 549,262 | |
| | 470,000 | | | Qatar Government International Bond, 4.40%, 4/16/50(b) | | | 586,096 | |
| | 250,000 | | | Saudi Government International Bond, 2.90%, 10/22/25(b) | | | 261,871 | |
| | 230,000 | | | Saudi Government International Bond, 3.25%, 10/22/30(b) | | | 247,159 | |
| | 200,000 | | | Saudi Government International Bond, 4.50%, 4/22/60(b) | | | 247,471 | |
| | | | | | | | |
| | | | | | | 6,995,214 | |
| | | | | | | | |
| Trading Companies & Distributors (0.5%): | |
| | 412,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | | | 438,181 | |
| | 637,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24, Callable 9/29/24 @ 100 | | | 635,304 | |
| | 217,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | | | 248,194 | |
| | 251,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | | | 272,536 | |
| | 209,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | | | 210,618 | |
| | 219,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/28, Callable 8/29/28 @ 100 | | | 221,282 | |
| | 234,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | | | 237,585 | |
| | | | | | | | |
| | | | | | | 2,263,700 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.2%): | |
| | 330,000 | | | Empresa Nacional del Pet, 4.38%, 10/30/24(b) | | | 351,038 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Wireless Telecommunication Services, continued | |
| $ | 630,000 | | | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(b) | | $ | 681,975 | |
| | 135,000 | | | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25^(b) | | | 136,181 | |
| | | | | | | | |
| | | | | | | 1,169,194 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $46,945,160) | | | 47,788,786 | |
| | | | | | | | |
| Municipal Bonds (0.7%): | |
| California (0.2%): | |
| | 10,000 | | | California State, Build America Bonds, GO, 7.35%, 11/1/39 | | | 15,860 | |
| | 460,000 | | | California State, Build America Bonds, GO, 7.30%, 10/1/39 | | | 722,522 | |
| | | | | | | | |
| | | | | | | 738,382 | |
| | | | | | | | |
| Illinois (0.4%): | |
| | 310,000 | | | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series C1, 7.78%, 1/1/35 | | | 420,657 | |
| | 295,000 | | | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | | | 340,244 | |
| | 315,000 | | | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | | | 385,891 | |
| | 425,000 | | | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | | | 529,665 | |
| | 63,636 | | | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | | | 66,120 | |
| | | | | | | | |
| | | | | | | 1,742,577 | |
| | | | | | | | |
| New Jersey (0.1%): | |
| | 504,000 | | | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29 | | | 636,446 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $2,705,355) | | | 3,117,405 | |
| | | | | | | | |
| U.S. Government Agency Mortgages (14.8%): | |
| Federal Home Loan Mortgage Corporation (3.1%) | |
| | 26,591 | | | 2.50%, 6/1/31, Pool #G18604 | | | 27,579 | |
| | 44,883 | | | 2.50%, 7/1/31, Pool #V61246 | | | 46,755 | |
| | 78,235 | | | 2.50%, 8/1/31, Pool #V61273 | | | 81,458 | |
| | 278,341 | | | 3.50%, 3/1/32, Pool #C91403 | | | 296,569 | |
| | 828,823 | | | 3.50%, 7/1/32, Pool #C91467 | | | 883,327 | |
| | 7,299 | | | 2.50%, 8/1/32, Pool #G18654 | | | 7,569 | |
| | 7,945 | | | 2.50%, 11/1/32, Pool #G18665 | | | 8,239 | |
| | 239,691 | | | 2.50%, 12/1/32, Pool #G18669 | | | 248,553 | |
| | 38,128 | | | 2.50%, 3/1/33, Pool #G18680 | | | 39,528 | |
| | 14,398 | | | 2.50%, 4/1/33, Pool #G18683 | | | 14,930 | |
| | 34,332 | | | 3.00%, 4/1/33, Pool #K90336 | | | 35,628 | |
| | 89,793 | | | 3.00%, 4/1/33, Pool #G18684 | | | 94,051 | |
| | 7,586 | | | 2.50%, 5/1/33, Pool #G18687 | | | 7,865 | |
| | 37,221 | | | 3.00%, 6/1/33, Pool #C91709 | | | 38,629 | |
| | 58,844 | | | 3.00%, 6/1/33, Pool #K90806 | | | 61,066 | |
| | 37,923 | | | 3.00%, 6/1/33, Pool #K90684 | | | 39,346 | |
| | 88,726 | | | 3.00%, 6/1/33, Pool #K90632 | | | 92,087 | |
| | 160,894 | | | 2.50%, 7/1/33, Pool #G16661 | | | 167,038 | |
| | 175,192 | | | 3.00%, 7/1/33, Pool #C91714 | | | 181,830 | |
| | 34,818 | | | 3.00%, 4/1/34, Pool #G16829 | | | 36,491 | |
| | 304,712 | | | 3.50%, 10/1/34, Pool #C91793 | | | 325,670 | |
| | 581,922 | | | 4.00%, 5/1/37, Pool #C91938 | | | 628,727 | |
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 25,322 | | | 3.50%, 4/1/40, Pool #V81744 | | $ | 27,079 | |
| | 44,560 | | | 3.50%, 5/1/40, Pool #V81750 | | | 47,680 | |
| | 57,302 | | | 3.50%, 6/1/40, Pool #V81792 | | | 61,288 | |
| | 31,772 | | | 3.50%, 8/1/40, Pool #V81886 | | | 34,001 | |
| | 19,630 | | | 3.50%, 9/1/40, Pool #V81958 | | | 21,011 | |
| | 314,859 | | | 4.00%, 1/1/41, Pool #A96413 | | | 343,175 | |
| | 36,198 | | | 4.50%, 1/1/41, Pool #A96051 | | | 39,694 | |
| | 234,215 | | | 4.00%, 2/1/41, Pool #A96807 | | | 255,465 | |
| | 33,898 | | | 4.50%, 3/1/41, Pool #A97673 | | | 37,163 | |
| | 51,371 | | | 4.50%, 4/1/41, Pool #A97942 | | | 56,293 | |
| | 186,755 | | | 5.00%, 6/1/41, Pool #G06596 | | | 210,907 | |
| | 661,531 | | | 4.50%, 1/1/42, Pool #G60517 | | | 725,218 | |
| | 26,561 | | | 4.00%, 11/1/42, Pool #Q13121 | | | 28,607 | |
| | 85,843 | | | 3.00%, 12/1/42, Pool #C04320 | | | 90,859 | |
| | 33,498 | | | 4.00%, 5/1/43, Pool #Q18481 | | | 36,528 | |
| | 31,724 | | | 4.00%, 7/1/43, Pool #Q19597 | | | 34,642 | |
| | 27,861 | | | 4.00%, 10/1/43, Pool #Q22499 | | | 30,381 | |
| | 43,639 | | | 4.00%, 1/1/44, Pool #V80950 | | | 46,767 | |
| | 209,004 | | | 3.50%, 1/1/44, Pool #G07922 | | | 226,131 | |
| | 104,819 | | | 3.50%, 1/1/44, Pool #G60271 | | | 113,622 | |
| | 162,687 | | | 4.00%, 1/1/45, Pool #Q30720 | | | 177,090 | |
| | 115,677 | | | 4.00%, 2/1/45, Pool #G07949 | | | 127,235 | |
| | 30,319 | | | 3.50%, 3/1/45, Pool #Q32328 | | | 32,839 | |
| | 27,908 | | | 3.50%, 3/1/45, Pool #Q31974 | | | 30,201 | |
| | 49,311 | | | 3.50%, 3/1/45, Pool #Q32008 | | | 53,331 | |
| | 132,199 | | | 3.50%, 5/1/45, Pool #Q33547 | | | 142,465 | |
| | 18,988 | | | 3.00%, 5/1/45, Pool #Q33468 | | | 20,035 | |
| | 27,638 | | | 3.50%, 6/1/45, Pool #Q33791 | | | 29,810 | |
| | 137,020 | | | 3.00%, 6/1/45, Pool #Q34156 | | | 144,616 | |
| | 171,100 | | | 3.50%, 6/1/45, Pool #Q34164 | | | 184,474 | |
| | 10,631 | | | 3.00%, 7/1/45, Pool #Q34979 | | | 11,285 | |
| | 38,502 | | | 3.00%, 7/1/45, Pool #Q34759 | | | 40,904 | |
| | 89,357 | | | 4.00%, 8/1/45, Pool #Q35845 | | | 99,315 | |
| | 10,950 | | | 4.00%, 9/1/45, Pool #Q37853 | | | 12,132 | |
| | 5,234 | | | 4.00%, 11/1/45, Pool #Q38812 | | | 5,666 | |
| | 194,879 | | | 3.50%, 11/1/45, Pool #Q37467 | | | 210,914 | |
| | 4,397 | | | 4.00%, 2/1/46, Pool #Q38879 | | | 4,777 | |
| | 12,338 | | | 4.00%, 2/1/46, Pool #Q38782 | | | 13,405 | |
| | 14,773 | | | 4.00%, 2/1/46, Pool #Q38783 | | | 15,910 | |
| | 34,065 | | | 4.00%, 4/1/46, Pool #V82292 | | | 36,827 | |
| | 7,112 | | | 4.00%, 4/1/46, Pool #Q39975 | | | 7,722 | |
| | 229,410 | | | 3.50%, 5/1/46, Pool #G60553 | | | 248,521 | |
| | 66,302 | | | 3.50%, 5/1/46, Pool #Q40647 | | | 71,155 | |
| | 73,730 | | | 3.50%, 5/1/46, Pool #G60603 | | | 78,586 | |
| | 191,273 | | | 3.50%, 9/1/46, Pool #Q43257 | | | 203,805 | |
| | 8,426 | | | 4.00%, 9/1/47, Pool #Q50433 | | | 9,247 | |
| | 14,954 | | | 4.00%, 10/1/47, Pool #Q51189 | | | 16,442 | |
| | 11,259 | | | 4.00%, 2/1/48, Pool #Q54192 | | | 12,218 | |
| | 134,874 | | | 3.50%, 3/1/48, Pool #G67710 | | | 144,161 | |
| | 157,413 | | | 4.00%, 5/1/48, Pool #Q55992 | | | 170,717 | |
| | 473,095 | | | 4.00%, 6/1/48, Pool #G67713 | | | 515,170 | |
| | 56,690 | | | 4.00%, 7/1/48, Pool #Q59935 | | | 61,516 | |
| | 405,349 | | | 2.50%, 10/1/50, Pool #SD7525 | | | 419,681 | |
| | 586,475 | | | 2.50%, 11/1/50, Pool #SD7530 | | | 604,264 | |
| | 45,476 | | | 2.50%, 2/1/51, Pool #SD7535 | | | 46,820 | |
| | 780,429 | | | 2.00%, 3/1/51, Pool #SD8134 | | | 778,983 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 144,334 | | | 2.00%, 5/1/51, Pool #SD7541 | | $ | 144,066 | |
| | 14,581 | | | 2.00%, 7/1/51, Pool #QC4163 | | | 14,608 | |
| | 347,645 | | | 2.00%, 10/1/51, Pool #RA6076 | | | 347,971 | |
| | 498,185 | | | 2.00%, 11/1/51, Pool #RA6241 | | | 498,651 | |
| | 198,874 | | | 2.00%, 11/1/51, Pool #RA6302 | | | 198,518 | |
| | 399,031 | | | 2.50%, 12/1/51, Pool #RA6434 | | | 407,739 | |
| | 100,027 | | | 2.50%, 12/1/51, Pool #RA6496 | | | 102,210 | |
| | 200,002 | | | 2.00%, 12/1/51, Pool #RA6510 | | | 200,376 | |
| | 1,200,025 | | | 2.50%, 12/1/51, Pool #RA6435 | | | 1,233,129 | |
| | | | | | | | |
| | | | | | | 13,758,953 | |
| | | | | | | | |
| Federal National Mortgage Association (8.4%) | |
| | 107,001 | | | 2.50%, 6/1/29, Pool #MA3734 | | | 110,769 | |
| | 66,500 | | | 2.50%, 9/1/31, Pool #AS8012 | | | 69,062 | |
| | 344,609 | | | 3.00%, 4/1/32, Pool #BD9809 | | | 366,012 | |
| | 148,081 | | | 3.00%, 9/1/32, Pool #BM5110 | | | 155,503 | |
| | 438,912 | | | 3.00%, 12/1/32, Pool #BM5345 | | | 460,813 | |
| | 337,474 | | | 2.50%, 12/1/32, Pool #CA3748 | | | 349,976 | |
| | 24,334 | | | 3.00%, 3/1/33, Pool #BM4614 | | | 25,735 | |
| | 36,155 | | | 3.00%, 5/1/33, Pool #AT3000 | | | 38,005 | |
| | 33,780 | | | 3.00%, 6/1/33, Pool #AT6090 | | | 35,501 | |
| | 2,868 | | | 4.50%, 7/1/33, Pool #729327 | | | 3,119 | |
| | 158,676 | | | 3.00%, 7/1/33, Pool #MA1490 | | | 166,758 | |
| | 1,198 | | | 4.50%, 7/1/33, Pool #720240 | | | 1,347 | |
| | 20,208 | | | 4.50%, 8/1/33, Pool #729380 | | | 22,593 | |
| | 2,571 | | | 4.50%, 8/1/33, Pool #727029 | | | 2,889 | |
| | 8,747 | | | 4.50%, 8/1/33, Pool #726956 | | | 9,826 | |
| | 4,108 | | | 4.50%, 8/1/33, Pool #729713 | | | 4,616 | |
| | 5,202 | | | 4.50%, 8/1/33, Pool #723124 | | | 5,844 | |
| | 11,417 | | | 4.50%, 8/1/33, Pool #726928 | | | 12,830 | |
| | 3,829 | | | 4.50%, 8/1/33, Pool #727160 | | | 4,303 | |
| | 6,648 | | | 4.50%, 9/1/33, Pool #734922 | | | 7,463 | |
| | 18,406 | | | 4.50%, 9/1/33, Pool #727147 | | | 20,671 | |
| | 26,653 | | | 4.50%, 12/1/33, Pool #AL5321 | | | 29,949 | |
| | 492,268 | | | 2.50%, 6/1/34, Pool #BN7572 | | | 512,178 | |
| | 20,947 | | | 6.00%, 10/1/34, Pool #AL2130 | | | 24,909 | |
| | 41,836 | | | 4.50%, 9/1/35, Pool #AB8198 | | | 46,970 | |
| | 403,626 | | | 6.00%, 5/1/36, Pool #745512 | | | 475,206 | |
| | 204,168 | | | 6.00%, 1/1/37, Pool #932030 | | | 243,531 | |
| | 37,780 | | | 6.00%, 3/1/37, Pool #889506 | | | 44,578 | |
| | 53,319 | | | 6.00%, 1/1/38, Pool #889371 | | | 64,792 | |
| | 18,269 | | | 6.00%, 3/1/38, Pool #889219 | | | 21,328 | |
| | 8,975 | | | 6.00%, 7/1/38, Pool #889733 | | | 10,480 | |
| | 56,617 | | | 4.50%, 3/1/39, Pool #AB0051 | | | 63,036 | |
| | 283,914 | | | 4.50%, 4/1/39, Pool #AB0043 | | | 318,766 | |
| | 153,408 | | | 2.50%, 8/1/39, Pool #MA3761 | | | 157,074 | |
| | 23,401 | | | 4.50%, 11/1/39, Pool #AC5442 | | | 26,186 | |
| | 78,033 | | | 6.00%, 5/1/40, Pool #AL2129 | | | 91,737 | |
| | 28,077 | | | 4.00%, 12/1/40, Pool #AA4757 | | | 30,652 | |
| | 35,557 | | | 4.50%, 2/1/41, Pool #AH5580 | | | 38,988 | |
| | 5,937 | | | 6.00%, 1/1/42, Pool #AL2128 | | | 6,952 | |
| | 153,194 | | | 2.50%, 2/1/43, Pool #AB8465 | | | 159,248 | |
| | 41,080 | | | 4.00%, 10/1/43, Pool #BM1167 | | | 45,095 | |
| | 168,875 | | | 4.50%, 3/1/44, Pool #AL5082 | | | 184,042 | |
| | 7,574 | | | 4.00%, 12/1/44, Pool #AY0045 | | | 8,335 | |
| | 18,481 | | | 4.00%, 12/1/44, Pool #AW9502 | | | 20,045 | |
| | 87,700 | | | 4.00%, 12/1/44, Pool #AX8459 | | | 96,259 | |
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 132,530 | | | 4.00%, 3/1/45, Pool #AL6541 | | $ | 145,383 | |
| | 102,921 | | | 4.00%, 5/1/45, Pool #AZ1207 | | | 111,292 | |
| | 28,219 | | | 4.00%, 5/1/45, Pool #AZ1876 | | | 31,187 | |
| | 51,942 | | | 3.00%, 5/1/45, Pool #AS4972 | | | 54,809 | |
| | 34,986 | | | 5.00%, 6/1/45, Pool #AZ3448 | | | 41,021 | |
| | 33,349 | | | 4.00%, 6/1/45, Pool #AZ3341 | | | 36,856 | |
| | 22,829 | | | 4.00%, 6/1/45, Pool #AZ2719 | | | 25,252 | |
| | 90,339 | | | 4.00%, 6/1/45, Pool #AY8126 | | | 97,686 | |
| | 109,563 | | | 4.00%, 6/1/45, Pool #AY8096 | | | 118,317 | |
| | 294,389 | | | 3.50%, 7/1/45, Pool #AZ0814 | | | 318,357 | |
| | 100,700 | | | 4.00%, 7/1/45, Pool #AZ1783 | | | 108,747 | |
| | 137,614 | | | 4.00%, 7/1/45, Pool #AZ0833 | | | 151,955 | |
| | 116,705 | | | 3.00%, 8/1/45, Pool #AS5634 | | | 123,151 | |
| | 43,075 | | | 3.00%, 8/1/45, Pool #AZ8288 | | | 45,430 | |
| | 20,249 | | | 3.00%, 8/1/45, Pool #AZ3728 | | | 21,365 | |
| | 60,867 | | | 4.00%, 10/1/45, Pool #AL7413 | | | 67,128 | |
| | 353,858 | | | 4.00%, 10/1/45, Pool #AL7593 | | | 390,420 | |
| | 14,555 | | | 4.00%, 11/1/45, Pool #AZ0560 | | | 15,718 | |
| | 22,277 | | | 4.00%, 12/1/45, Pool #AS6350 | | | 24,543 | |
| | 43,327 | | | 4.00%, 12/1/45, Pool #BA6404 | | | 46,834 | |
| | 9,571 | | | 4.00%, 12/1/45, Pool #BC0997 | | | 10,349 | |
| | 39,369 | | | 4.50%, 2/1/46, Pool #BM5199 | | | 43,436 | |
| | 371,245 | | | 4.00%, 2/1/46, Pool #BC1578 | | | 401,344 | |
| | 23,348 | | | 4.00%, 4/1/46, Pool #BC3920 | | | 25,141 | |
| | 11,259 | | | 4.00%, 4/1/46, Pool #BC7809 | | | 12,117 | |
| | 9,622 | | | 4.00%, 5/1/46, Pool #BC2276 | | | 10,567 | |
| | 279,888 | | | 3.50%, 5/1/46, Pool #BC0880 | | | 302,776 | |
| | 144,661 | | | 4.00%, 6/1/46, Pool #BC0960 | | | 156,389 | |
| | 228,956 | | | 4.00%, 6/1/46, Pool #AL9282 | | | 247,519 | |
| | 40,463 | | | 4.00%, 7/1/46, Pool #BC6148 | | | 43,743 | |
| | 121,384 | | | 4.00%, 7/1/46, Pool #BC1443 | | | 132,779 | |
| | 42,787 | | | 4.00%, 8/1/46, Pool #BD1451 | | | 46,310 | |
| | 37,624 | | | 4.50%, 8/1/46, Pool #AL9111 | | | 41,070 | |
| | 124,776 | | | 4.00%, 9/1/46, Pool #BC2843 | | | 136,449 | |
| | 33,423 | | | 4.00%, 9/1/46, Pool #BD1489 | | | 36,156 | |
| | 95,794 | | | 3.50%, 10/1/46, Pool #AL9285 | | | 102,147 | |
| | 22,087 | | | 4.00%, 10/1/46, Pool #BD7599 | | | 23,891 | |
| | 393,541 | | | 3.50%, 12/1/46, Pool #BC9077 | | | 425,832 | |
| | 1,291,095 | | | 4.00%, 2/1/47, Pool #AL9779 | | | 1,419,711 | |
| | 53,334 | | | 3.50%, 2/1/47, Pool #BE5696 | | | 57,187 | |
| | 519,596 | | | 4.50%, 2/1/47, Pool #AL9846 | | | 569,527 | |
| | 6,425 | | | 4.00%, 6/1/47, Pool #BH4269 | | | 6,955 | |
| | 385,108 | | | 4.50%, 9/1/49, Pool #FM1534 | | | 424,083 | |
| | 98,970 | | | 3.50%, 11/1/49, Pool #CA4557 | | | 105,587 | |
| | 475,471 | | | 4.00%, 11/1/49, Pool #CA4628 | | | 513,937 | |
| | 5,675,000 | | | 3.00%, 1/25/50, TBA | | | 5,882,492 | |
| | 118,950 | | | 3.00%, 2/1/50, Pool #CA5126 | | | 124,554 | |
| | 2,750,000 | | | 2.00%, 2/25/50, TBA | | | 2,737,109 | |
| | 355,149 | | | 2.50%, 8/1/50, Pool #SD0430 | | | 364,479 | |
| | 2,975,000 | | | 2.50%, 1/25/51, TBA | | | 3,037,289 | |
| | 4,650,000 | | | 2.00%, 1/25/51, TBA | | | 4,638,375 | |
| | 1,000,000 | | | 1.50%, 1/25/51, TBA | | | 965,938 | |
| | 187,970 | | | 2.50%, 2/1/51, Pool #CA8950 | | | 192,280 | |
| | 300,000 | | | 1.50%, 2/25/51 | | | 289,359 | |
| | 487,980 | | | 2.00%, 3/1/51, Pool #MA4281 | | | 487,076 | |
| | 296,446 | | | 2.50%, 4/1/51, Pool #FM6540 | | | 307,950 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Federal National Mortgage Association, continued | |
| $ | 842,336 | | | 2.00%, 4/1/51, Pool #MA4305 | | $ | 840,774 | |
| | 11,174 | | | 2.00%, 7/1/51, Pool #BT1461 | | | 11,195 | |
| | 49,033 | | | 2.50%, 8/1/51, Pool #CB1384 | | | 50,338 | |
| | 199,213 | | | 2.50%, 9/1/51, Pool #CB1549 | | | 204,887 | |
| | 261,085 | | | 2.00%, 10/1/51, Pool #CB1799 | | | 262,062 | |
| | 345,437 | | | 2.00%, 10/1/51, Pool #CB1801 | | | 346,083 | |
| | 198,809 | | | 3.00%, 11/1/51, POOL# FM9633 | | | 208,099 | |
| | 362,906 | | | 2.00%, 11/1/51, Pool #FM9568 | | | 364,036 | |
| | 235,049 | | | 2.00%, 11/1/51, Pool #FM9539 | | | 235,489 | |
| | 794,987 | | | 2.50%, 11/1/51, Pool #FM9501 | | | 817,625 | |
| | 299,999 | | | 1.50%, 11/1/51, Pool #MA4464 | | | 290,026 | |
| | 149,848 | | | 2.00%, 12/1/51, Pool #CB2347 | | | 150,315 | |
| | 548,133 | | | 2.50%, 12/1/51, Pool #CB2289 | | | 560,095 | |
| | 141,809 | | | 2.50%, 12/1/51, Pool #CB2376 | | | 145,584 | |
| | 1,200,121 | | | 2.50%, 12/1/51, Pool #FM9865 | | | 1,234,296 | |
| | 149,331 | | | 2.00%, 12/1/51, Pool #CB2350 | | | 149,471 | |
| | 199,649 | | | 2.50%, 12/1/51, Pool #CB2320 | | | 205,335 | |
| | 549,916 | | | 2.00%, 12/1/51, Pool #CB2349 | | | 550,944 | |
| | 157,711 | | | 2.50%, 12/1/51, Pool #CB2321 | | | 161,764 | |
| | 99,875 | | | 2.00%, 12/1/51, Pool #CB2348 | | | 100,061 | |
| | | | | | | | |
| | | | | | | 37,779,804 | |
| | | | | | | | |
| Government National Mortgage Association (3.3%) | |
| | 6,171 | | | 5.00%, 6/15/34, Pool #629493 | | | 7,104 | |
| | 3,253 | | | 5.00%, 3/15/38, Pool #676766 | | | 3,696 | |
| | 1,648 | | | 5.00%, 4/15/38, Pool #672672 | | | 1,875 | |
| | 6,701 | | | 5.00%, 8/15/38, Pool #687818 | | | 7,615 | |
| | 57,890 | | | 5.00%, 1/15/39, Pool #705997 | | | 65,785 | |
| | 110,666 | | | 5.00%, 3/15/39, Pool #646746 | | | 125,687 | |
| | 663 | | | 5.00%, 3/15/39, Pool #697946 | | | 746 | |
| | 112,624 | | | 4.00%, 10/15/40, Pool #783143 | | | 122,335 | |
| | 31,474 | | | 4.00%, 10/20/40, Pool #G24833 | | | 33,890 | |
| | 94,568 | | | 4.00%, 1/20/41, Pool #4922 | | | 101,830 | |
| | 258,923 | | | 4.50%, 3/20/41, Pool #4978 | | | 281,552 | |
| | 91,554 | | | 4.50%, 5/20/41, Pool #005055 | | | 99,561 | |
| | 194,297 | | | 4.00%, 5/20/41, Pool #5054 | | | 209,263 | |
| | 86,560 | | | 4.50%, 6/15/41, Pool #366975 | | | 98,756 | |
| | 60,190 | | | 4.50%, 6/20/41, Pool #005082 | | | 65,453 | |
| | 215,008 | | | 4.00%, 10/20/41, Pool #5203 | | | 231,533 | |
| | 239,960 | | | 3.50%, 12/20/41, Pool #5258 | | | 258,228 | |
| | 423,972 | | | 4.00%, 1/20/42, Pool #5280 | | | 456,574 | |
| | 284,315 | | | 3.50%, 10/20/42, Pool #MA0462 | | | 305,422 | |
| | 231,982 | | | 3.00%, 12/20/42, Pool #AA5872 | | | 241,447 | |
| | 146,899 | | | 3.00%, 12/20/42, Pool #MA0624 | | | 155,689 | |
| | 25,754 | | | 3.00%, 1/20/43, Pool #MA0698 | | | 27,280 | |
| | 1,472,755 | | | 3.50%, 1/20/43, Pool #MA0699 | | | 1,549,271 | |
| | 326,207 | | | 3.50%, 2/20/43, Pool #MA0783 | | | 350,411 | |
| | 144,157 | | | 3.00%, 3/20/43, Pool #AA6146 | | | 156,920 | |
| | 41,904 | | | 3.50%, 3/20/43, Pool #AD8884 | | | 44,868 | |
| | 62,729 | | | 3.00%, 3/20/43, Pool #AD8812 | | | 67,636 | |
| | 16,126 | | | 3.50%, 4/20/43, Pool #AB9891 | | | 17,264 | |
| | 43,545 | | | 3.50%, 4/20/43, Pool #AD9075 | | | 46,623 | |
| | 260,295 | | | 3.50%, 4/20/43, Pool #783976 | | | 279,801 | |
| | 3,914 | | | 4.00%, 7/20/44, Pool #MA2074 | | | 4,214 | |
| | 58,157 | | | 4.00%, 5/20/45, Pool #MA2893 | | | 62,575 | |
| | 84,320 | | | 4.00%, 8/20/45, Pool #MA3035 | | | 90,719 | |
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | |
| Government National Mortgage Association, continued | |
| $ | 3,164 | | | 4.00%, 9/20/45, Pool #MA3106 | | $ | 3,404 | |
| | 3,368 | | | 4.00%, 10/20/45, Pool #MA3174 | | | 3,624 | |
| | 3,917 | | | 4.00%, 12/20/45, Pool #MA3311 | | | 4,214 | |
| | 3,811 | | | 4.00%, 1/20/46, Pool #MA3377 | | | 4,100 | |
| | 167,458 | | | 4.00%, 4/15/46, Pool #784232 | | | 185,785 | |
| | 229,945 | | | 4.00%, 5/20/46, Pool #MA3664 | | | 246,674 | |
| | 24,952 | | | 3.50%, 7/20/46, Pool #784391 | | | 26,563 | |
| | 14,520 | | | 3.00%, 10/20/46, Pool #MA4003 | | | 15,201 | |
| | 751,477 | | | 3.00%, 12/20/46, Pool #MA4126 | | | 786,480 | |
| | 59,575 | | | 4.00%, 1/15/47, Pool #AX5831 | | | 64,263 | |
| | 86,991 | | | 4.00%, 1/15/47, Pool #AX5857 | | | 93,327 | |
| | 237,172 | | | 3.00%, 1/20/47, Pool #MA4195 | | | 248,290 | |
| | 140,751 | | | 3.00%, 2/20/47, Pool #MA4261 | | | 147,135 | |
| | 29,328 | | | 4.00%, 3/20/47, Pool #MA4322 | | | 31,281 | |
| | 30,151 | | | 4.00%, 4/20/47, Pool #MA4383 | | | 32,158 | |
| | 240,799 | | | 4.00%, 4/20/47, Pool #784304 | | | 255,506 | |
| | 228,545 | | | 4.00%, 4/20/47, Pool #784303 | | | 242,507 | |
| | 19,165 | | | 4.00%, 5/20/47, Pool #MA4452 | | | 20,441 | |
| | 80,218 | | | 4.00%, 6/20/47, Pool #MA4511 | | | 85,558 | |
| | 75,032 | | | 4.00%, 4/20/48, Pool #BG7744 | | | 81,059 | |
| | 89,452 | | | 4.00%, 4/20/48, Pool #BG3507 | | | 96,638 | |
| | 93,411 | | | 3.50%, 11/20/50, Pool #MA6997 | | | 97,377 | |
| | 50,000 | | | 3.00%, 1/20/51, TBA | | | 51,766 | |
| | 500,000 | | | 3.50%, 1/20/51, TBA | | | 519,922 | |
| | 350,000 | | | 2.00%, 2/20/51, TBA | | | 352,680 | |
| | 159,465 | | | 3.00%, 6/20/51, Pool #MA7419 | | | 165,416 | |
| | 1,525,000 | | | 2.50%, 7/20/51, TBA | | | 1,562,648 | |
| | 3,575,000 | | | 2.00%, 1/20/52, TBA | | | 3,609,074 | |
| | | | | | | | |
| | | | | | | 14,604,714 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $65,154,314) | | | 66,143,471 | |
| | | | | | | | |
| U.S. Treasury Obligations (31.8%): | |
| U.S. Treasury Bonds (10.2%) | |
| | 2,566,000 | | | 1.13%, 5/15/40 | | | 2,256,476 | |
| | 7,103,000 | | | 1.75%, 8/15/41 | | | 6,907,668 | |
| | 11,313,000 | | | 3.00%, 2/15/47 | | | 13,748,830 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations, continued | |
| U.S. Treasury Bonds, continued | |
| $ | 18,386,000 | | | 2.00%, 8/15/51 | | $ | 18,831,286 | |
| | 4,009,000 | | | 1.88%, 11/15/51 | | | 3,996,472 | |
| | | | | | | | |
| | | | | | | 45,740,732 | |
| | | | | | | | |
| U.S. Treasury Inflation Index Bonds (0.1%) | |
| | 189,264 | | | 0.13%, 2/15/51 | | | 223,983 | |
| | | | | | | | |
| U.S. Treasury Notes (21.5%) | |
| | 2,034,000 | | | 2.13%, 7/31/24 | | | 2,098,834 | |
| | 19,438,000 | | | 0.25%, 7/31/25 | | | 18,860,934 | |
| | 4,710,000 | | | 0.38%, 12/31/25 | | | 4,567,228 | |
| | 7,700,000 | | | 0.38%, 1/31/26 | | | 7,454,562 | |
| | 9,253,000 | | | 0.75%, 3/31/26 | | | 9,080,952 | |
| | 3,535,600 | | | 1.63%, 9/30/26 | | | 3,597,473 | |
| | 3,457,000 | | | 1.25%, 12/31/26 | | | 3,455,920 | |
| | 17,365,000 | | | 1.25%, 5/31/28 | | | 17,204,916 | |
| | 6,946,000 | | | 1.13%, 8/31/28 | | | 6,817,933 | |
| | 1,460,000 | | | 1.25%, 9/30/28 | | | 1,444,031 | |
| | 10,936,900 | | | 1.13%, 2/15/31 | | | 10,629,300 | |
| | 10,766,000 | | | 1.38%, 11/15/31 | | | 10,644,883 | |
| | | | | | | | |
| | | | | | | 95,856,966 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $144,874,108) | | | 141,821,681 | |
| | | | | | | | |
| Short-Term Security Held as Collateral for Securities on Loan (1.0%): | |
| | 4,390,782 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(f)(g) | | | 4,390,782 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on Loan
(Cost $4,390,782) | | | 4,390,782 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (5.4%): | |
| Money Markets (5.4%): | |
| | 24,230,789 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(g) | | | 24,230,789 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $24,230,789) | | | 24,230,789 | |
| | | | | | | | |
| | Total Investment Securities (Cost $464,962,025) — 105.9%(h) | | | 473,053,237 | |
| | Net other assets (liabilities) — (5.9)% | | | (26,550,811 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 446,502,426 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $4,236,716. |
| † | 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, 2021. The total of all such securities represent 0.10% of the net assets of the fund. |
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| (b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
| (c) | The rate 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, 2021. |
| (d) | 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, 2021, these securities represent 0.04% of the net assets of the fund. |
| (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, 2021. |
| (g) | The rate represents the effective yield at December 31, 2021. |
| (h) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $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 value of investments as of December 31, 2021:
| | | | |
| Country | | Percentage | |
| |
Argentina | | | 0.1 | % |
Australia | | | 0.1 | % |
Canada | | | 0.6 | % |
Cayman Islands | | | 2.5 | % |
Chile | | | 0.1 | % |
Colombia | | | — | %† |
Dominican Republic | | | 0.4 | % |
France | | | 0.4 | % |
Germany | | | 0.8 | % |
Guernsey | | | 0.6 | % |
Hong Kong | | | 0.2 | % |
Indonesia | | | 0.3 | % |
Ireland | | | 0.6 | % |
Italy | | | 0.5 | % |
| | | | |
| Country | | Percentage | |
Luxembourg | | | 0.5 | % |
Mexico | | | 1.0 | % |
Netherlands | | | 0.4 | % |
Qatar | | | 0.3 | % |
Saudi Arabia | | | 0.2 | % |
Spain | | | — | %† |
Supernational | | | 0.1 | % |
Switzerland | | | 0.4 | % |
United Arab Emirates | | | 0.2 | % |
United Kingdom | | | 1.8 | % |
United States | | | 87.9 | % |
Zambia | | | — | %† |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Total Bond Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 464,962,025 | |
| | | | | |
Investment securities, at value(a) | | | $ | 473,053,237 | |
Cash | | | | 52,756 | |
Interest and dividends receivable | | | | 2,998,992 | |
Receivable for capital shares issued | | | | 8,615 | |
Receivable for investments sold | | | | 570,976 | |
Receivable for TBA investments sold | | | | 7,375,965 | |
Prepaid expenses | | | | 2,158 | |
| | | | | |
Total Assets | | | | 484,062,699 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 5,680,670 | |
Payable for TBA investments purchased | | | | 27,110,190 | |
Payable for capital shares redeemed | | | | 711 | |
Payable for collateral received on loaned securities | | | | 4,390,782 | |
Manager fees payable | | | | 190,031 | |
Administration fees payable | | | | 73,710 | |
Distribution fees payable | | | | 90,489 | |
Custodian fees payable | | | | 1,744 | |
Administrative and compliance services fees payable | | | | 624 | |
Transfer agent fees payable | | | | 1,736 | |
Trustee fees payable | | | | 3,507 | |
Other accrued liabilities | | | | 16,079 | |
| | | | | |
Total Liabilities | | | | 37,560,273 | |
| | | | | |
Net Assets | | | $ | 446,502,426 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 420,324,777 | |
Total distributable earnings | | | | 26,177,649 | |
| | | | | |
Net Assets | | | $ | 446,502,426 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 21,203,091 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 2,065,195 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.27 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 425,299,335 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 40,107,344 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.60 | |
| | | | | |
| (a) | Includes securities on loan of $4,236,716. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 12,758,543 | |
Dividends | | | | 7,248 | |
Income from securities lending | | | | 13,076 | |
| | | | | |
Total Investment Income | | | | 12,778,867 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 2,296,611 | |
Administration fees | | | | 224,906 | |
Distribution fees — Class 2 | | | | 1,093,303 | |
Custodian fees | | | | 12,092 | |
Administrative and compliance services fees | | | | 5,253 | |
Transfer agent fees | | | | 9,452 | |
Trustee fees | | | | 21,855 | |
Professional fees | | | | 19,104 | |
Shareholder reports | | | | 19,468 | |
Other expenses | | | | 8,182 | |
| | | | | |
Total expenses | | | | 3,710,226 | |
| | | | | |
Net Investment Income/(Loss) | | | | 9,068,641 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 9,160,321 | |
Net realized gains/(losses) on securities held short | | | | 7,064 | |
Change in net unrealized appreciation/depreciation on securities | | | | (16,709,674 | ) |
Change in net unrealized appreciation/depreciation on securities held short | | | | 6,847 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | (7,535,442 | ) |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 1,533,199 | |
| | | | | |
See accompanying notes to the financial statements.
27
AZL Fidelity Institutional Asset Management Total Bond Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 9,068,641 | | | | $ | 11,637,229 | |
Net realized gains/(losses) on investments | | | | 9,167,385 | | | | | 16,797,422 | |
Change in unrealized appreciation/depreciation on investments | | | | (16,702,827 | ) | | | | 9,270,409 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 1,533,199 | | | | | 37,705,060 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (1,066,245 | ) | | | | (814,539 | ) |
Class 2 | | | | (19,280,232 | ) | | | | (13,970,449 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (20,346,477 | ) | | | | (14,784,988 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 1,261,069 | | | | | 921,431 | |
Proceeds from dividends reinvested | | | | 1,066,245 | | | | | 814,539 | |
Value of shares redeemed | | | | (2,670,478 | ) | | | | (3,164,372 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (343,164 | ) | | | | (1,428,402 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 23,765,497 | | | | | 31,658,359 | |
Proceeds from dividends reinvested | | | | 19,280,232 | | | | | 13,970,449 | |
Value of shares redeemed | | | | (36,684,713 | ) | | | | (101,509,337 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 6,361,016 | | | | | (55,880,529 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 6,017,852 | | | | | (57,308,931 | ) |
| | | | | | | | | | |
Change in net assets | | | | (12,795,426 | ) | | | | (34,388,859 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 459,297,852 | | | | | 493,686,711 | |
| | | | | | | | | | |
End of period | | | $ | 446,502,426 | | | | $ | 459,297,852 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 118,697 | | | | | 87,272 | |
Dividends reinvested | | | | 104,227 | | | | | 77,723 | |
Shares redeemed | | | | (254,331 | ) | | | | (306,567 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (31,407 | ) | | | | (141,572 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 2,167,150 | | | | | 2,920,316 | |
Dividends reinvested | | | | 1,822,328 | | | | | 1,292,363 | |
Shares redeemed | | | | (3,362,418 | ) | | | | (9,574,371 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 627,060 | | | | | (5,361,692 | ) |
| | | | | | | | | | |
Change in shares | | | | 595,653 | | | | | (5,503,264 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
28
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.73 | | | | $ | 10.20 | | | | $ | 9.54 | | | | $ | 9.96 | | | | $ | 9.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.23 | (a) | | | | 0.29 | (a) | | | | 0.32 | (a) | | | | 0.32 | | | | | 0.23 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.17 | ) | | | | 0.63 | | | | | 0.69 | | | | | (0.42 | ) | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.06 | | | | | 0.92 | | | | | 1.01 | | | | | (0.10 | ) | | | | 0.44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.31 | ) | | | | (0.39 | ) | | | | (0.35 | ) | | | | (0.32 | ) | | | | (0.25 | ) |
Net Realized Gains | | | | (0.21 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.52 | ) | | | | (0.39 | ) | | | | (0.35 | ) | | | | (0.32 | ) | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.27 | | | | $ | 10.73 | | | | $ | 10.20 | | | | $ | 9.54 | | | | $ | 9.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 0.59 | % | | | | 9.12 | % | | | | 10.57 | % | | | | (1.00 | )% | | | | 4.55 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 21,203 | | | | $ | 22,495 | | | | $ | 22,823 | | | | $ | 21,476 | | | | $ | 24,077 | |
Net Investment Income/(Loss) | | | | 2.21 | % | | | | 2.78 | % | | | | 3.17 | % | | | | 2.96 | % | | | | 2.23 | % |
Expenses Before Reductions(c) | | | | 0.57 | % | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % |
Expenses Net of Reductions | | | | 0.57 | % | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % |
Portfolio Turnover Rate(d) | | | | 76 | % | | | | 71 | % | | | | 68 | % | | | | 38 | % | | | | 81 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.06 | | | | $ | 10.50 | | | | $ | 9.81 | | | | $ | 10.23 | | | | $ | 10.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.21 | (a) | | | | 0.27 | (a) | | | | 0.30 | (a) | | | | 0.31 | | | | | 0.22 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.18 | ) | | | | 0.65 | | | | | 0.71 | | | | | (0.44 | ) | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.03 | | | | | 0.92 | | | | | 1.01 | | | | | (0.13 | ) | | | | 0.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.28 | ) | | | | (0.36 | ) | | | | (0.32 | ) | | | | (0.29 | ) | | | | (0.25 | ) |
Net Realized Gains | | | | (0.21 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
Total Dividends | | | | (0.49 | ) | | | | (0.36 | ) | | | | (0.32 | ) | | | | (0.29 | ) | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.60 | | | | $ | 11.06 | | | | $ | 10.50 | | | | $ | 9.81 | | | | $ | 10.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 0.31 | % | | | | 8.84 | % | | | | 10.28 | % | | | | (1.25 | )% | | | | 4.28 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 425,299 | | | | $ | 436,803 | | | | $ | 470,864 | | | | $ | 478,991 | | | | $ | 552,678 | |
Net Investment Income/(Loss) | | | | 1.96 | % | | | | 2.53 | % | | | | 2.92 | % | | | | 2.71 | % | | | | 1.98 | % |
Expenses Before Reductions(c) | | | | 0.82 | % | | | | 0.83 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.81 | % |
Expenses Net of Reductions | | | | 0.82 | % | | | | 0.83 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.81 | % |
Portfolio Turnover Rate(d) | | | | 76 | % | | | | 71 | % | | | | 68 | % | | | | 38 | % | | | | 81 | % |
| (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. |
See accompanying notes to the financial statements.
29
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
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 a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. 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.
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.
30
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 on 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, 2021 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 $1,293 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,390,782 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, 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, 2021, 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 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
31
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 | % |
| * | The annual rate due to the Manager is 0.50% of the first $2.5 billion of the Fund’s net assets, 0.40% of the next $15 billion of the Fund’s net assets, and 0.37% on the Fund’s net assets over $17.5 billion. Prior to June 1, 2021, the annual rate due to the Manager was 0.50% on all net assets. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such 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.
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.
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
32
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | |
Common Stocks+ | | | $ | 305,927 | | | | $ | — | | | | $ | 211,873 | | | | $ | 517,800 | |
Preferred Stock+ | | | | 69,408 | | | | | — | | | | | — | | | | | 69,408 | |
Warrant+ | | | | 1,178 | | | | | — | | | | | — | | | | | 1,178 | |
Asset Backed Securities | | | | — | | | | | 9,694,965 | | | | | — | | | | | 9,694,965 | |
Collateralized Mortgage Obligations | | | | — | | | | | 34,958,049 | | | | | — | | | | | 34,958,049 | |
Convertible Bonds | | | | — | | | | | 770,931 | | | | | 241,680 | | | | | 1,012,611 | |
Bank Loans | | | | — | | | | | 737,570 | | | | | — | | | | | 737,570 | |
Corporate Bonds+ | | | | — | | | | | 138,568,742 | | | | | — | # | | | | 138,568,742 | |
Yankee Debt Obligations+ | | | | — | | | | | 47,788,786 | | | | | — | | | | | 47,788,786 | |
Municipal Bonds | | | | — | | | | | 3,117,405 | | | | | — | | | | | 3,117,405 | |
U.S. Government Agency Mortgages | | | | — | | | | | 66,143,471 | | | | | — | | | | | 66,143,471 | |
U.S. Treasury Obligations | | | | — | | | | | 141,821,681 | | | | | — | | | | | 141,821,681 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 4,390,782 | | | | | — | | | | | — | | | | | 4,390,782 | |
Unaffiliated Investment Company | | | | 24,230,789 | | | | | — | | | | | — | | | | | 24,230,789 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | $ | 28,998,084 | | | | $ | 443,601,600 | | | | $ | 453,553 | | | | $ | 473,053,237 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
5. Security Purchases and Sales
For the year ended December 31, 2021, 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 | | | $ | 327,979,246 | | | | $ | 342,267,423 | |
For the year ended December 31, 2021, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 275,321,280 | | | | $ | 249,892,745 | |
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.
33
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
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, 2021 are identified below.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition
Date(a) | | Acquisition
Cost | | Shares
or
Principal
Amount | | Value | | Percentage of
Net Assets |
| | | | | |
Mesquite Energy, Inc., 15.00%, 7/15/23 | | | | 7/10/20 | | | | $ | 38,899 | | | | | 45,151 | | | | $ | 156,674 | | | | | 0.04 | % |
Mesquite Energy, Inc., 15.00%, 7/15/23 | | | | 11/5/20 | | | | | 67,000 | | | | | 76,968 | | | | | 241,680 | | | | | 0.05 | % |
Sanchez Energy Corp., 7.25%, 2/15/23, Callable 1/18/22 @ 101.81 | | | | 10/30/18 | | | | | 376,933 | | | | | 408,000 | | | | | — | | | | | 0.00 | % |
| (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.
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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.
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AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
8. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
9. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
10. 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, 2021 is $464,974,852. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
| | | | |
Unrealized appreciation | | $ | 14,583,511 | |
Unrealized (depreciation) | | | (6,505,126 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 8,078,385 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Fidelity Institutional Asset Management Total Bond Fund | | | $ | 13,753,916 | | | | $ | 6,592,561 | | | | $ | 20,346,477 | |
| (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, 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. |
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AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 9,225,742 | | | | $ | 8,873,522 | | | | $ | — | | | | $ | 8,078,385 | | | | $ | 26,177,649 | |
| (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 other miscellaneous differences. |
11. 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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of the shareholder could have a material impact to the Fund.
12. 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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian, agent banks 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, the Fund declared net short-term capital gain distributions of $2,116,661.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $6,592,561.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
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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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
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Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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.
42
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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46
| | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46
| | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46
| | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
43
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions Held with
AIM Complex | | Term of Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® Gateway Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® Gateway Fund (the “Fund”) returned 11.13%. That compared to a 28.71% total return for its benchmark, the S&P 500® Index. 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 deviation of daily returns for the year was 6.00% compared to 13.09% for the S&P 500® Index.1
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 seek to lower volatility and generate cash flow; the Fund then uses a portion of this cash flow to purchase index put options, which are intended to help mitigate any sharp, sudden price declines in the equity portfolio.
U.S. equity markets posted strong gains in 2021 — the third year in a row of double-digit returns for the S&P 500® Index. Stocks rose over the course of the first and second quarters of 2021 as vaccine delivery accelerated and the promise of new fiscal stimulus helped settle investor concerns over inflation and labor market imbalances. Rising interest rates were a theme for much of the year, and inflation fears finally triggered a pullback in equity markets in September. The selloff was also due to growing concerns over the new Delta variant of COVID-19. Uncertainty surrounding fiscal and monetary policy also weighed on market sentiment at the end of the third quarter. In the fourth quarter, however, stocks rebounded to post their strongest quarterly returns of the year despite ongoing concerns around inflation, surging COVID-19 cases, and monetary policy concerns.
Implied volatility remained slightly above its historical average throughout most of 2021, although down from its peak in March 2020 near the start of the COVID-19 pandemic. By comparison, realized volatility, as measured by the standard deviation2 of daily returns for the S&P 500® Index, was below-average for the year. The spread between S&P 500® Index realized volatility and average implied volatility, often referred to as the Volatility Risk Premium (VRP), was positive in 2021 — which is typical. But the spread was consistently wider than normal throughout the year.
The Fund underperformed its benchmark for 2021 while achieving its risk objective by exhibiting significantly less risk than the equity market — less than half as measured by standard deviation. However, the risk-reducing options strategy generated losses that detracted from returns during the strong market gains experienced throughout most of the year. For example, the Fund lagged its benchmark by 551 basis points during the fourth quarter as the market posted its strongest gains of the year. However, the Fund’s equity portfolio did deliver a return of 28.45% which is just slightly below the return of its benchmark.
Higher-than-normal implied volatility helped support the Fund’s relative returns as the Fund focused on the higher volatility priced into longer-dated call option contracts and a persistently above-average volatility risk premium. Throughout 2021, the Fund’s two-part option strategy delivered equity market participation during the periods in which the equity market advanced and significant downside protection during market declines.
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 during the reporting period. Consistent with its investment objective, the measured risk of the Fund was low relative to the U.S. equity market during the reporting period. However, despite generating gains during market declines, the derivatives had an overall negative impact on the Fund’s return relative to its benchmark during the reporting 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 as described 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, 2021. |
| 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. |
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, 2021 |
| | | 1
Year | | 3
Year | | 5
Year | | 10
Year |
AZL® Gateway Fund | | | | 11.13 | % | | | | 9.74 | % | | | | 6.64 | % | | | | 5.55 | % |
S&P 500® Index | | | | 28.71 | % | | | | 26.07 | % | | | | 18.47 | % | | | | 16.55 | % |
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 | | | | 1.12 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Gateway Fund | | | $ | 1,000.00 | | | | $ | 1,037.40 | | | | $ | 5.85 | | | | | 1.14 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Gateway Fund | | | $ | 1,000.00 | | | | $ | 1,019.46 | | | | $ | 5.80 | | | | | 1.14 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 29.1 | % |
| |
Health Care | | | | 13.3 | |
| |
Consumer Discretionary | | | | 12.1 | |
| |
Financials | | | | 10.4 | |
| |
Communication Services | | | | 9.9 | |
| |
Industrials | | | | 8.0 | |
| |
Consumer Staples | | | | 5.9 | |
| |
Energy | | | | 2.7 | |
| |
Materials | | | | 2.6 | |
| |
Utilities | | | | 2.5 | |
| |
Real Estate | | | | 2.5 | |
| | | | | |
| |
Total Common Stocks | | | | 99.0 | |
| |
Unaffiliated Investment Company | | | | 2.4 | |
| |
Purchased Put Options | | | | 0.6 | |
| | | | | |
| |
Total Investment Securities | | | | 102.0 | |
| |
Net other assets (liabilities) | | | | (2.0 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks+ (99.0%): | | | |
| Aerospace & Defense (1.2%): | | | |
| | 2,550 | | | Boeing Co. (The)* | | $ | 513,366 | |
| | 704 | | | HEICO Corp. | | | 101,531 | |
| | 9,510 | | | Raytheon Technologies Corp. | | | 818,431 | |
| | 427 | | | TransDigm Group, Inc.* | | | 271,691 | |
| | | | | | | | |
| | | | | | | 1,705,019 | |
| | | | | | | | |
| Air Freight & Logistics (0.6%): | | | |
| | 650 | | | GXO Logistics, Inc.* | | | 59,040 | |
| | 3,738 | | | United Parcel Service, Inc., Class B | | | 801,203 | |
| | 629 | | | XPO Logistics, Inc.* | | | 48,703 | |
| | | | | | | | |
| | | | | | | 908,946 | |
| | | | | | | | |
| Airlines (0.3%): | | | |
| | 2,677 | | | Alaska Air Group, Inc.* | | | 139,472 | |
| | 12,357 | | | JetBlue Airways Corp.* | | | 175,964 | |
| | 2,475 | | | United Airlines Holdings, Inc.* | | | 108,355 | |
| | | | | | | | |
| | | | | | | 423,791 | |
| | | | | | | | |
| Auto Components (0.1%): | | | |
| | 659 | | | Autoliv, Inc. | | | 68,147 | |
| | 1,865 | | | Goodyear Tire & Rubber Co. (The)* | | | 39,762 | |
| | | | | | | | |
| | | | | | | 107,909 | |
| | | | | | | | |
| Automobiles (2.6%): | | | |
| | 20,269 | | | Ford Motor Co. | | | 420,987 | |
| | 5,847 | | | General Motors Co.* | | | 342,810 | |
| | 2,836 | | | Tesla, Inc.* | | | 2,997,028 | |
| | | | | | | | |
| | | | | | | 3,760,825 | |
| | | | | | | | |
| Banks (4.0%): | | | |
| | 4,708 | | | Associated Banc-Corp. | | | 106,354 | |
| | 38,004 | | | Bank of America Corp. | | | 1,690,798 | |
| | 10,459 | | | Citigroup, Inc. | | | 631,619 | |
| | 15,104 | | | JPMorgan Chase & Co. | | | 2,391,718 | |
| | 292 | | | Signature Bank | | | 94,453 | |
| | 16,903 | | | Wells Fargo & Co. | | | 811,006 | |
| | | | | | | | |
| | | | | | | 5,725,948 | |
| | | | | | | | |
| Beverages (1.4%): | | | |
| | 8,529 | | | Keurig Dr Pepper, Inc. | | | 314,379 | |
| | 4,239 | | | Monster Beverage Corp.* | | | 407,114 | |
| | 7,406 | | | PepsiCo, Inc. | | | 1,286,496 | |
| | | | | | | | |
| | | | | | | 2,007,989 | |
| | | | | | | | |
| Biotechnology (1.8%): | | | |
| | 7,434 | | | AbbVie, Inc. | | | 1,006,564 | |
| | 2,612 | | | Amgen, Inc. | | | 587,622 | |
| | 732 | | | Biogen, Inc.* | | | 175,621 | |
| | 394 | | | Exact Sciences Corp.* | | | 30,665 | |
| | 1,450 | | | Ionis Pharmaceuticals, Inc.* | | | 44,123 | |
| | 1,068 | | | Moderna, Inc.* | | | 271,251 | |
| | 390 | | | Seagen, Inc.* | | | 60,294 | |
| | 1,492 | | | Vertex Pharmaceuticals, Inc.* | | | 327,643 | |
| | | | | | | | |
| | | | | | | 2,503,783 | |
| | | | | | | | |
| Building Products (0.3%): | | | |
| | 6,129 | | | Carrier Global Corp. | | | 332,437 | |
| | 357 | | | Lennox International, Inc. | | | 115,797 | |
| | | | | | | | |
| | | | | | | 448,234 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets (2.2%): | | | |
| | 6,981 | | | Charles Schwab Corp. (The) | | $ | 587,102 | |
| | 299 | | | FactSet Research Systems, Inc. | | | 145,317 | |
| | 4,257 | | | Intercontinental Exchange, Inc. | | | 582,230 | |
| | 8,753 | | | Morgan Stanley | | | 859,194 | |
| | 721 | | | MSCI, Inc., Class A | | | 441,750 | |
| | 1,101 | | | S&P Global, Inc. | | | 519,595 | |
| | | | | | | | |
| | | | | | | 3,135,188 | |
| | | | | | | | |
| Chemicals (1.6%): | | | |
| | 1,454 | | | Ashland Global Holdings, Inc. | | | 156,538 | |
| | 1,813 | | | Celanese Corp. | | | 304,693 | |
| | 5,821 | | | Corteva, Inc. | | | 275,217 | |
| | 6,225 | | | Dow, Inc. | | | 353,082 | |
| | 2,223 | | | Eastman Chemical Co. | | | 268,783 | |
| | 559 | | | Ingevity Corp.* | | | 40,080 | |
| | 2,975 | | | LyondellBasell Industries NV, Class A | | | 274,384 | |
| | 3,342 | | | Mosaic Co. (The) | | | 131,307 | |
| | 2,003 | | | Olin Corp. | | | 115,213 | |
| | 1,683 | | | RPM International, Inc. | | | 169,983 | |
| | 3,469 | | | Valvoline, Inc. | | | 129,359 | |
| | | | | | | | |
| | | | | | | 2,218,639 | |
| | | | | | | | |
| Commercial Services & Supplies (0.8%): | | | |
| | 2,104 | | | Copart, Inc.* | | | 319,008 | |
| | 1,219 | | | Waste Connections, Inc. | | | 166,113 | |
| | 4,204 | | | Waste Management, Inc. | | | 701,648 | |
| | | | | | | | |
| | | | | | | 1,186,769 | |
| | | | | | | | |
| Communications Equipment (1.0%): | | | |
| | 23,024 | | | Cisco Systems, Inc. | | | 1,459,031 | |
| | | | | | | | |
| Construction Materials (0.3%): | | | |
| | 854 | | | Martin Marietta Materials, Inc. | | | 376,204 | |
| | | | | | | | |
| Consumer Finance (0.6%): | | | |
| | 2,123 | | | Ally Financial, Inc. | | | 101,076 | |
| | 3,107 | | | Discover Financial Services | | | 359,045 | |
| | 7,679 | | | Synchrony Financial | | | 356,229 | |
| | | | | | | | |
| | | | | | | 816,350 | |
| | | | | | | | |
| Containers & Packaging (0.5%): | | | |
| | 1,267 | | | Avery Dennison Corp. | | | 274,394 | |
| | 1,528 | | | Crown Holdings, Inc. | | | 169,027 | |
| | 2,066 | | | Sonoco Products Co. | | | 119,601 | |
| | 3,792 | | | Westrock Co. | | | 168,213 | |
| | | | | | | | |
| | | | | | | 731,235 | |
| | | | | | | | |
| Distributors (0.2%): | | | |
| | 1,869 | | | Genuine Parts Co. | | | 262,034 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 1,149 | | | Service Corp. International | | | 81,568 | |
| | | | | | | | |
| Diversified Financial Services (1.7%): | | | |
| | 7,464 | | | Berkshire Hathaway, Inc., Class B* | | | 2,231,736 | |
| | 2,315 | | | Voya Financial, Inc. | | | 153,508 | |
| | | | | | | | |
| | | | | | | 2,385,244 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.7%): | | | |
| | 9,320 | | | Lumen Technologies, Inc. | | | 116,966 | |
| | 18,160 | | | Verizon Communications, Inc. | | | 943,594 | |
| | | | | | | | |
| | | | | | | 1,060,560 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities (1.0%): | | | |
| | 5,494 | | | Alliant Energy Corp. | | $ | 337,716 | |
| | 6,792 | | | American Electric Power Co., Inc. | | | 604,284 | |
| | 2,451 | | | Evergy, Inc. | | | 168,163 | |
| | 5,961 | | | FirstEnergy Corp. | | | 247,918 | |
| | 2,734 | | | OGE Energy Corp. | | | 104,931 | |
| | | | | | | | |
| | | | | | | 1,463,012 | |
| | | | | | | | |
| Electrical Equipment (0.5%): | | | |
| | 3,404 | | | Eaton Corp. plc | | | 588,279 | |
| | 871 | | | Hubbell, Inc. | | | 181,403 | |
| | | | | | | | |
| | | | | | | 769,682 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.8%): | | | |
| | 1,668 | | | CDW Corp. | | | 341,573 | |
| | 6,624 | | | Corning, Inc. | | | 246,612 | |
| | 469 | | | Teledyne Technologies, Inc.* | | | 204,901 | |
| | 574 | | | Zebra Technologies Corp., Class A* | | | 341,645 | |
| | | | | | | | |
| | | | | | | 1,134,731 | |
| | | | | | | | |
| Energy Equipment & Services (0.3%): | | | |
| | 11,846 | | | Halliburton Co. | | | 270,918 | |
| | 4,752 | | | Helmerich & Payne, Inc. | | | 112,622 | |
| | | | | | | | |
| | | | | | | 383,540 | |
| | | | | | | | |
| Entertainment (1.8%): | | | |
| | 1,404 | | | Live Nation Entertainment, Inc.* | | | 168,045 | |
| | 1,877 | | | Netflix, Inc.* | | | 1,130,780 | |
| | 121 | | | Roku, Inc.* | | | 27,612 | |
| | 7,720 | | | Walt Disney Co. (The)* | | | 1,195,751 | |
| | | | | | | | |
| | | | | | | 2,522,188 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (2.5%): | | | |
| | 4,387 | | | American Homes 4 Rent, Class A | | | 191,317 | |
| | 1,997 | | | American Tower Corp. | | | 584,122 | |
| | 1,447 | | | Camden Property Trust | | | 258,550 | |
| | 2,293 | | | CubeSmart | | | 130,494 | |
| | 3,312 | | | Douglas Emmett, Inc. | | | 110,952 | |
| | 6,184 | | | Duke Realty Corp. | | | 405,918 | |
| | 2,529 | | | Equity Lifestyle Properties, Inc. | | | 221,692 | |
| | 4,570 | | | Healthcare Realty Trust, Inc. | | | 144,595 | |
| | 6,979 | | | Invitation Homes, Inc. | | | 316,428 | |
| | 1,058 | | | Kilroy Realty Corp. | | | 70,315 | |
| | 7,779 | | | Medical Properties Trust, Inc. | | | 183,818 | |
| | 3,790 | | | National Retail Properties, Inc. | | | 182,185 | |
| | 7,807 | | | Sabra Health Care REIT, Inc. | | | 105,707 | |
| | 1,170 | | | Sun Communities, Inc. | | | 245,665 | |
| | 4,529 | | | UDR, Inc. | | | 271,695 | |
| | 1,711 | | | WP Carey, Inc. | | | 140,387 | |
| | | | | | | | |
| | | | | | | 3,563,840 | |
| | | | | | | | |
| Food & Staples Retailing (1.7%): | | | |
| | 457 | | | Casey’s General Stores, Inc. | | | 90,189 | |
| | 2,213 | | | Costco Wholesale Corp. | | | 1,256,320 | |
| | 1,996 | | | US Foods Holding Corp.* | | | 69,521 | |
| | 6,834 | | | Walmart, Inc. | | | 988,811 | |
| | | | | | | | |
| | | | | | | 2,404,841 | |
| | | | | | | | |
| Food Products (0.8%): | | | |
| | 1,616 | | | Bunge, Ltd. | | | 150,870 | |
| | 1,291 | | | Lamb Weston Holdings, Inc. | | | 81,823 | |
| | 12,039 | | | Mondelez International, Inc., Class A | | | 798,306 | |
| | 905 | | | Post Holdings, Inc.* | | | 102,021 | |
| | | | | | | | |
| | | | | | | 1,133,020 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Gas Utilities (0.0%†): | | | |
| | 1,413 | | | UGI Corp. | | $ | 64,871 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.5%): | | | |
| | 8,295 | | | Abbott Laboratories | | | 1,167,438 | |
| | 3,817 | | | Baxter International, Inc. | | | 327,651 | |
| | 9,562 | | | Boston Scientific Corp.* | | | 406,194 | |
| | 2,604 | | | Danaher Corp. | | | 856,742 | |
| | 4,439 | | | Edwards Lifesciences Corp.* | | | 575,073 | |
| | 225 | | | Insulet Corp.* | | | 59,866 | |
| | 2,141 | | | Intuitive Surgical, Inc.* | | | 769,261 | |
| | 4,720 | | | Medtronic plc | | | 488,284 | |
| | 950 | | | Steris plc | | | 231,240 | |
| | 428 | | | Teleflex, Inc. | | | 140,589 | |
| | | | | | | | |
| | | | | | | 5,022,338 | |
| | | | | | | | |
| Health Care Providers & Services (3.0%): | | | |
| | 1,444 | | | Anthem, Inc. | | | 669,352 | |
| | 6,755 | | | CVS Health Corp. | | | 696,846 | |
| | 1,894 | | | HCA Healthcare, Inc. | | | 486,606 | |
| | 294 | | | Molina Healthcare, Inc.* | | | 93,516 | |
| | 4,323 | | | UnitedHealth Group, Inc. | | | 2,170,751 | |
| | 1,128 | | | Universal Health Services, Inc., Class B | | | 146,256 | |
| | | | | | | | |
| | | | | | | 4,263,327 | |
| | | | | | | | |
| Health Care Technology (0.1%): | | | |
| | 619 | | | Veeva Systems, Inc., Class A* | | | 158,142 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.4%): | | | |
| | 2,733 | | | Hilton Grand Vacations, Inc.* | | | 142,417 | |
| | 2,907 | | | Hilton Worldwide Holdings, Inc.* | | | 453,463 | |
| | 3,936 | | | McDonald’s Corp. | | | 1,055,124 | |
| | 2,975 | | | Melco Resorts & Entertainment, Ltd., ADR* | | | 30,285 | |
| | 2,804 | | | Restaurant Brands International, Inc. | | | 170,147 | |
| | 215 | | | Vail Resorts, Inc. | | | 70,498 | |
| | 3,558 | | | Wendy’s Co. (The) | | | 84,858 | |
| | | | | | | | |
| | | | | | | 2,006,792 | |
| | | | | | | | |
| Household Durables (0.3%): | | | |
| | 41 | | | NVR, Inc.* | | | 242,264 | |
| | 2,269 | | | Toll Brothers, Inc. | | | 164,253 | |
| | | | | | | | |
| | | | | | | 406,517 | |
| | | | | | | | |
| Household Products (1.5%): | | | |
| | 1,804 | | | Clorox Co. (The) | | | 314,545 | |
| | 11,105 | | | Procter & Gamble Co. (The) | | | 1,816,556 | |
| | | | | | | | |
| | | | | | | 2,131,101 | |
| | | | | | | | |
| Industrial Conglomerates (1.3%): | | | |
| | 3,537 | | | 3M Co. | | | 628,277 | |
| | 4,582 | | | General Electric Co. | | | 432,862 | |
| | 3,689 | | | Honeywell International, Inc. | | | 769,193 | |
| | | | | | | | |
| | | | | | | 1,830,332 | |
| | | | | | | | |
| Insurance (1.9%): | | | |
| | 9,916 | | | Aflac, Inc. | | | 578,995 | |
| | 1,112 | | | American Financial Group, Inc. | | | 152,700 | |
| | 1,717 | | | Aon plc, Class A | | | 516,061 | |
| | 1,973 | | | Arch Capital Group, Ltd.* | | | 87,700 | |
| | 3,218 | | | Arthur J. Gallagher & Co. | | | 545,998 | |
| | 2,827 | | | Brown & Brown, Inc. | | | 198,682 | |
| | 1,245 | | | Fidelity National Financial, Inc. | | | 64,964 | |
| | 3,942 | | | Lincoln National Corp. | | | 269,081 | |
See accompanying notes to the financial statements.
5
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 59 | | | Markel Corp.* | | $ | 72,806 | |
| | 451 | | | RenaissanceRe Holdings, Ltd. | | | 76,368 | |
| | 5,660 | | | Unum Group | | | 139,066 | |
| | | | | | | | |
| | | | | | | 2,702,421 | |
| | | | | | | | |
| Interactive Media & Services (6.5%): | | | |
| | 498 | | | Alphabet, Inc., Class A* | | | 1,442,726 | |
| | 1,551 | | | Alphabet, Inc., Class C* | | | 4,487,958 | |
| | 1,215 | | | Match Group, Inc.* | | | 160,684 | |
| | 8,818 | | | Meta Platforms, Inc., Class A* | | | 2,965,934 | |
| | 3,557 | | | Twitter, Inc.* | | | 153,733 | |
| | 976 | | | Zillow Group, Inc., Class C* | | | 62,318 | |
| | | | | | | | |
| | | | | | | 9,273,353 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (4.0%): | | | |
| | 1,564 | | | Amazon.com, Inc.* | | | 5,214,908 | |
| | 180 | | | Booking Holdings, Inc.* | | | 431,861 | |
| | 44 | | | MercadoLibre, Inc.* | | | 59,330 | |
| | | | | | | | |
| | | | | | | 5,706,099 | |
| | | | | | | | |
| IT Services (4.0%): | | | |
| | 2,546 | | | Automatic Data Processing, Inc. | | | 627,793 | |
| | 655 | | | Black Knight, Inc.* | | | 54,293 | |
| | 419 | | | Block, Inc.* | | | 67,673 | |
| | 1,984 | | | DXC Technology Co.* | | | 63,865 | |
| | 342 | | | EPAM Systems, Inc.* | | | 228,610 | |
| | 3,235 | | | Mastercard, Inc., Class A | | | 1,162,400 | |
| | 3,290 | | | Paychex, Inc. | | | 449,085 | |
| | 5,189 | | | PayPal Holdings, Inc.* | | | 978,541 | |
| | 38 | | | Shopify, Inc., Class A* | | | 52,341 | |
| | 217 | | | Twilio, Inc., Class A* | | | 57,145 | |
| | 1,458 | | | VeriSign, Inc.* | | | 370,069 | |
| | 7,301 | | | Visa, Inc., Class A | | | 1,582,200 | |
| | | | | | | | |
| | | | | | | 5,694,015 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 331 | | | Polaris, Inc. | | | 36,380 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.1%): | | | |
| | 335 | | | ICON plc* | | | 103,749 | |
| | 877 | | | Illumina, Inc.* | | | 333,646 | |
| | 1,600 | | | Thermo Fisher Scientific, Inc. | | | 1,067,584 | |
| | | | | | | | |
| | | | | | | 1,504,979 | |
| | | | | | | | |
| Machinery (1.5%): | | | |
| | 3,170 | | | Caterpillar, Inc. | | | 655,366 | |
| | 1,551 | | | Cummins, Inc. | | | 338,335 | |
| | 1,610 | | | Deere & Co. | | | 552,053 | |
| | 1,071 | | | Parker-Hannifin Corp. | | | 340,707 | |
| | 2,111 | | | Pentair plc | | | 154,166 | |
| | 1,101 | | | Timken Co. | | | 76,288 | |
| | | | | | | | |
| | | | | | | 2,116,915 | |
| | | | | | | | |
| Media (0.9%): | | | |
| | 19,047 | | | Comcast Corp., Class A | | | 958,635 | |
| | 582 | | | Liberty Broadband Corp., Class C* | | | 93,760 | |
| | 5,531 | | | Liberty Global plc, Class C* | | | 155,366 | |
| | 9,768 | | | Sirius XM Holdings, Inc. | | | 62,027 | |
| | | | | | | | |
| | | | | | | 1,269,788 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining (0.3%): | | | |
| | 2,146 | | | Southern Copper Corp. | | $ | 132,430 | |
| | 2,532 | | | Steel Dynamics, Inc. | | | 157,161 | |
| | 1,445 | | | Worthington Industries, Inc. | | | 78,984 | |
| | | | | | | | |
| | | | | | | 368,575 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.1%): | | | |
| | 8,511 | | | Annaly Capital Management, Inc. | | | 66,556 | |
| | | | | | | | |
| Multiline Retail (0.5%): | | | |
| | 1,770 | | | Nordstrom, Inc.* | | | 40,037 | |
| | 3,141 | | | Target Corp. | | | 726,953 | |
| | | | | | | | |
| | | | | | | 766,990 | |
| | | | | | | | |
| Multi-Utilities (1.4%): | | | |
| | 5,475 | | | Ameren Corp. | | | 487,330 | |
| | 8,256 | | | Consolidated Edison, Inc. | | | 704,402 | |
| | 5,769 | | | Public Service Enterprise Group, Inc. | | | 384,965 | |
| | 4,424 | | | WEC Energy Group, Inc. | | | 429,438 | |
| | | | | | | | |
| | | | | | | 2,006,135 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.4%): | | | |
| | 1,083 | | | Cheniere Energy, Inc. | | | 109,838 | |
| | 8,118 | | | Chevron Corp. | | | 952,647 | |
| | 8,673 | | | ConocoPhillips | | | 626,017 | |
| | 20,407 | | | Exxon Mobil Corp. | | | 1,248,705 | |
| | 1,068 | | | HollyFrontier Corp. | | | 35,009 | |
| | 5,874 | | | Occidental Petroleum Corp. | | | 170,287 | |
| | 4,393 | | | ONEOK, Inc. | | | 258,133 | |
| | | | | | | | |
| | | | | | | 3,400,636 | |
| | | | | | | | |
| Personal Products (0.0%†): | | | |
| | 1,346 | | | Herbalife Nutrition, Ltd.* | | | 55,092 | |
| | | | | | | | |
| Pharmaceuticals (3.8%): | | | |
| | 10,879 | | | Bristol-Myers Squibb Co. | | | 678,306 | |
| | 3,242 | | | Eli Lilly & Co. | | | 895,505 | |
| | 248 | | | Jazz Pharmaceuticals plc* | | | 31,595 | |
| | 10,030 | | | Johnson & Johnson | | | 1,715,832 | |
| | 10,305 | | | Merck & Co., Inc. | | | 789,775 | |
| | 22,747 | | | Pfizer, Inc. | | | 1,343,211 | |
| | | | | | | | |
| | | | | | | 5,454,224 | |
| | | | | | | | |
| Professional Services (0.3%): | | | |
| | 510 | | | Booz Allen Hamilton Holding Corp. | | | 43,243 | |
| | 1,689 | | | CoStar Group, Inc.* | | | 133,481 | |
| | 1,094 | | | ManpowerGroup, Inc. | | | 106,479 | |
| | 1,210 | | | TransUnion | | | 143,482 | |
| | | | | | | | |
| | | | | | | 426,685 | |
| | | | | | | | |
| Road & Rail (1.0%): | | | |
| | 1,989 | | | Canadian Pacific Railway, Ltd. | | | 143,089 | |
| | 18,388 | | | CSX Corp. | | | 691,389 | |
| | 836 | | | J.B. Hunt Transport Services, Inc. | | | 170,878 | |
| | 809 | | | Lyft, Inc., Class A* | | | 34,569 | |
| | 1,080 | | | Old Dominion Freight Line, Inc. | | | 387,050 | |
| | 927 | | | Uber Technologies, Inc.* | | | 38,869 | |
| | | | | | | | |
| | | | | | | 1,465,844 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (6.4%): | | | |
| | 5,627 | | | Advanced Micro Devices, Inc.* | | | 809,725 | |
| | 2,941 | | | Analog Devices, Inc. | | | 516,940 | |
| | 3,471 | | | Applied Materials, Inc. | | | 546,197 | |
| | 1,729 | | | Broadcom, Inc. | | | 1,150,494 | |
See accompanying notes to the financial statements.
6
AZL Gateway Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 15,513 | | | Intel Corp. | | $ | 798,919 | |
| | 1,442 | | | Marvell Technology, Inc. | | | 126,161 | |
| | 5,254 | | | Micron Technology, Inc. | | | 489,410 | |
| | 9,010 | | | NVIDIA Corp. | | | 2,649,931 | |
| | 5,127 | | | Qualcomm, Inc. | | | 937,574 | |
| | 1,839 | | | Teradyne, Inc. | | | 300,732 | |
| | 4,465 | | | Texas Instruments, Inc. | | | 841,518 | |
| | | | | | | | |
| | | | | | | 9,167,601 | |
| | | | | | | | |
| Software (9.8%): | | | |
| | 2,425 | | | Adobe, Inc.* | | | 1,375,120 | |
| | 2,779 | | | Cadence Design Systems, Inc.* | | | 517,867 | |
| | 1,086 | | | Fortinet, Inc.* | | | 390,308 | |
| | 26,733 | | | Microsoft Corp. | | | 8,990,842 | |
| | 1,806 | | | Nuance Communications, Inc.* | | | 99,908 | |
| | 7,200 | | | Oracle Corp. | | | 627,912 | |
| | 271 | | | Palo Alto Networks, Inc.* | | | 150,882 | |
| | 3,691 | | | salesforce.com, Inc.* | | | 937,994 | |
| | 898 | | | ServiceNow, Inc.* | | | 582,901 | |
| | 859 | | | SS&C Technologies Holdings, Inc. | | | 70,421 | |
| | 478 | | | VMware, Inc., Class A | | | 55,391 | |
| | 426 | | | Workday, Inc., Class A* | | | 116,375 | |
| | 236 | | | Zoom Video Communications, Inc., Class A* | | | 43,403 | |
| | | | | | | | |
| | | | | | | 13,959,324 | |
| | | | | | | | |
| Specialty Retail (2.2%): | | | |
| | 2,912 | | | American Eagle Outfitters, Inc. | | | 73,732 | |
| | 301 | | | Burlington Stores, Inc.* | | | 87,745 | |
| | 1,829 | | | Foot Locker, Inc. | | | 79,799 | |
| | 4,524 | | | Home Depot, Inc. (The) | | | 1,877,505 | |
| | 4,034 | | | Lowe’s Cos., Inc. | | | 1,042,708 | |
| | | | | | | | |
| | | | | | | 3,161,489 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals (7.1%): | | | |
| | 56,175 | | | Apple, Inc. | | $ | 9,974,995 | |
| | 1,086 | | | Dell Technologies, Inc., Class C* | | | 61,000 | |
| | | | | | | | |
| | | | | | | 10,035,995 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.7%): | | | |
| | 296 | | | Lululemon Athletica, Inc.* | | | 115,869 | |
| | 5,188 | | | Nike, Inc., Class B | | | 864,684 | |
| | | | | | | | |
| | | | | | | 980,553 | |
| | | | | | | | |
| Tobacco (0.5%): | | | |
| | 14,450 | | | Altria Group, Inc. | | | 684,786 | |
| | | | | | | | |
| Trading Companies & Distributors (0.1%): | | | |
| | 675 | | | GATX Corp. | | | 70,328 | |
| | | | | | | | |
| | Total Common Stocks (Cost $50,357,686) | | | 140,938,303 | |
| | | | | |
| | |
| Contracts | | | | | Value | |
| Purchased Options (0.6%)^: | | | |
| | Total Purchased Options (Cost $1,395,079) | | | 813,605 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (2.4%): | | | |
| Money Markets (2.4%): | | | |
| | 3,472,898 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(a) | | | 3,472,898 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $3,472,898) | | | 3,472,898 | |
| | | | | |
| | Total Investment Securities (Cost $55,225,663) — 102.0%(b) | | | 145,224,806 | |
| | Net other assets (liabilities) — (2.0)% | | | (2,814,784 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 142,410,022 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. |
| (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, 2021
At December 31, 2021, the Fund’s exchange traded options purchased were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Put/Call | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | |
S&P 500 Index | | Put | | | 4050.00 USD | | | | 2/18/22 | | | | 43 | | | $ | 174,150 | | | $ | 49,020 | |
S&P 500 Index | | Put | | | 4100.00 USD | | | | 2/21/22 | | | | 43 | | | | 176,300 | | | | 55,040 | |
S&P 500 Index | | Put | | | 4125.00 USD | | | | 2/21/22 | | | | 35 | | | | 144,375 | | | | 47,775 | |
S&P 500 Index | | Put | | | 4150.00 USD | | | | 2/21/22 | | | | 43 | | | | 178,450 | | | | 62,135 | |
S&P 500 Index | | Put | | | 4100.00 USD | | | | 3/18/22 | | | | 43 | | | | 176,300 | | | | 123,195 | |
S&P 500 Index | | Put | | | 4300.00 USD | | | | 3/18/22 | | | | 43 | | | | 184,900 | | | | 190,060 | |
S&P 500 Index | | Put | | | 4300.00 USD | | | | 4/15/22 | | | | 43 | | | | 184,900 | | | | 286,380 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total (Cost $1,395,079) | | | | | | | | | | | | | | | | | | $ | 813,605 | |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, the Fund’s exchange traded options written were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Put/Call | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | |
S&P 500 Index | | Call | | | 4700.00 USD | | | | 1/21/22 | | | | 33 | | | $ | 155,100 | | | $ | (346,170 | ) |
S&P 500 Index | | Call | | | 4775.00 USD | | | | 1/21/22 | | | | 33 | | | | 157,575 | | | | (168,960 | ) |
S&P 500 Index | | Call | | | 4650.00 USD | | | | 2/18/22 | | | | 33 | | | | 153,450 | | | | (597,960 | ) |
S&P 500 Index | | Call | | | 4600.00 USD | | | | 2/21/22 | | | | 32 | | | | 147,200 | | | | (709,280 | ) |
S&P 500 Index | | Call | | | 4700.00 USD | | | | 2/21/22 | | | | 32 | | | | 150,400 | | | | (457,120 | ) |
S&P 500 Index | | Call | | | 4800.00 USD | | | | 2/21/22 | | | | 33 | | | | 158,400 | | | | (251,625 | ) |
S&P 500 Index | | Call | | | 4800.00 USD | | | | 3/18/22 | | | | 32 | | | | 153,600 | | | | (349,760 | ) |
S&P 500 Index | | Call | | | 4850.00 USD | | | | 3/18/22 | | | | 32 | | | | 155,200 | | | | (260,800 | ) |
S&P 500 Index | | Call | | | 4900.00 USD | | | | 3/18/22 | | | | 33 | | | | 161,700 | | | | (193,215 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total (Premiums $3,166,405) | | | | | | | | | | | | | | | | | | $ | (3,334,890 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (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 | | $ | (3,334,890 | ) |
See accompanying notes to the financial statements.
8
AZL Gateway Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 55,225,663 | |
| | | | | |
Investment securities, at value | | | | 145,224,806 | |
Cash | | | | 637,799 | |
Interest and dividends receivable | | | | 70,485 | |
Reclaims receivable | | | | 970 | |
Prepaid expenses | | | | 694 | |
| | | | | |
Total Assets | | | | 145,934,754 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 33,698 | |
Written Options (Premiums received $3,166,405) | | | | 3,334,890 | |
Manager fees payable | | | | 96,812 | |
Administration fees payable | | | | 22,337 | |
Distribution fees payable | | | | 30,254 | |
Custodian fees payable | | | | 954 | |
Administrative and compliance services fees payable | | | | 180 | |
Transfer agent fees payable | | | | 762 | |
Trustee fees payable | | | | 1,010 | |
Other accrued liabilities | | | | 3,835 | |
| | | | | |
Total Liabilities | | | | 3,524,732 | |
| | | | | |
Net Assets | | | $ | 142,410,022 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 72,632,230 | |
Total distributable earnings | | | | 69,777,792 | |
| | | | | |
Net Assets | | | $ | 142,410,022 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 8,827,459 | |
Net Asset Value (offering and redemption price per share) | | | $ | 16.13 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 2,046,792 | |
Foreign withholding tax | | | | (1,237 | ) |
| | | | | |
Total Investment Income | | | | 2,045,555 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 1,175,152 | |
Administration fees | | | | 65,580 | |
Distribution fees | | | | 367,234 | |
Custodian fees | | | | 7,035 | |
Administrative and compliance services fees | | | | 1,827 | |
Transfer agent fees | | | | 5,068 | |
Trustee fees | | | | 7,620 | |
Professional fees | | | | 6,684 | |
Shareholder reports | | | | 4,940 | |
Other expenses | | | | 3,142 | |
| | | | | |
Total expenses | | | | 1,644,282 | |
| | | | | |
Net Investment Income/(Loss) | | | | 401,273 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 10,928,882 | |
Net realized gains/(losses) on written options contracts | | | | (11,109,414 | ) |
Change in net unrealized appreciation/depreciation on securities | | | | 14,421,080 | |
Change in net unrealized appreciation/depreciation on written options contracts | | | | 871,564 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 15,112,112 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 15,513,385 | |
| | | | | |
See accompanying notes to the financial statements.
9
AZL Gateway Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 401,273 | | | | $ | 938,347 | |
Net realized gains/(losses) on investments | | | | (180,532 | ) | | | | 5,449,612 | |
Change in unrealized appreciation/depreciation on investments | | | | 15,292,644 | | | | | 2,482,252 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 15,513,385 | | | | | 8,870,211 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (927,444 | ) | | | | (1,474,529 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (927,444 | ) | | | | (1,474,529 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 7,578,785 | | | | | 18,152,814 | |
Proceeds from dividends reinvested | | | | 927,444 | | | | | 1,474,529 | |
Value of shares redeemed | | | | (25,065,408 | ) | | | | (33,600,618 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (16,559,179 | ) | | | | (13,973,275 | ) |
| | | | | | | | | | |
Change in net assets | | | | (1,973,238 | ) | | | | (6,577,593 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 144,383,260 | | | | | 150,960,853 | |
| | | | | | | | | | |
End of period | | | $ | 142,410,022 | | | | $ | 144,383,260 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 501,529 | | | | | 1,356,062 | |
Dividends reinvested | | | | 59,490 | | | | | 106,005 | |
Shares redeemed | | | | (1,614,036 | ) | | | | (2,554,063 | ) |
| | | | | | | | | | |
Change in shares | | | | (1,053,017 | ) | | | | (1,091,996 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 14.61 | | | | $ | 13.76 | | | | $ | 12.54 | | | | $ | 13.32 | | | | $ | 12.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.04 | (a) | | | | 0.09 | (a) | | | | 0.13 | (a) | | | | 0.18 | | | | | 0.12 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.58 | | | | | 0.91 | | | | | 1.22 | | | | | (0.79 | ) | | | | 1.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.62 | | | | | 1.00 | | | | | 1.35 | | | | | (0.61 | ) | | | | 1.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.10 | ) | | | | (0.15 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.10 | ) | | | | (0.15 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 16.13 | | | | $ | 14.61 | | | | $ | 13.76 | | | | $ | 12.54 | | | | $ | 13.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 11.13 | % | | | | 7.30 | % | | | | 10.82 | % | | | | (4.65 | )% | | | | 9.46 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 142,410 | | | | $ | 144,383 | | | | $ | 150,961 | | | | $ | 147,792 | | | | $ | 213,295 | |
Net Investment Income/(Loss) | | | | 0.27 | % | | | | 0.67 | % | | | | 1.01 | % | | | | 0.93 | % | | | | 1.06 | % |
Expenses Before Reductions(c) | | | | 1.12 | % | | | | 1.12 | % | | | | 1.11 | % | | | | 1.10 | % | | | | 1.10 | % |
Expenses Net of Reductions | | | | 1.12 | % | | | | 1.12 | % | | | | 1.11 | % | | | | 1.10 | % | | | | 1.10 | % |
Portfolio Turnover Rate | | | | 11 | % | | | | 30 | % | | | | 19 | % | | | | 9 | % | | | | 24 | % |
| (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, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
12
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2021
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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. 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. 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, 2021, 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
Equity Risk | | | | | | | | | | | | |
| | | | |
| Options Contracts | | $— | | | | | | Written Options Contracts | | $ | 3,334,890 | |
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, 2021:
| | | | | | | | | | |
| 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 | | $ | (11,109,414 | ) | | $ | 871,564 | |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 | % |
13
AZL Gateway Fund
Notes to the Financial Statements
December 31, 2021
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such 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.
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.
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.
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. These procedures include the Fund’s use of 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.
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AZL Gateway Fund
Notes to the Financial Statements
December 31, 2021
The following is a summary of the valuation inputs used as of December 31, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 140,938,303 | | | | $ | — | | | | $ | — | | | | $ | 140,938,303 | |
Purchased Options | | | | 813,605 | | | | | — | | | | | — | | | | | 813,605 | |
Unaffiliated Investment Company | | | | 3,472,898 | | | | | — | | | | | — | | | | | 3,472,898 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 145,224,806 | | | | | — | | | | | — | | | | | 145,224,806 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Written Options | | | | (3,334,890 | ) | | | | — | | | | | — | | | | | (3,334,890 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 141,889,916 | | | | $ | — | | | | $ | — | | | | $ | 141,889,916 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 16,585,357 | | | | $ | 53,657,382 | |
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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.
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AZL Gateway Fund
Notes to the Financial Statements
December 31, 2021
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 is $52,571,055. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 90,769,065 | |
Unrealized (depreciation) | | | (1,450,204 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 89,318,861 | |
| | | | |
As of the end of its tax year ended December 31, 2021, the Fund had 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.
During the year ended December 31, 2021, the Fund utilized $729,370 in CLCFs to offset capital gains.
CLCFs not subject to expiration:
| | | | | | | | | | | | | | | |
| | | Short-Term
Amount | | Long-Term
Amount | | Total Amount |
| | | |
AZL Gateway Fund | | | $ | 20,695,938 | | | | $ | — | | | | $ | 20,695,938 | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Gateway Fund | | | $ | 927,444 | | | | $ | — | | | | $ | 927,444 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 404,910 | | | | $ | — | | | | $ | (20,695,938 | ) | | | $ | 90,068,820 | | | | $ | 69,777,792 | |
| (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. |
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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of the shareholder 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.
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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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 100.00% of the total ordinary income dividends paid by the Fund qualify for the corporate dividends received deductions available to corporate shareholders.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
20
able to hear each other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019-2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc. (a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
23
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions Held with
AIM Complex | | Term of Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® Government Money Market Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® Government Money Market Fund (the “Fund”) returned 0.00%. That compared to a 0.04% total return for its benchmark, the Three-Month U.S. Treasury Bill Index.1
The year began with a transition to the Biden-Harris administration, a $1.9 trillion stimulus package, and an acceleration of COVID-19 vaccination programs. Rising vaccination rates helped achieve a gradual reopening of the economy through the first half of the period, which helped drive additional economic growth. However, the arrival of the Delta and Omicron variants in the latter part of 2021 raised fears about the negative economic impacts of a new surge in COVID-19 cases.
Despite these concerns late in the period, economic conditions in the U.S. were markedly better in 2021 than they were in 2020. The U.S. posted strong GDP growth throughout the year, while the unemployment rate fell from 6.3% in January to 3.9% at the end of December. However, inflation rose throughout the year, with the U.S. Consumer Price Index (CPI) posting an annual increase of 6.8% by the end of November — the largest increase in more than 30 years.
In part due to the rise in inflation, the Federal Open Market Committee (FOMC) pivoted from a dovish tone early in the year to a more hawkish one in the final months of 2021. Along with a few technical interest rate adjustments during the year, the FOMC announced in November that it would begin tapering its asset purchase efforts. In December, the FOMC indicated it would accelerate that tapering plan, and it announced three interest rate hikes for 2022.
The FOMC’s ultra-accommodative policies, in place throughout most of the year, were a major theme for the period, as was the large and growing supply/demand imbalance for securities at the short end of the yield curve. Although the yield curve was relatively flat during the period, yields still moved within a tight range. The Fund was positioned to take advantage of that movement by targeting lower duration securities in the middle of the year, and slightly longer durations after the FOMC’s technical adjustments.
The Fund also benefited from its positioning around the year-end debt ceiling impasse, both in the lead-up to the default deadline and in the wake of the mid-December increase in the debt limit.
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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
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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, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | 10
Year |
AZL® Government Money Market Fund | | | | 0.00 | % | | | | 0.53 | % | | | | 0.53 | % | | | | 0.27 | % |
Three-Month U.S. Treasury Bill Index | | | | 0.04 | % | | | | 0.82 | % | | | | 1.06 | % | | | | 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 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 | | | | 0.66 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.34% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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, 2021 |
| | | 7 Day
Average | | 7 Day
Effective | | 30 Day
Average |
AZL® Government Money Market Fund | | | | 0.00 | % | | | | 0.00 | % | | | | 0.00 | % |
The Manager, the Distributor and the Fund have entered into a written agreement 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 under this agreement. There is no guarantee the Fund will be able to avoid a negative yield. Such 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, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Government Money Market Fund | | | $ | 1,000.00 | | | | $ | 1,000.00 | | | | $ | 0.35 | | | | | 0.07 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Government Money Market Fund | | | $ | 1,000.00 | | | | $ | 1,024.85 | | | | $ | 0.36 | | | | | 0.07 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 |
| |
Repurchase Agreements | | | | 43.3 | % |
| |
U.S. Government Agency Mortgages | | | | 33.4 | |
| |
U.S. Treasury Obligations | | | | 26.3 | |
| | | | | |
| |
Total Investment Securities | | | | 103.0 | |
| |
Net other assets (liabilities) | | | | (3.0 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Government Money Market Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages (33.4%): | | | |
| Federal Home Loan Bank (20.8%) | |
| $ | 4,595,000 | | | 0.05%, 1/12/22 | | $ | 4,594,985 | |
| | 5,245,000 | | | 0.04%, 1/12/22(a) | | | 5,244,936 | |
| | 1,465,000 | | | 0.05%, 1/14/22(a) | | | 1,464,976 | |
| | 640,000 | | | 0.05%, 1/25/22 | | | 639,999 | |
| | 2,305,000 | | | 0.05%, 1/28/22 | | | 2,304,999 | |
| | 6,985,000 | | | 0.05%, 1/28/22 | | | 6,984,944 | |
| | 4,225,000 | | | 0.05%, 2/1/22 | | | 4,224,960 | |
| | 1,140,000 | | | 0.05%, 2/7/22 | | | 1,139,999 | |
| | 1,235,000 | | | 0.05%, 2/8/22(a) | | | 1,234,935 | |
| | 4,700,000 | | | 0.05%, 2/11/22(a) | | | 4,699,732 | |
| | 9,655,000 | | | 0.06%, 2/14/22(a) | | | 9,654,379 | |
| | 3,795,000 | | | 0.05%, 2/15/22(a) | | | 3,794,787 | |
| | 8,670,000 | | | 0.05%, 2/16/22(a) | | | 8,669,501 | |
| | 3,570,000 | | | 0.05%, 2/18/22(a) | | | 3,569,762 | |
| | 2,585,000 | | | 0.17%(SOFR+12bps), 2/28/22 | | | 2,585,000 | |
| | 7,200,000 | | | 0.05%, 3/2/22(a) | | | 7,199,412 | |
| | 7,525,000 | | | 0.05%, 3/8/22(a) | | | 7,524,379 | |
| | 385,000 | | | 0.05%, 3/11/22(a) | | | 384,967 | |
| | 8,485,000 | | | 0.04%, 3/18/22(a) | | | 8,484,212 | |
| | 4,840,000 | | | 0.06%, 3/22/22 | | | 4,839,973 | |
| | 335,000 | | | 0.06%(SOFR+1bps), 3/28/22 | | | 335,000 | |
| | 550,000 | | | 0.06%(SOFR+1bps), 3/30/22 | | | 550,000 | |
| | 1,675,000 | | | 0.04%, 4/1/22(a) | | | 1,674,816 | |
| | 5,095,000 | | | 0.06%, 4/22/22(a) | | | 5,094,120 | |
| | 885,000 | | | 0.11%(SOFR+7bps), 4/28/22 | | | 885,000 | |
| | 2,070,000 | | | 0.06%, 5/23/22 | | | 2,069,955 | |
| | 2,575,000 | | | 0.06%(SOFR+1bps), 9/6/22 | | | 2,575,000 | |
| | 5,025,000 | | | 0.07%(SOFR+2bps), 12/16/22 | | | 5,025,000 | |
| | 5,000,000 | | | 0.10%(SOFR+6bps), 2/3/23 | | | 5,000,000 | |
| | | | | | | | |
| | | | | | | 112,449,728 | |
| | | | | | | | |
| Federal Farm Credit Bank (10.5%) | |
| | 865,000 | | | 0.05%, 1/7/22(a) | | | 864,993 | |
| | 1,955,000 | | | 0.23%(SOFR+18bps), 1/14/22 | | | 1,955,000 | |
| | 1,630,000 | | | 0.05%, 1/31/22(a) | | | 1,629,932 | |
| | 4,000,000 | | | 0.37%, 2/8/22 | | | 4,000,000 | |
| | 5,000,000 | | | 0.05%, 3/3/22(a) | | | 4,999,577 | |
| | 3,295,000 | | | 0.05%, 4/19/22(a) | | | 3,294,506 | |
| | 685,000 | | | 0.21%(USBMMY3M+12bps), 5/2/22 | | | 684,986 | |
| | 3,000,000 | | | 0.10%(SOFR+5bps), 5/5/22 | | | 2,999,953 | |
| | 2,000,000 | | | 0.06%, 6/21/22(a) | | | 1,999,430 | |
| | 1,475,000 | | | 0.24%(SOFR+19bps), 7/14/22 | | | 1,475,000 | |
| | 4,065,000 | | | 0.27%(FEDL01+18bps), 7/20/22 | | | 4,064,779 | |
| | 6,150,000 | | | 0.07%, 8/10/22 | | | 6,149,815 | |
| | 2,230,000 | | | 0.14%(SOFR+10bps), 9/2/22 | | | 2,230,000 | |
| | 1,845,000 | | | 0.14%(SOFR+9bps), 10/7/22 | | | 1,845,000 | |
| | 2,250,000 | | | 0.13%(SOFR+8bps), 10/14/22 | | | 2,250,000 | |
| | 2,705,000 | | | 0.12%(SOFR+8bps), 11/3/22 | | | 2,705,000 | |
| | 4,150,000 | | | 0.08%(SOFR+3bps), 1/12/23 | | | 4,149,784 | |
| | 1,070,000 | | | 0.11%(SOFR+6bps), 1/20/23 | | | 1,070,000 | |
| | 2,740,000 | | | 0.10%(SOFR+5bps), 8/22/23 | | | 2,740,000 | |
| | 1,870,000 | | | 0.10%(SOFR+5bps), 9/28/23 | | | 1,870,000 | |
| | 3,435,000 | | | 0.11%(SOFR+6bps), 11/22/23 | | | 3,435,000 | |
| | | | | | | | |
| | | | | | | 56,412,755 | |
| | | | | | | | |
| Federal National Mortgage Association (1.4%) | |
| | 2,035,000 | | | 0.05%, 3/2/22(a) | | | 2,034,830 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal National Mortgage Association, continued | |
| $ | 2,685,000 | | | 0.40%(SOFR+35bps), 4/7/22 | | $ | 2,685,000 | |
| | 2,935,000 | | | 0.44%(SOFR+39bps), 4/15/22 | | | 2,935,000 | |
| | | | | | | | |
| | | | | | | 7,654,830 | |
| | | | | | | | |
| Federal Home Loan Mortgage Corp. (0.7%) | |
| | 2,000,000 | | | 0.08%, 7/25/22 | | | 2,000,496 | |
| | 1,535,000 | | | 0.11%(SOFR+7bps), 11/10/22 | | | 1,535,000 | |
| | | | | | | | |
| | | | | | | 3,535,496 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $180,052,809) | | | 180,052,809 | |
| | | | | |
| U.S. Treasury Obligations (26.3%): | | | |
| U.S. Treasury Notes (2.9%) | |
| | 4,165,000 | | | 0.05%, 1/31/22 | | | 4,169,485 | |
| | 120,000 | | | 0.09%, 2/28/22 | | | 120,316 | |
| | 120,000 | | | 0.09%, 3/31/22 | | | 120,082 | |
| | 805,000 | | | 0.07%, 5/15/22 | | | 811,070 | |
| | 100,000 | | | 0.07%, 6/15/22 | | | 100,759 | |
| | 360,000 | | | 0.07%, 6/30/22 | | | 360,096 | |
| | 5,000,000 | | | 0.13%(USBMMY3M+5bps), 1/31/23 | | | 5,000,356 | |
| | 5,000,000 | | | 0.12%(USBMMY3M+4bps), 10/31/23 | | | 5,000,000 | |
| | | | | | | | |
| | | | | | | 15,682,164 | |
| | | | | | | | |
| U.S. Treasury Bills (23.4%) | |
| | 4,850,400 | | | 0.06%, 3/1/22(a) | | | 4,849,985 | |
| | 31,575,000 | | | 0.05%, 3/3/22(a) | | | 31,572,325 | |
| | 29,378,000 | | | 0.06%, 3/10/22(a) | | | 29,374,694 | |
| | 3,940,000 | | | 0.08%, 3/24/22(a) | | | 3,939,327 | |
| | 10,900,000 | | | 0.09%, 3/31/22(a) | | | 10,897,710 | |
| | 940,000 | | | 0.07%, 4/5/22(a) | | | 939,820 | |
| | 5,765,000 | | | 0.11%, 4/26/22(a) | | | 5,762,974 | |
| | 11,465,000 | | | 0.13%, 5/3/22(a) | | | 11,460,269 | |
| | 9,825,000 | | | 0.13%, 6/16/22(a) | | | 9,819,111 | |
| | 10,050,000 | | | 0.17%, 6/23/22(a) | | | 10,042,768 | |
| | 4,635,000 | | | 0.21%, 6/30/22(a) | | | 4,630,133 | |
| | 1,906,800 | | | 0.08%, 9/8/22(a) | | | 1,905,807 | |
| | 995,000 | | | 0.40%, 12/29/22(a) | | | 991,098 | |
| | | | | | | | |
| | | | | | | 126,186,021 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $141,868,185) | | | 141,868,185 | |
| | | | | |
| Repurchase Agreements (43.3%): | | | |
| | 15,000,000 | | | Bank of Montreal, 0.05%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $15,000,063, Collateralized by U.S. Treasury Obligations, 0.00%, 2/15/29 — 8/15/50, fair value of $15,300,000) | | | 15,000,000 | |
| | 45,000,000 | | | Bank of Nova Scotia, 0.05%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $45,000,188, Collateralized by U.S. Treasury Obligations, 0.00% — 5.25%, 4/7/22 — 2/15/49, fair value of $45,900,198) | | | 45,000,000 | |
| | 35,000,000 | | | BNP Paribas, 0.05%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $35,000,146, Collateralized by U.S. Government Agency Obligations, 0.00% — 6.50%, 12/31/23 — 9/1/51, fair value of $35,808,771) | | | 35,000,000 | |
| | 34,000,000 | | | Citigroup Global Markets, 0.06%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $34,000,170, Collateralized by U.S. Treasury Notes, 0.13% — 2.88%, 10/15/23 — 4/30/25, fair value of $34,680,053) | | | 34,000,000 | |
See accompanying notes to the financial statements.
4
AZL Government Money Market Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Repurchase Agreements, continued | | | |
| $ | 30,000,000 | | | Mitsubishi UFJ Securities USA, Inc., 0.05%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $30,000,125, Collateralized by U.S. Treasury Obligations, 0.38% — 1.13%, 7/15/23 — 2/29/28, fair value of $30,600,060) | | $ | 30,000,000 | |
| | 30,000,000 | | | Natixis, 0.05%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $30,000,125, Collateralized by U.S. Treasury Obligations, 0.00% — 6.00%, 1/20/22 — 12/31/26, fair value of $30,600,019) | | | 30,000,000 | |
| | 45,000,000 | | | Toronto Dominion Bank NY, 0.05%, 1/3/22, (Purchased on 12/31/21, proceeds at maturity $45,000,188, Collateralized by U.S. Treasury Notes, 0.63% — 2.25%, 4/15/22 — 8/15/30, fair value of $45,900,056) | | | 45,000,000 | |
| | | | | | | | |
| | Total Repurchase Agreements (Cost $234,000,000) | | | 234,000,000 | |
| | | | | |
| | Total Investment Securities (Cost $555,920,994) — 103.0%(b) | | | 555,920,994 | |
| | Net other assets (liabilities) — (3.0)% | | | (16,025,284 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 539,895,710 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
FEDL01—Effective Federal Fund Rate
SOFR—Secured Overnight Financing Rate
USBMMY3M—3 Month Treasury Bill Rate
| (a) | The rate represents the effective yield at December 31, 2021. |
| (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, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 321,920,994 | |
| | | | | |
Investment securities, at value | | | $ | 321,920,994 | |
Repurchase agreements, at value/cost | | | | 234,000,000 | |
Cash | | | | 324,009 | |
Interest and dividends receivable | | | | 51,626 | |
Receivable from Manager | | | | 105,591 | |
Prepaid expenses | | | | 2,262 | |
| | | | | |
Total Assets | | | | 556,404,482 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 16,310,254 | |
Administration fees payable | | | | 71,175 | |
Distribution fees payable | | | | 107,165 | |
Custodian fees payable | | | | 1,547 | |
Administrative and compliance services fees payable | | | | 613 | |
Transfer agent fees payable | | | | 828 | |
Trustee fees payable | | | | 3,443 | |
Other accrued liabilities | | | | 13,747 | |
| | | | | |
Total Liabilities | | | | 16,508,772 | |
| | | | | |
Net Assets | | | $ | 539,895,710 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 539,886,711 | |
Total distributable earnings | | | | 8,999 | |
| | | | | |
Net Assets | | | $ | 539,895,710 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 539,886,834 | |
Net Asset Value (offering and redemption price per share) | | | $ | 1.00 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 390,671 | |
| | | | | |
Total Investment Income | | | | 390,671 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 1,719,608 | |
Administration fees | | | | 159,776 | |
Distribution fees | | | | 1,228,294 | |
Custodian fees | | | | 10,664 | |
Administrative and compliance services fees | | | | 5,473 | |
Transfer agent fees | | | | 4,816 | |
Trustee fees | | | | 23,444 | |
Professional fees | | | | 20,073 | |
Shareholder reports | | | | 16,784 | |
Other expenses | | | | 9,583 | |
| | | | | |
Total expenses before reductions | | | | 3,198,515 | |
Less Management fees contractually waived | | | | (49,139 | ) |
Less expenses waived/reimbursed by the Manager for minimum daily yield | | | | (2,758,972 | ) |
| | | | | |
Net expenses | | | | 390,404 | |
| | | | | |
Net Investment Income/(Loss) | | | | 267 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 8,732 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 8,732 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 8,999 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 267 | | | | $ | 908,615 | |
Net realized gains/(losses) on investments | | | | 8,732 | | | | | 3,042 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 8,999 | | | | | 911,657 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (4,913 | ) | | | | (908,616 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (4,913 | ) | | | | (908,616 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 890,444,096 | | | | | 808,011,798 | |
Proceeds from dividends reinvested | | | | 4,913 | | | | | 908,615 | |
Value of shares redeemed | | | | (958,627,851 | ) | | | | (682,376,967 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (68,178,842 | ) | | | | 126,543,446 | |
| | | | | | | | | | |
Change in net assets | | | | (68,174,756 | ) | | | | 126,546,487 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 608,070,466 | | | | | 481,523,979 | |
| | | | | | | | | | |
End of period | | | $ | 539,895,710 | | | | $ | 608,070,466 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 890,444,096 | | | | | 808,011,797 | |
Dividends reinvested | | | | 4,913 | | | | | 908,614 | |
Shares redeemed | | | | (958,627,850 | ) | | | | (682,376,967 | ) |
| | | | | | | | | | |
Change in shares | | | | (68,178,841 | ) | | | | 126,543,444 | |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | — | (a)(b) | | | | — | (b) | | | | 0.01 | (b) | | | | 0.01 | | | | | — | (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) | | | | — | (a) | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (a) |
Net Realized Gains | | | | — | | | | | — | | | | | — | (a) | | | | — | | | | | — | (a) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | — | (a) | | | | — | (a) | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (a) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(c) | | | | 0.00 | % | | | | 0.21 | % | | | | 1.39 | % | | | | 1.01 | % | | | | 0.05 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 539,896 | | | | $ | 608,070 | | | | $ | 481,524 | | | | $ | 453,175 | | | | $ | 490,632 | |
Net Investment Income/(Loss) | | | | 0.00 | %(a) | | | | 0.18 | % | | | | 1.37 | % | | | | 1.00 | % | | | | 0.04 | % |
Expenses Before Reductions(d) | | | | 0.65 | % | | | | 0.66 | % | | | | 0.88 | % | | | | 0.87 | % | | | | 0.87 | % |
Expenses Net of Reductions | | | | 0.08 | %(e) | | | | 0.35 | %(e) | | | | 0.87 | % | | | | 0.87 | % | | | | 0.87 | % |
| (a) | Represents less than $0.005 or 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, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
9
AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2021
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
The Manager, the Distributor and the Fund have entered into a written agreement 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 under this agreement. There is no guarantee the Fund will avoid a negative yield. Such amounts 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, 2021 are reflected on the Statement of Operations as “Expenses waived/reimbursed by the Manager for minimum daily yield.”
At December 31, 2021, the reimbursements of minimum daily yield waivers subject to repayment by the Fund in subsequent years were as follows:
| | | | | | | | | | | | | | | |
| | | Expires
12/31/2023 | | Expires
12/31/2024 | | Total |
| | | |
AZL Government Money Market Fund | | | $ | 1,499,146 | | | | $ | 2,758,972 | | | | $ | 4,258,118 | |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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.”
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
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.
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AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2021
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, 2021 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 | | | $ | — | | | | $ | 180,052,809 | | | | $ | — | | | | $ | 180,052,809 | |
U.S. Treasury Obligations | | | | — | | | | | 141,868,185 | | | | | — | | | | | 141,868,185 | |
Repurchase Agreements | | | | — | | | | | 234,000,000 | | | | | — | | | | | 234,000,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | $ | — | | | | $ | 555,920,994 | | | | $ | — | | | | $ | 555,920,994 | |
| | | | | | | | | | | | | | | | | | | | |
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
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.
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AZL Government Money Market Fund
Notes to the Financial Statements
December 31, 2021
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 is $555,920,994. 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, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Government Money Market Fund | | | $ | 4,913 | | | | $ | — | | | | $ | 4,913 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 8,999 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 8,999 | |
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, 2021, 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 the shareholder 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.
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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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, the Fund declared net short-term capital gain distributions of $2,775.
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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 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.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
16
other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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.
17
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 2018 through 2020. 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, 2020, were approximately $15.8 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.
18
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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
19
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® International Index Fund
Annual Report
December 31, 2021
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® 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, 2021?*
For the year ended December 31, 2021, the AZL® International Index Fund (the “Fund”) returned 10.55%. That compared to an 11.78% total return for its benchmark, the MSCI EAFE Index.1
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 “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.
During the first quarter, global optimism around a sustainable reopening of the economy due to vaccine rollouts among developed markets helped drive positive performance. Despite the uptick in the number of COVID-19 cases in Europe, equities rallied over the quarter, reinforced by an increase in demand for goods and manufacturing activities. The Japanese market continued its recovery throughout the quarter despite the state of emergency in Tokyo. Japanese equities were supported by strong earnings reports and hopes of stimulus and economic reopening as COVID cases declined.
Over the second quarter, strong economic data across developed markets and accommodative fiscal policies helped support additional equity gains. The markets’ rising concerns around higher inflation and the Federal Reserve’s (Fed’s) cautious announcement in June contributed to muted market performance for a short period. The Japanese market recovered toward the end of May, following the reinstatement of state of emergency protocols in Tokyo and other regions. As a response, the Japanese government rolled out several mass vaccination centers, and quarterly earnings reports largely met or exceeded analyst forecasts.
The global economic recovery continued through July and August. However, those gains were offset by a market decline during September. Concerns regarding the U.S. debt ceiling and potential global systematic risk from the crisis at Chinese property developer Evergrande weighed down
on global equity markets. The spread of the Delta variant, as well as fears around higher inflation and ongoing supply chain issues, also weighed on market sentiment during the third quarter. In Europe, however, markets remained resilient as hospitalization rates dropped despite a new wave of COVID-19 cases. The Bank of England announced a shift in its policy, suggesting that a rate rise could come in early 2022. For its part, the European Central Bank announced a slower pace of asset purchases but stopped short of setting a path toward higher rates.
In the fourth quarter, developed equity markets posted positive returns in October on the back of strong corporate earnings reports and robust economic data. However, the emergence of yet another new COVID-19 variant (Omicron) in November dampened market performance and put pressure on central banks as they faced rising inflation rates on the back of ongoing supply chain disruptions. Markets rebounded in December as data indicated the new variant was less severe than expected despite higher transmissibility. In Japan, uncertainty over COVID-19 restrictions, a weaker yen, and higher commodity prices weighed on the economy and market performance over the quarter.
The Fund underperformed its benchmark primarily due to expenses incurred by the Fund.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and Fund managers keep cash to cover all outstanding futures positions fully.
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 as described 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, 2021. |
| 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, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | 10
Years | | Since
Inception |
AZL® International Index Fund (Class 1 Shares) | | | | 10/17/2016 | | | | | 10.80 | % | | | | 13.22 | % | | | | 9.38 | % | | | | — | | | | | 9.12 | % |
AZL® International Index Fund (Class 2 Shares) | | | | 5/1/2009 | | | | | 10.55 | % | | | | 12.97 | % | | | | 9.11 | % | | | | 7.48 | % | | | | 7.70 | % |
MSCI EAFE Index (gross of withholding taxes) | | | | 5/1/2009 | | | | | 11.78 | % | | | | 14.08 | % | | | | 10.07 | % | | | | 8.53 | % | | | | 8.91 | % |
MSCI EAFE Index (net of withholding taxes) | | | | 5/1/2009 | | | | | 11.26 | % | | | | 13.54 | % | | | | 9.55 | % | | | | 8.03 | % | | | | 8.41 | % |
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) | | | | 0.46 | % |
AZL® International Index Fund (Class 2 Shares) | | | | 0.71 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL International Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,018.80 | | | | $ | 2.39 | | | | | 0.47 | % |
| | | | |
AZL International Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,017.90 | | | | $ | 3.66 | | | | | 0.72 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL International Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.84 | | | | $ | 2.40 | | | | | 0.47 | % |
| | | | |
AZL International Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.58 | | | | $ | 3.67 | | | | | 0.72 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 16.8 | % |
| |
Industrials | | | | 16.0 | |
| |
Consumer Discretionary | | | | 12.7 | |
| |
Health Care | | | | 12.7 | |
| |
Consumer Staples | | | | 10.2 | |
| |
Information Technology | | | | 9.6 | |
| |
Materials | | | | 7.5 | |
| |
Communication Services | | | | 4.5 | |
| |
Utilities | | | | 3.4 | |
| |
Energy | | | | 3.3 | |
| |
Real Estate | | | | 2.8 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.5 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.1 | |
| |
Unaffiliated Investment Company | | | | — | † |
| | | | | |
| |
Total Investment Securities | | | | 99.6 | |
| |
Net other assets (liabilities) | | | | 0.4 | |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.1%): | | | |
| Aerospace & Defense (1.1%): | | | |
| | 59,163 | | | Airbus SE* | | $ | 7,555,236 | |
| | 323,321 | | | BAE Systems plc | | | 2,408,733 | |
| | 2,600 | | | Dassault Aviation SA | | | 280,914 | |
| | 2,648 | | | Elbit Systems, Ltd. | | | 458,997 | |
| | 5,550 | | | MTU Aero Engines AG | | | 1,128,300 | |
| | 811,907 | | | Rolls-Royce Holdings plc* | | | 1,353,828 | |
| | 34,814 | | | Safran SA | | | 4,275,416 | |
| | 151,200 | | | Singapore Technologies Engineering, Ltd. | | | 422,272 | |
| | 11,099 | | | Thales SA | | | 944,469 | |
| | | | | | | | |
| | | | | | | 18,828,165 | |
| | | | | | | | |
| Air Freight & Logistics (0.5%): | | | |
| | 100,501 | | | Deutsche Post AG | | | 6,468,329 | |
| | 19,174 | | | InPost SA* | | | 231,592 | |
| | 33,300 | | | SG Holdings Co., Ltd. | | | 779,815 | |
| | 30,300 | | | Yamato Holdings Co., Ltd. | | | 710,676 | |
| | | | | | | | |
| | | | | | | 8,190,412 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 15,100 | | | ANA Holdings, Inc.* | | | 315,723 | |
| | 63,572 | | | Deutsche Lufthansa AG, Registered Shares* | | | 447,319 | |
| | 15,670 | | | Japan Airlines Co., Ltd.* | | | 299,236 | |
| | 83,673 | | | Qantas Airways, Ltd.* | | | 305,067 | |
| | 132,250 | | | Singapore Airlines, Ltd.* | | | 490,290 | |
| | | | | | | | |
| | | | | | | 1,857,635 | |
| | | | | | | | |
| Auto Components (0.9%): | | | |
| | 15,300 | | | Aisin Sieki Co., Ltd. | | | 586,751 | |
| | 57,500 | | | Bridgestone Corp. | | | 2,474,557 | |
| | 17,097 | | | Compagnie Generale des Establissements Michelin SCA, Class B | | | 2,802,252 | |
| | 10,683 | | | Continental AG* | | | 1,130,908 | |
| | 43,800 | | | Denso Corp. | | | 3,617,367 | |
| | 8,878 | | | Faurecia SA | | | 422,300 | |
| | 3,329 | | | Faurecia SE | | | 155,413 | |
| | 10,300 | | | Koito Manufacturing Co., Ltd. | | | 545,490 | |
| | 12,500 | | | Stanley Electric Co., Ltd. | | | 312,951 | |
| | 78,500 | | | Sumitomo Electric Industries, Ltd. | | | 1,023,622 | |
| | 14,300 | | | Toyota Industries Corp. | | | 1,142,816 | |
| | 23,890 | | | Valeo SA | | | 722,036 | |
| | | | | | | | |
| | | | | | | 14,936,463 | |
| | | | | | | | |
| Automobiles (2.8%): | | | |
| | 33,495 | | | Bayerische Motoren Werke AG (BMW) | | | 3,375,044 | |
| | 86,043 | | | Daimler AG, Registered Shares | | | 6,606,617 | |
| | 12,714 | | | Ferrari NV | | | 3,269,957 | |
| | 163,900 | | | Honda Motor Co., Ltd. | | | 4,603,517 | |
| | 57,400 | | | Isuzu Motors, Ltd. | | | 714,296 | |
| | 55,200 | | | Mazda Motor Corp.* | | | 424,808 | |
| | 225,300 | | | Nissan Motor Co., Ltd.* | | | 1,088,929 | |
| | 19,998 | | | Renault SA* | | | 694,409 | |
| | 104,077 | | | Stellantis NV | | | 1,954,004 | |
| | 102,332 | | | Stellantis NV | | | 1,939,436 | |
| | 59,500 | | | Subaru Corp. | | | 1,064,290 | |
| | 38,300 | | | Suzuki Motor Corp. | | | 1,475,122 | |
| | 1,069,930 | | | Toyota Motor Corp. | | | 19,754,203 | |
| | 3,377 | | | Volkswagen AG | | | 993,175 | |
| | 29,100 | | | Yamaha Motor Co., Ltd. | | | 698,173 | |
| | | | | | | | |
| | | | | | | 48,655,980 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks (8.4%): | | | |
| | 44,460 | | | ABN AMRO Group NV | | $ | 653,533 | |
| | 286,708 | | | Australia & New Zealand Banking Group, Ltd. | | | 5,738,893 | |
| | 665,948 | | | Banco Bilbao Vizcaya Argentaria SA | | | 3,953,352 | |
| | 1,755,979 | | | Banco Santander SA | | | 5,860,446 | |
| | 109,272 | | | Bank Hapoalim BM | | | 1,126,272 | |
| | 151,152 | | | Bank Leumi Le-Israel Corp. | | | 1,625,647 | |
| | 1,703,109 | | | Barclays plc | | | 4,328,163 | |
| | 112,897 | | | BNP Paribas SA | | | 7,799,792 | |
| | 357,500 | | | BOC Hong Kong Holdings, Ltd. | | | 1,171,700 | |
| | 433,539 | | | CaixaBank SA | | | 1,188,740 | |
| | 50,300 | | | Chiba Bank, Ltd. (The) | | | 287,817 | |
| | 94,893 | | | Commerzbank AG* | | | 723,068 | |
| | 178,657 | | | Commonwealth Bank of Australia | | | 13,128,964 | |
| | 114,300 | | | Concordia Financial Group, Ltd. | | | 415,471 | |
| | 124,676 | | | Credit Agricole SA | | | 1,780,667 | |
| | 71,758 | | | Danske Bank A/S | | | 1,226,530 | |
| | 183,400 | | | DBS Group Holdings, Ltd. | | | 4,441,332 | |
| | 92,703 | | | DNB Bank ASA | | | 2,124,731 | |
| | 35,576 | | | Erste Group Bank AG | | | 1,672,226 | |
| | 62,732 | | | Finecobank Banca Fineco SpA | | | 1,092,389 | |
| | 74,400 | | | Hang Seng Bank, Ltd. | | | 1,362,194 | |
| | 2,054,253 | | | HSBC Holdings plc | | | 12,428,272 | |
| | 392,809 | | | ING Groep NV | | | 5,473,098 | |
| | 1,654,760 | | | Intesa Sanpaolo SpA | | | 4,274,907 | |
| | 117,795 | | | Isreal Discount Bank | | | 791,940 | |
| | 39,400 | | | Japan Post Bank Co., Ltd. | | | 361,441 | |
| | 24,988 | | | KBC Group NV | | | 2,146,012 | |
| | 7,103,235 | | | Lloyds Banking Group plc | | | 4,578,514 | |
| | 64,613 | | | Mediobanca SpA | | | 738,512 | |
| | 1,239,100 | | | Mitsubishi UFJ Financial Group, Inc. | | | 6,733,135 | |
| | 15,040 | | | Mizrahi Tefahot Bank, Ltd. | | | 580,346 | |
| | 244,763 | | | Mizuho Financial Group, Inc. | | | 3,113,740 | |
| | 334,381 | | | National Australia Bank, Ltd. | | | 7,016,790 | |
| | 595,378 | | | Natwest Group plc | | | 1,813,852 | |
| | 322,396 | | | Nordea Bank AB | | | 3,927,656 | |
| | 349,199 | | | Oversea-Chinese Banking Corp., Ltd. | | | 2,956,873 | |
| | 14,105 | | | Raiffeisen International Bank-Holding AG | | | 414,782 | |
| | 198,987 | | | Resona Holdings, Inc. | | | 774,144 | |
| | 40,300 | | | Shizuoka Bank, Ltd. (The) | | | 288,062 | |
| | 162,873 | | | Skandinaviska Enskilda Banken AB, Class A | | | 2,257,165 | |
| | 81,518 | | | Societe Generale | | | 2,799,033 | |
| | 265,054 | | | Standard Chartered plc | | | 1,601,658 | |
| | 130,469 | | | Sumitomo Mitsui Financial Group, Inc. | | | 4,460,382 | |
| | 35,103 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 1,172,139 | |
| | 143,563 | | | Svenska Handelsbanken AB, Class A | | | 1,550,347 | |
| | 89,636 | | | Swedbank AB, Class A | | | 1,800,772 | |
| | 214,103 | | | Unicredit SpA | | | 3,295,554 | |
| | 122,573 | | | United Overseas Bank, Ltd. | | | 2,448,293 | |
| | 372,248 | | | Westpac Banking Corp. | | | 5,786,231 | |
| | | | | | | | |
| | | | | | | 147,285,577 | |
| | | | | | | | |
| Beverages (2.1%): | | | |
| | 76,285 | | | Anheuser-Busch InBev NV | | | 4,618,123 | |
| | 45,700 | | | Asahi Breweries, Ltd. | | | 1,773,875 | |
| | 159,300 | | | Budweiser Brewing Co. APAC, Ltd. | | | 417,831 | |
| | 10,198 | | | Carlsberg A/S, Class B | | | 1,751,997 | |
| | 19,778 | | | Coca-Cola European Partners plc | | | 1,101,801 | |
| | 21,102 | | | Coca-Cola HBC AG | | | 727,386 | |
See accompanying notes to the financial statements.
4
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages, continued | | | |
| | 54,381 | | | David Campari-Milano NV | | $ | 791,670 | |
| | 235,533 | | | Diageo plc | | | 12,837,297 | |
| | 11,986 | | | Heineken Holding NV | | | 1,106,512 | |
| | 26,159 | | | Heineken NV | | | 2,941,137 | |
| | 6,000 | | | ITO EN, Ltd. | | | 315,133 | |
| | 80,200 | | | Kirin Holdings Co., Ltd. | | | 1,286,414 | |
| | 21,347 | | | Pernod Ricard SA | | | 5,135,564 | |
| | 2,253 | | | Remy Cointreau SA | | | 548,373 | |
| | 14,600 | | | Suntory Beverage & Food, Ltd. | | | 528,133 | |
| | 69,034 | | | Treasury Wine Estates, Ltd. | | | 622,239 | |
| | | | | | | | |
| | | | | | | 36,503,485 | |
| | | | | | | | |
| Biotechnology (0.9%): | | | |
| | 4,510 | | | Argenx SE*^ | | | 1,593,853 | |
| | 48,193 | | | CSL, Ltd. | | | 10,203,454 | |
| | 6,624 | | | Genmab A/S* | | | 2,652,586 | |
| | 31,583 | | | Grifols SA | | | 604,240 | |
| | | | | | | | |
| | | | | | | 15,054,133 | |
| | | | | | | | |
| Building Products (1.3%): | | | |
| | 18,700 | | | AGC, Inc. | | | 892,736 | |
| | 101,252 | | | ASSA Abloy AB, Class B | | | 3,076,916 | |
| | 51,463 | | | Compagnie de Saint-Gobain SA | | | 3,619,592 | |
| | 25,100 | | | Daikin Industries, Ltd. | | | 5,695,024 | |
| | 3,616 | | | Geberit AG, Registered Shares | | | 2,944,574 | |
| | 15,267 | | | Kingspan Group plc | | | 1,827,177 | |
| | 28,000 | | | Lixil Corp. | | | 746,287 | |
| | 142,128 | | | Nibe Industrier AB, Class B | | | 2,131,688 | |
| | 817 | | | ROCKWOOL International A/S, Class B | | | 357,634 | |
| | 14,700 | | | TOTO, Ltd. | | | 676,257 | |
| | 190,000 | | | Xinyi Glass Holdings, Ltd. | | | 475,771 | |
| | | | | | | | |
| | | | | | | 22,443,656 | |
| | | | | | | | |
| Capital Markets (2.8%): | | | |
| | 96,154 | | | 3i Group plc | | | 1,880,906 | |
| | 6,085 | | | Amundi SA | | | 502,261 | |
| | 20,141 | | | ASX, Ltd. | | | 1,361,524 | |
| | 267,207 | | | Credit Suisse Group AG | | | 2,592,559 | |
| | 150,300 | | | Daiwa Securities Group, Inc. | | | 847,844 | |
| | 207,977 | | | Deutsche Bank AG, Registered Shares* | | | 2,610,204 | |
| | 19,233 | | | Deutsche Boerse AG | | | 3,221,615 | |
| | 30,266 | | | EQT AB | | | 1,645,681 | |
| | 8,637 | | | Euronext NV | | | 896,716 | |
| | 5,295 | | | Futu Holdings, Ltd., ADR* | | | 229,274 | |
| | 37,543 | | | Hargreaves Lansdown plc | | | 688,818 | |
| | 121,493 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 7,101,405 | |
| | 53,000 | | | Japan Exchange Group, Inc. | | | 1,160,514 | |
| | 21,922 | | | Julius Baer Group, Ltd. | | | 1,465,433 | |
| | 32,877 | | | London Stock Exchange Group plc | | | 3,076,673 | |
| | 35,024 | | | Macquarie Group, Ltd. | | | 5,234,526 | |
| | 12,753 | | | Magellan Financial Group, Ltd. | | | 197,112 | |
| | 299,900 | | | Nomura Holdings, Inc. | | | 1,308,133 | |
| | 2,259 | | | Partners Group Holding AG | | | 3,725,227 | |
| | 25,290 | | | SBI Holdings, Inc. | | | 689,447 | |
| | 13,061 | | | Schroders plc | | | 627,371 | |
| | 73,500 | | | Singapore Exchange, Ltd. | | | 507,657 | |
| | 52,207 | | | St. James Place plc | | | 1,189,054 | |
| | 354,560 | | | UBS Group AG | | | 6,365,772 | |
| | | | | | | | |
| | | | | | | 49,125,726 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals (3.6%): | | | |
| | 47,731 | | | Air Liquide SA | | $ | 8,322,391 | |
| | 18,896 | | | Akzo Nobel NV | | | 2,079,872 | |
| | 6,387 | | | Arkema SA | | | 900,759 | |
| | 130,500 | | | Asahi Kasei Corp. | | | 1,226,742 | |
| | 92,022 | | | BASF SE | | | 6,471,812 | |
| | 11,119 | | | Christian Hansen Holding A/S | | | 874,282 | |
| | 21,010 | | | Clariant AG | | | 438,624 | |
| | 18,813 | | | Covestro AG | | | 1,160,747 | |
| | 13,801 | | | Croda International plc | | | 1,892,468 | |
| | 671 | | | EMS-Chemie Holding AG | | | 749,048 | |
| | 21,816 | | | Evonik Industries AG | | | 707,001 | |
| | 6,565 | | | FUCHS PETROLUB SE | | | 298,342 | |
| | 942 | | | Givaudan SA, Registered Shares | | | 4,958,339 | |
| | 73,284 | | | ICL Group, Ltd. | | | 704,685 | |
| | 20,134 | | | Johnson Matthey plc | | | 559,175 | |
| | 19,500 | | | JSR Corp. | | | 741,866 | |
| | 18,800 | | | Kansai Paint Co., Ltd. | | | 408,695 | |
| | 17,529 | | | Koninklijke DSM NV | | | 3,935,388 | |
| | 7,976 | | | Lanxess AG | | | 494,867 | |
| | 133,200 | | | Mitsubishi Chemical Holdings Corp. | | | 986,888 | |
| | 18,100 | | | Mitsubishi Gas Chemical Co., Inc. | | | 306,617 | |
| | 19,400 | | | Mitsui Chemicals, Inc. | | | 521,289 | |
| | 74,000 | | | Nippon Paint Holdings Co., Ltd. | | | 806,968 | |
| | 13,900 | | | Nippon Sanso Holdings Corp. | | | 303,757 | |
| | 12,000 | | | Nissan Chemical Corp. | | | 697,094 | |
| | 14,500 | | | Nitto Denko Corp. | | | 1,120,951 | |
| | 20,528 | | | Novozymes A/S, Class B | | | 1,681,204 | |
| | 40,418 | | | Orica, Ltd. | | | 403,036 | |
| | 35,700 | | | Shin-Etsu Chemical Co., Ltd. | | | 6,184,133 | |
| | 14,245 | | | Sika AG | | | 5,914,985 | |
| | 7,710 | | | Solvay SA | | | 898,773 | |
| | 155,000 | | | Sumitomo Chemical Co., Ltd. | | | 730,550 | |
| | 12,772 | | | Symrise AG | | | 1,894,306 | |
| | 133,000 | | | Toray Industries, Inc. | | | 788,543 | |
| | 28,400 | | | Tosoh Corp. | | | 421,322 | |
| | 19,106 | | | Umicore SA | | | 779,463 | |
| | 16,878 | | | Yara International ASA | | | 853,000 | |
| | | | | | | | |
| | | | | | | 62,217,982 | |
| | | | | | | | |
| Commercial Services & Supplies (0.3%): | | | |
| | 142,584 | | | Brambles, Ltd. | | | 1,102,720 | |
| | 22,100 | | | Dai Nippon Printing Co., Ltd. | | | 555,967 | |
| | 192,916 | | | Rentokil Initial plc | | | 1,525,782 | |
| | 21,800 | | | SECOM Co., Ltd. | | | 1,513,854 | |
| | 32,576 | | | Securitas AB, Class B | | | 447,901 | |
| | 6,200 | | | Sohgo Security Services Co., Ltd. | | | 246,382 | |
| | 26,200 | | | TOPPAN, INC. | | | 491,209 | |
| | | | | | | | |
| | | | | | | 5,883,815 | |
| | | | | | | | |
| Communications Equipment (0.4%): | | | |
| | 545,510 | | | Nokia OYJ* | | | 3,426,628 | |
| | 295,809 | | | Telefonaktiebolaget LM Ericsson, Class B | | | 3,250,272 | |
| | | | | | | | |
| | | | | | | 6,676,900 | |
| | | | | | | | |
| Construction & Engineering (0.7%): | | | |
| | 23,922 | | | ACS Actividades de Construccion y Servicios SA | | | 641,566 | |
| | 23,768 | | | Bouygues SA | | | 851,527 | |
| | 8,666 | | | Eiffage SA | | | 893,780 | |
| | 47,468 | | | Ferrovial SA | | | 1,488,567 | |
See accompanying notes to the financial statements.
5
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering, continued | | | |
| | 42,800 | | | Kajima Corp. | | $ | 491,653 | |
| | 69,500 | | | Obayashi Corp. | | | 537,880 | |
| | 60,400 | | | Shimizu Corp. | | | 374,478 | |
| | 35,392 | | | Skanska AB, Class B | | | 911,936 | |
| | 20,600 | | | Taisei Corp. | | | 626,063 | |
| | 53,700 | | | Vinci SA | | | 5,689,194 | |
| | | | | | | | |
| | | | | | | 12,506,644 | |
| | | | | | | | |
| Construction Materials (0.6%): | | | |
| | 78,173 | | | CRH plc | | | 4,128,742 | |
| | 14,390 | | | HeidelbergCement AG | | | 974,854 | |
| | 52,748 | | | Holcim, Ltd. | | | 2,685,328 | |
| | 46,209 | | | James Hardie Industries SE | | | 1,859,527 | |
| | | | | | | | |
| | | | | | | 9,648,451 | |
| | | | | | | | |
| Consumer Finance (0.0%†): | | | |
| | — | | | Isracard, Ltd. | | | 2 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 25,497 | | | Smurfit Kappa Group plc | | | 1,409,389 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 21,043 | | | IDP Education, Ltd. | | | 530,547 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | | | |
| | 3,632 | | | Eurazeo SE | | | 317,481 | |
| | 11,283 | | | EXOR NV | | | 1,004,217 | |
| | 10,956 | | | Groupe Bruxelles Lambert SA | | | 1,224,268 | |
| | 13,325 | | | Industrivarden AB, Class A | | | 423,080 | |
| | 16,614 | | | Industrivarden AB, Class C | | | 519,821 | |
| | 50,272 | | | Investor AB | | | 1,318,302 | |
| | 185,759 | | | Investor AB, Class B | | | 4,647,180 | |
| | 23,067 | | | Kinnevik AB, Class B* | | | 816,305 | |
| | 7,907 | | | L E Lundbergforetagen AB | | | 441,975 | |
| | 270,482 | | | M&G plc | | | 730,053 | |
| | 63,300 | | | Mitsubishi HC Capital, Inc. | | | 313,203 | |
| | 122,600 | | | ORIX Corp. | | | 2,502,699 | |
| | 1,656 | | | Sofina SA | | | 814,236 | |
| | 228,152 | | | Standard Life Aberdeen plc | | | 743,476 | |
| | 3,900 | | | Tokyo Century Corp. | | | 189,250 | |
| | 2,640 | | | Wendel | | | 316,500 | |
| | | | | | | | |
| | | | | | | 16,322,046 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.7%): | | | |
| | 888,641 | | | BT Group plc | | | 2,031,634 | |
| | 51,678 | | | Cellnex Telecom SAU | | | 3,000,150 | |
| | 333,913 | | | Deutsche Telekom AG, Registered Shares | | | 6,205,247 | |
| | 14,797 | | | Elisa OYJ | | | 908,691 | |
| | 404,525 | | | HKT Trust & HKT, Ltd. | | | 543,796 | |
| | 34,963 | | | Infrastrutture Wireless Italiane SpA | | | 423,275 | |
| | 349,796 | | | Koninklijke KPN NV | | | 1,086,115 | |
| | 130,804 | | | Nippon Telegraph & Telephone Corp. | | | 3,577,060 | |
| | 199,787 | | | Orange SA | | | 2,140,131 | |
| | 15,181 | | | Proximus SADP | | | 296,004 | |
| | 807,800 | | | Singapore Telecommunications, Ltd. | | | 1,391,042 | |
| | 193,685 | | | Spark New Zealand, Ltd. | | | 599,606 | |
| | 2,533 | | | Swisscom AG, Registered Shares | | | 1,429,444 | |
| | 1,036,625 | | | Telecom Italia SpA | | | 509,723 | |
| | 87,057 | | | Telefonica Deutschland Holding AG | | | 240,825 | |
| | 545,624 | | | Telefonica SA^ | | | 2,375,042 | |
| | 72,797 | | | Telenor ASA | | | 1,145,944 | |
| | 276,553 | | | Telia Co AB | | | 1,081,737 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| | 402,715 | | | Telstra Corp., Ltd. | | $ | 1,224,694 | |
| | 9,884 | | | United Internet AG, Registered Shares | | | 392,040 | |
| | | | | | | | |
| | | | | | | 30,602,200 | |
| | | | | | | | |
| Electric Utilities (1.8%): | | | |
| | 193,004 | | | AusNet Services | | | 360,729 | |
| | 62,500 | | | Chubu Electric Power Co., Inc. | | | 659,999 | |
| | 65,570 | | | CK Infrastructure Holdings, Ltd. | | | 417,544 | |
| | 171,000 | | | CLP Holdings, Ltd. | | | 1,727,066 | |
| | 288,800 | | | EDP – Energias de Portugal SA | | | 1,584,019 | |
| | 44,122 | | | Electricite de France | | | 518,465 | |
| | 2,734 | | | Elia Group SA/NV | | | 360,490 | |
| | 33,044 | | | Endesa SA | | | 761,673 | |
| | 815,220 | | | Enel SpA | | | 6,491,786 | |
| | 46,207 | | | Fortum OYJ | | | 1,411,219 | |
| | 292,500 | | | HK Electric Investments, Ltd. | | | 287,011 | |
| | 577,558 | | | Iberdrola SA | | | 6,767,473 | |
| | 68,100 | | | Kansai Electric Power Co., Inc. (The) | | | 637,463 | |
| | 61,309 | | | Mercury NZ, Ltd. | | | 256,765 | |
| | 183,228 | | | Origin Energy, Ltd. | | | 699,879 | |
| | 19,089 | | | Orsted A/S | | | 2,451,625 | |
| | 144,500 | | | Power Assets Holdings, Ltd. | | | 900,689 | |
| | 41,252 | | | Red Electrica Corp SA | | | 892,795 | |
| | 104,523 | | | Scottish & Southern Energy plc | | | 2,330,339 | |
| | 135,086 | | | Terna SpA | | | 1,089,817 | |
| | 159,400 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 412,604 | |
| | 6,614 | | | Verbund AG, Class A | | | 746,412 | |
| | | | | | | | |
| | | | | | | 31,765,862 | |
| | | | | | | | |
| Electrical Equipment (2.0%): | | | |
| | 165,573 | | | ABB, Ltd. | | | 6,310,622 | |
| | 13,400 | | | Fuji Electric Co., Ltd. | | | 731,834 | |
| | 27,041 | | | Legrand SA | | | 3,164,440 | |
| | 183,500 | | | Mitsubishi Electric Corp. | | | 2,327,301 | |
| | 44,900 | | | Nidec Corp. | | | 5,278,953 | |
| | 24,934 | | | Prysmian SpA | | | 939,381 | |
| | 54,543 | | | Schneider Electric SA | | | 10,692,113 | |
| | 41,578 | | | Siemens Energy AG* | | | 1,064,436 | |
| | 25,813 | | | Siemens Gamesa Renewable Energy* | | | 612,165 | |
| | 100,591 | | | Vestas Wind Systems A/S | | | 3,042,342 | |
| | | | | | | | |
| | | | | | | 34,163,587 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.8%): | | | |
| | 12,800 | | | Azbil Corp. | | | 583,266 | |
| | 39,497 | | | Halma plc | | | 1,705,507 | |
| | 14,600 | | | Hamamatsu Photonics KK | | | 931,892 | |
| | 199,849 | | | Hexagon AB, Class B | | | 3,147,448 | |
| | 3,214 | | | Hirose Electric Co., Ltd. | | | 540,532 | |
| | 11,000 | | | Ibiden Co., Ltd. | | | 650,291 | |
| | 19,680 | | | Keyence Corp. | | | 12,370,285 | |
| | 32,000 | | | Kyocera Corp. | | | 1,999,947 | |
| | 58,600 | | | Murata Manufacturing Co., Ltd. | | | 4,653,328 | |
| | 18,400 | | | Omron Corp. | | | 1,833,738 | |
| | 22,900 | | | Shimadzu Corp. | | | 966,835 | |
| | 38,100 | | | TDK Corp. | | | 1,487,664 | |
| | 27,200 | | | Venture Corp., Ltd. | | | 369,946 | |
| | 21,900 | | | Yokogawa Electric Corp. | | | 394,990 | |
| | | | | | | | |
| | | | | | | 31,635,669 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 49,170 | | | Tenaris SA | | $ | 513,129 | |
| | | | | | | | |
| Entertainment (0.9%): | | | |
| | 97,547 | | | Bollore, Inc. | | | 545,781 | |
| | 18,300 | | | Capcom Co., Ltd. | | | 430,937 | |
| | 46,866 | | | Embracer Group AB* | | | 496,757 | |
| | 5,980 | | | Koei Tecmo Holdings Co., Ltd.^ | | | 235,301 | |
| | 9,900 | | | Konami Holdings Corp. | | | 475,227 | |
| | 50,800 | | | Nexon Co., Ltd. | | | 979,833 | |
| | 11,200 | | | Nintendo Co., Ltd. | | | 5,225,012 | |
| | 13,889 | | | Sea, Ltd., ADR* | | | 3,107,108 | |
| | 8,000 | | | Square Enix Holdings Co., Ltd. | | | 410,438 | |
| | 10,900 | | | Toho Co., Ltd. | | | 466,815 | |
| | 8,761 | | | UbiSoft Entertainment SA* | | | 429,633 | |
| | 71,712 | | | Universal Music Group NV | | | 2,021,704 | |
| | 71,712 | | | Vivendi Universal SA | | | 970,094 | |
| | | | | | | | |
| | | | | | | 15,794,640 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.4%): | | | |
| | 334,683 | | | Ascendas Real Estate Investment Trust | | | 733,157 | |
| | 85,015 | | | British Land Co. plc | | | 609,485 | |
| | 481,113 | | | CapitaLand Mall Trust | | | 728,815 | |
| | 5,555 | | | Covivio | | | 456,709 | |
| | 206 | | | Daiwahouse Residential Investment Corp. | | | 624,227 | |
| | 102,333 | | | Dexus | | | 827,978 | |
| | 4,954 | | | Gecina SA | | | 692,851 | |
| | 449 | | | GLP J-REIT | | | 775,985 | |
| | 167,631 | | | Goodman Group | | | 3,236,331 | |
| | 202,654 | | | GPT Group | | | 799,168 | |
| | 675 | | | Japan Metropolitan Fund Invest | | | 581,643 | |
| | 130 | | | Japan Real Estate Investment Corp. | | | 738,134 | |
| | 20,015 | | | Klepierre | | | 474,570 | |
| | 67,234 | | | Land Securities Group plc | | | 705,017 | |
| | 207,000 | | | Link REIT (The) | | | 1,823,633 | |
| | 235,300 | | | Mapletree Commercial Trust | | | 346,824 | |
| | 323,434 | | | Mapletree Logistics Trust | | | 456,127 | |
| | 377,732 | | | Mirvac Group | | | 800,736 | |
| | 155 | | | Nippon Building Fund, Inc. | | | 903,000 | |
| | 212 | | | Nippon Prologis REIT, Inc. | | | 749,745 | |
| | 441 | | | Nomura Real Estate Master Fund, Inc. | | | 620,419 | |
| | 251 | | | Orix JREIT, Inc. | | | 392,404 | |
| | 539,983 | | | Scentre Group | | | 1,241,634 | |
| | 118,843 | | | SERGO plc | | | 2,308,141 | |
| | 248,341 | | | Stockland | | | 766,260 | |
| | 12,965 | | | Unibail-Rodamco-Westfield* | | | 903,779 | |
| | 410,409 | | | Vicinity Centres | | | 505,484 | |
| | | | | | | | |
| | | | | | | 23,802,256 | |
| | | | | | | | |
| Food & Staples Retailing (1.3%): | | | |
| | 68,000 | | | AEON Co., Ltd. | | | 1,601,839 | |
| | 63,796 | | | Carrefour SA | | | 1,169,169 | |
| | 132,156 | | | Coles Group, Ltd. | | | 1,724,951 | |
| | 5,622 | | | Colruyt SA | | | 238,477 | |
| | 2,200 | | | Cosmos Pharmaceutical Corp. | | | 323,255 | |
| | 131,643 | | | Endeavour Group, Ltd. | | | 645,595 | |
| | 155,527 | | | J Sainsbury plc | | | 579,772 | |
| | 26,690 | | | Jeronimo Martins SGPS SA | | | 610,776 | |
| | 28,415 | | | Kesko OYJ, Class B | | | 942,530 | |
| | 13,900 | | | Kobe Bussan Co., Ltd. | | | 537,867 | |
| | 106,126 | | | Koninklijke Ahold Delhaize NV | | | 3,636,048 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 5,100 | | | LAWSON, Inc. | | $ | 241,382 | |
| | 76,400 | | | Seven & I Holdings Co., Ltd. | | | 3,358,899 | |
| | 778,927 | | | Tesco plc | | | 3,053,345 | |
| | 3,700 | | | Tsuruha Holdings, Inc. | | | 354,819 | |
| | 9,400 | | | Welcia Holdings Co., Ltd. | | | 293,069 | |
| | 128,657 | | | Woolworths Group, Ltd. | | | 3,557,936 | |
| | | | | | | | |
| | | | | | | 22,869,729 | |
| | | | | | | | |
| Food Products (3.4%): | | | |
| | 48,600 | | | Ajinomoto Co., Inc. | | | 1,477,857 | |
| | 37,063 | | | Associated British Foods plc | | | 1,005,127 | |
| | 343 | | | Barry Callebaut AG, Registered Shares | | | 833,677 | |
| | 11 | | | Chocoladefabriken Lindt & Spruengli AG | | | 1,475,058 | |
| | 66,689 | | | Danone SA | | | 4,142,015 | |
| | 7,602 | | | JDE Peet’s NV | | | 234,215 | |
| | 15,924 | | | Kerry Group plc, Class A | | | 2,052,540 | |
| | 15,100 | | | Kikkoman Corp. | | | 1,269,768 | |
| | 107 | | | Lindt & Spruengli AG | | | 1,478,246 | |
| | 11,652 | | | Meiji Holdings Co., Ltd. | | | 695,032 | |
| | 45,728 | | | Mowi ASA | | | 1,082,675 | |
| | 283,765 | | | Nestle SA, Registered Shares | | | 39,681,094 | |
| | 19,545 | | | Nisshin Seifun Group, Inc. | | | 281,332 | |
| | 5,900 | | | Nissin Foods Holdings Co., Ltd. | | | 429,833 | |
| | 78,138 | | | Orkla ASA, Class A | | | 783,770 | |
| | 8,700 | | | Toyo Suisan Kaisha, Ltd. | | | 368,053 | |
| | 769,797 | | | WH Group, Ltd. | | | 482,886 | |
| | 199,900 | | | Wilmar International, Ltd. | | | 614,708 | |
| | 13,400 | | | Yakult Honsha Co., Ltd. | | | 698,155 | |
| | | | | | | | |
| | | | | | | 59,086,041 | |
| | | | | | | | |
| Gas Utilities (0.4%): | | | |
| | 122,751 | | | APA Group | | | 899,152 | |
| | 22,895 | | | Enagas SA | | | 529,477 | |
| | 19,676 | | | Gas Natural SDG SA | | | 638,713 | |
| | 1,109,135 | | | Hong Kong & China Gas Co., Ltd. | | | 1,726,819 | |
| | 39,000 | | | Osaka Gas Co., Ltd. | | | 645,914 | |
| | 209,789 | | | Snam SpA | | | 1,260,812 | |
| | 39,300 | | | Tokyo Gas Co., Ltd. | | | 706,509 | |
| | | | | | | | |
| | | | | | | 6,407,396 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.3%): | | | |
| | 50,916 | | | Alcon, Inc. | | | 4,487,429 | |
| | 17,860 | | | Ambu A/S, Class B | | | 467,525 | |
| | 22,200 | | | Asahi Intecc Co., Ltd. | | | 475,676 | |
| | 4,310 | | | BioMerieux | | | 612,592 | |
| | 4,187 | | | Carl Zeiss Meditec AG | | | 880,968 | |
| | 6,839 | | | Cochlear, Ltd. | | | 1,073,494 | |
| | 11,847 | | | Coloplast A/S, Class B | | | 2,072,835 | |
| | 10,100 | | | Demant A/S* | | | 512,445 | |
| | 2,417 | | | DiaSorin SpA | | | 459,752 | |
| | 56,022 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 1,255,939 | |
| | 23,058 | | | Getinge AB, Class B | | | 1,001,894 | |
| | 12,113 | | | GN Store Nord A/S | | | 756,981 | |
| | 37,000 | | | HOYA Corp. | | | 5,487,111 | |
| | 5,005 | | | Inmode, Ltd.* | | | 353,253 | |
| | 92,917 | | | Koninklijke Philips NV | | | 3,453,350 | |
| | 111,300 | | | Olympus Corp. | | | 2,556,917 | |
| | 2,597 | | | Sartorius AG | | | 1,757,600 | |
| | 29,006 | | | Siemens Healthineers AG | | | 2,173,321 | |
See accompanying notes to the financial statements.
7
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 91,252 | | | Smith & Nephew plc | | $ | 1,596,936 | |
| | 5,502 | | | Sonova Holding AG, Registered Shares | | | 2,149,621 | |
| | 1,031 | | | Straumann Holding AG, Registered Shares, Class R | | | 2,179,267 | |
| | 16,600 | | | Sysmex Corp. | | | 2,236,906 | |
| | 64,900 | | | Terumo Corp. | | | 2,742,862 | |
| | | | | | | | |
| | | | | | | 40,744,674 | |
| | | | | | | | |
| Health Care Providers & Services (0.4%): | | | |
| | 12,628 | | | Amplifon SpA | | | 678,500 | |
| | 21,329 | | | Fresenius Medical Care AG & Co., KGaA | | | 1,381,550 | |
| | 41,738 | | | Fresenius SE & Co. KGaA | | | 1,682,698 | |
| | 20,600 | | | Medipal Holdings Corp. | | | 386,023 | |
| | 5,013 | | | Orpea | | | 501,315 | |
| | 19,049 | | | Ramsay Health Care, Ltd. | | | 988,683 | |
| | 46,943 | | | Ryman Healthcare, Ltd. | | | 393,555 | |
| | 44,295 | | | Sonic Healthcare, Ltd. | | | 1,504,303 | |
| | | | | | | | |
| | | | | | | 7,516,627 | |
| | | | | | | | |
| Health Care Technology (0.1%): | | | |
| | 44,500 | | | M3, Inc. | | | 2,241,819 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.4%): | | | |
| | 17,675 | | | Accor SA* | | | 571,934 | |
| | 59,983 | | | Aristocrat Leisure, Ltd. | | | 1,901,993 | |
| | 181,138 | | | Compass Group plc* | | | 4,034,358 | |
| | 42,095 | | | Crown Resorts, Ltd.* | | | 367,032 | |
| | 5,969 | | | Domino’s Pizza Enterprises, Ltd. | | | 512,604 | |
| | 17,109 | | | Evolution AB | | | 2,407,767 | |
| | 16,871 | | | Flutter Entertainment plc* | | | 2,661,851 | |
| | 209,000 | | | Galaxy Entertainment Group, Ltd.* | | | 1,083,019 | |
| | 653,157 | | | Genting Singapore, Ltd. | | | 375,721 | |
| | 60,885 | | | GVC Holdings plc* | | | 1,382,139 | |
| | 17,748 | | | InterContinental Hotels Group plc* | | | 1,142,173 | |
| | 9,051 | | | La Francaise des Jeux SAEM | | | 400,975 | |
| | 7,029 | | | McDonald’s Holdings Co., Ltd. | | | 311,089 | |
| | 25,792 | | | Melco Resorts & Entertainment, Ltd., ADR* | | | 262,563 | |
| | 20,200 | | | Oriental Land Co., Ltd. | | | 3,404,645 | |
| | 252,332 | | | Sands China, Ltd.* | | | 587,811 | |
| | 9,204 | | | Sodexo SA | | | 806,971 | |
| | 216,784 | | | Tabcorp Holdings, Ltd. | | | 792,778 | |
| | 20,998 | | | Whitbread plc* | | | 847,999 | |
| | | | | | | | |
| | | | | | | 23,855,422 | |
| | | | | | | | |
| Household Durables (1.5%): | | | |
| | 105,941 | | | Barratt Developments plc | | | 1,070,002 | |
| | 10,916 | | | Berkeley Group Holdings plc | | | 703,538 | |
| | 23,465 | | | Electrolux AB, Class B | | | 567,473 | |
| | 41,082 | | | Husqvarna AB, Class B | | | 654,324 | |
| | 16,200 | | | Iida Group Holdings Co., Ltd. | | | 375,913 | |
| | 222,600 | | | Panasonic Corp. | | | 2,448,701 | |
| | 33,195 | | | Persimmon plc | | | 1,280,094 | |
| | 3,700 | | | Rinnai Corp. | | | 332,876 | |
| | 2,943 | | | SEB SA | | | 458,351 | |
| | 39,700 | | | Sekisui Chemical Co., Ltd. | | | 663,535 | |
| | 59,900 | | | Sekisui House, Ltd. | | | 1,286,052 | |
| | 24,500 | | | Sharp Corp. | | | 280,793 | |
| | 127,000 | | | Sony Group Corp. | | | 16,056,772 | |
| | 351,444 | | | Taylor Wimpey plc | | | 832,276 | |
| | | | | | | | |
| | | | | | | 27,010,700 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Products (0.6%): | | | |
| | 60,537 | | | Essity AB, Class B | | $ | 1,976,041 | |
| | 10,811 | | | Henkel AG & Co. KGaA | | | 845,189 | |
| | 22,400 | | | Lion Corp. | | | 299,366 | |
| | 71,919 | | | Reckitt Benckiser Group plc | | | 6,168,652 | |
| | 40,000 | | | Unicharm Corp. | | | 1,738,720 | |
| | | | | | | | |
| | | | | | | 11,027,968 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.1%): | |
| | 27,555 | | | EDP Renovaveis SA | | | 683,234 | |
| | 123,351 | | | Meridian Energy, Ltd. | | | 410,261 | |
| | 8,605 | | | Uniper SE | | | 409,220 | |
| | | | | | | | |
| | | | | | | 1,502,715 | |
| | | | | | | | |
| Industrial Conglomerates (1.6%): | | | |
| | 268,244 | | | CK Hutchison Holdings, Ltd. | | | 1,731,041 | |
| | 9,292 | | | DCC plc | | | 759,707 | |
| | 97,620 | | | Hitachi, Ltd. | | | 5,288,701 | |
| | 15,609 | | | Investment AB Latour, Class B | | | 636,805 | |
| | 21,000 | | | Jardine Matheson Holdings, Ltd. | | | 1,156,069 | |
| | 159,300 | | | Keppel Corp., Ltd. | | | 605,388 | |
| | 23,499 | | | Lifco AB, Class B | | | 703,913 | |
| | 454,887 | | | Melrose Industries plc | | | 986,868 | |
| | 76,935 | | | Siemens AG, Registered Shares | | | 13,371,812 | |
| | 41,236 | | | Smiths Group plc | | | 878,859 | |
| | 40,600 | | | Toshiba Corp. | | | 1,669,886 | |
| | | | | | | | |
| | | | | | | 27,789,049 | |
| | | | | | | | |
| Insurance (4.7%): | | | |
| | 20,063 | | | Admiral Group plc | | | 857,600 | |
| | 171,254 | | | AEGON NV | | | 853,416 | |
| | 18,216 | | | Ageas NV | | | 944,278 | |
| | 1,219,200 | | | AIA Group, Ltd. | | | 12,291,661 | |
| | 41,555 | | | Allianz SE, Registered Shares+ | | | 9,823,501 | |
| | 110,775 | | | Assicurazioni Generali SpA | | | 2,337,750 | |
| | 392,685 | | | Aviva plc | | | 2,180,313 | |
| | 194,731 | | | AXA SA | | | 5,802,852 | |
| | 4,823 | | | Baloise Holding AG, Registered Shares | | | 787,681 | |
| | 16,528 | | | CNP Assurances SA | | | 409,282 | |
| | 101,400 | | | Dai-ichi Life Holdings, Inc. | | | 2,048,965 | |
| | 19,206 | | | Gjensidige Forsikring ASA | | | 466,683 | |
| | 6,273 | | | Hannover Rueck SE | | | 1,194,374 | |
| | 256,458 | | | Insurance Australia Group, Ltd. | | | 794,810 | |
| | 248,400 | | | Japan Post Holdings Co., Ltd. | | | 1,939,116 | |
| | 19,500 | | | Japan Post Insurance Co., Ltd. | | | 313,381 | |
| | 597,220 | | | Legal & General Group plc | | | 2,403,645 | |
| | 266,611 | | | Medibank Private, Ltd. | | | 649,830 | |
| | 46,311 | | | MS&AD Insurance Group Holdings, Inc. | | | 1,429,195 | |
| | 13,950 | | | Muenchener Rueckversicherungs-Gesellschaft AG | | | 4,138,101 | |
| | 27,506 | | | NN Group NV | | | 1,486,463 | |
| | 65,334 | | | Phoenix Group Holdings plc | | | 576,167 | |
| | 56,002 | | | Poste Italiane SpA | | | 734,845 | |
| | 262,586 | | | Prudential plc | | | 4,527,240 | |
| | 143,233 | | | QBE Insurance Group, Ltd. | | | 1,182,952 | |
| | 50,137 | | | Sampo Oyj, Class A | | | 2,501,095 | |
| | 30,925 | | | Sompo Holdings, Inc. | | | 1,306,647 | |
| | 133,228 | | | Suncorp Group, Ltd. | | | 1,073,444 | |
| | 3,157 | | | Swiss Life Holding AG, Registered Shares | | | 1,932,880 | |
| | 30,435 | | | Swiss Re AG | | | 3,007,089 | |
See accompanying notes to the financial statements.
8
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 57,636 | | | T&D Holdings, Inc. | | $ | 737,761 | |
| | 63,800 | | | Tokio Marine Holdings, Inc. | | | 3,546,185 | |
| | 37,459 | | | Tryg A/S | | | 925,974 | |
| | 15,243 | | | Zurich Insurance Group AG | | | 6,682,115 | |
| | | | | | | | |
| | | | | | | 81,887,291 | |
| | | | | | | | |
| Interactive Media & Services (0.3%): | | | |
| | 25,768 | | | Adevinta ASA* | | | 342,601 | |
| | 100,515 | | | Auto Trader Group plc | | | 1,004,553 | |
| | 13,000 | | | Kakaku.com, Inc. | | | 347,065 | |
| | 5,498 | | | REA Group, Ltd. | | | 670,674 | |
| | 8,529 | | | Scout24 AG | | | 597,847 | |
| | 33,025 | | | Seek, Ltd. | | | 787,769 | |
| | 276,000 | | | Z Holdings Corp. | | | 1,601,898 | |
| | | | | | | | |
| | | | | | | 5,352,407 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (1.0%): | | | |
| | 16,337 | | | Delivery Hero SE* | | | 1,823,811 | |
| | 2,947 | | | Fiverr International, Ltd.* | | | 335,074 | |
| | 16,359 | | | HelloFresh SE* | | | 1,258,230 | |
| | 17,726 | | | Just Eat Takeaway* | | | 956,086 | |
| | 10,800 | | | Mercari, Inc.* | | | 550,350 | |
| | 50,636 | | | Ocado Group plc* | | | 1,148,662 | |
| | 94,401 | | | Prosus NV | | | 7,873,569 | |
| | 90,100 | | | Rakuten, Inc. | | | 904,131 | |
| | 22,814 | | | Zalando SE* | | | 1,849,859 | |
| | 13,200 | | | ZOZO, Inc. | | | 411,093 | |
| | | | | | | | |
| | | | | | | 17,110,865 | |
| | | | | | | | |
| IT Services (1.6%): | | | |
| | 1,989 | | | Adyen NV* | | | 5,203,188 | |
| | 21,602 | | | Afterpay, Ltd.* | | | 1,292,720 | |
| | 45,406 | | | Amadeus IT Group SA* | | | 3,058,018 | |
| | 8,520 | | | Bechtle AG | | | 610,688 | |
| | 16,281 | | | Capgemini SA | | | 3,976,271 | |
| | 52,517 | | | Computershare, Ltd. | | | 764,242 | |
| | 24,045 | | | Edenred | | | 1,109,634 | |
| | 19,900 | | | Fujitsu, Ltd. | | | 3,410,212 | |
| | 3,900 | | | GMO Payment Gateway, Inc. | | | 483,555 | |
| | 9,500 | | | Itochu Techno-Solutions Corp. | | | 305,655 | |
| | 45,718 | | | Nexi SpA* | | | 722,495 | |
| | 34,138 | | | Nomura Research Institute, Ltd. | | | 1,454,035 | |
| | 61,400 | | | NTT Data Corp. | | | 1,316,695 | |
| | 6,800 | | | OBIC Co., Ltd. | | | 1,273,050 | |
| | 10,700 | | | Otsuka Corp. | | | 510,799 | |
| | 13,500 | | | SCSK Corp. | | | 268,719 | |
| | 24,000 | | | TIS, Inc. | | | 712,359 | |
| | 5,789 | | | Wix.com, Ltd.* | | | 913,446 | |
| | 23,655 | | | Worldline SA* | | | 1,318,043 | |
| | | | | | | | |
| | | | | | | 28,703,824 | |
| | | | | | | | |
| Leisure Products (0.2%): | | | |
| | 20,800 | �� | | Bandai Namco Holdings, Inc. | | | 1,626,803 | |
| | 7,400 | | | Shimano, Inc. | | | 1,966,962 | |
| | 13,900 | | | Yamaha Corp. | | | 685,358 | |
| | | | | | | | |
| | | | | | | 4,279,123 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.6%): | | | |
| | 625 | | | Bachem Holding AG, Class B | | | 489,770 | |
| | 13,231 | | | Eurofins Scientific SE | | | 1,637,965 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Life Sciences Tools & Services, continued | | | |
| | 7,515 | | | Lonza Group AG, Registered Shares | | $ | 6,262,383 | |
| | 22,367 | | | Qiagen NV* | | | 1,246,225 | |
| | 2,877 | | | Sartorius Stedim Biotech | | | 1,575,503 | |
| | | | | | | | |
| | | | | | | 11,211,846 | |
| | | | | | | | |
| Machinery (3.3%): | | | |
| | 30,679 | | | Alfa Laval AB | | | 1,227,907 | |
| | 32,515 | | | Alstom SA | | | 1,157,914 | |
| | 39,031 | | | Atlas Copco AB | | | 2,279,008 | |
| | 67,178 | | | Atlas Copco AB, Class A | | | 4,651,946 | |
| | 101,517 | | | CNH Industrial NV | | | 1,949,527 | |
| | 10,500 | | | Daifuku Co., Ltd. | | | 858,306 | |
| | 43,022 | | | Daimler Truck Holding AG* | | | 1,581,417 | |
| | 68,561 | | | Epiroc AB, Class A | | | 1,738,845 | |
| | 41,269 | | | Epiroc AB, Class B | | | 875,489 | |
| | 19,500 | | | FANUC Corp. | | | 4,134,443 | |
| | 15,961 | | | GEA Group AG | | | 873,868 | |
| | 29,600 | | | Hino Motors, Ltd. | | | 244,023 | |
| | 10,100 | | | Hitachi Construction Machinery Co., Ltd. | | | 292,050 | |
| | 5,700 | | | Hoshizaki Corp. | | | 427,451 | |
| | 7,507 | | | Kion Group AG | | | 824,611 | |
| | 6,939 | | | Knorr-Bremse AG | | | 684,732 | |
| | 87,700 | | | Komatsu, Ltd. | | | 2,054,204 | |
| | 34,257 | | | Kone OYJ, Class B | | | 2,435,815 | |
| | 4,665 | | | Kornit Digital, Ltd.* | | | 710,246 | |
| | 102,900 | | | Kubota Corp. | | | 2,284,942 | |
| | 9,900 | | | Kurita Water Industries, Ltd. | | | 468,157 | |
| | 23,300 | | | Makita Corp. | | | 989,396 | |
| | 37,800 | | | MINEBEA MITSUMI, Inc. | | | 1,073,315 | |
| | 27,700 | | | Misumi Group, Inc. | | | 1,136,951 | |
| | 33,300 | | | Mitsubishi Heavy Industries, Ltd. | | | 770,909 | |
| | 8,000 | | | Miura Co., Ltd. | | | 275,496 | |
| | 25,300 | | | NGK Insulators, Ltd. | | | 427,708 | |
| | 533 | | | Rational AG | | | 546,379 | |
| | 113,923 | | | Sandvik AB | | | 3,184,117 | |
| | 4,236 | | | Schindler Holding AG | | | 1,136,901 | |
| | 1,874 | | | Schindler Holding AG, Registered Shares | | | 500,570 | |
| | 39,703 | | | SKF AB, Class B | | | 936,284 | |
| | 5,800 | | | SMC Corp. | | | 3,913,513 | |
| | 7,263 | | | Spirax-Sarco Engineering plc | | | 1,580,059 | |
| | 138,500 | | | Techtronic Industries Co., Ltd. | | | 2,757,025 | |
| | 2,722 | | | VAT Group AG | | | 1,346,261 | |
| | 18,388 | | | Volvo AB, Class A | | | 429,990 | |
| | 144,708 | | | Volvo AB, Class B | | | 3,337,519 | |
| | 44,492 | | | Wartsila OYJ Abp, Class B | | | 619,560 | |
| | 23,300 | | | Yaskawa Electric Corp. | | | 1,142,824 | |
| | | | | | | | |
| | | | | | | 57,859,678 | |
| | | | | | | | |
| Marine (0.4%): | | | |
| | 299 | | | A.P. Moeller – Maersk A/S, Class A | | | 996,829 | |
| | 596 | | | A.P. Moeller – Maersk A/S, Class B | | | 2,139,286 | |
| | 5,618 | | | Kuehne & Nagel International AG, Registered Shares | | | 1,807,317 | |
| | 15,800 | | | Nippon Yusen KK | | | 1,203,636 | |
| | 138,000 | | | SITC International Holdings Co., Ltd. | | | 499,507 | |
| | | | | | | | |
| | | | | | | 6,646,575 | |
| | | | | | | | |
| Media (0.4%): | | | |
| | 42,100 | | | Cyberagent, Inc. | | | 700,732 | |
| | 20,777 | | | Dentsu Group, Inc. | | | 740,770 | |
See accompanying notes to the financial statements.
9
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 22,700 | | | Hakuhodo DY Holdings, Inc. | | $ | 378,233 | |
| | 156,276 | | | Informa plc* | | | 1,087,922 | |
| | 80,532 | | | Pearson plc | | | 666,713 | |
| | 23,197 | | | Publicis Groupe SA | | | 1,561,628 | |
| | 7,838 | | | Schibsted ASA, Class A | | | 302,973 | |
| | 9,116 | | | Schibsted ASA, Class B | | | 305,381 | |
| | 120,890 | | | WPP plc | | | 1,826,974 | |
| | | | | | | | |
| | | | | | | 7,571,326 | |
| | | | | | | | |
| Metals & Mining (3.0%): | | | |
| | 130,612 | | | Anglo American plc | | | 5,345,370 | |
| | 41,026 | | | Antofagasta plc | | | 745,584 | |
| | 67,673 | | | ArcelorMittal | | | 2,176,527 | |
| | 213,757 | | | BHP Group plc | | | 6,369,355 | |
| | 298,264 | | | BHP Group, Ltd. | | | 9,025,087 | |
| | 52,411 | | | BlueScope Steel, Ltd. | | | 800,488 | |
| | 28,553 | | | Boliden AB | | | 1,107,268 | |
| | 182,201 | | | Evolution Mining, Ltd. | | | 539,028 | |
| | 45,492 | | | EVRAZ plc | | | 371,262 | |
| | 170,577 | | | Fortescue Metals Group, Ltd. | | | 2,393,073 | |
| | 1,001,691 | | | Glencore plc | | | 5,095,354 | |
| | 23,100 | | | Hitachi Metals, Ltd.* | | | 427,934 | |
| | 47,600 | | | JFE Holdings, Inc. | | | 607,248 | |
| | 84,951 | | | Newcrest Mining, Ltd. | | | 1,514,120 | |
| | 88,948 | | | Nippon Steel Corp. | | | 1,454,983 | |
| | 139,912 | | | Norsk Hydro ASA | | | 1,102,468 | |
| | 107,364 | | | Northern Star Resources, Ltd. | | | 735,737 | |
| | 113,020 | | | Rio Tinto plc | | | 7,450,213 | |
| | 37,494 | | | Rio Tinto, Ltd. | | | 2,738,853 | |
| | 455,650 | | | South32, Ltd. | | | 1,335,316 | |
| | 25,700 | | | Sumitomo Metal & Mining Co., Ltd. | | | 972,158 | |
| | 11,188 | | | Voestalpine AG | | | 407,811 | |
| | | | | | | | |
| | | | | | | 52,715,237 | |
| | | | | | | | |
| Multiline Retail (0.4%): | | | |
| | 13,831 | | | Next plc | | | 1,521,454 | |
| | 40,200 | | | Pan Pacific International Holdings Corp. | | | 553,751 | |
| | 26,600 | | | Ryohin Keikaku Co., Ltd. | | | 405,718 | |
| | 113,933 | | | Wesfarmers, Ltd. | | | 4,915,141 | |
| | | | | | | | |
| | | | | | | 7,396,064 | |
| | | | | | | | |
| Multi-Utilities (1.0%): | | | |
| | 226,611 | | | E.ON SE | | | 3,143,125 | |
| | 183,694 | | | Engie Group | | | 2,719,725 | |
| | 362,174 | | | National Grid plc | | | 5,224,693 | |
| | 64,562 | | | RWE AG | | | 2,622,867 | |
| | 35,955 | | | Suez | | | 810,863 | |
| | 66,741 | | | Veolia Environnement SA | | | 2,448,000 | |
| | | | | | | | |
| | | | | | | 16,969,273 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.3%): | | | |
| | 12,705 | | | Aker BP ASA^ | | | 390,425 | |
| | 25,826 | | | Ampol, Ltd. | | | 557,351 | |
| | 2,028,270 | | | BP plc | | | 9,021,588 | |
| | 319,220 | | | ENEOS Holdings, Inc. | | | 1,195,118 | |
| | 255,346 | | | ENI SpA | | | 3,529,484 | |
| | 97,838 | | | Equinor ASA | | | 2,582,442 | |
| | 52,149 | | | Galp Energia SGPS SA | | | 505,639 | |
| | 20,687 | | | Idemitsu Kosan Co., Ltd. | | | 528,467 | |
| | 106,500 | | | INPEX Corp. | | | 928,847 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 20,822 | | | Lundin Energy AB | | $ | 746,991 | |
| | 42,511 | | | Neste Oyj | | | 2,096,037 | |
| | 15,404 | | | OMV AG | | | 875,176 | |
| | 147,155 | | | Repsol SA | | | 1,746,495 | |
| | 413,679 | | | Royal Dutch Shell plc, Class A | | | 9,075,294 | |
| | 372,545 | | | Royal Dutch Shell plc, Class B | | | 8,176,001 | |
| | 312,977 | | | Santos, Ltd. | | | 1,438,533 | |
| | 251,824 | | | TotalEnergies SE | | | 12,789,153 | |
| | 21,943 | | | Washington H. Soul Pattinson & Co., Ltd. | | | 473,266 | |
| | 94,785 | | | Woodside Petroleum, Ltd. | | | 1,513,656 | |
| | | | | | | | |
| | | | | | | 58,169,963 | |
| | | | | | | | |
| Paper & Forest Products (0.3%): | | | |
| | 47,327 | | | Mondi plc | | | 1,166,013 | |
| | 79,100 | | | Oji Holdings Corp. | | | 382,454 | |
| | 56,138 | | | Stora Enso OYJ, Registered Shares, Class R | | | 1,020,794 | |
| | 63,032 | | | Svenska Cellulosa AB SCA, Class B | | | 1,116,941 | |
| | 55,527 | | | UPM-Kymmene OYJ | | | 2,098,361 | |
| | | | | | | | |
| | | | | | | 5,784,563 | |
| | | | | | | | |
| Personal Products (1.9%): | | | |
| | 10,487 | | | Beiersdorf AG | | | 1,078,927 | |
| | 48,600 | | | Kao Corp. | | | 2,543,608 | |
| | 5,200 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 408,760 | |
| | 3,000 | | | Kose Corp. | | | 340,441 | |
| | 25,243 | | | L’Oreal SA | | | 11,965,123 | |
| | 10,200 | | | Pola Orbis Holdings, Inc. | | | 170,035 | |
| | 40,300 | | | Shiseido Co., Ltd. | | | 2,247,736 | |
| | 261,601 | | | Unilever plc | | | 14,012,615 | |
| | | | | | | | |
| | | | | | | 32,767,245 | |
| | | | | | | | |
| Pharmaceuticals (8.3%): | | | |
| | 188,400 | | | Astellas Pharma, Inc. | | | 3,064,640 | |
| | 156,216 | | | AstraZeneca plc | | | 18,199,839 | |
| | 98,959 | | | Bayer AG, Registered Shares | | | 5,297,229 | |
| | 67,600 | | | Chugai Pharmaceutical Co., Ltd. | | | 2,192,909 | |
| | 177,000 | | | Daiichi Sankyo Co., Ltd. | | | 4,501,633 | |
| | 23,600 | | | Eisai Co., Ltd. | | | 1,340,276 | |
| | 505,692 | | | GlaxoSmithKline plc | | | 10,993,859 | |
| | 18,438 | | | Hikma Pharmaceuticals plc | | | 552,907 | |
| | 3,643 | | | Ipsen SA | | | 333,100 | |
| | 28,100 | | | Kyowa Kirin Co., Ltd. | | | 766,066 | |
| | 13,066 | | | Merck KGaA | | | 3,377,684 | |
| | 5,400 | | | Nippon Shinyaku Co., Ltd. | | | 375,362 | |
| | 220,861 | | | Novartis AG, Registered Shares | | | 19,401,582 | |
| | 170,111 | | | Novo Nordisk A/S, Class B | | | 19,019,993 | |
| | 35,400 | | | Ono Pharmaceutical Co., Ltd. | | | 877,683 | |
| | 10,166 | | | Orion OYJ, Class B | | | 421,816 | |
| | 40,600 | | | Otsuka Holdings Co., Ltd. | | | 1,469,447 | |
| | 10,485 | | | Recordati SpA | | | 671,565 | |
| | 70,747 | | | Roche Holding AG | | | 29,336,792 | |
| | 3,329 | | | Roche Holding AG | | | 1,490,115 | |
| | 114,275 | | | Sanofi | | | 11,480,567 | |
| | 33,800 | | | Santen Pharmaceutical Co., Ltd. | | | 412,470 | |
| | 26,300 | | | Shionogi & Co., Ltd. | | | 1,858,167 | |
| | 17,800 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 205,094 | |
| | 3,300 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 151,801 | |
| | 158,173 | | | Takeda Pharmacuetical Co., Ltd. | | | 4,323,507 | |
| | 114,076 | | | Teva Pharmaceutical Industries, Ltd., ADR* | | | 913,749 | |
See accompanying notes to the financial statements.
10
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Pharmaceuticals, continued | | | |
| | 13,153 | | | UCB SA | | $ | 1,502,935 | |
| | 5,072 | | | Vifor Pharma AG | | | 908,455 | |
| | | | | | | | |
| | | | | | | 145,441,242 | |
| | | | | | | | |
| Professional Services (1.9%): | | | |
| | 16,122 | | | Adecco SA, Registered Shares | | | 824,524 | |
| | 8,100 | | | Benefit One, Inc. | | | 347,607 | |
| | 28,499 | | | Bureau Veritas SA | | | 945,866 | |
| | 93,365 | | | Experian plc | | | 4,579,160 | |
| | 16,791 | | | Intertek Group plc | | | 1,276,618 | |
| | 31,500 | | | Nihon M&A Center, Inc. | | | 770,270 | |
| | 16,700 | | | Persol Holdings Co., Ltd. | | | 485,056 | |
| | 12,440 | | | Randstad NV | | | 852,155 | |
| | 136,700 | | | Recruit Holdings Co., Ltd. | | | 8,288,042 | |
| | 195,070 | | | RELX plc | | | 6,356,521 | |
| | 601 | | | SGS SA, Registered Shares | | | 2,002,601 | |
| | 5,905 | | | Teleperformance | | | 2,632,470 | |
| | 27,052 | | | Wolters Kluwer NV | | | 3,179,277 | |
| | | | | | | | |
| | | | | | | 32,540,167 | |
| | | | | | | | |
| Real Estate Management & Development (1.4%): | | | |
| | 103,938 | | | Aroundtown SA | | | 629,479 | |
| | 4,494 | | | Azrieli Group | | | 428,869 | |
| | 74,028 | | | BGP Holdings plc*(a) | | | — | |
| | 274,500 | | | Capitaland Investment, Ltd. / Singapore* | | | 694,776 | |
| | 33,900 | | | City Developments, Ltd. | | | 171,481 | |
| | 193,744 | | | CK Asset Holdings, Ltd. | | | 1,221,824 | |
| | 6,200 | | | Daito Trust Construction Co., Ltd. | | | 708,437 | |
| | 56,100 | | | Daiwa House Industry Co., Ltd. | | | 1,613,732 | |
| | 196,400 | | | ESR Cayman, Ltd.* | | | 664,798 | |
| | 10,270 | | | Fastighets AB Balder* | | | 741,078 | |
| | 206,000 | | | Hang Lung Properties, Ltd. | | | 423,793 | |
| | 150,956 | | | Henderson Land Development Co., Ltd. | | | 642,988 | |
| | 125,800 | | | Hongkong Land Holdings, Ltd. | | | 653,713 | |
| | 38,200 | | | Hulic Co., Ltd. | | | 362,746 | |
| | 7,501 | | | LEG Immobilien SE | | | 1,047,722 | |
| | 72,800 | | | Lend Lease Group | | | 566,288 | |
| | 117,400 | | | Mitsubishi Estate Co., Ltd. | | | 1,627,762 | |
| | 91,400 | | | Mitsui Fudosan Co., Ltd. | | | 1,810,883 | |
| | 158,655 | | | New World Development Co., Ltd. | | | 628,070 | |
| | 12,300 | | | Nomura Real Estate Holdings, Inc. | | | 283,115 | |
| | 8,300 | | | Open House Co., Ltd. | | | 435,093 | |
| | 16,235 | | | Sagax AB, Class B | | | 548,196 | |
| | 368,601 | | | Sino Land Co., Ltd. | | | 459,188 | |
| | 32,200 | | | Sumitomo Realty & Development Co., Ltd. | | | 947,256 | |
| | 135,500 | | | Sun Hung Kai Properties, Ltd. | | | 1,644,942 | |
| | 57,464 | | | Swire Pacific, Ltd., Class A | | | 326,988 | |
| | 125,200 | | | Swire Properties, Ltd. | | | 313,786 | |
| | 7,294 | | | Swiss Prime Site AG | | | 715,655 | |
| | 36,896 | | | UOL Group, Ltd. | | | 194,284 | |
| | 73,557 | | | Vonovia SE | | | 4,061,183 | |
| | 158,300 | | | Wharf Real Estate Investment Co., Ltd. | | | 804,151 | |
| | | | | | | | |
| | | | | | | 25,372,276 | |
| | | | | | | | |
| Road & Rail (0.9%): | | | |
| | 197,101 | | | Aurizon Holdings, Ltd. | | | 500,456 | |
| | 14,300 | | | Central Japan Railway Co. | | | 1,908,115 | |
| | 20,391 | | | DSV PANALPINA A/S | | | 4,712,295 | |
| | 30,013 | | | East Japan Railway Co. | | | 1,845,923 | |
| | 24,100 | | | Hankyu Hanshin Holdings, Inc. | | | 684,238 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 10,000 | | | Keio Corp. | | $ | 440,870 | |
| | 14,200 | | | Keisei Electric Railway Co., Ltd. | | | 384,033 | |
| | 16,600 | | | Kintetsu Group Holdings Co., Ltd.* | | | 464,153 | |
| | 160,994 | | | MTR Corp., Ltd. | | | 864,148 | |
| | 8,100 | | | Nippon Express Co., Ltd. | | | 486,662 | |
| | 28,800 | | | Odakyu Electric Railway Co., Ltd. | | | 534,929 | |
| | 20,700 | | | Tobu Railway Co., Ltd. | | | 472,318 | |
| | 52,000 | | | Tokyu Corp. | | | 690,931 | |
| | 21,900 | | | West Japan Railway Co. | | | 913,904 | |
| | | | | | | | |
| | | | | | | 14,902,975 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (3.5%): | | | |
| | 19,800 | | | Advantest Corp. | | | 1,859,372 | |
| | 4,721 | | | ASM International NV | | | 2,072,937 | |
| | 41,666 | | | ASML Holding NV | | | 33,220,267 | |
| | 2,700 | | | Disco Corp. | | | 825,330 | |
| | 131,806 | | | Infineon Technologies AG | | | 6,111,155 | |
| | 7,400 | | | Lasertec Corp. | | | 2,249,974 | |
| | 130,400 | | | Renesas Electronics Corp.* | | | 1,601,487 | |
| | 8,400 | | | ROHM Co., Ltd. | | | 760,127 | |
| | 68,961 | | | STMicroelectronics NV | | | 3,379,948 | |
| | 33,500 | | | SUMCO Corp. | | | 678,397 | |
| | 15,100 | | | Tokyo Electron, Ltd. | | | 8,645,575 | |
| | | | | | | | |
| | | | | | | 61,404,569 | |
| | | | | | | | |
| Software (1.7%): | | | |
| | 12,426 | | | AVEVA Group plc | | | 570,192 | |
| | 10,966 | | | Check Point Software Technologies, Ltd.* | | | 1,278,197 | |
| | 3,816 | | | CyberArk Software, Ltd.* | | | 661,237 | |
| | 67,130 | | | Dassault Systemes SE | | | 3,981,930 | |
| | 5,434 | | | Nemetschek SE | | | 697,018 | |
| | 6,266 | | | NICE Systems, Ltd.* | | | 1,903,725 | |
| | 3,700 | | | Oracle Corp. | | | 280,959 | |
| | 105,305 | | | Sage Group plc | | | 1,211,137 | |
| | 105,488 | | | SAP SE | | | 15,064,513 | |
| | 52,620 | | | Sinch AB* | | | 663,798 | |
| | 6,948 | | | Temenos AG | | | 959,059 | |
| | 13,900 | | | Trend Micro, Inc. | | | 769,040 | |
| | 14,383 | | | WiseTech Global, Ltd. | | | 610,598 | |
| | 13,738 | | | Xero, Ltd.* | | | 1,406,856 | |
| | | | | | | | |
| | | | | | | 30,058,259 | |
| | | | | | | | |
| Specialty Retail (0.7%): | | | |
| | 187,800 | | | Chow Tai Fook Jewellery Group, Ltd. | | | 337,811 | |
| | 5,900 | | | Fast Retailing Co., Ltd. | | | 3,350,835 | |
| | 71,579 | | | Hennes & Mauritz AB, Class B | | | 1,404,296 | |
| | 2,000 | | | Hikari Tsushin, Inc. | | | 308,003 | |
| | 110,913 | | | Industria de Diseno Textil SA | | | 3,594,182 | |
| | 250,320 | | | JD Sports Fashion plc* | | | 735,340 | |
| | 219,592 | | | Kingfisher plc | | | 1,003,812 | |
| | 8,300 | | | Nitori Co., Ltd. | | | 1,241,473 | |
| | 20,700 | | | USS Co., Ltd. | | | 323,286 | |
| | | | | | | | |
| | | | | | | 12,299,038 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.5%): | | | |
| | 22,600 | | | Brother Industries, Ltd. | | | 434,543 | |
| | 100,400 | | | Canon, Inc. | | | 2,445,429 | |
| | 36,300 | | | FUJIFILM Holdings Corp. | | | 2,691,345 | |
| | 18,009 | | | Logitech International SA, Class R | | | 1,507,802 | |
| | 25,500 | | | NEC Corp. | | | 1,177,449 | |
See accompanying notes to the financial statements.
11
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals, continued | | | |
| | 69,700 | | | Ricoh Co., Ltd. | | $ | 649,128 | |
| | 27,900 | | | Seiko Epson Corp. | | | 502,463 | |
| | | | | | | | |
| | | | | | | 9,408,159 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (3.5%): | | | |
| | 19,310 | | | Adidas AG | | | 5,568,510 | |
| | 42,114 | | | Burberry Group plc | | | 1,031,750 | |
| | 52,802 | | | Cie Financiere Richemont SA | | | 7,887,157 | |
| | 28,773 | | | EssilorLuxottica SA | | | 6,124,318 | |
| | 3,180 | | | Hermes International SA | | | 5,552,320 | |
| | 7,593 | | | Kering | | | 6,092,011 | |
| | 27,938 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 23,052,322 | |
| | 20,158 | | | Moncler SpA | | | 1,456,798 | |
| | 9,744 | | | Pandora A/S | | | 1,212,904 | |
| | 10,277 | | | Puma SE | | | 1,258,252 | |
| | 3,010 | | | Swatch Group AG (The), Class B | | | 917,285 | |
| | 4,961 | | | Swatch Group AG (The), Registered Shares | | | 289,583 | |
| | | | | | | | |
| | | | | | | 60,443,210 | |
| | | | | | | | |
| Tobacco (0.8%): | | | |
| | 219,378 | | | British American Tobacco plc | | | 8,126,807 | |
| | 94,383 | | | Imperial Brands plc, Class A | | | 2,063,542 | |
| | 120,300 | | | Japan Tobacco, Inc. | | | 2,425,939 | |
| | 158,994 | | | Swedish Match AB | | | 1,263,725 | |
| | | | | | | | |
| | | | | | | 13,880,013 | |
| | | | | | | | |
| Trading Companies & Distributors (1.6%): | | | |
| | 44,544 | | | Ashtead Group plc | | | 3,569,004 | |
| | 16,073 | | | Brenntag AG | | | 1,456,074 | |
| | 32,576 | | | Bunzl plc | | | 1,270,082 | |
| | 22,232 | | | Ferguson plc | | | 3,948,605 | |
| | 5,745 | | | IMCD NV | | | 1,275,315 | |
| | 120,700 | | | Itochu Corp. | | | 3,692,474 | |
| | 151,900 | | | Marubeni Corp. | | | 1,478,794 | |
| | 128,300 | | | Mitsubishi Corp. | | | 4,074,403 | |
| | 157,300 | | | Mitsui & Co., Ltd. | | | 3,725,412 | |
| | 26,400 | | | MonotaRo Co., Ltd. | | | 475,897 | |
| | 27,340 | | | Reece, Ltd. | | | 538,405 | |
| | 111,200 | | | Sumitomo Corp. | | | 1,644,331 | |
| | 22,100 | | | Toyota Tsushu Corp. | | | 1,018,604 | |
| | | | | | | | |
| | | | | | | 28,167,400 | |
| | | | | | | | |
| Transportation Infrastructure (0.5%): | | | |
| | 7,242 | | | Aena SME SA* | | | 1,143,823 | |
| | 3,168 | | | Aeroports de Paris* | | | 409,288 | |
| | 51,730 | | | Atlantia SpA* | | | 1,027,512 | |
| | 135,017 | | | Auckland International Airport, Ltd.* | | | 712,270 | |
| | | | | | | | |
Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Transportation Infrastructure, continued | | | |
| | 42,517 | | | Getlink SE | | $ | 705,269 | |
| | 126,182 | | | Sydney Airport* | | | 797,137 | |
| | 306,982 | | | Transurban Group | | | 3,088,406 | |
| | | | | | | | |
| | | | | | | 7,883,705 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 25,693 | | | Severn Trent plc | | | 1,025,912 | |
| | 70,941 | | | United Utilities Group plc | | | 1,046,941 | |
| | | | | | | | |
| | | | | | | 2,072,853 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.1%): | | | |
| | 161,800 | | | KDDI Corp. | | | 4,730,056 | |
| | 286,000 | | | Softbank Corp. | | | 3,617,192 | |
| | 121,200 | | | SoftBank Group Corp. | | | 5,727,616 | |
| | 47,630 | | | Tele2 AB | | | 679,110 | |
| | 2,822,545 | | | Vodafone Group plc | | | 4,209,018 | |
| | | | | | | | |
| | | | | | | 18,962,992 | |
| | | | | | | | |
| | Total Common Stocks (Cost $1,166,068,204) | | | 1,733,668,629 | |
| | | | | |
| Preferred Stocks (0.4%): | | | |
| Automobiles (0.3%): | | | |
| | 5,192 | | | Bayerische Motoren Werke AG (BMW), 2.62%, 5/15/20 | | | 433,323 | |
| | 15,930 | | | Porsche Automobil Holding SE, 2.65%, 5/20/20 | | | 1,511,609 | |
| | 18,925 | | | Volkswagen AG, 2.74%, 5/8/20 | | | 3,824,189 | |
| | | | | | | | |
| | | | | | | 5,769,121 | |
| | | | | | | | |
| Household Products (0.1%): | | | |
| | 18,535 | | | Henkel AG & Co. KGaA, 2.60%, 4/21/20 | | | 1,500,884 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $5,574,776) | | | 7,270,005 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
Short-Term Security Held as Collateral for Securities on
Loan (0.1%): | | | |
| | $ 1,683,810 | | | BlackRock Liquidity FedFund, Institutional
Class, 0.03%(b)(c) | | $ | 1,683,810 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $1,683,810) | | | 1,683,810 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.0%†): | | | |
| Money Markets (0.0%†): | | | |
| | 24,363 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | $ | 24,363 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $24,363) | | | 24,363 | |
| | | | | |
| | Total Investment Securities (Cost $1,173,351,153) — 99.6%(d) | | | 1,742,646,807 | |
| | Net other assets (liabilities) — 0.4% | | | 6,774,730 | |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 1,749,421,537 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $1,594,332. |
| † | 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, 2021. 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, 2021. |
See accompanying notes to the financial statements.
12
AZL International Index Fund
Schedule of Portfolio Investments
December 31, 2021
| (c) | The rate represents the effective yield at December 31, 2021. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $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 value of investments as of December 31, 2021:
| | | | |
| Country | | Percentage | |
| |
Australia | | | 7.1 | % |
Austria | | | 0.2 | % |
Belgium | | | 0.8 | % |
Bermuda | | | 0.1 | % |
China | | | — | %† |
Denmark | | | 2.7 | % |
Finland | | | 1.3 | % |
France | | | 10.8 | % |
Germany | | | 8.8 | % |
Hong Kong | | | 2.6 | % |
Ireland | | | 1.2 | % |
Isle of Man | | | 0.1 | % |
Israel | | | 0.7 | % |
Italy | | | 2.1 | % |
| | | | |
| Country | | Percentage | |
Japan | | | 22.5 | % |
Luxembourg | | | 0.2 | % |
Netherlands | | | 5.8 | % |
New Zealand | | | 0.3 | % |
Norway | | | 0.7 | % |
Poland | | | — | %† |
Portugal | | | 0.2 | % |
Singapore | | | 1.2 | % |
Spain | | | 2.3 | % |
Sweden | | | 3.7 | % |
Switzerland | | | 10.8 | % |
United Kingdom | | | 13.7 | % |
United States | | | 0.1 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
Futures Contracts
At December 31, 2021, 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) | | | 3/17/22 | | | | 3 | | | $ | 400,815 | | | $ | 4,370 | |
| | | | |
DJ EURO STOXX 50 March Futures (Euro) | | | 3/18/22 | | | | 30 | | | | 1,464,260 | | | | 43,069 | |
| | | | |
FTSE 100 Index March Futures (British Pounds) | | | 3/18/22 | | | | 9 | | | | 892,047 | | | | 11,452 | |
| | | | |
SGX Nikkei 225 Index September March (Japanese Yen) | | | 3/10/22 | | | | 7 | | | | 875,228 | | | | 18,820 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 77,711 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
13
AZL International Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 1,167,226,338 | |
Investments in affiliates, at cost | | | | 6,124,815 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | $ | 1,732,823,306 | |
Investments in affiliates, at value | | | | 9,823,501 | |
Deposit at broker for futures contracts collateral | | | | 251,722 | |
Interest and dividends receivable | | | | 1,472,743 | |
Foreign currency, at value (cost $1,879,044) | | | | 1,904,237 | |
Receivable for investments sold | | | | 22,501 | |
Reclaims receivable | | | | 6,498,442 | |
Prepaid expenses | | | | 8,491 | |
| | | | | |
Total Assets | | | | 1,752,804,943 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 918 | |
Payable for capital shares redeemed | | | | 312,276 | |
Payable for collateral received on loaned securities | | | | 1,683,810 | |
Payable for variation margin on futures contracts | | | | 12,271 | |
Manager fees payable | | | | 510,290 | |
Administration fees payable | | | | 261,056 | |
Distribution fees payable | | | | 343,117 | |
Custodian fees payable | | | | 51,332 | |
Administrative and compliance services fees payable | | | | 3,512 | |
Transfer agent fees payable | | | | 2,860 | |
Trustee fees payable | | | | 19,728 | |
Other accrued liabilities | | | | 182,236 | |
| | | | | |
Total Liabilities | | | | 3,383,406 | |
| | | | | |
Net Assets | | | $ | 1,749,421,537 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 1,156,709,667 | |
Total distributable earnings | | | | 592,711,870 | |
| | | | | |
Net Assets | | | $ | 1,749,421,537 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 99,304,037 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 7,822,698 | |
Net Asset Value (offering and redemption price per share) | | | $ | 12.69 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 1,650,117,500 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 86,996,302 | |
Net Asset Value (offering and redemption price per share) | | | $ | 18.97 | |
| | | | | |
| (a) | Includes securities on loan of $1,594,332. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 47,263,378 | |
Dividends from affiliates | | | | 454,103 | |
Income from securities lending | | | | 347,292 | |
Foreign withholding tax | | | | (4,703,239 | ) |
| | | | | |
Total Investment Income | | | | 43,361,534 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 5,936,062 | |
Administration fees | | | | 604,414 | |
Distribution fees — Class 2 | | | | 3,984,043 | |
Custodian fees | | | | 250,264 | |
Administrative and compliance services fees | | | | 21,898 | |
Transfer agent fees | | | | 12,138 | |
Trustee fees | | | | 92,734 | |
Professional fees | | | | 83,528 | |
Licensing fees | | | | 546,357 | |
Shareholder reports | | | | 57,003 | |
Other expenses | | | | 42,214 | |
| | | | | |
Total expenses | | | | 11,630,655 | |
| | | | | |
Net Investment Income/(Loss) | | | | 31,730,879 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 37,244,742 | |
Net realized gains/(losses) on affiliated transactions | | | | 397,122 | |
Net realized gains/(losses) on futures contracts | | | | 1,965,268 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 94,333,343 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | (803,126 | ) |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (78,624 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 133,058,725 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 164,789,604 | |
| | | | | |
See accompanying notes to the financial statements.
14
AZL International Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 31,730,879 | | | | $ | 25,138,721 | |
Net realized gains/(losses) on investments | | | | 39,607,132 | | | | | (6,554,911 | ) |
Change in unrealized appreciation/depreciation on investments | | | | 93,451,593 | | | | | 78,356,909 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 164,789,604 | | | | | 96,940,719 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (2,576,720 | ) | | | | (4,836,469 | ) |
Class 2 | | | | (24,890,149 | ) | | | | (45,994,684 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (27,466,869 | ) | | | | (50,831,153 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 483,730 | | | | | 282,407 | |
Proceeds from dividends reinvested | | | | 2,576,719 | | | | | 4,836,469 | |
Value of shares redeemed | | | | (12,651,416 | ) | | | | (12,097,908 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (9,590,967 | ) | | | | (6,979,032 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 209,571,173 | | | | | 98,897,417 | |
Proceeds from dividends reinvested | | | | 24,890,149 | | | | | 45,994,684 | |
Value of shares redeemed | | | | (210,685,832 | ) | | | | (283,998,277 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 23,775,490 | | | | | (139,106,176 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 14,184,523 | | | | | (146,085,208 | ) |
| | | | | | | | | | |
Change in net assets | | | | 151,507,258 | | | | | (99,975,642 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,597,914,279 | | | | | 1,697,889,921 | |
| | | | | | | | | | |
End of period | | | $ | 1,749,421,537 | | | | $ | 1,597,914,279 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 38,580 | | | | | 29,223 | |
Dividends reinvested | | | | 210,688 | | | | | 465,493 | |
Shares redeemed | | | | (1,008,121 | ) | | | | (1,161,500 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (758,853 | ) | | | | (666,784 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 10,982,020 | | | | | 7,520,450 | |
Dividends reinvested | | | | 1,360,861 | | | | | 2,986,668 | |
Shares redeemed | | | | (11,251,145 | ) | | | | (19,371,973 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 1,091,736 | | | | | (8,864,855 | ) |
| | | | | | | | | | |
Change in shares | | | | 332,883 | | | | | (9,531,639 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
15
AZL International Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 11.76 | | | | $ | 11.53 | | | | $ | 9.94 | | | | $ | 12.30 | | | | $ | 10.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.27 | (a) | | | | 0.20 | (a) | | | | 0.32 | (a) | | | | 0.36 | | | | | 0.37 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.99 | | | | | 0.61 | | | | | 1.79 | | | | | (2.00 | ) | | | | 2.15 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.26 | | | | | 0.81 | | | | | 2.11 | | | | | (1.64 | ) | | | | 2.52 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.33 | ) | | | | (0.55 | ) | | | | (0.42 | ) | | | | (0.50 | ) | | | | (0.16 | ) |
Net Realized Gains | | | | — | | | | | (0.03 | ) | | | | (0.10 | ) | | | | (0.22 | ) | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.33 | ) | | | | (0.58 | ) | | | | (0.52 | ) | | | | (0.72 | ) | | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 12.69 | | | | $ | 11.76 | | | | $ | 11.53 | | | | $ | 9.94 | | | | $ | 12.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 10.80 | % | | | | 7.66 | % | | | | 21.67 | % | | | | (13.80 | )% | | | | 25.12 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 99,304 | | | | $ | 100,924 | | | | $ | 106,657 | | | | $ | 98,902 | | | | $ | 132,265 | |
Net Investment Income/(Loss) | | | | 2.13 | % | | | | 1.93 | % | | | | 2.89 | % | | | | 2.62 | % | | | | 2.48 | % |
Expenses Before Reductions(c) | | | | 0.45 | % | | | | 0.46 | % | | | | 0.44 | % | | | | 0.45 | % | | | | 0.48 | % |
Expenses Net of Reductions | | | | 0.45 | % | | | | 0.46 | % | | | | 0.44 | % | | | | 0.45 | % | | | | 0.48 | % |
Portfolio Turnover Rate(d) | | | | 14 | % | | | | 9 | % | | | | 4 | % | | | | 2 | % | | | | 8 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 17.43 | | | | $ | 16.79 | | | | $ | 14.25 | | | | $ | 17.30 | | | | $ | 14.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.35 | (a) | | | | 0.26 | (a) | | | | 0.42 | (a) | | | | 0.43 | | | | | 0.36 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.48 | | | | | 0.91 | | | | | 2.60 | | | | | (2.81 | ) | | | | 3.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.83 | | | | | 1.17 | | | | | 3.02 | | | | | (2.38 | ) | | | | 3.48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.29 | ) | | | | (0.50 | ) | | | | (0.38 | ) | | | | (0.45 | ) | | | | (0.15 | ) |
Net Realized Gains | | | | — | | | | | (0.03 | ) | | | | (0.10 | ) | | | | (0.22 | ) | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.29 | ) | | | | (0.53 | ) | | | | (0.48 | ) | | | | (0.67 | ) | | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 18.97 | | | | $ | 17.43 | | | | $ | 16.79 | | | | $ | 14.25 | | | | $ | 17.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 10.55 | % | | | | 7.40 | % | | | | 21.44 | % | | | | (14.04 | )% | | | | 24.77 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,650,118 | | | | $ | 1,496,990 | | | | $ | 1,591,233 | | | | $ | 1,422,711 | | | | $ | 1,862,508 | |
Net Investment Income/(Loss) | | | | 1.85 | % | | | | 1.69 | % | | | | 2.64 | % | | | | 2.36 | % | | | | 2.21 | % |
Expenses Before Reductions(c) | | | | 0.70 | % | | | | 0.71 | % | | | | 0.69 | % | | | | 0.70 | % | | | | 0.73 | % |
Expenses Net of Reductions | | | | 0.70 | % | | | | 0.71 | % | | | | 0.69 | % | | | | 0.70 | % | | | | 0.73 | % |
Portfolio Turnover Rate(d) | | | | 14 | % | | | | 9 | % | | | | 4 | % | | | | 2 | % | | | | 8 | % |
| (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. |
See accompanying notes to the financial statements.
16
AZL International Index Fund
Notes to the Financial Statements
December 31, 2021
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 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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
17
AZL International Index Fund
Notes to the Financial Statements
December 31, 2021
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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $34,603 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,683,810 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $12.8 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 77,711 | | | 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 International Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021:
| | | | | | | | | | |
| 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 | | $ | 1,965,268 | | | $ | (78,624 | ) |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such waivers.
At December 31, 2021, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
12/31/2020 | | Purchases
at Cost | | Proceeds from
Sales | | Net
Realized
Gains(Losses) | | Change in
Net Unrealized
Appreciation/
Depreciation | | Value
12/31/2021 | | Shares as of
12/31/2021 | | Dividend
Income | | Capital Gains
Distributions |
| | | | | | | | | |
Allianz SE, Registered Shares | | | $ | 10,223,042 | | | | $ | 1,349,718 | | | | $ | (1,343,255 | ) | | | $ | 397,122 | | | | $ | (803,126 | ) | | | $ | 9,823,501 | | | | | 41,555 | | | | $ | 454,103 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 10,223,042 | | | | $ | 1,349,718 | | | | $ | (1,343,255 | ) | | | $ | 397,122 | | | | $ | (803,126 | ) | | | $ | 9,823,501 | | | | | 41,555 | | | | $ | 454,103 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.
19
AZL International Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 10,345,564 | | | | $ | 1,723,323,065 | | | | $ | — | # | | | $ | 1,733,668,629 | |
Preferred Stocks+ | | | | — | | | | | 7,270,005 | | | | | — | | | | | 7,270,005 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1,683,810 | | | | | — | | | | | — | | | | | 1,683,810 | |
Unaffiliated Investment Company | | | | 24,363 | | | | | — | | | | | — | | | | | 24,363 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 12,053,737 | | | | | 1,730,593,070 | | | | | — | | | | | 1,742,646,807 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 77,711 | | | | | — | | | | | — | | | | | 77,711 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 12,131,448 | | | | $ | 1,730,593,070 | | | | $ | — | | | | $ | 1,742,724,518 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
| * | 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, 2021, 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 | | | $ | 245,337,854 | | | | $ | 228,752,729 | |
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.
20
AZL International Index Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $1,224,834,375. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | | $581,082,021 | |
Unrealized (depreciation) | | | (63,269,589 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | | $517,812,432 | |
| | | | |
During the year ended December 31, 2021, the Fund utilized $799,546 in capital loss carry forwards (“CLCFs”) to offset capital gains. As of the end of its tax year ended December 31, 2021, the Fund had no remaining CLCFs.
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL International Index Fund | | | $ | 27,466,869 | | | | $ | — | | | | $ | 27,466,869 | |
| (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, 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. |
21
AZL International Index Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 42,709,248 | | | | $ | 32,067,914 | | | | $ | — | | | | $ | 517,934,708 | | | | $ | 592,711,870 | |
| (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. |
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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 55% of the Fund. Investment activities of the shareholder 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.
22
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
23
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the 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.
24
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
25
the meeting. Accordingly, the Advisory Contracts were approved by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
29
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® MetWest Total Return Bond Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® MetWest Total Return Bond Fund (the “Fund”) returned (1.33)%. That performance compared to a return of (1.54)% for its benchmark, the Bloomberg U.S. Aggregate Bond Index.1
The year finished much as it started, with inflation as a headline risk and COVID-19 dominating investor sentiment. Economic indicators sent mixed messages throughout 2021, however, with robust growth in gross domestic product (GDP) and strong corporate earnings offset by high inflation, a flat yield curve, record equity market valuations and tight credit spreads. A declining unemployment rate paired with a low participation rate further added to the uncertainty. Against this backdrop, U.S. equities still managed to post strong returns for the year even as fixed income markets lagged due to interest rate volatility amid an overall increase in rates. Over the full year, yields on 10-year Treasuries moved nearly 60 bps higher for the year, which challenged fixed income total returns.
Among securitized issues, legacy non-agency mortgage-backed securities (MBS) benefitted the Fund’s absolute performance as these securities gained on strong housing price appreciation, continued borrower profile improvements, and their floating rate structures amid a rising-rate environment. Conversely, agency MBS lagged as higher rates and concerns over accelerated tapering of the Federal Reserve’s (Fed’s) asset purchase program weighed on the market.
The Fund outperformed its benchmark for the year, due in part to its duration positioning. A shorter-than-benchmark position for most of the year added to relative performance as Treasury yields rose. The Fund’s security selection among corporate credit also added to relative results,
particularly in the industrials and health care sectors, as well as midstream energy holdings. Residential MBS holdings also added to relative performance despite the broader weakness in agency MBS — notably due to the Fund’s exposure via To-Be-Announced (TBA) mortgage bonds which help improve liquidity in the MBS space. The Fund’s holdings of off-benchmark seasoned, senior, legacy non-agency MBS positions also benefitted returns as the sector was supported by a solid housing backdrop with prices rising and loan-to-value ratios improving.
The Fund’s below-benchmark exposure to corporate credit dragged on relative results as investment grade bonds generally outpaced Treasuries for the year. The Fund maintained an overweight position in agency MBS early in the year but trimmed the exposure as valuations improved. This early positioning weighed on relative returns as agency MBS were one of the only sectors to lag Treasuries on a duration-adjusted basis.
The Fund held derivatives in the form of futures, forwards, options, and interest rate swaps during the period. None of these holdings materially impacted 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 as described 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, 2021. |
| 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, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | Since Inception (11/17/14) |
AZL® MetWest Total Return Bond Fund | | | | (1.33 | )% | | | | 5.14 | % | | | | 3.65 | % | | | | 2.95 | % |
Bloomberg U.S. Aggregate Bond Index | | | | (1.54 | )% | | | | 4.79 | % | | | | 3.57 | % | | | | 3.06 | % |
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 | | | | 0.92 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.50% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL MetWest Total Return Bond Fund | | | $ | 1,000.00 | | | | $ | 998.60 | | | | $ | 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL MetWest Total Return Bond Fund | | | $ | 1,000.00 | | | | $ | 1,020.97 | | | | $ | 4.28 | | | | | 0.84 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 45.6 | % |
| |
U.S. Government Agency Mortgages | | | | 30.8 | |
| |
Corporate Bonds | | | | 18.6 | |
| |
Collateralized Mortgage Obligations | | | | 8.6 | |
| |
Yankee Debt Obligations | | | | 7.1 | |
| |
Asset Backed Securities | | | | 3.9 | |
| |
Unaffiliated Investment Company | | | | 1.6 | |
| |
Foreign Bond | | | | 1.0 | |
| |
Municipal Bonds | | | | 0.7 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.2 | |
| |
Purchased Options | | | | — | † |
| | |
Purchased Swaptions | | | | — | † |
| | | | | |
| |
Total Investment Securities | | | | 118.1 | |
| |
Net other assets (liabilities) | | | | (18.1 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities (3.9%): | | | |
| $ | 864,379 | | | Ajax Mortgage Loan Trust, Class A1, Series 2019-F, 2.86%, 7/25/59, Callable 11/25/22 @ 100(a)(b) | | $ | 862,337 | |
| | 1,288,000 | | | CWABS Asset-Backed Certificates Trust, Class MV5, Series 2005-7, 1.23%(US0001M+113bps), 11/25/35, Callable 1/25/22 @ 100 | | | 1,283,374 | |
| | 965,000 | | | Navient Student Loan Trust, Class A3, Series 2016-2, 1.60%(US0001M+150bps), 6/25/65, Callable 7/25/33 @ 100(a) | | | 1,001,788 | |
| | 1,352,078 | | | Park Place Securities, Inc. Pass-Through Certificates, Class M5, Series 2004-WWF1, 1.90%(US0001M+180bps), 12/25/34, Callable 1/25/22 @ 100 | | | 1,374,979 | |
| | 513,007 | | | Progress Residential Trust, Class A, Series 2019-SFR2, 3.15%, 5/17/36(a) | | | 514,982 | |
| | 703,787 | | | SLC Student Loan Trust, Class 2A3, Series 2008-1, 1.80%(US0003M+160bps), 12/15/32, Callable 3/15/28 @ 100 | | | 713,042 | |
| | 487,344 | | | SLM Student Loan Trust, Class 2A3, Series 2003-7, 0.77%(US0003M+57bps), 9/15/39, Callable 3/15/30 @ 100 | | | 469,560 | |
| | 297,679 | | | SLM Student Loan Trust, Class A, Series 2008-9, 1.62%(US0003M+150bps), 4/25/23, Callable 4/25/23 @ 100 | | | 298,808 | |
| | 1,220,000 | | | SLM Student Loan Trust, Class 2A3, Series 2008-5, 1.97%(US0003M+185bps), 7/25/73, Callable 1/25/23 @ 100 | | | 1,256,030 | |
| | 240,000 | | | SLM Student Loan Trust, Class 2A3, Series 2008-9, 2.37%(US0003M+225bps), 10/25/83, Callable 4/25/23 @ 100 | | | 244,074 | |
| | 57,416 | | | SLM Student Loan Trust, Class A, Series 2009-3, 0.85%(US0001M+75bps), 1/25/45, Callable 6/25/35 @ 100(a) | | | 57,510 | |
| | 543,449 | | | SLM Student Loan Trust, Class A4, Series 2007-7, 0.45%(US0003M+33bps), 1/25/22, Callable 4/25/24 @ 100 | | | 536,603 | |
| | 580,084 | | | SLM Student Loan Trust, Class A3, Series 2012-1, 1.05%(US0001M+95bps), 9/25/28, Callable 5/25/29 @ 100 | | | 576,626 | |
| | 838,449 | | | SLM Student Loan Trust, Class A4, Series 2008-6, 1.22%(US0003M+110bps), 7/25/23, Callable 4/25/25 @ 100 | | | 838,237 | |
| | 1,361,591 | | | Wachovia Student Loan Trust, Class 2A3, Series 2006-1, 0.29%(US0003M+17bps), 4/25/40, Callable 4/25/26 @ 100(a) | | | 1,341,830 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $11,307,231) | | | 11,369,780 | |
| | | | | |
| Collateralized Mortgage Obligations (8.6%): | | | |
| | 750,000 | | | AGL CLO 7, Ltd., Class BR, Series 2020-7A, 1.82%(US0003M+170bps), 7/15/34, Callable 7/15/23 @ 100(a) | | | 748,402 | |
| | 725,000 | | | AIG CLO, Ltd., Class BR, Series 2019-2A(US0003M+160bps), 10/25/33(a) | | | 724,998 | |
| | 850,000 | | | AIMCO CLO, Class AR2, Series 2015-AA, 1.26%(US0003M+114bps), 10/17/34, Callable 10/17/23 @ 100(a) | | | 848,495 | |
| | 1,042,687 | | | Alternative Loan Trust, Class 4A1, Series 2005-56, 0.72%(US0001M+31bps), 11/25/35, Callable 1/25/22 @ 100 | | | 974,499 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 434,434 | | | America Home Mortgage Investment Trust, Class 6A, Series 2005-1, 2.25%(US0006M+200bps), 6/25/45, Callable 1/25/22 @ 100 | | $ | 437,671 | |
| | 515,000 | | | Bank of America Merrill Lynch Large Loan, Inc., Class A, Series 2018-PARK, 4.09%, 8/10/38(a)(b) | | | 571,181 | |
| | 173,581 | | | Bank of America Mortgage Securities, Inc., Class 2A3, Series 2005-F, 2.69%, 7/25/35, Callable 1/25/22 @ 100(b) | | | 174,787 | |
| | 155,000 | | | BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(a) | | | 163,511 | |
| | 355,000 | | | CALI Mortgage Trust, Class A, Series 2019-101C, 3.96%, 3/10/39(a) | | | 394,167 | |
| | 590,780 | | | Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5, 2.89%, 4/25/37, Callable 12/25/34 @ 100(b) | | | 590,845 | |
| | 863,981 | | | COMM Mortgage Trust, Class A3, Series 2015-CR27, 3.35%, 10/10/48, Callable 9/10/25 @ 100 | | | 908,960 | |
| | 300,000 | | | CPT Mortgage Trust, Class A, Series 2019-CPT, 2.87%, 11/13/39, Callable 11/13/29 @ 100(a) | | | 311,712 | |
| | 773,480 | | | Credit Suisse Mortgage Capital Certificates, Class A2E, Series 2007-CB2, 3.63%, 2/25/37, Callable 4/25/23 @ 100(b) | | | 570,318 | |
| | 325,000 | | | DC Office Trust, Class A, Series 2019-MTC, 2.97%, 9/15/45(a) | | | 338,734 | |
| | 456,804 | | | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AA12, 2.48%, 2/25/36, Callable 1/25/22 @ 100(b) | | | 348,673 | |
| | 234,591 | | | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AR3, 2.77%, 8/25/35, Callable 1/25/22 @ 100(b) | | | 184,916 | |
| | 500,342 | | | First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 2.35%, 3/25/36, Callable 1/25/22 @ 100(b) | | | 388,063 | |
| | 372,792 | | | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 2.40%, 4/25/36, Callable 1/25/22 @ 100(b) | | | 305,042 | |
| | 390,457 | | | GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5, 3.41%, 9/19/35, Callable 1/19/22 @ 100(b) | | | 392,850 | |
| | 502,954 | | | GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1, 2.93%, 4/19/36, Callable 1/19/22 @ 100(b) | | | 436,651 | |
| | 850,000 | | | GoldenTree Loan Opportunities IX, Ltd., Class AR2, Series 2014-9A, 1.24%(US0003M+111bps), 10/29/29, Callable 1/29/22 @ 100(a) | | | 849,990 | |
| | 891,114 | | | GreenPoint Mortgage Funding Trust, Class A1A, Series 2006-AR1, 0.68%(US0001M+58bps), 2/25/36, Callable 1/25/22 @ 100 | | | 888,986 | |
| | 1,135,000 | | | GS Mortgage Securities Corp. II, Class A, Series 2021-ARDN, 1.36%(US0001M+125bps), 11/15/26(a) | | | 1,132,884 | |
| | 1,140,421 | | | HarborView Mortgage Loan Trust, Class 1A1A, Series 2006-10, 0.30%(US0001M+20bps), 11/19/36, Callable 11/19/22 @ 100 | | | 1,039,210 | |
| | 330,000 | | | Hudson Yards Mortgage Trust, Class A, Series 2019-30HY, 3.23%, 6/10/37(a) | | | 351,516 | |
| | 325,000 | | | Hudson Yards Mortgage Trust, Class A, Series 2019-55HY, 3.04%, 12/10/41(a)(b) | | | 339,680 | |
See accompanying notes to the financial statements.
4
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 701,000 | | | J.P. Morgan Chase Commercial Mortgage Securities T, Class A, Series 2021-HTL5, 1.23%(US0001M+112bps), 11/15/38(a) | | $ | 698,372 | |
| | 325,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2019-OSB, 3.40%, 6/5/39, Callable 6/5/29 @ 100(a) | | | 350,623 | |
| | 697,150 | | | Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4, 0.22%(US0001M+12bps), 7/25/37, Callable 9/25/22 @ 100 | | | 433,484 | |
| | 395,000 | | | MKT Mortgage Trust, Class A, Series 2020-525M, 2.69%, 2/12/40(a) | | | 405,653 | |
| | 53,985 | | | Morgan Stanley Resecuritization Trust, Class 3A, Series 2014-R8, 0.83%(12MTA+75bps), 6/26/47(a) | | | 53,689 | |
| | 193,395 | | | MortgageIT Trust, Class 2A3, Series 2005-2, 1.75%(US0001M+165bps), 5/25/35, Callable 1/25/22 @ 100 | | | 192,017 | |
| | 254,046 | | | Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 5.69%, 7/25/35, Callable 1/25/22 @ 100(b) | | | 255,498 | |
| | 415,000 | | | One Bryant Park Trust, Class A, Series 2019-OBP, 2.52%, 9/13/49(a) | | | 420,445 | |
| | 750,000 | | | Park Avenue Institutional Advisers CLO, Ltd., Class A1A, Series 2021-1A, 1.52%(US0003M+139bps), 1/20/34, Callable 1/20/23 @ 100(a) | | | 751,744 | |
| | 560,000 | | | RBSCF Trust, Class A, Series 2013-GSP, 3.83%, 1/13/32(a)(b) | | | 579,550 | |
| | 800,000 | | | Recette Clo, Ltd., Class ARR, Series 2015-1A, 1.21%(US0003M+108bps), 1/20/33, Callable 4/20/23 @ 100(a) | | | 796,024 | |
| | 790,471 | | | Residential Accredit Loans, Inc., Class A2, Series 2006-QA10, 0.46%(US0001M+18bps), 12/25/36, Callable 1/25/22 @ 100 | | | 794,987 | |
| | 800,000 | | | Rockford Tower CLO, Ltd., Class A1, Series 2021-1A, 1.30%(US0003M+117bps), 7/20/34, Callable 7/20/23 @ 100(a) | | | 799,998 | |
| | 1,193,693 | | | Structured Asset Mortgage Investments II Trust, Class 3A1, Series 2006-AR1, 0.56%(US0001M+23bps), 2/25/36, Callable 1/25/22 @ 100 | | | 1,149,532 | |
| | 750,000 | | | TCI-Flatiron CLO, Ltd., Class AR2, Series 2016-1A, 1.27%(US0003M+115bps), 1/17/32, Callable 1/17/22 @ 100(a) | | | 749,806 | |
| | 315,219 | | | WaMu Mortgage Pass-Through Certificates, Class A2, Series 2005-AR3, 2.72%, 3/25/35, Callable 1/25/22 @ 100(b) | | | 312,051 | |
| | 1,002,666 | | | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR8, 0.68%(US0001M+29bps), 7/25/45, Callable 1/25/22 @ 100 | | | 992,548 | |
| | 172,284 | | | WaMu Mortgage Pass-Through Certificates, Class A1A, Series 2004-AR10, 0.98%(US0001M+44bps), 7/25/44, Callable 1/25/22 @ 100 | | | 168,721 | |
| | 366,656 | | | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR6, 0.56%(US0001M+23bps), 4/25/45, Callable 1/25/22 @ 100 | | | 364,536 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Collateralized Mortgage Obligations, continued | | | |
| $ | 219,977 | | | Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 2.24%, 9/25/36, Callable 1/25/22 @ 100(b) | | $ | 208,692 | |
| | | | | | | | |
| �� | Total Collateralized Mortgage Obligations (Cost $24,581,294) | | | 24,894,711 | |
| | | | | |
| Corporate Bonds (18.6%): | | | |
| Aerospace & Defense (0.2%): | | | |
| | 605,000 | | | Boeing Co. (The), 1.17%, 2/4/23, Callable 2/7/22 @ 100 | | | 604,540 | |
| | | | | | | | |
| Airlines (0.2%): | | | |
| | 450,980 | | | U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24 | | | 462,254 | |
| | | | | | | | |
| Automobiles (0.1%): | | | |
| | 290,000 | | | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63(a) | | | 290,000 | |
| | | | | | | | |
| Banks (2.7%): | | | |
| | 750,000 | | | Bank of America Corp., 3.00% (US0003M+79 bps), 12/20/23, Callable 12/20/22 @ 100 | | | 765,781 | |
| | 1,150,000 | | | Bank of America Corp., 1.66% (SOFR+91 bps), 3/11/27, Callable 3/11/26 @ 100 | | | 1,141,703 | |
| | 470,000 | | | Bank of America Corp., 3.97% (US0003M+107 bps), 3/5/29, Callable 3/5/28 @ 100, MTN | | | 514,538 | |
| | 760,000 | | | Bank of America Corp., 2.09% (SOFR+106 bps), 6/14/29, Callable 6/14/28 @ 100 | | | 758,139 | |
| | 145,000 | | | JPMorgan Chase & Co., 0.70% (SOFR+58 bps), 3/16/24, Callable 3/16/23 @ 100 | | | 144,671 | |
| | 1,210,000 | | | JPMorgan Chase & Co., 0.97% (SOFR+58 bps), 6/23/25, Callable 6/23/24 @ 100 | | | 1,196,537 | |
| | 305,000 | | | JPMorgan Chase & Co., 0.77% (SOFR+49 bps), 8/9/25, Callable 8/9/24 @ 100 | | | 300,382 | |
| | 455,000 | | | JPMorgan Chase & Co., 1.56% (SOFR+61 bps), 12/10/25, Callable 12/10/24 @ 100 | | | 455,231 | |
| | 445,000 | | | JPMorgan Chase & Co., 1.58% (SOFR+89 bps), 4/22/27, Callable 4/22/26 @ 100 | | | 440,407 | |
| | 790,000 | | | Wells Fargo & Co., 2.16% (US0003M+75 bps), 2/11/26, Callable 2/11/25 @ 100, MTN | | | 803,338 | |
| | 410,000 | | | Wells Fargo & Co., 3.58% (US0003M+131 bps), 5/22/28, Callable 5/22/27 @ 100, MTN | | | 440,864 | |
| | 185,000 | | | Wells Fargo & Co., 2.39% (SOFR+210 bps), 6/2/28, Callable 6/2/27 @ 100, MTN | | | 187,952 | |
| | 200,000 | | | Wells Fargo & Co., 2.88% (US0003M+117 bps), 10/30/30, Callable 10/30/29 @ 100, MTN | | | 207,980 | |
| | | | | | | | |
| | | | | | | 7,357,523 | |
| | | | | | | | |
| Beverages (0.3%): | | | |
| | 350,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | | | 422,308 | |
| | 360,000 | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46, Callable 8/1/45 @ 100 | | | 456,376 | |
| | | | | | | | |
| | | | | | | 878,684 | |
| | | | | | | | |
| Biotechnology (0.3%): | | | |
| | 428,000 | | | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | | | 509,730 | |
| | 293,000 | | | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | | | 350,332 | |
See accompanying notes to the financial statements.
5
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Biotechnology, continued | | | |
| $ | 35,000 | | | AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100 | | $ | 42,423 | |
| | | | | | | | |
| | | | | | | 902,485 | |
| | | | | | | | |
| Capital Markets (1.9%): | | | |
| | 735,000 | | | Goldman Sachs Group, Inc. (The), 1.22%, 12/6/23, Callable 12/6/22 @ 100 | | | 736,792 | |
| | 180,000 | | | Goldman Sachs Group, Inc. (The), 1.09% (SOFR+79 bps), 12/9/26, Callable 12/9/25 @ 100 | | | 175,214 | |
| | 885,000 | | | Goldman Sachs Group, Inc. (The), 1.43% (SOFR+80 bps), 3/9/27, Callable 3/9/26 @ 100 | | | 867,094 | |
| | 450,000 | | | Goldman Sachs Group, Inc. (The), 1.54% (SOFR+82 bps), 9/10/27, Callable 9/10/26 @ 100 | | | 440,388 | |
| | 570,000 | | | Goldman Sachs Group, Inc. (The), 1.95% (SOFR+91 bps), 10/21/27, Callable 10/21/26 @ 100 | | | 568,433 | |
| | 155,000 | | | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(a) | | | 158,100 | |
| | 835,000 | | | Morgan Stanley, 0.79% (SOFR+53 bps), 5/30/25, Callable 5/30/24 @ 100 | | | 824,266 | |
| | 195,000 | | | Morgan Stanley, 1.16% (SOFR+56 bps), 10/21/25, Callable 10/21/24 @ 100, MTN | | | 193,190 | |
| | 445,000 | | | Morgan Stanley, 1.59% (SOFR+88 bps), 5/4/27, Callable 5/4/26 @ 100 | | | 440,194 | |
| | 205,000 | | | Mozart Debt Merger Sub, Inc., 3.88%, 4/1/29, Callable 10/1/24 @ 101.94(a) | | | 204,231 | |
| | 255,000 | | | Raymond James Financial, 4.95%, 7/15/46 | | | 327,873 | |
| | 250,000 | | | SL Green Operating Partnership LP, 3.25%, 10/15/22, Callable 9/15/22 @ 100 | | | 254,068 | |
| | | | | | | | |
| | | | | | | 5,189,843 | |
| | | | | | | | |
| Chemicals (0.1%): | | | |
| | 312,000 | | | International Flavors & Fragrances, Inc., 2.30%, 11/1/30, Callable 8/1/30 @ 100(a) | | | 306,230 | |
| | | | | | | | |
| Consumer Finance (0.8%): | | | |
| | 145,000 | | | FirstCash, Inc., 5.63%, 1/1/30, Callable 1/1/25 @ 102.81(a) | | | 147,719 | |
| | 1,150,000 | | | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | | | 1,150,477 | |
| | 95,000 | | | Ford Motor Credit Co. LLC, 3.22%, 1/9/22 | | | 95,000 | |
| | 455,000 | | | Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100 | | | 455,914 | |
| | 60,000 | | | General Motors Financial Co., Inc., 3.45%, 4/10/22, Callable 2/10/22 @ 100 | | | 60,191 | |
| | 375,000 | | | General Motors Financial Co., Inc., 3.15%, 6/30/22, Callable 5/30/22 @ 100 | | | 378,884 | |
| | 155,000 | | | General Motors Financial Co., Inc., 3.55%, 7/8/22 | | | 157,312 | |
| | | | | | | | |
| | | | | | | 2,445,497 | |
| | | | | | | | |
| Containers & Packaging (0.4%): | | | |
| | 290,000 | | | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc, 5.25%, 8/15/27, Callable 8/15/22 @ 102.63(a) | | | 292,900 | |
| | 200,000 | | | Ball Corp., 4.00%, 11/15/23 | | | 208,750 | |
| | 500,000 | | | Berry Global, Inc., 1.57%, 1/15/26, Callable 12/15/25 @ 100 | | | 489,375 | |
| | 90,000 | | | Berry Global, Inc., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a) | | | 92,700 | |
| | 110,000 | | | Graphic Packaging International LLC, 4.75%, 7/15/27, Callable 4/15/27 @ 100(a) | | | 119,350 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Containers & Packaging, continued | | | |
| $ | 25,000 | | | Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24, Callable 2/7/22 @ 101.38(a) | | $ | 25,125 | |
| | 25,000 | | | Sealed Air Corp., 4.00%, 12/1/27, Callable 9/1/27 @ 100(a) | | | 26,062 | |
| | | | | | | | |
| | | | | | | 1,254,262 | |
| | | | | | | | |
| Diversified Financial Services (0.5%): | | | |
| | 600,000 | | | Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100 | | | 638,597 | |
| | 80,000 | | | Level 3 Financing, Inc., 3.40%, 3/1/27, Callable 1/1/27 @ 100(a) | | | 82,300 | |
| | 420,000 | | | Level 3 Financing, Inc., 3.88%, 11/15/29, Callable 8/15/29 @ 100(a) | | | 427,350 | |
| | 300,000 | | | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(a) | | | 311,625 | |
| | | | | | | | |
| | | | | | | 1,459,872 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.3%): | | | |
| | 287,000 | | | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | | | 280,555 | |
| | 290,000 | | | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | | | 335,274 | |
| | 255,000 | | | AT&T, Inc., 4.30%, 12/15/42, Callable 6/15/42 @ 100 | | | 287,133 | |
| | 125,000 | | | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100 | | | 150,195 | |
| | 1,115,000 | | | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | | | 1,153,137 | |
| | 64,000 | | | CenturyLink, Inc., 4.00%, 2/15/27, Callable 2/15/23 @ 102(a) | | | 64,720 | |
| | 175,000 | | | Qwest Corp., 7.25%, 9/15/25 | | | 202,986 | |
| | 445,000 | | | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | | | 448,557 | |
| | 440,000 | | | Verizon Communications, Inc., 2.36%, 3/15/32, Callable 12/15/31 @ 100(a) | | | 434,610 | |
| | 295,000 | | | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 2/7/22 @ 102(a) | | | 289,837 | |
| | | | | | | | |
| | | | | | | 3,647,004 | |
| | | | | | | | |
| Electric Utilities (1.3%): | | | |
| | 280,000 | | | American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44 @ 100(a) | | | 359,559 | |
| | 500,000 | | | Appalachian Power Co., Series H, 5.95%, 5/15/33 | | | 637,905 | |
| | 1,000,000 | | | Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100 | | | 1,178,930 | |
| | 355,000 | | | Florida Power & Light Co., 3.99%, 3/1/49, Callable 9/1/48 @ 100 | | | 428,067 | |
| | 750,000 | | | Jersey Central Power & Light Co., 6.40%, 5/15/36 | | | 1,038,506 | |
| | | | | | | | |
| | | | | | | 3,642,967 | |
| | | | | | | | |
| Electrical Equipment (0.0%†): | | | |
| | 82,000 | | | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a) | | | 86,305 | |
| | | | | | | | |
| Entertainment (0.1%): | | | |
| | 285,000 | | | Walt Disney Co. (The), 3.60%, 1/13/51, Callable 7/13/50 @ 100 | | | 323,558 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.8%): | | | |
| | 590,000 | | | American Campus Communities Operating Partnership LP, 3.63%, 11/15/27, Callable 8/15/27 @ 100 | | | 632,088 | |
See accompanying notes to the financial statements.
6
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| $ | 145,000 | | | CyrusOne LP/CyrusOne Finance Corp., 3.45%, 11/15/29, Callable 8/15/29 @ 100 | | $ | 157,191 | |
| | 330,000 | | | CyrusOne LP/CyrusOne Finance Corp., 2.15%, 11/1/30, Callable 8/1/30 @ 100 | | | 325,802 | |
| | 205,000 | | | GLP Capital LP, 5.25%, 6/1/25, Callable 3/1/25 @ 100 | | | 224,666 | |
| | 440,000 | | | GLP Capital LP, 5.38%, 4/15/26, Callable 1/15/26 @ 100^ | | | 490,255 | |
| | 105,000 | | | GLP Capital LP, 5.75%, 6/1/28, Callable 3/3/28 @ 100 | | | 121,409 | |
| | 290,000 | | | GLP Capital LP, 5.30%, 1/15/29, Callable 10/15/28 @ 100 | | | 329,375 | |
| | 5,000 | | | GLP Capital LP, 4.00%, 1/15/30, Callable 10/15/29 @ 100 | | | 5,294 | |
| | | | | | | | |
| | | | | | | 2,286,080 | |
| | | | | | | | |
| Food Products (0.5%): | | | |
| | 30,000 | | | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | | | 32,588 | |
| | 100,000 | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a) | | | 110,000 | |
| | 130,000 | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.75%, 12/1/31, Callable 12/1/26 @ 101.88(a) | | | 132,600 | |
| | 790,000 | | | Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 2/25/22 @ 100 | | | 991,281 | |
| | 25,000 | | | Pilgrim’s Pride Corp., 5.88%, 9/30/27, Callable 9/30/22 @ 102.94(a) | | | 26,312 | |
| | 150,000 | | | Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a) | | | 154,875 | |
| | | | | | | | |
| | | | | | | 1,447,656 | |
| | | | | | | | |
| Health Care Equipment & Suppli (0.2%): | | | |
| | 455,000 | | | Becton Dickinson And Co., 1.96%, 2/11/31, Callable 11/11/30 @ 100 | | | 439,195 | |
| | | | | | | | |
| Health Care Providers & Services (1.9%): | | | |
| | 200,000 | | | Aetna, Inc., 3.50%, 11/15/24, Callable 8/15/24 @ 100 | | | 210,924 | |
| | 140,000 | | | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | | | 145,950 | |
| | 83,000 | | | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | | | 81,962 | |
| | 569,000 | | | Centene Corp., 3.00%, 10/15/30, Callable 7/15/30 @ 100 | | | 578,246 | |
| | 780,000 | | | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | | | 846,419 | |
| | 290,000 | | | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | | | 295,670 | |
| | 400,000 | | | CVS Health Corp., 4.88%, 7/20/35, Callable 1/20/35 @ 100 | | | 490,713 | |
| | 470,000 | | | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100 | | | 614,421 | |
| | 490,000 | | | HCA, Inc., 5.00%, 3/15/24 | | | 526,750 | |
| | 93,000 | | | HCA, Inc., 5.25%, 4/15/25 | | | 102,997 | |
| | 110,000 | | | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | | | 123,750 | |
| | 640,000 | | | HCA, Inc., 4.13%, 6/15/29, Callable 3/15/29 @ 100 | | | 706,400 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Health Care Providers & Services, continued | | | |
| $ | 90,000 | | | HCA, Inc., 2.38%, 7/15/31, Callable 4/15/31 @ 100 | | $ | 88,540 | |
| | 145,000 | | | HCA, Inc., 5.25%, 6/15/49, Callable 12/15/48 @ 100 | | | 186,869 | |
| | 75,000 | | | Humana, Inc., 4.95%, 10/1/44, Callable 4/1/44 @ 100 | | | 96,832 | |
| | 409,000 | | | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | | | 422,804 | |
| | | | | | | | |
| | | | | | | 5,519,247 | |
| | | | | | | | |
| Health Care Technology (0.0%†): | | | |
| | 25,000 | | | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 3/1/25, Callable 1/18/22 @ 101.44(a) | | | 25,125 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.1%): | | | |
| | 465,000 | | | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 8/15/22 @ 102.69(a) | | | 232,500 | |
| | | | | | | | |
| Industrial Conglomerates (0.0%): | | | |
| | 103,000 | | | General Electric Co., Series A, 6.75%, 3/15/32, MTN | | | 140,606 | |
| | | | | | | | |
| Insurance (0.8%): | | | |
| | 225,000 | | | Athene Global Funding, 0.75% (SOFR+70 bps), 5/24/24(a) | | | 225,274 | |
| | 375,000 | | | Athene Global Funding, 1.99%, 8/19/28(a) | | | 364,625 | |
| | 700,000 | | | Farmers Exchange Capital III, 5.45% (US0003M+345 bps), 10/15/54, Callable 10/15/34 @ 100(a) | | | 842,902 | |
| | 670,000 | | | Farmers Insurance Exchange, 4.75% (US0003M+323 bps), 11/1/57, Callable 11/1/37 @ 100(a) | | | 771,539 | |
| | | | | | | | |
| | | | | | | 2,204,340 | |
| | | | | | | | |
| IT Services (0.0%†): | | | |
| | 87,000 | | | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | | | 91,024 | |
| | | | | | | | |
| Media (0.4%): | | | |
| | 290,000 | | | Cable One, Inc., 4.00%, 11/15/30, Callable 11/15/25 @ 102(a) | | | 285,288 | |
| | 35,000 | | | Charter Communications Operating LLC, 4.80%, 3/1/50, Callable 9/1/49 @ 100 | | | 39,157 | |
| | 499,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.75%, 4/1/48, Callable 10/1/47 @ 100 | | | 626,122 | |
| | 30,000 | | | CSC Holdings LLC, 5.38%, 2/1/28, Callable 2/1/23 @ 102.69(a) | | | 31,013 | |
| | 90,000 | | | CSC Holdings LLC, 4.50%, 11/15/31, Callable 11/15/26 @ 102.25(a) | | | 88,875 | |
| | | | | | | | |
| | | | | | | 1,070,455 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.0%): | | | |
| | 26,000 | | | Antero Resources Corp., 8.38%, 7/15/26, Callable 1/15/24 @ 104.19(a) | | | 29,445 | |
| | 35,000 | | | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | | | 37,012 | |
| | 210,000 | | | Energy Transfer LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | | | 239,925 | |
| | 264,000 | | | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | | | 297,660 | |
| | 670,000 | | | Energy Transfer LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | | | 784,738 | |
| | 90,000 | | | Exxon Mobil Corp., 4.23%, 3/19/40, Callable 9/19/39 @ 100 | | | 106,463 | |
See accompanying notes to the financial statements.
7
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| $ | 278,000 | | | Exxon Mobil Corp., 4.33%, 3/19/50, Callable 9/19/49 @ 100 | | $ | 342,260 | |
| | 163,000 | | | Occidental Petroleum Corp., 5.21%, 10/10/36(c) | | | 91,484 | |
| | 200,000 | | | Occidental Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100 | | | 206,750 | |
| | 250,000 | | | Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100(a) | | | 268,750 | |
| | 250,000 | | | Rockies Express Pipeline LLC, 4.80%, 5/15/30, Callable 2/15/30 @ 100(a) | | | 261,250 | |
| | 89,000 | | | Sunoco, LP / Sunoco Finance Corp., 4.50%, 4/30/30, Callable 4/30/25 @ 102.25(a) | | | 90,780 | |
| | | | | | | | |
| | | | | | | 2,756,517 | |
| | | | | | | | |
| Pharmaceuticals (0.7%): | | | |
| | 90,000 | | | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a) | | | 97,612 | |
| | 955,000 | | | Bayer US Finance II LLC, 4.38%, 12/15/28, Callable 9/15/28 @ 100(a) | | | 1,067,766 | |
| | 490,000 | | | Bayer US Finance II LLC, 4.63%, 6/25/38, Callable 12/25/37 @ 100(a) | | | 572,339 | |
| | 160,000 | | | Bayer US Finance II LLC, 4.88%, 6/25/48, Callable 12/25/47 @ 100(a) | | | 197,714 | |
| | 284,000 | | | Endo Dac / Endo Finance LLC / Endo Finco, Inc., 6.00%, 6/30/28, Callable 6/30/23 @ 104.5(a) | | | 211,580 | |
| | | | | | | | |
| | | | | | | 2,147,011 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.2%): | | | |
| | 558,000 | | | Intel Corp., 3.05%, 8/12/51, Callable 2/12/51 @ 100 | | | 568,589 | |
| | | | | | | | |
| Software (0.2%): | | | |
| | 70,000 | | | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | | | 70,289 | |
| | 565,000 | | | Oracle Corp., 3.95%, 3/25/51, Callable 9/25/50 @ 100 | | | 585,934 | |
| | | | | | | | |
| | | | | | | 656,223 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.0%†): | | | |
| | 25,000 | | | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 4/1/26, Callable 2/7/22 @ 105.16 | | | 26,000 | |
| | 81,000 | | | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16 | | | 85,050 | |
| | | | | | | | |
| | | | | | | 111,050 | |
| | | | | | | | |
| Tobacco (0.4%): | | | |
| | 625,000 | | | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100 | | | 650,319 | |
| | 610,000 | | | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | | | 740,216 | |
| | | | | | | | |
| | | | | | | 1,390,535 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 655,000 | | | Air Lease Corp., 3.50%, 1/15/22 | | | 655,578 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.0%): | | | |
| | 27,000 | | | Sprint Corp., 7.88%, 9/15/23 | | | 29,700 | |
| | 999,375 | | | Sprint Spectrum Co. LLC, 4.74%, 3/20/25, Callable 3/20/24 @ 100(a) | | | 1,045,646 | |
| | 235,000 | | | T-Mobile USA, Inc., 2.25%, 2/15/26, Callable 2/15/23 @ 101.13 | | | 235,327 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Wireless Telecommunication Services, continued | | | |
| $ | 444,000 | | | T-Mobile USA, Inc., 2.63%, 4/15/26, Callable 4/15/23 @ 101.31 | | $ | 447,273 | |
| | 205,000 | | | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | | | 221,911 | |
| | 280,000 | | | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | | | 305,998 | |
| | 222,000 | | | T-Mobile USA, Inc., 2.55%, 2/15/31, Callable 11/15/30 @ 100 | | | 220,564 | |
| | 395,000 | | | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | | | 449,587 | |
| | | | | | | | |
| | | | | | | 2,956,006 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $51,137,059) | | | 53,548,761 | |
| | | | | |
| Foreign Bond (1.0%): | | | |
| Sovereign Bond (1.0%): | | | |
| | 335,000,000 | | | Japan Treasury Discount Bill, -0.09%, 2/28/22+(c) | | | 2,913,242 | |
| | | | | | | | |
| | Total Foreign Bond (Cost $2,918,074) | | | 2,913,242 | |
| | | | | |
| Yankee Debt Obligations (7.1%): | | | |
| Aerospace & Defense (0.2%): | | | |
| | 30,000 | | | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | | | 32,175 | |
| | 345,000 | | | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(a) | | | 352,331 | |
| | 325,000 | | | Avolon Holdings Funding, Ltd., 2.53%, 11/18/27, Callable 10/18/27 @ 100(a) | | | 316,508 | |
| | | | | | | | |
| | | | | | | 701,014 | |
| | | | | | | | |
| Banks (1.9%): | | | |
| | 450,000 | | | DNB Bank ASA, 1.60% (H15T1Y+68 bps), 3/30/28, Callable 3/30/27 @ 100(a) | | | 438,638 | |
| | 450,000 | | | HSBC Holdings plc, 2.10% (SOFR+193 bps), 6/4/26, Callable 6/4/25 @ 100 | | | 452,855 | |
| | 600,000 | | | HSBC Holdings plc, 1.59% (SOFR+129 bps), 5/24/27, Callable 5/24/26 @ 100 | | | 586,136 | |
| | 440,000 | | | HSBC Holdings plc, 2.01% (SOFR+173 bps), 9/22/28, Callable 9/22/27 @ 100 | | | 430,297 | |
| | 410,000 | | | HSBC Holdings plc, 2.21% (SOFR+129 bps), 8/17/29, Callable 8/17/28 @ 100 | | | 401,502 | |
| | 415,000 | | | Lloyds Banking Group plc, 2.86% (US0003M+125 bps), 3/17/23, Callable 3/17/22 @ 100 | | | 416,613 | |
| | 155,000 | | | Lloyds Banking Group plc, 2.91% (US0003M+81 bps), 11/7/23, Callable 11/7/22 @ 100 | | | 157,482 | |
| | 145,000 | | | Lloyds Banking Group plc, 3.87% (H15T1Y+4 bps), 7/9/25, Callable 7/9/24 @ 100 | | | 153,151 | |
| | 450,000 | | | Lloyds Banking Group plc, 1.63% (H15T1Y+85 bps), 5/11/27, Callable 5/11/26 @ 100 | | | 442,227 | |
| | 545,000 | | | NatWest Group plc, 4.27% (US0003M+176 bps), 3/22/25, Callable 3/22/24 @ 100 | | | 577,135 | |
| | 390,000 | | | Santander UK Group Holdings plc, 4.80% (US0003M+157 bps), 11/15/24, Callable 11/15/23 @ 100 | | | 413,960 | |
| | 590,000 | | | Santander UK Group Holdings plc, 1.09% (SOFR+79 bps), 3/15/25, Callable 3/15/24 @ 100 | | | 583,301 | |
| | 30,000 | | | Santander UK Group Holdings plc, 3.82% (US0003M+140 bps), 11/3/28, Callable 11/3/27 @ 100 | | | 32,176 | |
| | 410,000 | | | Santander UK plc, 5.00%, 11/7/23(a) | | | 436,251 | |
| | | | | | | | |
| | | | | | | 5,521,724 | |
| | | | | | | | |
See accompanying notes to the financial statements.
8
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Beverages (0.2%): | | | |
| $ | 275,000 | | | Bacardi, Ltd., 4.45%, 5/15/25, Callable 3/15/25 @ 100(a) | | $ | 298,055 | |
| | 105,000 | | | Bacardi, Ltd., 5.30%, 5/15/48, Callable 11/15/47 @ 100(a) | | | 138,041 | |
| | | | | | | | |
| | | | | | | 436,096 | |
| | | | | | | | |
| Capital Markets (0.8%): | | | |
| | 380,000 | | | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a) | | | 387,266 | |
| | 625,000 | | | Credit Suisse Group AG, 2.19% (SOFR+204 bps), 6/5/26, Callable 6/5/25 @ 100(a) | | | 628,572 | |
| | 185,000 | | | Credit Suisse Group AG, 1.31% (SOFR+98 bps), 2/2/27, Callable 2/2/26 @ 100(a) | | | 178,393 | |
| | 280,000 | | | Credit Suisse Group AG, 3.09% (SOFR+173 bps), 5/14/32, Callable 5/14/31 @ 100(a) | | | 284,626 | |
| | 165,000 | | | Macquarie Group, Ltd., 2.69% (SOFR+144 bps), 6/23/32, Callable 6/23/31 @ 100(a) | | | 164,219 | |
| | 570,000 | | | Macquarie Group, Ltd., 2.87% (SOFR+153 bps), 1/14/33, Callable 1/14/32 @ 100(a) | | | 567,192 | |
| | 455,000 | | | UBS AG, 0.70%, 8/9/24(a) | | | 447,971 | |
| | | | | | | | |
| | | | | | | 2,658,239 | |
| | | | | | | | |
| Commercial Services & Supplies (0.1%): | | | |
| | 178,000 | | | GFL Environmental, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | | | 185,565 | |
| | | | | | | | |
| Diversified Financial Services (0.6%): | | | |
| | 394,000 | | | GE Capital International Funding, 4.42%, 11/15/35 | | | 472,205 | |
| | 111,000 | | | Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 2/7/22 @ 104.25(a)(d) | | | 51,615 | |
| | 540,000 | | | Intelsat Jackson Holdings SA, 9.75%, 7/15/25, Callable 2/7/22 @ 104.88(a)(d) | | | 247,050 | |
| | 285,000 | | | Park Aerospace Holdings, 4.50%, 3/15/23, Callable 2/15/23 @ 100(a) | | | 294,262 | |
| | 72,000 | | | Park Aerospace Holdings, 5.50%, 2/15/24(a) | | | 77,130 | |
| | 290,000 | | | Virgin Media Secured Finance plc, 5.50%, 5/15/29, Callable 5/15/24 @ 102.75(a) | | | 304,863 | |
| | 290,000 | | | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a) | | | 279,850 | |
| | | | | | | | |
| | | | | | | 1,726,975 | |
| | | | | | | | |
| Energy Equipment & Services (0.1%): | | | |
| | 48,500 | | | Transocean Phoenix 2, Ltd., 7.75%, 10/15/24, Callable 2/7/22 @ 102.58(a) | | | 48,985 | |
| | 101,170 | | | Transocean Pontus, Ltd., 6.13%, 8/1/25, Callable 2/7/22 @ 104.59(a) | | | 98,641 | |
| | 121,000 | | | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/7/22 @ 105.16(a) | | | 116,765 | |
| | 34,500 | | | Transocean Proteus, Ltd., 6.25%, 12/1/24, Callable 2/7/22 @ 102.08(a) | | | 33,982 | |
| | | | | | | | |
| | | | | | | 298,373 | |
| | | | | | | | |
| Food & Staples Retailing (0.2%): | | | |
| | 475,000 | | | Alimentation Couche-Tard, Inc., 3.55%, 7/26/27, Callable 4/26/27 @ 100(a) | | | 508,844 | |
| | | | | | | | |
| Interactive Media & Services (0.1%): | | | |
| | 295,000 | | | Tencent Holdings, Ltd., 3.68%, 4/22/41, Callable 10/22/40 @ 100(a) | | | 305,392 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 200,000 | | | Indonesia Asahan Aluminium Persero PT, 6.53%, 11/15/28(a) | | | 240,750 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Oil, Gas & Consumable Fuels (0.4%): | | | |
| $ | 200,000 | | | KazMunayGas National Co. JSC, 5.38%, 4/24/30 | | $ | 233,000 | |
| | 80,000 | | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 76,742 | |
| | 630,000 | | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 559,759 | |
| | 40,000 | | | Petroleos Mexicanos, 7.69%, 1/23/50, Callable 7/23/49 @ 100 | | | 38,749 | |
| | 85,000 | | | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | | | 75,669 | |
| | 200,000 | | | Petronas Capital, Ltd., 3.50%, 4/21/30, Callable 1/21/30 @ 100(a) | | | 216,504 | |
| | | | | | | | |
| | | | | | | 1,200,423 | |
| | | | | | | | |
| Professional Services (0.4%): | | | |
| | 421,000 | | | IHS Markit, Ltd., 5.00%, 11/1/22, Callable 8/1/22 @ 100(a) | | | 432,578 | |
| | 125,000 | | | IHS Markit, Ltd., 4.75%, 2/15/25, Callable 11/15/24 @ 100(a) | | | 135,781 | |
| | 104,000 | | | IHS Markit, Ltd., 4.00%, 3/1/26, Callable 12/1/25 @ 100(a) | | | 112,580 | |
| | 295,000 | | | IHS Markit, Ltd., 4.75%, 8/1/28, Callable 5/1/28 @ 100 | | | 341,094 | |
| | | | | | | | |
| | | | | | | 1,022,033 | |
| | | | | | | | |
| Sovereign Bond (1.1%): | | | |
| | 400,000 | | | Abu Dhabi Government International,
2.50%, 9/30/29 | | | 414,612 | |
| | 200,000 | | | Arab Republic of Egypt, 7.60%, 3/1/29(a) | | | 198,002 | |
| | 200,000 | | | Brazilian Government International Bond,
3.88%, 6/12/30 | | | 194,234 | |
| | 200,000 | | | Chile Government International Bond, 3.24%, 2/6/28, Callable 11/6/27 @ 100 | | | 211,072 | |
| | 200,000 | | | Dominican Republic International Bond,
4.50%, 1/30/30(a) | | | 203,750 | |
| | 225,000 | | | Mexico Government International Bond,
3.75%, 1/11/28 | | | 241,955 | |
| | 200,000 | | | Panama Government International Bond,
3.16%, 1/23/30, Callable 10/23/29 @ 100 | | | 207,000 | |
| | 200,000 | | | Paraguay Government International Bond,
4.70%, 3/27/27 | | | 221,000 | |
| | 200,000 | | | Peruvian Government International Bond,
2.84%, 6/20/30 | | | 203,258 | |
| | 200,000 | | | Qatar Government International Bond,
4.50%, 4/23/28 | | | 229,107 | |
| | 400,000 | | | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100 | | | 364,422 | |
| | 20,000 | | | Republic of Peru, 4.13%, 8/25/27 | | | 22,369 | |
| | 200,000 | | | Republic of South Africa Government International Bond, 4.85%, 9/30/29 | | | 206,499 | |
| | 200,000 | | | Saudi Government International Bond,
3.25%, 10/26/26 | | | 212,998 | |
| | 200,000 | | | Saudi Government International Bond, 3.63%, 3/4/28 | | | 217,574 | |
| | | | | | | | |
| | | | | | | 3,347,852 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.2%): | | | |
| | 230,000 | | | Nationwide Building Society, 3.62% (US0003M+118 bps), 4/26/23, Callable 4/26/22 @ 100(a) | | | 232,008 | |
| | 330,000 | | | Nationwide Building Society, 3.77% (US0003M+106 bps), 3/8/24, Callable 3/8/23 @ 100(a) | | | 339,851 | |
| | 140,000 | | | Nationwide Building Society, 4.36% (US0003M+139 bps), 8/1/24, Callable 8/1/23 @ 100(a) | | | 146,671 | |
| | | | | | | | |
| | | | | | | 718,530 | |
| | | | | | | | |
See accompanying notes to the financial statements.
9
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | | | |
| Tobacco (0.1%): | | | |
| $ | 280,000 | | | Imperial Brands Finance plc, 3.13%, 7/26/24, Callable 6/26/24 @ 100(a) | | $ | 289,408 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 435,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | | | 441,664 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.4%): | | | |
| | 813,000 | | | Vodafone Group plc, 4.88%, 6/19/49 | | | 1,020,125 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $20,714,648) | | | 20,623,007 | |
| | | | | |
| Municipal Bonds (0.7%): | | | |
| California (0.5%): | |
| | 700,000 | | | Los Angeles Unified School District, Build America Bonds, GO, 5.76%, 7/1/29 | | | 851,529 | |
| | 570,000 | | | Regents of the University of California Medical Center Pooled Revenue, Series N, 3.26%, 5/15/60, Continuously Callable @100 | | | 612,323 | |
| | | | | | | | |
| | | | | | | 1,463,852 | |
| | | | | | | | |
| New York (0.2%): | |
| | 420,000 | | | City of New York NY, GO, Series A, 3.00%, 8/1/34, Continuously Callable @100 | | | 438,866 | |
| | | | | | | | |
| | Total Municipal Bonds (Cost $1,831,684) | | | 1,902,718 | |
| | | | | |
| U.S. Government Agency Mortgages (30.8%): | | | |
| Federal National Mortgage Association (19.3%) | |
| | 428,816 | | | 3.50%, 1/1/32, Pool #AB4262 | | | 460,844 | |
| | 59,331 | | | 3.00%, 7/1/32, Pool #MA3060 | | | 62,170 | |
| | 324,641 | | | 3.00%, 10/1/33, Pool #MA1676 | | | 341,178 | |
| | 3,650,000 | | | 2.00%, 2/25/36 | | | 3,732,553 | |
| | 2,250,000 | | | 1.50%, 2/25/36 | | | 2,254,219 | |
| | 485,000 | | | 2.46%, 4/1/40, Pool #BL6060 | | | 488,858 | |
| | 1,036,738 | | | 2.00%, 9/1/40, Pool #MA4152 | | | 1,045,779 | |
| | 1,287,514 | | | 2.00%, 10/1/40, Pool #MA4176 | | | 1,300,828 | |
| | 235,476 | | | 2.00%, 5/1/41, Pool #MA4333 | | | 238,001 | |
| | 29,510 | | | 4.00%, 8/1/42, Pool #MA1146 | | | 31,587 | |
| | 602,872 | | | 3.50%, 4/1/43, Pool #MA1404 | | | 648,752 | |
| | 299,405 | | | 4.50%, 2/1/46, Pool #AL9106 | | | 325,073 | |
| | 103,742 | | | Class QA , Series 2018-573.50%, 5/25/46 | | | 105,412 | |
| | 334,820 | | | Class PA , Series 2018-553.50%, 1/25/47 | | | 343,976 | |
| | 160,518 | | | 4.00%, 6/1/47, Pool #AS9830 | | | 172,227 | |
| | 135,355 | | | 4.00%, 7/1/47, Pool #AS9972 | | | 145,228 | |
| | 10,643 | | | 4.00%, 8/1/47, Pool #MA3088 | | | 11,429 | |
| | 39,564 | | | 3.50%, 1/1/48, Pool #MA3238 | | | 41,911 | |
| | 818,420 | | | 3.50%, 1/1/48, Pool #CA0996 | | | 880,699 | |
| | 45,652 | | | 4.50%, 5/1/48, Pool #CA1711 | | | 49,196 | |
| | 519,486 | | | 4.50%, 5/1/48, Pool #CA1710 | | | 559,811 | |
| | 366,006 | | | Class CT , Series 2018-433.00%, 6/25/48 | | | 374,859 | |
| | 325,389 | | | 4.50%, 8/1/48, Pool #CA2208 | | | 350,159 | |
| | 919,960 | | | 3.50%, 6/1/49, Pool #CA3633 | | | 996,982 | |
| | 715,787 | | | 3.00%, 9/1/49, Pool #BN7755 | | | 751,160 | |
| | 224,722 | | | 3.00%, 10/1/49, Pool #MA3811 | | | 231,100 | |
| | 18,225,000 | | | 2.00%, 2/25/50, TBA | | | 18,139,570 | |
| | 18,725,000 | | | 2.50%, 2/25/51, TBA | | | 19,070,242 | |
| | 2,575,000 | | | 3.00%, 2/25/51, TBA | | | 2,665,427 | |
| | | | | | | | |
| | | | | | | 55,819,230 | |
| | | | | | | | |
| Federal Home Loan Mortgage Corporation (5.8%) | |
| | 222,201 | | | 3.00%, 3/1/31, Pool #G18592 | | | 233,020 | |
| | 524,155 | | | 3.50%, 1/1/34, Pool #G16756 | | | 553,573 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Government Agency Mortgages, continued | | | |
| Federal Home Loan Mortgage Corporation, continued | |
| $ | 1,059,647 | | | 3.50%, 4/1/44, Pool #G07848 | | $ | 1,151,492 | |
| | 1,377,714 | | | 3.50%, 4/1/45, Pool #G60023 | | | 1,499,998 | |
| | 1,049,525 | | | 4.00%, 12/1/45, Pool #G60344 | | | 1,149,543 | |
| | 651,490 | | | 3.50%, 6/1/46, Pool #G08711 | | | 693,267 | |
| | 450,344 | | | 3.50%, 8/1/46, Pool #G08716 | | | 479,223 | |
| | 395,670 | | | 3.00%, 8/1/46, Pool #G08715 | | | 413,560 | |
| | 106,286 | | | 3.00%, 9/1/46, Pool #G08721 | | | 111,091 | |
| | 178,314 | | | 3.50%, 9/1/46, Pool #G08722 | | | 189,749 | |
| | 526,868 | | | 3.00%, 10/1/46, Pool #G08726 | | | 550,680 | |
| | 589,479 | | | 3.00%, 11/1/46, Pool #G08732 | | | 616,124 | |
| | 738,065 | | | 3.00%, 1/1/47, Pool #G08741 | | | 771,466 | |
| | 712,376 | | | 3.50%, 4/1/47, Pool #G67703 | | | 774,239 | |
| | 114,338 | | | Class PA , Series 48464.00%, 6/15/47 | | | 116,754 | |
| | 294,788 | | | 3.50%, 12/1/47, Pool #G08792 | | | 311,997 | |
| | 929,854 | | | 3.50%, 12/1/47, Pool #G67706 | | | 1,005,901 | |
| | 1,773,551 | | | 3.50%, 1/1/48, Pool #G67707 | | | 1,919,413 | |
| | 345,502 | | | 3.50%, 2/1/48, Pool #G08800 | | | 365,046 | |
| | 902,110 | | | 4.00%, 3/1/48, Pool #G67711 | | | 984,733 | |
| | 438,546 | | | 3.50%, 3/1/48, Pool #G67710 | | | 468,744 | |
| | 83,653 | | | Class CA , Series 48183.00%, 4/15/48 | | | 85,653 | |
| | 3,386 | | | 4.00%, 6/1/48, Pool #G67713 | | | 3,688 | |
| | 317,734 | | | 3.50%, 6/1/48, Pool #G08816 | | | 335,708 | |
| | 108,281 | | | 5.00%, 7/1/48, Pool #G08833 | | | 118,120 | |
| | 259,282 | | | 4.50%, 10/1/48, Pool #G08843 | | | 278,435 | |
| | 1,344,615 | | | Class HZ , Series 46393.25%, 4/15/53 | | | 1,462,000 | |
| | | | | | | | |
| | | | | | | 16,643,217 | |
| | | | | | | | |
| Government National Mortgage Association (4.7%) | |
| | 298,202 | | | 3.50%, 3/20/46, Pool #MA3521 | | | 314,677 | |
| | 311,423 | | | 3.50%, 4/20/46, Pool #MA3597 | | | 328,628 | |
| | 59,171 | | | 3.50%, 5/20/46, Pool #MA3663 | | | 62,440 | |
| | 128,258 | | | 3.50%, 9/20/46, Pool #MA3937 | | | 135,344 | |
| | 682,638 | | | 3.00%, 12/20/46, Pool #MA4126 | | | 714,434 | |
| | 511,798 | | | 3.50%, 1/20/47, Pool #MA4196 | | | 540,075 | |
| | 95,409 | | | 5.00%, 3/20/47, Pool #MA4324 | | | 108,110 | |
| | 101,079 | | | 3.50%, 6/20/47, Pool #MA4510 | | | 106,456 | |
| | 237,757 | | | 5.00%, 6/20/47, Pool #MA4513 | | | 253,488 | |
| | 154,321 | | | 5.00%, 9/20/47, Pool #MA4722 | | | 167,705 | |
| | 284,046 | | | 4.00%, 9/20/47, Pool #MA4720 | | | 302,955 | |
| | 118,269 | | | 3.50%, 11/20/47, Pool #MA4837 | | | 123,863 | |
| | 320,255 | | | 3.00%, 11/20/47, Pool #MA4836 | | | 334,782 | |
| | 197,097 | | | 4.00%, 11/20/47, Pool #MA4838 | | | 210,218 | |
| | 981,576 | | | 3.50%, 12/20/47, Pool #MA4900 | | | 1,033,796 | |
| | 92,164 | | | 4.00%, 12/20/47, Pool #MA4901 | | | 98,299 | |
| | 302,516 | | | 4.00%, 3/20/48, Pool #MA5078 | | | 322,655 | |
| | 603,944 | | | 4.50%, 8/20/48, Pool #MA5399 | | | 640,112 | |
| | 277,896 | | | Class NW , Series 2018-1243.50%, 9/20/48 | | | 294,603 | |
| | 165,056 | | | 4.00%, 9/20/48, Pool #MA5466 | | | 174,893 | |
| | 214,410 | | | 3.00%, 10/20/49, Pool #MA6209 | | | 220,136 | |
| | 1,850,000 | | | 2.50%, 2/20/51, TBA | | | 1,891,697 | |
| | 2,925,000 | | | 2.00%, 2/20/51, TBA | | | 2,947,395 | |
| | 2,175,000 | | | 2.50%, 7/20/51, TBA | | | 2,228,695 | |
| | | | | | | | |
| | | | | | | 13,555,456 | |
| | | | | | | | |
| Federal Home Loan Bank (1.0%) | |
| | 2,925,000 | | | 1.04%, 6/14/24, Callable 1/14/22 @ 100.00 | | | 2,924,681 | |
| | | | | | | | |
| | Total U.S. Government Agency Mortgages (Cost $87,602,808) | | | 88,942,584 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| U.S. Treasury Obligations (45.6%): | | | |
| U.S. Treasury Bills (6.0%) | |
| $ | 835,000 | | | , 1/25/22(c) | | $ | 834,980 | |
| | 1,255,000 | | | 0.03%, 2/3/22(c) | | | 1,254,968 | |
| | 1,085,000 | | | 0.04%, 2/17/22(c) | | | 1,084,939 | |
| | 9,710,000 | | | 0.10%, 5/26/22(c) | | | 9,705,950 | |
| | 1,095,000 | | | 0.13%, 6/16/22(c) | | | 1,094,351 | |
| | 3,480,000 | | | 0.17%, 6/23/22(c) | | | 3,477,190 | |
| | | | | | | | |
| | | | | | | 17,452,378 | |
| | | | | | | | |
| U.S. Treasury Bonds (7.6%) | |
| | 3,375,000 | | | 2.25%, 5/15/41 | | | 3,555,352 | |
| | 365,000 | | | 1.75%, 8/15/41 | | | 354,963 | |
| | 510,000 | | | 2.00%, 11/15/41 | | | 517,331 | |
| | 17,485,000 | | | 1.88%, 11/15/51 | | | 17,430,359 | |
| | | | | | | | |
| | | | | | | 21,858,005 | |
| | | | | | | | |
| U.S. Treasury Inflation Index Bonds (0.3%) | |
| | 679,738 | | | 0.13%, 2/15/51 | | | 804,426 | |
| | | | | | | | |
| U.S. Treasury Notes (31.7%) | |
| | 1,607,000 | | | 0.25%, 9/30/23 | | | 1,595,701 | |
| | 14,335,000 | | | 0.38%, 10/31/23 | | | 14,254,366 | |
| | 23,200,000 | | | 0.38%, 11/30/23 | | | 23,113,000 | |
| | 7,640,000 | | | 0.63%, 12/31/23 | | | 7,642,387 | |
| | 1,191,000 | | | 0.88%, 9/30/26 | | | 1,170,530 | |
| | 10,680,000 | | | 1.13%, 10/31/26 | | | 10,616,587 | |
| | 17,395,000 | | | 1.25%, 11/30/26 | | | 17,397,718 | |
| | 9,850,000 | | | 1.25%, 12/31/26 | | | 9,846,922 | |
| | 5,760,000 | | | 1.38%, 11/15/31 | | | 5,695,200 | |
| | | | | | | | |
| | | | | | | 91,332,411 | |
| | | | | | | | |
| | Total U.S. Treasury Obligations (Cost $131,397,652) | | | 131,447,220 | |
| | | | | |
| | | | | | | | |
Contracts | | | | | Value | |
| Purchased Options (0.0%†): | | | |
| | Total Purchased Options (Cost $109,744) | | $ | 78,750 | |
| | | | | |
| Swaption (0.0%†): | | | |
| Purchased Swaptions (0.0%†): | | | |
| | Total Purchased Swaptions (Cost $35,990) | | | 30,593 | |
| | | | | |
| | Total Swaption (Cost $35,990) | | | 30,593 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.2%): | |
| $ | 500,940 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(c)(e) | | | 500,940 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $500,940) | | | 500,940 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (1.6%): | | | |
| Money Markets (1.6%): | | | |
| | 4,575,684 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 4,575,684 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $4,575,684) | | | 4,575,684 | |
| | | | | |
| | Total Investment Securities (Cost $336,712,808) — 118.1%(f) | | | 340,827,990 | |
| | Net other assets (liabilities) — (18.1)% | | | (52,332,562 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 288,495,428 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
12MTA—12 Month Treasury Average
GO—General Obligation
H15T1Y—1 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
US0006M—6 Month US Dollar LIBOR
| ^ | This security or a partial position of this security was on loan as of December 31, 2021. The total value of securities on loan as of December 31, 2021 was $485,352. |
| + | 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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (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, 2021. |
| (f) | 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, 2021
Futures Contracts
At December 31, 2021, the Fund’s open futures contracts were as follows:
Short 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) | | | 3/31/22 | | | | 5 | | | $ | (1,090,859 | ) | | $ | 1,693 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 1,693 | |
| | | | | | | | | | | | | | | | |
Long Futures
| | | | | | | | | | | | | | | | |
| Description | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| | | | |
Ultra Long Term U.S. Treasury Bond March Futures (U.S. Dollar) | | | 3/22/22 | | | | 1 | | | $ | 197,125 | | | $ | 3,857 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 3,857 | |
| | | | | | | | | | | | | | | | |
Total Net Futures Contracts | | | | | | | | | | | | | | $ | 5,550 | |
| | | | | | | | | | | | | | | | |
Options and Swaptions Contracts
At December 31, 2021, the Fund’s over-the-counter options purchased were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | | |
Euro$ 1Y Midcv Op Sep22c | | Citigroup | | Call | | | 98.75 USD | | | | 9/16/22 | | | | 175 | | | $ | 17,281 | | | $ | 78,750 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total (Cost $109,744) | | | | | | | | | | | | | | | | | | $ | 78,750 | |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, the Fund’s over-the-counter options written were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | | |
Euro$ 1Y Midcv Op Sep22c | | Citigroup | | Call | | | 99.00 USD | | | | 9/16/22 | | | | 175 | | | $ | 17,325 | | | $ | (43,750 | ) |
Euro$ 1Y Midcv Op Sep22p | | Citigroup | | Put | | | 97.88 USD | | | | 9/16/22 | | | | 175 | | | | 17,128 | | | | (44,844 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total (Premiums $102,019) | | | | | | | | | | | | | | | | | | | (88,594 | ) |
| | | | | | | | | | | | | | | | | | | | |
Over-the-counter swaptions purchased as of December 31, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description and terms of payments to be received
from another party | | Counterparty | | Put/
Call | | | Exercise
Rate | | | Expiration
Date | | | Contracts | | | Value | | | Upfront
Payments/
Receipts | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | | | |
30-Year Interest Rate, Pay 3-Month USD LIBOR | | Goldman Sachs | | | Put | | | | 2.75 USD | | | | 1/22/24 | | | | 1,220,000 | | | $ | 30,593 | | | $ | 35,990 | | | $ | (5,397 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total (Cost $35,990) | | | | | | | | | | | | | | | | | | | | $ | 30,593 | | | $ | 35,990 | | | $ | (5,397 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency Contracts
At December 31, 2021, the Fund’s open forward currency contracts were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | | | Counterparty | | | Settlement
Date | | | Net Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
U.S. Dollar | | | 2,938,867 | | | Japanese Yen | | | 335,000,000 | | | | Goldman Sachs | | | | 2/28/22 | | | $ | 24,625 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Net Forward Currency Contracts | | | | | | | | | | | $ | 24,625 | |
| | | | | | | | | | | | | |
See accompanying notes to the financial statements.
12
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2021
Swap Agreements
At December 31, 2021, the Fund’s centrally-cleared swap agreements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Fund | | | Received by the Fund | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | | Rate | | | Frequency | | | Expiration
Date | | | Notional
Amount | | | Upfront
Premiums
Paid/
(Received) | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | | | | |
3-Month U.S. Dollar LIBOR | | | Quarterly | | | | 1.0335% | | | | Semi-annually | | | | 7/24/25 | | | | 5,065,000 | | | | USD | | | $ | — | | | $ | (56,993 | ) | | $ | (56,993 | ) |
3-Month U.S. Dollar LIBOR | | | Quarterly | | | | 1.0255% | | | | Semi-annually | | | | 7/24/25 | | | | 6,840,000 | | | | USD | | | | — | | | | (78,032 | ) | | | (78,032 | ) |
3-Month U.S. Dollar LIBOR | | | Quarterly | | | | 1.0725% | | | | Semi-annually | | | | 7/24/25 | | | | 3,420,000 | | | | USD | | | | — | | | | (35,883 | ) | | | (35,883 | ) |
3-Month U.S. Dollar LIBOR | | | Quarterly | | | | 1.39% | | | | Semi-annually | | | | 9/28/25 | | | | 7,585,000 | | | | USD | | | | — | | | | (35,617 | ) | | | (35,617 | ) |
3-Month U.S. Dollar LIBOR | | | Quarterly | | | | 1.6875% | | | | Semi-annually | | | | 12/7/25 | | | | 7,820,000 | | | | USD | | | | — | | | | 6,733 | | | | 6,733 | |
1.785% | | | Semi-annually | | | | 3-Month U.S. Dollar LIBOR | | | | Quarterly | | | | 7/24/53 | | | | 425,000 | | | | USD | | | | — | | | | (1,158 | ) | | | (1,158 | ) |
1.7725% | | | Semi-annually | | | | 3-Month U.S. Dollar LIBOR | | | | Quarterly | | | | 7/24/53 | | | | 570,000 | | | | USD | | | | — | | | | 137 | | | | 137 | |
1.8075% | | | Semi-annually | | | | 3-Month U.S. Dollar LIBOR | | | | Quarterly | | | | 7/24/53 | | | | 285,000 | | | | USD | | | | — | | | | (2,297 | ) | | | (2,297 | ) |
1.87% | | | Semi-annually | | | | 3-Month U.S. Dollar LIBOR | | | | Quarterly | | | | 9/28/53 | | | | 645,000 | | | | USD | | | | — | | | | (14,665 | ) | | | (14,665 | ) |
1.7425% | | | Semi-annually | | | | 3-Month U.S. Dollar LIBOR | | | | Quarterly | | | | 12/7/53 | | | | 655,000 | | | | USD | | | | — | | | | 4,790 | | | | 4,790 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (212,985 | ) | | $ | (212,985 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statement of Assets and Liabilities for Options Written, Forward Currency Contracts and Swap Agreements
| | | | | | | | | | | | | | | | |
| | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Receivable
for Variation
Margin | | | Payable for
Variation
Margin | |
| | | | |
Centrally cleared swap agreements | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| | | | |
Forward currency contracts | | | | | | | | | | $ | 24,625 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | Value | |
| | | | |
Options Written | | | | | | | | | | | | | | $ | (88,594 | ) |
See accompanying notes to the financial statements.
13
AZL MetWest Total Return Bond Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 336,712,808 | |
| | | | | |
Investment securities, at value(a) | | | | 340,827,990 | |
Deposit at broker for futures and written options collateral | | | | 309,000 | |
Deposit at broker for swap agreements collateral | | | | 280,580 | |
Interest and dividends receivable | | | | 888,748 | |
Unrealized appreciation on forward currency contracts | | | | 24,625 | |
Receivable for capital shares issued | | | | 1,926 | |
Receivable for investments sold | | | | 2,953,197 | |
Receivable for TBA investments sold | | | | 47,835,455 | |
Prepaid expenses | | | | 1,402 | |
| | | | | |
Total Assets | | | | 393,122,923 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 15,204 | |
Payable for TBA investments purchased | | | | 103,777,020 | |
Written Options (Premiums received $102,019) | | | | 88,594 | |
Payable for collateral received on loaned securities | | | | 500,940 | |
Payable for variation margin on futures contracts | | | | 3,691 | |
Manager fees payable | | | | 123,074 | |
Administration fees payable | | | | 45,839 | |
Distribution fees payable | | | | 61,536 | |
Custodian fees payable | | | | 2,076 | |
Administrative and compliance services fees payable | | | | 389 | |
Transfer agent fees payable | | | | 849 | |
Trustee fees payable | | | | 2,185 | |
Other accrued liabilities | | | | 6,098 | |
| | | | | |
Total Liabilities | | | | 104,627,495 | |
| | | | | |
Net Assets | | | $ | 288,495,428 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 281,929,320 | |
Total distributable earnings | | | | 6,566,108 | |
| | | | | |
Net Assets | | | $ | 288,495,428 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 28,585,892 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.09 | |
| | | | | |
| (a) | Includes securities on loan of $485,352. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 5,026,435 | |
Dividends | | | | 936 | |
Income from securities lending | | | | 1,457 | |
| | | | | |
Total Investment Income | | | | 5,028,828 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 1,782,903 | |
Administration fees | | | | 128,854 | |
Distribution fees | | | | 742,872 | |
Custodian fees | | | | 13,561 | |
Administrative and compliance services fees | | | | 3,322 | |
Transfer agent fees | | | | 4,686 | |
Trustee fees | | | | 13,851 | |
Professional fees | | | | 12,095 | |
Shareholder reports | | | | 5,871 | |
Other expenses | | | | 5,224 | |
| | | | | |
Total expenses before reductions | | | | 2,713,239 | |
Less Management fees contractually waived | | | | (297,147 | ) |
| | | | | |
Net expenses | | | | 2,416,092 | |
| | | | | |
Net Investment Income/(Loss) | | | | 2,612,736 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | (53,723 | ) |
Net realized gains/(losses) on forward currency contracts | | | | 274,432 | |
Net realized gains/(losses) on futures contracts | | | | (28,505 | ) |
Net realized gains/(losses) on written options contracts | | | | (143,126 | ) |
Change in net unrealized appreciation/depreciation on securities | | | | (6,407,007 | ) |
Change in net unrealized appreciation/depreciation on forward currency contracts | | | | 56,336 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 11,492 | |
Change in net unrealized appreciation/depreciation on written options contracts | | | | 13,425 | |
Change in net unrealized appreciation/depreciation on swap agreements | | | | (212,985 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | (6,489,661 | ) |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | (3,876,925 | ) |
| | | | | |
See accompanying notes to the financial statements.
14
AZL MetWest Total Return Bond Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 2,612,736 | | | | $ | 4,311,081 | |
Net realized gains/(losses) on investments | | | | 49,078 | | | | | 15,402,105 | |
Change in unrealized appreciation/depreciation on investments | | | | (6,538,739 | ) | | | | 4,306,934 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | (3,876,925 | ) | | | | 24,020,120 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (19,638,536 | ) | | | | (12,644,991 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (19,638,536 | ) | | | | (12,644,991 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 17,585,557 | | | | | 35,317,127 | |
Proceeds from dividends reinvested | | | | 19,638,536 | | | | | 12,644,991 | |
Value of shares redeemed | | | | (20,998,964 | ) | | | | (81,958,486 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 16,225,129 | | | | | (33,996,368 | ) |
| | | | | | | | | | |
Change in net assets | | | | (7,290,332 | ) | | | | (22,621,239 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 295,785,760 | | | | | 318,406,999 | |
| | | | | | | | | | |
End of period | | | $ | 288,495,428 | | | | $ | 295,785,760 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 1,632,332 | | | | | 3,210,885 | |
Dividends reinvested | | | | 1,942,486 | | | | | 1,169,749 | |
Shares redeemed | | | | (1,973,539 | ) | | | | (7,566,839 | ) |
| | | | | | | | | | |
Change in shares | | | | 1,601,279 | | | | | (3,186,205 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
15
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.96 | | | | $ | 10.55 | | | | $ | 9.97 | | | | $ | 10.20 | | | | $ | 10.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.09 | (a) | | | | 0.16 | (a) | | | | 0.25 | (a) | | | | 0.26 | | | | | 0.17 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.23 | ) | | | | 0.74 | | | | | 0.60 | | | | | (0.29 | ) | | | | 0.15 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | (0.14 | ) | | | | 0.90 | | | | | 0.85 | | | | | (0.03 | ) | | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.16 | ) | | | | (0.30 | ) | | | | (0.27 | ) | | | | (0.20 | ) | | | | (0.16 | ) |
Net Realized Gains | | | | (0.57 | ) | | | | (0.19 | ) | | | | — | | | | | — | | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.73 | ) | | | | (0.49 | ) | | | | (0.27 | ) | | | | (0.20 | ) | | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.09 | | | | $ | 10.96 | | | | $ | 10.55 | | | | $ | 9.97 | | | | $ | 10.20 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | (1.33 | )% | | | | 8.58 | % | | | | 8.49 | % | | | | (0.21 | )% | | | | 3.14 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 288,495 | | | | $ | 295,786 | | | | $ | 318,407 | | | | $ | 321,344 | | | | $ | 366,574 | |
Net Investment Income/(Loss) | | | | 0.88 | % | | | | 1.47 | % | | | | 2.37 | % | | | | 2.25 | % | | | | 1.63 | % |
Expenses Before Reductions(c) | | | | 0.91 | % | | | | 0.92 | % | | | | 0.91 | % | | | | 0.91 | % | | | | 0.91 | % |
Expenses Net of Reductions | | | | 0.81 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.85 | % | | | | 0.86 | % |
Portfolio Turnover Rate | | | | 258 | % | | | | 211 | % | | | | 203 | % | | | | 184 | % | | | | 198 | % |
| (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.
16
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
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 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.
17
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $144 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $500,940 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, 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, 2021, 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 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, 2021, the Fund participated in the following cross-trade transactions:
| | | | | | | | | | | | | | | |
| | | Purchases | | Sales | | Realized Gains/(Losses) |
| | | |
AZL MetWest Total Return Bond Fund | | | $ | 218,896 | | | | $ | — | | | | $ | — | |
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, 2021, 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, 2021, the monthly average notional amount for short contracts was $1.4 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
18
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
Futures Contracts
During the year ended December 31, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $0.3 million, and the monthly average notional amount for short contracts was $2.0 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, 2021, 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. 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. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. Realized gains and losses 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, 2021, 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, 2021.
19
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | |
Currency Risk | | | | | | | | | | |
| | | |
| Options Contracts | | | | | | Written Options contracts | | $ | 88,594 | |
| | | |
Interest Rate Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 5,550 | | | Payable for variation margin on futures contracts* | | | — | |
| | | | |
| Interest Rate Swap Agreements | | Receivable for variation margin on swap agreements* | | | 11,660 | | | Payable for variation margin on swap agreements* | | | 224,645 | |
| | | | |
Foreign Exchange Risk | | | | | | | | | | | | |
| | | | |
| Forward Currency Contracts | | Unrealized appreciation on forward currency contracts | | | 24,625 | | | Unrealized depreciation on forward currency contracts | | | — | |
| * | For futures contracts and centrally-cleared swap agreements, the amounts represent the cumulative appreciation/depreciation of these futures contracts and centrally-cleared swap agreements 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 and centrally-cleared swap agreements. |
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, 2021:
| | | | | | | | | | |
| 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 | |
| | |
Currency Risk | | | | | | | | |
| | | |
| Options Contracts | | Net realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | | $ | (143,126 | ) | | $ | 13,425 | |
| | |
Interest Rate Risk | | | | | | | | |
| | | |
| Futures Contracts | | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | | | (28,505 | ) | | | 11,492 | |
| | | |
| Interest Rate Swap Agreements | | Net realized gains/(losses) on swap agreements/ Change in net unrealized appreciatioin/depreciation on swap agreements | | | — | | | | (212,985 | ) |
| | | |
Foreign Exchange Risk | | | | | | | | | | |
| | | |
| Forward Currency Contracts | | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | | | 274,432 | | | | 56,336 | |
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, 2021. 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, 2021.
As of December 31, 2021, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
| | |
Derivative Financial Instruments: | | | | | | | | | | |
Forward currency contracts | | | $ | 24,625 | | | | $ | — | |
Futures contracts | | | | — | | | | | 3,691 | |
Written option contracts | | | | — | | | | | 88,594 | |
| | |
Swap agreements | | | | — | | | | | — | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | 24,625 | | | | | 92,285 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | — | | | | | (3,691 | ) |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | 24,625 | | | | $ | 88,594 | |
| | | | | | | | | | |
20
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 |
| | | | | |
Goldman Sachs | | | $ | 24,625 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 24,625 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 24,625 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 24,625 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 88,594 | | | | $ | — | | | | $ | — | | | | $ | (88,594 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 88,594 | | | | $ | — | | | | $ | — | | | | $ | (88,594 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. 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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
21
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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.
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. These procedures include the Fund’s use of 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, 2021 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 | | | $ | — | | | | $ | 11,369,780 | | | | $ | — | | | | $ | 11,369,780 | |
Collateralized Mortgage Obligations | | | | — | | | | | 24,894,711 | | | | | — | | | | | 24,894,711 | |
Corporate Bonds+ | | | | — | | | | | 53,548,761 | | | | | — | | | | | 53,548,761 | |
Foreign Bond+ | | | | — | | | | | 2,913,242 | | | | | — | | | | | 2,913,242 | |
Yankee Debt Obligations+ | | | | — | | | | | 20,623,007 | | | | | — | | | | | 20,623,007 | |
Municipal Bonds | | | | — | | | | | 1,902,718 | | | | | — | | | | | 1,902,718 | |
U.S. Government Agency Mortgages | | | | — | | | | | 88,942,584 | | | | | — | | | | | 88,942,584 | |
U.S. Treasury Obligations | | | | — | | | | | 131,447,220 | | | | | — | | | | | 131,447,220 | |
Purchased Options | | | | — | | | | | 78,750 | | | | | — | | | | | 78,750 | |
Purchased Swaption | | | | — | | | | | 30,593 | | | | | — | | | | | 30,593 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 500,940 | | | | | — | | | | | — | | | | | 500,940 | |
Unaffiliated Investment Company | | | | 4,575,684 | | | | | — | | | | | — | | | | | 4,575,684 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 5,076,624 | | | | | 335,751,366 | | | | | — | | | | | 340,827,990 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Written Options | | | | — | | | | | (88,594 | ) | | | | — | | | | | (88,594 | ) |
Futures Contracts | | | | 5,550 | | | | | — | | | | | — | | | | | 5,550 | |
Forward Currency Contracts | | | | — | | | | | 24,625 | | | | | — | | | | | 24,625 | |
Interest Rate Swaps | | | | — | | | | | (212,985 | ) | | | | — | | | | | (212,985 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 5,082,174 | | | | $ | 335,474,412 | | | | $ | — | | | | $ | 340,556,586 | |
| | | | | | | | | | | | | | | | | | | | |
22
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
| + | 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, 2021, 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 | | | $ | 689,061,376 | | | | $ | 704,784,500 | |
For the year ended December 31, 2021, purchases and sales of long-term U.S. government securities were as follows:
| | | | | | | | | | |
| | | Purchases | | Sales |
| | |
AZL MetWest Total Return Bond Fund | | | $ | 633,069,168 | | | | $ | 651,174,237 | |
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business
23
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $336,750,783. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 5,641,857 | |
Unrealized (depreciation) | | | (1,866,229 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 3,775,628 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MetWest Total Return Bond Fund | | | $ | 15,196,680 | | | | $ | 4,441,856 | | | | $ | 19,638,536 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 2,625,945 | | | | $ | 156,447 | | | | $ | — | | | | $ | 4,006,181 | | | | $ | 6,788,573 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, straddles and other miscellaneous differences. |
24
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
December 31, 2021
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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 75% of the Fund. Investment activities of the shareholder 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.
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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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
26
Other Federal Income Tax Information (Unaudited)
During the year ended December 31, 2021, the Fund declared net short-term capital gain distributions of $10,870,375.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $4,441,856.
27
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
29
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
30
Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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.
31
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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019-2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
32
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions Held with AIM Complex | | Term of Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
33
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® Mid Cap Index Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® Mid Cap Index Fund (Class 2 Shares) (the “Fund”) returned 23.66%. That compared to a 24.76% return for its benchmark, the S&P MidCap 400® Index.1
The Fund seeks investment results, before fees and expenses, that correspond to the performance of the S&P MidCap 400® Index (the “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 mid-cap stock performance. It is an unmanaged, market capitalization-weighted index composed of mid-capitalization U.S. equities.
In the first quarter of 2021, favorable conditions carried over from the strong end of 2020. The Federal Reserve’s (the Fed) accommodative policies, along with a new $1.9 trillion stimulus package and the start of the vaccine rollout in the U.S., supported investor optimism for strong economic growth in the first quarter. All sectors within the S&P 500® Index2 posted positive returns over the first three months of 2021. The energy sector posted the strongest return for the quarter, supported by a rally in oil prices due to a surge in demand paired with unchanged production levels, along with oil transport concerns due to the temporary blockage of the Suez Canal. The financial sector was another top performer due to positive market conditions. By comparison, the information technology and consumer staples sectors lagged their peers within the U.S. market, albeit still posting positive returns, after posting strong gains in 2020.
During the second quarter, U.S. equity markets rallied as the vaccination campaign continued to accelerate and economic indicators continued to improve. The U.S. Consumer Price Index (CPI) increased by more than 4% year-over-year in April. But growing concerns about inflation were offset by the Fed’s commitment to maintain its accommodative monetary policies and the prospect of a bipartisan $1 trillion agreement for infrastructure that passed the Senate in May.
In the third quarter, strong economic data and corporate earnings reports helped push U.S. equities higher despite a resurgence in COVID-19 cases due to the arrival of the Delta variant in the U.S. However, concerns regarding potential contagion from the unfolding debt crisis at Chinese property developer Evergrande muted U.S. equity markets late in the quarter. Rising inflation and supply
chain issues also weighed on market sentiment, as did the continuing disagreement in Washington regarding the debt ceiling and the infrastructure bill.
In the fourth quarter, the boost to investor sentiment from a strong earnings season was offset by a new, more transmissible COVID-19 variant (Omicron) and ongoing concerns about higher inflation rates. Markets recovered to post strong returns for the quarter after initial data showed existing vaccines remained effective against the Omicron variant, and the Fed clarified its plan to begin tightening its monetary policy in 2022. The falling unemployment rate and the final passage of the bipartisan infrastructure bill further supported the market performance over the quarter.
All sectors within the Index posted positive returns for the year. The energy sector was the top performer, followed by the financials and materials sectors. The consumer staples, communication services, and health care sectors lagged their peers.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and we keep cash to fully cover all outstanding futures positions. The Fund’s use of futures contracts provides immediate market exposure proportionate to cash accruals and investable cash within the portfolio. Skillful cash management and cash equitization are critical to minimizing the potential impact of cash drag and ensure tight tracking to the 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | 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. |
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 benchmarks and represents the reinvestment of dividends and capital gains in the Fund.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Annual Total Returns as of December 31, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | 10
Years | | Since
Inception |
AZL® Mid Cap Index Fund (Class 1 Shares) | | | | 10/14/2016 | | | | | 24.03 | % | | | | 21.35 | % | | | | 13.04 | % | | | | — | | | | | 14.35 | % |
AZL® Mid Cap Index Fund (Class 2 Shares) | | | | 5/1/2009 | | | | | 23.66 | % | | | | 21.06 | % | | | | 12.75 | % | | | | 13.67 | % | | | | 14.79 | % |
S&P MidCap 400 Index | | | | 5/1/2009 | | | | | 24.76 | % | | | | 21.41 | % | | | | 13.09 | % | | | | 14.20 | % | | | | 15.45 | % |
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) | | | | 0.33 | % |
AZL® Mid Cap Index Fund (Class 2 Shares) | | | | 0.58 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 a 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Mid Cap Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,058.80 | | | | $ | 1.82 | | | | | 0.35 | % |
| | | | |
AZL Mid Cap Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,056.60 | | | | $ | 3.11 | | | | | 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Mid Cap Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,023.44 | | | | $ | 1.79 | | | | | 0.35 | % |
| | | | |
AZL Mid Cap Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.18 | | | | $ | 3.06 | | | | | 0.60 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 19.0 | % |
| |
Consumer Discretionary | | | | 15.4 | |
| |
Information Technology | | | | 14.5 | |
| |
Financials | | | | 13.5 | |
| |
Real Estate | | | | 10.3 | |
| |
Health Care | | | | 9.9 | |
| |
Materials | | | | 6.6 | |
| |
Utilities | | | | 3.4 | |
| |
Consumer Staples | | | | 3.4 | |
| |
Energy | | | | 2.1 | |
| |
Communication Services | | | | 1.5 | |
| | | | | |
| |
Total Common Stocks | | | | 99.6 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.8 | |
| |
Unaffiliated Investment Company | | | | 0.4 | |
| | | | | |
| |
Total Investment Securities | | | | 100.8 | |
| |
Net other assets (liabilities) | | | | (0.8 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.6%): | | | |
| Aerospace & Defense (0.9%): | | | |
| | 30,956 | | | Axon Enterprise, Inc.* | | $ | 4,860,092 | |
| | 18,495 | | | Curtiss-Wright Corp. | | | 2,564,702 | |
| | 39,811 | | | Hexcel Corp.* | | | 2,062,210 | |
| | 26,872 | | | Mercury Systems, Inc.* | | | 1,479,572 | |
| | | | | | | | |
| | | | | | | 10,966,576 | |
| | | | | | | | |
| Air Freight & Logistics (0.7%): | | | |
| | 46,471 | | | GXO Logistics, Inc.* | | | 4,220,961 | |
| | 46,499 | | | XPO Logistics, Inc.* | | | 3,600,417 | |
| | | | | | | | |
| | | | | | | 7,821,378 | |
| | | | | | | | |
| Airlines (0.2%): | | | |
| | 150,807 | | | JetBlue Airways Corp.* | | | 2,147,492 | |
| | | | | | | | |
| Auto Components (1.8%): | | | |
| | 44,698 | | | Adient plc* | | | 2,140,140 | |
| | 67,758 | | | Dana, Inc. | | | 1,546,238 | |
| | 19,845 | | | Fox Factory Holding Corp.* | | | 3,375,634 | |
| | 111,486 | | | Gentex Corp. | | | 3,885,287 | |
| | 132,753 | | | Goodyear Tire & Rubber Co. (The)* | | | 2,830,294 | |
| | 28,100 | | | Lear Corp. | | | 5,140,895 | |
| | 13,372 | | | Visteon Corp.* | | | 1,486,164 | |
| | | | | | | | |
| | | | | | | 20,404,652 | |
| | | | | | | | |
| Automobiles (0.5%): | | | |
| | 72,673 | | | Harley-Davidson, Inc. | | | 2,739,045 | |
| | 26,174 | | | Thor Industries, Inc. | | | 2,716,076 | |
| | | | | | | | |
| | | | | | | 5,455,121 | |
| | | | | | | | |
| Banks (6.3%): | | | |
| | 69,866 | | | Associated Banc-Corp. | | | 1,578,273 | |
| | 19,295 | | | Bank of Hawaii Corp. | | | 1,616,149 | |
| | 56,844 | | | Bank OZK | | | 2,644,951 | |
| | 89,908 | | | Cadence Bank | | | 2,678,359 | |
| | 35,677 | | | Cathay General Bancorp | | | 1,533,754 | |
| | 46,965 | | | CIT Group, Inc. | | | 2,411,183 | |
| | 52,568 | | | Commerce Bancshares, Inc. | | | 3,613,524 | |
| | 26,728 | | | Cullen/Frost Bankers, Inc. | | | 3,369,599 | |
| | 66,887 | | | East West Bancorp, Inc. | | | 5,262,669 | |
| | 151,901 | | | F.N.B. Corp. | | | 1,842,559 | |
| | 60,449 | | | First Financial Bankshares, Inc. | | | 3,073,227 | |
| | 254,198 | | | First Horizon Corp. | | | 4,151,053 | |
| | 76,084 | | | Fulton Financial Corp. | | | 1,293,428 | |
| | 51,145 | | | Glacier Bancorp, Inc. | | | 2,899,922 | |
| | 41,215 | | | Hancock Whitney Corp. | | | 2,061,574 | |
| | 71,831 | | | Home Bancshares, Inc. | | | 1,749,085 | |
| | 24,726 | | | International Bancshares Corp. | | | 1,048,135 | |
| | 55,447 | | | PacWest Bancorp | | | 2,504,541 | |
| | 35,886 | | | Pinnacle Financial Partners, Inc. | | | 3,427,113 | |
| | 43,357 | | | Prosperity Bancshares, Inc. | | | 3,134,711 | |
| | 91,292 | | | Sterling Bancorp | | | 2,354,421 | |
| | 69,049 | | | Synovus Financial Corp. | | | 3,305,376 | |
| | 23,722 | | | Texas Capital Bancshares, Inc.* | | | 1,429,251 | |
| | 20,402 | | | UMB Financial Corp. | | | 2,164,856 | |
| | 100,962 | | | Umpqua Holdings Corp. | | | 1,942,509 | |
| | 64,576 | | | United Bankshares, Inc. | | | 2,342,817 | |
| | 192,206 | | | Valley National Bancorp | | | 2,642,833 | |
| | 42,904 | | | Webster Financial Corp. | | | 2,395,760 | |
| | 26,995 | | | Wintrust Financial Corp. | | | 2,451,686 | |
| | | | | | | | |
| | | | | | | 72,923,318 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages (0.2%): | | | |
| | 4,445 | | | Boston Beer Co., Inc. (The), Class A* | | $ | 2,245,169 | |
| | | | | | | | |
| Biotechnology (2.0%): | | | |
| | 49,142 | | | Arrowhead Pharmaceuticals, Inc.* | | | 3,258,115 | |
| | 149,131 | | | Exelixis, Inc.* | | | 2,726,115 | |
| | 65,489 | | | Halozyme Therapeutics, Inc.* | | | 2,633,313 | |
| | 44,715 | | | Neurocrine Biosciences, Inc.* | | | 3,808,376 | |
| | 24,236 | | | Repligen Corp.* | | | 6,418,662 | |
| | 21,228 | | | United Therapeutics Corp.* | | | 4,586,946 | |
| | | | | | | | |
| | | | | | | 23,431,527 | |
| | | | | | | | |
| Building Products (2.3%): | | | |
| | 90,262 | | | Builders FirstSource, Inc.* | | | 7,736,356 | |
| | 15,847 | | | Lennox International, Inc. | | | 5,140,133 | |
| | 47,364 | | | Owens Corning | | | 4,286,442 | |
| | 20,528 | | | Simpson Manufacturing Co., Inc. | | | 2,854,829 | |
| | 54,259 | | | Trex Co., Inc.* | | | 7,326,593 | |
| | | | | | | | |
| | | | | | | 27,344,353 | |
| | | | | | | | |
| Capital Markets (1.8%): | | | |
| | 19,016 | | | Affiliated Managers Group, Inc. | | | 3,128,322 | |
| | 18,255 | | | Evercore, Inc., Class A | | | 2,479,942 | |
| | 45,516 | | | Federated Hermes, Inc., Class B | | | 1,710,491 | |
| | 41,197 | | | Interactive Brokers Group, Inc., Class A | | | 3,271,866 | |
| | 80,412 | | | Janus Henderson Group plc | | | 3,372,479 | |
| | 49,479 | | | SEI Investments Co. | | | 3,015,250 | |
| | 49,378 | | | Stifel Financial Corp. | | | 3,477,199 | |
| | | | | | | | |
| | | | | | | 20,455,549 | |
| | | | | | | | |
| Chemicals (2.7%): | | | |
| | 26,679 | | | Ashland Global Holdings, Inc. | | | 2,872,261 | |
| | 43,233 | | | Avient Corp. | | | 2,418,887 | |
| | 27,075 | | | Cabot Corp. | | | 1,521,615 | |
| | 76,018 | | | Chemours Co. (The) | | | 2,551,164 | |
| | 18,438 | | | Ingevity Corp.* | | | 1,322,005 | |
| | 15,673 | | | Minerals Technologies, Inc. | | | 1,146,480 | |
| | 3,256 | | | NewMarket Corp. | | | 1,115,896 | |
| | 67,992 | | | Olin Corp. | | | 3,910,900 | |
| | 61,141 | | | RPM International, Inc. | | | 6,175,241 | |
| | 19,223 | | | Scotts Miracle-Gro Co. (The) | | | 3,094,903 | |
| | 20,016 | | | Sensient Technologies Corp. | | | 2,002,801 | |
| | 85,301 | | | Valvoline, Inc. | | | 3,180,874 | |
| | | | | | | | |
| | | | | | | 31,313,027 | |
| | | | | | | | |
| Commercial Services & Supplies (1.5%): | | | |
| | 22,676 | | | Brink’s Co. (The) | | | 1,486,865 | |
| | 23,696 | | | Clean Harbors, Inc.* | | | 2,364,150 | |
| | 63,601 | | | IAA, Inc.* | | | 3,219,483 | |
| | 36,018 | | | MillerKnoll, Inc. | | | 1,411,546 | |
| | 17,240 | | | MSA Safety, Inc. | | | 2,602,550 | |
| | 43,433 | | | Stericycle, Inc.* | | | 2,590,344 | |
| | 25,486 | | | Tetra Tech, Inc. | | | 4,327,523 | |
| | | | | | | | |
| | | | | | | 18,002,461 | |
| | | | | | | | |
| Communications Equipment (0.9%): | | | |
| | 73,024 | | | Ciena Corp.* | | | 5,620,657 | |
| | 34,078 | | | Lumentum Holdings, Inc.* | | | 3,604,430 | |
| | 34,954 | | | ViaSat, Inc.* | | | 1,556,851 | |
| | | | | | | | |
| | | | | | | 10,781,938 | |
| | | | | | | | |
See accompanying notes to the financial statements.
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction & Engineering (1.4%): | | | |
| | 67,902 | | | AECOM* | | $ | 5,252,220 | |
| | 13,986 | | | Dycom Industries, Inc.* | | | 1,311,327 | |
| | 25,079 | | | EMCOR Group, Inc. | | | 3,194,814 | |
| | 67,372 | | | Fluor Corp.* | | | 1,668,804 | |
| | 27,081 | | | MasTec, Inc.* | | | 2,499,035 | |
| | 10,035 | | | Valmont Industries, Inc. | | | 2,513,767 | |
| | | | | | | | |
| | | | | | | 16,439,967 | |
| | | | | | | | |
| Construction Materials (0.3%): | | | |
| | 19,171 | | | Eagle Materials, Inc., Class A | | | 3,191,205 | |
| | | | | | | | |
| Consumer Finance (0.6%): | | | |
| | 18,873 | | | FirstCash Holdings, Inc. | | | 1,411,889 | |
| | 75,967 | | | Navient Corp. | | | 1,612,020 | |
| | 26,228 | | | PROG Holdings, Inc.* | | | 1,183,145 | |
| | 138,187 | | | SLM Corp. | | | 2,718,138 | |
| | | | | | | | |
| | | | | | | 6,925,192 | |
| | | | | | | | |
| Containers & Packaging (0.8%): | | | |
| | 31,061 | | | AptarGroup, Inc. | | | 3,804,351 | |
| | 12,388 | | | Greif, Inc., Class A | | | 747,864 | |
| | 39,951 | | | Silgan Holdings, Inc. | | | 1,711,501 | |
| | 46,450 | | | Sonoco Products Co. | | | 2,688,990 | |
| | | | | | | | |
| | | | | | | 8,952,706 | |
| | | | | | | | |
| Diversified Consumer Services (0.9%): | | | |
| | 1,825 | | | Graham Holdings Co., Class B | | | 1,149,440 | |
| | 18,889 | | | Grand Canyon Education, Inc.* | | | 1,618,976 | |
| | 83,073 | | | H&R Block, Inc. | | | 1,957,200 | |
| | 77,690 | | | Service Corp. International | | | 5,515,213 | |
| | | | | | | | |
| | | | | | | 10,240,829 | |
| | | | | | | | |
| Diversified Financial Services (0.5%): | | | |
| | 93,086 | | | Jefferies Financial Group, Inc. | | | 3,611,737 | |
| | 28,278 | | | Voya Financial, Inc. | | | 1,875,114 | |
| | | | | | | | |
| | | | | | | 5,486,851 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.2%): | | | |
| | 62,378 | | | Iridium Communications, Inc.* | | | 2,575,588 | |
| | | | | | | | |
| Electric Utilities (1.0%): | | | |
| | 24,913 | | | ALLETE, Inc. | | | 1,652,978 | |
| | 51,805 | | | Hawaiian Electric Industries, Inc. | | | 2,149,908 | |
| | 23,872 | | | IDACORP, Inc. | | | 2,704,936 | |
| | 94,351 | | | OGE Energy Corp. | | | 3,621,191 | |
| | 40,792 | | | PNM Resources, Inc. | | | 1,860,523 | |
| | | | | | | | |
| | | | | | | 11,989,536 | |
| | | | | | | | |
| Electrical Equipment (2.0%): | | | |
| | 16,462 | | | Acuity Brands, Inc. | | | 3,485,335 | |
| | 19,383 | | | EnerSys | | | 1,532,420 | |
| | 25,646 | | | Hubbell, Inc. | | | 5,341,292 | |
| | 79,340 | | | nVent Electric plc | | | 3,014,920 | |
| | 31,938 | | | Regal-Beloit Corp. | | | 5,435,209 | |
| | 97,570 | | | Sunrun, Inc.* | | | 3,346,651 | |
| | 10,109 | | | Vicor Corp.* | | | 1,283,641 | |
| | | | | | | | |
| | | | | | | 23,439,468 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (3.3%): | | | |
| | 32,819 | | | Arrow Electronics, Inc.* | | | 4,406,607 | |
| | 47,300 | | | Avnet, Inc. | | | 1,950,179 | |
| | 21,478 | | | Belden, Inc. | | | 1,411,749 | |
| | 83,333 | | | Cognex Corp. | | | 6,479,974 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 11,575 | | | Coherent, Inc.* | | $ | 3,085,201 | |
| | 50,028 | | | II-VI, Inc.*^ | | | 3,418,413 | |
| | 67,505 | | | Jabil, Inc. | | | 4,748,977 | |
| | 11,610 | | | Littlelfuse, Inc. | | | 3,653,435 | |
| | 62,044 | | | National Instruments Corp. | | | 2,709,461 | |
| | 19,385 | | | SYNNEX Corp. | | | 2,216,869 | |
| | 63,560 | | | Vishay Intertechnology, Inc. | | | 1,390,057 | |
| | 79,925 | | | Vontier Corp. | | | 2,456,095 | |
| | | | | | | | |
| | | | | | | 37,927,017 | |
| | | | | | | | |
| Energy Equipment & Services (0.4%): | | | |
| | 95,776 | | | ChampionX Corp.* | | | 1,935,633 | |
| | 184,862 | | | NOV, Inc. | | | 2,504,880 | |
| | | | | | | | |
| | | | | | | 4,440,513 | |
| | | | | | | | |
| Entertainment (0.1%): | | | |
| | 21,063 | | | World Wrestling Entertainment, Inc., Class A | | | 1,039,248 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (9.8%): | | | |
| | 65,590 | | | American Campus Communities, Inc. | | | 3,757,651 | |
| | 73,994 | | | Apartment Income REIT Corp. | | | 4,045,252 | |
| | 139,998 | | | Brixmor Property Group, Inc. | | | 3,557,349 | |
| | 48,170 | | | Camden Property Trust | | | 8,607,016 | |
| | 53,648 | | | Corporate Office Properties Trust | | | 1,500,535 | |
| | 70,243 | | | Cousins Properties, Inc. | | | 2,829,388 | |
| | 59,819 | | | Cyrusone, Inc. | | | 5,366,961 | |
| | 82,895 | | | Douglas Emmett, Inc. | | | 2,776,982 | |
| | 19,176 | | | EastGroup Properties, Inc. | | | 4,369,252 | |
| | 35,648 | | | EPR Properties | | | 1,692,924 | |
| | 61,411 | | | First Industrial Realty Trust, Inc. | | | 4,065,408 | |
| | 69,543 | | | Healthcare Realty Trust, Inc. | | | 2,200,340 | |
| | 49,387 | | | Highwoods Properties, Inc. | | | 2,202,166 | |
| | 72,519 | | | Hudson Pacific Properties, Inc. | | | 1,791,944 | |
| | 52,961 | | | JBG SMITH Properties | | | 1,520,510 | |
| | 49,406 | | | Kilroy Realty Corp. | | | 3,283,523 | |
| | 103,538 | | | Kite Realty Group Trust | | | 2,255,058 | |
| | 40,921 | | | Lamar Advertising Co., Class A | | | 4,963,717 | |
| | 38,660 | | | Life Storage, Inc. | | | 5,921,939 | |
| | 281,061 | | | Medical Properties Trust, Inc. | | | 6,641,471 | |
| | 82,776 | | | National Retail Properties, Inc. | | | 3,979,042 | |
| | 38,623 | | | National Storage Affiliates Trust | | | 2,672,712 | |
| | 112,671 | | | Omega Healthcare Investors, Inc. | | | 3,333,935 | |
| | 112,322 | | | Parks Hotels & Resorts, Inc.* | | | 2,120,639 | |
| | 61,322 | | | Pebblebrook Hotel Trust | | | 1,371,773 | |
| | 103,831 | | | Physicians Realty Trust | | | 1,955,138 | |
| | 31,842 | | | PotlatchDeltic Corp. | | | 1,917,525 | |
| | 9,577 | | | PS Business Parks, Inc. | | | 1,763,796 | |
| | 67,473 | | | Rayonier, Inc. | | | 2,723,210 | |
| | 71,402 | | | Rexford Industrial Realty, Inc. | | | 5,791,416 | |
| | 108,453 | | | Sabra Health Care REIT, Inc. | | | 1,468,454 | |
| | 31,334 | | | SL Green Realty Corp. | | | 2,246,648 | |
| | 58,124 | | | Spirit Realty Capital, Inc. | | | 2,800,996 | |
| | 115,670 | | | STORE Capital Corp. | | | 3,979,048 | |
| | 99,382 | | | The Macerich Co. | | | 1,717,321 | |
| | 50,731 | | | Urban Edge Properties | | | 963,889 | |
| | | | | | | | |
| | | | | | | 114,154,928 | |
| | | | | | | | |
| Food & Staples Retailing (1.2%): | | | |
| | 64,482 | | | BJ’s Wholesale Club Holdings, Inc.* | | | 4,318,359 | |
| | 17,488 | | | Casey’s General Stores, Inc. | | | 3,451,257 | |
See accompanying notes to the financial statements.
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food & Staples Retailing, continued | | | |
| | 41,918 | | | Grocery Outlet Holding Corp.*^ | | $ | 1,185,441 | |
| | 72,735 | | | Performance Food Group Co.* | | | 3,337,809 | |
| | 52,067 | | | Sprouts Farmers Market, Inc.* | | | 1,545,349 | |
| | | | | | | | |
| | | | | | | 13,838,215 | |
| | | | | | | | |
| Food Products (1.7%): | | | |
| | 76,267 | | | Darling Ingredients, Inc.* | | | 5,284,540 | |
| | 94,139 | | | Flowers Foods, Inc. | | | 2,585,998 | |
| | 43,903 | | | Hain Celestial Group, Inc. (The)* | | | 1,870,707 | |
| | 31,262 | | | Ingredion, Inc. | | | 3,021,160 | |
| | 9,467 | | | Lancaster Colony Corp. | | | 1,567,735 | |
| | 22,738 | | | Pilgrim’s Pride Corp.* | | | 641,212 | |
| | 27,675 | | | Post Holdings, Inc.* | | | 3,119,803 | |
| | 10,076 | | | Sanderson Farms, Inc. | | | 1,925,322 | |
| | | | | | | | |
| | | | | | | 20,016,477 | |
| | | | | | | | |
| Gas Utilities (1.3%): | | | |
| | 43,079 | | | National Fuel Gas Co. | | | 2,754,471 | |
| | 45,453 | | | New Jersey Resources Corp. | | | 1,866,300 | |
| | 25,418 | | | ONE Gas, Inc. | | | 1,972,183 | |
| | 28,462 | | | Southwest Gas Holdings, Inc. | | | 1,993,763 | |
| | 24,649 | | | Spire, Inc. | | | 1,607,608 | |
| | 98,556 | | | UGI Corp. | | | 4,524,706 | |
| | | | | | | | |
| | | | | | | 14,719,031 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.3%): | | | |
| | 76,060 | | | Envista Holdings Corp.* | | | 3,427,264 | |
| | 37,255 | | | Globus Medical, Inc.* | | | 2,689,811 | |
| | 24,449 | | | Haemonetics Corp.* | | | 1,296,775 | |
| | 9,451 | | | ICU Medical, Inc.* | | | 2,243,100 | |
| | 34,465 | | | Integra LifeSciences Holdings Corp.* | | | 2,308,810 | |
| | 25,247 | | | LivaNova plc* | | | 2,207,345 | |
| | 23,946 | | | Masimo Corp.* | | | 7,010,910 | |
| | 50,937 | | | Neogen Corp.* | | | 2,313,049 | |
| | 24,802 | | | NuVasive, Inc.* | | | 1,301,609 | |
| | 16,552 | | | Penumbra, Inc.* | | | 4,755,721 | |
| | 17,903 | | | Quidel Corp.* | | | 2,416,726 | |
| | 22,480 | | | STAAR Surgical Co.* | | | 2,052,424 | |
| | 29,946 | | | Tandem Diabetes Care, Inc.* | | | 4,507,472 | |
| | | | | | | | |
| | | | | | | 38,531,016 | |
| | | | | | | | |
| Health Care Providers & Services (3.0%): | | | |
| | 42,513 | | | Acadia Healthcare Co., Inc.* | | | 2,580,539 | |
| | 15,440 | | | Amedisys, Inc.* | | | 2,499,427 | |
| | 7,256 | | | Chemed Corp. | | | 3,838,714 | |
| | 46,960 | | | Encompass Health Corp. | | | 3,064,610 | |
| | 39,743 | | | HealthEquity, Inc.* | | | 1,758,230 | |
| | 15,037 | | | LHC Group, Inc.* | | | 2,063,528 | |
| | 27,526 | | | Molina Healthcare, Inc.* | | | 8,755,470 | |
| | 65,899 | | | Option Care Health, Inc.* | | | 1,874,168 | |
| | 40,204 | | | Patterson Cos., Inc. | | | 1,179,987 | |
| | 32,820 | | | Progyny, Inc.* | | | 1,652,487 | |
| | 62,453 | | | R1 RCM, Inc.* | | | 1,591,927 | |
| | 50,493 | | | Tenet Healthcare Corp.* | | | 4,124,773 | |
| | | | | | | | |
| | | | | | | 34,983,860 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (3.0%): | | | |
| | 38,784 | | | Boyd Gaming Corp.* | | | 2,543,067 | |
| | 15,553 | | | Choice Hotels International, Inc. | | | 2,426,112 | |
| | 16,175 | | | Churchill Downs, Inc. | | | 3,896,558 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 11,070 | | | Cracker Barrel Old Country Store, Inc. | | $ | 1,424,045 | |
| | 10,111 | | | Jack in the Box, Inc. | | | 884,510 | |
| | 20,150 | | | Marriott Vacations Worldwide Corp. | | | 3,404,947 | |
| | 15,183 | | | Papa John’s International, Inc. | | | 2,026,475 | |
| | 45,529 | | | Scientific Games Corp., Class A* | | | 3,042,703 | |
| | 36,938 | | | Six Flags Entertainment Corp.* | | | 1,572,820 | |
| | 32,984 | | | Texas Roadhouse, Inc., Class A | | | 2,944,812 | |
| | 40,957 | | | Travel + Leisure Co. | | | 2,263,693 | |
| | 83,155 | | | Wendy’s Co. (The) | | | 1,983,247 | |
| | 14,082 | | | Wingstop, Inc. | | | 2,433,370 | |
| | 44,062 | | | Wyndham Hotels & Resorts, Inc. | | | 3,950,158 | |
| | | | | | | | |
| | | | | | | 34,796,517 | |
| | | | | | | | |
| Household Durables (2.0%): | | | |
| | 11,382 | | | Helen of Troy, Ltd.* | | | 2,782,558 | |
| | 40,397 | | | KB Home | | | 1,806,958 | |
| | 62,866 | | | Leggett & Platt, Inc. | | | 2,587,565 | |
| | 57,468 | | | Taylor Morrison Home Corp., Class A* | | | 2,009,081 | |
| | 90,738 | | | Tempur Sealy International, Inc. | | | 4,267,408 | |
| | 53,631 | | | Toll Brothers, Inc. | | | 3,882,348 | |
| | 15,519 | | | TopBuild Corp.* | | | 4,281,847 | |
| | 51,846 | | | Tri Pointe Homes, Inc.* | | | 1,445,985 | |
| | | | | | | | |
| | | | | | | 23,063,750 | |
| | | | | | | | |
| Household Products (0.1%): | | | |
| | 29,382 | | | Energizer Holdings, Inc. | | | 1,178,218 | |
| | | | | | | | |
| Industrial Conglomerates (0.5%): | | | |
| | 24,644 | | | Carlisle Cos., Inc. | | | 6,114,669 | |
| | | | | | | | |
| Insurance (3.7%): | | | |
| | 6,420 | | | Alleghany Corp.* | | | 4,285,928 | |
| | 31,179 | | | American Financial Group, Inc. | | | 4,281,500 | |
| | 37,622 | | | Brighthouse Financial, Inc.* | | | 1,948,820 | |
| | 58,123 | | | CNO Financial Group, Inc. | | | 1,385,652 | |
| | 51,738 | | | First American Financial Corp. | | | 4,047,464 | |
| | 16,917 | | | Hanover Insurance Group, Inc. (The) | | | 2,217,142 | |
| | 28,520 | | | Kemper Corp. | | | 1,676,691 | |
| | 10,159 | | | Kinsale Capital Group, Inc. | | | 2,416,724 | |
| | 11,963 | | | Mercury General Corp. | | | 634,757 | |
| | 134,577 | | | Old Republic International Corp. | | | 3,307,903 | |
| | 18,639 | | | Primerica, Inc. | | | 2,856,799 | |
| | 32,053 | | | Reinsurance Group of America, Inc. | | | 3,509,483 | |
| | 21,691 | | | RenaissanceRe Holdings, Ltd. | | | 3,672,937 | |
| | 18,870 | | | RLI Corp. | | | 2,115,327 | |
| | 28,452 | | | Selective Insurance Group, Inc. | | | 2,331,357 | |
| | 96,771 | | | Unum Group | | | 2,377,663 | |
| | | | | | | | |
| | | | | | | 43,066,147 | |
| | | | | | | | |
| Interactive Media & Services (0.2%): | | | |
| | 45,826 | | | TripAdvisor, Inc.* | | | 1,249,217 | |
| | 32,263 | | | Yelp, Inc.* | | | 1,169,211 | |
| | | | | | | | |
| | | | | | | 2,418,428 | |
| | | | | | | | |
| IT Services (2.1%): | | | |
| | 23,215 | | | Alliance Data Systems Corp. | | | 1,545,422 | |
| | 20,222 | | | Concentrix Corp. | | | 3,612,054 | |
| | 81,548 | | | Genpact, Ltd. | | | 4,328,568 | |
| | 85,546 | | | Kyndryl Holdings, Inc.* | | | 1,548,383 | |
| | 32,407 | | | LiveRamp Holdings, Inc.* | | | 1,553,916 | |
| | 29,124 | | | MAXIMUS, Inc. | | | 2,320,309 | |
See accompanying notes to the financial statements.
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 155,070 | | | Sabre Corp.* | | $ | 1,332,051 | |
| | 50,902 | | | Teradata Corp.* | | | 2,161,808 | |
| | 189,483 | | | Western Union Co. (The.) | | | 3,380,377 | |
| | 20,901 | | | WEX, Inc.* | | | 2,934,291 | |
| | | | | | | | |
| | | | | | | 24,717,179 | |
| | | | | | | | |
| Leisure Products (1.3%): | | | |
| | 36,504 | | | Brunswick Corp. | | | 3,677,048 | |
| | 55,914 | | | Callaway Golf Co.* | | | 1,534,280 | |
| | 165,130 | | | Mattel, Inc.* | | | 3,560,203 | |
| | 26,886 | | | Polaris, Inc. | | | 2,955,040 | |
| | 41,309 | | | YETI Holdings, Inc.* | | | 3,421,625 | |
| | | | | | | | |
| | | | | | | 15,148,196 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.0%): | | | |
| | 47,892 | | | Bruker Corp. | | | 4,018,618 | |
| | 13,552 | | | Medpace Holdings, Inc.* | | | 2,949,457 | |
| | 48,874 | | | Syneos Health, Inc.* | | | 5,018,382 | |
| | | | | | | | |
| | | | | | | 11,986,457 | |
| | | | | | | | |
| Machinery (5.0%): | | | |
| | 28,841 | | | AGCO Corp. | | | 3,346,133 | |
| | 63,471 | | | Colfax Corp.* | | | 2,917,762 | |
| | 23,591 | | | Crane Co. | | | 2,399,912 | |
| | 58,017 | | | Donaldson Co., Inc. | | | 3,438,087 | |
| | 61,901 | | | Flowserve Corp. | | | 1,894,171 | |
| | 80,112 | | | Graco, Inc. | | | 6,458,630 | |
| | 40,505 | | | ITT, Inc. | | | 4,139,206 | |
| | 39,961 | | | Kennametal, Inc. | | | 1,435,000 | |
| | 27,962 | | | Lincoln Electric Holdings, Inc. | | | 3,899,860 | |
| | 26,219 | | | Middleby Corp. (The)* | | | 5,158,851 | |
| | 25,475 | | | Nordson Corp. | | | 6,503,003 | |
| | 32,351 | | | Oshkosh Corp. | | | 3,646,281 | |
| | 33,338 | | | Terex Corp. | | | 1,465,205 | |
| | 32,377 | | | Timken Co. | | | 2,243,402 | |
| | 50,298 | | | Toro Co. (The) | | | 5,025,273 | |
| | 37,747 | | | Trinity Industries, Inc. | | | 1,139,959 | |
| | 29,676 | | | Woodward, Inc. | | | 3,248,335 | |
| | | | | | | | |
| | | | | | | 58,359,070 | |
| | | | | | | | |
| Marine (0.1%): | | | |
| | 28,630 | | | Kirby Corp.* | | | 1,701,195 | |
| | | | | | | | |
| Media (1.0%): | | | |
| | 2,336 | | | Cable One, Inc. | | | 4,119,419 | |
| | 20,930 | | | John Wiley & Sons, Inc., Class A | | | 1,198,661 | |
| | 78,758 | | | New York Times Co. (The), Class A | | | 3,804,012 | |
| | 104,941 | | | Tegna, Inc. | | | 1,947,705 | |
| | | | | | | | |
| | | | | | | 11,069,797 | |
| | | | | | | | |
| Metals & Mining (2.6%): | | | |
| | 88,189 | | | Alcoa Corp. | | | 5,254,301 | |
| | 214,499 | | | Cleveland-Cliffs, Inc.* | | | 4,669,643 | |
| | 57,284 | | | Commercial Metals Co. | | | 2,078,836 | |
| | 15,881 | | | Compass Minerals International, Inc. | | | 811,202 | |
| | 29,400 | | | Reliance Steel & Aluminum Co. | | | 4,769,268 | |
| | 30,963 | | | Royal Gold, Inc. | | | 3,257,617 | |
| | 88,861 | | | Steel Dynamics, Inc. | | | 5,515,602 | |
| | 127,533 | | | United States Steel Corp. | | | 3,036,561 | |
| | 14,785 | | | Worthington Industries, Inc. | | | 808,148 | |
| | | | | | | | |
| | | | | | | 30,201,178 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Multiline Retail (0.8%): | | | |
| | 70,953 | | | Kohl’s Corp. | | $ | 3,504,369 | |
| | 142,895 | | | Macy’s, Inc. | | | 3,740,991 | |
| | 51,895 | | | Nordstrom, Inc.*^ | | | 1,173,865 | |
| | 28,327 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 1,450,059 | |
| | | | | | | | |
| | | | | | | 9,869,284 | |
| | | | | | | | |
| Multi-Utilities (0.6%): | | | |
| | 30,103 | | | Black Hills Corp. | | | 2,124,369 | |
| | 95,848 | | | MDU Resources Group, Inc. | | | 2,955,952 | |
| | 24,727 | | | NorthWestern Corp. | | | 1,413,395 | |
| | | | | | | | |
| | | | | | | 6,493,716 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (1.7%): | | | |
| | 155,094 | | | Antero Midstream Corp. | | | 1,501,310 | |
| | 99,228 | | | CNX Resources Corp.* | | | 1,364,385 | |
| | 45,934 | | | DT Midstream, Inc. | | | 2,203,913 | |
| | 142,713 | | | EQT Corp.* | | | 3,112,571 | |
| | 193,218 | | | Equitrans Midstream Corp. | | | 1,997,874 | |
| | 70,809 | | | HollyFrontier Corp. | | | 2,321,119 | |
| | 69,008 | | | Murphy Oil Corp. | | | 1,801,799 | |
| | 107,924 | | | Targa Resources Corp. | | | 5,637,950 | |
| | | | | | | | |
| | | | | | | 19,940,921 | |
| | | | | | | | |
| Paper & Forest Products (0.3%): | | | |
| | 41,473 | | | Louisiana-Pacific Corp. | | | 3,249,410 | |
| | | | | | | | |
| Personal Products (0.2%): | | | |
| | 159,517 | | | Coty, Inc., Class A* | | | 1,674,929 | |
| | 23,391 | | | Nu Skin Enterprises, Inc., Class A | | | 1,187,093 | |
| | | | | | | | |
| | | | | | | 2,862,022 | |
| | | | | | | | |
| Pharmaceuticals (0.5%): | | | |
| | 28,973 | | | Jazz Pharmaceuticals plc* | | | 3,691,160 | |
| | 63,320 | | | Perrigo Co. plc | | | 2,463,148 | |
| | | | | | | | |
| | | | | | | 6,154,308 | |
| | | | | | | | |
| Professional Services (1.6%): | | | |
| | 24,405 | | | ASGN, Inc.* | | | 3,011,577 | |
| | 10,988 | | | CACI International, Inc., Class A* | | | 2,958,080 | |
| | 16,230 | | | FTI Consulting, Inc.* | | | 2,490,007 | |
| | 17,054 | | | Insperity, Inc. | | | 2,014,248 | |
| | 66,421 | | | KBR, Inc. | | | 3,162,968 | |
| | 25,662 | | | ManpowerGroup, Inc. | | | 2,497,682 | |
| | 27,041 | | | Science Applications International Corp. | | | 2,260,357 | |
| | | | | | | | |
| | | | | | | 18,394,919 | |
| | | | | | | | |
| Real Estate Management & Development (0.6%): | | | |
| | 23,789 | | | Jones Lang LaSalle, Inc.* | | | 6,407,329 | |
| | | | | | | | |
| Road & Rail (1.7%): | | | |
| | 18,890 | | | Avis Budget Group, Inc.* | | | 3,917,219 | |
| | 78,222 | | | Knight-Swift Transportation Holdings, Inc. | | | 4,766,849 | |
| | 18,051 | | | Landstar System, Inc. | | | 3,231,490 | |
| | 25,512 | | | Ryder System, Inc. | | | 2,102,954 | |
| | 12,414 | | | Saia, Inc.* | | | 4,183,891 | |
| | 28,117 | | | Werner Enterprises, Inc. | | | 1,340,056 | |
| | | | | | | | |
| | | | | | | 19,542,459 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (4.3%): | | | |
| | 46,649 | | | Amkor Technology, Inc. | | | 1,156,429 | |
| | 35,043 | | | Azenta, Inc. | | | 3,613,284 | |
| | 26,873 | | | Cirrus Logic, Inc.* | | | 2,472,853 | |
| | 13,398 | | | CMC Materials, Inc. | | | 2,568,263 | |
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 46,608 | | | First Solar, Inc.* | | $ | 4,062,353 | |
| | 64,546 | | | Lattice Semiconductor Corp.* | | | 4,973,915 | |
| | 26,140 | | | MKS Instruments, Inc. | | | 4,552,804 | |
| | 28,437 | | | Power Integrations, Inc. | | | 2,641,513 | |
| | 30,292 | | | Semtech Corp.* | | | 2,693,867 | |
| | 18,950 | | | Silicon Laboratories, Inc.* | | | 3,911,659 | |
| | 7,064 | | | SiTime Corp.* | | | 2,066,503 | |
| | 38,325 | | | SunPower Corp.*^ | | | 799,843 | |
| | 18,510 | | | Synaptics, Inc.* | | | 5,358,830 | |
| | 20,443 | | | Universal Display Corp. | | | 3,373,708 | |
| | 54,624 | | | Wolfspeed, Inc.* | | | 6,105,324 | |
| | | | | | | | |
| | | | | | | 50,351,148 | |
| | | | | | | | |
| Software (3.5%): | | | |
| | 55,414 | | | ACI Worldwide, Inc.* | | | 1,922,866 | |
| | 31,458 | | | Aspen Technology, Inc.* | | | 4,787,908 | |
| | 19,614 | | | Blackbaud, Inc.* | | | 1,549,114 | |
| | 55,776 | | | CDK Global, Inc. | | | 2,328,090 | |
| | 17,794 | | | Cerence, Inc.* | | | 1,363,732 | |
| | 21,402 | | | CommVault Systems, Inc.* | | | 1,475,026 | |
| | 41,445 | | | Digital Turbine, Inc.* | | | 2,527,730 | |
| | 18,183 | | | Envestnet, Inc.* | | | 1,442,639 | |
| | 12,895 | | | Fair Isaac Corp.* | | | 5,592,175 | |
| | 22,802 | | | J2 Global, Inc.* | | | 2,527,830 | |
| | 29,827 | | | Manhattan Associates, Inc.* | | | 4,637,800 | |
| | 29,104 | | | Mimecast, Ltd.* | | | 2,315,805 | |
| | 18,674 | | | Paylocity Holding Corp.* | | | 4,410,052 | |
| | 15,878 | | | Qualys, Inc.* | | | 2,178,779 | |
| | 44,064 | | | Sailpoint Technologies Holdings, Inc.* | | | 2,130,054 | |
| | | | | | | | |
| | | | | | | 41,189,600 | |
| | | | | | | | |
| Specialty Retail (3.3%): | | | |
| | 72,630 | | | American Eagle Outfitters, Inc. | | | 1,838,992 | |
| | 18,843 | | | AutoNation, Inc.* | | | 2,201,805 | |
| | 30,576 | | | Dick’s Sporting Goods, Inc. | | | 3,515,934 | |
| | 26,405 | | | Five Below, Inc.* | | | 5,462,930 | |
| | 42,823 | | | Foot Locker, Inc. | | | 1,868,368 | |
| | 29,030 | | | GameStop Corp., Class A*^ | | | 4,307,762 | |
| | 14,272 | | | Lithia Motors, Inc. | | | 4,238,070 | |
| | 11,094 | | | Murphy U.S.A., Inc. | | | 2,210,369 | |
| | 8,176 | | | RH* | | | 4,381,845 | |
| | 30,304 | | | Urban Outfitters, Inc.* | | | 889,725 | |
| | 34,150 | | | Victoria’s Secret & Co.* | | | 1,896,691 | |
| | 35,048 | | | Williams-Sonoma, Inc. | | | 5,927,668 | |
| | | | | | | | |
| | | | | | | 38,740,159 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.3%): | | | |
| | 62,217 | | | NCR Corp.* | | | 2,501,123 | |
| | 65,761 | | | Xerox Holdings Corp. | | | 1,488,829 | |
| | | | | | | | |
| | | | | | | 3,989,952 | |
| | | | | | | | |
| | | | | | | | |
Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods (1.9%): | | | |
| | 70,924 | | | Capri Holdings, Ltd.* | | $ | 4,603,677 | |
| | 19,922 | | | Carter’s, Inc. | | | 2,016,505 | |
| | 16,312 | | | Columbia Sportswear Co. | | | 1,589,441 | |
| | 27,737 | | | Crocs, Inc.* | | | 3,556,438 | |
| | 12,996 | | | Deckers Outdoor Corp.* | | | 4,760,565 | |
| | 164,595 | | | Hanesbrands, Inc. | | | 2,752,028 | |
| | 63,725 | | | Skechers U.S.A., Inc., Class A* | | | 2,765,665 | |
| | | | | | | | |
| | | | | | | 22,044,319 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.7%): | | | |
| | 51,427 | | | Essent Group, Ltd. | | | 2,341,471 | |
| | 153,461 | | | MGIC Investment Corp. | | | 2,212,908 | |
| | 219,857 | | | New York Community Bancorp, Inc. | | | 2,684,454 | |
| | 30,706 | | | Washington Federal, Inc. | | | 1,024,966 | |
| | | | | | | | |
| | | | | | | 8,263,799 | |
| | | | | | | | |
| Trading Companies & Distributors (0.9%): | | | |
| | 16,895 | | | GATX Corp. | | | 1,760,290 | |
| | 22,326 | | | MSC Industrial Direct Co., Inc., Class A | | | 1,876,723 | |
| | 80,994 | | | Univar Solutions, Inc.* | | | 2,296,180 | |
| | 15,567 | | | Watsco, Inc. | | | 4,870,603 | |
| | | | | | | | |
| | | | | | | 10,803,796 | |
| | | | | | | | |
| Water Utilities (0.5%): | | | |
| | 108,407 | | | Essential Utilities, Inc. | | | 5,820,372 | |
| | | | | | | | |
| | Total Common Stocks (Cost $774,545,401) | | | 1,160,122,522 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.8%): | |
| | 9,132,721 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(a)(b) | | | 9,132,721 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $9,132,721) | | | 9,132,721 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.4%): | | | |
| Money Markets (0.4%): | | | |
| | 5,170,698 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 5,170,698 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $5,170,698) | | | 5,170,698 | |
| | | | | |
| | Total Investment Securities (Cost $788,848,820) — 100.8%(c) | | | 1,174,425,941 | |
| | Net other assets (liabilities) — (0.8)% | | | (9,144,690 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,165,281,251 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $8,719,270. |
| (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, 2021. |
| (b) | The rate represents the effective yield at December 31, 2021. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
8
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
December 31, 2021
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 22 | | | $ | 6,242,940 | | | $ | 202,067 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 202,067 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
9
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 788,848,820 | |
| | | | | |
Investment securities, at value(a) | | | $ | 1,174,425,941 | |
Cash | | | | 7,390 | |
Deposit at broker for futures contracts collateral | | | | 300,000 | |
Interest and dividends receivable | | | | 1,075,515 | |
Receivable for investments sold | | | | 41,000 | |
Receivable for variation margin on futures contracts | | | | 4,243 | |
Reclaims receivable | | | | 2,114 | |
Prepaid expenses | | | | 5,983 | |
| | | | | |
Total Assets | | | | 1,175,862,186 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 693,928 | |
Payable for collateral received on loaned securities | | | | 9,132,721 | |
Manager fees payable | | | | 244,208 | |
Administration fees payable | | | | 176,133 | |
Distribution fees payable | | | | 232,181 | |
Custodian fees payable | | | | 7,147 | |
Administrative and compliance services fees payable | | | | 2,126 | |
Transfer agent fees payable | | | | 2,317 | |
Trustee fees payable | | | | 11,943 | |
Other accrued liabilities | | | | 78,231 | |
| | | | | |
Total Liabilities | | | | 10,580,935 | |
| | | | | |
Net Assets | | | $ | 1,165,281,251 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 590,594,259 | |
Total distributable earnings | | | | 574,686,992 | |
| | | | | |
Net Assets | | | $ | 1,165,281,251 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 58,069,654 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 6,562,722 | |
Net Asset Value (offering and redemption price per share) | | | $ | 8.85 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 1,107,211,597 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 39,187,706 | |
Net Asset Value (offering and redemption price per share) | | | $ | 28.25 | |
| | | | | |
| (a) | Includes securities on loan of $8,719,270. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 15,598,687 | |
Income from securities lending | | | | 19,337 | |
Foreign withholding tax | | | | (2,158 | ) |
| | | | | |
Total Investment Income | | | | 15,615,866 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 2,940,272 | |
Administration fees | | | | 405,707 | |
Distribution fees — Class 2 | | | | 2,797,409 | |
Custodian fees | | | | 39,011 | |
Administrative and compliance services fees | | | | 13,633 | |
Transfer agent fees | | | | 10,295 | |
Trustee fees | | | | 57,418 | |
Professional fees | | | | 52,181 | |
Licensing fees | | | | 212,650 | |
Shareholder reports | | | | 35,150 | |
Other expenses | | | | 21,528 | |
| | | | | |
Total expenses | | | | 6,585,254 | |
| | | | | |
Net Investment Income/(Loss) | | | | 9,030,612 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 195,119,202 | |
Net realized gains/(losses) on futures contracts | | | | 1,749,393 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 40,684,904 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 64,726 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 237,618,225 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 246,648,837 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 9,030,612 | | | | $ | 9,833,998 | |
Net realized gains/(losses) on investments | | | | 196,868,595 | | | | | 41,516,272 | |
Change in unrealized appreciation/depreciation on investments | | | | 40,749,630 | | | | | 87,139,882 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 246,648,837 | | | | | 138,490,152 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (8,374,201 | ) | | | | (5,274,542 | ) |
Class 2 | | | | (56,973,657 | ) | | | | (40,133,618 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (65,347,858 | ) | | | | (45,408,160 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 101,292 | | | | | 71,084 | |
Proceeds from dividends reinvested | | | | 8,374,200 | | | | | 5,274,542 | |
Value of shares redeemed | | | | (5,965,875 | ) | | | | (4,609,084 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 2,509,617 | | | | | 736,542 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 122,905,502 | | | | | 115,634,844 | |
Proceeds from dividends reinvested | | | | 56,973,658 | | | | | 40,133,618 | |
Value of shares redeemed | | | | (302,432,797 | ) | | | | (345,716,996 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (122,553,637 | ) | | | | (189,948,534 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (120,044,020 | ) | | | | (189,211,992 | ) |
| | | | | | | | | | |
Change in net assets | | | | 61,256,959 | | | | | (96,130,000 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,104,024,292 | | | | | 1,200,154,292 | |
| | | | | | | | | | |
End of period | | | $ | 1,165,281,251 | | | | $ | 1,104,024,292 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 11,257 | | | | | 10,141 | |
Dividends reinvested | | | | 1,011,377 | | | | | 739,767 | |
Shares redeemed | | | | (636,312 | ) | | | | (623,382 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 386,322 | | | | | 126,526 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 4,407,636 | | | | | 7,410,063 | |
Dividends reinvested | | | | 2,153,199 | | | | | 1,963,485 | |
Shares redeemed | | | | (11,112,033 | ) | | | | (18,128,902 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (4,551,198 | ) | | | | (8,755,354 | ) |
| | | | | | | | | | |
Change in shares | | | | (4,164,876 | ) | | | | (8,628,828 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 8.40 | | | | $ | 8.28 | | | | $ | 8.16 | | | | $ | 11.25 | | | | $ | 10.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.09 | (a) | | | | 0.09 | (a) | | | | 0.12 | (a) | | | | 0.15 | | | | | 0.25 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.83 | | | | | 0.97 | | | | | 1.79 | | | | | (1.13 | ) | | | | 1.41 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.92 | | | | | 1.06 | | | | | 1.91 | | | | | (0.98 | ) | | | | 1.66 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.26 | ) | | | | (0.31 | ) | | | | (0.30 | ) | | | | (0.28 | ) | | | | (0.12 | ) |
Net Realized Gains | | | | (1.21 | ) | | | | (0.63 | ) | | | | (1.49 | ) | | | | (1.83 | ) | | | | (1.19 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.47 | ) | | | | (0.94 | ) | | | | (1.79 | ) | | | | (2.11 | ) | | | | (1.31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.85 | | | | $ | 8.40 | | | | $ | 8.28 | | | | $ | 8.16 | | | | $ | 11.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 24.03 | % | | | | 14.82 | % | | | | 25.47 | % | | | | (11.01 | )% | | | | 16.08 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 58,070 | | | | $ | 51,879 | | | | $ | 50,096 | | | | $ | 44,788 | | | | $ | 55,764 | |
Net Investment Income/(Loss) | | | | 1.01 | % | | | | 1.21 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.27 | % |
Expenses Before Reductions(c) | | | | 0.32 | % | | | | 0.33 | % | | | | 0.32 | % | | | | 0.31 | % | | | | 0.31 | % |
Expenses Net of Reductions | | | | 0.32 | % | | | | 0.33 | % | | | | 0.32 | % | | | | 0.31 | % | | | | 0.31 | % |
Portfolio Turnover Rate(d) | | | | 30 | % | | | | 22 | % | | | | 14 | % | | | | 18 | % | | | | 21 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 24.06 | | | | $ | 21.91 | | | | $ | 19.00 | | | | $ | 23.45 | | | | $ | 21.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.21 | (a) | | | | 0.19 | (a) | | | | 0.23 | (a) | | | | 0.25 | | | | | 0.24 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 5.39 | | | | | 2.84 | | | | | 4.41 | | | | | (2.65 | ) | | | | 3.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 5.60 | | | | | 3.03 | | | | | 4.64 | | | | | (2.40 | ) | | | | 3.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.20 | ) | | | | (0.25 | ) | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.11 | ) |
Net Realized Gains | | | | (1.21 | ) | | | | (0.63 | ) | | | | (1.49 | ) | | | | (1.83 | ) | | | | (1.19 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.41 | ) | | | | (0.88 | ) | | | | (1.73 | ) | | | | (2.05 | ) | | | | (1.30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 28.25 | | | | $ | 24.06 | | | | $ | 21.91 | | | | $ | 19.00 | | | | $ | 23.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 23.66 | % | | | | 14.53 | % | | | | 25.28 | % | | | | (11.35 | )% | | | | 15.80 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,107,212 | | | | $ | 1,052,145 | | | | $ | 1,150,058 | | | | $ | 1,020,140 | | | | $ | 1,208,935 | |
Net Investment Income/(Loss) | | | | 0.76 | % | | | | 0.96 | % | | | | 1.06 | % | | | | 1.08 | % | | | | 1.02 | % |
Expenses Before Reductions(c) | | | | 0.57 | % | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % |
Expenses Net of Reductions | | | | 0.57 | % | | | | 0.58 | % | | | | 0.57 | % | | | | 0.56 | % | | | | 0.56 | % |
Portfolio Turnover Rate(d) | | | | 30 | % | | | | 22 | % | | | | 14 | % | | | | 18 | % | | | | 21 | % |
| (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.
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2021
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 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.
13
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $1,894 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $9,132,721 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $7.9 million. There was no short contract activity during the period. 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, 2021
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | | |
Equity Risk | | | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 202,067 | | | 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, 2021:
| | | | | | | | | | |
| 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 | | $ | 1,749,393 | | | $ | 64,726 | |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such 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, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
| | | | |
Common Stocks+ | | | $ | 1,160,122,522 | | | | $ | — | | | | $ | — | | | | $ | 1,160,122,522 | |
| | | | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 9,132,721 | | | | | — | | | | | — | | | | | 9,132,721 | |
| | | | |
Unaffiliated Investment Company | | | | 5,170,698 | | | | | — | | | | | — | | | | | 5,170,698 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,174,425,941 | | | | | — | | | | | — | | | | | 1,174,425,941 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 202,067 | | | | | — | | | | | — | | | | | 202,067 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,174,628,008 | | | | $ | — | | | | $ | — | | | | $ | 1,174,628,008 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 346,143,464 | | | | $ | 512,738,564 | |
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.
16
AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $804,266,330. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 389,453,927 | |
Unrealized (depreciation) | | | (19,294,316 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 370,159,611 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Mid Cap Index Fund | | | $ | 17,708,187 | | | | $ | 47,639,671 | | | | $ | 65,347,858 | |
| (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, 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. |
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AZL Mid Cap Index Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 31,567,536 | | | | $ | 172,959,809 | | | | $ | — | | | | $ | 370,159,647 | | | | $ | 574,686,992 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was 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, 2021, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 40% of the Fund. Investment activities of the shareholder 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.
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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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 70.04% 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, 2021, the Fund declared net short-term capital gain distributions of $8,143,716.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $47,639,671.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
22
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
23
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust ("ETF Trust") (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
25
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® Moderate Index Strategy Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® Moderate Index Strategy Fund (the “Fund”) returned 12.06%. That compared to a 28.71%, (1.54)% and a 15.96% total return for its benchmarks, the S&P 500® Index, the Bloomberg U.S. Aggregate Bond Index, and the Moderate Composite Index, respectively.1
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 (U.S. large cap stocks), the S&P MidCap 400 Index2, the S&P SmallCap 600 Index3 and the MSCI EAFE Index4. The fixed-income sub-portfolio is an enhanced bond index strategy that seeks to achieve a return that exceeds that of the Bloomberg U.S. Aggregate Bond Index. Generally, the Fund allocates 50% to 70% of its assets to the underlying equity index funds and 30% to 50% of its assets to the underlying AZL Enhanced Bond Index Fund.
U.S. equities began 2021 with positive momentum. Large cap stocks generally moved higher as corporate earnings rose and the number of COVID-19 cases declined. Fiscal and monetary stimulus provided liquidity for consumers to spend, and as businesses reopened and consumer confidence rose, the U.S equity market continued to rally. However, these conditions would later lead to inflationary pressures. Excess demand for goods and an escalation of input costs led to increased inflation levels unseen since the early 1980s. Despite high inflation, the U.S. stock market continued to gain throughout most of the year and the U.S. economy ended 2021 stronger than it was at the beginning of the year.
International developed market equities, as measured by the MSCI EAFE Index, returned 11.78% for the year. The COVID-19 pandemic led some countries to shut down their economies to combat the spread of the virus. The move led to diminished consumption, interrupted industrial production, and reduced exports of goods. Central banks provided stimulus throughout the year, and some felt their economies were strong enough to start scaling back economic support as economic activity improved. Hong Kong stocks detracted from developed market returns as a tight regulatory crackdown on companies listed on the Hang Seng Exchange, particularly in sectors such as e-commerce, video gaming, and real estate, weighed heavily on equity prices.
U.S. bonds suffered during the year and the Bloomberg U.S. Aggregate Bond Index returned (1.54)%. The U.S. economy continued to recover from the COVID-19 pandemic throughout the year causing interest rates to rise, particularly in the front end of the yield curve. This provided headwinds to domestic fixed income performance compared to 2020. Credit exposure outpaced U.S. Treasuries, even as spreads
have remained at historically tight levels in both investment grade and high yield for most of the year. Investments in Treasury Inflation Protected Securities (TIPS) also benefited in 2021 from elevated inflation expectations.
The Fund, which invests in both U.S. and international markets, underperformed its blended benchmark during the 12-month period. Its allocation to developed market non-U.S. equities detracted on a relative basis, as these securities generally trailed U.S. equities and are not included in its blended benchmark. In addition, the Fund’s performance compared to the blended benchmark was negatively affected by its allocation to mid-cap equities, which generally trailed large cap U.S. equities during the period.
The fixed income allocation detracted slightly from the Fund’s performance compared to the benchmark largely due to the underlying fund’s fees. The Fund’s fixed income allocation benefited from overweight exposure to credit and TIPS. Additionally, its underweight to policy duration benefited as interest rates increased 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 as described 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, 2021. |
| 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, 2021 |
| | | 1
Year | | 3
Year | | 5
Year | | 10
Year |
AZL® Moderate Index Strategy Fund | | | | 12.06 | % | | | | 14.70 | % | | | | 10.14 | % | | | | 10.05 | % |
S&P 500® Index | | | | 28.71 | % | | | | 26.07 | % | | | | 18.47 | % | | | | 16.55 | % |
Bloomberg U.S. Aggregate Bond Index | | | | (1.54 | )% | | | | 4.79 | % | | | | 3.57 | % | | | | 2.90 | % |
Moderate Composite Index | | | | 15.96 | % | | | | 17.77 | % | | | | 12.78 | % | | | | 11.22 | % |
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 | | | | 1.04 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.50% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 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 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 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Moderate Index Strategy Fund | | | $ | 1,000.00 | | | | $ | 1,043.40 | | | | $ | 0.36 | | | | | 0.07 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Moderate Index Strategy Fund | | | $ | 1,000.00 | | | | $ | 1,024.85 | | | | $ | 0.36 | | | | | 0.07 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 45.6 | % |
| |
Fixed Income Fund | | | | 39.3 | |
| |
International Equity Fund | | | | 15.1 | |
| | | | | |
| |
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, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Affiliated Investment Companies (100.0%): | |
| Domestic Equity Funds (45.6%): | |
| | 6,304,353 | | | AZL Mid Cap Index Fund, Class 2 | | $ | 178,097,959 | |
| | 25,036,340 | | | AZL S&P 500 Index Fund, Class 2 | | | 610,886,701 | |
| | 5,320,698 | | | AZL Small Cap Stock Index Fund, Class 2 | | | 89,228,105 | |
| | | | | | | | |
| | | | | | | 878,212,765 | |
| | | | | | | | |
| Fixed Income Fund (39.3%): | |
| | 67,906,618 | | | AZL Enhanced Bond Index Fund | | | 758,516,926 | |
| | | | | | | | |
| International Equity Fund (15.1%): | |
| | 15,357,385 | | | AZL International Index Fund, Class 2 | | | 291,329,601 | |
| | | | | | | | |
| | Total Affiliated Investment Companies (Cost $1,807,662,106) | | | 1,928,059,292 | |
| | | | | | | | |
| | Total Investment Securities (Cost $1,807,662,106) — 100.0%(a) | | | 1,928,059,292 | |
| | Net other assets (liabilities) — 0.0% † | | | (461,031 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 1,927,598,261 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
| † | 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, 2021
| | | | | |
Assets: | | | | | |
Investments in affiliates, at cost | | | $ | 1,807,662,106 | |
| | | | | |
Investments in affiliates, at value | | | $ | 1,928,059,292 | |
Interest and dividends receivable | | | | 117 | |
Foreign currency, at value (cost $106,900) | | | | 110,855 | |
Receivable for affiliated investments sold | | | | 622,876 | |
Prepaid expenses | | | | 10,121 | |
| | | | | |
Total Assets | | | | 1,928,803,261 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 622,511 | |
Payable for capital shares redeemed | | | | 434,763 | |
Manager fees payable | | | | 81,189 | |
Administration fees payable | | | | 6,283 | |
Custodian fees payable | | | | 236 | |
Administrative and compliance services fees payable | | | | 2,531 | |
Transfer agent fees payable | | | | 1,101 | |
Trustee fees payable | | | | 14,218 | |
Other accrued liabilities | | | | 42,168 | |
| | | | | |
Total Liabilities | | | | 1,205,000 | |
| | | | | |
Net Assets | | | $ | 1,927,598,261 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 1,673,507,515 | |
Total distributable earnings | | | | 254,090,746 | |
| | | | | |
Net Assets | | | $ | 1,927,598,261 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 123,360,264 | |
Net Asset Value (offering and redemption price per share) | | | $ | 15.63 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends from affiliates | | | $ | 18,186,312 | |
Dividends from non-affiliates | | | | 2 | |
| | | | | |
Total Investment Income | | | | 18,186,314 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 3,174,669 | |
Administration fees | | | | 60,853 | |
Custodian fees | | | | 1,433 | |
Administrative and compliance services fees | | | | 12,917 | |
Transfer agent fees | | | | 5,809 | |
Trustee fees | | | | 60,825 | |
Professional fees | | | | 68,064 | |
Shareholder reports | | | | 30,020 | |
Other expenses | | | | 21,452 | |
| | | | | |
Total expenses before reductions | | | | 3,436,042 | |
Less Management fees contractually waived | | | | (2,509,379 | ) |
| | | | | |
Net expenses | | | | 926,663 | |
| | | | | |
Net Investment Income/(Loss) | | | | 17,259,651 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 17,019 | |
Net realized gains/(losses) on affiliated underlying funds | | | | 55,196,170 | |
Net realized gains distributions from affiliated underlying funds | | | | 61,738,147 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | (5,262 | ) |
Change in net unrealized appreciation/depreciation on underlying fund | | | | 4,894,859 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 121,840,933 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 139,100,584 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 17,259,651 | | | | $ | 11,127,969 | |
Net realized gains/(losses) on investments | | | | 116,951,336 | | | | | 22,662,547 | |
Change in unrealized appreciation/depreciation on investments | | | | 4,889,597 | | | | | 35,344,740 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 139,100,584 | | | | | 69,135,256 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (33,935,061 | ) | | | | (32,078,922 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (33,935,061 | ) | | | | (32,078,922 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 1,359,198,190 | | | | | 12,526,131 | |
Proceeds from dividends reinvested | | | | 33,935,061 | | | | | 32,078,922 | |
Value of shares redeemed | | | | (181,979,760 | ) | | | | (82,366,337 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 1,211,153,491 | | | | | (37,761,284 | ) |
| | | | | | | | | | |
Change in net assets | | | | 1,316,319,014 | | | | | (704,950 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 611,279,247 | | | | | 611,984,197 | |
| | | | | | | | | | |
End of period | | | $ | 1,927,598,261 | | | | $ | 611,279,247 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 89,961,204 | | | | | 983,912 | |
Dividends reinvested | | | | 2,263,847 | | | | | 2,437,608 | |
Shares redeemed | | | | (11,902,446 | ) | | | | (6,337,677 | ) |
| | | | | | | | | | |
Change in shares | | | | 80,322,605 | | | | | (2,916,157 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 14.20 | | | | $ | 13.32 | | | | $ | 11.98 | | | | $ | 13.30 | | | | $ | 15.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.20 | (a) | | | | 0.26 | (a) | | | | 0.23 | (a) | | | | 0.26 | | | | | 0.12 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 1.50 | | | | | 1.39 | | | | | 2.03 | | | | | (0.92 | ) | | | | 1.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 1.70 | | | | | 1.65 | | | | | 2.26 | | | | | (0.66 | ) | | | | 1.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.09 | ) | | | | (0.27 | ) | | | | (0.32 | ) | | | | (0.13 | ) | | | | (0.35 | ) |
Net Realized Gains | | | | (0.18 | ) | | | | (0.50 | ) | | | | (0.60 | ) | | | | (0.53 | ) | | | | (3.79 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.27 | ) | | | | (0.77 | ) | | | | (0.92 | ) | | | | (0.66 | ) | | | | (4.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 15.63 | | | | $ | 14.20 | | | | $ | 13.32 | | | | $ | 11.98 | | | | $ | 13.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 12.06 | % | | | | 12.84 | % | | | | 19.33 | % | | | | (5.17 | )% | | | | 13.30 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,927,598 | | | | $ | 611,279 | | | | $ | 611,984 | | | | $ | 590,092 | | | | $ | 740,959 | |
Net Investment Income/(Loss) | | | | 1.30 | % | | | | 1.95 | % | | | | 1.78 | % | | | | 1.75 | % | | | | 0.77 | % |
Expenses Before Reductions*(c) | | | | 0.26 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.42 | % | | | | 0.43 | % |
Expenses Net of Reductions* | | | | 0.07 | % | | | | 0.08 | % | | | | 0.08 | % | | | | 0.07 | % | | | | 0.08 | % |
Portfolio Turnover Rate | | | | 14 | % | | | | 15 | % | | | | 5 | % | | | | 4 | % | | | | 7 | % |
| * | 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. |
See accompanying notes to the financial statements.
7
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
8
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2021
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2023. Expenses incurred for investment advisory and management services are reflected on the Statement of Operations as “Management fees.”
For the year ended December 31, 2021, 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 | | | | 0.20 | % | | | | 0.20 | % |
| * | The Manager waived, prior to any application of expense limit, the management fee to 0.05% on all assets in order to maintain a more competitive expense ratio. 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, 2023. Prior to June 1, 2021, the annual rate due to the Manager was 0.40%. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, 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, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
12/31/2020 | | Purchases
at Cost | | Proceeds from
Sales | | Net
Realized
Gains(Losses) | | Change in
Net
Unrealized
Appreciation/
Depreciation | | Value
12/31/2021 | | Shares as of
12/31/2021 | | Dividend
Income | | Net Realized
Gains
Distributions
from
Affiliated
Underlying
Funds |
| | | | | | | | | |
AZL Enhanced Bond Index Fund | | | $ | 228,798,187 | | | | $ | 590,236,780 | | | | $ | (31,401,059 | ) | | | $ | (396,265 | ) | | | $ | (28,720,717 | ) | | | $ | 758,516,926 | | | | | 67,906,618 | | | | $ | 5,853,642 | | | | $ | 19,466,265 | |
AZL International Index Fund, Class 2 | | | | 96,051,410 | | | | | 205,828,067 | | | | | (17,964,707 | ) | | | | 4,683,853 | | | | | 2,730,978 | | | | | 291,329,601 | | | | | 15,357,385 | | | | | 4,345,381 | | | | | — | |
| | | | | | | | | |
AZL Mid Cap Index Fund, Class 2 | | | | 58,133,471 | | | | | 128,847,223 | | | | | (20,538,394 | ) | | | | 5,883,729 | | | | | 5,771,930 | | | | | 178,097,959 | | | | | 6,304,353 | | | | | 1,243,382 | | | | | 7,520,090 | |
| | | | | | | | | |
AZL Small Cap Stock Index Fund, Class 2 | | | | 31,066,541 | | | | | 61,412,581 | | | | | (9,593,004 | ) | | | | 2,097,189 | | | | | 4,244,798 | | | | | 89,228,105 | | | | | 5,320,698 | | | | | 567,538 | | | | | 2,216,527 | |
AZL S&P 500 Index Fund, Class 2 | | | | 197,360,987 | | | | | 462,208,455 | | | | | (112,478,275 | ) | | | | 42,927,664 | | | | | 20,867,870 | | | | | 610,886,701 | | | | | 25,036,340 | | | | | 6,176,369 | | | | | 32,535,265 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 611,410,596 | | | | $ | 1,448,533,106 | | | | $ | (191,975,439 | ) | | | $ | 55,196,170 | | | | $ | 4,894,859 | | | | $ | 1,928,059,292 | | | | | 119,925,394 | | | | $ | 18,186,312 | | | | $ | 61,738,147 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.”
9
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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, 2021 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+ | | | $ | 1,928,059,292 | | | | $ | — | | | | $ | — | | | | $ | 1,928,059,292 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | $ | 1,928,059,292 | | | | $ | — | | | | $ | — | | | | $ | 1,928,059,292 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the year ended December 31, 2021, 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 | | | $ | 1,448,533,106 | | | | $ | 191,975,439 | |
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 period ended December 31, 2021, 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 underlying funds 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, 2021
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $1,808,286,779. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 133,439,267 | |
Unrealized (depreciation) | | | (13,666,754 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 119,772,513 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term Capital Gains | | Total
Distributions(a) |
| | | |
AZL Moderate Index Strategy Fund | | | $ | 11,539,987 | | | | $ | 22,395,074 | | | | $ | 33,935,061 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 34,672,393 | | | | $ | 99,641,886 | | | | $ | — | | | | $ | 119,776,467 | | | | $ | 254,090,746 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, mark-to-market of passive foreign investment companies, return of capital from underlying investments, straddles and other miscellaneous differences. |
11
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
December 31, 2021
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, 2021, 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 the shareholder 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.
12
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 32.17% 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, 2021, the Fund declared net long-term capital gain distributions of $22,395,074.
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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 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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 and certain competitor or “peer group” funds). 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 peer group 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 2021. Information relevant to the approval of the Management Agreement was considered at Board meetings held June 21, 2021, and September 14, 2021, 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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023.
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 Management 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 approval. The Independent Trustees also discussed the proposed approval in private sessions 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.
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
16
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 2021 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 2021. The performance information considered included performance information on absolute total return, performance versus the appropriate benchmark(s) and performance versus peer groups as reported by Lipper, 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, 2020, for which periods the Fund ranked in the top 40% against peers.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Fund, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
At the Board meeting held September 14, 2021, 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 2018 through 2020. 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 June 30, 2021, were approximately $1.98 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 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.
17
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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee
| | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 -2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
18
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
19
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
AZL® MSCI Emerging Markets Equity Index Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® MSCI Emerging Markets Equity Index Fund (Class 2 Shares) (the “Fund”) returned (3.83)%. That compared to a (2.22)% total return for its benchmark, the MSCI Emerging Markets Index.1
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 (the “Index”). The Index is designed to provide a comprehensive measure of emerging markets equities. The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Index.
During the first quarter, vaccine optimism and expectations for more U.S. stimulus helped emerging markets equities post strong performance to start the year, continuing the trend from late 2020. However, emerging markets started to underperform developed markets in mid-February as the vaccine programs in some emerging markets countries started to lag. The rise in COVID-19 cases in several emerging markets countries led to renewed activity restrictions, including in India and Brazil. However, the new wave of cases in India was less disruptive to its domestic market thanks to its relatively younger population.
Over the second quarter, regulatory concerns in China over that country’s technology sector held back market returns. The Chinese economy continued to normalize, however, posting a first-quarter GDP growth rate of 0.6%, quarter-on-quarter. Brazil was one of the best performers over the quarter as it benefited from a rise in oil prices. Poland and Hungary also performed well as their governments began easing lockdowns and restrictions. By comparison, Chile was one of the worst performers for the quarter due to heightened political uncertainty.
A selloff in Chinese equities over the third quarter dominated the news and weighed heavily on emerging markets performance. China is the largest market in the MSCI Emerging Markets Index, representing 34% of the index as of September 30, 2021. The introduction of new regulations targeting specific sectors in China sparked investors’ concerns about future earnings growth potential. More negative news followed in the wake of that initial
trigger, including supply chain disruptions, a power shortage, and the potential systemic risk posed by the Evergrande debt crisis.
In the fourth quarter, emerging markets equities declined due to exacerbating inflationary pressures and supply chain disruptions. The market downturn in November more than offset the slight positive returns in both October and December. Performance varied among countries, however. For instance, the Chinese market lost momentum over the fourth quarter as it grappled with a slowing manufacturing sector, debt problems in the property market, and a resurgence in COVID-19. The strong economic data and the pickup in e-commerce and technology sectors that were negatively impacted by regulatory actions earlier in the year supported market performance but were not enough to offset the market decline in November. Meanwhile, Turkey dominated emerging markets news and was the worst performer over the quarter. The country found itself in the throes of a currency crisis coupled with rising cyclical inflation. The currency struggles were a result of a series of interest rate cuts by Turkey’s central bank, which had been overhauled by President Recep Tayyip Erdogan.
The Fund underperformed its benchmark primarily due to the impacts of fair value pricing and expenses incurred by the Fund.
The Fund uses derivatives for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and Fund managers keep cash to cover all outstanding futures positions fully.
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 as described 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, 2021. |
| 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, 2021 |
| | | 1 Year | | 3 Year | | 5 Year | | 10
Year |
AZL® MSCI Emerging Markets Equity Index Fund (Class 1 Shares) | | | | (3.68 | )% | | | | 9.91 | % | | | | 9.02 | % | | | | 5.31 | % |
AZL® MSCI Emerging Markets Equity Index Fund (Class 2 Shares) | | | | (3.83 | )% | | | | 9.63 | % | | | | 8.76 | % | | | | 5.05 | % |
MSCI Emerging Markets Index (gross of withholding taxes) | | | | (2.22 | )% | | | | 11.33 | % | | | | 10.26 | % | | | | 5.87 | % |
MSCI Emerging Markets Index (net of withholding taxes) | | | | (2.54 | )% | | | | 10.94 | % | | | | 9.87 | % | | | | 5.49 | % |
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) | | | | 1.17 | % |
AZL® MSCI Emerging Markets Equity Index Fund (Class 2 Shares) | | | | 1.42 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.45% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid During Period 7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period 7/1/21 - 12/31/21 |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 900.00 | | | | $ | 3.45 | | | | | 0.72 | % |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 898.60 | | | | $ | 4.64 | | | | | 0.97 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period 7/1/21 - 12/31/21 |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,021.58 | | | | $ | 3.67 | | | | | 0.72 | % |
| | | | |
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,020.32 | | | | $ | 4.94 | | | | | 0.97 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 22.6 | % |
| |
Financials | | | | 19.4 | |
| |
Consumer Discretionary | | | | 13.0 | |
| |
Communication Services | | | | 11.1 | |
| |
Materials | | | | 8.5 | |
| |
Consumer Staples | | | | 5.9 | |
| |
Energy | | | | 5.6 | |
| |
Industrials | | | | 5.1 | |
| |
Health Care | | | | 4.3 | |
| |
Utilities | | | | 2.4 | |
| |
Real Estate | | | | 1.8 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.7 | |
| |
Rights | | | | — | † |
| | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.6 | |
| |
Unaffiliated Investment Company | | | | 0.4 | |
| | | | | |
| |
Total Investment Securities | | | | 100.7 | |
| |
Net other assets (liabilities) | | | | (0.7 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (98.5%): | | | |
| Aerospace & Defense (0.1%): | | | |
| | 5,099 | | | Aecc Aviation Power Co., Ltd. | | $ | 50,782 | |
| | 18,981 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 29,280 | |
| | 83,000 | | | AviChina Industry & Technology Co., Ltd., Class H | | | 57,408 | |
| | 35,570 | | | Bharat Electronics, Ltd. | | | 100,477 | |
| | 2,537 | | | Korea Aerospace Industries, Ltd. | | | 69,087 | |
| | | | | | | | |
| | | | | | | 307,034 | |
| | | | | | | | |
| Air Freight & Logistics (0.3%): | | | |
| | 36,697 | | | Agility Public Warehousing Co. KSC | | | 114,769 | |
| | 572 | | | Hyundai Glovis Co., Ltd. | | | 80,785 | |
| | 9,300 | | | SF Holding Co., Ltd., Class A | | | 100,573 | |
| | 3,900 | | | Yunda Holding Co., Ltd., Class A | | | 12,519 | |
| | 12,937 | | | ZTO Express Cayman, Inc., ADR | | | 365,082 | |
| | | | | | | | |
| | | | | | | 673,728 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 66,000 | | | Air China, Ltd.* | | | 46,051 | |
| | 39,299 | | | China Eastern Airlines Corp., Ltd.* | | | 31,776 | |
| | 38,000 | | | China Southern Airlines Co., Ltd.* | | | 40,533 | |
| | 28,000 | | | China Southern Airlines Co., Ltd., Class H* | | | 16,747 | |
| | 2,989 | | | InterGlobe Aviation, Ltd.* | | | 80,520 | |
| | 4,761 | | | Korean Air Lines Co., Ltd.* | | | 117,143 | |
| | | | | | | | |
| | | | | | | 332,770 | |
| | | | | | | | |
| Auto Components (0.5%): | | | |
| | 3,039 | | | Balkrishna Industries, Ltd. | | | 95,013 | |
| | 6,982 | | | Bharat Forge, Ltd. | | | 65,563 | |
| | 900 | | | Changzhou Xingyu Automotive Lighting Systems Co., Ltd., Class A | | | 28,809 | |
| | 47,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 61,255 | |
| | 6,500 | | | Fuyao Glass Industry Group Co., Ltd. | | | 48,099 | |
| | 12,800 | | | Fuyao Glass Industry Group Co., Ltd., Class H | | | 66,281 | |
| | 2,479 | | | Hankook Tire & Technology Co., Ltd. | | | 82,386 | |
| | 5,302 | | | Hanon Systems | | | 59,964 | |
| | 4,200 | | | Huayu Automotive Systems Co., Ltd. | | | 18,627 | |
| | 1,996 | | | Hyundai Mobis Co., Ltd. | | | 424,006 | |
| | 7,300 | | | Kuang-Chi Technologies Co., Ltd., Class A* | | | 27,508 | |
| | 24,000 | | | Minth Group, Ltd. | | | 105,743 | |
| | 35,987 | | | Motherson Sumi Systems, Ltd. | | | 108,132 | |
| | 62 | | | MRF, Ltd. | | | 61,181 | |
| | 1,500 | | | Ningbo Joyson Electronic Corp. | | | 5,174 | |
| | 3,600 | | | Shandong Linglong Tyre Co., Ltd., Class A | | | 20,648 | |
| | | | | | | | |
| | | | | | | 1,278,389 | |
| | | | | | | | |
| Automobiles (3.2%): | | | |
| | 602,600 | | | Astra International Tbk PT | | | 240,782 | |
| | 2,257 | | | Bajaj Auto, Ltd. | | | 98,672 | |
| | 3,133 | | | BYD Co., Ltd. | | | 131,673 | |
| | 24,500 | | | BYD Co., Ltd., Class H | | | 837,859 | |
| | 11,480 | | | Chongqing Changan Automobile Co., Ltd., Class A | | | 27,356 | |
| | 84,000 | | | Dongfeng Motor Group Co., Ltd., Class H | | | 69,845 | |
| | 4,135 | | | Eicher Motors, Ltd. | | | 144,210 | |
| | 2,009 | | | Ford Otomotiv Sanayi AS | | | 36,297 | |
| | 177,000 | | | Geely Automobile Holdings, Ltd. | | | 484,314 | |
| | 4,500 | | | Great Wall Motor Co., Ltd., Class A | | | 34,267 | |
| | 92,500 | | | Great Wall Motor Co., Ltd., Class H | | | 318,021 | |
| | 99,200 | | | Guangzhou Automobile Group Co., Ltd. | | | 97,784 | |
| | 3,348 | | | Hero MotoCorp, Ltd. | | | 110,674 | |
| | 4,275 | | | Hyundai Motor Co., Ltd. | | | 751,229 | |
| | 732 | | | Hyundai Motor Co., Ltd. | | | 60,550 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Automobiles, continued | | | |
| | 8,066 | | | Kia Corp. | | $ | 553,828 | |
| | 16,352 | | | Li Auto, Inc., ADR* | | | 524,899 | |
| | 27,081 | | | Mahindra & Mahindra, Ltd. | | | 305,037 | |
| | 3,744 | | | Maruti Suzuki India, Ltd. | | | 373,827 | |
| | 40,924 | | | NIO, Inc., ADR* | | | 1,296,472 | |
| | 19,100 | | | SAIC Motor Corp., Ltd. | | | 61,761 | |
| | 51,308 | | | Tata Motors, Ltd.* | | | 331,993 | |
| | 11,629 | | | Xpeng, Inc., ADR* | | | 585,288 | |
| | 36,000 | | | Yadea Group Holdings, Ltd. | | | 70,208 | |
| | | | | | | | |
| | | | | | | 7,546,846 | |
| | | | | | | | |
| Banks (13.3%): | | | |
| | 21,458 | | | Absa Group, Ltd. | | | 205,510 | |
| | 87,807 | | | Abu Dhabi Commercial Bank | | | 203,838 | |
| | 143,000 | | | Agricultural Bank of China, Ltd. | | | 65,938 | |
| | 724,000 | | | Agricultural Bank of China, Ltd., Class A | | | 248,945 | |
| | 107,574 | | | Akbank T.A.S. | | | 57,673 | |
| | 37,346 | | | Al Rajhi Bank | | | 1,406,563 | |
| | 33,870 | | | Alinma Bank | | | 215,554 | |
| | 49,791 | | | Alpha Services and Holdings SA* | | | 61,031 | |
| | 53,900 | | | AMMB Holdings Berhad* | | | 41,036 | |
| | 16,034 | | | Arab National Bank | | | 97,344 | |
| | 66,355 | | | Axis Bank, Ltd.* | | | 602,195 | |
| | 39,610 | | | Banco Bradesco SA | | | 115,153 | |
| | 1,298,706 | | | Banco de Chile | | | 101,517 | |
| | 1,979 | | | Banco de Credito e Inversiones | | | 57,848 | |
| | 24,879 | | | Banco do Brasil SA | | | 128,885 | |
| | 9,387 | | | Banco Inter SA | | | 48,157 | |
| | 11,234 | | | Banco Santander Brasil SA | | | 60,477 | |
| | 2,238,136 | | | Banco Santander Chile | | | 90,025 | |
| | 12,949 | | | Bancolombia SA | | | 101,936 | |
| | 9,306 | | | Bancolombia SA | | | 79,439 | |
| | 20,207 | | | Bandhan Bank, Ltd. | | | 68,650 | |
| | 13,481 | | | Bank AlBilad* | | | 166,211 | |
| | 19,448 | | | Bank Al-Jazira | | | 99,922 | |
| | 37,500 | | | Bank of Beijing Co., Ltd., Class A | | | 26,125 | |
| | 2,389,000 | | | Bank of China, Ltd. | | | 860,988 | |
| | 72,500 | | | Bank of China, Ltd., Class A | | | 34,698 | |
| | 75,999 | | | Bank of Communications Co., Ltd., Class A | | | 54,972 | |
| | 175,000 | | | Bank of Communications Co., Ltd., Class H | | | 105,785 | |
| | 20,000 | | | Bank of Hangzhou Co., Ltd. | | | 40,225 | |
| | 36,920 | | | Bank of Jiangsu Co., Ltd. | | | 33,768 | |
| | 18,200 | | | Bank of Nanjing Co., Ltd. | | | 25,584 | |
| | 13,970 | | | Bank of Ningbo Co., Ltd. | | | 83,903 | |
| | 34,470 | | | Bank of Shanghai Co., Ltd., Class A | | | 38,562 | |
| | 62,666 | | | Bank of the Philippine Islands | | | 113,300 | |
| | 5,661 | | | Bank Pekao SA | | | 171,399 | |
| | 19,368 | | | Banque Saudi Fransi | | | 242,760 | |
| | 57,334 | | | BDO Unibank, Inc. | | | 135,748 | |
| | 31,338 | | | Boubyan Bank KSCP* | | | 82,001 | |
| | 2,487 | | | Capitec Bank Holdings, Ltd. | | | 318,542 | |
| | 135,393 | | | Chang Hwa Commercial Bank | | | 83,228 | |
| | 82,500 | | | China Bohai Bank Co, Ltd., Class H | | | 31,788 | |
| | 257,000 | | | China Citic Bank Co., Ltd. | | | 111,413 | |
| | 2,852,000 | | | China Construction Bank | | | 1,976,160 | |
| | 32,600 | | | China Construction Bank Corp. | | | 29,949 | |
| | 430,795 | | | China Development Financial Holding Corp. | | | 272,056 | |
| | 122,500 | | | China Everbright Bank Co., Ltd. | | | 63,811 | |
See accompanying notes to the financial statements.
4
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 45,000 | | | China Everbright Bank Co., Ltd., Class H | | $ | 15,929 | |
| | 40,244 | | | China Merchants Bank Co., Ltd. | | | 307,588 | |
| | 115,000 | | | China Merchants Bank Co., Ltd. | | | 893,772 | |
| | 69,700 | | | China Minsheng Banking Corp., Ltd., Class A | | | 42,654 | |
| | 113,300 | | | China Minsheng Banking Corp., Ltd., Class H^ | | | 43,307 | |
| | 197,400 | | | CIMB Group Holdings Berhad | | | 258,372 | |
| | 77,279 | | | Commercial Bank of Qatar Qsc (The) | | | 143,174 | |
| | 54,566 | | | Commercial International Bank Egypt SAE* | | | 184,639 | |
| | 2,030 | | | Credicorp, Ltd. | | | 247,802 | |
| | 543,000 | | | CTBC Financial Holding Co., Ltd. | | | 508,757 | |
| | 66,215 | | | Dubai Islamic Bank | | | 96,900 | |
| | 360,783 | | | E.Sun Financial Holding Co., Ltd. | | | 365,610 | |
| | 79,492 | | | Emirates NBD Bank PJSC | | | 292,863 | |
| | 70,569 | | | Eurobank Ergasias Services and Holdings SA* | | | 71,590 | |
| | 128,674 | | | First Abu Dhabi Bank PJSC | | | 660,007 | |
| | 312,745 | | | First Financial Holdings Co., Ltd. | | | 277,061 | |
| | 80,351 | | | Grupo Financiero Banorte SAB de C.V. | | | 522,121 | |
| | 58,223 | | | Grupo Financiero Inbursa SAB de C.V., Class O* | | | 69,739 | |
| | 9,216 | | | Hana Financial Holdings Group, Inc. | | | 324,584 | |
| | 19,300 | | | Hong Leong Bank Berhad | | | 86,290 | |
| | 6,400 | | | Hong Leong Financial Group Berhad | | | 26,654 | |
| | 272,123 | | | Hua Nan Financial Holdings Co., Ltd. | | | 208,337 | |
| | 26,900 | | | Huaxia Bank Co., Ltd., Class A | | | 23,620 | |
| | 154,589 | | | ICICI Bank, Ltd. | | | 1,531,448 | |
| | 108,800 | | | Industrial & Commercial Bank of China, Ltd., Class A | | | 79,043 | |
| | 1,676,000 | | | Industrial & Commercial Bank of China, Ltd., Class H | | | 946,170 | |
| | 39,400 | | | Industrial Bank Co., Ltd. | | | 117,688 | |
| | 8,902 | | | Industrial Bank of Korea (IBK) | | | 77,028 | |
| | 132,769 | | | Itausa — Investimentos Itau S.A. | | | 212,898 | |
| | 1,627 | | | KakaoBank Corp.* | | | 80,548 | |
| | 12,202 | | | KB Financial Group, Inc. | | | 562,527 | |
| | 2,004 | | | Komercni Banka AS | | | 85,722 | |
| | 17,050 | | | Kotak Mahindra Bank, Ltd. | | | 411,741 | |
| | 43,000 | | | Krung Thai Bank | | | 16,879 | |
| | 163,429 | | | Kuwait Finance House KSCP | | | 450,113 | |
| | 102,501 | | | Malayan Banking Bhd | | | 204,318 | |
| | 106,740 | | | Masraf Al Rayan | | | 136,012 | |
| | 371 | | | mBank SA* | | | 39,470 | |
| | 325,000 | | | Mega Financial Holdings Co., Ltd. | | | 417,763 | |
| | 46,592 | | | Metropolitan Bank & Trust | | | 50,930 | |
| | 16,450 | | | Moneta Money Bank AS | | | 70,611 | |
| | 216,606 | | | National Bank of Kuwait SAKP | | | 715,080 | |
| | 65,988 | | | National Commercial Bank | | | 1,130,872 | |
| | 13,995 | | | Nedcor, Ltd. | | | 153,842 | |
| | 6,856 | | | OTP Bank Nyrt* | | | 350,595 | |
| | 41,800 | | | Ping An Bank Co., Ltd., Class A | | | 108,096 | |
| | 38,900 | | | Postal Savings Bank of China Co., Ltd., Class A | | | 31,125 | |
| | 260,000 | | | Postal Savings Bank of China Co., Ltd., Class H | | | 182,421 | |
| | 27,177 | | | Powszechna Kasa Oszczednosci Bank Polski SA* | | | 302,880 | |
| | 1,554,500 | | | PT Bank Central Asia Tbk | | | 787,902 | |
| | 590,100 | | | PT Bank Mandiri Persero Tbk | | | 290,832 | |
| | 242,400 | | | PT Bank Negara Indonesia Tbk | | | 114,633 | |
| | 2,081,842 | | | PT Bank Rakyat Indonesia Tbk | | | 600,194 | |
| | 446,400 | | | Public Bank Berhad | | | 445,953 | |
| | 27,221 | | | Qatar International Islamic Bank QSC | | | 68,849 | |
| | 32,811 | | | Qatar Islamic Bank | | | 165,152 | |
| | 138,366 | | | Qatar National Bank | | | 767,078 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 59,900 | | | RHB Bank Bhd | | $ | 77,245 | |
| | 41,240 | | | Riyad Bank | | | 297,343 | |
| | 1,058 | | | Santander Bank Polska SA | | | 91,590 | |
| | 317,881 | | | Sberbank of Russia | | | 1,242,955 | |
| | 105,724 | | | Shanghai Commercial & Savings Bank, Ltd. (The) | | | 180,642 | |
| | 70,100 | | | Shanghai Pudong Development Bank Co., Ltd. | | | 93,727 | |
| | 13,395 | | | Shinhan Financial Group Co., Ltd. | | | 413,086 | |
| | 28,200 | | | Siam Commercial Bank Public Co., Ltd. | | | 106,221 | |
| | 354,800 | | | SinoPac Financial Holdings Co., Ltd. | | | 206,948 | |
| | 38,215 | | | Standard Bank Group, Ltd. | | | 335,942 | |
| | 53,820 | | | State Bank of India | | | 333,428 | |
| | 315,390 | | | Taishin Financial Holding Co., Ltd. | | | 215,755 | |
| | 280,247 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 257,625 | |
| | 3,719 | | | TCS Group Holding plc, GDR | | | 302,609 | |
| | 25,381 | | | The Saudi British Bank | | | 222,794 | |
| | 59,902 | | | Turkiye Garanti Bankasi AS | | | 51,230 | |
| | 46,220 | | | Turkiye Is Bankasi AS, Class C | | | 24,643 | |
| | 97,280,589 | | | VTB Bank PJSC | | | 62,310 | |
| | 15,903 | | | Woori Financial Group, Inc. | | | 169,676 | |
| | 316,254 | | | Yes Bank, Ltd.* | | | 58,260 | |
| | | | | | | | |
| | | | | | | 31,382,424 | |
| | | | | | | | |
| Beverages (1.6%): | | | |
| | 146,282 | | | Ambev SA Com Npv | | | 405,040 | |
| | 1,100 | | | Anhui Gujing Distillery Co., Ltd., Class A | | | 42,116 | |
| | 3,000 | | | Anhui Gujing Distillery Co., Ltd., Class B | | | 42,703 | |
| | 1,300 | | | Anhui Kouzi Distillery Co., Ltd. | | | 14,456 | |
| | 10,480 | | | Arca Continental SAB de C.V. | | | 66,819 | |
| | 17,696 | | | Becle SAB de CV | | | 44,398 | |
| | 3,700 | | | Beijing Shunxin Agriculture Co., Ltd., Class A | | | 22,163 | |
| | 8,700 | | | Carabao Group pcl | | | 31,028 | |
| | 46,000 | | | China Resources Beer Holdings Co., Ltd. | | | 377,008 | |
| | 1,400 | | | Chongqing Brewery Co., Ltd., Class A* | | | 33,234 | |
| | 15,966 | | | Coca-Cola Femsa S.A.B de C.V. | | | 87,119 | |
| | 3,027 | | | Compania Cervecerias Unidas SA | | | 24,635 | |
| | 60,690 | | | Fomento Economico Mexicano S.A.B. de C.V. | | | 472,335 | |
| | 6,500 | | | Fraser & Neave Holdings Bhd | | | 38,628 | |
| | 2,800 | | | Jiangsu King’s Luck Brewery JSC, Ltd., Class A | | | 23,899 | |
| | 3,200 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | | | 82,709 | |
| | 1,100 | | | JiuGui Liquor Co., Ltd., Class A | | | 36,664 | |
| | 2,272 | | | Kweichow Moutai Co., Ltd. | | | 730,800 | |
| | 2,400 | | | Luzhou Laojiao Co., Ltd. | | | 95,623 | |
| | 51,000 | | | Nongfu Spring Co., Ltd., Class H | | | 336,839 | |
| | 23,700 | | | Osotspa pcl | | | 24,287 | |
| | 1,960 | | | Shanghai Bairun Investment Holding Group Co., Ltd., Class A | | | 18,404 | |
| | 2,660 | | | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A | | | 131,809 | |
| | 1,400 | | | Sichuan Swellfun Co., Ltd., Class A | | | 26,351 | |
| | 2,600 | | | Tsingtao Brewery Co., Ltd., Class A | | | 40,384 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H | | | 131,137 | |
| | 7,920 | | | United Spirits, Ltd.* | | | 95,693 | |
| | 7,600 | | | Wuliangye Yibin Co., Ltd., Class A | | | 265,521 | |
| | | | | | | | |
| | | | | | | 3,741,802 | |
| | | | | | | | |
| Biotechnology (0.8%): | | | |
| | 51,000 | | | 3SBio, Inc.* | | | 42,539 | |
| | 9,000 | | | Akeso, Inc.* | | | 39,247 | |
| | 808 | | | Alteogen, Inc.* | | | 51,284 | |
See accompanying notes to the financial statements.
5
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 1,420 | | | BeiGene, Ltd., ADR* | | $ | 384,721 | |
| | 700 | | | Beijing Tiantan Biological Products Corp., Ltd., Class A | | | 3,178 | |
| | 700 | | | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd., Class A | | | 24,345 | |
| | 600 | | | BGI Genomics Co., Ltd. | | | 8,273 | |
| | 14,923 | | | Biocon, Ltd.* | | | 73,213 | |
| | 2,869 | | | Celltrion, Inc. | | | 477,745 | |
| | 3,200 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A | | | 62,554 | |
| | 185 | | | Green Cross Corp. | | | 33,880 | |
| | 3,270 | | | Hualan Biological Engineering, Inc., Class A | | | 14,937 | |
| | 1,059 | | | I-Mab, ADR* | | | 50,186 | |
| | 300 | | | Imeik Technology Development Co., Ltd., Class A | | | 25,234 | |
| | 36,500 | | | Innovent Biologics, Inc.* | | | 226,118 | |
| | 923 | | | Legend Biotech Corp., ADR*^ | | | 43,021 | |
| | 1,238 | | | Seegne, Inc. | | | 63,412 | |
| | 21,600 | | | Shanghai Raas Blood Products Co., Ltd. | | | 23,116 | |
| | 1,600 | | | Shenzhen Kangtai Biological Products Co., Ltd., Class A | | | 24,713 | |
| | 644 | | | SK Bioscience Co., Ltd.* | | | 121,615 | |
| | 4,000 | | | Walvax Biotechnology Co., Ltd., Class A | | | 35,272 | |
| | 2,417 | | | Zai Lab, Ltd., ADR* | | | 151,908 | |
| | | | | | | | |
| | | | | | | 1,980,511 | |
| | | | | | | | |
| Building Products (0.0%†): | | | |
| | 3,000 | | | Beijing New Building Materials plc | | | 16,866 | |
| | 35,000 | | | China Lesso Group Holdings, Ltd. | | | 50,283 | |
| | 6,500 | | | Zhuzhou Kibing Group Co., Ltd., Class A | | | 17,412 | |
| | | | | | | | |
| | | | | | | 84,561 | |
| | | | | | | | |
| Capital Markets (1.2%): | | | |
| | 190,509 | | | B3 SA- Brasil Bolsa Balcao | | | 381,086 | |
| | 34,376 | | | Banco BTG Pactual SA | | | 129,628 | |
| | 68,300 | | | Bangkok Commercial Asset Management pcl, Class R | | | 44,142 | |
| | 17,800 | | | Caitong Securities Co., Ltd. | | | 31,074 | |
| | 193,000 | | | China Cinda Asset Management Co., Ltd., Class H | | | 35,150 | |
| | 120,000 | | | China Galaxy Securities Co. | | | 68,949 | |
| | 327,000 | | | China Huarong Asset Management Co., Ltd., Class H* | | | 32,082 | |
| | 44,400 | | | China International Capital Corp., Ltd. | | | 122,442 | |
| | 14,140 | | | China Merchants Securities Co., Ltd. | | | 39,155 | |
| | 29,100 | | | Citic Securities Co., Ltd., Class A | | | 120,571 | |
| | 59,000 | | | Citic Securities Co., Ltd., Class A | | | 154,101 | |
| | 5,300 | | | CSC Financial Co., Ltd., Class A | | | 24,319 | |
| | 23,328 | | | East Money Information Co., Ltd., Class A | | | 135,815 | |
| | 6,600 | | | Everbright Securities Co., Ltd. | | | 15,466 | |
| | 20,100 | | | Founder Securities Co., Ltd., Class A | | | 24,725 | |
| | 30,400 | | | GF Securities Co., Ltd. | | | 57,925 | |
| | 15,400 | | | GF Securities Co., Ltd., Class A | | | 59,444 | |
| | 12,599 | | | Guosen Securities Co., Ltd., Class A | | | 22,703 | |
| | 14,600 | | | Guotai Junan Securities Co., Ltd. | | | 40,978 | |
| | 28,600 | | | Haitong Securities Co., Ltd. | | | 55,015 | |
| | 78,800 | | | Haitong Securities Co., Ltd. | | | 69,862 | |
| | 1,835 | | | HDFC Asset Management Co., Ltd. | | | 60,360 | |
| | 1,000 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A | | | 22,683 | |
| | 23,600 | | | Huatai Securities Co., Ltd., Class A | | | 65,754 | |
| | 44,600 | | | Huatai Securities Co., Ltd., Class H | | | 74,250 | |
| | 24,300 | | | Industrial Securities Co., Ltd. | | | 37,667 | |
| | 1,242 | | | Korea Investment Holdings Co., Ltd. | | | 84,121 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets, continued | | | |
| | 10,139 | | | Meritz Securities Co., Ltd. | | $ | 43,736 | |
| | 9,168 | | | Mirae Asset Securities Co., Ltd. | | | 66,335 | |
| | 6,300 | | | Nanjing Securities Co., Ltd. | | | 9,795 | |
| | 2,777 | | | NH Investment & Securities Co., Ltd. | | | 29,194 | |
| | 1,111 | | | Noah Holdings, Ltd., ADR* | | | 34,097 | |
| | 20,500 | | | Orient Securities Co., Ltd./China | | | 47,409 | |
| | 4,862 | | | Reinet Investments SCA | | | 87,326 | |
| | 2,406 | | | Samsung Securities Co., Ltd. | | | 90,693 | |
| | 12,160 | | | SDIC Capital Co., Ltd., Class A | | | 15,682 | |
| | 69,900 | | | Shenwan Hongyuan Group Co., Ltd. | | | 56,131 | |
| | 45,462 | | | The Moscow Exchange | | | 92,852 | |
| | 26,100 | | | Tianfeng Securities Co., Ltd., Class A | | | 16,585 | |
| | 304,680 | | | Yuanta Financial Holding Co., Ltd. | | | 278,328 | |
| | 5,300 | | | Zheshang Securities Co., Ltd. | | | 10,961 | |
| | | | | | | | |
| | | | | | | 2,888,591 | |
| | | | | | | | |
| Chemicals (3.0%): | | | |
| | 4,207 | | | Advanced Petrochemical Co. | | | 78,864 | |
| | 11,757 | | | Asian Paints, Ltd. | | | 533,348 | |
| | 9,301 | | | Berger Paints India, Ltd. | | | 96,575 | |
| | 42,000 | | | Dongyue Group, Ltd. | | | 65,510 | |
| | 88,000 | | | Formosa Chemicals & Fibre Corp. | | | 256,670 | |
| | 120,000 | | | Formosa Plastics Corp. | | | 450,346 | |
| | 2,300 | | | Guangzhou Tinci Materials Technology Co., Ltd., Class A | | | 41,370 | |
| | 3,999 | | | Hanwha Chemical Corp.* | | | 119,560 | |
| | 13,400 | | | Hengli Petrochemical Co., Ltd. | | | 48,287 | |
| | 10,092 | | | Hengyi Petrochemical Co., Ltd., Class A | | | 16,818 | |
| | 25,000 | | | Huabao International Holdings, Ltd. | | | 46,249 | |
| | 60,600 | | | Indorama Ventures pcl | | | 78,428 | |
| | 9,200 | | | Jiangsu Eastern Shenghong Co., Ltd., Class A | | | 27,865 | |
| | 6,200 | | | Kingfa Sci & Tech Co., Ltd., Class A | | | 12,229 | |
| | 533 | | | Kumho Petrochemical Co., Ltd. | | | 74,203 | |
| | 1,400 | | | LG Chem, Ltd. | | | 722,419 | |
| | 226 | | | LG Chem, Ltd. | | | 54,555 | |
| | 3,900 | | | Lomon Billions Group Co., Ltd., Class A | | | 17,492 | |
| | 540 | | | Lotte Chemical Corp. | | | 98,523 | |
| | 135,824 | | | Mesaieed Petrochemical Holding Co. | | | 77,929 | |
| | 161,000 | | | Nan Ya Plastics Corp. | | | 496,114 | |
| | 9,868 | | | National Industrialization Co.* | | | 52,294 | |
| | 3,035 | | | National Petrochemical Co. | | | 32,302 | |
| | 14,000 | | | Ningxia Baofeng Energy Group Co., Ltd., Class A | | | 38,127 | |
| | 29,450 | | | Orbia Advance Corp SAB de CV | | | 75,197 | |
| | 81,600 | | | Petronas Chemicals Group Berhad | | | 174,818 | |
| | 4,369 | | | PhosAgro, GDR | | | 94,193 | |
| | 2,928 | | | PI Industries, Ltd. | | | 119,534 | |
| | 5,202 | | | Pidilite Industries, Ltd. | | | 172,357 | |
| | 832,600 | | | PT Barito Pacific Tbk | | | 49,950 | |
| | 75,400 | | | PTT Global Chemical Public Co., Ltd. | | | 132,093 | |
| | 19,350 | | | Rongsheng Petro Chemical Co., Ltd., Class A | | | 55,128 | |
| | 6,925 | | | SABIK Agri-Nutrients Co. | | | 325,531 | |
| | 8,631 | | | Sahara International Petrochemical Co. | | | 96,256 | |
| | 17,307 | | | Sasol, Ltd.* | | | 283,311 | |
| | 27,928 | | | Saudi Basic Industries Corp. | | | 862,226 | |
| | 4,576 | | | Saudi Industrial Investment Group | | | 37,922 | |
| | 25,640 | | | Saudi Kayan Petrochemical Co.* | | | 116,137 | |
| | 4,940 | | | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A | | | 24,258 | |
See accompanying notes to the financial statements.
6
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 1,800 | | | Shanghai Putailai New Energy Technology Co., Ltd., Class A | | $ | 45,402 | |
| | 388 | | | SK Chemicals Co., Ltd. | | | 48,604 | |
| | 380 | | | SK IE Technology Co., Ltd.* | | | 53,322 | |
| | 649 | | | SKC Co., Ltd. | | | 94,848 | |
| | 1,120 | | | Skshu Paint Co., Ltd., Class A | | | 24,457 | |
| | 4,172 | | | Sociedad Quimica y Minera de Chile SA | | | 213,078 | |
| | 3,359 | | | SRF Ltd. | | | 109,378 | |
| | 14,118 | | | UPL, Ltd. | | | 141,265 | |
| | 7,300 | | | Wanhua Chemical Group Co., Ltd. | | | 115,669 | |
| | 7,713 | | | Yanbu National Petrochemical Co. | | | 140,973 | |
| | 14,800 | | | Zhejiang Longsheng Group Co., Ltd., Class A | | | 29,346 | |
| | | | | | | | |
| | | | | | | 7,171,330 | |
| | | | | | | | |
| Commercial Services & Supplies (0.2%): | | | |
| | 11,500 | | | A-Living Services Co., Ltd., Class H | | | 19,635 | |
| | 108,222 | | | China Everbright International, Ltd. | | | 86,893 | |
| | 51,000 | | | Country Garden Services Holdings Co., Ltd. | | | 305,528 | |
| | 44,000 | | | Greentown Service Group Co., Ltd. | | | 40,669 | |
| | 6,265 | | | Indian Railway Catering & Tourism Corp., Ltd. | | | 70,124 | |
| | 588 | | | S1 Corp. | | | 36,548 | |
| | 2,200 | | | Shanghai M&G Stationery, Inc., Class A | | | 22,271 | |
| | | | | | | | |
| | | | | | | 581,668 | |
| | | | | | | | |
| Communications Equipment (0.2%): | | | |
| | 17,000 | | | Accton Technology Corp. | | | 159,837 | |
| | 20,500 | | | BYD Electronic International Co., Ltd.^ | | | 75,074 | |
| | 5,600 | | | Fiberhome Telecommunication Technologies Co., Ltd. | | | 15,798 | |
| | 1,400 | | | Shenzhen Sunway Communication Co., Ltd., Class A | | | 5,563 | |
| | 1,800 | | | Yealink Network Technology Corp., Ltd., Class A | | | 23,006 | |
| | 900 | | | Zhongji Innolight Co., Ltd., Class A | | | 6,001 | |
| | 8,300 | | | ZTE Corp. | | | 43,621 | |
| | 23,800 | | | ZTE Corp., Class H | | | 65,172 | |
| | | | | | | | |
| | | | | | | 394,072 | |
| | | | | | | | |
| Construction & Engineering (0.5%): | | | |
| | 118,000 | | | China Railway Group, Ltd. | | | 62,364 | |
| | 53,400 | | | China Railway Group, Ltd., Class A | | | 48,448 | |
| | 102,100 | | | China State Construction Engineering Corp., Ltd. | | | 80,098 | |
| | 44,000 | | | China State Construction International Holdings, Ltd. | | | 54,685 | |
| | 2,296 | | | GS Engineering & Construction Corp. | | | 76,444 | |
| | 2,127 | | | Hyundai Engineering & Construction Co., Ltd. | | | 79,312 | |
| | 21,636 | | | Larsen & Toubro, Ltd. | | | 549,051 | |
| | 71,700 | | | Metallurgical Corp. of China, Ltd. | | | 43,154 | |
| | 38,400 | | | Power Construction Corp. of China, Ltd. | | | 48,677 | |
| | 4,331 | | | Samsung Engineering Co., Ltd.* | | | 83,194 | |
| | | | | | | | |
| | | | | | | 1,125,427 | |
| | | | | | | | |
| Construction Materials (1.0%): | | | |
| | 1,933 | | | ACC, Ltd. | | | 57,586 | |
| | 19,842 | | | Ambuja Cements, Ltd. | | | 100,794 | |
| | 7,700 | | | Anhui Conch Cement Co., Ltd., Class A | | | 48,692 | |
| | 33,000 | | | Anhui Conch Cement Co., Ltd., Class H | | | 164,862 | |
| | 72,000 | | | Asia Cement Corp. | | | 115,330 | |
| | 25,400 | | | BBMG Corp. | | | 11,330 | |
| | 478,374 | | | Cemex SAB de C.V.* | | | 326,925 | |
| | 8,458 | | | China Jushi Co., Ltd., Class A | | | 24,173 | |
| | 122,000 | | | China National Buildings Material Co., Ltd. | | | 149,665 | |
| | 78,000 | | | China Resources Cement Holdings, Ltd. | | | 59,029 | |
| | 7,494 | | | Grasim Industries, Ltd. | | | 163,577 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction Materials, continued | | | |
| | 8,000 | | | Huaxin Cement Co., Ltd. | | $ | 24,234 | |
| | 1,017 | | | POSCO Chemical Co., Ltd. | | | 122,766 | |
| | 44,100 | | | PT Indocement Tunggal Prakarsa Tbk | | | 37,402 | |
| | 112,100 | | | PT Semen Indonesia (Persero) Tbk | | | 56,955 | |
| | 3,423 | | | Saudi Cement Co. | | | 49,955 | |
| | 368 | | | Shree Cement, Ltd. | | | 133,638 | |
| | 162,374 | | | Taiwan Cement Corp. | | | 281,817 | |
| | 19,200 | | | The Siam Cement Public Co., Ltd. | | | 221,619 | |
| | 3,087 | | | Ultra Tech Cement, Ltd. | | | 315,293 | |
| | | | | | | | |
| | | | | | | 2,465,642 | |
| | | | | | | | |
| Consumer Finance (0.6%): | | | |
| | 2,667 | | | 360 DigiTech, Inc., ADR | | | 61,154 | |
| | 8,374 | | | Bajaj Finance, Ltd. | | | 786,181 | |
| | 12,258 | | | Cholamandalam Investment and Finance Co., Ltd. | | | 85,827 | |
| | 29,000 | | | Krungthai Card pcl | | | 51,396 | |
| | 28,300 | | | Muangthai Capital pcl, Class R | | | 49,743 | |
| | 4,134 | | | Muthoot Finance, Ltd. | | | 83,195 | |
| | 4,769 | | | SBI Cards & Payment Services, Ltd.* | | | 59,523 | |
| | 6,417 | | | Shriram Transport Finance | | | 104,186 | |
| | 27,700 | | | Srisawad Corp pcl | | | 51,167 | |
| | | | | | | | |
| | | | | | | 1,332,372 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 21,248 | | | Klabin SA | | | 97,903 | |
| | 38,400 | | | SCG Packaging pcl | | | 79,542 | |
| | 1,500 | | | Yunnan Energy New Material Co., Ltd. | | | 58,874 | |
| | | | | | | | |
| | | | | | | 236,319 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 25,000 | | | China Education Group Holdings, Ltd. | | | 40,629 | |
| | 48,000 | | | China Yuhua Education Corp., Ltd. | | | 17,204 | |
| | 47,798 | | | New Oriental Education & Technology Group, Inc., ADR* | | | 100,376 | |
| | 12,817 | | | TAL Education Group, ADR* | | | 50,371 | |
| | | | | | | | |
| | | | | | | 208,580 | |
| | | | | | | | |
| Diversified Financial Services (0.8%): | | | |
| | 39,126 | | | Chailease Holding Co., Ltd. | | | 371,607 | |
| | 58,000 | | | Far East Horizon, Ltd. | | | 51,498 | |
| | 150,543 | | | FirstRand, Ltd. | | | 574,729 | |
| | 231,038 | | | Fubon Financial Holdings Co., Ltd. | | | 637,257 | |
| | 8,105 | | | Grupo de Inversiones Suramericana SA | | | 59,815 | |
| | 431,800 | | | Metro Pacific Investments Corp. | | | 33,034 | |
| | 3,371 | | | Piramal Enterprises, Ltd. | | | 119,924 | |
| | 16,878 | | | Remgro, Ltd. | | | 139,009 | |
| | | | | | | | |
| | | | | | | 1,986,873 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.4%): | | | |
| | 98,000 | | | China Communications Services Corp., Ltd. | | | 47,760 | |
| | 1,192,000 | | | China Tower Corp., Ltd., Class H | | | 131,519 | |
| | 110,000 | | | Chunghwa Telecom Co., Ltd. | | | 463,355 | |
| | 100,092 | | | Emirates Telecommunications Group Co. PJSC | | | 864,713 | |
| | 7,958 | | | Hellenic Telecommunications Organization SA (OTE) | | | 147,274 | |
| | 18,250 | | | Indus Towers, Ltd. | | | 60,704 | |
| | 6,438 | | | LG Uplus Corp. | | | 73,576 | |
| | 34,613 | | | Ooredoo Qsc | | | 66,737 | |
| | 22,338 | | | Orange Polska SA* | | | 46,739 | |
| | 1,486,900 | | | PT Telekomunikasi Indonesia Tbk | | | 424,879 | |
| | 497,700 | | | Sarana Menara Nusantara Tbk PT | | | 39,285 | |
See accompanying notes to the financial statements.
7
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| | 17,260 | | | Saudi Telecom Co. | | $ | 516,178 | |
| | 12,522 | | | Telefonica Brasil SA | | | 108,356 | |
| | 37,500 | | | Telekom Malaysia Berhad | | | 49,475 | |
| | 50,779 | | | Telesites SAB de CV | | | 51,992 | |
| | 243,500 | | | Tower Bersama Infrastructure Tbk PT | | | 50,403 | |
| | 494,000 | | | True Corp. pcl | | | 70,265 | |
| | | | | | | | |
| | | | | | | 3,213,210 | |
| | | | | | | | |
| Electric Utilities (0.8%): | | | |
| | 7,799 | | | Adani Transmission, Ltd.* | | | 182,585 | |
| | 4,434 | | | Centrais Eletricas Brasileiras S.A | | | 26,282 | |
| | 12,336 | | | Centrais Eletricas Brasileiras S.A | | | 74,007 | |
| | 5,163 | | | CEZ AS | | | 195,461 | |
| | 35,776 | | | Companhia Energetica de Minas Gerais | | | 84,220 | |
| | 657,720 | | | ENEL Americas SA | | | 71,836 | |
| | 1,011,183 | | | ENEL Chile SA | | | 35,388 | |
| | 6,011 | | | Energisa SA | | | 47,892 | |
| | 32,737 | | | Equatorial Energia SA | | | 132,911 | |
| | 952,130 | | | Inter Rao Ues PJSC | | | 54,106 | |
| | 15,365 | | | Interconexion Electrica SA ESP | | | 84,668 | |
| | 7,164 | | | Korea Electric Power Corp., Ltd. | | | 132,708 | |
| | 25,730 | | | PGE SA* | | | 51,586 | |
| | 93,408 | | | Power Grid Corp. of India, Ltd. | | | 256,828 | |
| | 4,801 | | | Public Power Corp. SA* | | | 51,416 | |
| | 25,045 | | | Saudi Electricity Co. | | | 159,886 | |
| | 42,224 | | | Tata Power Co., Ltd. (The) | | | 125,529 | |
| | 71,600 | | | Tenega Nasional Berhad | | | 160,601 | |
| | | | | | | | |
| | | | | | | 1,927,910 | |
| | | | | | | | |
| Electrical Equipment (0.6%): | | | |
| | 4,500 | | | Contemporary Amperex Technology Co., Ltd., Class A | | | 415,072 | |
| | 9,012 | | | Doosan Heavy Industries & Construction Co., Ltd.* | | | 154,078 | |
| | 328 | | | Ecopro BM Co., Ltd. | | | 137,604 | |
| | 3,801 | | | Eve Energy Co., Ltd., Class A | | | 70,459 | |
| | 700 | | | Ginlong Technologies Co., Ltd., Class A | | | 25,430 | |
| | 7,790 | | | Havells India, Ltd. | | | 146,429 | |
| | 12,500 | | | Jiangsu Zhongtian Technology Co., Ltd., Class A | | | 33,305 | |
| | 14,880 | | | Nari Technology Co., Ltd. | | | 93,446 | |
| | 2,900 | | | Sungrow Power Supply Co., Ltd., Class A | | | 66,346 | |
| | 3,200 | | | Sunwoda Electronic Co., Ltd., Class A | | | 21,221 | |
| | 7,200 | | | TBEA Co., Ltd., Class A | | | 23,911 | |
| | 2,000 | | | Voltronic Power Technology Corp. | | | 111,894 | |
| | 16,541 | | | Xinjiang Goldwind Science & Technology Co., Ltd. | | | 42,752 | |
| | 12,400 | | | Xinjiang Goldwind Science & Technology Co., Ltd. | | | 24,227 | |
| | 3,500 | | | Zhejiang Chint Electrics Co., Ltd., Class A | | | 29,610 | |
| | 15,800 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H | | | 91,503 | |
| | | | | | | | |
| | | | | | | 1,487,287 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (3.0%): | | | |
| | 18,500 | | | AAC Technologies Holdings, Inc. | | | 72,886 | |
| | 255,000 | | | AU Optronics Corp. | | | 210,240 | |
| | 4,200 | | | Chaozhou Three-Circle Group Co., Ltd., Class A | | | 29,410 | |
| | 10,300 | | | Delta Electronics Thailand pcl | | | 126,780 | |
| | 60,000 | | | Delta Electronics, Inc. | | | 596,664 | |
| | 9,699 | | | Foxconn Industrial Internet Co., Ltd., Class A | | | 18,141 | |
| | 22,000 | | | Foxconn Technology Co., Ltd. | | | 51,514 | |
| | 8,100 | | | GoerTek, Inc., Class A | | | 68,490 | |
| | 2,100 | | | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A | | | 26,826 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 370,000 | | | Hon Hai Precision Industry Co., Ltd. | | $ | 1,387,622 | |
| | 606 | | | Iljin Materials Co., Ltd.* | | | 68,279 | |
| | 48,600 | | | Inari Amertron Berhad | | | 46,546 | |
| | 266,000 | | | Innolux Corp. | | | 187,528 | |
| | 25,500 | | | Kingboard Holdings, Ltd. | | | 124,065 | |
| | 37,500 | | | Kingboard Laminates Holdings, Ltd. | | | 63,811 | |
| | 659 | | | L&F Co., Ltd. | | | 122,025 | |
| | 3,000 | | | Largan Precision Co., Ltd. | | | 267,291 | |
| | 11,400 | | | Lens Technology Co., Ltd., Class A | | | 41,098 | |
| | 7,487 | | | LG Display Co., Ltd.* | | | 154,846 | |
| | 404 | | | LG Innotek Co., Ltd. | | | 123,594 | |
| | 4,700 | | | Lingyi iTech Guangdong Co., Class A* | | | 5,420 | |
| | 14,559 | | | Luxshare Precision Industry Co., Ltd. | | | 112,369 | |
| | 540 | | | Maxscend Microelectronics Co., Ltd., Class A | | | 27,614 | |
| | 7,000 | | | Nan Ya Printed Circuit Board Corp. | | | 143,628 | |
| | 1,200 | | | NAURA Technology Group Co., Ltd., Class A | | | 65,327 | |
| | 4,200 | | | OFILM Group Co., Ltd., Class A* | | | 6,385 | |
| | 1,281 | | | Raytron Technology Co., Ltd., Class A | | | 15,792 | |
| | 1,773 | | | Samsung Electro-Mechanics Co., Ltd., Series L | | | 294,320 | |
| | 1,664 | | | Samsung SDI Co., Ltd. | | | 911,545 | |
| | 3,800 | | | Shengyi Technology Co., Ltd., Class A | | | 14,040 | |
| | 1,820 | | | Shennan Circuits Co., Ltd., Class A | | | 34,780 | |
| | 22,200 | | | Sunny Optical Technology Group Co., Ltd. | | | 702,180 | |
| | 7,000 | | | Suzhou Dongshan Precision Manufacturing Co., Ltd. | | | 29,760 | |
| | 41,000 | | | Synnex Technology International Corp. | | | 97,953 | |
| | 14,000 | | | Tianma Microelectronics Co., Ltd., Class A | | | 28,582 | |
| | 35,000 | | | Unimicron Technology Corp. | | | 290,845 | |
| | 6,300 | | | Unisplendour Corp., Ltd., Class A | | | 22,579 | |
| | 1,700 | | | Wingtech Technology Co., Ltd. | | | 34,487 | |
| | 47,960 | | | WPG Holdings, Ltd. | | | 91,112 | |
| | 4,536 | | | Wuhan Guide Infrared Co., Ltd. | | | 17,231 | |
| | 1,650 | | | WUS Printed Circuit Kunshan Co., Ltd., Class A | | | 4,293 | |
| | 2,720 | | | Wuxi Lead Intelligent Equipment Co., Ltd., Class A | | | 31,736 | |
| | 12,377 | | | Yageo Corp. | | | 213,951 | |
| | 9,200 | | | Zhejiang Dahua Technology Co., Ltd., Class A | | | 33,893 | |
| | 19,000 | | | Zhen Ding Technology Holding, Ltd. | | | 68,883 | |
| | | | | | | | |
| | | | | | | 7,086,361 | |
| | | | | | | | |
| Energy Equipment & Services (0.1%): | | | |
| | 48,000 | | | China Oilfield Services, Ltd. | | | 42,048 | |
| | 126,200 | | | Dialog Group Berhad | | | 79,385 | |
| | | | | | | | |
| | | | | | | 121,433 | |
| | | | | | | | |
| Entertainment (1.2%): | | | |
| | 500,000 | | | Alibaba Pictures Group, Ltd.* | | | 45,535 | |
| | 4,913 | | | Bilibili, Inc., ADR*^ | | | 227,963 | |
| | 2,170 | | | CD Projekt SA | | | 103,403 | |
| | 400 | | | G-Bits Network Technology Xiamen Co., Ltd. | | | 26,475 | |
| | 455 | | | HYBE Co., Ltd.* | | | 132,921 | |
| | 9,347 | | | IQIYI, Inc., ADR* | | | 42,622 | |
| | 870 | | | Kakao Games Corp.* | | | 66,544 | |
| | 603 | | | Krafton, Inc.* | | | 233,017 | |
| | 4,000 | | | Mango Excellent Media Co., Ltd., Class A | | | 35,905 | |
| | 531 | | | Ncsoft Corp. | | | 286,745 | |
| | 12,275 | | | NetEase, Inc., ADR | | | 1,249,350 | |
| | 657 | | | Netmarble Corp. | | | 69,059 | |
| | 810 | | | Pearl Abyss Corp.* | | | 94,189 | |
| | 7,050 | | | Perfect World Co., Ltd., Class A | | | 22,464 | |
See accompanying notes to the financial statements.
8
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Entertainment, continued | | | |
| | 20,844 | | | Tencent Music Entertainment Group, ADR* | | $ | 142,781 | |
| | 4,800 | | | Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A | | | 20,348 | |
| | 15,360 | | | Zhejiang Century Huatong Group Co., Ltd., Class A* | | | 20,239 | |
| | | | | | | | |
| | | | | | | 2,819,560 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.1%): | | | |
| | 96,015 | | | Fibra UNO Amdinistracion SA | | | 101,498 | |
| | 111,747 | | | Growthpoint Properties, Ltd. | | | 107,832 | |
| | | | | | | | |
| | | | | | | 209,330 | |
| | | | | | | | |
| Food & Staples Retailing (1.3%): | | | |
| | 1,612 | | | Abdullah Al Othaim Markets Co. | | | 46,456 | |
| | 13,933 | | | Atacadao Distribuicao Comercio e Industria, Ltd. | | | 38,154 | |
| | 5,379 | | | Avenue Supermarts, Ltd.* | | | 337,830 | |
| | 27,700 | | | Berli Jucker pcl | | | 25,665 | |
| | 157 | | | BGF Retail Co., Ltd. | | | 19,154 | |
| | 10,042 | | | Bid Corp., Ltd. | | | 205,554 | |
| | 12,876 | | | BIM Birlesik Magazalar AS | | | 58,584 | |
| | 53,777 | | | Cencosud SA | | | 89,997 | |
| | 8,233 | | | Clicks Group, Ltd. | | | 163,003 | |
| | 166,700 | | | CP All pcl | | | 294,205 | |
| | 1,473 | | | Dino Polska SA* | | | 134,341 | |
| | 631 | | | E-Mart Co., Ltd. | | | 79,966 | |
| | 10,020 | | | Magnit PJSC, GDR | | | 149,760 | |
| | 16,000 | | | President Chain Store Corp. | | | 158,069 | |
| | 37,127 | | | Raia Drogasil SA | | | 162,001 | |
| | 14,686 | | | Shoprite Holdings, Ltd. | | | 192,527 | |
| | 78,500 | | | Sun Art Retail Group, Ltd. | | | 31,514 | |
| | 5,844 | | | The Spar Group, Ltd. | | | 61,350 | |
| | 165,130 | | | Wal-Mart de Mexico SAB de C.V. | | | 613,785 | |
| | 3,565 | | | X5 Retail Group NV, GDR | | | 94,152 | |
| | 1,456 | | | Yifeng Pharmacy Chain Co., Ltd., Class A | | | 12,590 | |
| | 25,700 | | | Yonghui Superstores Co., Ltd. | | | 16,333 | |
| | | | | | | | |
| | | | | | | 2,984,990 | |
| | | | | | | | |
| Food Products (1.8%): | | | |
| | 8,424 | | | Almarai Co. JSC | | | 109,327 | |
| | 7,000 | | | Beijing Dabeinong Technology Group Co., Ltd. | | | 11,517 | |
| | 21,374 | | | BRF SA* | | | 86,432 | |
| | 3,392 | | | Britannia Industries, Ltd. | | | 164,569 | |
| | 107,900 | | | Charoen Pokphand Foods Public Co., Ltd. | | | 82,299 | |
| | 110,000 | | | China Feihe, Ltd. | | | 147,678 | |
| | 280,000 | | | China Huishan Dairy Holdings Co., Ltd.*(a) | | | — | |
| | 86,000 | | | China Mengniu Dairy Co., Ltd. | | | 487,525 | |
| | 245 | | | CJ CheilJedang Corp. | | | 79,518 | |
| | 75,500 | | | Dali Foods Group Co., Ltd. | | | 39,511 | |
| | 7,228 | | | Foshan Haitian Flavouring & Food Co., Ltd. | | | 119,200 | |
| | 700 | | | Fu Jian Anjoy Foods Co., Ltd., Class A | | | 18,742 | |
| | 5,255 | | | Gruma, SAB de C.V., Class B | | | 67,390 | |
| | 45,487 | | | Grupo Bimbo SAB de C.V., Series A, Class A | | | 139,921 | |
| | 3,800 | | | Guangdong Haid Group Co., Ltd., Class A | | | 43,706 | |
| | 5,400 | | | Henan Shuanghui Investment & Development Co., Ltd. | | | 26,733 | |
| | 10,200 | | | Inner Mongolia Yili Indsutrial Group Co., Ltd. | | | 66,310 | |
| | 90,500 | | | IOI Corp. Berhad | | | 81,039 | |
| | 26,571 | | | JBS SA | | | 181,068 | |
| | 3,100 | | | Jiangxi Zhengbang Technology Co., Ltd., Class A | | | 4,699 | |
| | 1,500 | | | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. | | | 8,940 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 700 | | | Juewei Food Co., Ltd., Class A | | $ | 7,511 | |
| | 15,700 | | | Kuala Lumpur Kepong Berhad | | | 82,119 | |
| | 9,772 | | | Muyuan Foodstuff Co., Ltd. | | | 81,817 | |
| | 1,031 | | | Nestle India, Ltd. | | | 273,358 | |
| | 2,000 | | | Nestle Malaysia Bhd | | | 64,459 | |
| | 10,600 | | | New Hope Liuhe Co., Ltd., Class A* | | | 25,298 | |
| | 721 | | | Orion Corp./ Republic of Korea | | | 62,746 | |
| | 20,980 | | | PPB Group Berhad | | | 86,161 | |
| | 213,700 | | | PT Charoen Pokphand Indonesia Tbk | | | 89,213 | |
| | 76,600 | | | PT Indofood CBP Sukses Makmur Tbk | | | 46,759 | |
| | 127,500 | | | PT Indofood Sukses Makmur Tbk | | | 56,586 | |
| | 32,650 | | | QL Resources Berhad | | | 35,833 | |
| | 37,200 | | | Sime Darby Plantation Bhd | | | 33,592 | |
| | 20,577 | | | Tata Consumer Products, Ltd. | | | 205,839 | |
| | 56,100 | | | Thai Union Frozen Products pcl | | | 32,739 | |
| | 9,830 | | | The Savola Group | | | 83,598 | |
| | 3,980 | | | Tiger Brands, Ltd. | | | 45,225 | |
| | 70,000 | | | Tingyi (Caymen Is) Holding Corp. | | | 143,851 | |
| | 6,800 | | | Tongwei Co., Ltd., Class A | | | 47,915 | |
| | 43,000 | | | Uni-President China Holdings, Ltd. | | | 41,709 | |
| | 137,000 | | | Uni-President Enterprises Corp. | | | 339,837 | |
| | 32,810 | | | Universal Robina Corp. | | | 82,383 | |
| | 163,000 | | | Want Want China Holdings, Ltd. | | | 149,677 | |
| | 13,060 | | | Wens Foodstuffs Group Co., Ltd. | | | 39,471 | |
| | 16,000 | | | Yihai International Holding, Ltd. | | | 73,955 | |
| | 2,600 | | | Yihai Kerry Arawana Holdings Co., Ltd., Class A | | | 25,679 | |
| | | | | | | | |
| | | | | | | 4,223,454 | |
| | | | | | | | |
| Gas Utilities (0.6%): | | | |
| | 7,360 | | | Adani Total Gas, Ltd. | | | 170,721 | |
| | 18,500 | | | Beijing Enterprises Holdings, Ltd. | | | 63,827 | |
| | 93,800 | | | China Gas Holdings, Ltd. | | | 194,877 | |
| | 32,000 | | | China Resources Gas Group, Ltd. | | | 180,811 | |
| | 24,700 | | | ENN Energy Holdings, Ltd. | | | 465,337 | |
| | 40,303 | | | GAIL India, Ltd. | | | 70,070 | |
| | 8,251 | | | Indraprastha Gas, Ltd. | | | 52,220 | |
| | 124,000 | | | Kunlun Energy Co., Ltd. | | | 116,311 | |
| | 25,200 | | | Petronas Gas Berhad | | | 108,990 | |
| | | | | | | | |
| | | | | | | 1,423,164 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.3%): | | | |
| | 1,430 | | | Autobio Diagnostics Co., Ltd., Class A | | | 12,353 | |
| | 54,400 | | | Hartalega Holdings Berhad | | | 74,853 | |
| | 2,280 | | | Jafron Biomedical Co., Ltd., Class A | | | 19,076 | |
| | 900 | | | Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. | | | 5,338 | |
| | 7,700 | | | Lepu Medical Technology Beijing Co., Ltd., Class A | | | 27,348 | |
| | 20,000 | | | Microport Scientific Corp. | | | 72,850 | |
| | 1,680 | | | Ovctek China, Inc., Class A | | | 15,105 | |
| | 548 | | | SD Biosensor, Inc.* | | | 25,823 | |
| | 72,000 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | | | 89,858 | |
| | 2,100 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | | | 125,480 | |
| | 22,000 | | | Sri Trang Gloves Thailand pcl | | | 19,928 | |
| | 155,200 | | | Top Glove Corp. Berhad | | | 96,510 | |
| | 7,000 | | | Venus MedTech Hangzhou, Inc., Class H* | | | 26,576 | |
| | | | | | | | |
| | | | | | | 611,098 | |
| | | | | | | | |
See accompanying notes to the financial statements.
9
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services (0.7%): | | | |
| | 12,464 | | | Aier Eye Hospital Group Co., Ltd., Class A | | $ | 82,688 | |
| | 3,000 | | | Apollo Hospitals Enterprise, Ltd. | | | 202,421 | |
| | 301,500 | | | Bangkok Dusit Medical Services Public Co., Ltd. | | | 207,526 | |
| | 13,700 | | | Bumrungrad Hospital pcl | | | 57,741 | |
| | 2,641 | | | Celltrion Healthcare Co., Ltd. | | | 178,079 | |
| | 1,270 | | | Dr Sulaiman Al Habib Medical Services Group Co. | | | 54,613 | |
| | 1,400 | | | Guangzhou Kingmed Diagnostics Group Co., Ltd., Class A | | | 24,466 | |
| | 35,667 | | | Hapvida Participacoes e Investimentos SA | | | 66,479 | |
| | 3,300 | | | Huadong Medicine Co., Ltd., Class A | | | 20,815 | |
| | 9,200 | | | Hygeia Healthcare Holdings Co., Ltd. | | | 57,629 | |
| | 60,100 | | | IHH Healthcare Berhad | | | 105,968 | |
| | 46,000 | | | Jinxin Fertility Group, Ltd.*^ | | | 51,393 | |
| | 600 | | | Jointown Pharmaceutical Group Co., Ltd. | | | 1,386 | |
| | 15,300 | | | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A* | | | 18,845 | |
| | 1,233 | | | Mouwasat Medical Services Co. | | | 57,078 | |
| | 16,360 | | | Notre Dame Intermedica Participacoes SA | | | 177,290 | |
| | 9,527 | | | Rede D’Or Sao Luiz SA | | | 76,692 | |
| | 1,900 | | | Shanghai Pharmaceuticals Holding Co., Ltd. | | | 5,924 | |
| | 25,500 | | | Shanghai Pharmaceuticals Holding Co., Ltd. | | | 48,337 | |
| | 34,400 | | | Sinopharm Group Co., Series H | | | 74,870 | |
| | 700 | | | Topchoice Medical Corp., Class A* | | | 21,839 | |
| | | | | | | | |
| | | | | | | 1,592,079 | |
| | | | | | | | |
| Health Care Technology (0.1%): | | | |
| | 130,000 | | | Alibaba Health Information Technology, Ltd.* | | | 110,003 | |
| | 14,300 | | | Ping An Healthcare and Technology Co., Ltd.*^ | | | 51,975 | |
| | 1,090 | | | Winning Health Technology Group Co., Ltd. | | | 2,866 | |
| | | | | | | | |
| | | | | | | 164,844 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.7%): | | | |
| | 231,900 | | | Asset World Corp. pcl* | | | 32,209 | |
| | 3,600 | | | China International Travel Service Corp., Ltd., Class A | | | 123,927 | |
| | 67,600 | | | Genting Berhard | | | 75,799 | |
| | 86,800 | | | Genting Malaysia Berhad | | | 60,017 | |
| | 33,000 | | | Haidilao International Holding, Ltd. | | | 74,559 | |
| | 5,524 | | | Huazhu Group, Ltd., ADR* | | | 206,266 | |
| | 20,000 | | | Jiumaojiu International Holdings, Ltd. | | | 35,146 | |
| | 15,230 | | | Jollibee Foods Corp. | | | 64,689 | |
| | 2,350 | | | Jubilant Foodworks, Ltd. | | | 113,551 | |
| | 2,483 | | | Kangwon Land, Inc.* | | | 50,095 | |
| | 101,900 | | | Minor International pcl* | | | 87,592 | |
| | 7,104 | | | OPAP SA | | | 100,784 | |
| | 25,400 | | | Shenzhen Overseas Chinese Town Co., Ltd., Class A | | | 28,057 | |
| | 6,660 | | | Songcheng Performance Development Co., Ltd., Class A | | | 14,941 | |
| | 12,743 | | | Yum China Holdings, Inc. | | | 635,111 | |
| | | | | | | | |
| | | | | | | 1,702,743 | |
| | | | | | | | |
| Household Durables (0.4%): | | | |
| | 700 | | | Ecovacs Robotics Co., Ltd., Class A | | | 16,581 | |
| | 66,800 | | | Haier Smart Home Co., Ltd., Class H | | | 282,319 | |
| | 3,220 | | | LG Electronics, Inc. | | | 372,409 | |
| | 13,100 | | | NavInfo Co., Ltd.* | | | 32,715 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 74,585 | |
| | 1,400 | | | Oppein Home Group, Inc., Class A | | | 32,395 | |
| | 11,900 | | | Qingdao Haier Co., Ltd. | | | 55,805 | |
| | 28,400 | | | TCL Corp., Class A | | | 27,493 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables, continued | | | |
| | 1,893 | | | Woongjin Coway Co., Ltd. | | $ | 117,733 | |
| | 1,600 | | | Zhejiang Supor Co., Ltd., Class A | | | 15,616 | |
| | | | | | | | |
| | | | | | | 1,027,651 | |
| | | | | | | | |
| Household Products (0.4%): | | | |
| | 25,261 | | | Hindustan Unilever, Ltd. | | | 801,017 | |
| | 54,099 | | | Kimberl- Clark de Mexico SAB de C.V. | | | 81,951 | |
| | 274,300 | | | PT Unilever Indonesia Tbk | | | 79,093 | |
| | 15,000 | | | Vinda International Holdings, Ltd.^ | | | 36,553 | |
| | | | | | | | |
| | | | | | | 998,614 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.8%): | |
| | 186,900 | | | AC Energy Corp. | | | 40,308 | |
| | 11,994 | | | Adani Green Energy, Ltd.* | | | 215,044 | |
| | 26,100 | | | B Grimm Power pcl | | | 31,505 | |
| | 213,000 | | | Cgn Power Co., Ltd., Class H | | | 64,746 | |
| | 106,000 | | | China Longyuan Power Group Corp. | | | 247,448 | |
| | 41,500 | | | China National Nuclear Power Co., Ltd. | | | 54,104 | |
| | 136,000 | | | China Power International Develpoment, Ltd. | | | 91,574 | |
| | 58,000 | | | China Resources Power Holdings Co. | | | 194,164 | |
| | 40,400 | | | China Yangtze Power Co., Ltd. | | | 143,891 | |
| | 2,400 | | | Electricity Genera pcl | | | 12,597 | |
| | 52,200 | | | Energy Absolute Public Co., Ltd. | | | 150,043 | |
| | 7,616 | | | Engie Brasil Energia SA | | | 52,528 | |
| | 25,400 | | | Global Power Synergy pcl | | | 67,452 | |
| | 87,800 | | | Gulf Energy Development pcl, Class R | | | 119,564 | |
| | 13,900 | | | Huadian Power International Corp, Ltd., Class A | | | 11,668 | |
| | 168,000 | | | Huaneng Power International, Inc., Class H | | | 112,259 | |
| | 139,773 | | | NTPC, Ltd. | | | 233,762 | |
| | 16,900 | | | Ratch Group pcl | | | 22,762 | |
| | 20,900 | | | SDIC Power Holdings Co., Ltd., Class A | | | 37,612 | |
| | 21,900 | | | Sichuan Chuantou Energy Co., Ltd., Class A | | | 42,954 | |
| | | | | | | | |
| | | | | | | 1,945,985 | |
| | | | | | | | |
| Industrial Conglomerates (0.9%): | |
| | 77,690 | | | Aboitiz Equity Ventures, Inc. | | | 82,944 | |
| | 88,657 | | | Alfa SAB de CV, Class A | | | 65,050 | |
| | 8,220 | | | Ayala Corp. | | | 133,999 | |
| | 7,824 | | | Bidvest Group, Ltd. | | | 93,096 | |
| | 176,000 | | | Citic, Ltd. | | | 173,956 | |
| | 403 | | | CJ Corp. | | | 28,132 | |
| | 68,000 | | | Far Eastern New Century Corp. | | | 71,940 | |
| | 86,500 | | | Fosun International, Ltd. | | | 93,302 | |
| | 15,971 | | | Grupo Carso SAB de C.V. | | | 51,640 | |
| | 2,295 | | | GT Capital Holdings, Inc. | | | 24,319 | |
| | 15,300 | | | Hap Seng Consolidated Berhad | | | 28,277 | |
| | 44,815 | | | Industries Qatar Q.S.C. | | | 190,617 | |
| | 101,484 | | | JG Summit Holdings, Inc. | | | 105,470 | |
| | 20,331 | | | KOC Holdings AS | | | 43,785 | |
| | 2,559 | | | LG Corp. | | | 173,072 | |
| | 2,613 | | | Samsung C&T Corp. | | | 259,743 | |
| | 2,872 | | | Siemens, Ltd. | | | 91,190 | |
| | 62,100 | | | Sime Darby Berhad | | | 34,600 | |
| | 967 | | | SK, Inc. | | | 203,482 | |
| | 7,815 | | | SM Investments Corp. | | | 144,608 | |
| | 31,448 | | | Turkiye Sise ve Cam Fabrikalari AS | | | 31,902 | |
| | | | | | | | |
| | | | | | | 2,125,124 | |
| | | | | | | | |
See accompanying notes to the financial statements.
10
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance (2.3%): | |
| | 1,250 | | | Bajaj Finserv, Ltd. | | $ | 275,705 | |
| | 17,305 | | | BB Seguridade Participacoes SA | | | 64,478 | |
| | 2,203 | | | Bupa Arabia For Cooperative Insurance Co. | | | 76,926 | |
| | 242,137 | | | Cathay Financial Holding Co., Ltd. | | | 545,816 | |
| | 6,100 | | | China Life Insurance Co., Ltd. | | | 28,800 | |
| | 204,000 | | | China Life Insurance Co., Ltd. | | | 337,981 | |
| | 13,000 | | | China Pacific Insurance Group Co., Ltd., Class A | | | 55,314 | |
| | 83,000 | | | China Pacific Insurance Group Co., Ltd., Class H | | | 225,241 | |
| | 49,200 | | | China Taiping Insurance Holdings Co., Ltd. | | | 67,545 | |
| | 1,303 | | | DB Insurance Co., Ltd. | | | 59,025 | |
| | 13,781 | | | Discovery, Ltd.* | | | 124,258 | |
| | 22,395 | | | HDFC Life Insurance Co., Ltd. | | | 195,717 | |
| | 7,561 | | | ICICI Lombard General Insurance Co., Ltd. | | | 142,558 | |
| | 9,176 | | | ICICI Prudential Life Insurance Co., Ltd. | | | 69,240 | |
| | 27,000 | | | New China Life Insurance Co., Ltd. | | | 72,216 | |
| | 4,500 | | | New China Life Insurance Co., Ltd., Class A | | | 27,451 | |
| | 145,915 | | | Old Mutual, Ltd. | | | 120,041 | |
| | 28,100 | | | People’s Insurance Co. Group of China, Ltd. (The) | | | 20,722 | |
| | 178,000 | | | People’s Insurance Co. Group of China, Ltd. (The) | | | 53,878 | |
| | 202,000 | | | Picc Property & Casuality Co., Ltd., Class H | | | 165,127 | |
| | 185,500 | | | Ping An Insurance Group Co. of China, Ltd. | | | 1,337,104 | |
| | 20,800 | | | Ping An Insurance Group Co. of China, Ltd. | | | 164,205 | |
| | 17,119 | | | Powszechny Zaklad Ubezpieczen SA | | | 150,160 | |
| | 26,923 | | | Rand Merchant Investment Holdings, Ltd. | | | 76,323 | |
| | 972 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 164,776 | |
| | 2,270 | | | Samsung Life Insurance Co., Ltd. | | | 121,780 | |
| | 58,714 | | | Sanlam, Ltd. | | | 218,850 | |
| | 14,052 | | | SBI Life Insurance Co., Ltd. | | | 226,154 | |
| | 320,614 | | | Shin Kong Financial Holdings Co., Ltd. | | | 127,849 | |
| | 2,914 | | | The Co. for Cooperative Insurance | | | 60,065 | |
| | 16,500 | | | Zhongan Online P&c Insurance Co., Ltd.* | | | 57,398 | |
| | | | | | | | |
| | | | | | | 5,432,703 | |
| | | | | | | | |
| Interactive Media & Services (6.2%): | | | |
| | 1,931 | | | Autohome, Inc., ADR | | | 56,926 | |
| | 8,404 | | | Baidu, Inc., ADR* | | | 1,250,431 | |
| | 4,088 | | | Hello Group, Inc., ADR | | | 36,710 | |
| | 2,379 | | | Info Edge India, Ltd. | | | 178,418 | |
| | 1,413 | | | JOYY, Inc., ADR | | | 64,193 | |
| | 9,648 | | | Kakao Corp. | | | 910,089 | |
| | 1,037 | | | Kanzhun, Ltd., ADR*^ | | | 36,171 | |
| | 3,737 | | | NAVER Corp. | | | 1,186,529 | |
| | 173,300 | | | Tencent Holdings, Ltd. | | | 10,166,664 | |
| | 3,760 | | | VK Co., Ltd., GDR* | | | 43,625 | |
| | 1,711 | | | Weibo Corp., ADR* | | | 53,007 | |
| | 9,539 | | | Yandex NV, Class A* | | | 571,654 | |
| | | | | | | | |
| | | | | | | 14,554,417 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (6.0%): | | | |
| | 456,272 | | | Alibaba Group Holding, Ltd.* | | | 6,831,503 | |
| | 10,438 | | | Allegro.eu SA* | | | 100,291 | |
| | 12,923 | | | Americanas SA* | | | 73,282 | |
| | 320 | | | CJ ENM Co., Ltd. | | | 37,294 | |
| | 1,842 | | | Dada Nexus, Ltd., ADR* | | | 24,241 | |
| | 88,000 | | | HengTen Networks Group, Ltd.* | | | 33,300 | |
| | 9,050 | | | JD Health International, Inc.* | | | 71,450 | |
| | 26,900 | | | JD.com, Inc., ADR* | | | 1,884,883 | |
| | 123,600 | | | Meituan* | | | 3,573,378 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Internet & Direct Marketing Retail, continued | | | |
| | 1,000 | | | momo.com, Inc. | | $ | 58,580 | |
| | 321 | | | Ozon Holdings plc, ADR* | | | 9,505 | |
| | 965 | | | Ozon Holdings plc, ADR* | | | 29,261 | |
| | 13,395 | | | Pinduoduo, Inc., ADR* | | | 780,928 | |
| | 31,200 | | | Tongcheng Travel Holdings, Ltd.* | | | 57,784 | |
| | 15,719 | | | Trip.com Group, Ltd., ADR* | | | 387,002 | |
| | 14,042 | | | Vipshop Holdings, Ltd., ADR* | | | 117,953 | |
| | 36,888 | | | Zomato, Ltd.* | | | 68,198 | |
| | | | | | | | |
| | | | | | | 14,138,833 | |
| | | | | | | | |
| IT Services (2.7%): | | | |
| | 6,000 | | | Beijing Sinnet Technology Co., Ltd. | | | 13,971 | |
| | 68,000 | | | Chinasoft International, Ltd. | | | 88,744 | |
| | 2,575 | | | Chindata Group Holdings, Ltd., ADR*^ | | | 16,969 | |
| | 9,100 | | | DHC Software Co., Ltd., Class A | | | 11,137 | |
| | 2,787 | | | GDS Holdings, Ltd., ADR*^ | | | 131,435 | |
| | 33,611 | | | HCL Technologies, Ltd. | | | 596,511 | |
| | 102,982 | | | Infosys, Ltd. | | | 2,613,862 | |
| | 1,744 | | | Kingsoft Cloud Holdings, Ltd., ADR*^ | | | 27,468 | |
| | 1,779 | | | Larsen & Toubro Infotech, Ltd. | | | 175,318 | |
| | 1,858 | | | Mindtree Ltd. | | | 119,211 | |
| | 2,194 | | | Mphasis Ltd. | | | 100,179 | |
| | 1,016 | | | Samsung SDS Co., Ltd. | | | 132,918 | |
| | 28,153 | | | Tata Consultancy Services, Ltd. | | | 1,416,136 | |
| | 19,412 | | | Tech Mahindra, Ltd. | | | 466,719 | |
| | 25,000 | | | Travelsky Technology, Ltd., Series H | | | 42,066 | |
| | 2,723 | | | Vnet Group, Inc., ADR* | | | 24,589 | |
| | 42,098 | | | Wipro, Ltd. | | | 405,211 | |
| | | | | | | | |
| | | | | | | 6,382,444 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 8,000 | | | Giant Manufacturing Co., Ltd. | | | 99,810 | |
| | 2,720 | | | HLB, Inc.* | | | 79,166 | |
| | | | | | | | |
| | | | | | | 178,976 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.1%): | | | |
| | 4,021 | | | Divi’s Laboratories, Ltd. | | | 253,078 | |
| | 36,000 | | | Genscript Biotech Corp.* | | | 159,328 | |
| | 1,800 | | | Hangzhou Tigermed Consulting Co., Ltd., Class A | | | 36,116 | |
| | 3,100 | | | Hangzhou Tigermed Consulting Co., Ltd., Class H | | | 39,380 | |
| | 1,200 | | | Joinn Laboratories China Co., Ltd., Class A | | | 21,734 | |
| | 2,100 | | | Pharmaron Beijing Co., Ltd., Class A | | | 46,528 | |
| | 3,200 | | | Pharmaron Beijing Co., Ltd., Class H | | | 49,371 | |
| | 488 | | | Samsung Biologics Co., Ltd.* | | | 370,280 | |
| | 5,208 | | | WuXi AppTec Co., Ltd., Class A | | | 96,915 | |
| | 10,536 | | | WuXi AppTec Co., Ltd., Class H | | | 182,426 | |
| | 109,000 | | | Wuxi Biologics Cayman, Inc.* | | | 1,295,659 | |
| | | | | | | | |
| | | | | | | 2,550,815 | |
| | | | | | | | |
| Machinery (0.8%): | | | |
| | 4,185 | | | AirTac International Group | | | 153,840 | |
| | 51,000 | | | China Conch Venture Holdings, Ltd. | | | 249,203 | |
| | 7,100 | | | China CSSC Holdings, Ltd., Class A | | | 27,607 | |
| | 45,100 | | | CRRC Corp., Ltd., Class A | | | 43,046 | |
| | 1,481 | | | Doosan Bobcat, Inc.* | | | 50,742 | |
| | 23,000 | | | Haitian International Holdings, Ltd. | | | 63,875 | |
| | 9,394 | | | Hiwin Technologies Corp. | | | 103,850 | |
| | 1,660 | | | Hyundai Heavy Industries Holdings Co., Ltd. | | | 74,967 | |
| | 3,108 | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A | | | 39,953 | |
See accompanying notes to the financial statements.
11
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 1,191 | | | Korea Shipbuilding & Offshore* | | $ | 94,735 | |
| | 4,400 | | | Riyue Heavy Industry Co., Ltd., Class A | | | 22,751 | |
| | 19,664 | | | Samsung Heavy Industries Co., Ltd., Class R* | | | 93,777 | |
| | 36,000 | | | Sany Heavy Equipment International Holdings Co., Ltd. | | | 34,838 | |
| | 15,600 | | | Sany Heavy Industry Co., Ltd. | | | 55,807 | |
| | 4,050 | | | Shenzhen Inovance Technology Co., Ltd. | | | 43,589 | |
| | 26,000 | | | Sinotruk Hong Kong, Ltd. | | | 40,019 | |
| | 51,440 | | | WEG SA | | | 304,631 | |
| | 15,600 | | | Weichai Power Co., Ltd., Class A | | | 43,788 | |
| | 58,000 | | | Weichai Power Co., Ltd., Class H | | | 113,519 | |
| | 30,200 | | | XCMG Construction Machinery Co., Ltd. | | | 28,397 | |
| | 1,400 | | | Zhejiang Dingli Machinery Co., Ltd., Class A | | | 17,628 | |
| | 14,560 | | | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | | | 57,764 | |
| | 14,800 | | | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class A | | | 16,650 | |
| | 47,600 | | | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H | | | 29,996 | |
| | | | | | | | |
| | | | | | | 1,804,972 | |
| | | | | | | | |
| Marine (0.5%): | | | |
| | 92,950 | | | COSCO SHIPPING Holdings Co., Ltd.* | | | 180,483 | |
| | 26,260 | | | COSCO SHIPPING Holdings Co., Ltd., Class A* | | | 76,992 | |
| | 75,835 | | | Evergreen Marine Corp., Ltd. | | | 388,719 | |
| | 8,078 | | | HMM Co., Ltd.* | | | 182,681 | |
| | 36,500 | | | MISC Berhad | | | 61,781 | |
| | 6,819 | | | Pan Ocean Co., Ltd. | | | 31,021 | |
| | 18,700 | | | Wan Hai Lines, Ltd. | | | 134,343 | |
| | 49,000 | | | Yang Ming Marine Transport Corp.* | | | 214,477 | |
| | | | | | | | |
| | | | | | | 1,270,497 | |
| | | | | | | | |
| Media (0.7%): | | | |
| | 2,304 | | | Cheil Worldwide, Inc. | | | 44,088 | |
| | 12,600 | | | China Literature, Ltd.* | | | 79,189 | |
| | 9,928 | | | Cyfrowy Polsat SA | | | 85,454 | |
| | 37,199 | | | Focus Media Information Technology Co., Ltd., Class A | | | 47,803 | |
| | 74,210 | | | Grupo Televisa SAB | | | 139,749 | |
| | 13,500 | | | Kuaishou Technology*^ | | | 124,769 | |
| | 5,875 | | | Megacable Holdings SAB de C.V. | | | 20,021 | |
| | 11,118 | | | MultiChoice Group, Ltd. | | | 85,152 | |
| | 6,309 | | | Naspers, Ltd. | | | 979,627 | |
| | | | | | | | |
| | | | | | | 1,605,852 | |
| | | | | | | | |
| Metals & Mining (4.1%): | | | |
| | 3,562 | | | African Rainbow Minerals, Ltd. | | | 51,721 | |
| | 77,337 | | | Alrosa PAO | | | 126,322 | |
| | 116,000 | | | Aluminum Corp. of China, Ltd.* | | | 64,058 | |
| | 271,200 | | | Aneka Tambang Tbk | | | 42,801 | |
| | 1,698 | | | Anglo American Platinum, Ltd. | | | 193,516 | |
| | 13,046 | | | AngloGold Ashanti, Ltd. | | | 272,525 | |
| | 30,300 | | | Baoshan Iron & Steel Co., Ltd., Class A | | | 34,039 | |
| | 72,000 | | | China Hongqiao Group, Ltd. | | | 76,006 | |
| | 58,500 | | | China Molybdenum Co., Ltd., Class A | | | 51,214 | |
| | 87,000 | | | China Molybdenum Co., Ltd., Class H | | | 46,021 | |
| | 7,200 | | | China Northern Rare Earth Group High-Tech Co., Ltd., Class A | | | 51,696 | |
| | 350,000 | | | China Steel Corp. | | | 447,228 | |
| | 6,579 | | | Cia de Minas Buenaventura SA, ADR* | | | 48,158 | |
| | 22,695 | | | Companhia Siderurgica Nacional SA (CSN) | | | 101,840 | |
| | 41,694 | | | Eregli Demir ve Celik Fabrikalari T.A.S. | | | 89,022 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining, continued | | | |
| | 2,000 | | | Ganfeng Lithium Co., Ltd. | | $ | 44,855 | |
| | 7,800 | | | Ganfeng Lithium Co., Ltd., Class H | | | 122,769 | |
| | 13,600 | | | GEM Co., Ltd., Class A | | | 22,086 | |
| | 26,426 | | | Gold Fields | | | 288,685 | |
| | 94,185 | | | Grupo Mexico SAB de C.V., Series B, Class B | | | 410,816 | |
| | 17,328 | | | Harmony Gold Mining Co., Ltd. | | | 72,405 | |
| | 50,548 | | | Hindalco Industries, Ltd. | | | 323,465 | |
| | 3,115 | | | Hyundai Steel Co. | | | 107,385 | |
| | 24,831 | | | Impala Platinum Holdings, Ltd. | | | 350,942 | |
| | 4,401 | | | Industrias Penoles SAB de C.V. | | | 50,643 | |
| | 88,300 | | | Inner Mongolia Baotou Steel Union Co., Ltd.* | | | 38,623 | |
| | 34,000 | | | Jiangxi Copper Co., Ltd. | | | 54,661 | |
| | 6,400 | | | Jiangxi Copper Co., Ltd., Class A | | | 22,488 | |
| | 27,645 | | | JSW Steel, Ltd. | | | 244,015 | |
| | 4,471 | | | KGHM Polska Miedz SA | | | 154,836 | |
| | 289 | | | Korea Zinc Co. | | | 124,194 | |
| | 1,769 | | | Kumba Iron Ore, Ltd. | | | 51,202 | |
| | 235,200 | | | Merdeka Copper Gold Tbk PT* | | | 64,233 | |
| | 1,934 | | | MMC Norilsk Nickel PJSC | | | 589,025 | |
| | 76,000 | | | MMG, Ltd.* | | | 24,502 | |
| | 11,807 | | | Northam Platinum Holdings, Ltd.* | | | 155,267 | |
| | 42,350 | | | Novolipetsk Steel PJSC | | | 122,910 | |
| | 10,301 | | | Polymetal International plc | | | 180,172 | |
| | 1,026 | | | Polyus PJSC | | | 179,562 | |
| | 2,151 | | | POSCO | | | 493,843 | |
| | 92,000 | | | Press Metal Aluminium Holdings Bhd | | | 127,712 | |
| | 13,029 | | | Saudi Arabian Mining Co.* | | | 272,046 | |
| | 6,613 | | | Severstal | | | 141,397 | |
| | 8,120 | | | Shandong Gold Mining Co., Ltd. | | | 23,978 | |
| | 14,000 | | | Shandong Gold Mining Co., Ltd., Class H | | | 23,946 | |
| | 39,100 | | | Shandong Nanshan Aluminum Co., Ltd., Class A | | | 28,960 | |
| | 6,600 | | | Shenghe Resources Holding Co., Ltd., Class A | | | 20,316 | |
| | 77,036 | | | Sibanye Stillwater, Ltd. | | | 238,213 | |
| | 2,541 | | | Southern Copper Corp. | | | 156,805 | |
| | 19,645 | | | Tata Steel, Ltd. | | | 293,841 | |
| | 32,700 | | | Tongling Nonferrous Metals Group Co., Ltd., Class A | | | 17,909 | |
| | 84,297 | | | United Co. RUSAL International PJSC* | | | 83,192 | |
| | 120,964 | | | Vale SA | | | 1,693,366 | |
| | 37,580 | | | Vedanta, Ltd. | | | 172,539 | |
| | 5,040 | | | Yintai Gold Co., Ltd. | | | 6,944 | |
| | 2,600 | | | Zhejiang Huayou Cobalt Co., Ltd., Class A | | | 45,002 | |
| | 38,700 | | | Zijin Mining Group Co., Ltd. | | | 58,892 | |
| | 172,000 | | | Zijin Mining Group Co., Ltd. | | | 204,837 | |
| | | | | | | | |
| | | | | | | 9,599,646 | |
| | | | | | | | |
| Multiline Retail (0.3%): | | | |
| | 72,375 | | | Central Retail Corp. pcl | | | 68,926 | |
| | 28,913 | | | Lojas Renner SA | | | 126,887 | |
| | 218 | | | Lotte Shopping Co., Ltd. | | | 15,986 | |
| | 84,931 | | | Magazine Luiza SA | | | 110,110 | |
| | 22,077 | | | S.A.C.I. Falabella | | | 72,052 | |
| | 6,235 | | | Trent, Ltd. | | | 89,301 | |
| | 30,415 | | | Woolworths Holdings, Ltd. | | | 99,065 | |
| | | | | | | | |
| | | | | | | 582,327 | |
| | | | | | | | |
| Multi-Utilities (0.0%†): | | | |
| | 16,879 | | | Qatar Electricity & Water Co. | | | 76,920 | |
| | | | | | | | |
See accompanying notes to the financial statements.
12
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels (5.5%): | | | |
| | 24,317 | | | Bharat Pertoleum Corp., Ltd. | | $ | 126,120 | |
| | 45,000 | | | China Coal Energy Co., Ltd., Class H | | | 25,973 | |
| | 34,000 | | | China Petroleum & Chemical Corp., Class A | | | 22,564 | |
| | 778,000 | | | China Petroleum & Chemical Corp., Class H | | | 362,613 | |
| | 10,100 | | | China Shenhua Energy Co., Ltd. | | | 35,698 | |
| | 113,500 | | | China Shenhua Energy Co., Ltd. | | | 266,115 | |
| | 45,000 | | | China Suntien Green Energy Corp., Ltd., Class H | | | 35,093 | |
| | 38,180 | | | Coal India, Ltd. | | | 74,944 | |
| | 30,707 | | | Cosan sa industria e Comercio | | | 119,597 | |
| | 8,500 | | | COSCO SHIPPING Energy Transportation Co., Ltd., Class A | | | 7,895 | |
| | 143,502 | | | Ecopetrol SA | | | 94,962 | |
| | 12,351 | | | Empresas Copec SA | | | 95,530 | |
| | 8,858 | | | Exxaro Resources, Ltd. | | | 85,039 | |
| | 38,000 | | | Formosa Petrochemical Corp. | | | 131,621 | |
| | 354,974 | | | Gazprom PJSC | | | 1,622,211 | |
| | 1,948 | | | GS Holdings | | | 64,041 | |
| | 22,086 | | | Hindustan Petroleum Corp., Ltd. | | | 86,829 | |
| | 49,568 | | | Indian Oil Corp., Ltd. | | | 74,370 | |
| | 12,219 | | | LUKOIL PJSC | | | 1,068,740 | |
| | 13,557 | | | MOL Hungarian Oil And Gas plc | | | 105,312 | |
| | 2,828 | | | Novatek PJSC, GDR | | | 660,203 | |
| | 75,771 | | | Oil & Natural Gas Corp., Ltd. | | | 145,023 | |
| | 45,900 | | | PetroChina Co., Ltd., Class A | | | 35,357 | |
| | 614,000 | | | PetroChina Co., Ltd., Class H | | | 273,463 | |
| | 142,673 | | | Petroleo Brasileiro SA | | | 728,865 | |
| | 111,135 | | | Petroleo Brasileiro SA | | | 612,649 | |
| | 11,400 | | | Petronas Dagangan Berhad | | | 56,392 | |
| | 21,431 | | | Petronet LNG, Ltd. | | | 62,367 | |
| | 8,883 | | | Polski Koncern Naftowy Orlen SA | | | 163,852 | |
| | 49,036 | | | Polskie Gornictwo Naftowe i Gazownictwo SA | | | 76,664 | |
| | 427,800 | | | PT Adaro Energy Tbk | | | 67,553 | |
| | 58,000 | | | PT United Tractors Tbk | | | 90,102 | |
| | 46,600 | | | PTT Exploration & Production pcl | | | 164,131 | |
| | 310,400 | | | PTT pcl | | | 352,304 | |
| | 14,235 | | | Qatar Fuel QSC | | | 71,449 | |
| | 46,623 | | | Qatar Gas Transport Co., Ltd. | | | 42,242 | |
| | 7,029 | | | Rabigh Refining & Petrochemical Co.* | | | 38,675 | |
| | 85,660 | | | Reliance Industries, Ltd. | | | 2,727,545 | |
| | 37,929 | | | Rosneft Oil Co. PJSC | | | 302,762 | |
| | 66,066 | | | Saudi Arabian Oil Co. | | | 629,471 | |
| | 26,100 | | | Shaanxi Coal Industry Co., Ltd. | | | 49,967 | |
| | 14,400 | | | Shanxi Meijin Energy Co., Ltd., Class A* | | | 36,678 | |
| | 1,592 | | | SK Innovation Co., Ltd.* | | | 319,255 | |
| | 1,367 | | | S-Oil Corp. | | | 98,457 | |
| | 171,452 | | | Surgutneftegas PJSC | | | 90,793 | |
| | 199,091 | | | Surgutneftegas Prefernce | | | 102,217 | |
| | 43,241 | | | Tatneft PJSC | | | 288,000 | |
| | 34,500 | | | Thai Oil Public Co., Ltd. | | | 50,952 | |
| | 4,521 | | | Tupras-Turkiye Petrol Rafine* | | | 52,971 | |
| | 21,910 | | | Ultrapar Participacoes SA | | | 57,204 | |
| | 50,000 | | | Yankuang Energy Group Co., Ltd. | | | 99,398 | |
| | | | | | | | |
| | | | | | | 13,052,228 | |
| | | | | | | | |
| Paper & Forest Products (0.2%): | | | |
| | 33,569 | | | Empresas CMPC SA | | | 56,297 | |
| | 43,000 | | | Lee & Man Paper Manufacturing, Ltd. | | | 29,905 | |
| | 49,000 | | | Nine Dragons Paper Holdings, Ltd. | | | 52,617 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Paper & Forest Products, continued | | | |
| | 85,700 | | | PT Indah Kiat Pulp & Paper Corp Tbk | | $ | 47,052 | |
| | 23,305 | | | Suzano SA* | | | 251,547 | |
| | | | | | | | |
| | | | | | | 437,418 | |
| | | | | | | | |
| Personal Products (0.5%): | | | |
| | 1,041 | | | Amorepacific Corp. | | | 145,159 | |
| | 863 | | | Amorepacific Group | | | 31,974 | |
| | 3,754 | | | Colgate-Palmolive India, Ltd. | | | 74,820 | |
| | 16,996 | | | Dabur India, Ltd. | | | 132,643 | |
| | 11,217 | | | Godrej Consumer Products, Ltd.* | | | 146,147 | |
| | 22,000 | | | Hengan International Group Co., Ltd. | | | 113,281 | |
| | 273 | | | LG Household & Health Care, Ltd. | | | 251,886 | |
| | 60 | | | LG Household & Health Care, Ltd. | | | 31,094 | |
| | 16,791 | | | Marico, Ltd. | | | 115,814 | |
| | 29,667 | | | Natura & Co. Holding SA* | | | 135,470 | |
| | | | | | | | |
| | | | | | | 1,178,288 | |
| | | | | | | | |
| Pharmaceuticals (1.3%): | | | |
| | 12,537 | | | Aspen Pharmacare Holdings, Ltd. | | | 176,947 | |
| | 500 | | | Asymchem Laboratories Tianjin Co., Ltd., Class A | | | 34,128 | |
| | 8,967 | | | Aurobindo Pharma, Ltd. | | | 88,598 | |
| | 900 | | | Betta Pharmaceuticals Co., Ltd. | | | 11,259 | |
| | 2,400 | | | CanSino Biologics, Inc., Class H*^ | | | 55,473 | |
| | 534 | | | Celltrion Pharm, Inc.* | | | 55,815 | |
| | 800 | | | Changchun High & New Technology Industry Group, Inc., Class A | | | 34,086 | |
| | 43,000 | | | China Medical System Holdings, Ltd. | | | 71,851 | |
| | 286,000 | | | China Pharmaceutical Enterprise & Investment Corp. | | | 310,774 | |
| | 100,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 66,313 | |
| | 14,918 | | | Cipla, Ltd. | | | 189,354 | |
| | 3,550 | | | Dr Reddy’s Laboratories, Ltd. | | | 233,851 | |
| | 2,900 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A | | | 15,559 | |
| | 186 | | | Hanmi Pharm Co., Ltd. | | | 42,765 | |
| | 36,000 | | | Hansoh Pharmaceutical Group Co., Ltd. | | | 87,739 | |
| | 2,402 | | | Hutchison China MediTech, Ltd., ADR* | | | 84,262 | |
| | 10,611 | | | Hypera SA | | | 53,865 | |
| | 14,227 | | | Jiangsu Hengrui Medicine Co., Ltd. | | | 113,185 | |
| | 5,585 | | | Lupin, Ltd. | | | 71,445 | |
| | 2,704 | | | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | | | 17,813 | |
| | 7,000 | | | Oneness Biotech Co., Ltd.* | | | 72,758 | |
| | 658,200 | | | PT Kalbe Farma Tbk | | | 74,594 | |
| | 4,752 | | | Richter Gedeon Nyrt | | | 127,916 | |
| | 3,300 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd. | | | 25,359 | |
| | 17,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd. | | | 74,891 | |
| | 6,720 | | | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A | | | 20,668 | |
| | 896 | | | Shin Poong Pharmaceutical Co., Ltd. | | | 23,866 | |
| | 330,750 | | | Sino Biopharmaceutical, Ltd. | | | 231,769 | |
| | 798 | | | SK Biopharmaceuticals Co., Ltd.* | | | 65,127 | |
| | 25,548 | | | Sun Pharmaceutical Industries, Ltd. | | | 290,711 | |
| | 1,214 | | | Torrent Pharmaceuticals, Ltd. | | | 53,528 | |
| | 1,667 | | | Yuhan Corp. | | | 87,089 | |
| | 2,200 | | | Yunnan Baiyao Group Co., Ltd. | | | 36,121 | |
| | 1,300 | | | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. | | | 89,166 | |
| | 6,380 | | | Zhejiang Huahai Pharmaceutical Co., Ltd. | | | 21,686 | |
| | 4,320 | | | Zhejiang NHU Co., Ltd., Class A | | | 21,094 | |
| | 500 | | | Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. | | | 4,492 | |
| | | | | | | | |
| | | | | | | 3,135,917 | |
| | | | | | | | |
See accompanying notes to the financial statements.
13
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services (0.0%†): | | | |
| | 744 | | | 51job, Inc., ADR* | | $ | 36,404 | |
| | | | | | | | |
| Real Estate Management & Development (1.7%): | | | |
| | 50,000 | | | Agile Group Holdings, Ltd. | | | 27,130 | |
| | 126,385 | | | Aldar Properties PJSC | | | 137,273 | |
| | 238,800 | | | Ayala Land, Inc. | | | 171,992 | |
| | 78,422 | | | Barwa Real Estate Co. | | | 65,904 | |
| | 58,200 | | | Central Pattana pcl | | | 98,215 | |
| | 60,000 | | | China Everbright Environment Group, Ltd. | | | 12,239 | |
| | 166,000 | | | China Jinmao Holdings Group, Ltd. | | | 51,312 | |
| | 24,100 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A | | | 50,389 | |
| | 115,500 | | | China Overseas Land & Investment, Ltd. | | | 273,465 | |
| | 55,000 | | | China Overseas Property Holdings, Ltd.^ | | | 58,342 | |
| | 100,000 | | | China Resources Land, Ltd. | | | 420,698 | |
| | 14,200 | | | China Resources Mixc Lifestyle Services, Ltd. | | | 66,207 | |
| | 18,800 | | | China Vanke Co., Ltd., Class A | | | 58,296 | |
| | 50,600 | | | China Vanke Co., Ltd., Class H | | | 117,790 | |
| | 20,000 | | | CIFI Ever Sunshine Services Group, Ltd. | | | 30,990 | |
| | 113,400 | | | CIFI Holdings Group Co., Ltd. | | | 68,219 | |
| | 231,000 | | | Country Garden Holdings Co., Ltd. | | | 205,188 | |
| | 14,300 | | | Dar Al Arkan Real Estate Development Co.* | | | 38,293 | |
| | 17,411 | | | DLF, Ltd. | | | 91,482 | |
| | 9,596 | | | Emaar Economic City* | | | 30,513 | |
| | 115,979 | | | Emaar Properties PJSC | | | 154,112 | |
| | 6,000 | | | Future Land Holdings Co., Ltd. | | | 27,423 | |
| | 10,300 | | | Gemdale Corp., Class A | | | 20,965 | |
| | 3,334 | | | Godrej Properties, Ltd.* | | | 83,969 | |
| | 18,585 | | | Greenland Holdings Corp., Ltd. | | | 12,656 | |
| | 22,000 | | | Greentown China Holdings, Ltd. | | | 35,444 | |
| | 48,400 | | | Guangzhou R&F Properties Co., Ltd., Class H | | | 18,006 | |
| | 22,000 | | | Hopson Development Holdings, Ltd. | | | 45,863 | |
| | 12,500 | | | Jinke Properties Group Co., Ltd., Class A | | | 8,787 | |
| | 11,029 | | | KE Holdings, Inc., ADR* | | | 221,903 | |
| | 51,000 | | | KWG Group Holdings, Ltd. | | | 33,360 | |
| | 227,100 | | | Land & Houses Public Co., Ltd. | | | 59,750 | |
| | 43,000 | | | Logan Property Holdings Co., Ltd. | | | 32,873 | |
| | 56,000 | | | Longfor Group Holdings, Ltd. | | | 263,611 | |
| | 14,252 | | | Mabanee Co KPSC | | | 37,428 | |
| | 13,626 | | | NEPI Rockcastle plc | | | 90,676 | |
| | 30,600 | | | Poly Real Estate Group Co., Ltd., Class A | | | 74,937 | |
| | 41,000 | | | Powerlong Real Estate Holdings, Ltd. | | | 21,470 | |
| | 39,984 | | | Ruentex Development Co., Ltd. | | | 92,003 | |
| | 62,000 | | | Seazen Group, Ltd. | | | 41,912 | |
| | 44,500 | | | Shanghai Lujiazue | | | 40,548 | |
| | 42,000 | | | Shimao Property Holdings, Ltd. | | | 27,476 | |
| | 17,000 | | | Shimao Services Holdings, Ltd. | | | 11,819 | |
| | 294,200 | | | SM Prime Holdings, Inc. | | | 195,712 | |
| | 81,000 | | | Sunac China Holdings, Ltd. | | | 122,412 | |
| | 18,000 | | | Sunac Services Holdings, Ltd. | | | 18,356 | |
| | 43,000 | | | The Wharf Holdings, Ltd. | | | 132,059 | |
| | 37,600 | | | Yuexiu Property Co., Ltd. | | | 33,131 | |
| | | | | | | | |
| | | | | | | 4,032,598 | |
| | | | | | | | |
| Road & Rail (0.2%): | | | |
| | 93,700 | | | Beijing-Shanghai High Speed Railway Co., Ltd., Class A | | | 71,015 | |
| | 303,300 | | | BTS Group Holdings pcl | | | 84,777 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 235 | | | CJ Logistics Corp.* | | $ | 24,782 | |
| | 7,427 | | | Container Corp. of India, Ltd. | | | 61,417 | |
| | 3,174 | | | DiDi Global, Inc., ADR*^ | | | 15,807 | |
| | 16,052 | | | Localiza Rent a Car SA | | | 152,766 | |
| | 36,591 | | | Rumo SA* | | | 116,692 | |
| | | | | | | | |
| | | | | | | 527,256 | |
| | | | | | | | |
| Semiconductors & Semiconductor (0.0%†): | | | |
| | 473 | | | SK Square Co., Ltd.* | | | 26,424 | |
| | 400 | | | StarPower Semiconductor, Ltd., Class A | | | 23,909 | |
| | | | | | | | |
| | | | | | | 50,333 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (10.4%): | | | |
| | 885 | | | Advanced Micro-Fabrication Equipment, Inc., Class A* | | | 17,577 | |
| | 105,465 | | | ASE Technology Holding Co., Ltd. | | | 404,456 | |
| | 1,000 | | | ASMedia Technology, Inc. | | | 65,821 | |
| | 1,694 | | | Daqo New Energy Corp., ADR* | | | 68,302 | |
| | 2,000 | | | eMemory Technology, Inc. | | | 157,867 | |
| | 17,000 | | | Flat Glass Group Co., Ltd., Class H^ | | | 86,466 | |
| | 36,500 | | | GCL System Integration Technology Co., Ltd.* | | | 21,775 | |
| | 756 | | | Gigadevice Semiconductor Beijing, Inc., Class A | | | 20,826 | |
| | 7,000 | | | Globalwafers Co., Ltd. | | | 223,914 | |
| | 2,280 | | | Hangzhou First Applied Material Co., Ltd., Class A | | | 46,671 | |
| | 2,000 | | | Hangzhou Silan Microelectronics Co., Ltd., Class A | | | 16,954 | |
| | 14,000 | | | Hua Hong Semiconductor, Ltd.* | | | 77,210 | |
| | 1,000 | | | Ingenic Semiconductor Co., Ltd., Class A | | | 21,022 | |
| | 3,000 | | | JA Solar Technology Co., Ltd., Class A | | | 43,624 | |
| | 5,300 | | | JCET Group Co., Ltd., Class A | | | 25,795 | |
| | 10,920 | | | Longi Green Energy Technology Co., Ltd. | | | 147,675 | |
| | 45,000 | | | MediaTek, Inc. | | | 1,924,654 | |
| | 38,000 | | | Nanya Technology Corp. | | | 107,267 | |
| | 4,972 | | | National Silicon Industry Group Co., Ltd., Class A* | | | 20,140 | |
| | 18,000 | | | Novatek Microelectronics Corp. | | | 349,319 | |
| | 2,000 | | | Parade Technologies Ltd. | | | 152,291 | |
| | 14,000 | | | Realtek Semiconductor Corp. | | | 293,664 | |
| | 600 | | | SG Micro Corp., Class A | | | 29,087 | |
| | 1,400 | | | Shenzhen Goodix Technology Co., Ltd., Class A | | | 23,672 | |
| | 800 | | | Shenzhen SC New Energy Technology Corp., Class A | | | 14,356 | |
| | 2,000 | | | Silergy Corp. | | | 361,494 | |
| | 16,340 | | | SK Hynix, Inc. | | | 1,788,014 | |
| | 742,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 16,435,866 | |
| | 10,700 | | | Tianjin Zhonghuan Semiconductor Co., Ltd. | | | 70,097 | |
| | 10,600 | | | Tianshui Huatian Technology Co., Ltd., Class A | | | 21,137 | |
| | 400 | | | Unigroup Guoxin Microelectronics Co., Ltd., Class A | | | 14,120 | |
| | 360,000 | | | United Microelectronics Corp. | | | 841,379 | |
| | 28,000 | | | Vanguard International Semiconductor Corp. | | | 159,993 | |
| | 1,900 | | | Will Semiconductor, Ltd., Class A | | | 92,612 | |
| | 10,000 | | | Win Semiconductors Corp. | | | 134,924 | |
| | 102,000 | | | Winbond Electronics Corp. | | | 124,687 | |
| | 152,000 | | | Xinyi Solar Holdings, Ltd. | | | 258,062 | |
| | 2,500 | | | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd., Class A | | | 27,213 | |
| | | | | | | | |
| | | | | | | 24,690,003 | |
| | | | | | | | |
| Software (0.4%): | | | |
| | 8,800 | | | 360 Security Technology, Inc., Class A* | | | 17,562 | |
| | 1,494 | | | Agora, Inc., ADR* | | | 24,218 | |
| | 476 | | | Beijing Kingsoft Office Software, Inc., Class A | | | 19,787 | |
| | 1,400 | | | Beijing Shiji Information Technology Co., Ltd., Class A | | | 6,319 | |
See accompanying notes to the financial statements.
14
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 480,000 | | | China Youzan, Ltd.* | | $ | 33,269 | |
| | 515 | | | Douzone Bizon Co., Ltd. | | | 31,606 | |
| | 2,730 | | | Hundsun Technologies, Inc. | | | 26,601 | |
| | 4,600 | | | Iflytek Co., Ltd. | | | 37,897 | |
| | 84,000 | | | Kingdee International Software Group Co., Ltd.* | | | 258,983 | |
| | 28,000 | | | Kingsoft Corp., Ltd. | | | 123,006 | |
| | 12,000 | | | Ming Yuan Cloud Group Holdings, Ltd.^ | | | 27,339 | |
| | 700 | | | Sangfor Technologies, Inc., Class A | | | 20,959 | |
| | 4,420 | | | Shanghai Baosight Software Co., Ltd. | | | 42,188 | |
| | 15,698 | | | TOTVS SA | | | 80,731 | |
| | 51,000 | | | Weimob, Inc.*^(e) | | | 51,367 | |
| | 7,150 | | | Yonyou Network Technology Co., Ltd. | | | 40,205 | |
| | | | | | | | |
| | | | | | | 842,037 | |
| | | | | | | | |
| Specialty Retail (0.5%): | | | |
| | 69,603 | | | Abu Dhabi National Oil Co. for Distribution PJSC | | | 80,865 | |
| | 18,000 | | | China Meidong Auto Holdings, Ltd. | | | 92,854 | |
| | 2,316 | | | FF Group* | | | 26 | |
| | 435,000 | | | GOME Retail Holdings, Ltd.* | | | 36,844 | |
| | 225,000 | | | Home Product Center Public Co., Ltd. | | | 97,613 | |
| | 9,000 | | | Hotai Motor Co., Ltd. | | | 199,420 | |
| | 919 | | | Hotel Shilla Co., Ltd. | | | 60,156 | |
| | 1,757 | | | Jarir Marketing Co. | | | 92,081 | |
| | 3,482 | | | Jumbo SA | | | 49,920 | |
| | 7,531 | | | Mr Price Group, Ltd. | | | 94,356 | |
| | 23,324 | | | Pepkor Holdings Ltd.* | | | 32,061 | |
| | 80,700 | | | PTT Oil & Retail Business pcl, Class R | | | 65,182 | |
| | 17,100 | | | Suning.com Co., Ltd., Class A* | | | 11,053 | |
| | 45,000 | | | Topsports International Holdings, Ltd. | | | 45,538 | |
| | 32,585 | | �� | Via S/A* | | | 30,719 | |
| | 27,899 | | | Vibra Energia SA | | | 107,208 | |
| | 20,000 | | | Zhongsheng Group Holdings, Ltd. | | | 156,089 | |
| | | | | | | | |
| | | | | | | 1,251,985 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (5.3%): | | | |
| | 77,000 | | | Acer, Inc. | | | 84,593 | |
| | 11,616 | | | Advantech Co., Ltd. | | | 166,055 | |
| | 23,000 | | | Asustek Computer, Inc. | | | 312,711 | |
| | 80,300 | | | BOE Technology Group Co., Ltd., Class A | | | 63,574 | |
| | 19,000 | | | Catcher Technology Co., Ltd. | | | 107,204 | |
| | 2,600 | | | China Greatwall Technology Group Co., Ltd., Class A | | | 5,776 | |
| | 139,000 | | | Compal Electronics, Inc. | | | 121,516 | |
| | 11,400 | | | GRG Banking Equipment Co., Ltd., Class A | | | 21,269 | |
| | 3,156 | | | Inspur Electronic Information Industry Co., Ltd., Class A | | | 17,740 | |
| | 70,000 | | | Inventec Corp. | | | 63,029 | |
| | 226,000 | | | Lenovo Group, Ltd. | | | 259,727 | |
| | 71,000 | | | Lite-On Technology Corp. | | | 163,789 | |
| | 18,000 | | | Micro-Star International Co., Ltd. | | | 104,163 | |
| | 5,000 | | | Ninestar Corp. | | | 37,469 | |
| | 57,000 | | | Pegatron Corp. | | | 142,236 | |
| | 80,000 | | | Quanta Computer, Inc. | | | 273,475 | |
| | 143,013 | | | Samsung Electronics Co., Ltd. | | | 9,390,009 | |
| | 6,100 | | | Shenzhen Kaifa Technology Co., Ltd., Class A | | | 15,161 | |
| | 943 | | | Shenzhen Transsion Holdings Co., Ltd., Class A | | | 23,217 | |
| | 78,863 | | | Wistron Corp. | | | 83,044 | |
| | 2,000 | | | Wiwynn Corp. | | | 80,394 | |
| | 428,000 | | | Xiaomi Corp., Class B* | | | 1,038,576 | |
| | | | | | | | |
| | | | | | | 12,574,727 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods (1.2%): | | | |
| | 7,360 | | | Alpargatas SA | | $ | 48,926 | |
| | 34,000 | | | Anta Sports Products, Ltd. | | | 510,100 | |
| | 116,000 | | | Bosideng International Holdings, Ltd. | | | 73,053 | |
| | 6,220 | | | Eclat Textile Co., Ltd. | | | 141,663 | |
| | 76 | | | F&F Co., Ltd.* | | | 60,294 | |
| | 15,000 | | | Feng Tay Enterprise Co., Ltd. | | | 125,271 | |
| | 70,500 | | | Li Ning Co., Ltd. | | | 771,535 | |
| | 32 | | | LPP SA | | | 136,302 | |
| | 167 | | | Page Industries, Ltd. | | | 90,821 | |
| | 83,000 | | | Pou Chen Corp. | | | 99,330 | |
| | 25,700 | | | Shenzhou International Group | | | 494,109 | |
| | 11,365 | | | Titan Co., Ltd. | | | 385,779 | |
| | | | | | | | |
| | | | | | | 2,937,183 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.8%): | | | |
| | 51,592 | | | Housing Development Finance Corp., Ltd. | | | 1,787,289 | |
| | | | | | | | |
| Tobacco (0.4%): | | | |
| | 43,949 | | | Eastern Co. SAE | | | 30,085 | |
| | 84,526 | | | ITC, Ltd. | | | 247,827 | |
| | 3,423 | | | KT&G Corp. | | | 227,658 | |
| | 12,100 | | | PT Gudang Garam Tbk | | | 25,980 | |
| | 13,906 | | | RLX Technology, Inc., ADR*^ | | | 54,234 | |
| | 52,000 | | | Smoore International Holdings, Ltd.^ | | | 265,571 | |
| | | | | | | | |
| | | | | | | 851,355 | |
| | | | | | | | |
| Trading Companies & Distributors (0.1%): | | | |
| | 8,010 | | | Adani Enterprises, Ltd. | | | 184,268 | |
| | 7,500 | | | BOC Aviation, Ltd. | | | 54,986 | |
| | | | | | | | |
| | | | | | | 239,254 | |
| | | | | | | | |
| Transportation Infrastructure (0.6%): | | | |
| | 13,889 | | | Adani Ports & Special Economic Zone, Ltd. | | | 136,489 | |
| | 127,300 | | | Airports of Thailand Public Co., Ltd. | | | 232,272 | |
| | 291,400 | | | Bangkok Expressway & Metro | | | 73,534 | |
| | 74,000 | | | Beijing Capital International Airport Co., Ltd.* | | | 45,293 | |
| | 31,993 | | | CCR SA | | | 66,583 | |
| | 47,228 | | | China Merchants Port Holdings Co., Ltd. | | | 86,045 | |
| | 80,000 | | | COSCO SHIPPING Ports, Ltd. | | | 69,464 | |
| | 6,907 | | | Grupo Aeroportuario de Sur | | | 142,642 | |
| | 10,726 | | | Grupo Aeroporturaio del Pacifico SAB de C.V. | | | 147,841 | |
| | 36,180 | | | International Container Terminal Services, Inc. | | | 141,936 | |
| | 36,000 | | | Jiangsu Expressway Co., Ltd., Series H, Class H | | | 36,891 | |
| | 28,300 | | | Malaysia Airports Holdings Berhad* | | | 40,641 | |
| | 9,118 | | | Promotora Y Operadora de Infraestructura SAB de CV | | | 71,266 | |
| | 3,000 | | | Shanghai International Air* | | | 22,009 | |
| | 35,399 | | | Shanghai International Port Group Co., Ltd. | | | 30,462 | |
| | 35,000 | | | Shenzhen International Holdings, Ltd. | | | 36,361 | |
| | 54,000 | | | Taiwan High Speed Rail Corp. | | | 57,734 | |
| | 33,400 | | | Westports Holding Berhad | | | 32,487 | |
| | 42,000 | | | Zhejiang Expressway Co., Ltd. | | | 37,437 | |
| | | | | | | | |
| | | | | | | 1,507,387 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 186,000 | | | Beijing Enterprises Water Group, Ltd. | | | 72,284 | |
| | 10,225 | | | Cia Saneamento Basico Do Estado de Sao Paulo | | | 73,773 | |
| | 92,000 | | | Guangdong Investment, Ltd. | | | 116,935 | |
| | | | | | | | |
| | | | | | | 262,992 | |
| | | | | | | | |
| Wireless Telecommunication Services (1.7%): | | | |
| | 38,500 | | | Advanced Info Service Public Co., Ltd. | | | 263,809 | |
See accompanying notes to the financial statements.
15
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Wireless Telecommunication Services, continued | | | |
| | 1,040,266 | | | America Movil SAB de C.V., Series L | | $ | 1,102,217 | |
| | 91,800 | | | Axiata Group Berhad | | | 91,788 | |
| | 74,570 | | | Bharti Airtel, Ltd.* | | | 686,125 | |
| | 57,500 | | | China United Network Communications, Ltd., Class A | | | 35,447 | |
| | 100,300 | | | DIGI.com Berhad | | | 105,051 | |
| | 12,139 | | | Etihad Etisalat Co. | | | 100,604 | |
| | 58,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 135,477 | |
| | 1,005 | | | Globe Telecom, Inc. | | | 65,492 | |
| | 29,450 | | | Intouch Holdings Public Co., Ltd. | | | 70,635 | |
| | 92,900 | | | Maxis Berhad | | | 108,187 | |
| | 32,110 | | | Mobile Telecommunications Co KSCP | | | 63,337 | |
| | 14,942 | | | Mobile TeleSystems PJSC, ADR | | | 118,789 | |
| | 52,343 | | | MTN Group, Ltd.* | | | 559,880 | |
| | 2,760 | | | PLDT, Inc. | | | 98,191 | |
| | 731 | | | SK Telecom Co., Ltd. | | | 35,593 | |
| | 49,000 | | | Taiwan Mobile Co., Ltd. | | | 177,175 | |
| | 27,636 | | | TIM SA | | | 65,257 | |
| | 40,565 | | | Turkcell Iletisim Hizmetleri AS | | | 55,496 | |
| | 16,855 | | | Vodacom Group, Ltd. | | | 142,249 | |
| | | | | | | | |
| | | | | | | 4,080,799 | |
| | | | | | | | |
| | Total Common Stocks (Cost $151,184,013) | | | 233,037,631 | |
| | | | | |
| Preferred Stocks (1.2%): | | | |
| Automobiles (0.0%†): | | | |
| | 1,265 | | | Hyundai Motor Co., 6/29/20 | | | 107,327 | |
| | | | | | | | |
| Banks (0.5%): | | | |
| | 152,012 | | | Banco Bradesco SA, 1.12%, 1/3/20 | | | 524,358 | |
| | 147,576 | | | Itau Unibanco Holding SA, 0.86%, 1/5/21 | | | 555,166 | |
| | | | | | | | |
| | | | | | | 1,079,524 | |
| | | | | | | | |
| Chemicals (0.0%†): | | | |
| | 5,513 | | | Braskem SA, Class A, 13.08%, 10/7/20 | | | 57,050 | |
| | | | | | | | |
| Insurance (0.0%†): | | | |
| | 37,225 | | | China Development Financial Holding Corp.* | | | 12,908 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Preferred Stocks, continued | | | |
| Metals & Mining (0.1%): | | | |
| | 37,024 | | | Gerdau SA, 9.10%, 3/6/20 | | $ | 181,231 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.6%): | | | |
| | 25,394 | | | Samsung Electronics Co., Ltd., 3/30/20 | | | 1,520,190 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $2,799,114) | | | 2,958,230 | |
| | | | | |
| Rights (0.0%†): | | | |
| Electrical Equipment (0.0%†): | | | |
| | 1,146 | | | Doosan Heavy Industries & Construction Co., Ltd., Expires on 2/14/22* | | | 4,242 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 2,952 | | | Seazen Group, Ltd., Expires on 1/20/22* | | | — | |
| | | | | | | | |
| | Total Rights (Cost $—) | | | 4,242 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.6%): | |
| | $1,469,890 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(b)(c) | | | 1,469,890 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on Loan
(Cost $1,469,890) | | | 1,469,890 | |
| | | | | |
| | |
Shares | | | | | Value | |
| Unaffiliated Investment Company (0.4%): | | | |
| Money Markets (0.4%): | | | |
| | 873,441 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 873,441 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $873,441) | | | 873,441 | |
| | | | | |
| | Total Investment Securities (Cost $156,326,458) — 100.7%(d) | | | 238,343,434 | |
| | Net other assets (liabilities) — (0.7)% | | | (1,663,854 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 236,679,580 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $1,361,364. |
| † | 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, 2021. 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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
| (e) | 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. |
Amounts shown as “—“ are either $0 or round to less than $1.
See accompanying notes to the financial statements.
16
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of December 31, 2021:
| | | | |
| Country | | Percentage | |
| |
Bermuda | | | 0.1 | % |
Brazil | | | 3.9 | % |
Cayman Islands | | | 0.8 | % |
Chile | | | 0.4 | % |
China | | | 28.5 | % |
Colombia | | | 0.2 | % |
Cyprus | | | 0.1 | % |
Czech Republic | | | 0.1 | % |
Egypt | | | 0.1 | % |
Greece | | | 0.2 | % |
Hong Kong | | | 2.7 | % |
Hungary | | | 0.2 | % |
India | | | 12.4 | % |
Indonesia | | | 1.4 | % |
Kuwait | | | 0.6 | % |
Luxembourg | | | — | %† |
Malaysia | | | 1.4 | % |
Mexico | | | 2.1 | % |
| | | | |
| Country | | Percentage | |
Peru | | | — | %† |
Philippines | | | 0.7 | % |
Poland | | | 0.8 | % |
Qatar | | | 0.8 | % |
Republic of Korea (South) | | | 12.7 | % |
Romania | | | — | %† |
Russian Federation | | | 3.4 | % |
Saudi Arabia | | | 3.4 | % |
Singapore | | | — | %† |
South Africa | | | 3.1 | % |
Switzerland | | | 0.1 | % |
Taiwan, Province Of China | | | 15.6 | % |
Thailand | | | 1.7 | % |
Turkey | | | 0.2 | % |
United Arab Emirates | | | 1.0 | % |
United States | | | 1.3 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 35 | | | $ | 2,146,025 | | | $ | (85 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (85 | ) |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
17
AZL MSCI Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 156,326,458 | |
| | | | | |
Investment securities, at value(a) | | | | 238,343,434 | |
Deposit at broker for futures contracts collateral | | | | 129,000 | |
Interest and dividends receivable | | | | 384,705 | |
Foreign currency, at value (cost $851,706) | | | | 860,344 | |
Receivable for capital shares issued | | | | 1,916 | |
Receivable for investments sold | | | | 25,950 | |
Reclaims receivable | | | | 41,549 | |
Prepaid expenses | | | | 1,131 | |
| | | | | |
Total Assets | | | | 239,788,029 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 26,064 | |
Payable for capital shares redeemed | | | | 646 | |
Payable for collateral received on loaned securities | | | | 1,469,890 | |
Payable for variation margin on futures contracts | | | | 12,250 | |
Accrued foreign taxes | | | | 1,081,384 | |
Manager fees payable | | | | 90,006 | |
Administration fees payable | | | | 44,651 | |
Distribution fees payable | | | | 46,733 | |
Custodian fees payable | | | | 61,301 | |
Administrative and compliance services fees payable | | | | 842 | |
Transfer agent fees payable | | | | 4,141 | |
Trustee fees payable | | | | 4,730 | |
Other accrued liabilities | | | | 265,811 | |
| | | | | |
Total Liabilities | | | | 3,108,449 | |
| | | | | |
Net Assets | | | $ | 236,679,580 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 154,256,707 | |
Total distributable earnings | | | | 82,422,873 | |
| | | | | |
Net Assets | | | $ | 236,679,580 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 15,392,038 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 1,937,427 | |
Net Asset Value (offering and redemption price per share) | | | $ | 7.94 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 221,287,542 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 27,832,090 | |
Net Asset Value (offering and redemption price per share) | | | $ | 7.95 | |
| | | | | |
| (a) | Includes securities on loan of $1,361,364. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 6,414,945 | |
Income from securities lending | | | | 23,421 | |
Foreign withholding tax | | | | (738,659 | ) |
| | | | | |
Total Investment Income | | | | 5,699,707 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 2,206,721 | |
Administration fees | | | | 119,856 | |
Distribution fees — Class 2 | | | | 605,809 | |
Custodian fees | | | | 177,394 | |
Administrative and compliance services fees | | | | 3,312 | |
Transfer agent fees | | | | 10,155 | |
Trustee fees | | | | 13,524 | |
Professional fees | | | | 19,669 | |
Licensing fees | | | | 108,631 | |
Shareholder reports | | | | 16,572 | |
Other expenses | | | | 146,464 | |
| | | | | |
Total expenses before reductions | | | | 3,428,107 | |
Less Management fees contractually waived | | | | (1,038,455 | ) |
| | | | | |
Net expenses | | | | 2,389,652 | |
| | | | | |
Net Investment Income/(Loss) | | | | 3,310,055 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 6,128,874 | |
Net realized gains/(losses) on futures contracts | | | | (22,050 | ) |
Net realized gains/(losses) on foreign taxes | | | | (8,704 | ) |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | (16,865,047 | ) |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (61,009 | ) |
Change in net unrealized appreciation/depreciation on foreign taxes | | | | (576,940 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | (11,404,876 | ) |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | (8,094,821 | ) |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 3,310,055 | | | | $ | 2,818,801 | |
Net realized gains/(losses) on investments | | | | 6,098,120 | | | | | 3,629,948 | |
Change in unrealized appreciation/depreciation on investments | | | | (17,502,996 | ) | | | | 24,126,294 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | (8,094,821 | ) | | | | 30,575,043 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (553,353 | ) | | | | (1,141,511 | ) |
Class 2 | | | | (7,183,163 | ) | | | | (16,322,201 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (7,736,516 | ) | | | | (17,463,712 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 20,268 | | | | | 40,336 | |
Proceeds from dividends reinvested | | | | 553,353 | | | | | 1,141,512 | |
Value of shares redeemed | | | | (1,782,790 | ) | | | | (2,695,404 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (1,209,169 | ) | | | | (1,513,556 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 2,832,734 | | | | | 15,754,027 | |
Proceeds from dividends reinvested | | | | 7,183,163 | | | | | 16,322,200 | |
Value of shares redeemed | | | | (33,445,770 | ) | | | | (92,767,343 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (23,429,873 | ) | | | | (60,691,116 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (24,639,042 | ) | | | | (62,204,672 | ) |
| | | | | | | | | | |
Change in net assets | | | | (40,470,379 | ) | | | | (49,093,341 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 277,149,959 | | | | | 326,243,300 | |
| | | | | | | | | | |
End of period | | | $ | 236,679,580 | | | | $ | 277,149,959 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 2,395 | | | | | 5,758 | |
Dividends reinvested | | | | 69,604 | | | | | 154,258 | |
Shares redeemed | | | | (207,387 | ) | | | | (380,214 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (135,388 | ) | | | | (220,198 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 330,575 | | | | | 2,391,693 | |
Dividends reinvested | | | | 902,407 | | | | | 2,205,703 | |
Shares redeemed | | | | (3,764,888 | ) | | | | (13,505,171 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (2,531,906 | ) | | | | (8,907,775 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,667,294 | ) | | | | (9,127,973 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 8.54 | | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.78 | | | | $ | 6.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.13 | (a) | | | | 0.10 | (a) | | | | 0.15 | (a) | | | | 0.16 | | | | | 0.12 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.44 | ) | | | | 1.17 | | | | | 1.04 | | | | | (1.50 | ) | | | | 2.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | (0.31 | ) | | | | 1.27 | | | | | 1.19 | | | | | (1.34 | ) | | | | 2.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.14 | ) | | | | (0.29 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | | | (0.04 | ) |
Net Realized Gains | | | | (0.15 | ) | | | | (0.29 | ) | | | | (0.18 | ) | | | | (0.29 | ) | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.29 | ) | | | | (0.58 | ) | | | | (0.33 | ) | | | | (0.45 | ) | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 7.94 | | | | $ | 8.54 | | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | (3.68 | )% | | | | 17.26 | % | | | | 17.55 | % | | | | (15.31 | )% | | | | 36.97 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 15,392 | | | | $ | 17,703 | | | | $ | 17,995 | | | | $ | 17,072 | | | | $ | 22,883 | |
Net Investment Income/(Loss) | | | | 1.51 | % | | | | 1.32 | % | | | | 1.97 | % | | | | 1.89 | % | | | | 1.56 | % |
Expenses Before Reductions(c) | | | | 1.09 | % | | | | 1.17 | % | | | | 1.10 | % | | | | 1.03 | % | | | | 1.11 | % |
Expenses Net of Reductions | | | | 0.69 | % | | | | 0.77 | % | | | | 0.70 | % | | | | 0.63 | % | | | | 0.71 | % |
Portfolio Turnover Rate(d) | | | | 7 | % | | | | 12 | % | | | | 25 | % | | | | 20 | % | | | | 19 | % |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | | $ | 8.54 | | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.77 | | | | $ | 6.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.11 | (a) | | | | 0.08 | (a) | | | | 0.12 | (a) | | | | 0.14 | | | | | 0.10 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | (0.44 | ) | | | | 1.16 | | | | | 1.05 | | | | | (1.49 | ) | | | | 2.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | (0.33 | ) | | | | 1.24 | | | | | 1.17 | | | | | (1.35 | ) | | | | 2.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.11 | ) | | | | (0.26 | ) | | | | (0.13 | ) | | | | (0.14 | ) | | | | (0.03 | ) |
Net Realized Gains | | | | (0.15 | ) | | | | (0.29 | ) | | | | (0.18 | ) | | | | (0.29 | ) | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.26 | ) | | | | (0.55 | ) | | | | (0.31 | ) | | | | (0.43 | ) | | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 7.95 | | | | $ | 8.54 | | | | $ | 7.85 | | | | $ | 6.99 | | | | $ | 8.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | (3.83 | )% | | | | 16.92 | % | | | | 17.18 | % | | | | (15.46 | )% | | | | 36.63 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 221,288 | | | | $ | 259,447 | | | | $ | 308,248 | | | | $ | 297,839 | | | | $ | 351,886 | |
Net Investment Income/(Loss) | | | | 1.26 | % | | | | 1.06 | % | | | | 1.65 | % | | | | 1.61 | % | | | | 1.35 | % |
Expenses Before Reductions(c) | | | | 1.34 | % | | | | 1.42 | % | | | | 1.35 | % | | | | 1.28 | % | | | | 1.36 | % |
Expenses Net of Reductions | | | | 0.94 | % | | | | 1.02 | % | | | | 0.95 | % | | | | 0.88 | % | | | | 0.96 | % |
Portfolio Turnover Rate(d) | | | | 7 | % | | | | 12 | % | | | | 25 | % | | | | 20 | % | | | | 19 | % |
| (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, 2021
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 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
21
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2021
Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $2,309 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,469,890 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $2.6 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | |
Interest Rate Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | — | | | Payable for variation margin on futures contracts* | | $ | (85 | ) |
| * | 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, 2021
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, 2021:
| | | | | | | | | | |
| 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 | | $ | (22,050 | ) | | $ | (61,009 | ) |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain more competitive expense ratios. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
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.
23
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 26,845,057 | | | | $ | 206,192,574 | | | | $ | — | # | | | $ | 233,037,631 | |
Preferred Stocks | | | | 1,330,713 | | | | | 1,627,517 | | | | | — | | | | | 2,958,230 | |
Rights | | | | — | | | | | 4,242 | | | | | — | | | | | 4,242 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1,469,890 | | | | | — | | | | | — | | | | | 1,469,890 | |
Unaffiliated Investment Company | | | | 873,441 | | | | | — | | | | | — | | | | | 873,441 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 30,519,101 | | | | | 207,824,333 | | | | | — | | | | | 238,343,434 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | (85 | ) | | | | — | | | | | — | | | | | (85 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 30,519,016 | | | | $ | 207,824,333 | | | | $ | — | | | | $ | 238,343,349 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021. |
| * | 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, 2021, 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 | | | $ | 16,860,470 | | | | $ | 46,890,850 | |
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.
24
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $161,796,985. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 91,950,521 | |
Unrealized (depreciation) | | | (15,404,072 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 76,546,449 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MSCI Emerging Markets Equity Index Fund | | | $ | 3,376,812 | | | | $ | 4,359,704 | | | | $ | 7,736,516 | |
| (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, 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. |
25
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 2,648,886 | | | | $ | 4,302,010 | | | | $ | — | | | | $ | 75,471,977 | | | | $ | 82,422,873 | |
| (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 return of capital from investments. |
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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of the shareholder 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
26
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
27
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2021, 0.13% 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, 2021, the Fund declared net long-term capital gain distributions of $4,359,704.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
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the meeting. Accordingly, the Advisory Contracts were approved by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc. (a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® MSCI Global Equity Index Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® MSCI Global Equity Index Fund (the “Fund”) returned 21.18%. That compared to a 22.35% total return for its benchmark, the MSCI World Index.1
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 (the “Index”). The Index is designed to provide a comprehensive measure of international equity markets. The Fund takes positions in securities that, in combination, should have similar return characteristics as the return of the Index.
During the first quarter, global optimism around a sustainable reopening of the economy due to vaccine rollouts among developed markets helped drive positive performance. Despite the uptick in the number of COVID-19 cases in Europe, equities rallied over the quarter, reinforced by an increase in demand for goods and manufacturing activities. The Japanese market continued its recovery throughout the quarter despite the state of emergency in Tokyo. Japanese equities were supported by strong earnings reports and hopes of stimulus and economic reopening as COVID cases declined.
Over the second quarter, strong economic data across developed markets and accommodative fiscal policies helped support additional equity gains. The markets’ rising concerns around higher inflation and the Federal Reserve’s (Fed’s) cautious announcement in June contributed to muted market performance for a short period. The Japanese market recovered toward the end of May, following the reinstatement of state of emergency protocols in Tokyo and other regions. As a response, the Japanese government rolled out several mass vaccination centers, and quarterly earnings reports largely met or exceeded analyst forecasts.
The global economic recovery continued through July and August. However, those gains were offset by a market decline during September. Concerns regarding the U.S. debt ceiling and potential global systematic risk from the crisis at Chinese property developer Evergrande weighed down on global equity markets. The spread of the Delta variant, as well as fears around higher inflation and ongoing supply chain issues, also weighed on market sentiment during the third quarter. In Europe, however, markets remained
resilient as hospitalization rates dropped despite a new wave of COVID-19 cases. The Bank of England announced a shift in its policy, suggesting that a rate rise could come in early 2022. For its part, the European Central Bank announced a slower pace of asset purchases but stopped short of setting a path toward higher rates.
In the fourth quarter, developed equity markets posted positive returns in October on the back of strong corporate earnings reports and robust economic data. However, the emergence of yet another new COVID-19 variant (Omicron) in November dampened market performance and put pressure on central banks as they faced rising inflation rates on the back of ongoing supply chain disruptions. Markets rebounded in December as data indicated the new variant was less severe than expected despite higher transmissibility. In Japan, uncertainty over COVID-19 restrictions, a weaker yen, and higher commodity prices weighed on the economy and market performance over the quarter.
The Fund underperformed its benchmark primarily due to expenses incurred by the Fund.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and Fund managers keep cash to cover all outstanding futures positions fully.
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 as described 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, 2021. 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. |
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, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | 10 Year | | Since
Inception1 |
AZL® MSCI Global Equity Index Fund (Class 1 Shares) | | | | 6/21/2021 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 10.00 | % |
AZL® MSCI Global Equity Index Fund (Class 2 Shares) | | | | 5/1/2009 | | | | | 21.18 | % | | | | 21.17 | % | | | | 14.63 | % | | | | 8.14 | % | | | | 8.84 | % |
MSCI World Index (gross of withholding taxes) | | | | 5/1/2009 | | | | | 22.35 | % | | | | 22.32 | % | | | | 15.64 | % | | | | 13.32 | % | | | | 13.44 | % |
MSCI World Index (net of withholding taxes) | | | | 5/1/2009 | | | | | 21.82 | % | | | | 21.70 | % | | | | 15.03 | % | | | | 12.70 | % | | | | 12.83 | % |
| 1 | Not annualized for periods less than one year. |
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 Global Equity Index Fund (Class 1 Shares) | | | | 0.83 | % |
AZL® MSCI Global Equity Index Fund (Class 2 Shares) | | | | 1.08 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.31% through at least April 30, 2023. The Manager and the Fund have entered into a written contract limiting operating expenses, excluding certain expenses (such as interest expense), to 0.55% for Class 1 Shares and to 0.80% for Class 2 Shares through April 30, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL MSCI Global Equity Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,077.40 | | | | $ | 2.30 | | | | | 0.44 | % |
| | | | |
AZL MSCI Global Equity Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,075.40 | | | | $ | 3.61 | | | | | 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.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL MSCI Global Equity Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.99 | | | | $ | 2.24 | | | | | 0.44 | % |
| | | | |
AZL MSCI Global Equity Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.73 | | | | $ | 3.52 | | | | | 0.69 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 23.5 | % |
| |
Financials | | | | 13.1 | |
| |
Health Care | | | | 12.5 | |
| |
Consumer Discretionary | | | | 12.3 | |
| |
Industrials | | | | 10.1 | |
| |
Communication Services | | | | 8.3 | |
| |
Consumer Staples | | | | 6.8 | |
| |
Materials | | | | 4.2 | |
| |
Energy | | | | 3.1 | |
| |
Real Estate | | | | 2.8 | |
| |
Utilities | | | | 2.7 | |
| | | | | |
| |
Total Common Stocks and Preferred Stocks | | | | 99.4 | |
| |
Right | | | | — | † |
| | |
Short-Term Security 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 MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.3%): | | | |
| Aerospace & Defense (1.2%): | | | |
| | 4,825 | | | Airbus SE* | | $ | 616,162 | |
| | 27,636 | | | BAE Systems plc | | | 205,888 | |
| | 4,654 | | | Boeing Co. (The)* | | | 936,943 | |
| | 2,614 | | | CAE, Inc.* | | | 65,949 | |
| | 50 | | | Dassault Aviation SA | | | 5,402 | |
| | 169 | | | Elbit Systems, Ltd. | | | 29,294 | |
| | 1,982 | | | General Dynamics Corp. | | | 413,188 | |
| | 407 | | | HEICO Corp. | | | 58,698 | |
| | 674 | | | HEICO Corp., Class A | | | 86,622 | |
| | 3,607 | | | Howmet Aerospace, Inc. | | | 114,811 | |
| | 373 | | | Huntington Ingalls Industries, Inc. | | | 69,654 | |
| | 1,718 | | | L3harris Technologies, Inc. | | | 366,346 | |
| | 2,030 | | | Lockheed Martin Corp. | | | 721,482 | |
| | 368 | | | MTU Aero Engines AG | | | 74,813 | |
| | 1,246 | | | Northrop Grumman Corp. | | | 482,289 | |
| | 12,495 | | | Raytheon Technologies Corp. | | | 1,075,320 | |
| | 61,901 | | | Rolls-Royce Holdings plc* | | | 103,218 | |
| | 2,724 | | | Safran SA | | | 334,527 | |
| | 16,600 | | | Singapore Technologies Engineering, Ltd. | | | 46,361 | |
| | 1,749 | | | Textron, Inc. | | | 135,023 | |
| | 986 | | | Thales SA | | | 83,904 | |
| | 414 | | | TransDigm Group, Inc.* | | | 263,420 | |
| | | | | | | | |
| | | | | | | 6,289,314 | |
| | | | | | | | |
| Air Freight & Logistics (0.5%): | | | |
| | 964 | | | C.H. Robinson Worldwide, Inc. | | | 103,755 | |
| | 8,402 | | | Deutsche Post AG | | | 540,760 | |
| | 1,360 | | | Expeditors International of Washington, Inc. | | | 182,634 | |
| | 2,067 | | | FedEx Corp. | | | 534,609 | |
| | 1,389 | | | InPost SA* | | | 16,777 | |
| | 3,000 | | | SG Holdings Co., Ltd. | | | 70,254 | |
| | 6,043 | | | United Parcel Service, Inc., Class B | | | 1,295,257 | |
| | 2,800 | | | Yamato Holdings Co., Ltd. | | | 65,673 | |
| | | | | | | | |
| | | | | | | 2,809,719 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 990 | | | Air Canada* | | | 16,539 | |
| | 1,000 | | | ANA Holdings, Inc.* | | | 20,909 | |
| | 1,475 | | | Delta Air Lines, Inc.* | | | 57,643 | |
| | 2,412 | | | Deutsche Lufthansa AG, Registered Shares* | | | 16,972 | |
| | 1,000 | | | Japan Airlines Co., Ltd.* | | | 19,096 | |
| | 5,489 | | | Qantas Airways, Ltd.* | | | 20,012 | |
| | 14,350 | | | Singapore Airlines, Ltd.* | | | 53,200 | |
| | 1,365 | | | Southwest Airlines Co.* | | | 58,477 | |
| | | | | | | | |
| | | | | | | 262,848 | |
| | | | | | | | |
| Auto Components (0.4%): | | | |
| | 800 | | | Aisin Sieki Co., Ltd. | | | 30,680 | |
| | 2,178 | | | Aptiv plc* | | | 359,261 | |
| | 2,209 | | | BorgWarner, Inc. | | | 99,560 | |
| | 4,700 | | | Bridgestone Corp. | | | 202,268 | |
| | 1,398 | | | Compagnie Generale des Establissements Michelin SCA, Class B | | | 229,137 | |
| | 819 | | | Continental AG* | | | 86,700 | |
| | 3,600 | | | Denso Corp. | | | 297,318 | |
| | 886 | | | Faurecia SA | | | 42,144 | |
| | 198 | | | Faurecia SE | | | 9,243 | |
| | 1,000 | | | Koito Manufacturing Co., Ltd. | | | 52,960 | |
| | 556 | | | Lear Corp. | | | 101,720 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Auto Components, continued | | | |
| | 2,325 | | | Magna Internationl, Inc. | | $ | 188,143 | |
| | 600 | | | Stanley Electric Co., Ltd. | | | 15,022 | |
| | 7,000 | | | Sumitomo Electric Industries, Ltd. | | | 91,278 | |
| | 1,100 | | | Toyota Industries Corp. | | | 87,909 | |
| | 2,122 | | | Valeo SA | | | 64,134 | |
| | 163 | | | Vitesco Technologies Group AG* | | | 7,996 | |
| | | | | | | | |
| | | | | | | 1,965,473 | |
| | | | | | | | |
| Automobiles (2.5%): | | | |
| | 2,679 | | | Bayerische Motoren Werke AG (BMW) | | | 269,943 | |
| | 7,160 | | | Daimler AG, Registered Shares | | | 549,764 | |
| | 1,045 | | | Ferrari NV | | | 268,767 | |
| | 32,761 | | | Ford Motor Co. | | | 680,446 | |
| | 10,604 | | | General Motors Co.* | | | 621,713 | |
| | 13,200 | | | Honda Motor Co., Ltd. | | | 370,753 | |
| | 5,100 | | | Isuzu Motors, Ltd. | | | 63,465 | |
| | 3,397 | | | Lucid Group, Inc.*^ | | | 129,256 | |
| | 5,800 | | | Mazda Motor Corp.* | | | 44,636 | |
| | 21,500 | | | Nissan Motor Co., Ltd.* | | | 103,915 | |
| | 1,777 | | | Renault SA* | | | 61,704 | |
| | 1,449 | | | Rivian Automotive, Inc.*^ | | | 150,247 | |
| | 9,924 | | | Stellantis NV | | | 186,319 | |
| | 6,079 | | | Stellantis NV | | | 115,212 | |
| | 4,300 | | | Subaru Corp. | | | 76,915 | |
| | 2,700 | | | Suzuki Motor Corp. | | | 103,990 | |
| | 6,948 | | | Tesla, Inc.* | | | 7,342,507 | |
| | 87,500 | | | Toyota Motor Corp. | | | 1,615,519 | |
| | 300 | | | Volkswagen AG | | | 88,230 | |
| | 2,600 | | | Yamaha Motor Co., Ltd. | | | 62,380 | |
| | | | | | | | |
| | | | | | | 12,905,681 | |
| | | | | | | | |
| Banks (5.7%): | | | |
| | 4,057 | | | ABN AMRO Group NV | | | 59,635 | |
| | 23,007 | | | Australia & New Zealand Banking Group, Ltd. | | | 460,520 | |
| | 55,434 | | | Banco Bilbao Vizcaya Argentaria SA | | | 329,080 | |
| | 145,957 | | | Banco Santander SA | | | 487,120 | |
| | 10,495 | | | Bank Hapoalim BM | | | 108,172 | |
| | 10,762 | | | Bank Leumi Le-Israel Corp. | | | 115,746 | |
| | 62,435 | | | Bank of America Corp. | | | 2,777,733 | |
| | 5,244 | | | Bank of Montreal | | | 564,659 | |
| | 9,969 | | | Bank of Nova Scotia | | | 705,822 | |
| | 140,554 | | | Barclays plc | | | 357,194 | |
| | 9,148 | | | BNP Paribas SA | | | 632,014 | |
| | 34,000 | | | BOC Hong Kong Holdings, Ltd. | | | 111,434 | |
| | 41,086 | | | CaixaBank SA | | | 112,655 | |
| | 3,685 | | | Canadian Imperial Bank of Commerce | | | 429,596 | |
| | 2,800 | | | Chiba Bank, Ltd. (The) | | | 16,022 | |
| | 16,558 | | | Citigroup, Inc. | | | 999,938 | |
| | 3,404 | | | Citizens Financial Group, Inc. | | | 160,839 | |
| | 9,260 | | | Commerzbank AG* | | | 70,559 | |
| | 14,618 | | | Commonwealth Bank of Australia | | | 1,074,233 | |
| | 8,400 | | | Concordia Financial Group, Ltd. | | | 30,533 | |
| | 8,923 | | | Credit Agricole SA | | | 127,441 | |
| | 6,375 | | | Danske Bank A/S | | | 108,965 | |
| | 15,400 | | | DBS Group Holdings, Ltd. | | | 372,936 | |
| | 8,598 | | | DNB Bank ASA | | | 197,064 | |
| | 2,582 | | | Erste Group Bank AG | | | 121,365 | |
| | 5,892 | | | Fifth Third Bancorp | | | 256,597 | |
See accompanying notes to the financial statements.
4
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 5,399 | | | Finecobank Banca Fineco SpA | | $ | 94,016 | |
| | 1,478 | | | First Republic Bank | | | 305,222 | |
| | 5,700 | | | Hang Seng Bank, Ltd. | | | 104,362 | |
| | 169,915 | | | HSBC Holdings plc | | | 1,027,989 | |
| | 11,934 | | | Huntington Bancshares, Inc. | | | 184,022 | |
| | 32,983 | | | ING Groep NV | | | 459,560 | |
| | 133,371 | | | Intesa Sanpaolo SpA | | | 344,551 | |
| | 7,605 | | | Isreal Discount Bank | | | 51,129 | |
| | 1,600 | | | Japan Post Bank Co., Ltd. | | | 14,678 | |
| | 24,768 | | | JPMorgan Chase & Co. | | | 3,922,013 | |
| | 1,998 | | | KBC Group NV | | | 171,592 | |
| | 7,868 | | | KeyCorp | | | 181,987 | |
| | 574,729 | | | Lloyds Banking Group plc | | | 370,452 | |
| | 1,024 | | | M&T Bank Corp. | | | 157,266 | |
| | 5,740 | | | Mediobanca SpA | | | 65,607 | |
| | 103,200 | | | Mitsubishi UFJ Financial Group, Inc. | | | 560,778 | |
| | 1,433 | | | Mizrahi Tefahot Bank, Ltd. | | | 55,295 | |
| | 20,450 | | | Mizuho Financial Group, Inc. | | | 260,154 | |
| | 26,632 | | | National Australia Bank, Ltd. | | | 558,857 | |
| | 2,763 | | | National Bank of Canada | | | 210,677 | |
| | 45,008 | | | Natwest Group plc | | | 137,119 | |
| | 25,524 | | | Nordea Bank AB | | | 310,951 | |
| | 31,000 | | | Oversea-Chinese Banking Corp., Ltd. | | | 262,495 | |
| | 3,510 | | | PNC Financial Services Group, Inc. (The) | | | 703,825 | |
| | 1,417 | | | Raiffeisen International Bank-Holding AG | | | 41,669 | |
| | 7,800 | | | Regions Financial Corp. | | | 170,040 | |
| | 19,700 | | | Resona Holdings, Inc. | | | 76,641 | |
| | 11,732 | | | Royal Bank of Canada | | | 1,245,273 | |
| | 4,800 | | | Shizuoka Bank, Ltd. (The) | | | 34,310 | |
| | 509 | | | Signature Bank | | | 164,646 | |
| | 13,057 | | | Skandinaviska Enskilda Banken AB, Class A | | | 180,950 | |
| | 6,651 | | | Societe Generale | | | 228,371 | |
| | 20,594 | | | Standard Chartered plc | | | 124,445 | |
| | 10,800 | | | Sumitomo Mitsui Financial Group, Inc. | | | 369,223 | |
| | 2,300 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 76,800 | |
| | 480 | | | SVB Financial Group* | | | 325,555 | |
| | 11,088 | | | Svenska Handelsbanken AB, Class A | | | 119,740 | |
| | 7,027 | | | Swedbank AB, Class A | | | 141,171 | |
| | 14,883 | | | Toronto-Dominion Bank (The) | | | 1,141,171 | |
| | 11,092 | | | Truist Financial Corp. | | | 649,437 | |
| | 11,820 | | | U.S. Bancorp | | | 663,929 | |
| | 17,483 | | | Unicredit SpA | | | 269,105 | |
| | 10,804 | | | United Overseas Bank, Ltd. | | | 215,801 | |
| | 34,057 | | | Wells Fargo & Co. | | | 1,634,055 | |
| | 31,112 | | | Westpac Banking Corp. | | | 483,606 | |
| | | | | | | | |
| | | | | | | 29,658,407 | |
| | | | | | | | |
| Beverages (1.6%): | | | |
| | 6,437 | | | Anheuser-Busch InBev NV | | | 389,682 | |
| | 4,200 | | | Asahi Breweries, Ltd. | | | 163,026 | |
| | 2,493 | | | Brown-Forman Corp., Class B | | | 181,640 | |
| | 18,500 | | | Budweiser Brewing Co. APAC, Ltd. | | | 48,524 | |
| | 797 | | | Carlsberg A/S, Class B | | | 136,923 | |
| | 33,818 | | | Coca-Cola Co. (The) | | | 2,002,364 | |
| | 810 | | | Coca-Cola Europacific Partners plc | | | 45,303 | |
| | 618 | | | Coca-Cola European Partners plc | | | 34,428 | |
| | 1,975 | | | Coca-Cola HBC AG | | | 68,078 | |
| | 1,342 | | | Constellation Brands, Inc., Class C | | | 336,802 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages, continued | | | |
| | 4,937 | | | David Campari-Milano NV | | $ | 71,872 | |
| | 19,204 | | | Diageo plc | | | 1,046,679 | |
| | 771 | | | Heineken Holding NV | | | 71,176 | |
| | 2,168 | | | Heineken NV | | | 243,755 | |
| | 400 | | | ITO EN, Ltd. | | | 21,009 | |
| | 5,741 | | | Keurig Dr Pepper, Inc. | | | 211,613 | |
| | 6,100 | | | Kirin Holdings Co., Ltd. | | | 97,844 | |
| | 1,759 | | | Molson Coors Brewing Co., Class B | | | 81,530 | |
| | 3,386 | | | Monster Beverage Corp.* | | | 325,191 | |
| | 11,481 | | | PepsiCo, Inc. | | | 1,994,364 | |
| | 1,704 | | | Pernod Ricard SA | | | 409,941 | |
| | 236 | | | Remy Cointreau SA | | | 57,442 | |
| | 800 | | | Suntory Beverage & Food, Ltd. | | | 28,939 | |
| | 6,668 | | | Treasury Wine Estates, Ltd. | | | 60,102 | |
| | | | | | | | |
| | | | | | | 8,128,227 | |
| | | | | | | | |
| Biotechnology (1.5%): | | | |
| | 14,601 | | | AbbVie, Inc. | | | 1,976,975 | |
| | 953 | | | Alnylam Pharmaceuticals, Inc.* | | | 161,610 | |
| | 4,738 | | | Amgen, Inc. | | | 1,065,908 | |
| | 343 | | | Argenx SE*^ | | | 121,218 | |
| | 1,226 | | | Biogen, Inc.* | | | 294,142 | |
| | 1,349 | | | BioMarin Pharmaceutical, Inc.* | | | 119,184 | |
| | 3,964 | | | CSL, Ltd. | | | 839,261 | |
| | 1,563 | | | Exact Sciences Corp.* | | | 121,648 | |
| | 547 | | | Genmab A/S* | | | 219,047 | |
| | 10,460 | | | Gilead Sciences, Inc. | | | 759,501 | |
| | 2,757 | | | Grifols SA | | | 52,746 | |
| | 1,359 | | | Incyte Corp.* | | | 99,751 | |
| | 2,883 | | | Moderna, Inc.* | | | 732,224 | |
| | 868 | | | Neurocrine Biosciences, Inc.* | | | 73,928 | |
| | 649 | | | Novavax, Inc.*^ | | | 92,852 | |
| | 862 | | | Regeneron Pharmaceuticals, Inc.* | | | 544,370 | |
| | 1,099 | | | Seagen, Inc.* | | | 169,905 | |
| | 2,130 | | | Vertex Pharmaceuticals, Inc.* | | | 467,748 | |
| | | | | | | | |
| | | | | | | 7,912,018 | |
| | | | | | | | |
| Building Products (0.7%): | | | |
| | 953 | | | A.O. Smith Corp. | | | 81,815 | |
| | 1,800 | | | AGC, Inc. | | | 85,932 | |
| | 644 | | | Allegion plc | | | 85,291 | |
| | 7,899 | | | ASSA Abloy AB, Class B | | | 240,040 | |
| | 6,680 | | | Carrier Global Corp. | | | 362,323 | |
| | 4,061 | | | Compagnie de Saint-Gobain SA | | | 285,626 | |
| | 2,100 | | | Daikin Industries, Ltd. | | | 476,476 | |
| | 1,013 | | | Fortune Brands Home & Security, Inc. | | | 108,290 | |
| | 307 | | | Geberit AG, Registered Shares | | | 249,996 | |
| | 5,931 | | | Johnson Controls International plc | | | 482,250 | |
| | 1,427 | | | Kingspan Group plc | | | 170,785 | |
| | 314 | | | Lennox International, Inc. | | | 101,849 | |
| | 2,500 | | | Lixil Corp. | | | 66,633 | |
| | 1,920 | | | Masco Corp. | | | 134,822 | |
| | 11,325 | | | Nibe Industrier AB, Class B | | | 169,857 | |
| | 970 | | | Owens Corning | | | 87,785 | |
| | 52 | | | ROCKWOOL International A/S, Class B | | | 22,762 | |
| | 1,300 | | | TOTO, Ltd. | | | 59,805 | |
| | 1,937 | | | Trane Technologies plc | | | 391,332 | |
| | 13,000 | | | Xinyi Glass Holdings, Ltd. | | | 32,553 | |
| | | | | | | | |
| | | | | | | 3,696,222 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Capital Markets (3.1%): | | | |
| | 8,994 | | | 3i Group plc | | $ | 175,935 | |
| | 895 | | | Ameriprise Financial, Inc. | | | 269,986 | |
| | 375 | | | Amundi SA | | | 30,953 | |
| | 1,608 | | | Apollo Asset Management, Inc. | | | 116,467 | |
| | 1,789 | | | ASX, Ltd. | | | 120,936 | |
| | 6,776 | | | Bank of New York Mellon Corp. (The) | | | 393,550 | |
| | 1,265 | | | BlackRock, Inc., Class A+ | | | 1,158,183 | |
| | 5,676 | | | Blackstone Group, Inc. (The), Class A | | | 734,418 | |
| | 11,416 | | | Brookfield Asset Management, Inc., Class A | | | 689,491 | |
| | 1,473 | | | Carlyle Group, Inc. (The) | | | 80,868 | |
| | 867 | | | Cboe Global Markets, Inc. | | | 113,057 | |
| | 11,959 | | | Charles Schwab Corp. (The) | | | 1,005,752 | |
| | 2,961 | | | CME Group, Inc. | | | 676,470 | |
| | 317 | | | Coinbase Global, Inc.* | | | 80,001 | |
| | 22,580 | | | Credit Suisse Group AG | | | 219,081 | |
| | 13,400 | | | Daiwa Securities Group, Inc. | | | 75,590 | |
| | 17,000 | | | Deutsche Bank AG, Registered Shares* | | | 213,358 | |
| | 1,600 | | | Deutsche Boerse AG | | | 268,007 | |
| | 2,202 | | | EQT AB | | | 119,731 | |
| | 719 | | | Euronext NV | | | 74,648 | |
| | 295 | | | FactSet Research Systems, Inc. | | | 143,373 | |
| | 2,803 | | | Franklin Resources, Inc. | | | 93,872 | |
| | 469 | | | Futu Holdings, Ltd., ADR* | | | 20,308 | |
| | 2,817 | | | Goldman Sachs Group, Inc. (The) | | | 1,077,643 | |
| | 3,288 | | | Hargreaves Lansdown plc | | | 60,326 | |
| | 9,700 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 566,976 | |
| | 217 | | | IGM Financial, Inc. | | | 7,827 | |
| | 4,582 | | | Intercontinental Exchange, Inc. | | | 626,680 | |
| | 2,555 | | | Invesco, Ltd. | | | 58,816 | |
| | 4,700 | | | Japan Exchange Group, Inc. | | | 102,913 | |
| | 1,702 | | | Julius Baer Group, Ltd. | | | 113,775 | |
| | 4,391 | | | KKR & Co., Inc., Class A | | | 327,130 | |
| | 2,731 | | | London Stock Exchange Group plc | | | 255,571 | |
| | 2,952 | | | Macquarie Group, Ltd. | | | 441,192 | |
| | 1,274 | | | Magellan Financial Group, Ltd. | | | 19,691 | |
| | 287 | | | MarketAxess Holdings, Inc. | | | 118,035 | |
| | 1,418 | | | Moody’s Corp. | | | 553,842 | |
| | 11,202 | | | Morgan Stanley | | | 1,099,588 | |
| | 681 | | | MSCI, Inc., Class A | | | 417,242 | |
| | 931 | | | Nasdaq, Inc. | | | 195,519 | |
| | 23,000 | | | Nomura Holdings, Inc. | | | 100,324 | |
| | 1,595 | | | Northern Trust Corp. | | | 190,778 | |
| | 177 | | | Partners Group Holding AG | | | 291,884 | |
| | 1,455 | | | Raymond James Financial, Inc. | | | 146,082 | |
| | 1,522 | | | Robinhood Markets, Inc.* | | | 27,031 | |
| | 2,014 | | | S&P Global, Inc. | | | 950,467 | |
| | 2,400 | | | SBI Holdings, Inc. | | | 65,428 | |
| | 1,149 | | | Schroders plc | | | 55,191 | |
| | 1,127 | | | SEI Investments Co. | | | 68,679 | |
| | 3,200 | | | Singapore Exchange, Ltd. | | | 22,102 | |
| | 3,801 | | | St. James Place plc | | | 86,571 | |
| | 2,961 | | | State Street Corp. | | | 275,373 | |
| | 1,862 | | | T. Rowe Price Group, Inc. | | | 366,144 | |
| | 521 | | | TMX Group, Ltd. | | | 52,829 | |
| | 940 | | | Tradeweb Markets, Inc., Class A | | | 94,132 | |
| | 28,386 | | | UBS Group AG | | | 509,642 | |
| | | | | | | | |
| | | | | | | 16,219,458 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals (2.2%): | | | |
| | 3,844 | | | Air Liquide SA | | $ | 670,241 | |
| | 1,862 | | | Air Products & Chemicals, Inc. | | | 566,532 | |
| | 1,542 | | | Akzo Nobel NV | | | 169,727 | |
| | 959 | | | Albemarle Corp. | | | 224,185 | |
| | 577 | | | Arkema SA | | | 81,374 | |
| | 11,600 | | | Asahi Kasei Corp. | | | 109,044 | |
| | 7,451 | | | BASF SE | | | 524,021 | |
| | 897 | | | Celanese Corp. | | | 150,750 | |
| | 1,978 | | | CF Industries Holdings, Inc. | | | 140,003 | |
| | 801 | | | Christian Hansen Holding A/S | | | 62,982 | |
| | 2,080 | | | Clariant AG | | | 43,424 | |
| | 6,268 | | | Corteva, Inc. | | | 296,351 | |
| | 1,415 | | | Covestro AG | | | 87,304 | |
| | 1,096 | | | Croda International plc | | | 150,290 | |
| | 6,176 | | | Dow, Inc. | | | 350,303 | |
| | 4,286 | | | DuPont de Nemours, Inc. | | | 346,223 | |
| | 1,020 | | | Eastman Chemical Co. | | | 123,328 | |
| | 2,136 | | | Ecolab, Inc. | | | 501,084 | |
| | 62 | | | EMS-Chemie Holding AG | | | 69,212 | |
| | 1,938 | | | Evonik Industries AG | | | 62,806 | |
| | 949 | | | FMC Corp. | | | 104,286 | |
| | 311 | | | FUCHS PETROLUB SE | | | 14,133 | |
| | 73 | | | Givaudan SA, Registered Shares | | | 384,245 | |
| | 6,835 | | | ICL Group, Ltd. | | | 65,724 | |
| | 2,123 | | | International Flavors & Fragrances, Inc. | | | 319,830 | |
| | 1,789 | | | Johnson Matthey plc | | | 49,685 | |
| | 1,900 | | | JSR Corp. | | | 72,284 | |
| | 1,300 | | | Kansai Paint Co., Ltd. | | | 28,261 | |
| | 1,472 | | | Koninklijke DSM NV | | | 330,475 | |
| | 803 | | | Lanxess AG | | | 49,822 | |
| | 4,251 | | | Linde plc | | | 1,472,674 | |
| | 2,197 | | | LyondellBasell Industries NV, Class A | | | 202,629 | |
| | 11,800 | | | Mitsubishi Chemical Holdings Corp. | | | 87,427 | |
| | 700 | | | Mitsubishi Gas Chemical Co., Inc. | | | 11,858 | |
| | 1,700 | | | Mitsui Chemicals, Inc. | | | 45,680 | |
| | 2,710 | | | Mosaic Co. (The) | | | 106,476 | |
| | 6,600 | | | Nippon Paint Holdings Co., Ltd. | | | 71,973 | |
| | 1,100 | | | Nippon Sanso Holdings Corp. | | | 24,038 | |
| | 800 | | | Nissan Chemical Corp. | | | 46,473 | |
| | 1,000 | | | Nitto Denko Corp. | | | 77,307 | |
| | 1,580 | | | Novozymes A/S, Class B | | | 129,399 | |
| | 4,831 | | | Nutrien, Ltd.^ | | | 363,165 | |
| | 2,876 | | | Orica, Ltd. | | | 28,679 | |
| | 2,005 | | | PPG Industries, Inc. | | | 345,742 | |
| | 942 | | | RPM International, Inc. | | | 95,142 | |
| | 2,096 | | | Sherwin Williams Co. | | | 738,127 | |
| | 2,900 | | | Shin-Etsu Chemical Co., Ltd. | | | 502,353 | |
| | 1,168 | | | Sika AG | | | 484,991 | |
| | 685 | | | Solvay SA | | | 79,852 | |
| | 13,800 | | | Sumitomo Chemical Co., Ltd. | | | 65,043 | |
| | 1,189 | | | Symrise AG | | | 176,349 | |
| | 12,800 | | | Toray Industries, Inc. | | | 75,890 | |
| | 2,700 | | | Tosoh Corp. | | | 40,055 | |
| | 1,822 | | | Umicore SA | | | 74,332 | |
| | 1,092 | | | Yara International ASA | | | 55,189 | |
| | | | | | | | |
| | | | | | | 11,548,772 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies (0.5%): | | | |
| | 10,643 | | | Brambles, Ltd. | | $ | 82,311 | |
| | 748 | | | Cintas Corp. | | | 331,491 | |
| | 1,784 | | | Copart, Inc.* | | | 270,490 | |
| | 1,800 | | | Dai Nippon Printing Co., Ltd. | | | 45,282 | |
| | 1,558 | | | GFL Environmental, Inc. | | | 58,918 | |
| | 13,958 | | | Rentokil Initial plc | | | 110,394 | |
| | 1,839 | | | Republic Services, Inc., Class A | | | 256,449 | |
| | 1,016 | | | Ritchie Bros Auctioneers, Inc. | | | 62,183 | |
| | 2,075 | | | Rollins, Inc. | | | 70,986 | |
| | 1,900 | | | SECOM Co., Ltd. | | | 131,941 | |
| | 3,081 | | | Securitas AB, Class B | | | 42,362 | |
| | 300 | | | Sohgo Security Services Co., Ltd. | | | 11,922 | |
| | 2,800 | | | TOPPAN, INC. | | | 52,496 | |
| | 2,218 | | | Waste Connections, Inc. | | | 302,247 | |
| | 3,408 | | | Waste Management, Inc. | | | 568,795 | |
| | | | | | | | |
| | | | | | | 2,398,267 | |
| | | | | | | | |
| Communications Equipment (0.7%): | | | |
| | 1,856 | | | Arista Networks, Inc.* | | | 266,800 | |
| | 34,768 | | | Cisco Systems, Inc. | | | 2,203,248 | |
| | 438 | | | F5, Inc.* | | | 107,183 | |
| | 3,033 | | | Juniper Networks, Inc. | | | 108,309 | |
| | 1,443 | | | Motorola Solutions, Inc. | | | 392,063 | |
| | 42,435 | | | Nokia OYJ* | | | 266,556 | |
| | 24,758 | | | Telefonaktiebolaget LM Ericsson, Class B | | | 272,034 | |
| | | | | | | | |
| | | | | | | 3,616,193 | |
| | | | | | | | |
| Construction & Engineering (0.3%): | | | |
| | 2,330 | | | ACS Actividades de Construccion y Servicios SA | | | 62,488 | |
| | 2,111 | | | Bouygues SA | | | 75,630 | |
| | 770 | | | Eiffage SA | | | 79,415 | |
| | 3,592 | | | Ferrovial SA | | | 112,643 | |
| | 1,024 | | | Jacobs Engineering Group, Inc. | | | 142,571 | |
| | 4,400 | | | Kajima Corp. | | | 50,544 | |
| | 4,900 | | | Obayashi Corp. | | | 37,922 | |
| | 5,900 | | | Shimizu Corp. | | | 36,580 | |
| | 3,144 | | | Skanska AB, Class B | | | 81,011 | |
| | 1,100 | | | Taisei Corp. | | | 33,431 | |
| | 4,415 | | | Vinci SA | | | 467,743 | |
| | 1,051 | | | WSP Global, Inc. | | | 152,589 | |
| | | | | | | | |
| | | | | | | 1,332,567 | |
| | | | | | | | |
| Construction Materials (0.2%): | | | |
| | 6,549 | | | CRH plc | | | 345,888 | |
| | 993 | | | HeidelbergCement AG | | | 67,271 | |
| | 4,635 | | | Holcim, Ltd. | | | 235,961 | |
| | 4,105 | | | James Hardie Industries SE | | | 165,192 | |
| | 503 | | | Martin Marietta Materials, Inc. | | | 221,582 | |
| | 1,084 | | | Vulcan Materials Co. | | | 225,017 | |
| | | | | | | | |
| | | | | | | 1,260,911 | |
| | | | | | | | |
| Consumer Finance (0.4%): | | | |
| | 3,145 | | | Ally Financial, Inc. | | | 149,733 | |
| | 5,564 | | | American Express Co. | | | 910,270 | |
| | 3,671 | | | Capital One Financial Corp. | | | 532,625 | |
| | 2,410 | | | Discover Financial Services | | | 278,500 | |
| | 1 | | | Isracard, Ltd. | | | 3 | |
| | 4,337 | | | SoFi Technologies, Inc.*^ | | | 68,568 | |
| | 4,815 | | | Synchrony Financial | | | 223,368 | |
| | 163 | | | Upstart Holdings, Inc.* | | | 24,662 | |
| | | | | | | | |
| | | | | | | 2,187,729 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Containers & Packaging (0.2%): | | | |
| | 12,355 | | | Amcor plc | | $ | 148,384 | |
| | 648 | | | Avery Dennison Corp. | | | 140,337 | |
| | 2,818 | | | Ball Corp. | | | 271,289 | |
| | 1,393 | | | CCL Industries, Inc. | | | 74,705 | |
| | 998 | | | Crown Holdings, Inc. | | | 110,399 | |
| | 3,294 | | | International Paper Co. | | | 154,752 | |
| | 682 | | | Packaging Corp. of America | | | 92,854 | |
| | 1,432 | | | Sealed Air Corp. | | | 96,617 | |
| | 1,807 | | | Smurfit Kappa Group plc | | | 99,885 | |
| | 2,436 | | | Westrock Co. | | | 108,061 | |
| | | | | | | | |
| | | | | | | 1,297,283 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 1,145 | | | Genuine Parts Co. | | | 160,529 | |
| | 2,156 | | | LKQ Corp. | | | 129,425 | |
| | 321 | | | Pool Corp. | | | 181,686 | |
| | | | | | | | |
| | | | | | | 471,640 | |
| | | | | | | | |
| Diversified Consumer Services (0.0%†): | | | |
| | 1,753 | | | IDP Education, Ltd. | | | 44,198 | |
| | | | | | | | |
| Diversified Financial Services (0.9%): | | | |
| | 10,984 | | | Berkshire Hathaway, Inc., Class B* | | | 3,284,216 | |
| | 2,830 | | | Equitable Holdings, Inc. | | | 92,796 | |
| | 414 | | | Eurazeo SE | | | 36,189 | |
| | 1,002 | | | EXOR NV | | | 89,181 | |
| | 1,044 | | | Groupe Bruxelles Lambert SA | | | 116,661 | |
| | 885 | | | Industrivarden AB, Class A | | | 28,099 | |
| | 1,476 | | | Industrivarden AB, Class C | | | 46,181 | |
| | 4,187 | | | Investor AB | | | 109,797 | |
| | 14,654 | | | Investor AB, Class B | | | 366,603 | |
| | 2,236 | | | Kinnevik AB, Class B* | | | 79,129 | |
| | 418 | | | L E Lundbergforetagen AB | | | 23,365 | |
| | 24,030 | | | M&G plc | | | 64,859 | |
| | 4,100 | | | Mitsubishi HC Capital, Inc. | | | 20,286 | |
| | 755 | | | Onex Corp. | | | 59,263 | |
| | 9,900 | | | ORIX Corp. | | | 202,094 | |
| | 142 | | | Sofina SA | | | 69,820 | |
| | 20,261 | | | Standard Life Aberdeen plc | | | 66,024 | |
| | 200 | | | Tokyo Century Corp. | | | 9,705 | |
| | 122 | | | Wendel | | | 14,626 | |
| | | | | | | | |
| | | | | | | 4,778,894 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.2%): | | | |
| | 58,993 | | | AT&T, Inc. | | | 1,451,228 | |
| | 692 | | | BCE, Inc. | | | 36,006 | |
| | 70,769 | | | BT Group plc | | | 161,794 | |
| | 4,277 | | | Cellnex Telecom SAU | | | 248,300 | |
| | 28,310 | | | Deutsche Telekom AG, Registered Shares | | | 526,097 | |
| | 1,315 | | | Elisa OYJ | | | 80,755 | |
| | 36,000 | | | HKT Trust & HKT, Ltd. | | | 48,394 | |
| | 2,027 | | | Infrastrutture Wireless Italiane SpA | | | 24,540 | |
| | 31,076 | | | Koninklijke KPN NV | | | 96,491 | |
| | 8,617 | | | Lumen Technologies, Inc. | | | 108,143 | |
| | 10,900 | | | Nippon Telegraph & Telephone Corp. | | | 298,079 | |
| | 16,116 | | | Orange SA | | | 172,636 | |
| | 1,048 | | | Proximus SADP | | | 20,434 | |
| | 62,100 | | | Singapore Telecommunications, Ltd. | | | 106,937 | |
| | 17,116 | | | Spark New Zealand, Ltd. | | | 52,987 | |
| | 191 | | | Swisscom AG, Registered Shares | | | 107,787 | |
See accompanying notes to the financial statements.
7
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Telecommunication Services, continued | | | |
| | 92,093 | | | Telecom Italia SpA | | $ | 45,283 | |
| | 3,372 | | | Telefonica Deutschland Holding AG | | | 9,328 | |
| | 44,585 | | | Telefonica SA^ | | | 194,074 | |
| | 6,467 | | | Telenor ASA | | | 101,801 | |
| | 24,569 | | | Telia Co AB | | | 96,102 | |
| | 29,855 | | | Telstra Corp., Ltd. | | | 90,792 | |
| | 3,956 | | | TELUS Corp. | | | 93,176 | |
| | 476 | | | United Internet AG, Registered Shares | | | 18,880 | |
| | 34,090 | | | Verizon Communications, Inc. | | | 1,771,316 | |
| | | | | | | | |
| | | | | | | 5,961,360 | |
| | | | | | | | |
| Electric Utilities (1.6%): | | | |
| | 2,033 | | | Alliant Energy Corp. | | | 124,969 | |
| | 4,001 | | | American Electric Power Co., Inc. | | | 355,969 | |
| | 6,381 | | | AusNet Services | | | 11,926 | |
| | 6,000 | | | Chubu Electric Power Co., Inc. | | | 63,360 | |
| | 7,000 | | | CK Infrastructure Holdings, Ltd. | | | 44,575 | |
| | 15,000 | | | CLP Holdings, Ltd. | | | 151,497 | |
| | 6,320 | | | Duke Energy Corp. | | | 662,968 | |
| | 3,058 | | | Edison International | | | 208,709 | |
| | 20,856 | | | EDP – Energias de Portugal SA | | | 114,392 | |
| | 4,298 | | | Electricite de France | | | 50,505 | |
| | 226 | | | Elia Group SA/NV | | | 29,799 | |
| | 2,325 | | | Emera, Inc. | | | 116,213 | |
| | 3,072 | | | Endesa SA | | | 70,810 | |
| | 65,848 | | | Enel SpA | | | 524,363 | |
| | 1,617 | | | Entergy Corp. | | | 182,155 | |
| | 1,705 | | | Evergy, Inc. | | | 116,980 | |
| | 2,881 | | | Eversource Energy | | | 262,113 | |
| | 7,987 | | | Exelon Corp. | | | 461,329 | |
| | 4,352 | | | FirstEnergy Corp. | | | 181,000 | |
| | 4,314 | | | Fortis, Inc. | | | 208,162 | |
| | 3,188 | | | Fortum OYJ | | | 97,365 | |
| | 7,500 | | | HK Electric Investments, Ltd. | | | 7,359 | |
| | 3,038 | | | Hydro One, Ltd. | | | 79,049 | |
| | 47,941 | | | Iberdrola SA | | | 561,743 | |
| | 6,500 | | | Kansai Electric Power Co., Inc. (The) | | | 60,844 | |
| | 4,873 | | | Mercury NZ, Ltd. | | | 20,408 | |
| | 16,219 | | | NextEra Energy, Inc. | | | 1,514,206 | |
| | 16,911 | | | Origin Energy, Ltd. | | | 64,595 | |
| | 1,748 | | | Orsted A/S | | | 224,498 | |
| | 11,217 | | | PG&E Corp.* | | | 136,174 | |
| | 13,000 | | | Power Assets Holdings, Ltd. | | | 81,031 | |
| | 6,216 | | | PPL Corp. | | | 186,853 | |
| | 1,850 | | | Red Electrica Corp SA^ | | | 40,039 | |
| | 8,440 | | | Scottish & Southern Energy plc | | | 188,170 | |
| | 8,925 | | | Southern Co. (The) | | | 612,076 | |
| | 13,004 | | | Terna SpA | | | 104,911 | |
| | 14,900 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 38,568 | |
| | 453 | | | Verbund AG, Class A | | | 51,123 | |
| | 4,585 | | | Xcel Energy, Inc. | | | 310,405 | |
| | | | | | | | |
| | | | | | | 8,321,211 | |
| | | | | | | | |
| Electrical Equipment (0.9%): | | | |
| | 13,774 | | | ABB, Ltd. | | | 524,980 | |
| | 1,931 | | | AMETEK, Inc. | | | 283,934 | |
| | 1,327 | | | Ballard Power Systems, Inc.* | | | 16,671 | |
| | 3,252 | | | Eaton Corp. plc | | | 562,011 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electrical Equipment, continued | | | |
| | 5,038 | | | Emerson Electric Co. | | $ | 468,383 | |
| | 1,200 | | | Fuji Electric Co., Ltd. | | | 65,537 | |
| | 515 | | | Generac Holdings, Inc.* | | | 181,239 | |
| | 2,233 | | | Legrand SA | | | 261,314 | |
| | 14,900 | | | Mitsubishi Electric Corp. | | | 188,974 | |
| | 3,500 | | | Nidec Corp. | | | 411,500 | |
| | 4,644 | | | Plug Power, Inc.*^ | | | 131,100 | |
| | 1,694 | | | Prysmian SpA | | | 63,821 | |
| | 916 | | | Rockwell Automation, Inc. | | | 319,547 | |
| | 4,516 | | | Schneider Electric SA | | | 885,276 | |
| | 1,457 | | | Sensata Technologies Holding plc* | | | 89,882 | |
| | 3,694 | | | Siemens Energy AG* | | | 94,570 | |
| | 2,219 | | | Siemens Gamesa Renewable Energy* | | | 52,624 | |
| | 1,592 | | | Sunrun, Inc.* | | | 54,606 | |
| | 7,736 | | | Vestas Wind Systems A/S | | | 233,973 | |
| | | | | | | | |
| | | | | | | 4,889,942 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.0%): | | | |
| | 4,880 | | | Amphenol Corp., Class A | | | 426,805 | |
| | 690 | | | Arrow Electronics, Inc.* | | | 92,646 | |
| | 800 | | | Azbil Corp. | | | 36,454 | |
| | 1,096 | | | CDW Corp. | | | 224,439 | |
| | 1,627 | | | Cognex Corp. | | | 126,516 | |
| | 7,102 | | | Corning, Inc. | | | 264,408 | |
| | 2,865 | | | Halma plc | | | 123,713 | |
| | 1,300 | | | Hamamatsu Photonics KK | | | 82,977 | |
| | 16,517 | | | Hexagon AB, Class B | | | 260,128 | |
| | 205 | | | Hirose Electric Co., Ltd. | | | 34,477 | |
| | 600 | | | Ibiden Co., Ltd. | | | 35,470 | |
| | 346 | | | IPG Photonics Corp.* | | | 59,561 | |
| | 1,600 | | | Keyence Corp. | | | 1,005,714 | |
| | 1,567 | | | Keysight Technologies, Inc.* | | | 323,601 | |
| | 2,500 | | | Kyocera Corp. | | | 156,246 | |
| | 4,600 | | | Murata Manufacturing Co., Ltd. | | | 365,278 | |
| | 1,700 | | | Omron Corp. | | | 169,421 | |
| | 2,200 | | | Shimadzu Corp. | | | 92,884 | |
| | 2,900 | | | TDK Corp. | | | 113,234 | |
| | 2,723 | | | TE Connectivity, Ltd. | | | 439,329 | |
| | 370 | | | Teledyne Technologies, Inc.* | | | 161,649 | |
| | 2,027 | | | Trimble, Inc.* | | | 176,734 | |
| | 1,300 | | | Venture Corp., Ltd. | | | 17,681 | |
| | 1,000 | | | Yokogawa Electric Corp. | | | 18,036 | |
| | 463 | | | Zebra Technologies Corp., Class A* | | | 275,578 | |
| | | | | | | | |
| | | | | | | 5,082,979 | |
| | | | | | | | |
| Energy Equipment & Services (0.1%): | | | |
| | 6,737 | | | Baker Hughes Co. | | | 162,092 | |
| | 7,216 | | | Halliburton Co. | | | 165,030 | |
| | 11,956 | | | Schlumberger, Ltd. | | | 358,082 | |
| | 4,403 | | | Tenaris SA | | | 45,949 | |
| | | | | | | | |
| | | | | | | 731,153 | |
| | | | | | | | |
| Entertainment (1.4%): | | | |
| | 6,545 | | | Activision Blizzard, Inc. | | | 435,439 | |
| | 4,441 | | | AMC Entertainment Holdings, Inc., Class A*^ | | | 120,795 | |
| | 8,533 | | | Bollore, Inc. | | | 47,743 | |
| | 1,200 | | | Capcom Co., Ltd. | | | 28,258 | |
| | 2,273 | | | Electronic Arts, Inc. | | | 299,809 | |
| | 2,754 | | | Embracer Group AB* | | | 29,191 | |
See accompanying notes to the financial statements.
8
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Entertainment, continued | | | |
| | 390 | | | Koei Tecmo Holdings Co., Ltd.^ | | $ | 15,346 | |
| | 900 | | | Konami Holdings Corp. | | | 43,202 | |
| | 1,787 | | | Liberty Media Corp-Liberty Formula One, Class C* | | | 113,010 | |
| | 1,290 | | | Live Nation Entertainment, Inc.* | | | 154,400 | |
| | 3,642 | | | Netflix, Inc.* | | | 2,194,086 | |
| | 4,500 | | | Nexon Co., Ltd. | | | 86,796 | |
| | 900 | | | Nintendo Co., Ltd. | | | 419,867 | |
| | 924 | | | Roku, Inc.* | | | 210,857 | |
| | 1,157 | | | Sea, Ltd., ADR* | | | 258,832 | |
| | 400 | | | Square Enix Holdings Co., Ltd. | | | 20,522 | |
| | 974 | | | Take-Two Interactive Software, Inc.* | | | 173,099 | |
| | 600 | | | Toho Co., Ltd. | | | 25,696 | |
| | 856 | | | UbiSoft Entertainment SA* | | | 41,978 | |
| | 5,833 | | | Universal Music Group NV | | | 164,444 | |
| | 5,833 | | | Vivendi Universal SA | | | 78,907 | |
| | 14,941 | | | Walt Disney Co. (The)* | | | 2,314,212 | |
| | | | | | | | |
| | | | | | | 7,276,489 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (2.3%): | | | |
| | 1,112 | | | Alexandria Real Estate Equities, Inc. | | | 247,932 | |
| | 3,768 | | | American Tower Corp. | | | 1,102,140 | |
| | 29,744 | | | Ascendas Real Estate Investment Trust | | | 65,157 | |
| | 1,174 | | | AvalonBay Communities, Inc. | | | 296,541 | |
| | 1,147 | | | Boston Properties, Inc. | | | 132,111 | |
| | 8,137 | | | British Land Co. plc | | | 58,335 | |
| | 739 | | | Camden Property Trust | | | 132,044 | |
| | 815 | | | Canadian Apartment Properties REIT | | | 38,636 | |
| | 31,506 | | | CapitaLand Mall Trust | | | 47,727 | |
| | 316 | | | Covivio | | | 25,980 | |
| | 3,573 | | | Crown Castle International Corp. | | | 745,828 | |
| | 18 | | | Daiwahouse Residential Investment Corp. | | | 54,544 | |
| | 10,038 | | | Dexus | | | 81,218 | |
| | 2,280 | | | Digital Realty Trust, Inc. | | | 403,264 | |
| | 2,988 | | | Duke Realty Corp. | | | 196,132 | |
| | 739 | | | Equinix, Inc. | | | 625,076 | |
| | 1,394 | | | Equity Lifestyle Properties, Inc. | | | 122,198 | |
| | 2,955 | | | Equity Residential | | | 267,427 | |
| | 522 | | | Essex Property Trust, Inc. | | | 183,864 | |
| | 1,083 | | | Extra Space Storage, Inc. | | | 245,549 | |
| | 424 | | | Gecina SA | | | 59,299 | |
| | 28 | | | GLP J-REIT | | | 48,391 | |
| | 13,861 | | | Goodman Group | | | 267,604 | |
| | 18,004 | | | GPT Group | | | 70,999 | |
| | 4,227 | | | Healthpeak Properties, Inc. | | | 152,552 | |
| | 6,519 | | | Host Hotels & Resorts, Inc.* | | | 113,365 | |
| | 5,025 | | | Invitation Homes, Inc. | | | 227,833 | |
| | 2,113 | | | Iron Mountain, Inc. | | | 110,573 | |
| | 68 | | | Japan Metropolitan Fund Invest | | | 58,595 | |
| | 12 | | | Japan Real Estate Investment Corp. | | | 68,135 | |
| | 1,908 | | | Klepierre | | | 45,240 | |
| | 6,510 | | | Land Securities Group plc | | | 68,264 | |
| | 19,200 | | | Link REIT (The) | | | 169,149 | |
| | 15,100 | | | Mapletree Commercial Trust | | | 22,257 | |
| | 21,123 | | | Mapletree Logistics Trust | | | 29,789 | |
| | 5,344 | | | Medical Properties Trust, Inc. | | | 126,279 | |
| | 919 | | | Mid-America Apartment Communities, Inc. | | | 210,855 | |
| | 36,393 | | | Mirvac Group | | | 77,148 | |
| | 14 | | | Nippon Building Fund, Inc. | | | 81,561 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 20 | | | Nippon Prologis REIT, Inc. | | $ | 70,731 | |
| | 39 | | | Nomura Real Estate Master Fund, Inc. | | | 54,867 | |
| | 25 | | | Orix JREIT, Inc. | | | 39,084 | |
| | 6,146 | | | Prologis, Inc. | | | 1,034,741 | |
| | 1,285 | | | Public Storage, Inc. | | | 481,310 | |
| | 4,569 | | | Realty Income Corp. | | | 327,095 | |
| | 1,170 | | | Regency Centers Corp. | | | 88,159 | |
| | 480 | | | RioCan REIT | | | 8,706 | |
| | 884 | | | SBA Communications Corp. | | | 343,894 | |
| | 47,972 | | | Scentre Group | | | 110,307 | |
| | 9,532 | | | SERGO plc | | | 185,128 | |
| | 2,753 | | | Simon Property Group, Inc. | | | 439,847 | |
| | 22,062 | | | Stockland | | | 68,073 | |
| | 995 | | | Sun Communities, Inc. | | | 208,920 | |
| | 2,260 | | | UDR, Inc. | | | 135,577 | |
| | 1,152 | | | Unibail-Rodamco-Westfield* | | | 80,305 | |
| | 3,463 | | | Ventas, Inc. | | | 177,029 | |
| | 4,960 | | | VICI Properties, Inc.^ | | | 149,346 | |
| | 24,703 | | | Vicinity Centres | | | 30,426 | |
| | 1,503 | | | Vornado Realty Trust | | | 62,916 | |
| | 3,554 | | | Welltower, Inc. | | | 304,827 | |
| | 6,139 | | | Weyerhaeuser Co. | | | 252,804 | |
| | 1,287 | | | WP Carey, Inc. | | | 105,598 | |
| | | | | | | | |
| | | | | | | 11,839,281 | |
| | | | | | | | |
| Food & Staples Retailing (1.4%): | | | |
| | 4,900 | | | AEON Co., Ltd. | | | 115,427 | |
| | 6,504 | | | Alimentation Couche-Tard, Inc. | | | 272,543 | |
| | 5,668 | | | Carrefour SA | | | 103,876 | |
| | 12,329 | | | Coles Group, Ltd. | | | 160,923 | |
| | 272 | | | Colruyt SA | | | 11,538 | |
| | 100 | | | Cosmos Pharmaceutical Corp. | | | 14,693 | |
| | 3,643 | | | Costco Wholesale Corp. | | | 2,068,131 | |
| | 1,563 | | | Empire Co., Ltd., Class A | | | 47,626 | |
| | 11,695 | | | Endeavour Group, Ltd. | | | 57,354 | |
| | 15,420 | | | J Sainsbury plc | | | 57,483 | |
| | 2,416 | | | Jeronimo Martins SGPS SA | | | 55,288 | |
| | 2,524 | | | Kesko OYJ, Class B | | | 83,721 | |
| | 1,000 | | | Kobe Bussan Co., Ltd. | | | 38,695 | |
| | 8,868 | | | Koninklijke Ahold Delhaize NV | | | 303,832 | |
| | 6,103 | | | Kroger Co. (The) | | | 276,222 | |
| | 200 | | | LAWSON, Inc. | | | 9,466 | |
| | 1,246 | | | Loblaw Cos., Ltd. | | | 102,099 | |
| | 1,796 | | | Metro, Inc. | | | 95,594 | |
| | 6,400 | | | Seven & I Holdings Co., Ltd. | | | 281,374 | |
| | 4,379 | | | Sysco Corp. | | | 343,970 | |
| | 63,483 | | | Tesco plc | | | 248,849 | |
| | 300 | | | Tsuruha Holdings, Inc. | | | 28,769 | |
| | 6,256 | | | Walgreens Boots Alliance, Inc. | | | 326,313 | |
| | 12,791 | | | Walmart, Inc. | | | 1,850,730 | |
| | 500 | | | Welcia Holdings Co., Ltd. | | | 15,589 | |
| | 705 | | | Weston (George), Ltd. | | | 81,748 | |
| | 10,805 | | | Woolworths Group, Ltd. | | | 298,806 | |
| | | | | | | | |
| | | | | | | 7,350,659 | |
| | | | | | | | |
| Food Products (1.5%): | | | |
| | 4,300 | | | Ajinomoto Co., Inc. | | | 130,757 | |
| | 4,700 | | | Archer-Daniels-Midland Co. | | | 317,673 | |
See accompanying notes to the financial statements.
9
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Food Products, continued | | | |
| | 3,293 | | | Associated British Foods plc | | $ | 89,304 | |
| | 33 | | | Barry Callebaut AG, Registered Shares | | | 80,208 | |
| | 1,295 | | | Bunge, Ltd. | | | 120,901 | |
| | 1,820 | | | Campbell Soup Co. | | | 79,097 | |
| | 1 | | | Chocoladefabriken Lindt & Spruengli AG | | | 134,096 | |
| | 3,715 | | | Conagra Brands, Inc. | | | 126,867 | |
| | 5,258 | | | Danone SA | | | 326,571 | |
| | 5,200 | | | General Mills, Inc. | | | 350,376 | |
| | 1,206 | | | Hershey Co. (The) | | | 233,325 | |
| | 2,218 | | | Hormel Foods Corp. | | | 108,261 | |
| | 476 | | | JDE Peet’s NV | | | 14,665 | |
| | 815 | | | JM Smucker Co. (The) | | | 110,693 | |
| | 1,968 | | | Kellogg Co. | | | 126,779 | |
| | 1,279 | | | Kerry Group plc, Class A | | | 164,858 | |
| | 1,300 | | | Kikkoman Corp. | | | 109,318 | |
| | 5,513 | | | Kraft Heinz Co. (The) | | | 197,917 | |
| | 7 | | | Lindt & Spruengli AG | | | 96,708 | |
| | 1,974 | | | McCormick & Co. | | | 190,708 | |
| | 1,200 | | | Meiji Holdings Co., Ltd. | | | 71,579 | |
| | 11,389 | | | Mondelez International, Inc., Class A | | | 755,205 | |
| | 4,062 | | | Mowi ASA | | | 96,174 | |
| | 23,242 | | | Nestle SA, Registered Shares | | | 3,250,112 | |
| | 700 | | | Nisshin Seifun Group, Inc. | | | 10,076 | |
| | 300 | | | Nissin Foods Holdings Co., Ltd. | | | 21,856 | |
| | 5,748 | | | Orkla ASA, Class A | | | 57,656 | |
| | 2,279 | | | Saputo, Inc. | | | 51,353 | |
| | 700 | | | Toyo Suisan Kaisha, Ltd. | | | 29,613 | |
| | 2,404 | | | Tyson Foods, Inc., Class A | | | 209,533 | |
| | 68,033 | | | WH Group, Ltd. | | | 42,676 | |
| | 18,000 | | | Wilmar International, Ltd. | | | 55,351 | |
| | 900 | | | Yakult Honsha Co., Ltd. | | | 46,891 | |
| | | | | | | | |
| | | | | | | 7,807,157 | |
| | | | | | | | |
| Gas Utilities (0.2%): | | | |
| | 1,545 | | | AltaGas, Ltd. | | | 33,360 | |
| | 10,905 | | | APA Group | | | 79,879 | |
| | 1,185 | | | Atmos Energy Corp. | | | 124,152 | |
| | 595 | | | Enagas SA | | | 13,760 | |
| | 1,662 | | | Gas Natural SDG SA | | | 53,951 | |
| | 103,117 | | | Hong Kong & China Gas Co., Ltd. | | | 160,543 | |
| | 3,600 | | | Osaka Gas Co., Ltd. | | | 59,623 | |
| | 18,638 | | | Snam SpA | | | 112,013 | |
| | 3,500 | | | Tokyo Gas Co., Ltd. | | | 62,921 | |
| | 1,928 | | | UGI Corp. | | | 88,515 | |
| | | | | | | | |
| | | | | | | 788,717 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.0%): | | | |
| | 14,676 | | | Abbott Laboratories | | | 2,065,500 | |
| | 342 | | | ABIOMED, Inc.* | | | 122,836 | |
| | 3,994 | | | Alcon, Inc. | | | 352,007 | |
| | 614 | | | Align Technology, Inc.* | | | 403,509 | |
| | 1,548 | | | Ambu A/S, Class B | | | 40,522 | |
| | 1,400 | | | Asahi Intecc Co., Ltd. | | | 29,998 | |
| | 4,010 | | | Baxter International, Inc. | | | 344,218 | |
| | 2,367 | | | Becton Dickinson & Co. | | | 595,253 | |
| | 245 | | | BioMerieux | | | 34,823 | |
| | 11,539 | | | Boston Scientific Corp.* | | | 490,177 | |
| | 372 | | | Carl Zeiss Meditec AG | | | 78,271 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 451 | | | Cochlear, Ltd. | | $ | 70,792 | |
| | 1,098 | | | Coloplast A/S, Class B | | | 192,114 | |
| | 393 | | | Cooper Cos., Inc. (The) | | | 164,643 | |
| | 5,321 | | | Danaher Corp. | | | 1,750,662 | |
| | 1,001 | | | Demant A/S* | | | 50,788 | |
| | 2,020 | | | Dentsply Sirona, Inc. | | | 112,696 | |
| | 795 | | | DexCom, Inc.* | | | 426,875 | |
| | 233 | | | DiaSorin SpA | | | 44,320 | |
| | 5,103 | | | Edwards Lifesciences Corp.* | | | 661,094 | |
| | 4,138 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 92,768 | |
| | 1,920 | | | Getinge AB, Class B | | | 83,426 | |
| | 843 | | | GN Store Nord A/S | | | 52,682 | |
| | 2,052 | | | Hologic, Inc.* | | | 157,101 | |
| | 3,000 | | | HOYA Corp. | | | 444,901 | |
| | 710 | | | IDEXX Laboratories, Inc.* | | | 467,507 | |
| | 417 | | | Inmode, Ltd.* | | | 29,432 | |
| | 555 | | | Insulet Corp.* | | | 147,669 | |
| | 2,945 | | | Intuitive Surgical, Inc.* | | | 1,058,139 | |
| | 7,813 | | | Koninklijke Philips NV | | | 290,378 | |
| | 395 | | | Masimo Corp.* | | | 115,648 | |
| | 11,194 | | | Medtronic plc | | | 1,158,019 | |
| | 852 | | | Novocure, Ltd.* | | | 63,968 | |
| | 9,500 | | | Olympus Corp. | | | 218,245 | |
| | 1,249 | | | ResMed, Inc. | | | 325,340 | |
| | 242 | | | Sartorius AG | | | 163,781 | |
| | 2,484 | | | Siemens Healthineers AG | | | 186,118 | |
| | 6,641 | | | Smith & Nephew plc | | | 116,219 | |
| | 440 | | | Sonova Holding AG, Registered Shares | | | 171,907 | |
| | 806 | | | Steris plc | | | 196,188 | |
| | 86 | | | Straumann Holding AG, Registered Shares, Class R | | | 181,782 | |
| | 2,829 | | | Stryker Corp. | | | 756,531 | |
| | 1,500 | | | Sysmex Corp. | | | 202,130 | |
| | 354 | | | Teleflex, Inc. | | | 116,282 | |
| | 5,600 | | | Terumo Corp. | | | 236,672 | |
| | 620 | | | West Pharmaceutical Services, Inc. | | | 290,786 | |
| | 1,644 | | | Zimmer Biomet Holdings, Inc. | | | 208,854 | |
| | | | | | | | |
| | | | | | | 15,563,571 | |
| | | | | | | | |
| Health Care Providers & Services (1.9%): | | | |
| | 1,218 | | | AmerisourceBergen Corp. | | | 161,860 | |
| | 845 | | | Amplifon SpA | | | 45,402 | |
| | 2,022 | | | Anthem, Inc. | | | 937,278 | |
| | 2,209 | | | Cardinal Health, Inc. | | | 113,741 | |
| | 4,948 | | | Centene Corp.* | | | 407,715 | |
| | 2,773 | | | Cigna Corp. | | | 636,764 | |
| | 10,902 | | | CVS Health Corp. | | | 1,124,650 | |
| | 657 | | | DaVita, Inc.* | | | 74,740 | |
| | 1,484 | | | Fresenius Medical Care AG & Co., KGaA | | | 96,124 | |
| | 3,378 | | | Fresenius SE & Co. KGaA | | | 136,187 | |
| | 2,150 | | | HCA Healthcare, Inc. | | | 552,378 | |
| | 1,317 | | | Henry Schein, Inc.* | | | 102,107 | |
| | 1,083 | | | Humana, Inc. | | | 502,360 | |
| | 813 | | | Laboratory Corp. of America Holdings* | | | 255,453 | |
| | 1,233 | | | McKesson Corp. | | | 306,487 | |
| | 1,400 | | | Medipal Holdings Corp. | | | 26,235 | |
| | 453 | | | Molina Healthcare, Inc.* | | | 144,090 | |
| | 594 | | | Oak Street Health, Inc.*^ | | | 19,685 | |
| | 478 | | | Orpea | | | 47,801 | |
See accompanying notes to the financial statements.
10
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Providers & Services, continued | | | |
| | 1,055 | | | Quest Diagnostics, Inc. | | $ | 182,526 | |
| | 1,692 | | | Ramsay Health Care, Ltd. | | | 87,818 | |
| | 4,519 | | | Ryman Healthcare, Ltd. | | | 37,886 | |
| | 3,322 | | | Sonic Healthcare, Ltd. | | | 112,818 | |
| | 7,813 | | | UnitedHealth Group, Inc. | | | 3,923,220 | |
| | 521 | | | Universal Health Services, Inc., Class B | | | 67,553 | |
| | | | | | | | |
| | | | | | | 10,102,878 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 2,497 | | | Cerner Corp. | | | 231,896 | |
| | 3,600 | | | M3, Inc. | | | 181,361 | |
| | 1,250 | | | Teladoc Health, Inc.* | | | 114,775 | |
| | 1,173 | | | Veeva Systems, Inc., Class A* | | | 299,678 | |
| | | | | | | | |
| | | | | | | 827,710 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.5%): | | | |
| | 1,592 | | | Accor SA* | | | 51,515 | |
| | 1,978 | | | Airbnb, Inc., Class A* | | | 329,317 | |
| | 2,113 | | | Aramark | | | 77,864 | |
| | 5,570 | | | Aristocrat Leisure, Ltd. | | | 176,618 | |
| | 1,690 | | | Caesars Entertainment, Inc.* | | | 158,066 | |
| | 6,658 | | | Carnival Corp., Class A*^ | | | 133,959 | |
| | 229 | | | Chipotle Mexican Grill, Inc.* | | | 400,349 | |
| | 15,190 | | | Compass Group plc* | | | 338,316 | |
| | 1,597 | | | Crown Resorts, Ltd.* | | | 13,924 | |
| | 1,030 | | | Darden Restaurants, Inc. | | | 155,159 | |
| | 580 | | | Domino’s Pizza Enterprises, Ltd. | | | 49,809 | |
| | 308 | | | Domino’s Pizza, Inc. | | | 173,814 | |
| | 2,840 | | | DraftKings, Inc., Class A* | | | 78,015 | |
| | 1,406 | | | Evolution AB | | | 197,868 | |
| | 1,455 | | | Flutter Entertainment plc* | | | 229,565 | |
| | 20,000 | | | Galaxy Entertainment Group, Ltd.* | | | 103,638 | |
| | 25,500 | | | Genting Singapore, Ltd. | | | 14,669 | |
| | 4,276 | | | GVC Holdings plc* | | | 97,069 | |
| | 2,288 | | | Hilton Worldwide Holdings, Inc.* | | | 356,905 | |
| | 1,297 | | | InterContinental Hotels Group plc* | | | 83,469 | |
| | 883 | | | La Francaise des Jeux SAEM | | | 39,118 | |
| | 2,602 | | | Las Vegas Sands Corp.* | | | 97,939 | |
| | 2,294 | | | Marriott International, Inc., Class A* | | | 379,061 | |
| | 6,174 | | | McDonald’s Corp. | | | 1,655,064 | |
| | 300 | | | McDonald’s Holdings Co., Ltd. | | | 13,277 | |
| | 758 | | | Melco Resorts & Entertainment, Ltd., ADR* | | | 7,716 | |
| | 3,096 | | | MGM Resorts International | | | 138,949 | |
| | 1,600 | | | Oriental Land Co., Ltd. | | | 269,675 | |
| | 2,135 | | | Restaurant Brands International, Inc. | | | 129,552 | |
| | 1,827 | | | Royal Caribbean Cruises, Ltd.* | | | 140,496 | |
| | 22,400 | | | Sands China, Ltd.* | | | 52,181 | |
| | 818 | | | Sodexo SA | | | 71,719 | |
| | 9,744 | | | Starbucks Corp. | | | 1,139,756 | |
| | 20,492 | | | Tabcorp Holdings, Ltd. | | | 74,939 | |
| | 297 | | | Vail Resorts, Inc. | | | 97,386 | |
| | 1,865 | | | Whitbread plc* | | | 75,318 | |
| | 962 | | | Wynn Resorts, Ltd.* | | | 81,809 | |
| | 2,377 | | | Yum! Brands, Inc. | | | 330,070 | |
| | | | | | | | |
| | | | | | | 8,013,933 | |
| | | | | | | | |
| Household Durables (0.7%): | | | |
| | 9,412 | | | Barratt Developments plc | | | 95,061 | |
| | 2,191 | | | Bath & Body Works, Inc. | | | 152,910 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables, continued | | | |
| | 1,048 | | | Berkeley Group Holdings plc | | $ | 67,544 | |
| | 2,853 | | | DR Horton, Inc. | | | 309,408 | |
| | 2,085 | | | Electrolux AB, Class B | | | 50,423 | |
| | 1,260 | | | Garmin, Ltd. | | | 171,574 | |
| | 2,525 | | | Husqvarna AB, Class B | | | 40,216 | |
| | 600 | | | Iida Group Holdings Co., Ltd. | | | 13,923 | |
| | 2,266 | | | Lennar Corp., Class A | | | 263,219 | |
| | 552 | | | Mohawk Industries, Inc.* | | | 100,563 | |
| | 3,532 | | | Newell Brands, Inc. | | | 77,139 | |
| | 27 | | | NVR, Inc.* | | | 159,539 | |
| | 20,400 | | | Panasonic Corp. | | | 224,409 | |
| | 2,260 | | | Persimmon plc | | | 87,152 | |
| | 2,163 | | | PulteGroup, Inc. | | | 123,637 | |
| | 300 | | | Rinnai Corp. | | | 26,990 | |
| | 256 | | | SEB SA | | | 39,870 | |
| | 3,500 | | | Sekisui Chemical Co., Ltd. | | | 58,498 | |
| | 5,700 | | | Sekisui House, Ltd. | | | 122,379 | |
| | 1,000 | | | Sharp Corp. | | | 11,461 | |
| | 10,300 | | | Sony Group Corp. | | | 1,302,242 | |
| | 33,694 | | | Taylor Wimpey plc | | | 79,793 | |
| | 460 | | | Whirlpool Corp. | | | 107,944 | |
| | | | | | | | |
| | | | | | | 3,685,894 | |
| | | | | | | | |
| Household Products (1.1%): | | | |
| | 1,959 | | | Church & Dwight Co., Inc. | | | 200,798 | |
| | 1,001 | | | Clorox Co. (The) | | | 174,534 | |
| | 6,581 | | | Colgate-Palmolive Co. | | | 561,623 | |
| | 4,830 | | | Essity AB, Class B | | | 157,660 | |
| | 960 | | | Henkel AG & Co. KGaA | | | 75,051 | |
| | 2,745 | | | Kimberly-Clark Corp. | | | 392,315 | |
| | 1,700 | | | Lion Corp. | | | 22,720 | |
| | 20,040 | | | Procter & Gamble Co. (The) | | | 3,278,143 | |
| | 5,927 | | | Reckitt Benckiser Group plc | | | 508,372 | |
| | 3,700 | | | Unicharm Corp. | | | 160,832 | |
| | | | | | | | |
| | | | | | | 5,532,048 | |
| | | | | | | | |
Independent Power and Renewable Electricity
Producers (0.1%): | | | |
| | 5,538 | | | AES Corp. (The) | | | 134,573 | |
| | 787 | | | Brookfield Renewable Corp., Class A | | | 28,965 | |
| | 2,812 | | | EDP Renovaveis SA | | | 69,724 | |
| | 6,904 | | | Meridian Energy, Ltd. | | | 22,962 | |
| | 2,059 | | | Northland Power, Inc. | | | 61,780 | |
| | 2,257 | | | NRG Energy, Inc. | | | 97,232 | |
| | 254 | | | Uniper SE | | | 12,079 | |
| | 4,219 | | | Vistra Corp. | | | 96,067 | |
| | | | | | | | |
| | | | | | | 523,382 | |
| | | | | | | | |
| Industrial Conglomerates (1.1%): | | | |
| | 4,844 | | | 3M Co. | | | 860,440 | |
| | 21,000 | | | CK Hutchison Holdings, Ltd. | | | 135,518 | |
| | 925 | | | DCC plc | | | 75,627 | |
| | 8,950 | | | General Electric Co. | | | 845,506 | |
| | 7,900 | | | Hitachi, Ltd. | | | 427,994 | |
| | 5,764 | | | Honeywell International, Inc. | | | 1,201,852 | |
| | 1,007 | | | Investment AB Latour, Class B | | | 41,083 | |
| | 1,500 | | | Jardine Matheson Holdings, Ltd. | | | 82,576 | |
| | 7,500 | | | Keppel Corp., Ltd. | | | 28,502 | |
| | 1,957 | | | Lifco AB, Class B | | | 58,622 | |
See accompanying notes to the financial statements.
11
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Industrial Conglomerates, continued | | | |
| | 40,411 | | | Melrose Industries plc | | $ | 87,671 | |
| | 862 | | | Roper Technologies, Inc. | | | 423,983 | |
| | 6,279 | | | Siemens AG, Registered Shares | | | 1,091,332 | |
| | 3,663 | | | Smiths Group plc | | | 78,069 | |
| | 3,800 | | | Toshiba Corp. | | | 156,295 | |
| | | | | | | | |
| | | | | | | 5,595,070 | |
| | | | | | | | |
| Insurance (2.9%): | | | |
| | 1,782 | | | Admiral Group plc | | | 76,172 | |
| | 16,538 | | | AEGON NV | | | 82,414 | |
| | 5,126 | | | Aflac, Inc. | | | 299,307 | |
| | 1,618 | | | Ageas NV | | | 83,874 | |
| | 98,200 | | | AIA Group, Ltd. | | | 990,027 | |
| | 129 | | | Alleghany Corp.* | | | 86,119 | |
| | 3,365 | | | Allianz SE, Registered Shares+ | | | 795,478 | |
| | 2,379 | | | Allstate Corp. (The) | | | 279,889 | |
| | 679 | | | American Financial Group, Inc. | | | 93,240 | |
| | 7,045 | | | American International Group, Inc. | | | 400,579 | |
| | 1,905 | | | Aon plc, Class A | | | 572,567 | |
| | 3,125 | | | Arch Capital Group, Ltd.* | | | 138,906 | |
| | 1,638 | | | Arthur J. Gallagher & Co. | | | 277,920 | |
| | 8,867 | | | Assicurazioni Generali SpA | | | 187,126 | |
| | 535 | | | Assurant, Inc. | | | 83,385 | |
| | 1,240 | | | Athene Holding, Ltd., Class A* | | | 103,329 | |
| | 31,654 | | | Aviva plc | | | 175,753 | |
| | 16,017 | | | AXA SA | | | 477,296 | |
| | 433 | | | Baloise Holding AG, Registered Shares | | | 70,717 | |
| | 1,810 | | | Brown & Brown, Inc. | | | 127,207 | |
| | 3,585 | | | Chubb, Ltd. | | | 693,016 | |
| | 1,198 | | | Cincinnati Financial Corp. | | | 136,488 | |
| | 1,241 | | | CNP Assurances SA | | | 30,731 | |
| | 8,200 | | | Dai-ichi Life Holdings, Inc. | | | 165,695 | |
| | 116 | | | Erie Indemnity Co., Class A | | | 22,349 | |
| | 370 | | | Everest Re Group, Ltd. | | | 101,350 | |
| | 188 | | | Fairfax Financial Holdings, Ltd. | | | 92,490 | |
| | 2,431 | | | Fidelity National Financial, Inc. | | | 126,850 | |
| | 1,848 | | | Gjensidige Forsikring ASA | | | 44,904 | |
| | 907 | | | Globe Life, Inc. | | | 85,004 | |
| | 2,573 | | | Great-West Lifeco, Inc. | | | 77,223 | |
| | 557 | | | Hannover Rueck SE | | | 106,052 | |
| | 2,909 | | | Hartford Financial Services Group, Inc. (The) | | | 200,837 | |
| | 1,012 | | | IA Financial Corp., Inc. | | | 57,913 | |
| | 22,784 | | | Insurance Australia Group, Ltd. | | | 70,612 | |
| | 1,559 | | | Intact Financial Corp. | | | 202,665 | |
| | 21,000 | | | Japan Post Holdings Co., Ltd. | | | 163,935 | |
| | 1,700 | | | Japan Post Insurance Co., Ltd. | | | 27,320 | |
| | 47,860 | | | Legal & General Group plc | | | 192,623 | |
| | 1,326 | | | Lincoln National Corp. | | | 90,513 | |
| | 1,606 | | | Loews Corp. | | | 92,763 | |
| | 15,239 | | | Manulife Financial Corp. | | | 290,490 | |
| | 106 | | | Markel Corp.* | | | 130,804 | |
| | 4,190 | | | Marsh & McLennan Cos., Inc. | | | 728,306 | |
| | 25,594 | | | Medibank Private, Ltd. | | | 62,382 | |
| | 6,189 | | | MetLife, Inc. | | | 386,751 | |
| | 3,200 | | | MS&AD Insurance Group Holdings, Inc. | | | 98,755 | |
| | 1,147 | | | Muenchener Rueckversicherungs-Gesellschaft AG | | | 340,244 | |
| | 2,086 | | | NN Group NV | | | 112,730 | |
| | 6,201 | | | Phoenix Group Holdings plc | | | 54,685 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Insurance, continued | | | |
| | 4,829 | | | Poste Italiane SpA | | $ | 63,365 | |
| | 4,956 | | | Power Corp. of Canada | | | 163,789 | |
| | 2,145 | | | Principal Financial Group, Inc. | | | 155,148 | |
| | 4,856 | | | Progressive Corp. (The) | | | 498,468 | |
| | 3,183 | | | Prudential Financial, Inc. | | | 344,528 | |
| | 21,399 | | | Prudential plc | | | 368,940 | |
| | 10,467 | | | QBE Insurance Group, Ltd. | | | 86,446 | |
| | 4,089 | | | Sampo Oyj, Class A | | | 203,981 | |
| | 2,900 | | | Sompo Holdings, Inc. | | | 122,531 | |
| | 4,951 | | | Sun Life Financial, Inc. | | | 275,617 | |
| | 11,836 | | | Suncorp Group, Ltd. | | | 95,365 | |
| | 244 | | | Swiss Life Holding AG, Registered Shares | | | 149,390 | |
| | 2,505 | | | Swiss Re AG | | | 247,503 | |
| | 5,000 | | | T&D Holdings, Inc. | | | 64,002 | |
| | 5,300 | | | Tokio Marine Holdings, Inc. | | | 294,589 | |
| | 2,002 | | | Travelers Cos., Inc. (The) | | | 313,173 | |
| | 3,328 | | | Tryg A/S | | | 82,267 | |
| | 1,080 | | | Willis Towers Watson plc | | | 256,489 | |
| | 1,311 | | | WR Berkley Corp. | | | 108,013 | |
| | 1,264 | | | Zurich Insurance Group AG | | | 554,103 | |
| | | | | | | | |
| | | | | | | 14,835,492 | |
| | | | | | | | |
| Interactive Media & Services (4.4%): | | | |
| | 1,569 | | | Adevinta ASA* | | | 20,861 | |
| | 2,486 | | | Alphabet, Inc., Class A* | | | 7,202,041 | |
| | 2,379 | | | Alphabet, Inc., Class C* | | | 6,883,851 | |
| | 6,294 | | | Auto Trader Group plc | | | 62,903 | |
| | 729 | | | IAC/InterActiveCorp.* | | | 95,288 | |
| | 500 | | | Kakaku.com, Inc. | | | 13,349 | |
| | 2,194 | | | Match Group, Inc.* | | | 290,156 | |
| | 19,682 | | | Meta Platforms, Inc., Class A* | | | 6,620,041 | |
| | 4,921 | | | Pinterest, Inc., Class A* | | | 178,878 | |
| | 488 | | | REA Group, Ltd. | | | 59,529 | |
| | 828 | | | Scout24 AG | | | 58,039 | |
| | 3,100 | | | Seek, Ltd. | | | 73,946 | |
| | 8,905 | | | Snap, Inc., Class A* | | | 418,802 | |
| | 6,490 | | | Twitter, Inc.* | | | 280,498 | |
| | 19,800 | | | Z Holdings Corp. | | | 114,919 | |
| | 614 | | | Zillow Group, Inc., Class A* | | | 38,203 | |
| | 1,442 | | | Zillow Group, Inc., Class C* | | | 92,072 | |
| | 1,887 | | | ZoomInfo Technologies, Inc.* | | | 121,145 | |
| | | | | | | | |
| | | | | | | 22,624,521 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (3.2%): | | | |
| | 3,763 | | | Amazon.com, Inc.* | | | 12,547,121 | |
| | 342 | | | Booking Holdings, Inc.* | | | 820,537 | |
| | 819 | | | Chewy, Inc., Class A*^ | | | 48,297 | |
| | 1,451 | | | Delivery Hero SE* | | | 161,985 | |
| | 901 | | | DoorDash, Inc., Class A* | | | 134,159 | |
| | 5,546 | | | eBay, Inc. | | | 368,809 | |
| | 1,029 | | | Etsy, Inc.* | | | 225,289 | |
| | 1,279 | | | Expedia Group, Inc.* | | | 231,141 | |
| | 245 | | | Fiverr International, Ltd.* | | | 27,857 | |
| | 1,243 | | | HelloFresh SE* | | | 95,604 | |
| | 1,296 | | | Just Eat Takeaway* | | | 69,902 | |
| | 361 | | | MercadoLibre, Inc.* | | | 486,772 | |
| | 500 | | | Mercari, Inc.* | | | 25,479 | |
| | 4,499 | | | Ocado Group plc* | | | 102,058 | |
| | 7,789 | | | Prosus NV | | | 649,646 | |
See accompanying notes to the financial statements.
12
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Internet & Direct Marketing Retail, continued | | | |
| | 8,000 | | | Rakuten, Inc. | | $ | 80,278 | |
| | 553 | | | Wayfair, Inc., Class A*^ | | | 105,053 | |
| | 1,812 | | | Zalando SE* | | | 146,925 | |
| | 1,200 | | | ZOZO, Inc. | | | 37,372 | |
| | | | | | | | |
| | | | | | | 16,364,284 | |
| | | | | | | | |
| IT Services (4.0%): | | | |
| | 5,249 | | | Accenture plc, Class A | | | 2,175,973 | |
| | 160 | | | Adyen NV* | | | 418,557 | |
| | 733 | | | Affirm Holdings, Inc.* | | | 73,710 | |
| | 1,628 | | | Afterpay, Ltd.* | | | 97,424 | |
| | 1,286 | | | Akamai Technologies, Inc.* | | | 150,513 | |
| | 3,775 | | | Amadeus IT Group SA* | | | 254,240 | |
| | 3,469 | | | Automatic Data Processing, Inc. | | | 855,386 | |
| | 589 | | | Bechtle AG | | | 42,218 | |
| | 1,147 | | | Black Knight, Inc.* | | | 95,075 | |
| | 3,333 | | | Block, Inc.* | | | 538,313 | |
| | 921 | | | Broadridge Financial Solutions, Inc. | | | 168,377 | |
| | 1,256 | | | Capgemini SA | | | 306,750 | |
| | 1,784 | | | CGI, Inc.* | | | 157,764 | |
| | 4,252 | | | Cognizant Technology Solutions Corp., Class A | | | 377,237 | |
| | 5,010 | | | Computershare, Ltd. | | | 72,907 | |
| | 1,792 | | | Edenred | | | 82,698 | |
| | 476 | | | EPAM Systems, Inc.* | | | 318,182 | |
| | 5,116 | | | Fidelity National Information Services, Inc. | | | 558,411 | |
| | 4,856 | | | Fiserv, Inc.* | | | 504,004 | |
| | 639 | | | FleetCor Technologies, Inc.* | | | 143,034 | |
| | 1,500 | | | Fujitsu, Ltd. | | | 257,051 | |
| | 733 | | | Gartner, Inc.* | | | 245,057 | |
| | 2,342 | | | Global Payments, Inc. | | | 316,592 | |
| | 200 | | | GMO Payment Gateway, Inc. | | | 24,798 | |
| | 1,211 | | | GoDaddy, Inc., Class A* | | | 102,765 | |
| | 7,460 | | | International Business Machines Corp. | | | 997,104 | |
| | 800 | | | Itochu Techno-Solutions Corp. | | | 25,739 | |
| | 546 | | | Jack Henry & Associates, Inc. | | | 91,176 | |
| | 7,283 | | | Mastercard, Inc., Class A | | | 2,616,928 | |
| | 455 | | | MongoDB, Inc.* | | | 240,854 | |
| | 4,062 | | | Nexi SpA* | | | 64,193 | |
| | 2,520 | | | Nomura Research Institute, Ltd. | | | 107,334 | |
| | 5,800 | | | NTT Data Corp. | | | 124,378 | |
| | 340 | | | Nuvei Corp.* | | | 22,043 | |
| | 600 | | | OBIC Co., Ltd. | | | 112,328 | |
| | 1,016 | | | Okta, Inc.* | | | 227,757 | |
| | 1,100 | | | Otsuka Corp. | | | 52,512 | |
| | 2,766 | | | Paychex, Inc. | | | 377,559 | |
| | 9,282 | | | PayPal Holdings, Inc.* | | | 1,750,400 | |
| | 900 | | | SCSK Corp. | | | 17,915 | |
| | 935 | | | Shopify, Inc., Class A* | | | 1,287,540 | |
| | 1,768 | | | Snowflake, Inc., Class A* | | | 598,910 | |
| | 1,600 | | | TIS, Inc. | | | 47,491 | |
| | 1,365 | | | Twilio, Inc., Class A* | | | 359,459 | |
| | 817 | | | VeriSign, Inc.* | | | 207,371 | |
| | 13,979 | | | Visa, Inc., Class A | | | 3,029,389 | |
| | 3,798 | | | Western Union Co. (The.) | | | 67,756 | |
| | 514 | | | Wix.com, Ltd.* | | | 81,104 | |
| | 2,032 | | | Worldline SA* | | | 113,222 | |
| | | | | | | | |
| | | | | | | 20,957,498 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Leisure Products (0.1%): | | | |
| | 1,800 | | | Bandai Namco Holdings, Inc. | | $ | 140,781 | |
| | 1,206 | | | Hasbro, Inc. | | | 122,747 | |
| | 2,184 | | | Peloton Interactive, Inc., Class A* | | | 78,100 | |
| | 600 | | | Shimano, Inc. | | | 159,483 | |
| | 1,200 | | | Yamaha Corp. | | | 59,168 | |
| | | | | | | | |
| | | | | | | 560,279 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.1%): | | | |
| | 676 | | | 10X Genomics, Inc., Class A* | | | 100,697 | |
| | 2,546 | | | Agilent Technologies, Inc. | | | 406,469 | |
| | 4,207 | | | Avantor, Inc.* | | | 177,283 | |
| | 52 | | | Bachem Holding AG, Class B | | | 40,749 | |
| | 171 | | | Bio-Rad Laboratories, Inc., Class A* | | | 129,202 | |
| | 305 | | | Bio-Techne Corp. | | | 157,789 | |
| | 403 | | | Charles River Laboratories International, Inc.* | | | 151,842 | |
| | 1,012 | | | Eurofins Scientific SE | | | 125,283 | |
| | 1,231 | | | Illumina, Inc.* | | | 468,322 | |
| | 1,569 | | | IQVIA Holdings, Inc.* | | | 442,678 | |
| | 634 | | | Lonza Group AG, Registered Shares | | | 528,323 | |
| | 187 | | | Mettler-Toledo International, Inc.* | | | 317,378 | |
| | 894 | | | PerkinElmer, Inc. | | | 179,748 | |
| | 1,659 | | | Qiagen NV* | | | 92,435 | |
| | 206 | | | Sartorius Stedim Biotech | | | 112,810 | |
| | 3,272 | | | Thermo Fisher Scientific, Inc. | | | 2,183,209 | |
| | 509 | | | Waters Corp.* | | | 189,653 | |
| | | | | | | | |
| | | | | | | 5,803,870 | |
| | | | | | | | |
| Machinery (1.9%): | | | |
| | 2,908 | | | Alfa Laval AB | | | 116,391 | |
| | 2,573 | | | Alstom SA | | | 91,629 | |
| | 3,308 | | | Atlas Copco AB | | | 193,153 | |
| | 5,816 | | | Atlas Copco AB, Class A | | | 402,747 | |
| | 4,452 | | | Caterpillar, Inc. | | | 920,407 | |
| | 7,981 | | | CNH Industrial NV | | | 153,267 | |
| | 1,139 | | | Cummins, Inc. | | | 248,462 | |
| | 700 | | | Daifuku Co., Ltd. | | | 57,220 | |
| | 3,580 | | | Daimler Truck Holding AG* | | | 131,596 | |
| | 2,414 | | | Deere & Co. | | | 827,737 | |
| | 1,174 | | | Dover Corp. | | | 213,198 | |
| | 6,091 | | | Epiroc AB, Class A | | | 154,480 | |
| | 3,604 | | | Epiroc AB, Class B | | | 76,456 | |
| | 1,600 | | | FANUC Corp. | | | 339,236 | |
| | 2,617 | | | Fortive Corp. | | | 199,651 | |
| | 1,430 | | | GEA Group AG | | | 78,293 | |
| | 1,800 | | | Hino Motors, Ltd. | | | 14,839 | |
| | 800 | | | Hitachi Construction Machinery Co., Ltd. | | | 23,133 | |
| | 300 | | | Hoshizaki Corp. | | | 22,497 | |
| | 593 | | | IDEX Corp. | | | 140,138 | |
| | 2,586 | | | Illinois Tool Works, Inc. | | | 638,225 | |
| | 3,482 | | | Ingersoll-Rand, Inc. | | | 215,431 | |
| | 667 | | | Kion Group AG | | | 73,267 | |
| | 670 | | | Knorr-Bremse AG | | | 66,115 | |
| | 8,100 | | | Komatsu, Ltd. | | | 189,727 | |
| | 2,796 | | | Kone OYJ, Class B | | | 198,807 | |
| | 389 | | | Kornit Digital, Ltd.* | | | 59,225 | |
| | 9,500 | | | Kubota Corp. | | | 210,952 | |
| | 1,000 | | | Kurita Water Industries, Ltd. | | | 47,289 | |
| | 1,500 | | | Makita Corp. | | | 63,695 | |
See accompanying notes to the financial statements.
13
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 3,400 | | | MINEBEA MITSUMI, Inc. | | $ | 96,542 | |
| | 2,600 | | | Misumi Group, Inc. | | | 106,717 | |
| | 3,000 | | | Mitsubishi Heavy Industries, Ltd. | | | 69,451 | |
| | 600 | | | Miura Co., Ltd. | | | 20,662 | |
| | 2,700 | | | NGK Insulators, Ltd. | | | 45,645 | |
| | 411 | | | Nordson Corp. | | | 104,916 | |
| | 3,212 | | | Otis Worldwide Corp. | | | 279,669 | |
| | 2,895 | | | PACCAR, Inc. | | | 255,513 | |
| | 1,059 | | | Parker-Hannifin Corp. | | | 336,889 | |
| | 1,194 | | | Pentair plc | | | 87,198 | |
| | 32 | | | Rational AG | | | 32,803 | |
| | 9,403 | | | Sandvik AB | | | 262,811 | |
| | 376 | | | Schindler Holding AG | | | 100,915 | |
| | 187 | | | Schindler Holding AG, Registered Shares | | | 49,950 | |
| | 3,527 | | | SKF AB, Class B | | | 83,174 | |
| | 400 | | | SMC Corp. | | | 269,897 | |
| | 501 | | | Snap-On, Inc. | | | 107,905 | |
| | 556 | | | Spirax-Sarco Engineering plc | | | 120,957 | |
| | 1,345 | | | Stanley Black & Decker, Inc. | | | 253,694 | |
| | 10,500 | | | Techtronic Industries Co., Ltd. | | | 209,016 | |
| | 227 | | | VAT Group AG | | | 112,271 | |
| | 1,851 | | | Volvo AB, Class A | | | 43,284 | |
| | 12,058 | | | Volvo AB, Class B | | | 278,104 | |
| | 1,375 | | | Wabtec Corp. | | | 126,651 | |
| | 4,375 | | | Wartsila OYJ Abp, Class B | | | 60,923 | |
| | 1,469 | | | Xylem, Inc. | | | 176,163 | |
| | 2,200 | | | Yaskawa Electric Corp. | | | 107,906 | |
| | | | | | | | |
| | | | | | | 9,966,889 | |
| | | | | | | | |
| Marine (0.1%): | | | |
| | 20 | | | A.P. Moeller – Maersk A/S, Class A | | | 66,678 | |
| | 47 | | | A.P. Moeller – Maersk A/S, Class B | | | 168,702 | |
| | 408 | | | Kuehne & Nagel International AG, Registered Shares | | | 131,254 | |
| | 1,500 | | | Nippon Yusen KK | | | 114,269 | |
| | 12,000 | | | SITC International Holdings Co., Ltd. | | | 43,435 | |
| | | | | | | | |
| | | | | | | 524,338 | |
| | | | | | | | |
| Media (0.9%): | | | |
| | 50 | | | Cable One, Inc. | | | 88,172 | |
| | 1,040 | | | Charter Communications, Inc., Class A* | | | 678,049 | |
| | 38,037 | | | Comcast Corp., Class A | | | 1,914,402 | |
| | 3,700 | | | Cyberagent, Inc. | | | 61,584 | |
| | 2,000 | | | Dentsu Group, Inc. | | | 71,307 | |
| | 2,873 | | | Discovery Communications, Inc., Class C* | | | 65,792 | |
| | 743 | | | Discovery, Inc., Class A* | | | 17,490 | |
| | 2,260 | | | DISH Network Corp., Class A* | | | 73,314 | |
| | 2,345 | | | Fox Corp., Class A | | | 86,530 | |
| | 1,575 | | | Fox Corp., Class B | | | 53,975 | |
| | 1,700 | | | Hakuhodo DY Holdings, Inc. | | | 28,326 | |
| | 13,883 | | | Informa plc* | | | 96,647 | |
| | 3,611 | | | Interpublic Group of Cos., Inc. (The) | | | 135,232 | |
| | 184 | | | Liberty Broadband Corp., Class A* | | | 29,606 | |
| | 1,158 | | | Liberty Broadband Corp., Class C* | | | 186,554 | |
| | 914 | | | Liberty Global plc, Class A* | | | 25,354 | |
| | 2,488 | | | Liberty Global plc, Class C* | | | 69,888 | |
| | 1,594 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | | 81,055 | |
| | 885 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 45,002 | |
| | 3,615 | | | News Corp., Class A | | | 80,651 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Media, continued | | | |
| | 1,573 | | | Omnicom Group, Inc. | | $ | 115,254 | |
| | 6,966 | | | Pearson plc | | | 57,671 | |
| | 1,673 | | | Publicis Groupe SA | | | 112,627 | |
| | 675 | | | Quebecor, Inc., Class B | | | 15,237 | |
| | 480 | | | Schibsted ASA, Class A | | | 18,554 | |
| | 528 | | | Schibsted ASA, Class B | | | 17,688 | |
| | 3,346 | | | Shaw Communications, Inc., Class B | | | 101,560 | |
| | 9,638 | | | Sirius XM Holdings, Inc.^ | | | 61,201 | |
| | 5,245 | | | ViacomCBS, Inc., Class B | | | 158,294 | |
| | 9,369 | | | WPP plc | | | 141,591 | |
| | | | | | | | |
| | | | | | | 4,688,607 | |
| | | | | | | | |
| Metals & Mining (1.3%): | | | |
| | 2,245 | | | Agnico Eagle Mines, Ltd. | | | 119,261 | |
| | 10,672 | | | Anglo American plc | | | 436,758 | |
| | 3,645 | | | Antofagasta plc | | | 66,242 | |
| | 5,817 | | | ArcelorMittal | | | 187,089 | |
| | 15,009 | | | Barrick Gold Corp. | | | 285,394 | |
| | 17,687 | | | BHP Group plc | | | 527,023 | |
| | 24,161 | | | BHP Group, Ltd. | | | 731,081 | |
| | 4,656 | | | BlueScope Steel, Ltd. | | | 71,112 | |
| | 2,528 | | | Boliden AB | | | 98,034 | |
| | 15,792 | | | Evolution Mining, Ltd. | | | 46,720 | |
| | 4,713 | | | EVRAZ plc | | | 38,463 | |
| | 4,279 | | | First Quantum Minerals, Ltd. | | | 102,408 | |
| | 13,866 | | | Fortescue Metals Group, Ltd. | | | 194,530 | |
| | 1,573 | | | Franco-Nevada Corp. | | | 217,569 | |
| | 12,118 | | | Freeport-McMoRan, Inc. | | | 505,684 | |
| | 81,418 | | | Glencore plc | | | 414,153 | |
| | 1,100 | | | Hitachi Metals, Ltd.* | | | 20,378 | |
| | 4,254 | | | Ivanhoe Mines, Ltd., Class A* | | | 34,710 | |
| | 4,800 | | | JFE Holdings, Inc. | | | 61,235 | |
| | 11,630 | | | Kinross Gold Corp. | | | 67,492 | |
| | 2,071 | | | Kirkland Lake Gold, Ltd. | | | 86,799 | |
| | 6,686 | | | Lundin Mining Corp. | | | 52,228 | |
| | 6,151 | | | Newcrest Mining, Ltd. | | | 109,632 | |
| | 6,513 | | | Newmont Corp. | | | 403,936 | |
| | 6,300 | | | Nippon Steel Corp. | | | 103,053 | |
| | 12,430 | | | Norsk Hydro ASA | | | 97,945 | |
| | 10,215 | | | Northern Star Resources, Ltd. | | | 70,001 | |
| | 2,536 | | | Nucor Corp. | | | 289,484 | |
| | 1,988 | | | Pan American Silver Corp. | | | 49,606 | |
| | 9,255 | | | Rio Tinto plc | | | 610,084 | |
| | 3,259 | | | Rio Tinto, Ltd. | | | 238,063 | |
| | 33,569 | | | South32, Ltd. | | | 98,376 | |
| | 1,560 | | | Steel Dynamics, Inc. | | | 96,829 | |
| | 2,300 | | | Sumitomo Metal & Mining Co., Ltd. | | | 87,003 | |
| | 3,432 | | | Teck Cominco, Ltd., Class B | | | 98,852 | |
| | 522 | | | Voestalpine AG | | | 19,027 | |
| | 3,566 | | | Wheaton Precious Metals Corp. | | | 153,038 | |
| | | | | | | | |
| | | | | | | 6,889,292 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.0%†): | | | |
| | 4,986 | | | AGNC Investment Corp. | | | 74,990 | |
| | 12,926 | | | Annaly Capital Management, Inc. | | | 101,081 | |
| | | | | | | | |
| | | | | | | 176,071 | |
| | | | | | | | |
| Multiline Retail (0.5%): | | | |
| | 530 | | | Canadian Tire Corp., Class A | | | 76,030 | |
See accompanying notes to the financial statements.
14
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Multiline Retail, continued | | | |
| | 1,910 | | | Dollar General Corp. | | $ | 450,435 | |
| | 1,917 | | | Dollar Tree, Inc.* | | | 269,377 | |
| | 2,154 | | | Dollarama, Inc. | | | 107,819 | |
| | 1,084 | | | Next plc | | | 119,244 | |
| | 3,900 | | | Pan Pacific International Holdings Corp. | | | 53,722 | |
| | 2,600 | | | Ryohin Keikaku Co., Ltd. | | | 39,657 | |
| | 4,042 | | | Target Corp. | | | 935,480 | |
| | 9,306 | | | Wesfarmers, Ltd. | | | 401,467 | |
| | | | | | | | |
| | | | | | | 2,453,231 | |
| | | | | | | | |
| Multi-Utilities (0.8%): | | | |
| | 5,519 | | | Algonquin Power & Utilities Corp.^ | | | 79,722 | |
| | 2,032 | | | Ameren Corp. | | | 180,868 | |
| | 993 | | | Canadian Utilities, Ltd., Class A | | | 28,805 | |
| | 5,098 | | | CenterPoint Energy, Inc. | | | 142,285 | |
| | 2,272 | | | CMS Energy Corp. | | | 147,794 | |
| | 2,819 | | | Consolidated Edison, Inc. | | | 240,517 | |
| | 6,791 | | | Dominion Energy, Inc. | | | 533,501 | |
| | 1,570 | | | DTE Energy Co. | | | 187,678 | |
| | 18,721 | | | E.ON SE | | | 259,663 | |
| | 15,043 | | | Engie Group | | | 222,723 | |
| | 29,082 | | | National Grid plc | | | 419,535 | |
| | 3,622 | | | NiSource, Inc. | | | 100,003 | |
| | 4,019 | | | Public Service Enterprise Group, Inc. | | | 268,188 | |
| | 5,263 | | | RWE AG | | | 213,812 | |
| | 2,656 | | | Sempra Energy | | | 351,336 | |
| | 3,194 | | | Suez | | | 72,032 | |
| | 5,929 | | | Veolia Environnement SA | | | 217,470 | |
| | 2,633 | | | WEC Energy Group, Inc. | | | 255,585 | |
| | | | | | | | |
| | | | | | | 3,921,517 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.0%): | | | |
| | 1,058 | | | Aker BP ASA^ | | | 32,512 | |
| | 2,317 | | | Ampol, Ltd. | | | 50,003 | |
| | 166,930 | | | BP plc | | | 742,492 | |
| | 3,662 | | | Cameco Corp. | | | 79,853 | |
| | 10,087 | | | Canadian Natural Resources, Ltd. | | | 426,273 | |
| | 9,968 | | | Cenovus Energy, Inc. | | | 122,236 | |
| | 1,982 | | | Cheniere Energy, Inc. | | | 201,014 | |
| | 15,942 | | | Chevron Corp. | | | 1,870,794 | |
| | 11,100 | | | ConocoPhillips | | | 801,198 | |
| | 6,706 | | | Coterra Energy, Inc. | | | 127,414 | |
| | 5,266 | | | Devon Energy Corp. | | | 231,967 | |
| | 1,444 | | | Diamondback Energy, Inc. | | | 155,735 | |
| | 16,771 | | | Enbridge, Inc. | | | 655,167 | |
| | 28,350 | | | ENEOS Holdings, Inc. | | | 106,139 | |
| | 20,329 | | | ENI SpA | | | 280,995 | |
| | 4,888 | | | EOG Resources, Inc. | | | 434,201 | |
| | 8,105 | | | Equinor ASA | | | 213,932 | |
| | 34,898 | | | Exxon Mobil Corp. | | | 2,135,409 | |
| | 4,843 | | | Galp Energia SGPS SA | | | 46,958 | |
| | 2,269 | | | Hess Corp. | | | 167,974 | |
| | 1,482 | | | Idemitsu Kosan Co., Ltd. | | | 37,859 | |
| | 1,615 | | | Imperial Oil, Ltd. | | | 58,251 | |
| | 9,500 | | | INPEX Corp. | | | 82,855 | |
| | 2,058 | | | Keyera Corp. | | | 46,422 | |
| | 17,178 | | | Kinder Morgan, Inc. | | | 272,443 | |
| | 1,850 | | | Lundin Energy AB | | | 66,369 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 5,082 | | | Marathon Petroleum Corp. | | $ | 325,197 | |
| | 3,389 | | | Neste Oyj | | | 167,097 | |
| | 7,474 | | | Occidental Petroleum Corp. | | | 216,671 | |
| | 1,361 | | | OMV AG | | | 77,325 | |
| | 3,601 | | | ONEOK, Inc. | | | 211,595 | |
| | 1,471 | | | Parkland Corp. | | | 40,439 | |
| | 5,083 | | | Pembina Pipeline Corp. | | | 154,202 | |
| | 3,584 | | | Phillips 66 | | | 259,697 | |
| | 1,901 | | | Pioneer Natural Resources Co. | | | 345,754 | |
| | 11,515 | | | Repsol SA | | | 136,665 | |
| | 33,432 | | | Royal Dutch Shell plc, Class A | | | 733,432 | |
| | 30,476 | | | Royal Dutch Shell plc, Class B | | | 668,837 | |
| | 24,668 | | | Santos, Ltd. | | | 113,381 | |
| | 12,666 | | | Suncor Energy, Inc. | | | 316,950 | |
| | 8,202 | | | TC Energy Corp. | | | 381,502 | |
| | 20,835 | | | TotalEnergies SE | | | 1,058,128 | |
| | 2,601 | | | Tourmaline Oil Corp. | | | 83,985 | |
| | 3,361 | | | Valero Energy Corp. | | | 252,445 | |
| | 1,889 | | | Washington H. Soul Pattinson & Co., Ltd. | | | 40,742 | |
| | 10,160 | | | Williams Cos., Inc. | | | 264,566 | |
| | 7,281 | | | Woodside Petroleum, Ltd. | | | 116,273 | |
| | | | | | | | |
| | | | | | | 15,411,348 | |
| | | | | | | | |
| Paper & Forest Products (0.1%): | | | |
| | 3,443 | | | Mondi plc | | | 84,826 | |
| | 8,500 | | | Oji Holdings Corp. | | | 41,098 | |
| | 5,377 | | | Stora Enso OYJ, Registered Shares, Class R | | | 97,774 | |
| | 5,600 | | | Svenska Cellulosa AB SCA, Class B | | | 99,233 | |
| | 4,277 | | | UPM-Kymmene OYJ | | | 161,628 | |
| | 884 | | | West Fraser Timber Co., Ltd.^ | | | 84,346 | |
| | | | | | | | |
| | | | | | | 568,905 | |
| | | | | | | | |
| Personal Products (0.7%): | | | |
| | 932 | | | Beiersdorf AG | | | 95,886 | |
| | 1,961 | | | Estee Lauder Co., Inc. (The), Class A | | | 725,962 | |
| | 4,000 | | | Kao Corp. | | | 209,351 | |
| | 200 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 15,722 | |
| | 300 | | | Kose Corp. | | | 34,044 | |
| | 2,094 | | | L’Oreal SA | | | 992,551 | |
| | 400 | | | Pola Orbis Holdings, Inc. | | | 6,668 | |
| | 3,200 | | | Shiseido Co., Ltd. | | | 178,480 | |
| | 21,461 | | | Unilever plc | | | 1,149,555 | |
| | | | | | | | |
| | | | | | | 3,408,219 | |
| | | | | | | | |
| Pharmaceuticals (4.8%): | | | |
| | 15,700 | | | Astellas Pharma, Inc. | | | 255,387 | |
| | 12,804 | | | AstraZeneca plc | | | 1,491,721 | |
| | 2,794 | | | Bausch Health Cos., Inc.* | | | 77,184 | |
| | 8,178 | | | Bayer AG, Registered Shares | | | 437,765 | |
| | 18,188 | | | Bristol-Myers Squibb Co. | | | 1,134,022 | |
| | 2,500 | | | Canopy Growth Corp.* | | | 21,822 | |
| | 1,386 | | | Catalent, Inc.* | | | 177,450 | |
| | 5,400 | | | Chugai Pharmaceutical Co., Ltd. | | | 175,173 | |
| | 14,700 | | | Daiichi Sankyo Co., Ltd. | | | 373,864 | |
| | 1,700 | | | Eisai Co., Ltd. | | | 96,545 | |
| | 3,147 | | | Elanco Animal Health, Inc.* | | | 89,312 | |
| | 6,725 | | | Eli Lilly & Co. | | | 1,857,579 | |
| | 41,311 | | | GlaxoSmithKline plc | | | 898,111 | |
| | 1,106 | | | Hikma Pharmaceuticals plc | | | 33,166 | |
See accompanying notes to the financial statements.
15
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Pharmaceuticals, continued | | | |
| | 1,722 | | | Horizon Therapeutics plc* | | $ | 185,563 | |
| | 283 | | | Ipsen SA | | | 25,876 | |
| | 561 | | | Jazz Pharmaceuticals plc* | | | 71,471 | |
| | 21,697 | | | Johnson & Johnson | | | 3,711,706 | |
| | 2,500 | | | Kyowa Kirin Co., Ltd. | | | 68,155 | |
| | 20,895 | | | Merck & Co., Inc. | | | 1,601,393 | |
| | 1,110 | | | Merck KGaA | | | 286,945 | |
| | 200 | | | Nippon Shinyaku Co., Ltd. | | | 13,902 | |
| | 18,078 | | | Novartis AG, Registered Shares | | | 1,588,066 | |
| | 13,936 | | | Novo Nordisk A/S, Class B | | | 1,558,175 | |
| | 3,500 | | | Ono Pharmaceutical Co., Ltd. | | | 86,777 | |
| | 1,038 | | | Orion OYJ, Class B | | | 43,069 | |
| | 2,900 | | | Otsuka Holdings Co., Ltd. | | | 104,960 | |
| | 46,164 | | | Pfizer, Inc. | | | 2,725,984 | |
| | 990 | | | Recordati SpA | | | 63,410 | |
| | 236 | | | Roche Holding AG | | | 105,637 | |
| | 5,801 | | | Roche Holding AG | | | 2,405,512 | |
| | 2,868 | | | Royalty Pharma plc, Class A | | | 114,290 | |
| | 9,531 | | | Sanofi | | | 957,526 | |
| | 3,600 | | | Santen Pharmaceutical Co., Ltd. | | | 43,932 | |
| | 2,400 | | | Shionogi & Co., Ltd. | | | 169,567 | |
| | 1,300 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 14,979 | |
| | 300 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 13,800 | |
| | 12,650 | | | Takeda Pharmacuetical Co., Ltd. | | | 345,776 | |
| | 10,134 | | | Teva Pharmaceutical Industries, Ltd., ADR* | | | 81,173 | |
| | 950 | | | UCB SA | | | 108,552 | |
| | 9,546 | | | Viatris, Inc. | | | 129,157 | |
| | 451 | | | Vifor Pharma AG | | | 80,779 | |
| | 3,897 | | | Zoetis, Inc. | | | 950,985 | |
| | | | | | | | |
| | | | | | | 24,776,218 | |
| | | | | | | | |
| Professional Services (0.9%): | | | |
| | 1,432 | | | Adecco SA, Registered Shares | | | 73,237 | |
| | 700 | | | Benefit One, Inc. | | | 30,040 | |
| | 973 | | | Booz Allen Hamilton Holding Corp. | | | 82,501 | |
| | 2,717 | | | Bureau Veritas SA | | | 90,176 | |
| | 3,091 | | | Clarivate plc* | | | 72,700 | |
| | 3,340 | | | CoStar Group, Inc.* | | | 263,960 | |
| | 1,029 | | | Equifax, Inc. | | | 301,281 | |
| | 7,857 | | | Experian plc | | | 385,353 | |
| | 3,071 | | | IHS Markit, Ltd. | | | 408,197 | |
| | 1,287 | | | Intertek Group plc | | | 97,850 | |
| | 1,246 | | | Leidos Holdings, Inc. | | | 110,769 | |
| | 2,800 | | | Nihon M&A Center, Inc. | | | 68,468 | |
| | 1,300 | | | Persol Holdings Co., Ltd. | | | 37,759 | |
| | 1,105 | | | Randstad NV | | | 75,694 | |
| | 11,000 | | | Recruit Holdings Co., Ltd. | | | 666,924 | |
| | 16,084 | | | RELX plc | | | 524,111 | |
| | 825 | | | Robert Half International, Inc. | | | 92,004 | |
| | 47 | | | SGS SA, Registered Shares | | | 156,609 | |
| | 480 | | | Teleperformance | | | 213,986 | |
| | 1,374 | | | Thomson Reuters Corp. | | | 164,330 | |
| | 1,541 | | | TransUnion | | | 182,732 | |
| | 1,226 | | | Verisk Analytics, Inc. | | | 280,423 | |
| | 2,235 | | | Wolters Kluwer NV | | | 262,668 | |
| | | | | | | | |
| | | | | | | 4,641,772 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Real Estate Management & Development (0.5%): | | | |
| | 9,234 | | | Aroundtown SA | | $ | 55,924 | |
| | 116 | | | Azrieli Group | | | 11,070 | |
| | 24,400 | | | Capitaland Investment, Ltd. / Singapore* | | | 61,758 | |
| | 2,831 | | | CBRE Group, Inc., Class A* | | | 307,192 | |
| | 3,700 | | | City Developments, Ltd. | | | 18,716 | |
| | 18,500 | | | CK Asset Holdings, Ltd. | | | 116,668 | |
| | 600 | | | Daito Trust Construction Co., Ltd. | | | 68,558 | |
| | 5,200 | | | Daiwa House Industry Co., Ltd. | | | 149,579 | |
| | 18,800 | | | ESR Cayman, Ltd.* | | | 63,636 | |
| | 643 | | | Fastighets AB Balder* | | | 46,399 | |
| | 257 | | | FirstService Corp. | | | 50,514 | |
| | 11,000 | | | Hang Lung Properties, Ltd. | | | 22,630 | |
| | 13,324 | | | Henderson Land Development Co., Ltd. | | | 56,753 | |
| | 6,600 | | | Hongkong Land Holdings, Ltd. | | | 34,297 | |
| | 2,400 | | | Hulic Co., Ltd. | | | 22,790 | |
| | 666 | | | LEG Immobilien SE | | | 93,025 | |
| | 4,109 | | | Lend Lease Group | | | 31,963 | |
| | 10,900 | | | Mitsubishi Estate Co., Ltd. | | | 151,130 | |
| | 7,400 | | | Mitsui Fudosan Co., Ltd. | | | 146,614 | |
| | 8,827 | | | New World Development Co., Ltd. | | | 34,944 | |
| | 1,000 | | | Nomura Real Estate Holdings, Inc. | | | 23,017 | |
| | 700 | | | Open House Co., Ltd. | | | 36,695 | |
| | 1,352 | | | Sagax AB, Class B | | | 45,652 | |
| | 24,117 | | | Sino Land Co., Ltd. | | | 30,044 | |
| | 2,900 | | | Sumitomo Realty & Development Co., Ltd. | | | 85,312 | |
| | 10,000 | | | Sun Hung Kai Properties, Ltd. | | | 121,398 | |
| | 5,000 | | | Swire Pacific, Ltd., Class A | | | 28,451 | |
| | 9,200 | | | Swire Properties, Ltd. | | | 23,058 | |
| | 702 | | | Swiss Prime Site AG | | | 68,877 | |
| | 1,769 | | | UOL Group, Ltd. | | | 9,315 | |
| | 6,166 | | | Vonovia SE | | | 340,433 | |
| | 15,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 76,199 | |
| | | | | | | | |
| | | | | | | 2,432,611 | |
| | | | | | | | |
| Road & Rail (1.2%): | | | |
| | 68 | | | AMERCO, Inc. | | | 49,384 | |
| | 11,052 | | | Aurizon Holdings, Ltd. | | | 28,062 | |
| | 5,899 | | | Canadian National Railway Co. | | | 724,689 | |
| | 2,261 | | | Canadian Pacific Railway, Ltd. | | | 162,656 | |
| | 5,435 | | | Canadian Pacific Railway, Ltd., Class 1 | | | 390,952 | |
| | 1,300 | | | Central Japan Railway Co. | | | 173,465 | |
| | 18,316 | | | CSX Corp. | | | 688,682 | |
| | 1,690 | | | DSV PANALPINA A/S | | | 390,554 | |
| | 2,800 | | | East Japan Railway Co. | | | 172,211 | |
| | 2,100 | | | Hankyu Hanshin Holdings, Inc. | | | 59,622 | |
| | 653 | | | J.B. Hunt Transport Services, Inc. | | | 133,473 | |
| | 1,000 | | | Keio Corp. | | | 44,087 | |
| | 1,000 | | | Keisei Electric Railway Co., Ltd. | | | 27,045 | |
| | 1,700 | | | Kintetsu Group Holdings Co., Ltd.* | | | 47,534 | |
| | 1,454 | | | Knight-Swift Transportation Holdings, Inc. | | | 88,607 | |
| | 1,897 | | | Lyft, Inc., Class A* | | | 81,059 | |
| | 14,500 | | | MTR Corp., Ltd. | | | 77,830 | |
| | 700 | | | Nippon Express Co., Ltd. | | | 42,057 | |
| | 2,033 | | | Norfolk Southern Corp. | | | 605,244 | |
| | 2,700 | | | Odakyu Electric Railway Co., Ltd. | | | 50,150 | |
| | 830 | | | Old Dominion Freight Line, Inc. | | | 297,455 | |
| | 703 | | | TFI International, Inc. | | | 78,854 | |
| | 900 | | | Tobu Railway Co., Ltd. | | | 20,536 | |
See accompanying notes to the financial statements.
16
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail, continued | | | |
| | 4,600 | | | Tokyu Corp. | | $ | 61,121 | |
| | 10,254 | | | Uber Technologies, Inc.* | | | 429,950 | |
| | 5,371 | | | Union Pacific Corp. | | | 1,353,116 | |
| | 1,500 | | | West Japan Railway Co. | | | 62,596 | |
| | | | | | | | |
| | | | | | | 6,340,991 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (5.3%): | | | |
| | 10,066 | | | Advanced Micro Devices, Inc.* | | | 1,448,497 | |
| | 1,800 | | | Advantest Corp. | | | 169,034 | |
| | 4,376 | | | Analog Devices, Inc. | | | 769,169 | |
| | 7,419 | | | Applied Materials, Inc. | | | 1,167,454 | |
| | 377 | | | ASM International NV | | | 165,536 | |
| | 3,404 | | | ASML Holding NV | | | 2,714,006 | |
| | 3,410 | | | Broadcom, Inc. | | | 2,269,048 | |
| | 200 | | | Disco Corp. | | | 61,136 | |
| | 1,033 | | | Enphase Energy, Inc.* | | | 188,977 | |
| | 1,138 | | | Entegris, Inc. | | | 157,704 | |
| | 10,514 | | | Infineon Technologies AG | | | 487,479 | |
| | 33,268 | | | Intel Corp. | | | 1,713,302 | |
| | 1,280 | | | KLA Corp. | | | 550,541 | |
| | 1,165 | | | Lam Research Corp. | | | 837,810 | |
| | 600 | | | Lasertec Corp. | | | 182,430 | |
| | 6,759 | | | Marvell Technology, Inc. | | | 591,345 | |
| | 4,622 | | | Microchip Technology, Inc. | | | 402,391 | |
| | 9,326 | | | Micron Technology, Inc. | | | 868,717 | |
| | 349 | | | Monolithic Power Systems, Inc. | | | 172,172 | |
| | 20,626 | | | NVIDIA Corp. | | | 6,066,313 | |
| | 2,226 | | | NXP Semiconductors NV | | | 507,038 | |
| | 3,414 | | | ON Semiconductor Corp.* | | | 231,879 | |
| | 903 | | | Qorvo, Inc.* | | | 141,220 | |
| | 9,349 | | | Qualcomm, Inc. | | | 1,709,652 | |
| | 9,500 | | | Renesas Electronics Corp.* | | | 116,673 | |
| | 800 | | | ROHM Co., Ltd. | | | 72,393 | |
| | 1,377 | | | Skyworks Solutions, Inc. | | | 213,628 | |
| | 477 | | | SolarEdge Technologies, Inc.* | | | 133,832 | |
| | 5,723 | | | STMicroelectronics NV | | | 280,498 | |
| | 2,600 | | | SUMCO Corp. | | | 52,652 | |
| | 1,326 | | | Teradyne, Inc. | | | 216,841 | |
| | 7,590 | | | Texas Instruments, Inc. | | | 1,430,487 | |
| | 1,200 | | | Tokyo Electron, Ltd. | | | 687,066 | |
| | 2,093 | | | Xilinx, Inc. | | | 443,779 | |
| | | | | | | | |
| | | | | | | 27,220,699 | |
| | | | | | | | |
| Software (7.5%): | | | |
| | 3,924 | | | Adobe, Inc.* | | | 2,225,143 | |
| | 731 | | | ANSYS, Inc.* | | | 293,219 | |
| | 559 | | | Asana, Inc.* | | | 41,673 | |
| | 1,857 | | | Autodesk, Inc.* | | | 522,170 | |
| | 790 | | | Avalara, Inc.* | | | 101,997 | |
| | 1,063 | | | AVEVA Group plc | | | 48,778 | |
| | 1,586 | | | Bentley Systems, Inc., Class B | | | 76,651 | |
| | 627 | | | Bill.com Holdings, Inc.* | | | 156,217 | |
| | 4,940 | | | BlackBerry, Ltd.* | | | 46,166 | |
| | 2,269 | | | Cadence Design Systems, Inc.* | | | 422,828 | |
| | 1,003 | | | Ceridian HCM Holding, Inc.* | | | 104,773 | |
| | 904 | | | Check Point Software Technologies, Ltd.* | | | 105,370 | |
| | 1,136 | | | Citrix Systems, Inc. | | | 107,454 | |
| | 1,927 | | | Cloudflare, Inc., Class A* | | | 253,401 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 160 | | | Constellation Software, Inc. | | $ | 296,893 | |
| | 667 | | | Coupa Software, Inc.* | | | 105,419 | |
| | 1,582 | | | Crowdstrike Holdings, Inc., Class A* | | | 323,915 | |
| | 382 | | | CyberArk Software, Ltd.* | | | 66,193 | |
| | 5,638 | | | Dassault Systemes SE | | | 334,428 | |
| | 1,616 | | | Datadog, Inc., Class A* | | | 287,826 | |
| | 1,635 | | | DocuSign, Inc.* | | | 249,027 | |
| | 2,919 | | | Dropbox, Inc., Class A* | | | 71,632 | |
| | 1,323 | | | Dynatrace, Inc.* | | | 79,843 | |
| | 238 | | | Fair Isaac Corp.* | | | 103,213 | |
| | 1,118 | | | Fortinet, Inc.* | | | 401,809 | |
| | 735 | | | Guidewire Software, Inc.* | | | 83,445 | |
| | 370 | | | HubSpot, Inc.* | | | 243,885 | |
| | 2,250 | | | Intuit, Inc. | | | 1,447,245 | |
| | 911 | | | Lightspeed Commerce, Inc.* | | | 36,791 | |
| | 58,945 | | | Microsoft Corp. | | | 19,824,382 | |
| | 423 | | | Nemetschek SE | | | 54,258 | |
| | 580 | | | NICE Systems, Ltd.* | | | 176,215 | |
| | 4,346 | | | NortonLifeLock, Inc. | | | 112,909 | |
| | 2,509 | | | Nuance Communications, Inc.* | | | 138,798 | |
| | 2,016 | | | Open Text Corp. | | | 95,699 | |
| | 300 | | | Oracle Corp. | | | 22,780 | |
| | 13,805 | | | Oracle Corp. | | | 1,203,934 | |
| | 12,569 | | | Palantir Technologies, Inc., Class A* | | | 228,881 | |
| | 827 | | | Palo Alto Networks, Inc.* | | | 460,441 | |
| | 416 | | | Paycom Software, Inc.* | | | 172,719 | |
| | 818 | | | PTC, Inc.* | | | 99,101 | |
| | 697 | | | RingCentral, Inc., Class A* | | | 130,583 | |
| | 7,580 | | | Sage Group plc | | | 87,179 | |
| | 8,047 | | | salesforce.com, Inc.* | | | 2,044,984 | |
| | 8,607 | | | SAP SE | | | 1,229,147 | |
| | 1,655 | | | ServiceNow, Inc.* | | | 1,074,277 | |
| | 4,675 | | | Sinch AB* | | | 58,975 | |
| | 1,311 | | | Splunk, Inc.* | | | 151,709 | |
| | 1,810 | | | SS&C Technologies Holdings, Inc. | | | 148,384 | |
| | 1,243 | | | Synopsys, Inc.* | | | 458,046 | |
| | 617 | | | Temenos AG | | | 85,167 | |
| | 3,729 | | | The Trade Desk, Inc., Class A* | | | 341,726 | |
| | 800 | | | Trend Micro, Inc. | | | 44,261 | |
| | 326 | | | Tyler Technologies, Inc.* | | | 175,372 | |
| | 332 | | | Unity Software, Inc.* | | | 47,473 | |
| | 1,859 | | | VMware, Inc., Class A | | | 215,421 | |
| | 656 | | | WiseTech Global, Ltd. | | | 27,849 | |
| | 1,578 | | | Workday, Inc., Class A* | | | 431,078 | |
| | 1,220 | | | Xero, Ltd.* | | | 124,935 | |
| | 1,088 | | | Zendesk, Inc.* | | | 113,468 | |
| | 1,816 | | | Zoom Video Communications, Inc., Class A* | | | 333,981 | |
| | 663 | | | Zscaler, Inc.* | | | 213,042 | |
| | | | | | | | |
| | | | | | | 38,764,578 | |
| | | | | | | | |
| Specialty Retail (1.8%): | | | |
| | 492 | | | Advance Auto Parts, Inc. | | | 118,021 | |
| | 177 | | | AutoZone, Inc.* | | | 371,061 | |
| | 1,917 | | | Best Buy Co., Inc. | | | 194,767 | |
| | 521 | | | Burlington Stores, Inc.* | | | 151,877 | |
| | 1,320 | | | CarMax, Inc.* | | | 171,904 | |
| | 577 | | | Carvana Co.* | | | 133,743 | |
| | 22,400 | | | Chow Tai Fook Jewellery Group, Ltd. | | | 40,293 | |
See accompanying notes to the financial statements.
17
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail, continued | | | |
| | 400 | | | Fast Retailing Co., Ltd. | | $ | 227,175 | |
| | 5,397 | | | Hennes & Mauritz AB, Class B | | | 105,883 | |
| | 100 | | | Hikari Tsushin, Inc. | | | 15,400 | |
| | 8,734 | | | Home Depot, Inc. (The) | | | 3,624,697 | |
| | 9,400 | | | Industria de Diseno Textil SA | | | 304,611 | |
| | 17,355 | | | JD Sports Fashion plc* | | | 50,982 | |
| | 19,508 | | | Kingfisher plc | | | 89,176 | |
| | 5,708 | | | Lowe’s Cos., Inc. | | | 1,475,404 | |
| | 700 | | | Nitori Co., Ltd. | | | 104,702 | |
| | 586 | | | O’Reilly Automotive, Inc.* | | | 413,851 | |
| | 3,080 | | | Ross Stores, Inc. | | | 351,982 | |
| | 10,105 | | | TJX Cos., Inc. (The) | | | 767,172 | |
| | 938 | | | Tractor Supply Co. | | | 223,807 | |
| | 426 | | | Ulta Beauty, Inc.* | | | 175,657 | |
| | 1,700 | | | USS Co., Ltd. | | | 26,550 | |
| | | | | | | | |
| | | | | | | 9,138,715 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (5.1%): | | | |
| | 136,483 | | | Apple, Inc. | | | 24,235,286 | |
| | 2,300 | | | Brother Industries, Ltd. | | | 44,223 | |
| | 9,200 | | | Canon, Inc. | | | 224,083 | |
| | 2,457 | | | Dell Technologies, Inc., Class C* | | | 138,010 | |
| | 2,900 | | | FUJIFILM Holdings Corp. | | | 215,011 | |
| | 10,343 | | | Hewlett Packard Enterprise Co. | | | 163,109 | |
| | 9,775 | | | HP, Inc. | | | 368,224 | |
| | 1,306 | | | Logitech International SA, Class R | | | 109,345 | |
| | 2,300 | | | NEC Corp. | | | 106,201 | |
| | 1,731 | | | NetApp, Inc. | | | 159,235 | |
| | 6,200 | | | Ricoh Co., Ltd. | | | 57,742 | |
| | 1,662 | | | Seagate Technology Holdings plc | | | 187,773 | |
| | 2,200 | | | Seiko Epson Corp. | | | 39,621 | |
| | 2,418 | | | Western Digital Corp.* | | | 157,678 | |
| | | | | | | | |
| | | | | | | 26,205,541 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.4%): | | | |
| | 1,608 | | | Adidas AG | | | 463,706 | |
| | 3,741 | | | Burberry Group plc | | | 91,651 | |
| | 4,375 | | | Cie Financiere Richemont SA | | | 653,504 | |
| | 2,377 | | | EssilorLuxottica SA | | | 505,943 | |
| | 1,834 | | | Gildan Activewear, Inc. | | | 77,765 | |
| | 260 | | | Hermes International SA | | | 453,963 | |
| | 627 | | | Kering | | | 503,054 | |
| | 956 | | | Lululemon Athletica, Inc.* | | | 374,226 | |
| | 2,278 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 1,879,633 | |
| | 1,545 | | | Moncler SpA | | | 111,656 | |
| | 10,533 | | | Nike, Inc., Class B | | | 1,755,535 | |
| | 733 | | | Pandora A/S | | | 91,242 | |
| | 767 | | | Puma SE | | | 93,907 | |
| | 267 | | | Swatch Group AG (The), Class B | | | 81,367 | |
| | 116 | | | Swatch Group AG (The), Registered Shares | | | 6,771 | |
| | 2,741 | | | VF Corp. | | | 200,696 | |
| | | | | | | | |
| | | | | | | 7,344,619 | |
| | | | | | | | |
| Tobacco (0.6%): | | | |
| | 15,491 | | | Altria Group, Inc. | | | 734,118 | |
| | 17,996 | | | British American Tobacco plc | | | 666,658 | |
| | 7,504 | | | Imperial Brands plc, Class A | | | 164,064 | |
| | 9,800 | | | Japan Tobacco, Inc. | | | 197,624 | |
| | 12,859 | | | Philip Morris International, Inc. | | | 1,221,605 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Tobacco, continued | | | |
| | 12,075 | | | Swedish Match AB | | $ | 95,975 | |
| | | | | | | | |
| | | | | | | 3,080,044 | |
| | | | | | | | |
| Trading Companies & Distributors (0.6%): | | | |
| | 3,803 | | | Ashtead Group plc | | | 304,708 | |
| | 1,133 | | | Brenntag AG | | | 102,640 | |
| | 2,452 | | | Bunzl plc | | | 95,599 | |
| | 4,815 | | | Fastenal Co. | | | 308,449 | |
| | 1,890 | | | Ferguson plc | | | 335,681 | |
| | 478 | | | IMCD NV | | | 106,110 | |
| | 10,000 | | | Itochu Corp. | | | 305,922 | |
| | 11,600 | | | Marubeni Corp. | | | 112,930 | |
| | 10,200 | | | Mitsubishi Corp. | | | 323,920 | |
| | 13,000 | | | Mitsui & Co., Ltd. | | | 307,885 | |
| | 1,400 | | | MonotaRo Co., Ltd. | | | 25,237 | |
| | 1,239 | | | Reece, Ltd. | | | 24,400 | |
| | 10,400 | | | Sumitomo Corp. | | | 153,786 | |
| | 731 | | | Toromont Industries, Ltd. | | | 66,095 | |
| | 2,000 | | | Toyota Tsushu Corp. | | | 92,181 | |
| | 590 | | | United Rentals, Inc.* | | | 196,051 | |
| | 355 | | | W.W. Grainger, Inc. | | | 183,975 | |
| | | | | | | | |
| | | | | | | 3,045,569 | |
| | | | | | | | |
| Transportation Infrastructure (0.1%): | | | |
| | 693 | | | Aena SME SA* | | | 109,454 | |
| | 215 | | | Aeroports de Paris* | | | 27,777 | |
| | 4,579 | | | Atlantia SpA* | | | 90,953 | |
| | 12,535 | | | Auckland International Airport, Ltd.* | | | 66,127 | |
| | 4,067 | | | Getlink SE | | | 67,463 | |
| | 8,394 | | | Sydney Airport* | | | 53,028 | |
| | 25,597 | | | Transurban Group | | | 257,520 | |
| | | | | | | | |
| | | | | | | 672,322 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 1,536 | | | American Water Works Co., Inc. | | | 290,089 | |
| | 1,666 | | | Essential Utilities, Inc. | | | 89,447 | |
| | 2,208 | | | Severn Trent plc | | | 88,165 | |
| | 6,302 | | | United Utilities Group plc | | | 93,004 | |
| | | | | | | | |
| | | | | | | 560,705 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.4%): | | | |
| | 13,200 | | | KDDI Corp. | | | 385,889 | |
| | 3,275 | | | Rogers Communications, Inc., Class B | | | 155,956 | |
| | 23,300 | | | Softbank Corp. | | | 294,687 | |
| | 10,200 | | | SoftBank Group Corp. | | | 482,027 | |
| | 4,629 | | | Tele2 AB | | | 66,001 | |
| | 5,139 | | | T-Mobile USA, Inc.* | | | 596,021 | |
| | 230,678 | | | Vodafone Group plc | | | 343,990 | |
| | | | | | | | |
| | | | | | | 2,324,571 | |
| | | | | | | | |
| | Total Common Stocks (Cost $399,186,215) | | | 514,380,571 | |
| | | | | |
| Preferred Stocks (0.1%): | | | |
| Automobiles (0.1%): | | | |
| | 526 | | | Bayerische Motoren Werke AG (BMW), 2.62%, 5/15/20 | | | 43,900 | |
| | 1,151 | | | Porsche Automobil Holding SE, 2.65%, 5/20/20 | | | 109,219 | |
| | 1,475 | | | Volkswagen AG, 2.74%, 5/8/20 | | | 298,054 | |
| | | | | | | | |
| | | | | | | 451,173 | |
| | | | | | | | |
| Household Products (0.0%†): | | | |
| | 1,647 | | | Henkel AG & Co. KGaA, 2.60%, 4/21/20 | | | 133,367 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $625,519) | | | 584,540 | |
| | | | | |
See accompanying notes to the financial statements.
18
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Right (0.0%†): | | | |
| Diversified Telecommunication (0.0%†): | | | |
| | — | | | Telefonica SA-RTS, Expires on 12/16/21 | | $ | — | |
| | | | | | | | |
| | Total Right (Cost $–) | | | — | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.4%): | |
| | 1,903,745 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(a)(b) | | | 1,903,745 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities
on Loan (Cost $1,903,745) | | | 1,903,745 | |
| | | | | |
| | Total Investment Securities (Cost $401,715,479) — 99.8%(c) | | | 516,868,856 | |
| | Net other assets (liabilities) — 0.2% | | | 1,157,020 | |
| | | | | |
| | Net Assets — 100.0% | | $ | 518,025,876 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $1,816,266. |
| † | 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, 2021. |
| (b) | The rate represents the effective yield at December 31, 2021. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $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 value of investments as of December 31, 2021:
| | | | |
| Country | | Percentage | |
| |
Argentina | | | 0.1 | % |
| |
Australia | | | 2.0 | % |
| |
Austria | | | 0.1 | % |
| |
Belgium | | | 0.2 | % |
| |
Bermuda | | | 0.2 | % |
| |
Canada | | | 3.4 | % |
| |
China | | | — | %† |
| |
Denmark | | | 0.7 | % |
| |
Finland | | | 0.3 | % |
| |
France | | | 3.0 | % |
| |
Germany | | | 2.4 | % |
| |
Hong Kong | | | 0.7 | % |
| |
Ireland | | | 1.0 | % |
| |
Isle of Man | | | — | %† |
| |
Israel | | | 0.2 | % |
| |
Italy | | | 0.6 | % |
| |
Japan | | | 6.3 | % |
| | | | |
| Country | | Percentage | |
| |
Jersey | | | — | %† |
| |
Liberia | | | — | %† |
| |
Luxembourg | | | 0.1 | % |
| |
Netherlands | | | 1.8 | % |
| |
New Zealand | | | 0.1 | % |
| |
Norway | | | 0.2 | % |
| |
Panama | | | — | %† |
| |
Poland | | | — | %† |
| |
Portugal | | | — | %† |
| |
Singapore | | | 0.3 | % |
| |
Spain | | | 0.6 | % |
| |
Sweden | | | 1.0 | % |
| |
Switzerland | | | 3.2 | % |
| |
United Kingdom | | | 4.3 | % |
| |
United States | | | 67.2 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
19
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
December 31, 2021
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 9 | | | $ | 439,278 | | | $ | 8,529 | |
FTSE 100 Index March Futures (British Pounds) | | | 3/18/22 | | | | 3 | | | | 297,349 | | | | 2,496 | |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/18/22 | | | | 9 | | | | 2,141,325 | | | | 26,640 | |
SGX Nikkei 225 Index September March (Japanese Yen) | | | 3/10/22 | | | | 2 | | | | 250,065 | | | | 1,110 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 38,775 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
20
AZL MSCI Global Equity Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 400,135,335 | |
Investments in affiliates, at cost | | | | 1,580,144 | |
| | | | | |
Investment securities, at value(a) | | | $ | 514,915,195 | |
Investments in affiliates, at value | | | | 1,953,661 | |
Deposit at broker for futures contracts collateral | | | | 173,757 | |
Interest and dividends receivable | | | | 359,139 | |
Foreign currency, at value (cost $994,152) | | | | 1,001,569 | |
Receivable for capital shares issued | | | | 875 | |
Receivable for investments sold | | | | 2,067,064 | |
Reclaims receivable | | | | 277,807 | |
Prepaid expenses | | | | 2,655 | |
| | | | | |
Total Assets | | | | 520,751,722 | |
| | | | | |
Liabilities: | | | | | |
Cash overdraft | | | | 358,258 | |
Payable for capital shares redeemed | | | | 86,738 | |
Payable for collateral received on loaned securities | | | | 1,903,745 | |
Payable for variation margin on futures contracts | | | | 11,151 | |
Manager fees payable | | | | 134,808 | |
Administration fees payable | | | | 94,688 | |
Distribution fees payable | | | | 97,313 | |
Custodian fees payable | | | | 17,673 | |
Administrative and compliance services fees payable | | | | 94 | |
Transfer agent fees payable | | | | 1,798 | |
Trustee fees payable | | | | 528 | |
Other accrued liabilities | | | | 19,052 | |
| | | | | |
Total Liabilities | | | | 2,725,846 | |
| | | | | |
Net Assets | | | $ | 518,025,876 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 370,557,811 | |
Total distributable earnings | | | | 147,468,065 | |
| | | | | |
Net Assets | | | $ | 518,025,876 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 54,468,433 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 5,224,103 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.43 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 463,557,443 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 27,554,534 | |
Net Asset Value (offering and redemption price per share) | | | $ | 16.82 | |
| | | | | |
| (a) | Includes securities on loan of $1,816,266. |
Statement of Operations
For the Year Ended December 31, 2021
��
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 7,689,411 | |
Dividends from affiliates | | | | 45,479 | |
Income from securities lending | | | | 32,232 | |
Foreign withholding tax | | | | (406,320 | ) |
| | | | | |
Total Investment Income | | | | 7,360,802 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 3,004,870 | |
Administration fees | | | | 208,819 | |
Distribution fees | | | | 1,001,208 | |
Custodian fees | | | | 177,149 | |
Administrative and compliance services fees | | | | 4,104 | |
Transfer agent fees | | | | 12,381 | |
Trustee fees | | | | 16,719 | |
Professional fees | | | | 8,188 | |
Licensing fees | | | | 145,342 | |
Shareholder reports | | | | 4,833 | |
Other expenses | | | | 19,250 | |
| | | | | |
Total expenses before reductions | | | | 4,602,863 | |
Less Management fees contractually waived | | | | (1,674,135 | ) |
| | | | | |
Net expenses | | | | 2,928,728 | |
| | | | | |
Net Investment Income/(Loss) | | | | 4,432,074 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 29,817,466 | |
Net realized gains/(losses) on affiliated transactions | | | | 96,640 | |
Net realized gains/(losses) on futures contracts | | | | 520,017 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 46,173,796 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | 55,823 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 11,465 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 76,675,207 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 81,107,281 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 4,432,074 | | | | $ | 4,018,033 | |
Net realized gains/(losses) on investments | | | | 30,434,123 | | | | | 19,712,261 | |
Change in unrealized appreciation/depreciation on investments | | | | 46,241,084 | | | | | 22,863,821 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 81,107,281 | | | | | 46,594,115 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1^ | | | | (2,699,791 | ) | | | | — | |
Class 2 | | | | (14,913,892 | ) | | | | (2,665,945 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (17,613,683 | ) | | | | (2,665,945 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1^ | | | | | | | | | | |
Proceeds from shares issued | | | | 292,588 | | | | | — | |
Proceeds from in-kind shares issued(a) | | | | 53,013,674 | | | | | — | |
Proceeds from dividends reinvested | | | | 2,699,791 | | | | | — | |
Value of shares redeemed | | | | (3,968,036 | ) | | | | — | |
| | | | | | | | | | |
Total Class 1 Shares | | | | 52,038,017 | | | | | — | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 1,424,827 | | | | | 38,589,996 | |
Proceeds from in-kind shares issued(a) | | | | 162,355,745 | | | | | — | |
Proceeds from dividends reinvested | | | | 14,913,892 | | | | | 2,665,945 | |
Value of shares redeemed | | | | (97,837,065 | ) | | | | (94,685,298 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 80,857,399 | | | | | (53,429,357 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 132,895,416 | | | | | (53,429,357 | ) |
| | | | | | | | | | |
Change in net assets | | | | 196,389,014 | | | | | (9,501,187 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 321,636,862 | | | | | 331,138,049 | |
| | | | | | | | | | |
End of period | | | $ | 518,025,876 | | | | $ | 321,636,862 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1^ | | | | | | | | | | |
Shares issued | | | | 28,178 | | | | | — | |
Shares issued in-kind(a) | | | | 5,301,367 | | | | | — | |
Dividends reinvested | | | | 277,471 | | | | | — | |
Shares redeemed | | | | (382,913 | ) | | | | — | |
| | | | | | | | | | |
Total Class 1 Shares | | | | 5,224,103 | | | | | — | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 80,110 | | | | | 3,828,709 | |
Shares issued in-kind(a) | | | | 10,251,349 | | | | | — | |
Dividends reinvested | | | | 949,325 | | | | | 206,183 | |
Shares redeemed | | | | (6,140,552 | ) | | | | (8,015,099 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 5,140,232 | | | | | (3,980,207 | ) |
| | | | | | | | | | |
Change in shares | | | | 10,364,335 | | | | | (3,980,207 | ) |
| | | | | | | | | | |
Amounts shown as “—” are either $0 or rounds to less than $1.
| ^ | Class 1 activity is for the period June 21, 2021 (commencement of operations) to December 31, 2021. |
| (a) | See Note 2 in Notes to the Financial Statements. |
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, |
| | | 2021^ | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 10.00 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.06 | (a) | | | | | | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 0.91 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 0.97 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.13 | ) | | | | | | | | | | | | | | | | | | | | |
Net Realized Gains | | | | (0.41 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.54 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.43 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 10.00 | %(c) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 54,468 | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss)(d) | | | | 1.06 | % | | | | | | | | | | | | | | | | | | | | |
Expenses Before Reductions(d)(e) | | | | 0.83 | % | | | | | | | | | | | | | | | | | | | | |
Expenses Net of Reductions(d) | | | | 0.44 | % | | | | | | | | | | | | | | | | | | | | |
Portfolio Turnover Rate(f) | | | | 49 | %(g) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 14.35 | | | | $ | 12.55 | | | | $ | 10.03 | | | | $ | 11.22 | | | | $ | 9.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.16 | (a) | | | | 0.16 | (a) | | | | 0.19 | (a) | | | | 0.21 | | | | | 0.20 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.85 | | | | | 1.75 | | | | | 2.52 | | | | | (1.19 | ) | | | | 1.86 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.01 | | | | | 1.91 | | | | | 2.71 | | | | | (0.98 | ) | | | | 2.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.13 | ) | | | | (0.11 | ) | | | | (0.19 | ) | | | | (0.21 | ) | | | | (0.20 | ) |
Net Realized Gains | | | | (0.41 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.54 | ) | | | | (0.11 | ) | | | | (0.19 | ) | | | | (0.21 | ) | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 16.82 | | | | $ | 14.35 | | | | $ | 12.55 | | | | $ | 10.03 | | | | $ | 11.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 21.18 | % | | | | 15.36 | % | | | | 27.25 | % | | | | (8.94 | )% | | | | 22.18 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 463,557 | | | | $ | 321,637 | | | | $ | 331,138 | | | | $ | 127,860 | | | | $ | 153,857 | |
Net Investment Income/(Loss) | | | | 1.03 | % | | | | 1.32 | % | | | | 1.68 | % | | | | 1.67 | % | | | | 1.62 | % |
Expenses Before Reductions(e) | | | | 1.09 | % | | | | 1.08 | % | | | | 1.12 | % | | | | 1.14 | % | | | | 1.16 | % |
Expenses Net of Reductions | | | | 0.70 | % | | | | 0.69 | % | | | | 0.73 | % | | | | 0.75 | % | | | | 0.77 | % |
Portfolio Turnover Rate(f) | | | | 49 | %(g) | | | | 13 | % | | | | 9 | % | | | | 4 | % | | | | 4 | % |
| ^ | Class 1 activity is for the period June 21, 2021 (commencement of operations) to June 30, 2021. |
| (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. |
| (g) | Excludes impact of in-kind transactions. |
See accompanying notes to the financial statements.
23
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
24
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $3,620 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,903,745 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
In-kind Subscriptions
During the period ended December 31, 2021, the AZL MSCI Global Equity Index Fund issued 5,301,367 shares valued at $53,013,674, and 10,251,349 shares valued at $162,355,745, of Class 1 and Class 2, respectively, in exchange for $22,088,755 in cash, and securities with a fair market value of $193,280,664, received from shareholders of the Templeton Growth VIP Fund.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $2.4 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total Value | | | Statement of Assets and Liabilities Location | | Total Value | |
| Equity Risk | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 38,775 | | | 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. |
25
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021:
| | | | | | | | | | |
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 | | $ | 520,017 | | | $ | 11,465 | |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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, Class 1 | | | | 0.70 | % | | | | 0.55 | % |
| | |
AZL MSCI Global Equity Index Fund, Class 2 | | | | 0.70 | % | | | | 0.80 | % |
| * | The annual rate due to the Manager is 0.70% of the first $5 billion of the Fund’s net assets, 0.65% of the next $5 billion of the Fund’s net assets, and 0.61% of the Fund’s assets over $10 billion. Prior to June 1, 2021, the annual rate due to the Manager was 0.70% on all assets. For the year ended December 31, 2021, the Manager waived, prior to any application of expense limit, the management fee to 0.31% on all assets in order to maintain more competitive expense ratios. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value 12/31/2020 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gains(Losses) | | Change in Net Unrealized Appreciation/ Depreciation | | Value 12/31/2021 | | Shares as of 12/31/2021 | | Dividend Income | | Capital Gains Distributions |
| | | | | | | | | |
Allianz SE, Registered Shares | | | $ | 640,470 | | | | $ | 400,419 | | | | $ | (200,103 | ) | | | $ | 2,454 | | | | $ | (47,762 | ) | | | $ | 795,478 | | | | | 3,365 | | | | $ | 27,361 | | | | $ | — | |
BlackRock Inc., Class A | | | | 694,122 | | | | | 499,349 | | | | | (233,059 | ) | | | | 94,186 | | | | | 103,585 | | | | | 1,158,183 | | | | | 1,265 | | | | | 18,118 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 1,334,592 | | | | $ | 899,768 | | | | $ | (433,162 | ) | | | $ | 96,640 | | | | $ | 55,823 | | | | $ | 1,953,661 | | | | | 4,630 | | | | $ | 45,479 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.
26
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 373,217,244 | | | | $ | 141,163,327 | | | | $ | — | | | | $ | 514,380,571 | |
Preferred Stocks+ | | | | — | | | | | 584,540 | | | | | — | | | | | 584,540 | |
Rights+ | | | | — | | | | | — | | | | | — | | | | | — | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1,903,745 | | | | | — | | | | | — | | | | | 1,903,745 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 375,120,989 | | | | | 141,747,867 | | | | | — | | | | | 516,868,856 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 38,775 | | | | | — | | | | | — | | | | | 38,775 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 375,159,764 | | | | $ | 141,747,867 | | | | $ | — | | | | $ | 516,907,631 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the year ended December 31, 2021, 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 | | | $ | 209,245,340 | | | | $ | 283,305,309 | |
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.
27
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $404,737,150. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 122,658,959 | |
Unrealized (depreciation) | | | (10,527,253 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 112,131,706 | |
| | | | |
28
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
December 31, 2021
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL MSCI Global Equity Index Fund | | | $ | 14,428,841 | | | | $ | 3,184,842 | | | | $ | 17,613,683 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 29,179,547 | | | | $ | 6,141,499 | | | | $ | — | | | | $ | 112,147,639 | | | | $ | 147,468,685 | |
| (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, straddles 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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of the 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.
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four periods ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four periods ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 22.03% 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, 2021, the Fund declared net short-term capital gain distributions of $10,246,648.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $3,184,842.
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
33
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
34
Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
36
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® Russell 1000 Growth Index Fund
Annual Report
December 31, 2021
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 12-month period ended December 31, 2021?*
For the year ended December 31, 2021, the AZL® Russell 1000 Growth Index Fund (Class 2 Shares) (the “Fund”) returned 26.87%. That compared to a 27.60% total return for its benchmark, the Russell 1000® Growth Index.1
The Fund seeks investment results, before fees and expenses, that correspond to the performance of the Russell 1000® Growth 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 large-cap stock performance. It is an unmanaged, market capitalization-weighted index composed of large-capitalization U.S. equities with growth characteristics.
In the first quarter of 2021, favorable conditions carried over from the strong end of 2020. The Federal Reserve’s (the Fed) accommodative policies, along with a new $1.9 trillion stimulus package and the start of the vaccine rollout in the U.S., supported investor optimism for strong economic growth in the first quarter. All sectors within the S&P 500® Index2 posted positive returns over the first three months of 2021. The energy sector posted the strongest return for the quarter, supported by a rally in oil prices due to a surge in demand paired with unchanged production levels, along with oil transport concerns due to the temporary blockage of the Suez Canal. The financial sector was another top performer due to positive market conditions. By comparison, the information technology and consumer staples sectors lagged their peers within the U.S. market, albeit still posting positive returns, after posting strong gains in 2020.
During the second quarter, U.S. equity markets rallied as the vaccination campaign continued to accelerate and economic indicators continued to improve. The U.S. Consumer Price Index (CPI) increased by more than 4% year-over-year in April. But growing concerns about inflation were offset by the Fed’s commitment to maintain its accommodative monetary policies and the prospect of a bipartisan $1 trillion agreement for infrastructure that passed the Senate in May.
In the third quarter, strong economic data and corporate earnings reports helped push U.S. equities higher despite a resurgence in COVID-19 cases due to the arrival of the Delta variant in the U.S. However, concerns regarding potential contagion from the unfolding debt crisis at Chinese property developer Evergrande muted U.S. equity
markets late in the quarter. Rising inflation and supply chain issues also weighed on market sentiment, as did the continuing disagreement in Washington regarding the debt ceiling and the infrastructure bill.
In the fourth quarter, the boost to investor sentiment from a strong earnings season was offset by a new, more transmissible COVID-19 variant (Omicron) and ongoing concerns about higher inflation rates. Markets recovered to post strong returns for the quarter after initial data showed existing vaccines remained effective against the Omicron variant, and the Fed clarified its plan to begin tightening its monetary policy in 2022. The falling unemployment rate and the final passage of the bipartisan infrastructure bill further supported the market performance over the quarter.
All sectors within the Index posted positive returns over the year. The information technology, communication services, and consumer discretionary sectors were the top performers, while the utilities, energy, and materials sectors lagged their peers.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and we keep cash to fully cover all outstanding futures positions. The Fund’s use of futures contracts provides immediate market exposure proportionate to cash accruals and investable cash within the portfolio. Skillful cash management and cash equitization are critical to minimizing the potential impact of cash drag and ensure tight tracking to the 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | 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. |
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, 2021 |
| | | Inception
Date | | 1
Year | | 3
Year | | 5
Year | | 10
Year | | Since
Inception |
AZL® Russell 1000 Growth Index Fund (Class 1 Shares) | | | | 10/17/2016 | | | | | 27.14 | % | | | | 33.81 | % | | | | 24.88 | % | | | | — | | | | | 24.41 | % |
AZL® Russell 1000 Growth Index Fund (Class 2 Shares) | | | | 4/30/2010 | | | | | 26.87 | % | | | | 33.49 | % | | | | 24.57 | % | | | | 19.00 | % | | | | 17.16 | % |
Russell 1000® Growth Index | | | | 4/30/2010 | | | | | 27.60 | % | | | | 34.08 | % | | | | 25.32 | % | | | | 19.79 | % | | | | 17.98 | % |
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) | | | | 0.52 | % |
AZL® Russell 1000 Growth Index Fund (Class 2 Shares) | | | | 0.77 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.35% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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® 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,126.40 | | | | $ | 2.41 | | | | | 0.45 | % |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,125.30 | | | | $ | 3.75 | | | | | 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.94 | | | | $ | 2.29 | | | | | 0.45 | % |
| | | | |
AZL Russell 1000 Growth Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.68 | | | | $ | 3.57 | | | | | 0.70 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 45.8 | % |
| |
Consumer Discretionary | | | | 18.3 | |
| |
Communication Services | | | | 11.6 | |
| |
Health Care | | | | 8.7 | |
| |
Industrials | | | | 5.7 | |
| |
Consumer Staples | | | | 3.9 | |
| |
Financials | | | | 2.4 | |
| |
Real Estate | | | | 1.7 | |
| |
Materials | | | | 1.0 | |
| |
Energy | | | | 0.3 | |
| |
Utilities | | | | — | † |
| | | | | |
| |
Total Common Stocks | | | | 99.4 | |
| |
Unaffiliated Investment Company | | | | 0.6 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.3 | |
| | | | | |
| |
Total Investment Securities | | | | 100.3 | |
| |
Net other assets (liabilities) | | | | (0.3 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.4%): | | | |
| Aerospace & Defense (0.5%): | | | |
| | 3,043 | | | Axon Enterprise, Inc.* | | $ | 477,751 | |
| | 2,869 | | | BWX Technologies, Inc. | | | 137,368 | |
| | 531 | | | HEICO Corp. | | | 76,581 | |
| | 1,341 | | | HEICO Corp., Class A | | | 172,345 | |
| | 1,541 | | | Howmet Aerospace, Inc. | | | 49,050 | |
| | 10,138 | | | Lockheed Martin Corp. | | | 3,603,147 | |
| | 603 | | | Northrop Grumman Corp. | | | 233,403 | |
| | 1,625 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 70,021 | |
| | 687 | | | TransDigm Group, Inc.* | | | 437,124 | |
| | 8,410 | | | Virgin Galactic Holdings, Inc.* | | | 112,526 | |
| | | | | | | | |
| | | | | | | 5,369,316 | |
| | | | | | | | |
| Air Freight & Logistics (0.9%): | | | |
| | 1,136 | | | C.H. Robinson Worldwide, Inc. | | | 122,268 | |
| | 5,734 | | | Expeditors International of Washington, Inc. | | | 770,019 | |
| | 5,048 | | | FedEx Corp. | | | 1,305,615 | |
| | 3,842 | | | GXO Logistics, Inc.* | | | 348,969 | |
| | 33,895 | | | United Parcel Service, Inc., Class B | | | 7,265,054 | |
| | 3,768 | | | XPO Logistics, Inc.* | | | 291,756 | |
| | | | | | | | |
| | | | | | | 10,103,681 | |
| | | | | | | | |
| Airlines (0.1%): | | | |
| | 30,271 | | | Delta Air Lines, Inc.* | | | 1,182,991 | |
| | | | | | | | |
| Auto Components (0.1%): | | | |
| | 2,327 | | | Aptiv plc* | | | 383,838 | |
| | 8,688 | | | QuantumScape Corp.*^ | | | 192,787 | |
| | | | | | | | |
| | | | | | | 576,625 | |
| | | | | | | | |
| Automobiles (3.6%): | | | |
| | 1,674 | | | Rivian Automotive, Inc.*^ | | | 173,577 | |
| | 37,878 | | | Tesla, Inc.* | | | 40,028,713 | |
| | 833 | | | Thor Industries, Inc. | | | 86,440 | |
| | | | | | | | |
| | | | | | | 40,288,730 | |
| | | | | | | | |
| Banks (0.0%†): | | | |
| | 3,960 | | | Citizens Financial Group, Inc. | | | 187,110 | |
| | 283 | | | Sterling Bancorp | | | 7,298 | |
| | 141 | | | Synovus Financial Corp. | | | 6,750 | |
| | 2,477 | | | Western Alliance Bancorp | | | 266,649 | |
| | | | | | | | |
| | | | | | | 467,807 | |
| | | | | | | | |
| Beverages (1.7%): | | | |
| | 401 | | | Boston Beer Co., Inc. (The), Class A* | | | 202,545 | |
| | 1,156 | | | Brown-Forman Corp., Class A | | | 78,365 | |
| | 4,367 | | | Brown-Forman Corp., Class B | | | 318,180 | |
| | 128,378 | | | Coca-Cola Co. (The) | | | 7,601,261 | |
| | 16,088 | | | Monster Beverage Corp.* | | | 1,545,092 | |
| | 53,708 | | | PepsiCo, Inc. | | | 9,329,617 | |
| | | | | | | | |
| | | | | | | 19,075,060 | |
| | | | | | | | |
| Biotechnology (2.5%): | | | |
| | 82,744 | | | AbbVie, Inc. | | | 11,203,538 | |
| | 5,626 | | | Alnylam Pharmaceuticals, Inc.* | | | 954,057 | |
| | 21,829 | | | Amgen, Inc. | | | 4,910,870 | |
| | 1,975 | | | CureVac NV* | | | 67,762 | |
| | 7,395 | | | Exact Sciences Corp.* | | | 575,553 | |
| | 12,421 | | | Exelixis, Inc.* | | | 227,056 | |
| | 7,481 | | | Incyte Corp.* | | | 549,106 | |
| | 5,942 | | | Ionis Pharmaceuticals, Inc.* | | | 180,815 | |
| | 2,346 | | | Iovance Biotherapeutics, Inc.* | | | 44,785 | |
| | 1,539 | | | Mirati Therapeutics, Inc.* | | | 225,756 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 15,896 | | | Moderna, Inc.* | | $ | 4,037,266 | |
| | 3,567 | | | Natera, Inc.* | | | 333,122 | |
| | 4,272 | | | Neurocrine Biosciences, Inc.* | | | 363,846 | |
| | 3,631 | | | Novavax, Inc.*^ | | | 519,487 | |
| | 518 | | | Regeneron Pharmaceuticals, Inc.* | | | 327,127 | |
| | 2,473 | | | Repligen Corp.* | | | 654,949 | |
| | 3,803 | | | Sarepta Therapeutics, Inc.* | | | 342,460 | |
| | 5,668 | | | Seagen, Inc.* | | | 876,273 | |
| | 2,197 | | | Ultragenyx Pharmaceutical, Inc.* | | | 184,746 | |
| | 4,852 | | | Vertex Pharmaceuticals, Inc.* | | | 1,065,499 | |
| | | | | | | | |
| | | | | | | 27,644,073 | |
| | | | | | | | |
| Building Products (0.4%): | | | |
| | 2,724 | | | Advanced Drainage Systems, Inc. | | | 370,818 | |
| | 3,094 | | | Allegion plc | | | 409,769 | |
| | 1,165 | | | Armstrong World Industries, Inc. | | | 135,280 | |
| | 2,407 | | | AZEK Co., Inc. (The)* | | | 111,300 | |
| | 18,971 | | | Carrier Global Corp. | | | 1,028,987 | |
| | 1,525 | | | Fortune Brands Home & Security, Inc. | | | 163,022 | |
| | 5,387 | | | Trane Technologies plc | | | 1,088,336 | |
| | 5,442 | | | Trex Co., Inc.* | | | 734,833 | |
| | | | | | | | |
| | | | | | | 4,042,345 | |
| | | | | | | | |
| Capital Markets (1.6%): | | | |
| | 2,941 | | | Ameriprise Financial, Inc. | | | 887,182 | |
| | 11,137 | | | Apollo Asset Management, Inc. | | | 806,653 | |
| | 6,022 | | | Ares Management Corp., Class A | | | 489,408 | |
| | 31,970 | | | Blackstone Group, Inc. (The), Class A | | | 4,136,598 | |
| | 1,514 | | | FactSet Research Systems, Inc. | | | 735,819 | |
| | 944 | | | Goldman Sachs Group, Inc. (The) | | | 361,127 | |
| | 3,761 | | | LPL Financial Holdings, Inc. | | | 602,099 | |
| | 1,746 | | | MarketAxess Holdings, Inc. | | | 718,078 | |
| | 7,202 | | | Moody’s Corp. | | | 2,812,957 | |
| | 933 | | | Morningstar, Inc. | | | 319,077 | |
| | 2,687 | | | MSCI, Inc., Class A | | | 1,646,298 | |
| | 468 | | | Raymond James Financial, Inc. | | | 46,987 | |
| | 7,982 | | | S&P Global, Inc. | | | 3,766,945 | |
| | 3,484 | | | T. Rowe Price Group, Inc. | | | 685,094 | |
| | | | | | | | |
| | | | | | | 18,014,322 | |
| | | | | | | | |
| Chemicals (0.8%): | | | |
| | 1,964 | | | Axalta Coating Systems, Ltd.* | | | 65,048 | |
| | 1,751 | | | Celanese Corp. | | | 294,273 | |
| | 3,476 | | | Chemours Co. (The) | | | 116,655 | |
| | 2,118 | | | Diversey Holdings, Ltd.* | | | 28,191 | |
| | 2,885 | | | Dow, Inc. | | | 163,637 | |
| | 10,290 | | | Ecolab, Inc. | | | 2,413,931 | |
| | 1,446 | | | FMC Corp. | | | 158,901 | |
| | 1,719 | | | Lyondellbasell Industries NV | | | 158,543 | |
| | 694 | | | Olin Corp. | | | 39,919 | |
| | 4,682 | | | PPG Industries, Inc. | | | 807,364 | |
| | 3,542 | | | RPM International, Inc. | | | 357,742 | |
| | 1,852 | | | Scotts Miracle-Gro Co. (The) | | | 298,172 | |
| | 11,251 | | | Sherwin Williams Co. | | | 3,962,152 | |
| | 385 | | | Westlake Chemical Corp. | | | 37,395 | |
| | | | | | | | |
| | | | | | | 8,901,923 | |
| | | | | | | | |
| Commercial Services & Supplies (0.4%): | | | |
| | 3,830 | | | Cintas Corp. | | | 1,697,341 | |
| | 9,712 | | | Copart, Inc.* | | | 1,472,533 | |
See accompanying notes to the financial statements.
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Commercial Services & Supplies, continued | | | |
| | 6,538 | | | IAA, Inc.* | | $ | 330,954 | |
| | 515 | | | MSA Safety, Inc. | | | 77,744 | |
| | 9,327 | | | Rollins, Inc. | | | 319,077 | |
| | 3,132 | | | Waste Management, Inc. | | | 522,731 | |
| | | | | | | | |
| | | | | | | 4,420,380 | |
| | | | | | | | |
| Communications Equipment (0.1%): | | | |
| | 10,054 | | | Arista Networks, Inc.* | | | 1,445,263 | |
| | 7,602 | | | CommScope Holding Co., Inc.* | | | 83,926 | |
| | 302 | | | Ubiquiti, Inc. | | | 92,623 | |
| | | | | | | | |
| | | | | | | 1,621,812 | |
| | | | | | | | |
| Consumer Finance (0.4%): | | | |
| | 18,662 | | | American Express Co. | | | 3,053,103 | |
| | 56 | | | Credit Acceptance Corp.* | | | 38,510 | |
| | 7,643 | | | Discover Financial Services | | | 883,225 | |
| | 4,369 | | | Synchrony Financial | | | 202,678 | |
| | 2,145 | | | Upstart Holdings, Inc.* | | | 324,539 | |
| | | | | | | | |
| | | | | | | 4,502,055 | |
| | | | | | | | |
| Containers & Packaging (0.1%): | | | |
| | 2,034 | | | Avery Dennison Corp. | | | 440,503 | |
| | 4,438 | | | Ball Corp. | | | 427,246 | |
| | 643 | | | Crown Holdings, Inc. | | | 71,129 | |
| | 4,229 | | | Graphic Packaging Holding Co. | | | 82,465 | |
| | 3,799 | | | Sealed Air Corp. | | | 256,319 | |
| | | | | | | | |
| | | | | | | 1,277,662 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 1,810 | | | Pool Corp. | | | 1,024,460 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 2,132 | | | Bright Horizons Family Solutions, Inc.* | | | 268,376 | |
| | 5,188 | | | Chegg, Inc.* | | | 159,271 | |
| | 2,124 | | | Frontdoor, Inc.* | | | 77,845 | |
| | 7,414 | | | H&R Block, Inc. | | | 174,674 | |
| | 3,706 | | | Mister Car Wash, Inc.*^ | | | 67,486 | |
| | | | | | | | |
| | | | | | | 747,652 | |
| | | | | | | | |
| Electrical Equipment (0.3%): | | | |
| | 1,071 | | | Fluence Energy, Inc.* | | | 38,085 | |
| | 2,878 | | | Generac Holdings, Inc.* | | | 1,012,826 | |
| | 23,453 | | | Plug Power, Inc.* | | | 662,078 | |
| | 700 | | | Regal-Beloit Corp. | | | 119,126 | |
| | 3,296 | | | Rockwell Automation, Inc. | | | 1,149,809 | |
| | 14,795 | | | Vertiv Holdings Co. | | | 369,431 | |
| | | | | | | | |
| | | | | | | 3,351,355 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.6%): | | | |
| | 19,528 | | | Amphenol Corp., Class A | | | 1,707,919 | |
| | 6,287 | | | CDW Corp. | | | 1,287,452 | |
| | 8,103 | | | Cognex Corp. | | | 630,089 | |
| | 1,097 | | | Coherent, Inc.* | | | 292,394 | |
| | 11,935 | | | Corning, Inc. | | | 444,340 | |
| | 163 | | | IPG Photonics Corp.* | | | 28,059 | |
| | 5,549 | | | Jabil, Inc. | | | 390,372 | |
| | 3,864 | | | Keysight Technologies, Inc.* | | | 797,955 | |
| | 3,924 | | | Vontier Corp. | | | 120,585 | |
| | 2,466 | | | Zebra Technologies Corp., Class A* | | | 1,467,763 | |
| | | | | | | | |
| | | | | | | 7,166,928 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Energy Equipment & Services (0.0%†): | | | |
| | 2,496 | | | Halliburton Co. | | $ | 57,084 | |
| | | | | | | | |
| Entertainment (1.5%): | | | |
| | 2,380 | | | Live Nation Entertainment, Inc.* | | | 284,862 | |
| | 385 | | | Madison Square Garden Sports Corp., Class A* | | | 66,886 | |
| | 20,227 | | | Netflix, Inc.* | | | 12,185,554 | |
| | 5,166 | | | Playtika Holding Corp.* | | | 89,320 | |
| | 5,447 | | | Roku, Inc.* | | | 1,243,005 | |
| | 16,737 | | | Skillz, Inc.*^ | | | 124,523 | |
| | 6,466 | | | Spotify Technology SA* | | | 1,513,238 | |
| | 1,024 | | | Take-Two Interactive Software, Inc.* | | | 181,985 | |
| | 4,268 | | | Walt Disney Co. (The)* | | | 661,071 | |
| | 1,890 | | | World Wrestling Entertainment, Inc., Class A | | | 93,253 | |
| | 21,231 | | | Zynga, Inc.* | | | 135,879 | |
| | | | | | | | |
| | | | | | | 16,579,576 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (1.7%): | | | |
| | 21,129 | | | American Tower Corp. | | | 6,180,233 | |
| | 20,224 | | | Crown Castle International Corp. | | | 4,221,558 | |
| | 2,991 | | | Equinix, Inc. | | | 2,529,907 | |
| | 4,082 | | | Equity Lifestyle Properties, Inc. | | | 357,828 | |
| | 464 | | | Extra Space Storage, Inc. | | | 105,203 | |
| | 9,279 | | | Iron Mountain, Inc. | | | 485,570 | |
| | 3,412 | | | Lamar Advertising Co., Class A | | | 413,876 | |
| | 5,427 | | | Public Storage, Inc. | | | 2,032,737 | |
| | 868 | | | SBA Communications Corp. | | | 337,669 | |
| | 13,205 | | | Simon Property Group, Inc. | | | 2,109,763 | |
| | | | | | | | |
| | | | | | | 18,774,344 | |
| | | | | | | | |
| Food & Staples Retailing (1.2%): | | | |
| | 19,359 | | | Costco Wholesale Corp. | | | 10,990,104 | |
| | 24,118 | | | Sysco Corp. | | | 1,894,469 | |
| | | | | | | | |
| | | | | | | 12,884,573 | |
| | | | | | | | |
| Food Products (0.2%): | | | |
| | 2,369 | | | Beyond Meat, Inc.*^ | | | 154,364 | |
| | 451 | | | Darling Ingredients, Inc.* | | | 31,250 | |
| | 1,921 | | | Freshpet, Inc.* | | | 183,014 | |
| | 5,831 | | | Hershey Co. (The) | | | 1,128,123 | |
| | 5,416 | | | Kellogg Co. | | | 348,899 | |
| | 1,903 | | | Lamb Weston Holdings, Inc. | | | 120,612 | |
| | 1,200 | | | Pilgrim’s Pride Corp.* | | | 33,840 | |
| | | | | | | | |
| | | | | | | 2,000,102 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.9%): | | | |
| | 40,629 | | | Abbott Laboratories | | | 5,718,125 | |
| | 2,034 | | | ABIOMED, Inc.* | | | 730,552 | |
| | 3,662 | | | Align Technology, Inc.* | | | 2,406,593 | |
| | 1,513 | | | Danaher Corp. | | | 497,792 | |
| | 4,511 | | | DexCom, Inc.* | | | 2,422,181 | |
| | 28,931 | | | Edwards Lifesciences Corp.* | | | 3,748,011 | |
| | 824 | | | Figs, Inc., Class A*^ | | | 22,709 | |
| | 28 | | | Globus Medical, Inc.* | | | 2,022 | |
| | 3,938 | | | IDEXX Laboratories, Inc.* | | | 2,593,016 | |
| | 3,033 | | | Insulet Corp.* | | | 806,990 | |
| | 16,579 | | | Intuitive Surgical, Inc.* | | | 5,956,835 | |
| | 1,683 | | | Masimo Corp.* | | | 492,749 | |
| | 4,583 | | | Novocure, Ltd.* | | | 344,092 | |
| | 1,664 | | | Penumbra, Inc.* | | | 478,101 | |
| | 6,115 | | | ResMed, Inc. | | | 1,592,835 | |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 547 | | | Steris plc | | $ | 133,145 | |
| | 6,972 | | | Stryker Corp. | | | 1,864,452 | |
| | 2,783 | | | Tandem Diabetes Care, Inc.* | | | 418,897 | |
| | 443 | | | Teleflex, Inc. | | | 145,517 | |
| | 3,437 | | | West Pharmaceutical Services, Inc. | | | 1,611,987 | |
| | | | | | | | |
| | | | | | | 31,986,601 | |
| | | | | | | | |
| Health Care Providers & Services (0.6%): | | | |
| | 7,381 | | | agilon health, Inc.* | | | 199,287 | |
| | 1,200 | | | Amedisys, Inc.* | | | 194,256 | |
| | 7,863 | | | Cardinal Health, Inc. | | | 404,866 | |
| | 155 | | | Chemed Corp. | | | 82,001 | |
| | 2,029 | | | DaVita, Inc.* | | | 230,819 | |
| | 2,578 | | | Encompass Health Corp. | | | 168,240 | |
| | 4,243 | | | Guardant Health, Inc.* | | | 424,385 | |
| | 11,421 | | | HCA Healthcare, Inc. | | | 2,934,283 | |
| | 1,057 | | | McKesson Corp. | | | 262,738 | |
| | 359 | | | Molina Healthcare, Inc.* | | | 114,191 | |
| | 4,334 | | | Oak Street Health, Inc.*^ | | | 143,629 | |
| | 3,040 | | | UnitedHealth Group, Inc. | | | 1,526,506 | |
| | | | | | | | |
| | | | | | | 6,685,201 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 2,365 | | | Certara, Inc.* | | | 67,213 | |
| | 6,410 | | | Veeva Systems, Inc., Class A* | | | 1,637,627 | |
| | | | | | | | |
| | | | | | | 1,704,840 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.7%): | | | |
| | 929 | | | Boyd Gaming Corp.* | | | 60,915 | |
| | 5,919 | | | Caesars Entertainment, Inc.* | | | 553,604 | |
| | 1,312 | | | Chipotle Mexican Grill, Inc.* | | | 2,293,704 | |
| | 1,574 | | | Choice Hotels International, Inc. | | | 245,528 | |
| | 1,658 | | | Churchill Downs, Inc. | | | 399,412 | |
| | 4,036 | | | Darden Restaurants, Inc. | | | 607,983 | |
| | 1,172 | | | Domino’s Pizza, Inc. | | | 661,395 | |
| | 15,052 | | | DraftKings, Inc., Class A* | | | 413,478 | |
| | 8,534 | | | Hilton Worldwide Holdings, Inc.* | | | 1,331,219 | |
| | 15,138 | | | Las Vegas Sands Corp.* | | | 569,794 | |
| | 12,693 | | | Marriott International, Inc., Class A* | | | 2,097,391 | |
| | 6,167 | | | McDonald’s Corp. | | | 1,653,188 | |
| | 489 | | | Penn National Gaming, Inc.* | | | 25,355 | |
| | 2,576 | | | Planet Fitness, Inc., Class A* | | | 233,334 | |
| | 1,570 | | | Six Flags Entertainment Corp.* | | | 66,851 | |
| | 55,185 | | | Starbucks Corp. | | | 6,454,989 | |
| | 2,426 | | | Travel + Leisure Co. | | | 134,085 | |
| | 1,819 | | | Vail Resorts, Inc. | | | 596,450 | |
| | 8,468 | | | Wendy’s Co. (The) | | | 201,962 | |
| | 2,617 | | | Wyndham Hotels & Resorts, Inc. | | | 234,614 | |
| | 4,943 | | | Wynn Resorts, Ltd.* | | | 420,353 | |
| | 1,598 | | | Yum China Holdings, Inc. | | | 79,644 | |
| | 1,244 | | | Yum! Brands, Inc. | | | 172,742 | |
| | | | | | | | |
| | | | | | | 19,507,990 | |
| | | | | | | | |
| Household Durables (0.2%): | | | |
| | 6,367 | | | Bath & Body Works, Inc. | | | 444,353 | |
| | 6,234 | | | DR Horton, Inc. | | | 676,077 | |
| | 97 | | | NVR, Inc.* | | | 573,161 | |
| | 3,344 | | | PulteGroup, Inc. | | | 191,143 | |
| | 8,259 | | | Tempur Sealy International, Inc. | | | 388,421 | |
| | 1,906 | | | Toll Brothers, Inc. | | | 137,975 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables, continued | | | |
| | 1,298 | | | TopBuild Corp.* | | $ | 358,131 | |
| | | | | | | | |
| | | | | | | 2,769,261 | |
| | | | | | | | |
| Household Products (0.3%): | | | |
| | 691 | | | Church & Dwight Co., Inc. | | | 70,828 | |
| | 4,747 | | | Clorox Co. (The) | | | 827,687 | |
| | 20,921 | | | Colgate-Palmolive Co. | | | 1,785,398 | |
| | 7,938 | | | Kimberly-Clark Corp. | | | 1,134,499 | |
| | | | | | | | |
| | | | | | | 3,818,412 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.0%†): | |
| | 1,703 | | | Brookfield Renewable Corp., Class A | | | 62,721 | |
| | 5,594 | | | NRG Energy, Inc. | | | 240,990 | |
| | | | | | | | |
| | | | | | | 303,711 | |
| | | | | | | | |
| Industrial Conglomerates (0.2%): | | | |
| | 3,964 | | | 3M Co. | | | 704,125 | |
| | 876 | | | Carlisle Cos., Inc. | | | 217,353 | |
| | 6,952 | | | Honeywell International, Inc. | | | 1,449,562 | |
| | | | | | | | |
| | | | | | | 2,371,040 | |
| | | | | | | | |
| Insurance (0.3%): | | | |
| | 79 | | | Alleghany Corp.* | | | 52,740 | |
| | 6,073 | | | Aon plc, Class A | | | 1,825,301 | |
| | 4,086 | | | Arch Capital Group, Ltd.* | | | 181,623 | |
| | 542 | | | Brown & Brown, Inc. | | | 38,092 | |
| | 823 | | | Erie Indemnity Co., Class A | | | 158,559 | |
| | 356 | | | Everest Re Group, Ltd. | | | 97,516 | |
| | 246 | | | GoHealth, Inc., Class A* | | | 932 | |
| | 1,147 | | | Lincoln National Corp. | | | 78,294 | |
| | 120 | | | Markel Corp.* | | | 148,080 | |
| | 2,831 | | | Marsh & McLennan Cos., Inc. | | | 492,084 | |
| | 922 | | | RenaissanceRe Holdings, Ltd. | | | 156,122 | |
| | | | | | | | |
| | | | | | | 3,229,343 | |
| | | | | | | | |
| Interactive Media & Services (9.7%): | | | |
| | 12,129 | | | Alphabet, Inc., Class A* | | | 35,138,198 | |
| | 11,316 | | | Alphabet, Inc., Class C* | | | 32,743,865 | |
| | 13,109 | | | Match Group, Inc.* | | | 1,733,665 | |
| | 110,698 | | | Meta Platforms, Inc., Class A* | | | 37,233,272 | |
| | 26,108 | | | Pinterest, Inc., Class A* | | | 949,026 | |
| | 3,205 | | | TripAdvisor, Inc.* | | | 87,368 | |
| | 3,869 | | | Twitter, Inc.* | | | 167,218 | |
| | 6,103 | | | Vimeo, Inc.* | | | 109,610 | |
| | 2,794 | | | Zillow Group, Inc., Class A* | | | 173,843 | |
| | 8,036 | | | Zillow Group, Inc., Class C* | | | 513,099 | |
| | | | | | | | |
| | | | | | | 108,849,164 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (7.0%): | | | |
| | 20,328 | | | Amazon.com, Inc.* | | | 67,780,463 | |
| | 1,920 | | | Booking Holdings, Inc.* | | | 4,606,522 | |
| | 5,992 | | | DoorDash, Inc., Class A* | | | 892,209 | |
| | 29,532 | | | eBay, Inc. | | | 1,963,878 | |
| | 5,925 | | | Etsy, Inc.* | | | 1,297,219 | |
| | 6,818 | | | Expedia Group, Inc.* | | | 1,232,149 | |
| | 1,972 | | | Wayfair, Inc., Class A*^ | | | 374,621 | |
| | | | | | | | |
| | | | | | | 78,147,061 | |
| | | | | | | | |
| IT Services (6.6%): | | | |
| | 23,946 | | | Accenture plc, Class A | | | 9,926,814 | |
| | 18,324 | | | Automatic Data Processing, Inc. | | | 4,518,332 | |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| IT Services, continued | | | |
| | 18,648 | | | Block, Inc.* | | $ | 3,011,838 | |
| | 4,950 | | | Broadridge Financial Solutions, Inc. | | | 904,959 | |
| | 2,523 | | | EPAM Systems, Inc.* | | | 1,686,499 | |
| | 1,639 | | | Euronet Worldwide, Inc.* | | | 195,320 | |
| | 1,853 | | | Fiserv, Inc.* | | | 192,323 | |
| | 861 | | | FleetCor Technologies, Inc.* | | | 192,726 | |
| | 3,734 | | | Gartner, Inc.* | | | 1,248,351 | |
| | 487 | | | Genpact, Ltd. | | | 25,850 | |
| | 910 | | | GoDaddy, Inc., Class A* | | | 77,223 | |
| | 824 | | | Jack Henry & Associates, Inc. | | | 137,600 | |
| | 40,981 | | | Mastercard, Inc., Class A | | | 14,725,293 | |
| | 2,960 | | | MongoDB, Inc.* | | | 1,566,876 | |
| | 5,879 | | | Okta, Inc.* | | | 1,317,895 | |
| | 13,142 | | | Paychex, Inc. | | | 1,793,883 | |
| | 55,034 | | | PayPal Holdings, Inc.* | | | 10,378,312 | |
| | 13,893 | | | Sabre Corp.* | | | 119,341 | |
| | 1,890 | | | Shift4 Payments, Inc., Class A* | | | 109,488 | |
| | 8,730 | | | Snowflake, Inc., Class A* | | | 2,957,287 | |
| | 9,959 | | | StoneCo, Ltd., Class A* | | | 167,909 | |
| | 5,700 | | | Switch, Inc., Class A | | | 163,248 | |
| | 4,267 | | | Teradata Corp.* | | | 181,219 | |
| | 1,170 | | | Thoughtworks Holding, Inc.* | | | 31,368 | |
| | 2,236 | | | Twilio, Inc., Class A* | | | 588,828 | |
| | 79,278 | | | Visa, Inc., Class A | | | 17,180,335 | |
| | 4,653 | | | Western Union Co. (The.) | | | 83,010 | |
| | 1,436 | | | WEX, Inc.* | | | 201,600 | |
| | 2,558 | | | Wix.com, Ltd.* | | | 403,627 | |
| | | | | | | | |
| | | | | | | 74,087,354 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 529 | | | Brunswick Corp. | | | 53,286 | |
| | 16,886 | | | Mattel, Inc.* | | | 364,062 | |
| | 12,697 | | | Peloton Interactive, Inc., Class A* | | | 454,045 | |
| | 1,848 | | | Polaris, Inc. | | | 203,114 | |
| | 3,789 | | | YETI Holdings, Inc.* | | | 313,843 | |
| | | | | | | | |
| | | | | | | 1,388,350 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.3%): | | | |
| | 4,037 | | | 10X Genomics, Inc., Class A* | | | 601,352 | |
| | 4,404 | | | Adaptive Biotechnologies Corp.* | | | 123,576 | |
| | 12,723 | | | Agilent Technologies, Inc. | | | 2,031,227 | |
| | 28,395 | | | Avantor, Inc.* | | | 1,196,565 | |
| | 1,841 | | | Bio-Techne Corp. | | | 952,423 | |
| | 4,650 | | | Bruker Corp. | | | 390,182 | |
| | 2,195 | | | Charles River Laboratories International, Inc.* | | | 827,032 | |
| | 6,830 | | | Illumina, Inc.* | | | 2,598,405 | |
| | 4,443 | | | IQVIA Holdings, Inc.* | | | 1,253,548 | |
| | 5,052 | | | Maravai LifeSciences Holdings, Inc., Class A* | | | 211,679 | |
| | 1,069 | | | Mettler-Toledo International, Inc.* | | | 1,814,318 | |
| | 4,272 | | | Sotera Health Co.* | | | 100,606 | |
| | 561 | | | Syneos Health, Inc.* | | | 57,603 | |
| | 1,646 | | | Thermo Fisher Scientific, Inc. | | | 1,098,277 | |
| | 2,639 | | | Waters Corp.* | | | 983,291 | |
| | | | | | | | |
| | | | | | | 14,240,084 | |
| | | | | | | | |
| Machinery (1.3%): | | | |
| | 325 | | | AGCO Corp. | | | 37,707 | |
| | 3,205 | | | Allison Transmission Holdings, Inc. | | | 116,502 | |
| | 21,845 | | | Caterpillar, Inc. | | | 4,516,235 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 13,060 | | | Deere & Co. | | $ | 4,478,143 | |
| | 840 | | | Donaldson Co., Inc. | | | 49,778 | |
| | 4,688 | | | Graco, Inc. | | | 377,947 | |
| | 13,253 | | | Illinois Tool Works, Inc. | | | 3,270,840 | |
| | 2,550 | | | Lincoln Electric Holdings, Inc. | | | 355,649 | |
| | 873 | | | Middleby Corp. (The)* | | | 171,771 | |
| | 403 | | | Nordson Corp. | | | 102,874 | |
| | 1,018 | | | Parker-Hannifin Corp. | | | 323,846 | |
| | 4,568 | | | Toro Co. (The) | | | 456,389 | |
| | 5,481 | | | Xylem, Inc. | | | 657,282 | |
| | | | | | | | |
| | | | | | | 14,914,963 | |
| | | | | | | | |
| Media (0.4%): | | | |
| | 6,699 | | | Altice USA, Inc., Class A* | | | 108,390 | |
| | 134 | | | Cable One, Inc. | | | 236,302 | |
| | 5,533 | | | Charter Communications, Inc., Class A* | | | 3,607,350 | |
| | 149 | | | Nexstar Media Group, Inc., Class A | | | 22,496 | |
| | | | | | | | |
| | | | | | | 3,974,538 | |
| | | | | | | | |
| Metals & Mining (0.1%): | | | |
| | 19,976 | | | Freeport-McMoRan, Inc. | | | 833,599 | |
| | 3,531 | | | Southern Copper Corp. | | | 217,898 | |
| | 1,989 | | | Steel Dynamics, Inc. | | | 123,457 | |
| | | | | | | | |
| | | | | | | 1,174,954 | |
| | | | | | | | |
| Multiline Retail (0.3%): | | | |
| | 4,697 | | | Dollar General Corp. | | | 1,107,693 | |
| | 3,923 | | | Nordstrom, Inc.*^ | | | 88,738 | |
| | 10,313 | | | Target Corp. | | | 2,386,841 | |
| | | | | | | | |
| | | | | | | 3,583,272 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (0.3%): | | | |
| | 10,995 | | | Cheniere Energy, Inc. | | | 1,115,113 | |
| | 258 | | | Continental Resources, Inc. | | | 11,548 | |
| | 4,983 | | | Coterra Energy, Inc. | | | 94,677 | |
| | 4,109 | | | Diamondback Energy, Inc. | | | 443,156 | |
| | 3,211 | | | EOG Resources, Inc. | | | 285,233 | |
| | 1,002 | | | Hess Corp. | | | 74,178 | |
| | 1,407 | | | New Fortress Energy, Inc.^ | | | 33,965 | |
| | 4,721 | | | Occidental Petroleum Corp. | | | 136,862 | |
| | 4,488 | | | Pioneer Natural Resources Co. | | | 816,277 | |
| | 285 | | | Texas Pacific Land Corp. | | | 355,928 | |
| | | | | | | | |
| | | | | | | 3,366,937 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | | | |
| | 548 | | | Louisiana-Pacific Corp. | | | 42,936 | |
| | | | | | | | |
| Personal Products (0.4%): | | | |
| | 10,717 | | | Estee Lauder Co., Inc. (The), Class A | | | 3,967,433 | |
| | 875 | | | Herbalife Nutrition, Ltd.* | | | 35,814 | |
| | 1,248 | | | Olaplex Holdings, Inc.* | | | 36,354 | |
| | | | | | | | |
| | | | | | | 4,039,601 | |
| | | | | | | | |
| Pharmaceuticals (1.3%): | | | |
| | 1,785 | | | Catalent, Inc.* | | | 228,533 | |
| | 31,362 | | | Eli Lilly & Co. | | | 8,662,812 | |
| | 1,856 | | | Horizon Therapeutics plc* | | | 200,003 | |
| | 8,519 | | | Royalty Pharma plc, Class A | | | 339,482 | |
| | 21,163 | | | Zoetis, Inc. | | | 5,164,407 | |
| | | | | | | | |
| | | | | | | 14,595,237 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Professional Services (0.4%): | | | |
| | 6,410 | | | Booz Allen Hamilton Holding Corp. | | $ | 543,504 | |
| | 14,316 | | | CoStar Group, Inc.* | | | 1,131,393 | |
| | 2,207 | | | Equifax, Inc. | | | 646,188 | |
| | 972 | | | Legalzoom.com, Inc.*^ | | | 15,620 | |
| | 4,460 | | | Robert Half International, Inc. | | | 497,379 | |
| | 6,094 | | | TransUnion | | | 722,626 | |
| | 4,664 | | | Verisk Analytics, Inc. | | | 1,066,797 | |
| | | | | | | | |
| | | | | | | 4,623,507 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 623 | | | CBRE Group, Inc., Class A* | | | 67,602 | |
| | 4,047 | | | Opendoor Technologies, Inc.* | | | 59,126 | |
| | | | | | | | |
| | | | | | | 126,728 | |
| | | | | | | | |
| Road & Rail (1.0%): | | | |
| | 3,539 | | | J.B. Hunt Transport Services, Inc. | | | 723,372 | |
| | 1,636 | | | Landstar System, Inc. | | | 292,877 | |
| | 13,604 | | | Lyft, Inc., Class A* | | | 581,299 | |
| | 4,383 | | | Old Dominion Freight Line, Inc. | | | 1,570,779 | |
| | 997 | | | TuSimple Holdings, Inc., Class A* | | | 35,742 | |
| | 64,333 | | | Uber Technologies, Inc.* | | | 2,697,483 | |
| | 19,028 | | | Union Pacific Corp. | | | 4,793,724 | |
| | | | | | | | |
| | | | | | | 10,695,276 | |
| | | | | | | | |
| Semiconductors & Semiconductor (0.0%†): | | | |
| | 1,299 | | | GLOBALFOUNDRIES, Inc.*^ | | | 84,396 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (8.7%): | | | |
| | 56,681 | | | Advanced Micro Devices, Inc.* | | | 8,156,396 | |
| | 1,997 | | | Allegro MicroSystems, Inc.* | | | 72,252 | |
| | 9,922 | | | Analog Devices, Inc. | | | 1,743,990 | |
| | 42,185 | | | Applied Materials, Inc. | | | 6,638,232 | |
| | 2,846 | | | Azenta, Inc. | | | 293,451 | |
| | 18,696 | | | Broadcom, Inc. | | | 12,440,505 | |
| | 6,127 | | | Enphase Energy, Inc.* | | | 1,120,873 | |
| | 6,416 | | | Entegris, Inc. | | | 889,129 | |
| | 7,078 | | | KLA Corp. | | | 3,044,319 | |
| | 6,585 | | | Lam Research Corp. | | | 4,735,603 | |
| | 21,644 | | | Microchip Technology, Inc. | | | 1,884,327 | |
| | 7,327 | | | Micron Technology, Inc. | | | 682,510 | |
| | 2,126 | | | MKS Instruments, Inc. | | | 370,285 | |
| | 2,101 | | | Monolithic Power Systems, Inc. | | | 1,036,486 | |
| | 112,049 | | | NVIDIA Corp. | | | 32,954,731 | |
| | 3,885 | | | NXP Semiconductors NV | | | 884,925 | |
| | 10,676 | | | ON Semiconductor Corp.* | | | 725,114 | |
| | 52,832 | | | Qualcomm, Inc. | | | 9,661,388 | |
| | 3,571 | | | Skyworks Solutions, Inc. | | | 554,005 | |
| | 7,683 | | | Teradyne, Inc. | | | 1,256,401 | |
| | 26,763 | | | Texas Instruments, Inc. | | | 5,044,023 | |
| | 1,946 | | | Universal Display Corp. | | | 321,148 | |
| | 11,451 | | | Xilinx, Inc. | | | 2,427,956 | |
| | | | | | | | |
| | | | | | | 96,938,049 | |
| | | | | | | | |
| Software (18.0%): | | | |
| | 22,361 | | | Adobe, Inc.* | | | 12,680,029 | |
| | 2,744 | | | Alteryx, Inc., Class A* | | | 166,012 | |
| | 6,843 | | | Anaplan, Inc.* | | | 313,752 | |
| | 1,734 | | | ANSYS, Inc.* | | | 695,542 | |
| | 3,089 | | | Aspen Technology, Inc.* | | | 470,146 | |
| | 6,487 | | | Atlassian Corp. plc, Class A* | | | 2,473,428 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 10,302 | | | Autodesk, Inc.* | | $ | 2,896,819 | |
| | 3,896 | | | Avalara, Inc.* | | | 503,013 | |
| | 6,681 | | | Bentley Systems, Inc., Class B | | | 322,893 | |
| | 4,330 | | | Bill.com Holdings, Inc.* | | | 1,078,819 | |
| | 1,261 | | | C3.ai, Inc., Class A*^ | | | 39,406 | |
| | 12,833 | | | Cadence Design Systems, Inc.* | | | 2,391,430 | |
| | 994 | | | CDK Global, Inc. | | | 41,490 | |
| | 2,193 | | | Citrix Systems, Inc. | | | 207,436 | |
| | 11,313 | | | Cloudflare, Inc., Class A* | | | 1,487,659 | |
| | 3,441 | | | Coupa Software, Inc.* | | | 543,850 | |
| | 9,279 | | | Crowdstrike Holdings, Inc., Class A* | | | 1,899,875 | |
| | 11,807 | | | Datadog, Inc., Class A* | | | 2,102,945 | |
| | 9,073 | | | DocuSign, Inc.* | | | 1,381,909 | |
| | 2,438 | | | Doubleverify Holdings, Inc.* | | | 81,137 | |
| | 13,606 | | | Dropbox, Inc., Class A* | | | 333,891 | |
| | 562 | | | Duck Creek Technologies, Inc.* | | | 16,922 | |
| | 8,753 | | | Dynatrace, Inc.* | | | 528,244 | |
| | 3,366 | | | Elastic NV* | | | 414,321 | |
| | 1,812 | | | Everbridge, Inc.* | | | 122,002 | |
| | 1,250 | | | Fair Isaac Corp.* | | | 542,088 | |
| | 3,196 | | | Five9, Inc.* | | | 438,875 | |
| | 6,287 | | | Fortinet, Inc.* | | | 2,259,548 | |
| | 1,916 | | | Globant SA* | | | 601,796 | |
| | 2,086 | | | HubSpot, Inc.* | | | 1,374,987 | |
| | 1,136 | | | Informatica, Inc.* | | | 42,009 | |
| | 12,432 | | | Intuit, Inc. | | | 7,996,511 | |
| | 2,228 | | | Jamf Holding Corp.*^ | | | 84,686 | |
| | 3,182 | | | Mandiant, Inc.* | | | 55,812 | |
| | 1,586 | | | Manhattan Associates, Inc.* | | | 246,607 | |
| | 2,912 | | | McAfee Corp., Class A | | | 75,100 | |
| | 352,970 | | | Microsoft Corp. | | | 118,710,870 | |
| | 2,791 | | | nCino, Inc.* | | | 153,114 | |
| | 2,421 | | | New Relic, Inc.* | | | 266,213 | |
| | 6,466 | | | NortonLifeLock, Inc. | | | 167,987 | |
| | 4,829 | | | Nuance Communications, Inc.* | | | 267,140 | |
| | 10,317 | | | Nutanix, Inc., Class A* | | | 328,700 | |
| | 72,035 | | | Oracle Corp. | | | 6,282,172 | |
| | 78,282 | | | Palantir Technologies, Inc., Class A* | | | 1,425,515 | |
| | 4,469 | | | Palo Alto Networks, Inc.* | | | 2,488,160 | |
| | 2,409 | | | Paycom Software, Inc.* | | | 1,000,193 | |
| | 1,135 | | | Paycor HCM, Inc.*^ | | | 32,699 | |
| | 1,896 | | | Paylocity Holding Corp.* | | | 447,759 | |
| | 1,841 | | | Pegasystems, Inc. | | | 205,861 | |
| | 2,022 | | | Procore Technologies, Inc.* | | | 161,699 | |
| | 4,919 | | | PTC, Inc.* | | | 595,937 | |
| | 3,825 | | | RingCentral, Inc., Class A* | | | 716,614 | |
| | 8,457 | | | salesforce.com, Inc.* | | | 2,149,177 | |
| | 9,225 | | | ServiceNow, Inc.* | | | 5,988,040 | |
| | 5,804 | | | Smartsheet, Inc., Class A* | | | 449,520 | |
| | 7,639 | | | Splunk, Inc.* | | | 883,985 | |
| | 4,496 | | | Synopsys, Inc.* | | | 1,656,776 | |
| | 20,297 | | | The Trade Desk, Inc., Class A* | | | 1,860,017 | |
| | 1,648 | | | Tyler Technologies, Inc.* | | | 886,542 | |
| | 7,037 | | | Unity Software, Inc.* | | | 1,006,221 | |
| | 3,898 | | | VMware, Inc., Class A | | | 451,700 | |
| | 8,932 | | | Workday, Inc., Class A* | | | 2,440,044 | |
| | 5,533 | | | Zendesk, Inc.* | | | 577,037 | |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Software, continued | | | |
| | 10,155 | | | Zoom Video Communications, Inc., Class A* | | $ | 1,867,606 | |
| | 3,659 | | | Zscaler, Inc.* | | | 1,175,746 | |
| | | | | | | | |
| | | | | | | 201,554,033 | |
| | | | | | | | |
| Specialty Retail (3.9%): | | | |
| | 209 | | | AutoZone, Inc.* | | | 438,146 | |
| | 2,754 | | | Best Buy Co., Inc. | | | 279,806 | |
| | 2,955 | | | Burlington Stores, Inc.* | | | 861,412 | |
| | 530 | | | CarMax, Inc.* | | | 69,022 | |
| | 3,615 | | | Carvana Co.* | | | 837,921 | |
| | 2,589 | | | Five Below, Inc.* | | | 535,638 | |
| | 4,723 | | | Floor & Decor Holdings, Inc., Class A* | | | 614,037 | |
| | 3,031 | | | GameStop Corp., Class A*^ | | | 449,770 | |
| | 49,804 | | | Home Depot, Inc. (The) | | | 20,669,158 | |
| | 5,131 | | | Leslie’s, Inc.* | | | 121,399 | |
| | 133 | | | Lithia Motors, Inc. | | | 39,494 | |
| | 32,451 | | | Lowe’s Cos., Inc. | | | 8,387,935 | |
| | 957 | | | O’Reilly Automotive, Inc.* | | | 675,862 | |
| | 855 | | | RH* | | | 458,229 | |
| | 16,546 | | | Ross Stores, Inc. | | | 1,890,877 | |
| | 56,636 | | | TJX Cos., Inc. (The) | | | 4,299,805 | |
| | 5,272 | | | Tractor Supply Co. | | | 1,257,899 | |
| | 2,473 | | | Ulta Beauty, Inc.* | | | 1,019,717 | |
| | 1,604 | | | Victoria’s Secret & Co.*^ | | | 89,086 | |
| | 1,529 | | | Vroom, Inc.*^ | | | 16,498 | |
| | 2,668 | | | Williams-Sonoma, Inc. | | | 451,239 | |
| | | | | | | | |
| | | | | | | 43,462,950 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (11.7%): | | | |
| | 722,937 | | | Apple, Inc. | | | 128,371,923 | |
| | 5,971 | | | Dell Technologies, Inc., Class C* | | | 335,391 | |
| | 18,599 | | | HP, Inc. | | | 700,624 | |
| | 2,302 | | | NCR Corp.* | | | 92,540 | |
| | 6,848 | | | NetApp, Inc. | | | 629,948 | |
| | 11,999 | | | Pure Storage, Inc., Class A* | | | 390,568 | |
| | | | | | | | |
| | | | | | | 130,520,994 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.1%): | | | |
| | 333 | | | Columbia Sportswear Co. | | | 32,447 | |
| | 202 | | | Deckers Outdoor Corp.* | | | 73,995 | |
| | 9,253 | | | Hanesbrands, Inc. | | | 154,710 | |
| | 5,335 | | | Lululemon Athletica, Inc.* | | | 2,088,386 | |
| | | | | | | | |
Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Textiles, Apparel & Luxury Goods, continued | | | |
| | 58,025 | | | Nike, Inc., Class B | | $ | 9,671,027 | |
| | 734 | | | Skechers U.S.A., Inc., Class A* | | | 31,855 | |
| | 1,483 | | | Tapestry, Inc. | | | 60,210 | |
| | 9,724 | | | VF Corp. | | | 711,991 | |
| | | | | | | | |
| | | | | | | 12,824,621 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.0%†): | | | |
| | 5,135 | | | Rocket Cos., Inc., Class A^ | | | 71,890 | |
| | 4,845 | | | UWM Holdings Corp.^ | | | 28,682 | |
| | | | | | | | |
| | | | | | | 100,572 | |
| | | | | | | | |
| Tobacco (0.2%): | | | |
| | 48,219 | | | Altria Group, Inc. | | | 2,285,098 | |
| | | | | | | | |
| Trading Companies & Distributors (0.3%): | | | |
| | 1,233 | | | Core & Main, Inc., Class A* | | | 37,409 | |
| | 23,613 | | | Fastenal Co. | | | 1,512,649 | |
| | 1,053 | | | SiteOne Landscape Supply, Inc.* | | | 255,121 | |
| | 1,138 | | | United Rentals, Inc.* | | | 378,146 | |
| | 1,797 | | | W.W. Grainger, Inc. | | | 931,277 | |
| | | | | | | | |
| | | | | | | 3,114,602 | |
| | | | | | | | |
| | Total Common Stocks (Cost $418,743,035) | | | 1,111,186,532 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.3%): | |
| | 2,889,552 | | | BlackRock Liquidity FedFund, Institutional Class, 0.03%(a)(b) | | | 2,889,552 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities
on Loan (Cost $2,889,552) | | | 2,889,552 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.6%): | | | |
| Money Markets (0.6%): | | | |
| | 6,887,955 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 6,887,955 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $6,887,955) | | | 6,887,955 | |
| | | | | |
| | Total Investment Securities (Cost $428,520,542) — 100.3%(c) | | | 1,120,964,039 | |
| | Net other assets (liabilities) — (0.3)% | | | (3,202,520 | ) |
| | | | | | | | |
| | Net Assets — 100.0% | | $ | 1,117,761,519 | |
| | | | | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2021. The total value of securities on loan as of December 31, 2021 was $2,721,230. |
| † | 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, 2021. |
| (b) | The rate represents the effective yield at December 31, 2021. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
9
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
December 31, 2021
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 17 | | | $ | 5,549,055 | | | $ | 12,386 | |
S&P 500 Index E-Mini March Futures (U.S. Dollar) | | | 3/18/22 | | | | 6 | | | | 1,427,550 | | | | (4,585 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 7,801 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 428,520,542 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | $ | 1,120,964,039 | |
Cash | | | | 4,046 | |
Deposit at broker for futures contracts collateral | | | | 362,200 | |
Interest and dividends receivable | | | | 257,644 | |
Receivable for investments sold | | | | 46,000 | |
Reclaims receivable | | | | 707 | |
Receivable from Manager | | | | 84,665 | |
Prepaid expenses | | | | 5,440 | |
| | | | | |
Total Assets | | | | 1,121,724,741 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 139,870 | |
Payable for collateral received on loaned securities | | | | 2,889,552 | |
Payable for variation margin on futures contracts | | | | 44,038 | |
Manager fees payable | | | | 413,911 | |
Administration fees payable | | | | 158,612 | |
Distribution fees payable | | | | 218,149 | |
Custodian fees payable | | | | 6,411 | |
Administrative and compliance services fees payable | | | | 1,969 | |
Transfer agent fees payable | | | | 2,345 | |
Trustee fees payable | | | | 11,058 | |
Other accrued liabilities | | | | 77,307 | |
| | | | | |
Total Liabilities | | | | 3,963,222 | |
| | | | | |
Net Assets | | | $ | 1,117,761,519 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 265,365,191 | |
Total distributable earnings | | | | 852,396,328 | |
| | | | | |
Net Assets | | | $ | 1,117,761,519 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 80,918,603 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 5,260,530 | |
Net Asset Value (offering and redemption price per share) | | | $ | 15.38 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 1,036,842,916 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 44,004,495 | |
Net Asset Value (offering and redemption price per share) | | | $ | 23.56 | |
| | | | | |
| (a) | Includes securities on loan of $2,721,230. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 8,043,700 | |
Income from securities lending | | | | 25,925 | |
Foreign withholding tax | | | | (848 | ) |
| | | | | |
Total Investment Income | | | | 8,068,777 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 4,868,607 | |
Administration fees | | | | 378,000 | |
Distribution fees — Class 2 | | | | 2,577,401 | |
Custodian fees | | | | 30,627 | |
Administrative and compliance services fees | | | | 13,055 | |
Transfer agent fees | | | | 10,323 | |
Trustee fees | | | | 54,039 | |
Professional fees | | | | 48,476 | |
Licensing fees | | | | 202,699 | |
Shareholder reports | | | | 34,019 | |
Other expenses | | | | 20,677 | |
| | | | | |
Total expenses before reductions | | | | 8,237,923 | |
Less Management fees contractually waived | | | | (995,870 | ) |
| | | | | |
Net expenses | | | | 7,242,053 | |
| | | | | |
Net Investment Income/(Loss) | | | | 826,724 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 158,790,128 | |
Net realized gains/(losses) on futures contracts | | | | 2,995,787 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 103,357,544 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (278,686 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 264,864,773 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 265,691,497 | |
| | | | | |
See accompanying notes to the financial statements.
11
AZL Russell 1000 Growth Index Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 826,724 | | | | $ | 3,113,848 | |
Net realized gains/(losses) on investments | | | | 161,785,915 | | | | | 129,780,903 | |
Change in unrealized appreciation/depreciation on investments | | | | 103,078,858 | | | | | 187,695,816 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 265,691,497 | | | | | 320,590,567 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (13,301,296 | ) | | | | (5,195,430 | ) |
Class 2 | | | | (119,314,081 | ) | | | | (50,788,801 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (132,615,377 | ) | | | | (55,984,231 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 184,490 | | | | | 251,516 | |
Proceeds from dividends reinvested | | | | 13,301,296 | | | | | 5,195,429 | |
Value of shares redeemed | | | | (8,469,958 | ) | | | | (7,479,821 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 5,015,828 | | | | | (2,032,876 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 52,822,423 | | | | | 95,020,376 | |
Proceeds from dividends reinvested | | | | 119,314,081 | | | | | 50,788,801 | |
Value of shares redeemed | | | | (258,720,459 | ) | | | | (270,605,078 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (86,583,955 | ) | | | | (124,795,901 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (81,568,127 | ) | | | | (126,828,777 | ) |
| | | | | | | | | | |
Change in net assets | | | | 51,507,993 | | | | | 137,777,559 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,066,253,526 | | | | | 928,475,967 | |
| | | | | | | | | | |
End of period | | | $ | 1,117,761,519 | | | | $ | 1,066,253,526 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 12,137 | | | | | 21,604 | |
Dividends reinvested | | | | 956,928 | | | | | 390,048 | |
Shares redeemed | | | | (539,566 | ) | | | | (591,577 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 429,499 | | | | | (179,925 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 2,417,820 | | | | | 6,195,131 | |
Dividends reinvested | | | | 5,601,600 | | | | | 2,649,390 | |
Shares redeemed | | | | (11,158,495 | ) | | | | (15,818,600 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (3,139,075 | ) | | | | (6,974,079 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,709,576 | ) | | | | (7,154,004 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
12
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 14.68 | | | | $ | 11.46 | | | | $ | 10.12 | | | | $ | 11.74 | | | | $ | 10.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.05 | (a) | | | | 0.07 | (a) | | | | 0.10 | (a) | | | | 0.13 | | | | | 0.14 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 3.62 | | | | | 4.28 | | | | | 3.28 | | | | | (0.20 | ) | | | | 2.73 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.67 | | | | | 4.35 | | | | | 3.38 | | | | | (0.07 | ) | | | | 2.87 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.12 | ) | | | | (0.15 | ) | | | | (0.18 | ) | | | | (0.20 | ) | | | | (0.05 | ) |
Net Realized Gains | | | | (2.85 | ) | | | | (0.98 | ) | | | | (1.86 | ) | | | | (1.35 | ) | | | | (1.36 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (2.97 | ) | | | | (1.13 | ) | | | | (2.04 | ) | | | | (1.55 | ) | | | | (1.41 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 15.38 | | | | $ | 14.68 | | | | $ | 11.46 | | | | $ | 10.12 | | | | $ | 11.74 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 27.14 | % | | | | 39.03 | % | | | | 35.53 | % | | | | (1.86 | )% | | | | 29.19 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 80,919 | | | | $ | 70,903 | | | | $ | 57,430 | | | | $ | 48,665 | | | | $ | 55,307 | |
Net Investment Income/(Loss) | | | | 0.31 | % | | | | 0.56 | % | | | | 0.86 | % | | | | 0.96 | % | | | | 1.04 | % |
Expenses Before Reductions(c) | | | | 0.51 | % | | | | 0.52 | % | | | | 0.51 | % | | | | 0.50 | % | | | | 0.50 | % |
Expenses Net of Reductions | | | | 0.42 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.45 | % |
Portfolio Turnover Rate(d) | | | | 18 | % | | | | 22 | % | | | | 15 | % | | | | 17 | % | | | | 12 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 21.11 | | | | $ | 16.10 | | | | $ | 13.53 | | | | $ | 15.21 | | | | $ | 12.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.01 | (a) | | | | 0.06 | (a) | | | | 0.10 | (a) | | | | 0.15 | | | | | 0.13 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 5.35 | | | | | 6.04 | | | | | 4.46 | | | | | (0.33 | ) | | | | 3.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 5.36 | | | | | 6.10 | | | | | 4.56 | | | | | (0.18 | ) | | | | 3.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.06 | ) | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.15 | ) | | | | (0.04 | ) |
Net Realized Gains | | | | (2.85 | ) | | | | (0.98 | ) | | | | (1.86 | ) | | | | (1.35 | ) | | | | (1.36 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (2.91 | ) | | | | (1.09 | ) | | | | (1.99 | ) | | | | (1.50 | ) | | | | (1.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 23.56 | | | | $ | 21.11 | | | | $ | 16.10 | | | | $ | 13.53 | | | | $ | 15.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 26.87 | % | | | | 38.58 | % | | | | 35.28 | % | | | | (2.14 | )% | | | | 28.89 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,036,843 | | | | $ | 995,350 | | | | $ | 871,046 | | | | $ | 775,621 | | | | $ | 1,046,158 | |
Net Investment Income/(Loss) | | | | 0.06 | % | | | | 0.31 | % | | | | 0.61 | % | | | | 0.71 | % | | | | 0.79 | % |
Expenses Before Reductions(c) | | | | 0.76 | % | | | | 0.77 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.75 | % |
Expenses Net of Reductions | | | | 0.67 | % | | | | 0.68 | % | | | | 0.68 | % | | | | 0.68 | % | | | | 0.70 | % |
Portfolio Turnover Rate(d) | | | | 18 | % | | | | 22 | % | | | | 15 | % | | | | 17 | % | | | | 12 | % |
| (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 Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2021
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 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.
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $2,551 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,889,552 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $12.3 million. There was no short contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2021
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 7,801 | | | 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, 2021:
| | | | | | | | | | |
| 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 | | $ | 2,995,787 | | | $ | (278,686 | ) |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain more competitive expense ratios. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
16
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 1,111,186,532 | | | | $ | — | | | | $ | — | | | | $ | 1,111,186,532 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 2,889,552 | | | | | — | | | | | — | | | | | 2,889,552 | |
Unaffiliated Investment Company | | | | 6,887,955 | | | | | — | | | | | — | | | | | 6,887,955 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,120,964,039 | | | | | — | | | | | — | | | | | 1,120,964,039 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 7,801 | | | | | — | | | | | — | | | | | 7,801 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,120,971,840 | | | | $ | — | | | | $ | — | | | | $ | 1,120,971,840 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 194,548,281 | | | | $ | 398,527,353 | |
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.
17
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2021
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.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $430,936,581. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
| | | | |
Unrealized appreciation | | $ | 701,294,357 | |
Unrealized (depreciation) | | | (11,266,899 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 690,027,458 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Russell 1000 Growth Index Fund | | | $ | 3,119,928 | | | | $ | 129,495,449 | | | | $ | 132,615,377 | |
| (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 Russell 1000 Growth Index Fund
Notes to the Financial Statements
December 31, 2021
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. |
At December 31, 2021, 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 | | | $ | 4,770,547 | | | | $ | 157,598,323 | | | | $ | — | | | | $ | 690,027,458 | | | | $ | 852,396,328 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was 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, 2021, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 65% of the Fund. Investment activities of the shareholder 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.
19
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 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, 2021, the Fund declared net long-term capital gain distributions of $129,495,449.
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
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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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
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Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc. (a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® Russell 1000 Value Index Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® Russell 1000 Value Index Fund (Class 2 shares) (the “Fund”) returned 24.25%. That compared to a 25.16% total return for its benchmark, the Russell 1000® Value Index.1
The Fund seeks investment results, before fees and expenses, that correspond to the performance of the Russell 1000® Value Index (the “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 large-cap stock performance. It is an unmanaged, market capitalization-weighted index composed of large-capitalization U.S. equities with value characteristics.
In the first quarter of 2021, favorable conditions carried over from the strong end of 2020. The Federal Reserve’s (the Fed) accommodative policies, along with a new $1.9 trillion stimulus package and the start of the vaccine rollout in the U.S., supported investor optimism for strong economic growth in the first quarter. All sectors within the S&P 500® Index2 posted positive returns over the first three months of 2021. The energy sector posted the strongest return for the quarter, supported by a rally in oil prices due to a surge in demand paired with unchanged production levels, along with oil transport concerns due to the temporary blockage of the Suez Canal. The financial sector was another top performer due to positive market conditions. By comparison, the information technology and consumer staples sectors lagged their peers within the U.S. market, albeit still posting positive returns, after posting strong gains in 2020.
During the second quarter, U.S. equity markets rallied as the vaccination campaign continued to accelerate and economic indicators continued to improve. The U.S. Consumer Price Index (CPI) increased by more than 4% year-over-year in April. But growing concerns about inflation were offset by the Fed’s commitment to maintain its accommodative monetary policies and the prospect of a bipartisan $1 trillion agreement for infrastructure that passed the Senate in May.
In the third quarter, strong economic data and corporate earnings reports helped push U.S. equities higher despite a resurgence in COVID-19 cases due to the arrival of the Delta variant in the U.S. However, concerns regarding potential contagion from the unfolding debt crisis at Chinese property developer Evergrande muted U.S. equity
markets late in the quarter. Rising inflation and supply chain issues also weighed on market sentiment, as did the continuing disagreement in Washington regarding the debt ceiling and the infrastructure bill.
In the fourth quarter, the boost to investor sentiment from a strong earnings season was offset by a new, more transmissible COVID-19 variant (Omicron) and ongoing concerns about higher inflation rates. Markets recovered to post strong returns for the quarter after initial data showed existing vaccines remained effective against the Omicron variant, and the Fed clarified its plan to begin tightening its monetary policy in 2022. The falling unemployment rate and the final passage of the bipartisan infrastructure bill further supported the market performance over the quarter.
All sectors within the Index posted positive returns over the year. The financials, health care, and industrials sectors were the top performers, while the utilities, communication services, and materials sectors lagged their peers.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and we keep cash to fully cover all outstanding futures positions. The Fund’s use of futures contracts provides immediate market exposure proportionate to cash accruals and investable cash within the portfolio. Skillful cash management and cash equitization are critical to minimizing the potential impact of cash drag and ensure tight tracking to the 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | 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. |
1
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|
AZL® Russell 1000 Value Index Fund Review (Unaudited) |
Fund Objective
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.
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.
Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value.
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, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | 10
Year | | Since
Inception |
AZL® Russell 1000 Value Index Fund (Class 1 Shares) | | | | 10/17/2016 | | | | | 24.55 | % | | | | 17.11 | % | | | | 10.75 | % | | | | — | | | | | 11.91 | % |
AZL® Russell 1000 Value Index Fund (Class 2 Shares) | | | | 4/30/2010 | | | | | 24.25 | % | | | | 16.84 | % | | | | 10.48 | % | | | | 12.18 | % | | | | 10.77 | % |
Russell 1000® Value Index | | | | 4/30/2010 | | | | | 25.16 | % | | | | 17.64 | % | | | | 11.16 | % | | | | 12.97 | % | | | | 11.55 | % |
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) | | | | 0.52 | % |
AZL® Russell 1000 Value Index Fund (Class 2 Shares) | | | | 0.77 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.35% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Russell 1000 Value Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,066.90 | | | | $ | 2.29 | | | | | 0.44 | % |
| | | | |
AZL Russell 1000 Value Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,065.70 | | | | $ | 3.59 | | | | | 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.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Russell 1000 Value Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,022.99 | | | | $ | 2.24 | | | | | 0.44 | % |
| | | | |
AZL Russell 1000 Value Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,021.73 | | | | $ | 3.52 | | | | | 0.69 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 20.6 | % |
| |
Health Care | | | | 17.9 | |
| |
Industrials | | | | 11.5 | |
| |
Information Technology | | | | 10.1 | |
| |
Consumer Staples | | | | 7.3 | |
| |
Communication Services | | | | 7.3 | |
| |
Consumer Discretionary | | | | 5.7 | |
| |
Energy | | | | 5.1 | |
| |
Utilities | | | | 5.1 | |
| |
Real Estate | | | | 5.1 | |
| |
Materials | | | | 3.8 | |
| | | | | |
| |
Total Common Stocks | | | | 99.5 | |
| |
Unaffiliated Investment Company | | | | 0.5 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.4 | |
| | | | | |
| |
Total Investment Securities | | | | 100.4 | |
| |
Net other assets (liabilities) | | | | (0.4 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.5%): | | | |
| Aerospace & Defense (2.3%): | | | |
| | 30,752 | | | Boeing Co. (The)* | | $ | 6,190,993 | |
| | 1,432 | | | BWX Technologies, Inc. | | | 68,564 | |
| | 2,139 | | | Curtiss-Wright Corp. | | | 296,615 | |
| | 14,203 | | | General Dynamics Corp. | | | 2,960,899 | |
| | 1,640 | | | HEICO Corp. | | | 236,521 | |
| | 2,988 | | | HEICO Corp., Class A | | | 384,018 | |
| | 4,683 | | | Hexcel Corp.* | | | 242,579 | |
| | 21,020 | | | Howmet Aerospace, Inc. | | | 669,067 | |
| | 2,267 | | | Huntington Ingalls Industries, Inc. | | | 423,340 | |
| | 11,134 | | | L3harris Technologies, Inc. | | | 2,374,214 | |
| | 1,819 | | | Lockheed Martin Corp. | | | 646,491 | |
| | 3,388 | | | Mercury Systems, Inc.* | | | 186,543 | |
| | 7,796 | | | Northrop Grumman Corp. | | | 3,017,598 | |
| | 86,005 | | | Raytheon Technologies Corp. | | | 7,401,590 | |
| | 4,533 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 195,327 | |
| | 12,645 | | | Textron, Inc. | | | 976,194 | |
| | 2,133 | | | TransDigm Group, Inc.* | | | 1,357,185 | |
| | 180 | | | Virgin Galactic Holdings, Inc.* | | | 2,408 | |
| | | | | | | | |
| | | | | | | 27,630,146 | |
| | | | | | | | |
| Air Freight & Logistics (0.3%): | | | |
| | 6,020 | | | C.H. Robinson Worldwide, Inc. | | | 647,933 | |
| | 2,511 | | | Expeditors International of Washington, Inc. | | | 337,202 | |
| | 7,940 | | | FedEx Corp. | | | 2,053,602 | |
| | 803 | | | GXO Logistics, Inc.* | | | 72,936 | |
| | 803 | | | XPO Logistics, Inc.* | | | 62,176 | |
| | | | | | | | |
| | | | | | | 3,173,849 | |
| | | | | | | | |
| Airlines (0.3%): | | | |
| | 7,030 | | | Alaska Air Group, Inc.* | | | 366,263 | |
| | 37,764 | | | American Airlines Group, Inc.*^ | | | 678,241 | |
| | 1,589 | | | Copa Holdings SA, Class A* | | | 131,347 | |
| | 18,964 | | | JetBlue Airways Corp.* | | | 270,047 | |
| | 34,284 | | | Southwest Airlines Co.* | | | 1,468,727 | |
| | 18,386 | | | United Airlines Holdings, Inc.* | | | 804,939 | |
| | | | | | | | |
| | | | | | | 3,719,564 | |
| | | | | | | | |
| Auto Components (0.3%): | | | |
| | 12,590 | | | Aptiv plc* | | | 2,076,720 | |
| | 13,902 | | | BorgWarner, Inc. | | | 626,563 | |
| | 13,914 | | | Gentex Corp. | | | 484,903 | |
| | 3,517 | | | Lear Corp. | | | 643,435 | |
| | 3,982 | | | QuantumScape Corp.*^ | | | 88,361 | |
| | | | | | | | |
| | | | | | | 3,919,982 | |
| | | | | | | | |
| Automobiles (0.9%): | | | |
| | 225,662 | | | Ford Motor Co. | | | 4,687,000 | |
| | 79,254 | | | General Motors Co.* | | | 4,646,662 | |
| | 9,156 | | | Harley-Davidson, Inc. | | | 345,089 | |
| | 6,186 | | | Rivian Automotive, Inc.*^ | | | 641,426 | |
| | 1,932 | | | Thor Industries, Inc. | | | 200,484 | |
| | | | | | | | |
| | | | | | | 10,520,661 | |
| | | | | | | | |
| Banks (8.0%): | | | |
| | 413,796 | | | Bank of America Corp. | | | 18,409,784 | |
| | 2,294 | | | Bank of Hawaii Corp. | | | 192,145 | |
| | 7,332 | | | Bank OZK | | | 341,158 | |
| | 1,587 | | | BOK Financial Corp. | | | 167,413 | |
| | 113,989 | | | Citigroup, Inc. | | | 6,883,796 | |
| | 20,265 | | | Citizens Financial Group, Inc. | | | 957,521 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Banks, continued | | | |
| | 7,402 | | | Comerica, Inc. | | $ | 643,974 | |
| | 6,591 | | | Commerce Bancshares, Inc. | | | 453,065 | |
| | 3,427 | | | Cullen/Frost Bankers, Inc. | | | 432,042 | |
| | 8,248 | | | East West Bancorp, Inc. | | | 648,953 | |
| | 18,027 | | | F.N.B. Corp. | | | 218,667 | |
| | 39,444 | | | Fifth Third Bancorp | | | 1,717,786 | |
| | 334 | | | First Citizens BancShares, Inc., Class A | | | 277,167 | |
| | 7,723 | | | First Hawaiian, Inc. | | | 211,070 | |
| | 30,015 | | | First Horizon Corp. | | | 490,145 | |
| | 10,236 | | | First Republic Bank | | | 2,113,836 | |
| | 82,359 | | | Huntington Bancshares, Inc. | | | 1,269,976 | |
| | 168,703 | | | JPMorgan Chase & Co. | | | 26,714,120 | |
| | 53,261 | | | KeyCorp | | | 1,231,927 | |
| | 7,415 | | | M&T Bank Corp. | | | 1,138,796 | |
| | 6,557 | | | PacWest Bancorp | | | 296,180 | |
| | 23,578 | | | People’s United Financial, Inc. | | | 420,160 | |
| | 4,209 | | | Pinnacle Financial Partners, Inc. | | | 401,959 | |
| | 24,302 | | | PNC Financial Services Group, Inc. (The) | | | 4,873,037 | |
| | 4,750 | | | Popular, Inc. | | | 389,690 | |
| | 5,386 | | | Prosperity Bancshares, Inc. | | | 389,408 | |
| | 55,329 | | | Regions Financial Corp. | | | 1,206,172 | |
| | 3,406 | | | Signature Bank | | | 1,101,739 | |
| | 10,668 | | | Sterling Bancorp | | | 275,128 | |
| | 3,219 | | | SVB Financial Group* | | | 2,183,255 | |
| | 7,504 | | | Synovus Financial Corp. | | | 359,216 | |
| | 77,479 | | | Truist Financial Corp. | | | 4,536,395 | |
| | 77,287 | | | U.S. Bancorp | | | 4,341,211 | |
| | 12,073 | | | Umpqua Holdings Corp. | | | 232,284 | |
| | 5,390 | | | Webster Financial Corp. | | | 300,978 | |
| | 229,813 | | | Wells Fargo & Co. | | | 11,026,428 | |
| | 2,905 | | | Western Alliance Bancorp | | | 312,723 | |
| | 3,120 | | | Wintrust Financial Corp. | | | 283,358 | |
| | 8,636 | | | Zions Bancorp | | | 545,450 | |
| | | | | | | | |
| | | | | | | 97,988,112 | |
| | | | | | | | |
| Beverages (0.9%): | | | |
| | 1,395 | | | Brown-Forman Corp., Class A | | | 94,567 | |
| | 5,190 | | | Brown-Forman Corp., Class B | | | 378,144 | |
| | 65,576 | | | Coca-Cola Co. (The) | | | 3,882,755 | |
| | 8,961 | | | Constellation Brands, Inc., Class C | | | 2,248,942 | |
| | 39,956 | | | Keurig Dr Pepper, Inc. | | | 1,472,778 | |
| | 10,597 | | | Molson Coors Brewing Co., Class B | | | 491,171 | |
| | 1,633 | | | Monster Beverage Corp.* | | | 156,833 | |
| | 13,449 | | | PepsiCo, Inc. | | | 2,336,226 | |
| | | | | | | | |
| | | | | | | 11,061,416 | |
| | | | | | | | |
| Biotechnology (1.3%): | | | |
| | 5,740 | | | Amgen, Inc. | | | 1,291,328 | |
| | 8,397 | | | Biogen, Inc.* | | | 2,014,608 | |
| | 10,311 | | | BioMarin Pharmaceutical, Inc.* | | | 910,977 | |
| | 784 | | | Exact Sciences Corp.* | | | 61,019 | |
| | 3,118 | | | Exelixis, Inc.* | | | 56,997 | |
| | 72,312 | | | Gilead Sciences, Inc. | | | 5,250,574 | |
| | 1,679 | | | Incyte Corp.* | | | 123,239 | |
| | 498 | | | Ionis Pharmaceuticals, Inc.* | | | 15,154 | |
| | 6,199 | | | Iovance Biotherapeutics, Inc.* | | | 118,339 | |
| | 448 | | | Mirati Therapeutics, Inc.* | | | 65,717 | |
| | 243 | | | Natera, Inc.* | | | 22,694 | |
See accompanying notes to the financial statements.
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Biotechnology, continued | | | |
| | 5,112 | | | Regeneron Pharmaceuticals, Inc.* | | $ | 3,228,330 | |
| | 143 | | | Repligen Corp.* | | | 37,872 | |
| | 2,752 | | | Sage Therapeutics, Inc.* | | | 117,070 | |
| | 880 | | | Seagen, Inc.* | | | 136,048 | |
| | 1,019 | | | Ultragenyx Pharmaceutical, Inc.* | | | 85,688 | |
| | 2,543 | | | United Therapeutics Corp.* | | | 549,491 | |
| | 8,770 | | | Vertex Pharmaceuticals, Inc.* | | | 1,925,892 | |
| | | | | | | | |
| | | | | | | 16,011,037 | |
| | | | | | | | |
| Building Products (0.9%): | | | |
| | 7,730 | | | A.O. Smith Corp. | | | 663,621 | |
| | 1,310 | | | Allegion plc | | | 173,496 | |
| | 1,486 | | | Armstrong World Industries, Inc. | | | 172,554 | |
| | 3,014 | | | AZEK Co., Inc. (The)* | | | 139,367 | |
| | 10,941 | | | Builders FirstSource, Inc.* | | | 937,753 | |
| | 26,805 | | | Carrier Global Corp. | | | 1,453,903 | |
| | 5,913 | | | Fortune Brands Home & Security, Inc. | | | 632,100 | |
| | 41,105 | | | Johnson Controls International plc | | | 3,342,248 | |
| | 1,844 | | | Lennox International, Inc. | | | 598,120 | |
| | 13,788 | | | Masco Corp. | | | 968,193 | |
| | 5,907 | | | Owens Corning | | | 534,584 | |
| | 7,072 | | | Trane Technologies plc | | | 1,428,756 | |
| | | | | | | | |
| | | | | | | 11,044,695 | |
| | | | | | | | |
| Capital Markets (4.9%): | | | |
| | 2,319 | | | Affiliated Managers Group, Inc. | | | 381,499 | |
| | 2,805 | | | Ameriprise Financial, Inc. | | | 846,156 | |
| | 1,184 | | | Ares Management Corp., Class A | | | 96,224 | |
| | 43,098 | | | Bank of New York Mellon Corp. (The) | | | 2,503,132 | |
| | 8,213 | | | BlackRock, Inc., Class A+ | | | 7,519,494 | |
| | 9,399 | | | Carlyle Group, Inc. (The) | | | 516,005 | |
| | 6,265 | | | Cboe Global Markets, Inc. | | | 816,956 | |
| | 86,410 | | | Charles Schwab Corp. (The) | | | 7,267,081 | |
| | 20,593 | | | CME Group, Inc. | | | 4,704,677 | |
| | 2,235 | | | Evercore, Inc., Class A | | | 303,625 | |
| | 344 | | | FactSet Research Systems, Inc. | | | 167,187 | |
| | 17,070 | | | Franklin Resources, Inc. | | | 571,674 | |
| | 17,678 | | | Goldman Sachs Group, Inc. (The) | | | 6,762,719 | |
| | 4,505 | | | Interactive Brokers Group, Inc., Class A | | | 357,787 | |
| | 31,844 | | | Intercontinental Exchange, Inc. | | | 4,355,304 | |
| | 19,052 | | | Invesco, Ltd. | | | 438,577 | |
| | 9,869 | | | Janus Henderson Group plc | | | 413,906 | |
| | 32,180 | | | KKR & Co., Inc., Class A | | | 2,397,410 | |
| | 5,849 | | | Lazard, Ltd., Class A | | | 255,192 | |
| | 469 | | | Moody’s Corp. | | | 183,182 | |
| | 76,927 | | | Morgan Stanley | | | 7,551,154 | |
| | 171 | | | Morningstar, Inc. | | | 58,480 | |
| | 1,329 | | | MSCI, Inc., Class A | | | 814,265 | |
| | 6,726 | | | Nasdaq, Inc. | | | 1,412,527 | |
| | 11,702 | | | Northern Trust Corp. | | | 1,399,676 | |
| | 10,018 | | | Raymond James Financial, Inc. | | | 1,005,807 | |
| | 4,063 | | | S&P Global, Inc. | | | 1,917,452 | |
| | 5,940 | | | SEI Investments Co. | | | 361,984 | |
| | 20,797 | | | State Street Corp. | | | 1,934,121 | |
| | 5,959 | | | Stifel Financial Corp. | | | 419,633 | |
| | 8,642 | | | T. Rowe Price Group, Inc. | | | 1,699,363 | |
| | 6,052 | | | Tradeweb Markets, Inc., Class A | | | 606,047 | |
| | 4,556 | | | Virtu Financial, Inc., Class A | | | 131,350 | |
| | | | | | | | |
| | | | | | | 60,169,646 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals (2.0%): | | | |
| | 12,732 | | | Air Products & Chemicals, Inc. | | $ | 3,873,838 | |
| | 6,651 | | | Albemarle Corp. | | | 1,554,804 | |
| | 3,252 | | | Ashland Global Holdings, Inc. | | | 350,110 | |
| | 10,370 | | | Axalta Coating Systems, Ltd.* | | | 343,454 | |
| | 3,894 | | | Celanese Corp. | | | 654,426 | |
| | 12,339 | | | CF Industries Holdings, Inc. | | | 873,354 | |
| | 4,833 | | | Chemours Co. (The) | | | 162,196 | |
| | 41,673 | | | Corteva, Inc. | | | 1,970,300 | |
| | 39,807 | | | Dow, Inc. | | | 2,257,853 | |
| | 30,295 | | | DuPont de Nemours, Inc. | | | 2,447,230 | |
| | 7,595 | | | Eastman Chemical Co. | | | 918,312 | |
| | 1,856 | | | Ecolab, Inc. | | | 435,399 | |
| | 13,763 | | | Element Solutions, Inc. | | | 334,166 | |
| | 5,492 | | | FMC Corp. | | | 603,516 | |
| | 11,568 | | | Huntsman Corp. | | | 403,492 | |
| | 14,475 | | | International Flavors & Fragrances, Inc. | | | 2,180,659 | |
| | 13,385 | | | Lyondellbasell Industries NV | | | 1,234,499 | |
| | 21,446 | | | Mosaic Co. (The) | | | 842,613 | |
| | 414 | | | NewMarket Corp. | | | 141,886 | |
| | 7,442 | | | Olin Corp. | | | 428,064 | |
| | 7,903 | | | PPG Industries, Inc. | | | 1,362,793 | |
| | 2,865 | | | RPM International, Inc. | | | 289,365 | |
| | 10,718 | | | Valvoline, Inc. | | | 399,674 | |
| | 1,610 | | | Westlake Chemical Corp. | | | 156,379 | |
| | | | | | | | |
| | | | | | | 24,218,382 | |
| | | | | | | | |
| Commercial Services & Supplies (0.5%): | | | |
| | 10,882 | | | ADT, Inc. | | | 91,518 | |
| | 342 | | | Cintas Corp. | | | 151,564 | |
| | 3,034 | | | Clean Harbors, Inc.* | | | 302,702 | |
| | 3,136 | | | Driven Brands Holdings, Inc.* | | | 105,432 | |
| | 1,573 | | | MSA Safety, Inc. | | | 237,460 | |
| | 12,007 | | | Republic Services, Inc., Class A | | | 1,674,376 | |
| | 722 | | | Rollins, Inc. | | | 24,700 | |
| | 5,404 | | | Stericycle, Inc.* | | | 322,295 | |
| | 20,329 | | | Waste Management, Inc. | | | 3,392,910 | |
| | | | | | | | |
| | | | | | | 6,302,957 | |
| | | | | | | | |
| Communications Equipment (1.7%): | | | |
| | 1,568 | | | Arista Networks, Inc.* | | | 225,400 | |
| | 8,667 | | | Ciena Corp.* | | | 667,099 | |
| | 242,802 | | | Cisco Systems, Inc. | | | 15,386,363 | |
| | 3,501 | | | F5, Inc.* | | | 856,730 | |
| | 19,049 | | | Juniper Networks, Inc. | | | 680,240 | |
| | 4,324 | | | Lumentum Holdings, Inc.* | | | 457,349 | |
| | 9,605 | | | Motorola Solutions, Inc. | | | 2,609,678 | |
| | 4,027 | | | ViaSat, Inc.* | | | 179,363 | |
| | | | | | | | |
| | | | | | | 21,062,222 | |
| | | | | | | | |
| Construction & Engineering (0.3%): | | | |
| | 7,849 | | | AECOM* | | | 607,120 | |
| | 7,547 | | | Jacobs Engineering Group, Inc. | | | 1,050,769 | |
| | 3,097 | | | MasTec, Inc.* | | | 285,791 | |
| | 7,894 | | | Quanta Services, Inc. | | | 905,126 | |
| | 1,226 | | | Valmont Industries, Inc. | | | 307,113 | |
| | | | | | | | |
| | | | | | | 3,155,919 | |
| | | | | | | | |
| Construction Materials (0.3%): | | | |
| | 2,326 | | | Eagle Materials, Inc., Class A | | | 387,186 | |
| | 3,595 | | | Martin Marietta Materials, Inc. | | | 1,583,669 | |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Construction Materials, continued | | | |
| | 7,546 | | | Vulcan Materials Co. | | $ | 1,566,399 | |
| | | | | | | | |
| | | | | | | 3,537,254 | |
| | | | | | | | |
| Consumer Finance (0.8%): | | | |
| | 19,997 | | | Ally Financial, Inc. | | | 952,057 | |
| | 13,226 | | | American Express Co. | | | 2,163,774 | |
| | 24,179 | | | Capital One Financial Corp. | | | 3,508,131 | |
| | 457 | | | Credit Acceptance Corp.* | | | 314,270 | |
| | 7,518 | | | Discover Financial Services | | | 868,780 | |
| | 6,488 | | | OneMain Holdings, Inc. | | | 324,659 | |
| | 3,625 | | | Santander Consumer USA Holdings, Inc. | | | 152,322 | |
| | 16,110 | | | SLM Corp. | | | 316,884 | |
| | 25,643 | | | Synchrony Financial | | | 1,189,579 | |
| | | | | | | | |
| | | | | | | 9,790,456 | |
| | | | | | | | |
| Containers & Packaging (0.7%): | | | |
| | 88,464 | | | Amcor plc | | | 1,062,453 | |
| | 3,888 | | | AptarGroup, Inc. | | | 476,202 | |
| | 3,918 | | | Ardagh Metal Packaging SA*^ | | | 35,380 | |
| | 2,203 | | | Avery Dennison Corp. | | | 477,104 | |
| | 12,998 | | | Ball Corp. | | | 1,251,317 | |
| | 7,745 | | | Berry Global Group, Inc.* | | | 571,426 | |
| | 6,325 | | | Crown Holdings, Inc. | | | 699,671 | |
| | 12,029 | | | Graphic Packaging Holding Co. | | | 234,565 | |
| | 21,890 | | | International Paper Co. | | | 1,028,392 | |
| | 5,278 | | | Packaging Corp. of America | | | 718,600 | |
| | 3,723 | | | Sealed Air Corp. | | | 251,191 | |
| | 4,453 | | | Silgan Holdings, Inc. | | | 190,767 | |
| | 5,785 | | | Sonoco Products Co. | | | 334,894 | |
| | 15,175 | | | Westrock Co. | | | 673,163 | |
| | | | | | | | |
| | | | | | | 8,005,125 | |
| | | | | | | | |
| Distributors (0.2%): | | | |
| | 7,904 | | | Genuine Parts Co. | | | 1,108,141 | |
| | 15,586 | | | LKQ Corp. | | | 935,627 | |
| | | | | | | | |
| | | | | | | 2,043,768 | |
| | | | | | | | |
| Diversified Consumer Services (0.1%): | | | |
| | 749 | | | Bright Horizons Family Solutions, Inc.* | | | 94,284 | |
| | 2,055 | | | Chegg, Inc.* | | | 63,089 | |
| | 1,725 | | | Frontdoor, Inc.* | | | 63,221 | |
| | 2,275 | | | Grand Canyon Education, Inc.* | | | 194,990 | |
| | 1,972 | | | H&R Block, Inc. | | | 46,460 | |
| | 490 | | | Mister Car Wash, Inc.*^ | | | 8,923 | |
| | 9,361 | | | Service Corp. International | | | 664,537 | |
| | 6,890 | | | Terminix Global Holdings, Inc.* | | | 311,635 | |
| | | | | | | | |
| | | | | | | 1,447,139 | |
| | | | | | | | |
| Diversified Financial Services (2.7%): | | | |
| | 105,386 | | | Berkshire Hathaway, Inc., Class B* | | | 31,510,414 | |
| | 21,383 | | | Equitable Holdings, Inc. | | | 701,149 | |
| | 12,750 | | | Jefferies Financial Group, Inc. | | | 494,700 | |
| | 6,146 | | | Voya Financial, Inc. | | | 407,541 | |
| | | | | | | | |
| | | | | | | 33,113,804 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.9%): | | | |
| | 410,406 | | | AT&T, Inc. | | | 10,095,988 | |
| | 58,901 | | | Lumen Technologies, Inc. | | | 739,208 | |
| | 238,089 | | | Verizon Communications, Inc. | | | 12,371,104 | |
| | | | | | | | |
| | | | | | | 23,206,300 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Electric Utilities (3.2%): | | | |
| | 14,169 | | | Alliant Energy Corp. | | $ | 870,968 | |
| | 28,680 | | | American Electric Power Co., Inc. | | | 2,551,660 | |
| | 3,053 | | | Avangrid, Inc. | | | 152,284 | |
| | 44,202 | | | Duke Energy Corp. | | | 4,636,790 | |
| | 21,621 | | | Edison International | | | 1,475,633 | |
| | 11,481 | | | Entergy Corp. | | | 1,293,335 | |
| | 13,011 | | | Evergy, Inc. | | | 892,685 | |
| | 19,558 | | | Eversource Energy | | | 1,779,387 | |
| | 56,045 | | | Exelon Corp. | | | 3,237,159 | |
| | 31,163 | | | FirstEnergy Corp. | | | 1,296,069 | |
| | 5,803 | | | Hawaiian Electric Industries, Inc. | | | 240,824 | |
| | 2,988 | | | IDACORP, Inc. | | | 338,570 | |
| | 112,667 | | | NextEra Energy, Inc. | | | 10,518,591 | |
| | 11,130 | | | OGE Energy Corp. | | | 427,169 | |
| | 85,771 | | | PG&E Corp.* | | | 1,041,260 | |
| | 6,620 | | | Pinnacle West Capital Corp. | | | 467,306 | |
| | 43,160 | | | PPL Corp. | | | 1,297,390 | |
| | 60,714 | | | Southern Co. (The) | | | 4,163,766 | |
| | 31,015 | | | Xcel Energy, Inc. | | | 2,099,716 | |
| | | | | | | | |
| | | | | | | 38,780,562 | |
| | | | | | | | |
| Electrical Equipment (1.1%): | | | |
| | 1,934 | | | Acuity Brands, Inc. | | | 409,466 | |
| | 13,339 | | | AMETEK, Inc. | | | 1,961,367 | |
| | 9,888 | | | ChargePoint Holdings, Inc.*^ | | | 188,366 | |
| | 22,868 | | | Eaton Corp. plc | | | 3,952,048 | |
| | 34,303 | | | Emerson Electric Co. | | | 3,189,150 | |
| | 3,159 | | | Hubbell, Inc. | | | 657,925 | |
| | 9,882 | | | nVent Electric plc | | | 375,516 | |
| | 3,019 | | | Regal-Beloit Corp. | | | 513,773 | |
| | 2,666 | | | Rockwell Automation, Inc. | | | 930,034 | |
| | 8,998 | | | Sensata Technologies Holding plc* | | | 555,087 | |
| | 5,552 | | | Shoals Technologies Group, Inc., Class A* | | | 134,914 | |
| | 11,468 | | | Sunrun, Inc.* | | | 393,352 | |
| | | | | | | | |
| | | | | | | 13,260,998 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.7%): | | | |
| | 9,755 | | | Amphenol Corp., Class A | | | 853,172 | |
| | 4,108 | | | Arrow Electronics, Inc.* | | | 551,581 | |
| | 5,385 | | | Avnet, Inc. | | | 222,024 | |
| | 113 | | | Coherent, Inc.* | | | 30,119 | |
| | 28,908 | | | Corning, Inc. | | | 1,076,245 | |
| | 3,551 | | | Dolby Laboratories, Inc., Class A | | | 338,126 | |
| | 2,002 | | | IPG Photonics Corp.* | | | 344,624 | |
| | 1,858 | | | Jabil, Inc. | | | 130,710 | |
| | 5,936 | | | Keysight Technologies, Inc.* | | | 1,225,844 | |
| | 1,323 | | | Littlelfuse, Inc. | | | 416,322 | |
| | 7,519 | | | National Instruments Corp. | | | 328,355 | |
| | 2,323 | | | SYNNEX Corp. | | | 265,658 | |
| | 2,644 | | | Teledyne Technologies, Inc.* | | | 1,155,137 | |
| | 14,421 | | | Trimble, Inc.* | | | 1,257,367 | |
| | 4,690 | | | Vontier Corp. | | | 144,124 | |
| | | | | | | | |
| | | | | | | 8,339,408 | |
| | | | | | | | |
| Energy Equipment & Services (0.4%): | | | |
| | 42,173 | | | Baker Hughes Co. | | | 1,014,682 | |
| | 47,850 | | | Halliburton Co. | | | 1,094,330 | |
| | 23,183 | | | NOV, Inc. | | | 314,130 | |
| | 79,878 | | | Schlumberger, Ltd. | | | 2,392,346 | |
| | | | | | | | |
| | | | | | | 4,815,488 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Entertainment (1.9%): | | | |
| | 44,378 | | | Activision Blizzard, Inc. | | $ | 2,952,468 | |
| | 16,419 | | | Electronic Arts, Inc. | | | 2,165,666 | |
| | 1,444 | | | Liberty Media Corp-Liberty Formula One, Class A* | | | 85,687 | |
| | 11,222 | | | Liberty Media Corp-Liberty Formula One, Class C* | | | 709,679 | |
| | 4,736 | | | Live Nation Entertainment, Inc.* | | | 566,852 | |
| | 681 | | | Madison Square Garden Sports Corp., Class A* | | | 118,310 | |
| | 5,223 | | | Take-Two Interactive Software, Inc.* | | | 928,232 | |
| | 99,000 | | | Walt Disney Co. (The)* | | | 15,334,110 | |
| | 455 | | | World Wrestling Entertainment, Inc., Class A | | | 22,450 | |
| | 32,162 | | | Zynga, Inc.* | | | 205,837 | |
| | | | | | | | |
| | | | | | | 23,089,291 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (4.8%): | | | |
| | 8,928 | | | Alexandria Real Estate Equities, Inc. | | | 1,990,587 | |
| | 7,872 | | | American Campus Communities, Inc. | | | 450,987 | |
| | 16,421 | | | American Homes 4 Rent, Class A | | | 716,120 | |
| | 14,719 | | | Americold Realty Trust | | | 482,636 | |
| | 8,942 | | | Apartment Income REIT Corp. | | | 488,859 | |
| | 8,034 | | | AvalonBay Communities, Inc. | | | 2,029,308 | |
| | 8,861 | | | Boston Properties, Inc. | | | 1,020,610 | |
| | 17,646 | | | Brixmor Property Group, Inc. | | | 448,385 | |
| | 5,647 | | | Camden Property Trust | | | 1,009,006 | |
| | 8,445 | | | Cousins Properties, Inc. | | | 340,165 | |
| | 12,375 | | | CubeSmart | | | 704,261 | |
| | 7,176 | | | Cyrusone, Inc. | | | 643,831 | |
| | 16,053 | | | Digital Realty Trust, Inc. | | | 2,839,294 | |
| | 9,397 | | | Douglas Emmett, Inc. | | | 314,799 | |
| | 21,345 | | | Duke Realty Corp. | | | 1,401,086 | |
| | 4,018 | | | EPR Properties | | | 190,815 | |
| | 1,493 | | | Equinix, Inc. | | | 1,262,839 | |
| | 4,947 | | | Equity Lifestyle Properties, Inc. | | | 433,654 | |
| | 21,336 | | | Equity Residential | | | 1,930,908 | |
| | 3,764 | | | Essex Property Trust, Inc. | | | 1,325,794 | |
| | 6,919 | | | Extra Space Storage, Inc. | | | 1,568,745 | |
| | 4,370 | | | Federal Realty Investment Trust | | | 595,718 | |
| | 7,187 | | | First Industrial Realty Trust, Inc. | | | 475,779 | |
| | 12,922 | | | Gaming and Leisure Properties, Inc. | | | 628,784 | |
| | 12,404 | | | Healthcare Trust of America, Inc., Class A | | | 414,169 | |
| | 30,896 | | | Healthpeak Properties, Inc. | | | 1,115,037 | |
| | 5,787 | | | Highwoods Properties, Inc. | | | 258,042 | |
| | 40,615 | | | Host Hotels & Resorts, Inc.* | | | 706,295 | |
| | 8,064 | | | Hudson Pacific Properties, Inc. | | | 199,261 | |
| | 33,156 | | | Invitation Homes, Inc. | | | 1,503,293 | |
| | 5,185 | | | Iron Mountain, Inc. | | | 271,331 | |
| | 6,749 | | | JBG SMITH Properties | | | 193,764 | |
| | 6,942 | | | Kilroy Realty Corp. | | | 461,365 | |
| | 33,145 | | | Kimco Realty Corp. | | | 817,024 | |
| | 729 | | | Lamar Advertising Co., Class A | | | 88,428 | |
| | 4,511 | | | Life Storage, Inc. | | | 690,995 | |
| | 33,382 | | | Medical Properties Trust, Inc. | | | 788,817 | |
| | 6,638 | | | Mid-America Apartment Communities, Inc. | | | 1,523,023 | |
| | 9,801 | | | National Retail Properties, Inc. | | | 471,134 | |
| | 13,737 | | | Omega Healthcare Investors, Inc. | | | 406,478 | |
| | 3,171 | | | Orion Office REIT, Inc.* | | | 59,203 | |
| | 13,662 | | | Parks Hotels & Resorts, Inc.* | | | 257,938 | |
| | 42,344 | | | Prologis, Inc. | | | 7,129,036 | |
| | 2,012 | | | Public Storage, Inc. | | | 753,615 | |
| | 7,858 | | | Rayonier, Inc. | | | 317,149 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 32,246 | | | Realty Income Corp. | | $ | 2,308,491 | |
| | 9,945 | | | Regency Centers Corp. | | | 749,356 | |
| | 7,919 | | | Rexford Industrial Realty, Inc. | | | 642,310 | |
| | 5,180 | | | SBA Communications Corp. | | | 2,015,124 | |
| | 2,348 | | | Simon Property Group, Inc. | | | 375,140 | |
| | 3,971 | | | SL Green Realty Corp.^ | | | 284,721 | |
| | 7,201 | | | Spirit Realty Capital, Inc. | | | 347,016 | |
| | 13,725 | | | STORE Capital Corp. | | | 472,140 | |
| | 6,617 | | | Sun Communities, Inc. | | | 1,389,371 | |
| | 16,967 | | | UDR, Inc. | | | 1,017,850 | |
| | 22,494 | | | Ventas, Inc. | | | 1,149,893 | |
| | 34,370 | | | VICI Properties, Inc.^ | | | 1,034,881 | |
| | 10,414 | | | Vornado Realty Trust | | | 435,930 | |
| | 24,510 | | | Welltower, Inc. | | | 2,102,223 | |
| | 43,067 | | | Weyerhaeuser Co. | | | 1,773,499 | |
| | 10,416 | | | WP Carey, Inc. | | | 854,633 | |
| | | | | | | | |
| | | | | | | 58,670,945 | |
| | | | | | | | |
| Food & Staples Retailing (1.5%): | | | |
| | 8,525 | | | Albertsons Cos., Inc., Class A^ | | | 257,370 | |
| | 2,206 | | | Casey’s General Stores, Inc. | | | 435,354 | |
| | 1,668 | | | Costco Wholesale Corp. | | | 946,923 | |
| | 5,335 | | | Grocery Outlet Holding Corp.* | | | 150,874 | |
| | 42,196 | | | Kroger Co. (The) | | | 1,909,791 | |
| | 12,788 | | | US Foods Holding Corp.* | | | 445,406 | |
| | 40,868 | | | Walgreens Boots Alliance, Inc. | | | 2,131,675 | |
| | 82,419 | | | Walmart, Inc. | | | 11,925,205 | |
| | | | | | | | |
| | | | | | | 18,202,598 | |
| | | | | | | | |
| Food Products (1.7%): | | | |
| | 32,115 | | | Archer-Daniels-Midland Co. | | | 2,170,653 | |
| | 319 | | | Beyond Meat, Inc.*^ | | | 20,786 | |
| | 8,099 | | | Bunge, Ltd. | | | 756,123 | |
| | 11,134 | | | Campbell Soup Co. | | | 483,884 | |
| | 26,491 | | | Conagra Brands, Inc. | | | 904,668 | |
| | 8,903 | | | Darling Ingredients, Inc.* | | | 616,889 | |
| | 11,319 | | | Flowers Foods, Inc. | | | 310,933 | |
| | 35,143 | | | General Mills, Inc. | | | 2,367,935 | |
| | 5,463 | | | Hain Celestial Group, Inc. (The)* | | | 232,778 | |
| | 1,066 | | | Hershey Co. (The) | | | 206,239 | |
| | 16,624 | | | Hormel Foods Corp. | | | 811,417 | |
| | 3,832 | | | Ingredion, Inc. | | | 370,325 | |
| | 5,930 | | | JM Smucker Co. (The) | | | 805,413 | |
| | 8,003 | | | Kellogg Co. | | | 515,553 | |
| | 40,150 | | | Kraft Heinz Co. (The) | | | 1,441,385 | |
| | 5,692 | | | Lamb Weston Holdings, Inc. | | | 360,759 | |
| | 14,307 | | | McCormick & Co. | | | 1,382,199 | |
| | 79,924 | | | Mondelez International, Inc., Class A | | | 5,299,760 | |
| | 1,856 | | | Pilgrim’s Pride Corp.* | | | 52,339 | |
| | 3,292 | | | Post Holdings, Inc.* | | | 371,107 | |
| | 16 | | | Seaboard Corp. | | | 62,960 | |
| | 16,605 | | | Tyson Foods, Inc., Class A | | | 1,447,292 | |
| | | | | | | | |
| | | | | | | 20,991,397 | |
| | | | | | | | |
| Gas Utilities (0.1%): | | | |
| | 7,421 | | | Atmos Energy Corp. | | | 777,498 | |
| | 4,823 | | | National Fuel Gas Co. | | | 308,383 | |
| | 12,172 | | | UGI Corp. | | | 558,816 | |
| | | | | | | | |
| | | | | | | 1,644,697 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies (3.9%): | | | |
| | 49,898 | | | Abbott Laboratories | | $ | 7,022,645 | |
| | 28,979 | | | Baxter International, Inc. | | | 2,487,557 | |
| | 16,395 | | | Becton Dickinson & Co. | | | 4,123,015 | |
| | 81,758 | | | Boston Scientific Corp.* | | | 3,473,080 | |
| | 2,787 | | | Cooper Cos., Inc. (The) | | | 1,167,586 | |
| | 34,534 | | | Danaher Corp. | | | 11,362,031 | |
| | 12,199 | | | Dentsply Sirona, Inc. | | | 680,582 | |
| | 9,252 | | | Envista Holdings Corp.* | | | 416,895 | |
| | 2,707 | | | Figs, Inc., Class A*^ | | | 74,605 | |
| | 4,398 | | | Globus Medical, Inc.* | | | 317,536 | |
| | 14,455 | | | Hologic, Inc.* | | | 1,106,675 | |
| | 1,075 | | | ICU Medical, Inc.* | | | 255,141 | |
| | 4,271 | | | Integra LifeSciences Holdings Corp.* | | | 286,114 | |
| | 854 | | | Masimo Corp.* | | | 250,034 | |
| | 77,138 | | | Medtronic plc | | | 7,979,926 | |
| | 2,056 | | | Quidel Corp.* | | | 277,539 | |
| | 892 | | | ResMed, Inc. | | | 232,348 | |
| | 4,232 | | | Steris plc | | | 1,030,111 | |
| | 11,537 | | | Stryker Corp. | | | 3,085,225 | |
| | 139 | | | Tandem Diabetes Care, Inc.* | | | 20,922 | |
| | 2,158 | | | Teleflex, Inc. | | | 708,860 | |
| | 12,027 | | | Zimmer Biomet Holdings, Inc. | | | 1,527,910 | |
| | | | | | | | |
| | | | | | | 47,886,337 | |
| | | | | | | | |
| Health Care Providers & Services (4.9%): | | | |
| | 4,965 | | | Acadia Healthcare Co., Inc.* | | | 301,376 | |
| | 642 | | | agilon health, Inc.* | | | 17,334 | |
| | 270 | | | Amedisys, Inc.* | | | 43,708 | |
| | 8,518 | | | AmerisourceBergen Corp. | | | 1,131,957 | |
| | 14,067 | | | Anthem, Inc. | | | 6,520,617 | |
| | 6,614 | | | Cardinal Health, Inc. | | | 340,555 | |
| | 33,196 | | | Centene Corp.* | | | 2,735,350 | |
| | 632 | | | Chemed Corp. | | | 334,353 | |
| | 18,658 | | | Cigna Corp. | | | 4,284,437 | |
| | 75,621 | | | CVS Health Corp. | | | 7,801,062 | |
| | 1,261 | | | DaVita, Inc.* | | | 143,451 | |
| | 2,527 | | | Encompass Health Corp. | | | 164,912 | |
| | 8,097 | | | Henry Schein, Inc.* | | | 627,760 | |
| | 7,445 | | | Humana, Inc. | | | 3,453,438 | |
| | 5,552 | | | Laboratory Corp. of America Holdings* | | | 1,744,494 | |
| | 7,516 | | | McKesson Corp. | | | 1,868,252 | |
| | 2,856 | | | Molina Healthcare, Inc.* | | | 908,436 | |
| | 447 | | | Oak Street Health, Inc.*^ | | | 14,814 | |
| | 6,588 | | | Premier, Inc., Class A | | | 271,228 | |
| | 7,012 | | | Quest Diagnostics, Inc. | | | 1,213,146 | |
| | 4,275 | | | Signify Health, Inc., Class A*^ | | | 60,791 | |
| | 50,322 | | | UnitedHealth Group, Inc. | | | 25,268,689 | |
| | 4,196 | | | Universal Health Services, Inc., Class B | | | 544,053 | |
| | | | | | | | |
| | | | | | | 59,794,213 | |
| | | | | | | | |
| Health Care Technology (0.2%): | | | |
| | 17,077 | | | Cerner Corp. | | | 1,585,941 | |
| | 2,568 | | | Certara, Inc.* | | | 72,983 | |
| | 13,685 | | | Change Healthcare, Inc.* | | | 292,585 | |
| | 8,720 | | | Teladoc Health, Inc.* | | | 800,670 | |
| | | | | | | | |
| | | | | | | 2,752,179 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Hotels, Restaurants & Leisure (1.7%): | | | |
| | 13,705 | | | Aramark | | $ | 505,029 | |
| | 3,995 | | | Boyd Gaming Corp.* | | | 261,952 | |
| | 4,416 | | | Caesars Entertainment, Inc.* | | | 413,029 | |
| | 49,095 | | | Carnival Corp., Class A*^ | | | 987,791 | |
| | 2,304 | | | Darden Restaurants, Inc. | | | 347,075 | |
| | 685 | | | Domino’s Pizza, Inc. | | | 386,566 | |
| | 5,306 | | | Hilton Worldwide Holdings, Inc.* | | | 827,683 | |
| | 2,578 | | | Hyatt Hotels Corp., Class A* | | | 247,230 | |
| | 2,346 | | | Marriott Vacations Worldwide Corp. | | | 396,427 | |
| | 35,271 | | | McDonald’s Corp. | | | 9,455,097 | |
| | 22,348 | | | MGM Resorts International | | | 1,002,978 | |
| | 21,701 | | | Norwegian Cruise Line Holdings, Ltd.* | | | 450,079 | |
| | 8,435 | | | Penn National Gaming, Inc.* | | | 437,355 | |
| | 1,582 | | | Planet Fitness, Inc., Class A* | | | 143,298 | |
| | 12,600 | | | Royal Caribbean Cruises, Ltd.* | | | 968,940 | |
| | 2,876 | | | Six Flags Entertainment Corp.* | | | 122,460 | |
| | 1,696 | | | Travel + Leisure Co. | | | 93,738 | |
| | 2,043 | | | Wyndham Hotels & Resorts, Inc. | | | 183,155 | |
| | 22,575 | | | Yum China Holdings, Inc. | | | 1,125,138 | |
| | 15,418 | | | Yum! Brands, Inc. | | | 2,140,943 | |
| | | | | | | | |
| | | | | | | 20,495,963 | |
| | | | | | | | |
| Household Durables (0.7%): | | | |
| | 5,813 | | | Bath & Body Works, Inc. | | | 405,689 | |
| | 10,920 | | | DR Horton, Inc. | | | 1,184,274 | |
| | 8,806 | | | Garmin, Ltd. | | | 1,199,113 | |
| | 7,617 | | | Leggett & Platt, Inc. | | | 313,516 | |
| | 15,358 | | | Lennar Corp., Class A | | | 1,783,985 | |
| | 977 | | | Lennar Corp., Class B | | | 93,421 | |
| | 3,261 | | | Mohawk Industries, Inc.* | | | 594,089 | |
| | 21,370 | | | Newell Brands, Inc. | | | 466,721 | |
| | 58 | | | NVR, Inc.* | | | 342,714 | |
| | 10,624 | | | PulteGroup, Inc. | | | 607,268 | |
| | 3,611 | | | Toll Brothers, Inc. | | | 261,400 | |
| | 391 | | | TopBuild Corp.* | | | 107,881 | |
| | 3,473 | | | Whirlpool Corp. | | | 814,974 | |
| | | | | | | | |
| | | | | | | 8,175,045 | |
| | | | | | | | |
| Household Products (2.3%): | | | |
| | 13,384 | | | Church & Dwight Co., Inc. | | | 1,371,860 | |
| | 1,442 | | | Clorox Co. (The) | | | 251,427 | |
| | 22,468 | | | Colgate-Palmolive Co. | | | 1,917,419 | |
| | 9,666 | | | Kimberly-Clark Corp. | | | 1,381,465 | |
| | 138,273 | | | Procter & Gamble Co. (The) | | | 22,618,697 | |
| | 3,469 | | | Reynolds Consumer Products, Inc. | | | 108,927 | |
| | 2,244 | | | Spectrum Brands Holdings, Inc. | | | 228,260 | |
| | | | | | | | |
| | | | | | | 27,878,055 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.2%): | |
| | 37,863 | | | AES Corp. (The) | | | 920,071 | |
| | 5,860 | | | Brookfield Renewable Corp., Class A | | | 215,824 | |
| | 8,131 | | | NRG Energy, Inc. | | | 350,283 | |
| | 27,121 | | | Vistra Corp. | | | 617,545 | |
| | | | | | | | |
| | | | | | | 2,103,723 | |
| | | | | | | | |
| Industrial Conglomerates (1.7%): | | | |
| | 28,303 | | | 3M Co. | | | 5,027,462 | |
| | 1,769 | | | Carlisle Cos., Inc. | | | 438,924 | |
| | 62,689 | | | General Electric Co. | | | 5,922,230 | |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Industrial Conglomerates, continued | | | |
| | 31,289 | | | Honeywell International, Inc. | | $ | 6,524,070 | |
| | 6,034 | | | Roper Technologies, Inc. | | | 2,967,883 | |
| | | | | | | | |
| | | | | | | 20,880,569 | |
| | | | | | | | |
| Insurance (3.9%): | | | |
| | 37,522 | | | Aflac, Inc. | | | 2,190,910 | |
| | 673 | | | Alleghany Corp.* | | | 449,288 | |
| | 16,524 | | | Allstate Corp. (The) | | | 1,944,049 | |
| | 3,890 | | | American Financial Group, Inc. | | | 534,175 | |
| | 47,367 | | | American International Group, Inc. | | | 2,693,288 | |
| | 5,151 | | | Aon plc, Class A | | | 1,548,185 | |
| | 16,366 | | | Arch Capital Group, Ltd.* | | | 727,469 | |
| | 11,750 | | | Arthur J. Gallagher & Co. | | | 1,993,622 | |
| | 3,233 | | | Assurant, Inc. | | | 503,895 | |
| | 4,067 | | | Assured Guaranty, Ltd. | | | 204,163 | |
| | 6,672 | | | Athene Holding, Ltd., Class A* | | | 555,978 | |
| | 4,179 | | | Axis Capital Holdings, Ltd. | | | 227,630 | |
| | 4,601 | | | Brighthouse Financial, Inc.* | | | 238,332 | |
| | 12,947 | | | Brown & Brown, Inc. | | | 909,915 | |
| | 24,601 | | | Chubb, Ltd. | | | 4,755,619 | |
| | 8,474 | | | Cincinnati Financial Corp. | | | 965,443 | |
| | 1,529 | | | CNA Financial Corp. | | | 67,398 | |
| | 481 | | | Erie Indemnity Co., Class A | | | 92,669 | |
| | 1,779 | | | Everest Re Group, Ltd. | | | 487,304 | |
| | 15,398 | | | Fidelity National Financial, Inc. | | | 803,468 | |
| | 5,958 | | | First American Financial Corp. | | | 466,094 | |
| | 5,671 | | | Globe Life, Inc. | | | 531,486 | |
| | 2,076 | | | Hanover Insurance Group, Inc. (The) | | | 272,081 | |
| | 19,510 | | | Hartford Financial Services Group, Inc. (The) | | | 1,346,970 | |
| | 3,342 | | | Kemper Corp. | | | 196,476 | |
| | 1,836 | | | Lemonade, Inc.*^ | | | 77,314 | |
| | 8,752 | | | Lincoln National Corp. | | | 597,412 | |
| | 12,283 | | | Loews Corp. | | | 709,466 | |
| | 658 | | | Markel Corp.* | | | 811,972 | |
| | 25,740 | | | Marsh & McLennan Cos., Inc. | | | 4,474,127 | |
| | 1,561 | | | Mercury General Corp. | | | 82,827 | |
| | 40,571 | | | MetLife, Inc. | | | 2,535,282 | |
| | 16,772 | | | Old Republic International Corp. | | | 412,256 | |
| | 2,208 | | | Primerica, Inc. | | | 338,420 | |
| | 15,292 | | | Principal Financial Group, Inc. | | | 1,106,070 | |
| | 33,462 | | | Progressive Corp. (The) | | | 3,434,874 | |
| | 21,860 | | | Prudential Financial, Inc. | | | 2,366,126 | |
| | 4,027 | | | Reinsurance Group of America, Inc. | | | 440,916 | |
| | 1,534 | | | RenaissanceRe Holdings, Ltd. | | | 259,752 | |
| | 14,204 | | | Travelers Cos., Inc. (The) | | | 2,221,932 | |
| | 11,781 | | | Unum Group | | | 289,459 | |
| | 177 | | | White Mountains Insurance Group, Ltd. | | | 179,460 | |
| | 7,168 | | | Willis Towers Watson plc | | | 1,702,328 | |
| | 7,971 | | | WR Berkley Corp. | | | 656,731 | |
| | | | | | | | |
| | | | | | | 47,402,631 | |
| | | | | | | | |
| Interactive Media & Services (1.3%): | | | |
| | 2,402 | | | Alphabet, Inc., Class A* | | | 6,958,690 | |
| | 2,240 | | | Alphabet, Inc., Class C* | | | 6,481,642 | |
| | 4,438 | | | IAC/InterActiveCorp.* | | | 580,091 | |
| | 2,331 | | | TripAdvisor, Inc.* | | | 63,543 | |
| | 40,363 | | | Twitter, Inc.* | | | 1,744,489 | |
| | 628 | | | Vimeo, Inc.* | | | 11,279 | |
| | | | | | | | |
| | | | | | | 15,839,734 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Internet & Direct Marketing Retail (0.1%): | | | |
| | 1,058 | | | DoorDash, Inc., Class A* | | $ | 157,536 | |
| | 21,733 | | | Qurate Retail, Inc., Class A | | | 165,171 | |
| | 1,921 | | | Wayfair, Inc., Class A*^ | | | 364,932 | |
| | | | | | | | |
| | | | | | | 687,639 | |
| | | | | | | | |
| IT Services (2.7%): | | | |
| | 7,195 | | | Accenture plc, Class A | | | 2,982,687 | |
| | 9,196 | | | Akamai Technologies, Inc.* | | | 1,076,300 | |
| | 3,044 | | | Alliance Data Systems Corp. | | | 202,639 | |
| | 7,415 | | | Amdocs, Ltd. | | | 554,939 | |
| | 1,915 | | | Automatic Data Processing, Inc. | | | 472,201 | |
| | 8,835 | | | Black Knight, Inc.* | | | 732,333 | |
| | 659 | | | Broadridge Financial Solutions, Inc. | | | 120,478 | |
| | 30,346 | | | Cognizant Technology Solutions Corp., Class A | | | 2,692,297 | |
| | 2,388 | | | Concentrix Corp. | | | 426,545 | |
| | 14,296 | | | DXC Technology Co.* | | | 460,188 | |
| | 883 | | | Euronet Worldwide, Inc.* | | | 105,227 | |
| | 6,490 | | | Fastly, Inc., Class A* | | | 230,071 | |
| | 34,840 | | | Fidelity National Information Services, Inc. | | | 3,802,786 | |
| | 32,032 | | | Fiserv, Inc.* | | | 3,324,601 | |
| | 3,563 | | | FleetCor Technologies, Inc.* | | | 797,542 | |
| | 9,999 | | | Genpact, Ltd. | | | 530,747 | |
| | 16,390 | | | Global Payments, Inc. | | | 2,215,600 | |
| | 8,727 | | | GoDaddy, Inc., Class A* | | | 740,573 | |
| | 51,339 | | | International Business Machines Corp. | | | 6,861,971 | |
| | 3,134 | | | Jack Henry & Associates, Inc. | | | 523,347 | |
| | 10,465 | | | Kyndryl Holdings, Inc.* | | | 189,416 | |
| | 2,207 | | | Paychex, Inc. | | | 301,255 | |
| | 25,382 | | | Paysafe, Ltd.*^ | | | 99,244 | |
| | 705 | | | Snowflake, Inc., Class A* | | | 238,819 | |
| | 1,354 | | | SolarWinds Corp. | | | 19,213 | |
| | 564 | | | Teradata Corp.* | | | 23,953 | |
| | 6,880 | | | Twilio, Inc., Class A* | | | 1,811,779 | |
| | 5,546 | | | VeriSign, Inc.* | | | 1,407,686 | |
| | 18,478 | | | Western Union Co. (The.) | | | 329,648 | |
| | 887 | | | WEX, Inc.* | | | 124,526 | |
| | | | | | | | |
| | | | | | | 33,398,611 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 3,775 | | | Brunswick Corp. | | | 380,256 | |
| | 7,549 | | | Hasbro, Inc. | | | 768,337 | |
| | 2,751 | | | Hayward Holdings, Inc.* | | | 72,159 | |
| | 1,084 | | | Polaris, Inc. | | | 119,142 | |
| | | | | | | | |
| | | | | | | 1,339,894 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.6%): | | | |
| | 678 | | | Adaptive Biotechnologies Corp.* | | | 19,025 | |
| | 1,894 | | | Agilent Technologies, Inc. | | | 302,377 | |
| | 1,214 | | | Bio-Rad Laboratories, Inc., Class A* | | | 917,262 | |
| | 212 | | | Charles River Laboratories International, Inc.* | | | 79,877 | |
| | 5,555 | | | IQVIA Holdings, Inc.* | | | 1,567,288 | |
| | 6,960 | | | PerkinElmer, Inc. | | | 1,399,377 | |
| | 13,033 | | | Qiagen NV* | | | 724,374 | |
| | 5,016 | | | Syneos Health, Inc.* | | | 515,043 | |
| | 20,542 | | | Thermo Fisher Scientific, Inc. | | | 13,706,444 | |
| | 266 | | | Waters Corp.* | | | 99,112 | |
| | | | | | | | |
| | | | | | | 19,330,179 | |
| | | | | | | | |
See accompanying notes to the financial statements.
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery (1.9%): | | | |
| | 3,134 | | | AGCO Corp. | | $ | 363,607 | |
| | 1,546 | | | Allison Transmission Holdings, Inc. | | | 56,197 | |
| | 4,260 | | | Caterpillar, Inc. | | | 880,712 | |
| | 6,522 | | | Colfax Corp.* | | | 299,816 | |
| | 2,733 | | | Crane Co. | | | 278,028 | |
| | 8,251 | | | Cummins, Inc. | | | 1,799,873 | |
| | 6,024 | | | Donaldson Co., Inc. | | | 356,982 | |
| | 8,156 | | | Dover Corp. | | | 1,481,130 | |
| | 7,317 | | | Flowserve Corp. | | | 223,900 | |
| | 18,590 | | | Fortive Corp. | | | 1,418,231 | |
| | 5,779 | | | Gates Industrial Corp. plc* | | | 91,944 | |
| | 3,846 | | | Graco, Inc. | | | 310,065 | |
| | 4,347 | | | IDEX Corp. | | | 1,027,283 | |
| | 1,934 | | | Illinois Tool Works, Inc. | | | 477,311 | |
| | 23,436 | | | Ingersoll-Rand, Inc. | | | 1,449,985 | |
| | 4,838 | | | ITT, Inc. | | | 494,395 | |
| | 2,159 | | | Middleby Corp. (The)* | | | 424,805 | |
| | 2,812 | | | Nordson Corp. | | | 717,819 | |
| | 4,102 | | | Oshkosh Corp. | | | 462,336 | |
| | 24,422 | | | Otis Worldwide Corp. | | | 2,126,424 | |
| | 19,438 | | | PACCAR, Inc. | | | 1,715,598 | |
| | 6,190 | | | Parker-Hannifin Corp. | | | 1,969,163 | |
| | 9,500 | | | Pentair plc | | | 693,785 | |
| | 3,148 | | | Snap-On, Inc. | | | 678,016 | |
| | 9,204 | | | Stanley Black & Decker, Inc. | | | 1,736,059 | |
| | 3,825 | | | Timken Co. | | | 265,034 | |
| | 261 | | | Toro Co. (The) | | | 26,077 | |
| | 10,224 | | | Wabtec Corp. | | | 941,733 | |
| | 3,282 | | | Woodward, Inc. | | | 359,248 | |
| | 3,420 | | | Xylem, Inc. | | | 410,126 | |
| | | | | | | | |
| | | | | | | 23,535,682 | |
| | | | | | | | |
| Marine (0.0%†): | | | |
| | 3,417 | | | Kirby Corp.* | | | 203,038 | |
| | | | | | | | |
| Media (1.9%): | | | |
| | 3,967 | | | Altice USA, Inc., Class A* | | | 64,186 | |
| | 157 | | | Cable One, Inc. | | | 276,862 | |
| | 364 | | | Charter Communications, Inc., Class A* | | | 237,317 | |
| | 262,033 | | | Comcast Corp., Class A | | | 13,188,121 | |
| | 18,170 | | | Discovery Communications, Inc., Class C* | | | 416,093 | |
| | 9,922 | | | Discovery, Inc., Class A* | | | 233,564 | |
| | 14,185 | | | DISH Network Corp., Class A* | | | 460,161 | |
| | 18,716 | | | Fox Corp., Class A | | | 690,620 | |
| | 8,899 | | | Fox Corp., Class B | | | 304,969 | |
| | 22,970 | | | Interpublic Group of Cos., Inc. (The) | | | 860,227 | |
| | 1,281 | | | Liberty Broadband Corp., Class A* | | | 206,113 | |
| | 8,093 | | | Liberty Broadband Corp., Class C* | | | 1,303,782 | |
| | 9,293 | | | Liberty Media Corp.-Liberty SiriusXM, Class C* | | | 472,549 | |
| | 4,743 | | | Liberty Media Corp-Liberty SiriusXM, Class A* | | | 241,182 | |
| | 1,217 | | | Loyalty Ventures, Inc.* | | | 36,595 | |
| | 9,503 | | | New York Times Co. (The), Class A | | | 458,995 | |
| | 23,023 | | | News Corp., Class A | | | 513,643 | |
| | 6,485 | | | News Corp., Class B | | | 145,912 | |
| | 2,146 | | | Nexstar Media Group, Inc., Class A | | | 324,003 | |
| | 12,317 | | | Omnicom Group, Inc. | | | 902,467 | |
| | 49,544 | | | Sirius XM Holdings, Inc.^ | | | 314,604 | |
| | 34,029 | | | ViacomCBS, Inc., Class B | | | 1,026,995 | |
| | | | | | | | |
| | | | | | | 22,678,960 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Metals & Mining (0.8%): | | | |
| | 10,638 | | | Alcoa Corp. | | $ | 633,812 | |
| | 26,232 | | | Cleveland-Cliffs, Inc.* | | | 571,071 | |
| | 59,357 | | | Freeport-McMoRan, Inc. | | | 2,476,968 | |
| | 46,283 | | | Newmont Corp. | | | 2,870,472 | |
| | 16,410 | | | Nucor Corp. | | | 1,873,201 | |
| | 3,594 | | | Reliance Steel & Aluminum Co. | | | 583,019 | |
| | 3,691 | | | Royal Gold, Inc. | | | 388,330 | |
| | 333 | | | Southern Copper Corp. | | | 20,549 | |
| | 8,729 | | | Steel Dynamics, Inc. | | | 541,809 | |
| | 15,097 | | | United States Steel Corp. | | | 359,459 | |
| | | | | | | | |
| | | | | | | 10,318,690 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (0.1%): | | | |
| | 29,498 | | | AGNC Investment Corp. | | | 443,650 | |
| | 80,819 | | | Annaly Capital Management, Inc. | | | 632,004 | |
| | 23,975 | | | New Residential Investment Corp. | | | 256,772 | |
| | 16,039 | | | Starwood Property Trust, Inc. | | | 389,748 | |
| | | | | | | | |
| | | | | | | 1,722,174 | |
| | | | | | | | |
| Multiline Retail (0.6%): | | | |
| | 7,665 | | | Dollar General Corp. | | | 1,807,637 | |
| | 12,863 | | | Dollar Tree, Inc.* | | | 1,807,509 | |
| | 8,785 | | | Kohl’s Corp. | | | 433,891 | |
| | 779 | | | Nordstrom, Inc.*^ | | | 17,621 | |
| | 4,010 | | | Ollie’s Bargain Outlet Holdings, Inc.* | | | 205,272 | |
| | 15,402 | | | Target Corp. | | | 3,564,639 | |
| | | | | | | | |
| | | | | | | 7,836,569 | |
| | | | | | | | |
| Multi-Utilities (1.4%): | | | |
| | 14,791 | | | Ameren Corp. | | | 1,316,547 | |
| | 33,623 | | | CenterPoint Energy, Inc. | | | 938,418 | |
| | 16,384 | | | CMS Energy Corp. | | | 1,065,779 | |
| | 20,382 | | | Consolidated Edison, Inc. | | | 1,738,992 | |
| | 46,515 | | | Dominion Energy, Inc. | | | 3,654,219 | |
| | 10,967 | | | DTE Energy Co. | | | 1,310,995 | |
| | 11,368 | | | MDU Resources Group, Inc. | | | 350,589 | |
| | 23,253 | | | NiSource, Inc. | | | 642,015 | |
| | 28,813 | | | Public Service Enterprise Group, Inc. | | | 1,922,692 | |
| | 18,419 | | | Sempra Energy | | | 2,436,465 | |
| | 18,162 | | | WEC Energy Group, Inc. | | | 1,762,986 | |
| | | | | | | | |
| | | | | | | 17,139,697 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (4.7%): | | | |
| | 20,972 | | | Antero Midstream Corp. | | | 203,009 | |
| | 21,006 | | | APA Corp. | | | 564,851 | |
| | 111,152 | | | Chevron Corp. | | | 13,043,687 | |
| | 75,795 | | | ConocoPhillips | | | 5,470,883 | |
| | 3,489 | | | Continental Resources, Inc. | | | 156,168 | |
| | 39,084 | | | Coterra Energy, Inc. | | | 742,596 | |
| | 38,328 | | | Devon Energy Corp. | | | 1,688,348 | |
| | 5,476 | | | Diamondback Energy, Inc. | | | 590,587 | |
| | 5,260 | | | DT Midstream, Inc. | | | 252,375 | |
| | 29,422 | | | EOG Resources, Inc. | | | 2,613,556 | |
| | 17,590 | | | EQT Corp.* | | | 383,638 | |
| | 243,316 | | | Exxon Mobil Corp. | | | 14,888,506 | |
| | 14,824 | | | Hess Corp. | | | 1,097,421 | |
| | 8,758 | | | HollyFrontier Corp. | | | 287,087 | |
| | 111,822 | | | Kinder Morgan, Inc. | | | 1,773,497 | |
| | 43,769 | | | Marathon Oil Corp. | | | 718,687 | |
| | 35,529 | | | Marathon Petroleum Corp. | | | 2,273,501 | |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 42,720 | | | Occidental Petroleum Corp. | | $ | 1,238,453 | |
| | 25,179 | | | ONEOK, Inc. | | | 1,479,518 | |
| | 24,920 | | | Phillips 66 | | | 1,805,703 | |
| | 6,874 | | | Pioneer Natural Resources Co. | | | 1,250,243 | |
| | 13,211 | | | Targa Resources Corp. | | | 690,143 | |
| | 23,623 | | | Valero Energy Corp. | | | 1,774,323 | |
| | 69,442 | | | Williams Cos., Inc. | | | 1,808,270 | |
| | | | | | | | |
| | | | | | | 56,795,050 | |
| | | | | | | | |
| Paper & Forest Products (0.0%†): | | | |
| | 4,665 | | | Louisiana-Pacific Corp. | | | 365,503 | |
| | 2,122 | | | Sylvamo Corp.* | | | 59,182 | |
| | | | | | | | |
| | | | | | | 424,685 | |
| | | | | | | | |
| Personal Products (0.0%†): | | | |
| | 19,667 | | | Coty, Inc., Class A* | | | 206,503 | |
| | 4,604 | | | Herbalife Nutrition, Ltd.* | | | 188,442 | |
| | 1,501 | | | Olaplex Holdings, Inc.* | | | 43,724 | |
| | | | | | | | |
| | | | | | | 438,669 | |
| | | | | | | | |
| Pharmaceuticals (6.0%): | | | |
| | 128,344 | | | Bristol-Myers Squibb Co. | | | 8,002,248 | |
| | 7,040 | | | Catalent, Inc.* | | | 901,331 | |
| | 26,049 | | | Elanco Animal Health, Inc.* | | | 739,271 | |
| | 10,281 | | | Eli Lilly & Co. | | | 2,839,818 | |
| | 10,205 | | | Horizon Therapeutics plc* | | | 1,099,691 | |
| | 3,561 | | | Jazz Pharmaceuticals plc* | | | 453,671 | |
| | 151,384 | | | Johnson & Johnson | | | 25,897,261 | |
| | 145,557 | | | Merck & Co., Inc. | | | 11,155,489 | |
| | 9,082 | | | Nektar Therapeutics* | | | 122,698 | |
| | 14,542 | | | Organon & Co. | | | 442,804 | |
| | 8,019 | | | Perrigo Co. plc | | | 311,939 | |
| | 320,747 | | | Pfizer, Inc. | | | 18,940,110 | |
| | 8,045 | | | Royalty Pharma plc, Class A | | | 320,593 | |
| | 69,294 | | | Viatris, Inc. | | | 937,548 | |
| | 1,470 | | | Zoetis, Inc. | | | 358,724 | |
| | | | | | | | |
| | | | | | | 72,523,196 | |
| | | | | | | | |
| Professional Services (0.7%): | | | |
| | 1,300 | | | CACI International, Inc., Class A* | | | 349,973 | |
| | 24,954 | | | Clarivate plc* | | | 586,918 | |
| | 5,011 | | | CoStar Group, Inc.* | | | 396,019 | |
| | 10,081 | | | Dun & Bradstreet Holdings, Inc.* | | | 206,560 | |
| | 4,322 | | | Equifax, Inc. | | | 1,265,438 | |
| | 1,847 | | | FTI Consulting, Inc.* | | | 283,367 | |
| | 21,544 | | | IHS Markit, Ltd. | | | 2,863,628 | |
| | 8,260 | | | Leidos Holdings, Inc. | | | 734,314 | |
| | 3,257 | | | ManpowerGroup, Inc. | | | 317,004 | |
| | 20,709 | | | Nielsen Holdings plc | | | 424,742 | |
| | 857 | | | Robert Half International, Inc. | | | 95,573 | |
| | 3,250 | | | Science Applications International Corp. | | | 271,667 | |
| | 3,427 | | | TransUnion | | | 406,374 | |
| | 3,372 | | | Verisk Analytics, Inc. | | | 771,278 | |
| | | | | | | | |
| | | | | | | 8,972,855 | |
| | | | | | | | |
| Real Estate Management & Development (0.3%): | | | |
| | 18,140 | | | CBRE Group, Inc., Class A* | | | 1,968,371 | |
| | 2,388 | | | Howard Hughes Corp. (The)* | | | 243,051 | |
| | 2,849 | | | Jones Lang LaSalle, Inc.* | | | 767,350 | |
| | 20,580 | | | Opendoor Technologies, Inc.* | | | 300,674 | |
| | | | | | | | |
| | | | | | | 3,279,446 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Road & Rail (1.2%): | | | |
| | 525 | | | AMERCO, Inc. | | $ | 381,271 | |
| | 126,825 | | | CSX Corp. | | | 4,768,620 | |
| | 582 | | | J.B. Hunt Transport Services, Inc. | | | 118,961 | |
| | 9,188 | | | Knight-Swift Transportation Holdings, Inc. | | | 559,917 | |
| | 281 | | | Landstar System, Inc. | | | 50,305 | |
| | 13,914 | | | Norfolk Southern Corp. | | | 4,142,337 | |
| | 488 | | | Old Dominion Freight Line, Inc. | | | 174,889 | |
| | 2,829 | | | Ryder System, Inc. | | | 233,194 | |
| | 3,052 | | | Schneider National, Inc., Class B | | | 82,129 | |
| | 4,961 | | | TuSimple Holdings, Inc., Class A*^ | | | 177,852 | |
| | 13,144 | | | Uber Technologies, Inc.* | | | 551,128 | |
| | 13,585 | | | Union Pacific Corp. | | | 3,422,469 | |
| | | | | | | | |
| | | | | | | 14,663,072 | |
| | | | | | | | |
| Semiconductors & Semiconductor (0.0%†): | | | |
| | 591 | | | GLOBALFOUNDRIES, Inc.*^ | | | 38,397 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (2.9%): | | | |
| | 18,646 | | | Analog Devices, Inc. | | | 3,277,407 | |
| | 849 | | | Azenta, Inc. | | | 87,540 | |
| | 3,184 | | | Cirrus Logic, Inc.* | | | 292,992 | |
| | 6,128 | | | First Solar, Inc.* | | | 534,117 | |
| | 232,233 | | | Intel Corp. | | | 11,960,000 | |
| | 47,019 | | | Marvell Technology, Inc. | | | 4,113,692 | |
| | 4,742 | | | Microchip Technology, Inc. | | | 412,839 | |
| | 55,485 | | | Micron Technology, Inc. | | | 5,168,428 | |
| | 537 | | | MKS Instruments, Inc. | | | 93,529 | |
| | 10,613 | | | NXP Semiconductors NV | | | 2,417,429 | |
| | 11,224 | | | ON Semiconductor Corp.* | | | 762,334 | |
| | 6,397 | | | Qorvo, Inc.* | | | 1,000,427 | |
| | 5,107 | | | Skyworks Solutions, Inc. | | | 792,300 | |
| | 20,166 | | | Texas Instruments, Inc. | | | 3,800,686 | |
| | 6,642 | | | Wolfspeed, Inc.* | | | 742,376 | |
| | | | | | | | |
| | | | | | | 35,456,096 | |
| | | | | | | | |
| Software (1.7%): | | | |
| | 2,920 | | | ANSYS, Inc.* | | | 1,171,270 | |
| | 1,737 | | | C3.ai, Inc., Class A*^ | | | 54,281 | |
| | 5,794 | | | CDK Global, Inc. | | | 241,842 | |
| | 7,612 | | | Ceridian HCM Holding, Inc.* | | | 795,150 | |
| | 4,444 | | | Citrix Systems, Inc. | | | 420,358 | |
| | 923 | | | Cloudflare, Inc., Class A* | | | 121,375 | |
| | 1,070 | | | Datto Holding Corp.*^ | | | 28,194 | |
| | 3,487 | | | Duck Creek Technologies, Inc.* | | | 104,994 | |
| | 532 | | | Dynatrace, Inc.* | | | 32,106 | |
| | 4,857 | | | Guidewire Software, Inc.* | | | 551,415 | |
| | 9,722 | | | Mandiant, Inc.* | | | 170,524 | |
| | 1,819 | | | Manhattan Associates, Inc.* | | | 282,836 | |
| | 1,255 | | | McAfee Corp., Class A | | | 32,366 | |
| | 3,297 | | | N-Able, Inc.* | | | 36,597 | |
| | 23,359 | | | NortonLifeLock, Inc. | | | 606,867 | |
| | 10,142 | | | Nuance Communications, Inc.* | | | 561,055 | |
| | 6,415 | | | Oracle Corp. | | | 559,452 | |
| | 341 | | | Paycor HCM, Inc.*^ | | | 9,824 | |
| | 168 | | | Procore Technologies, Inc.* | | | 13,435 | |
| | 43,460 | | | salesforce.com, Inc.* | | | 11,044,490 | |
| | 12,824 | | | SS&C Technologies Holdings, Inc. | | | 1,051,312 | |
| | 3,182 | | | Synopsys, Inc.* | | | 1,172,567 | |
| | 338 | | | Tyler Technologies, Inc.* | | | 181,827 | |
| | 7,580 | | | VMware, Inc., Class A | | | 878,370 | |
| | | | | | | | |
| | | | | | | 20,122,507 | |
| | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Specialty Retail (0.8%): | | | |
| | 3,564 | | | Advance Auto Parts, Inc. | | $ | 854,932 | |
| | 2,358 | | | AutoNation, Inc.* | | | 275,532 | |
| | 951 | | | AutoZone, Inc.* | | | 1,993,667 | |
| | 10,716 | | | Best Buy Co., Inc. | | | 1,088,746 | |
| | 255 | | | Burlington Stores, Inc.* | | | 74,335 | |
| | 8,515 | | | CarMax, Inc.* | | | 1,108,909 | |
| | 3,527 | | | Dick’s Sporting Goods, Inc.^ | | | 405,570 | |
| | 5,484 | | | Foot Locker, Inc. | | | 239,267 | |
| | 11,133 | | | Gap, Inc. (The) | | | 196,497 | |
| | 558 | | | Leslie’s, Inc.* | | | 13,202 | |
| | 1,534 | | | Lithia Motors, Inc. | | | 455,521 | |
| | 2,675 | | | O’Reilly Automotive, Inc.* | | | 1,889,165 | |
| | 1,612 | | | Penske Automotive Group, Inc. | | | 172,839 | |
| | 2,711 | | | Petco Health & Wellness Co., Inc.* | | | 53,651 | |
| | 2,032 | | | Victoria’s Secret & Co.*^ | | | 112,857 | |
| | 5,303 | | | Vroom, Inc.*^ | | | 57,219 | |
| | 1,097 | | | Williams-Sonoma, Inc. | | | 185,536 | |
| | | | | | | | |
| | | | | | | 9,177,445 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.4%): | | | |
| | 8,223 | | | Dell Technologies, Inc., Class C* | | | 461,886 | |
| | 74,968 | | | Hewlett Packard Enterprise Co. | | | 1,182,246 | |
| | 43,506 | | | HP, Inc. | | | 1,638,871 | |
| | 5,106 | | | NCR Corp.* | | | 205,261 | |
| | 4,169 | | | NetApp, Inc. | | | 383,506 | |
| | 766 | | | Pure Storage, Inc., Class A* | | | 24,933 | |
| | 18,030 | | | Western Digital Corp.* | | | 1,175,736 | |
| | 7,643 | | | Xerox Holdings Corp. | | | 173,038 | |
| | | | | | | | |
| | | | | | | 5,245,477 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.3%): | | | |
| | 8,538 | | | Capri Holdings, Ltd.* | | | 554,202 | |
| | 2,536 | | | Carter’s, Inc. | | | 256,694 | |
| | 2,310 | | | Columbia Sportswear Co. | | | 225,086 | |
| | 1,324 | | | Deckers Outdoor Corp.* | | | 484,994 | |
| | 8,477 | | | Hanesbrands, Inc. | | | 141,735 | |
| | 4,261 | | | PVH Corp. | | | 454,436 | |
| | 2,653 | | | Ralph Lauren Corp. | | | 315,336 | |
| | 7,138 | | | Skechers U.S.A., Inc., Class A* | | | 309,789 | |
| | 14,443 | | | Tapestry, Inc. | | | 586,386 | |
| | 10,245 | | | Under Armour, Inc., Class A* | | | 217,092 | |
| | 10,506 | | | Under Armour, Inc., Class C* | | | 189,528 | |
| | 6,566 | | | VF Corp. | | | 480,762 | |
| | | | | | | | |
| | | | | | | 4,216,040 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (0.1%): | | | |
| | 17,550 | | | MGIC Investment Corp. | | | 253,071 | |
| | 25,277 | | | New York Community Bancorp, Inc. | | | 308,632 | |
| | 2,177 | | | TFS Financial Corp. | | | 38,903 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Thrifts & Mortgage Finance, continued | | | |
| | 4,519 | | | UWM Holdings Corp.^ | | $ | 26,753 | |
| | | | | | | | |
| | | | | | | 627,359 | |
| | | | | | | | |
| Tobacco (0.9%): | | | |
| | 47,513 | | | Altria Group, Inc. | | | 2,251,641 | |
| | 89,465 | | | Philip Morris International, Inc. | | | 8,499,175 | |
| | | | | | | | |
| | | | | | | 10,750,816 | |
| | | | | | | | |
| Trading Companies & Distributors (0.3%): | | | |
| | 6,260 | | | Air Lease Corp. | | | 276,880 | |
| | 1,012 | | | Core & Main, Inc., Class A* | | | 30,704 | |
| | 3,920 | | | Fastenal Co. | | | 251,115 | |
| | 2,453 | | | MSC Industrial Direct Co., Inc. | | | 206,199 | |
| | 1,159 | | | SiteOne Landscape Supply, Inc.* | | | 280,803 | |
| | 2,773 | | | United Rentals, Inc.* | | | 921,440 | |
| | 9,748 | | | Univar Solutions, Inc.* | | | 276,356 | |
| | 479 | | | W.W. Grainger, Inc. | | | 248,237 | |
| | 1,899 | | | Watsco, Inc. | | | 594,159 | |
| | | | | | | | |
| | | | | | | 3,085,893 | |
| | | | | | | | |
| Water Utilities (0.2%): | | | |
| | 10,463 | | | American Water Works Co., Inc. | | | 1,976,042 | |
| | 12,691 | | | Essential Utilities, Inc. | | | 681,380 | |
| | | | | | | | |
| | | | | | | 2,657,422 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 33,843 | | | T-Mobile USA, Inc.* | | | 3,925,111 | |
| | | | | | | | |
| | Total Common Stocks (Cost $897,664,188) | | | 1,212,716,936 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (0.4%): | |
| | 4,744,396 | | | BlackRock Liquidity FedFund, Institutional
Class, 0.03%(a)(b) | | | 4,744,396 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $4,744,396) | | | 4,744,396 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.5%): | | | |
| Money Markets (0.5%): | | | |
| | 6,475,837 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 6,475,837 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $6,475,837) | | | 6,475,837 | |
| | | | | |
| | Total Investment Securities | | | | |
| | (Cost $908,884,421) — 100.4%(c) | | | 1,223,937,169 | |
| | Net other assets (liabilities) — (0.4)% | | | (4,889,868 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,219,047,301 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $4,611,321. |
| † | 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, 2021. |
| (b) | The rate represents the effective yield at December 31, 2021. |
| (c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
December 31, 2021
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 19 | | | $ | 4,520,575 | | | $ | 9,848 | |
| | | | |
S&P Midcap 400 E-Mini March Futures (U.S. Dollar) | | | 3/18/22 | | | | 11 | | | | 3,121,470 | | | | 18,897 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 28,745 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 904,854,233 | |
Investments in affiliates, at cost | | | | 4,030,188 | |
| | | | | |
Investments in non-affiliates, at value(a) | | | | 1,216,417,675 | |
Investments in affiliates, at value | | | | 7,519,494 | |
Cash | | | | 84,302 | |
Deposit at broker for futures contracts collateral | | | | 371,200 | |
Interest and dividends receivable | | | | 1,265,562 | |
Receivable for capital shares issued | | | | 14,555 | |
Receivable for investments sold | | | | 48,000 | |
Reclaims receivable | | | | 16,072 | |
Receivable from Manager | | | | 91,379 | |
Prepaid expenses | | | | 5,987 | |
| | | | | |
Total Assets | | | | 1,225,834,226 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 1,092,368 | |
Payable for collateral received on loaned securities | | | | 4,744,396 | |
Payable for variation margin on futures contracts | | | | 14,408 | |
Manager fees payable | | | | 446,734 | |
Administration fees payable | | | | 194,933 | |
Distribution fees payable | | | | 207,765 | |
Custodian fees payable | | | | 5,908 | |
Administrative and compliance services fees payable | | | | 1,798 | |
Transfer agent fees payable | | | | 1,991 | |
Trustee fees payable | | | | 10,099 | |
Other accrued liabilities | | | | 66,525 | |
| | | | | |
Total Liabilities | | | | 6,786,925 | |
| | | | | |
Net Assets | | | $ | 1,219,047,301 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 798,076,451 | |
Total distributable earnings | | | | 420,970,850 | |
| | | | | |
Net Assets | | | $ | 1,219,047,301 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 221,723,295 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 20,186,715 | |
Net Asset Value (offering and redemption price per share) | | | $ | 10.98 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 997,324,006 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 65,259,025 | |
Net Asset Value (offering and redemption price per share) | | | $ | 15.28 | |
| | | | | |
| (a) | Includes securities on loan of $4,611,321. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 20,988,642 | |
Dividends from affiliates | | | | 127,497 | |
Interest | | | | 4,716 | |
Income from securities lending | | | | 35,177 | |
Foreign withholding tax | | | | (3,328 | ) |
| | | | | |
Total Investment Income | | | | 21,152,704 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 4,753,614 | |
Administration fees | | | | 410,806 | |
Distribution fees — Class 2 | | | | 2,226,277 | |
Custodian fees | | | | 33,396 | |
Administrative and compliance services fees | | | | 11,674 | |
Transfer agent fees | | | | 9,935 | |
Trustee fees | | | | 50,858 | |
Professional fees | | | | 47,855 | |
Licensing fees | | | | 184,282 | |
Shareholder reports | | | | 32,392 | |
Other expenses | | | | 122,738 | |
| | | | | |
Total expenses before reductions | | | | 7,883,827 | |
Less Management fees contractually waived | | | | (972,348 | ) |
| | | | | |
Net expenses | | | | 6,911,479 | |
| | | | | |
Net Investment Income/(Loss) | | | | 14,241,225 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 102,217,814 | |
Net realized gains/(losses) on affiliated transactions | | | | 733,567 | |
Net realized gains/(losses) on futures contracts | | | | 1,775,319 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 106,780,391 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | 694,783 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (89,382 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 212,112,492 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 226,353,717 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 14,241,225 | | | | $ | 15,702,119 | |
Net realized gains/(losses) on investments | | | | 104,726,700 | | | | | (2,483,973 | ) |
Change in unrealized appreciation/depreciation on investments | | | | 107,385,792 | | | | | 13,164,225 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 226,353,717 | | | | | 26,382,371 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (4,881,633 | ) | | | | (12,916,998 | ) |
Class 2 | | | | (14,354,281 | ) | | | | (49,843,957 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (19,235,914 | ) | | | | (62,760,955 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 526,725 | | | | | 437,497 | |
Proceeds from in-kind shares issued(a) | | | | 59,450,043 | | | | | — | |
Proceeds from dividends reinvested | | | | 4,881,633 | | | | | 12,916,998 | |
Value of shares redeemed | | | | (24,412,101 | ) | | | | (19,992,808 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 40,446,300 | | | | | (6,638,313 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 12,882,008 | | | | | 122,965,871 | |
Proceeds from in-kind shares issued(a) | | | | 265,078,553 | | | | | — | |
Proceeds from dividends reinvested | | | | 14,354,271 | | | | | 49,843,957 | |
Value of shares redeemed | | | | (246,954,539 | ) | | | | (156,409,611 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 45,360,293 | | | | | 16,400,217 | |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 85,806,593 | | | | | 9,761,904 | |
| | | | | | | | | | |
Change in net assets | | | | 292,924,396 | | | | | (26,616,680 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 926,122,905 | | | | | 952,739,585 | |
| | | | | | | | | | |
End of period | | | $ | 1,219,047,301 | | | | $ | 926,122,905 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 50,094 | | | | | 53,357 | |
Shares issued in-kind(a) | | | | 5,794,012 | | | | | — | |
Dividends reinvested | | | | 470,292 | | | | | 1,596,662 | |
Shares redeemed | | | | (2,360,216 | ) | | | | (2,372,746 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | 3,954,182 | | | | | (722,727 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 863,525 | | | | | 12,177,510 | |
Shares issued in-kind(a) | | | | 18,696,734 | | | | | — | |
Dividends reinvested | | | | 993,375 | | | | | 4,450,353 | |
Shares redeemed | | | | (17,752,163 | ) | | | | (14,138,554 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | 2,801,471 | | | | | 2,489,309 | |
| | | | | | | | | | |
Change in shares | | | | 6,755,653 | | | | | 1,766,582 | |
| | | | | | | | | | |
Amounts shown as “—” are either $0 or rounds to less than $1.
| (a) | See Note 2 in Notes to the Financial Statements. |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 9.02 | | | | $ | 9.75 | | | | $ | 8.55 | | | | $ | 10.65 | | | | $ | 10.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.16 | (a) | | | | 0.18 | (a) | | | | 0.21 | (a) | | | | 0.24 | | | | | 0.27 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.04 | | | | | (0.06 | ) | | | | 1.94 | | | | | (1.02 | ) | | | | 1.08 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 2.20 | | | | | 0.12 | | | | | 2.15 | | | | | (0.78 | ) | | | | 1.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.20 | ) | | | | (0.27 | ) | | | | (0.30 | ) | | | | (0.30 | ) | | | | (0.10 | ) |
Net Realized Gains | | | | (0.04 | ) | | | | (0.58 | ) | | | | (0.65 | ) | | | | (1.02 | ) | | | | (1.39 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.24 | ) | | | | (0.85 | ) | | | | (0.95 | ) | | | | (1.32 | ) | | | | (1.49 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.98 | | | | $ | 9.02 | | | | $ | 9.75 | | | | $ | 8.55 | | | | $ | 10.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 24.55 | % | | | | 2.25 | % | | | | 26.13 | % | | | | (8.50 | )% | | | | 13.38 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 221,723 | | | | $ | 146,474 | | | | $ | 165,337 | | �� | | $ | 148,796 | | | | $ | 185,903 | |
Net Investment Income/(Loss) | | | | 1.52 | % | | | | 2.08 | % | | | | 2.21 | % | | | | 2.10 | % | | | | 2.07 | % |
Expenses Before Reductions(c) | | | | 0.52 | % | | | | 0.52 | % | | | | 0.51 | % | | | | 0.50 | % | | | | 0.50 | % |
Expenses Net of Reductions | | | | 0.43 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.43 | % | | | | 0.45 | % |
Portfolio Turnover Rate(d) | | | | 38 | %(e) | | | | 27 | % | | | | 15 | % | | | | 22 | % | | | | 12 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 12.48 | | | | $ | 13.13 | | | | $ | 11.22 | | | | $ | 13.56 | | | | $ | 13.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.18 | (a) | | | | 0.21 | (a) | | | | 0.25 | (a) | | | | 0.28 | | | | | 0.24 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.83 | | | | | (0.04 | ) | | | | 2.57 | | | | | (1.34 | ) | | | | 1.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.01 | | | | | 0.17 | | | | | 2.82 | | | | | (1.06 | ) | | | | 1.66 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.17 | ) | | | | (0.24 | ) | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.10 | ) |
Net Realized Gains | | | | (0.04 | ) | | | | (0.58 | ) | | | | (0.65 | ) | | | | (1.02 | ) | | | | (1.39 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.21 | ) | | | | (0.82 | ) | | | | (0.91 | ) | | | | (1.28 | ) | | | | (1.49 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 15.28 | | | | $ | 12.48 | | | | $ | 13.13 | | | | $ | 11.22 | | | | $ | 13.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 24.25 | % | | | | 2.01 | % | | | | 25.86 | % | | | | (8.72 | )% | | | | 13.02 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 997,324 | | | | $ | 779,649 | | | | $ | 787,403 | | | | $ | 720,365 | | | | $ | 893,400 | |
Net Investment Income/(Loss) | | | | 1.27 | % | | | | 1.83 | % | | | | 1.96 | % | | | | 1.85 | % | | | | 1.81 | % |
Expenses Before Reductions(c) | | | | 0.77 | % | | | | 0.77 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.75 | % |
Expenses Net of Reductions | | | | 0.68 | % | | | | 0.68 | % | | | | 0.68 | % | | | | 0.68 | % | | | | 0.70 | % |
Portfolio Turnover Rate(d) | | | | 38 | %(e) | | | | 27 | % | | | | 15 | % | | | | 22 | % | | | | 12 | % |
| (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. |
| (e) | Excludes impact of in-kind transactions. |
See accompanying notes to the financial statements.
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021
Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $3,463 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,744,396 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
In-kind Subscriptions
During the year ended December 31, 2021, the AZL Russell 1000 Value Index Fund issued 5,794,012 shares valued at $59,450,043, and 18,696,734 shares valued at $265,078,553, of Class 1 and Class 2, respectively, in exchange for $34,180,067 in cash, and securities with a fair market value of $290,348,529, received from shareholders of the Franklin Mutual Shares VIP Fund.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $9.3 million. There was no short contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
18
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2021
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 28,745 | | | 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, 2021:
| | | | | | | | | | |
| 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 | | $ | 1,775,319 | | | $ | (89,382 | ) |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain more competitive expense ratios. 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, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such waivers.
At December 31, 2021, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
12/31/2020 | | Purchases
at Cost | | Proceeds from
Sales | | Net
Realized
Gains(Losses) | | Change in
Net Unrealized
Appreciation/
Depreciation | | Value
12/31/2021 | | Shares as of
12/31/2021 | | Dividend
Income | | Capital Gains
Distributions |
| | | | | | | | | |
BlackRock Inc., Class A | | | $ | 5,692,228 | | | | $ | 1,992,205 | | | | $ | (1,593,289 | ) | | | $ | 733,567 | | | | $ | 694,783 | | | | $ | 7,519,494 | | | | | 8,213 | | | | $ | 127,497 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 5,692,228 | | | | $ | 1,992,205 | | | | $ | (1,593,289 | ) | | | $ | 733,567 | | | | $ | 694,783 | | | | $ | 7,519,494 | | | | | 8,213 | | | | $ | 127,497 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
19
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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. These procedures include the Fund’s use of 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.
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AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2021
The following is a summary of the valuation inputs used as of December 31, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 1,212,716,936 | | | | $ | — | | | | $ | — | | | | $ | 1,212,716,936 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 4,744,396 | | | | | — | | | | | — | | | | | 4,744,396 | |
Unaffiliated Investment Company | | | | 6,475,837 | | | | | — | | | | | — | | | | | 6,475,837 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,223,937,169 | | | | | — | | | | | — | | | | | 1,223,937,169 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 28,745 | | | | | — | | | | | — | | | | | 28,745 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,223,965,914 | | | | $ | — | | | | $ | — | | | | $ | 1,223,965,914 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 403,375,973 | | | | $ | 609,262,843 | |
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021 is $919,892,531. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 326,153,633 | |
Unrealized (depreciation) | | | (22,108,995 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 304,044,638 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | |
| | | Ordinary
Income | | | Net Long-Term
Capital Gains | | | Total
Distributions(a) | |
| | | |
AZL Russell 1000 Value Index Fund | | | $19,235,914 | | | | $— | | | | $19,235,914 | |
| (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, 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. |
At December 31, 2021, 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 | | | $33,537,374 | | | | $83,388,838 | | | | $— | | | | $304,044,638 | | | | $420,970,850 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales. |
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, 2021, 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 the shareholder 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.
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 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, 2021, the Fund declared net short-term capital gain distributions of $3,552,634.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
26
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | | 46 | | | 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 | | | 46 | | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | | Trustee | | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | | 46 | | | Diamond Hill Funds
(10 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 2019 | | | 46 | | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive
Minneapolis, MN 55416 | | | Trustee | | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | | 46 | | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | | Trustee | | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | | 46 | | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | | 46 | | | None |
| | | | | |
| Interested Trustee(4) | | | | | | | | | | | | | | |
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
29
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® S&P 500 Index Fund
Annual Report
December 31, 2021
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, 2021?*
For the year ended December 31, 2021, the AZL® S&P 500 Index Fund (Class 2 Shares) (the “Fund”) returned 28.12%. That compared to a 28.71% return for its benchmark, the S&P 500® Index.1
The Fund seeks investment results, before fees and expenses, that correspond to the performance of the S&P 500® Index (the “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 large-cap stock performance. It is an unmanaged, market capitalization-weighted index composed of large-capitalization U.S. equities.
In the first quarter of 2021, favorable conditions carried over from the strong end of 2020. The Federal Reserve’s (the Fed) accommodative policies, along with a new $1.9 trillion stimulus package and the start of the vaccine rollout in the U.S., supported investor optimism for strong economic growth in the first quarter. All sectors within the S&P 500® Index posted positive returns over the first three months of 2021. The energy sector posted the strongest return for the quarter, supported by a rally in oil prices due to a surge in demand paired with unchanged production levels, along with oil transport concerns due to the temporary blockage of the Suez Canal. The financial sector was another top performer due to positive market conditions. By comparison, the information technology and consumer staples sectors lagged their peers within the U.S. market, albeit still posting positive returns, after posting strong gains in 2020.
During the second quarter, U.S. equity markets rallied as the vaccination campaign continued to accelerate and economic indicators continued to improve. The U.S. Consumer Price Index (CPI) increased by more than 4% year-over-year in April. But growing concerns about inflation were offset by the Fed’s commitment to maintain its accommodative monetary policies and the prospect of a bipartisan $1 trillion agreement for infrastructure that passed the Senate in May.
In the third quarter, strong economic data and corporate earnings reports helped push U.S. equities higher despite a resurgence in COVID-19 cases due to the arrival of the Delta variant in the U.S. However, concerns regarding
potential contagion from the unfolding debt crisis at Chinese property developer Evergrande muted U.S. equity markets late in the quarter. Rising inflation and supply chain issues also weighed on market sentiment, as did the continuing disagreement in Washington regarding the debt ceiling and the infrastructure bill.
In the fourth quarter, the boost to investor sentiment from a strong earnings season was offset by a new, more transmissible COVID-19 variant (Omicron) and ongoing concerns about higher inflation rates. Markets recovered to post strong returns for the quarter after initial data showed existing vaccines remained effective against the Omicron variant, and the Fed clarified its plan to begin tightening its monetary policy in 2022. The falling unemployment rate and the final passage of the bipartisan infrastructure bill further supported the market performance over the quarter.
All sectors within the Index posted positive returns over the year. The energy, real estate, financials, and technology sectors were the top performers, while the communication services, consumer staples, and utilities sectors lagged their peers.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and we keep cash to fully cover all outstanding futures positions. The Fund’s use of futures contracts provides immediate market exposure proportionate to cash accruals and investable cash within the portfolio. Skillful cash management and cash equitization are critical to minimizing the potential impact of cash drag and ensure tight tracking to the 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
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, 2021 |
| | | 1
Year | | 3
Year | | 5
Year | | 10
Year |
AZL® S&P 500 Index Fund (Class 1 Shares) | | | | 28.42 | % | | | | 25.70 | % | | | | 18.16 | % | | | | 16.26 | % |
AZL® S&P 500 Index Fund (Class 2 Shares) | | | | 28.12 | % | | | | 25.37 | % | | | | 17.87 | % | | | | 15.97 | % |
S&P 500® Index | | | | 28.71 | % | | | | 26.07 | % | | | | 18.47 | % | | | | 16.55 | % |
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) | | | | 0.25 | % |
AZL® S&P 500 Index Fund (Class 2 Shares) | | | | 0.50 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL S&P 500 Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,115.20 | | | | $ | 1.39 | | | | | 0.26 | % |
| | | | |
AZL S&P 500 Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,113.70 | | | | $ | 2.72 | | | | | 0.51 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL S&P 500 Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,023.89 | | | | $ | 1.33 | | | | | 0.26 | % |
| | | | |
AZL S&P 500 Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.63 | | | | $ | 2.60 | | | | | 0.51 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 29.0 | % |
| |
Health Care | | | | 13.2 | |
| |
Consumer Discretionary | | | | 12.5 | |
| |
Financials | | | | 10.6 | |
| |
Communication Services | | | | 10.1 | |
| |
Industrials | | | | 7.7 | |
| |
Consumer Staples | | | | 5.8 | |
| |
Real Estate | | | | 2.8 | |
| |
Energy | | | | 2.7 | |
| |
Materials | | | | 2.6 | |
| |
Utilities | | | | 2.5 | |
| | | | | |
| |
Total Common Stocks | | | | 99.5 | |
| |
Unaffiliated Investment Company | | | | 0.5 | |
| | | | | |
| |
Total Investment Securities | | | | 100.0 | |
| |
Net other assets (liabilities) | | | | — | † |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
| † | Represents less than 0.05%. |
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.5%): | | | |
| Aerospace & Defense (1.3%): | | | |
| | 45,378 | | | Boeing Co. (The)* | | $ | 9,135,499 | |
| | 19,149 | | | General Dynamics Corp. | | | 3,991,992 | |
| | 30,118 | | | Howmet Aerospace, Inc. | | | 958,656 | |
| | 3,244 | | | Huntington Ingalls Industries, Inc. | | | 605,785 | |
| | 16,231 | | | L3harris Technologies, Inc. | | | 3,461,098 | |
| | 20,134 | | | Lockheed Martin Corp. | | | 7,155,825 | |
| | 12,229 | | | Northrop Grumman Corp. | | | 4,733,479 | |
| | 122,884 | | | Raytheon Technologies Corp. | | | 10,575,397 | |
| | 18,285 | | | Textron, Inc. | | | 1,411,602 | |
| | 4,256 | | | TransDigm Group, Inc.* | | | 2,708,008 | |
| | | | | | | | |
| | | | | | | 44,737,341 | |
| | | | | | | | |
| Air Freight & Logistics (0.6%): | | | |
| | 10,325 | | | C.H. Robinson Worldwide, Inc. | | | 1,111,280 | |
| | 14,168 | | | Expeditors International of Washington, Inc. | | | 1,902,621 | |
| | 20,095 | | | FedEx Corp. | | | 5,197,371 | |
| | 59,895 | | | United Parcel Service, Inc., Class B | | | 12,837,894 | |
| | | | | | | | |
| | | | | | | 21,049,166 | |
| | | | | | | | |
| Airlines (0.2%): | | | |
| | 9,806 | | | Alaska Air Group, Inc.* | | | 510,893 | |
| | 54,514 | | | American Airlines Group, Inc.* | | | 979,072 | |
| | 52,317 | | | Delta Air Lines, Inc.* | | | 2,044,548 | |
| | 48,874 | | | Southwest Airlines Co.* | | | 2,093,762 | |
| | 26,090 | | | United Airlines Holdings, Inc.* | | | 1,142,220 | |
| | | | | | | | |
| | | | | | | 6,770,495 | |
| | | | | | | | |
| Auto Components (0.1%): | | | |
| | 21,996 | | | Aptiv plc* | | | 3,628,240 | |
| | 19,968 | | | BorgWarner, Inc. | | | 899,958 | |
| | | | | | | | |
| | | | | | | 4,528,198 | |
| | | | | | | | |
| Automobiles (2.5%): | | | |
| | 321,959 | | | Ford Motor Co. | | | 6,687,088 | |
| | 118,654 | | | General Motors Co.* | | | 6,956,684 | |
| | 66,819 | | | Tesla, Inc.* | | | 70,612,983 | |
| | | | | | | | |
| | | | | | | 84,256,755 | |
| | | | | | | | |
| Banks (3.9%): | | | |
| | 591,588 | | | Bank of America Corp. | | | 26,319,750 | |
| | 162,799 | | | Citigroup, Inc. | | | 9,831,432 | |
| | 35,336 | | | Citizens Financial Group, Inc. | | | 1,669,626 | |
| | 10,847 | | | Comerica, Inc. | | | 943,689 | |
| | 55,847 | | | Fifth Third Bancorp | | | 2,432,137 | |
| | 14,876 | | | First Republic Bank | | | 3,072,043 | |
| | 116,784 | | | Huntington Bancshares, Inc. | | | 1,800,809 | |
| | 242,752 | | | JPMorgan Chase & Co. | | | 38,439,779 | |
| | 76,522 | | | KeyCorp | | | 1,769,954 | |
| | 10,596 | | | M&T Bank Corp. | | | 1,627,334 | |
| | 33,430 | | | People’s United Financial, Inc. | | | 595,723 | |
| | 34,739 | | | PNC Financial Services Group, Inc. (The) | | | 6,965,864 | |
| | 79,791 | | | Regions Financial Corp. | | | 1,739,444 | |
| | 5,024 | | | Signature Bank | | | 1,625,113 | |
| | 4,797 | | | SVB Financial Group* | | | 3,253,517 | |
| | 109,651 | | | Truist Financial Corp. | | | 6,420,066 | |
| | 110,572 | | | U.S. Bancorp | | | 6,210,829 | |
| | 327,520 | | | Wells Fargo & Co. | | | 15,714,410 | |
| | 13,489 | | | Zions Bancorp | | | 851,965 | |
| | | | | | | | |
| | | | | | | 131,283,484 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Beverages (1.4%): | | | |
| | 15,557 | | | Brown-Forman Corp., Class B | | $ | 1,133,483 | |
| | 319,326 | | | Coca-Cola Co. (The) | | | 18,907,292 | |
| | 13,440 | | | Constellation Brands, Inc., Class C | | | 3,373,037 | |
| | 15,437 | | | Molson Coors Brewing Co., Class B | | | 715,505 | |
| | 31,134 | | | Monster Beverage Corp.* | | | 2,990,109 | |
| | 113,574 | | | PepsiCo, Inc. | | | 19,728,940 | |
| | | | | | | | |
| | | | | | | 46,848,366 | |
| | | | | | | | |
| Biotechnology (1.8%): | | | |
| | 145,218 | | | AbbVie, Inc. | | | 19,662,517 | |
| | 46,460 | | | Amgen, Inc. | | | 10,452,106 | |
| | 11,841 | | | Biogen, Inc.* | | | 2,840,893 | |
| | 103,038 | | | Gilead Sciences, Inc. | | | 7,481,589 | |
| | 15,928 | | | Incyte Corp.* | | | 1,169,115 | |
| | 28,972 | | | Moderna, Inc.* | | | 7,358,309 | |
| | 8,715 | | | Regeneron Pharmaceuticals, Inc.* | | | 5,503,697 | |
| | 21,045 | | | Vertex Pharmaceuticals, Inc.* | | | 4,621,482 | |
| | | | | | | | |
| | | | | | | 59,089,708 | |
| | | | | | | | |
| Building Products (0.5%): | | | |
| | 11,080 | | | A.O. Smith Corp. | | | 951,218 | |
| | 7,641 | | | Allegion plc | | | 1,011,974 | |
| | 70,562 | | | Carrier Global Corp. | | | 3,827,283 | |
| | 10,910 | | | Fortune Brands Home & Security, Inc. | | | 1,166,279 | |
| | 58,570 | | | Johnson Controls International plc | | | 4,762,327 | |
| | 20,464 | | | Masco Corp. | | | 1,436,982 | |
| | 19,462 | | | Trane Technologies plc | | | 3,931,908 | |
| | | | | | | | |
| | | | | | | 17,087,971 | |
| | | | | | | | |
| Capital Markets (3.0%): | | | |
| | 9,300 | | | Ameriprise Financial, Inc. | | | 2,805,438 | |
| | 62,965 | | | Bank of New York Mellon Corp. (The) | | | 3,657,007 | |
| | 11,731 | | | BlackRock, Inc., Class A+ | | | 10,740,434 | |
| | 8,359 | | | Cboe Global Markets, Inc. | | | 1,090,014 | |
| | 123,491 | | | Charles Schwab Corp. (The) | | | 10,385,593 | |
| | 29,750 | | | CME Group, Inc. | | | 6,796,685 | |
| | 3,120 | | | FactSet Research Systems, Inc. | | | 1,516,351 | |
| | 22,367 | | | Franklin Resources, Inc. | | | 749,071 | |
| | 27,875 | | | Goldman Sachs Group, Inc. (The) | | | 10,663,581 | |
| | 46,659 | | | Intercontinental Exchange, Inc. | | | 6,381,551 | |
| | 25,595 | | | Invesco, Ltd. | | | 589,197 | |
| | 3,028 | | | MarketAxess Holdings, Inc. | | | 1,245,326 | |
| | 13,285 | | | Moody’s Corp. | | | 5,188,855 | |
| | 117,918 | | | Morgan Stanley | | | 11,574,831 | |
| | 6,772 | | | MSCI, Inc., Class A | | | 4,149,137 | |
| | 9,682 | | | Nasdaq, Inc. | | | 2,033,317 | |
| | 16,785 | | | Northern Trust Corp. | | | 2,007,654 | |
| | 15,046 | | | Raymond James Financial, Inc. | | | 1,510,618 | |
| | 19,754 | | | S&P Global, Inc. | | | 9,322,505 | |
| | 30,023 | | | State Street Corp. | | | 2,792,139 | |
| | 18,459 | | | T. Rowe Price Group, Inc. | | | 3,629,778 | |
| | | | | | | | |
| | | | | | | 98,829,082 | |
| | | | | | | | |
| Chemicals (1.8%): | | | |
| | 18,088 | | | Air Products & Chemicals, Inc. | | | 5,503,455 | |
| | 9,472 | | | Albemarle Corp. | | | 2,214,269 | |
| | 9,194 | | | Celanese Corp. | | | 1,545,144 | |
| | 17,814 | | | CF Industries Holdings, Inc. | | | 1,260,875 | |
| | 59,506 | | | Corteva, Inc. | | | 2,813,444 | |
See accompanying notes to the financial statements.
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Chemicals, continued | | | |
| | 61,131 | | | Dow, Inc. | | $ | 3,467,350 | |
| | 42,819 | | | DuPont de Nemours, Inc. | | | 3,458,919 | |
| | 10,924 | | | Eastman Chemical Co. | | | 1,320,821 | |
| | 20,443 | | | Ecolab, Inc. | | | 4,795,723 | |
| | 10,081 | | | FMC Corp. | | | 1,107,801 | |
| | 20,955 | | | International Flavors & Fragrances, Inc. | | | 3,156,871 | |
| | 42,102 | | | Linde plc | | | 14,585,396 | |
| | 21,895 | | | Lyondellbasell Industries NV | | | 2,019,376 | |
| | 31,815 | | | Mosaic Co. (The) | | | 1,250,011 | |
| | 19,501 | | | PPG Industries, Inc. | | | 3,362,752 | |
| | 19,699 | | | Sherwin Williams Co. | | | 6,937,200 | |
| | | | | | | | |
| | | | | | | 58,799,407 | |
| | | | | | | | |
| Commercial Services & Supplies (0.4%): | | | |
| | 7,200 | | | Cintas Corp. | | | 3,190,824 | |
| | 17,340 | | | Copart, Inc.* | | | 2,629,091 | |
| | 17,104 | | | Republic Services, Inc., Class A | | | 2,385,153 | |
| | 17,773 | | | Rollins, Inc. | | | 608,014 | |
| | 31,398 | | | Waste Management, Inc. | | | 5,240,326 | |
| | | | | | | | |
| | | | | | | 14,053,408 | |
| | | | | | | | |
| Communications Equipment (0.9%): | | | |
| | 18,676 | | | Arista Networks, Inc.* | | | 2,684,675 | |
| | 346,445 | | | Cisco Systems, Inc. | | | 21,954,219 | |
| | 5,055 | | | F5, Inc.* | | | 1,237,009 | |
| | 27,073 | | | Juniper Networks, Inc. | | | 966,777 | |
| | 13,734 | | | Motorola Solutions, Inc. | | | 3,731,528 | |
| | | | | | | | |
| | | | | | | 30,574,208 | |
| | | | | | | | |
| Construction & Engineering (0.1%): | | | |
| | 10,700 | | | Jacobs Engineering Group, Inc. | | | 1,489,761 | |
| | 12,143 | | | Quanta Services, Inc. | | | 1,392,316 | |
| | | | | | | | |
| | | | | | | 2,882,077 | |
| | | | | | | | |
| Construction Materials (0.1%): | | | |
| | 5,038 | | | Martin Marietta Materials, Inc. | | | 2,219,340 | |
| | 10,730 | | | Vulcan Materials Co. | | | 2,227,333 | |
| | | | | | | | |
| | | | | | | 4,446,673 | |
| | | | | | | | |
| Consumer Finance (0.6%): | | | |
| | 51,387 | | | American Express Co. | | | 8,406,913 | |
| | 35,274 | | | Capital One Financial Corp. | | | 5,117,905 | |
| | 24,164 | | | Discover Financial Services | | | 2,792,392 | |
| | 44,296 | | | Synchrony Financial | | | 2,054,891 | |
| | | | | | | | |
| | | | | | | 18,372,101 | |
| | | | | | | | |
| Containers & Packaging (0.3%): | | | |
| | 125,230 | | | Amcor plc | | | 1,504,012 | |
| | 6,803 | | | Avery Dennison Corp. | | | 1,473,326 | |
| | 26,185 | | | Ball Corp. | | | 2,520,830 | |
| | 30,727 | | | International Paper Co. | | | 1,443,554 | |
| | 7,397 | | | Packaging Corp. of America | | | 1,007,102 | |
| | 12,533 | | | Sealed Air Corp. | | | 845,602 | |
| | 22,845 | | | Westrock Co. | | | 1,013,404 | |
| | | | | | | | |
| | | | | | | 9,807,830 | |
| | | | | | | | |
| Distributors (0.1%): | | | |
| | 11,943 | | | Genuine Parts Co. | | | 1,674,409 | |
| | 22,238 | | | LKQ Corp. | | | 1,334,947 | |
| | 3,329 | | | Pool Corp. | | | 1,884,214 | |
| | | | | | | | |
| | | | | | | 4,893,570 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Diversified Financial Services (1.3%): | | | |
| | 150,433 | | | Berkshire Hathaway, Inc., Class B* | | $ | 44,979,467 | |
| | | | | | | | |
| Diversified Telecommunication Services (1.0%): | | | |
| | 586,578 | | | AT&T, Inc. | | | 14,429,819 | |
| | 76,344 | | | Lumen Technologies, Inc. | | | 958,117 | |
| | 340,082 | | | Verizon Communications, Inc. | | | 17,670,661 | |
| | | | | | | | |
| | | | | | | 33,058,597 | |
| | | | | | | | |
| Electric Utilities (1.6%): | | | |
| | 19,907 | | | Alliant Energy Corp. | | | 1,223,683 | |
| | 41,142 | | | American Electric Power Co., Inc. | | | 3,660,404 | |
| | 62,811 | | | Duke Energy Corp. | | | 6,588,874 | |
| | 31,922 | | | Edison International | | | 2,178,676 | |
| | 16,681 | | | Entergy Corp. | | | 1,879,115 | |
| | 18,406 | | | Evergy, Inc. | | | 1,262,836 | |
| | 28,476 | | | Eversource Energy | | | 2,590,746 | |
| | 80,268 | | | Exelon Corp. | | | 4,636,280 | |
| | 45,321 | | | FirstEnergy Corp. | | | 1,884,900 | |
| | 161,174 | | | NextEra Energy, Inc. | | | 15,047,204 | |
| | 9,237 | | | Pinnacle West Capital Corp. | | | 652,040 | |
| | 61,480 | | | PPL Corp. | | | 1,848,089 | |
| | 86,577 | | | Southern Co. (The) | | | 5,937,451 | |
| | 44,104 | | | Xcel Energy, Inc. | | | 2,985,841 | |
| | | | | | | | |
| | | | | | | 52,376,139 | |
| | | | | | | | |
| Electrical Equipment (0.5%): | | | |
| | 19,255 | | | AMETEK, Inc. | | | 2,831,255 | |
| | 32,588 | | | Eaton Corp. plc | | | 5,631,858 | |
| | 49,339 | | | Emerson Electric Co. | | | 4,587,047 | |
| | 5,161 | | | Generac Holdings, Inc.* | | | 1,816,259 | |
| | 9,511 | | | Rockwell Automation, Inc. | | | 3,317,913 | |
| | | | | | | | |
| | | | | | | 18,184,332 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (0.7%): | | | |
| | 48,785 | | | Amphenol Corp., Class A | | | 4,266,736 | |
| | 10,933 | | | CDW Corp. | | | 2,238,860 | |
| | 64,259 | | | Corning, Inc. | | | 2,392,363 | |
| | 2,737 | | | IPG Photonics Corp.* | | | 471,147 | |
| | 14,845 | | | Keysight Technologies, Inc.* | | | 3,065,641 | |
| | 27,054 | | | TE Connectivity, Ltd. | | | 4,364,892 | |
| | 3,859 | | | Teledyne Technologies, Inc.* | | | 1,685,958 | |
| | 21,037 | | | Trimble, Inc.* | | | 1,834,216 | |
| | 4,445 | | | Zebra Technologies Corp., Class A* | | | 2,645,664 | |
| | | | | | | | |
| | | | | | | 22,965,477 | |
| | | | | | | | |
| Energy Equipment & Services (0.2%): | | | |
| | 72,702 | | | Baker Hughes Co. | | | 1,749,210 | |
| | 73,239 | | | Halliburton Co. | | | 1,674,976 | |
| | 113,666 | | | Schlumberger, Ltd. | | | 3,404,297 | |
| | | | | | | | |
| | | | | | | 6,828,483 | |
| | | | | | | | |
| Entertainment (1.7%): | | | |
| | 63,926 | | | Activision Blizzard, Inc. | | | 4,252,997 | |
| | 22,983 | | | Electronic Arts, Inc. | | | 3,031,458 | |
| | 11,546 | | | Live Nation Entertainment, Inc.* | | | 1,381,941 | |
| | 36,385 | | | Netflix, Inc.* | | | 21,919,779 | |
| | 9,562 | | | Take-Two Interactive Software, Inc.* | | | 1,699,358 | |
| | 149,263 | | | Walt Disney Co. (The)* | | | 23,119,346 | |
| | | | | | | | |
| | | | | | | 55,404,879 | |
| | | | | | | | |
See accompanying notes to the financial statements.
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Equity Real Estate Investment Trusts (2.7%): | | | |
| | 11,659 | | | Alexandria Real Estate Equities, Inc. | | $ | 2,599,491 | |
| | 37,536 | | | American Tower Corp. | | | 10,979,280 | |
| | 11,298 | | | AvalonBay Communities, Inc. | | | 2,853,762 | |
| | 11,471 | | | Boston Properties, Inc. | | | 1,321,230 | |
| | 35,522 | | | Crown Castle International Corp. | | | 7,414,862 | |
| | 23,489 | | | Digital Realty Trust, Inc. | | | 4,154,499 | |
| | 31,206 | | | Duke Realty Corp. | | | 2,048,362 | |
| | 7,362 | | | Equinix, Inc. | | | 6,227,074 | |
| | 28,458 | | | Equity Residential | | | 2,575,449 | |
| | 5,434 | | | Essex Property Trust, Inc. | | | 1,914,018 | |
| | 10,858 | | | Extra Space Storage, Inc. | | | 2,461,834 | |
| | 5,380 | | | Federal Realty Investment Trust | | | 733,402 | |
| | 159 | | | Gaming and Leisure Properties, Inc. | | | 7,737 | |
| | 44,266 | | | Healthpeak Properties, Inc. | | | 1,597,560 | |
| | 59,605 | | | Host Hotels & Resorts, Inc.* | | | 1,036,531 | |
| | 22,671 | | | Iron Mountain, Inc. | | | 1,186,373 | |
| | 50,093 | | | Kimco Realty Corp. | | | 1,234,792 | |
| | 9,574 | | | Mid-America Apartment Communities, Inc. | | | 2,196,659 | |
| | 60,730 | | | Prologis, Inc. | | | 10,224,503 | |
| | 12,532 | | | Public Storage, Inc. | | | 4,693,986 | |
| | 46,888 | | | Realty Income Corp. | | | 3,356,712 | |
| | 13,229 | | | Regency Centers Corp. | | | 996,805 | |
| | 9,023 | | | SBA Communications Corp. | | | 3,510,128 | |
| | 27,260 | | | Simon Property Group, Inc. | | | 4,355,330 | |
| | 23,907 | | | UDR, Inc. | | | 1,434,181 | |
| | 33,225 | | | Ventas, Inc. | | | 1,698,462 | |
| | 12,354 | | | Vornado Realty Trust | | | 517,138 | |
| | 35,017 | | | Welltower, Inc. | | | 3,003,408 | |
| | 61,424 | | | Weyerhaeuser Co. | | | 2,529,440 | |
| | | | | | | | |
| | | | | | | 88,863,008 | |
| | | | | | | | |
| Food & Staples Retailing (1.4%): | | | |
| | 36,292 | | | Costco Wholesale Corp. | | | 20,602,968 | |
| | 54,938 | | | Kroger Co. (The) | | | 2,486,494 | |
| | 42,120 | | | Sysco Corp. | | | 3,308,526 | |
| | 58,494 | | | Walgreens Boots Alliance, Inc. | | | 3,051,047 | |
| | 116,817 | | | Walmart, Inc. | | | 16,902,252 | |
| | | | | | | | |
| | | | | | | 46,351,287 | |
| | | | | | | | |
| Food Products (0.9%): | | | |
| | 45,606 | | | Archer-Daniels-Midland Co. | | | 3,082,510 | |
| | 16,606 | | | Campbell Soup Co. | | | 721,697 | |
| | 38,775 | | | Conagra Brands, Inc. | | | 1,324,166 | |
| | 50,170 | | | General Mills, Inc. | | | 3,380,455 | |
| | 11,716 | | | Hershey Co. (The) | | | 2,266,694 | |
| | 24,048 | | | Hormel Foods Corp. | | | 1,173,783 | |
| | 8,653 | | | JM Smucker Co. (The) | | | 1,175,250 | |
| | 20,373 | | | Kellogg Co. | | | 1,312,429 | |
| | 57,946 | | | Kraft Heinz Co. (The) | | | 2,080,261 | |
| | 12,006 | | | Lamb Weston Holdings, Inc. | | | 760,940 | |
| | 20,709 | | | McCormick & Co. | | | 2,000,696 | |
| | 115,180 | | | Mondelez International, Inc., Class A | | | 7,637,586 | |
| | 23,711 | | | Tyson Foods, Inc., Class A | | | 2,066,651 | |
| | | | | | | | |
| | | | | | | 28,983,118 | |
| | | | | | | | |
| Gas Utilities (0.0%†): | | | |
| | 11,187 | | | Atmos Energy Corp. | | | 1,172,062 | |
| | | | | | | | |
| Health Care Equipment & Supplies (3.5%): | | | |
| | 145,251 | | | Abbott Laboratories | | | 20,442,626 | |
| | 3,651 | | | ABIOMED, Inc.* | | | 1,311,330 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Health Care Equipment & Supplies, continued | | | |
| | 5,991 | | | Align Technology, Inc.* | | $ | 3,937,165 | |
| | 41,024 | | | Baxter International, Inc. | | | 3,521,500 | |
| | 23,537 | | | Becton Dickinson & Co. | | | 5,919,085 | |
| | 117,774 | | | Boston Scientific Corp.* | | | 5,003,039 | |
| | 4,093 | | | Cooper Cos., Inc. (The) | | | 1,714,721 | |
| | 52,240 | | | Danaher Corp. | | | 17,187,482 | |
| | 18,705 | | | Dentsply Sirona, Inc. | | | 1,043,552 | |
| | 7,988 | | | DexCom, Inc.* | | | 4,289,157 | |
| | 51,284 | | | Edwards Lifesciences Corp.* | | | 6,643,842 | |
| | 21,161 | | | Hologic, Inc.* | | | 1,620,086 | |
| | 7,017 | | | IDEXX Laboratories, Inc.* | | | 4,620,414 | |
| | 29,310 | | | Intuitive Surgical, Inc.* | | | 10,531,083 | |
| | 110,548 | | | Medtronic plc | | | 11,436,191 | |
| | 12,033 | | | ResMed, Inc. | | | 3,134,356 | |
| | 8,195 | | | Steris plc | | | 1,994,745 | |
| | 27,511 | | | Stryker Corp. | | | 7,356,992 | |
| | 3,756 | | | Teleflex, Inc. | | | 1,233,771 | |
| | 6,139 | | | West Pharmaceutical Services, Inc. | | | 2,879,252 | |
| | 16,778 | | | Zimmer Biomet Holdings, Inc. | | | 2,131,477 | |
| | | | | | | | |
| | | | | | | 117,951,866 | |
| | | | | | | | |
| Health Care Providers & Services (2.8%): | | | |
| | 12,113 | | | AmerisourceBergen Corp. | | | 1,609,697 | |
| | 19,988 | | | Anthem, Inc. | | | 9,265,237 | |
| | 23,141 | | | Cardinal Health, Inc. | | | 1,191,530 | |
| | 48,332 | | | Centene Corp.* | | | 3,982,557 | |
| | 27,468 | | | Cigna Corp. | | | 6,307,477 | |
| | 108,884 | | | CVS Health Corp. | | | 11,232,473 | |
| | 4,784 | | | DaVita, Inc.* | | | 544,228 | |
| | 19,848 | | | HCA Healthcare, Inc. | | | 5,099,348 | |
| | 11,839 | | | Henry Schein, Inc.* | | | 917,878 | |
| | 10,632 | | | Humana, Inc. | | | 4,931,760 | |
| | 7,719 | | | Laboratory Corp. of America Holdings* | | | 2,425,387 | |
| | 12,644 | | | McKesson Corp. | | | 3,142,919 | |
| | 10,043 | | | Quest Diagnostics, Inc. | | | 1,737,539 | |
| | 77,366 | | | UnitedHealth Group, Inc. | | | 38,848,563 | |
| | 5,848 | | | Universal Health Services, Inc., Class B | | | 758,252 | |
| | | | | | | | |
| | | | | | | 91,994,845 | |
| | | | | | | | |
| Health Care Technology (0.1%): | | | |
| | 24,049 | | | Cerner Corp. | | | 2,233,431 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.6%): | | | |
| | 17,353 | | | Caesars Entertainment, Inc.* | | | 1,623,026 | |
| | 64,958 | | | Carnival Corp., Class A* | | | 1,306,955 | |
| | 2,308 | | | Chipotle Mexican Grill, Inc.* | | | 4,034,961 | |
| | 10,600 | | | Darden Restaurants, Inc. | | | 1,596,784 | |
| | 3,027 | | | Domino’s Pizza, Inc. | | | 1,708,227 | |
| | 22,923 | | | Hilton Worldwide Holdings, Inc.* | | | 3,575,759 | |
| | 28,260 | | | Las Vegas Sands Corp.* | | | 1,063,706 | |
| | 22,693 | | | Marriott International, Inc., Class A* | | | 3,749,791 | |
| | 61,380 | | | McDonald’s Corp. | | | 16,454,137 | |
| | 30,994 | | | MGM Resorts International | | | 1,391,011 | |
| | 30,467 | | | Norwegian Cruise Line Holdings, Ltd.* | | | 631,886 | |
| | 13,824 | | | Penn National Gaming, Inc.* | | | 716,774 | |
| | 17,648 | | | Royal Caribbean Cruises, Ltd.* | | | 1,357,131 | |
| | 96,927 | | | Starbucks Corp. | | | 11,337,551 | |
| | 8,859 | | | Wynn Resorts, Ltd.* | | | 753,369 | |
| | 23,815 | | | Yum! Brands, Inc. | | | 3,306,951 | |
| | | | | | | | |
| | | | | | | 54,608,019 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Household Durables (0.4%): | | | |
| | 22,033 | | | Bath & Body Works, Inc. | | $ | 1,537,683 | |
| | 26,931 | | | DR Horton, Inc. | | | 2,920,667 | |
| | 12,607 | | | Garmin, Ltd. | | | 1,716,695 | |
| | 21,895 | | | Lennar Corp., Class A | | | 2,543,323 | |
| | 4,335 | | | Mohawk Industries, Inc.* | | | 789,750 | |
| | 31,308 | | | Newell Brands, Inc. | | | 683,767 | |
| | 275 | | | NVR, Inc.* | | | 1,624,939 | |
| | 20,880 | | | PulteGroup, Inc. | | | 1,193,501 | |
| | 4,990 | | | Whirlpool Corp. | | | 1,170,954 | |
| | | | | | | | |
| | | | | | | 14,181,279 | |
| | | | | | | | |
| Household Products (1.4%): | | | |
| | 20,462 | | | Church & Dwight Co., Inc. | | | 2,097,355 | |
| | 9,864 | | | Clorox Co. (The) | | | 1,719,887 | |
| | 68,986 | | | Colgate-Palmolive Co. | | | 5,887,265 | |
| | 27,444 | | | Kimberly-Clark Corp. | | | 3,922,297 | |
| | 198,780 | | | Procter & Gamble Co. (The) | | | 32,516,432 | |
| | | | | | | | |
| | | | | | | 46,143,236 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers (0.1%): | |
| | 53,680 | | | AES Corp. (The) | | | 1,304,424 | |
| | 19,447 | | | NRG Energy, Inc. | | | 837,777 | |
| | | | | | | | |
| | | | | | | 2,142,201 | |
| | | | | | | | |
| Industrial Conglomerates (1.0%): | | | |
| | 47,319 | | | 3M Co. | | | 8,405,274 | |
| | 90,440 | | | General Electric Co. | | | 8,543,867 | |
| | 56,549 | | | Honeywell International, Inc. | | | 11,791,032 | |
| | 8,622 | | | Roper Technologies, Inc. | | | 4,240,817 | |
| | | | | | | | |
| | | | | | | 32,980,990 | |
| | | | | | | | |
| Insurance (1.8%): | | | |
| | 49,997 | | | Aflac, Inc. | | | 2,919,325 | |
| | 23,758 | | | Allstate Corp. (The) | | | 2,795,129 | |
| | 68,812 | | | American International Group, Inc. | | | 3,912,650 | |
| | 18,260 | | | Aon plc, Class A | | | 5,488,226 | |
| | 17,057 | | | Arthur J. Gallagher & Co. | | | 2,894,061 | |
| | 4,561 | | | Assurant, Inc. | | | 710,877 | |
| | 18,950 | | | Brown & Brown, Inc. | | | 1,331,806 | |
| | 35,181 | | | Chubb, Ltd. | | | 6,800,839 | |
| | 12,245 | | | Cincinnati Financial Corp. | | | 1,395,073 | |
| | 3,361 | | | Everest Re Group, Ltd. | | | 920,645 | |
| | 7,777 | | | Globe Life, Inc. | | | 728,860 | |
| | 27,358 | | | Hartford Financial Services Group, Inc. (The) | | | 1,888,796 | |
| | 13,697 | | | Lincoln National Corp. | | | 934,957 | |
| | 17,114 | | | Loews Corp. | | | 988,505 | |
| | 41,631 | | | Marsh & McLennan Cos., Inc. | | | 7,236,300 | |
| | 59,255 | | | MetLife, Inc. | | | 3,702,845 | |
| | 20,561 | | | Principal Financial Group, Inc. | | | 1,487,177 | |
| | 47,984 | | | Progressive Corp. (The) | | | 4,925,558 | |
| | 30,913 | | | Prudential Financial, Inc. | | | 3,346,023 | |
| | 20,199 | | | Travelers Cos., Inc. (The) | | | 3,159,730 | |
| | 10,275 | | | Willis Towers Watson plc | | | 2,440,210 | |
| | 11,826 | | | WR Berkley Corp. | | | 974,344 | |
| | | | | | | | |
| | | | | | | 60,981,936 | |
| | | | | | | | |
| Interactive Media & Services (6.3%): | | | |
| | 24,709 | | | Alphabet, Inc., Class A* | | | 71,582,961 | |
| | 22,968 | | | Alphabet, Inc., Class C* | | | 66,459,975 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Interactive Media & Services, continued | | | |
| | 22,939 | | | Match Group, Inc.* | | $ | 3,033,683 | |
| | 194,371 | | | Meta Platforms, Inc., Class A* | | | 65,376,686 | |
| | 65,619 | | | Twitter, Inc.* | | | 2,836,053 | |
| | | | | | | | |
| | | | | | | 209,289,358 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (4.1%): | | | |
| | 35,826 | | | Amazon.com, Inc.* | | | 119,456,065 | |
| | 3,382 | | | Booking Holdings, Inc.* | | | 8,114,196 | |
| | 51,880 | | | eBay, Inc. | | | 3,450,020 | |
| | 10,493 | | | Etsy, Inc.* | | | 2,297,337 | |
| | 12,075 | | | Expedia Group, Inc.* | | | 2,182,194 | |
| | | | | | | | |
| | | | | | | 135,499,812 | |
| | | | | | | | |
| IT Services (4.5%): | | | |
| | 51,884 | | | Accenture plc, Class A | | | 21,508,512 | |
| | 13,410 | | | Akamai Technologies, Inc.* | | | 1,569,506 | |
| | 34,428 | | | Automatic Data Processing, Inc. | | | 8,489,256 | |
| | 9,638 | | | Broadridge Financial Solutions, Inc. | | | 1,762,019 | |
| | 42,746 | | | Cognizant Technology Solutions Corp., Class A | | | 3,792,425 | |
| | 21,865 | | | DXC Technology Co.* | | | 703,834 | |
| | 4,728 | | | EPAM Systems, Inc.* | | | 3,160,432 | |
| | 49,869 | | | Fidelity National Information Services, Inc. | | | 5,443,201 | |
| | 48,637 | | | Fiserv, Inc.* | | | 5,048,034 | |
| | 6,524 | | | FleetCor Technologies, Inc.* | | | 1,460,332 | |
| | 6,721 | | | Gartner, Inc.* | | | 2,246,965 | |
| | 24,180 | | | Global Payments, Inc. | | | 3,268,652 | |
| | 73,665 | | | International Business Machines Corp. | | | 9,846,064 | |
| | 6,331 | | | Jack Henry & Associates, Inc. | | | 1,057,214 | |
| | 71,258 | | | Mastercard, Inc., Class A | | | 25,604,425 | |
| | 26,437 | | | Paychex, Inc. | | | 3,608,651 | |
| | 96,511 | | | PayPal Holdings, Inc.* | | | 18,200,044 | |
| | 7,951 | | | VeriSign, Inc.* | | | 2,018,123 | |
| | 137,753 | | | Visa, Inc., Class A | | | 29,852,453 | |
| | | | | | | | |
| | | | | | | 148,640,142 | |
| | | | | | | | |
| Leisure Products (0.0%†): | | | |
| | 10,886 | | | Hasbro, Inc. | | | 1,107,977 | |
| | | | | | | | |
| Life Sciences Tools & Services (1.4%): | | | |
| | 24,866 | | | Agilent Technologies, Inc. | | | 3,969,857 | |
| | 1,751 | | | Bio-Rad Laboratories, Inc., Class A* | | | 1,323,003 | |
| | 3,249 | | | Bio-Techne Corp. | | | 1,680,838 | |
| | 4,160 | | | Charles River Laboratories International, Inc.* | | | 1,567,405 | |
| | 12,953 | | | Illumina, Inc.* | | | 4,927,839 | |
| | 15,648 | | | IQVIA Holdings, Inc.* | | | 4,414,927 | |
| | 1,895 | | | Mettler-Toledo International, Inc.* | | | 3,216,213 | |
| | 10,459 | | | PerkinElmer, Inc. | | | 2,102,886 | |
| | 32,368 | | | Thermo Fisher Scientific, Inc. | | | 21,597,224 | |
| | 4,951 | | | Waters Corp.* | | | 1,844,743 | |
| | | | | | | | |
| | | | | | | 46,644,935 | |
| | | | | | | | |
| Machinery (1.5%): | | | |
| | 44,347 | | | Caterpillar, Inc. | | | 9,168,299 | |
| | 11,704 | | | Cummins, Inc. | | | 2,553,111 | |
| | 23,145 | | | Deere & Co. | | | 7,936,189 | |
| | 12,027 | | | Dover Corp. | | | 2,184,103 | |
| | 28,761 | | | Fortive Corp. | | | 2,194,177 | |
| | 6,166 | | | IDEX Corp. | | | 1,457,149 | |
| | 23,555 | | | Illinois Tool Works, Inc. | | | 5,813,374 | |
| | 33,734 | | | Ingersoll-Rand, Inc. | | | 2,087,123 | |
See accompanying notes to the financial statements.
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Machinery, continued | | | |
| | 34,996 | | | Otis Worldwide Corp. | | $ | 3,047,102 | |
| | 28,859 | | | PACCAR, Inc. | | | 2,547,095 | |
| | 10,561 | | | Parker-Hannifin Corp. | | | 3,359,665 | |
| | 14,162 | | | Pentair plc | | | 1,034,251 | |
| | 4,577 | | | Snap-On, Inc. | | | 985,794 | |
| | 13,475 | | | Stanley Black & Decker, Inc. | | | 2,541,654 | |
| | 15,515 | | | Wabtec Corp. | | | 1,429,087 | |
| | 15,138 | | | Xylem, Inc. | | | 1,815,349 | |
| | | | | | | | |
| | | | | | | 50,153,522 | |
| | | | | | | | |
| Media (1.0%): | | | |
| | 10,100 | | | Charter Communications, Inc., Class A* | | | 6,584,897 | |
| | 374,526 | | | Comcast Corp., Class A | | | 18,849,894 | |
| | 26,156 | | | Discovery Communications, Inc., Class C* | | | 598,972 | |
| | 13,843 | | | Discovery, Inc., Class A* | | | 325,864 | |
| | 20,778 | | | DISH Network Corp., Class A* | | | 674,038 | |
| | 25,373 | | | Fox Corp., Class A | | | 936,264 | |
| | 11,105 | | | Fox Corp., Class B | | | 380,568 | |
| | 31,245 | | | Interpublic Group of Cos., Inc. (The) | | | 1,170,125 | |
| | 32,464 | | | News Corp., Class A | | | 724,272 | |
| | 10,641 | | | News Corp., Class B | | | 239,423 | |
| | 17,326 | | | Omnicom Group, Inc. | | | 1,269,476 | |
| | 51,369 | | | ViacomCBS, Inc., Class B | | | 1,550,317 | |
| | | | | | | | |
| | | | | | | 33,304,110 | |
| | | | | | | | |
| Metals & Mining (0.4%): | | | |
| | 119,952 | | | Freeport-McMoRan, Inc. | | | 5,005,597 | |
| | 65,960 | | | Newmont Corp. | | | 4,090,839 | |
| | 23,086 | | | Nucor Corp. | | | 2,635,267 | |
| | | | | | | | |
| | | | | | | 11,731,703 | |
| | | | | | | | |
| Multiline Retail (0.5%): | | | |
| | 19,259 | | | Dollar General Corp. | | | 4,541,850 | |
| | 18,328 | | | Dollar Tree, Inc.* | | | 2,575,451 | |
| | 40,001 | | | Target Corp. | | | 9,257,831 | |
| | | | | | | | |
| | | | | | | 16,375,132 | |
| | | | | | | | |
| Multi-Utilities (0.7%): | | | |
| | 20,815 | | | Ameren Corp. | | | 1,852,743 | |
| | 50,376 | | | CenterPoint Energy, Inc. | | | 1,405,994 | |
| | 23,684 | | | CMS Energy Corp. | | | 1,540,644 | |
| | 29,212 | | | Consolidated Edison, Inc. | | | 2,492,368 | |
| | 66,261 | | | Dominion Energy, Inc. | | | 5,205,464 | |
| | 16,294 | | | DTE Energy Co. | | | 1,947,785 | |
| | 32,722 | | | NiSource, Inc. | | | 903,454 | |
| | 42,196 | | | Public Service Enterprise Group, Inc. | | | 2,815,739 | |
| | 26,088 | | | Sempra Energy | | | 3,450,921 | |
| | 26,015 | | | WEC Energy Group, Inc. | | | 2,525,276 | |
| | | | | | | | |
| | | | | | | 24,140,388 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (2.5%): | | | |
| | 30,076 | | | APA Corp. | | | 808,744 | |
| | 158,345 | | | Chevron Corp. | | | 18,581,786 | |
| | 107,942 | | | ConocoPhillips | | | 7,791,254 | |
| | 66,817 | | | Coterra Energy, Inc. | | | 1,269,523 | |
| | 52,785 | | | Devon Energy Corp. | | | 2,325,179 | |
| | 14,209 | | | Diamondback Energy, Inc. | | | 1,532,441 | |
| | 48,277 | | | EOG Resources, Inc. | | | 4,288,446 | |
| | 347,755 | | | Exxon Mobil Corp. | | | 21,279,128 | |
| | 23,135 | | | Hess Corp. | | | 1,712,684 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Oil, Gas & Consumable Fuels, continued | | | |
| | 157,270 | | | Kinder Morgan, Inc. | | $ | 2,494,302 | |
| | 65,066 | | | Marathon Oil Corp. | | | 1,068,384 | |
| | 51,017 | | | Marathon Petroleum Corp. | | | 3,264,578 | |
| | 72,410 | | | Occidental Petroleum Corp. | | | 2,099,166 | |
| | 36,226 | | | ONEOK, Inc. | | | 2,128,640 | |
| | 36,549 | | | Phillips 66 | | | 2,648,340 | |
| | 18,515 | | | Pioneer Natural Resources Co. | | | 3,367,508 | |
| | 33,691 | | | Valero Energy Corp. | | | 2,530,531 | |
| | 101,528 | | | Williams Cos., Inc. | | | 2,643,789 | |
| | | | | | | | |
| | | | | | | 81,834,423 | |
| | | | | | | | |
| Personal Products (0.2%): | | | |
| | 18,930 | | | Estee Lauder Co., Inc. (The), Class A | | | 7,007,886 | |
| | | | | | | | |
| Pharmaceuticals (3.7%): | | | |
| | 182,327 | | | Bristol-Myers Squibb Co. | | | 11,368,089 | |
| | 14,300 | | | Catalent, Inc.* | | | 1,830,829 | |
| | 65,219 | | | Eli Lilly & Co. | | | 18,014,792 | |
| | 216,247 | | | Johnson & Johnson | | | 36,993,374 | |
| | 207,329 | | | Merck & Co., Inc. | | | 15,889,695 | |
| | 21,014 | | | Organon & Co. | | | 639,876 | |
| | 461,054 | | | Pfizer, Inc. | | | 27,225,239 | |
| | 97,917 | | | Viatris, Inc. | | | 1,324,817 | |
| | 38,943 | | | Zoetis, Inc. | | | 9,503,260 | |
| | | | | | | | |
| | | | | | | 122,789,971 | |
| | | | | | | | |
| Professional Services (0.4%): | | | |
| | 9,869 | | | Equifax, Inc. | | | 2,889,544 | |
| | 32,626 | | | IHS Markit, Ltd. | | | 4,336,648 | |
| | 11,329 | | | Leidos Holdings, Inc. | | | 1,007,148 | |
| | 28,405 | | | Nielsen Holdings plc | | | 582,586 | |
| | 8,628 | | | Robert Half International, Inc. | | | 962,195 | |
| | 13,157 | | | Verisk Analytics, Inc. | | | 3,009,401 | |
| | | | | | | | |
| | | | | | | 12,787,522 | |
| | | | | | | | |
| Real Estate Management & Development (0.1%): | | | |
| | 2,485,087 | | | BGP Holdings plc*(a) | | | — | |
| | 27,110 | | | CBRE Group, Inc., Class A* | | | 2,941,706 | |
| | | | | | | | |
| | | | | | | 2,941,706 | |
| | | | | | | | |
| Road & Rail (0.9%): | | | |
| | 181,148 | | | CSX Corp. | | | 6,811,165 | |
| | 6,701 | | | J.B. Hunt Transport Services, Inc. | | | 1,369,684 | |
| | 20,166 | | | Norfolk Southern Corp. | | | 6,003,620 | |
| | 7,533 | | | Old Dominion Freight Line, Inc. | | | 2,699,677 | |
| | 52,807 | | | Union Pacific Corp. | | | 13,303,667 | |
| | | | | | | | |
| | | | | | | 30,187,813 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (6.3%): | | | |
| | 99,196 | | | Advanced Micro Devices, Inc.* | | | 14,274,304 | |
| | 43,918 | | | Analog Devices, Inc. | | | 7,719,467 | |
| | 74,169 | | | Applied Materials, Inc. | | | 11,671,234 | |
| | 33,811 | | | Broadcom, Inc. | | | 22,498,178 | |
| | 11,042 | | | Enphase Energy, Inc.* | | | 2,020,023 | |
| | 334,073 | | | Intel Corp. | | | 17,204,760 | |
| | 12,454 | | | KLA Corp. | | | 5,356,590 | |
| | 11,506 | | | Lam Research Corp. | | | 8,274,540 | |
| | 45,551 | | | Microchip Technology, Inc. | | | 3,965,670 | |
| | 92,101 | | | Micron Technology, Inc. | | | 8,579,208 | |
| | 3,588 | | | Monolithic Power Systems, Inc. | | | 1,770,068 | |
| | 205,356 | | | NVIDIA Corp. | | | 60,397,253 | |
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 21,824 | | | NXP Semiconductors NV | | $ | 4,971,071 | |
| | 8,768 | | | Qorvo, Inc.* | | | 1,371,228 | |
| | 91,999 | | | Qualcomm, Inc. | | | 16,823,857 | |
| | 13,629 | | | Skyworks Solutions, Inc. | | | 2,114,403 | |
| | 4,353 | | | SolarEdge Technologies, Inc.* | | | 1,221,321 | |
| | 13,316 | | | Teradyne, Inc. | | | 2,177,565 | |
| | 75,861 | | | Texas Instruments, Inc. | | | 14,297,523 | |
| | 20,507 | | | Xilinx, Inc. | | | 4,348,099 | |
| | | | | | | | |
| | | | | | | 211,056,362 | |
| | | | | | | | |
| Software (9.5%): | | | |
| | 39,083 | | | Adobe, Inc.* | | | 22,162,406 | |
| | 7,051 | | | ANSYS, Inc.* | | | 2,828,297 | |
| | 17,977 | | | Autodesk, Inc.* | | | 5,054,953 | |
| | 22,765 | | | Cadence Design Systems, Inc.* | | | 4,242,258 | |
| | 10,915 | | | Ceridian HCM Holding, Inc.* | | | 1,140,181 | |
| | 10,529 | | | Citrix Systems, Inc. | | | 995,938 | |
| | 11,032 | | | Fortinet, Inc.* | | | 3,964,901 | |
| | 23,260 | | | Intuit, Inc. | | | 14,961,297 | |
| | 616,723 | | | Microsoft Corp. | | | 207,416,279 | |
| | 46,425 | | | NortonLifeLock, Inc. | | | 1,206,121 | |
| | 132,485 | | | Oracle Corp. | | | 11,554,017 | |
| | 3,867 | | | Paycom Software, Inc.* | | | 1,605,540 | |
| | 9,000 | | | PTC, Inc.* | | | 1,090,350 | |
| | 80,417 | | | salesforce.com, Inc.* | | | 20,436,372 | |
| | 16,310 | | | ServiceNow, Inc.* | | | 10,586,984 | |
| | 12,527 | | | Synopsys, Inc.* | | | 4,616,200 | |
| | 3,404 | | | Tyler Technologies, Inc.* | | | 1,831,182 | |
| | | | | | | | |
| | | | | | | 315,693,276 | |
| | | | | | | | |
| Specialty Retail (2.3%): | | | |
| | 5,233 | | | Advance Auto Parts, Inc. | | | 1,255,292 | |
| | 1,726 | | | AutoZone, Inc.* | | | 3,618,369 | |
| | 18,058 | | | Best Buy Co., Inc. | | | 1,834,693 | |
| | 13,005 | | | CarMax, Inc.* | | | 1,693,641 | |
| | 18,481 | | | Gap, Inc. (The) | | | 326,190 | |
| | 86,690 | | | Home Depot, Inc. (The) | | | 35,977,217 | |
| | 56,878 | | | Lowe’s Cos., Inc. | | | 14,701,825 | |
| | 5,584 | | | O’Reilly Automotive, Inc.* | | | 3,943,588 | |
| | 29,550 | | | Ross Stores, Inc. | | | 3,376,974 | |
| | 99,464 | | | TJX Cos., Inc. (The) | | | 7,551,307 | |
| | 9,264 | | | Tractor Supply Co. | | | 2,210,390 | |
| | 4,540 | | | Ulta Beauty, Inc.* | | | 1,872,024 | |
| | | | | | | | |
| | | | | | | 78,361,510 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Technology Hardware, Storage & Peripherals (7.1%): | | | |
| | 1,280,276 | | | Apple, Inc. | | $ | 227,338,609 | |
| | 107,814 | | | Hewlett Packard Enterprise Co. | | | 1,700,227 | |
| | 95,516 | | | HP, Inc. | | | 3,598,088 | |
| | 18,497 | | | NetApp, Inc. | | | 1,701,539 | |
| | 16,493 | | | Seagate Technology Holdings plc | | | 1,863,379 | |
| | 25,241 | | | Western Digital Corp.* | | | 1,645,966 | |
| | | | | | | | |
| | | | | | | 237,847,808 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (0.7%): | | | |
| | 104,962 | | | Nike, Inc., Class B | | | 17,494,017 | |
| | 5,759 | | | PVH Corp. | | | 614,197 | |
| | 4,406 | | | Ralph Lauren Corp. | | | 523,697 | |
| | 23,538 | | | Tapestry, Inc. | | | 955,643 | |
| | 16,585 | | | Under Armour, Inc., Class A* | | | 351,436 | |
| | 18,266 | | | Under Armour, Inc., Class C* | | | 329,519 | |
| | 27,374 | | | VF Corp. | | | 2,004,324 | |
| | | | | | | | |
| | | | | | | 22,272,833 | |
| | | | | | | | |
| Tobacco (0.6%): | | | |
| | 151,878 | | | Altria Group, Inc. | | | 7,197,498 | |
| | 127,768 | | | Philip Morris International, Inc. | | | 12,137,960 | |
| | | | | | | | |
| | | | | | | 19,335,458 | |
| | | | | | | | |
| Trading Companies & Distributors (0.2%): | | | |
| | 47,965 | | | Fastenal Co. | | | 3,072,638 | |
| | 5,834 | | | United Rentals, Inc.* | | | 1,938,580 | |
| | 3,634 | | | W.W. Grainger, Inc. | | | 1,883,284 | |
| | | | | | | | |
| | | | | | | 6,894,502 | |
| | | | | | | | |
| Water Utilities (0.1%): | | | |
| | 15,087 | | | American Water Works Co., Inc. | | | 2,849,331 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.2%): | | | |
| | 48,027 | | | T-Mobile USA, Inc.* | | | 5,570,171 | |
| | | | | | | | |
| | Total Common Stocks (Cost $1,230,876,286) | | | 3,315,012,143 | |
| | | | | | | | |
| Unaffiliated Investment Company (0.5%): | | | |
| Money Markets (0.5%): | | | |
| | 17,855,678 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 17,855,678 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $17,855,678) | | | 17,855,678 | |
| | | | | |
| | Total Investment Securities (Cost $1,248,731,964) — 100.0%(c) | | | 3,332,867,821 | |
| | Net other assets (liabilities) — 0.0%† | | | 169,806 | |
| | | | | |
| | Net Assets — 100.0% | | $ | 3,333,037,627 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
| * Non-income | producing security. |
| † 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, 2021. The total of all such securities represent 0.00% of the net assets of the fund. |
| (b) The | rate represents the effective yield at December 31, 2021. |
| (c) See | Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $0 or round to less than $1.
See accompanying notes to the financial statements.
9
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
December 31, 2021
Futures Contracts
At December 31, 2021, 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) | | | 3/18/22 | | | | 83 | | | $ | 19,747,775 | | | $ | 115,888 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 115,888 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
10
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investments in non-affiliates, at cost | | | $ | 1,244,879,411 | |
Investments in affiliates, at cost | | | | 3,852,553 | |
| | | | | |
Investments in non-affiliates, at value | | | | 3,322,127,387 | |
Investments in affiliates, at value | | | | 10,740,434 | |
Cash | | | | 28,471 | |
Deposit at broker for futures contracts collateral | | | | 965,000 | |
Interest and dividends receivable | | | | 1,995,732 | |
Foreign currency, at value (cost $101,115) | | | | 98,809 | |
Receivable for investments sold | | | | 139,000 | |
Reclaims receivable | | | | 79,190 | |
Prepaid expenses | | | | 16,427 | |
| | | | | |
Total Assets | | | | 3,336,190,450 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 1,136,845 | |
Payable for variation margin on futures contracts | | | | 69,588 | |
Manager fees payable | | | | 508,825 | |
Administration fees payable | | | | 506,046 | |
Distribution fees payable | | | | 688,717 | |
Custodian fees payable | | | | 13,837 | |
Administrative and compliance services fees payable | | | | 5,533 | |
Transfer agent fees payable | | | | 2,734 | |
Trustee fees payable | | | | 31,077 | |
Other accrued liabilities | | | | 189,621 | |
| | | | | |
Total Liabilities | | | | 3,152,823 | |
| | | | | |
Net Assets | | | $ | 3,333,037,627 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 924,289,800 | |
Total distributable earnings | | | | 2,408,747,827 | |
| | | | | |
Net Assets | | | $ | 3,333,037,627 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 99,137,468 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 4,023,506 | |
Net Asset Value (offering and redemption price per share) | | | $ | 24.64 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 3,233,900,159 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 132,529,461 | |
Net Asset Value (offering and redemption price per share) | | | $ | 24.40 | |
| | | | | |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends from non-affiliates | | | $ | 43,224,361 | |
Dividends from affiliates | | | | 200,858 | |
Interest | | | | 1,367 | |
Income from securities lending | | | | 18,609 | |
Foreign withholding tax | | | | (47,115 | ) |
| | | | | |
Total Investment Income | | | | 43,398,080 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 5,331,340 | |
Administration fees | | | | 1,090,799 | |
Distribution fees — Class 2 | | | | 7,607,915 | |
Custodian fees | | | | 70,191 | |
Administrative and compliance services fees | | | | 34,985 | |
Transfer agent fees | | | | 11,904 | |
Trustee fees | | | | 148,622 | |
Professional fees | | | | 136,594 | |
Licensing fees | | | | 548,229 | |
Shareholder reports | | | | 70,113 | |
Other expenses | | | | 55,736 | |
| | | | | |
Total expenses | | | | 15,106,428 | |
| | | | | |
Net Investment Income/(Loss) | | | | 28,291,652 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 325,645,442 | |
Net realized gains/(losses) on affiliated transactions | | | | 1,092,370 | |
Net realized gains/(losses) on futures contracts | | | | 4,826,145 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 414,583,714 | |
Change in net unrealized appreciation/depreciation on affiliated transactions | | | | 1,306,545 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | (221,130 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 747,233,086 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 775,524,738 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 28,291,652 | | | | $ | 33,594,487 | |
Net realized gains/(losses) on investments | | | | 331,563,957 | | | | | 161,722,190 | |
Change in unrealized appreciation/depreciation on investments | | | | 415,669,129 | | | | | 222,363,785 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 775,524,738 | | | | | 417,680,462 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (6,066,971 | ) | | | | (4,285,950 | ) |
Class 2 | | | | (202,617,986 | ) | | | | (130,497,086 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (208,684,957 | ) | | | | (134,783,036 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 357,240 | | | | | 177,984 | |
Proceeds from shares issued in merger | | | | — | | | | | 14,607,666 | |
Proceeds from dividends reinvested | | | | 6,066,971 | | | | | 4,285,950 | |
Value of shares redeemed | | | | (10,698,137 | ) | | | | (11,356,566 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (4,273,926 | ) | | | | 7,715,034 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 432,554,811 | | | | | 174,055,612 | |
Proceeds from shares issued in merger | | | | — | | | | | 60,521,801 | |
Proceeds from dividends reinvested | | | | 202,617,985 | | | | | 130,497,085 | |
Value of shares redeemed | | | | (702,400,057 | ) | | | | (608,017,403 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (67,227,261 | ) | | | | (242,942,905 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (71,501,187 | ) | | | | (235,227,871 | ) |
| | | | | | | | | | |
Change in net assets | | | | 495,338,594 | | | | | 47,669,555 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 2,837,699,033 | | | | | 2,790,029,478 | |
| | | | | | | | | | |
End of period | | | $ | 3,333,037,627 | | | | $ | 2,837,699,033 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 15,874 | | | | | 10,489 | |
Shares issued in merger | | | | — | | | | | 749,180 | |
Dividends reinvested | | | | 269,643 | | | | | 228,219 | |
Shares redeemed | | | | (465,681 | ) | | | | (631,480 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (180,164 | ) | | | | 356,408 | |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 18,802,260 | | | | | 12,037,843 | |
Shares issued in merger | | | | — | | | | | 3,134,464 | |
Dividends reinvested | | | | 9,090,084 | | | | | 7,004,675 | |
Shares redeemed | | | | (30,537,117 | ) | | | | (36,115,663 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (2,644,773 | ) | | | | (13,938,681 | ) |
| | | | | | | | | | |
Change in shares | | | | (2,824,937 | ) | | | | (13,582,273 | ) |
| | | | | | | | | | |
| Amounts | shown as “—” are either $0 or rounds to less than $1. |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 20.53 | | | | $ | 18.39 | | | | $ | 14.72 | | | | $ | 16.25 | | | | $ | 14.15 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.26 | (a) | | | | 0.28 | (a) | | | | 0.31 | (a) | | | | 0.29 | (a) | | | | 0.28 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 5.42 | | | | | 2.90 | | | | | 4.20 | | | | | (0.96 | ) | | | | 2.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 5.68 | | | | | 3.18 | | | | | 4.51 | | | | | (0.67 | ) | | | | 2.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.29 | ) | | | | (0.35 | ) | | | | (0.31 | ) | | | | (0.31 | ) | | | | (0.17 | ) |
Net Realized Gains | | | | (1.28 | ) | | | | (0.69 | ) | | | | (0.53 | ) | | | | (0.55 | ) | | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.57 | ) | | | | (1.04 | ) | | | | (0.84 | ) | | | | (0.86 | ) | | | | (0.89 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 24.64 | | | | $ | 20.53 | | | | $ | 18.39 | | | | $ | 14.72 | | | | $ | 16.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 28.42 | % | | | | 17.82 | % | | | | 31.27 | % | | | | (4.63 | )% | | | | 21.60 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 99,137 | | | | $ | 86,300 | | | | $ | 70,738 | | | | $ | 62,599 | | | | $ | 76,049 | |
Net Investment Income/(Loss) | | | | 1.15 | % | | | | 1.53 | % | | | | 1.81 | % | | | | 1.74 | % | | | | 1.83 | % |
Expenses Before Reductions(c) | | | | 0.24 | % | | | | 0.25 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.23 | % |
Expenses Net of Reductions | | | | 0.24 | % | | | | 0.25 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.23 | % |
Portfolio Turnover Rate(d) | | | | 17 | % | | | | 10 | % | | | | 3 | % | | | | 4 | % | | | | 2 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 20.35 | | | | $ | 18.24 | | | | $ | 14.61 | | | | $ | 16.13 | | | | $ | 14.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.20 | (a) | | | | 0.24 | (a) | | | | 0.26 | (a) | | | | 0.25 | (a) | | | | 0.24 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 5.37 | | | | | 2.86 | | | | | 4.17 | | | | | (0.95 | ) | | | | 2.70 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 5.57 | | | | | 3.10 | | | | | 4.43 | | | | | (0.70 | ) | | | | 2.94 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.24 | ) | | | | (0.30 | ) | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.15 | ) |
Net Realized Gains | | | | (1.28 | ) | | | | (0.69 | ) | | | | (0.53 | ) | | | | (0.55 | ) | | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (1.52 | ) | | | | (0.99 | ) | | | | (0.80 | ) | | | | (0.82 | ) | | | | (0.87 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 24.40 | | | | $ | 20.35 | | | | $ | 18.24 | | | | $ | 14.61 | | | | $ | 16.13 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 28.12 | % | | | | 17.50 | % | | | | 30.89 | % | | | | (4.84 | )% | | | | 21.36 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 3,233,900 | | | | $ | 2,751,399 | | | | $ | 2,719,291 | | | | $ | 2,370,547 | | | | $ | 2,788,345 | |
Net Investment Income/(Loss) | | | | 0.89 | % | | | | 1.31 | % | | | | 1.56 | % | | | | 1.49 | % | | | | 1.58 | % |
Expenses Before Reductions(c) | | | | 0.49 | % | | | | 0.50 | % | | | | 0.49 | % | | | | 0.48 | % | | | | 0.48 | % |
Expenses Net of Reductions | | | | 0.49 | % | | | | 0.50 | % | | | | 0.49 | % | | | | 0.48 | % | | | | 0.48 | % |
Portfolio Turnover Rate(d) | | | | 17 | % | | | | 10 | % | | | | 3 | % | | | | 4 | % | | | | 2 | % |
| (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, 2021
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 Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2021
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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $1,831 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had no securities lending transactions open as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $20.3 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
| | | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 115,888 | | | 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, 2021
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, 2021:
| | | | | | | | | | |
| 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 | | $ | 4,826,145 | | | | $(221,130) | |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 with respect to the annual expense ratios 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such waivers.
At December 31, 2021, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
12/31/2020 | | Purchases
at Cost | | Proceeds
from Sales | | Net Realized
Gains(Losses) | | Change in
Net Unrealized
Appreciation/
Depreciation | | Value
12/31/2021 | | Shares
as of
12/31/2021 | | Dividend
Income | | Capital
Gains
Distributions |
| | | | | | | | | |
BlackRock Inc., Class A | | | $ | 9,125,315 | | | | $ | 1,507,218 | | | | $ | (2,291,014 | ) | | | $ | 1,092,370 | | | | $ | 1,306,545 | | | | $ | 10,740,434 | | | | | 11,731 | | | | $ | 200,858 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 9,125,315 | | | | $ | 1,507,218 | | | | $ | (2,291,014 | ) | | | $ | 1,092,370 | | | | $ | 1,306,545 | | | | $ | 10,740,434 | | | | | 11,731 | | | | $ | 200,858 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.
16
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2021
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.
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.
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 3,315,012,143 | | | | $ | — | | | | $ | — | # | | | $ | 3,315,012,143 | |
Unaffiliated Investment Company | | | | 17,855,678 | | | | | — | | | | | — | | | | | 17,855,678 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 3,332,867,821 | | �� | | | — | | | | | — | | | | | 3,332,867,821 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 115,888 | | | | | — | | | | | — | | | | | 115,888 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 3,332,983,709 | | | | $ | — | | | | $ | — | | | | $ | 3,332,983,709 | |
| | | | | | | | | | | | | | | | | | | | |
| + | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at December 31, 2021. |
| * | 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, 2021, 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 | | | $ | 536,207,040 | | | | $ | 784,496,445 | |
17
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $1,282,794,627. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 2,066,341,139 | |
Unrealized (depreciation) | | | (16,267,945 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 2,050,073,194 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary Income | | Net Long-Term Capital Gains | | Total Distributions(a) |
| | | |
AZL S&P 500 Index Fund | | | $ | 37,011,304 | | | | $ | 171,673,653 | | | | $ | 208,684,957 | |
| (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, 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. |
18
AZL S&P 500 Index Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 31,980,442 | | | | $ | 326,695,822 | | | | $ | — | | | | $ | 2,050,071,563 | | | | $ | 2,408,747,827 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was 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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 55% of the Fund. Investment activities of the shareholder 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.
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 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, 2021, the Fund declared net short-term capital gain distributions of $3,557,755.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $171,673,653.
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
23
other simultaneously during the meeting. Accordingly, the Advisory Contracts were approved by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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.
24
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
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Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® Small Cap Stock Index Fund
Annual Report
December 31, 2021
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.
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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, 2021?*
For the year ended December 31, 2021, the AZL® Small Cap Stock Index Fund (Class 2 Shares) (the “Fund”) returned 26.04%. That compared to a 26.82% total return for its benchmark, the S&P SmallCap 600 Index.1
The Fund seeks investment results, before fees and expenses, that correspond to the performance of the S&P SmallCap 600 Index (the “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 small-cap stock performance. It is an unmanaged, market capitalization-weighted index composed of large-capitalization U.S. equities.
In the first quarter of 2021, favorable conditions carried over from the strong end of 2020. The Federal Reserve’s (the Fed) accommodative policies, along with a new $1.9 trillion stimulus package and the start of the vaccine rollout in the U.S., supported investor optimism for strong economic growth in the first quarter. All sectors within the S&P 500® Index2 posted positive returns over the first three months of 2021. The energy sector posted the strongest return for the quarter, supported by a rally in oil prices due to a surge in demand paired with unchanged production levels, along with oil transport concerns due to the temporary blockage of the Suez Canal. The financial sector was another top performer due to positive market conditions. By comparison, the information technology and consumer staples sectors lagged their peers within the U.S. market, albeit still posting positive returns, after posting strong gains in 2020.
During the second quarter, U.S. equity markets rallied as the vaccination campaign continued to accelerate and economic indicators continued to improve. The U.S. Consumer Price Index (CPI) increased by more than 4% year-over-year in April. But growing concerns about inflation were offset by the Fed’s commitment to maintain its accommodative monetary policies and the prospect of a bipartisan $1 trillion agreement for infrastructure that passed the Senate in May.
In the third quarter, strong economic data and corporate earnings reports helped push U.S. equities higher despite a resurgence in COVID-19 cases due to the arrival of the Delta variant in the U.S. However, concerns regarding potential contagion from the unfolding debt crisis at Chinese property developer Evergrande muted U.S. equity
markets late in the quarter. Rising inflation and supply chain issues also weighed on market sentiment, as did the continuing disagreement in Washington regarding the debt ceiling and the infrastructure bill.
In the fourth quarter, the boost to investor sentiment from a strong earnings season was offset by a new, more transmissible COVID-19 variant (Omicron) and ongoing concerns about higher inflation rates. Markets recovered to post strong returns for the quarter after initial data showed existing vaccines remained effective against the Omicron variant, and the Fed clarified its plan to begin tightening its monetary policy in 2022. The falling unemployment rate and the final passage of the bipartisan infrastructure bill further supported the market performance over the quarter.
All sectors within the Index posted positive returns over the year. The energy and consumer discretionary sectors were the top performers, while the health care and materials sectors lagged their peers.
The Fund uses derivatives, primarily futures contracts, for the purpose of efficient portfolio management, and derivatives did not have a significant impact on the Fund’s return in 2021. Futures are not used for speculative or leveraged positions in the portfolio and we keep cash to fully cover all outstanding futures positions. The Fund’s use of futures contracts provides immediate market exposure proportionate to cash accruals and investable cash within the portfolio. Skillful cash management and cash equitization are critical to minimizing the potential impact of cash drag and ensure tight tracking to the 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 as described 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, 2021. |
| 1 | For a complete description of the Fund’s performance benchmark please refer to page 2 of this report. |
| 2 | 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. |
1
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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, 2021 |
| | | Inception
Date | | 1 Year | | 3 Year | | 5 Year | | 10
Year | | Since
Inception |
AZL® Small Cap Stock Index Fund (Class 1 Shares) | | | | 10/17/2016 | | | | | 26.37 | % | | | | 19.74 | % | | | | 12.13 | % | | | | — | | | | | 14.41 | % |
AZL® Small Cap Stock Index Fund (Class 2 Shares) | | | | 5/1/2007 | | | | | 26.04 | % | | | | 19.47 | % | | | | 11.85 | % | | | | 13.91 | % | | | | 9.44 | % |
S&P SmallCap 600 Index | | | | 5/1/2007 | | | | | 26.82 | % | | | | 20.11 | % | | | | 12.42 | % | | | | 14.50 | % | | | | 9.95 | % |
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) | | | | 0.34 | % |
AZL® Small Cap Stock Index Fund (Class 2 Shares) | | | | 0.59 | % |
The above expense ratios are based on the current Fund prospectus dated April 30, 2021. 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, 2023. Additional information pertaining to the December 31, 2021 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 or 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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Small Cap Stock Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,024.40 | | | | $ | 1.84 | | | | | 0.36 | % |
| | | | |
AZL Small Cap Stock Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.90 | | | | $ | 3.11 | | | | | 0.61 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL Small Cap Stock Index Fund, Class 1 | | | $ | 1,000.00 | | | | $ | 1,023.39 | | | | $ | 1.84 | | | | | 0.36 | % |
| | | | |
AZL Small Cap Stock Index Fund, Class 2 | | | $ | 1,000.00 | | | | $ | 1,022.13 | | | | $ | 3.11 | | | | | 0.61 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 18.5 | % |
| |
Industrials | | | | 16.9 | |
| |
Information Technology | | | | 13.7 | |
| |
Health Care | | | | 12.2 | |
| |
Consumer Discretionary | | | | 12.0 | |
| |
Real Estate | | | | 8.1 | |
| |
Materials | | | | 5.0 | |
| |
Energy | | | | 4.7 | |
| |
Consumer Staples | | | | 4.5 | |
| |
Utilities | | | | 1.9 | |
| |
Communication Services | | | | 1.8 | |
| | | | | |
| |
Total Common Stocks | | | | 99.3 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 1.3 | |
| |
Unaffiliated Investment Company | | | | 0.6 | |
| | | | | |
| |
Total Investment Securities | | | | 101.2 | |
| |
Net other assets (liabilities) | | | | (1.2 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (99.3%): | |
| Aerospace & Defense (1.0%): | |
| | 26,999 | | | AAR Corp.* | | $ | 1,053,771 | |
| | 60,321 | | | Aerojet Rocketdyne Holdings, Inc. | | | 2,820,610 | |
| | 18,618 | | | AeroVironment, Inc.* | | | 1,154,875 | |
| | 23,657 | | | Moog, Inc., Class A | | | 1,915,507 | |
| | 4,000 | | | National Presto Industries, Inc. | | | 328,120 | |
| | 15,330 | | | Park Aerospace Corp., Class C | | | 202,356 | |
| | 52,034 | | | Triumph Group, Inc.* | | | 964,190 | |
| | | | | | | | |
| | | | | | | 8,439,429 | |
| | | | | | | | |
| Air Freight & Logistics (0.8%): | |
| | 21,795 | | | Atlas Air Worldwide Holdings, Inc.* | | | 2,051,345 | |
| | 21,755 | | | Forward Air Corp. | | | 2,634,313 | |
| | 27,358 | | | Hub Group, Inc., Class A* | | | 2,304,638 | |
| | | | | | | | |
| | | | | | | 6,990,296 | |
| | | | | | | | |
| Airlines (0.5%): | | | |
| | 12,192 | | | Allegiant Travel Co.* | | | 2,280,392 | |
| | 41,093 | | | Hawaiian Holdings, Inc.* | | | 754,878 | |
| | 40,471 | | | SkyWest, Inc.* | | | 1,590,510 | |
| | | | | | | | |
| | | | | | | 4,625,780 | |
| | | | | | | | |
| Auto Components (1.4%): | | | |
| | 91,476 | | | American Axle & Manufacturing Holdings, Inc.* | | | 853,471 | |
| | 13,561 | | | Cooper-Standard Holding, Inc.* | | | 303,902 | |
| | 22,909 | | | Dorman Products, Inc.* | | | 2,588,946 | |
| | 26,757 | | | Gentherm, Inc.* | | | 2,325,183 | |
| | 20,320 | | | LCI Industries | | | 3,167,278 | |
| | 15,521 | | | Motorcar Parts of America, Inc.* | | | 264,943 | |
| | 18,011 | | | Patrick Industries, Inc. | | | 1,453,308 | |
| | 15,445 | | | Standard Motor Products, Inc. | | | 809,164 | |
| | | | | | | | |
| | | | | | | 11,766,195 | |
| | | | | | | | |
| Automobiles (0.2%): | | | |
| | 26,892 | | | Winnebago Industries, Inc. | | | 2,014,749 | |
| | | | | | | | |
| Banks (10.0%): | | | |
| | 15,151 | | | Allegiance Bancshares, Inc. | | | 639,524 | |
| | 53,175 | | | Ameris Bancorp | | | 2,641,734 | |
| | 43,407 | | | Banc of California, Inc. | | | 851,645 | |
| | 15,351 | | | BancFirst Corp. | | | 1,083,167 | |
| | 44,892 | | | Bancorp, Inc. (The)* | | | 1,136,217 | |
| | 72,604 | | | BankUnited, Inc. | | | 3,071,875 | |
| | 28,075 | | | Banner Corp. | | | 1,703,310 | |
| | 39,482 | | | Berkshire Hills Bancorp, Inc. | | | 1,122,473 | |
| | 63,554 | | | Brookline Bancorp, Inc. | | | 1,028,939 | |
| | 22,980 | | | Central Pacific Financial Corp. | | | 647,347 | |
| | 12,484 | | | City Holding Co. | | | 1,021,066 | |
| | 62,318 | | | Columbia Banking System, Inc. | | | 2,039,045 | |
| | 43,283 | | | Community Bank System, Inc. | | | 3,223,718 | |
| | 24,159 | | | Customers Bancorp, Inc. | | | 1,579,274 | |
| | 102,468 | | | CVB Financial Corp. | | | 2,193,840 | |
| | 27,107 | | | Dime Community Bancshares, Inc. | | | 953,082 | |
| | 26,168 | | | Eagle Bancorp, Inc. | | | 1,526,641 | |
| | 29,386 | | | FB Financial Corp. | | | 1,287,695 | |
| | 168,140 | | | First Bancorp | | | 2,316,969 | |
| | 28,003 | | | First Bancorp/Southern Pines NC | | | 1,280,297 | |
| | 77,881 | | | First Commonwealth Financial Corp. | | | 1,253,105 | |
| | 77,475 | | | First Financial Bancorp | | | 1,888,841 | |
| | 104,395 | | | First Hawaiian, Inc. | | | 2,853,115 | |
| | 92,238 | | | First Midwest Bancorp, Inc. | | | 1,889,034 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Banks, continued | | | |
| | 44,744 | | | Great Western Bancorp, Inc. | | $ | 1,519,506 | |
| | 25,174 | | | Hanmi Financial Corp. | | | 596,120 | |
| | 28,519 | | | Heritage Financial Corp. | | | 697,004 | |
| | 49,537 | | | Hilltop Holdings, Inc. | | | 1,740,730 | |
| | 99,377 | | | Hope BanCorp, Inc. | | | 1,461,836 | |
| | 36,868 | | | Independent Bank Corp. | | | 3,005,848 | |
| | 29,815 | | | Independent Bank Group, Inc. | | | 2,151,152 | |
| | 181,578 | | | Investors Bancorp, Inc. | | | 2,750,907 | |
| | 20,434 | | | Lakeland Financial Corp. | | | 1,637,581 | |
| | 24,729 | | | National Bank Holdings Corp. | | | 1,086,592 | |
| | 35,007 | | | NBT Bancorp, Inc. | | | 1,348,470 | |
| | 41,264 | | | OFG Bancorp | | | 1,095,972 | |
| | 132,661 | | | Old National Bancorp | | | 2,403,817 | |
| | 76,279 | | | Pacific Premier Bancorp, Inc. | | | 3,053,449 | |
| | 11,713 | | | Park National Corp. | | | 1,608,312 | |
| | 8,051 | | | Preferred Bank Los Angeles | | | 577,981 | |
| | 45,537 | | | Renasant Corp. | | | 1,728,129 | |
| | 31,905 | | | S & T Bancorp, Inc. | | | 1,005,646 | |
| | 46,995 | | | Seacoast Banking Corp of Florida | | | 1,663,153 | |
| | 39,494 | | | ServisFirst Bancshares, Inc. | | | 3,354,620 | |
| | 87,874 | | | Simmons First National Corp., Class A | | | 2,599,313 | |
| | 26,100 | | | Southside Bancshares, Inc. | | | 1,091,502 | |
| | 9,734 | | | Tompkins Financial Corp. | | | 813,568 | |
| | 19,021 | | | Triumph BanCorp, Inc.* | | | 2,265,021 | |
| | 47,962 | | | Trustmark Corp. | | | 1,556,847 | |
| | 71,735 | | | United Community Banks, Inc. | | | 2,578,156 | |
| | 40,026 | | | Veritex Holdings, Inc. | | | 1,592,234 | |
| | 21,541 | | | Westamerica Bancorp | | | 1,243,562 | |
| | | | | | | | |
| | | | | | | 87,458,981 | |
| | | | | | | | |
| Beverages (0.7%): | | | |
| | 30,741 | | | Celsius Holdings, Inc.* | | | 2,292,356 | |
| | 3,736 | | | Coca-Cola Consolidated, Inc. | | | 2,313,294 | |
| | 9,990 | | | MGP Ingredients, Inc. | | | 849,050 | |
| | 18,669 | | | National Beverage Corp.^ | | | 846,266 | |
| | | | | | | | |
| | | | | | | 6,300,966 | |
| | | | | | | | |
| Biotechnology (2.2%): | | | |
| | 49,481 | | | Avid Bioservices, Inc.* | | | 1,443,856 | |
| | 33,750 | | | Cara Therapeutics, Inc.* | | | 411,075 | |
| | 50,799 | | | Coherus Biosciences, Inc.* | | | 810,752 | |
| | 67,569 | | | Cytokinetics, Inc.* | | | 3,079,795 | |
| | 9,226 | | | Eagle Pharmaceuticals, Inc.* | | | 469,788 | |
| | 38,551 | | | Emergent BioSolutions, Inc.* | | | 1,675,812 | |
| | 14,423 | | | Enanta Pharmaceuticals, Inc.* | | | 1,078,552 | |
| | 13,464 | | | Ligand Pharmaceuticals, Inc.* | | | 2,079,649 | |
| | 64,373 | | | Myriad Genetics, Inc.* | | | 1,776,695 | |
| | 50,543 | | | Organogenesis Holdings, Inc.* | | | 467,017 | |
| | 30,029 | | | REGENXBIO, Inc.* | | | 981,948 | |
| | 132,408 | | | Spectrum Pharmaceuticals, Inc.* | | | 168,158 | |
| | 28,754 | | | Uniqure NV* | | | 596,358 | |
| | 44,629 | | | Vanda Pharmaceuticals, Inc.* | | | 700,229 | |
| | 37,723 | | | Vericel Corp.* | | | 1,482,514 | |
| | 47,076 | | | Xencor, Inc.* | | | 1,888,689 | |
| | | | | | | | |
| | | | | | | 19,110,887 | |
| | | | | | | | |
| Building Products (2.0%): | | | |
| | 33,286 | | | AAON, Inc. | | | 2,643,907 | |
| | 13,437 | | | American Woodmark Corp.* | | | 876,092 | |
See accompanying notes to the financial statements.
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Building Products, continued | | | |
| | 20,588 | | | Apogee Enterprises, Inc. | | $ | 991,312 | |
| | 26,308 | | | Gibraltar Industries, Inc.* | | | 1,754,218 | |
| | 38,161 | | | Griffon Corp. | | | 1,086,825 | |
| | 15,391 | | | Insteel Industries, Inc. | | | 612,716 | |
| | 47,880 | | | PGT Innovations, Inc.* | | | 1,076,821 | |
| | 26,687 | | | Quanex Building Products Corp. | | | 661,304 | |
| | 116,300 | | | Resideo Technologies, Inc.* | | | 3,027,289 | |
| | 49,838 | | | UFP Industries, Inc. | | | 4,585,594 | |
| | | | | | | | |
| | | | | | | 17,316,078 | |
| | | | | | | | |
| Capital Markets (1.0%): | | | |
| | 12,841 | | | B Riley Financial, Inc. | | | 1,141,051 | |
| | 39,636 | | | Blucora, Inc.* | | | 686,496 | |
| | 29,713 | | | Brightsphere Investment Group, Inc. | | | 760,653 | |
| | 23,741 | | | Donnelley Financial Solutions, Inc.* | | | 1,119,151 | |
| | 11,553 | | | Greenhill & Co., Inc. | | | 207,145 | |
| | 11,467 | | | Piper Jaffray Cos., Inc. | | | 2,046,974 | |
| | 13,560 | | | StoneX Group, Inc.* | | | 830,550 | |
| | 5,785 | | | Virtus Investment Partners, Inc. | | | 1,718,723 | |
| | 87,776 | | | WisdomTree Investments, Inc. | | | 537,189 | |
| | | | | | | | |
| | | | | | | 9,047,932 | |
| | | | | | | | |
| Chemicals (3.0%): | | | |
| | 22,650 | | | AdvanSix, Inc. | | | 1,070,212 | |
| | 21,437 | | | American Vanguard Corp. | | | 351,352 | |
| | 26,050 | | | Balchem Corp. | | | 4,392,030 | |
| | 66,698 | | | Ferro Corp.* | | | 1,456,017 | |
| | 23,568 | | | Futurefuel Corp. | | | 180,060 | |
| | 43,163 | | | GCP Applied Technologies, Inc.* | | | 1,366,541 | |
| | 42,340 | | | H.B. Fuller Co. | | | 3,429,540 | |
| | 15,256 | | | Hawkins, Inc. | | | 601,849 | |
| | 19,704 | | | Innospec, Inc. | | | 1,780,059 | |
| | 17,186 | | | Koppers Holdings, Inc.* | | | 537,922 | |
| | 25,755 | | | Kraton Corp.* | | | 1,192,972 | |
| | 130,189 | | | Livent Corp.* | | | 3,174,008 | |
| | 10,811 | | | Quaker Chemical Corp. | | | 2,494,963 | |
| | 51,227 | | | Rayonier Advanced Materials, Inc.* | | | 292,506 | |
| | 17,047 | | | Stepan Co. | | | 2,118,772 | |
| | 20,027 | | | Tredegar Corp. | | | 236,719 | |
| | 31,337 | | | Trinseo PLC* | | | 1,643,939 | |
| | | | | | | | |
| | | | | | | 26,319,461 | |
| | | | | | | | |
| Commercial Services & Supplies (1.8%): | | | |
| | 54,313 | | | ABM Industries, Inc. | | | 2,218,686 | |
| | 39,069 | | | Brady Corp., Class A | | | 2,105,819 | |
| | 34,141 | | | Deluxe Corp. | | | 1,096,268 | |
| | 59,605 | | | Healthcare Services Group, Inc. | | | 1,060,373 | |
| | 35,161 | | | HNI Corp. | | | 1,478,520 | |
| | 47,523 | | | Interface, Inc. | | | 757,992 | |
| | 97,588 | | | KAR Auction Services, Inc.* | | | 1,524,325 | |
| | 25,290 | | | Matthews International Corp., Class A | | | 927,384 | |
| | 101,264 | | | Pitney Bowes, Inc. | | | 671,380 | |
| | 12,253 | | | UniFirst Corp. | | | 2,578,031 | |
| | 25,348 | | | US Ecology, Inc.* | | | 809,615 | |
| | 16,500 | | | Viad Corp.* | | | 706,035 | |
| | | | | | | | |
| | | | | | | 15,934,428 | |
| | | | | | | | |
| Communications Equipment (1.6%): | | | |
| | 39,281 | | | ADTRAN, Inc. | | | 896,785 | |
| | 28,474 | | | CalAmp Corp.* | | | 201,026 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Communications Equipment, continued | | | |
| | 21,314 | | | Comtech Telecommunications Corp. | | $ | 504,929 | |
| | 27,553 | | | Digi International, Inc.* | | | 676,977 | |
| | 104,667 | | | Extreme Networks, Inc.* | | | 1,643,272 | |
| | 82,730 | | | Harmonic, Inc.* | | | 972,905 | |
| | 24,641 | | | InterDigital, Inc. | | | 1,765,035 | |
| | 23,804 | | | NETGEAR, Inc.* | | | 695,315 | |
| | 59,345 | | | NetScout Systems, Inc.* | | | 1,963,133 | |
| | 34,468 | | | Plantronics, Inc.* | | | 1,011,291 | |
| | 191,450 | | | Viavi Solutions, Inc.* | | | 3,373,349 | |
| | | | | | | | |
| | | | | | | 13,704,017 | |
| | | | | | | | |
| Construction & Engineering (1.1%): | | | |
| | 38,924 | | | Arcosa, Inc. | | | 2,051,295 | |
| | 29,068 | | | Comfort Systems USA, Inc. | | | 2,875,988 | |
| | 37,119 | | | Granite Construction, Inc. | | | 1,436,505 | |
| | 13,570 | | | MYR Group, Inc.* | | | 1,500,164 | |
| | 9,517 | | | NV5 Global, Inc.* | | | 1,314,488 | |
| | | | | | | | |
| | | | | | | 9,178,440 | |
| | | | | | | | |
| Consumer Finance (0.8%): | | | |
| | 20,069 | | | Encore Capital Group, Inc.* | | | 1,246,485 | |
| | 29,583 | | | Enova International, Inc.* | | | 1,211,720 | |
| | 42,985 | | | EZCORP, Inc., Class A* | | | 316,799 | |
| | 43,753 | | | Green Dot Corp., Class A* | | | 1,585,609 | |
| | 35,323 | | | PRA Group, Inc.* | | | 1,773,568 | |
| | 3,379 | | | World Acceptance Corp.* | | | 829,308 | |
| | | | | | | | |
| | | | | | | 6,963,489 | |
| | | | | | | | |
| Containers & Packaging (0.2%): | | | |
| | 28,821 | | | Myers Industries, Inc. | | | 576,708 | |
| | 125,777 | | | O-I Glass, Inc.* | | | 1,513,098 | |
| | | | | | | | |
| | | | | | | 2,089,806 | |
| | | | | | | | |
| Diversified Consumer Services (0.5%): | | | |
| | 40,111 | | | Adtalem Global Education, Inc.* | | | 1,185,681 | |
| | 14,798 | | | American Public Education, Inc.* | | | 329,256 | |
| | 56,229 | | | Perdoceo Education Corp.* | | | 661,253 | |
| | 18,080 | | | Strategic Education, Inc. | | | 1,045,747 | |
| | 42,482 | | | WW International, Inc.* | | | 685,235 | |
| | | | | | | | |
| | | | | | | 3,907,172 | |
| | | | | | | | |
| Diversified Telecommunication Services (0.4%): | | | |
| | 8,408 | | | ATN International, Inc. | | | 335,900 | |
| | 34,127 | | | Cogent Communications Holdings, Inc. | | | 2,497,414 | |
| | 58,030 | | | Consolidated Communications Holdings, Inc.* | | | 434,064 | |
| | | | | | | | |
| | | | | | | 3,267,378 | |
| | | | | | | | |
| Electrical Equipment (0.4%): | | | |
| | 19,918 | | | AZZ, Inc. | | | 1,101,266 | |
| | 16,348 | | | Encore Wire Corp. | | | 2,339,399 | |
| | 7,600 | | | Powell Industries, Inc. | | | 224,124 | |
| | | | | | | | |
| | | | | | | 3,664,789 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (3.6%): | | | |
| | 66,704 | | | Arlo Technologies, Inc.* | | | 699,725 | |
| | 23,535 | | | Badger Meter, Inc. | | | 2,507,890 | |
| | 28,482 | | | Benchmark Electronics, Inc. | | | 771,862 | |
| | 25,991 | | | CTS Corp. | | | 954,390 | |
| | 21,738 | | | ePlus, Inc.* | | | 1,171,244 | |
| | 29,821 | | | Fabrinet* | | | 3,532,894 | |
| | 14,560 | | | FARO Technologies, Inc.* | | | 1,019,491 | |
| | 28,439 | | | Insight Enterprises, Inc.* | | | 3,031,597 | |
See accompanying notes to the financial statements.
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Electronic Equipment, Instruments & Components, continued | | | |
| | 36,493 | | | Itron, Inc.* | | $ | 2,500,500 | |
| | 74,995 | | | Knowles Corp.* | | | 1,751,133 | |
| | 30,632 | | | Methode Electronics, Inc., Class A | | | 1,506,175 | |
| | 13,395 | | | OSI Systems, Inc.* | | | 1,248,414 | |
| | 9,208 | | | PC Connection, Inc. | | | 397,141 | |
| | 22,755 | | | Plexus Corp.* | | | 2,181,977 | |
| | 15,088 | | | Rogers Corp.* | | | 4,119,024 | |
| | 52,166 | | | Sanmina Corp.* | | | 2,162,802 | |
| | 20,682 | | | ScanSource, Inc.* | | | 725,525 | |
| | 84,839 | | | TTM Technologies, Inc.* | | | 1,264,101 | |
| | | | | | | | |
| | | | | | | 31,545,885 | |
| | | | | | | | |
| Energy Equipment & Services (1.2%): | | | |
| | 107,035 | | | Archrock, Inc. | | | 800,622 | |
| | 18,563 | | | Bristow Group, Inc.* | | | 587,890 | |
| | 37,056 | | | Core Laboratories NV | | | 826,719 | |
| | 15,007 | | | DMC Global, Inc.* | | | 594,427 | |
| | 28,299 | | | Dril-Quip, Inc.* | | | 556,924 | |
| | 114,626 | | | Helix Energy Solutions Group, Inc.* | | | 357,633 | |
| | 87,216 | | | Helmerich & Payne, Inc. | | | 2,067,019 | |
| | 6,262 | | | Nabors Industries, Ltd.* | | | 507,786 | |
| | 80,273 | | | Oceaneering International, Inc.* | | | 907,888 | |
| | 50,209 | | | Oil States International, Inc.* | | | 249,539 | |
| | 173,379 | | | Patterson-UTI Energy, Inc. | | | 1,465,053 | |
| | 68,258 | | | Propetro Holding Corp.* | | | 552,890 | |
| | 57,569 | | | RPC, Inc.* | | | 261,363 | |
| | 60,582 | | | U.S. Silica Holdings, Inc.* | | | 569,471 | |
| | | | | | | | |
| | | | | | | 10,305,224 | |
| | | | | | | | |
| Entertainment (0.2%): | | | |
| | 85,314 | | | Cinemark Holdings, Inc.*^ | | | 1,375,262 | |
| | 17,636 | | | Marcus Corp.* | | | 314,979 | |
| | | | | | | | |
| | | | | | | 1,690,241 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (7.2%): | | | |
| | 71,481 | | | Acadia Realty Trust | | | 1,560,430 | |
| | 56,201 | | | Agree Realty Corp. | | | 4,010,503 | |
| | 58,080 | | | Alexander & Baldwin, Inc. | | | 1,457,227 | |
| | 42,664 | | | American Assets Trust, Inc. | | | 1,601,180 | |
| | 48,926 | | | Armada Hoffler Properties, Inc. | | | 744,654 | |
| | 137,826 | | | Brandywine Realty Trust | | | 1,849,625 | |
| | 77,690 | | | CareTrust REIT, Inc. | | | 1,773,663 | |
| | 11,532 | | | Centerspace | | | 1,278,899 | |
| | 39,589 | | | Chatham Lodging Trust* | | | 543,161 | |
| | 18,914 | | | Community Healthcare Trust, Inc. | | | 894,065 | |
| | 96,314 | | | CoreCivic, Inc.* | | | 960,251 | |
| | 169,635 | | | DiamondRock Hospitality Co.* | | | 1,630,192 | |
| | 190,935 | | | Diversified Healthcare Trust | | | 589,989 | |
| | 69,362 | | | Easterly Government Properties, Inc. | | | 1,589,777 | |
| | 62,301 | | | Four Corners Property Trust, Inc. | | | 1,832,272 | |
| | 77,645 | | | Franklin Street Properties Corp. | | | 461,988 | |
| | 98,149 | | | GEO Group, Inc. (The) | | | 760,655 | |
| | 31,142 | | | Getty Realty Corp. | | | 999,347 | |
| | 83,972 | | | Global Net Lease, Inc. | | | 1,283,092 | |
| | 26,871 | | | Hersha Hospitality Trust* | | | 246,407 | |
| | 84,483 | | | Independence Realty Trust, Inc. | | | 2,182,196 | |
| | 52,866 | | | Industrial Logistics Properties Trust | | | 1,324,293 | |
| | 19,305 | | | Innovative Industrial Properties, Inc. | | | 5,075,478 | |
| | 56,434 | | | iStar, Inc.^ | | | 1,457,690 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Equity Real Estate Investment Trusts, continued | | | |
| | 31,811 | | | LTC Properties, Inc. | | $ | 1,086,028 | |
| | 228,022 | | | LXP Industrial Trust | | | 3,561,704 | |
| | 18,457 | | | NexPoint Residential Trust, Inc. | | | 1,547,250 | |
| | 39,415 | | | Office Properties Income Trust | | | 979,069 | |
| | 44,317 | | | Orion Office REIT, Inc.* | | | 827,398 | |
| | 98,610 | | | Retail Opportunity Investments Corp. | | | 1,932,756 | |
| | 68,897 | | | Rpt Realty | | | 921,842 | |
| | 11,390 | | | Safehold, Inc. | | | 909,492 | |
| | 10,425 | | | Saul Centers, Inc. | | | 552,733 | |
| | 132,576 | | | Service Properties Trust | | | 1,165,343 | |
| | 145,666 | | | SITE Centers Corp. | | | 2,305,893 | |
| | 85,998 | | | Summit Hotel Properties, Inc.* | | | 839,340 | |
| | 83,982 | | | Tanger Factory Outlet Centers, Inc.^ | | | 1,619,173 | |
| | 190,317 | | | Uniti Group, Inc. | | | 2,666,341 | |
| | 10,179 | | | Universal Health Realty Income Trust | | | 605,345 | |
| | 24,217 | | | Urstadt Biddle Properties, Inc., Class A | | | 515,822 | |
| | 65,096 | | | Versis Resindential, Corp.* | | | 1,196,464 | |
| | 68,166 | | | Washington Real Estate | | | 1,762,091 | |
| | 37,358 | | | Whitestone REIT | | | 378,437 | |
| | 91,667 | | | Xenia Hotels & Resorts, Inc.* | | | 1,660,089 | |
| | | | | | | | |
| | | | | | | 63,139,644 | |
| | | | | | | | |
| Food & Staples Retailing (0.7%): | | | |
| | 19,160 | | | PriceSmart, Inc. | | | 1,401,937 | |
| | 28,973 | | | SpartanNash Co. | | | 746,345 | |
| | 24,688 | | | The Andersons, Inc. | | | 955,672 | |
| | 26,162 | | | The Chefs’ Warehouse, Inc.* | | | 871,195 | |
| | 45,413 | | | United Natural Foods, Inc.* | | | 2,228,870 | |
| | | | | | | | |
| | | | | | | 6,204,019 | |
| | | | | | | | |
| Food Products (1.4%): | | | |
| | 52,310 | | | B&G Foods, Inc.^ | | | 1,607,486 | |
| | 14,110 | | | Calavo Growers, Inc. | | | 598,264 | |
| | 30,160 | | | Cal-Maine Foods, Inc. | | | 1,115,618 | |
| | 26,850 | | | Fresh Del Monte Produce, Inc. | | | 741,060 | |
| | 11,897 | | | J & J Snack Foods Corp. | | | 1,879,250 | |
| | 7,110 | | | John B Sanfilippo And Son, Inc. | | | 641,038 | |
| | 5,188 | | | Seneca Foods Corp., Class A* | | | 248,765 | |
| | 67,938 | | | Simply Good Foods Co. (The)* | | | 2,824,183 | |
| | 13,559 | | | Tootsie Roll Industries, Inc. | | | 491,243 | |
| | 44,967 | | | TreeHouse Foods, Inc.* | | | 1,822,512 | |
| | | | | | | | |
| | | | | | | 11,969,419 | |
| | | | | | | | |
| Gas Utilities (0.6%): | | | |
| | 14,091 | | | Chesapeake Utilities Corp. | | | 2,054,609 | |
| | 24,839 | | | Northwest Natural Holding Co. | | | 1,211,646 | |
| | 90,661 | | | South Jersey Industries, Inc. | | | 2,368,065 | |
| | | | | | | | |
| | | | | | | 5,634,320 | |
| | | | | | | | |
| Health Care Equipment & Supplies (2.9%): | | | |
| | 30,953 | | | AngioDynamics, Inc.* | | | 853,684 | |
| | 11,581 | | | Anika Therapeutics, Inc.* | | | 414,947 | |
| | 38,986 | | | Avanos Medical, Inc.* | | | 1,351,645 | |
| | 23,642 | | | BioLife Solutions, Inc.* | | | 881,137 | |
| | 32,737 | | | Cardiovascular Systems, Inc.* | | | 614,801 | |
| | 23,587 | | | CONMED Corp. | | | 3,343,693 | |
| | 31,478 | | | CryoLife, Inc.* | | | 640,577 | |
| | 13,198 | | | Cutera, Inc.* | | | 545,341 | |
| | 37,782 | | | Glaukos Corp.* | | | 1,679,032 | |
| | 8,624 | | | Heska Corp.* | | | 1,573,794 | |
See accompanying notes to the financial statements.
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Health Care Equipment & Supplies, continued | | | |
| | 16,175 | | | Inogen, Inc.* | | $ | 549,950 | |
| | 26,630 | | | Integer Holdings Corp.* | | | 2,279,262 | |
| | 54,586 | | | Lantheus Holdings, Inc.* | | | 1,576,990 | |
| | 15,412 | | | LeMaitre Vascular, Inc. | | | 774,145 | |
| | 34,528 | | | Meridian Bioscience, Inc.* | | | 704,371 | |
| | 40,977 | | | Merit Medical Systems, Inc.* | | | 2,552,867 | |
| | 4,201 | | | Mesa Laboratories, Inc. | | | 1,378,306 | |
| | 27,274 | | | Natus Medical, Inc.* | | | 647,212 | |
| | 57,721 | | | OraSure Technologies, Inc.* | | | 501,595 | |
| | 15,808 | | | Orthofix Medical, Inc.* | | | 491,471 | |
| | 11,089 | | | Surmodics, Inc.* | | | 533,935 | |
| | 15,832 | | | Tactile Systems Technology, Inc.* | | | 301,283 | |
| | 31,633 | | | Varex Imaging Corp.* | | | 998,021 | |
| | 15,483 | | | Zynex, Inc.*^ | | | 154,366 | |
| | | | | | | | |
| | | | | | | 25,342,425 | |
| | | | | | | | |
| Health Care Providers & Services (3.9%): | | | |
| | 12,723 | | | Addus HomeCare Corp.* | | | 1,189,728 | |
| | 38,070 | | | AMN Healthcare Services, Inc.* | | | 4,657,103 | |
| | 30,438 | | | Apollo Medical Holdings, Inc.* | | | 2,236,584 | |
| | 99,494 | | | Community Health Systems, Inc.* | | | 1,324,265 | |
| | 7,579 | | | CorVel Corp.* | | | 1,576,432 | |
| | 83,302 | | | Covetrus, Inc.* | | | 1,663,541 | |
| | 28,420 | | | Cross Country Healthcare, Inc.* | | | 788,939 | |
| | 42,216 | | | Ensign Group, Inc. (The) | | | 3,544,456 | |
| | 15,626 | | | Fulgent Genetics, Inc.*^ | | | 1,571,819 | |
| | 29,292 | | | Hanger, Inc.* | | | 531,064 | |
| | 11,499 | | | Joint Corp. (The)* | | | 755,369 | |
| | 18,670 | | | Magellan Health, Inc.* | | | 1,773,463 | |
| | 69,700 | | | MEDNAX, Inc.* | | | 1,896,537 | |
| | 9,864 | | | ModivCare, Inc.* | | | 1,462,733 | |
| | 60,804 | | | Owens & Minor, Inc. | | | 2,644,974 | |
| | 35,796 | | | RadNet, Inc.* | | | 1,077,818 | |
| | 85,139 | | | Select Medical Holdings Corp. | | | 2,503,087 | |
| | 21,496 | | | The Pennant Group, Inc.* | | | 496,128 | |
| | 35,753 | | | Tivity Health, Inc.* | | | 945,309 | |
| | 10,277 | | | U.S. Physical Therapy, Inc. | | | 981,967 | |
| | | | | | | | |
| | | | | | | 33,621,316 | |
| | | | | | | | |
| Health Care Technology (1.3%): | | | |
| | 98,818 | | | Allscripts Healthcare Solutions, Inc.* | | | 1,823,192 | |
| | 11,786 | | | Computer Programs & Systems, Inc.* | | | 345,330 | |
| | 20,297 | | | HealthStream, Inc.* | | | 535,029 | |
| | 46,299 | | | NextGen Healthcare, Inc.* | | | 823,659 | |
| | 35,404 | | | Omnicell, Inc.* | | | 6,388,298 | |
| | 14,347 | | | OptimizeRx Corp.* | | | 891,092 | |
| | 12,592 | | | Simulations Plus, Inc.^ | | | 595,602 | |
| | 18,350 | | | Tabula Rasa Healthcare, Inc.* | | | 275,250 | |
| | | | | | | | |
| | | | | | | 11,677,452 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (1.4%): | | | |
| | 18,604 | | | BJ’s Restaurants, Inc.* | | | 642,768 | |
| | 65,179 | | | Bloomin’ Brands, Inc.* | | | 1,367,455 | |
| | 36,682 | | | Brinker International, Inc.* | | | 1,342,194 | |
| | 39,151 | | | Cheesecake Factory, Inc. (The)* | | | 1,532,762 | |
| | 15,914 | | | Chuy’s Holdings, Inc.* | | | 479,330 | |
| | 31,142 | | | Dave & Buster’s Entertainment, Inc.* | | | 1,195,853 | |
| | 13,793 | | | Dine Brands Global, Inc. | | | 1,045,647 | |
| | 15,124 | | | El Pollo Loco Holdings, Inc.* | | | 214,610 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Hotels, Restaurants & Leisure, continued | | | |
| | 13,735 | | | Fiesta Restaurant Group, Inc.* | | $ | 151,222 | |
| | 10,471 | | | Monarch Casino & Resort, Inc.* | | | 774,330 | |
| | 12,903 | | | Red Robin Gourmet Burgers* | | | 213,287 | |
| | 25,923 | | | Ruth’s Hospitality Group, Inc.* | | | 515,868 | |
| | 31,532 | | | Shake Shack, Inc., Class A* | | | 2,275,349 | |
| | | | | | | | |
| | | | | | | 11,750,675 | |
| | | | | | | | |
| Household Durables (2.5%): | | | |
| | 6,845 | | | Cavco Industries, Inc.* | | | 2,174,314 | |
| | 23,861 | | | Century Communities, Inc. | | | 1,951,591 | |
| | 17,536 | | | Ethan Allen Interiors, Inc. | | | 461,021 | |
| | 18,891 | | | Installed Building Products, Inc. | | | 2,639,451 | |
| | 21,750 | | | iRobot Corp.*^ | | | 1,432,890 | |
| | 35,690 | | | La-Z-Boy, Inc. | | | 1,295,904 | |
| | 17,238 | | | LGI Homes, Inc.* | | | 2,662,926 | |
| | 23,477 | | | M/I Homes, Inc.* | | | 1,459,800 | |
| | 45,524 | | | MDC Holdings, Inc. | | | 2,541,605 | |
| | 30,150 | | | Meritage Homes Corp.* | | | 3,680,109 | |
| | 40,066 | | | Tupperware Brands Corp.* | | | 612,609 | |
| | 10,744 | | | Universal Electronics, Inc.* | | | 437,818 | |
| | | | | | | | |
| | | | | | | 21,350,038 | |
| | | | | | | | |
| Household Products (0.5%): | | | |
| | 7,960 | | | Central Garden & Pet Co.* | | | 418,935 | |
| | 32,296 | | | Central Garden & Pet Co., Class A* | | | 1,545,364 | |
| | 11,029 | | | WD-40 Co. | | | 2,698,134 | |
| | | | | | | | |
| | | | | | | 4,662,433 | |
| | | | | | | | |
| Insurance (2.7%): | | | |
| | 37,723 | | | AMBAC Financial Group, Inc.* | | | 605,454 | |
| | 66,315 | | | American Equity Investment Life Holding Co. | | | 2,580,980 | |
| | 15,501 | | | Amerisafe, Inc. | | | 834,419 | |
| | 56,418 | | | Assured Guaranty, Ltd. | | | 2,832,184 | |
| | 18,887 | | | eHealth, Inc.* | | | 481,618 | |
| | 22,715 | | | Employers Holdings, Inc. | | | 939,947 | |
| | 372,031 | | | Genworth Financial, Inc., Class A* | | | 1,506,725 | |
| | 6,465 | | | HCI Group, Inc. | | | 540,086 | |
| | 33,257 | | | Horace Mann Educators Corp. | | | 1,287,046 | |
| | 29,984 | | | James River Group Holdings | | | 863,839 | |
| | 19,374 | | | Palomar Holdings, Inc.* | | | 1,254,854 | |
| | 43,356 | | | ProAssurance Corp. | | | 1,096,907 | |
| | 11,393 | | | Safety Insurance Group, Inc. | | | 968,747 | |
| | 99,991 | | | Selectquote, Inc.* | | | 905,918 | |
| | 70,359 | | | SiriusPoint, Ltd.* | | | 572,019 | |
| | 21,747 | | | Stewart Information Services Corp. | | | 1,733,888 | |
| | 27,636 | | | Trupanion, Inc.* | | | 3,648,781 | |
| | 17,398 | | | United Fire Group, Inc. | | | 403,460 | |
| | 22,588 | | | Universal Insurance Holdings, Inc. | | | 383,996 | |
| | | | | | | | |
| | | | | | | 23,440,868 | |
| | | | | | | | |
| Interactive Media & Services (0.2%): | | | |
| | 51,901 | | | Cars.com, Inc.* | | | 835,087 | |
| | 40,092 | | | QuinStreet, Inc.* | | | 729,274 | |
| | | | | | | | |
| | | | | | | 1,564,361 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (0.3%): | | | |
| | 21,249 | | | Liquidity Services, Inc.* | | | 469,178 | |
| | 16,465 | | | PetMed Express, Inc.^ | | | 415,906 | |
| | 18,776 | | | Shutterstock, Inc. | | | 2,081,883 | |
| | | | | | | | |
| | | | | | | 2,966,967 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| IT Services (1.6%): | | | |
| | 26,328 | | | CSG Systems International, Inc. | | $ | 1,517,019 | |
| | 48,055 | | | Evertec, Inc. | | | 2,401,789 | |
| | 26,828 | | | Exlservice Holdings, Inc.* | | | 3,883,889 | |
| | 26,575 | | | Perficient, Inc.* | | | 3,435,882 | |
| | 14,696 | | | TTEC Holdings, Inc. | | | 1,330,723 | |
| | 53,884 | | | Unisys Corp.* | | | 1,108,394 | |
| | | | | | | | |
| | | | | | | 13,677,696 | |
| | | | | | | | |
| Leisure Products (0.4%): | | | |
| | 14,076 | | | Sturm, Ruger & Co., Inc. | | | 957,449 | |
| | 45,996 | | | Vista Outdoor, Inc.* | | | 2,119,036 | |
| | | | | | | | |
| | | | | | | 3,076,485 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.4%): | | | |
| | 99,227 | | | Neogenomics, Inc.* | | | 3,385,625 | |
| | | | | | | | |
| Machinery (5.7%): | | | |
| | 7,907 | | | Alamo Group, Inc. | | | 1,163,752 | |
| | 26,037 | | | Albany International Corp., Class A | | | 2,302,973 | |
| | 18,209 | | | Astec Industries, Inc. | | | 1,261,337 | |
| | 37,404 | | | Barnes Group, Inc. | | | 1,742,652 | |
| | 28,690 | | | Chart Industries, Inc.* | | | 4,575,768 | |
| | 16,216 | | | CIRCOR International, Inc.* | | | 440,751 | |
| | 48,084 | | | Enerpac Tool Group Corp. | | | 975,143 | |
| | 16,586 | | | EnPro Industries, Inc. | | | 1,825,621 | |
| | 21,005 | | | ESCO Technologies, Inc. | | | 1,890,240 | |
| | 49,237 | | | Federal Signal Corp. | | | 2,133,932 | |
| | 31,143 | | | Franklin Electric Co., Inc. | | | 2,944,882 | |
| | 63,404 | | | Harsco Corp.* | | | 1,059,481 | |
| | 58,743 | | | Hillenbrand, Inc. | | | 3,054,049 | |
| | 25,584 | | | John Bean Technologies Corp. | | | 3,928,679 | |
| | 8,733 | | | Lindsay Corp. | | | 1,327,416 | |
| | 56,233 | | | Meritor, Inc.* | | | 1,393,454 | |
| | 46,206 | | | Mueller Industries, Inc. | | | 2,742,788 | |
| | 22,145 | | | Proto Labs, Inc.* | | | 1,137,146 | |
| | 36,589 | | | SPX Corp.* | | | 2,183,632 | |
| | 33,792 | | | SPX FLOW, Inc. | | | 2,922,332 | |
| | 9,868 | | | Standex International Corp. | | | 1,091,993 | |
| | 14,919 | | | Tennant Co. | | | 1,209,036 | |
| | 26,178 | | | The Greenbrier Cos., Inc. | | | 1,201,308 | |
| | 40,719 | | | Titan International, Inc.* | | | 446,280 | |
| | 40,036 | | | Wabash National Corp. | | | 781,503 | |
| | 22,206 | | | Watts Water Technologies, Inc., Class A | | | 4,311,739 | |
| | | | | | | | |
| | | | | | | 50,047,887 | |
| | | | | | | | |
| Marine (0.4%): | | | |
| | 33,938 | | | Matson, Inc. | | | 3,055,438 | |
| | | | | | | | |
| Media (0.7%): | | | |
| | 23,427 | | | AMC Networks, Inc., Class A* | | | 806,826 | |
| | 45,615 | | | E.W. Scripps Co. (The), Class A* | | | 882,650 | |
| | 114,636 | | | Gannett Co, Inc.* | | | 611,010 | |
| | 15,995 | | | Loyalty Ventures, Inc.* | | | 480,970 | |
| | 24,518 | | | Scholastic Corp. | | | 979,739 | |
| | 20,920 | | | TechTarget, Inc.* | | | 2,001,207 | |
| | 13,806 | | | Thryv Holdings, Inc.* | | | 567,841 | |
| | | | | | | | |
| | | | | | | 6,330,243 | |
| | | | | | | | |
| Metals & Mining (1.3%): | | | |
| | 101,932 | | | Allegheny Technologies, Inc.* | | | 1,623,777 | |
| | 85,858 | | | Arconic Corp.* | | | 2,834,173 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Metals & Mining, continued | | | |
| | 38,438 | | | Carpenter Technology Corp. | | $ | 1,122,005 | |
| | 40,638 | | | Century Aluminum Co.* | | | 672,965 | |
| | 10,271 | | | Haynes International, Inc. | | | 414,229 | |
| | 12,694 | | | Kaiser Aluminum Corp. | | | 1,192,474 | |
| | 16,449 | | | Materion Corp. | | | 1,512,321 | |
| | 7,195 | | | Olympic Steel, Inc. | | | 169,083 | |
| | 65,650 | | | SunCoke Energy, Inc. | | | 432,634 | |
| | 33,083 | | | TimkenSteel Corp.* | | | 545,869 | |
| | 41,144 | | | Warrior Met Coal, Inc. | | | 1,057,812 | |
| | | | | | | | |
| | | | | | | 11,577,342 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (1.3%): | | | |
| | 105,911 | | | Apollo Commercial Real Estate Finance, Inc. | | | 1,393,789 | |
| | 72,236 | | | Armour Residential REIT, Inc.^ | | | 708,635 | |
| | 44,381 | | | Ellington Financial, Inc. | | | 758,471 | |
| | 26,722 | | | Franklin BSP Realty Trust, Inc. | | | 399,227 | |
| | 44,238 | | | Granite Point Mortgage Trust, Inc. | | | 518,027 | |
| | 231,900 | | | Invesco Mortgage Capital, Inc. | | | 644,682 | |
| | 36,104 | | | KKR Real Estate Finance Trust, Inc. | | | 752,046 | |
| | 305,878 | | | New York Mortgage Trust, Inc. | | | 1,137,866 | |
| | 78,287 | | | Pennymac Mortgage Investment Trust | | | 1,356,714 | |
| | 47,703 | | | Ready Capital Corp. | | | 745,598 | |
| | 92,360 | | | Redwood Trust, Inc. | | | 1,218,228 | |
| | 275,424 | | | Two Harbors Investment Corp. | | | 1,589,197 | |
| | | | | | | | |
| | | | | | | 11,222,480 | |
| | | | | | | | |
| Multiline Retail (0.1%): | | | |
| | 26,251 | | | Big Lots, Inc. | | | 1,182,608 | |
| | | | | | | | |
| Multi-Utilities (0.3%): | | | |
| | 56,986 | | | Avista Corp. | | | 2,421,335 | |
| | 12,660 | | | Unitil Corp. | | | 582,234 | |
| | | | | | | | |
| | | | | | | 3,003,569 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels (3.5%): | | | |
| | 38,285 | | | Callon Petroleum Co.* | | | 1,808,966 | |
| | 58,005 | | | Civitas Resources, Inc. | | | 2,840,505 | |
| | 25,528 | | | CONSOL Energy, Inc.* | | | 579,741 | |
| | 22,089 | | | Dorian LPG, Ltd. | | | 280,310 | |
| | 35,512 | | | Green Plains, Inc.* | | | 1,234,397 | |
| | 11,586 | | | Laredo Petroleum, Inc.* | | | 696,666 | |
| | 89,076 | | | Matador Resources Co. | | | 3,288,686 | |
| | 39,146 | | | PAR Pacific Holdings, Inc.* | | | 645,518 | |
| | 76,295 | | | PBF Energy, Inc., Class A* | | | 989,546 | |
| | 78,817 | | | PDC Energy, Inc. | | | 3,844,693 | |
| | 201,547 | | | Range Resources Corp.* | | | 3,593,583 | |
| | 17,008 | | | Ranger Oil Corp.* | | | 457,855 | |
| | 40,489 | | | Renewable Energy Group, Inc.* | | | 1,718,353 | |
| | 4,513 | | | REX American Resources Corp.* | | | 433,248 | |
| | 97,949 | | | SM Energy Co. | | | 2,887,537 | |
| | 817,385 | | | Southwestern Energy Co.* | | | 3,809,014 | |
| | 33,028 | | | Talos Energy, Inc.* | | | 323,674 | |
| | 52,171 | | | World Fuel Services Corp. | | | 1,380,966 | |
| | | | | | | | |
| | | | | | | 30,813,258 | |
| | | | | | | | |
| Paper & Forest Products (0.4%): | | | |
| | 13,426 | | | Clearwater Paper Corp.* | | | 492,331 | |
| | 35,521 | | | Glatfelter Corp. | | | 610,961 | |
| | 32,511 | | | Mercer International, Inc. | | | 389,807 | |
| | 13,532 | | | Neenah, Inc. | | | 626,261 | |
See accompanying notes to the financial statements.
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Paper & Forest Products, continued | | | |
| | 25,234 | | | Schweitzer-Mauduit International, Inc. | | $ | 754,497 | |
| | 28,471 | | | Sylvamo Corp.* | | | 794,056 | |
| | | | | | | | |
| | | | | | | 3,667,913 | |
| | | | | | | | |
| Personal Products (0.9%): | | | |
| | 43,793 | | | Edgewell Personal Care Co. | | | 2,001,778 | |
| | 38,444 | | | elf Beauty, Inc.* | | | 1,276,725 | |
| | 14,201 | | | Inter Parfums, Inc. | | | 1,518,087 | |
| | 9,392 | | | Medifast, Inc. | | | 1,966,966 | |
| | 9,448 | | | Usana Health Sciences, Inc.* | | | 956,138 | |
| | | | | | | | |
| | | | | | | 7,719,694 | |
| | | | | | | | |
| Pharmaceuticals (1.6%): | | | |
| | 29,867 | | | Amphastar Pharmaceuticals, Inc.* | | | 695,603 | |
| | 8,690 | | | ANI Pharmaceuticals, Inc.* | | | 400,435 | |
| | 28,052 | | | Collegium Pharmaceutical, Inc.* | | | 524,011 | |
| | 76,174 | | | Corcept Therapeutics, Inc.*^ | | | 1,508,245 | |
| | 187,085 | | | Endo International plc* | | | 703,440 | |
| | 18,360 | | | Harmony Biosciences Holdings, Inc.* | | | 782,871 | |
| | 50,125 | | | Innoviva, Inc.* | | | 864,656 | |
| | 147,661 | | | Nektar Therapeutics* | | | 1,994,900 | |
| | 35,854 | | | Pacira BioSciences, Inc.* | | | 2,157,335 | |
| | 16,607 | | | Phibro Animal Health Corp., Class A | | | 339,115 | |
| | 40,431 | | | Prestige Consumer Healthcare, Inc.* | | | 2,452,140 | |
| | 42,881 | | | Supernus Pharmaceuticals, Inc.* | | | 1,250,410 | |
| | | | | | | | |
| | | | | | | 13,673,161 | |
| | | | | | | | |
| Professional Services (1.5%): | | | |
| | 41,961 | | | Exponent, Inc. | | | 4,898,109 | |
| | 8,883 | | | Forrester Research, Inc.* | | | 521,699 | |
| | 15,678 | | | Heidrick & Struggles International, Inc. | | | 685,599 | |
| | 29,076 | | | Kelly Services, Inc., Class A | | | 487,604 | |
| | 44,019 | | | Korn Ferry | | | 3,333,559 | |
| | 22,241 | | | ManTech International Corp., Class A | | | 1,622,036 | |
| | 24,666 | | | Resources Connection, Inc. | | | 440,041 | |
| | 28,613 | | | Trueblue, Inc.* | | | 791,722 | |
| | | | | | | | |
| | | | | | | 12,780,369 | |
| | | | | | | | |
| Real Estate Management & Devel (0.1%): | | | |
| | 52,665 | | | Douglas Elliman, Inc.* | | | 605,642 | |
| | | | | | | | |
| Real Estate Management & Development (0.8%): | | | |
| | 98,026 | | | Essential Properties Realty Trust, Inc. | | | 2,826,090 | |
| | 20,218 | | | Marcus & Millichap, Inc.* | | | 1,040,418 | |
| | 15,090 | | | RE/MAX Holdings, Inc., Class A | | | 460,094 | |
| | 93,556 | | | Realogy Holdings Corp.* | | | 1,572,677 | |
| | 26,647 | | | The St Joe Co. | | | 1,386,976 | |
| | | | | | | | |
| | | | | | | 7,286,255 | |
| | | | | | | | |
| Road & Rail (0.5%): | | | |
| | 20,616 | | | ArcBest Corp. | | | 2,470,828 | |
| | 37,454 | | | Heartland Express, Inc. | | | 629,976 | |
| | 47,983 | | | Marten Transport, Ltd. | | | 823,388 | |
| | | | | | | | |
| | | | | | | 3,924,192 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (4.0%): | | | |
| | 30,361 | | | Advanced Energy Industries, Inc. | | | 2,764,673 | |
| | 26,953 | | | Axcelis Technologies, Inc.* | | | 2,009,616 | |
| | 18,418 | | | CEVA, Inc.* | | | 796,394 | |
| | 39,195 | | | Cohu, Inc.* | | | 1,492,938 | |
| | 36,256 | | | Diodes, Inc.* | | | 3,981,271 | |
| | 62,913 | | | FormFactor, Inc.* | | | 2,876,382 | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Semiconductors & Semiconductor Equipment, continued | | | |
| | 22,739 | | | Ichor Holdings, Ltd.* | | $ | 1,046,676 | |
| | 49,920 | | | Kulicke & Soffa Industries, Inc. | | | 3,022,157 | |
| | 56,856 | | | MaxLinear, Inc., Class A* | | | 4,286,374 | |
| | 39,671 | | | Onto Innovation, Inc.* | | | 4,015,895 | |
| | 23,832 | | | PDF Solutions, Inc.* | | | 757,619 | |
| | 49,329 | | | Photronics, Inc.* | | | 929,852 | |
| | 88,453 | | | Rambus, Inc.* | | | 2,599,634 | |
| | 18,768 | | | SMART Global Holdings, Inc.* | | | 1,332,340 | |
| | 36,163 | | | Ultra Clean Holdings, Inc.* | | | 2,074,310 | |
| | 40,475 | | | Veeco Instruments, Inc.* | | | 1,152,323 | |
| | | | | | | | |
| | | | | | | 35,138,454 | |
| | | | | | | | |
| Software (2.6%): | | | |
| | 91,934 | | | 8x8, Inc.* | | | 1,540,814 | |
| | 15,633 | | | Agilysys, Inc.* | | | 695,043 | |
| | 37,128 | | | Alarm.com Holding, Inc.* | | | 3,148,826 | |
| | 31,230 | | | Bottomline Technologies, Inc.* | | | 1,763,558 | |
| | 12,889 | | | Consensus Cloud Solutions, Inc.* | | | 745,886 | |
| | 19,128 | | | Ebix, Inc. | | | 581,491 | |
| | 53,102 | | | LivePerson, Inc.* | | | 1,896,804 | |
| | 27,687 | | | OneSpan, Inc.* | | | 468,741 | |
| | 35,311 | | | Progress Software Corp. | | | 1,704,462 | |
| | 28,978 | | | SPS Commerce, Inc.* | | | 4,125,018 | |
| | 203,267 | | | Vonage Holdings Corp.* | | | 4,225,921 | |
| | 83,845 | | | Xperi Holding Corp. | | | 1,585,509 | |
| | | | | | | | |
| | | | | | | 22,482,073 | |
| | | | | | | | |
| Specialty Retail (4.1%): | | | |
| | 25,663 | | | Aaron’s Co., Inc. (The) | | | 632,593 | |
| | 47,726 | | | Abercrombie & Fitch Co., Class A* | | | 1,662,296 | |
| | 5,028 | | | America’s Car Mart, Inc.* | | | 514,867 | |
| | 18,629 | | | Asbury Automotive Group, Inc.* | | | 3,217,787 | |
| | 28,460 | | | Barnes & Noble Education, Inc.* | | | 193,813 | |
| | 81,542 | | | Bed Bath & Beyond, Inc.*^ | | | 1,188,882 | |
| | 23,842 | | | Boot Barn Holdings, Inc.* | | | 2,933,758 | |
| | 30,751 | | | Caleres, Inc. | | | 697,433 | |
| | 15,819 | | | Cato Corp., Class A | | | 271,454 | |
| | 97,428 | | | Chico’s FAS, Inc.* | | | 524,163 | |
| | 15,361 | | | Conn’s, Inc.* | | | 361,291 | |
| | 49,071 | | | Designer Brands, Inc., Class A* | | | 697,299 | |
| | 11,305 | | | Genesco, Inc.* | | | 725,442 | |
| | 14,576 | | | Group 1 Automotive, Inc. | | | 2,845,527 | |
| | 31,228 | | | Guess?, Inc. | | | 739,479 | |
| | 12,098 | | | Haverty Furniture Cos., Inc. | | | 369,836 | |
| | 12,074 | | | Hibbett, Inc. | | | 868,483 | |
| | 23,133 | | | Lumber Liquidators Holdings, Inc.* | | | 394,880 | |
| | 17,433 | | | MarineMax, Inc.* | | | 1,029,244 | |
| | 26,804 | | | Monro, Inc. | | | 1,561,869 | |
| | 37,044 | | | ODP Corp. (The)* | | | 1,455,088 | |
| | 48,669 | | | Rent-A-Center, Inc. | | | 2,338,059 | |
| | 91,026 | | | Sally Beauty Holdings, Inc.* | | | 1,680,340 | |
| | 13,978 | | | Shoe Carnival, Inc. | | | 546,260 | |
| | 42,748 | | | Signet Jewelers, Ltd. | | | 3,720,358 | |
| | 18,263 | | | Sleep Number Corp.* | | | 1,398,946 | |
| | 16,777 | | | Sonic Automotive, Inc., Class A | | | 829,623 | |
| | 23,452 | | | The Buckle, Inc. | | | 992,254 | |
| | 11,282 | | | The Children’s Place, Inc.*^ | | | 894,550 | |
| | 17,273 | | | Zumiez, Inc.* | | | 828,931 | |
| | | | | | | | |
| | | | | | | 36,114,805 | |
| | | | | | | | |
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Technology Hardware, Storage & Peripherals (0.3%): | | | |
| | 102,917 | | | 3D Systems Corp.* | | $ | 2,216,832 | |
| | 59,481 | | | Diebold Nixdorf, Inc.* | | | 538,303 | |
| | | | | | | | |
| | | | | | | 2,755,135 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods (1.2%): | | | |
| | 38,007 | | | Fossil Group, Inc.* | | | 391,092 | |
| | 34,946 | | | G-III Apparel Group, Ltd.* | | | 965,907 | |
| | 38,310 | | | Kontoor Brands, Inc. | | | 1,963,388 | |
| | 13,393 | | | Movado Group, Inc. | | | 560,229 | |
| | 12,732 | | | Oxford Industries, Inc. | | | 1,292,553 | |
| | 61,577 | | | Steven Madden, Ltd. | | | 2,861,483 | |
| | 11,022 | | | Unifi, Inc.* | | | 255,159 | |
| | 20,230 | | | Vera Bradley, Inc.* | | | 172,157 | |
| | 66,323 | | | Wolverine World Wide, Inc. | | | 1,910,766 | |
| | | | | | | | |
| | | | | | | 10,372,734 | |
| | | | | | | | |
| Thrifts & Mortgage Finance (2.6%): | | | |
| | 43,126 | | | Axos Financial, Inc.* | | | 2,411,174 | |
| | 103,675 | | | Capitol Federal Financial, Inc. | | | 1,174,638 | |
| | 42,571 | | | Flagstar Bancorp, Inc. | | | 2,040,854 | |
| | 16,752 | | | HomeStreet, Inc. | | | 871,104 | |
| | 9,175 | | | LendingTree, Inc.* | | | 1,124,855 | |
| | 25,239 | | | Meta Financial Group, Inc. | | | 1,505,759 | |
| | 60,731 | | | Mr Cooper Group, Inc.* | | | 2,527,017 | |
| | 69,204 | | | NMI Holdings, Inc., Class A* | | | 1,512,107 | |
| | 36,605 | | | Northfield Bancorp, Inc. | | | 591,537 | |
| | 101,931 | | | Northwest Bancshares, Inc. | | | 1,443,343 | |
| | 63,004 | | | Provident Financial Services, Inc. | | | 1,525,957 | |
| | 15,573 | | | TrustCo Bank Corp. NY | | | 518,736 | |
| | 23,810 | | | Wawlker & Dunlop, Inc. | | | 3,592,453 | |
| | 38,301 | | | WSFS Financial Corp. | | | 1,919,646 | |
| | | | | | | | |
| | | | | | | 22,759,180 | |
| | | | | | | | |
| Tobacco (0.3%): | | | |
| | 19,595 | | | Universal Corp. | | | 1,076,157 | |
| | 105,329 | | | Vector Group, Ltd. | | | 1,209,177 | |
| | | | | | | | |
| | | | | | | 2,285,334 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | |
| Trading Companies & Distributors (1.3%): | | | |
| | 31,072 | | | Applied Industrial Technologies, Inc. | | $ | 3,191,094 | |
| | 31,678 | | | Boise Cascade Co. | | | 2,255,474 | |
| | 14,360 | | | DXP Enterprises, Inc.* | | | 368,621 | |
| | 34,765 | | | GMS, Inc.* | | | 2,089,724 | |
| | 22,235 | | | Kaman Corp., Class A | | | 959,440 | |
| | 88,581 | | | NOW, Inc.* | | | 756,482 | |
| | 11,196 | | | Veritiv Corp.* | | | 1,372,294 | |
| | | | | | | | |
| | | | | | | 10,993,129 | |
| | | | | | | | |
| Water Utilities (0.9%): | | | |
| | 29,780 | | | American States Water Co. | | | 3,080,443 | |
| | 42,364 | | | California Water Service Group | | | 3,044,277 | |
| | 14,044 | | | Middlesex Water Co. | | | 1,689,493 | |
| | | | | | | | |
| | | | | | | 7,814,213 | |
| | | | | | | | |
| Wireless Telecommunication Services (0.3%): | | | |
| | 40,022 | | | Shenandoah Telecommunications Co. | | | 1,020,561 | |
| | 78,648 | | | Telephone & Data Systems, Inc. | | | 1,584,757 | |
| | | | | | | | |
| | | | | | | 2,605,318 | |
| | | | | | | | |
| | Total Common Stocks (Cost $557,177,497) | | | 865,315,792 | |
| | | | | |
| | |
Principal
Amount | | | | | Value | |
| Short-Term Security Held as Collateral for Securities on Loan (1.3%): | |
| | 11,752,931 | | | BlackRock Liquidity FedFund, Institutional Class, 0.03%(a)(b) | | | 11,752,931 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $11,752,931) | | | 11,752,931 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (0.6%): | | | |
| Money Markets (0.6%): | | | |
| | 5,150,124 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b) | | | 5,150,124 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $5,150,124) | | | 5,150,124 | |
| | | | | |
| | Total Investment Securities (Cost $574,080,552) — 101.2%(c) | | | 882,218,847 | |
| | Net other assets (liabilities) — (1.2)% | | | (10,603,951 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 871,614,896 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
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, 2021. The total value of securities on loan as of December 31, 2021 was $11,373,226. |
| (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, 2021. |
| (b) | The rate represents the effective yield at December 31, 2021. |
| (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, 2021
Futures Contracts
At December 31, 2021, 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 Future Mar22 | | 3/18/22 | | 56 | | | $6,279,840 | | | $ | 117,021 | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 117,021 | |
| | | | | | | | | | | | |
See accompanying notes to the financial statements.
11
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 574,080,552 | |
| | | | | |
Investment securities, at value(a) | | | $ | 882,218,847 | |
Cash | | | | 8,952 | |
Deposit at broker for futures contracts collateral | | | | 339,600 | |
Interest and dividends receivable | | | | 897,347 | |
Receivable for investments sold | | | | 544,881 | |
Prepaid expenses | | | | 4,354 | |
| | | | | |
Total Assets | | | | 884,013,981 | |
| | | | | |
Liabilities: | | | | | |
Payable for capital shares redeemed | | | | 64,923 | |
Payable for collateral received on loaned securities | | | | 11,752,931 | |
Payable for variation margin on futures contracts | | | | 11,534 | |
Manager fees payable | | | | 189,085 | |
Administration fees payable | | | | 127,322 | |
Distribution fees payable | | | | 172,213 | |
Custodian fees payable | | | | 5,987 | |
Administrative and compliance services fees payable | | | | 1,599 | |
Transfer agent fees payable | | | | 2,274 | |
Trustee fees payable | | | | 8,982 | |
Other accrued liabilities | | | | 62,235 | |
| | | | | |
Total Liabilities | | | | 12,399,085 | |
| | | | | |
Net Assets | | | $ | 871,614,896 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 464,899,395 | |
Total distributable earnings | | | | 406,715,501 | |
| | | | | |
Net Assets | | | $ | 871,614,896 | |
| | | | | |
Class 1 | | | | | |
Net Assets | | | $ | 46,174,413 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 3,929,973 | |
Net Asset Value (offering and redemption price per share) | | | $ | 11.75 | |
| | | | | |
Class 2 | | | | | |
Net Assets | | | $ | 825,440,483 | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 49,223,681 | |
Net Asset Value (offering and redemption price per share) | | | $ | 16.77 | |
| | | | | |
| (a) | Includes securities on loan of $11,373,226. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Dividends | | | $ | 11,157,864 | |
Income from securities lending | | | | 146,132 | |
Foreign withholding tax | | | | (10,670 | ) |
| | | | | |
Total Investment Income | | | | 11,293,326 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 2,267,731 | |
Administration fees | | | | 306,553 | |
Distribution fees — Class 2 | | | | 2,062,908 | |
Custodian fees | | | | 31,606 | |
Administrative and compliance services fees | | | | 10,162 | |
Transfer agent fees | | | | 10,012 | |
Trustee fees | | | | 42,300 | |
Professional fees | | | | 38,770 | |
Licensing fees | | | | 158,236 | |
Shareholder reports | | | | 31,207 | |
Other expenses | | | | 15,972 | |
| | | | | |
Total expenses | | | | 4,975,457 | |
| | | | | |
Net Investment Income/(Loss) | | | | 6,317,869 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities | | | | 111,828,780 | |
Net realized gains/(losses) on futures contracts | | | | 644,180 | |
Change in net unrealized appreciation/depreciation on securities | | | | 79,276,074 | |
Change in net unrealized appreciation/depreciation on futures contracts | | | | 210,209 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 191,959,243 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 198,277,112 | |
| | | | | |
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, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 6,317,869 | | | | $ | 6,164,309 | |
Net realized gains/(losses) on investments | | | | 112,472,960 | | | | | 6,504,197 | |
Change in unrealized appreciation/depreciation on investments | | | | 79,486,283 | | | | | 62,569,968 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 198,277,112 | | | | | 75,238,474 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Class 1 | | | | (2,166,192 | ) | | | | (3,190,100 | ) |
Class 2 | | | | (26,155,914 | ) | | | | (41,852,417 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (28,322,106 | ) | | | | (45,042,517 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Proceeds from shares issued | | | | 86,410 | | | | | 187,289 | |
Proceeds from dividends reinvested | | | | 2,166,192 | | | | | 3,190,100 | |
Value of shares redeemed | | | | (7,568,265 | ) | | | | (4,909,090 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (5,315,663 | ) | | | | (1,531,701 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Proceeds from shares issued | | | | 61,823,244 | | | | | 80,434,284 | |
Proceeds from dividends reinvested | | | | 26,155,914 | | | | | 41,852,417 | |
Value of shares redeemed | | | | (195,522,153 | ) | | | | (184,050,997 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (107,542,995 | ) | | | | (61,764,296 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | (112,858,658 | ) | | | | (63,295,997 | ) |
| | | | | | | | | | |
Change in net assets | | | | 57,096,348 | | | | | (33,100,040 | ) |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 814,518,548 | | | | | 847,618,588 | |
| | | | | | | | | | |
End of period | | | $ | 871,614,896 | | | | $ | 814,518,548 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Class 1 | | | | | | | | | | |
Shares issued | | | | 7,506 | | | | | 26,260 | |
Dividends reinvested | | | | 192,550 | | | | | 397,768 | |
Shares redeemed | | | | (660,924 | ) | | | | (602,581 | ) |
| | | | | | | | | | |
Total Class 1 Shares | | | | (460,868 | ) | | | | (178,553 | ) |
| | | | | | | | | | |
Class 2 | | | | | | | | | | |
Shares issued | | | | 3,695,251 | | | | | 8,597,337 | |
Dividends reinvested | | | | 1,627,624 | | | | | 3,707,035 | |
Shares redeemed | | | | (12,276,692 | ) | | | | (16,856,826 | ) |
| | | | | | | | | | |
Total Class 2 Shares | | | | (6,953,817 | ) | | | | (4,552,454 | ) |
| | | | | | | | | | |
Change in shares | | | | (7,414,685 | ) | | | | (4,731,007 | ) |
| | | | | | | | | | |
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Class 1 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 9.76 | | | | $ | 9.65 | | | | $ | 9.26 | | | | $ | 11.68 | | | | $ | 11.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.11 | (a) | | | | 0.09 | (a) | | | | 0.12 | (a) | | | | 0.16 | | | | | 0.16 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 2.44 | | | | | 0.80 | | | | | 1.78 | | | | | (0.93 | ) | | | | 1.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 2.55 | | | | | 0.89 | | | | | 1.90 | | | | | (0.77 | ) | | | | 1.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.14 | ) | | | | (0.17 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | | | (0.08 | ) |
Net Realized Gains | | | | (0.42 | ) | | | | (0.61 | ) | | | | (1.34 | ) | | | | (1.47 | ) | | | | (1.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.56 | ) | | | | (0.78 | ) | | | | (1.51 | ) | | | | (1.65 | ) | | | | (1.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.75 | | | | $ | 9.76 | | | | $ | 9.65 | | | | $ | 9.26 | | | | $ | 11.68 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 26.37 | % | | | | 10.98 | % | | | | 22.42 | % | | | | (8.59 | )% | | | | 12.94 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 46,174 | | | | $ | 42,848 | | | | $ | 44,098 | | | | $ | 41,285 | | | | $ | 53,319 | |
Net Investment Income/(Loss) | | | | 0.95 | % | | | | 1.11 | % | | | | 1.21 | % | | | | 1.17 | % | | | | 1.21 | % |
Expenses Before Reductions(c) | | | | 0.33 | % | | | | 0.34 | % | | | | 0.33 | % | | | | 0.33 | % | | | | 0.32 | % |
Expenses Net of Reductions | | | | 0.33 | % | | | | 0.34 | % | | | | 0.33 | % | | | | 0.33 | % | | | | 0.32 | % |
Portfolio Turnover Rate(d) | | | | 20 | % | | | | 21 | % | | | | 14 | % | | | | 19 | % | | | | 16 | % |
| | | | | |
Class 2 | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 13.74 | | | | $ | 13.23 | | | | $ | 12.17 | | | | $ | 14.88 | | | | $ | 14.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.12 | (a) | | | | 0.10 | (a) | | | | 0.13 | (a) | | | | 0.15 | | | | | 0.15 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 3.44 | | | | | 1.15 | | | | | 2.40 | | | | | (1.25 | ) | | | | 1.59 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.56 | | | | | 1.25 | | | | | 2.53 | | | | | (1.10 | ) | | | | 1.74 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.13 | ) | | | | (0.14 | ) | | | | (0.07 | ) |
Net Realized Gains | | | | (0.42 | ) | | | | (0.61 | ) | | | | (1.34 | ) | | | | (1.47 | ) | | | | (1.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (0.53 | ) | | | | (0.74 | ) | | | | (1.47 | ) | | | | (1.61 | ) | | | | (1.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 16.77 | | | | $ | 13.74 | | | | $ | 13.23 | | | | $ | 12.17 | | | | $ | 14.88 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 26.04 | % | | | | 10.71 | % | | | | 22.19 | % | | | | (8.93 | )% | | | | 12.75 | % |
| | | | | |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 825,440 | | | | $ | 771,671 | | | | $ | 803,521 | | | | $ | 713,258 | | | | $ | 869,770 | |
Net Investment Income/(Loss) | | | | 0.71 | % | | | | 0.86 | % | | | | 0.96 | % | | | | 0.93 | % | | | | 0.96 | % |
Expenses Before Reductions(c) | | | | 0.58 | % | | | | 0.59 | % | | | | 0.58 | % | | | | 0.58 | % | | | | 0.57 | % |
Expenses Net of Reductions | | | | 0.58 | % | | | | 0.59 | % | | | | 0.58 | % | | | | 0.58 | % | | | | 0.57 | % |
Portfolio Turnover Rate(d) | | | | 20 | % | | | | 21 | % | | | | 14 | % | | | | 19 | % | | | | 16 | % |
| (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.
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2021
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
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2021
Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $14,363 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $11,752,931 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund did not engage in any Rule 17a-7 transactions.
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, 2021, 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 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, 2021, the monthly average notional amount for long contracts was $6.5 million. There was no short contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
Equity Risk | | | | | | | | | | |
| | | | |
| Futures Contracts | | Receivable for variation margin on futures contracts* | | $ | 117,021 | | | 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. |
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2021
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, 2021:
| | | | | | | | | | |
| 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 | | $ | 644,180 | | | $ | 210,209 | |
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 “Management 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, 2023.
For the year ended December 31, 2021, 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 with respect to the annual expense limits 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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, 2021, there were no such 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.
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.
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) |
17
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2021
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. These procedures include the Fund’s use of 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, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
| | | | | | | | | |
Common Stocks+ | | | $ | 865,315,792 | | | | $ | — | | | | $ | — | | | | $ | 865,315,792 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 11,752,931 | | | | | — | | | | | — | | | | | 11,752,931 | |
Unaffiliated Investment Company | | | | 5,150,124 | | | | | — | | | | | — | | | | | 5,150,124 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 882,218,847 | | | | | — | | | | | — | | | | | 882,218,847 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | 117,021 | | | | | — | | | | | — | | | | | 117,021 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 882,335,868 | | | | $ | — | | | | $ | — | | | | $ | 882,335,868 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 168,593,515 | | | | $ | 294,699,743 | |
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
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AZL Small Cap Stock Index Fund
Notes to the Financial Statements
December 31, 2021
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $593,009,200. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 323,034,668 | |
Unrealized (depreciation) | | | (33,825,021 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 289,209,647 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL Small Cap Stock Index Fund | | | $ | 10,191,642 | | | | $ | 18,130,464 | | | | $ | 28,322,106 | |
| (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, 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. |
At December 31, 2021, 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 | | | $ | 22,126,406 | | | | $ | 95,379,448 | | | | $ | — | | | | $ | 289,209,647 | | | | $ | 406,715,501 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts, investments in real estate investment trusts 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, 2021, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 55% of the Fund. Investment activities of the shareholder 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.
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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 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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
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, 2021, 64.01% 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, 2021, the Fund declared net short-term capital gain distributions of $4,314,386.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $18,130,464.
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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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
23
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 | | 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
26
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions Held with
AIM Complex | | Term of Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to
present; previously, Assistant Vice President, Allianz Investment
Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive
Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013
to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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. | | ANNRPT1221 02/22 |
AZL® T. Rowe Price Capital Appreciation Fund
Annual Report
December 31, 2021
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) |
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.
What factors affected the Fund’s performance during the year ended December 31, 2021?*
For the year ended December 31, 2021, the AZL® T. Rowe Price Capital Appreciation Fund (the “Fund”) returned 18.12%. That compared to a 28.71%, (1.54)% and a 15.96% total return for its benchmarks, the S&P 500® Index, the Bloomberg U.S. Aggregate Index, and the Moderate Composite Index, respectively.1
Even as the coronavirus pandemic continued to impact global economies, U.S. stocks climbed in 2021, extending a period of healthy growth that began after the sharp decline in February and March 2020. The S&P 500® Index repeatedly reached record highs throughout the year. Equities advanced as the economy reopened and recovered — facilitated by the rollout of coronavirus vaccines and significant federal fiscal relief — and as corporations reported robust earnings growth. However, the financial markets suffered periodically during the year over concerns about elevated inflation, which stemmed in part from global supply chain disruptions, the emergence of new coronavirus variants, and the U.S. Federal Reserve’s decision to taper its monthly asset purchases starting in November.
The equity portion of the Fund slightly underperformed the S&P 500® Index but outperformed its composite benchmark. The Fund’s fixed income holdings posted a positive return during the one-year period, outperforming the Bloomberg U.S. Aggregate Bond Index. Within equities, stock selection in health care and communication services contributed the most to relative performance. Conversely, stock selection and allocation effects in information technology detracted from relative results.
Within fixed-income, the Fund’s above-benchmark exposure to bank loans and high-yield bonds aided relative results, as they were the best performing areas of the fixed-income market during the year.
Overall, the Fund’s exposure to equities increased compared to the beginning of the period, as the Fund added to select stocks in the communication services and consumer staples sectors. The Fund’s overall weighting in fixed income slightly decreased during the year, as the subadvisor reduced exposure to high-yield bonds. The cash position declined compared to the beginning of the period as a result of these shifts.
The Fund maintained exposure to covered call options during the period. This type of derivative provides 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 made a modestly positive contribution to 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 as described 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, 2021. |
| 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) |
Fund Objective
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.
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.
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.
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.
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, 2021 |
| | | 1
Year | | 3
Year | | 5
Year | | 10
Year |
AZL® T. Rowe Price Capital Appreciation Fund | | | | 18.12 | % | | | | 19.95 | % | | | | 14.79 | % | | | | 13.93 | % |
S&P 500® Index | | | | 28.71 | % | | | | 26.07 | % | | | | 18.47 | % | | | | 16.55 | % |
Bloomberg U.S. Aggregate Bond Index | | | | (1.54 | )% | | | | 4.79 | % | | | | 3.57 | % | | | | 2.90 | % |
Moderate Composite Index | | | | 15.96 | % | | | | 17.77 | % | | | | 12.78 | % | | | | 11.22 | % |
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® T. Rowe Price Capital Appreciation Fund | | | | 1.08 | % |
The above expense ratio is based on the current Fund prospectus dated April 30, 2021. The Manager and the Fund have entered into a written agreement reducing the management fee to 0.70% through at least April 30, 2023. 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, 2023. Additional information pertaining to the December 31, 2021 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 1.06%.
The Fund’s performance is measured against the Standard and Poor’s 500 Index (“S&P 500®”), the Bloomberg 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 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 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.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 1,000.00 | | | | $ | 1,075.40 | | | | $ | 5.39 | | | | | 1.03 | % |
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
7/1/21 | | Ending
Account Value
12/31/21 | | Expenses Paid
During Period
7/1/21 - 12/31/21* | | Annualized Expense
Ratio During Period
7/1/21 - 12/31/21 |
| | | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 1,000.00 | | | | $ | 1,020.01 | | | | $ | 5.24 | | | | | 1.03 | % |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 184/365 (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 | | | | 72.6 | % |
| |
Bank Loans | | | | 12.0 | |
| |
Unaffiliated Investment Company | | | | 8.6 | |
| |
Corporate Bonds | | | | 8.0 | |
| |
Preferred Stocks | | | | 0.8 | |
| |
Short-Term Security Held as Collateral for Securities on Loan | | | | 0.8 | |
| |
Yankee Debt Obligations | | | | 0.3 | |
| |
Asset Backed Securities | | | | 0.2 | |
| |
Convertible Preferred Stock | | | | 0.1 | |
| | | | | |
| |
Total Investment Securities | | | | 103.4 | |
| |
Net other assets (liabilities) | | | | (3.4 | ) |
| | | | | |
| |
Net Assets | | | | 100.0 | % |
| | | | | |
3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks (72.6%): | | | |
| Aerospace & Defense (0.4%): | | | |
| | 7,900 | | | Lockheed Martin Corp. | | $ | 2,807,739 | |
| | 6,000 | | | Northrop Grumman Corp. | | | 2,322,420 | |
| | | | | | | | |
| | | | | | | 5,130,159 | |
| | | | | | | | |
| Banks (5.5%): | | | |
| | 511,835 | | | Bank of America Corp. | | | 22,771,539 | |
| | 274,873 | | | PNC Financial Services Group, Inc. (The) | | | 55,117,534 | |
| | | | | | | | |
| | | | | | | 77,889,073 | |
| | | | | | | | |
| Beverages (1.9%): | | | |
| | 53,700 | | | Coca-Cola Co. (The) | | | 3,179,577 | |
| | 584,696 | | | Keurig Dr Pepper, Inc. | | | 21,551,894 | |
| | 15,900 | | | PepsiCo, Inc. | | | 2,761,989 | |
| | | | | | | | |
| | | | | | | 27,493,460 | |
| | | | | | | | |
| Capital Markets (1.5%): | | | |
| | 11,400 | | | CME Group, Inc. | | | 2,604,444 | |
| | 140,954 | | | Intercontinental Exchange, Inc. | | | 19,278,279 | |
| | | | | | | | |
| | | | | | | 21,882,723 | |
| | | | | | | | |
| Commercial Services & Supplies (1.3%): | | | |
| | 415,000 | | | Aurora Innovation, Inc.*^ | | | 4,672,900 | |
| | 98,142 | | | Waste Connections, Inc. | | | 13,373,810 | |
| | 3,800 | | | Waste Management, Inc. | | | 634,220 | |
| | | | | | | | |
| | | | | | | 18,680,930 | |
| | | | | | | | |
| Communications Equipment (0.4%): | | | |
| | 88,200 | | | Cisco Systems, Inc. | | | 5,589,234 | |
| | | | | | | | |
| Electric Utilities (1.8%): | | | |
| | 79,863 | | | American Electric Power Co., Inc. | | | 7,105,411 | |
| | 318,064 | | | Exelon Corp. | | | 18,371,377 | |
| | | | | | | | |
| | | | | | | 25,476,788 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components (1.1%): | | | |
| | 77,623 | | | TE Connectivity, Ltd. | | | 12,523,695 | |
| | 5,924 | | | Teledyne Technologies, Inc.* | | | 2,588,136 | |
| | | | | | | | |
| | | | | | | 15,111,831 | |
| | | | | | | | |
| Health Care Equipment & Supplies (4.8%): | | | |
| | 117,704 | | | Becton Dickinson & Co. | | | 29,600,202 | |
| | 97,515 | | | Danaher Corp. | | | 32,083,410 | |
| | 72,491 | | | Hologic, Inc.* | | | 5,549,911 | |
| | 11,400 | | | Medtronic plc | | | 1,179,330 | |
| | | | | | | | |
| | | | | | | 68,412,853 | |
| | | | | | | | |
| Health Care Providers & Services (6.4%): | | | |
| | 84,227 | | | Humana, Inc. | | | 39,069,536 | |
| | 104,117 | | | UnitedHealth Group, Inc. | | | 52,281,311 | |
| | | | | | | | |
| | | | | | | 91,350,847 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (5.2%): | | | |
| | 61,004 | | | Hilton Worldwide Holdings, Inc.*# | | | 9,516,014 | |
| | 43,995 | | | Marriott International, Inc., Class A* | | | 7,269,734 | |
| | 14,161 | | | McDonald’s Corp.# | | | 3,796,139 | |
| | 386,980 | | | Yum! Brands, Inc. | | | 53,736,043 | |
| | | | | | | | |
| | | | | | | 74,317,930 | |
| | | | | | | | |
| Industrial Conglomerates (4.9%): | | | |
| | 672,379 | | | General Electric Co. | | | 63,519,644 | |
| | 11,637 | | | Roper Technologies, Inc. | | | 5,723,775 | |
| | | | | | | | |
| | | | | | | 69,243,419 | |
| | | | | | | | |
| Insurance (2.5%): | | | |
| | 202,476 | | | Marsh & McLennan Cos., Inc. | | | 35,194,378 | |
| | | | | | | | |
| | | | | | | | |
| Shares | | | | | Value | |
| Common Stocks, continued | | | |
| Interactive Media & Services (6.7%): | | | |
| | 11,728 | | | Alphabet, Inc., Class A*# | | $ | 33,976,485 | |
| | 16,334 | | | Alphabet, Inc., Class C*# | | | 47,263,899 | |
| | 43,326 | | | Meta Platforms, Inc., Class A* | | | 14,572,700 | |
| | | | | | | | |
| | | | | | | 95,813,084 | |
| | | | | | | | |
| Internet & Direct Marketing Retail (5.3%): | | | |
| | 22,589 | | | Amazon.com, Inc.*# | | | 75,319,406 | |
| | | | | | | | |
| IT Services (2.1%): | | | |
| | 36,281 | | | Fiserv, Inc.*# | | | 3,765,605 | |
| | 36,771 | | | FleetCor Technologies, Inc.* | | | 8,230,821 | |
| | 6,500 | | | Mastercard, Inc., Class A | | | 2,335,580 | |
| | 70,200 | | | Visa, Inc., Class A# | | | 15,213,042 | |
| | | | | | | | |
| | | | | | | 29,545,048 | |
| | | | | | | | |
| Life Sciences Tools & Services (5.2%): | | | |
| | 120,007 | | | PerkinElmer, Inc. | | | 24,128,607 | |
| | 75,321 | | | Thermo Fisher Scientific, Inc. | | | 50,257,184 | |
| | | | | | | | |
| | | | | | | 74,385,791 | |
| | | | | | | | |
| Machinery (0.7%): | | | |
| | 167,840 | | | Ingersoll-Rand, Inc. | | | 10,384,261 | |
| | | | | | | | |
| Multi-Utilities (4.5%): | | | |
| | 286,582 | | | Ameren Corp. | | | 25,508,664 | |
| | 228,446 | | | CMS Energy Corp. | | | 14,860,412 | |
| | 344,611 | | | Public Service Enterprise Group, Inc. | | | 22,995,892 | |
| | | | | | | | |
| | | | | | | 63,364,968 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 2,689 | | | TransUnion | | | 318,862 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment (0.2%): | | | |
| | 14,400 | | | NXP Semiconductors NV | | | 3,280,032 | |
| | | | | | | | |
| Software (9.2%): | | | |
| | 326,966 | | | Microsoft Corp.# | | | 109,965,205 | |
| | 80,552 | | | salesforce.com, Inc.* | | | 20,470,680 | |
| | | | | | | | |
| | | | | | | 130,435,885 | |
| | | | | | | | |
| Specialty Retail (0.0%†): | | | |
| | 5,600 | | | Ross Stores, Inc.# | | | 639,968 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (1.0%): | | | |
| | 77,510 | | | Apple, Inc. | | | 13,763,451 | |
| | | | | | | | |
| | Total Common Stocks (Cost $716,072,345) | | | 1,033,024,381 | |
| | | | | |
| Preferred Stocks (0.8%): | | | |
| Capital Markets (0.0%†): | | | |
| | 3,600 | | | Charles Schwab Corp. (The), Series D, 23.35%, 11/14/19 | | | 91,728 | |
| | | | | | | | |
| Electric Utilities (0.1%): | | | |
| | 80,350 | | | SCE Trust IV, Series J, 2.79%, 12/31/49 | | | 2,013,571 | |
| | | | | | | | |
| Multi-Utilities (0.7%): | | | |
| | 98,312 | | | CMS Energy Corp., 1.63%, 10/15/78 | | | 2,629,846 | |
| | 134,780 | | | CMS Energy Corp., 1.62%, 3/1/79 | | | 3,625,582 | |
| | 44,220 | | | NiSource, Inc., Series B, 2.87%, 11/21/19 | | | 1,203,668 | |
| | 19,227 | | | NiSource, Inc., 0.06%, 3/1/24 | | | 2,153,232 | |
| | | | | | | | |
| | | | | | | 9,612,328 | |
| | | | | | | | |
| | Total Preferred Stocks (Cost $10,954,250) | | | 11,717,627 | |
| | | | | |
| Convertible Preferred Stock (0.1%): | | | |
| Electric Utilities (0.1%): | | | |
| | 36,961 | | | American Electric Power Co., Inc., 5.35%, 3/15/22 | | | 1,852,485 | |
| | | | | | | | |
| | Total Convertible Preferred Stock (Cost $1,840,522) | | | 1,852,485 | |
| | | | | |
See accompanying notes to the financial statements.
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Asset Backed Securities (0.2%): | | | |
| $ | 1,420,650 | | | Dominos Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a) | | $ | 1,487,478 | |
| | 1,348,300 | | | Dominos Pizza Master Issuer LLC, Class A2I, Series 2018-1A, 4.12%, 7/25/48, Callable 10/25/22 @ 100(a) | | | 1,371,963 | |
| | 633,713 | | | Dominos Pizza Master Issuer LLC, Class A2, Series 2019-1A, 3.67%, 10/25/49, Callable 10/25/26 @ 100(a) | | | 674,069 | |
| | | | | | | | |
| | Total Asset Backed Securities (Cost $3,388,426) | | | 3,533,510 | |
| | | | | |
| Bank Loans (12.0%): | | | |
| Airlines (0.7%): | | | |
| | 6,405,000 | | | Formula One Management Limited Facility B3, 3.50% (LIBOR+250bps ), 2/1/24 | | | 6,394,304 | |
| | 2,770,000 | | | SkyMiles IP Ltd. (Delta Air Lines, Inc.) Initial Term Ln, 3.81% (LIBOR+375bps ), 10/20/27 | | | 2,925,812 | |
| | | | | |
| | | | | | | 9,320,116 | |
| | | | | | | | |
| Building Products (0.2%): | | | |
| | 485,000 | | | Filtration Group Corporation 2021 Incremental Term Ln, 3.56% (LIBOR+350bps ), 10/21/28 | | | 483,889 | |
| | 850,551 | | | Filtration Group Corporation Initial Dollar Term Ln, 3.06% (LIBOR+300bps ), 3/31/25, Callable 2/7/22 @ 100 | | | 842,310 | |
| | 1,529,998 | | | Filtration Group Corporation Initial Euro Term Ln, 2.85% (EURLIBOR+350bps ), 3/31/25 | | | 1,734,130 | |
| | | | | | | | |
| | | | | | | 3,060,329 | |
| | | | | | | | |
| Capital Markets (0.7%): | | | |
| | 9,165,000 | | | Medline Borrower, LP Initial Dollar Term Ln, 3.31% (LIBOR+325bps ), 10/23/28 | | | 9,160,967 | |
| | 537,300 | | | Woof Holdings, Inc. Initial First Lien Term Ln, 4.50% (LIBOR+375bps ), 12/21/27, Callable 2/7/22 @ 100 | | | 537,300 | |
| | | | | | | | |
| | | | | | | 9,698,267 | |
| | | | | | | | |
| Chemicals (0.9%): | | | |
| | 347,416 | | | H.B. Fuller Company Commitment Ln, 2.06% (LIBOR+200bps ), 10/20/24, Callable 2/7/22 @ 100 | | | 347,155 | |
| | 8,352,652 | | | USI, Inc. 2017 New Term Ln, 3.06% (LIBOR+300bps ), 3/12/22, Callable 3/12/22 @ 100 | | | 8,282,574 | |
| | 4,514,430 | | | USI, Inc. 2021 New Term Ln, 3.31% (LIBOR+325bps ), 12/2/26, Callable 2/7/22 @ 100 | | | 4,479,759 | |
| | | | | | | | |
| | | | | | | 13,109,488 | |
| | | | | | | | |
| Diversified Consumer Services (0.7%): | | | |
| | 5,275,000 | | | Ascend Learning, LLC 2021 First Lien Term Ln, 3.56% (LIBOR+350bps ), 12/11/28, Callable 2/7/22 @ 101 | | | 5,262,920 | |
| | 755,000 | | | Ascend Learning, LLC Term Ln 2L, 0.06% (LIBOR+0bps ), 11/18/29 | | | 756,261 | |
| | 3,526,635 | | | Loire UK Midco 3 Limited Facility B Ln, 3.31% (LIBOR+325bps ), 4/21/27 | | | 3,482,552 | |
| | | | | | | | |
| | | | | | | 9,501,733 | |
| | | | | | | | |
| Diversified Financial Services (0.1%): | | | |
| | 728,175 | | | Acrisure, LLC 2021-1 Term Ln, 4.25% (LIBOR+375bps ), 2/15/27 | | | 726,049 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Bank Loans, continued | | | |
| Electric Utilities (0.6%): | | | |
| $ | 1,442,145 | | | Alliant Holdings I LLC 2019 Term Ln, 3.31% (LIBOR+325bps ), 5/9/25, Callable 2/7/22 @ 100 | | $ | 1,426,700 | |
| | 4,354,088 | | | Alliant Holdings I LLC TLB-4 Term Ln, 3.56% (LIBOR+350bps ), 11/5/27 | | | 4,337,759 | |
| | 2,690,253 | | | Alliant Holdings Intermediate, LLC 2018 Initial Term Ln, 3.31% (LIBOR+325bps ), 5/9/25, Callable 2/7/22 @ 100 | | | 2,661,198 | |
| | | | | | | | |
| | | | | | | 8,425,657 | |
| | | | | | | | |
| Health Care (0.0%†): | | | |
| | 75,000 | | | EyeCare Partners, LLC Amndmnt 1 Term Ln, 3.81% (LIBOR+375bps ), 11/15/28 | | | 74,644 | |
| | 274,307 | | | EyeCare Partners, LLC Initial First Lien Term Ln, 3.81% (LIBOR+375bps ), 2/18/27, Callable 2/7/22 @ 100 | | | 272,508 | |
| | 349,118 | | | Pathway Vet Alliance LLC 2021 Replacement First Lien Term Ln, 3.81% (LIBOR+375bps ), 3/31/27, Callable 2/7/22 @ 100 | | | 347,683 | |
| | | | | | | | |
| | | | | | | 694,835 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.0%†): | | | |
| | 427,850 | | | Pacific Dental Services, LLC Term Ln, 4.00% (LIBOR+325bps ), 5/5/28 | | | 427,448 | |
| | | | | | | | |
| Health Care Providers & Services (0.7%): | | | |
| | 1,642,710 | | | ADMI Corp. Amndmt 4 Term Ln, 3.43% (LIBOR+337.5bps ), 12/23/27, Callable 2/7/22 @ 100 | | | 1,631,079 | |
| | 3,082,275 | | | ADMI Corp. Amndmt 5 Term Ln, 3.56% (LIBOR+350bps ), 12/23/27 | | | 3,074,076 | |
| | 472,625 | | | Heartland Dental, LLC 2021 Incremental Term Ln, 4.06% (LIBOR+400bps ), 4/30/25, Callable 2/7/22 @ 100 | | | 471,444 | |
| | 5,105,453 | | | Heartland Dental, LLC Initial Term Ln, 3.56% (LIBOR+350bps ), 4/30/25, Callable 2/7/22 @ 100 | | | 5,050,161 | |
| | | | | | | | |
| | | | | | | 10,226,760 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (0.5%): | | | |
| | 70,000 | | | Cedar Fair LP Term B Ln, 1.81% (LIBOR+175bps ), 4/13/24, Callable 2/7/22 @ 100 | | | 68,491 | |
| | 837,434 | | | Four Seasons Holdings Inc. 2013 First Lien Term Ln, 2.06% (LIBOR+200bps ), 11/30/23, Callable 2/7/22 @ 100 | | | 833,247 | |
| | 1,873,450 | | | IRB Holding Corp. 2020 Replacement Term B Ln, 2.81% (LIBOR+275bps ), 2/5/25, Callable 2/7/22 @ 100 | | | 1,868,972 | |
| | 1,993,031 | | | IRB Holding Corp. 4th Amndmnt Incremental Term Ln, 3.31% (LIBOR+325bps ), 12/15/27 | | | 1,991,158 | |
| | 604,972 | | | Life Time, Inc. 2021 Refin Term Ln, 4.81% (LIBOR+475bps ), 12/16/24 | | | 607,622 | |
| | 1,355,900 | | | Seaworld Parks & Entertainment, Inc. Term B Ln, 3.25% (PRIME+0bps ), 8/25/28, Callable 2/7/22 @ 101 | | | 1,349,121 | |
| | | | | | | | |
| | | | | | | 6,718,611 | |
| | | | | | | | |
| Insurance (2.8%): | | | |
| | 4,129,572 | | | HIG Finance 2 Limited 2021 Dollar Refin Term Ln, 3.31% (LIBOR+325bps ), 11/12/27, Callable 2/7/22 @ 100 | | | 4,108,056 | |
See accompanying notes to the financial statements.
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Bank Loans, continued | | | |
| Insurance, continued | | | |
| $ | 13,577,270 | | | HUB International, Ltd. B-3 Incremental Term Ln, 3.31% (LIBOR+325bps ), 4/25/25 | | $ | 13,564,508 | |
| | 21,373,786 | | | HUB International, Ltd. Initial Term Ln, 2.81% (LIBOR+275bps ), 4/25/25 | | | 21,111,530 | |
| | 877,045 | | | Ryan Specialty Group, LLC Initial Term Loan, 3.75% (PRIME+200bps ), 9/1/27 | | | 875,730 | |
| | | | | | | | |
| | | | | | | 39,659,824 | |
| | | | | | | | |
| IT Services (0.0%†): | | | |
| | 200,000 | | | CoreLogic, Inc. Initial Term Ln Second Lien, 6.56% (LIBOR+650bps ), 6/4/29 | | | 201,376 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.3%): | | | |
| | 160,407 | | | Avantor Funding, Inc. Initial B-4 Dollar Term Ln, 2.06% (LIBOR+200bps ), 11/21/24 | | | 160,006 | |
| | 3,658,861 | | | Sunshine Luxembourg VII S.a r.l. Facility B3, 3.06% (LIBOR+300bps ), 10/1/26 | | | 3,670,313 | |
| | | | | | | | |
| | | | | | | 3,830,319 | |
| | | | | | | | |
| Machinery (0.3%): | | | |
| | 4,445,268 | | | TK Elevator Midco GmbH Facility B1, 3.56% (LIBOR+350bps ), 7/30/27 | | | 4,444,646 | |
| | 535,000 | | | Welbilt, Inc. 2018 Term B Ln, 2.56% (LIBOR+250bps ), 10/23/25 | | | 532,549 | |
| | | | | | | | |
| | | | | | | 4,977,195 | |
| | | | | | | | |
| Professional Services (0.4%): | | | |
| | 2,846,250 | | | Camelot U.S. Acquisition 1 Co. Amndmnt 2 Incremental Term Ln, 3.06% (LIBOR+300bps ), 10/30/26 | | | 2,841,810 | |
| | 3,067,313 | | | CoreLogic, Inc. Iniitial Term Ln First Lien, 0.06% (LIBOR+0bps ), 6/2/28, Callable 2/7/22 @ 100 | | | 3,061,178 | |
| | | | | | | | |
| | | | | | | 5,902,988 | |
| | | | | | | | |
| Software (2.4%): | | | |
| | 317,354 | | | Applied Systems, Inc. 2021 Second Lien Term Ln, 5.56% (LIBOR+550bps ), 9/19/25, Callable 2/7/22 @ 101 | | | 319,337 | |
| | 2,879,750 | | | Applied Systems, Inc. First Lien Term Ln, 3.06% (LIBOR+300bps ), 9/19/24, Callable 2/7/22 @ 100 | | | 2,876,870 | |
| | 625,494 | | | Azalea TopCo, Inc. 2021 First Lien Term Ln, 3.81% (LIBOR+375bps ), 7/24/26, Callable 2/7/22 @ 100 | | | 624,906 | |
| | 4,048,167 | | | Azalea TopCo, Inc. Initial First Lien Tern Ln, 3.56% (LIBOR+350bps ), 7/24/26, Callable 2/7/22 @ 100 | | | 4,026,671 | |
| | 480,000 | | | Polaris Newco, LLC Dollar First Lien Term Ln, 4.06% (LIBOR+400bps ), 6/2/28, Callable 2/7/22 @ 100 | | | 479,549 | |
| | 473,875 | | | Project Boost Purchaser, LLC 2021 Tranche 2 Term Ln, 3.56% (LIBOR+350bps ), 5/30/26, Callable 2/7/22 @ 100 | | | 473,482 | |
| | 4,245,000 | | | RealPage, Inc. Initial First Lien Term Ln, 3.31% (LIBOR+325bps ), 4/24/28, Callable 2/7/22 @ 100 | | | 4,229,761 | |
| | 200,000 | | | RealPage, Inc. Initial Second Lien Term Ln, 6.56% (LIBOR+650bps ), 4/23/29 | | | 202,300 | |
| | 872,813 | | | Sophia, L.P. First Lien Term Ln B, 3.56% (LIBOR+350bps ), 10/7/27, Callable 2/7/22 @ 101 | | | 872,158 | |
| | 785,000 | | | UKG Inc. 2021 Incremental Second Lien Term Ln, 5.31% (LIBOR+525bps ), 5/3/27 | | | 786,476 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Bank Loans, continued | | | |
| Software, continued | | | |
| $ | 18,923,555 | | | UKG Inc. 2021-2 Incremental First Lien Term Ln, 3.31% (LIBOR+325bps ), 5/4/26, Callable 2/7/22 @ 101 | | $ | 18,811,149 | |
| | 493,638 | | | Ultimate Software Group Inc., Initial First Lien Term Ln, 3.81% (LIBOR+375bps ), 5/4/26, Callable 2/7/22 @ 100 | | | 491,786 | |
| | | | | | | | |
| | | | | | | 34,194,445 | |
| | | | | | | | |
| Sovereign Bond (0.5%): | | | |
| | 6,710,000 | | | Mileage Plus Holdings LLC Initial Term Loan, 5.31% (LIBOR+525bps ), 6/21/27 | | | 7,066,502 | |
| | | | | | | | |
| Specialty Retail (0.2%): | | | |
| | 947,225 | | | PetVet Care Centers, LLC 2018 First Lien Term Ln, 3.31% (LIBOR+325bps ), 2/14/25, Callable 2/7/22 @ 100 | | | 940,718 | |
| | 2,024,356 | | | PetVet Care Centers, LLC 2021 First Lien Replacement Term Ln, 3.56% (LIBOR+350bps ), 2/14/25, Callable 2/7/22 @ 100 | | | 2,021,825 | |
| | 305,635 | | | PetVet Care Centers, LLC Initial First Lien Term Ln, 2.81% (LIBOR+275bps ), 2/14/25, Callable 2/7/22 @ 100 | | | 301,815 | |
| | | | | | | | |
| | | | | | | 3,264,358 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals (0.0%†): | | | |
| | 606,888 | | | Eagle Broadband Investments, LLC Initial Term Ln, 3.06% (LIBOR+300bps ), 11/12/27, Callable 2/7/22 @ 100 | | | 605,753 | |
| | | | | | | | |
| | Total Bank Loans (Cost $170,732,642) | | | 171,612,053 | |
| | | | | |
| Corporate Bonds (8.0%): | | | |
| Airlines (0.3%): | | | |
| | 2,065,000 | | | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, 10/20/25(a) | | | 2,163,765 | |
| | 1,150,000 | | | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(a) | | | 1,258,441 | |
| | 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) | | | 1,334,375 | |
| | 172,661 | | | U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24 | | | 176,977 | |
| | | | | | | | |
| | | | | | | 4,933,558 | |
| | | | | | | | |
| Auto Components (0.2%): | | | |
| | 467,000 | | | Clarios Global LP, 6.75%, 5/15/25, Callable 5/15/22 @ 103.38(a) | | | 488,599 | |
| | 643,000 | | | Clarios Global LP / Clarios US Finance Co., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13(a) | | | 679,972 | |
| | 1,070,000 | | | Clarios Global LP / Clarios US Finance Co., 8.50%, 5/15/27, Callable 5/15/22 @ 104.25(a) | | | 1,131,525 | |
| | | | | | | | |
| | | | | | | 2,300,096 | |
| | | | | | | | |
| Building Products (0.0%†): | | | |
| | 280,000 | | | Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100 | | | 287,750 | |
| | | | | | | | |
| Capital Markets (0.0%†): | | | |
| | 452,000 | | | State Street Corp., Series F, 3.80% (US0003M+360 bps), Callable 3/15/22 @ 100 | | | 454,260 | |
| | | | | | | | |
See accompanying notes to the financial statements.
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Diversified Financial Services (0.2%): | | | |
| $ | 2,250,000 | | | Acrisure LLC / Acrisure Finance, Inc., 7.00%, 11/15/25, Callable 2/7/22 @ 101.75(a) | | $ | 2,255,625 | |
| | | | | | | | |
| Electric Utilities (0.0%†): | | | |
| | 275,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | | | 283,937 | |
| | 250,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | | | 250,000 | |
| | 250,000 | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94(a) | | | 254,375 | |
| | | | | | | | |
| | | | | | | 788,312 | |
| | | | | | | | |
| Entertainment (1.9%): | | | |
| | 300,000 | | | Netflix, Inc., 5.50%, 2/15/22 | | | 301,125 | |
| | 1,690,000 | | | Netflix, Inc., 5.88%, 2/15/25 | | | 1,899,138 | |
| | 4,385,000 | | | Netflix, Inc., 4.38%, 11/15/26^ | | | 4,856,387 | |
| | 5,423,000 | | | Netflix, Inc., 4.88%, 4/15/28 | | | 6,182,220 | |
| | 7,300,000 | | | Netflix, Inc., 5.88%, 11/15/28 | | | 8,778,250 | |
| | 3,940,000 | | | Netflix, Inc., 6.38%, 5/15/29 | | | 4,910,225 | |
| | 125,000 | | | Netflix, Inc., 4.88%, 6/15/30, Callable 3/15/30 @ 100(a) | | | 145,625 | |
| | | | | | | | |
| | | | | | | 27,072,970 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (0.0%†): | | | |
| | 605,000 | | | SBA Communications Corp., 3.88%, 2/15/27, Callable 2/15/23 @ 101.94 | | | 623,150 | |
| | | | | | | | |
| Health Care Equipment & Supplies (0.1%): | | | |
| | 860,000 | | | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | | | 893,325 | |
| | | | | | | | |
| Health Care Providers & Services (0.2%): | | | |
| | 1,355,000 | | | Hadrian Merger Sub, Inc., 8.50%, 5/1/26, Callable 2/7/22 @ 104.25(a) | | | 1,393,956 | |
| | 1,060,000 | | | Surgery Center Holdings, Inc., 10.00%, 4/15/27, Callable 4/15/22 @ 105(a) | | | 1,126,250 | |
| | 450,000 | | | Tenet Healthcare Corp., 4.63%, 9/1/24, Callable 1/24/22 @ 102.31(a) | | | 460,688 | |
| | | | | | | | |
| | | | | | | 2,980,894 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure (2.3%): | | | |
| | 2,552,000 | | | Cedar Fair LP /Canada’s Wonderland Co. / Magnum Management Corp., 5.38%, 4/15/27, Callable 4/15/22 @ 102.69 | | | 2,615,800 | |
| | 920,000 | | | Cedar Fair LP /Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 5.50%, 5/1/25, Callable 5/1/22 @ 102.75(a) | | | 952,200 | |
| | 2,308,000 | | | Cedar Fair, LP, 5.25%, 7/15/29, Callable 7/15/24 @ 102.63 | | | 2,365,700 | |
| | 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 | | | 1,895,700 | |
| | 100,000 | | | Hilton Domestic Operating Co., Inc., 5.38%, 5/1/25, Callable 5/1/22 @ 102.69(a) | | | 103,500 | |
| | 70,000 | | | IRB Holding Corp., 6.75%, 2/15/26, Callable 2/7/22 @ 103.38(a) | | | 71,400 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Hotels, Restaurants & Leisure, continued | | | |
| $ | 5,248,000 | | | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 4.75%, 6/1/27, Callable 6/1/22 @ 102.38(a) | | $ | 5,451,360 | |
| | 1,253,000 | | | Life Time, Inc., 5.75%, 1/15/26, Callable 1/15/23 @ 102.88(a) | | | 1,298,421 | |
| | 355,000 | | | Marriott International, Inc., 3.13%, 6/15/26, Callable 3/15/26 @ 100 | | | 370,885 | |
| | 5,594,000 | | | Six Flags Entertainment Corp., 4.88%, 7/31/24, Callable 2/7/22 @ 101.22(a) | | | 5,649,940 | |
| | 3,690,000 | | | Six Flags Entertainment Corp., 5.50%, 4/15/27, Callable 4/15/22 @ 102.75^(a) | | | 3,814,537 | |
| | 1,810,000 | | | Six Flags Theme Parks, Inc., 7.00%, 7/1/25, Callable 7/1/22 @ 103.5(a) | | | 1,929,913 | |
| | 1,312,000 | | | Yum! Brands, Inc., 3.88%, 11/1/23, Callable 8/1/23 @ 100 | | | 1,367,760 | |
| | 465,000 | | | Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88(a) | | | 489,412 | |
| | 370,000 | | | Yum! Brands, Inc., 4.75%, 1/15/30, Callable 10/15/29 @ 100(a) | | | 399,138 | |
| | 1,042,000 | | | Yum! Brands, Inc., 6.88%, 11/15/37 | | | 1,314,223 | |
| | 1,889,000 | | | Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100 | | | 2,082,622 | |
| | | | | | | | |
| | | | | | | 32,172,511 | |
| | | | | | | | |
| Industrial Conglomerates (0.3%): | |
| | 3,922,000 | | | General Electric Co., Series D, 3.53% (US0003M+333 bps), Callable 3/15/22 @ 100 | | | 3,880,672 | |
| | | | | | | | |
| Insurance (0.7%): | | | |
| | 395,000 | | | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(a) | | | 399,938 | |
| | 6,567,000 | | | HUB International, Ltd., 7.00%, 5/1/26, Callable 1/18/22 @ 103.5(a) | | | 6,739,384 | |
| | 460,000 | | | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(a) | | | 470,350 | |
| | 2,610,000 | | | USI, Inc., 6.88%, 5/1/25, Callable 2/7/22 @ 101.72(a) | | | 2,632,837 | |
| | | | | | | | |
| | | | | | | 10,242,509 | |
| | | | | | | | |
| Leisure Products (0.1%): | | | |
| | 1,230,000 | | | Photo Holdings Merger Sub, Inc., 8.50%, 10/1/26, Callable 10/1/22 @ 104.25^(a) | | | 1,279,200 | |
| | | | | | | | |
| Life Sciences Tools & Services (0.1%): | | | |
| | 1,220,000 | | | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a) | | | 1,277,950 | |
| | | | | | | | |
| Machinery (0.1%): | | | |
| | 1,042,000 | | | Manitowoc Foodservice, Inc., 9.50%, 2/15/24, Callable 2/7/22 @ 100.00 | | | 1,052,420 | |
| | | | | | | | |
| Media (1.3%): | | | |
| | 1,405,000 | | | CCO Holdings LLC, 4.00%, 3/1/23, Callable 1/24/22 @ 100(a) | | | 1,405,000 | |
| | 6,869,000 | | | CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a) | | | 7,109,415 | |
| | 7,881,000 | | | CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a) | | | 8,196,240 | |
| | 1,630,000 | | | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a) | | | 1,689,087 | |
| | | | | | | | |
| | | | | | | 18,399,742 | |
| | | | | | | | |
See accompanying notes to the financial statements.
7
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Corporate Bonds, continued | | | |
| Multi-Utilities (0.1%): | | | |
| $ | 1,705,000 | | | NiSource, Inc., 5.65% (H15T5Y+284 bps), Callable 6/15/23 @ 100 | | $ | 1,767,202 | |
| | | | | | | | |
| Professional Services (0.0%†): | | | |
| | 405,000 | | | Korn Ferry, 4.63%, 12/15/27, Callable 12/15/22 @ 102.31(a) | | | 417,150 | |
| | | | | | | | |
| Real Estate Management & Development (0.0%†): | | | |
| | 275,000 | | | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(a) | | | 288,750 | |
| | | | | | | | |
| Software (0.1%): | | | |
| | 715,000 | | | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(a) | | | 718,575 | |
| | 220,000 | | | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44(a) | | | 222,200 | |
| | | | | | | | |
| | | | | | | 940,775 | |
| | | | | | | | |
| | Total Corporate Bonds (Cost $107,351,573) | | | 114,308,821 | |
| | | | | | | | |
| Yankee Debt Obligations (0.3%): | |
| Diversified Telecommunication Services (0.1%): | |
| | 1,450,000 | | | Altice France Holding SA, 10.50%, 5/15/27, Callable 5/15/22 @ 105.25(a) | | | 1,558,750 | |
| | | | | | | | |
| Electrical Equipment (0.2%): | |
| | 745,000 | | | Sensata Technologies BV, 4.88%, 10/15/23(a) | | | 782,250 | |
| | | | | | | | |
Principal
Amount | | | | | Value | |
| Yankee Debt Obligations, continued | |
| Electrical Equipment, continued | |
| $ | 260,000 | | | Sensata Technologies BV, 5.63%, 11/1/24(a) | | $ | 285,025 | |
| | 925,000 | | | Sensata Technologies BV, 5.00%, 10/1/25(a) | | | 1,002,469 | |
| | | | | | | | |
| | | | | | | 2,069,744 | |
| | | | | | | | |
| | Total Yankee Debt Obligations (Cost $3,511,526) | | | 3,628,494 | |
| | | | | |
Short-Term Security Held as Collateral for Securities on
Loan (0.8%): | | | |
| | 11,161,178 | | | BlackRock Liquidity FedFund, Institutional Class , 0.03%(b)(c) | | | 11,161,178 | |
| | | | | | | | |
| Total Short-Term Security Held as Collateral for Securities on
Loan (Cost $11,161,178) | | | 11,161,178 | |
| | | | | |
| | |
| Shares | | | | | Value | |
| Unaffiliated Investment Company (8.6%): | |
| Money Markets (8.6%): | |
| | 121,946,477 | | | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c) | | | 121,946,477 | |
| | | | | | | | |
| | Total Unaffiliated Investment Company (Cost $121,946,477) | | | 121,946,477 | |
| | | | | |
| | Total Investment Securities (Cost $1,146,958,939) — 103.4%(d) | | | 1,472,785,026 | |
| | Net other assets (liabilities) — (3.4)% | | | (49,031,505 | ) |
| | | | | |
| | Net Assets — 100.0% | | $ | 1,423,753,521 | |
| | | | | |
Percentages indicated are based on net assets as of December 31, 2021.
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
US0003M—3 Month US Dollar LIBOR
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of December 31, 2021. The total value of securities on loan as of December 31, 2021 was $10,761,710. |
| † | Represents less than 0.05%. |
| # | All or a portion of these investments are held as collateral for the written options. As of December 31, 2021, the total value of securities held as collateral for the written options is $40,556,168. |
| (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, 2021. |
| (c) | The rate represents the effective yield at December 31, 2021. |
| (d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
At December 31, 2021, the Fund’s over-the-counter options written were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Strike Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | | |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 1760.00 USD | | | | 1/21/22 | | | | 14 | | | $ | 24,640 | | | $ | (1,587,867 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 1780.00 USD | | | | 1/21/22 | | | | 14 | | | | 24,920 | | | | (1,559,870 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 1800.00 USD | | | | 1/21/22 | | | | 14 | | | | 25,200 | | | | (1,531,872 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 1980.00 USD | | | | 6/17/22 | | | | 4 | | | | 7,920 | | | | (375,068 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 2000.00 USD | | | | 6/17/22 | | | | 4 | | | | 8,000 | | | | (367,443 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 2100.00 USD | | | | 6/17/22 | | | | 4 | | | | 8,400 | | | | (329,712 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2550.00 USD | | | | 6/17/22 | | | | 2 | | | | 5,100 | | | | (87,114 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2600.00 USD | | | | 6/17/22 | | | | 2 | | | | 5,200 | | | | (79,593 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2650.00 USD | | | | 6/17/22 | | | | 2 | | | | 5,300 | | | | (72,374 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 1960.00 USD | | | | 9/16/22 | | | | 4 | | | | 7,840 | | | | (392,351 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 1980.00 USD | | | | 9/16/22 | | | | 4 | | | | 7,920 | | | | (384,986 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 2000.00 USD | | | | 9/16/22 | | | | 4 | | | | 8,000 | | | | (377,650 | ) |
See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Strike Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | | |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 2100.00 USD | | | | 9/16/22 | | | | 4 | | | $ | 8,400 | | | $ | (341,493 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2450.00 USD | | | | 9/16/22 | | | | 1 | | | | 2,450 | | | | (56,039 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2500.00 USD | | | | 9/16/22 | | | | 1 | | | | 2,500 | | | | (52,246 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2550.00 USD | | | | 9/16/22 | | | | 1 | | | | 2,550 | | | | (48,573 | ) |
Alphabet, Inc. | | Susquehanna | | | Call | | | | 2600.00 USD | | | | 9/16/22 | | | | 1 | | | | 2,600 | | | | (45,029 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 3200.00 USD | | | | 1/20/23 | | | | 3 | | | | 9,600 | | | | (62,914 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 3300.00 USD | | | | 1/20/23 | | | | 3 | | | | 9,900 | | | | (53,054 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 3400.00 USD | | | | 1/20/23 | | | | 3 | | | | 10,200 | | | | (44,493 | ) |
Alphabet, Inc. | | Goldman Sachs | | | Call | | | | 3500.00 USD | | | | 1/20/23 | | | | 4 | | | | 14,000 | | | | (49,562 | ) |
Amazon.com, Inc. | | Credit Suisse First Boston | | | Call | | | | 3800.00 USD | | | | 1/21/22 | | | | 6 | | | | 22,800 | | | | (1,571 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | | Call | | | | 3900.00 USD | | | | 1/21/22 | | | | 3 | | | | 11,700 | | | | (496 | ) |
Amazon.com, Inc. | | Credit Suisse First Boston | | | Call | | | | 3900.00 USD | | | | 1/21/22 | | | | 6 | | | | 23,400 | | | | (992 | ) |
Amazon.com, Inc. | | Credit Suisse First Boston | | | Call | | | | 4000.00 USD | | | | 1/21/22 | | | | 6 | | | | 24,000 | | | | (675 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4000.00 USD | | | | 1/21/22 | | | | 4 | | | | 16,000 | | | | (450 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | | Call | | | | 4000.00 USD | | | | 1/21/22 | | | | 2 | | | | 8,000 | | | | (225 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4100.00 USD | | | | 1/21/22 | | | | 4 | | | | 16,400 | | | | (330 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | | Call | | | | 4100.00 USD | | | | 1/21/22 | | | | 2 | | | | 8,200 | | | | (165 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4200.00 USD | | | | 1/21/22 | | | | 4 | | | | 16,800 | | | | (254 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | | Call | | | | 4200.00 USD | | | | 1/21/22 | | | | 3 | | | | 12,600 | | | | (191 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4300.00 USD | | | | 1/21/22 | | | | 3 | | | | 12,900 | | | | (150 | ) |
Amazon.com, Inc. | | Royal Bank of Canada | | | Call | | | | 4300.00 USD | | | | 1/21/22 | | | | 2 | | | | 8,600 | | | | (100 | ) |
Amazon.com, Inc. | | Goldman Sachs | | | Call | | | | 4000.00 USD | | | | 1/20/23 | | | | 2 | | | | 8,000 | | | | (36,729 | ) |
Amazon.com, Inc. | | Goldman Sachs | | | Call | | | | 4100.00 USD | | | | 1/20/23 | | | | 2 | | | | 8,200 | | | | (32,226 | ) |
Amazon.com, Inc. | | Goldman Sachs | | | Call | | | | 4200.00 USD | | | | 1/20/23 | | | | 2 | | | | 8,400 | | | | (28,259 | ) |
Amazon.com, Inc. | | Goldman Sachs | | | Call | | | | 4300.00 USD | | | | 1/20/23 | | | | 2 | | | | 8,600 | | | | (24,790 | ) |
Amazon.com, Inc. | | Goldman Sachs | | | Call | | | | 4400.00 USD | | | | 1/20/23 | | | | 2 | | | | 8,800 | | | | (21,754 | ) |
Amazon.com, Inc. | | Goldman Sachs | | | Call | | | | 4500.00 USD | | | | 1/20/23 | | | | 1 | | | | 4,500 | | | | (9,548 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4500.00 USD | | | | 1/20/23 | | | | 2 | | | | 9,000 | | | | (19,096 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4600.00 USD | | | | 1/20/23 | | | | 2 | | | | 9,200 | | | | (16,775 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4700.00 USD | | | | 1/20/23 | | | | 2 | | | | 9,400 | | | | (14,759 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4800.00 USD | | | | 1/20/23 | | | | 2 | | | | 9,600 | | | | (13,014 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 4900.00 USD | | | | 1/20/23 | | | | 2 | | | | 9,800 | | | | (11,502 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 5000.00 USD | | | | 1/20/23 | | | | 2 | | | | 10,000 | | | | (10,178 | ) |
Amazon.com, Inc. | | Citigroup | | | Call | | | | 5100.00 USD | | | | 1/20/23 | | | | 2 | | | | 10,200 | | | | (9,003 | ) |
American Electric Power Co., Inc. | | JPMorgan Chase | | | Call | | | | 90.00 USD | | | | 1/21/22 | | | | 237 | | | | 21,330 | | | | (17,713 | ) |
American Electric Power Co., Inc. | | JPMorgan Chase | | | Call | | | | 95.00 USD | | | | 1/21/22 | | | | 289 | | | | 27,455 | | | | (1,186 | ) |
American Electric Power Co., Inc. | | JPMorgan Chase | | | Call | | | | 97.50 USD | | | | 1/21/22 | | | | 93 | | | | 9,068 | | | | (129 | ) |
American Electric Power Co., Inc. | | JPMorgan Chase | | | Call | | | | 100.00 USD | | | | 1/21/22 | | | | 93 | | | | 9,300 | | | | (51 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | | Call | | | | 35.00 USD | | | | 1/21/22 | | | | 764 | | | | 26,740 | | | | (728,990 | ) |
Bank of America Corp. | | Royal Bank of Canada | | | Call | | | | 37.00 USD | | | | 1/21/22 | | | | 568 | | | | 21,016 | | | | (429,581 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | | Call | | | | 40.00 USD | | | | 1/21/22 | | | | 162 | | | | 6,480 | | | | (75,406 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | | Call | | | | 45.00 USD | | | | 1/21/22 | | | | 162 | | | | 7,290 | | | | (13,918 | ) |
Bank of America Corp. | | JPMorgan Chase | | | Call | | | | 45.00 USD | | | | 1/20/23 | | | | 705 | | | | 31,725 | | | | (321,650 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | | Call | | | | 45.00 USD | | | | 1/20/23 | | | | 1,244 | | | | 55,980 | | | | (567,565 | ) |
Bank of America Corp. | | JPMorgan Chase | | | Call | | | | 50.00 USD | | | | 1/20/23 | | | | 346 | | | | 17,300 | | | | (91,803 | ) |
Bank of America Corp. | | Credit Suisse First Boston | | | Call | | | | 50.00 USD | | | | 1/20/23 | | | | 306 | | | | 15,300 | | | | (81,190 | ) |
Cisco Systems, Inc. | | JPMorgan Chase | | | Call | | | | 45.00 USD | | | | 1/21/22 | | | | 294 | | | | 13,230 | | | | (540,078 | ) |
Cisco Systems, Inc. | | JPMorgan Chase | | | Call | | | | 47.50 USD | | | | 1/21/22 | | | | 294 | | | | 13,965 | | | | (466,578 | ) |
Cisco Systems, Inc. | | JPMorgan Chase | | | Call | | | | 50.00 USD | | | | 1/21/22 | | | | 294 | | | | 14,700 | | | | (393,078 | ) |
CME Group, Inc. | | JPMorgan Chase | | | Call | | | | 220.00 USD | | | | 1/21/22 | | | | 57 | | | | 12,540 | | | | (59,629 | ) |
CME Group, Inc. | | JPMorgan Chase | | | Call | | | | 230.00 USD | | | | 1/21/22 | | | | 57 | | | | 13,110 | | | | (18,897 | ) |
Coca-Cola Co. (The) | | Credit Suisse First Boston | | | Call | | | | 52.50 USD | | | | 1/21/22 | | | | 268 | | | | 14,070 | | | | (179,935 | ) |
Coca-Cola Co. (The) | | Credit Suisse First Boston | | | Call | | | | 55.00 USD | | | | 1/21/22 | | | | 269 | | | | 14,795 | | | | (114,504 | ) |
Danaher Corp. | | Credit Suisse First Boston | | | Call | | | | 270.00 USD | | | | 1/21/22 | | | | 12 | | | | 3,240 | | | | (71,086 | ) |
Danaher Corp. | | Credit Suisse First Boston | | | Call | | | | 280.00 USD | | | | 1/21/22 | | | | 31 | | | | 8,680 | | | | (153,160 | ) |
Danaher Corp. | | Credit Suisse First Boston | | | Call | | | | 290.00 USD | | | | 1/21/22 | | | | 19 | | | | 5,510 | | | | (75,357 | ) |
Danaher Corp. | | JPMorgan Chase | | | Call | | | | 300.00 USD | | | | 1/21/22 | | | | 129 | | | | 38,700 | | | | (388,718 | ) |
Exelon Corp. | | Citigroup | | | Call | | | | 50.00 USD | | | | 1/21/22 | | | | 93 | | | | 4,650 | | | | (72,168 | ) |
See accompanying notes to the financial statements.
9
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | | |
Facebook, Inc. | | JPMorgan Chase | | | Call | | | | 340.00 USD | | | | 1/21/22 | | | | 34 | | | $ | 11,560 | | | $ | (24,048 | ) |
Facebook, Inc. | | JPMorgan Chase | | | Call | | | | 345.00 USD | | | | 1/21/22 | | | | 34 | | | | 11,730 | | | | (17,357 | ) |
Facebook, Inc. | | JPMorgan Chase | | | Call | | | | 380.00 USD | | | | 1/21/22 | | | | 10 | | | | 3,800 | | | | (410 | ) |
Facebook, Inc. | | JPMorgan Chase | | | Call | | | | 400.00 USD | | | | 1/21/22 | | | | 250 | | | | 100,000 | | | | (3,182 | ) |
Facebook, Inc. | | JPMorgan Chase | | | Call | | | | 345.00 USD | | | | 9/16/22 | | | | 19 | | | | 6,555 | | | | (65,644 | ) |
Facebook, Inc. | | JPMorgan Chase | | | Call | | | | 360.00 USD | | | | 9/16/22 | | | | 19 | | | | 6,840 | | | | (53,781 | ) |
Fiserv, Inc. | | Goldman Sachs | | | Call | | | | 130.00 USD | | | | 1/21/22 | | | | 37 | | | | 4,810 | | | | (19 | ) |
Fiserv, Inc. | | Goldman Sachs | | | Call | | | | 135.00 USD | | | | 1/21/22 | | | | 37 | | | | 4,995 | | | | (8 | ) |
Fleetcor Technologies, Inc. | | JPMorgan Chase | | | Call | | | | 300.00 USD | | | | 1/21/22 | | | | 14 | | | | 4,200 | | | | (21 | ) |
Fleetcor Technologies, Inc. | | JPMorgan Chase | | | Call | | | | 310.00 USD | | | | 1/21/22 | | | | 10 | | | | 3,100 | | | | (8 | ) |
General Electric Co. | | JPMorgan Chase | | | Call | | | | 12.00 USD | | | | 1/21/22 | | | | 945 | | | | 11,340 | | | | (18,388 | ) |
General Electric Co. | | JPMorgan Chase | | | Call | | | | 15.00 USD | | | | 1/21/22 | | | | 945 | | | | 14,175 | | | | (45 | ) |
General Electric Co. | | Susquehanna | | | Call | | | | 15.00 USD | | | | 1/21/22 | | | | 1,894 | | | | 28,410 | | | | (90 | ) |
Hilton Worldwide Holdings, Inc. | | Citigroup | | | Call | | | | 125.00 USD | | | | 1/21/22 | | | | 49 | | | | 6,125 | | | | (152,348 | ) |
Hilton Worldwide Holdings, Inc. | | Citigroup | | | Call | | | | 130.00 USD | | | | 1/21/22 | | | | 87 | | | | 11,310 | | | | (227,721 | ) |
Hilton Worldwide Holdings, Inc. | | Citigroup | | | Call | | | | 135.00 USD | | | | 1/21/22 | | | | 38 | | | | 5,130 | | | | (81,028 | ) |
Hilton Worldwide Holdings, Inc. | | Goldman Sachs | | | Call | | | | 135.00 USD | | | | 1/21/22 | | | | 112 | | | | 15,120 | | | | (238,818 | ) |
Hilton Worldwide Holdings, Inc. | | Goldman Sachs | | | Call | | | | 140.00 USD | | | | 1/21/22 | | | | 112 | | | | 15,680 | | | | (185,908 | ) |
Intercontinental Exchange, Inc. | | JPMorgan Chase | | | Call | | | | 125.00 USD | | | | 1/21/22 | | | | 47 | | | | 5,875 | | | | (56,157 | ) |
Intercontinental Exchange, Inc. | | JPMorgan Chase | | | Call | | | | 130.00 USD | | | | 1/21/22 | | | | 93 | | | | 12,090 | | | | (67,329 | ) |
Intercontinental Exchange, Inc. | | JPMorgan Chase | | | Call | | | | 135.00 USD | | | | 1/21/22 | | | | 47 | | | | 6,345 | | | | (14,646 | ) |
Lockheed Martin Corp. | | JPMorgan Chase | | | Call | | | | 340.00 USD | | | | 1/21/22 | | | | 26 | | | | 8,840 | | | | (43,845 | ) |
Lockheed Martin Corp. | | JPMorgan Chase | | | Call | | | | 360.00 USD | | | | 1/21/22 | | | | 26 | | | | 9,360 | | | | (7,618 | ) |
Lockheed Martin Corp. | | JPMorgan Chase | | | Call | | | | 375.00 USD | | | | 1/21/22 | | | | 27 | | | | 10,125 | | | | (1,114 | ) |
Marriott International, Inc. | | Credit Suisse First Boston | | | Call | | | | 145.00 USD | | | | 1/21/22 | | | | 76 | | | | 11,020 | | | | (156,860 | ) |
Marriott International, Inc. | | Credit Suisse First Boston | | | Call | | | | 150.00 USD | | | | 1/21/22 | | | | 76 | | | | 11,400 | | | | (120,833 | ) |
Marriott International, Inc. | | Credit Suisse First Boston | | | Call | | | | 155.00 USD | | | | 1/21/22 | | | | 37 | | | | 5,735 | | | | (42,249 | ) |
Marriott International, Inc. | | Credit Suisse First Boston | | | Call | | | | 160.00 USD | | | | 1/21/22 | | | | 37 | | | | 5,920 | | | | (27,414 | ) |
Marriott International, Inc. | | Credit Suisse First Boston | | | Call | | | | 165.00 USD | | | | 1/21/22 | | | | 29 | | | | 4,785 | | | | (12,182 | ) |
Marriott International, Inc. | | Credit Suisse First Boston | | | Call | | | | 170.00 USD | | | | 1/21/22 | | | | 29 | | | | 4,930 | | | | (6,063 | ) |
McDonald’s Corp. | | Citigroup | | | Call | | | | 210.00 USD | | | | 1/21/22 | | | | 24 | | | | 5,040 | | | | (139,633 | ) |
McDonald’s Corp. | | Citigroup | | | Call | | | | 220.00 USD | | | | 1/21/22 | | | | 23 | | | | 5,060 | | | | (110,862 | ) |
McDonald’s Corp. | | Royal Bank of Canada | | | Call | | | | 220.00 USD | | | | 1/21/22 | | | | 19 | | | | 4,180 | | | | (91,582 | ) |
McDonald’s Corp. | | Royal Bank of Canada | | | Call | | | | 230.00 USD | | | | 1/21/22 | | | | 19 | | | | 4,370 | | | | (72,681 | ) |
McDonald’s Corp. | | Citigroup | | | Call | | | | 230.00 USD | | | | 1/21/22 | | | | 23 | | | | 5,290 | | | | (87,982 | ) |
McDonald’s Corp. | | Goldman Sachs | | | Call | | | | 260.00 USD | | | | 1/20/23 | | | | 40 | | | | 10,400 | | | | (102,719 | ) |
McDonald’s Corp. | | Goldman Sachs | | | Call | | | | 270.00 USD | | | | 1/20/23 | | | | 40 | | | | 10,800 | | | | (80,715 | ) |
Medtronic plc | | Credit Suisse First Boston | | | Call | | | | 115.00 USD | | | | 1/21/22 | | | | 38 | | | | 4,370 | | | | (228 | ) |
Medtronic plc | | Credit Suisse First Boston | | | Call | | | | 125.00 USD | | | | 1/21/22 | | | | 38 | | | | 4,750 | | | | (32 | ) |
Medtronic plc | | Credit Suisse First Boston | | | Call | | | | 130.00 USD | | | | 1/21/22 | | | | 38 | | | | 4,940 | | | | (12 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 250.00 USD | | | | 1/21/22 | | | | 62 | | | | 15,500 | | | | (535,187 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 255.00 USD | | | | 1/21/22 | | | | 62 | | | | 15,810 | | | | (504,222 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 260.00 USD | | | | 1/21/22 | | | | 62 | | | | 16,120 | | | | (473,311 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 265.00 USD | | | | 1/21/22 | | | | 48 | | | | 12,720 | | | | (342,540 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 270.00 USD | | | | 1/21/22 | | | | 48 | | | | 12,960 | | | | (318,679 | ) |
Microsoft Corp. | | Bank of America | | | Call | | | | 270.00 USD | | | | 1/21/22 | | | | 28 | | | | 7,560 | | | | (185,896 | ) |
Microsoft Corp. | | Bank of America | | | Call | | | | 275.00 USD | | | | 1/21/22 | | | | 28 | | | | 7,700 | | | | (171,999 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 275.00 USD | | | | 1/21/22 | | | | 48 | | | | 13,200 | | | | (294,856 | ) |
Microsoft Corp. | | Bank of America | | | Call | | | | 280.00 USD | | | | 1/21/22 | | | | 28 | | | | 7,840 | | | | (158,129 | ) |
Microsoft Corp. | | Citigroup | | | Call | | | | 280.00 USD | | | | 1/21/22 | | | | 189 | | | | 52,920 | | | | (1,067,368 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 300.00 USD | | | | 1/20/23 | | | | 187 | | | | 56,100 | | | | (1,129,085 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 320.00 USD | | | | 1/20/23 | | | | 65 | | | | 20,800 | | | | (310,430 | ) |
Microsoft Corp. | | Citigroup | | | Call | | | | 330.00 USD | | | | 1/20/23 | | | | 61 | | | | 20,130 | | | | (256,600 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 330.00 USD | | | | 1/20/23 | | | | 65 | | | | 21,450 | | | | (273,426 | ) |
Microsoft Corp. | | Susquehanna | | | Call | | | | 340.00 USD | | | | 1/20/23 | | | | 65 | | | | 22,100 | | | | (239,315 | ) |
Microsoft Corp. | | Citigroup | | | Call | | | | 340.00 USD | | | | 1/20/23 | | | | 126 | | | | 42,840 | | | | (463,903 | ) |
Microsoft Corp. | | Citigroup | | | Call | | | | 350.00 USD | | | | 1/20/23 | | | | 126 | | | | 44,100 | | | | (403,680 | ) |
Microsoft Corp. | | JPMorgan Chase | | | Call | | | | 350.00 USD | | | | 1/20/23 | | | | 64 | | | | 22,400 | | | | (205,044 | ) |
See accompanying notes to the financial statements.
10
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
December 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Strike
Price | | | Expiration
Date | | | Contracts | | | Notional
Amount(a) | | | Value | |
| | | | | | | |
Microsoft Corp. | | Susquehanna | | | Call | | | | 350.00 USD | | | | 1/20/23 | | | | 65 | | | $ | 22,750 | | | $ | (208,247 | ) |
Microsoft Corp. | | JPMorgan Chase | | | Call | | | | 355.00 USD | | | | 1/20/23 | | | | 64 | | | | 22,720 | | | | (190,899 | ) |
Microsoft Corp. | | JPMorgan Chase | | | Call | | | | 360.00 USD | | | | 1/20/23 | | | | 64 | | | | 23,040 | | | | (177,526 | ) |
Microsoft Corp. | | Citigroup | | | Call | | | | 360.00 USD | | | | 1/20/23 | | | | 65 | | | | 23,400 | | | | (180,300 | ) |
Microsoft Corp. | | Citigroup | | | Call | | | | 365.00 USD | | | | 1/20/23 | | | | 44 | | | | 16,060 | | | | (113,382 | ) |
Northrop Grumman Corp. | | Credit Suisse First Boston | | | Call | | | | 315.00 USD | | | | 1/21/22 | | | | 30 | | | | 9,450 | | | | (217,594 | ) |
Northrop Grumman Corp. | | Credit Suisse First Boston | | | Call | | | | 325.00 USD | | | | 1/21/22 | | | | 30 | | | | 9,750 | | | | (187,731 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | | Call | | | | 195.00 USD | | | | 1/21/22 | | | | 48 | | | | 9,360 | | | | (163,082 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | | Call | | | | 200.00 USD | | | | 1/21/22 | | | | 48 | | | | 9,600 | | | | (140,004 | ) |
NXP Semiconductors NV | | JPMorgan Chase | | | Call | | | | 210.00 USD | | | | 1/21/22 | | | | 48 | | | | 10,080 | | | | (95,856 | ) |
PepsiCo, Inc. | | Susquehanna | | | Call | | | | 145.00 USD | | | | 1/21/22 | | | | 80 | | | | 11,600 | | | | (230,364 | ) |
PepsiCo, Inc. | | Susquehanna | | | Call | | | | 155.00 USD | | | | 1/21/22 | | | | 79 | | | | 12,245 | | | | (149,136 | ) |
PNC Financial Services Group, Inc. (The) | | Citigroup | | | Call | | | | 175.00 USD | | | | 1/21/22 | | | | 38 | | | | 6,650 | | | | (98,224 | ) |
PNC Financial Services Group, Inc. (The) | | Citigroup | | | Call | | | | 180.00 USD | | | | 1/21/22 | | | | 78 | | | | 14,040 | | | | (164,068 | ) |
PNC Financial Services Group, Inc. (The) | | Citigroup | | | Call | | | | 185.00 USD | | | | 1/21/22 | | | | 78 | | | | 14,430 | | | | (127,568 | ) |
PNC Financial Services Group, Inc. (The) | | Citigroup | | | Call | | | | 190.00 USD | | | | 1/21/22 | | | | 40 | | | | 7,600 | | | | (47,632 | ) |
PNC Financial Services Group, Inc. (The) | | Citigroup | | | Call | | | | 220.00 USD | | | | 1/20/23 | | | | 88 | | | | 19,360 | | | | (94,227 | ) |
PNC Financial Services Group, Inc. (The) | | Citigroup | | | Call | | | | 230.00 USD | | | | 1/20/23 | | | | 88 | | | | 20,240 | | | | (70,033 | ) |
Ross Stores, Inc. | | Credit Suisse First Boston | | | Call | | | | 130.00 USD | | | | 1/21/22 | | | | 19 | | | | 2,470 | | | | (83 | ) |
Ross Stores, Inc. | | Credit Suisse First Boston | | | Call | | | | 135.00 USD | | | | 1/21/22 | | | | 19 | | | | 2,565 | | | | (34 | ) |
Ross Stores, Inc. | | Bank of America | | | Call | | | | 135.00 USD | | | | 1/21/22 | | | | 9 | | | | 1,215 | | | | (16 | ) |
Ross Stores, Inc. | | Bank of America | | | Call | | | | 140.00 USD | | | | 1/21/22 | | | | 9 | | | | 1,260 | | | | (7 | ) |
Thermo Fisher Scientific, Inc. | | Citigroup | | | Call | | | | 560.00 USD | | | | 1/21/22 | | | | 21 | | | | 11,760 | | | | (226,801 | ) |
Thermo Fisher Scientific, Inc. | | Citigroup | | | Call | | | | 580.00 USD | | | | 1/21/22 | | | | 44 | | | | 25,520 | | | | (388,879 | ) |
Thermo Fisher Scientific, Inc. | | Citigroup | | | Call | | | | 600.00 USD | | | | 1/21/22 | | | | 23 | | | | 13,800 | | | | (158,824 | ) |
UnitedHealth Group, Inc. | | Citigroup | | | Call | | | | 400.00 USD | | | | 1/21/22 | | | | 19 | | | | 7,600 | | | | (194,794 | ) |
UnitedHealth Group, Inc. | | Citigroup | | | Call | | | | 410.00 USD | | | | 1/21/22 | | | | 19 | | | | 7,790 | | | | (175,917 | ) |
UnitedHealth Group, Inc. | | Citigroup | | | Call | | | | 420.00 USD | | | | 1/21/22 | | | | 19 | | | | 7,980 | | | | (157,091 | ) |
UnitedHealth Group, Inc. | | Citigroup | | | Call | | | | 460.00 USD | | | | 1/21/22 | | | | 10 | | | | 4,600 | | | | (43,881 | ) |
UnitedHealth Group, Inc. | | Citigroup | | | Call | | | | 470.00 USD | | | | 1/21/22 | | | | 10 | | | | 4,700 | | | | (34,786 | ) |
Visa, Inc. | | JPMorgan Chase | | | Call | | | | 220.00 USD | | | | 1/21/22 | | | | 55 | | | | 12,100 | | | | (14,924 | ) |
Visa, Inc. | | Credit Suisse First Boston | | | Call | | | | 225.00 USD | | | | 1/21/22 | | | | 65 | | | | 14,625 | | | | (8,203 | ) |
Visa, Inc. | | JPMorgan Chase | | | Call | | | | 225.00 USD | | | | 1/21/22 | | | | 55 | | | | 12,375 | | | | (6,941 | ) |
Visa, Inc. | | Goldman Sachs | | | Call | | | | 225.00 USD | | | | 1/21/22 | | | | 79 | | | | 17,775 | | | | (9,969 | ) |
Visa, Inc. | | Goldman Sachs | | | Call | | | | 230.00 USD | | | | 1/21/22 | | | | 79 | | | | 18,170 | | | | (4,567 | ) |
Visa, Inc. | | JPMorgan Chase | | | Call | | | | 230.00 USD | | | | 1/21/22 | | | | 56 | | | | 12,880 | | | | (3,237 | ) |
Visa, Inc. | | Credit Suisse First Boston | | | Call | | | | 230.00 USD | | | | 1/21/22 | | | | 65 | | | | 14,950 | | | | (3,758 | ) |
Visa, Inc. | | Credit Suisse First Boston | | | Call | | | | 235.00 USD | | | | 1/21/22 | | | | 65 | | | | 15,275 | | | | (1,874 | ) |
Visa, Inc. | | Credit Suisse First Boston | | | Call | | | | 240.00 USD | | | | 1/21/22 | | | | 38 | | | | 9,120 | | | | (608 | ) |
Visa, Inc. | | Credit Suisse First Boston | | | Call | | | | 245.00 USD | | | | 1/21/22 | | | | 89 | | | | 21,805 | | | | (857 | ) |
Visa, Inc. | | Citigroup | | | Call | | | | 250.00 USD | | | | 1/21/22 | | | | 36 | | | | 9,000 | | | | (218 | ) |
Waste Management, Inc. | | Credit Suisse First Boston | | | Call | | | | 130.00 USD | | | | 1/21/22 | | | | 38 | | | | 4,940 | | | | (140,220 | ) |
Yum! Brands, Inc. | | JPMorgan Chase | | | Call | | | | 105.00 USD | | | | 1/21/22 | | | | 21 | | | | 2,205 | | | | (71,106 | ) |
Yum! Brands, Inc. | | JPMorgan Chase | | | Call | | | | 110.00 USD | | | | 1/21/22 | | | | 21 | | | | 2,310 | | | | (60,606 | ) |
Yum! Brands, Inc. | | JPMorgan Chase | | | Call | | | | 120.00 USD | | | | 1/21/22 | | | | 184 | | | | 22,080 | | | | (347,580 | ) |
Yum! Brands, Inc. | | JPMorgan Chase | | | Call | | | | 125.00 USD | | | | 1/21/22 | | | | 76 | | | | 9,500 | | | | (106,035 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total (Premiums $12,873,423) | | | | | | | | | | | | | | | | | | | $ | (27,477,844 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| (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 | | $(27,477,844) |
See accompanying notes to the financial statements.
11
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
December 31, 2021
| | | | | |
Assets: | | | | | |
Investment securities, at cost | | | $ | 1,146,958,939 | |
| | | | | |
Investment securities, at value(a) | | | $ | 1,472,785,026 | |
Cash | | | | 353,618 | |
Interest and dividends receivable | | | | 2,137,820 | |
Foreign currency, at value (cost $19,962) | | | | 19,962 | |
Receivable for investments sold | | | | 1,088,749 | |
Reclaims receivable | | | | 1,436 | |
Prepaid expenses | | | | 6,859 | |
| | | | | |
Total Assets | | | | 1,476,393,470 | |
| | | | | |
Liabilities: | | | | | |
Payable for investments purchased | | | | 12,373,708 | |
Payable for capital shares redeemed | | | | 217,711 | |
Payable for collateral received on loaned securities | | | | 11,161,178 | |
Written Options (Premiums received $12,873,423) | | | | 27,477,844 | |
Manager fees payable | | | | 838,874 | |
Administration fees payable | | | | 209,547 | |
Distribution fees payable | | | | 299,599 | |
Custodian fees payable | | | | 5,840 | |
Administrative and compliance services fees payable | | | | 2,057 | |
Transfer agent fees payable | | | | 1,155 | |
Trustee fees payable | | | | 11,553 | |
Other accrued liabilities | | | | 40,883 | |
| | | | | |
Total Liabilities | | | | 52,639,949 | |
| | | | | |
Net Assets | | | $ | 1,423,753,521 | |
| | | | | |
Net Assets Consist of: | | | | | |
Paid in capital | | | $ | 948,188,653 | |
Total distributable earnings | | | | 475,564,868 | |
| | | | | |
Net Assets | | | $ | 1,423,753,521 | |
| | | | | |
Shares of beneficial interest (unlimited number of shares authorized, no par value) | | | | 64,893,114 | |
Net Asset Value (offering and redemption price per share) | | | $ | 21.94 | |
| | | | | |
| (a) | Includes securities on loan of $10,761,710. |
Statement of Operations
For the Year Ended December 31, 2021
| | | | | |
Investment Income: | | | | | |
Interest | | | $ | 12,270,245 | |
Dividends | | | | 11,590,348 | |
Income from securities lending | | | | 39,083 | |
Foreign withholding tax | | | | (22,995 | ) |
| | | | | |
Total Investment Income | | | | 23,876,681 | |
| | | | | |
Expenses: | | | | | |
Management fees | | | | 10,522,398 | |
Administration fees | | | | 482,376 | |
Distribution fees | | | | 3,507,466 | |
Custodian fees | | | | 33,145 | |
Administrative and compliance services fees | | | | 14,523 | |
Transfer agent fees | | | | 5,310 | |
Trustee fees | | | | 61,091 | |
Professional fees | | | | 54,457 | |
Shareholder reports | | | | 38,804 | |
Other expenses | | | | 23,550 | |
| | | | | |
Total expenses before reductions | | | | 14,743,120 | |
Less Management fees contractually waived | | | | (701,514 | ) |
| | | | | |
Net expenses | | | | 14,041,606 | |
| | | | | |
Net Investment Income/(Loss) | | | | 9,835,075 | |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments: | | | | | |
Net realized gains/(losses) on securities and foreign currencies | | | | 166,146,172 | |
Net realized gains/(losses) on written options contracts | | | | 2,059,105 | |
Change in net unrealized appreciation/depreciation on securities and foreign currencies | | | | 61,809,805 | |
Change in net unrealized appreciation/depreciation on written options contracts | | | | (6,855,794 | ) |
| | | | | |
Net realized and Change in net unrealized gains/losses on investments | | | | 223,159,288 | |
| | | | | |
Change in Net Assets Resulting From Operations | | | $ | 232,994,363 | |
| | | | | |
See accompanying notes to the financial statements.
12
AZL T. Rowe Price Capital Appreciation Fund
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | For the
Year Ended
December 31, 2021 | | For the
Year Ended
December 31, 2020 |
| | |
Change In Net Assets: | | | | | | | | | | |
Operations: | | | | | | | | | | |
Net investment income/(loss) | | | $ | 9,835,075 | | | | $ | 11,697,681 | |
Net realized gains/(losses) on investments | | | | 168,205,277 | | | | | 153,316,216 | |
Change in unrealized appreciation/depreciation on investments | | | | 54,954,011 | | | | | 25,878,025 | |
| | | | | | | | | | |
Change in net assets resulting from operations | | | | 232,994,363 | | | | | 190,891,922 | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | |
Distributions | | | | (169,653,015 | ) | | | | (105,007,013 | ) |
| | | | | | | | | | |
Change in net assets resulting from distributions to shareholders | | | | (169,653,015 | ) | | | | (105,007,013 | ) |
| | | | | | | | | | |
Capital Transactions: | | | | | | | | | | |
Proceeds from shares issued | | | | 15,884,100 | | | | | 58,978,742 | |
Proceeds from dividends reinvested | | | | 169,653,015 | | | | | 105,007,013 | |
Value of shares redeemed | | | | (161,378,519 | ) | | | | (185,127,376 | ) |
| | | | | | | | | | |
Change in net assets resulting from capital transactions | | | | 24,158,596 | | | | | (21,141,621 | ) |
| | | | | | | | | | |
Change in net assets | | | | 87,499,944 | | | | | 64,743,288 | |
Net Assets: | | | | | | | | | | |
Beginning of period | | | | 1,336,253,577 | | | | | 1,271,510,289 | |
| | | | | | | | | | |
End of period | | | $ | 1,423,753,521 | | | | $ | 1,336,253,577 | |
| | | | | | | | | | |
Share Transactions: | | | | | | | | | | |
Shares issued | | | | 710,118 | | | | | 3,181,285 | |
Dividends reinvested | | | | 8,097,996 | | | | | 5,384,975 | |
Shares redeemed | | | | (7,118,225 | ) | | | | (10,053,776 | ) |
| | | | | | | | | | |
Change in shares | | | | 1,689,889 | | | | | (1,487,516 | ) |
| | | | | | | | | | |
See accompanying notes to the financial statements.
13
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, |
| | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 |
| | | | | |
Net Asset Value, Beginning of Period | | | $ | 21.14 | | | | $ | 19.66 | | | | $ | 16.93 | | | | $ | 18.03 | | | | $ | 16.48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Activities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income/(Loss) | | | | 0.16 | (a) | | | | 0.19 | (a) | | | | 0.26 | (a) | | | | 0.41 | | | | | 0.17 | |
Net Realized and Unrealized Gains/(Losses) on Investments | | | | 3.54 | | | | | 3.10 | | | | | 3.79 | | | | | (0.31 | ) | | | | 2.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Activities | | | | 3.70 | | | | | 3.29 | | | | | 4.05 | | | | | 0.10 | | | | | 2.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | | (0.23 | ) | | | | (0.29 | ) | | | | (0.42 | ) | | | | (0.17 | ) | | | | (0.24 | ) |
Net Realized Gains | | | | (2.67 | ) | | | | (1.52 | ) | | | | (0.90 | ) | | | | (1.03 | ) | | | | (0.66 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Dividends | | | | (2.90 | ) | | | | (1.81 | ) | | | | (1.32 | ) | | | | (1.20 | ) | | | | (0.90 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 21.94 | | | | $ | 21.14 | | | | $ | 19.66 | | | | $ | 16.93 | | | | $ | 18.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return(b) | | | | 18.12 | % | | | | 17.48 | % | | | | 24.38 | % | | | | 0.38 | % | | | | 15.04 | % |
Ratios to Average Net Assets/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (000’s) | | | $ | 1,423,754 | | | | $ | 1,336,254 | | | | $ | 1,271,510 | | | | $ | 1,079,607 | | | | $ | 1,146,974 | |
Net Investment Income/(Loss) | | | | 0.70 | % | | | | 0.97 | % | | | | 1.36 | % | | | | 2.25 | % | | | | 0.97 | % |
Expenses Before Reductions(c) | | | | 1.05 | % | | | | 1.06 | % | | | | 1.05 | % | | | | 1.05 | % | | | | 1.05 | % |
Expenses Net of Reductions | | | | 1.00 | % | | | | 1.01 | % | | | | 1.00 | % | | | | 1.00 | % | | | | 1.00 | % |
Portfolio Turnover Rate | | | | 49 | % | | | | 87 | % | | | | 45 | % | | | | 70 | % | | | | 65 | % |
| (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.
14
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products 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.
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2021 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 $3,914 during the year ended December 31, 2021. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $11,161,178 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021. At December 31, 2021, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, 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, 2021, the Fund participated in the following cross-trade transactions:
| | | | | | | | | | | | | | | |
| | | Purchases | | Sales | | Realized
Gains/(Losses) |
| | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | — | | | | $ | 1,270,862 | | | | $ | 391,756 | |
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, 2021, the Fund 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. 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. There was no purchased option activity during the period.
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. As of December 31, 2021, securities valued at $40,556,168 have been segregated as collateral as reported on the Fund’s Schedule of Portfolio Investments. For the year ended December 31, 2021, the monthly average notional amount for written options contracts was $2.1 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2021:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Primary Risk Exposure | | Statement of Assets and Liabilities Location | | Total
Value | | | Statement of Assets and Liabilities Location | | Total
Value | |
Equity Risk | | | | | | | | | | |
| | | | |
| Options Contracts | | | | $ | — | | | Written Options contracts | | $ | 27,477,844 | |
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
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, 2021:
| | | | | | | | | | |
| 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 | | $ | 2,059,105 | | | $ | (6,855,794 | ) |
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, 2021. 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, 2021.
As of December 31, 2021, the Fund’s derivative assets and liabilities by type were as follows:
| | | | | | | | | | |
| | | Assets | | Liabilities |
Derivative Financial Instruments: | | | | | | | | | | |
Written option contracts | | | $ | — | | | | $ | 27,477,844 | |
| | | | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | | — | | | | | 27,477,844 | |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | | | | — | | | | | — | |
| | | | | | | | | | |
Total assets and liabilities subject to a MNA | | | $ | — | | | | $ | 27,477,844 | |
| | | | | | | | | | |
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 516,047 | | | | $ | — | | | | $ | (516,047 | ) | | | $ | — | | | | $ | — | |
Citigroup | | | | 5,435,429 | | | | | — | | | | | — | | | | | — | | | | | 5,435,429 | |
Credit Suisse First Boston | | | | 2,991,184 | | | | | — | | | | | — | | | | | — | | | | | 2,991,184 | |
Goldman Sachs | | | | 8,234,364 | | | | | — | | | | | (8,234,364 | ) | | | | — | | | | | — | |
JPMorgan Chase | | | | 4,255,943 | | | | | — | | | | | — | | | | | — | | | | | 4,255,943 | |
Royal Bank of Canada | | | | 595,021 | | | | | — | | | | | — | | | | | — | | | | | 595,021 | |
Susquehanna | | | | 5,449,856 | | | | | — | | | | | — | | | | | — | | | | | 5,449,856 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 27,477,844 | | | | $ | — | | | | $ | (8,750,411 | ) | | | $ | — | | | | $ | 18,727,433 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. 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 “Management 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, 2023.
For the year ended December 31, 2021, 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 in order to maintain a more competitive expense ratio. 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, 2023. |
17
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit 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, 2021, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived in order to maintain more competitive expense ratios 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.
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.
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.
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. These procedures include the Fund’s use of 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.
18
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
The following is a summary of the valuation inputs used as of December 31, 2021 in valuing the Fund’s investments based upon the three levels defined above:
| | | | | | | | | | | | | | | | | | | | |
| Investment Securities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Common Stocks+ | | | $ | 1,033,024,381 | | | | $ | — | | | | $ | — | | | | $ | 1,033,024,381 | |
Preferred Stocks+ | | | | 11,717,627 | | | | | — | | | | | — | | | | | 11,717,627 | |
Convertible Preferred Stock+ | | | | 1,852,485 | | | | | — | | | | | — | | | | | 1,852,485 | |
Asset Backed Securities | | | | — | | | | | 3,533,510 | | | | | — | | | | | 3,533,510 | |
Bank Loans | | | | — | | | | | 171,612,053 | | | | | — | | | | | 171,612,053 | |
Corporate Bonds+ | | | | — | | | | | 114,308,821 | | | | | — | | | | | 114,308,821 | |
Yankee Debt Obligations+ | | | | — | | | | | 3,628,494 | | | | | — | | | | | 3,628,494 | |
Short-Term Security Held as Collateral for Securities on Loan | | | | 11,161,178 | | | | | — | | | | | — | | | | | 11,161,178 | |
Unaffiliated Investment Company | | | | 121,946,477 | | | | | — | | | | | — | | | | | 121,946,477 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Securities | | | | 1,179,702,148 | | | | | 293,082,878 | | | | | — | | | | | 1,472,785,026 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | | | | | |
Written Options | | | | — | | | | | (27,477,844 | ) | | | | — | | | | | (27,477,844 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | $ | 1,179,702,148 | | | | $ | 265,605,034 | | | | $ | — | | | | $ | 1,445,307,182 | |
| | | | | | | | | | | | | | | | | | | | |
| + | 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, 2021, 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 | | | $ | 612,783,202 | | | | $ | 713,636,434 | |
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.
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.
London Interbank Offering Rate (“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 has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, 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 or SOFR) 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
19
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
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
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. New Regulatory Pronouncements
In October 2020 the SEC adopted new Rule 18f-4 under the 1940 Act governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives contracts the Fund can enter and replaces the asset segregation framework currently used by the Fund to comply with Section 18 of the 1940 Act, among other requirements. In December 2020, the SEC adopted new Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. Management is currently evaluating the effect, if any, that the new Rules will have on the Fund’s operations, oversight and financial statements. The compliance date is August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively.
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, 2021 is $1,138,308,924. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
| | | | |
Unrealized appreciation | | $ | 329,076,020 | |
Unrealized (depreciation) | | | (22,077,762 | ) |
| | | | |
Net unrealized appreciation/(depreciation) | | $ | 306,998,258 | |
| | | | |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | |
| | | Ordinary
Income | | Net Long-Term
Capital Gains | | Total
Distributions(a) |
| | | |
AZL T. Rowe Price Capital Appreciation Fund | | | $ | 157,670,065 | | | | $ | 11,982,950 | | | | $ | 169,653,015 | |
| (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, 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. |
20
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
December 31, 2021
At December 31, 2021, 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 | | | $ | 156,731,925 | | | | $ | 14,850,309 | | | | $ | — | | | | $ | 306,998,258 | | | | $ | 478,580,492 | |
| (a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, mark-to-market of passive foreign investment companies, return of capital from underlying investments, straddles 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, 2021, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of the shareholder 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.
21
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, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years ended December 31, 2021 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021, and the financial highlights for each of the four years ended December 31, 2021 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 the year ended 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, 2021 by correspondence with the custodian, agent banks 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.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 24, 2022
We have served as the auditor of one or more investment companies in the Allianz Variable Insurance Products complex since 2018.
22
Other Federal Income Tax Information (Unaudited)
For the year ended December 31, 2021, 4.56% 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, 2021, the Fund declared net short-term capital gain distributions of $144,241,130.
During the year ended December 31, 2021, the Fund declared net long-term capital gain distributions of $11,982,950.
23
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the 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.
24
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, 2023 (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. 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, and not in the retail fund market.
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 factors 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 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) and certain competitor or “peer group” funds), 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 peer group 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 2021. Information relevant to the approval of such Advisory Contracts was considered at Board meetings held June 21, 2021, and September 14, 2021, 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
25
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 by the Board at a meeting on September 14, 2021. At such meeting the Board also approved the Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2023. Additionally, at a subsequent meeting held November 16, 2021, the Board considered and approved a recommendation to add two new sub-subadvisors affiliated with the Subadviser to assist the Subadviser to the AZL Enhanced Bond Index Fund.
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 private sessions 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 others 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 2021 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, to the extent 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 21, 2021, and September 14, 2021, the Manager reported that for the one-year period ended December 31, 2020, seven Funds were in the top 40%, eight were in the middle 20%, and four were in the bottom 40%, and for the three-year period ended December 31, 2020, six Funds were in the top 40%, eight were in the middle 20% and five were in the bottom 40%. The Manager also reported that of the seventeen Funds for which performance information was available for the five-year period ended December 31, 2020, seven Funds were in the top 40%, five were in the middle 20%, and five 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 four Funds, the AZL Russell 1000 Value Index Fund, AZL Enhanced Bond Index Fund, AZL DFA Five-Year Global Fixed Income 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 Russell 1000 Value Index Fund in December 2021, of the AZL Enhanced Bond Index Fund and the AZL Government Money Market Fund in February 2020, and of the AZL DFA Five-Year Global Fixed Income Fund in February 2021, to receive and review enhanced reporting on each Fund’s current investment strategy, process and outlook. As a result of these discussions, the Board understood that the underperformance of these Funds was primarily 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 low short-term interest rates during the periods measured.
Other funds in the bottom 40% for the three- and five-year periods had shown improved relative performance in more recent periods.
At the Board meeting held September 14, 2021, the Board also received updated performance information for the Funds, including updated Lipper peer group ranking information, for various periods ending June 30, 2021.
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 2021, 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.
26
Based upon the information provided, the management fee ranking in 2020 for the 19 Funds was as follows: (1) 16 of the Funds had management fee rankings at or below the 65th percentile (with 11 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 peer group comparability due to the lack of direct peers.
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 2018 through 2020. 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, 2020, were approximately $15.8 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.
27
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”) and the AIM ETF Products Trust (“ETF Trust”) (collectively, the Trust, the FOF Trust, and ETF Trust are the “AIM Complex”). There are currently eight 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 (a company focused on predictive analytics, artificial intelligence in insurance underwriting and cyber risk) and subsidiaries, 2015 to 2018; Chairman, Argus Investment Strategies Fund Ltd., 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 | | 46 | | 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 | | 46 | | None |
| | | | | |
Tamara Lynn Fagely (1958)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 12/17 | | Retired; previously, Chief Operations Officer, Hartford Funds, 2012 to 2013 | | 46 | | Diamond Hill Funds (10 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 2019 | | 46 | | Connecticut Water Service, Inc. |
| | | | | |
Jack Gee (1959) 5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 1/22 (Consultant to the Independent Trustees since 2/20)(3) | | Retired; previously, Managing Director, BlackRock, Inc., Treasurer and Chief Financial Officer U.S. iShares, 2004 to 2019 | | 46 | | Engine No. 1 ETF Trust (2 Funds); Esoterica Thematic Trust (2019 - 2020) |
| | | | | |
Claire R. Leonardi (1955)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Trustee | | Since 2/04 | | Retired; previously, CEO, Health eSense Inc.(a medical device company), 2015 to 2018, and Connecticut Innovations, Inc. (a venture capital firm), 2012 to 2015 | | 46 | | 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 (a photography company), 2006 to 2014, Jostens (a producer of year books and class rings), 2001 to 2006, and Fortis Financial Group, 1997 to 2001 | | 46 | | None |
Interested Trustee(4)
| | | | | | | | | | |
| 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 | | 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, 2011 to present | | 46 | | None |
| (1) | Each of the Independent Trustees is a member of the Audit Committee. |
| (3) | Prior to January 1, 2022, Mr. Gee served as a consultant to the Independent Trustees since February 2020, during which he attended meetings of the Board and its standing committees, including the audit committee, solely in his capacity as a consultant, and was not entitled to vote. |
| (4) | Is an “interested person,” as defined by the 1940 Act, due to employment by Allianz Life and the Manager. |
28
Officers
| | | | | | |
| Name, Address, and Birth Year | | Positions
Held with
AIM Complex | | Term of
Office(1)/ 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, 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, 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., 2011 to present. |
| | | |
Chris R. Pheiffer (1968)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Chief Compliance Officer(2) and Anti-Money Laundering Compliance Officer | | Since 02/14 | | Chief Compliance Officer of the Trust and the VIP Trust, 2014 to present, and the ETF Trust, 2020 to present. |
| | | |
Darin Egbert (1975)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 02/16 | | Vice President, Allianz Investment Management LLC, 2020 to present; previously, Assistant Vice President, Allianz Investment Management LLC, 2015 to 2020. |
| | | |
Michael Tanski (1970)
5701 Golden Hills Drive Minneapolis, MN 55416 | | Vice President | | Since 04/09 | | Assistant Vice President, Allianz Investment Management LLC, 2013 to present. |
| (2) | The Manager and the Trust are parties to a Compliance Services Agreement under which the Manager provides an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer. |
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.
29
| | |
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | | |
| These Funds are not FDIC Insured. | | ANNRPT1221 02/22 |
| (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. |
| | | | | | | | |
| | | 2021 | | | 2020 | |
(a) Audit Fees | | $ | 337,653 | | | $ | 329,300 | |
(b) Audit-Related Fees | | $ | 0 | | | $ | 0 | |
Related to the consent on Form N-1A for the annual registration statement. | | | | | | | | |
| | |
| | | 2021 | | | 2020 | |
(c) Tax Fees | | $ | 122,692 | | | $ | 125,375 | |
Preparation of the funds’ federal income tax returns. | | | | | | | | |
| | |
| | | 2021 | | | 2020 | |
(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 specifically approved by the Committee. The Committee may delegate preapproval authority to one or more of its members but has not done so. The Committee may not delegate to management the Committee’s responsibilities to pre-approve services performed by the independent auditor. |
| 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: |
| | | | | | | | |
| | | 2021 | | | 2020 | |
| | $ | 122,692 | | | $ | 125,375 | |
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
| (a) | The Schedule of Investments as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of the Form N-CSR. |
| 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.
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 25, 2022 | | |
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 25, 2022 | | | | |
| |
| By (Signature and Title) /s/ Bashir C. Asad | | |
| | | | Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer |
| Date | | February 28, 2022 | | | | |
