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: June 30, 2023
Item 1. Reports to Stockholders.
AZL® DFA International Core Equity Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 38 |
|
Page 38 |
| Statements of Changes in Net Assets Page 39 |
|
Page 40 |
| Notes to the Financial Statements Page 41 |
|
Page 46 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 47 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA International Core Equity Fund
(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.
| Beginning Account Value 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL DFA International Core Equity Fund |
$1,000.00 | $1,090.70 | $5.24 | 1.01% | ||||||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL DFA International Core Equity Fund |
$1,000.00 | $1,019.79 | $5.06 | 1.01% | ||||||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
18.8% | |
| Financials |
16.4 | |
| Consumer Discretionary |
12.8 | |
| Materials |
11.5 | |
| Energy |
7.9 | |
| Information Technology |
7.4 | |
| Consumer Staples |
7.4 | |
| Health Care |
6.9 | |
| Communication Services |
4.8 | |
| Utilities |
3.0 | |
| Real Estate |
2.1 | |
|
| ||
| Total Common Stocks and Preferred Stocks |
99.0 | |
| Warrant |
—† | |
| Rights |
—† | |
| Short-Term Security Held as Collateral for Securities on Loan |
0.7 | |
| 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%. |
3
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks (98.7%): | ||||||||
| Aerospace & Defense (1.1%): | ||||||||
| 4,461 | Airbus SE | $ | 644,799 | |||||
| 17,862 | Austal, Ltd. | 28,420 | ||||||
| 512 | Avon Rubber plc | 5,536 | ||||||
| 17,326 | Babcock International Group plc* | 62,298 | ||||||
| 3,209 | BAE Systems plc | 37,857 | ||||||
| 1,760 | Bombardier, Inc., Class B* | 86,778 | ||||||
| 1,289 | CAE, Inc.* | 28,853 | ||||||
| 7,684 | Chemring Group plc | 27,657 | ||||||
| 283 | Dassault Aviation SA | 56,620 | ||||||
| 116 | Elbit Systems, Ltd. | 24,194 | ||||||
| 89 | FACC AG* | 592 | ||||||
| 1,523 | Hensoldt AG | 49,983 | ||||||
| 2,300 | Heroux-Devtek, Inc.* | 26,636 | ||||||
| 865 | Kongsberg Gruppen ASA | 39,364 | ||||||
| 13,483 | Leonardo SpA | 153,171 | ||||||
| 394 | LISI | 11,308 | ||||||
| 4,014 | MDA, Ltd.* | 24,758 | ||||||
| 20,239 | Melrose Industries plc | 130,262 | ||||||
| 894 | MTU Aero Engines AG | 231,617 | ||||||
| 351 | OHB SE | 12,233 | ||||||
| 12,902 | QinetiQ Group plc | 58,019 | ||||||
| 1,143 | Rheinmetall AG | 313,803 | ||||||
| 80,446 | Rolls-Royce Holdings plc* | 154,480 | ||||||
| 247 | Saab AB, Class B | 13,357 | ||||||
| 1,817 | Safran SA | 285,445 | ||||||
| 15,312 | Senior plc | 34,088 | ||||||
| 21,100 | Singapore Technologies Engineering, Ltd. | 57,577 | ||||||
| 938 | Thales SA | 140,394 | ||||||
|
|
|
|||||||
| 2,740,099 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics (0.8%): | ||||||||
| 2,500 | AZ-COM MARUWA Holdings, Inc. | 33,674 | ||||||
| 4,417 | bpost SA | 19,405 | ||||||
| 2,607 | Cia de Distribucion Integral Logista Holdings SA | 70,255 | ||||||
| 6,355 | CTT-Correios de Portugal SA | 24,177 | ||||||
| 11,892 | Deutsche Post AG | 580,659 | ||||||
| 1,842 | DSV A/S | 387,709 | ||||||
| 6,217 | Freightways Group, Ltd. | 31,789 | ||||||
| 1,000 | Hamakyorex Co., Ltd. | 26,697 | ||||||
| 107 | ID Logistics Group* | 31,538 | ||||||
| 4,998 | InPost SA* | 54,225 | ||||||
| 32,923 | International Distributions Services plc | 92,396 | ||||||
| 20,500 | Kerry Network, Ltd. | 24,244 | ||||||
| 1,800 | Konoike Transport Co., Ltd. | 20,736 | ||||||
| 958 | Mainfreight, Ltd. | 42,395 | ||||||
| 900 | Mitsui-Soko Holdings Co., Ltd. | 21,954 | ||||||
| 2,600 | NIPPON EXPRESS HOLDINGS, INC. | 146,650 | ||||||
| 534 | Oesterreichische Post AG^ | 19,048 | ||||||
| 17,289 | PostNL NV | 30,120 | ||||||
| 2,000 | Sankyu, Inc. | 66,260 | ||||||
| 900 | SBS Holdings, Inc. | 20,021 | ||||||
| 3,900 | Senko Group Holdings Co., Ltd. | 28,098 | ||||||
| 5,100 | SG Holdings Co., Ltd. | 72,773 | ||||||
| 27,700 | Singapore Post, Ltd. | 9,244 | ||||||
| 300 | Tonami Holdings Co., Ltd. | 9,622 | ||||||
| 400 | Trancom Co., Ltd. | 18,287 | ||||||
| 5,312 | Wincanton plc | 16,979 | ||||||
| 2,000 | Yamato Holdings Co., Ltd. | 36,174 | ||||||
|
|
|
|||||||
| 1,935,129 | ||||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Automobile Components (3.4%): | ||||||||
| 1,000 | Aisan Industry Co., Ltd. | $ | 8,182 | |||||
| 2,700 | Aisin Corp. | 83,469 | ||||||
| 7,300 | Akebono Brake Industry Co., Ltd.* | 7,167 | ||||||
| 1,027 | AKWEL | 15,119 | ||||||
| 2,478 | ARB Corp, Ltd. | 47,654 | ||||||
| 202 | Autoneum Holding AG* | 33,114 | ||||||
| 4,497 | Bayerische Motoren Werke AG | 552,252 | ||||||
| 1,920 | Brembo SpA | 28,487 | ||||||
| 8,700 | Bridgestone Corp. | 357,523 | ||||||
| 1,647 | Bulten AB | 15,194 | ||||||
| 2,286 | CIE Automotive SA | 69,973 | ||||||
| 12,224 | Cie Generale des Etablissements Michelin SCA | 361,322 | ||||||
| 1,743 | Cie Plastic Omnium SA | 30,659 | ||||||
| 12,732 | CIR SpA-Compagnie Industriali* | 5,262 | ||||||
| 1,653 | Continental AG | 124,565 | ||||||
| 2,800 | Daido Metal Co., Ltd. | 9,584 | ||||||
| 2,400 | Daikyonishikawa Corp. | 13,247 | ||||||
| 1,600 | Denso Corp. | 107,877 | ||||||
| 11,116 | Dometic Group AB(a) | 73,172 | ||||||
| 20,239 | Dowlais Group plc* | 32,624 | ||||||
| 1,800 | Eagle Industry Co., Ltd. | 21,969 | ||||||
| 673 | EDAG Engineering Group AG | 8,191 | ||||||
| 1,724 | ElringKlinger AG | 15,514 | ||||||
| 1,500 | Exco Technologies, Ltd. | 9,037 | ||||||
| 1,700 | Exedy Corp. | 28,698 | ||||||
| 2,300 | FCC Co., Ltd. | 30,009 | ||||||
| 342 | Feintool International Holding AG | 8,201 | ||||||
| 1,783 | Forvia* | 42,054 | ||||||
| 5,309 | Forvia* | 126,290 | ||||||
| 1,000 | F-Tech, Inc. | 6,513 | ||||||
| 4,000 | Futaba Industrial Co., Ltd. | 14,748 | ||||||
| 6,562 | Gestamp Automocion SA(a) | 30,871 | ||||||
| 1,400 | G-Tekt Corp. | 16,823 | ||||||
| 6,206 | GUD Holdings, Ltd. | 36,737 | ||||||
| 232 | Hella GmbH & Co. KGaA | 18,254 | ||||||
| 1,600 | HI-LEX CORP. | 13,332 | ||||||
| 10,100 | Honda Motor Co., Ltd. | 305,138 | ||||||
| 700 | H-One Co., Ltd. | 3,641 | ||||||
| 300 | Imasen Electric Industrial | 1,288 | ||||||
| 15,200 | Isuzu Motors, Ltd. | 185,079 | ||||||
| 19,355 | Johnson Electric Holdings, Ltd. | 24,783 | ||||||
| 7,400 | JTEKT Corp. | 67,552 | ||||||
| 1,800 | Kasai Kogyo Co., Ltd.* | 1,937 | ||||||
| 267 | Kendrion NV | 4,925 | ||||||
| 1,800 | Koito Manufacturing Co., Ltd. | 32,675 | ||||||
| 25,060 | Kongsberg Automotive ASA* | 5,732 | ||||||
| 1,000 | KYB Corp. | 35,262 | ||||||
| 1,933 | Linamar Corp. | 101,597 | ||||||
| 1,104 | Magna International, Inc. | 62,310 | ||||||
| 6,013 | Magna International, Inc. | 339,508 | ||||||
| 4,466 | Martinrea International, Inc. | 44,674 | ||||||
| 10,100 | Mazda Motor Corp. | 98,717 | ||||||
| 14,566 | Mercedes-Benz Group AG | 1,172,182 | ||||||
| 2,000 | Mitsuba Corp. | 11,343 | ||||||
| 22,500 | Mitsubishi Motors Corp. | 79,208 | ||||||
| 2,500 | Musashi Seimitsu Industry Co., Ltd. | 30,845 | ||||||
| 4,300 | NHK SPRING Co., Ltd. | 31,488 | ||||||
| 600 | Nichirin Co., Ltd. | 11,644 | ||||||
| 1,500 | Nifco, Inc. | 44,636 | ||||||
See accompanying notes to the financial statements.
4
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Automobile Components, continued | ||||||||
| 2,200 | Nippon Seiki Co., Ltd. | $ | 15,033 | |||||
| 20,000 | Nissan Motor Co., Ltd. | 82,602 | ||||||
| 6,300 | Niterra Co., Ltd. | 125,364 | ||||||
| 2,700 | NOK Corp. | 39,591 | ||||||
| 2,439 | Nokian Renkaat Oyj | 21,262 | ||||||
| 2,600 | Pacific Industrial Co., Ltd. | 23,586 | ||||||
| 10,683 | Pirelli & C SpA(a) | 52,893 | ||||||
| 6,300 | Press Kogyo Co., Ltd. | 27,008 | ||||||
| 3,582 | PWR Holdings, Ltd. | 20,746 | ||||||
| 5,773 | Renault SA | 243,561 | ||||||
| 400 | Riken Corp. | 8,720 | ||||||
| 1,900 | Sanoh Industrial Co., Ltd. | 11,401 | ||||||
| 2,535 | Schaeffler AG | 15,611 | ||||||
| 1,000 | Seiren Co., Ltd. | 17,197 | ||||||
| 2,400 | Shoei Co., Ltd. | 44,494 | ||||||
| 1,900 | Stanley Electric Co., Ltd. | 38,528 | ||||||
| 16,532 | Stellantis NV | 290,980 | ||||||
| 16,000 | Subaru Corp. | 302,753 | ||||||
| 12,700 | Sumitomo Electric Industries, Ltd. | 155,855 | ||||||
| 2,900 | Sumitomo Riko Co., Ltd. | 17,289 | ||||||
| 6,500 | Sumitomo Rubber Industries, Ltd. | 63,288 | ||||||
| 5,600 | Suzuki Motor Corp. | 203,518 | ||||||
| 300 | T RAD Co., Ltd. | 3,848 | ||||||
| 1,400 | Tachi-S Co., Ltd. | 15,123 | ||||||
| 800 | Taiho Kogyo Co., Ltd. | 5,212 | ||||||
| 8,119 | TI Fluid Systems plc(a) | 14,153 | ||||||
| 2,500 | Tokai Rika Co., Ltd. | 37,182 | ||||||
| 2,500 | Topre Corp. | 27,776 | ||||||
| 3,200 | Toyo Tire Corp. | 42,606 | ||||||
| 1,700 | Toyoda Gosei Co., Ltd. | 32,364 | ||||||
| 2,200 | Toyota Boshoku Corp. | 39,470 | ||||||
| 59,520 | Toyota Motor Corp. | 951,290 | ||||||
| 1,500 | TPR Co., Ltd. | 17,713 | ||||||
| 2,800 | TS Tech Co., Ltd. | 35,479 | ||||||
| 2,000 | Unipres Corp. | 16,189 | ||||||
| 9,310 | Valeo | 199,748 | ||||||
| 842 | Vitesco Technologies Group AG* | 69,328 | ||||||
| 9,185 | Volvo Car AB, Class B* | 36,535 | ||||||
| 7,800 | Yamaha Motor Co., Ltd. | 224,782 | ||||||
| 4,300 | Yokohama Rubber Co., Ltd. (The) | 94,630 | ||||||
| 600 | Yorozu Corp. | 3,989 | ||||||
|
|
|
|||||||
| 8,788,548 | ||||||||
|
|
|
|||||||
| Automobiles (0.4%): | ||||||||
| 9,587 | Aston Martin Lagonda Global Holdings plc*(a) | 43,364 | ||||||
| 865 | Dr Ing hc F Porsche AG(a) | 107,349 | ||||||
| 398 | Ferrari NV | 130,287 | ||||||
| 488 | Ferrari NV | 158,702 | ||||||
| 298 | Knaus Tabbert AG | 19,693 | ||||||
| 2,700 | Nissan Shatai Co., Ltd. | 15,811 | ||||||
| 8,981 | Piaggio & C SpA | 37,308 | ||||||
| 23,341 | Stellantis NV | 410,208 | ||||||
| 294 | Trigano SA | 42,156 | ||||||
| 606 | Volkswagen AG | 101,095 | ||||||
|
|
|
|||||||
| 1,065,973 | ||||||||
|
|
|
|||||||
| Banks (8.3%): | ||||||||
| 1,900 | 77 Bank, Ltd. (The) | 34,042 | ||||||
| 6,117 | ABN AMRO Bank NV(a) | 95,135 | ||||||
| 536 | Addiko Bank AG | 7,135 | ||||||
| 36,960 | AIB Group plc | 155,483 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 1,500 | Akita Bank, Ltd. (The) | $ | 17,507 | |||||
| 2,146 | Aktia Bank Oyj | 21,785 | ||||||
| 19,608 | ANZ Group Holdings, Ltd. | 310,861 | ||||||
| 3,500 | Aozora Bank, Ltd.^ | 65,357 | ||||||
| 3,314 | Auswide Bank, Ltd. | 11,896 | ||||||
| 1,000 | Awa Bank, Ltd. (The) | 13,882 | ||||||
| 195 | Banca Monte dei Paschi di Siena SpA* | 491 | ||||||
| 19,969 | Banca Popolare di Sondrio SCPA | 83,449 | ||||||
| 37,367 | Banco Bilbao Vizcaya Argentaria SA, ADR | 286,979 | ||||||
| 61,495 | Banco Bilbao Vizcaya Argentaria SA | 474,125 | ||||||
| 63,397 | Banco BPM SpA | 295,129 | ||||||
| 374,521 | Banco Comercial Portugues SA, Class R* | 89,862 | ||||||
| 157,448 | Banco de Sabadell SA | 182,030 | ||||||
| 140,122 | Banco Santander SA | 519,871 | ||||||
| 6,287 | Banco Santander SA, ADR | 23,325 | ||||||
| 10,471 | Bank Hapoalim BM | 85,935 | ||||||
| 24,597 | Bank Leumi Le-Israel BM | 184,415 | ||||||
| 30,859 | Bank of East Asia, Ltd. (The) | 42,670 | ||||||
| 974 | Bank of Georgia Group plc | 36,186 | ||||||
| 39,103 | Bank of Ireland Group plc | 373,556 | ||||||
| 900 | Bank of Iwate, Ltd. (The) | 12,894 | ||||||
| 1,700 | Bank of Kyoto, Ltd. (The) | 85,409 | ||||||
| 4,062 | Bank of Montreal | 366,839 | ||||||
| 3,119 | Bank of Montreal | 281,713 | ||||||
| 500 | Bank of Nagoya, Ltd. (The) | 11,573 | ||||||
| 8,317 | Bank of Nova Scotia (The) | 416,183 | ||||||
| 4,100 | Bank of Nova Scotia (The)^ | 205,155 | ||||||
| 18,984 | Bank of Queensland, Ltd. | 69,789 | ||||||
| 2,000 | Bank of The Ryukyus, Ltd. | 12,768 | ||||||
| 11,390 | Bankinter SA | 70,226 | ||||||
| 71 | Banque Cantonale de Geneve | 17,221 | ||||||
| 1,029 | Banque Cantonale Vaudoise, Registered Shares | 108,740 | ||||||
| 11,277 | Barclays plc, ADR | 88,637 | ||||||
| 196,917 | Barclays plc | 384,583 | ||||||
| 2,701 | BAWAG Group AG(a) | 124,713 | ||||||
| 16,528 | Bendigo & Adelaide Bank, Ltd. | 95,091 | ||||||
| 207 | Berner Kantonalbank AG | 53,706 | ||||||
| 5,480 | BNP Paribas SA | 346,135 | ||||||
| 35,542 | BOC Hong Kong Holdings, Ltd. | 108,789 | ||||||
| 46,769 | BPER Banca | 142,559 | ||||||
| 53,120 | CaixaBank SA | 220,313 | ||||||
| 5,363 | Canadian Imperial Bank of Commerce | 228,893 | ||||||
| 4,131 | Canadian Imperial Bank of Commerce | 176,392 | ||||||
| 4,227 | Canadian Western Bank | 78,885 | ||||||
| 5,000 | Chiba Bank, Ltd. (The) | 30,338 | ||||||
| 3,300 | Chugin Financial Group, Inc. | 19,934 | ||||||
| 6,677 | Close Brothers Group plc | 74,913 | ||||||
| 3,381 | Collector Bank AB* | 9,160 | ||||||
| 19,021 | Commerzbank AG | 210,599 | ||||||
| 9,374 | Commonwealth Bank of Australia | 628,430 | ||||||
| 16,100 | Concordia Financial Group, Ltd. | 63,459 | ||||||
| 8,122 | Credit Agricole SA^ | 96,475 | ||||||
| 2,729 | Credito Emiliano SpA | 21,304 | ||||||
| 16,000 | Dah Sing Banking Group, Ltd. | 11,952 | ||||||
| 5,600 | Dah Sing Financial Holdings, Ltd. | 13,999 | ||||||
| 1,900 | Daishi Hokuetsu Financial Group, Inc. | 41,284 | ||||||
| 10,300 | Danske Bank A/S* | 250,880 | ||||||
| 14,092 | DBS Group Holdings, Ltd. | 329,577 | ||||||
| 7,391 | DNB Bank ASA | 138,237 | ||||||
See accompanying notes to the financial statements.
5
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 1,600 | Ehime Bank, Ltd. (The) | $ | 8,988 | |||||
| 830 | EQB, Inc. | 43,862 | ||||||
| 4,763 | Erste Group Bank AG | 167,231 | ||||||
| 650 | FIDEA Holdings Co., Ltd. | 6,212 | ||||||
| 6,825 | FinecoBank Banca Fineco SpA | 92,053 | ||||||
| 3,600 | First Bank of Toyama, Ltd. (The) | 18,645 | ||||||
| 1,329 | First International Bank Of Israel, Ltd. (The) | 51,837 | ||||||
| 1,000 | Fukui Bank, Ltd. (The) | 10,065 | ||||||
| 5,100 | Fukuoka Financial Group, Inc. | 105,284 | ||||||
| 7,200 | Gunma Bank, Ltd. (The) | 26,607 | ||||||
| 9,200 | Hachijuni Bank, Ltd. (The) | 40,134 | ||||||
| 4,005 | Hang Seng Bank, Ltd. | 57,042 | ||||||
| 24,614 | Heartland Group Holdings Npv | 25,751 | ||||||
| 5,200 | Hirogin Holdings, Inc. | 29,648 | ||||||
| 1,000 | Hokkoku Financial Holdings, Inc. | 28,984 | ||||||
| 4,500 | Hokuhoku Financial Group, Inc. | 36,193 | ||||||
| 60,883 | HSBC Holdings plc | 481,470 | ||||||
| 14,784 | HSBC Holdings plc, ADR | 585,742 | ||||||
| 9,400 | Hyakugo Bank, Ltd. (The) | 27,480 | ||||||
| 1,000 | Hyakujushi Bank, Ltd. (The) | 12,940 | ||||||
| 3 | Hypothekarbank Lenzburg AG, Class R | 14,485 | ||||||
| 23,474 | ING Groep NV | 316,976 | ||||||
| 71,373 | Intesa Sanpaolo SpA | 187,573 | ||||||
| 21,055 | Israel Discount Bank, Ltd., Class A | 104,750 | ||||||
| 5,400 | Iyogin Holdings, Inc. | 30,482 | ||||||
| 2,800 | Japan Post Bank Co,m Ltd, | 21,939 | ||||||
| 620 | Jimoto Holdings, Inc. | 1,665 | ||||||
| 1,200 | Juroku Financial Group, Inc. | 26,059 | ||||||
| 1,487 | Jyske Bank A/S* | 113,108 | ||||||
| 7,716 | KBC Group NV | 539,518 | ||||||
| 5,800 | Keiyo Bank, Ltd. (The) | 21,588 | ||||||
| 400 | Kita-Nippon Bank, Ltd. (The) | 5,677 | ||||||
| 2,500 | Kiyo Bank, Ltd. (The) | 25,829 | ||||||
| 10,290 | Kyushu Financial Group, Inc. | 43,660 | ||||||
| 1,296 | Laurentian Bank of Canada | 32,346 | ||||||
| 562 | Liechtensteinische Landesbank AG | 36,863 | ||||||
| 235,693 | Lloyds Banking Group plc | 130,640 | ||||||
| 109,681 | Lloyds Banking Group plc, ADR | 241,298 | ||||||
| 583 | Luzerner Kantonalbank AG, Registered Shares | 48,015 | ||||||
| 27,470 | Mebuki Financial Group, Inc. | 65,696 | ||||||
| 11,906 | Mediobanca Banca di Credito Finanziario SpA | 142,760 | ||||||
| 72,300 | Mitsubishi UFJ Financial Group, Inc. | 533,728 | ||||||
| 800 | Miyazaki Bank, Ltd. (The) | 13,015 | ||||||
| 1,478 | Mizrahi Tefahot Bank, Ltd. | 49,427 | ||||||
| 15,980 | Mizuho Financial Group, Inc. | 243,930 | ||||||
| 1,300 | Musashino Bank, Ltd. (The) | 19,788 | ||||||
| 5,064 | MyState, Ltd. | 10,728 | ||||||
| 1,300 | Nanto Bank, Ltd. (The) | 22,131 | ||||||
| 28,191 | National Australia Bank, Ltd. | 497,481 | ||||||
| 5,632 | National Bank of Canada | 419,658 | ||||||
| 35,666 | NatWest Group plc | 109,489 | ||||||
| 4,800 | Nishi-Nippon Holdings, Inc. | 42,896 | ||||||
| 7,280 | Nordea Bank Abp | 79,433 | ||||||
| 14,112 | Nordea Bank Abp | 153,814 | ||||||
| 7,300 | North Pacific Bank, Ltd. | 14,544 | ||||||
| 1,800 | Ogaki Kyoritsu Bank, Ltd. (The) | 23,162 | ||||||
| 1,000 | Oita Bank, Ltd. (The) | 15,115 | ||||||
| 820 | Okinawa Financial Group, Inc. | 11,885 | ||||||
| 16,846 | Oversea-Chinese Banking Corp., Ltd. | 153,529 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 5,215 | Permanent TSB Group Holdings plc* | $ | 12,633 | |||||
| 1,522 | Procrea Holdings, Inc. | 21,670 | ||||||
| 28,000 | Public Financial Holdings, Ltd. | 7,402 | ||||||
| 4,183 | Raiffeisen Bank International AG | 66,433 | ||||||
| 31,675 | Resona Holdings, Inc. | 151,797 | ||||||
| 1,300 | Ringkjoebing Landbobank A/S | 186,393 | ||||||
| 6,521 | Royal Bank of Canada | 622,857 | ||||||
| 7,631 | Royal Bank of Canada | 728,837 | ||||||
| 1,190 | San Ju San Financial Group, Inc. | 13,123 | ||||||
| 6,200 | San-In Godo Bank, Ltd. (The) | 34,995 | ||||||
| 11,600 | Senshu Ikeda Holdings, Inc. | 18,900 | ||||||
| 24,900 | Seven Bank, Ltd. | 49,046 | ||||||
| 1,300 | Shiga Bank, Ltd. (The) | 24,541 | ||||||
| 1,000 | Shikoku Bank, Ltd. (The) | 5,965 | ||||||
| 400 | Shimizu Bank, Ltd. (The) | 4,067 | ||||||
| 6,600 | Shizuoka Financial Group, Inc. | 47,952 | ||||||
| 10,818 | Skandinaviska Enskilda Banken AB, Class A | 119,733 | ||||||
| 11,484 | Societe Generale SA | 298,921 | ||||||
| 4,151 | Spar Nord Bank A/S | 64,960 | ||||||
| 2,034 | SpareBank 1 Sorost-Norge | 9,592 | ||||||
| 3,098 | Sparebank 1 Sr-Bank ASA | 37,574 | ||||||
| 523 | Sparekassen Sjaelland-Fyn A/S | 14,369 | ||||||
| 119 | St. Galler Kantonalbank AG | 64,613 | ||||||
| 36,353 | Standard Chartered plc | 316,988 | ||||||
| 8,200 | Sumitomo Mitsui Financial Group, Inc. | 351,006 | ||||||
| 2,200 | Sumitomo Mitsui Trust Holdings, Inc. | 78,730 | ||||||
| 8,000 | Suruga Bank, Ltd. | 32,004 | ||||||
| 9,765 | Svenska Handelsbanken AB, Class A | 81,935 | ||||||
| 6,063 | Swedbank AB, Class A | 102,434 | ||||||
| 2,815 | Sydbank A/S | 130,174 | ||||||
| 1,470 | TBC Bank Group plc | 46,088 | ||||||
| 6,500 | Toho Bank, Ltd. (The) | 10,248 | ||||||
| 1,100 | Tokyo Kiraboshi Financial Group, Inc. | 24,036 | ||||||
| 7,500 | TOMONY Holdings, Inc. | 19,155 | ||||||
| 4,923 | Toronto-Dominion Bank (The) | 305,170 | ||||||
| 5,540 | Toronto-Dominion Bank (The) | 343,535 | ||||||
| 2,100 | Towa Bank, Ltd. (The) | 7,806 | ||||||
| 6,200 | Tsukuba Bank, Ltd. | 8,764 | ||||||
| 69,079 | Unicaja Banco SA(a) | 72,712 | ||||||
| 13,825 | UniCredit SpA | 322,371 | ||||||
| 10,227 | United Overseas Bank, Ltd. | 212,053 | ||||||
| 743 | Valiant Holding AG | 77,373 | ||||||
| 30,944 | Vestjysk Bank A/S | 16,186 | ||||||
| 54,554 | Virgin Money UK plc | 103,729 | ||||||
| 239 | Walliser Kantonalbank | 29,528 | ||||||
| 22,910 | Westpac Banking Corp. | 326,742 | ||||||
| 1,600 | Yamagata Bank, Ltd. (The) | 11,678 | ||||||
| 3,900 | Yamaguchi Financial Group, Inc. | 26,364 | ||||||
| 1,800 | Yamanashi Chuo Bank, Ltd. (The) | 15,642 | ||||||
| 6 | Zuger Kantonalbank AG | 51,094 | ||||||
|
|
|
|||||||
| 21,209,619 | ||||||||
|
|
|
|||||||
| Beverages (1.1%): | ||||||||
| 1,669 | A.G. Barr plc | 9,966 | ||||||
| 1,900 | Andrew Peller, Ltd., Class A | 5,881 | ||||||
| 6,975 | Anheuser-Busch InBev SA | 395,000 | ||||||
| 2,700 | Asahi Group Holdings, Ltd. | 104,671 | ||||||
| 9,774 | Britvic plc | 106,299 | ||||||
| 14,400 | Budweiser Brewing Co. APAC, Ltd.(a) | 37,133 | ||||||
| 14,772 | C&C Group plc | 23,521 | ||||||
See accompanying notes to the financial statements.
6
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Beverages, continued | ||||||||
| 1,608 | Carlsberg AS, Class B | $ | 257,145 | |||||
| 4,300 | Coca-Cola Bottlers Japan Holdings, Inc. | 45,617 | ||||||
| 3,112 | Coca-Cola Europacific Partners plc | 200,340 | ||||||
| 1,524 | Coca-Cola HBC AG | 45,402 | ||||||
| 1,957 | David Campari-Milano NV, Class M | 27,119 | ||||||
| 8,372 | Diageo plc | 359,066 | ||||||
| 2,039 | Diageo plc, ADR | 353,726 | ||||||
| 812 | Fevertree Drinks plc | 12,607 | ||||||
| 1,564 | Heineken NV | 160,939 | ||||||
| 1,000 | Ito En, Ltd. | 27,595 | ||||||
| 2,300 | Kirin Holdings Co., Ltd. | 33,593 | ||||||
| 109 | Laurent-Perrier | 15,342 | ||||||
| 653 | Olvi Oyj | 20,695 | ||||||
| 915 | Pernod Ricard SA | 202,140 | ||||||
| 2,850 | Primo Water Corp. | 35,716 | ||||||
| 1,600 | Primo Water Corp. | 20,064 | ||||||
| 321 | Remy Cointreau SA | 51,459 | ||||||
| 1,827 | Royal Unibrew A/S | 163,416 | ||||||
| 800 | Sapporo Breweries, Ltd. | 20,617 | ||||||
| 7,000 | Takara Holdings, Inc. | 57,007 | ||||||
| 5,948 | Treasury Wine Estates, Ltd. | 44,681 | ||||||
|
|
|
|||||||
| 2,836,757 | ||||||||
|
|
|
|||||||
| Biotechnology (0.3%): | ||||||||
| 24,100 | AnGes, Inc.*^ | 18,713 | ||||||
| 86 | Argenx SE* | 33,456 | ||||||
| 418 | Basilea Pharmaceutica REG, Registered Shares* | 19,777 | ||||||
| 1,271 | Bavarian Nordic A/S* | 36,130 | ||||||
| 1,455 | BioGaia AB, B Shares | 15,657 | ||||||
| 760 | Clinuvel Pharmaceuticals, Ltd. | 9,054 | ||||||
| 931 | CSL, Ltd. | 172,242 | ||||||
| 765 | Galapagos NV* | 31,126 | ||||||
| 617 | Genmab A/S* | 234,214 | ||||||
| 2,347 | Grifols SA* | 30,099 | ||||||
| 5,747 | Knight Therapeutics, Inc.* | 21,433 | ||||||
| 6,442 | Mesoblast, Ltd.* | 4,887 | ||||||
| 1,600 | Peptidream, Inc.* | 23,916 | ||||||
| 176 | Pharma Mar SA | 5,852 | ||||||
| 9,303 | Pharming Group NV* | 10,924 | ||||||
| 4,999 | PureTech Health plc* | 13,728 | ||||||
| 2,722 | Swedish Orphan Biovitrum AB* | 53,106 | ||||||
| 2,800 | Takara Bio, Inc. | 32,183 | ||||||
| 1,652 | Vitrolife AB | 32,078 | ||||||
| 1,155 | Zealand Pharma A/S* | 41,448 | ||||||
|
|
|
|||||||
| 840,023 | ||||||||
|
|
|
|||||||
| Broadline Retail (0.8%): | ||||||||
| 1,600 | ASKUL Corp. | 22,338 | ||||||
| 29,631 | B&M European Value Retail SA | 210,001 | ||||||
| 1,900 | Belluna Co., Ltd. | 9,402 | ||||||
| 1,759 | Canadian Tire Corp., Ltd., Class A | 240,518 | ||||||
| 4,097 | Dollarama, Inc. | 277,505 | ||||||
| 6,374 | Europris ASA(a) | 42,536 | ||||||
| 24,372 | Harvey Norman Holdings, Ltd. | 56,765 | ||||||
| 4,000 | Isetan Mitsukoshi Holdings, Ltd. | 40,767 | ||||||
| 1,000 | Izumi Co., Ltd. | 23,866 | ||||||
| 9,100 | J. Front Retailing Co., Ltd. | 87,511 | ||||||
| 1,000 | Mercari, Inc.* | 23,426 | ||||||
| 30,000 | Metro Holdings, Ltd. | 13,541 | ||||||
| 47,139 | Myer Holdings, Ltd. | 18,585 | ||||||
| 1,879 | Next plc | 164,984 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Broadline Retail, continued | ||||||||
| 5,500 | Pan Pacific International Holdings Corp. | $ | 98,569 | |||||
| 3,602 | Prosus NV | 263,562 | ||||||
| 1,591 | Puuilo Oyj | 12,566 | ||||||
| 6,100 | Rakuten Group, Inc. | 21,249 | ||||||
| 6,800 | Ryohin Keikaku Co., Ltd. | 67,371 | ||||||
| 2,200 | Seria Co., Ltd. | 35,131 | ||||||
| 4,500 | Takashimaya Co., Ltd. | 62,868 | ||||||
| 24,280 | THG plc* | 25,138 | ||||||
| 2,195 | Tokmanni Group Corp. | 28,639 | ||||||
| 3,646 | Warehouse Group, Ltd. (The) | 3,947 | ||||||
| 7,709 | Wesfarmers, Ltd. | 254,166 | ||||||
| 4,000 | Wing On Company International, Ltd. | 6,636 | ||||||
|
|
|
|||||||
| 2,111,587 | ||||||||
|
|
|
|||||||
| Building Products (1.3%): | ||||||||
| 5,900 | AGC, Inc. | 212,366 | ||||||
| 2,028 | Arbonia AG | 22,996 | ||||||
| 3,060 | Assa Abloy AB, Class B | 73,479 | ||||||
| 316 | Belimo Holding AG, Class R | 157,705 | ||||||
| 2,400 | Bunka Shutter Co., Ltd. | 18,524 | ||||||
| 1,517 | Carel Industries SpA(a) | 45,747 | ||||||
| 1,800 | Central Glass Co., Ltd. | 38,738 | ||||||
| 8,839 | Cie de Saint-Gobain | 538,398 | ||||||
| 1,200 | Daikin Industries, Ltd. | 244,975 | ||||||
| 130 | dormakaba Holding AG | 58,464 | ||||||
| 14,175 | Fletcher Building, Ltd. | 47,205 | ||||||
| 534 | Geberit AG, Registered Shares | 279,655 | ||||||
| 5,784 | Genuit Group plc | 21,577 | ||||||
| 12,753 | GWA Group, Ltd. | 14,871 | ||||||
| 7,079 | Inrom Construction Industries, Ltd. | 24,502 | ||||||
| 2,938 | Inwido AB | 26,759 | ||||||
| 5,198 | James Halstead plc | 13,955 | ||||||
| 4,079 | Kingspan Group plc | 271,548 | ||||||
| 2,801 | Lindab International AB | 39,836 | ||||||
| 4,600 | Lixil Corp. | 58,427 | ||||||
| 687 | LU-VE SpA | 23,014 | ||||||
| 1,773 | Munters Group AB(a) | 20,141 | ||||||
| 2,170 | Nibe Industrier AB, Class B | 20,633 | ||||||
| 2,400 | Nichias Corp. | 50,066 | ||||||
| 1,100 | Nichiha Corp. | 23,629 | ||||||
| 4,900 | Nippon Sheet Glass Co., Ltd.* | 23,042 | ||||||
| 1,400 | Nitto Boseki Co., Ltd. | 22,388 | ||||||
| 2 | Norcros plc | 4 | ||||||
| 1,552 | Nordic Waterproofing Holding AB | 19,838 | ||||||
| 1,500 | Noritz Corp. | 18,566 | ||||||
| 1,400 | Okabe Co., Ltd. | 7,159 | ||||||
| 27,554 | Reliance Worldwide Corp., Ltd. | 75,781 | ||||||
| 324 | ROCKWOOL A/S, Class B | 83,797 | ||||||
| 238 | Rockwool International A/S, Class A | 61,283 | ||||||
| 1,900 | Sankyo Tateyama, Inc. | 9,635 | ||||||
| 7,600 | Sanwa Holdings Corp. | 99,104 | ||||||
| 47 | Schweiter Technologies AG | 33,868 | ||||||
| 700 | Sekisui Jushi Corp. | 11,159 | ||||||
| 900 | Shin Nippon Air Technologies Co., Ltd. | 14,337 | ||||||
| 1,800 | Sinko Industries, Ltd. | 26,154 | ||||||
| 3,824 | Systemair AB | 27,874 | ||||||
| 1,800 | Takara Standard Co., Ltd. | 23,032 | ||||||
| 1,400 | Takasago Thermal Engineering Co., Ltd. | 23,546 | ||||||
| 1,000 | TOTO, Ltd. | 30,165 | ||||||
| 7,093 | Tyman plc | 23,080 | ||||||
See accompanying notes to the financial statements.
7
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Building Products, continued | ||||||||
| 2,185 | Uponor Oyj | $ | 68,344 | |||||
| 3,919 | Volution Group plc | 18,836 | ||||||
| 72,000 | Xinyi Glass Holdings, Ltd. | 112,570 | ||||||
| 533 | Zehnder Group AG | 43,101 | ||||||
|
|
|
|||||||
| 3,223,873 | ||||||||
|
|
|
|||||||
| Capital Markets (2.7%): | ||||||||
| 14,575 | 3i Group plc | 361,900 | ||||||
| 24,792 | ABG Sundal Collier Holding ASA | 12,038 | ||||||
| 59,785 | abrdn plc | 165,885 | ||||||
| 3,200 | AGF Management, Ltd. | 18,988 | ||||||
| 1,600 | Aizawa Securities Co., Ltd. | 8,860 | ||||||
| 8,821 | AJ Bell plc | 35,950 | ||||||
| 143 | Alantra Partners SA | 1,561 | ||||||
| 903 | Altamir | 27,302 | ||||||
| 912 | Amundi SA(a) | 53,896 | ||||||
| 7,128 | Anima Holding SpA(a) | 26,576 | ||||||
| 13,034 | Ashmore Group plc | 34,451 | ||||||
| 1,186 | ASX, Ltd. | 49,946 | ||||||
| 2,855 | Avanza Bank Holding AB | 58,252 | ||||||
| 1,232 | Azimut Holding SpA | 26,629 | ||||||
| 1,895 | Banca Generali SpA | 65,306 | ||||||
| 521 | Bellevue Group AG | 15,504 | ||||||
| 5,672 | Bridgepoint Group plc, Registered Shares(a) | 14,582 | ||||||
| 154 | Brookfield Asset Management, Ltd. | 5,025 | ||||||
| 725 | Brookfield Asset Management, Ltd. | 23,667 | ||||||
| 7,800 | Brookfield Corp. | 262,630 | ||||||
| 614 | Brookfield Corp. | 20,661 | ||||||
| 1,962 | Bure Equity AB | 45,655 | ||||||
| 2,497 | Canaccord Genuity Group, Inc. | 15,741 | ||||||
| 6,882 | CI Financial Corp. | 78,141 | ||||||
| 120 | Cie Financiere Tradition SA | 15,904 | ||||||
| 5,668 | CMC Markets PLC(a) | 11,088 | ||||||
| 19,800 | Daiwa Securities Group, Inc. | 102,460 | ||||||
| 25,588 | Deutsche Bank AG | 268,476 | ||||||
| 5,196 | Deutsche Bank AG, Registered Shares | 54,714 | ||||||
| 552 | Deutsche Beteiligungs AG | 17,408 | ||||||
| 1,590 | Deutsche Boerse AG | 293,620 | ||||||
| 1,167 | DWS Group GmbH Co. KGaA(a) | 35,727 | ||||||
| 4,307 | EFG International AG | 43,773 | ||||||
| 170 | eQ Oyj | 3,172 | ||||||
| 853 | EQT Holdings, Ltd. | 14,729 | ||||||
| 1,799 | Euronext NV(a) | 122,353 | ||||||
| 4,000 | Fiera Capital Corp. | 19,508 | ||||||
| 3,587 | flatexDEGIRO AG* | 35,550 | ||||||
| 838 | Flow Traders, Ltd. | 18,489 | ||||||
| 10,649 | GAM Holding AG* | 6,437 | ||||||
| 2,674 | Georgia Capital plc* | 28,210 | ||||||
| 856 | Gimv NV | 40,794 | ||||||
| 2,400 | GMO Financial Holdings, Inc. | 11,689 | ||||||
| 1,175 | Guardian Capital Group, Ltd., Class A | 37,257 | ||||||
| 142,000 | Guotai Junan International Hol | 10,707 | ||||||
| 148,767 | Haitong International Securities* | 12,772 | ||||||
| 8,796 | Hargreaves Lansdown plc | 91,075 | ||||||
| 8,394 | Hong Kong Exchanges & Clearing, Ltd. | 319,228 | ||||||
| 1,131 | HUB24, Ltd. | 19,290 | ||||||
| 5,100 | iFAST Corp., Ltd. | 17,400 | ||||||
| 13,629 | IG Group Holdings plc | 117,127 | ||||||
| 1,732 | IGM Financial, Inc. | 52,734 | ||||||
| 4,298 | Impax Asset Management Group plc | 31,086 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Capital Markets, continued | ||||||||
| 26,331 | Insignia Financial, Ltd. | $ | 49,797 | |||||
| 6,881 | IntegraFin Holdings plc | 20,755 | ||||||
| 6,092 | Intermediate Capital Group plc | 106,740 | ||||||
| 19,519 | Investec plc | 109,686 | ||||||
| 49,718 | IP Group plc | 35,779 | ||||||
| 1,700 | IwaiCosmo Holdings, Inc. | 17,002 | ||||||
| 1,300 | JAFCO Group Co., Ltd. | 16,702 | ||||||
| 7,500 | Japan Exchange Group, Inc. | 131,218 | ||||||
| 6,757 | Julius Baer Group, Ltd. | 426,167 | ||||||
| 17,082 | Jupiter Fund Management plc | 23,353 | ||||||
| 800 | Kyokuto Securities Co., Ltd. | 3,555 | ||||||
| 2,122 | Liontrust Asset Management plc | 19,323 | ||||||
| 1,458 | London Stock Exchange Group plc | 154,474 | ||||||
| 500 | M&A Capital Partners Co., Ltd.* | 11,658 | ||||||
| 1,600 | Macquarie Group, Ltd. | 190,622 | ||||||
| 3,050 | Magellan Financial Group, Ltd. | 19,451 | ||||||
| 42,213 | Man Group plc | 117,078 | ||||||
| 2,300 | Marusan Securities Co., Ltd. | 7,067 | ||||||
| 1,180,000 | Mason Group Holdings, Ltd.* | 4,957 | ||||||
| 6,300 | Matsui Securities Co., Ltd. | 34,779 | ||||||
| 2,900 | Mito Securities Co., Ltd. | 6,923 | ||||||
| 3,035 | MLP SE | 18,907 | ||||||
| 5,700 | Monex Group, Inc. | 22,006 | ||||||
| 4,905 | Navigator Global Investments, Ltd. | 4,329 | ||||||
| 5,471 | Netwealth Group, Ltd. | 50,832 | ||||||
| 22,153 | Ninety One plc | 47,384 | ||||||
| 43,100 | Nomura Holdings, Inc. | 163,591 | ||||||
| 1,900 | Nordnet AB Publ | 25,485 | ||||||
| 16,464 | NZX, Ltd. | 11,752 | ||||||
| 7,300 | Okasan Securities Group, Inc. | 24,349 | ||||||
| 250 | Partners Group Holding AG | 235,464 | ||||||
| 1,598 | Perpetual, Ltd. | 27,804 | ||||||
| 4,165 | Pinnacle Investment Management Group, Ltd. | 27,923 | ||||||
| 11,593 | Platinum Asset Management, Ltd. | 13,442 | ||||||
| 2,595 | Polar Capital Holdings plc | 17,014 | ||||||
| 38,911 | Quilter plc(a) | 39,173 | ||||||
| 1,470 | Rathbones Group plc | 34,797 | ||||||
| 9,785 | Ratos AB, Class B | 27,479 | ||||||
| 1,022 | Rothschild & Co. | 51,909 | ||||||
| 3,700 | SBI Holdings, Inc. | 71,435 | ||||||
| 10,425 | Schroders plc | 57,984 | ||||||
| 20,400 | Singapore Exchange, Ltd. | 145,274 | ||||||
| 840 | Sparx Group Co., Ltd. | 8,974 | ||||||
| 700 | Sprott, Inc. | 22,666 | ||||||
| 4,077 | St James’s Place plc | 56,336 | ||||||
| 700 | Strike Co., Ltd. | 16,955 | ||||||
| 520 | Swissquote Group Holding SA, Registered Shares | 108,477 | ||||||
| 2,584 | Tamburi Investment Partners SP | 26,079 | ||||||
| 1,383 | Tikehau Capital SCA | 34,186 | ||||||
| 2,055 | TMX Group, Ltd. | 46,248 | ||||||
| 8,500 | Tokai Tokyo Financial Holdings, Inc. | 22,628 | ||||||
| 4,000 | Toyo Securities Co., Ltd. | 8,590 | ||||||
| 37,521 | TP ICAP Group plc | 72,248 | ||||||
| 192 | UBS Group AG | 3,894 | ||||||
| 22,703 | UBS Group AG | 462,033 | ||||||
| 21,420 | UOB-Kay Hian Holdings, Ltd. | 22,054 | ||||||
| 22,000 | Value Partners Group, Ltd. | 6,946 | ||||||
| 1,528 | Van Lanschot Kempen NV | 51,284 | ||||||
| 1,065 | Vontobel Holding AG, Class A | 67,716 | ||||||
See accompanying notes to the financial statements.
8
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Capital Markets, continued | ||||||||
| 245 | VP Bank AG, Class A | $ | 23,118 | |||||
| 393 | VZ Holding AG | 36,224 | ||||||
|
|
|
|||||||
| 7,003,998 | ||||||||
|
|
|
|||||||
| Chemicals (3.8%): | ||||||||
| 900 | Achilles Corp. | 9,040 | ||||||
| 1,800 | Aica Kogyo Co., Ltd. | 39,628 | ||||||
| 1,597 | Air Liquide SA | 286,286 | ||||||
| 6,800 | Air Water, Inc. | 94,516 | ||||||
| 3,279 | Akzo Nobel NV | 267,903 | ||||||
| 700 | Arakawa Chemical Industries, Ltd. | 4,864 | ||||||
| 2,166 | Arkema SA | 204,298 | ||||||
| 22,100 | Asahi Kasei Corp. | 150,032 | ||||||
| 1,100 | ASAHI YUKIZAI Corp. | 33,576 | ||||||
| 10,778 | BASF SE | 523,249 | ||||||
| 1,939 | Borregaard ASA | 28,705 | ||||||
| 400 | C Uyemura & Co., Ltd. | 22,854 | ||||||
| 52,400 | China Sunsine Chemical Holdings, Ltd. | 15,946 | ||||||
| 2,229 | Chr Hansen Holding A/S | 155,058 | ||||||
| 2,200 | Chugoku Marine Paints, Ltd. | 18,599 | ||||||
| 1,600 | CI Takiron Corp. | 6,402 | ||||||
| 4,288 | Clariant AG | 62,001 | ||||||
| 839 | Corbion NV | 20,022 | ||||||
| 5,870 | Covestro AG*(a) | 304,773 | ||||||
| 885 | Croda International plc | 63,240 | ||||||
| 1,000 | Dai Nippon Toryo Co., Ltd. | 6,397 | ||||||
| 10,500 | Daicel Corp. | 94,231 | ||||||
| 900 | Dainichiseika Color & Chemical | 13,140 | ||||||
| 3,200 | Denka Co., Ltd. | 60,498 | ||||||
| 3,300 | DIC Corp. | 60,114 | ||||||
| 2,257 | DSM-Firmenich AG* | 242,864 | ||||||
| 18,377 | Elementis plc* | 23,823 | ||||||
| 13,127 | Elkem ASA(a) | 30,390 | ||||||
| 84 | EMS-Chemie Holding AG | 63,638 | ||||||
| 8,516 | Ercros SA | 29,639 | ||||||
| 9,485 | Essentra plc | 19,534 | ||||||
| 7,616 | Evonik Industries AG | 144,751 | ||||||
| 2,541 | FUCHS PETROLUB SE | 100,383 | ||||||
| 1,150 | FUCHS PETROLUB SE | 36,823 | ||||||
| 1,500 | Fujimi, Inc. | 37,068 | ||||||
| 300 | Fujimori Kogyo Co., Ltd. | 7,493 | ||||||
| 700 | Fuso Chemical Co., Ltd. | 22,024 | ||||||
| 87 | Givaudan SA, Registered Shares | 288,698 | ||||||
| 200 | Gurit Holding AG* | 18,637 | ||||||
| 3,923 | Hexpol AB | 41,657 | ||||||
| 700 | Hodogaya Chemical Co., Ltd. | 16,819 | ||||||
| 7,397 | ICL Group, Ltd. | 40,529 | ||||||
| 78,748 | Incitec Pivot, Ltd. | 144,608 | ||||||
| 1,500 | Ishihara Sangyo Kaisha, Ltd. | 13,720 | ||||||
| 1,000 | JCU Corp. | 23,821 | ||||||
| 6,187 | Johnson Matthey plc | 137,606 | ||||||
| 700 | JSP Corp. | 9,107 | ||||||
| 1,200 | JSR Corp. | 34,502 | ||||||
| 1,900 | Kaneka Corp. | 53,332 | ||||||
| 1,300 | Kansai Paint Co., Ltd. | 19,139 | ||||||
| 3,300 | Kanto Denka Kogyo Co., Ltd. | 22,663 | ||||||
| 600 | KeePer Technical Laboratory Co., Ltd. | 20,414 | ||||||
| 1,600 | KEIWA, Inc. | 12,713 | ||||||
| 2,983 | Kemira Oyj | 47,489 | ||||||
| 1,400 | KH Neochem Co, Ltd. | 22,909 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Chemicals, continued | ||||||||
| 1,500 | Koatsu Gas Kogyo Co., Ltd. | $ | 7,824 | |||||
| 1,000 | Konishi Co., Ltd. | 15,979 | ||||||
| 3,400 | Kumiai Chemical Industry Co., Ltd. | 26,605 | ||||||
| 13,300 | Kuraray Co., Ltd. | 129,718 | ||||||
| 600 | Kureha Corp. | 34,380 | ||||||
| 2,747 | LANXESS AG | 82,707 | ||||||
| 379 | Lenzing AG* | 18,581 | ||||||
| 1,300 | Lintec Corp. | 20,579 | ||||||
| 1,300 | MEC Co., Ltd. | 32,079 | ||||||
| 929 | Methanex Corp. | 38,433 | ||||||
| 1,600 | Methanex Corp. | 66,121 | ||||||
| 42,800 | Mitsubishi Chemical Group Corp. | 258,086 | ||||||
| 4,600 | Mitsubishi Gas Chemical Co., Inc. | 67,138 | ||||||
| 6,100 | Mitsui Chemicals, Inc. | 180,292 | ||||||
| 12,400 | Nanofilm Technologies International, Ltd. | 12,442 | ||||||
| 800 | Nihon Kagaku Sangyo Co., Ltd. | 6,167 | ||||||
| 2,300 | Nihon Nohyaku Co., Ltd. | 11,470 | ||||||
| 2,600 | Nihon Parkerizing Co., Ltd. | 19,433 | ||||||
| 600 | Nippon Chemical Industrial Co., Ltd. | 7,899 | ||||||
| 3,100 | Nippon Kayaku Co., Ltd. | 26,358 | ||||||
| 2,100 | Nippon Paint Holdings Co., Ltd. | 17,362 | ||||||
| 1,400 | Nippon Pillar Packing Co., Ltd. | 45,581 | ||||||
| 3,100 | Nippon Sanso Holdings Corp. | 67,390 | ||||||
| 700 | Nippon Shokubai Co., Ltd. | 26,251 | ||||||
| 800 | Nippon Soda Co., Ltd. | 28,871 | ||||||
| 1,900 | Nissan Chemical Corp. | 81,886 | ||||||
| 2,100 | Nitto Denko Corp. | 155,679 | ||||||
| 2,100 | NOF Corp. | 90,251 | ||||||
| 2,841 | Novozymes A/S, B Shares | 132,337 | ||||||
| 16,188 | Nufarm, Ltd. | 55,304 | ||||||
| 3,137 | Nutrien, Ltd. | 185,240 | ||||||
| 6,510 | Nutrien, Ltd. | 384,378 | ||||||
| 2,984 | OCI NV | 71,629 | ||||||
| 500 | Okamoto Industries, Inc. | 13,584 | ||||||
| 600 | Okura Industrial Co., Ltd. | 9,236 | ||||||
| 14,912 | Orica, Ltd. | 147,863 | ||||||
| 900 | Osaka Organic Chemical Industry, Ltd. | 18,175 | ||||||
| 700 | Osaka Soda Co., Ltd. | 26,580 | ||||||
| 1,958 | Recticel SA | 23,288 | ||||||
| 7,800 | Resonac Holdings Corp. | 126,884 | ||||||
| 2,800 | Riken Technos Corp. | 12,773 | ||||||
| 500 | Sakai Chemical Industry Co., Ltd. | 6,512 | ||||||
| 2,400 | Sakata INX Corp. | 20,349 | ||||||
| 700 | Sanyo Chemical Industries, Ltd. | 20,679 | ||||||
| 900 | Sekisui Plastics Co., Ltd. | 2,752 | ||||||
| 1,100 | Shikoku Chemicals Corp. | 11,542 | ||||||
| 18,100 | Shin-Etsu Chemical Co., Ltd. | 601,648 | ||||||
| 1,800 | Shin-Etsu Polymer Co., Ltd. | 19,152 | ||||||
| 1,655 | Sika AG, Registered Shares | 473,500 | ||||||
| 1,125 | SOL SpA | 32,495 | ||||||
| 3,355 | Solvay SA, Class A | 375,716 | ||||||
| 400 | Stella Chemifa Corp. | 8,674 | ||||||
| 900 | Sumitomo Bakelite Co., Ltd. | 37,541 | ||||||
| 21,900 | Sumitomo Chemical Co., Ltd. | 66,670 | ||||||
| 300 | Sumitomo Seika Chemicals Co. Ltd. | 9,327 | ||||||
| 275 | Symrise AG | 28,806 | ||||||
| 13,110 | Synthomer plc | 12,130 | ||||||
| 700 | T Hasegawa Co., Ltd. | 16,810 | ||||||
| 1,200 | T&K Toka Co., Ltd. | 9,841 | ||||||
See accompanying notes to the financial statements.
9
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Chemicals, continued | ||||||||
| 1,800 | Taiyo Holdings Co., Ltd. | $ | 33,509 | |||||
| 600 | Takasago International Corp. | 11,294 | ||||||
| 2,100 | Tanaka Chemical Corp.*^ | 19,641 | ||||||
| 600 | Tayca Corp. | 5,744 | ||||||
| 6,900 | Teijin, Ltd. | 69,378 | ||||||
| 500 | Tenma Corp. | 9,111 | ||||||
| 625 | Tessenderlo Group SA | 20,468 | ||||||
| 2,400 | Toagosei Co., Ltd. | 21,575 | ||||||
| 7,500 | Tokai Carbon Co., Ltd. | 69,071 | ||||||
| 2,200 | Tokuyama Corp. | 36,417 | ||||||
| 1,000 | Tokyo Ohka Kogyo Co., Ltd. | 61,287 | ||||||
| 20,600 | Toray Industries, Inc. | 115,099 | ||||||
| 4,700 | Tosoh Corp. | 55,728 | ||||||
| 1,200 | Toyo Ink SC Holdings Co., Ltd. | 18,171 | ||||||
| 3,400 | Toyobo Co., Ltd. | 24,393 | ||||||
| 2,500 | UBE Corp. | 42,970 | ||||||
| 6,147 | Umicore SA | 171,818 | ||||||
| 700 | Valqua, Ltd. | 19,165 | ||||||
| 2,109 | Victrex plc | 37,269 | ||||||
| 657 | Wacker Chemie AG | 90,152 | ||||||
| 2,524 | Yara International ASA | 89,157 | ||||||
| 4,100 | Zeon Corp. | 39,758 | ||||||
|
|
|
|||||||
| 9,870,317 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies (1.2%): | ||||||||
| 800 | AEON Delight Co., Ltd. | 17,085 | ||||||
| 50,079 | AMA Group, Ltd.* | 3,340 | ||||||
| 1,755 | Befesa SA(a) | 67,017 | ||||||
| 896 | Bilfinger SE | 34,815 | ||||||
| 1,670 | Black Diamond Group, Ltd. | 7,628 | ||||||
| 600 | Boyd Group Services, Inc. | 114,487 | ||||||
| 20,065 | Brambles, Ltd. | 193,078 | ||||||
| 3,798 | Bravida Holding AB(a) | 36,513 | ||||||
| 200 | Calian Group, Ltd. | 9,290 | ||||||
| 1,939 | Caverion Oyj | 18,050 | ||||||
| 300 | Central Security Patrols Co., Ltd. | 5,894 | ||||||
| 338 | Cewe Stiftung & Co. KGAA | 33,629 | ||||||
| 45,478 | Cleanaway Waste Management, Ltd. | 78,694 | ||||||
| 3,808 | Coor Service Management Holding AB(a) | 18,687 | ||||||
| 2,400 | CTS Co., Ltd. | 12,333 | ||||||
| 2,500 | Dai Nippon Printing Co., Ltd. | 70,889 | ||||||
| 1,100 | Daiseki Co., Ltd. | 31,032 | ||||||
| 6,041 | De La Rue plc* | 3,660 | ||||||
| 3,731 | Derichebourg SA | 20,747 | ||||||
| 2,180 | Dexterra Group, Inc. | 9,447 | ||||||
| 262 | DO & CO AG | 35,792 | ||||||
| 25,522 | Downer EDI, Ltd. | 70,250 | ||||||
| 1,100 | Duskin Co., Ltd. | 24,588 | ||||||
| 7,916 | Elis SA | 153,869 | ||||||
| 300 | GDI Integrated Facility Services, Inc.* | 9,449 | ||||||
| 1,600 | GFL Environmental, Inc. | 62,135 | ||||||
| 435 | GL Events* | 9,368 | ||||||
| 900 | Inaba Seisakusho Co., Ltd. | 10,242 | ||||||
| 2,297 | Intrum AB^ | 14,930 | ||||||
| 1,400 | Inui Global Logistics Co., Ltd.^ | 12,708 | ||||||
| 6,544 | ISS A/S | 138,719 | ||||||
| 1,800 | Itoki Corp. | 12,544 | ||||||
| 1,900 | Japan Elevator Service Holdings Co., Ltd. | 24,969 | ||||||
| 14,225 | Johnson Service Group plc | 18,687 | ||||||
| 1,700 | Kokuyo Co., Ltd. | 23,416 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Commercial Services & Supplies, continued | ||||||||
| 400 | Kyodo Printing Co., Ltd. | $ | 8,808 | |||||
| 2,302 | Lassila & Tikanoja Oyj | 25,038 | ||||||
| 2,739 | Loomis AB | 80,012 | ||||||
| 700 | Matsuda Sangyo Co., Ltd. | 11,073 | ||||||
| 5,449 | Mears Group plc | 20,133 | ||||||
| 39,904 | Mitie Group plc | 48,974 | ||||||
| 2,000 | Mitsubishi Pencil Co., Ltd. | 23,357 | ||||||
| 1,400 | NAC Co., Ltd. | 9,332 | ||||||
| 15,900 | Nippon Parking Development Co., Ltd. | 24,830 | ||||||
| 1,600 | Okamura Corp. | 21,293 | ||||||
| 1,100 | Oyo Corp. | 15,383 | ||||||
| 3,300 | Park24 Co., Ltd.* | 44,695 | ||||||
| 1,100 | Pilot Corp. | 34,942 | ||||||
| 2,400 | Prestige International, Inc. | 10,190 | ||||||
| 22,243 | Prosegur Cash SA(a) | 14,441 | ||||||
| 13,654 | Prosegur Cia de Seguridad SA | 24,270 | ||||||
| 2,900 | RB Global, Inc. | 174,053 | ||||||
| 4,183 | Renewi plc* | 27,351 | ||||||
| 15,115 | Rentokil Initial plc | 118,040 | ||||||
| 900 | Sato Holdings Corp. | 12,217 | ||||||
| 952 | Sdiptech AB* | 23,607 | ||||||
| 95 | Seche Environnement SA | 11,732 | ||||||
| 700 | Secom Co., Ltd. | 47,404 | ||||||
| 10,316 | Securitas AB, Class B | 84,755 | ||||||
| 26,399 | Serco Group plc | 52,193 | ||||||
| 3,154 | Smart Metering Systems plc | 27,582 | ||||||
| 895 | Societe BIC SA | 51,306 | ||||||
| 11,000 | Sohgo Security Services Co., Ltd. | 62,295 | ||||||
| 4,783 | SPIE SA | 154,645 | ||||||
| 700 | Studio Alice Co., Ltd. | 10,790 | ||||||
| 1,300 | Takara & Co., Ltd. | 21,081 | ||||||
| 1,817 | Takkt AG | 27,611 | ||||||
| 3,880 | TOPPAN, INC. | 83,839 | ||||||
| 2,000 | TRE Holdings Corp. | 17,308 | ||||||
| 418 | Waste Connections, Inc. | 59,745 | ||||||
| 800 | Waste Connections, Inc. | 114,347 | ||||||
|
|
|
|||||||
| 3,006,653 | ||||||||
|
|
|
|||||||
| Communications Equipment (0.3%): | ||||||||
| 2,301 | ADTRAN Holdings, Inc. | 24,230 | ||||||
| 485 | ADVA Optical Networking SE* | 10,467 | ||||||
| 700 | Aiphone Co., Ltd. | 11,743 | ||||||
| 700 | DKK Co., Ltd. | 10,807 | ||||||
| 700 | Evertz Technologies, Ltd. | 7,266 | ||||||
| 1,320 | HMS Networks AB | 64,690 | ||||||
| 500 | Icom, Inc. | 10,101 | ||||||
| 23,787 | Nokia Oyj, ADR | 98,954 | ||||||
| 40,815 | Nokia Oyj | 171,265 | ||||||
| 10,200 | Quarterhill, Inc. | 11,358 | ||||||
| 418 | RTX A/S* | 6,626 | ||||||
| 10,363 | Spirent Communications plc | 21,551 | ||||||
| 684 | Telefonaktiebolaget LM Ericsson, Class A | 3,895 | ||||||
| 32,274 | Telefonaktiebolaget LM Ericsson, Class B | 176,088 | ||||||
| 510 | Vantiva SA | 118 | ||||||
| 5,700 | VTech Holdings, Ltd. | 37,457 | ||||||
|
|
|
|||||||
| 666,616 | ||||||||
|
|
|
|||||||
| Construction & Engineering (1.7%): | ||||||||
| 705 | Ackermans & Van Haaren NV | 116,239 | ||||||
| 4,506 | ACS Actividades de Construccion y Servicios SA | 158,415 | ||||||
| 3,353 | Aecon Group, Inc. | 31,313 | ||||||
See accompanying notes to the financial statements.
10
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Construction & Engineering, continued | ||||||||
| 1,375 | AF Gruppen ASA | $ | 17,061 | |||||
| 600 | Asanuma Corp. | 13,636 | ||||||
| 1,130 | Ashtrom Group, Ltd. | 15,713 | ||||||
| 1,410 | Badger Infrastructure Solutions, Ltd. | 28,634 | ||||||
| 16,103 | Balfour Beatty plc | 69,776 | ||||||
| 1,400 | Bird Construction, Inc. | 8,920 | ||||||
| 16,800 | Boustead Singapore, Ltd. | 10,439 | ||||||
| 4,747 | Bouygues SA | 159,416 | ||||||
| 209 | Burkhalter Holding AG | 21,506 | ||||||
| 8,000 | Central New Energy Holding Group, Ltd.* | 19,265 | ||||||
| 4,600 | Chiyoda Corp.* | 11,379 | ||||||
| 1,700 | Chudenko Corp. | 27,232 | ||||||
| 494 | Cie d’Entreprises CFE SA | 4,990 | ||||||
| 2,621 | COMSYS Holdings Corp. | 51,836 | ||||||
| 6,098 | Costain Group plc* | 3,557 | ||||||
| 500 | CTI Engineering Co., Ltd. | 12,803 | ||||||
| 500 | Dai-Dan Co., Ltd. | 9,495 | ||||||
| 900 | Daiho Corp. | 24,268 | ||||||
| 335 | Dredging Environmental Marine Engineering NV* | 45,723 | ||||||
| 3,135 | Eiffage SA | 327,341 | ||||||
| 2,783 | Elecnor SA | 39,513 | ||||||
| 44 | Electra, Ltd./Israel | 18,300 | ||||||
| 7,737 | Eltel AB*(a) | 5,316 | ||||||
| 37,002 | Empresas ICA SAB de C.V.*(b) | — | ||||||
| 3,700 | EXEO Group, Inc. | 74,438 | ||||||
| 916 | Ferrovial SE* | 28,999 | ||||||
| 2,073 | Fomento de Construcciones y Contratas SA*^ | 26,679 | ||||||
| 440 | Fudo Tetra Corp. | 5,611 | ||||||
| 4,855 | Fugro NV* | 75,507 | ||||||
| 200 | Fukuda Corp. | 6,764 | ||||||
| 4,363 | Galliford Try Holdings plc | 10,795 | ||||||
| 6,000 | Hazama Ando Corp. | 44,848 | ||||||
| 1,929 | Heijmans NV | 22,826 | ||||||
| 600 | Hibiya Engineering, Ltd. | 9,232 | ||||||
| 1,127 | HOCHTIEF AG | 97,354 | ||||||
| 783 | Implenia AG, Registered Shares | 38,049 | ||||||
| 8,136 | INFRONEER Holdings, Inc. | 76,531 | ||||||
| 5,765 | Instalco AB | 28,782 | ||||||
| 4,600 | JGC Holdings Corp. | 59,967 | ||||||
| 5,561 | Johns Lyng Group, Ltd. | 19,813 | ||||||
| 6,000 | Kajima Corp. | 90,764 | ||||||
| 3,000 | Kandenko Co., Ltd. | 24,168 | ||||||
| 3,807 | Keller Group plc | 33,836 | ||||||
| 19,638 | Kier Group plc* | 18,779 | ||||||
| 2,500 | Kinden Corp. | 33,860 | ||||||
| 15,900 | Koninklijke BAM Groep NV | 30,636 | ||||||
| 1,600 | Kumagai Gumi Co., Ltd. | 34,270 | ||||||
| 9,546 | Maire Tecnimont SpA | 36,983 | ||||||
| 31,500 | MECOM Power And Construction, Ltd. | 3,992 | ||||||
| 1,700 | Meisei Industrial Co., Ltd. | 11,670 | ||||||
| 3,300 | MIRAIT ONE corp. | 41,613 | ||||||
| 1,475 | Monadelphous Group, Ltd. | 11,578 | ||||||
| 1,922 | Morgan Sindall Group plc | 44,782 | ||||||
| 11,996 | Mota-Engil SGPS SA | 29,405 | ||||||
| 3,087 | NCC AB, Class B | 26,998 | ||||||
| 1,000 | Nichireki Co., Ltd. | 12,797 | ||||||
| 1,600 | Nippon Densetsu Kogyo Co., Ltd. | 21,958 | ||||||
| 700 | Nippon Koei Co., Ltd. | 18,145 | ||||||
| 100 | Nippon Road Co., Ltd. (The) | 6,498 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Construction & Engineering, continued | ||||||||
| 1,000 | Nishimatsu Construction Co., Ltd. | $ | 24,341 | |||||
| 20,879 | NRW Holdings, Ltd. | 35,355 | ||||||
| 9,700 | Obayashi Corp. | 84,062 | ||||||
| 41,702 | Obrascon Huarte Lain SA* | 21,250 | ||||||
| 1,100 | Okumura Corp. | 31,176 | ||||||
| 8,600 | Oriental Shiraishi Corp. | 18,456 | ||||||
| 3,037 | OX2 AB* | 20,545 | ||||||
| 5,969 | Peab AB | 23,756 | ||||||
| 8,700 | Penta-Ocean Construction Co., Ltd. | 46,875 | ||||||
| 726 | Per Aarsleff Holding A/S | 35,753 | ||||||
| 1,500 | Raito Kogyo Co., Ltd. | 20,694 | ||||||
| 2,400 | Raiznext Corp. | 24,765 | ||||||
| 2,472 | Renew Holdings plc | 23,357 | ||||||
| 9,823 | Sacyr SA | 33,602 | ||||||
| 1,900 | Sanki Engineering Co., Ltd. | 20,010 | ||||||
| 1,700 | Seikitokyu Kogyo Co., Ltd. | 16,741 | ||||||
| 40,165 | Service Stream, Ltd. | 21,639 | ||||||
| 16,220 | Severfield plc | 13,979 | ||||||
| 3,211 | Shapir Engineering And Indus | 22,164 | ||||||
| 4,869 | Shikun & Binui, Ltd.* | 10,461 | ||||||
| 6,700 | Shimizu Corp. | 42,318 | ||||||
| 1,500 | Shinnihon Corp. | 13,279 | ||||||
| 700 | SHO-BOND Holdings Co., Ltd. | 27,873 | ||||||
| 5,098 | Skanska AB, Class B | 71,551 | ||||||
| 4,101 | SNC-Lavalin Group, Inc. | 107,587 | ||||||
| 761 | Stantec, Inc. | 49,690 | ||||||
| 1,244 | Stantec, Inc. | 81,134 | ||||||
| 600 | Sumitomo Densetsu Co., Ltd. | 12,963 | ||||||
| 6,980 | Sumitomo Mitsui Construction | 17,958 | ||||||
| 3,299 | Sweco AB | 36,349 | ||||||
| 700 | Taihei Dengyo Kaisha, Ltd. | 20,756 | ||||||
| 800 | Taikisha, Ltd. | 22,812 | ||||||
| 2,000 | Taisei Corp. | 69,960 | ||||||
| 1,400 | Takamatsu Construction Group C | 25,203 | ||||||
| 400 | Tekken Corp. | 5,735 | ||||||
| 900 | TOA Corp. | 19,470 | ||||||
| 800 | TOA Road Corp. | 25,948 | ||||||
| 1,630 | Tobishima Corp. | 14,404 | ||||||
| 6,900 | Toda Corp. | 38,846 | ||||||
| 400 | Toenec Corp. | 10,007 | ||||||
| 1,000 | Tokyo Energy & Systems, Inc. | 6,788 | ||||||
| 5,100 | Tokyu Construction Co., Ltd. | 26,406 | ||||||
| 1,100 | Totetsu Kogyo Co., Ltd. | 20,482 | ||||||
| 4,300 | Toyo Construction Co., Ltd. | 32,388 | ||||||
| 2,100 | Toyo Engineering Corp.* | 8,632 | ||||||
| 5,031 | Veidekke ASA | 53,924 | ||||||
| 3,593 | Vinci SA | 417,565 | ||||||
| 900 | Wakachiku Construction Co., Ltd. | 19,882 | ||||||
| 864 | WSP Global, Inc. | 114,161 | ||||||
| 1,700 | Yahagi Construction Co., Ltd. | 14,633 | ||||||
| 1,200 | Yokogawa Bridge Holdings Corp. | 21,126 | ||||||
| 1,200 | Yurtec Corp. | 7,197 | ||||||
|
|
|
|||||||
| 4,417,021 | ||||||||
|
|
|
|||||||
| Construction Materials (0.8%): | ||||||||
| 13,883 | Adbri, Ltd. | 22,219 | ||||||
| 1,800 | Asia Pile Holdings Corp. | 7,738 | ||||||
| 8,279 | Boral, Ltd.*^ | 22,309 | ||||||
| 2,289 | Breedon Group plc | 9,477 | ||||||
| 2,976 | Brickworks, Ltd. | 53,040 | ||||||
See accompanying notes to the financial statements.
11
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Construction Materials, continued | ||||||||
| 2,616 | Buzzi SpA | $ | 65,604 | |||||
| 5,942 | CRH plc | 328,160 | ||||||
| 6,726 | CRH plc, ADR | 374,840 | ||||||
| 15,999 | CSR, Ltd. | 55,621 | ||||||
| 6,288 | Forterra PLC(a) | 12,919 | ||||||
| 1,160 | H+H International A/S, Class B* | 13,890 | ||||||
| 2,630 | Heidelberg Materials AG | 215,942 | ||||||
| 5,589 | Holcim AG | 375,868 | ||||||
| 13,005 | Ibstock plc(a) | 23,125 | ||||||
| 979 | Imerys SA | 38,161 | ||||||
| 4,832 | James Hardie Industries plc | 128,775 | ||||||
| 400 | Krosaki Harima Corp. | 24,742 | ||||||
| 600 | Maeda Kosen Co., Ltd. | 13,360 | ||||||
| 5,422 | Marshalls plc | 16,563 | ||||||
| 2,500 | Nippon Concrete Industries Co., Ltd.* | 5,710 | ||||||
| 405 | RHI Magnesita NV | 13,659 | ||||||
| 500 | Shinagawa Refractories Co., Ltd. | 18,827 | ||||||
| 123 | STO SE & Co KGaA | 20,612 | ||||||
| 1,500 | Sumitomo Osaka Cement Co., Ltd. | 39,775 | ||||||
| 3,500 | Taiheiyo Cement Corp. | 68,692 | ||||||
| 1,300 | TYK Corp. | 3,098 | ||||||
| 998 | Vicat SA | 31,704 | ||||||
| 3,665 | Wienerberger AG | 112,238 | ||||||
|
|
|
|||||||
| 2,116,668 | ||||||||
|
|
|
|||||||
| Consumer Finance (0.3%): | ||||||||
| 10,300 | ACOM Co., Ltd. | 25,037 | ||||||
| 4,300 | AEON Financial Service Co., Ltd. | 38,484 | ||||||
| 7,800 | Aiful Corp. | 18,207 | ||||||
| 8,198 | Axactor ASA* | 3,889 | ||||||
| 1,411 | Cembra Money Bank AG | 117,106 | ||||||
| 1,607 | Credit Corp. Group, Ltd. | 21,360 | ||||||
| 5,300 | Credit Saison Co., Ltd. | 81,614 | ||||||
| 18,226 | FleetPartners Group, Ltd.* | 31,410 | ||||||
| 500 | goeasy, Ltd. | 41,741 | ||||||
| 873 | Gruppo MutuiOnline SpA* | 29,384 | ||||||
| 2,616 | H&T Group plc | 14,465 | ||||||
| 5,740 | Hoist Finance AB*(a) | 14,892 | ||||||
| 17,800 | Hong Leong Finance, Ltd. | 32,936 | ||||||
| 14,415 | International Personal Finance | 20,585 | ||||||
| 8,929 | Isracard, Ltd. | 37,284 | ||||||
| 5,602 | J Trust Co., Ltd. | 16,880 | ||||||
| 900 | Jaccs Co., Ltd. | 31,543 | ||||||
| 5,600 | Marui Group Co., Ltd. | 97,934 | ||||||
| 1,520 | Orient Corp. | 11,936 | ||||||
| 213,600 | Oshidori International Holdings, Ltd.* | 6,131 | ||||||
| 2,100 | Premium Group Co., Ltd. | 25,466 | ||||||
| 4,452 | Resurs Holding AB(a) | 8,287 | ||||||
| 8,965 | Solvar, Ltd. | 9,252 | ||||||
| 38,000 | Sun Hung Kai & Co., Ltd. | 14,771 | ||||||
| 10,046 | Vanquis Banking Group plc | 24,359 | ||||||
|
|
|
|||||||
| 774,953 | ||||||||
|
|
|
|||||||
| Consumer Staples Distribution & Retail (2.1%): | ||||||||
| 702 | Acomo NV | 16,773 | ||||||
| 6,800 | Aeon Co., Ltd. | 139,212 | ||||||
| 3,600 | Aeon Hokkaido Corp. | 21,793 | ||||||
| 500 | Ain Holdings, Inc. | 17,615 | ||||||
| 5,972 | Alimentation Couche-Tard, Inc. | 306,264 | ||||||
| 1,200 | Arcs Co., Ltd. | 20,541 | ||||||
| 1,537 | Axfood AB | 32,524 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Consumer Staples Distribution & Retail, continued | ||||||||
| 800 | Axial Retailing, Inc. | $ | 20,156 | |||||
| 600 | Belc Co., Ltd. | 26,764 | ||||||
| 16,423 | Carrefour SA^ | 311,205 | ||||||
| 1,395 | Casino Guichard Perrachon SA*^ | 6,205 | ||||||
| 1,100 | Cawachi, Ltd. | 16,799 | ||||||
| 11,638 | Coles Group, Ltd. | 143,005 | ||||||
| 500 | Cosmos Pharmaceutical Corp. | 50,611 | ||||||
| 1,300 | Create SD Holdings Co., Ltd. | 32,093 | ||||||
| 500 | Daikokutenbussan Co., Ltd. | 18,537 | ||||||
| 12,300 | DFI Retail Group Holdings, Ltd. | 33,750 | ||||||
| 439 | DocMorris AG*^ | 19,141 | ||||||
| 5,851 | Empire Co., Ltd., Class A | 166,219 | ||||||
| 16,402 | Endeavour Group, Ltd. | 69,074 | ||||||
| 2,403 | Etablissements Franz Colruyt NV | 90,514 | ||||||
| 1,000 | G-7 Holdings, Inc. | 9,144 | ||||||
| 500 | Genky Drugstores Co., Ltd. | 15,319 | ||||||
| 1,093 | George Weston, Ltd. | 129,236 | ||||||
| 8,123 | GrainCorp, Ltd. | 42,565 | ||||||
| 3,300 | H2O Retailing Corp. | 33,679 | ||||||
| 500 | Halows Co., Ltd. | 13,538 | ||||||
| 1,600 | Heiwado Co., Ltd. | 23,949 | ||||||
| 4,087 | HelloFresh SE* | 101,046 | ||||||
| 10,000 | Hong Kong Technology Venture Co., Ltd. | 5,712 | ||||||
| 200 | Itochu-Shokuhin Co., Ltd. | 7,208 | ||||||
| 38,492 | J Sainsbury plc | 131,751 | ||||||
| 2,965 | Jeronimo Martins SGPS SA | 81,738 | ||||||
| 600 | JM Holdings Co., Ltd. | 8,318 | ||||||
| 600 | Kato Sangyo Co., Ltd. | 16,496 | ||||||
| 2,074 | Kesko Oyj, Class A | 39,451 | ||||||
| 9,149 | Kesko Oyj, Class B | 172,167 | ||||||
| 2,100 | Kobe Bussan Co., Ltd. | 54,290 | ||||||
| 15,019 | Koninklijke Ahold Delhaize NV | 512,246 | ||||||
| 900 | Kusuri NO Aoki Holdings Co., Ltd. | 50,778 | ||||||
| 1,000 | Lawson, Inc. | 44,427 | ||||||
| 800 | Life Corp. | 17,030 | ||||||
| 1,564 | Loblaw Cos., Ltd. | 143,199 | ||||||
| 215 | M Yochananof & Sons, Ltd. | 9,565 | ||||||
| 89,548 | Marks & Spencer Group plc* | 219,042 | ||||||
| 780 | MatsukiyoCocokara & Co. | 43,836 | ||||||
| 29,776 | Metcash, Ltd. | 74,819 | ||||||
| 4,561 | METRO AG* | 37,022 | ||||||
| 3,517 | Metro, Inc. | 198,658 | ||||||
| 600 | Ministop Co., Ltd. | 6,021 | ||||||
| 900 | Mitsubishi Shokuhin Co., Ltd. | 23,293 | ||||||
| 1,200 | Nihon Chouzai Co., Ltd. | 9,826 | ||||||
| 1,801 | North West Co., Inc. | 42,693 | ||||||
| 4,602 | Ocado Group plc* | 33,242 | ||||||
| 1,100 | Oisix ra daichi, Inc.* | 18,880 | ||||||
| 3,500 | Okuwa Co., Ltd. | 20,362 | ||||||
| 10,925 | Olam Group, Ltd. | 11,272 | ||||||
| 1,200 | Qol Holdings Co., Ltd. | 14,477 | ||||||
| 1,094 | Rallye SA* | 675 | ||||||
| 337 | Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 19,952 | ||||||
| 1,000 | Retail Partners Co., Ltd. | 11,100 | ||||||
| 600 | San-A Co., Ltd. | 18,992 | ||||||
| 9,500 | Seven & i Holdings Co., Ltd. | 410,803 | ||||||
| 28,900 | Sheng Siong Group, Ltd. | 35,057 | ||||||
| 4,880 | Shufersal, Ltd.* | 25,552 | ||||||
See accompanying notes to the financial statements.
12
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Consumer Staples Distribution & Retail, continued | ||||||||
| 1,454 | Sligro Food Group NV | $ | 25,031 | |||||
| 38,447 | Sonae SGPS SA | 37,816 | ||||||
| 1,000 | Sugi Holdings Co., Ltd. | 44,682 | ||||||
| 2,200 | Sundrug Co., Ltd. | 65,275 | ||||||
| 109,845 | Tesco plc | 347,057 | ||||||
| 1,100 | Tsuruha Holdings, Inc. | 81,977 | ||||||
| 2,100 | United Supermarkets Holdings | 16,241 | ||||||
| 2,200 | Valor Holdings Co., Ltd. | 30,601 | ||||||
| 1,400 | Watahan & Co., Ltd. | 13,320 | ||||||
| 1,400 | Welcia Holdings Co., Ltd. | 29,133 | ||||||
| 8,899 | Woolworths Group, Ltd. | 236,068 | ||||||
| 800 | YAKUODO Holdings Co., Ltd. | 14,125 | ||||||
| 700 | Yamatane Corp. | 8,388 | ||||||
| 700 | Yaoko Co., Ltd. | 35,156 | ||||||
| 2,800 | Yokorei Co., Ltd. | 22,809 | ||||||
|
|
|
|||||||
| 5,504,900 | ||||||||
|
|
|
|||||||
| Containers & Packaging (0.7%): | ||||||||
| 5,896 | Billerud AB | 44,878 | ||||||
| 4,231 | Cascades, Inc. | 37,340 | ||||||
| 2,180 | CCL Industries, Inc. | 107,173 | ||||||
| 2,123 | Corticeira Amorim SGPS SA | 22,411 | ||||||
| 49,509 | DS Smith plc | 171,476 | ||||||
| 2,100 | FP Corp. | 42,795 | ||||||
| 1,900 | Fuji Seal International, Inc. | 20,127 | ||||||
| 1,000 | Hokkan Holdings, Ltd. | 9,632 | ||||||
| 4,029 | Huhtamaki Oyj | 132,327 | ||||||
| 282 | Mayr Melnhof Karton AG | 41,279 | ||||||
| 29,583 | Orora, Ltd. | 65,266 | ||||||
| 500 | Pack Corp. (The) | 10,429 | ||||||
| 6,607 | Pact Group Holdings, Ltd. | 2,898 | ||||||
| 5,300 | Rengo Co., Ltd. | 32,713 | ||||||
| 9,671 | SIG Group AG | 267,352 | ||||||
| 9,501 | Smurfit Kappa Group plc | 317,106 | ||||||
| 500 | Taisei Lamick Co., Ltd. | 10,119 | ||||||
| 600 | Tomoku Co., Ltd. | 8,659 | ||||||
| 3,900 | Toyo Seikan Group Holdings, Ltd. | 57,608 | ||||||
| 3,570 | Transcontinental, Inc., Class A | 39,511 | ||||||
| 3,356 | Verallia SA(a) | 125,990 | ||||||
| 750 | Vetropack Holding AG | 34,804 | ||||||
| 394 | Vidrala SA | 37,172 | ||||||
| 1,500 | Winpak, Ltd. | 46,667 | ||||||
| 840 | Zignago Vetro SpA | 14,344 | ||||||
|
|
|
|||||||
| 1,700,076 | ||||||||
|
|
|
|||||||
| Distributors (0.1%): | ||||||||
| 600 | Arata Corp. | 19,635 | ||||||
| 13,299 | Bapcor, Ltd. | 52,955 | ||||||
| 1,300 | Central Automotive Products, Ltd. | 28,724 | ||||||
| 143 | D’ieteren Group | 25,286 | ||||||
| 1,000 | Doshisha Co., Ltd. | 16,132 | ||||||
| 4,313 | Headlam Group plc | 13,637 | ||||||
| 10,500 | Inchcape plc | 103,754 | ||||||
| 500 | Media Do Co., Ltd.* | 4,965 | ||||||
| 1,000 | PALTAC Corp. | 33,292 | ||||||
| 85 | Tadiran Group, Ltd. | 6,492 | ||||||
| 1,142 | Uni-Select, Inc.* | 40,564 | ||||||
|
|
|
|||||||
| 345,436 | ||||||||
|
|
|
|||||||
| Diversified Consumer Services (0.2%): | ||||||||
| 3,986 | AcadeMedia AB(a) | 18,633 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Diversified Consumer Services, continued | ||||||||
| 900 | Aucnet, Inc. | $ | 10,684 | |||||
| 2,060 | Auction Technology Group plc* | 19,557 | ||||||
| 3,500 | Benesse Holdings, Inc. | 44,765 | ||||||
| 33,000 | EC Healthcare | 17,606 | ||||||
| 44,648 | G8 Education, Ltd. | 31,000 | ||||||
| 1,700 | IBJ, Inc.^ | 7,899 | ||||||
| 2,039 | IDP Education, Ltd. | 30,144 | ||||||
| 1,407 | InvoCare, Ltd. | 11,825 | ||||||
| 1,200 | LITALICO, Inc. | 19,384 | ||||||
| 400 | Park Lawn Corp. | 7,347 | ||||||
| 2,872 | Pearson plc, ADR | 30,099 | ||||||
| 10,656 | Pearson plc | 112,281 | ||||||
| 25,000 | Perfect Medical Health Management, Ltd. | 12,427 | ||||||
| 900 | QB Net Holdings Co., Ltd. | 9,264 | ||||||
| 2,600 | Riso Kyoiku Co., Ltd. | 4,770 | ||||||
|
|
|
|||||||
| 387,685 | ||||||||
|
|
|
|||||||
| Diversified Telecommunication Services (2.2%): | ||||||||
| 900 | ARTERIA Networks Corp. | 12,328 | ||||||
| 500 | BCE, Inc. | 22,799 | ||||||
| 492 | BCE, Inc.^ | 22,430 | ||||||
| 36,338 | Bezeq The Israeli Telecommunication Corp., Ltd. | 44,523 | ||||||
| 235,035 | BT Group plc | 365,618 | ||||||
| 2,538 | Cellnex Telecom SA(a) | 102,881 | ||||||
| 9,678 | Chorus, Ltd. | 50,068 | ||||||
| 90,000 | CITIC Telecom International Holdings, Ltd. | 34,502 | ||||||
| 49,579 | Deutsche Telekom AG | 1,080,567 | ||||||
| 3,680 | Elisa Oyj | 196,538 | ||||||
| 2,209 | Gamma Communications plc | 32,059 | ||||||
| 14,874 | Helios Towers plc* | 17,616 | ||||||
| 27,500 | HKBN, Ltd. | 14,858 | ||||||
| 121,295 | HKT Trust & HKT, Ltd. | 141,277 | ||||||
| 4,964 | Infrastrutture Wireless Italiane SpA(a) | 65,536 | ||||||
| 2,700 | Internet Initiative Japan, Inc. | 50,563 | ||||||
| 85,966 | Koninklijke KPN NV | 306,860 | ||||||
| 1,449 | Liberty Global plc, Class A* | 24,430 | ||||||
| 2,495 | Liberty Global plc, Class C* | 44,336 | ||||||
| 41,300 | NETLINK NBN TRUST | 26,125 | ||||||
| 147,500 | Nippon Telegraph & Telephone Corp. | 174,790 | ||||||
| 8,252 | NOS SGPS SA | 29,361 | ||||||
| 67,969 | Orange SA | 794,910 | ||||||
| 314 | Ovzon AB* | 712 | ||||||
| 107,202 | PCCW, Ltd. | 55,621 | ||||||
| 2,714 | Proximus SADP | 20,223 | ||||||
| 4,571 | RAI Way SpA(a) | 27,496 | ||||||
| 22,500 | Singapore Telecommunications, Ltd. | 41,697 | ||||||
| 12,201 | Spark New Zealand, Ltd. | 38,124 | ||||||
| 12,209 | Superloop, Ltd.* | 4,716 | ||||||
| 696 | Swisscom AG, Registered Shares | 434,326 | ||||||
| 144,076 | Telecom Italia SpA* | 39,346 | ||||||
| 354,298 | Telecom Italia SpA* | 99,885 | ||||||
| 43,683 | Telefonica Deutschland Holding AG | 122,747 | ||||||
| 144,059 | Telefonica SA | 584,367 | ||||||
| 4,768 | Telekom Austria AG | 35,289 | ||||||
| 2,611 | Telenor ASA | 26,479 | ||||||
| 46,925 | Telia Co. AB | 102,946 | ||||||
| 36,908 | Telstra Group, Ltd. | 105,908 | ||||||
| 669 | TELUS Corp. | 13,020 | ||||||
| 11,015 | TPG Telecom, Ltd. | 35,840 | ||||||
| 7,091 | Tuas, Ltd.* | 9,929 | ||||||
See accompanying notes to the financial statements.
13
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Diversified Telecommunication Services, continued | ||||||||
| 1,767 | United Internet AG Npv | $ | 24,878 | |||||
| 1,446 | United Internet AG, Registered Shares | 20,359 | ||||||
| 900 | Usen-Next Holdings Co., Ltd. | 21,208 | ||||||
| 1,900 | Vision, Inc.* | 24,392 | ||||||
|
|
|
|||||||
| 5,544,483 | ||||||||
|
|
|
|||||||
| Electric Utilities (1.2%): | ||||||||
| 620 | Acciona SA | 105,286 | ||||||
| 524 | BKW AG | 92,588 | ||||||
| 6,100 | Chubu Electric Power Co., Inc. | 74,502 | ||||||
| 7,100 | Chugoku Electric Power Co., Inc. (The)* | 47,916 | ||||||
| 7,000 | CK Infrastructure Holdings, Ltd. | 37,055 | ||||||
| 12,564 | CLP Holdings, Ltd. | 97,796 | ||||||
| 8,510 | Contact Energy, Ltd. | 42,310 | ||||||
| 28,319 | EDP - Energias de Portugal SA | 138,604 | ||||||
| 211 | Elia Group SA/NV | 26,802 | ||||||
| 2,600 | Emera, Inc. | 107,094 | ||||||
| 4,828 | Endesa SA^ | 103,708 | ||||||
| 75,038 | Enel SpA | 505,429 | ||||||
| 240 | Energiedienst Holding AG, Registered Shares | 10,454 | ||||||
| 1,538 | EVN AG | 34,062 | ||||||
| 2,970 | Fortis, Inc. | 128,006 | ||||||
| 1,708 | Fortis, Inc. | 73,598 | ||||||
| 6,018 | Fortum Oyj | 80,583 | ||||||
| 16,682 | Genesis Energy, Ltd. | 27,978 | ||||||
| 64,500 | HK Electric Investments & HK Electric Investments, Ltd. | 38,616 | ||||||
| 7,700 | Hokkaido Electric Power Co., Inc.* | 31,723 | ||||||
| 3,500 | Hokuriku Electric Power Co.* | 18,871 | ||||||
| 3,200 | Hydro One, Ltd.(a) | 91,439 | ||||||
| 22,664 | Iberdrola SA | 296,006 | ||||||
| 6,924 | Infratil, Ltd. | 43,172 | ||||||
| 6,700 | Kansai Electric Power Co., Inc. (The) | 84,186 | ||||||
| 7,200 | Kyushu Electric Power Co., Inc.* | 45,908 | ||||||
| 1,800 | Okinawa Electric Power Co., Inc. (The)* | 14,372 | ||||||
| 24,174 | Origin Energy, Ltd. | 135,104 | ||||||
| 744 | Orsted AS(a) | 70,302 | ||||||
| 12,000 | Power Assets Holdings, Ltd. | 62,945 | ||||||
| 5,809 | Red Electrica Corp. SA^ | 97,542 | ||||||
| 275 | Romande Energie Holding SA | 16,322 | ||||||
| 3,300 | Shikoku Electric Power Co., Inc.* | 22,468 | ||||||
| 5,596 | SSE plc | 131,077 | ||||||
| 13,299 | Terna - Rete Elettrica Nazionale | 113,270 | ||||||
| 8,300 | Tohoku Electric Power Co., Inc.* | 51,365 | ||||||
| 14,400 | Tokyo Electric Power Co. Holdings, Inc.* | 52,820 | ||||||
| 667 | Verbund AG, Class A | 53,564 | ||||||
|
|
|
|||||||
| 3,204,843 | ||||||||
|
|
|
|||||||
| Electrical Equipment (1.2%): | ||||||||
| 13,248 | ABB, Ltd., Registered Shares | 521,432 | ||||||
| 3,582 | Accelleron Industries AG | 85,706 | ||||||
| 138 | Alfen Beheer B.V.*(a) | 9,282 | ||||||
| 6,056 | Ballard Power Systems, Inc.* | 26,517 | ||||||
| 600 | Chiyoda Integre Co., Ltd. | 10,060 | ||||||
| 700 | Daihen Corp. | 27,123 | ||||||
| 1,300 | Denyo Co., Ltd. | 18,669 | ||||||
| 947 | DiscoverIE Group plc | 10,101 | ||||||
| 123 | Energiekontor AG | 9,411 | ||||||
| 5,261 | Fagerhult AB | 33,371 | ||||||
| 1,900 | Fuji Electric Co., Ltd. | 83,735 | ||||||
| 3,300 | Fujikura, Ltd. | 27,732 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Electrical Equipment, continued | ||||||||
| 2,400 | Furukawa Electric Co., Ltd. (The) | $ | 42,522 | |||||
| 1,200 | Futaba Corp. | 4,020 | ||||||
| 485 | GARO AB | 2,827 | ||||||
| 38 | Gavazzi Carlo Holding AG | 16,004 | ||||||
| 1,600 | GS Yuasa Corp. | 31,432 | ||||||
| 3,993 | Hexatronic Group AB | 29,809 | ||||||
| 400 | Hirakawa Hewtech Corp. | 4,432 | ||||||
| 751 | Huber & Suhner AG, Registered Shares | 61,922 | ||||||
| 1,600 | Idec Corp./Japan | 36,957 | ||||||
| 2,504 | Legrand SA | 248,377 | ||||||
| 1,600 | Mabuchi Motor Co., Ltd. | 44,651 | ||||||
| 892 | Mersen | 40,437 | ||||||
| 8,600 | Mitsubishi Electric Corp. | 120,866 | ||||||
| 15,831 | NEL ASA* | 18,588 | ||||||
| 971 | Nexans SA | 84,255 | ||||||
| 3,400 | NIDEC CORP. | 186,904 | ||||||
| 500 | Nippon Carbon Co., Ltd. | 15,115 | ||||||
| 1,500 | Nitto Kogyo Corp. | 37,234 | ||||||
| 446 | NKT A/S*^ | 27,037 | ||||||
| 1,787 | NKT A/S*^ | 108,328 | ||||||
| 2,825 | Nordex Se* | 34,298 | ||||||
| 17 | Phoenix Mecano AG, Registered Shares | 7,257 | ||||||
| 2,550 | PNE AG | 39,393 | ||||||
| 2,276 | Prysmian SpA | 95,319 | ||||||
| 400 | Sanyo Denki Co., Ltd. | 21,582 | ||||||
| 1,661 | Schneider Electric SE | 302,717 | ||||||
| 200 | SEC Carbon, Ltd. | 14,754 | ||||||
| 2,150 | SGL Carbon SE* | 19,778 | ||||||
| 3,210 | Siemens Energy AG* | 56,657 | ||||||
| 5,778 | Signify NV(a) | 162,004 | ||||||
| 1,000 | Sinfonia Technology Co., Ltd. | 12,000 | ||||||
| 1,500 | SWCC Corp. | 20,054 | ||||||
| 900 | Takaoka Toko Co., Ltd. | 13,475 | ||||||
| 1,055 | Tera Light, Ltd.* | 1,511 | ||||||
| 1,412 | TKH Group NV | 70,034 | ||||||
| 600 | Toyo Tanso Co., Ltd. | 21,517 | ||||||
| 3,400 | Ushio, Inc. | 45,928 | ||||||
| 140 | Varta AG*^ | 2,869 | ||||||
| 7,197 | Vestas Wind Systems A/S* | 191,245 | ||||||
| 4,213 | Volex plc | 15,218 | ||||||
|
|
|
|||||||
| 3,172,466 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components (1.8%): | ||||||||
| 2,100 | A&D HOLON Holdings Co., Ltd. | 26,236 | ||||||
| 600 | Ai Holdings Corp. | 9,688 | ||||||
| 5,560 | Alps Alpine Co., Ltd. | 48,514 | ||||||
| 247 | ALSO Holding AG, Registered Shares | 53,234 | ||||||
| 1,800 | Amano Corp. | 38,027 | ||||||
| 3,300 | Anritsu Corp. | 28,002 | ||||||
| 1,200 | Arisawa Manufacturing Co., Ltd. | 9,275 | ||||||
| 883 | Austria Technologie & Systemte | 31,704 | ||||||
| 1,100 | Azbil Corp. | 34,812 | ||||||
| 868 | Barco N.V. | 21,650 | ||||||
| 675 | Basler AG | 12,594 | ||||||
| 900 | Canon Electronics, Inc. | 12,667 | ||||||
| 1,300 | Canon Marketing Japan, Inc. | 32,410 | ||||||
| 4,904 | Celestica, Inc.* | 71,194 | ||||||
| 157 | Cicor Technologies, Ltd., Registered Shares* | 7,545 | ||||||
| 5,800 | Citizen Watch Co., Ltd. | 35,027 | ||||||
| 3,400 | CMK Corp. | 13,206 | ||||||
See accompanying notes to the financial statements.
14
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Electronic Equipment, Instruments & Components, continued | ||||||||
| 3,981 | Codan, Ltd./Australia | $ | 21,400 | |||||
| 339 | Comet Holding AG, Class R | 86,559 | ||||||
| 19,000 | Cowell e Holdings, Inc.* | 35,223 | ||||||
| 2,800 | Dexerials Corp. | 61,499 | ||||||
| 4,918 | Dicker Data, Ltd. | 26,924 | ||||||
| 4,443 | Dustin Group AB*(a) | 12,332 | ||||||
| 1,100 | Elematec Corp. | 14,006 | ||||||
| 2,721 | Esprinet SpA | 16,553 | ||||||
| 9,777 | Fingerprint Cards AB* | 1,669 | ||||||
| 113,000 | FIT Hon Teng, Ltd.*(a) | 20,109 | ||||||
| 2,100 | Furuno Electric Co., Ltd. | 15,547 | ||||||
| 400 | Hagiwara Electric Co., Ltd. | 9,494 | ||||||
| 500 | Hakuto Co., Ltd. | 19,401 | ||||||
| 2,389 | Halma plc | 69,142 | ||||||
| 2,100 | Hamamatsu Photonics KK | 103,099 | ||||||
| 8,681 | Hexagon AB, Class B | 106,928 | ||||||
| 500 | Hioki EE Corp. | 32,623 | ||||||
| 300 | Hirose Electric Co., Ltd. | 39,934 | ||||||
| 1,200 | Hochiki Corp. | 14,967 | ||||||
| 1,300 | Horiba, Ltd. | 74,691 | ||||||
| 2,600 | Hosiden Corp. | 32,646 | ||||||
| 2,000 | Ibiden Co., Ltd. | 113,424 | ||||||
| 1,122 | Incap Oyj* | 12,343 | ||||||
| 76 | Inficon Holding AG, Registered Shares | 91,707 | ||||||
| 400 | I-PEX, Inc. | 3,746 | ||||||
| 300 | Iriso Electronics Co., Ltd. | 8,743 | ||||||
| 2,300 | Japan Aviation Electronics Industry, Ltd. | 48,186 | ||||||
| 1,100 | Japan Cash Machine Co., Ltd. | 9,051 | ||||||
| 1,027 | Jenoptik AG | 35,254 | ||||||
| 1,000 | Kaga Electronics Co., Ltd. | 44,600 | ||||||
| 800 | Keyence Corp. | 378,374 | ||||||
| 1,422 | Kitron ASA | 5,769 | ||||||
| 1,200 | Koa Corp. | 15,093 | ||||||
| 2,100 | Kyocera Corp. | 114,160 | ||||||
| 3,500 | Kyosan Electric Manufacturing Co., Ltd. | 12,216 | ||||||
| 5,339 | Lagercrantz Group AB, B Shares | 68,882 | ||||||
| 527 | Landis+Gyr Group AG | 45,245 | ||||||
| 24 | Lem Holding SA, Registered Shares | 60,081 | ||||||
| 900 | Macnica Holdings, Inc. | 37,576 | ||||||
| 400 | Maruwa Co., Ltd./Aichi | 62,073 | ||||||
| 1,900 | Maxell Holdings, Ltd. | 21,161 | ||||||
| 900 | Meiko Electronics Co., Ltd. | 17,036 | ||||||
| 978 | Micronic Mydata AB | 24,250 | ||||||
| 2,414 | Midwich Group plc | 13,443 | ||||||
| 5,000 | Murata Manufacturing Co., Ltd. | 286,929 | ||||||
| 6,697 | NCAB Group AB | 52,194 | ||||||
| 267 | Nederland Apparatenfabriek | 16,960 | ||||||
| 2,800 | Nichicon Corp. | 29,896 | ||||||
| 2,200 | Nihon Dempa Kogyo Co., Ltd. | 19,918 | ||||||
| 600 | Nippon Chemi-Con Corp.* | 5,251 | ||||||
| 3,400 | Nippon Electric Glass Co., Ltd. | 59,944 | ||||||
| 3,400 | Nippon Signal Co., Ltd. | 25,406 | ||||||
| 1,800 | Nissha Co., Ltd. | 21,113 | ||||||
| 600 | Nohmi Bosai, Ltd. | 7,547 | ||||||
| 685 | Note AB* | 14,429 | ||||||
| 21,631 | Novonix, Ltd.*^ | 14,376 | ||||||
| 3,600 | Oki Electric Industry Co., Ltd. | 22,557 | ||||||
| 1,200 | Omron Corp. | 73,518 | ||||||
| 1,200 | Optex Group Co., Ltd. | 16,924 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Electronic Equipment, Instruments & Components, continued | ||||||||
| 3,000 | Osaki Electric Co., Ltd. | $ | 11,465 | |||||
| 1,467 | Oxford Instruments plc | 50,881 | ||||||
| 3,149 | Pricer AB | 2,085 | ||||||
| 324 | Renishaw plc | 16,052 | ||||||
| 1,100 | Restar Holdings Corp. | 18,750 | ||||||
| 600 | Riken Keiki Co., Ltd. | 24,108 | ||||||
| 1,400 | RYODEN CORP. | 21,480 | ||||||
| 1,100 | Ryosan Co., Ltd. | 33,515 | ||||||
| 1,800 | Satori Electric Co., Ltd. | 21,245 | ||||||
| 315 | Sensirion Holding AG*(a) | 34,505 | ||||||
| 221 | Sesa SpA | 27,582 | ||||||
| 400 | Shibaura Electronics Co., Ltd. | 18,495 | ||||||
| 2,300 | Shimadzu Corp. | 71,213 | ||||||
| 1,200 | Shinko Shoji Co., Ltd. | 9,852 | ||||||
| 2,000 | Siix Corp. | 21,919 | ||||||
| 3,256 | Softwareone Holding AG | 64,726 | ||||||
| 1,453 | Spectris plc | 66,324 | ||||||
| 6,120 | Strix Group plc | 7,976 | ||||||
| 2,000 | Sumida Corp. | 20,415 | ||||||
| 700 | Suzuden Corp. | 10,872 | ||||||
| 700 | Tachibana Eletech Co., Ltd. | 14,473 | ||||||
| 3,900 | Taiyo Yuden Co., Ltd. | 111,572 | ||||||
| 2,500 | Tamura Corp. | 11,648 | ||||||
| 7,100 | TDK Corp. | 274,949 | ||||||
| 245 | Telsys, Ltd. | 16,364 | ||||||
| 400 | Tokyo Electron Device, Ltd. | 29,510 | ||||||
| 4,300 | Topcon Corp. | 62,937 | ||||||
| 1,300 | Toyo Corp. | 13,018 | ||||||
| 7,103 | TT Electronics plc | 14,225 | ||||||
| 100 | V Technology Co., Ltd. | 1,689 | ||||||
| 312 | Vaisala Oyj, Class A | 14,349 | ||||||
| 7,600 | Venture Corp., Ltd. | 83,027 | ||||||
| 44,000 | VSTECS Holdings, Ltd. | 22,695 | ||||||
| 2,200 | Yokogawa Electric Corp. | 40,378 | ||||||
| 1,100 | Yokowo Co., Ltd. | 14,228 | ||||||
|
|
|
|||||||
| 4,488,428 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services (0.4%): | ||||||||
| 7,314 | Akastor ASA* | 7,539 | ||||||
| 5,393 | Aker Solutions ASA | 19,528 | ||||||
| 4,735 | Borr Drilling, Ltd.* | 35,655 | ||||||
| 2,991 | BW Offshore, Ltd. | 7,304 | ||||||
| 3,100 | Calfrac Well Services, Ltd.* | 8,987 | ||||||
| 5,874 | CES Energy Solutions Corp. | 11,619 | ||||||
| 29,491 | CGG SA* | 22,412 | ||||||
| 4,726 | Computer Modelling Group, Ltd. | 23,762 | ||||||
| 6,058 | Enerflex, Ltd. | 41,253 | ||||||
| 8,606 | Ensign Energy Services, Inc.* | 12,279 | ||||||
| 106,730 | Ezion Holdings, Ltd.*(b) | — | ||||||
| 6,704 | Hunting plc | 16,968 | ||||||
| 18,612 | John Wood Group plc* | 32,044 | ||||||
| 15,579 | MMA Offshore, Ltd.* | 11,964 | ||||||
| 1,000 | Modec, Inc.* | 9,727 | ||||||
| 679 | Noble Corp. plc* | 27,640 | ||||||
| 2,400 | North American Construction Group, Ltd. | 45,931 | ||||||
| 7,269 | Odfjell Drilling, Ltd.* | 17,518 | ||||||
| 1,211 | Odfjell Technology, Ltd. | 5,008 | ||||||
| 4,150 | Pason Systems, Inc. | 35,998 | ||||||
| 7,745 | Petrofac, Ltd.*^ | 7,801 | ||||||
| 21,614 | PGS ASA* | 12,011 | ||||||
See accompanying notes to the financial statements.
15
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Energy Equipment & Services, continued | ||||||||
| 518 | Precision Drilling Corp.* | $ | 25,290 | |||||
| 6,132 | SBM Offshore NV | 84,104 | ||||||
| 174 | Schoeller-Blackman Oilfield Equipment AG | 10,087 | ||||||
| 4,677 | Secure Energy Services, Inc. | 22,386 | ||||||
| 3,900 | Shawcor, Ltd.* | 56,413 | ||||||
| 10,677 | Shelf Drilling, Ltd.*(a) | 19,595 | ||||||
| 1,890 | Subsea 7 SA | 23,521 | ||||||
| 6,127 | Technip Energies NV | 141,043 | ||||||
| 2,437 | Tecnicas Reunidas SA* | 22,187 | ||||||
| 1,822 | Tenaris SA, ADR | 54,569 | ||||||
| 1,938 | Tenaris SA | 28,997 | ||||||
| 2,965 | TGS ASA | 44,063 | ||||||
| 900 | Total Energy Services, Inc. | 5,972 | ||||||
| 400 | Toyo Kanetsu KK | 9,506 | ||||||
| 13,311 | Trican Well Service, Inc. | 35,473 | ||||||
| 6,232 | Vallourec SA* | 73,564 | ||||||
| 5,378 | Worley, Ltd. | 56,888 | ||||||
|
|
|
|||||||
| 1,126,606 | ||||||||
|
|
|
|||||||
| Entertainment (0.7%): | ||||||||
| 800 | Akatsuki, Inc. | 11,357 | ||||||
| 996 | Alma Media Oyj | 10,025 | ||||||
| 14,475 | Arnoldo Mondadori Editore SpA | 31,666 | ||||||
| 900 | Avex, Inc. | 9,458 | ||||||
| 1,951 | Bloomsbury Publishing plc | 10,801 | ||||||
| 9,790 | Bollore SE | 61,003 | ||||||
| 2,427 | Borussia Dortmund GMBH & Co. KGaA* | 11,556 | ||||||
| 2,600 | Capcom Co., Ltd. | 103,056 | ||||||
| 4,900 | COLOPL, Inc. | 22,185 | ||||||
| 2,362 | CTS Eventim AG & Co. KGaA | 149,153 | ||||||
| 1,800 | Daiichikosho Co., Ltd. | 31,755 | ||||||
| 1,900 | DeNA Co., Ltd. | 24,739 | ||||||
| 4,217 | Embracer Group AB* | 10,559 | ||||||
| 5,146 | EVT, Ltd. | 40,435 | ||||||
| 649 | G5 Entertainment AB | 12,016 | ||||||
| 2,300 | Gakken Holdings Co., Ltd. | 13,833 | ||||||
| 1,590 | GungHo Online Entertainment, Inc. | 31,270 | ||||||
| 38,000 | IGG, Inc.* | 18,833 | ||||||
| 1,600 | Kadokawa Corp. | 38,377 | ||||||
| 11,007 | Kahoot! ASA* | 30,118 | ||||||
| 400 | Kinepolis Group NV | 18,020 | ||||||
| 1,800 | Koei Tecmo Holdings Co., Ltd. | 31,136 | ||||||
| 1,300 | Konami Group Corp. | 68,132 | ||||||
| 3,270 | Modern Times Group MTG AB, Class B* | 20,865 | ||||||
| 1,100 | Nexon Co., Ltd. | 21,080 | ||||||
| 7,700 | Nintendo Co., Ltd. | 350,292 | ||||||
| 1,300 | Proto Corp. | 10,302 | ||||||
| 12,118 | Reach plc | 10,246 | ||||||
| 1,686 | Rovio Entertainment Oyj(a) | 16,792 | ||||||
| 3,469 | Sanoma Oyj | 25,128 | ||||||
| 1,693 | Schibsted ASA, Class A | 29,705 | ||||||
| 2,626 | Schibsted ASA, Class B | 43,593 | ||||||
| 800 | Square Enix Holdings Co., Ltd. | 37,254 | ||||||
| 21,268 | Stillfront Group AB* | 35,655 | ||||||
| 510 | Technicolor Creative Studios SA* | 19 | ||||||
| 100 | Toei Animation Co., Ltd. | 9,249 | ||||||
| 200 | Toei Co., Ltd. | 25,521 | ||||||
| 600 | Toho Co., Ltd. | 22,829 | ||||||
| 232 | TX Group AG | 27,748 | ||||||
| 2,585 | Ubisoft Entertainment SA* | 73,061 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Entertainment, continued | ||||||||
| 6,855 | Universal Music Group NV | $ | 152,287 | |||||
| 700 | UUUM, Inc.* | 3,523 | ||||||
| 5,570 | WildBrain, Ltd.* | 6,686 | ||||||
| 700 | Zenrin Co., Ltd. | 4,492 | ||||||
|
|
|
|||||||
| 1,715,810 | ||||||||
|
|
|
|||||||
| Financial Services (1.0%): | ||||||||
| 1,439 | ABC arbitrage | 9,344 | ||||||
| 75,136 | AMP, Ltd. | 56,784 | ||||||
| 543 | Aruhi Corp. | 3,736 | ||||||
| 9,449 | Australian Finance Group, Ltd. | 11,300 | ||||||
| 1,684 | Banca IFIS SpA | 27,006 | ||||||
| 4,561 | Banca Mediolanum SpA | 41,348 | ||||||
| 1,622 | BFF Bank SpA(a) | 17,779 | ||||||
| 4,759 | Burford Capital, Ltd. | 58,107 | ||||||
| 17,310 | Challenger, Ltd. | 75,163 | ||||||
| 6,016 | Deutsche Pfandbriefbank AG^(a) | 44,013 | ||||||
| 2,280 | doValue SpA(a) | 10,545 | ||||||
| 5,800 | ECN Capital Corp. | 11,691 | ||||||
| 2,398 | Edenred | 160,557 | ||||||
| 800 | eGuarantee, Inc. | 10,688 | ||||||
| 12,359 | Element Fleet Management Corp. | 188,287 | ||||||
| 5,345 | EML Payments, Ltd.* | 2,238 | ||||||
| 1,164 | Eurazeo SE | 81,930 | ||||||
| 1,100 | Firm Capital Mortgage Investment Corp. | 8,479 | ||||||
| 900 | First National Financial Corp. | 25,799 | ||||||
| 700 | Fuyo General Lease Co., Ltd. | 53,924 | ||||||
| 200 | GMO Financial Gate, Inc. | 16,150 | ||||||
| 400 | GMO Payment Gateway, Inc. | 31,231 | ||||||
| 1,440 | GRENKE AG | 41,944 | ||||||
| 20,600 | G-Resources Group, Ltd. | 5,024 | ||||||
| 16,190 | Helia Group, Ltd. | 37,391 | ||||||
| 2,112 | Home Capital Group, Inc. | 68,737 | ||||||
| 88 | Hypoport SE* | 16,081 | ||||||
| 757 | Illimity Bank SpA | 5,256 | ||||||
| 800 | Japan Investment Adviser Co., Ltd. | 6,178 | ||||||
| 4,600 | Japan Securities Finance Co., Ltd. | 35,843 | ||||||
| 41,181 | M&G plc | 100,237 | ||||||
| 24,420 | Mitsubishi HC Capital, Inc. | 145,522 | ||||||
| 1,000 | Mizuho Leasing Co., Ltd. | 32,756 | ||||||
| 900 | NEC Capital Solutions, Ltd. | 20,163 | ||||||
| 1,200 | Nuvei Corp.*(a) | 35,440 | ||||||
| 16,085 | OFX Group, Ltd.* | 21,350 | ||||||
| 7,289 | Omni Bridgeway, Ltd.* | 12,723 | ||||||
| 2,947 | Onex Corp. | 162,790 | ||||||
| 12,100 | ORIX Corp. | 221,315 | ||||||
| 14,873 | OSB Group plc | 91,070 | ||||||
| 10,066 | Paragon Banking Group plc | 68,129 | ||||||
| 2,696 | PayPoint plc | 16,547 | ||||||
| 4,194 | Plus500, Ltd. | 78,027 | ||||||
| 1,100 | Ricoh Leasing Co., Ltd. | 32,230 | ||||||
| 16,000 | Shandong Hi-Speed Holdings Group, Ltd.* | 11,899 | ||||||
| 3,600 | Timbercreek Financial Corp. | 20,248 | ||||||
| 1,100 | Tokyo Century Corp. | 39,785 | ||||||
| 5,213 | Worldline SA*(a) | 190,777 | ||||||
| 1,600 | Zenkoku Hosho Co., Ltd. | 55,687 | ||||||
|
|
|
|||||||
| 2,519,248 | ||||||||
|
|
|
|||||||
| Food Products (2.7%): | ||||||||
| 9,302 | a2 Milk Co, Ltd. (The)* | 30,491 | ||||||
| 1,441 | AAK AB | 27,121 | ||||||
See accompanying notes to the financial statements.
16
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Food Products, continued | ||||||||
| 364 | Agrana Beteiligungs AG | $ | 6,889 | |||||
| 2,200 | Ajinomoto Co., Inc. | 87,603 | ||||||
| 42,791 | Aryzta AG* | 71,124 | ||||||
| 3,966 | Associated British Foods plc | 100,580 | ||||||
| 772 | Atria Oyj | 8,945 | ||||||
| 2,327 | Austevoll Seafood ASA | 16,085 | ||||||
| 9,834 | Australian Agricultural Co., Ltd.* | 9,605 | ||||||
| 556 | Bakkafrost P/F | 33,279 | ||||||
| 55 | Barry Callebaut AG, Registered Shares | 106,201 | ||||||
| 8,561 | Bega Cheese, Ltd. | 16,325 | ||||||
| 125 | Bell Food Group AG | 35,568 | ||||||
| 854 | Bonduelle S.C.A. | 10,351 | ||||||
| 1,500 | Calbee, Inc. | 28,418 | ||||||
| 1 | Chocoladefabriken Lindt & Spruengli AG | 124,093 | ||||||
| 800 | Chubu Shiryo Co., Ltd. | 5,876 | ||||||
| 12,278 | Cloetta AB | 22,344 | ||||||
| 22,633 | Costa Group Holdings, Ltd. | 41,254 | ||||||
| 1,566 | Cranswick plc | 64,567 | ||||||
| 2,881 | Danone SA | 176,522 | ||||||
| 1,700 | Delfi, Ltd. | 1,626 | ||||||
| 500 | DyDo Group Holdings, Inc. | 17,505 | ||||||
| 2,372 | Ebro Foods SA | 41,828 | ||||||
| 8,471 | Elders, Ltd. | 37,346 | ||||||
| 71 | Emmi AG | 68,468 | ||||||
| 1,200 | Ezaki Glico Co., Ltd. | 31,419 | ||||||
| 108,669 | First Pacific Co., Ltd. | 37,711 | ||||||
| 27,100 | First Resources, Ltd. | 27,959 | ||||||
| 1,616 | Forfarmers NV | 4,855 | ||||||
| 9,500 | Fraser & Neave, Ltd. | 7,567 | ||||||
| 1,700 | Fuji Oil Holdings, Inc. | 23,544 | ||||||
| 1,600 | Fujicco Co., Ltd. | 20,941 | ||||||
| 5,629 | Glanbia plc | 84,206 | ||||||
| 289,700 | Golden Agri-Resources, Ltd. | 52,819 | ||||||
| 17,127 | Greencore Group plc* | 15,897 | ||||||
| 1,502 | Grieg Seafood ASA | 9,405 | ||||||
| 1,100 | High Liner Foods, Inc. | 11,551 | ||||||
| 1,923 | Hilton Food Group plc | 15,236 | ||||||
| 800 | Hokuto Corp. | 10,181 | ||||||
| 1,800 | House Foods Group, Inc. | 40,108 | ||||||
| 15,498 | Inghams Group, Ltd. | 27,188 | ||||||
| 4,700 | Itoham Yonekyu Holdings, Inc. | 23,654 | ||||||
| 300 | Iwatsuka Confectionery Co., Ltd. | 10,755 | ||||||
| 1,642 | JDE Peet’s NV | 48,840 | ||||||
| 600 | J-Oil Mills, Inc. | 6,677 | ||||||
| 1,300 | Kagome Co., Ltd. | 28,482 | ||||||
| 800 | Kakiyasu Honten Co., Ltd. | 12,908 | ||||||
| 400 | Kameda Seika Co., Ltd. | 12,025 | ||||||
| 700 | Kenko Mayonnaise Co., Ltd. | 6,442 | ||||||
| 532 | Kerry Group plc, Class A | 51,903 | ||||||
| 1,800 | Kewpie Corp. | 29,440 | ||||||
| 1,600 | Kikkoman Corp. | 90,298 | ||||||
| 400 | Kotobuki Spirits Co., Ltd. | 29,349 | ||||||
| 363 | KWS Saat SE | 22,297 | ||||||
| 500 | Kyokuyo Co., Ltd. | 12,561 | ||||||
| 147 | Lassonde Industries, Inc., Class A | 11,604 | ||||||
| 7,030 | Leroy Seafood Group ASA | 26,685 | ||||||
| 19 | Lotus Bakeries | 150,711 | ||||||
| 2,349 | Maple Leaf Foods, Inc. | 45,895 | ||||||
| 1,200 | Marudai Food Co., Ltd. | 12,397 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Food Products, continued | ||||||||
| 2,100 | Maruha Nichiro Corp. | $ | 35,374 | |||||
| 1,700 | Megmilk Snow Brand Co., Ltd. | 23,066 | ||||||
| 41 | Mehadrin, Ltd.* | 1,393 | ||||||
| 3,200 | MEIJI Holdings Co., Ltd. | 71,494 | ||||||
| 800 | Mitsui Sugar Co., Ltd. | 15,335 | ||||||
| 1,300 | Morinaga & Co., Ltd. | 40,717 | ||||||
| 1,100 | Morinaga Milk Industry Co., Ltd. | 36,042 | ||||||
| 3,804 | Mowi ASA | 60,394 | ||||||
| 23,835 | Nestle SA, Registered Shares | 2,868,740 | ||||||
| 389 | Neto Malinda Trading, Ltd.* | 7,089 | ||||||
| 2,400 | NH Foods, Ltd. | 64,994 | ||||||
| 3,000 | Nichirei Corp. | 64,115 | ||||||
| 1,200 | Nippn Corp. | 15,369 | ||||||
| 800 | Nippon Beet Sugar Manufacturing Co., Ltd. | 10,369 | ||||||
| 1,200 | Nisshin Oillio Group, Ltd. (The) | 28,564 | ||||||
| 4,600 | Nisshin Seifun Group, Inc. | 56,852 | ||||||
| 10,000 | Nissin Foods Co., Ltd. | 8,562 | ||||||
| 300 | Nissin Foods Holdings Co., Ltd. | 24,782 | ||||||
| 9,800 | Nissui Corp. | 44,029 | ||||||
| 326 | Orior AG | 27,871 | ||||||
| 4,786 | Orkla ASA, Class A | 34,384 | ||||||
| 30,027 | Premier Foods plc | 48,640 | ||||||
| 1,005 | Premium Brands Holdings Corp. | 79,309 | ||||||
| 1,300 | Prima Meat Packers, Ltd. | 19,616 | ||||||
| 8,255 | Raisio Oyj, Class V | 18,443 | ||||||
| 11,830 | Ridley Corp., Ltd. | 15,801 | ||||||
| 1,300 | Riken Vitamin Co., Ltd. | 19,336 | ||||||
| 4,400 | Rogers Sugar, Inc. | 19,167 | ||||||
| 600 | S Foods, Inc. | 13,133 | ||||||
| 482 | Salmar ASA | 19,450 | ||||||
| 2,346 | Sanford, Ltd. | 5,891 | ||||||
| 1,456 | Saputo, Inc. | 32,624 | ||||||
| 127 | Savencia SA | 8,067 | ||||||
| 3,496 | Scales Corp., Ltd. | 6,768 | ||||||
| 3,767 | Scandi Standard AB | 17,861 | ||||||
| 476 | Schouw & Co. | 37,623 | ||||||
| 2,919 | Select Harvests, Ltd. | 8,085 | ||||||
| 800 | Showa Sangyo Co., Ltd. | 14,906 | ||||||
| 306 | Sipef NV | 18,930 | ||||||
| 114 | Societe LDC SA | 14,432 | ||||||
| 600 | Starzen Co., Ltd. | 9,535 | ||||||
| 847 | Strauss Group, Ltd.* | 19,103 | ||||||
| 3,278 | Suedzucker AG | 58,398 | ||||||
| 2,839 | Synlait Milk, Ltd.* | 2,911 | ||||||
| 9,481 | Tate & Lyle plc | 87,537 | ||||||
| 700 | Toyo Suisan Kaisha, Ltd. | 31,579 | ||||||
| 580 | UIE plc | 15,391 | ||||||
| 13,688 | United Malt Grp, Ltd.* | 40,155 | ||||||
| 217 | Vilmorin & Cie SA | 14,821 | ||||||
| 1,506 | Viscofan SA | 104,011 | ||||||
| 18,000 | Vitasoy International Holdings, Ltd. | 22,458 | ||||||
| 400 | Warabeya Nichiyo Holdings Co., Ltd. | 6,179 | ||||||
| 285,415 | WH Group, Ltd.(a) | 151,684 | ||||||
| 56,400 | Wilmar International, Ltd. | 158,863 | ||||||
| 1,300 | Yamazaki Baking Co., Ltd. | 17,604 | ||||||
|
|
|
|||||||
| 6,941,370 | ||||||||
|
|
|
|||||||
| Gas Utilities (0.4%): | ||||||||
| 3,784 | AltaGas, Ltd. | 67,990 | ||||||
| 11,063 | APA Group | 71,555 | ||||||
See accompanying notes to the financial statements.
17
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Gas Utilities, continued | ||||||||
| 6,095 | Ascopiave SpA | $ | 15,691 | |||||
| 1,871 | Brookfield Infrastructure Corp., Class A | 85,329 | ||||||
| 7,172 | Enagas SA | 140,906 | ||||||
| 154,850 | Hong Kong & China Gas Co., Ltd. | 133,928 | ||||||
| 11,019 | Italgas SpA | 65,260 | ||||||
| 800 | K&O Energy Group, Inc. | 12,614 | ||||||
| 88,854 | Keppel Infrastructure Trust | 33,524 | ||||||
| 2,211 | Naturgy Energy Group SA | 65,852 | ||||||
| 4,400 | Nippon Gas Co., Ltd. | 61,681 | ||||||
| 3,600 | Osaka Gas Co., Ltd. | 55,230 | ||||||
| 2,476 | Rubis SCA | 60,126 | ||||||
| 1,300 | Saibu Gas Co., Ltd. | 18,747 | ||||||
| 1,300 | Shizuoka Gas Co. Ltd. | 10,597 | ||||||
| 6,089 | Snam SpA | 31,818 | ||||||
| 3,450 | Superior Plus Corp. | 24,717 | ||||||
| 2,300 | Toho Gas Co., Ltd. | 39,907 | ||||||
| 3,700 | Tokyo Gas Co., Ltd. | 80,845 | ||||||
|
|
|
|||||||
| 1,076,317 | ||||||||
|
|
|
|||||||
| Ground Transportation (1.0%): | ||||||||
| 6,379 | ALD SA(a) | 68,377 | ||||||
| 74,632 | Aurizon Holdings, Ltd. | 195,416 | ||||||
| 1,200 | Canadian National Railway Co. | 145,330 | ||||||
| 1,849 | Canadian National Railway Co. | 223,858 | ||||||
| 700 | Canadian Pacific Kansas City, Ltd. | 56,545 | ||||||
| 724 | Canadian Pacific Kansas City, Ltd. | 58,478 | ||||||
| 700 | Central Japan Railway Co. | 87,794 | ||||||
| 1,200 | Chilled & Frozen Logistics Holdings Co., Ltd. | 10,558 | ||||||
| 66,700 | ComfortDelGro Corp., Ltd. | 57,317 | ||||||
| 1,500 | East Japan Railway Co. | 83,192 | ||||||
| 33,074 | FirstGroup plc | 61,423 | ||||||
| 1,200 | Fukuyama Transporting Co., Ltd. | 33,489 | ||||||
| 3,400 | Hankyu Hanshin Holdings, Inc. | 112,628 | ||||||
| 1,100 | Ichinen Holdings Co., Ltd. | 10,362 | ||||||
| 206 | Jungfraubahn Holding AG, Registered Shares | 34,576 | ||||||
| 4,900 | Keikyu Corp. | 43,243 | ||||||
| 700 | Keio Corp. | 22,013 | ||||||
| 1,200 | Keisei Electric Railway Co., Ltd. | 49,741 | ||||||
| 1,783 | Kelsian Group, Ltd. | 8,675 | ||||||
| 1,700 | Kintetsu Group Holdings Co., Ltd. | 58,910 | ||||||
| 2,400 | Kyushu Railway Co. | 51,563 | ||||||
| 400 | Maruzen Showa Unyu Co., Ltd. | 10,940 | ||||||
| 7,711 | MTR Corp., Ltd. | 35,494 | ||||||
| 3,900 | Mullen Group, Ltd. | 44,694 | ||||||
| 3,800 | Nagoya Railroad Co., Ltd. | 61,117 | ||||||
| 1,600 | Nankai Electric Railway Co., Ltd. | 35,767 | ||||||
| 13,705 | National Express Group plc | 16,931 | ||||||
| 2,200 | Nikkon Holdings Co., Ltd. | 44,011 | ||||||
| 1,300 | Nishi-Nippon Railroad Co., Ltd. | 22,140 | ||||||
| 588 | NTG Nordic Transport Group A/S* | 37,178 | ||||||
| 2,300 | Odakyu Electric Railway Co., Ltd. | 30,828 | ||||||
| 6,796 | Redde Northgate plc | 32,387 | ||||||
| 500 | Sakai Moving Service Co., Ltd. | 17,390 | ||||||
| 700 | Sanyo Electric Railway Co., Ltd. | 10,654 | ||||||
| 3,900 | Seibu Holdings, Inc. | 40,198 | ||||||
| 3,100 | Seino Holdings Co., Ltd. | 44,163 | ||||||
| 628 | Sixt SE | 75,236 | ||||||
| 762 | Sixt SE | 59,613 | ||||||
| 1,000 | Sotetsu Holdings, Inc. | 17,646 | ||||||
| 278 | Stef S.A. | 32,997 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Ground Transportation, continued | ||||||||
| 1,198 | TFI International, Inc. | $ | 136,505 | |||||
| 1,600 | Tobu Railway Co., Ltd. | 42,935 | ||||||
| 3,913 | Tourism Holdings, Ltd.* | 9,292 | ||||||
| 15,330 | Transport International Holdings, Ltd. | 19,391 | ||||||
| 2,100 | West Japan Railway Co. | 87,405 | ||||||
|
|
|
|||||||
| 2,438,400 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies (1.5%): | ||||||||
| 6,242 | Advanced Medical Solutions Group plc | 17,925 | ||||||
| 5,450 | Alcon, Inc. | 452,943 | ||||||
| 1,228 | Alcon, Inc. | 100,831 | ||||||
| 4,955 | Ambu A/S, Class B* | 81,064 | ||||||
| 4,791 | Ansell, Ltd. | 85,673 | ||||||
| 8,347 | Arjo AB, Class B | 30,275 | ||||||
| 2,500 | Asahi Intecc Co., Ltd. | 49,161 | ||||||
| 937 | BioMerieux | 98,328 | ||||||
| 362 | Carl Zeiss Meditec AG | 39,139 | ||||||
| 246 | Cellavision AB | 4,190 | ||||||
| 464 | Cochlear, Ltd. | 70,984 | ||||||
| 1,011 | Coloplast A/S, Class B | 126,421 | ||||||
| 251 | Coltene Holding AG, Registered Shares | 19,859 | ||||||
| 24,634 | ConvaTec Group plc(a) | 64,228 | ||||||
| 3,130 | Demant A/S* | 132,468 | ||||||
| 72 | DiaSorin SpA | 7,493 | ||||||
| 238 | Draegerwerk AG & Co. KGaA | 9,764 | ||||||
| 509 | Draegerwerk AG & Co. KGaA | 24,185 | ||||||
| 458 | Eckert & Ziegler Strahlen- und Medizintechnik AG | 18,183 | ||||||
| 1,600 | Eiken Chemical Co., Ltd. | 17,151 | ||||||
| 1,278 | El.En. SpA | 15,345 | ||||||
| 4,663 | Elekta AB, Class B | 36,077 | ||||||
| 1,332 | EssilorLuxottica SA | 252,054 | ||||||
| 2,109 | Fisher & Paykel Healthcare Corp., Ltd. | 31,686 | ||||||
| 600 | Fukuda Denshi Co., Ltd. | 19,543 | ||||||
| 2,575 | Getinge AB, Class B | 45,152 | ||||||
| 405 | Guerbet | 7,521 | ||||||
| 800 | Hogy Medical Co., Ltd. | 17,688 | ||||||
| 2,500 | Hoya Corp. | 298,254 | ||||||
| 537 | Ion Beam Applications | 8,957 | ||||||
| 2,000 | Japan Lifeline Co., Ltd. | 14,362 | ||||||
| 2,000 | Jeol, Ltd. | 71,320 | ||||||
| 2,156 | Koninklijke Philips Electronics NV, NYS* | 46,764 | ||||||
| 9,832 | Koninklijke Philips NV* | 212,747 | ||||||
| 700 | Mani, Inc. | 8,302 | ||||||
| 276 | Medacta Group SA(a) | 37,682 | ||||||
| 849 | Medmix AG(a) | 22,458 | ||||||
| 2,700 | Menicon Co., Ltd. | 47,287 | ||||||
| 10 | Metall Zug AG, Registered Shares | 18,325 | ||||||
| 2,400 | Nakanishi, Inc. | 53,242 | ||||||
| 6,757 | Nanosonics, Ltd.* | 21,506 | ||||||
| 1,100 | Nihon Kohden Corp. | 29,403 | ||||||
| 7,100 | Nipro Corp. | 50,370 | ||||||
| 9,100 | Olympus Corp. | 144,058 | ||||||
| 1,800 | Paramount Bed Holdings Co., Ltd. | 30,025 | ||||||
| 2,100 | PHC Holdings Corp. | 22,564 | ||||||
| 457 | Revenio Group Oyj | 15,822 | ||||||
| 16,500 | Riverstone Holdings, Ltd. | 7,588 | ||||||
| 645 | Siemens Healthineers AG(a) | 36,502 | ||||||
| 1,168 | Smith & Nephew plc, ADR | 37,668 | ||||||
| 4,212 | Smith & Nephew plc | 67,953 | ||||||
| 765 | Sonova Holding AG | 203,850 | ||||||
See accompanying notes to the financial statements.
18
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Health Care Equipment & Supplies, continued | ||||||||
| 360 | STRATEC SE | $ | 24,917 | |||||
| 1,038 | Straumann Holding AG, Class R | 168,608 | ||||||
| 1,300 | Sysmex Corp. | 88,873 | ||||||
| 1,500 | Terumo Corp. | 47,711 | ||||||
| 85 | Ypsomed Holding AG, Registered Shares | 25,641 | ||||||
|
|
|
|||||||
| 3,738,090 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services (0.8%): | ||||||||
| 5,100 | Alfresa Holdings Corp. | 76,381 | ||||||
| 5,205 | Ambea AB(a) | 16,936 | ||||||
| 2,348 | Amplifon SpA | 86,168 | ||||||
| 400 | Amvis Holdings, Inc. | 9,104 | ||||||
| 400 | Andlauer Healthcare Group, Inc. | 13,438 | ||||||
| 19,284 | Arvida Group, Ltd. | 14,947 | ||||||
| 500 | As One Corp. | 19,827 | ||||||
| 6,164 | Attendo AB*(a) | 18,068 | ||||||
| 700 | BML, Inc. | 14,107 | ||||||
| 2,704 | Clariane SE^ | 19,673 | ||||||
| 20,000 | C-Mer Eye Care Holdings, Ltd.* | 9,667 | ||||||
| 1,805 | CVS Group plc | 45,356 | ||||||
| 1,280 | EBOS Group, Ltd. | 28,952 | ||||||
| 1,000 | Elan Corp. | 6,088 | ||||||
| 15,612 | Estia Health, Ltd. | 30,841 | ||||||
| 4,012 | Extendicare, Inc. | 21,596 | ||||||
| 3,722 | Fagron | 62,644 | ||||||
| 1,400 | France Bed Holdings Co., Ltd. | 11,258 | ||||||
| 3,870 | Fresenius Medical Care AG & Co., KGaA | 184,808 | ||||||
| 5,433 | Fresenius SE & Co. KGaA | 150,371 | ||||||
| 1,738 | Galenica AG(a) | 140,420 | ||||||
| 1,900 | H.U. Group Holdings, Inc. | 36,331 | ||||||
| 20,914 | Healius, Ltd. | 44,461 | ||||||
| 2,572 | Humana AB* | 5,295 | ||||||
| 4,771 | Integral Diagnostics, Ltd. | 10,421 | ||||||
| 1,000 | Japan Medical Dynamic Marketing, Inc. | 7,085 | ||||||
| 225 | LNA Sante SA | 7,070 | ||||||
| 3,204 | Medical Facilities Corp. | 20,052 | ||||||
| 1,044 | Medicover AB, Class B | 15,850 | ||||||
| 778 | Medios AG* | 13,247 | ||||||
| 4,700 | Medipal Holdings Corp. | 76,894 | ||||||
| 3,565 | Mediterranean Towers, Ltd. | 7,786 | ||||||
| 24,681 | Monash IVF Group, Ltd. | 18,894 | ||||||
| 1,110 | NMC Health plc*(b) | — | ||||||
| 11,023 | Novolog, Ltd. | 5,347 | ||||||
| 23,114 | Oceania Healthcare, Ltd. | 10,918 | ||||||
| 6,310 | Oriola Oyj, Class B | 8,861 | ||||||
| 26,115 | Raffles Medical Group, Ltd. | 26,306 | ||||||
| 2,704 | Ramsay Health Care, Ltd. | 101,692 | ||||||
| 7,784 | Regis Healthcare, Ltd. | 11,511 | ||||||
| 3,870 | Ryman Healthcare, Ltd. | 15,697 | ||||||
| 2,100 | Ship Healthcare Holdings, Inc. | 34,678 | ||||||
| 59,044 | Sigma Healthcare, Ltd. | 33,191 | ||||||
| 1,900 | Solasto Corp. | 8,804 | ||||||
| 11,422 | Sonic Healthcare, Ltd. | 271,619 | ||||||
| 8,887 | Spire Healthcare Group plc(a) | 23,996 | ||||||
| 6,836 | Summerset Group Holdings, Ltd. | 40,264 | ||||||
| 1,500 | Suzuken Co., Ltd. | 40,864 | ||||||
| 558 | Synlab AG | 5,510 | ||||||
| 2,544 | Terveystalo Oyj(a) | 22,954 | ||||||
| 176,600 | Thomson Medical Group, Ltd. | 7,733 | ||||||
| 1,800 | Toho Holdings Co., Ltd. | 33,144 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Health Care Providers & Services, continued | ||||||||
| 500 | Tokai Corp./Gifu | $ | 6,572 | |||||
| 1,400 | Value HR Co., Ltd. | 14,084 | ||||||
| 2,100 | Viemed Healthcare, Inc.* | 20,562 | ||||||
| 2,800 | Vital KSK Holdings, Inc. | 17,357 | ||||||
| 4,200 | Well Health Technologies Corp.* | 15,061 | ||||||
|
|
|
|||||||
| 2,020,761 | ||||||||
|
|
|
|||||||
| Health Care Technology (0.1%): | ||||||||
| 7,980 | AGFA-Gevaert NV* | 19,587 | ||||||
| 1,026 | Ascom Holding AG, Registered Shares | 12,520 | ||||||
| 2,600 | Carenet, Inc. | 17,043 | ||||||
| 857 | CompuGroup Medical SE & Co KgaA | 42,153 | ||||||
| 2,389 | EMIS Group plc | 41,576 | ||||||
| 3,300 | M3, Inc. | 71,351 | ||||||
| 1,200 | Medical Data Vision Co., Ltd. | 6,086 | ||||||
| 700 | MedPeer, Inc.* | 4,926 | ||||||
| 330 | Nexus AG | 20,345 | ||||||
| 800 | Nnit A/S*(a) | 9,374 | ||||||
| 94 | Pharmagest Interactive | 8,686 | ||||||
| 1,266 | Pro Medicus, Ltd. | 55,739 | ||||||
| 1,213 | Raysearch Laboratories AB* | 7,122 | ||||||
| 1,382 | Sectra AB* | 23,179 | ||||||
|
|
|
|||||||
| 339,687 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure (1.8%): | ||||||||
| 2,190 | 888 Holdings plc* | 2,729 | ||||||
| 4,410 | Accor SA | 163,973 | ||||||
| 600 | AEON Fantasy Co., Ltd. | 13,340 | ||||||
| 1,000 | Airtrip Corp. | 19,508 | ||||||
| 1,000 | Arcland Service Holdings Co., Ltd. | 20,286 | ||||||
| 23,206 | Ardent Leisure Group, Ltd. | 6,955 | ||||||
| 5,808 | Aristocrat Leisure, Ltd. | 150,361 | ||||||
| 1,638 | Basic-Fit NV*(a) | 62,542 | ||||||
| 5,465 | Betsson AB, Class B* | 58,233 | ||||||
| 20,000 | Cafe de Coral Holdings, Ltd. | 25,727 | ||||||
| 1,533 | Carnival plc, ADR* | 25,984 | ||||||
| 72,000 | Century City International Holdings, Ltd.* | 2,671 | ||||||
| 970 | Cie des Alpes | 14,654 | ||||||
| 4,935 | Collins Foods, Ltd. | 32,548 | ||||||
| 2,700 | Colowide Co., Ltd. | 38,277 | ||||||
| 4,207 | Compass Group plc | 117,664 | ||||||
| 3,168 | Corporate Travel Management, Ltd. | 38,019 | ||||||
| 6,000 | Create Restaurants Holdings, Inc. | 40,743 | ||||||
| 2,300 | Curves Holdings Co., Ltd. | 12,019 | ||||||
| 7,977 | Dalata Hotel Group plc* | 40,356 | ||||||
| 23,538 | Deliveroo plc*(a) | 34,233 | ||||||
| 2,374 | Delivery Hero SE*(a) | 104,644 | ||||||
| 1,190 | Domino’s Pizza Enterprises, Ltd. | 36,819 | ||||||
| 10,911 | Domino’s Pizza Group plc | 38,280 | ||||||
| 1,600 | Doutor Nichires Holdings Co., Ltd. | 23,428 | ||||||
| 2,462 | eDreams ODIGEO SA* | 17,643 | ||||||
| 4,906 | Elior Group SA*(a) | 14,052 | ||||||
| 3,720 | Entain plc | 60,404 | ||||||
| 695 | Evolution AB(a) | 88,102 | ||||||
| 6,500 | Fairwood Holdings, Ltd. | 9,508 | ||||||
| 289 | Fattal Holdings 1998, Ltd.* | 28,175 | ||||||
| 1,933 | Flight Centre Travel Group, Ltd.* | 24,628 | ||||||
| 2,837 | Flutter Entertainment plc* | 569,735 | ||||||
| 2,800 | Food & Life Cos., Ltd. | 54,705 | ||||||
| 12,200 | Fosun Tourism Group*(a) | 11,546 | ||||||
| 900 | Fuji Kyuko Co., Ltd. | 34,613 | ||||||
See accompanying notes to the financial statements.
19
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Hotels, Restaurants & Leisure, continued | ||||||||
| 557 | Fuller Smith & Turner plc, Class A | $ | 4,229 | |||||
| 4,000 | Galaxy Entertainment Group, Ltd.* | 25,530 | ||||||
| 200 | Genki Sushi Co., Ltd. | 4,680 | ||||||
| 40,200 | Genting Singapore, Ltd. | 27,902 | ||||||
| 4,574 | Greggs plc | 148,355 | ||||||
| 581 | Gym Group plc (The)*(a) | 673 | ||||||
| 1,200 | Heiwa Corp. | 20,902 | ||||||
| 2,921 | Hollywood Bowl Group plc | 9,266 | ||||||
| 18,230 | Hongkong & Shanghai Hotels (The)* | 16,090 | ||||||
| 982 | InterContinental Hotels Group plc, ADR | 69,182 | ||||||
| 412 | InterContinental Hotels Group plc | 28,447 | ||||||
| 2,484 | JD Wetherspoon plc* | 21,237 | ||||||
| 868 | Jumbo Interactive, Ltd. | 8,276 | ||||||
| 2,383 | Just Eat Takeaway.com NV*(a) | 36,608 | ||||||
| 1,100 | KFC Holdings Japan, Ltd. | 21,695 | ||||||
| 5,582 | Kindred Group plc | 59,488 | ||||||
| 1,700 | KOMEDA Holdings Co, Ltd. | 32,024 | ||||||
| 3,200 | Koshidaka Holdings Co., Ltd. | 26,872 | ||||||
| 1,400 | Kyoritsu Maintenance Co., Ltd. | 53,281 | ||||||
| 2,747 | La Francaise des Jeux SAEM(a) | 108,147 | ||||||
| 30,112 | Lottery Corp., Ltd. (The) | 103,255 | ||||||
| 33,812 | Marston’s plc* | 12,623 | ||||||
| 1,100 | McDonald’s Holdings Co., Ltd. | 42,785 | ||||||
| 6,149 | Melia Hotels International SA* | 42,709 | ||||||
| 14,000 | Miramar Hotel & Investment | 20,673 | ||||||
| 11,969 | Mitchells & Butlers plc* | 31,019 | ||||||
| 1,200 | Monogatari Corp. (The) | 29,114 | ||||||
| 613 | MTY Food Group, Inc. | 28,040 | ||||||
| 46,867 | NagaCorp, Ltd. | 24,812 | ||||||
| 300 | Ohsho Food Service Corp. | 13,960 | ||||||
| 5,176 | On The Beach Group plc*(a) | 6,337 | ||||||
| 2,000 | Oriental Land Co., Ltd. | 78,090 | ||||||
| 2,702 | Pandox AB | 31,527 | ||||||
| 900 | Pizza Pizza Royalty Corp. | 10,063 | ||||||
| 6,439 | Playtech plc* | 48,240 | ||||||
| 600 | Pollard Banknote, Ltd. | 11,687 | ||||||
| 12,439 | Rank Group plc* | 13,982 | ||||||
| 1,500 | Resorttrust, Inc. | 22,218 | ||||||
| 2,449 | Restaurant Brands International, Inc.^ | 189,896 | ||||||
| 3,018 | Restaurant Brands New Zealand, Ltd. | 11,584 | ||||||
| 19,755 | Restaurant Group plc (The)* | 9,551 | ||||||
| 9,100 | Round One Corp. | 36,144 | ||||||
| 10,188 | Sands China, Ltd.* | 34,870 | ||||||
| 5,463 | Scandic Hotels Group AB*(a) | 22,138 | ||||||
| 36,000 | Shangri-La Asia, Ltd.* | 27,562 | ||||||
| 42,585 | SJM Holdings, Ltd.* | 18,263 | ||||||
| 1,360 | SkiStar AB | 14,562 | ||||||
| 29,451 | SKYCITY Entertainment Group, Ltd. | 41,211 | ||||||
| 6,400 | Skylark Holdings Co., Ltd.* | 80,032 | ||||||
| 2,061 | Sodexo SA | 226,945 | ||||||
| 27,285 | SSP Group plc* | 86,933 | ||||||
| 1,200 | St Marc Holdings Co., Ltd. | 15,724 | ||||||
| 52,261 | Star Entertainment Group, Ltd. (The)* | 40,393 | ||||||
| 91,665 | Tabcorp Holdings, Ltd. | 68,099 | ||||||
| 137 | Tivoli A/S | 15,383 | ||||||
| 800 | Tokyotokeiba Co., Ltd. | 21,884 | ||||||
| 1,400 | Toridoll Holding Corp. | 30,529 | ||||||
| 6,237 | TUI AG* | 44,315 | ||||||
| 6,523 | Webjet, Ltd.* | 30,162 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Hotels, Restaurants & Leisure, continued | ||||||||
| 4,231 | Whitbread plc | $ | 182,044 | |||||
| 1,900 | Yoshinoya Holdings Co., Ltd. | 33,707 | ||||||
| 1,308 | Young & Co.‘s Brewery plc, Class A | 19,932 | ||||||
| 1,515 | Young & Co’s Brewery plc | 15,636 | ||||||
| 187 | Zeal Network SE | 7,039 | ||||||
| 1,000 | Zensho Holdings Co., Ltd. | 44,487 | ||||||
|
|
|
|||||||
| 4,700,147 | ||||||||
|
|
|
|||||||
| Household Durables (1.5%): | ||||||||
| 2,091 | Ariston Holding NV | 22,124 | ||||||
| 5,875 | Azorim-Investment Development & Construction Co., Ltd.* | 17,926 | ||||||
| 4,812 | Bang & Olufsen A/S* | 7,454 | ||||||
| 29,695 | Barratt Developments plc | 155,866 | ||||||
| 5,441 | Bellway plc | 137,694 | ||||||
| 2,266 | Berkeley Group Holdings plc | 112,849 | ||||||
| 1,566 | Bigben Interactive | 9,105 | ||||||
| 3,728 | Bonava AB, B Shares | 6,278 | ||||||
| 3,251 | Breville Group, Ltd. | 43,543 | ||||||
| 27,975 | Cairn Home plc | 35,395 | ||||||
| 2,500 | Casio Computer Co., Ltd. | 20,305 | ||||||
| 600 | Chofu Seisakusho Co., Ltd. | 10,441 | ||||||
| 6,556 | Crest Nicholson Holdings plc | 15,714 | ||||||
| 1,076 | De’ Longhi SpA | 23,548 | ||||||
| 1,000 | Dorel Industries, Inc., Class B* | 3,465 | ||||||
| 2,152 | Duni AB | 21,177 | ||||||
| 3,176 | Electrolux AB, Class B | 43,422 | ||||||
| 1,200 | ES-Con Japan, Ltd. | 6,886 | ||||||
| 2,053 | Fiskars OYJ Abp | 34,671 | ||||||
| 44 | Forbo Holding AG, Registered Shares | 63,162 | ||||||
| 1,600 | Fuji Corp., Ltd. | 7,530 | ||||||
| 900 | Fujitsu General, Ltd. | 19,611 | ||||||
| 25,820 | Glenveagh Properties plc*(a) | 31,543 | ||||||
| 3,261 | GN Store Nord A/S* | 81,492 | ||||||
| 9,000 | Haseko Corp. | 111,123 | ||||||
| 2,710 | Henry Boot plc | 7,227 | ||||||
| 700 | Hoosiers Holdings | 4,879 | ||||||
| 2,100 | Iida Group Holdings Co., Ltd. | 35,543 | ||||||
| 1,084 | JM AB | 14,464 | ||||||
| 10,600 | JVCKenwood Corp. | 36,507 | ||||||
| 958 | Kaufman & Broad SA | 28,346 | ||||||
| 700 | Ki-Star Real Estate Co., Ltd. | 24,138 | ||||||
| 1,300 | LEC, Inc. | 7,834 | ||||||
| 540 | Leifheit AG | 11,415 | ||||||
| 43,200 | Man Wah Holdings, Ltd. | 28,952 | ||||||
| 1,659 | Maytronics, Ltd. | 22,765 | ||||||
| 704 | Nacon SA* | 1,522 | ||||||
| 1,363 | Neinor Homes SA(a) | 13,727 | ||||||
| 9,000 | Nikon Corp. | 116,973 | ||||||
| 5,576 | Nobia AB* | 7,082 | ||||||
| 1,700 | Open House Group Co., Ltd. | 61,333 | ||||||
| 33,700 | Panasonic Holdings Corp. | 412,867 | ||||||
| 7,242 | Persimmon plc | 94,398 | ||||||
| 1,200 | Pressance Corp. | 16,925 | ||||||
| 12,387 | Redrow plc | 69,417 | ||||||
| 1,800 | Rinnai Corp. | 39,231 | ||||||
| 567 | Sabaf SpA* | 8,838 | ||||||
| 1,300 | Sangetsu Corp. | 22,503 | ||||||
| 908 | SEB SA | 93,871 | ||||||
| 9,500 | Sekisui Chemical Co., Ltd. | 137,434 | ||||||
See accompanying notes to the financial statements.
20
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Household Durables, continued | ||||||||
| 900 | Sekisui House, Ltd. | $ | 18,214 | |||||
| 5,800 | Sharp Corp. | 32,325 | ||||||
| 12,200 | Sony Group Corp. | 1,094,425 | ||||||
| 4,900 | Sumitomo Forestry Co., Ltd. | 119,159 | ||||||
| 328 | Surteco Group SE | 6,907 | ||||||
| 1,100 | Tama Home Co., Ltd. | 25,215 | ||||||
| 1,100 | Tamron Co., Ltd. | 30,861 | ||||||
| 105,935 | Taylor Wimpey plc | 138,351 | ||||||
| 805 | The Vitec Group plc | 7,085 | ||||||
| 1,000 | TOA Corp. | 6,427 | ||||||
| 400 | Token Corp. | 20,704 | ||||||
| 1,912 | Victoria plc* | 14,306 | ||||||
| 8,359 | Vistry Group plc | 70,334 | ||||||
| 100 | V-ZUG Holding AG* | 7,990 | ||||||
| 3,849 | YIT Oyj | 8,978 | ||||||
|
|
|
|||||||
| 3,961,796 | ||||||||
|
|
|
|||||||
| Household Products (0.2%): | ||||||||
| 636 | Essity AB, Class A | 16,900 | ||||||
| 2,319 | Essity AB, Class B | 61,747 | ||||||
| 1,173 | Henkel AG & Co. KGaA | 82,552 | ||||||
| 3,900 | Lion Corp. | 36,360 | ||||||
| 14,255 | Mcbride plc* | 4,795 | ||||||
| 3,400 | Pigeon Corp. | 46,910 | ||||||
| 3,475 | Reckitt Benckiser Group plc | 260,931 | ||||||
| 1,900 | Unicharm Corp. | 70,404 | ||||||
|
|
|
|||||||
| 580,599 | ||||||||
|
|
|
|||||||
| Independent Power and Renewable Electricity Producers (0.4%): |
||||||||
| 2,302 | 7C Solarparken AG | 9,357 | ||||||
| 1,551 | Boralex, Inc., Class A | 42,235 | ||||||
| 2,600 | Capital Power Corp. | 82,636 | ||||||
| 7,088 | Cloudberry Clean Energy ASA* | 8,465 | ||||||
| 1,098 | Corp ACCIONA Energias Renovables SA | 36,734 | ||||||
| 13,417 | Drax Group plc | 98,840 | ||||||
| 1,563 | EDP Renovaveis SA | 31,303 | ||||||
| 1,700 | EF-ON, Inc. | 6,690 | ||||||
| 2,700 | Electric Power Development Co., Ltd. | 39,691 | ||||||
| 1,707 | Encavis AG* | 27,980 | ||||||
| 2,646 | Energix-Renewable Energies, Ltd. | 8,594 | ||||||
| 949 | Enlight Renewable Energy, Ltd.* | 16,750 | ||||||
| 1,000 | eRex Co., Ltd. | 7,879 | ||||||
| 881 | Greenvolt-Energias Renovaveis SA* | 5,881 | ||||||
| 596 | Grenergy Renovables SA* | 18,330 | ||||||
| 2,055 | Innergex Renewable Energy, Inc. | 19,145 | ||||||
| 690 | Kenon Holdings, Ltd. | 16,235 | ||||||
| 8,484 | Meridian Energy, Ltd. | 29,224 | ||||||
| 1,175 | Neoen SA(a) | 37,210 | ||||||
| 5,424 | Northland Power, Inc. | 113,140 | ||||||
| 1,351 | OPC Energy, Ltd.* | 8,910 | ||||||
| 2,011 | Orron Energy ab* | 2,117 | ||||||
| 1,500 | Polaris Renewable Energy, Inc. | 16,137 | ||||||
| 2,100 | RENOVA, Inc.* | 23,765 | ||||||
| 5,222 | RWE AG | 227,277 | ||||||
| 1,250 | Scatec ASA(a) | 8,193 | ||||||
| 1,714 | Solaria Energia y Medio Ambiente SA* | 26,315 | ||||||
| 10,042 | Transalta Corp. | 94,006 | ||||||
| 2,200 | Transalta Renewables, Inc. | 18,901 | ||||||
| 882 | Voltalia SA, Registered Shares* | 14,038 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Independent Power and Renewable Electricity Producers, continued |
||||||||
| 910 | West Holdings Corp. | $ | 15,859 | |||||
|
|
|
|||||||
| 1,111,837 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates (0.8%): | ||||||||
| 182 | Aker ASA, Class A Shares | 10,325 | ||||||
| 865 | Bonheur ASA | 20,961 | ||||||
| 1,056 | Chargeurs SA | 12,777 | ||||||
| 8,000 | Chevalier International Holdings Ltd. | 6,800 | ||||||
| 22,930 | CK Hutchison Holdings, Ltd. | 140,358 | ||||||
| 3,331 | DCC plc | 186,157 | ||||||
| 2,000 | Guoco Group, Ltd. | 15,021 | ||||||
| 8,400 | Hitachi, Ltd. | 519,944 | ||||||
| 822 | Indus Holding AG | 23,133 | ||||||
| 515 | Italmobiliare SpA | 14,090 | ||||||
| 2,600 | Jardine Cycle & Carriage, Ltd. | 67,122 | ||||||
| 1,500 | Katakura Industries Co., Ltd. | 17,018 | ||||||
| 1,700 | Keihan Holdings Co., Ltd. | 44,900 | ||||||
| 12,200 | Keppel Corp., Ltd. | 60,739 | ||||||
| 1,492 | Lifco AB, Class B | 32,480 | ||||||
| 2,900 | Mie Kotsu Group Holdings, Inc. | 11,514 | ||||||
| 5,400 | Nisshinbo Holdings, Inc. | 44,867 | ||||||
| 7,406 | Nolato AB, Class B | 34,815 | ||||||
| 1,300 | Noritsu Koki Co., Ltd. | 21,056 | ||||||
| 69,000 | NWS Holdings, Ltd. | 78,337 | ||||||
| 3,390 | Siemens AG, Registered Shares | 564,206 | ||||||
| 5,347 | Smiths Group plc | 111,860 | ||||||
| 5,400 | TOKAI Holdings Corp. | 33,777 | ||||||
| 1,700 | Toshiba Corp. | 53,291 | ||||||
| 933 | Volati AB | 9,761 | ||||||
|
|
|
|||||||
| 2,135,309 | ||||||||
|
|
|
|||||||
| Insurance (4.1%): | ||||||||
| 3,541 | Admiral Group plc | 93,813 | ||||||
| 53,123 | Aegon NV | 269,027 | ||||||
| 6,999 | Ageas SA/NV | 283,638 | ||||||
| 94,240 | AIA Group, Ltd. | 961,585 | ||||||
| 40,863 | Alm Brand A/S | 64,113 | ||||||
| 5,446 | ASR Nederland NV | 244,927 | ||||||
| 6,914 | Assicurazioni Generali SpA | 140,799 | ||||||
| 2,282 | AUB Group, Ltd. | 44,951 | ||||||
| 41,941 | Aviva plc | 211,349 | ||||||
| 11,888 | AXA SA | 351,180 | ||||||
| 999 | Baloise Holding AG, Registered Shares | 146,965 | ||||||
| 6,345 | Beazley plc | 47,602 | ||||||
| 7,384 | Chesnara plc | 25,403 | ||||||
| 2,213 | Clal Insurance Enterprises Holdings, Ltd.* | 34,511 | ||||||
| 4,898 | Coface SA | 67,576 | ||||||
| 5,800 | Dai-ichi Life Holdings, Inc. | 111,269 | ||||||
| 2,100 | Definity Financial Corp. | 55,726 | ||||||
| 40,384 | Direct Line Insurance Group plc | 69,849 | ||||||
| 82 | E-L Financial Corp., Ltd. | 57,352 | ||||||
| 431 | Fairfax Financial Holdings, Ltd. | 322,873 | ||||||
| 1,054 | FBD Holdings plc | 14,658 | ||||||
| 1,341 | Gjensidige Forsikring ASA | 21,502 | ||||||
| 1,300 | Great Eastern Holdings, Ltd. | 16,976 | ||||||
| 4,164 | Great-West Lifeco, Inc. | 120,934 | ||||||
| 1,809 | Grupo Catalana Occidente SA | 55,599 | ||||||
| 744 | Hannover Rueck SE | 157,750 | ||||||
| 4,262 | Harel Insurance Investments & Financial Services, Ltd. | 33,309 | ||||||
See accompanying notes to the financial statements.
21
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Insurance, continued | ||||||||
| 817 | Helvetia Holding AG, Registered Shares | $ | 110,626 | |||||
| 7,266 | Hiscox, Ltd. | 100,892 | ||||||
| 3,719 | iA Financial Corp., Inc. | 253,390 | ||||||
| 506 | IDI Insurance Co., Ltd. | 11,477 | ||||||
| 26,665 | Insurance Australia Group, Ltd. | 101,569 | ||||||
| 2,660 | Intact Financial Corp. | 410,748 | ||||||
| 15,800 | Japan Post Holdings Co., Ltd. | 113,623 | ||||||
| 1,900 | Japan Post Insurance Co., Ltd. | 28,569 | ||||||
| 41,528 | Just Group plc | 41,194 | ||||||
| 8,127 | Lancashire Holdings, Ltd. | 59,643 | ||||||
| 82,370 | Legal & General Group plc | 238,738 | ||||||
| 16,597 | Linea Directa Aseguradora SA Cia de Seguros y Reaseguros | 14,951 | ||||||
| 9,385 | Manulife Financial Corp. | 177,470 | ||||||
| 9,983 | Manulife Financial Corp. | 188,717 | ||||||
| 41,493 | Mapfre SA^ | 82,517 | ||||||
| 33,666 | Medibank Pvt, Ltd. | 79,207 | ||||||
| 1,055 | Menora Mivtachim Holdings, Ltd. | 22,402 | ||||||
| 16,641 | Migdal Insurance & Financial Holding, Ltd. | 20,287 | ||||||
| 2,900 | MS&AD Insurance Group Holdings, Inc. | 103,342 | ||||||
| 577 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class R | 216,346 | ||||||
| 17,747 | nib holdings, Ltd. | 100,150 | ||||||
| 8,486 | NN Group NV | 314,850 | ||||||
| 15,729 | Phoenix Group Holdings plc | 106,295 | ||||||
| 2,268 | Phoenix Holdings, Ltd. (The) | 22,857 | ||||||
| 12,327 | Poste Italiane SpA(a) | 133,725 | ||||||
| 1,147 | Protector Forsikring ASA | 17,660 | ||||||
| 1,332 | Prudential plc, ADR | 37,722 | ||||||
| 3,425 | Prudential plc | 48,293 | ||||||
| 16,200 | QBE Insurance Group, Ltd. | 170,460 | ||||||
| 3,005 | Sabre Insurance Group plc(a) | 5,166 | ||||||
| 3,822 | Saga plc* | 5,805 | ||||||
| 5,131 | Sampo Oyj, A Shares | 230,098 | ||||||
| 6,691 | SCOR SA | 196,664 | ||||||
| 445 | Solid Forsakring AB | 2,621 | ||||||
| 1,400 | Sompo Holdings, Inc. | 62,769 | ||||||
| 9,536 | Steadfast Group, Ltd. | 38,210 | ||||||
| 6,858 | Storebrand ASA | 53,488 | ||||||
| 2,264 | Sun Life Financial, Inc. | 118,037 | ||||||
| 1,295 | Sun Life Financial, Inc. | 67,495 | ||||||
| 18,389 | Suncorp Group, Ltd. | 165,853 | ||||||
| 454 | Swiss Life Holding AG | 265,703 | ||||||
| 4,529 | Swiss Re AG | 456,178 | ||||||
| 5,800 | T&D Holdings, Inc. | 85,699 | ||||||
| 1,726 | Talanx AG | 98,941 | ||||||
| 10,900 | Tokio Marine Holdings, Inc. | 251,698 | ||||||
| 1,482 | Topdanmark A/S | 72,902 | ||||||
| 1,392 | Trisura Group, Ltd.* | 39,482 | ||||||
| 5,377 | Tryg A/S | 116,400 | ||||||
| 17,380 | Unipol Gruppo Finanziario SpA | 92,972 | ||||||
| 14,182 | UnipolSai Assicurazioni SpA | 35,195 | ||||||
| 4,363 | UNIQA Insurance Group AG | 35,010 | ||||||
| 54 | Vaudoise Assurances Holding SA | 26,444 | ||||||
| 1,471 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 38,466 | ||||||
| 1,796 | Wuestenrot & Wuerttembergische AG | 30,751 | ||||||
| 1,223 | Zurich Insurance Group AG | 581,214 | ||||||
|
|
|
|||||||
| 10,526,217 | ||||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Interactive Media & Services (0.3%): | ||||||||
| 3,192 | Adevinta ASA* | $ | 20,944 | |||||
| 11,575 | Auto Trader Group plc(a) | 89,699 | ||||||
| 400 | Bengo4.com, Inc.* | 10,644 | ||||||
| 575 | Better Collective A/S* | 11,891 | ||||||
| 2,166 | carsales.com, Ltd. | 34,569 | ||||||
| 4,900 | Catena Media plc* | 8,911 | ||||||
| 5,418 | Domain Holdings Australia, Ltd. | 13,827 | ||||||
| 1,200 | Infocom Corp. | 19,008 | ||||||
| 3,800 | Kakaku.com, Inc. | 54,721 | ||||||
| 1,170 | Karnov Group AB* | 5,339 | ||||||
| 600 | MarkLines Co., Ltd. | 10,752 | ||||||
| 2,000 | MIXI, Inc. | 37,258 | ||||||
| 12,015 | Moneysupermarket.com Group plc | 41,342 | ||||||
| 135 | New Work SE | 18,172 | ||||||
| 594 | REA Group, Ltd. | 56,890 | ||||||
| 19,514 | Rightmove plc | 129,609 | ||||||
| 897 | Scout24 SE(a) | 56,855 | ||||||
| 1,787 | SEEK, Ltd. | 25,922 | ||||||
| 2,124 | Solocal Group* | 305 | ||||||
| 13,200 | Z Holdings Corp. | 31,880 | ||||||
|
|
|
|||||||
| 678,538 | ||||||||
|
|
|
|||||||
| IT Services (1.5%): | ||||||||
| 3,641 | Addnode Group AB | 28,204 | ||||||
| 114 | Adesso SE | 15,404 | ||||||
| 370 | Allgeier SE | 10,192 | ||||||
| 1,014 | Alten SA* | 159,792 | ||||||
| 923 | Appen, Ltd.* | 1,486 | ||||||
| 400 | Argo Graphics, Inc. | 10,887 | ||||||
| 2,661 | Atea ASA | 38,690 | ||||||
| 4,261 | Atos SE* | 60,789 | ||||||
| 180 | Aubay | 9,351 | ||||||
| 600 | Base Co., Ltd. | 23,932 | ||||||
| 2,362 | Bechtle AG | 93,580 | ||||||
| 2,300 | BIPROGY, Inc. | 56,620 | ||||||
| 1,490 | Bouvet ASA | 9,015 | ||||||
| 817 | CANCOM SE | 24,727 | ||||||
| 3,044 | Capgemini SE | 576,604 | ||||||
| 1,200 | CGI, Inc.* | 126,559 | ||||||
| 1,233 | CGI, Inc.* | 129,995 | ||||||
| 1,200 | Change Holdings, Inc. | 19,060 | ||||||
| 4,933 | Columbus A/S | 4,758 | ||||||
| 2,655 | Computacenter plc | 77,224 | ||||||
| 1,100 | Comture Corp. | 15,908 | ||||||
| 7,824 | Data#3, Ltd. | 37,649 | ||||||
| 500 | Densan System Holdings Co., Ltd. | 11,432 | ||||||
| 1,400 | DTS Corp. | 33,087 | ||||||
| 8,624 | Econocom Group SA/NV | 24,986 | ||||||
| 1,000 | E-Guardian, Inc. | 14,031 | ||||||
| 558 | Enea AB* | 2,184 | ||||||
| 3,891 | Fdm Group Holdings plc | 27,752 | ||||||
| 348 | Formula Systems 1985, Ltd. | 25,661 | ||||||
| 1,700 | Fujitsu, Ltd. | 219,199 | ||||||
| 2,500 | Future Corp. | 29,806 | ||||||
| 824 | GFT Technologies SE | 23,192 | ||||||
| 6,665 | Global Dominion Access SA(a) | 28,536 | ||||||
| 1,900 | GMO internet group, Inc. | 36,440 | ||||||
| 1,200 | ID Holdings Corp. | 10,741 | ||||||
| 6,083 | Indra Sistemas SA | 76,884 | ||||||
| 900 | Information Services Internati | 31,661 | ||||||
See accompanying notes to the financial statements.
22
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| IT Services, continued | ||||||||
| 2,776 | Iomart Group plc | $ | 6,092 | |||||
| 1,100 | Itochu Techno-Solutions Corp. | 27,838 | ||||||
| 700 | JBCC Holdings, Inc. | 12,471 | ||||||
| 600 | JIG-SAW, Inc.* | 24,634 | ||||||
| 3,119 | Kainos Group plc | 48,927 | ||||||
| 816 | KNOW IT AB | 13,201 | ||||||
| 1,146 | Kontron AG | 22,649 | ||||||
| 896 | Matrix It, Ltd. | 18,307 | ||||||
| 300 | Mitsubishi Research Institute, Inc. | 11,475 | ||||||
| 193 | Nagarro SE* | 16,791 | ||||||
| 7,286 | NCC Group plc | 8,965 | ||||||
| 3,600 | NEC Corp. | 175,055 | ||||||
| 2,700 | NEC Networks & System Integrat | 37,350 | ||||||
| 3,000 | NET One Systems Co., Ltd. | 65,961 | ||||||
| 1,260 | Netcompany Group A/S*^(a) | 52,143 | ||||||
| 5,103 | NEXTDC, Ltd.* | 43,030 | ||||||
| 638 | NEXTDC, Ltd.* | 5,380 | ||||||
| 3,056 | Nomura Research Institute, Ltd. | 84,290 | ||||||
| 800 | NS Solutions Corp. | 22,367 | ||||||
| 2,200 | NSD Co., Ltd. | 44,285 | ||||||
| 5,900 | NTT Data Corp. | 82,618 | ||||||
| 200 | Obic Co., Ltd. | 32,068 | ||||||
| 2,099 | One Software Technologies, Ltd. | 28,341 | ||||||
| 4,539 | Ordina NV | 28,080 | ||||||
| 1,100 | Otsuka Corp. | 42,810 | ||||||
| 1,200 | Pole To Win Holdings, Inc. | 6,554 | ||||||
| 394 | Reply SpA | 44,737 | ||||||
| 2,400 | SCSK Corp. | 37,780 | ||||||
| 105 | Secunet Security Networks AG | 24,910 | ||||||
| 400 | SHIFT, Inc.* | 73,099 | ||||||
| 700 | Shopify, Inc., Class A* | 45,247 | ||||||
| 650 | Shopify, Inc., Class A* | 41,990 | ||||||
| 1,200 | Simplex Holdings, Inc. | 21,953 | ||||||
| 510 | Societe Pour l’Informatique Industrielle | 29,994 | ||||||
| 800 | Softbank Technology Corp. | 14,568 | ||||||
| 5,347 | Softcat plc | 96,127 | ||||||
| 566 | Sopra Steria Group SACA | 112,918 | ||||||
| 52,000 | SUNeVision Holdings, Ltd. | 26,607 | ||||||
| 1,200 | TDC Soft, Inc. | 15,072 | ||||||
| 1,700 | TechMatrix Corp. | 22,053 | ||||||
| 2,731 | TietoEVRY Oyj | 75,374 | ||||||
| 3,300 | TIS, Inc. | 82,692 | ||||||
| 500 | Uchida Yoko Co., Ltd. | 20,241 | ||||||
| 315 | Wavestone | 17,224 | ||||||
| 573 | Wiit SpA | 12,657 | ||||||
|
|
|
|||||||
| 3,902,943 | ||||||||
|
|
|
|||||||
| Leisure Products (0.4%): | ||||||||
| 4,400 | Bandai Namco Holdings, Inc. | 101,824 | ||||||
| 1,496 | Beneteau SA | 25,299 | ||||||
| 906 | BRP, Inc. | 76,599 | ||||||
| 1,042 | Catana Group | 7,966 | ||||||
| 1,377 | Games Workshop Group plc | 191,320 | ||||||
| 1,000 | Globeride, Inc. | 15,783 | ||||||
| 874 | Harvia Oyj | 22,040 | ||||||
| 500 | Mars Group Holdings Corp. | 9,949 | ||||||
| 17,243 | ME GROUP INTERNATIONAL plc | 35,934 | ||||||
| 877 | MIPS AB | 43,557 | ||||||
| 800 | Mizuno Corp. | 20,758 | ||||||
| 800 | Roland Corp. | 23,065 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Leisure Products, continued | ||||||||
| 1,400 | Sankyo Co., Ltd. | $ | 56,666 | |||||
| 376 | Sanlorenzo SpA/Ameglia | 16,157 | ||||||
| 1,700 | Sega Sammy Holdings, Inc. | 36,384 | ||||||
| 700 | Shimano, Inc. | 117,183 | ||||||
| 1,400 | Snow Peak, Inc.^ | 18,253 | ||||||
| 700 | Spin Master Corp.(a) | 18,522 | ||||||
| 3,815 | Technogym SpA(a) | 35,352 | ||||||
| 3,315 | Thule Group AB(a) | 97,429 | ||||||
| 3,300 | Tomy Co., Ltd. | 41,633 | ||||||
| 700 | Universal Entertainment Corp.* | 11,943 | ||||||
| 1,100 | Yamaha Corp. | 42,306 | ||||||
| 3,500 | Yonex Co., Ltd. | 33,870 | ||||||
|
|
|
|||||||
| 1,099,792 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services (0.4%): | ||||||||
| 4,332 | Addlife AB, Class B | 48,875 | ||||||
| 840 | Biotage AB | 10,471 | ||||||
| 900 | CellSource Co., Ltd.* | 17,466 | ||||||
| 315 | Chemometec A/S* | 21,577 | ||||||
| 600 | Cmic Holdings Co., Ltd. | 8,065 | ||||||
| 878 | Ergomed PLC* | 10,869 | ||||||
| 2,320 | Eurofins Scientific SE | 147,349 | ||||||
| 555 | Evotec SE* | 12,475 | ||||||
| 856 | Gerresheimer AG | 96,285 | ||||||
| 354 | Lonza Group AG | 211,464 | ||||||
| 697 | Medcap AB* | 17,778 | ||||||
| 818 | QIAGEN NV* | 36,690 | ||||||
| 2,639 | QIAGEN NV* | 118,834 | ||||||
| 252 | Sartorius AG | 86,409 | ||||||
| 211 | Sartorius Stedim Biotech | 52,723 | ||||||
| 1,600 | Shin Nippon Biomedical Laborat | 23,774 | ||||||
| 86 | Siegfried Holding AG | 71,098 | ||||||
|
|
|
|||||||
| 992,202 | ||||||||
|
|
|
|||||||
| Machinery (4.3%): | ||||||||
| 3,402 | Aalberts NV | 143,199 | ||||||
| 600 | Ag Growth International, Inc. | 22,952 | ||||||
| 2,600 | Aichi Corp. | 15,824 | ||||||
| 2,100 | Aida Engineering, Ltd. | 13,767 | ||||||
| 781 | Alfa Laval AB | 28,492 | ||||||
| 3,214 | Alimak Group AB(a) | 25,139 | ||||||
| 900 | Alinco, Inc. | 6,266 | ||||||
| 8,556 | Alstom SA | 255,369 | ||||||
| 8,100 | Amada Co., Ltd. | 80,005 | ||||||
| 1,286 | ANDRITZ AG | 71,756 | ||||||
| 2,000 | Anest Iwata Corp. | 16,506 | ||||||
| 2,700 | Asahi Diamond Industrial Co., Ltd. | 16,344 | ||||||
| 20,220 | Atlas Copco AB, Class A | 291,723 | ||||||
| 11,750 | Atlas Copco AB, Class B | 146,452 | ||||||
| 2,149 | ATS Corp.* | 98,884 | ||||||
| 1,300 | Bando Chemical Industries, Ltd. | 13,083 | ||||||
| 1,230 | Beijer Alma AB, Class B | 25,723 | ||||||
| 6,881 | Bodycote plc | 55,983 | ||||||
| 310 | Bucher Industries AG, Registered Shares | 136,796 | ||||||
| 104 | Burckhardt Compression Holding AG | 61,068 | ||||||
| 56 | Bystronic AG | 37,257 | ||||||
| 1,043 | Cargotec Oyj, Class B | 57,270 | ||||||
| 2,300 | CKD Corp. | 37,794 | ||||||
| 1,023 | Concentric AB | 19,506 | ||||||
| 1,110 | Construcciones y Auxiliar de Ferrocarriles SA | 37,290 | ||||||
| 284 | Daetwyler Holding AG | 60,592 | ||||||
See accompanying notes to the financial statements.
23
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Machinery, continued | ||||||||
| 4,500 | Daifuku Co., Ltd. | $ | 92,152 | |||||
| 8,219 | Daimler Truck Holding AG | 295,893 | ||||||
| 2,100 | Daiwa Industries, Ltd. | 20,266 | ||||||
| 745 | Danieli & C Officine Meccaniche SpA | 17,841 | ||||||
| 1,585 | Danieli & C Officine Meccaniche SpA | 29,111 | ||||||
| 4,300 | DMG Mori Co., Ltd.^ | 75,078 | ||||||
| 2,392 | Duerr AG | 77,362 | ||||||
| 2,700 | Ebara Corp. | 129,679 | ||||||
| 6,740 | Electrolux Professional AB, Class B | 36,598 | ||||||
| 4,784 | Epiroc AB, Class A | 90,649 | ||||||
| 2,816 | Epiroc AB, Class B | 45,562 | ||||||
| 2,000 | FANUC Corp. | 70,328 | ||||||
| 19,282 | Fincantieri SpA* | 10,730 | ||||||
| 2,271 | FLSmidth & Co. A/S | 109,872 | ||||||
| 3,291 | Fluidra SA | 64,090 | ||||||
| 13,800 | Frencken Group, Ltd. | 9,252 | ||||||
| 2,000 | Fuji Corp. | 35,496 | ||||||
| 500 | Fukushima Galilei Co., Ltd. | 18,697 | ||||||
| 1,700 | Furukawa Co., Ltd. | 18,528 | ||||||
| 4,671 | GEA Group AG | 195,192 | ||||||
| 2,556 | Georg Fischer AG, Registered Shares | 192,012 | ||||||
| 371 | Gesco SE | 10,006 | ||||||
| 2,000 | Glory, Ltd. | 40,238 | ||||||
| 1,300 | Harmonic Drive Systems, Inc. | 41,938 | ||||||
| 16,185 | Heidelberger Druckmaschinen AG* | 25,265 | ||||||
| 5,448 | Hexagon Composites ASA* | 13,830 | ||||||
| 9,100 | Hino Motors, Ltd.* | 38,261 | ||||||
| 1,200 | Hisaka Works, Ltd. | 7,635 | ||||||
| 3,600 | Hitachi Construction Machinery Co., Ltd. | 101,415 | ||||||
| 5,600 | Hitachi Zosen Corp. | 37,176 | ||||||
| 400 | Hoshizaki Corp. | 14,386 | ||||||
| 1,000 | Hosokawa Micron Corp. | 24,430 | ||||||
| 7,480 | Husqvarna AB, B Shares | 67,873 | ||||||
| 679 | Husqvarna AB, Class A Shares | 6,165 | ||||||
| 5,700 | IHI Corp. | 154,604 | ||||||
| 8,265 | IMI plc | 172,681 | ||||||
| 4,075 | Indutrade AB | 91,983 | ||||||
| 879 | Interpump Group SpA | 48,883 | ||||||
| 24 | Interroll Holding AG, Class A | 74,322 | ||||||
| 1,300 | Iseki & Co., Ltd. | 11,328 | ||||||
| 8,499 | Iveco Group NV* | 76,762 | ||||||
| 500 | Japan Steel Works, Ltd. (The) | 10,762 | ||||||
| 699 | JOST Werke SE(a) | 37,815 | ||||||
| 3,700 | Juki Corp. | 14,996 | ||||||
| 2,224 | Jungheinrich AG | 81,379 | ||||||
| 87 | Kardex Holding AG, Registered Shares | 19,571 | ||||||
| 900 | Kato Works Co., Ltd. | 7,597 | ||||||
| 6,300 | Kawasaki Heavy Industries, Ltd. | 161,800 | ||||||
| 3,210 | KION Group AG | 129,067 | ||||||
| 400 | Kitagawa Corp. | 3,174 | ||||||
| 5,100 | Kitz Corp. | 38,422 | ||||||
| 1,934 | Knorr-Bremse AG | 147,646 | ||||||
| 572 | Koenig & Bauer AG* | 11,855 | ||||||
| 13,600 | Komatsu, Ltd. | 368,031 | ||||||
| 184 | Komax Holding AG | 47,684 | ||||||
| 2,900 | Komori Corp. | 19,005 | ||||||
| 5,032 | Kone Oyj, Class B | 262,827 | ||||||
| 1,364 | Konecranes OYJ | 54,832 | ||||||
| 187 | Krones AG | 22,676 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Machinery, continued | ||||||||
| 4,500 | Kubota Corp. | $ | 65,560 | |||||
| 1,600 | Kurita Water Industries, Ltd. | 61,502 | ||||||
| 1,000 | Kyokuto Kaihatsu Kogyo Co., Ltd. | 12,094 | ||||||
| 1,200 | Maezawa Kyuso Industries Co., Ltd. | 9,300 | ||||||
| 700 | Makino Milling Machine Co., Ltd. | 27,283 | ||||||
| 2,500 | Makita Corp. | 70,182 | ||||||
| 586 | Manitou Bf SA | 15,672 | ||||||
| 800 | Max Co., Ltd. | 14,757 | ||||||
| 896 | McPhy Energy SA* | 8,200 | ||||||
| 1,800 | Meidensha Corp. | 25,011 | ||||||
| 297 | Meier Tobler Group AG | 17,528 | ||||||
| 800 | Metawater Co., Ltd. | 10,234 | ||||||
| 16,814 | Metso Oyj | 202,536 | ||||||
| 5,432 | MINEBEA MITSUMI, Inc. | 102,874 | ||||||
| 3,100 | MISUMI Group, Inc. | 62,051 | ||||||
| 2,500 | Mitsubishi Heavy Industries, Ltd. | 116,972 | ||||||
| 1,000 | Mitsubishi Logisnext Co., Ltd. | 9,260 | ||||||
| 700 | Mitsuboshi Belting Co., Ltd. | 21,536 | ||||||
| 2,900 | Mitsui E&S Co., Ltd. | 9,917 | ||||||
| 1,100 | Miura Co., Ltd. | 28,764 | ||||||
| 10,151 | Morgan Advanced Materials plc | 35,415 | ||||||
| 1,500 | Morita Holdings Corp. | 16,265 | ||||||
| 900 | Nabtesco Corp. | 19,870 | ||||||
| 800 | Nachi-Fujikoshi Corp. | 22,796 | ||||||
| 2,000 | Namura Shipbuilding Co., Ltd. | 8,745 | ||||||
| 1,456 | NFI Group, Inc. | 12,553 | ||||||
| 8,900 | NGK Insulators, Ltd. | 106,477 | ||||||
| 2,300 | Nikkiso Co., Ltd. | 14,570 | ||||||
| 1,267 | Nilfisk Holding A/S* | 23,365 | ||||||
| 3,900 | Nippon Thompson Co., Ltd. | 16,156 | ||||||
| 400 | Nissei ASB Machine Co., Ltd. | 11,439 | ||||||
| 800 | Nitta Corp. | 17,004 | ||||||
| 500 | Nitto Kohki Co., Ltd. | 6,879 | ||||||
| 1,900 | Nitto Seiko Co., Ltd. | 7,707 | ||||||
| 300 | Noritake Co., Ltd. | 11,418 | ||||||
| 995 | Norma Group SE | 18,369 | ||||||
| 7,700 | NSK, Ltd. | 48,704 | ||||||
| 14,800 | NTN Corp. | 31,478 | ||||||
| 400 | Obara Group, Inc. | 11,609 | ||||||
| 4,495 | OC Oerlikon Corp. AG | 22,377 | ||||||
| 1,700 | Oiles Corp. | 23,588 | ||||||
| 400 | Okamoto Machine Tool Works, Ltd. | 17,744 | ||||||
| 600 | OKUMA Corp. | 32,272 | ||||||
| 1,600 | Organo Corp. | 47,393 | ||||||
| 2,800 | OSG Corp. | 40,300 | ||||||
| 692 | Palfinger AG | 21,102 | ||||||
| 174 | Pfeiffer Vacuum Technology AG | 28,288 | ||||||
| 150 | Plasson Industries, Ltd. | 6,442 | ||||||
| 122 | Rational AG | 88,261 | ||||||
| 70 | Rieter Holding AG | 7,267 | ||||||
| 16,905 | Rotork plc | 65,523 | ||||||
| 1,800 | Ryobi, Ltd. | 25,737 | ||||||
| 9,972 | Sandvik AB | 194,789 | ||||||
| 232 | Schindler Holding AG, Registered Shares | 52,149 | ||||||
| 797,303 | Seatrium, Ltd.* | 73,851 | ||||||
| 933 | SFS Group AG | 123,170 | ||||||
| 1,100 | Shibaura Machine Co., Ltd. | 37,326 | ||||||
| 1,200 | Shima Seiki Manufacturing, Ltd. | 15,527 | ||||||
| 1,900 | Shinmaywa Industries, Ltd. | 17,886 | ||||||
See accompanying notes to the financial statements.
24
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Machinery, continued | ||||||||
| 78,000 | Singamas Container Holdings, Ltd. | $ | 6,384 | |||||
| 2,200 | Sintokogio, Ltd. | 16,833 | ||||||
| 3,528 | Skellerup Holdings, Ltd. | 9,939 | ||||||
| 4,224 | SKF AB, B Shares | 73,588 | ||||||
| 892 | SKF AB, Class A | 15,479 | ||||||
| 200 | SMC Corp. | 111,172 | ||||||
| 2,300 | Sodick Co., Ltd. | 11,425 | ||||||
| 333 | Spirax-Sarco Engineering plc | 43,856 | ||||||
| 772 | Stabilus SE | 46,381 | ||||||
| 2,397 | Stadler Rail AG | 93,752 | ||||||
| 1,600 | Star Micronics Co., Ltd. | 20,069 | ||||||
| 849 | Sulzer AG, Registered Shares | 73,053 | ||||||
| 4,000 | Sumitomo Heavy Industries, Ltd. | 96,067 | ||||||
| 3,900 | Tadano, Ltd. | 31,114 | ||||||
| 900 | Takeuchi Manufacturing Co., Ltd. | 27,948 | ||||||
| 1,300 | Takuma Co., Ltd. | 13,403 | ||||||
| 3,680 | Talgo SA*(a) | 13,450 | ||||||
| 478 | Technotrans SE | 13,558 | ||||||
| 19,687 | Techtronic Industries Co., Ltd. | 215,426 | ||||||
| 1,000 | Teikoku Electric Manufacturing Co., Ltd. | 18,951 | ||||||
| 3,900 | THK Co., Ltd. | 80,318 | ||||||
| 2,100 | Tocalo Co., Ltd. | 22,047 | ||||||
| 1,392 | TOMRA Systems ASA | 22,379 | ||||||
| 1,400 | Torishima Pump Manufacturing Co., Ltd. | 18,544 | ||||||
| 1,100 | Toyota Industries Corp. | 78,922 | ||||||
| 2,304 | Trelleborg AB, Class B | 55,936 | ||||||
| 1,098 | Troax Group AB | 21,664 | ||||||
| 1,100 | Tsubaki Nakashima Co., Ltd. | 6,210 | ||||||
| 1,400 | Tsubakimoto Chain Co. | 35,802 | ||||||
| 1,800 | Tsugami Corp. | 17,384 | ||||||
| 1,200 | Tsukishima Holdings Co., Ltd. | 10,114 | ||||||
| 600 | Tsurumi Manufacturing Co., Ltd. | 10,895 | ||||||
| 700 | Union Tool Co. | 15,719 | ||||||
| 3,461 | Valmet Oyj | 96,295 | ||||||
| 754 | VAT Group AG(a) | 312,376 | ||||||
| 1,074 | VBG Group AB, Class B | 18,147 | ||||||
| 9,855 | Vesuvius plc | 49,912 | ||||||
| 2,311 | Volvo AB, Class A | 49,302 | ||||||
| 23,536 | Volvo AB, Class B | 488,357 | ||||||
| 229 | Vossloh AG | 10,243 | ||||||
| 1,416 | Wacker Neuson SE | 34,291 | ||||||
| 6,324 | Wartsila Oyj Abp, Class B | 71,245 | ||||||
| 560 | Washtec AG | 21,906 | ||||||
| 574 | Weir Group plc (The) | 12,812 | ||||||
| 3,000 | YAMABIKO Corp. | 32,639 | ||||||
| 104,900 | Yangzijiang Shipbuilding Holdings, Ltd. | 116,567 | ||||||
| 2,600 | Yaskawa Electric Corp. | 119,705 | ||||||
|
|
|
|||||||
| 10,962,371 | ||||||||
|
|
|
|||||||
| Marine Transportation (0.5%): | ||||||||
| 1,600 | Algoma Central Corp. | 18,300 | ||||||
| 3,578 | AMSC ASA | 13,322 | ||||||
| 33 | AP Moller - Maersk A/S, Class A | 57,597 | ||||||
| 40 | AP Moller - Maersk A/S, Class B | 70,382 | ||||||
| 556 | Clarkson plc | 20,898 | ||||||
| 894 | D/S Norden A/S | 44,594 | ||||||
| 1,478 | Dfds A/S | 53,864 | ||||||
| 2,226 | Golden Ocean Group, Ltd. | 16,769 | ||||||
| 3,255 | Golden Ocean Group, Ltd. | 24,520 | ||||||
| 426 | Hapag-Lloyd AG^(a) | 86,396 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Marine Transportation, continued | ||||||||
| 3,300 | Iino Kaiun Kaisha, Ltd. | $ | 19,531 | |||||
| 5,897 | Irish Continental Group | 30,070 | ||||||
| 2,300 | Japan Transcity Corp. | 9,964 | ||||||
| 1,800 | Kawasaki Kisen Kaisha, Ltd. | 43,674 | ||||||
| 867 | Kuehne + Nagel International AG | 256,372 | ||||||
| 5,100 | Mitsui OSK Lines, Ltd. | 122,057 | ||||||
| 19,192 | MPC Container Ships As | 32,813 | ||||||
| 8,700 | Nippon Yusen KK | 193,356 | ||||||
| 600 | NS United Kaiun Kaisha, Ltd. | 14,321 | ||||||
| 185,000 | Pacific Basin Shipping, Ltd. | 56,377 | ||||||
| 52,000 | SITC International Holdings Co., Ltd. | 95,442 | ||||||
| 1,067 | Stolt-Nielsen, Ltd. | 27,154 | ||||||
| 4,623 | Wallenius Wilhelmsen ASA | 32,018 | ||||||
|
|
|
|||||||
| 1,339,791 | ||||||||
|
|
|
|||||||
| Media (0.9%): | ||||||||
| 1,150 | 4imprint Group plc | 70,212 | ||||||
| 3,715 | Aimia, Inc.* | 9,255 | ||||||
| 65 | APG SGA SA | 13,583 | ||||||
| 8,376 | ARN Media, Ltd. | 5,875 | ||||||
| 12,859 | Ascential plc* | 36,180 | ||||||
| 4,886 | Atresmedia Corp. de Medios de Comuicacion SA | 18,609 | ||||||
| 701 | Cogeco Communications, Inc. | 37,410 | ||||||
| 400 | Cogeco, Inc. | 16,871 | ||||||
| 5,394 | Corus Entertainment, Inc., Class B | 5,335 | ||||||
| 11,300 | CyberAgent, Inc. | 82,535 | ||||||
| 3,000 | Dentsu Group, Inc. | 98,411 | ||||||
| 2,100 | Direct Marketing MiX, Inc. | 12,571 | ||||||
| 5,775 | Eutelsat Communications SA^ | 37,735 | ||||||
| 2,800 | Fuji Media Holdings, Inc. | 29,423 | ||||||
| 598 | Future plc | 5,125 | ||||||
| 3,200 | Hakuhodo DY Holdings, Inc. | 33,790 | ||||||
| 15,821 | Informa plc | 145,815 | ||||||
| 2,000 | Intage Holdings, Inc. | 22,841 | ||||||
| 1,459 | IPSOS | 81,161 | ||||||
| 140,551 | ITV plc | 122,320 | ||||||
| 9,582 | IVE Group, Ltd. | 14,724 | ||||||
| 2,708 | JCDecaux SE* | 53,683 | ||||||
| 2,312 | Kin And Carta plc* | 1,851 | ||||||
| 1,300 | Macromill, Inc. | 7,623 | ||||||
| 1,664 | Metropole Television SA | 23,575 | ||||||
| 47,049 | MFE-MediaForEurope NV, Class A | 26,240 | ||||||
| 10,230 | MFE-MediaForEurope NV, Class B | 7,847 | ||||||
| 3,263 | Next 15 Group plc | 28,128 | ||||||
| 58,186 | Nine Entertainment Co. Holdings, Ltd. | 76,684 | ||||||
| 1,944 | Nordic Entertainment Group AB, Class B* | 11,155 | ||||||
| 1,307 | NRJ Group | 9,817 | ||||||
| 19,083 | Ooh!media, Ltd. | 15,122 | ||||||
| 602 | Perion Network, Ltd.* | 18,885 | ||||||
| 68,000 | Pico Far East Holdings, Ltd. | 11,911 | ||||||
| 7,255 | ProSiebenSat.1 Media SE* | 67,619 | ||||||
| 2,541 | Publicis Groupe SA | 198,202 | ||||||
| 2,826 | Quebecor, Inc., Class B | 69,658 | ||||||
| 1,470 | RTL Group | 58,772 | ||||||
| 10,874 | S4 Capital plc* | 17,413 | ||||||
| 14,802 | SES SA, Class A | 87,187 | ||||||
| 60,999 | Seven West Media, Ltd.* | 15,286 | ||||||
| 6,212 | SKY Network Television, Ltd. | 9,285 | ||||||
| 7,900 | SKY Perfect JSAT Holdings, Inc. | 31,494 | ||||||
| 15,013 | Southern Cross Media Group, Ltd. | 8,662 | ||||||
See accompanying notes to the financial statements.
25
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Media, continued | ||||||||
| 1,563 | Stroeer SE & Co. KGaA* | $ | 75,934 | |||||
| 1,900 | TBS Holdings, Inc. | 34,726 | ||||||
| 1,294 | Telenet Group Holding NV | 29,124 | ||||||
| 15,000 | Television Broadcasts, Ltd.* | 9,395 | ||||||
| 4,175 | Television Francaise 1 | 28,675 | ||||||
| 1,400 | TV Asahi Holdings Corp. | 16,009 | ||||||
| 500 | Tv Tokyo Holdings Corp. | 11,740 | ||||||
| 1,000 | ValueCommerce Co., Ltd. | 9,369 | ||||||
| 21,709 | Vivendi SE | 200,123 | ||||||
| 500 | Wowow, Inc. | 3,977 | ||||||
| 7,345 | WPP plc | 76,765 | ||||||
|
|
|
|||||||
| 2,251,717 | ||||||||
|
|
|
|||||||
| Metals & Mining (5.6%): | ||||||||
| 8,744 | Acerinox SA | 92,983 | ||||||
| 1,039 | Agnico Eagle Mines, Ltd. | 51,929 | ||||||
| 7,072 | Agnico Eagle Mines, Ltd. | 353,173 | ||||||
| 400 | Aichi Steel Corp. | 8,522 | ||||||
| 1,490 | Alamos Gold, Inc., Class A | 17,750 | ||||||
| 41,565 | Alkane Resources, Ltd.* | 19,670 | ||||||
| 2,048 | Alleima AB | 9,334 | ||||||
| 11,725 | Allkem, Ltd.* | 126,647 | ||||||
| 1,400 | Altius Minerals Corp. | 23,147 | ||||||
| 50,390 | Alumina, Ltd. | 46,785 | ||||||
| 723 | AMG Critical Materials NV | 37,444 | ||||||
| 13,096 | Anglo American plc | 371,138 | ||||||
| 3,926 | Antofagasta plc | 73,153 | ||||||
| 2,415 | APERAM SA | 75,517 | ||||||
| 63,634 | Arafura Rare Earths, Ltd.* | 13,042 | ||||||
| 2,276 | ArcelorMittal SA, NYS | 62,226 | ||||||
| 6,589 | ArcelorMittal SA | 179,497 | ||||||
| 12,400 | Argonaut Gold, Inc.* | 4,961 | ||||||
| 3,700 | Asahi Holdings, Inc. | 49,960 | ||||||
| 16,100 | Ascot Resources, Ltd.* | 6,320 | ||||||
| 116,831 | Aurelia Metals, Ltd.* | 7,267 | ||||||
| 1,034 | Aurubis AG | 88,589 | ||||||
| 25,622 | AVZ Minerals, Ltd.* | 2,686 | ||||||
| 39,315 | B2Gold Corp. | 140,093 | ||||||
| 9,320 | Barrick Gold Corp. | 157,679 | ||||||
| 1,629 | Bekaert NV | 73,831 | ||||||
| 29,659 | Bellevue Gold, Ltd.* | 25,332 | ||||||
| 6,077 | BHP Group, Ltd., ADR | 362,615 | ||||||
| 38,377 | BHP Group, Ltd. | 1,144,799 | ||||||
| 15,100 | BlueScope Steel, Ltd. | 208,272 | ||||||
| 5,555 | Boliden AB | 160,850 | ||||||
| 4,719 | Capricorn Metals, Ltd.* | 12,842 | ||||||
| 10,300 | Capstone Copper Corp.* | 46,733 | ||||||
| 36,114 | Centamin plc | 41,993 | ||||||
| 9,300 | Centerra Gold, Inc. | 55,747 | ||||||
| 8,967 | Central Asia Metals plc | 20,528 | ||||||
| 11,257 | Champion Iron, Ltd. | 46,015 | ||||||
| 16,254 | China Gold International Resources Corp., Ltd. | 61,477 | ||||||
| 1,000 | Daido Steel Co., Ltd. | 41,814 | ||||||
| 1,400 | Daiki Aluminium Industry Co., Ltd. | 13,630 | ||||||
| 23,794 | De Grey Mining, Ltd.* | 21,486 | ||||||
| 7,050 | Deterra Royalties, Ltd. | 21,718 | ||||||
| 2,200 | Dowa Holdings Co., Ltd. | 69,800 | ||||||
| 9,600 | Dundee Precious Metals, Inc. | 63,415 | ||||||
| 8,162 | Eldorado Gold Corp.* | 82,631 | ||||||
| 10,609 | Emerald Resources NL* | 14,504 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Metals & Mining, continued | ||||||||
| 6,493 | Endeavour Mining plc | $ | 155,634 | |||||
| 3,800 | Endeavour Silver Corp.* | 11,045 | ||||||
| 13,107 | Equinox Gold Corp.* | 60,063 | ||||||
| 481 | Eramet SA | 44,001 | ||||||
| 1,599 | ERO Copper Corp.* | 32,352 | ||||||
| 66,946 | Evolution Mining, Ltd. | 145,162 | ||||||
| 7,778 | Evraz plc*(b) | — | ||||||
| 7,330 | Ferrexpo plc* | 8,332 | ||||||
| 6,600 | First Majestic Silver Corp. | 37,320 | ||||||
| 9,525 | First Quantum Minerals, Ltd. | 225,361 | ||||||
| 16,739 | Fortescue Metals Group, Ltd. | 249,238 | ||||||
| 7,300 | Fortuna Silver Mines, Inc.* | 23,753 | ||||||
| 140 | Franco-Nevada Corp. | 19,956 | ||||||
| 6,213 | Fresnillo plc | 48,146 | ||||||
| 8,215 | Galiano Gold, Inc.* | 4,961 | ||||||
| 185,248 | Glencore plc | 1,050,655 | ||||||
| 1,100 | Godo Steel, Ltd. | 28,117 | ||||||
| 8,900 | GoGold Resources, Inc.* | 10,213 | ||||||
| 20,449 | Gold Road Resources, Ltd. | 20,413 | ||||||
| 4,992 | Granges AB | 47,678 | ||||||
| 2,043 | Hill & Smith Holdings plc | 38,953 | ||||||
| 9,715 | Hochschild Mining plc | 8,772 | ||||||
| 14,862 | Hudbay Minerals, Inc. | 71,249 | ||||||
| 15,631 | IAMGOLD Corp.* | 41,420 | ||||||
| 9,087 | IGO, Ltd. | 92,727 | ||||||
| 15,540 | Iluka Resources, Ltd. | 115,888 | ||||||
| 18,158 | Imdex, Ltd. | 22,869 | ||||||
| 3,605 | Ivanhoe Mines, Ltd., Class A* | 32,931 | ||||||
| 16,400 | JFE Holdings, Inc. | 235,358 | ||||||
| 50,009 | Jupiter Mines, Ltd. | 6,532 | ||||||
| 2,436 | K92 Mining, Inc.* | 10,574 | ||||||
| 3,200 | K92 Mining, Inc.* | 13,891 | ||||||
| 5,400 | Karora Resources, Inc.* | 16,511 | ||||||
| 49,933 | Kinross Gold Corp. | 238,243 | ||||||
| 12,000 | Kobe Steel, Ltd. | 111,040 | ||||||
| 1,800 | Kyoei Steel, Ltd. | 25,500 | ||||||
| 2,500 | Labrador Iron Ore Royalty Corp. | 58,659 | ||||||
| 2,100 | Largo, Inc.* | 8,910 | ||||||
| 14,207 | Lucara Diamond Corp.* | 4,934 | ||||||
| 4,500 | Lundin Gold, Inc. | 53,846 | ||||||
| 28,726 | Lundin Mining Corp. | 225,106 | ||||||
| 27,882 | Lynas Rare Earths, Ltd.* | 128,349 | ||||||
| 48,387 | Macmahon Holdings, Ltd. | 5,000 | ||||||
| 1,600 | Major Drilling Group International, Inc.* | 11,040 | ||||||
| 2,400 | Maruichi Steel Tube, Ltd. | 55,210 | ||||||
| 176,000 | Midas Holdings, Ltd.*(b) | — | ||||||
| 603 | Mineral Resources, Ltd. | 28,960 | ||||||
| 4,200 | Mitsubishi Materials Corp. | 75,826 | ||||||
| 500 | Mitsubishi Steel Manufacturing Co., Ltd. | 4,828 | ||||||
| 1,500 | Mitsui Mining & Smelting Co., Ltd. | 34,583 | ||||||
| 30,000 | Mongolian Mining Corp.* | 7,612 | ||||||
| 27,183 | Mount Gibson Iron, Ltd.* | 7,933 | ||||||
| 2,200 | Neturen Co., Ltd. | 14,920 | ||||||
| 27,410 | New Gold, Inc.* | 29,798 | ||||||
| 1,024 | Newcrest Mining, Ltd. | 18,237 | ||||||
| 11,300 | Newcrest Mining, Ltd. | 201,852 | ||||||
| 58,536 | Nickel Industries, Ltd. | 34,850 | ||||||
| 6,200 | Nippon Denko Co., Ltd. | 12,183 | ||||||
| 2,700 | Nippon Light Metal Holdings Co. | 27,254 | ||||||
See accompanying notes to the financial statements.
26
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Metals & Mining, continued | ||||||||
| 14,395 | Nippon Steel Corp. | $ | 302,204 | |||||
| 930 | Nippon Yakin Kogyo Co., Ltd. | 26,416 | ||||||
| 400 | Nittetsu Mining Co., Ltd. | 12,497 | ||||||
| 9,246 | Norsk Hydro ASA | 54,979 | ||||||
| 16,652 | Northern Star Resources, Ltd. | 135,152 | ||||||
| 28,628 | OceanaGold Corp. | 56,409 | ||||||
| 21,175 | OM Holdings, Ltd. | 7,124 | ||||||
| 500 | Osaka Steel Co., Ltd. | 4,879 | ||||||
| 3,300 | Osisko Gold Royalties, Ltd. | 50,723 | ||||||
| 12,854 | Osisko Mining, Inc.* | 31,247 | ||||||
| 15,995 | Outokumpu Oyj | 85,503 | ||||||
| 900 | Pacific Metals Co., Ltd.* | 9,543 | ||||||
| 11,278 | Pan American Silver Corp. | 164,325 | ||||||
| 33,353 | Perenti Global, Ltd.* | 22,825 | ||||||
| 41,346 | Perseus Mining, Ltd. | 45,905 | ||||||
| 36,817 | Pilbara Minerals, Ltd. | 121,386 | ||||||
| 41,927 | Ramelius Resources, Ltd. | 35,550 | ||||||
| 26,859 | Regis Resources, Ltd. | 33,133 | ||||||
| 95,529 | Resolute Mining, Ltd.* | 24,952 | ||||||
| 10,692 | Rio Tinto plc | 679,147 | ||||||
| 6,489 | Rio Tinto plc, Registered Shares, ADR | 414,258 | ||||||
| 5,634 | Rio Tinto, Ltd. | 433,487 | ||||||
| 1,335 | Salzgitter AG | 48,259 | ||||||
| 18,215 | Sandfire Resources, Ltd.* | 72,200 | ||||||
| 1,200 | Seabridge Gold, Inc.* | 14,468 | ||||||
| 7,176 | Sierra Rutile Holdings, Ltd.* | 1,204 | ||||||
| 32,896 | Silver Lake Resources, Ltd.* | 21,390 | ||||||
| 7,897 | Sims, Ltd. | 83,502 | ||||||
| 53,653 | SolGold plc* | 10,834 | ||||||
| 148,911 | South32, Ltd. | 375,471 | ||||||
| 7,725 | SSAB AB, Class A | 55,009 | ||||||
| 22,114 | SSAB AB, Class B | 153,405 | ||||||
| 8,249 | SSR Mining, Inc. | 117,015 | ||||||
| 30,000 | St. Barbara, Ltd.* | 9,587 | ||||||
| 1,600 | Stelco Holdings, Inc. | 52,206 | ||||||
| 4,366 | Straits Trading Co., Ltd. | 6,663 | ||||||
| 8,300 | Sumitomo Metal Mining Co., Ltd. | 267,544 | ||||||
| 21,718 | Swiss Steel Holding AG* | 3,223 | ||||||
| 13,627 | Syrah Resources, Ltd.* | 8,295 | ||||||
| 12,474 | Taseko Mines, Ltd.* | 17,893 | ||||||
| 16,238 | Teck Resources, Ltd., Class B | 683,305 | ||||||
| 20,766 | thyssenkrupp AG | 162,376 | ||||||
| 900 | Toho Titanium Co., Ltd. | 10,975 | ||||||
| 700 | Toho Zinc Co., Ltd. | 8,239 | ||||||
| 300 | Tokyo Rope Manufacturing Co. Ltd. | 2,441 | ||||||
| 2,300 | Tokyo Steel Manufacturing Co., Ltd. | 21,770 | ||||||
| 4,785 | Torex Gold Resources, Inc.* | 67,986 | ||||||
| 969 | Trevali Mining Corp.*(b) | — | ||||||
| 1,700 | Triple Flag Precious Metals Corp. | 23,396 | ||||||
| 1,500 | UACJ Corp. | 28,544 | ||||||
| 2,097 | Victoria Gold Corp.* | 12,222 | ||||||
| 4,973 | voestalpine AG | 178,689 | ||||||
| 4,200 | Wesdome Gold Mines, Ltd.* | 21,878 | ||||||
| 49,123 | West African Resources, Ltd.* | 28,573 | ||||||
| 14,470 | Westgold Resources, Ltd.* | 13,956 | ||||||
| 2,016 | Wheaton Precious Metals Corp. | 87,194 | ||||||
| 1,000 | Yamato Kogyo Co., Ltd. | 42,812 | ||||||
| 800 | Yodogawa Steel Works, Ltd. | 18,904 | ||||||
|
|
|
|||||||
| 14,447,364 | ||||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Multi-Utilities (0.7%): | ||||||||
| 62,477 | A2A SpA | $ | 114,441 | |||||
| 2,232 | Acea SpA | 29,193 | ||||||
| 12,104 | AGL Energy, Ltd. | 87,512 | ||||||
| 2,005 | Atco, Ltd. | 59,699 | ||||||
| 2,366 | Canadian Utilities, Ltd., Class A | 61,284 | ||||||
| 184,106 | Centrica plc | 289,889 | ||||||
| 25,566 | E.ON SE | 325,842 | ||||||
| 14,053 | Engie SA | 233,723 | ||||||
| 16,835 | Hera SpA | 50,053 | ||||||
| 11,786 | Iren SpA | 21,900 | ||||||
| 2,008 | National Grid plc, ADR | 135,199 | ||||||
| 8,297 | National Grid plc | 109,620 | ||||||
| 11,914 | REN - Redes Energeticas Nacionais SGPS SA | 32,446 | ||||||
| 24,600 | SembCorp Industries, Ltd. | 104,724 | ||||||
| 1,869 | Telecom Plus plc | 40,109 | ||||||
| 6,489 | Vector, Ltd. | 15,998 | ||||||
| 6,496 | Veolia Environnement SA | 205,361 | ||||||
|
|
|
|||||||
| 1,916,993 | ||||||||
|
|
|
|||||||
| Office REITs (0.0%†): | ||||||||
| 3,571 | CLS Holdings plc | 6,131 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels (7.5%): | ||||||||
| 7,481 | Advantage Energy, Ltd.* | 48,853 | ||||||
| 18,755 | Africa Oil Corp. | 39,928 | ||||||
| 4,461 | Aker BP ASA | 104,578 | ||||||
| 8,769 | Ampol, Ltd. | 175,846 | ||||||
| 25,668 | ARC Resources, Ltd. | 342,408 | ||||||
| 28,709 | Athabasca Oil Corp.* | 62,204 | ||||||
| 15,149 | Baytex Energy Corp.* | 49,406 | ||||||
| 2,064 | Baytex Energy Corp.* | 6,729 | ||||||
| 69,875 | Beach Energy, Ltd. | 63,159 | ||||||
| 7,041 | Birchcliff Energy, Ltd. | 41,674 | ||||||
| 575 | BLUENORD ASA* | 21,909 | ||||||
| 15,110 | Boss Energy, Ltd.* | 31,439 | ||||||
| 151,966 | BP plc | 890,200 | ||||||
| 31,944 | BP plc, ADR | 1,127,304 | ||||||
| 173,000 | Brightoil Petroleum Holdings, Ltd.*(b) | — | ||||||
| 756 | BW Energy, Ltd.* | 1,819 | ||||||
| 2,656 | BW LPG, Ltd.(a) | 26,543 | ||||||
| 1,022 | Cameco Corp. | 32,019 | ||||||
| 789 | Cameco Corp. | 24,714 | ||||||
| 1,527 | Canacol Energy, Ltd. | 12,139 | ||||||
| 6,882 | Canadian Natural Resources, Ltd. | 387,181 | ||||||
| 4,300 | Canadian Natural Resources, Ltd. | 241,782 | ||||||
| 10,396 | Capricorn Energy plc | 24,496 | ||||||
| 3,012 | Cardinal Energy, Ltd.^ | 14,962 | ||||||
| 194,347 | Carnarvon Energy, Ltd.* | 16,877 | ||||||
| 2,956 | Cenovus Energy, Inc. | 50,193 | ||||||
| 23,153 | Cenovus Energy, Inc. | 393,283 | ||||||
| 7,392 | Channel Infrastructure NZ, Ltd. | 6,677 | ||||||
| 13,100 | China Aviation Oil Singapore Corp., Ltd. | 9,125 | ||||||
| 64,430 | Cooper Energy, Ltd.* | 6,461 | ||||||
| 3,600 | Cosmo Energy Holdings Co., Ltd. | 98,518 | ||||||
| 8,781 | Crescent Point Energy Corp. | 59,096 | ||||||
| 15,061 | Crescent Point Energy Corp. | 101,422 | ||||||
| 8,223 | Crew Energy, Inc.* | 33,771 | ||||||
| 854 | CropEnergies AG | 9,335 | ||||||
| 4,317 | d’Amico International Shipping SA* | 16,763 | ||||||
| 263 | Delek Group, Ltd. | 30,041 | ||||||
| 18,620 | Diversified Energy Co. plc | 20,894 | ||||||
See accompanying notes to the financial statements.
27
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Oil, Gas & Consumable Fuels, continued | ||||||||
| 20,320 | DNO ASA | $ | 17,910 | |||||
| 7,200 | ECORA RESOURCES plc | 10,518 | ||||||
| 9,908 | Enbridge, Inc. | 368,315 | ||||||
| 96,700 | ENEOS Holdings, Inc. | 331,359 | ||||||
| 2,930 | Energean PLC | 38,215 | ||||||
| 1,500 | Enerplus Corp. | 21,742 | ||||||
| 47,830 | Eni SpA | 689,618 | ||||||
| 120,434 | EnQuest plc* | 22,798 | ||||||
| 8,723 | Equinor ASA | 253,504 | ||||||
| 1,081 | Equital, Ltd.* | 30,406 | ||||||
| 15,527 | Esken, Ltd.* | 541 | ||||||
| 1,390 | Etablissements Maurel et Prom SA | 5,922 | ||||||
| 2,256 | Euronav NV | 34,195 | ||||||
| 1,579 | Exmar NV | 18,455 | ||||||
| 762 | FLEX LNG, Ltd. | 23,218 | ||||||
| 3,700 | Freehold Royalties, Ltd. | 37,542 | ||||||
| 2,600 | Frontera Energy Corp.* | 21,611 | ||||||
| 2,211 | Frontline plc | 31,834 | ||||||
| 3,100 | Fuji Oil Co., Ltd. | 5,895 | ||||||
| 22,822 | Galp Energia SGPS SA | 266,818 | ||||||
| 298 | Gaztransport et Technigaz SA | 30,342 | ||||||
| 15,200 | Gear Energy, Ltd. | 11,016 | ||||||
| 6,249 | Genel Energy plc | 8,207 | ||||||
| 5,750 | Gibson Energy, Inc. | 90,422 | ||||||
| 22,100 | Golden Energy Resources, Ltd.* | 2,941 | ||||||
| 1,960 | Gran Tierra Energy, Inc.* | 9,588 | ||||||
| 14,984 | Gulf Keystone Petroleum, Ltd. | 22,908 | ||||||
| 4,009 | Hafnia, Ltd. | 19,597 | ||||||
| 5,643 | Harbour Energy plc | 16,402 | ||||||
| 9,100 | Headwater Exploration, Inc. | 43,624 | ||||||
| 7,800 | Idemitsu Kosan Co., Ltd. | 156,597 | ||||||
| 2,881 | Imperial Oil, Ltd. | 147,421 | ||||||
| 21,000 | Inpex Corp. | 234,219 | ||||||
| 2,244 | International Petroleum Corp.* | 18,381 | ||||||
| 2,823 | International Petroleum Corp. / Sweden* | 23,132 | ||||||
| 3,600 | Itochu Enex Co., Ltd. | 31,781 | ||||||
| 1,700 | Iwatani Corp. | 89,935 | ||||||
| 1,000 | Japan Petroleum Exploration Co., Ltd. | 29,970 | ||||||
| 2,500 | Journey Energy, Inc.* | 10,324 | ||||||
| 24,713 | Karoon Energy, Ltd.* | 32,676 | ||||||
| 7,300 | Kelt Exploration, Ltd.* | 30,807 | ||||||
| 7,201 | Keyera Corp. | 166,081 | ||||||
| 3,130 | Koninklijke Vopak NV | 111,610 | ||||||
| 2,000 | Logan Energy Corp. CA* | — | ||||||
| 10,807 | MEG Energy Corp.* | 171,332 | ||||||
| 1,700 | Mitsuuroko Holdings Co., Ltd. | 16,343 | ||||||
| 1,502 | Naphtha Israel Petroleum Corp. | 6,255 | ||||||
| 2,621 | Neste Oyj | 101,006 | ||||||
| 21,426 | New Hope Corp., Ltd. | 69,795 | ||||||
| 64,000 | NewOcean Energy Holdings, Ltd.* | 57 | ||||||
| 21,200 | Nippon Coke & Engineering Co., Ltd.* | 17,112 | ||||||
| 7,754 | Nuvista Energy, Ltd.* | 62,168 | ||||||
| 104,047 | Oil Refineries, Ltd. | 29,775 | ||||||
| 1,685 | OMV AG | 71,390 | ||||||
| 41,785 | Paladin Energy, Ltd.* | 20,527 | ||||||
| 5,770 | Panoro Energy ASA | 14,116 | ||||||
| 3,407 | Paramount Resouces, Ltd., Class A | 74,076 | ||||||
| 4,673 | Parex Resources, Inc. | 93,700 | ||||||
| 6,100 | Parkland Corp. | 151,970 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Oil, Gas & Consumable Fuels, continued | ||||||||
| 507 | Paz Oil Co., Ltd.* | $ | 54,530 | |||||
| 1,584 | Pembina Pipeline Corp. | 49,801 | ||||||
| 9,211 | Pembina Pipeline Corp. | 289,626 | ||||||
| 7,660 | Peyto Exploration & Development Corp. | 63,380 | ||||||
| 12,892 | Pharos Energy plc | 3,601 | ||||||
| 10,900 | Pine Cliff Energy, Ltd. | 11,767 | ||||||
| 7,163 | Pipestone Energy Corp. | 12,275 | ||||||
| 6,232 | Prairiesky Royalty, Ltd. | 108,964 | ||||||
| 30,799 | PT Golden Energy Mines Tbk | 18,320 | ||||||
| 27,282 | Repsol SA | 396,643 | ||||||
| 1,600 | Sala Corp. | 8,740 | ||||||
| 3,100 | San-Ai Oil Co., Ltd. | 32,886 | ||||||
| 61,259 | Santos, Ltd. | 308,473 | ||||||
| 23,460 | Saras SpA | 29,115 | ||||||
| 8,575 | Serica Energy plc | 22,927 | ||||||
| 34,290 | Shell plc, ADR | 2,070,430 | ||||||
| 51,340 | Shell plc | 1,528,328 | ||||||
| 400 | Sinanen Holdings Co., Ltd. | 10,607 | ||||||
| 2,000 | Spartan Delta Corp. | 7,172 | ||||||
| 9,472 | Suncor Energy, Inc. | 277,719 | ||||||
| 16,178 | Suncor Energy, Inc. | 474,617 | ||||||
| 9,600 | Tamarack Valley Energy, Ltd. | 23,264 | ||||||
| 1,817 | TC Energy Corp. | 73,425 | ||||||
| 5,183 | TC Energy Corp. | 209,496 | ||||||
| 3,303 | Tethys Oil AB | 14,951 | ||||||
| 13,400 | Tidewater Midstream and Infrastructure, Ltd. | 9,459 | ||||||
| 3,400 | Topaz Energy Corp. | 52,953 | ||||||
| 906 | Torm plc | 21,793 | ||||||
| 663 | TORM plc, Class A | 15,948 | ||||||
| 41,514 | TotalEnergies SE | 2,379,042 | ||||||
| 8,938 | Tourmaline Oil Corp. | 421,191 | ||||||
| 64,721 | Tullow Oil plc* | 23,200 | ||||||
| 9,392 | Var Energi ASA | 25,560 | ||||||
| 542 | Verbio Vereinigte Bioenergie AG | 21,811 | ||||||
| 4,283 | Vermilion Energy, Inc. | 53,416 | ||||||
| 35,418 | Viva Energy Group, Ltd.(a) | 71,341 | ||||||
| 27,552 | Whitecap Resources, Inc. | 192,818 | ||||||
| 35,316 | Whitehaven Coal, Ltd. | 158,621 | ||||||
| 24,852 | Woodside Energy Group, Ltd. | 575,408 | ||||||
| 3,625 | Yancoal Australia, Ltd. | 11,116 | ||||||
|
|
|
|||||||
| 19,226,501 | ||||||||
|
|
|
|||||||
| Paper & Forest Products (0.5%): | ||||||||
| 2,718 | Altri SGPS SA^ | 12,340 | ||||||
| 2,829 | Canfor Corp.* | 50,788 | ||||||
| 600 | Daiken Corp. | 9,575 | ||||||
| 3,000 | Daio Paper Corp. | 23,637 | ||||||
| 8,317 | Ence Energia y Celulosa S.A | 26,213 | ||||||
| 6,700 | Hokuetsu Corp. | 40,495 | ||||||
| 1,406 | Holmen AB, B Shares | 50,548 | ||||||
| 1,527 | Interfor Corp.* | 28,797 | ||||||
| 6,283 | Metsa Board Oyj | 46,405 | ||||||
| 7,278 | Mondi plc | 111,104 | ||||||
| 11,089 | Navigator Co. SA (The) | 37,575 | ||||||
| 4,800 | Nippon Paper Industries Co., Ltd.* | 39,607 | ||||||
| 2,562 | Nordic Paper Holding AB | 7,395 | ||||||
| 5,393 | Norske Skog ASA*(a) | 21,228 | ||||||
| 28,900 | Oji Holdings Corp. | 108,263 | ||||||
| 798 | Stella-Jones, Inc. | 41,099 | ||||||
| 16,530 | Stora Enso Oyj, Class R | 191,557 | ||||||
See accompanying notes to the financial statements.
28
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Paper & Forest Products, continued | ||||||||
| 5,304 | Svenska Cellulosa AB SCA, Class B | $ | 67,684 | |||||
| 600 | Tokushu Tokai Paper Co., Ltd. | 13,448 | ||||||
| 7,857 | UPM-Kymmene Oyj | 234,134 | ||||||
| 2,554 | West Fraser Timber Co., Ltd. | 219,440 | ||||||
| 24,618 | Western Forest Products, Inc. | 19,329 | ||||||
|
|
|
|||||||
| 1,400,661 | ||||||||
|
|
|
|||||||
| Passenger Airlines (0.2%): | ||||||||
| 3,200 | Air Canada* | 60,371 | ||||||
| 15,527 | Air France-KLM* | 29,249 | ||||||
| 80,763 | Air New Zealand, Ltd.* | 38,722 | ||||||
| 1,200 | ANA Holdings, Inc.* | 28,634 | ||||||
| 57,347 | Cathay Pacific Airways, Ltd.* | 58,735 | ||||||
| 7,555 | Deutsche Lufthansa AG* | 77,321 | ||||||
| 5,559 | easyJet plc* | 34,218 | ||||||
| 528 | Exchange Income Corp. | 20,891 | ||||||
| 1,600 | Japan Airlines Co., Ltd. | 34,761 | ||||||
| 2,549 | JET2 plc | 40,314 | ||||||
| 10,542 | Qantas Airways, Ltd.* | 43,704 | ||||||
| 25,600 | Singapore Airlines, Ltd. | 135,514 | ||||||
|
|
|
|||||||
| 602,434 | ||||||||
|
|
|
|||||||
| Personal Care Products (0.8%): | ||||||||
| 306 | Beiersdorf AG | 40,482 | ||||||
| 3,201 | Best World International, Ltd.* | 4,348 | ||||||
| 307 | Blackmores, Ltd. | 19,315 | ||||||
| 800 | Fancl Corp. | 13,342 | ||||||
| 12,238 | Haleon plc | 50,355 | ||||||
| 5,222 | Haleon PLC, ADR | 43,760 | ||||||
| 409 | Interparfums SA | 29,158 | ||||||
| 1,514 | Jamieson Wellness, Inc.(a) | 34,301 | ||||||
| 4,300 | Kao Corp. | 155,760 | ||||||
| 300 | Kobayashi Pharmaceutical Co., Ltd. | 16,325 | ||||||
| 200 | Kose Corp. | 19,227 | ||||||
| 16,500 | L’occitane International SA | 39,749 | ||||||
| 1,446 | L’Oreal SA | 674,751 | ||||||
| 1,600 | Mandom Corp. | 16,108 | ||||||
| 1,000 | Milbon Co., Ltd. | 34,219 | ||||||
| 600 | Noevir Holdings Co., Ltd. | 22,840 | ||||||
| 2,645 | Ontex Group NV* | 19,914 | ||||||
| 1,200 | Pola Orbis Holdings, Inc. | 17,490 | ||||||
| 5,635 | PZ Cussons plc | 11,615 | ||||||
| 2,000 | Rohto Pharmaceutical Co., Ltd. | 45,180 | ||||||
| 1,900 | Shiseido Co., Ltd. | 86,091 | ||||||
| 5,719 | Unilever plc | 298,155 | ||||||
| 8,310 | Unilever plc, ADR | 433,200 | ||||||
| 1 | Unilever plc | 52 | ||||||
| 1,300 | YA-MAN, Ltd.^ | 9,130 | ||||||
|
|
|
|||||||
| 2,134,867 | ||||||||
|
|
|
|||||||
| Pharmaceuticals (3.9%): | ||||||||
| 2,004 | Alk Abello A/S* | 21,896 | ||||||
| 15,687 | Alliance Pharma plc | 9,929 | ||||||
| 2,003 | Almirall SA | 16,556 | ||||||
| 5,600 | Astellas Pharma, Inc. | 83,457 | ||||||
| 3,840 | AstraZeneca plc | 549,945 | ||||||
| 2,013 | AstraZeneca plc, ADR | 144,070 | ||||||
| 491 | Aurora Cannabis, Inc.* | 259 | ||||||
| 6,486 | Bausch Health Cos., Inc.* | 51,904 | ||||||
| 1,145 | Bausch Health Cos., Inc.* | 9,160 | ||||||
| 16,247 | Bayer AG, Registered Shares | 898,145 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Pharmaceuticals, continued | ||||||||
| 298 | Boiron SA | $ | 12,750 | |||||
| 900 | Canopy Growth Corp.* | 347 | ||||||
| 5,000 | Chugai Pharmaceutical Co., Ltd. | 142,215 | ||||||
| 207 | COSMO Pharmaceuticals NV | 10,465 | ||||||
| 1,800 | Daiichi Sankyo Co., Ltd. | 57,086 | ||||||
| 300 | Daito Pharmaceutical Co., Ltd. | 4,777 | ||||||
| 324 | Dermapharm Holding SE | 16,011 | ||||||
| 500 | Eisai Co., Ltd. | 33,699 | ||||||
| 192 | Euroapi SA* | 2,201 | ||||||
| 9,153 | Faes Farma SA | 31,771 | ||||||
| 700 | Fuji Pharma Co., Ltd. | 5,661 | ||||||
| 500 | Fuso Pharmaceutical Industries. Ltd. | 6,967 | ||||||
| 12,251 | GSK plc | 216,375 | ||||||
| 9,383 | GSK PLC, ADR | 334,410 | ||||||
| 10,077 | H Lundbeck A/S | 47,995 | ||||||
| 4,354 | H Lundbeck A/S, Class A | 19,368 | ||||||
| 3,600 | Haw Par Corp., Ltd. | 24,932 | ||||||
| 4,636 | Hikma Pharmaceuticals plc | 111,360 | ||||||
| 800 | Hisamitsu Pharmaceutical Co., Inc. | 20,997 | ||||||
| 5,536 | Indivior plc* | 128,383 | ||||||
| 1,149 | Ipsen SA | 138,260 | ||||||
| 2,400 | JCR Pharmaceuticals Co., Ltd. | 21,307 | ||||||
| 1,000 | Kaken Pharmaceutical Co., Ltd. | 25,094 | ||||||
| 1,000 | Kissei Pharmaceutical Co., Ltd. | 20,069 | ||||||
| 900 | Kyowa Kirin Co., Ltd. | 16,638 | ||||||
| 680 | Laboratorios Farmaceuticos Rovi SA | 31,440 | ||||||
| 4,918 | Mayne Pharma Group, Ltd. | 14,419 | ||||||
| 647 | Merck KGaA | 106,960 | ||||||
| 400 | Mochida Pharmaceutical Co., Ltd. | 9,173 | ||||||
| 900 | Nippon Shinyaku Co., Ltd. | 36,715 | ||||||
| 12,781 | Novartis AG | 1,290,314 | ||||||
| 13,507 | Novo Nordisk A/S, Class B | 2,181,886 | ||||||
| 5,400 | Ono Pharmaceutical Co., Ltd. | 97,922 | ||||||
| 658 | Orion Oyj, Class A | 27,855 | ||||||
| 2,840 | Orion Oyj, Class B | 117,842 | ||||||
| 1,400 | Otsuka Holdings Co., Ltd. | 51,316 | ||||||
| 795 | Recordati Industria Chimica e Farmaceutica SpA | 37,994 | ||||||
| 164 | Roche Holding AG | 53,837 | ||||||
| 3,822 | Roche Holding AG | 1,168,312 | ||||||
| 5,515 | Sanofi | 591,168 | ||||||
| 7,300 | Santen Pharmaceutical Co., Ltd. | 62,089 | ||||||
| 1,700 | Sawai Group Holdings Co., Ltd. | 42,890 | ||||||
| 1,300 | Seikagaku Corp. | 6,824 | ||||||
| 2,700 | Shionogi & Co., Ltd. | 114,087 | ||||||
| 2,832 | SNDL, Inc.* | 3,880 | ||||||
| 3,200 | Sumitomo Dainippon Pharma Co., Ltd. | 14,204 | ||||||
| 4,000 | SymBio Pharmaceuticals, Ltd.*^ | 12,091 | ||||||
| 800 | Taisho Pharmaceutical Holdings Co., Ltd. | 30,142 | ||||||
| 8,900 | Takeda Pharmaceutical Co., Ltd. | 279,765 | ||||||
| 5,753 | Teva Pharmaceutical Industries, Ltd., ADR* | 43,320 | ||||||
| 800 | Torii Pharmaceutical Co., Ltd. | 20,165 | ||||||
| 1,200 | Towa Pharmaceutical Co., Ltd. | 14,799 | ||||||
| 2,000 | Tsumura & Co. | 37,026 | ||||||
| 544 | UCB SA | 48,209 | ||||||
| 26,000 | United Laboratories International Holdings, Ltd. | 21,753 | ||||||
| 299 | Vetoquinol SA | 29,819 | ||||||
| 179 | Virbac SA | 52,894 | ||||||
| 1,100 | ZERIA Pharmaceutical Co., Ltd. | 18,739 | ||||||
|
|
|
|||||||
| 9,904,308 | ||||||||
|
|
|
|||||||
See accompanying notes to the financial statements.
29
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Professional Services (2.1%): | ||||||||
| 6,879 | Adecco Group AG | $ | 224,598 | |||||
| 61 | Adyen NV*(a) | 105,679 | ||||||
| 2,295 | AFRY AB | 33,916 | ||||||
| 12,975 | ALS, Ltd. | 96,873 | ||||||
| 770 | Altech Corp. | 16,023 | ||||||
| 111 | Amadeus Fire AG | 13,551 | ||||||
| 5,169 | Amadeus IT Group SA* | 394,053 | ||||||
| 5,585 | Applus Services SA | 60,106 | ||||||
| 2,192 | Arcadis NV | 91,765 | ||||||
| 1,900 | BayCurrent Consulting, Inc. | 71,390 | ||||||
| 1,800 | Bell System24 Holdings, Inc. | 17,039 | ||||||
| 2,600 | Benefit One, Inc. | 26,650 | ||||||
| 372 | Bertrandt AG | 19,885 | ||||||
| 1,661 | Brunel International NV | 21,652 | ||||||
| 9,727 | Bureau Veritas SA | 266,784 | ||||||
| 26,624 | Capita plc* | 9,273 | ||||||
| 5,155 | Computershare, Ltd. | 80,692 | ||||||
| 700 | Creek & River Co., Ltd. | 9,581 | ||||||
| 180 | Danel Adir Yeoshua, Ltd. | 12,795 | ||||||
| 1,200 | dip Corp. | 29,993 | ||||||
| 1,661 | DKSH Holding, Ltd. | 123,623 | ||||||
| 14,199 | DWF Group plc(a) | 10,820 | ||||||
| 900 | en Japan, Inc. | 15,596 | ||||||
| 9,267 | Experian plc | 356,032 | ||||||
| 1,200 | FULLCAST Holdings Co., Ltd. | 18,308 | ||||||
| 1,500 | Funai Soken Holdings, Inc. | 26,641 | ||||||
| 175 | Groupe Crit | 14,131 | ||||||
| 37,731 | Hays plc | 49,071 | ||||||
| 690 | Hilan, Ltd. | 34,156 | ||||||
| 3,100 | Infomart Corp. | 7,109 | ||||||
| 1,600 | Insource Co., Ltd. | 13,180 | ||||||
| 2,428 | Intertek Group plc | 131,771 | ||||||
| 4,735 | IPH, Ltd. | 24,764 | ||||||
| 300 | IR Japan Holdings, Ltd. | 3,414 | ||||||
| 1,000 | JAC Recruitment Co., Ltd. | 18,175 | ||||||
| 1,000 | LIKE, Inc. | 11,702 | ||||||
| 19,489 | Link Administration Holdings, Ltd. | 21,825 | ||||||
| 5,600 | Link And Motivation, Inc. | 16,713 | ||||||
| 1,000 | Management Solutions Co., Ltd. | 28,566 | ||||||
| 3,994 | McMillan Shakespeare, Ltd. | 48,220 | ||||||
| 1,500 | Meitec Corp. | 25,889 | ||||||
| 14,213 | Nexi SpA*(a) | 111,576 | ||||||
| 5,500 | Nihon M&A Center, Inc. | 42,239 | ||||||
| 1,900 | Open Up Group, Inc. | 27,879 | ||||||
| 3,000 | Outsourcing, Inc. | 28,639 | ||||||
| 12,547 | Pagegroup plc | 63,971 | ||||||
| 1,400 | Pasona Group, Inc. | 16,264 | ||||||
| 2,100 | Persol Holdings Co., Ltd. | 38,007 | ||||||
| 4,074 | Randstad NV | 214,686 | ||||||
| 10,100 | Recruit Holdings Co., Ltd. | 322,360 | ||||||
| 6,345 | RELX plc | 211,498 | ||||||
| 5,236 | RELX plc, ADR | 175,039 | ||||||
| 2,839 | RELX plc | 94,653 | ||||||
| 2,833 | Ricardo plc | 20,580 | ||||||
| 3,902 | Robert Walters plc | 20,411 | ||||||
| 5,749 | RWS Holdings plc | 17,224 | ||||||
| 1,750 | SGS SA, Registered Shares | 165,332 | ||||||
| 1,300 | SIGMAXYZ Holdings, Inc. | 12,566 | ||||||
| 3,267 | Smartgroup Corp., Ltd. | 17,318 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Professional Services, continued | ||||||||
| 2,500 | SMS Co., Ltd. | $ | 50,100 | |||||
| 3,200 | S-Pool, Inc. | 11,765 | ||||||
| 7,669 | SThree plc | 33,339 | ||||||
| 1,633 | Talenom Oyj | 12,967 | ||||||
| 1,100 | Tanseisha Co., Ltd. | 6,042 | ||||||
| 2,800 | Technopro Holdings, Inc. | 60,733 | ||||||
| 791 | Teleperformance | 132,777 | ||||||
| 2,200 | TELUS International Cda, Inc.* | 33,367 | ||||||
| 293 | Thomson Reuters Corp. | 39,537 | ||||||
| 1,065 | Tinexta SpA | 19,595 | ||||||
| 1,000 | TKC Corp. | 27,069 | ||||||
| 700 | Transcosmos, Inc. | 17,398 | ||||||
| 1,100 | UT Group Co., Ltd.* | 23,248 | ||||||
| 700 | Visional, Inc.*^ | 38,757 | ||||||
| 300 | Weathernews, Inc. | 13,872 | ||||||
| 3,266 | Wise plc, Class A* | 27,248 | ||||||
| 4,035 | Wolters Kluwer NV | 512,294 | ||||||
|
|
|
|||||||
| 5,262,354 | ||||||||
|
|
|
|||||||
| Real Estate Management & Development (2.1%): | ||||||||
| 697 | Aedas Homes SA(a) | 13,714 | ||||||
| 1,700 | AEON Mall Co., Ltd. | 22,018 | ||||||
| 206 | AFI Properties, Ltd.* | 7,703 | ||||||
| 1,001 | Airport City, Ltd.* | 13,244 | ||||||
| 2,300 | Airport Facilities Co., Ltd. | 8,794 | ||||||
| 714 | Allreal Holding AG, Registered Shares | 120,640 | ||||||
| 1,972 | Alony Hetz Properties & Invest | 15,522 | ||||||
| 492 | Alrov Properties And Lodgings, Ltd. | 22,600 | ||||||
| 700 | Altus Group, Ltd. | 23,215 | ||||||
| 2,393 | Amot Investments, Ltd. | 12,618 | ||||||
| 2,116 | Annehem Fastigheter AB, Class B* | 3,500 | ||||||
| 11,406 | Aroundtown SA | 13,153 | ||||||
| 46,000 | Asia Standard International Group, Ltd.* | 3,522 | ||||||
| 1,281 | Atrium Ljungberg AB, B Shares | 22,165 | ||||||
| 233 | Azrieli Group, Ltd. | 13,178 | ||||||
| 210 | Big Shopping Centers, Ltd.* | 18,920 | ||||||
| 116 | Blue Square Real Estate, Ltd. | 6,734 | ||||||
| 59 | Brack Capital Properties NV* | 6,081 | ||||||
| 3,700 | Bukit Sembawang Estates, Ltd. | 11,061 | ||||||
| 695 | CA Immobilien Anlagen AG | 20,145 | ||||||
| 28,100 | Capitaland India Trust | 23,689 | ||||||
| 25,700 | CapitaLand Investment, Ltd. | 63,181 | ||||||
| 2,130 | Castellum AB | 20,356 | ||||||
| 781 | Catena AB | 28,618 | ||||||
| 2,946 | Cedar Woods Properties, Ltd. | 9,879 | ||||||
| 18,000 | Chinese Estates Holdings, Ltd.* | 5,430 | ||||||
| 52,000 | Chuang’s Consortium International, Ltd. | 3,455 | ||||||
| 851 | Cibus Nordic Real Estate AB | 8,288 | ||||||
| 16,600 | City Developments, Ltd. | 82,776 | ||||||
| 1,684 | Citycon Oyj | 10,695 | ||||||
| 27,675 | CK Asset Holdings, Ltd. | 153,595 | ||||||
| 127 | Colliers International Group | 12,470 | ||||||
| 600 | Colliers International Group, Inc. | 58,886 | ||||||
| 12,641 | Corem Property Group AB, Class B | 5,955 | ||||||
| 340,000 | CSI Properties, Ltd. | 6,203 | ||||||
| 2,413 | CTP NV(a) | 31,324 | ||||||
| 1,100 | Daito Trust Construction Co., Ltd. | 111,624 | ||||||
| 8,400 | Daiwa House Industry Co., Ltd. | 222,031 | ||||||
| 478 | Deutsche EuroShop AG | 10,914 | ||||||
| 1,307 | Deutsche Wohnen SE | 30,046 | ||||||
See accompanying notes to the financial statements.
30
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Real Estate Management & Development, continued | ||||||||
| 1,139 | DIC Asset AG | $ | 6,324 | |||||
| 2,651 | Dios Fastigheter AB | 16,929 | ||||||
| 1,450 | DREAM Unlimited Corp. | 22,583 | ||||||
| 34,000 | Emperor International Holdings, Ltd. | 2,210 | ||||||
| 577 | Entra ASA(a) | 5,236 | ||||||
| 55,400 | ESR Group, Ltd.(a) | 95,379 | ||||||
| 4,939 | Fabege AB | 35,664 | ||||||
| 83,930 | Far East Consortium International, Ltd. | 19,954 | ||||||
| 8,276 | Fastighets AB Balder, B Shares* | 30,253 | ||||||
| 862 | FastPartner AB, Class A | 3,240 | ||||||
| 300 | FirstService Corp., Class WI | 46,207 | ||||||
| 436 | FirstService Corp., Class WI | 67,183 | ||||||
| 11,092 | Foxtons Group plc | 5,327 | ||||||
| 16,000 | Frasers Property, Ltd. | 10,125 | ||||||
| 2,231 | Gav-Yam Lands Corp., Ltd. | 15,734 | ||||||
| 1,100 | Goldcrest Co., Ltd. | 13,739 | ||||||
| 28,069 | Grainger plc | 81,089 | ||||||
| 1,873 | Grand City Properties SA | 14,686 | ||||||
| 10,516 | Great Eagle Holdings, Ltd. | 20,541 | ||||||
| 17,100 | GuocoLand, Ltd. | 19,223 | ||||||
| 28,000 | Hang Lung Group, Ltd. | 42,549 | ||||||
| 56,984 | Hang Lung Properties, Ltd. | 87,954 | ||||||
| 7,709 | Harworth Group plc | 10,326 | ||||||
| 1,200 | Heiwa Real Estate Co., Ltd. | 31,742 | ||||||
| 5,154 | Helical plc | 17,007 | ||||||
| 14,706 | Henderson Land Development Co., Ltd. | 43,851 | ||||||
| 143 | Hiag Immobilien Holding AG | 12,147 | ||||||
| 37,840 | HKR International, Ltd. | 10,090 | ||||||
| 9,400 | Ho Bee Land, Ltd. | 14,261 | ||||||
| 18,500 | Hong Fok Corp., Ltd. | 13,593 | ||||||
| 15,800 | Hongkong Land Holdings, Ltd. | 61,729 | ||||||
| 2,049 | Hufvudstaden AB, Class A | 24,353 | ||||||
| 9,700 | Hulic Co., Ltd. | 83,255 | ||||||
| 11,000 | Hysan Development Co., Ltd. | 26,900 | ||||||
| 7,300 | Ichigo, Inc. | 14,026 | ||||||
| 151 | IES Holdings, Ltd.* | 11,109 | ||||||
| 242 | Immobel SA | 9,200 | ||||||
| 218 | Ina Invest Holding AG* | 4,456 | ||||||
| 700 | Information Services Corp. | 11,198 | ||||||
| 2,409 | Instone Real Estate Group AG(a) | 14,405 | ||||||
| 29 | Intershop Holdings AG | 19,346 | ||||||
| 2,000 | Invesque, Inc.* | 1,560 | ||||||
| 164 | Investis Holding SA | 16,823 | ||||||
| 1,643 | Israel Canada T.R, Ltd. | 3,809 | ||||||
| 32,180 | IWG plc* | 56,356 | ||||||
| 800 | JINUSHI Co., Ltd. | 10,570 | ||||||
| 25,000 | K Wah International Holdings Ltd. | 8,016 | ||||||
| 1,500 | Katitas Co., Ltd. | 25,822 | ||||||
| 1,200 | Keihanshin Building Co., Ltd. | 9,649 | ||||||
| 16,225 | Kerry Properties, Ltd. | 33,646 | ||||||
| 2,347 | K-fast Holding AB* | 4,202 | ||||||
| 3,270 | Kojamo Oyj | 30,750 | ||||||
| 26,000 | Kowloon Development Co., Ltd. | 26,834 | ||||||
| 17,100 | Lai Sun Development Co., Ltd.* | 3,123 | ||||||
| 44,500 | Langham Hospitality Investments and Langham Hospitality Investments, Ltd. | 5,688 | ||||||
| 589 | LEG Immobilien SE | 33,824 | ||||||
| 14,551 | Lendlease Corp., Ltd. | 75,277 | ||||||
| 8,900 | Leopalace21 Corp.* | 16,564 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Real Estate Management & Development, continued | ||||||||
| 3,460 | Lifestyle Communities, Ltd. | $ | 36,450 | |||||
| 8,000 | Liu Chong Hing Investment, Ltd. | 6,172 | ||||||
| 4,644 | LSL Property Services plc | 16,508 | ||||||
| 543 | Mega Or Holdings, Ltd. | 11,285 | ||||||
| 463 | Melisron, Ltd. | 30,044 | ||||||
| 59,000 | Mingfa Group International Co., Ltd.* | 1,962 | ||||||
| 4,200 | Mirarth Holdings, Inc. | 12,962 | ||||||
| 6,700 | Mitsubishi Estate Co., Ltd. | 79,926 | ||||||
| 6,000 | Mitsui Fudosan Co., Ltd. | 119,725 | ||||||
| 9,306 | Mivne Real Estate KD, Ltd. | 22,803 | ||||||
| 342 | Mobimo Holding AG, Registered Shares | 92,379 | ||||||
| 100 | Morguard Corp. | 7,700 | ||||||
| 28,087 | New World Development Co., Ltd. | 69,377 | ||||||
| 1,539 | Nexity SA | 31,097 | ||||||
| 1,700 | Nisshin Group Holdings Co., Ltd. | 6,114 | ||||||
| 2,300 | Nomura Real Estate Holdings, Inc. | 54,717 | ||||||
| 522 | NP3 Fastigheter AB | 7,896 | ||||||
| 6,438 | Nyfosa AB | 35,734 | ||||||
| 17,900 | Oue, Ltd. | 13,909 | ||||||
| 54,608 | Oxley Holdings, Ltd. | 5,140 | ||||||
| 25,655 | Pacific Century Premium Developments, Ltd.* | 1,161 | ||||||
| 1,455 | PATRIZIA SE | 17,309 | ||||||
| 5,361 | PEXA Group, Ltd.* | 48,996 | ||||||
| 1,195 | Platzer Fastigheter Holding AB, Class B | 8,856 | ||||||
| 222 | Prashkovsky Investments And Construction, Ltd. | 5,412 | ||||||
| 1,324 | PSP Swiss Property AG | 148,065 | ||||||
| 125 | Raysum Co., Ltd. | 2,577 | ||||||
| 3,244 | Real Matters, Inc.* | 14,841 | ||||||
| 2,900 | Relo Group, Inc. | 39,579 | ||||||
| 1,892 | Sagax AB, Class B | 37,408 | ||||||
| 22,824 | Samhallsbyggnadsbolaget i Norden AB | 8,745 | ||||||
| 1,200 | SAMTY Co., Ltd. | 18,682 | ||||||
| 3,518 | Savills plc | 38,108 | ||||||
| 1,875 | Selvaag Bolig ASA | 5,640 | ||||||
| 112,800 | Shin Hwa World, Ltd.* | 1,383 | ||||||
| 70,000 | Shun Tak Holdings, Ltd.* | 11,010 | ||||||
| 795 | Shurgard Self Storage, Ltd. | 36,299 | ||||||
| 100,800 | Sinarmas Land, Ltd. | 14,995 | ||||||
| 50,863 | Sino Land Co., Ltd. | 62,548 | ||||||
| 34,943 | Sirius Real Estate, Ltd. | 37,900 | ||||||
| 5,000 | Soundwill Holdings, Ltd. | 4,221 | ||||||
| 200 | SRE Holdings Corp.* | 5,351 | ||||||
| 1,800 | Starts Corp., Inc. | 36,975 | ||||||
| 5,500 | Sumitomo Realty & Development Co., Ltd. | 136,331 | ||||||
| 1,493 | Summit Real Estate Holdings, Ltd. | 19,233 | ||||||
| 1,800 | Sun Frontier Fudousan Co., Ltd. | 17,917 | ||||||
| 8,921 | Sun Hung Kai Properties, Ltd. | 112,524 | ||||||
| 9,646 | Swire Pacific, Ltd., Class A | 74,216 | ||||||
| 17,500 | Swire Pacific, Ltd., Class B | 22,094 | ||||||
| 8,600 | Swire Properties, Ltd. | 21,199 | ||||||
| 1,615 | Swiss Prime Site AG, Registered Shares | 140,199 | ||||||
| 3,096 | TAG Immobilien AG* | 29,255 | ||||||
| 21,000 | TAI Cheung Holdings, Ltd. | 9,822 | ||||||
| 1,000 | TKP Corp.* | 19,139 | ||||||
| 2,900 | TOC Co, Ltd. | 12,740 | ||||||
| 6,400 | Tokyo Tatemono Co., Ltd. | 82,587 | ||||||
| 25,500 | Tokyu Fudosan Holdings Corp. | 145,970 | ||||||
| 2,400 | Tosei Corp. | 29,225 | ||||||
| 4,220 | Tricon Residential, Inc.^ | 37,211 | ||||||
See accompanying notes to the financial statements.
31
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Real Estate Management & Development, continued | ||||||||
| 213 | UBM Development AG | $ | 6,087 | |||||
| 12,600 | UOL Group, Ltd. | 60,022 | ||||||
| 241 | VGP NV | 23,614 | ||||||
| 4,568 | Vonovia SE | 89,179 | ||||||
| 9,647 | Wallenstam AB | 32,668 | ||||||
| 6 | Warteck Invest AG | 13,385 | ||||||
| 6,203 | Watkin Jones plc | 5,628 | ||||||
| 12,829 | Wharf Real Estate Investment Co., Ltd. | 64,212 | ||||||
| 4,068 | Wihlborgs Fastigheter AB | 29,431 | ||||||
| 20,700 | Wing Tai Holdings, Ltd. | 22,527 | ||||||
| 16,000 | Wing Tai Properties, Ltd. | 6,759 | ||||||
| 148 | YH Dimri Construction & Development, Ltd. | 9,192 | ||||||
| 17 | Zug Estates Holding AG, Class B | 30,303 | ||||||
|
|
|
|||||||
| 5,306,208 | ||||||||
|
|
|
|||||||
| Retail REITs (0.0%†): | ||||||||
| 12,197 | Investore Property, Ltd. | 10,643 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment (2.4%): | ||||||||
| 1,100 | Advantest Corp. | 147,376 | ||||||
| 8,300 | Aem Holdings, Ltd. | 22,887 | ||||||
| 12,975 | ams-OSRAM AG* | 93,456 | ||||||
| 546 | ASM International NV | 232,180 | ||||||
| 1,186 | ASML Holding NV | 858,429 | ||||||
| 1,726 | ASML Holding NV, NYS | 1,250,919 | ||||||
| 10,419 | ASMPT, Ltd. | 102,934 | ||||||
| 2,097 | BE Semiconductor Industries NV | 227,307 | ||||||
| 700 | Disco Corp. | 110,755 | ||||||
| 185 | Elmos Semiconductor SE | 15,188 | ||||||
| 1,700 | Ferrotec Holdings Corp. | 43,172 | ||||||
| 300 | Furuya Metal Co., Ltd. | 24,952 | ||||||
| 9,108 | Infineon Technologies AG | 375,583 | ||||||
| 24,323 | IQE plc* | 6,562 | ||||||
| 2,200 | Japan Material Co., Ltd. | 36,786 | ||||||
| 600 | Lasertec Corp. | 90,693 | ||||||
| 500 | Megachips Corp. | 12,980 | ||||||
| 483 | Melexis NV | 47,535 | ||||||
| 1,700 | Micronics Japan Co., Ltd. | 23,812 | ||||||
| 800 | Mimasu Semiconductor Industry | 17,424 | ||||||
| 500 | Mitsui High-Tec, Inc. | 34,148 | ||||||
| 1,737 | Nordic Semiconductor ASA* | 21,103 | ||||||
| 386 | Nova Measuring Instruments, Ltd.* | 44,415 | ||||||
| 1,100 | Optorun Co., Ltd. | 18,682 | ||||||
| 12,300 | Renesas Electronics Corp.* | 232,799 | ||||||
| 1,300 | Rohm Co., Ltd. | 122,886 | ||||||
| 600 | Rorze Corp. | 48,720 | ||||||
| 1,000 | RS Technologies Co., Ltd. | 22,349 | ||||||
| 700 | Sanken Electric Co., Ltd. | 66,057 | ||||||
| 800 | SCREEN Holdings Co., Ltd. | 90,878 | ||||||
| 200 | Shibaura Mechatronics Corp. | 31,205 | ||||||
| 300 | Shindengen Electric Manufacturing Co., Ltd. | 6,819 | ||||||
| 1,600 | Shinko Electric Industries Co., Ltd. | 65,526 | ||||||
| 743 | Siltronic AG | 56,749 | ||||||
| 690 | SOITEC* | 116,705 | ||||||
| 393 | STMicroelectronics NV, NYS | 19,646 | ||||||
| 6,413 | STMicroelectronics NV | 319,006 | ||||||
| 409 | SUESS MicroTec SE | 10,865 | ||||||
| 11,800 | SUMCO Corp. | 167,031 | ||||||
| 1,400 | Tazmo Co., Ltd. | 23,807 | ||||||
| 3,100 | Tokyo Electron, Ltd. | 443,977 | ||||||
| 1,600 | Tokyo Seimitsu Co., Ltd. | 88,578 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Semiconductors & Semiconductor Equipment, continued | ||||||||
| 1,200 | Torex Semiconductor, Ltd. | $ | 19,918 | |||||
| 1,000 | Towa Corp. | 17,968 | ||||||
| 2,902 | Tower Semiconductor, Ltd.* | 108,883 | ||||||
| 1,200 | Tri Chemical Laboratories, Inc. | 23,551 | ||||||
| 321 | u-blox Holding AG | 35,224 | ||||||
| 1,900 | Ulvac, Inc. | 80,864 | ||||||
| 24,700 | UMS Holdings, Ltd. | 19,418 | ||||||
| 1,978 | X-Fab Silicon Foundries SE*(a) | 21,417 | ||||||
| 1,200 | Yamaichi Electronics Co., Ltd. | 19,904 | ||||||
|
|
|
|||||||
| 6,140,028 | ||||||||
|
|
|
|||||||
| Software (1.1%): | ||||||||
| 1,800 | Access Co., Ltd.* | 12,402 | ||||||
| 1,484 | accesso Technology Group plc* | 14,524 | ||||||
| 2,086 | Altium, Ltd. | 51,631 | ||||||
| 177 | Atoss Software AG | 40,091 | ||||||
| 4,889 | BlackBerry, Ltd.* | 27,091 | ||||||
| 19,135 | Bravura Solutions, Ltd. | 5,999 | ||||||
| 3,570 | Byggfakta Group Nordic Holdco AB* | 11,869 | ||||||
| 5,897 | Bytes Technology Group plc | 39,483 | ||||||
| 4,700 | Celsys, Inc. | 24,456 | ||||||
| 500 | Computer Engineering & Consulting, Ltd. | 6,284 | ||||||
| 201 | Constellation Software, Inc. | 416,501 | ||||||
| 464 | Crayon Group Holding ASA*(a) | 4,539 | ||||||
| 1,400 | Cresco, Ltd. | 20,610 | ||||||
| 1,200 | Cybozu, Inc. | 19,627 | ||||||
| 1,719 | Dassault Systemes SE | 76,224 | ||||||
| 564 | Descartes Systems Group, Inc. (The)* | 45,182 | ||||||
| 300 | Descartes Systems Group, Inc. (The)* | 24,034 | ||||||
| 300 | Digital Arts, Inc. | 12,203 | ||||||
| 989 | Dye & Durham, Ltd. | 13,522 | ||||||
| 1,000 | Enghouse Systems, Ltd. | 24,302 | ||||||
| 669 | FD Technologies plc* | 16,315 | ||||||
| 1,600 | Fixstars Corp. | 16,912 | ||||||
| 9,453 | Fortnox AB | 55,850 | ||||||
| 1,966 | F-Secure Oyj | 5,010 | ||||||
| 800 | Fuji Soft, Inc. | 25,719 | ||||||
| 900 | Fukui Computer Holdings, Inc. | 17,492 | ||||||
| 2,826 | GB Group plc | 8,218 | ||||||
| 8,509 | Hansen Technology, Ltd. | 29,431 | ||||||
| 700 | I’ll, Inc. | 14,517 | ||||||
| 16,011 | Infomedia, Ltd. | 17,099 | ||||||
| 7,858 | Integrated Research, Ltd.*^ | 2,021 | ||||||
| 3,230 | IRESS, Ltd. | 22,184 | ||||||
| 1,500 | Justsystems Corp. | 42,009 | ||||||
| 200 | Kinaxis, Inc.* | 28,582 | ||||||
| 935 | Lectra | 27,854 | ||||||
| 4,811 | Lightspeed Commerce, Inc.* | 81,394 | ||||||
| 36 | Linedata Services | 2,176 | ||||||
| 15,683 | LINK Mobility Group Holding ASA* | 16,524 | ||||||
| 303 | Lumine Group, Inc.* | 4,156 | ||||||
| 1,195 | Magic Software Enterprises, Ltd. | 15,689 | ||||||
| 500 | Miroku Jyoho Service Co., Ltd. | 5,471 | ||||||
| 1,504 | Nemetschek SE | 112,620 | ||||||
| 145 | Nice, Ltd.* | 29,943 | ||||||
| 30,146 | Nuix, Ltd.* | 17,166 | ||||||
| 400 | OBIC Business Consultants Co., Ltd. | 14,664 | ||||||
| 896 | Open Text Corp. | 37,229 | ||||||
| 1,680 | Open Text Corp. | 69,884 | ||||||
| 500 | Oracle Corp. | 37,159 | ||||||
See accompanying notes to the financial statements.
32
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Software, continued | ||||||||
| 30 | Otello Corp. ASA | $ | 22 | |||||
| 1,000 | Plus Alpha Consulting Co., Ltd. | 23,214 | ||||||
| 601 | QT Group Oyj* | 50,201 | ||||||
| 900 | Rakus Co., Ltd. | 15,300 | ||||||
| 5,734 | Sage Group plc (The) | 67,347 | ||||||
| 1,083 | SAP SE | 147,863 | ||||||
| 1,470 | SimCorp A/S | 155,780 | ||||||
| 16,449 | Sinch AB*(a) | 37,243 | ||||||
| 1,484 | Software AG^ | 51,583 | ||||||
| 500 | SRA Holdings | 11,298 | ||||||
| 8,400 | Systena Corp. | 17,130 | ||||||
| 5,737 | TeamViewer SE*(a) | 92,066 | ||||||
| 7,838 | Technology One, Ltd. | 82,203 | ||||||
| 1,696 | Temenos AG, Registered Shares | 135,077 | ||||||
| 3,468 | TomTom NV* | 26,952 | ||||||
| 1,500 | Trend Micro, Inc. | 72,649 | ||||||
| 12,001 | Vista Group International, Ltd.* | 12,762 | ||||||
| 605 | Vitec Software Group AB, B Shares | 30,408 | ||||||
| 1,200 | WingArc1st, Inc. | 19,821 | ||||||
| 1,629 | WiseTech Global, Ltd. | 87,251 | ||||||
| 1,966 | WithSecure Oyj* | 2,511 | ||||||
| 423 | Xero, Ltd.* | 33,799 | ||||||
|
|
|
|||||||
| 2,836,342 | ||||||||
|
|
|
|||||||
| Specialty Retail (1.5%): | ||||||||
| 400 | ABC-Mart, Inc. | 21,675 | ||||||
| 16,866 | Accent Group, Ltd. | 18,930 | ||||||
| 11,667 | Adairs, Ltd. | 12,300 | ||||||
| 1,300 | Adastria Co., Ltd. | 27,759 | ||||||
| 900 | Alpen Co., Ltd. | 12,366 | ||||||
| 2,600 | AOKI Holdings, Inc. | 15,906 | ||||||
| 2,800 | Aoyama Trading Co., Ltd. | 25,781 | ||||||
| 1,400 | ARCLANDS CORP. | 15,322 | ||||||
| 1,137 | Aritzia, Inc.* | 31,571 | ||||||
| 1,006 | ASOS plc* | 4,896 | ||||||
| 1,143 | Auto1 Group SE*(a) | 10,611 | ||||||
| 2,500 | Autobacs Seven Co., Ltd. | 26,597 | ||||||
| 613 | AutoCanada, Inc.* | 8,895 | ||||||
| 621 | BHG Group AB* | 864 | ||||||
| 2,300 | Bic Camera, Inc. | 17,086 | ||||||
| 2,768 | Bilia AB, A Shares | 28,901 | ||||||
| 34,054 | Boohoo Group plc* | 14,663 | ||||||
| 3,245 | Byggmax Group AB | 8,703 | ||||||
| 2,609 | Carasso Motors, Ltd. | 11,667 | ||||||
| 16,294 | Card Factory plc* | 18,700 | ||||||
| 94 | Cazoo Group, Ltd.* | 111 | ||||||
| 3,919 | CECONOMY AG* | 9,831 | ||||||
| 800 | Chiyoda Co., Ltd. | 4,964 | ||||||
| 32,200 | Chow Tai Fook Jewellery Group, Ltd. | 58,067 | ||||||
| 1,435 | Clas Ohlson AB, B Shares | 10,780 | ||||||
| 51,069 | Currys plc | 33,930 | ||||||
| 4,700 | DCM Holdings Co., Ltd. | 39,882 | ||||||
| 2,725 | Delek Automotive Systems, Ltd. | 20,904 | ||||||
| 7,507 | DFS Furniture plc | 10,295 | ||||||
| 291 | Dor Alon Energy in Israel 1988, Ltd. | 5,423 | ||||||
| 2,778 | Dufry AG, Registered Shares* | 126,668 | ||||||
| 2,929 | Dunelm Group plc | 41,802 | ||||||
| 5,584 | Eagers Automotive, Ltd. | 50,547 | ||||||
| 3,700 | EDION Corp. | 37,394 | ||||||
| 800 | Enigmo, Inc. | 2,190 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Specialty Retail, continued | ||||||||
| 115,950 | Esprit Holdings, Ltd.* | $ | 8,893 | |||||
| 1,200 | Fast Retailing Co., Ltd. | 308,100 | ||||||
| 995 | Fielmann AG | 52,972 | ||||||
| 878 | Fnac Darty SA | 32,883 | ||||||
| 280 | Fox Wizel, Ltd. | 22,988 | ||||||
| 4,126 | Frasers Group plc* | 36,808 | ||||||
| 2,300 | Geo Holdings Corp. | 29,336 | ||||||
| 130,000 | Giordano International, Ltd. | 40,709 | ||||||
| 7,709 | H & M Hennes & Mauritz AB, Class B | 132,624 | ||||||
| 10,860 | Halfords Group plc | 29,719 | ||||||
| 200 | Hikari Tsushin, Inc. | 28,746 | ||||||
| 1,000 | Honeys Holdings Co., Ltd. | 12,303 | ||||||
| 485 | Hornbach Holding AG & Co. KGaA | 38,230 | ||||||
| 4,500 | Hour Glass, Ltd. The | 6,659 | ||||||
| 2,800 | IDOM, Inc. | 17,112 | ||||||
| 8,260 | Industria de Diseno Textil SA | 320,889 | ||||||
| 3,000 | Istyle, Inc.* | 11,581 | ||||||
| 3,610 | JB Hi-Fi, Ltd. | 105,538 | ||||||
| 38,979 | JD Sports Fashion plc | 72,236 | ||||||
| 700 | JINS Holdings, Inc. | 14,507 | ||||||
| 1,500 | Joshin Denki Co., Ltd. | 20,488 | ||||||
| 900 | Joyful Honda Co., Ltd. | 10,627 | ||||||
| 2,166 | Kamux Corp. | 12,839 | ||||||
| 1,700 | Keiyo Co., Ltd. | 9,482 | ||||||
| 744 | Kid ASA(a) | 5,229 | ||||||
| 63,232 | Kingfisher plc | 185,996 | ||||||
| 26,469 | KMD Brands, Ltd. | 16,249 | ||||||
| 900 | Kohnan Shoji Co., Ltd. | 21,919 | ||||||
| 1,600 | Komeri Co., Ltd. | 32,615 | ||||||
| 3,300 | K’s Holding Corp. | 28,802 | ||||||
| 1,766 | Leon’s Furniture, Ltd. | 29,264 | ||||||
| 19,046 | Lookers plc | 28,978 | ||||||
| 2,388 | Lovisa Holdings, Ltd. | 30,896 | ||||||
| 3,000 | Luk Fook Holdings International, Ltd. | 7,698 | ||||||
| 531 | Maisons du Monde SA*(a) | 5,344 | ||||||
| 2,347 | Matas A/S | 34,597 | ||||||
| 1,681 | MEKO AB | 17,365 | ||||||
| 1,563 | Mobilezone Holding AG, Registered Shares | 24,037 | ||||||
| 821 | Musti Group Oyj | 16,050 | ||||||
| 6,515 | N Brown Group plc* | 1,933 | ||||||
| 1,800 | Nextage Co., Ltd. | 34,996 | ||||||
| 3,966 | Nick Scali, Ltd. | 24,134 | ||||||
| 1,900 | Nishimatsuya Chain Co., Ltd. | 22,477 | ||||||
| 600 | Nitori Holdings Co., Ltd. | 67,140 | ||||||
| 3,600 | Nojima Corp. | 34,282 | ||||||
| 28,290 | Oriental Watch Holdings | 15,720 | ||||||
| 1,000 | PAL GROUP Holdings Co., Ltd. | 27,101 | ||||||
| 76,677 | Pendragon plc* | 17,183 | ||||||
| 19,128 | Pets At Home Group plc | 91,575 | ||||||
| 1,510 | Premier Investments, Ltd. | 20,515 | ||||||
| 362 | Retailors, Ltd. | 7,014 | ||||||
| 700 | Sanrio Co., Ltd. | 29,985 | ||||||
| 500 | Shimamura Co., Ltd. | 47,245 | ||||||
| 2,100 | Sleep Country Canada Holdings, Inc.(a) | 45,516 | ||||||
| 5,578 | Super Retail Group, Ltd. | 42,699 | ||||||
| 3,968 | Superdry plc* | 3,988 | ||||||
| 900 | T-Gaia Corp. | 10,843 | ||||||
| 919 | Unieuro SpA(a) | 9,925 | ||||||
| 1,600 | United Arrows, Ltd. | 27,724 | ||||||
See accompanying notes to the financial statements.
33
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Specialty Retail, continued | ||||||||
| 3,700 | USS Co., Ltd. | $ | 61,328 | |||||
| 13,891 | Vertu Motors plc | 12,613 | ||||||
| 8,200 | VT Holdings Co., Ltd. | 31,222 | ||||||
| 8,991 | Watches of Switzerland Group plc*(a) | 69,904 | ||||||
| 5,476 | WH Smith plc | 107,970 | ||||||
| 8,059 | Wickes Group plc | 12,577 | ||||||
| 900 | Workman Co., Ltd. | 32,495 | ||||||
| 800 | World Co., Ltd. | 9,199 | ||||||
| 700 | Xebio Holdings Co., Ltd. | 5,300 | ||||||
| 2,913 | XXL ASA*(a) | 484 | ||||||
| 21,600 | Yamada Holdings Co., Ltd. | 63,643 | ||||||
| 800 | Yellow Hat, Ltd. | 10,309 | ||||||
| 1,300 | Zalando SE*(a) | 37,399 | ||||||
| 2,200 | ZOZO, Inc. | 45,538 | ||||||
|
|
|
|||||||
| 3,729,265 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals (0.4%): | ||||||||
| 8,300 | Brother Industries, Ltd. | 121,726 | ||||||
| 5,900 | Canon, Inc. | 155,705 | ||||||
| 700 | Eizo Corp. | 23,108 | ||||||
| 1,800 | Elecom Co., Ltd. | 18,157 | ||||||
| 1,700 | FUJIFILM Holdings Corp. | 100,975 | ||||||
| 12,900 | Konica Minolta, Inc. | 44,497 | ||||||
| 3,898 | Logitech International SA, Class R | 231,828 | ||||||
| 1,204 | Logitech International SA, Class R | 71,518 | ||||||
| 4,000 | MCJ Co., Ltd. | 27,888 | ||||||
| 12,000 | PC Partner Group, Ltd. | 6,640 | ||||||
| 1,935 | Quadient SA | 39,828 | ||||||
| 9,400 | Ricoh Co., Ltd. | 80,269 | ||||||
| 600 | Roland DG Corp. | 15,165 | ||||||
| 7,000 | Seiko Epson Corp. | 108,703 | ||||||
| 900 | Toshiba Tec Corp. | 25,931 | ||||||
| 4,400 | Wacom Co., Ltd. | 18,062 | ||||||
|
|
|
|||||||
| 1,090,000 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods (2.3%): | ||||||||
| 1,860 | adidas AG | 360,722 | ||||||
| 1,400 | Asics Corp. | 43,325 | ||||||
| 448 | Bijou Brigitte AG | 24,099 | ||||||
| 917 | Brunello Cucinelli SpA | 80,843 | ||||||
| 5,724 | Burberry Group plc | 154,028 | ||||||
| 364 | Calida Holding AG, Registered Shares | 13,870 | ||||||
| 1,900 | Canada Goose Holdings, Inc.* | 33,823 | ||||||
| 408 | Canada Goose Holdings, Inc.*^ | 7,262 | ||||||
| 18,000 | Chow Sang Sang Holdings International, Ltd. | 20,096 | ||||||
| 3,300 | Cie Financiere Richemont SA, Registered Shares | 560,080 | ||||||
| 35,102 | Coats Group plc | 31,066 | ||||||
| 485 | Delta Galil, Ltd. | 19,011 | ||||||
| 6,098 | Dr Martens plc | 9,472 | ||||||
| 4,931 | Gildan Activewear, Inc. | 158,994 | ||||||
| 1,142 | Gildan Activewear, Inc. | 36,818 | ||||||
| 400 | Goldwin, Inc. | 34,092 | ||||||
| 900 | Gunze, Ltd. | 27,804 | ||||||
| 151 | Hermes International | 328,461 | ||||||
| 2,373 | HUGO BOSS AG | 185,221 | ||||||
| 1,500 | Japan Wool Textile Co., Ltd. (The) | 10,863 | ||||||
| 788 | Kering SA | 436,382 | ||||||
| 700 | Kurabo Industries, Ltd. | 11,094 | ||||||
| 2,046 | LVMH Moet Hennessy Louis Vuitton SE | 1,930,678 | ||||||
| 1,211 | Marimekko Oyj | 12,009 | ||||||
| 2,199 | Moncler SpA | 152,142 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Textiles, Apparel & Luxury Goods, continued | ||||||||
| 2,958 | New Wave Group AB, Class B | $ | 26,044 | |||||
| 5,000 | Onward Holdings Co., Ltd. | 13,908 | ||||||
| 12,688 | OVS SpA(a) | 35,240 | ||||||
| 44,000 | Pacific Textiles Holdings, Ltd. | 10,297 | ||||||
| 3,804 | Pandora A/S | 339,984 | ||||||
| 5,300 | PRADA SpA | 35,517 | ||||||
| 2,278 | Puma SE | 136,976 | ||||||
| 7,277 | Safilo Group SpA* | 9,885 | ||||||
| 1,885 | Salvatore Ferragamo SpA | 31,052 | ||||||
| 34,800 | Samsonite International SA*(a) | 98,939 | ||||||
| 2,100 | Sankyo Seiko Co., Ltd. | 8,245 | ||||||
| 500 | Sanyo Shokai, Ltd. | 6,692 | ||||||
| 700 | Seiko Group Corp. | 12,713 | ||||||
| 17,500 | Stella International Holdings, Ltd. | 16,546 | ||||||
| 906 | Swatch Group AG (The) | 49,814 | ||||||
| 457 | Swatch Group AG (The), Class BR | 133,979 | ||||||
| 11,500 | Texhong International Group, Ltd. | 7,576 | ||||||
| 60,000 | Texwinca Holdings, Ltd. | 9,150 | ||||||
| 3,200 | TSI Holdings Co, Ltd. | 17,571 | ||||||
| 5,500 | Unitika, Ltd.* | 8,959 | ||||||
| 377 | Van de Velde NV | 13,589 | ||||||
| 2,000 | Wacoal Holdings Corp. | 40,047 | ||||||
| 33,514 | Yue Yuen Industrial Holdings, Ltd. | 43,733 | ||||||
|
|
|
|||||||
| 5,788,711 | ||||||||
|
|
|
|||||||
| Tobacco (0.4%): | ||||||||
| 14,243 | British American Tobacco plc | 472,455 | ||||||
| 13,254 | Imperial Brands plc, Class A | 293,062 | ||||||
| 11,100 | Japan Tobacco, Inc. | 243,327 | ||||||
| 2,779 | Scandinavian Tobacco Group A/S(a) | 46,261 | ||||||
|
|
|
|||||||
| 1,055,105 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors (2.3%): | ||||||||
| 1,383 | AddTech AB, B Shares | 30,156 | ||||||
| 1,000 | Alconix Corp. | 9,567 | ||||||
| 1,271 | Alligo AB, Class B | 12,964 | ||||||
| 7,944 | Ashtead Group plc | 551,541 | ||||||
| 859 | Azelis Group NV | 19,626 | ||||||
| 653 | BayWa AG | 26,917 | ||||||
| 2,058 | Beijer Ref AB | 26,309 | ||||||
| 1,271 | Bergman & Beving AB | 20,343 | ||||||
| 316 | Bossard Holding AG, Registered A | 70,263 | ||||||
| 4,927 | Brenntag SE | 383,823 | ||||||
| 1,375 | Bufab AB | 47,119 | ||||||
| 2,141 | Bunzl plc | 81,501 | ||||||
| 500 | Chori Co., Ltd. | 10,325 | ||||||
| 70,000 | CSC Holdings, Ltd.* | 314 | ||||||
| 400 | Daiichi Jitsugyo Co., Ltd. | 15,804 | ||||||
| 1,746 | Diploma plc | 66,285 | ||||||
| 4,000 | Doman Building Materials Group, Ltd. | 19,780 | ||||||
| 3,733 | Ferguson plc | 589,244 | ||||||
| 6,700 | Finning International, Inc. | 206,119 | ||||||
| 8,003 | Grafton Group plc | 79,627 | ||||||
| 1,100 | Hanwa Co., Ltd. | 34,795 | ||||||
| 18,850 | Howden Joinery Group plc | 153,876 | ||||||
| 1,942 | IMCD NV | 279,309 | ||||||
| 1,800 | Inaba Denki Sangyo Co., Ltd. | 41,125 | ||||||
| 1,800 | Inabata & Co., Ltd. | 40,558 | ||||||
| 10,900 | ITOCHU Corp. | 433,519 | ||||||
| 616 | Jacquet Metals SA | 12,776 | ||||||
| 500 | Japan Pulp & Paper Co., Ltd. | 16,941 | ||||||
See accompanying notes to the financial statements.
34
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Trading Companies & Distributors, continued | ||||||||
| 700 | Kamei Corp. | $ | 7,225 | |||||
| 900 | Kanaden Corp. | 8,133 | ||||||
| 1,700 | Kanamoto Co., Ltd. | 25,996 | ||||||
| 3,100 | Kanematsu Corp. | 43,418 | ||||||
| 9,100 | Marubeni Corp. | 155,479 | ||||||
| 1,500 | Mitani Corp. | 14,186 | ||||||
| 7,600 | Mitsubishi Corp. | 368,441 | ||||||
| 6,100 | Mitsui & Co., Ltd. | 229,545 | ||||||
| 800 | Mitsui Matsushima Holdings Co., Ltd. | 14,485 | ||||||
| 1,271 | Momentum Group AB | 14,322 | ||||||
| 3,800 | MonotaRO Co., Ltd. | 48,428 | ||||||
| 2,800 | Nagase & Co., Ltd. | 46,554 | ||||||
| 600 | Nichiden Corp. | 10,003 | ||||||
| 1,200 | Nishio Holdings Co., Ltd. | 28,380 | ||||||
| 3,414 | OEM International AB, Class B | 31,051 | ||||||
| 700 | Onoken Co., Ltd. | 7,805 | ||||||
| 22,000 | Realord Group Holdings, Ltd.* | 17,441 | ||||||
| 3,537 | Reece, Ltd. | 44,076 | ||||||
| 8,384 | Rexel SA | 207,283 | ||||||
| 2,192 | Richelieu Hardware, Ltd. | 69,338 | ||||||
| 5,840 | RS GROUP plc | 56,436 | ||||||
| 2,804 | Russel Metals, Inc. | 77,689 | ||||||
| 207 | Scope Metals Group, Ltd.* | 7,516 | ||||||
| 1,200 | Senshu Electric Co., Ltd. | 30,692 | ||||||
| 3,469 | Seven Group Holdings, Ltd. | 57,228 | ||||||
| 500 | Shinsho Corp. | 20,216 | ||||||
| 22,549 | SIG plc* | 9,936 | ||||||
| 4,300 | Sojitz Corp. | 95,481 | ||||||
| 409 | Solar A/S, B Shares | 30,269 | ||||||
| 17,864 | Speedy Hire plc | 8,187 | ||||||
| 11,700 | Sumitomo Corp. | 248,610 | ||||||
| 130,000 | Theme International Holdings, Ltd.* | 14,647 | ||||||
| 269 | Thermador Groupe | 24,190 | ||||||
| 1,472 | Toromont Industries, Ltd. | 120,940 | ||||||
| 700 | Totech Corp. | 23,302 | ||||||
| 3,300 | Toyota Tsushu Corp. | 164,751 | ||||||
| 9,570 | Travis Perkins plc | 99,028 | ||||||
| 1,000 | Trusco Nakayama Corp. | 15,888 | ||||||
| 800 | Wajax Corp. | 15,063 | ||||||
| 2,700 | Wakita & Co., Ltd. | 24,271 | ||||||
| 2,700 | Yamazen Corp. | 20,807 | ||||||
| 800 | Yuasa Trading Co., Ltd. | 24,489 | ||||||
|
|
|
|||||||
| 5,861,751 | ||||||||
|
|
|
|||||||
| Transportation Infrastructure (0.5%): | ||||||||
| 1,135 | Aena SME SA(a) | 183,449 | ||||||
| 260 | Aeroports de Paris | 37,354 | ||||||
| 15,468 | Atlas Arteria, Ltd. | 64,170 | ||||||
| 6,208 | Auckland International Airport, Ltd.* | 32,520 | ||||||
| 6,757 | Enav SpA(a) | 28,855 | ||||||
| 927 | Flughafen Zuerich AG, Registered Shares | 192,726 | ||||||
| 1,646 | Fraport AG Frankfurt Airport Services Worldwide* | 87,739 | ||||||
| 3,559 | Getlink SE | 60,549 | ||||||
| 1,618 | Hamburger Hafen und Logistik AG | 20,154 | ||||||
| 182,200 | Hutchison Port Holdings Trust, Class U | 35,254 | ||||||
| 1,940 | James Fisher & Sons plc* | 9,879 | ||||||
| 400 | Japan Airport Terminal Co., Ltd. | 18,108 | ||||||
| 2,100 | Kamigumi Co., Ltd. | 47,675 | ||||||
| 700 | Logistec Corp., Class B | 33,827 | ||||||
| 1,400 | Mitsubishi Logistics Corp. | 34,631 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Transportation Infrastructure, continued | ||||||||
| 400 | Nissin Corp. | $ | 7,012 | |||||
| 5,399 | Port of Tauranga, Ltd. | 20,690 | ||||||
| 25,753 | Qube Holdings, Ltd. | 49,106 | ||||||
| 19,576 | SATS, Ltd.* | 37,419 | ||||||
| 6,900 | SIA Engineering Co., Ltd.* | 12,727 | ||||||
| 2,100 | Sumitomo Warehouse Co., Ltd. (The) | 34,615 | ||||||
| 14,732 | Transurban Group | 140,294 | ||||||
| 1,941 | Westshore Terminals Investment Corp. | 45,778 | ||||||
|
|
|
|||||||
| 1,234,531 | ||||||||
|
|
|
|||||||
| Water Utilities (0.1%): | ||||||||
| 7,001 | Pennon Group plc | 63,296 | ||||||
| 2,786 | Severn Trent plc | 90,745 | ||||||
| 45,000 | SIIC Environment Holdings, Ltd. | 7,153 | ||||||
| 9,121 | United Utilities Group plc | 111,370 | ||||||
|
|
|
|||||||
| 272,564 | ||||||||
|
|
|
|||||||
| Wireless Telecommunication Services (0.8%): | ||||||||
| 1,292 | 1&1 AG | 14,222 | ||||||
| 27,529 | Airtel Africa plc(a) | 37,800 | ||||||
| 3,670 | Cellcom Israel, Ltd.* | 12,711 | ||||||
| 3,094 | Freenet AG | 77,596 | ||||||
| 88,000 | Hutchison Telecommunications Holdings, Ltd. | 13,972 | ||||||
| 16,100 | KDDI Corp. | 497,636 | ||||||
| 6,492 | Millicom International Cellular SA, SDR* | 99,329 | ||||||
| 1,000 | Okinawa Cellular Telephone Co. | 20,848 | ||||||
| 1,324 | Orange Belgium SA* | 20,078 | ||||||
| 8,995 | Partner Communications Co.* | 35,485 | ||||||
| 1,242 | Rogers Communications, Inc., Class B | 56,685 | ||||||
| 5,200 | Rogers Communications, Inc., Class B | 237,270 | ||||||
| 35,000 | SmarTone Telecommunications Holdings, Ltd. | 21,672 | ||||||
| 21,100 | SoftBank Corp. | 225,751 | ||||||
| 5,100 | SoftBank Group Corp. | 242,079 | ||||||
| 21,800 | StarHub, Ltd. | 16,746 | ||||||
| 8,512 | Tele2 AB | 70,477 | ||||||
| 444,231 | Vodafone Group plc | 419,073 | ||||||
|
|
|
|||||||
| 2,119,430 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Cost $235,742,452) |
253,461,890 | |||||||
|
|
|
|||||||
| Preferred Stocks (0.3%): | ||||||||
| Automobile Components (0.2%): | ||||||||
| 1,966 | Porsche Automobil Holding SE, 4.64%, 5/20/20* | 118,241 | ||||||
| 3,809 | Volkswagen AG, 7.13%, 5/8/20 | 510,843 | ||||||
|
|
|
|||||||
| 629,084 | ||||||||
|
|
|
|||||||
| Automobiles (0.0%†): | ||||||||
| 839 | Bayerische Motoren Werke AG, 8.18%, 5/15/20 | 95,388 | ||||||
|
|
|
|||||||
| Household Products (0.1%): | ||||||||
| 2,011 | Henkel AG & Co. KGaA, 2.53%, 4/21/20 | 160,737 | ||||||
|
|
|
|||||||
| Total Preferred Stocks (Cost $914,488) |
885,209 | |||||||
|
|
|
|||||||
| Contracts | ||||||||
| Warrant (0.0%†): | ||||||||
| Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
| 2,000 | Logan Energy Corp. CA, 6/15/28* | — | ||||||
|
|
|
|||||||
| Total Warrant (Cost $—) |
— | |||||||
|
|
|
|||||||
See accompanying notes to the financial statements.
35
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Rights (0.0%†): | ||||||||
| Chemicals (0.0%†): | ||||||||
| 379 | Lenzing AG, Expires on 7/6/23* | $ | 2,208 | |||||
|
|
|
|||||||
| Construction & Engineering (0.0%†): | ||||||||
| 881 | Strabag Se, Expires on 1/1/27*(b) | — | ||||||
|
|
|
|||||||
| Retail REITs (0.0%†): | ||||||||
| 3,343 | Capitaland India, Expires on 7/11/23* | 198 | ||||||
|
|
|
|||||||
| Total Rights (Cost $–) |
2,406 | |||||||
|
|
|
|||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.7%): |
||||||||
| 1,685,701 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(c)(d) | 1,685,701 | ||||||
|
|
|
|||||||
| |
Total Short-Term Security Held as Collateral for |
1,685,701 | ||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Unaffiliated Investment Company (0.2%): | ||||||||
| Money Markets (0.2%): | ||||||||
| 392,497 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(d) | $ | 392,497 | |||||
|
|
|
|||||||
| Total Unaffiliated Investment Company (Cost $392,497) |
392,497 | |||||||
|
|
|
|||||||
| Total Investment Securities |
||||||||
| (Cost $238,735,138) — 99.9% |
256,427,703 | |||||||
| Net other assets (liabilities) — 0.1% |
129,161 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 256,556,864 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets as of June 30, 2023.
| 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 June 30, 2023. The total value of securities on loan as of June 30, 2023 was $1,681,169. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. |
| (b) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| (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 June 30, 2023. |
| (d) | The rate represents the effective yield at June 30, 2023. |
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 June 30, 2023:
(Unaudited)
| Country | Percentage | |||
| Australia |
6.3% | |||
| Austria |
0.5% | |||
| Belgium |
1.2% | |||
| Bermuda |
0.1% | |||
| Cambodia |
—% | † | ||
| Canada |
10.6% | |||
| China |
0.1% | |||
| Colombia |
—% | † | ||
| Denmark |
2.7% | |||
| Egypt |
—% | † | ||
| European Community |
—% | † | ||
| Faroe Islands |
—% | † | ||
| Finland |
1.4% | |||
| France |
7.9% | |||
| Georgia |
—% | † | ||
| Germany |
6.9% | |||
| Hong Kong |
2.0% | |||
| India |
—% | † | ||
| Indonesia |
—% | † | ||
| Ireland |
1.4% | |||
| Isle of Man |
—% | † | ||
| Israel |
0.8% | |||
| Italy |
2.3% | |||
| Japan |
22.3% | |||
| Jersey |
—% | † | ||
| Liechtenstein |
—% | † | ||
| Luxembourg |
0.5% | |||
See accompanying notes to the financial statements.
36
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Country | Percentage | |||
| Macau |
—% | † | ||
| Malta |
—% | † | ||
| Mexico |
—% | † | ||
| Mongolia |
—% | † | ||
| Netherlands |
5.1% | |||
| New Zealand |
0.3% | |||
| Norway |
0.8% | |||
| Peru |
—% | † | ||
| Poland |
—% | † | ||
| Portugal |
0.3% | |||
| Singapore |
1.0% | |||
| Spain |
2.4% | |||
| Sweden |
2.6% | |||
| Switzerland |
8.2% | |||
| Taiwan, Province Of China |
—% | † | ||
| United Arab Emirates |
—% | † | ||
| United Kingdom |
11.2% | |||
| United States |
1.1% | |||
|
|
|
|||
| 100.0% | ||||
|
|
|
|||
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
37
AZL DFA International Core Equity Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 238,735,138 | |||
|
|
|
||||
| Investment securities, at value(a) |
$ | 256,427,703 | |||
| Cash |
2,239 | ||||
| Interest and dividends receivable |
371,325 | ||||
| Foreign currency, at value (cost $707,438) |
707,887 | ||||
| Receivable for investments sold |
184,217 | ||||
| Reclaims receivable |
991,800 | ||||
| Prepaid expenses |
12 | ||||
|
|
|
||||
| Total Assets |
258,685,183 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Payable for investments purchased |
247,521 | ||||
| Payable for collateral received on loaned securities |
1,685,701 | ||||
| Management fees payable |
135,863 | ||||
| Administration fees payable |
4,524 | ||||
| Distribution fees payable |
52,255 | ||||
| Custodian fees payable |
1,892 | ||||
| Administrative and compliance services fees payable |
30 | ||||
| Transfer agent fees payable |
48 | ||||
| Trustee fees payable |
172 | ||||
| Other accrued liabilities |
313 | ||||
|
|
|
||||
| Total Liabilities |
2,128,319 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 256,556,864 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 215,662,177 | |||
| Total distributable earnings |
40,894,687 | ||||
|
|
|
||||
| Net Assets |
$ | 256,556,864 | |||
|
|
|
||||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
25,104,023 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 10.22 | |||
|
|
|
||||
| (a) | Includes securities on loan of $1,681,169. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends |
$ | 5,870,153 | |||
| Interest |
541 | ||||
| Income from securities lending |
17,507 | ||||
| Foreign withholding tax |
(677,984 | ) | |||
|
|
|
||||
| Total Investment Income |
5,210,217 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
1,099,791 | ||||
| Administration fees |
44,347 | ||||
| Distribution fees |
289,418 | ||||
| Custodian fees |
63,866 | ||||
| Administrative and compliance services fees |
1,258 | ||||
| Transfer agent fees |
2,434 | ||||
| Trustee fees |
4,781 | ||||
| Professional fees |
3,985 | ||||
| Shareholder reports |
1,380 | ||||
| Other expenses |
2,006 | ||||
|
|
|
||||
| Total expenses before reductions |
1,513,266 | ||||
| Less Management fees contractually waived |
(347,303 | ) | |||
|
|
|
||||
| Net expenses |
1,165,963 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
4,044,254 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
7,446,125 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
9,790,671 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
17,236,796 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 21,281,050 | |||
|
|
|
See accompanying notes to the financial statements.
38
AZL DFA International Core Equity Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 4,044,254 | $ | 4,790,409 | ||||||
| Net realized gains/(losses) on investments |
7,446,125 | 8,471,993 | ||||||||
| Change in unrealized appreciation/depreciation on investments |
9,790,671 | (45,642,578 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
21,281,050 | (32,380,176 | ) | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Distributions |
— | (22,034,547 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
— | (22,034,547 | ) | |||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Proceeds from shares issued |
95,447,709 | 233,975 | ||||||||
| Proceeds from dividends reinvested |
— | 22,034,547 | ||||||||
| Value of shares redeemed |
(51,711,141 | ) | (28,132,999 | ) | ||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
43,736,568 | (5,864,477 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets |
65,017,618 | (60,279,200 | ) | |||||||
| Net Assets: |
||||||||||
| Beginning of period |
191,539,246 | 251,818,446 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 256,556,864 | $ | 191,539,246 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Shares issued |
9,845,065 | 22,083 | ||||||||
| Dividends reinvested |
— | 2,635,711 | ||||||||
| Shares redeemed |
(5,187,596 | ) | (2,650,752 | ) | ||||||
|
|
|
|
|
|||||||
| Change in shares |
4,657,469 | 7,042 | ||||||||
|
|
|
|
|
|||||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
39
AZL DFA International Core Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$9.37 | $12.32 | $11.06 | $10.58 | $9.20 | $11.46 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.17 | (a) | 0.24 | (a) | 0.19 | (a) | 0.12 | (a) | 0.21 | (a) | 0.17 | |||||||||||||||||||
| Net Realized and Unrealized Gains/ (Losses) on Investments |
0.68 | (2.04 | ) | 1.25 | 0.61 | 1.65 | (2.16 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
0.85 | (1.80 | ) | 1.44 | 0.73 | 1.86 | (1.99 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.26 | ) | (0.18 | ) | (0.25 | ) | (0.15 | ) | (0.21 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (0.89 | ) | — | — | (0.33 | ) | (0.06 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (1.15 | ) | (0.18 | ) | (0.25 | ) | (0.48 | ) | (0.27 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$10.22 | $9.37 | $12.32 | $11.06 | $10.58 | $9.20 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
9.07 | %(c) | (13.49 | )% | 13.05 | % | 7.25 | % | 20.72 | % | (17.65 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/ Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$256,557 | $191,539 | $251,818 | $265,060 | $275,886 | $253,044 | ||||||||||||||||||||||||
| Net Investment Income/(Loss)(d) |
3.49 | % | 2.30 | % | 1.61 | % | 1.29 | % | 2.09 | % | 1.63 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) |
1.31 | % | 1.30 | % | 1.31 | % | 1.34 | % | 1.33 | % | 1.38 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) |
1.01 | % | 1.08 | % | 1.11 | % | 1.14 | % | 1.13 | % | 1.18 | % | ||||||||||||||||||
| Portfolio Turnover Rate |
28 | %(c) | 13 | % | 7 | % | 14 | % | 6 | % | 20 | % | ||||||||||||||||||
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | 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. |
See accompanying notes to the financial statements.
40
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
41
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $1,731 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,685,701 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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, 2024.
For the period ended June 30, 2023, 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 0.65% 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, 2024. The annual rate due to the Subadviser from the Manager is 0.20% of the first $100 million of the Fund’s net assets and 0.17% of the Fund’s net asset over $100 million.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
42
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Management fees, which the Manager may waive 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, as applicable.
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
43
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
| Common Stocks+ |
$37,322,509 | $216,004,076 | $— | # | $253,326,585 | |||||||||||||||||||||||
| Preferred Stocks+ |
— | 885,209 | — | 885,209 | ||||||||||||||||||||||||
| Warrant+ |
— | — | — | — | ||||||||||||||||||||||||
| Rights+ |
— | 2,406 | — | # | 2,406 | |||||||||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
1,685,701 | — | — | 1,685,701 | ||||||||||||||||||||||||
| Unaffiliated Investment Company |
392,497 | — | — | 392,497 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investment Securities |
$39,400,707 | $216,891,691 | $— | $256,292,398 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| + | 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 June 30, 2023. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$ | 102,730,978 | $ | 55,853,690 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such 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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $186,458,045. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$37,399,368 | |||
| Unrealized (depreciation) |
(30,528,269) | |||
|
|
|
|||
| Net unrealized appreciation/(depreciation) |
$6,871,099 | |||
|
|
|
44
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term |
Total Distributions(a) | |||||||||||||
| AZL DFA International Core Equity Fund |
$ | 5,824,557 | $ | 16,209,990 | $ | 22,034,547 | |||||||||
| (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, 2022, 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 |
$ | 4,378,997 | $ | 8,390,863 | $ | — | $ | 6,843,777 | $ | 19,613,637 | |||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) was attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023, the Fund was wholly-owned by multiple shareholder accounts which are affiliated with the Manager. Investment activities of these shareholders could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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.
45
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.
46
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
47
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® DFA U.S. Core Equity Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition |
| Page 3 |
| Schedule of Portfolio Investments |
| Page 4 |
| Statement of Assets and Liabilities |
| Page 24 |
| Statement of Operations |
| Page 24 |
| Statements of Changes in Net Assets |
| Page 25 |
| Financial Highlights |
| Page 26 |
| Notes to the Financial Statements |
| Page 27 |
| Other Information |
| Page 32 |
| Statement Regarding the Trust’s Liquidity Risk Management Program |
| Page 33 |
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
(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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 |
|||||||||||||
| AZL DFA U.S. Core Equity Fund | $1,000.00 | $1,117.40 | $4.04 | 0.77% |
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 |
|||||||||||||
| AZL DFA U.S. Core Equity Fund | $1,000.00 | $1,020.98 | $3.86 | 0.77% |
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 | 22.7 | % | ||
| Financials | 13.7 | |||
| Industrials | 13.0 | |||
| Health Care | 12.0 | |||
| Consumer Discretionary | 11.4 | |||
| Communication Services | 7.3 | |||
| Energy | 6.5 | |||
| Consumer Staples | 6.1 | |||
| Materials | 4.1 | |||
| Utilities | 2.6 | |||
| Real Estate | 0.3 | |||
| Total Common Stocks and Preferred Stocks | 99.7 | |||
| Rights | — | † | ||
| Unaffiliated Investment Company | 0.2 | |||
| Short-Term Security Held as Collateral for Securities on Loan | 0.2 | |||
| Total Investment Securities | 100.1 | |||
| Net other assets (liabilities) | (0.1 | ) | ||
| Net Assets | 100.0 | % | ||
| † | Represents less than 0.05%. |
3
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (99.7%): | ||||||
| Aerospace & Defense (1.6%): | ||||||
| 1,210 | AAR Corp.* | $ | 69,890 | |||
| 2,468 | Aerojet Rocketdyne Holdings, Inc.* | 135,419 | ||||
| 358 | AeroVironment, Inc.* | 36,616 | ||||
| 712 | Astronics Corp.* | 14,140 | ||||
| 415 | Astronics Corp., Class B* | 8,217 | ||||
| 964 | Axon Enterprise, Inc.* | 188,096 | ||||
| 7,886 | Boeing Co. (The)* | 1,665,208 | ||||
| 3,558 | BWX Technologies, Inc. | 254,646 | ||||
| 685 | CPI Aerostructures, Inc.* | 2,665 | ||||
| 1,414 | Curtiss-Wright Corp. | 259,695 | ||||
| 625 | Ducommun, Inc.* | 27,231 | ||||
| 3,553 | General Dynamics Corp. | 764,428 | ||||
| 532 | HEICO Corp. | 94,132 | ||||
| 904 | HEICO Corp., Class A | 127,102 | ||||
| 3,008 | Hexcel Corp. | 228,668 | ||||
| 7,575 | Howmet Aerospace, Inc. | 375,417 | ||||
| 1,674 | Huntington Ingalls Industries, Inc. | 381,002 | ||||
| 870 | Kaman Corp., Class A | 21,167 | ||||
| 6,214 | Kratos Defense & Security Solutions, Inc.* | 89,109 | ||||
| 2,920 | L3Harris Technologies, Inc. | 571,648 | ||||
| 5,844 | Lockheed Martin Corp. | 2,690,461 | ||||
| 1,678 | Mercury Systems, Inc.* | 58,042 | ||||
| 1,464 | Moog, Inc., Class A | 158,742 | ||||
| 343 | National Presto Industries, Inc. | 25,108 | ||||
| 1,734 | Northrop Grumman Corp. | 790,357 | ||||
| 953 | Park Aerospace Corp., Class C | 13,151 | ||||
| 4,159 | Parsons Corp.* | 200,214 | ||||
| 21,291 | Raytheon Technologies Corp. | 2,085,666 | ||||
| 5,384 | Textron, Inc. | 364,120 | ||||
| 852 | TransDigm Group, Inc. | 761,833 | ||||
| 337 | V2X, Inc.* | 16,702 | ||||
| 1,431 | Woodward, Inc. | 170,160 | ||||
| 12,649,052 | ||||||
| Air Freight & Logistics (0.8%): | ||||||
| 3,159 | Air Transport Services Group, Inc.* | 59,610 | ||||
| 3,852 | CH Robinson Worldwide, Inc. | 363,436 | ||||
| 4,824 | Expeditors International of Washington, Inc. | 584,331 | ||||
| 5,907 | FedEx Corp. | 1,464,345 | ||||
| 1,224 | Forward Air Corp. | 129,879 | ||||
| 4,705 | GXO Logistics, Inc.* | 295,568 | ||||
| 2,191 | Hub Group, Inc., Class A* | 175,981 | ||||
| 3,266 | Radiant Logistics, Inc.* | 21,948 | ||||
| 18,463 | United Parcel Service, Inc., Class B | 3,309,493 | ||||
| 6,404,591 | ||||||
| Automobile Components (2.1%): | ||||||
| 3,555 | Adient plc* | 136,228 | ||||
| 10,209 | American Axle & Manufacturing Holdings, Inc.* | 84,428 | ||||
| 4,483 | Aptiv plc* | 457,669 | ||||
| 5,083 | Autoliv, Inc. | 432,258 | ||||
| 6,870 | BorgWarner, Inc. | 336,012 | ||||
| 1,256 | Cooper-Standard Holdings, Inc.* | 17,911 | ||||
| 5,990 | Dana, Inc. | 101,830 | ||||
| 1,280 | Dorman Products, Inc. | 100,902 | ||||
| 84,876 | Ford Motor Co. | 1,284,174 | ||||
| 1,423 | Fox Factory Holding Corp.* | 154,410 | ||||
| 29,170 | General Motors Co. | 1,124,795 | ||||
| 11,047 | Gentex Corp. | 323,235 | ||||
| 999 | Gentherm, Inc.* | 56,454 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Automobile Components, continued | ||||||
| 15,806 | Goodyear Tire & Rubber Co. (The)* | $ | 216,226 | |||
| 10,003 | Harley-Davidson, Inc. | 352,206 | ||||
| 578 | LCI Industries | 73,036 | ||||
| 3,167 | Lear Corp. | 454,623 | ||||
| 3,637 | Modine Manufacturing Co.* | 120,094 | ||||
| 1,190 | Motorcar Parts of America, Inc.* | 9,211 | ||||
| 1,356 | Patrick Industries, Inc. | 108,480 | ||||
| 2,366 | QuantumScape Corp.*^ | 18,904 | ||||
| 13,446 | Rivian Automotive, Inc., Class A*^ | 224,010 | ||||
| 616 | Standard Motor Products, Inc. | 23,112 | ||||
| 587 | Stoneridge, Inc.* | 11,065 | ||||
| 275 | Strattec Security Corp.* | 5,005 | ||||
| 36,376 | Tesla, Inc.* | 9,522,146 | ||||
| 3,576 | Thor Industries, Inc. | 370,116 | ||||
| 1,184 | Visteon Corp.* | 170,034 | ||||
| 2,086 | Winnebago Industries, Inc. | 139,115 | ||||
| 400 | XPEL, Inc.* | 33,688 | ||||
| 16,461,377 | ||||||
| Banks (3.9%): | ||||||
| 859 | 1st Source Corp. | 36,018 | ||||
| 504 | ACNB Corp. | 16,718 | ||||
| 1,092 | Amalgamated Financial Corp. | 17,570 | ||||
| 661 | American National Bankshares, Inc. | 19,156 | ||||
| 3,429 | Ameris Bancorp | 117,306 | ||||
| 704 | Ames National Corp. | 12,693 | ||||
| 1,045 | Arrow Financial Corp. | 21,046 | ||||
| 8,497 | Associated Banc-Corp. | 137,906 | ||||
| 4,209 | Atlantic Union Bankshares Corp. | 109,224 | ||||
| 3,462 | Axos Financial, Inc.* | 136,541 | ||||
| 2,056 | Banc of California, Inc. | 23,809 | ||||
| 1,452 | BancFirst Corp. | 133,584 | ||||
| 2,831 | Bancorp, Inc. (The)* | 92,432 | ||||
| 106,651 | Bank of America Corp. | 3,059,817 | ||||
| 1,028 | Bank of Hawaii Corp. | 42,384 | ||||
| 724 | Bank of Marin Bancorp | 12,793 | ||||
| 3,254 | Bank of NT Butterfield & Son, Ltd. (The) | 89,029 | ||||
| 6,593 | Bank OZK | 264,775 | ||||
| 1,591 | BankFinancial Corp. | 13,014 | ||||
| 4,263 | BankUnited, Inc. | 91,868 | ||||
| 2,014 | Banner Corp. | 87,951 | ||||
| 433 | Bar Harbor Bankshares | 10,669 | ||||
| 842 | BCB Bancorp, Inc. | 9,885 | ||||
| 1,898 | Berkshire Hills Bancorp, Inc. | 39,346 | ||||
| 3,037 | BOK Financial Corp. | 245,329 | ||||
| 2,707 | Brookline Bancorp, Inc. | 23,659 | ||||
| 977 | Byline Bancorp, Inc. | 17,674 | ||||
| 74 | C&F Financial Corp. | 3,974 | ||||
| 10,276 | Cadence Bank | 201,821 | ||||
| 256 | Cambridge Bancorp | 13,903 | ||||
| 843 | Camden National Corp. | 26,108 | ||||
| 489 | Capital City Bank Group, Inc. | 14,983 | ||||
| 10,139 | Capitol Federal Financial, Inc. | 62,558 | ||||
| 1,023 | Carter Bankshares, Inc.* | 15,130 | ||||
| 4,087 | Cathay General Bancorp | 131,561 | ||||
| 1,402 | Central Pacific Financial Corp. | 22,025 | ||||
| 933 | Central Valley Community Bancorp | 14,415 | ||||
| 377 | Chemung Financial Corp. | 14,481 | ||||
| 28,907 | Citigroup, Inc. | 1,330,878 | ||||
See accompanying notes to the financial statements.
4
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Banks, continued | ||||||
| 943 | Citizens & Northern Corp. | $ | 18,200 | |||
| 12,807 | Citizens Financial Group, Inc. | 334,007 | ||||
| 552 | Citizens Holding Co. | 6,734 | ||||
| 604 | City Holding Co. | 54,354 | ||||
| 938 | Civista Bancshares, Inc. | 16,321 | ||||
| 735 | CNB Financial Corp. | 12,973 | ||||
| 85 | Codorus Valley Bancorp, Inc. | 1,667 | ||||
| 56 | Colony Bankcorp, Inc. | 528 | ||||
| 6,027 | Columbia Banking System, Inc. | 122,228 | ||||
| 4,298 | Columbia Financial, Inc.* | 74,312 | ||||
| 191 | Comerica, Inc. | 8,091 | ||||
| 2,946 | Commerce Bancshares, Inc. | 143,470 | ||||
| 3,029 | Community Bank System, Inc. | 142,000 | ||||
| 517 | Community Trust Bancorp, Inc. | 18,390 | ||||
| 1,154 | ConnectOne Bancorp, Inc. | 19,145 | ||||
| 3,043 | Cullen/Frost Bankers, Inc. | 327,214 | ||||
| 1,643 | Customers Bancorp, Inc.* | 49,717 | ||||
| 2,243 | CVB Financial Corp. | 29,787 | ||||
| 1,876 | Dime Community Bancshares, Inc. | 33,074 | ||||
| 1,065 | Eagle Bancorp, Inc. | 22,535 | ||||
| 2,719 | East West Bancorp, Inc. | 143,536 | ||||
| 4,884 | Eastern Bankshares, Inc. | 59,927 | ||||
| 2,103 | Enterprise Financial Services Corp. | 82,227 | ||||
| 682 | Equity Bancshares, Inc., Class A | 15,536 | ||||
| 855 | ESSA Bancorp, Inc.^ | 12,782 | ||||
| 312 | Evans Bancorp, Inc. | 7,778 | ||||
| 1,329 | Farmers National Banc Corp. | 16,440 | ||||
| 1,860 | FB Financial Corp. | 52,173 | ||||
| 20,011 | Fifth Third Bancorp | 524,488 | ||||
| 1,053 | Financial Institutions, Inc. | 16,574 | ||||
| 814 | First Bancorp, Inc. (The) | 19,813 | ||||
| 12,501 | First BanCorp/Puerto Rico | 152,762 | ||||
| 2,566 | First Bancorp/Southern Pines NC | 76,339 | ||||
| 611 | First Bancshares, Inc. (The) | 15,788 | ||||
| 2,494 | First Busey Corp. | 50,129 | ||||
| 664 | First Business Financial Services, Inc. | 19,581 | ||||
| 408 | First Capital, Inc. | 12,615 | ||||
| 24 | First Citizens BancShares, Inc., Class A | 30,803 | ||||
| 6,217 | First Commonwealth Financial Corp. | 78,645 | ||||
| 512 | First Community Bankshares | 15,222 | ||||
| 4,544 | First Financial Bancorp | 92,879 | ||||
| 6,313 | First Financial Bankshares, Inc. | 179,857 | ||||
| 536 | First Financial Corp. | 17,404 | ||||
| 733 | First Financial Northwest, Inc. | 8,334 | ||||
| 1,155 | First Foundation, Inc. | 4,585 | ||||
| 7,191 | First Hawaiian, Inc. | 129,510 | ||||
| 12,573 | First Horizon Corp. | 141,698 | ||||
| 5,816 | First Interstate BancSystem, Inc., Class A | 138,653 | ||||
| 3,120 | First Merchants Corp. | 88,078 | ||||
| 660 | First Mid Bancshares, Inc. | 15,932 | ||||
| 1,573 | First of Long Island Corp. (The) | 18,907 | ||||
| 2,253 | Flushing Financial Corp. | 27,689 | ||||
| 20,310 | FNB Corp. | 232,346 | ||||
| 9,404 | Fulton Financial Corp. | 112,096 | ||||
| 769 | German American Bancorp, Inc. | 20,901 | ||||
| 6,173 | Glacier Bancorp, Inc. | 192,412 | ||||
| 397 | Great Southern Bancorp, Inc. | 20,140 | ||||
| 16 | Greene County Bancorp, Inc. | 477 | ||||
| 4,066 | Hancock Whitney Corp. | 156,053 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Banks, continued | ||||||
| 2,408 | Hanmi Financial Corp. | $ | 35,951 | |||
| 1,642 | HarborOne Bancorp, Inc. | 14,253 | ||||
| 46 | Hawthorn Bancshares, Inc. | 821 | ||||
| 636 | HBT Financial, Inc. | 11,728 | ||||
| 2,376 | Heartland Financial U.S.A., Inc. | 66,219 | ||||
| 1,197 | Heritage Financial Corp. | 19,356 | ||||
| 2,010 | Hertiage Commerce Corp. | 16,643 | ||||
| 2,750 | Hilltop Holdings, Inc. | 86,515 | ||||
| 62 | Hingham Institution for Savings (The) | 13,217 | ||||
| 11,467 | Home BancShares, Inc. | 261,448 | ||||
| 628 | HomeStreet, Inc. | 3,718 | ||||
| 484 | Hometrust Bancshares, Inc. | 10,111 | ||||
| 4,470 | Hope Bancorp, Inc. | 37,637 | ||||
| 1,071 | Horizon Bancorp, Inc. | 11,149 | ||||
| 17,788 | Huntington Bancshares, Inc. | 191,755 | ||||
| 413 | IF Bancorp, Inc. | 5,964 | ||||
| 855 | Independent Bank Corp. | 14,501 | ||||
| 1,436 | Independent Bank Corp. | 63,916 | ||||
| 2,348 | Independent Bank Group, Inc. | 81,076 | ||||
| 3,500 | International Bancshares Corp. | 154,700 | ||||
| 57,493 | JPMorgan Chase & Co. | 8,361,782 | ||||
| 2,442 | Kearny Financial Corp. | 17,216 | ||||
| 1,249 | Kentucky First Federal Bancorp | 7,756 | ||||
| 10,493 | KeyCorp | 96,955 | ||||
| 750 | Lake Shore Bancorp, Inc. | 8,303 | ||||
| 1,465 | Lakeland Bancorp, Inc. | 19,616 | ||||
| 1,343 | Lakeland Financial Corp. | 65,162 | ||||
| 579 | Landmark Bancorp, Inc. | 12,622 | ||||
| 712 | LCNB Corp.^ | 10,509 | ||||
| 1,274 | Live Oak Bancshares, Inc. | 33,519 | ||||
| 4,260 | M&T Bank Corp. | 527,218 | ||||
| 2,571 | Macatawa Bank Corp. | 23,859 | ||||
| 472 | Mercantile Bank Corp. | 13,037 | ||||
| 241 | Midland States BanCorp, Inc. | 4,798 | ||||
| 638 | MidWestone Financial Group, Inc. | 13,634 | ||||
| 1,928 | National Bank Holdings Corp., Class A | 55,989 | ||||
| 514 | National Bankshares, Inc.^ | 15,004 | ||||
| 1,665 | NBT Bancorp, Inc. | 53,030 | ||||
| 19,583 | New York Community Bancorp, Inc. | 220,113 | ||||
| 373 | Nicolet Bankshares, Inc. | 25,330 | ||||
| 1,501 | Northfield Bancorp, Inc. | 16,481 | ||||
| 510 | Northrim Bancorp, Inc. | 20,058 | ||||
| 7,376 | Northwest Bancshares, Inc. | 78,186 | ||||
| 511 | Norwood Financial Corp. | 15,090 | ||||
| 3,803 | Oceanfirst Financial Corp. | 59,403 | ||||
| 503 | Oconee Federal Financial Corp. | 7,168 | ||||
| 2,292 | OFG Bancorp | 59,775 | ||||
| 440 | Ohio Valley Banc Corp. | 10,780 | ||||
| 7,179 | Old National Bancorp | 100,075 | ||||
| 2,225 | Old Second Bancorp, Inc. | 29,059 | ||||
| 2,023 | Origin Bancorp, Inc. | 59,274 | ||||
| 638 | Orrstown Financial Services, Inc. | 12,218 | ||||
| 5,352 | Pacific Premier Bancorp, Inc. | 110,679 | ||||
| 2,447 | PacWest Bancorp^ | 19,943 | ||||
| 939 | Park National Corp. | 96,079 | ||||
| 1,240 | Pathward Financial, Inc. | 57,486 | ||||
| 1,165 | Peapack-Gladstone Financial Corp. | 31,548 | ||||
| 546 | Penns Woods Bancorp, Inc.^ | 13,666 | ||||
| 608 | Peoples Bancorp of North Carolina, Inc. | 11,084 | ||||
See accompanying notes to the financial statements.
5
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Banks, continued | ||||||
| 1,117 | Peoples Bancorp, Inc. | $ | 29,656 | |||
| 4,268 | Pinnacle Financial Partners, Inc. | 241,782 | ||||
| 6,161 | PNC Financial Services Group, Inc. (The) | 775,978 | ||||
| 4,802 | Popular, Inc. | 290,617 | ||||
| 432 | Preferred Bank | 23,756 | ||||
| 1,369 | Premier Financial Corp. | 21,931 | ||||
| 707 | Primis Financial Corp. | 5,953 | ||||
| 4,140 | Prosperity Bancshares, Inc. | 233,827 | ||||
| 679 | Provident Financial Holdings, Inc. | 8,773 | ||||
| 4,672 | Provident Financial Services, Inc. | 76,341 | ||||
| 606 | QCR Holdings, Inc. | 24,864 | ||||
| 487 | RBB Bancorp | 5,815 | ||||
| 27,459 | Regions Financial Corp. | 489,319 | ||||
| 2,793 | Renasant Corp. | 72,981 | ||||
| 917 | Republic Bancorp, Inc., Class A | 38,973 | ||||
| 420 | Riverview Bancorp, Inc. | 2,117 | ||||
| 1,756 | S&T Bancorp, Inc. | 47,746 | ||||
| 296 | Salisbury Bancorp, Inc. | 7,012 | ||||
| 3,092 | Sandy Spring Bancorp, Inc. | 70,127 | ||||
| 1,366 | Seacoast Banking Corp of Florida | 30,189 | ||||
| 1,767 | ServisFirst Bancshares, Inc. | 72,306 | ||||
| 1,113 | Shore Bancshares, Inc. | 12,866 | ||||
| 1,028 | Sierra Bancorp | 17,445 | ||||
| 7,336 | Simmons First National Corp., Class A | 126,546 | ||||
| 561 | Southern Missouri Bancorp, Inc. | 21,570 | ||||
| 950 | Southside Bancshares, Inc. | 24,852 | ||||
| 3,439 | SouthState Corp. | 226,286 | ||||
| 2,578 | Stellar Bancorp, Inc. | 59,010 | ||||
| 1,764 | Sterling Bancorp, Inc.* | 9,649 | ||||
| 1,460 | Stock Yards Bancorp, Inc. | 66,240 | ||||
| 557 | Summit Financial Group, Inc. | 11,508 | ||||
| 8,225 | Synovus Financial Corp. | 248,806 | ||||
| 733 | Territorial Bancorp, Inc. | 9,001 | ||||
| 1,319 | Texas Capital Bancshares, Inc.* | 67,929 | ||||
| 490 | Tompkins Financial Corp. | 27,293 | ||||
| 4,196 | Towne Bank | 97,515 | ||||
| 1,020 | TriCo Bancshares | 33,864 | ||||
| 1,001 | Triumph Financial, Inc.* | 60,781 | ||||
| 3,439 | Truist Financial Corp. | 104,374 | ||||
| 559 | TrustCo. Bank Corp. | 15,993 | ||||
| 2,995 | Trustmark Corp. | 63,254 | ||||
| 1,375 | UMB Financial Corp. | 83,738 | ||||
| 7,589 | United Bankshares, Inc. | 225,166 | ||||
| 6,479 | United Community Banks, Inc. | 161,910 | ||||
| 1,190 | United Security Bancshares | 7,925 | ||||
| 42 | Unity Bancorp, Inc. | 991 | ||||
| 850 | Univest Financial Corp. | 15,368 | ||||
| 22,911 | US Bancorp | 756,979 | ||||
| 23,069 | Valley National Bancorp | 178,785 | ||||
| 690 | Veritex Holdings, Inc. | 12,372 | ||||
| 4,015 | Washington Federal, Inc. | 106,478 | ||||
| 501 | Washington Trust Bancorp, Inc. | 13,432 | ||||
| 7,952 | Webster Financial Corp. | 300,188 | ||||
| 54,487 | Wells Fargo & Co. | 2,325,505 | ||||
| 3,211 | WesBanco, Inc. | 82,234 | ||||
| 1,062 | West BanCorp, Inc. | 19,551 | ||||
| 685 | Westamerica BanCorp | 26,236 | ||||
| 2,129 | Western Alliance Bancorp | 77,645 | ||||
| 1,498 | Western New England BanCorp, Inc. | 8,748 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Banks, continued | ||||||
| 3,437 | Wintrust Financial Corp. | $ | 249,595 | |||
| 3,462 | WSFS Financial Corp. | 130,587 | ||||
| 2,715 | Zions Bancorp NA | 72,925 | ||||
| 31,395,274 | ||||||
| Beverages (1.3%): | ||||||
| 145 | Boston Beer Co., Inc. (The), Class A* | 44,724 | ||||
| 1,105 | Brown-Forman Corp., Class A | 75,217 | ||||
| 6,213 | Brown-Forman Corp., Class B | 414,904 | ||||
| 1,864 | Celsius Holdings, Inc.* | 278,090 | ||||
| 55,551 | Coca-Cola Co. (The) | 3,345,281 | ||||
| 325 | Coca-Cola Consolidated, Inc. | 206,707 | ||||
| 1,746 | Constellation Brands, Inc., Class A | 429,743 | ||||
| 3,686 | Duckhorn Portfolio, Inc. (The)* | 47,808 | ||||
| 12,023 | Keurig Dr Pepper, Inc. | 375,959 | ||||
| 838 | MGP Ingredients, Inc. | 89,063 | ||||
| 4,873 | Molson Coors Beverage Co., Class B | 320,838 | ||||
| 5,214 | Monster Beverage Corp.* | 299,492 | ||||
| 1,921 | National Beverage Corp.* | 92,880 | ||||
| 24,604 | PepsiCo, Inc. | 4,557,153 | ||||
| 10,577,859 | ||||||
| Biotechnology (2.2%): | ||||||
| 30,619 | AbbVie, Inc. | 4,125,298 | ||||
| 3,964 | Adverum Biotechnologies, Inc.* | 6,303 | ||||
| 2,583 | Agios Pharmaceuticals, Inc.* | 73,151 | ||||
| 3,000 | Alector, Inc.* | 18,030 | ||||
| 6,056 | Alkermes plc* | 189,553 | ||||
| 6,160 | Allakos, Inc.* | 26,858 | ||||
| 4,027 | Allogene Therapeutics, Inc.*^ | 20,014 | ||||
| 2,071 | Alnylam Pharmaceuticals, Inc.* | 393,366 | ||||
| 4,823 | Altimmune, Inc.* | 17,025 | ||||
| 11,085 | Amgen, Inc. | 2,461,092 | ||||
| 955 | AnaptysBio, Inc.* | 19,425 | ||||
| 955 | Anika Therapeutics, Inc.* | 24,811 | ||||
| 1,734 | Apellis Pharmaceuticals, Inc.* | 157,967 | ||||
| 4,012 | Arcus Biosciences, Inc.* | 81,484 | ||||
| 1,800 | Arcutis Biotherapeutics, Inc.* | 17,154 | ||||
| 1,907 | Atara Biotherapeutics, Inc.* | 3,070 | ||||
| 1,763 | Avidity Biosciences, Inc.* | 19,552 | ||||
| 3,076 | Beam Therapeutics, Inc.* | 98,217 | ||||
| 2,115 | Biogen, Inc.* | 602,458 | ||||
| 4,136 | BioMarin Pharmaceutical, Inc.* | 358,508 | ||||
| 1,469 | Bluebird Bio, Inc.* | 4,833 | ||||
| 5,471 | CareDx, Inc.* | 46,503 | ||||
| 1,101 | Celldex Therapeutics, Inc.* | 37,357 | ||||
| 900 | Chinook Therapeutics, Inc.* | 34,578 | ||||
| 4,392 | CRISPR Therapeutics AG* | 246,567 | ||||
| 2,869 | Deciphera Pharmaceuticals, Inc.* | 40,395 | ||||
| 1,534 | Denali Therapeutics, Inc.* | 45,268 | ||||
| 7,054 | Dynavax Technologies Corp.* | 91,138 | ||||
| 233 | Eagle Pharmaceuticals, Inc.* | 4,529 | ||||
| 1,370 | Editas Medicine, Inc.* | 11,275 | ||||
| 1,656 | Emergent BioSolutions, Inc.* | 12,172 | ||||
| 585 | Enanta Pharmaceuticals, Inc.* | 12,519 | ||||
| 3,952 | Exact Sciences Corp.* | 371,093 | ||||
| 14,390 | Exelixis, Inc.* | 274,993 | ||||
| 5,379 | Fate Therapeutics, Inc.* | 25,604 | ||||
| 1,432 | G1 Therapeutics, Inc.* | 3,566 | ||||
| 23,066 | Gilead Sciences, Inc. | 1,777,697 | ||||
| 4,497 | Halozyme Therapeutics, Inc.* | 162,207 | ||||
See accompanying notes to the financial statements.
6
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Biotechnology, continued | ||||||
| 2,007 | Horizon Therapeutics plc* | $ | 206,420 | |||
| 663 | Ideaya Biosciences, Inc.* | 15,580 | ||||
| 4,944 | Incyte Corp.* | 307,764 | ||||
| 961 | Intellia Therapeutics, Inc.* | 39,190 | ||||
| 10,368 | Iovance Biotherapeutics, Inc.* | 72,991 | ||||
| 8,722 | Ironwood Pharmaceuticals, Inc.* | 92,802 | ||||
| 1,306 | iTeos Therapeutics, Inc.* | 17,291 | ||||
| 100 | Karuna Therapeutics, Inc.* | 21,685 | ||||
| 200 | Kodiak Sciences, Inc.* | 1,380 | ||||
| 367 | Krystal Biotech, Inc.* | 43,086 | ||||
| 3,563 | Kura Oncology, Inc.* | 37,697 | ||||
| 1,457 | Kymera Therapeutics, Inc.* | 33,496 | ||||
| 1,449 | MacroGenics, Inc.* | 7,752 | ||||
| 3,312 | Mirati Therapeutics, Inc.* | 119,663 | ||||
| 5,014 | Moderna, Inc.* | 609,201 | ||||
| 3,861 | Myriad Genetics, Inc.* | 89,498 | ||||
| 2,115 | Neurocrine Biosciences, Inc.* | 199,444 | ||||
| 9,565 | PDL BioPharma, Inc.* | 15,424 | ||||
| 4,602 | Poseida Therapeutics, Inc.* | 8,099 | ||||
| 1,321 | Prothena Corp. plc* | 90,198 | ||||
| 4,160 | Recursion Pharmaceuticals, Inc., Class A* | 31,075 | ||||
| 1,601 | Regeneron Pharmaceuticals, Inc.* | 1,150,383 | ||||
| 1,759 | REGENXBIO, Inc.* | 35,162 | ||||
| 3,704 | Relay Therapeutics, Inc.* | 46,522 | ||||
| 2,810 | Replimune Group, Inc.* | 65,248 | ||||
| 4,502 | REVOLUTION Medicines, Inc.* | 120,428 | ||||
| 1,053 | Rhythm Pharmaceuticals, Inc.* | 17,364 | ||||
| 1,042 | Rocket Pharmaceuticals, Inc.* | 20,704 | ||||
| 1,793 | Sage Therapeutics, Inc.* | 84,307 | ||||
| 2,916 | Sangamo Therapeutics, Inc.* | 3,791 | ||||
| 555 | Sarepta Therapeutics, Inc.* | 63,559 | ||||
| 929 | Seagen, Inc.* | 178,795 | ||||
| 2,126 | Spectrum Pharmaceuticals, Inc.* | 2,041 | ||||
| 1,802 | SpringWorks Therapeutics, Inc.* | 47,248 | ||||
| 1,803 | Syndax Pharmaceuticals, Inc.* | 37,737 | ||||
| 4,070 | Twist Bioscience Corp.* | 83,272 | ||||
| 1,976 | United Therapeutics Corp.* | 436,202 | ||||
| 1,179 | Vanda Pharmaceuticals, Inc.* | 7,770 | ||||
| 2,654 | Vertex Pharmaceuticals, Inc.* | 933,969 | ||||
| 3,099 | Xencor, Inc.* | 77,382 | ||||
| 2,020 | Zentalis Pharmaceuticals, Inc.* | 56,984 | ||||
| 17,444,234 | ||||||
| Broadline Retail (2.2%): | ||||||
| 119,351 | Amazon.com, Inc.* | 15,558,596 | ||||
| 1,406 | Big Lots, Inc.^ | 12,415 | ||||
| 868 | Dillard’s, Inc., Class A | 283,211 | ||||
| 20,901 | eBay, Inc. | 934,066 | ||||
| 2,683 | Etsy, Inc.* | 227,009 | ||||
| 7,383 | Kohl’s Corp. | 170,178 | ||||
| 20,178 | Macy’s, Inc. | 323,857 | ||||
| 1,842 | Nordstrom, Inc.^ | 37,706 | ||||
| 2,669 | Ollie’s Bargain Outlet Holdings, Inc.* | 154,615 | ||||
| 8,810 | Qurate Retail, Inc., Class A* | 8,720 | ||||
| 17,710,373 | ||||||
| Building Products (1.1%): | ||||||
| 3,670 | A O Smith Corp. | 267,103 | ||||
| 1,935 | AAON, Inc. | 183,457 | ||||
| 4,178 | Advanced Drainage Systems, Inc. | 475,373 | ||||
| 2,568 | Allegion plc | 308,211 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Building Products, continued | ||||||
| 1,489 | Allegion plc | $ | 178,710 | |||
| 515 | American Woodmark Corp.* | 39,330 | ||||
| 1,085 | Apogee Enterprises, Inc. | 51,505 | ||||
| 2,450 | Armstrong World Industries, Inc. | 179,977 | ||||
| 6,227 | AZEK Co., Inc. (The)* | 188,616 | ||||
| 394 | AZZ, Inc. | 17,123 | ||||
| 7,223 | Builders FirstSource, Inc.* | 982,328 | ||||
| 2,289 | Carlisle Cos., Inc. | 587,197 | ||||
| 14,983 | Carrier Global Corp. | 744,805 | ||||
| 547 | CSW Industrials, Inc. | 90,906 | ||||
| 2,444 | Fortune Brands Innovations, Inc. | 175,846 | ||||
| 1,430 | Gibraltar Industries, Inc.* | 89,976 | ||||
| 1,993 | Griffon Corp. | 80,318 | ||||
| 7,176 | Hayward Holdings, Inc.* | 92,212 | ||||
| 1,209 | Insteel Industries, Inc. | 37,624 | ||||
| 4,309 | Janus International Group, Inc.* | 45,934 | ||||
| 3,895 | JELD-WEN Holding, Inc.* | 68,318 | ||||
| 7,571 | Johnson Controls International plc | 515,888 | ||||
| 717 | Lennox International, Inc. | 233,792 | ||||
| 3,947 | Masco Corp. | 226,479 | ||||
| 681 | Masonite International Corp.* | 69,762 | ||||
| 2,444 | Masterbrand, Inc.* | 28,424 | ||||
| 6,751 | Owens Corning | 881,005 | ||||
| 3,379 | PGT Innovations, Inc.* | 98,498 | ||||
| 1,160 | Quanex Building Products Corp. | 31,146 | ||||
| 5,771 | Resideo Technologies, Inc.* | 101,916 | ||||
| 1,119 | Simpson Manufacturing Co., Inc. | 154,981 | ||||
| 918 | Tecnoglass, Inc. | 47,424 | ||||
| 3,686 | Trane Technologies plc | 704,984 | ||||
| 2,554 | Trex Co., Inc.* | 167,440 | ||||
| 3,214 | UFP Industries, Inc. | 311,919 | ||||
| 8,458,527 | ||||||
| Capital Markets (2.6%): | ||||||
| 837 | Affiliated Managers Group, Inc. | 125,458 | ||||
| 3,481 | Ameriprise Financial, Inc. | 1,156,249 | ||||
| 1,507 | Ares Management Corp., Class A | 145,199 | ||||
| 4,141 | Artisan Partners Asset Management, Inc., Class A | 162,783 | ||||
| 1,892 | AssetMark Financial Holdings, Inc.* | 56,117 | ||||
| 2,377 | Avantax, Inc.* | 53,197 | ||||
| 734 | B Riley Financial, Inc. | 33,749 | ||||
| 19,601 | Bank of New York Mellon Corp. (The) | 872,636 | ||||
| 19,837 | BGC Partners, Inc., Class A | 87,878 | ||||
| 1,608 | BlackRock, Inc., Class A | 1,111,353 | ||||
| 4,413 | Blackstone, Inc., Class A | 410,277 | ||||
| 902 | Brightsphere Investment Group, Inc. | 18,897 | ||||
| 9,271 | Carlyle Group, Inc. (The) | 296,208 | ||||
| 2,349 | Cboe Global Markets, Inc. | 324,185 | ||||
| 28,738 | Charles Schwab Corp. (The) | 1,628,870 | ||||
| 3,709 | CME Group, Inc. | 687,241 | ||||
| 1,396 | Cohen & Steers, Inc. | 80,954 | ||||
| 639 | Coinbase Global, Inc., Class A* | 45,720 | ||||
| 190 | Diamond Hill Investment Group, Inc. | 32,547 | ||||
| 1,883 | Donnelley Financial Solutions, Inc.* | 85,733 | ||||
| 18 | FactSet Research Systems, Inc. | 7,212 | ||||
| 4,926 | Federated Hermes, Inc., Class B | 176,597 | ||||
| 12,504 | Franklin Resources, Inc. | 333,982 | ||||
| 4,993 | Goldman Sachs Group, Inc. (The) | 1,610,442 | ||||
| 255 | Greenhill & Co., Inc. | 3,736 | ||||
| 1,730 | Hamilton Lane, Inc., Class A | 138,365 | ||||
See accompanying notes to the financial statements.
7
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Capital Markets, continued | ||||||
| 211 | Hennessy Advisors, Inc. | $ | 1,494 | |||
| 2,385 | Houlihan Lokey, Inc. | 234,469 | ||||
| 1,363 | Interactive Brokers Group, Inc., Class A | 113,224 | ||||
| 5,882 | Intercontinental Exchange, Inc. | 665,137 | ||||
| 20,618 | Invesco, Ltd. | 346,589 | ||||
| 9,330 | Janus Henderson Group plc | 254,242 | ||||
| 5,286 | Jefferies Financial Group, Inc. | 175,337 | ||||
| 5,775 | KKR & Co., Inc., Class A | 323,400 | ||||
| 1,669 | Lazard, Ltd., Class A | 53,408 | ||||
| 1,018 | LPL Financial Holdings, Inc. | 221,344 | ||||
| 337 | MarketAxess Holdings, Inc. | 88,099 | ||||
| 1,664 | Moelis & Co., Class A | 75,446 | ||||
| 3,160 | Moody’s Corp. | 1,098,795 | ||||
| 19,018 | Morgan Stanley | 1,624,137 | ||||
| 415 | Morningstar, Inc. | 81,369 | ||||
| 64 | MSCI, Inc. | 30,035 | ||||
| 9,300 | Nasdaq, Inc. | 463,605 | ||||
| 6,118 | Northern Trust Corp. | 453,588 | ||||
| 1,608 | Open Lending Corp., Class A* | 16,900 | ||||
| 365 | Oppenheimer Holdings, Inc., Class A | 14,666 | ||||
| 1,002 | Piper Sandler Cos. | 129,519 | ||||
| 394 | PJT Partners, Inc., Class A | 27,438 | ||||
| 6,328 | Raymond James Financial, Inc. | 656,657 | ||||
| 23,838 | Robinhood Markets, Inc., Class A* | 237,903 | ||||
| 3,329 | S&P Global, Inc. | 1,334,563 | ||||
| 4,050 | SEI Investments Co. | 241,461 | ||||
| 660 | Silvercrest Asset Management Group, Inc., Class A | 13,365 | ||||
| 8,803 | State Street Corp. | 644,204 | ||||
| 2,598 | StepStone Group, Inc., Class A | 64,456 | ||||
| 5,729 | Stifel Financial Corp. | 341,849 | ||||
| 1,192 | StoneX Group, Inc.* | 99,031 | ||||
| 5,528 | T. Rowe Price Group, Inc. | 619,247 | ||||
| 1,319 | Tradeweb Markets, Inc., Class A | 90,325 | ||||
| 1,975 | Victory Capital Holdings, Inc., Class A | 62,291 | ||||
| 4,929 | Virtu Financial, Inc., Class A | 84,237 | ||||
| 429 | Virtus Investment Partners, Inc. | 84,715 | ||||
| 425 | Westwood Holdings, Inc. | 5,270 | ||||
| 3,476 | WisdomTree, Inc. | 23,845 | ||||
| 20,781,245 | ||||||
| Chemicals (2.1%): | ||||||
| 1,366 | AdvanSix, Inc. | 47,783 | ||||
| 2,508 | Air Products and Chemicals, Inc. | 751,221 | ||||
| 2,650 | Albemarle Corp. | 591,188 | ||||
| 1,157 | American Vanguard Corp. | 20,676 | ||||
| 2,454 | Ashland, Inc. | 213,277 | ||||
| 2,333 | Avient Corp. | 95,420 | ||||
| 12,056 | Axalta Coating Systems, Ltd.* | 395,557 | ||||
| 1,038 | Balchem Corp. | 139,933 | ||||
| 3,723 | Cabot Corp. | 249,031 | ||||
| 2,236 | Celanese Corp. | 258,929 | ||||
| 10,243 | CF Industries Holdings, Inc. | 711,069 | ||||
| 328 | Chase Corp. | 39,760 | ||||
| 9,492 | Chemours Co. (The) | 350,160 | ||||
| 11,433 | Corteva, Inc. | 655,111 | ||||
| 19,707 | Dow, Inc. | 1,049,595 | ||||
| 11,396 | DuPont de Nemours, Inc. | 814,130 | ||||
| 5,876 | Eastman Chemical Co. | 491,939 | ||||
| 3,052 | Ecolab, Inc. | 569,778 | ||||
| 4,830 | Ecovyst, Inc.* | 55,352 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Chemicals, continued | ||||||
| 11,145 | Element Solutions, Inc. | $ | 213,984 | |||
| 1,647 | FMC Corp. | 171,848 | ||||
| 3,222 | FutureFuel Corp. | 28,515 | ||||
| 1,394 | HB Fuller Co. | 99,685 | ||||
| 10,221 | Huntsman Corp. | 276,171 | ||||
| 1,105 | Ingevity Corp.* | 64,267 | ||||
| 976 | Innospec, Inc. | 98,029 | ||||
| 6,501 | International Flavors & Fragrances, Inc. | 517,415 | ||||
| 1,037 | Intrepid Potash, Inc.* | 23,529 | ||||
| 783 | Koppers Holdings, Inc. | 26,700 | ||||
| 2,011 | Kronos Worldwide, Inc. | 17,556 | ||||
| 3,339 | Linde plc | 1,272,426 | ||||
| 6,960 | Livent Corp.* | 190,913 | ||||
| 5,203 | LSB Industries, Inc.* | 51,250 | ||||
| 15,356 | LyondellBasell Industries NV, Class A | 1,410,141 | ||||
| 3,598 | Mativ Holdings, Inc. | 54,402 | ||||
| 971 | Minerals Technologies, Inc. | 56,017 | ||||
| 19,766 | Mosaic Co. (The) | 691,810 | ||||
| 641 | NewMarket Corp. | 257,759 | ||||
| 9,717 | Olin Corp. | 499,357 | ||||
| 3,864 | Orion SA | 81,994 | ||||
| 4,945 | PPG Industries, Inc. | 733,343 | ||||
| 566 | Quaker Chemical Corp. | 110,313 | ||||
| 3,631 | Rayonier Advanced Materials, Inc.* | 15,541 | ||||
| 2,918 | RPM International, Inc. | 261,832 | ||||
| 1,838 | Scotts Miracle-Gro Co. (The) | 115,224 | ||||
| 1,384 | Sensient Technologies Corp. | 98,444 | ||||
| 4,841 | Sherwin-Williams Co. (The) | 1,285,382 | ||||
| 569 | Stepan Co. | 54,374 | ||||
| 1,279 | Trinseo PLC | 16,205 | ||||
| 8,722 | Tronox Holdings plc, Class A | 110,857 | ||||
| 1,765 | Westlake Corp. | 210,865 | ||||
| 16,616,057 | ||||||
| Commercial Services & Supplies (0.8%): | ||||||
| 2,950 | ABM Industries, Inc. | 125,817 | ||||
| 2,927 | ACCO Brands Corp. | 15,250 | ||||
| 1,452 | Brady Corp., Class A | 69,072 | ||||
| 1,624 | Brink’s Co. (The) | 110,156 | ||||
| 2,141 | Casella Waste Systems, Inc.* | 193,653 | ||||
| 2,003 | CECO Environmental Corp.* | 26,760 | ||||
| 1,318 | Cimpress plc* | 78,395 | ||||
| 1,690 | Cintas Corp. | 840,065 | ||||
| 433 | Civeo Corp.* | 8,435 | ||||
| 1,694 | Clean Harbors, Inc.* | 278,544 | ||||
| 10,013 | Copart, Inc.* | 913,286 | ||||
| 1,498 | Deluxe Corp. | 26,185 | ||||
| 720 | Driven Brands Holdings, Inc.* | 19,483 | ||||
| 1,613 | Ennis, Inc. | 32,873 | ||||
| 2,503 | Enviri Corp.* | 24,705 | ||||
| 2,148 | Healthcare Services Group, Inc. | 32,070 | ||||
| 1,042 | Heritage-Crystal Clean, Inc.* | 39,377 | ||||
| 3,618 | HNI Corp. | 101,955 | ||||
| 2,041 | Interface, Inc. | 17,940 | ||||
| 1,736 | Liquidity Services, Inc.* | 28,644 | ||||
| 919 | Matthews International Corp., Class A | 39,168 | ||||
| 3,432 | MillerKnoll, Inc. | 50,725 | ||||
| 400 | Montrose Environmental Group, Inc.* | 16,848 | ||||
| 691 | MSA Safety, Inc. | 120,206 | ||||
| 1,552 | NL Industries, Inc. | 8,583 | ||||
See accompanying notes to the financial statements.
8
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Commercial Services & Supplies, continued | ||||||
| 5,118 | OPENLANE, Inc.* | $ | 77,896 | |||
| 4,238 | Pitney Bowes, Inc. | 15,002 | ||||
| 2,606 | Quad Graphics, Inc.* | 9,799 | ||||
| 4,351 | Republic Services, Inc. | 666,443 | ||||
| 8,305 | Rollins, Inc. | 355,703 | ||||
| 503 | SP Plus Corp.* | 19,672 | ||||
| 2,563 | Steelcase, Inc., Class A | 19,761 | ||||
| 3,518 | Stericycle, Inc.* | 163,376 | ||||
| 1,527 | Tetra Tech, Inc. | 250,031 | ||||
| 841 | UniFirst Corp. | 130,363 | ||||
| 1,003 | Viad Corp.* | 26,961 | ||||
| 824 | VSE Corp. | 45,065 | ||||
| 9,196 | Waste Management, Inc. | 1,594,770 | ||||
| 6,593,037 | ||||||
| Communications Equipment (0.7%): | ||||||
| 1,069 | ADTRAN Holdings, Inc. | 11,257 | ||||
| 752 | Applied Optoelectronics, Inc.* | 4,482 | ||||
| 2,313 | Arista Networks, Inc.* | 374,845 | ||||
| 1,829 | CalAmp Corp.* | 1,939 | ||||
| 1,990 | Calix, Inc.* | 99,321 | ||||
| 6,617 | Ciena Corp.* | 281,156 | ||||
| 65,051 | Cisco Systems, Inc. | 3,365,739 | ||||
| 6,102 | CommScope Holding Co., Inc.* | 34,354 | ||||
| 756 | Comtech Telecommunications Corp. | 6,910 | ||||
| 1,262 | Digi International, Inc.* | 49,710 | ||||
| 1,189 | EMCORE Corp.* | 895 | ||||
| 4,340 | Extreme Networks, Inc.* | 113,057 | ||||
| 1,768 | F5, Inc.* | 258,588 | ||||
| 2,194 | Harmonic, Inc.* | 35,477 | ||||
| 2,944 | Infinera Corp.* | 14,220 | ||||
| 14,371 | Juniper Networks, Inc. | 450,243 | ||||
| 909 | KVH Industries, Inc.* | 8,308 | ||||
| 2,839 | Lumentum Holdings, Inc.* | 161,056 | ||||
| 1,185 | Motorola Solutions, Inc. | 347,537 | ||||
| 1,010 | NETGEAR, Inc.* | 14,302 | ||||
| 2,564 | NetScout Systems, Inc.* | 79,356 | ||||
| 3,679 | Ribbon Communications, Inc.* | 10,264 | ||||
| 2,004 | Viasat, Inc.* | 82,685 | ||||
| 7,865 | Viavi Solutions, Inc.* | 89,110 | ||||
| 5,894,811 | ||||||
| Construction & Engineering (0.5%): | ||||||
| 2,920 | AECOM | 247,295 | ||||
| 1,759 | Ameresco, Inc., Class A* | 85,540 | ||||
| 7,278 | API Group Corp.* | 198,398 | ||||
| 2,696 | Arcosa, Inc. | 204,276 | ||||
| 455 | Argan, Inc. | 17,932 | ||||
| 1,713 | Comfort Systems U.S.A., Inc. | 281,275 | ||||
| 1,213 | Construction Partners, Inc., Class A* | 38,076 | ||||
| 959 | Dycom Industries, Inc.* | 108,990 | ||||
| 1,440 | EMCOR Group, Inc. | 266,083 | ||||
| 5,880 | Fluor Corp.* | 174,048 | ||||
| 1,277 | Granite Construction, Inc. | 50,799 | ||||
| 2,266 | Great Lakes Dredge & Dock Corp.* | 18,491 | ||||
| 656 | IES Holdings, Inc.* | 37,313 | ||||
| 1,682 | MasTec, Inc.* | 198,425 | ||||
| 1,750 | Matrix Service Co.* | 10,307 | ||||
| 9,107 | MDU Resources Group, Inc. | 190,701 | ||||
| 487 | MYR Group, Inc.* | 67,372 | ||||
| 2,101 | Orion Group Holdings, Inc.* | 5,904 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Construction & Engineering, continued | ||||||
| 2,465 | Primoris Services Corp. | $ | 75,108 | |||
| 3,499 | Quanta Services, Inc. | 687,379 | ||||
| 1,469 | Sterling Infrastructure, Inc.* | 81,970 | ||||
| 1,648 | Tutor Perini Corp.* | 11,783 | ||||
| 653 | Valmont Industries, Inc. | 190,056 | ||||
| 7,973 | WillScot Mobile Mini Holdings Corp.* | 381,030 | ||||
| 3,628,551 | ||||||
| Construction Materials (0.3%): | ||||||
| 961 | Eagle Materials, Inc. | 179,150 | ||||
| 2,276 | Knife River Corp.* | 99,006 | ||||
| 1,625 | Martin Marietta Materials, Inc. | 750,246 | ||||
| 6,589 | Summit Materials, Inc., Class A* | 249,394 | ||||
| 131 | U.S. Lime & Minerals, Inc. | 27,364 | ||||
| 3,480 | Vulcan Materials Co. | 784,531 | ||||
| 2,089,691 | ||||||
| Consumer Finance (0.8%): | ||||||
| 15,182 | Ally Financial, Inc. | 410,066 | ||||
| 8,402 | American Express Co. | 1,463,628 | ||||
| 3,407 | Bread Financial Holdings, Inc. | 106,946 | ||||
| 7,957 | Capital One Financial Corp. | 870,257 | ||||
| 1,912 | Consumer Portfolio Services, Inc.*^ | 22,313 | ||||
| 617 | Credit Acceptance Corp.* | 313,393 | ||||
| 13,464 | Discover Financial Services | 1,573,268 | ||||
| 1,171 | Encore Capital Group, Inc.* | 56,934 | ||||
| 1,657 | Enova International, Inc.* | 88,020 | ||||
| 3,948 | EZCORP, Inc., Class A*^ | 33,084 | ||||
| 2,555 | FirstCash Holdings, Inc. | 238,458 | ||||
| 1,425 | Green Dot Corp., Class A* | 26,705 | ||||
| 5,431 | LendingClub Corp.* | 52,952 | ||||
| 194 | LendingTree, Inc.* | 4,289 | ||||
| 3,504 | Navient Corp. | 65,104 | ||||
| 543 | Nelnet, Inc., Class A | 52,389 | ||||
| 750 | Nicholas Financial, Inc.* | 3,761 | ||||
| 8,505 | OneMain Holdings, Inc. | 371,584 | ||||
| 2,635 | PRA Group, Inc.* | 60,210 | ||||
| 2,187 | PROG Holdings, Inc.* | 70,247 | ||||
| 568 | Regional Mgmt Corp. | 17,324 | ||||
| 16,979 | SLM Corp. | 277,097 | ||||
| 12,132 | Synchrony Financial | 411,518 | ||||
| 237 | World Acceptance Corp.* | 31,760 | ||||
| 6,621,307 | ||||||
| Consumer Staples Distribution & Retail (1.7%): | ||||||
| 6,299 | Albertsons Cos., Inc., Class A | 137,444 | ||||
| 1,610 | Andersons, Inc. (The) | 74,301 | ||||
| 6,948 | BJ’s Wholesale Club Holdings, Inc.* | 437,793 | ||||
| 235 | Casey’s General Stores, Inc. | 57,312 | ||||
| 1,143 | Chefs’ Warehouse, Inc. (The)* | 40,874 | ||||
| 5,931 | Costco Wholesale Corp. | 3,193,132 | ||||
| 2,596 | Dollar General Corp. | 440,749 | ||||
| 4,839 | Dollar Tree, Inc.* | 694,397 | ||||
| 3,350 | Grocery Outlet Holding Corp.* | 102,543 | ||||
| 613 | Ingles Markets, Inc., Class A | 50,664 | ||||
| 35,501 | Kroger Co. (The) | 1,668,547 | ||||
| 1,720 | Natural Grocers by Vitamin Cottage, Inc. | 21,087 | ||||
| 7,395 | Performance Food Group Co.* | 445,475 | ||||
| 1,664 | PriceSmart, Inc. | 123,236 | ||||
| 2,949 | SpartanNash Co. | 66,382 | ||||
| 6,836 | Sprouts Farmers Market, Inc.* | 251,086 | ||||
See accompanying notes to the financial statements.
9
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Consumer Staples Distribution & Retail, continued | ||||||
| 10,148 | Sysco Corp. | $ | 752,982 | |||
| 6,269 | Target Corp. | 826,881 | ||||
| 3,889 | United Natural Foods, Inc.* | 76,030 | ||||
| 10,089 | US Foods Holding Corp.* | 443,916 | ||||
| 738 | Village Super Market, Inc., Class A | 16,841 | ||||
| 8,238 | Walgreens Boots Alliance, Inc. | 234,701 | ||||
| 22,214 | Walmart, Inc. | 3,491,597 | ||||
| 857 | Weis Markets, Inc. | 55,028 | ||||
| 13,702,998 | ||||||
| Containers & Packaging (0.6%): | ||||||
| 27,134 | Amcor plc | 270,797 | ||||
| 21,700 | Amcor plc | 216,566 | ||||
| 3,091 | AptarGroup, Inc. | 358,123 | ||||
| 2,194 | Avery Dennison Corp. | 376,929 | ||||
| 6,230 | Ball Corp. | 362,648 | ||||
| 6,043 | Berry Global Group, Inc. | 388,807 | ||||
| 2,919 | Crown Holdings, Inc. | 253,574 | ||||
| 15,239 | Graphic Packaging Holding Co. | 366,193 | ||||
| 930 | Greif, Inc., Class A | 64,068 | ||||
| 710 | Greif, Inc., Class B | 54,848 | ||||
| 10,283 | International Paper Co. | 327,102 | ||||
| 1,253 | Myers Industries, Inc. | 24,346 | ||||
| 9,822 | O-I Glass, Inc.* | 209,503 | ||||
| 4,434 | Packaging Corp. of America | 585,997 | ||||
| 4,758 | Sealed Air Corp. | 190,320 | ||||
| 3,186 | Silgan Holdings, Inc. | 149,392 | ||||
| 4,847 | Sonoco Products Co. | 286,070 | ||||
| 2,518 | TriMas Corp. | 69,220 | ||||
| 11,948 | Westrock Co. | 347,328 | ||||
| 4,901,831 | ||||||
| Distributors (0.2%): | ||||||
| 1,267 | Funko, Inc., Class A* | 13,709 | ||||
| 5,247 | Genuine Parts Co. | 887,950 | ||||
| 7,015 | LKQ Corp. | 408,764 | ||||
| 659 | Pool Corp. | 246,888 | ||||
| 811 | Weyco Group, Inc. | 21,645 | ||||
| 1,578,956 | ||||||
| Diversified Consumer Services (0.2%): | ||||||
| 28,860 | ADT, Inc. | 174,026 | ||||
| 2,373 | Adtalem Global Education, Inc.* | 81,489 | ||||
| 541 | American Public Education, Inc.* | 2,564 | ||||
| 2,428 | Bright Horizons Family Solutions, Inc.* | 224,469 | ||||
| 418 | Carriage Services, Inc. | 13,573 | ||||
| 5,672 | Chegg, Inc.* | 50,367 | ||||
| 6,110 | Coursera, Inc.* | 79,552 | ||||
| 3,669 | Frontdoor, Inc.* | 117,041 | ||||
| 112 | Graham Holdings Co., Class B | 64,006 | ||||
| 1,270 | Grand Canyon Education, Inc.* | 131,077 | ||||
| 6,598 | H&R Block, Inc. | 210,278 | ||||
| 6,794 | Laureate Education, Inc. | 82,140 | ||||
| 2,352 | OneSpaWorld Holdings, Ltd.* | 28,459 | ||||
| 2,522 | Perdoceo Education Corp.* | 30,945 | ||||
| 5,854 | Service Corp. International | 378,110 | ||||
| 825 | Strategic Education, Inc. | 55,968 | ||||
| 2,454 | Stride, Inc.* | 91,362 | ||||
| 1,696 | Universal Technical Institute, Inc.* | 11,719 | ||||
| 1,827,145 | ||||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Diversified Telecommunication Services (1.0%): | ||||||
| 398 | Anterix, Inc.* | $ | 12,613 | |||
| 131,671 | AT&T, Inc. | 2,100,153 | ||||
| 461 | ATN International, Inc. | 16,873 | ||||
| 1,203 | Cogent Communications Holdings, Inc. | 80,950 | ||||
| 4,558 | Consolidated Communications Holdings, Inc.* | 17,457 | ||||
| 1,548 | EchoStar Corp., Class A* | 26,842 | ||||
| 7,588 | Frontier Communications Parent, Inc.* | 141,440 | ||||
| 2,352 | GCI Liberty, Inc.* | — | ||||
| 1,080 | IDT Corp.* | 27,918 | ||||
| 3,409 | Iridium Communications, Inc. | 211,767 | ||||
| 1,489 | Liberty Latin America, Ltd., Class A* | 13,029 | ||||
| 8,852 | Liberty Latin America, Ltd., Class C* | 76,304 | ||||
| 26,553 | Lumen Technologies, Inc. | 60,010 | ||||
| 148,381 | Verizon Communications, Inc. | 5,518,289 | ||||
| 8,303,645 | ||||||
| Electric Utilities (1.5%): | ||||||
| 1,925 | ALLETE, Inc. | 111,592 | ||||
| 4,670 | Alliant Energy Corp. | 245,082 | ||||
| 6,998 | American Electric Power Co., Inc. | 589,232 | ||||
| 2,629 | Avangrid, Inc. | 99,061 | ||||
| 5,643 | Constellation Energy Corp. | 516,617 | ||||
| 10,680 | Duke Energy Corp. | 958,423 | ||||
| 7,521 | Edison International | 522,333 | ||||
| 4,179 | Entergy Corp. | 406,909 | ||||
| 4,141 | Evergy, Inc. | 241,917 | ||||
| 6,313 | Eversource Energy | 447,718 | ||||
| 14,111 | Exelon Corp. | 574,882 | ||||
| 11,345 | FirstEnergy Corp. | 441,094 | ||||
| 1,272 | Genie Energy, Ltd., Class B | 17,986 | ||||
| 1,318 | Hawaiian Electric Industries, Inc. | 47,712 | ||||
| 2,089 | IDACORP, Inc. | 214,331 | ||||
| 1,599 | MGE Energy, Inc. | 126,497 | ||||
| 27,840 | NextEra Energy, Inc. | 2,065,728 | ||||
| 4,318 | NRG Energy, Inc. | 161,450 | ||||
| 7,600 | OGE Energy Corp. | 272,916 | ||||
| 1,495 | Otter Tail Corp. | 118,045 | ||||
| 38,335 | PG&E Corp.* | 662,429 | ||||
| 4,407 | Pinnacle West Capital Corp. | 358,994 | ||||
| 3,114 | PNM Resources, Inc. | 140,441 | ||||
| 3,874 | Portland General Electric Co. | 181,419 | ||||
| 14,497 | PPL Corp. | 383,591 | ||||
| 15,046 | Southern Co. (The) | 1,056,981 | ||||
| 10,633 | Xcel Energy, Inc. | 661,054 | ||||
| 11,624,434 | ||||||
| Electrical Equipment (0.8%): | ||||||
| 1,082 | Acuity Brands, Inc. | 176,453 | ||||
| 5,701 | AMETEK, Inc. | 922,878 | ||||
| 2,048 | Atkore, Inc.* | 319,365 | ||||
| 4,356 | Eaton Corp. plc | 875,992 | ||||
| 6,251 | Emerson Electric Co. | 565,028 | ||||
| 1,271 | Encore Wire Corp. | 236,317 | ||||
| 1,312 | EnerSys | 142,378 | ||||
| 9,782 | FuelCell Energy, Inc.*^ | 21,129 | ||||
| 1,659 | Generac Holdings, Inc.* | 247,407 | ||||
| 14,859 | GrafTech International, Ltd. | 74,889 | ||||
| 1,003 | Hubbell, Inc. | 332,555 | ||||
| 1,831 | LSI Industries, Inc. | 22,997 | ||||
| 7,325 | nVent Electric plc | 378,483 | ||||
| 14,602 | Plug Power, Inc.*^ | 151,715 | ||||
See accompanying notes to the financial statements.
10
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Electrical Equipment, continued | ||||||
| 606 | Powell Industries, Inc. | $ | 36,717 | |||
| 400 | Preformed Line Products Co. | 62,440 | ||||
| 2,995 | Regal Rexnord Corp. | 460,930 | ||||
| 2,250 | Rockwell Automation, Inc. | 741,262 | ||||
| 7,206 | Sensata Technologies Holding plc | 324,198 | ||||
| 3,376 | Shoals Technologies Group, Inc., Class A* | 86,291 | ||||
| 5,277 | SunPower Corp.*^ | 51,715 | ||||
| 11,971 | Sunrun, Inc.* | 213,802 | ||||
| 1,298 | Thermon Group Holdings, Inc.* | 34,527 | ||||
| 742 | TPI Composites, Inc.* | 7,694 | ||||
| 3,331 | Vertiv Holdings Co. | 82,509 | ||||
| 1,148 | Vicor Corp.* | 61,992 | ||||
| 6,631,663 | ||||||
| Electronic Equipment, Instruments & Components (1.3%): |
| |||||
| 1,470 | Advanced Energy Industries, Inc. | 163,832 | ||||
| 424 | Allied Motion Technologies, Inc. | 16,935 | ||||
| 9,451 | Amphenol Corp., Class A | 802,862 | ||||
| 2,582 | Arlo Technologies, Inc.* | 28,170 | ||||
| 3,284 | Arrow Electronics, Inc.* | 470,367 | ||||
| 5,071 | Avnet, Inc. | 255,832 | ||||
| 1,157 | Badger Meter, Inc. | 170,727 | ||||
| 550 | Bel Fuse, Inc., Class B | 31,576 | ||||
| 1,317 | Belden, Inc. | 125,971 | ||||
| 1,054 | Benchmark Electronics, Inc. | 27,225 | ||||
| 3,641 | CDW Corp. | 668,124 | ||||
| 3,610 | Cognex Corp. | 202,232 | ||||
| 1,971 | Coherent Corp.* | 100,482 | ||||
| 20,947 | Corning, Inc. | 733,983 | ||||
| 1,576 | CTS Corp. | 67,185 | ||||
| 2,838 | Daktronics, Inc.* | 18,163 | ||||
| 784 | ePlus, Inc.* | 44,139 | ||||
| 1,439 | Fabrinet* | 186,897 | ||||
| 392 | FARO Technologies, Inc.* | 6,350 | ||||
| 12,938 | Flex, Ltd.* | 357,606 | ||||
| 640 | Frequency Electronics, Inc. | 4,237 | ||||
| 1,494 | Insight Enterprises, Inc.* | 218,632 | ||||
| 1,164 | IPG Photonics Corp.* | 158,094 | ||||
| 2,007 | Itron, Inc.* | 144,705 | ||||
| 9,066 | Jabil, Inc. | 978,493 | ||||
| 4,712 | Keysight Technologies, Inc.* | 789,024 | ||||
| 1,603 | Kimball Electronics, Inc.* | 44,291 | ||||
| 5,811 | Knowles Corp.* | 104,947 | ||||
| 672 | Littelfuse, Inc. | 195,760 | ||||
| 1,471 | Methode Electronics, Inc., Class A | 49,308 | ||||
| 2,559 | National Instruments Corp. | 146,887 | ||||
| 1,293 | Novanta, Inc.* | 238,041 | ||||
| 594 | OSI Systems, Inc.* | 69,991 | ||||
| 770 | PAR Technology Corp.*^ | 25,356 | ||||
| 1,121 | PC Connection, Inc. | 50,557 | ||||
| 1,323 | Plexus Corp.* | 129,972 | ||||
| 771 | Rogers Corp.* | 124,848 | ||||
| 2,630 | Sanmina Corp.* | 158,510 | ||||
| 738 | ScanSource, Inc.* | 21,815 | ||||
| 2,341 | TD SYNNEX Corp. | 220,054 | ||||
| 4,733 | TE Connectivity, Ltd. | 663,377 | ||||
| 1,042 | Teledyne Technologies, Inc.* | 428,377 | ||||
| 5,387 | Trimble, Inc.* | 285,188 | ||||
| 5,237 | TTM Technologies, Inc.* | 72,794 | ||||
| 5,343 | Vishay Intertechnology, Inc. | 157,084 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Electronic Equipment, Instruments & Components, continued |
| |||||
| 4,805 | Vontier Corp. | $ | 154,769 | |||
| 903 | Zebra Technologies Corp., Class A* | 267,134 | ||||
| 10,380,903 | ||||||
| Energy Equipment & Services (0.7%): | ||||||
| 6,728 | Archrock, Inc. | 68,962 | ||||
| 23,729 | Baker Hughes Co. | 750,074 | ||||
| 519 | Bristow Group, Inc.* | 14,911 | ||||
| 562 | Cactus, Inc., Class A | 23,784 | ||||
| 8,897 | ChampionX Corp. | 276,163 | ||||
| 1,337 | Core Laboratories, Inc. | 31,085 | ||||
| 562 | DMC Global, Inc.* | 9,981 | ||||
| 1,028 | Dril-Quip, Inc.* | 23,922 | ||||
| 1,095 | Expro Group Holdings NV* | 19,403 | ||||
| 306 | Forum Energy Technologies, Inc.* | 7,831 | ||||
| 760 | Geospace Technologies Corp.* | 5,905 | ||||
| 1,086 | Gulf Island Fabrication, Inc.* | 3,529 | ||||
| 34,240 | Halliburton Co. | 1,129,578 | ||||
| 5,456 | Helix Energy Solutions Group, Inc.* | 40,265 | ||||
| 4,742 | Helmerich & Payne, Inc. | 168,104 | ||||
| 12,498 | Liberty Energy, Inc., Class A | 167,098 | ||||
| 1,436 | Mammoth Energy Services, Inc.* | 6,936 | ||||
| 734 | Nabors Industries, Ltd.* | 68,284 | ||||
| 935 | Natural Gas Services Group* | 9,256 | ||||
| 4,799 | Newpark Resources, Inc.* | 25,099 | ||||
| 15,779 | NexTier Oilfield Solutions, Inc.* | 141,064 | ||||
| 900 | Noble Corp. plc* | 37,179 | ||||
| 17,732 | NOV, Inc. | 284,421 | ||||
| 6,071 | Oceaneering International, Inc.* | 113,528 | ||||
| 3,066 | Oil States International, Inc.* | 22,903 | ||||
| 14,267 | Patterson-UTI Energy, Inc. | 170,776 | ||||
| 8,148 | ProPetro Holding Corp.* | 67,140 | ||||
| 10,425 | RPC, Inc. | 74,539 | ||||
| 20,532 | Schlumberger, Ltd. | 1,008,532 | ||||
| 493 | SEACOR Marine Holdings, Inc.* | 5,635 | ||||
| 3,974 | Select Water Solutions, Inc. | 32,189 | ||||
| 17,526 | TechnipFMC plc* | 291,282 | ||||
| 4,086 | TETRA Technologies, Inc.* | 13,811 | ||||
| 2,580 | Tidewater, Inc.* | 143,035 | ||||
| 40,411 | Transocean, Ltd.* | 283,281 | ||||
| 4,546 | US Silica Holdings, Inc.* | 55,143 | ||||
| 2,596 | Valaris, Ltd.* | 163,366 | ||||
| 3,081 | Weatherford International plc* | 204,640 | ||||
| 5,962,634 | ||||||
| Entertainment (1.2%): | ||||||
| 5,649 | Activision Blizzard, Inc.* | 476,211 | ||||
| 6,453 | Cinemark Holdings, Inc.* | 106,474 | ||||
| 6,639 | Electronic Arts, Inc. | 861,078 | ||||
| 1,993 | Endeavor Group Holdings, Inc.* | 47,673 | ||||
| 2,645 | IMAX Corp.* | 44,939 | ||||
| 192 | John Wiley & Sons, Inc., Class B | 6,319 | ||||
| 247 | Liberty Media Corp.-Liberty Braves, Class A* | 10,107 | ||||
| 1,735 | Liberty Media Corp.-Liberty Braves, Class C* | 68,741 | ||||
| 619 | Liberty Media Corp-Liberty Formula One, Class A* | 41,857 | ||||
| 4,590 | Liberty Media Corp-Liberty Formula One, Class C* | 345,535 | ||||
| 2,111 | Lions Gate Entertainment Corp., Class A* | 18,640 | ||||
| 4,430 | Lions Gate Entertainment Corp., Class B* | 36,990 | ||||
| 4,511 | Live Nation Entertainment, Inc.* | 410,997 | ||||
| 894 | Madison Square Garden Entertainment Corp.* | 30,056 | ||||
| 719 | Madison Square Garden Sports Corp., Class A | 135,208 | ||||
See accompanying notes to the financial statements.
11
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Entertainment, continued | ||||||
| 1,459 | Marcus Corp. (The) | $ | 21,637 | |||
| 4,849 | Netflix, Inc.* | 2,135,936 | ||||
| 3,472 | Playtika Holding Corp.* | 40,275 | ||||
| 1,419 | Reading International, Inc., Class A* | 3,760 | ||||
| 4,759 | ROBLOX Corp., Class A* | 191,788 | ||||
| 454 | Roku, Inc.* | 29,038 | ||||
| 894 | Sphere Entertainment Co.* | 24,487 | ||||
| 2,452 | Spotify Technology SA* | 393,669 | ||||
| 4,181 | Take-Two Interactive Software, Inc.* | 615,276 | ||||
| 27,233 | Walt Disney Co. (The)* | 2,431,362 | ||||
| 62,039 | Warner Bros Discovery, Inc.* | 777,969 | ||||
| 3,714 | Warner Music Group Corp., Class A | 96,898 | ||||
| 1,983 | World Wrestling Entertainment, Inc., Class A | 215,096 | ||||
| 9,618,016 | ||||||
| Financial Services (3.6%): | ||||||
| 13,003 | Affirm Holdings, Inc.*^ | 199,336 | ||||
| 981 | A-Mark Precious Metals, Inc. | 36,724 | ||||
| 4,482 | Apollo Global Management, Inc. | 344,262 | ||||
| 6,202 | AvidXchange Holdings, Inc.* | 64,377 | ||||
| 24,229 | Berkshire Hathaway, Inc., Class B* | 8,262,089 | ||||
| 6,526 | Block, Inc.* | 434,436 | ||||
| 252 | BM Technologies, Inc.* | 751 | ||||
| 2,704 | Cannae Holdings, Inc.* | 54,648 | ||||
| 687 | Cass Information Systems, Inc. | 26,642 | ||||
| 11,963 | Equitable Holdings, Inc. | 324,915 | ||||
| 6,088 | Essent Group, Ltd. | 284,918 | ||||
| 1,694 | Euronet Worldwide, Inc.* | 198,825 | ||||
| 3,577 | EVERTEC, Inc. | 131,741 | ||||
| 403 | Federal Agricultural Mortgage Corp. | 57,927 | ||||
| 14,943 | Fidelity National Information Services, Inc. | 817,382 | ||||
| 6,830 | Fiserv, Inc.* | 861,604 | ||||
| 3,005 | FleetCor Technologies, Inc.* | 754,495 | ||||
| 2,700 | Flywire Corp.* | 83,808 | ||||
| 6,481 | Global Payments, Inc. | 638,508 | ||||
| 1,101 | I3 Verticals, Inc., Class A* | 25,169 | ||||
| 1,320 | International Money Express, Inc.* | 32,380 | ||||
| 5,793 | Jackson Financial, Inc., Class A | 177,324 | ||||
| 27,585 | Marqeta, Inc., Class A* | 134,339 | ||||
| 13,679 | Mastercard, Inc., Class A | 5,379,951 | ||||
| 988 | Merchants Bancorp | 25,273 | ||||
| 16,357 | MGIC Investment Corp. | 258,277 | ||||
| 1,888 | Mr Cooper Group, Inc.* | 95,608 | ||||
| 4,107 | NMI Holdings, Inc., Class A* | 106,043 | ||||
| 465 | Ocwen Financial Corp.* | 13,936 | ||||
| 15,909 | PayPal Holdings, Inc.* | 1,061,608 | ||||
| 1,468 | Paysafe, Ltd.* | 14,812 | ||||
| 2,818 | PennyMac Financial Services, Inc. | 198,134 | ||||
| 8,853 | Radian Group, Inc. | 223,804 | ||||
| 3,168 | Repay Holdings Corp.* | 24,805 | ||||
| 4,694 | Rocket Cos., Inc., Class A* | 42,058 | ||||
| 1,495 | Shift4 Payments, Inc., Class A* | 101,525 | ||||
| 9,473 | TFS Financial Corp. | 119,076 | ||||
| 5,111 | Toast, Inc., Class A* | 115,355 | ||||
| 25,882 | Visa, Inc., Class A | 6,146,457 | ||||
| 4,007 | Voya Financial, Inc. | 287,342 | ||||
| 1,074 | Walker & Dunlop, Inc. | 84,943 | ||||
| 728 | Waterstone Financial, Inc. | 10,549 | ||||
| 6,143 | Western Union Co. (The) | 72,057 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Financial Services, continued | ||||||
| 446 | WEX, Inc.* | $ | 81,203 | |||
| 28,409,416 | ||||||
| Food Products (1.3%): |
| |||||
| 8,622 | Archer-Daniels-Midland Co. | 651,478 | ||||
| 2,035 | B&G Foods, Inc.^ | 28,327 | ||||
| 4,414 | Bunge, Ltd. | 416,461 | ||||
| 270 | Calavo Growers, Inc. | 7,835 | ||||
| 2,277 | Cal-Maine Foods, Inc. | 102,465 | ||||
| 8,996 | Campbell Soup Co. | 411,207 | ||||
| 12,177 | Conagra Brands, Inc. | 410,608 | ||||
| 7,567 | Darling Ingredients, Inc.* | 482,699 | ||||
| 1,004 | Farmer Brothers Co.* | 2,781 | ||||
| 9,807 | Flowers Foods, Inc. | 243,998 | ||||
| 2,403 | Fresh Del Monte Produce, Inc. | 61,781 | ||||
| 1,992 | Freshpet, Inc.* | 131,094 | ||||
| 9,484 | General Mills, Inc. | 727,423 | ||||
| 5,693 | Hain Celestial Group, Inc. (The)* | 71,219 | ||||
| 3,050 | Hershey Co. (The) | 761,585 | ||||
| 10,169 | Hormel Foods Corp. | 408,997 | ||||
| 7,722 | Hostess Brands, Inc.* | 195,521 | ||||
| 1,283 | Ingredion, Inc. | 135,934 | ||||
| 566 | J & J Snack Foods Corp. | 89,632 | ||||
| 2,460 | JM Smucker Co. (The) | 363,268 | ||||
| 300 | John B Sanfilippo & Son, Inc. | 35,181 | ||||
| 9,130 | Kellogg Co. | 615,362 | ||||
| 11,485 | Kraft Heinz Co. (The) | 407,718 | ||||
| 3,960 | Lamb Weston Holdings, Inc. | 455,202 | ||||
| 452 | Lancaster Colony Corp. | 90,893 | ||||
| 778 | McCormick & Co., Inc. | 67,375 | ||||
| 4,172 | McCormick & Co., Inc. | 363,924 | ||||
| 3,145 | Mission Produce, Inc.* | 38,117 | ||||
| 15,451 | Mondelez International, Inc., Class A | 1,126,996 | ||||
| 6,653 | Pilgrim’s Pride Corp.* | 142,973 | ||||
| 2,182 | Post Holdings, Inc.* | 189,070 | ||||
| 20 | Seaboard Corp. | 71,214 | ||||
| 266 | Seneca Foods Corp., Class A* | 8,693 | ||||
| 3,330 | Simply Good Foods Co. (The)* | 121,845 | ||||
| 1,400 | Sovos Brands, Inc.* | 27,384 | ||||
| 1,072 | Tootsie Roll Industries, Inc. | 37,960 | ||||
| 1,935 | TreeHouse Foods, Inc.* | 97,485 | ||||
| 7,424 | Tyson Foods, Inc., Class A | 378,921 | ||||
| 1,200 | Utz Brands, Inc. | 19,632 | ||||
| 1,400 | Vital Farms, Inc.* | 16,786 | ||||
| 10,017,044 | ||||||
| Gas Utilities (0.2%): |
| |||||
| 2,798 | Atmos Energy Corp. | 325,519 | ||||
| 785 | Chesapeake Utilities Corp. | 93,415 | ||||
| 3,975 | National Fuel Gas Co. | 204,156 | ||||
| 4,288 | New Jersey Resources Corp. | 202,393 | ||||
| 1,716 | Northwest Natural Holding Co. | 73,874 | ||||
| 2,486 | ONE Gas, Inc. | 190,950 | ||||
| 232 | RGC Resources, Inc. | 4,647 | ||||
| 944 | Southwest Gas Holdings, Inc. | 60,086 | ||||
| 2,276 | Spire, Inc. | 144,389 | ||||
| 7,935 | UGI Corp. | 214,007 | ||||
| 1,513,436 | ||||||
| Ground Transportation (1.2%): |
| |||||
| 957 | ArcBest Corp. | 94,552 | ||||
See accompanying notes to the financial statements.
12
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Ground Transportation, continued | ||||||
| 678 | Avis Budget Group, Inc.* | $ | 155,038 | |||
| 419 | Covenant Logistics Group, Inc. | 18,365 | ||||
| 38,430 | CSX Corp. | 1,310,463 | ||||
| 1,925 | Heartland Express, Inc. | 31,589 | ||||
| 19,110 | Hertz Global Holdings, Inc.* | 351,433 | ||||
| 4,049 | JB Hunt Transport Services, Inc. | 732,990 | ||||
| 8,217 | Knight-Swift Transportation Holdings, Inc. | 456,536 | ||||
| 1,791 | Landstar System, Inc. | 344,839 | ||||
| 4,222 | Marten Transport, Ltd. | 90,773 | ||||
| 1,515 | Norfolk Southern Corp. | 343,541 | ||||
| 2,809 | Old Dominion Freight Line, Inc. | 1,038,628 | ||||
| 1,600 | PAM Transportation Services, Inc. | 42,832 | ||||
| 6,783 | RXO, Inc.* | 153,771 | ||||
| 1,902 | Ryder System, Inc. | 161,271 | ||||
| 576 | Saia, Inc.* | 197,228 | ||||
| 3,510 | Schneider National, Inc., Class B | 100,807 | ||||
| 12,212 | Uber Technologies, Inc.* | 527,192 | ||||
| 1,170 | U-Haul Holding Co. | 64,724 | ||||
| 4,494 | U-Haul Holding Co. | 227,711 | ||||
| 12,451 | Union Pacific Corp. | 2,547,724 | ||||
| 586 | Universal Logistics Holdings, Inc. | 16,883 | ||||
| 3,327 | Werner Enterprises, Inc. | 146,987 | ||||
| 2,834 | XPO, Inc.* | 167,206 | ||||
| 1,829 | Yellow Corp.* | 1,260 | ||||
| 9,324,343 | ||||||
| Health Care Equipment & Supplies (2.1%): |
| |||||
| 17,862 | Abbott Laboratories | 1,947,315 | ||||
| 2,269 | Accuray, Inc.* | 8,781 | ||||
| 1,611 | Align Technology, Inc.* | 569,714 | ||||
| 912 | AngioDynamics, Inc.* | 9,512 | ||||
| 1,619 | Artivion, Inc.* | 27,831 | ||||
| 1,507 | AtriCure, Inc.* | 74,386 | ||||
| 36 | Atrion Corp. | 20,365 | ||||
| 2,829 | Avanos Medical, Inc.* | 72,309 | ||||
| 744 | Axonics, Inc.* | 37,550 | ||||
| 10,445 | Baxter International, Inc. | 475,874 | ||||
| 3,200 | Becton Dickinson & Co. | 844,832 | ||||
| 16,649 | Boston Scientific Corp.* | 900,544 | ||||
| 1,265 | CONMED Corp. | 171,901 | ||||
| 658 | Cooper Cos., Inc. (The) | 252,297 | ||||
| 7,906 | DENTSPLY SIRONA, Inc. | 316,398 | ||||
| 3,015 | Dexcom, Inc.* | 387,458 | ||||
| 6,068 | Edwards Lifesciences Corp.* | 572,394 | ||||
| 994 | Embecta Corp. | 21,470 | ||||
| 1,499 | Enovis Corp.* | 96,116 | ||||
| 7,392 | Envista Holdings Corp.* | 250,145 | ||||
| 8,476 | Figs, Inc., Class A* | 70,097 | ||||
| 1,964 | GE HealthCare Technologies, Inc. | 159,555 | ||||
| 1,546 | Glaukos Corp.* | 110,091 | ||||
| 3,457 | Globus Medical, Inc.* | 205,830 | ||||
| 1,142 | Haemonetics Corp.* | 97,230 | ||||
| 5,975 | Hologic, Inc.* | 483,796 | ||||
| 1,516 | IDEXX Laboratories, Inc.* | 761,381 | ||||
| 516 | Inari Medical, Inc.* | 30,000 | ||||
| 433 | Inogen, Inc.* | 5,001 | ||||
| 439 | Inspire Medical Systems, Inc.* | 142,517 | ||||
| 692 | Insulet Corp.* | 199,531 | ||||
| 1,895 | Integer Holdings Corp.* | 167,916 | ||||
| 3,384 | Integra LifeSciences Holdings Corp.* | 139,184 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Health Care Equipment & Supplies, continued | ||||||
| 2,726 | Intuitive Surgical, Inc.* | $ | 932,128 | |||
| 2,363 | Lantheus Holdings, Inc.* | 198,303 | ||||
| 809 | LeMaitre Vascular, Inc. | 54,430 | ||||
| 725 | LENSAR, Inc.* | 3,081 | ||||
| 3,507 | LivaNova plc* | 180,365 | ||||
| 692 | Masimo Corp.* | 113,869 | ||||
| 14,589 | Medtronic plc | 1,285,291 | ||||
| 2,177 | Merit Medical Systems, Inc.* | 182,084 | ||||
| 125 | Mesa Laboratories, Inc. | 16,062 | ||||
| 600 | Nevro Corp.* | 15,252 | ||||
| 1,600 | Novocure, Ltd.* | 66,400 | ||||
| 1,066 | NuVasive, Inc.* | 44,335 | ||||
| 1,974 | Omnicell, Inc.* | 145,425 | ||||
| 2,205 | OraSure Technologies, Inc.* | 11,047 | ||||
| 825 | Orthofix Medical, Inc.* | 14,899 | ||||
| 929 | Penumbra, Inc.* | 319,632 | ||||
| 2,221 | ResMed, Inc. | 485,289 | ||||
| 775 | Shockwave Medical, Inc.* | 221,193 | ||||
| 1,569 | STAAR Surgical Co.* | 82,482 | ||||
| 1,882 | STERIS plc | 423,412 | ||||
| 3,660 | Stryker Corp. | 1,116,629 | ||||
| 1,018 | Teleflex, Inc. | 246,387 | ||||
| 193 | UFP Technologies, Inc.* | 37,413 | ||||
| 227 | Utah Medical Products, Inc. | 21,156 | ||||
| 1,100 | Varex Imaging Corp.* | 25,927 | ||||
| 4,381 | Zimmer Biomet Holdings, Inc. | 637,874 | ||||
| 217 | Zimvie, Inc.* | 2,437 | ||||
| 16,512,123 | ||||||
| Health Care Providers & Services (2.8%): |
| |||||
| 3,584 | Acadia Healthcare Co., Inc.* | 285,430 | ||||
| 1,600 | Accolade, Inc.* | 21,552 | ||||
| 643 | Addus HomeCare Corp.* | 59,606 | ||||
| 2,527 | Agiliti, Inc.* | 41,695 | ||||
| 5,599 | agilon health, Inc.* | 97,087 | ||||
| 1,363 | Amedisys, Inc.* | 124,633 | ||||
| 3,574 | AmerisourceBergen Corp. | 687,745 | ||||
| 2,838 | AMN Healthcare Services, Inc.* | 309,683 | ||||
| 1,245 | Apollo Medical Holdings, Inc.* | 39,342 | ||||
| 9,264 | Brookdale Senior Living, Inc.* | 39,094 | ||||
| 5,243 | Cardinal Health, Inc. | 495,831 | ||||
| 431 | Castle Biosciences, Inc.* | 5,913 | ||||
| 12,101 | Centene Corp.* | 816,212 | ||||
| 322 | Chemed Corp. | 174,418 | ||||
| 6,354 | Cigna Group (The) | 1,782,932 | ||||
| 5,028 | Community Health Systems, Inc.* | 22,123 | ||||
| 603 | CorVel Corp.* | 116,680 | ||||
| 1,732 | Cross Country Healthcare, Inc.* | 48,635 | ||||
| 24,586 | CVS Health Corp. | 1,699,630 | ||||
| 2,342 | DaVita, Inc.* | 235,301 | ||||
| 3,529 | Elevance Health, Inc. | 1,567,899 | ||||
| 4,542 | Encompass Health Corp. | 307,539 | ||||
| 1,271 | Enhabit, Inc.* | 14,616 | ||||
| 1,449 | Ensign Group, Inc. (The) | 138,322 | ||||
| 790 | Fulgent Genetics, Inc.* | 29,254 | ||||
| 2,919 | HCA Healthcare, Inc. | 885,858 | ||||
| 3,759 | HealthEquity, Inc.* | 237,343 | ||||
| 3,487 | Henry Schein, Inc.* | 282,796 | ||||
| 1,896 | Humana, Inc. | 847,758 | ||||
| 1,529 | InfuSystem Holdings, Inc.* | 14,724 | ||||
See accompanying notes to the financial statements.
13
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Health Care Providers & Services, continued | ||||||
| 2,171 | Laboratory Corp. of America Holdings | $ | 523,927 | |||
| 1,864 | McKesson Corp. | 796,506 | ||||
| 864 | ModivCare, Inc.* | 39,061 | ||||
| 1,451 | Molina Healthcare, Inc.* | 437,099 | ||||
| 575 | National Healthcare Corp. | 35,547 | ||||
| 819 | National Research Corp. | 35,635 | ||||
| 4,300 | NeoGenomics, Inc.* | 69,101 | ||||
| 128 | OmniAb Operations, Inc.*(a) | — | ||||
| 128 | OmniAb Operations, Inc.*(a) | — | ||||
| 10,235 | OPKO Health, Inc.* | 22,210 | ||||
| 6,542 | Option Care Health, Inc.* | 212,550 | ||||
| 5,824 | Owens & Minor, Inc.* | 110,889 | ||||
| 4,988 | Patterson Cos., Inc. | 165,901 | ||||
| 5,162 | Pediatrix Medical Group, Inc.* | 73,352 | ||||
| 792 | Pennant Group, Inc. (The)* | 9,726 | ||||
| 629 | PetIQ, Inc.* | 9,542 | ||||
| 5,181 | Premier, Inc., Class A | 143,306 | ||||
| 1,933 | Privia Health Group, Inc.* | 50,471 | ||||
| 861 | Progyny, Inc.* | 33,872 | ||||
| 2,923 | Quest Diagnostics, Inc. | 410,857 | ||||
| 2,720 | RadNet, Inc.* | 88,726 | ||||
| 5,624 | Select Medical Holdings Corp. | 179,181 | ||||
| 585 | Surgery Partners, Inc.* | 26,319 | ||||
| 5,594 | Tenet Healthcare Corp.* | 455,240 | ||||
| 14,086 | UnitedHealth Group, Inc. | 6,770,295 | ||||
| 2,937 | Universal Health Services, Inc., Class B | 463,370 | ||||
| 542 | US Physical Therapy, Inc. | 65,793 | ||||
| 22,658,127 | ||||||
| Health Care Technology (0.1%): |
| |||||
| 8,941 | American Well Corp., Class A* | 18,776 | ||||
| 2,856 | Certara, Inc.* | 52,008 | ||||
| 339 | Computer Programs and Systems, Inc.* | 8,370 | ||||
| 3,003 | Definitive Healthcare Corp.* | 33,033 | ||||
| 3,607 | Doximity, Inc., Class A* | 122,710 | ||||
| 1,873 | Evolent Health, Inc., Class A* | 56,752 | ||||
| 3,097 | GoodRx Holdings, Inc., Class A* | 17,095 | ||||
| 1,056 | Health Catalyst, Inc.* | 13,200 | ||||
| 1,357 | HealthStream, Inc. | 33,328 | ||||
| 1,430 | NextGen Healthcare, Inc.* | 23,195 | ||||
| 3,015 | Schrodinger, Inc.* | 150,509 | ||||
| 394 | Simulations Plus, Inc. | 17,072 | ||||
| 5,070 | Teladoc Health, Inc.* | 128,372 | ||||
| 1,211 | Veeva Systems, Inc., Class A* | 239,451 | ||||
| 4,097 | Veradigm, Inc.* | 51,622 | ||||
| 965,493 | ||||||
| Hotels, Restaurants & Leisure (2.3%): |
| |||||
| 4,816 | Airbnb, Inc., Class A* | 617,219 | ||||
| 11,332 | Aramark | 487,843 | ||||
| 6 | Biglari Holdings, Inc., Class A* | 5,700 | ||||
| 67 | Biglari Holdings, Inc., Class B* | 13,208 | ||||
| 2,189 | BJ’s Restaurants, Inc.* | 69,610 | ||||
| 4,525 | Bloomin’ Brands, Inc. | 121,677 | ||||
| 308 | Booking Holdings, Inc.* | 831,702 | ||||
| 1,059 | Boyd Gaming Corp. | 73,463 | ||||
| 2,407 | Brinker International, Inc.* | 88,096 | ||||
| 9,517 | Caesars Entertainment, Inc.* | 485,081 | ||||
| 29,405 | Carnival Corp., Class A* | 553,696 | ||||
| 2,943 | Carrols Restaurant Group, Inc.* | 14,833 | ||||
| 2,527 | Cheesecake Factory, Inc. (The) | 87,384 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Hotels, Restaurants & Leisure, continued | ||||||
| 433 | Chipotle Mexican Grill, Inc.* | $ | 926,187 | |||
| 1,340 | Choice Hotels International, Inc. | 157,477 | ||||
| 2,252 | Churchill Downs, Inc. | 313,411 | ||||
| 429 | Chuy’s Holdings, Inc.* | 17,512 | ||||
| 1,219 | Cracker Barrel Old Country Store, Inc. | 113,586 | ||||
| 3,109 | Darden Restaurants, Inc. | 519,452 | ||||
| 1,810 | Dave & Buster’s Entertainment, Inc.* | 80,654 | ||||
| 1,239 | Denny’s Corp.* | 15,264 | ||||
| 362 | Dine Brands Global, Inc. | 21,007 | ||||
| 681 | Domino’s Pizza, Inc. | 229,490 | ||||
| 8,071 | DoorDash, Inc., Class A* | 616,786 | ||||
| 13,674 | DraftKings, Inc.* | 363,318 | ||||
| 1,288 | El Pollo Loco Holdings, Inc. | 11,296 | ||||
| 2,986 | Expedia Group, Inc.* | 326,638 | ||||
| 1,277 | Fiesta Restaurant Group, Inc.* | 10,139 | ||||
| 6,175 | Hilton Grand Vacations, Inc.* | 280,592 | ||||
| 4,687 | Hilton Worldwide Holdings, Inc. | 682,193 | ||||
| 1,098 | Hyatt Hotels Corp., Class A | 125,809 | ||||
| 323 | Jack in the Box, Inc. | 31,502 | ||||
| 3,372 | Krispy Kreme, Inc. | 49,670 | ||||
| 3,081 | Las Vegas Sands Corp.* | 178,698 | ||||
| 3,371 | Life Time Group Holdings, Inc.* | 66,308 | ||||
| 1,893 | Light & Wonder, Inc., Class A* | 130,163 | ||||
| 3,405 | Marriott International, Inc., Class A | 625,464 | ||||
| 1,994 | Marriott Vacations Worldwide Corp. | 244,704 | ||||
| 9,811 | McDonald’s Corp. | 2,927,700 | ||||
| 1,328 | MGM Resorts International | 58,326 | ||||
| 341 | Nathans Famous, Inc. | 26,782 | ||||
| 2,319 | Norwegian Cruise Line Holdings, Ltd.* | 50,485 | ||||
| 1,497 | Papa John’s International, Inc. | 110,523 | ||||
| 2,176 | Penn Entertainment, Inc.* | 52,289 | ||||
| 3,216 | Planet Fitness, Inc., Class A* | 216,887 | ||||
| 9,227 | Playa Hotels & Resorts NV* | 75,108 | ||||
| 763 | Potbelly Corp.* | 6,699 | ||||
| 878 | Red Robin Gourmet Burgers, Inc.* | 12,143 | ||||
| 4,589 | Royal Caribbean Cruises, Ltd.* | 476,063 | ||||
| 2,758 | SeaWorld Entertainment, Inc.* | 154,476 | ||||
| 1,202 | Shake Shack, Inc., Class A* | 93,419 | ||||
| 3,662 | Six Flags Entertainment Corp.* | 95,139 | ||||
| 16,037 | Starbucks Corp. | 1,588,625 | ||||
| 7,074 | Sweetgreen, Inc., Class A* | 90,689 | ||||
| 3,050 | Texas Roadhouse, Inc. | 342,454 | ||||
| 3,133 | Travel + Leisure Co. | 126,385 | ||||
| 1,836 | Vail Resorts, Inc. | 462,231 | ||||
| 10,823 | Wendy’s Co. (The) | 235,400 | ||||
| 1,048 | Wingstop, Inc. | 209,768 | ||||
| 4,707 | Wyndham Hotels & Resorts, Inc. | 322,759 | ||||
| 1,374 | Wynn Resorts, Ltd. | 145,108 | ||||
| 5,011 | Yum! Brands, Inc. | 694,274 | ||||
| 18,160,564 | ||||||
| Household Durables (0.9%): |
| |||||
| 906 | Beazer Homes U.S.A., Inc.* | 25,631 | ||||
| 283 | Cavco Industries, Inc.* | 83,485 | ||||
| 1,809 | Century Communities, Inc. | 138,606 | ||||
| 7,384 | DR Horton, Inc. | 898,559 | ||||
| 1,530 | Ethan Allen Interiors, Inc. | 43,268 | ||||
| 431 | Flexsteel Industries, Inc. | 8,495 | ||||
| 3,356 | Garmin, Ltd. | 349,997 | ||||
| 2,761 | GoPro, Inc., Class A* | 11,431 | ||||
See accompanying notes to the financial statements.
14
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Household Durables, continued | ||||||
| 1,329 | Green Brick Partners, Inc.* | $ | 75,487 | |||
| 1,366 | Helen of Troy, Ltd.* | 147,555 | ||||
| 500 | Hooker Furnishings Corp. | 9,330 | ||||
| 1,698 | Installed Building Products, Inc. | 237,992 | ||||
| 596 | iRobot Corp.* | 26,969 | ||||
| 2,155 | KB Home | 111,435 | ||||
| 2,550 | La-Z-Boy, Inc. | 73,032 | ||||
| 7,316 | Leggett & Platt, Inc. | 216,700 | ||||
| 3,171 | Lennar Corp., Class A | 397,358 | ||||
| 119 | Lennar Corp., Class B | 13,445 | ||||
| 1,327 | LGI Homes, Inc.* | 178,999 | ||||
| 1,017 | Lifetime Brands, Inc. | 5,746 | ||||
| 1,420 | M/I Homes, Inc.* | 123,810 | ||||
| 4,042 | MDC Holdings, Inc. | 189,044 | ||||
| 1,004 | Meritage Homes Corp. | 142,839 | ||||
| 2,874 | Mohawk Industries, Inc.* | 296,482 | ||||
| 10,746 | Newell Brands, Inc. | 93,490 | ||||
| 102 | NVR, Inc.* | 647,763 | ||||
| 9,930 | PulteGroup, Inc. | 771,362 | ||||
| 7,911 | Purple Innovation, Inc.^ | 21,993 | ||||
| 2,434 | Skyline Champion Corp.* | 159,305 | ||||
| 2,407 | Sonos, Inc.* | 39,306 | ||||
| 5,909 | Taylor Morrison Home Corp., Class A* | 288,182 | ||||
| 7,251 | Tempur Sealy International, Inc. | 290,548 | ||||
| 2,183 | Toll Brothers, Inc. | 172,610 | ||||
| 1,110 | TopBuild Corp.* | 295,282 | ||||
| 5,751 | Tri Pointe Homes, Inc.* | 188,978 | ||||
| 320 | Universal Electronics, Inc.* | 3,078 | ||||
| 3,376 | Vizio Holding Corp., Class A* | 22,788 | ||||
| 1,621 | VOXX International Corp.* | 20,230 | ||||
| 2,400 | Whirlpool Corp. | 357,096 | ||||
| 7,177,706 | ||||||
| Household Products (1.1%): |
| |||||
| 1,863 | Central Garden & Pet Co., Class A* | 67,925 | ||||
| 4,613 | Church & Dwight Co., Inc. | 462,361 | ||||
| 1,597 | Clorox Co. (The) | 253,987 | ||||
| 11,404 | Colgate-Palmolive Co. | 878,564 | ||||
| 2,606 | Energizer Holdings, Inc. | 87,509 | ||||
| 6,635 | Kimberly-Clark Corp. | 916,028 | ||||
| 333 | Oil-Dri Corp. of America | 19,644 | ||||
| 39,631 | Procter & Gamble Co. (The) | 6,013,608 | ||||
| 4,384 | Reynolds Consumer Products, Inc. | 123,848 | ||||
| 2,338 | Spectrum Brands Holdings, Inc. | 182,481 | ||||
| 626 | WD-40 Co. | 118,095 | ||||
| 9,124,050 | ||||||
| Independent Power and Renewable Electricity Producers (0.2%): |
| |||||
| 12,230 | AES Corp. (The) | 253,528 | ||||
| 4,506 | Atlantica Sustainable Infrastructure plc | 105,621 | ||||
| 3,258 | Brookfield Renewable Corp., Class A^ | 102,692 | ||||
| 1,323 | Clearway Energy, Inc., Class A | 35,721 | ||||
| 3,836 | Clearway Energy, Inc., Class C | 109,556 | ||||
| 1,138 | Ormat Technologies, Inc. | 91,563 | ||||
| 6,557 | Sunnova Energy International, Inc.*^ | 120,059 | ||||
| 18,390 | Vistra Corp. | 482,738 | ||||
| 1,301,478 | ||||||
| Industrial Conglomerates (0.5%): |
| |||||
| 14,142 | 3M Co. | 1,415,473 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Industrial Conglomerates, continued | ||||||
| 5,892 | General Electric Co. | $ | 647,236 | |||
| 10,620 | Honeywell International, Inc. | 2,203,650 | ||||
| 4,266,359 | ||||||
| Insurance (2.8%): |
| |||||
| 9,236 | Aflac, Inc. | 644,673 | ||||
| 6,515 | Allstate Corp. (The) | 710,396 | ||||
| 2,897 | Ambac Financial Group, Inc.* | 41,253 | ||||
| 5,969 | American Equity Investment Life Holding Co. | 311,045 | ||||
| 2,248 | American Financial Group, Inc. | 266,950 | ||||
| 15,882 | American International Group, Inc. | 913,850 | ||||
| 745 | AMERISAFE, Inc. | 39,723 | ||||
| 2,927 | Aon plc, Class A | 1,010,400 | ||||
| 8,245 | Arch Capital Group, Ltd.* | 617,138 | ||||
| 560 | Argo Group International Holdings, Ltd. | 16,582 | ||||
| 2,399 | Arthur J. Gallagher & Co. | 526,748 | ||||
| 1,480 | Assurant, Inc. | 186,066 | ||||
| 1,625 | Assured Guaranty, Ltd. | 90,675 | ||||
| 4,771 | Axis Capital Holdings, Ltd. | 256,823 | ||||
| 3,813 | Brighthouse Financial, Inc.* | 180,546 | ||||
| 7,178 | Brown & Brown, Inc. | 494,134 | ||||
| 3,450 | BRP Group, Inc., Class A* | 85,491 | ||||
| 6,106 | Chubb, Ltd. | 1,175,771 | ||||
| 4,158 | Cincinnati Financial Corp. | 404,657 | ||||
| 2,176 | Citizens, Inc.* | 5,244 | ||||
| 1,799 | CNA Financial Corp. | 69,477 | ||||
| 895 | Crawford & Co., Class A | 9,926 | ||||
| 2,354 | Crawford & Co., Class B | 22,104 | ||||
| 1,631 | Donegal Group, Inc., Class A | 23,535 | ||||
| 800 | eHealth, Inc.* | 6,432 | ||||
| 1,977 | Employers Holdings, Inc. | 73,960 | ||||
| 447 | Enstar Group, Ltd.* | 109,175 | ||||
| 398 | Erie Indemnity Co., Class A | 83,584 | ||||
| 621 | Everest Re Group, Ltd. | 212,295 | ||||
| 419 | F&G Annuities & Life, Inc. | 10,383 | ||||
| 13,708 | Fidelity National Financial, Inc. | 493,488 | ||||
| 4,811 | First American Financial Corp. | 274,323 | ||||
| 27,784 | Genworth Financial, Inc., Class A* | 138,920 | ||||
| 4,859 | Globe Life, Inc. | 532,644 | ||||
| 318 | Goosehead Insurance, Inc.* | 19,999 | ||||
| 2,383 | Greenlight Capital Re, Ltd., Class A* | 25,105 | ||||
| 146 | Hallmark Financial Services, Inc.* | 818 | ||||
| 769 | Hanover Insurance Group, Inc. (The) | 86,920 | ||||
| 13,797 | Hartford Financial Services Group, Inc. (The) | 993,660 | ||||
| 397 | HCI Group, Inc. | 24,527 | ||||
| 387 | Heritage Insurance Holdings, Inc.* | 1,490 | ||||
| 1,991 | Horace Mann Educators Corp. | 59,053 | ||||
| 153 | Investors Title Co. | 22,338 | ||||
| 1,185 | James River Group Holdings, Ltd. | 21,638 | ||||
| 3,603 | Kemper Corp. | 173,881 | ||||
| 381 | Kinsale Capital Group, Inc. | 142,570 | ||||
| 2,749 | Lincoln National Corp. | 70,814 | ||||
| 6,215 | Loews Corp. | 369,047 | ||||
| 5,556 | Maiden Holdings, Ltd.* | 11,668 | ||||
| 182 | Markel Group, Inc.* | 251,739 | ||||
| 8,504 | Marsh & McLennan Cos., Inc. | 1,599,432 | ||||
| 2,590 | Mercury General Corp. | 78,399 | ||||
| 7,939 | MetLife, Inc. | 448,792 | ||||
| 162 | National Western Life Group, Inc., Class A | 67,321 | ||||
| 13,472 | Old Republic International Corp. | 339,090 | ||||
See accompanying notes to the financial statements.
15
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Insurance, continued | ||||||
| 5,300 | Oscar Health, Inc., Class A* | $ | 42,718 | |||
| 400 | Palomar Holdings, Inc.* | 23,216 | ||||
| 1,239 | Primerica, Inc. | 245,025 | ||||
| 7,143 | Principal Financial Group, Inc. | 541,725 | ||||
| 3,052 | ProAssurance Corp. | 46,055 | ||||
| 5,935 | Progressive Corp. (The) | 785,616 | ||||
| 10,179 | Prudential Financial, Inc. | 897,991 | ||||
| 2,679 | Reinsurance Group of America, Inc. | 371,550 | ||||
| 1,983 | RenaissanceRe Holdings, Ltd. | 369,869 | ||||
| 2,352 | RLI Corp. | 320,977 | ||||
| 825 | Safety Insurance Group, Inc. | 59,169 | ||||
| 1,725 | Selective Insurance Group, Inc. | 165,514 | ||||
| 5,145 | SiriusPoint, Ltd.* | 46,459 | ||||
| 1,878 | Stewart Information Services Corp. | 77,261 | ||||
| 1,767 | Tiptree, Inc., Class A | 26,523 | ||||
| 8,887 | Travelers Cos., Inc. (The) | 1,543,316 | ||||
| 1,346 | Trupanion, Inc.* | 26,489 | ||||
| 728 | United Fire Group, Inc. | 16,496 | ||||
| 1,869 | Universal Insurance Holdings, Inc. | 28,839 | ||||
| 8,945 | Unum Group | 426,676 | ||||
| 6,930 | W R Berkley Corp. | 412,751 | ||||
| 145 | White Mountains Insurance Group, Ltd. | 201,392 | ||||
| 2,165 | Willis Towers Watson plc | 509,857 | ||||
| 22,032,196 | ||||||
| Interactive Media & Services (3.5%): |
| |||||
| 59,461 | Alphabet, Inc., Class A* | 7,117,482 | ||||
| 52,911 | Alphabet, Inc., Class C* | 6,400,644 | ||||
| 5,394 | Bumble, Inc., Class A* | 90,511 | ||||
| 5,023 | Cargurus, Inc.* | 113,671 | ||||
| 1,955 | Cars.com, Inc.* | 38,748 | ||||
| 2,881 | DHI Group, Inc.* | 11,034 | ||||
| 4,788 | Match Group, Inc.* | 200,378 | ||||
| 44,646 | Meta Platforms, Inc., Class A* | 12,812,509 | ||||
| 8,734 | Pinterest, Inc., Class A* | 238,788 | ||||
| 1,563 | QuinStreet, Inc.* | 13,801 | ||||
| 764 | Shutterstock, Inc. | 37,184 | ||||
| 23,897 | Snap, Inc., Class A* | 282,940 | ||||
| 1,344 | Travelzoo* | 10,604 | ||||
| 5,311 | TripAdvisor, Inc.* | 87,578 | ||||
| 2,857 | TrueCar, Inc.* | 6,457 | ||||
| 4,440 | Vimeo, Inc.* | 18,293 | ||||
| 2,324 | Yelp, Inc.* | 84,617 | ||||
| 664 | Zedge, Inc., Class B* | 1,487 | ||||
| 1,918 | Ziff Davis, Inc.* | 134,375 | ||||
| 17,984 | ZoomInfo Technologies, Inc.* | 456,614 | ||||
| 28,157,715 | ||||||
| IT Services (1.4%): |
| |||||
| 11,932 | Accenture plc, Class A | 3,681,977 | ||||
| 4,112 | Akamai Technologies, Inc.* | 369,546 | ||||
| 3,162 | Amdocs, Ltd. | 312,564 | ||||
| 2,466 | Cloudflare, Inc., Class A* | 161,202 | ||||
| 12,333 | Cognizant Technology Solutions Corp., Class A | 805,098 | ||||
| 3,181 | DigitalOcean Holdings, Inc.*^ | 127,685 | ||||
| 11,221 | DXC Technology Co.* | 299,825 | ||||
| 2,160 | Edgio, Inc.* | 1,456 | ||||
| 1,215 | EPAM Systems, Inc.* | 273,071 | ||||
| 4,318 | Fastly, Inc., Class A* | 68,095 | ||||
| 1,645 | Gartner, Inc.* | 576,260 | ||||
| 585 | Globant SA* | 105,136 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| IT Services, continued | ||||||
| 3,303 | GoDaddy, Inc., Class A* | $ | 248,154 | |||
| 2,548 | Grid Dynamics Holdings, Inc.* | 23,569 | ||||
| 1,357 | Hackett Group, Inc. (The) | 30,329 | ||||
| 17,433 | International Business Machines Corp. | 2,332,710 | ||||
| 12,162 | Kyndryl Holdings, Inc.* | 161,511 | ||||
| 603 | MongoDB, Inc.* | 247,827 | ||||
| 2,093 | Okta, Inc.* | 145,150 | ||||
| 1,698 | Perficient, Inc.* | 141,494 | ||||
| 840 | PFSweb, Inc. | 3,797 | ||||
| 1,687 | Snowflake, Inc., Class A* | 296,878 | ||||
| 3,770 | Squarespace, Inc., Class A* | 118,906 | ||||
| 4,711 | Twilio, Inc., Class A* | 299,714 | ||||
| 2,221 | Unisys Corp.* | 8,840 | ||||
| 2,060 | VeriSign, Inc.* | 465,498 | ||||
| 11,306,292 | ||||||
| Leisure Products (0.3%): |
| |||||
| 2,948 | Acushnet Holdings Corp. | 161,197 | ||||
| 895 | American Outdoor Brands, Inc.* | 7,769 | ||||
| 2,517 | Brunswick Corp. | 218,073 | ||||
| 2,100 | Clarus Corp. | 19,194 | ||||
| 658 | Escalade, Inc. | 8,784 | ||||
| 6,166 | Hasbro, Inc. | 399,372 | ||||
| 303 | Johnson Outdoors, Inc., Class A | 18,619 | ||||
| 931 | Malibu Boats, Inc., Class A* | 54,613 | ||||
| 662 | Marine Products Corp. | 11,161 | ||||
| 451 | MasterCraft Boat Holdings, Inc.* | 13,823 | ||||
| 17,635 | Mattel, Inc.* | 344,588 | ||||
| 995 | Nautilus Group, Inc.* | 1,214 | ||||
| 3,453 | Polaris, Inc. | 417,571 | ||||
| 1,410 | Smith & Wesson Brands, Inc. | 18,386 | ||||
| 6,367 | Topgolf Callaway Brands Corp.* | 126,385 | ||||
| 3,865 | Vista Outdoor, Inc.* | 106,945 | ||||
| 3,466 | YETI Holdings, Inc.* | 134,619 | ||||
| 2,062,313 | ||||||
| Life Sciences Tools & Services (1.3%): |
| |||||
| 237 | 10X Genomics, Inc., Class A* | 13,234 | ||||
| 6,251 | Adaptive Biotechnologies Corp.* | 41,944 | ||||
| 4,401 | Agilent Technologies, Inc. | 529,220 | ||||
| 17,709 | Avantor, Inc.* | 363,743 | ||||
| 599 | Azenta, Inc.* | 27,961 | ||||
| 1,634 | BioLife Solutions, Inc.* | 36,111 | ||||
| 456 | Bio-Rad Laboratories, Inc., Class A* | 172,879 | ||||
| 3,308 | Bio-Techne Corp. | 270,032 | ||||
| 4,004 | Bruker Corp. | 295,976 | ||||
| 2,220 | Charles River Laboratories International, Inc.* | 466,755 | ||||
| 2,030 | CryoPort, Inc.* | 35,018 | ||||
| 10,492 | Danaher Corp. | 2,518,080 | ||||
| 1,979 | Harvard Bioscience, Inc.* | 10,865 | ||||
| 55 | Illumina, Inc.* | 10,312 | ||||
| 3,748 | IQVIA Holdings, Inc.* | 842,438 | ||||
| 4,035 | Maravai LifeSciences Holdings, Inc., Class A* | 50,155 | ||||
| 1,032 | Medpace Holdings, Inc.* | 247,856 | ||||
| 438 | Mettler-Toledo International, Inc.* | 574,498 | ||||
| 1,666 | OmniAb, Inc.* | 8,380 | ||||
| 10,633 | Pacific Biosciences of California, Inc.* | 141,419 | ||||
| 453 | Quanterix Corp.* | 10,215 | ||||
| 1,140 | Repligen Corp.* | 161,264 | ||||
| 1,101 | Revvity, Inc. | 130,788 | ||||
| 9,819 | Sotera Health Co.* | 184,990 | ||||
See accompanying notes to the financial statements.
16
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Life Sciences Tools & Services, continued | ||||||
| 4,722 | Syneos Health, Inc.* | $ | 198,985 | |||
| 4,279 | Thermo Fisher Scientific, Inc. | 2,232,568 | ||||
| 1,579 | Waters Corp.* | 420,867 | ||||
| 1,121 | West Pharmaceutical Services, Inc. | 428,749 | ||||
| 10,425,302 | ||||||
| Machinery (2.6%): |
| |||||
| 7,267 | 3D Systems Corp.* | 72,161 | ||||
| 4,421 | AGCO Corp. | 581,008 | ||||
| 228 | Alamo Group, Inc. | 41,931 | ||||
| 1,371 | Albany International Corp., Class A | 127,887 | ||||
| 5,503 | Allison Transmission Holdings, Inc. | 310,699 | ||||
| 1,618 | Astec Industries, Inc. | 73,522 | ||||
| 2,323 | Barnes Group, Inc. | 98,007 | ||||
| 837 | Blue Bird Corp.* | 18,816 | ||||
| 9,372 | Caterpillar, Inc. | 2,305,981 | ||||
| 1,902 | Chart Industries, Inc.* | 303,921 | ||||
| 468 | CIRCOR International, Inc.* | 26,419 | ||||
| 1,531 | Columbus McKinnon Corp. | 62,235 | ||||
| 707 | Commercial Vehicle Group, Inc.*^ | 7,848 | ||||
| 1,637 | Crane Co. | 145,889 | ||||
| 1,637 | Crane NXT Co. | 92,392 | ||||
| 3,715 | Cummins, Inc. | 910,769 | ||||
| 5,149 | Deere & Co. | 2,086,323 | ||||
| 6,273 | Donaldson Co., Inc. | 392,125 | ||||
| 471 | Douglas Dynamics, Inc. | 14,073 | ||||
| 4,194 | Dover Corp. | 619,244 | ||||
| 475 | Energy Recovery, Inc.* | 13,276 | ||||
| 1,250 | Enerpac Tool Group Corp. | 33,750 | ||||
| 453 | EnPro Industries, Inc. | 60,489 | ||||
| 2,189 | Esab Corp. | 145,656 | ||||
| 372 | ESCO Technologies, Inc. | 38,550 | ||||
| 2,677 | Federal Signal Corp. | 171,408 | ||||
| 4,041 | Flowserve Corp. | 150,123 | ||||
| 7,256 | Fortive Corp. | 542,531 | ||||
| 1,334 | Franklin Electric Co., Inc. | 137,269 | ||||
| 10,083 | Gates Industrial Corp. plc* | 135,919 | ||||
| 889 | Gencor Industries, Inc.* | 13,851 | ||||
| 606 | Gorman-Rupp Co. (The) | 17,471 | ||||
| 3,686 | Graco, Inc. | 318,286 | ||||
| 2,100 | Greenbrier Cos., Inc. (The) | 90,510 | ||||
| 650 | Helios Technologies, Inc. | 42,958 | ||||
| 2,088 | Hillenbrand, Inc. | 107,073 | ||||
| 490 | Hurco Cos., Inc. | 10,608 | ||||
| 896 | Hyster-Yale Materials Handling, Inc., Class A | 50,033 | ||||
| 1,133 | IDEX Corp. | 243,890 | ||||
| 5,499 | Illinois Tool Works, Inc. | 1,375,630 | ||||
| 8,625 | Ingersoll Rand, Inc. | 563,730 | ||||
| 3,908 | ITT, Inc. | 364,265 | ||||
| 757 | John Bean Technologies Corp. | 91,824 | ||||
| 528 | Kadant, Inc. | 117,269 | ||||
| 4,685 | Kennametal, Inc. | 133,007 | ||||
| 787 | L.B. Foster Co., Class A* | 11,238 | ||||
| 2,617 | Lincoln Electric Holdings, Inc. | 519,815 | ||||
| 221 | Lindsay Corp. | 26,374 | ||||
| 1,300 | Luxfer Holdings plc | 18,499 | ||||
| 1,213 | Manitex International, Inc.* | 6,502 | ||||
| 2,529 | Manitowoc Co., Inc. (The)* | 47,621 | ||||
| 2,534 | Middleby Corp. (The)* | 374,601 | ||||
| 3,769 | Mueller Industries, Inc. | 328,958 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Machinery, continued | ||||||
| 8,698 | Mueller Water Products, Inc., Class A | $ | 141,169 | |||
| 1,258 | NN, Inc.* | 3,007 | ||||
| 1,023 | Nordson Corp. | 253,888 | ||||
| 158 | Omega Flex, Inc. | 16,397 | ||||
| 1,463 | Oshkosh Corp. | 126,681 | ||||
| 7,978 | Otis Worldwide Corp. | 710,122 | ||||
| 8,160 | PACCAR, Inc. | 682,584 | ||||
| 1,747 | Parker-Hannifin Corp. | 681,400 | ||||
| 1,058 | Park-Ohio Holdings Corp. | 20,102 | ||||
| 7,775 | Pentair PLC | 502,265 | ||||
| 1,666 | Proto Labs, Inc.* | 58,243 | ||||
| 440 | RBC Bearings, Inc.* | 95,687 | ||||
| 3,787 | REV Group, Inc. | 50,216 | ||||
| 612 | Shyft Group, Inc. (The) | 13,501 | ||||
| 745 | Snap-on, Inc. | 214,702 | ||||
| 1,832 | SPX Technologies, Inc.* | 155,665 | ||||
| 340 | Standex International Corp. | 48,100 | ||||
| 4,046 | Stanley Black & Decker, Inc. | 379,151 | ||||
| 537 | Tennant Co. | 43,556 | ||||
| 3,718 | Terex Corp. | 222,448 | ||||
| 2,371 | Timken Co. (The) | 217,018 | ||||
| 3,046 | Titan International, Inc.* | 34,968 | ||||
| 2,821 | Toro Co. (The) | 286,755 | ||||
| 4,719 | Trinity Industries, Inc. | 121,325 | ||||
| 1,510 | Wabash National Corp. | 38,716 | ||||
| 615 | Watts Water Technologies, Inc., Class A | 112,994 | ||||
| 4,390 | Westinghouse Air Brake Technologies Corp. | 481,451 | ||||
| 4,769 | Xylem, Inc. | 537,085 | ||||
| 20,843,430 | ||||||
| Marine Transportation (0.1%): |
| |||||
| 3,979 | Costamare, Inc. | 38,477 | ||||
| 1,219 | Eagle Bulk Shipping, Inc.^ | 58,561 | ||||
| 147 | Eneti, Inc. | 1,780 | ||||
| 1,300 | Genco Shipping & Trading, Ltd. | 18,239 | ||||
| 2,793 | Kirby Corp.* | 214,921 | ||||
| 2,141 | Matson, Inc. | 166,420 | ||||
| 498,398 | ||||||
| Media (1.4%): |
| |||||
| 17,563 | Altice U.S.A., Inc., Class A* | 53,040 | ||||
| 1,413 | AMC Networks, Inc., Class A* | 16,885 | ||||
| 1,200 | Boston Omaha Corp., Class A* | 22,584 | ||||
| 383 | Cable One, Inc. | 251,662 | ||||
| 2,971 | Charter Communications, Inc., Class A* | 1,091,456 | ||||
| 99,240 | Comcast Corp., Class A | 4,123,422 | ||||
| 2,952 | comScore, Inc.* | 2,391 | ||||
| 367 | DallasNews Corp. | 1,428 | ||||
| 12,719 | DISH Network Corp., Class A* | 83,818 | ||||
| 2,931 | E.W. Scripps Co. (The), Class A* | 26,819 | ||||
| 4,792 | Entravision Communications Corp., Class A | 21,037 | ||||
| 7,444 | Fox Corp., Class A | 253,096 | ||||
| 5,999 | Fox Corp., Class B | 191,308 | ||||
| 7,573 | Gannett Co, Inc.* | 17,039 | ||||
| 7,897 | Gray Television, Inc. | 62,228 | ||||
| 5,411 | iHeartMedia, Inc., Class A* | 19,696 | ||||
| 2,014 | Integral Ad Science Holding Corp.* | 36,212 | ||||
| 14,602 | Interpublic Group of Cos., Inc. (The) | 563,345 | ||||
| 1,162 | John Wiley & Sons, Inc., Class A | 39,543 | ||||
| 334 | Liberty Broadband Corp., Class A* | 26,630 | ||||
| 3,341 | Liberty Broadband Corp., Class C* | 267,647 | ||||
See accompanying notes to the financial statements.
17
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Media, continued | ||||||
| 4,454 | Liberty Media Corp-Liberty SiriusXM, Class A* | $ | 146,136 | |||
| 9,922 | Liberty Media Corp-Liberty SiriusXM, Class C* | 324,747 | ||||
| 8,352 | Magnite, Inc.* | 114,005 | ||||
| 131 | Marchex, Inc., Class B* | 278 | ||||
| 5,563 | New York Times Co. (The), Class A | 219,071 | ||||
| 17,358 | News Corp., Class A | 338,481 | ||||
| 8,773 | News Corp., Class B | 173,004 | ||||
| 2,735 | Nexstar Media Group, Inc. | 455,514 | ||||
| 7,908 | Omnicom Group, Inc. | 752,446 | ||||
| 445 | Paramount Global, Class A^ | 8,259 | ||||
| 16,169 | Paramount Global, Class B | 257,249 | ||||
| 1,526 | Quotient Technology, Inc.* | 5,860 | ||||
| 1,353 | Scholastic Corp. | 52,618 | ||||
| 1,768 | Sinclair, Inc.^ | 24,434 | ||||
| 26,359 | Sirius XM Holdings, Inc.^ | 119,406 | ||||
| 7,339 | Stagwell, Inc.* | 52,914 | ||||
| 1,890 | TechTarget, Inc.* | 58,836 | ||||
| 7,839 | TEGNA, Inc. | 127,305 | ||||
| 1,103 | Thryv Holdings, Inc.* | 27,134 | ||||
| 4,500 | Trade Desk, Inc. (The), Class A* | 347,490 | ||||
| 5,104 | WideOpenWest, Inc.* | 43,078 | ||||
| 10,819,551 | ||||||
| Metals & Mining (1.0%): |
| |||||
| 8,157 | Alcoa Corp. | 276,767 | ||||
| 895 | Alpha Metallurgical Resources, Inc. | 147,102 | ||||
| 799 | Ampco-Pittsburgh Corp.* | 2,541 | ||||
| 3,002 | Arconic Corp.* | 88,799 | ||||
| 759 | Ascent Industries Co.* | 6,899 | ||||
| 5,393 | ATI, Inc.* | 238,532 | ||||
| 1,638 | Carpenter Technology Corp. | 91,941 | ||||
| 7,172 | Century Aluminum Co.* | 62,540 | ||||
| 26,114 | Cleveland-Cliffs, Inc.* | 437,671 | ||||
| 18,225 | Coeur Mining, Inc.* | 51,759 | ||||
| 7,303 | Commercial Metals Co. | 384,576 | ||||
| 2,118 | Compass Minerals International, Inc. | 72,012 | ||||
| 13,361 | Ferroglobe plc* | 63,732 | ||||
| 841 | Fortitude Gold Corp. | 5,282 | ||||
| 20,806 | Freeport-McMoRan, Inc. | 832,240 | ||||
| 2,945 | Gold Resource Corp. | 1,855 | ||||
| 943 | Haynes International, Inc. | 47,923 | ||||
| 22,580 | Hecla Mining Co. | 116,287 | ||||
| 151 | Kaiser Aluminum Corp. | 10,818 | ||||
| 1,111 | Materion Corp. | 126,876 | ||||
| 1,230 | McEwen Mining, Inc.* | 8,844 | ||||
| 8,393 | MP Materials Corp.* | 192,032 | ||||
| 20,200 | Newmont Corp. | 861,732 | ||||
| 6,812 | Nucor Corp. | 1,117,032 | ||||
| 700 | Olympic Steel, Inc. | 34,300 | ||||
| 2,230 | Reliance Steel & Aluminum Co. | 605,646 | ||||
| 2,908 | Royal Gold, Inc. | 333,780 | ||||
| 2,617 | Ryerson Holding Corp. | 113,525 | ||||
| 1,365 | Schnitzer Steel Industries, Inc., Class A | 40,936 | ||||
| 1,868 | Southern Copper Corp. | 134,010 | ||||
| 8,979 | Steel Dynamics, Inc. | 978,082 | ||||
| 3,673 | SunCoke Energy, Inc. | 28,907 | ||||
| 2,052 | TimkenSteel Corp.* | 44,262 | ||||
| 1,070 | Tredegar Corp. | 7,137 | ||||
| 13,394 | United States Steel Corp. | 334,984 | ||||
| 548 | Universal Stainless & Alloy Products, Inc.* | 7,677 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Metals & Mining, continued | ||||||
| 1,489 | Warrior Met Coal, Inc. | $ | 57,997 | |||
| 1,732 | Worthington Industries, Inc. | 120,322 | ||||
| 8,087,357 | ||||||
| Multi-Utilities (0.6%): |
| |||||
| 5,177 | Ameren Corp. | 422,806 | ||||
| 3,250 | Avista Corp. | 127,627 | ||||
| 2,734 | Black Hills Corp. | 164,751 | ||||
| 12,185 | CenterPoint Energy, Inc. | 355,193 | ||||
| 5,446 | CMS Energy Corp. | 319,952 | ||||
| 3,188 | Consolidated Edison, Inc. | 288,195 | ||||
| 12,194 | Dominion Energy, Inc. | 631,527 | ||||
| 4,066 | DTE Energy Co. | 447,341 | ||||
| 8,905 | NiSource, Inc. | 243,552 | ||||
| 2,336 | NorthWestern Corp. | 132,591 | ||||
| 9,431 | Public Service Enterprise Group, Inc. | 590,475 | ||||
| 4,584 | Sempra Energy | 667,385 | ||||
| 305 | Unitil Corp. | 15,467 | ||||
| 5,930 | WEC Energy Group, Inc. | 523,263 | ||||
| 4,930,125 | ||||||
| Oil, Gas & Consumable Fuels (5.8%): |
| |||||
| 332 | Adams Resources & Energy, Inc. | 11,670 | ||||
| 21,050 | Antero Midstream Corp. | 244,180 | ||||
| 21,868 | Antero Resources Corp.* | 503,620 | ||||
| 4,071 | APA Corp. | 139,106 | ||||
| 1,204 | Arch Resources, Inc. | 135,763 | ||||
| 1,287 | Ardmore Shipping Corp. | 15,894 | ||||
| 5,894 | Baytex Energy Corp.* | 19,214 | ||||
| 6,491 | Berry Corp. | 44,658 | ||||
| 2,994 | California Resources Corp. | 135,598 | ||||
| 4,374 | Callon Petroleum Co.* | 153,396 | ||||
| 600 | Centrus Energy Corp., Class A* | 19,536 | ||||
| 4,619 | Cheniere Energy, Inc. | 703,751 | ||||
| 4,080 | Chesapeake Energy Corp. | 341,414 | ||||
| 42,644 | Chevron Corp. | 6,710,033 | ||||
| 369 | Chord Energy Corp. | 56,752 | ||||
| 1,953 | Civitas Resources, Inc. | 135,480 | ||||
| 7,534 | Clean Energy Fuel Corp.* | 37,369 | ||||
| 9,676 | CNX Resources Corp.* | 171,459 | ||||
| 19,166 | Comstock Resources, Inc.^ | 222,326 | ||||
| 32,855 | ConocoPhillips | 3,404,107 | ||||
| 2,466 | CONSOL Energy, Inc. | 167,219 | ||||
| 39,767 | Coterra Energy, Inc. | 1,006,105 | ||||
| 5,103 | CVR Energy, Inc. | 152,886 | ||||
| 4,489 | Delek US Holdings, Inc. | 107,512 | ||||
| 2,740 | Denbury, Inc.* | 236,352 | ||||
| 34,054 | Devon Energy Corp. | 1,646,170 | ||||
| 8,048 | DHT Holdings, Inc. | 68,649 | ||||
| 8,118 | Diamondback Energy, Inc. | 1,066,381 | ||||
| 1,758 | Dorian LPG, Ltd. | 45,093 | ||||
| 4,645 | DT Midstream, Inc. | 230,253 | ||||
| 25,752 | Enlink Midstream LLC | 272,971 | ||||
| 13,837 | EOG Resources, Inc. | 1,583,506 | ||||
| 10,667 | EQT Corp. | 438,734 | ||||
| 7,111 | Equitrans Midstream Corp. | 67,981 | ||||
| 94,225 | Exxon Mobil Corp. | 10,105,631 | ||||
| 3,367 | Green Plains, Inc.* | 108,552 | ||||
| 845 | Gulfport Energy Corp.* | 88,784 | ||||
| 5,208 | Hess Corp. | 708,028 | ||||
| 11,760 | HF Sinclair Corp. | 524,614 | ||||
See accompanying notes to the financial statements.
18
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Oil, Gas & Consumable Fuels, continued | ||||||
| 2,789 | International Seaways, Inc. | $ | 106,651 | |||
| 37,129 | Kinder Morgan, Inc. | 639,361 | ||||
| 31,582 | Kosmos Energy, Ltd.* | 189,176 | ||||
| 13,199 | Magnolia Oil & Gas Corp., Class A | 275,859 | ||||
| 13,453 | Marathon Oil Corp. | 309,688 | ||||
| 11,905 | Marathon Petroleum Corp. | 1,388,123 | ||||
| 7,124 | Matador Resources Co. | 372,728 | ||||
| 9,770 | Murphy Oil Corp. | 374,191 | ||||
| 4,420 | New Fortress Energy, Inc. | 118,368 | ||||
| 4,784 | Nordic American Tankers, Ltd. | 17,557 | ||||
| 24,587 | Occidental Petroleum Corp. | 1,445,716 | ||||
| 13,425 | ONEOK, Inc. | 828,591 | ||||
| 13,581 | Ovintiv, Inc. | 517,029 | ||||
| 4,750 | Par Pacific Holdings, Inc.* | 126,398 | ||||
| 9,576 | PBF Energy, Inc., Class A | 392,041 | ||||
| 6,563 | PDC Energy, Inc. | 466,892 | ||||
| 10,033 | Peabody Energy Corp. | 217,315 | ||||
| 6,243 | Permian Resources Corp. | 68,423 | ||||
| 10,501 | Phillips 66 | 1,001,585 | ||||
| 1,401 | PHX Minerals, Inc. | 4,371 | ||||
| 6,571 | Pioneer Natural Resources Co. | 1,361,380 | ||||
| 6 | PrimeEnergy Resources Corp.* | 552 | ||||
| 17,722 | Range Resources Corp. | 521,027 | ||||
| 1,122 | REX American Resources Corp.* | 39,057 | ||||
| 3,060 | Scorpio Tankers, Inc. | 144,524 | ||||
| 4,935 | SFL Corp., Ltd. | 46,044 | ||||
| 1,508 | Sitio Royalties Corp., Class A | 39,615 | ||||
| 7,642 | SM Energy Co. | 241,716 | ||||
| 42,492 | Southwestern Energy Co.* | 255,377 | ||||
| 3,310 | Talos Energy, Inc.* | 45,910 | ||||
| 2,420 | Targa Resources Corp. | 184,162 | ||||
| 6,407 | Teekay Shipping Corp.* | 38,698 | ||||
| 1,031 | Teekay Tankers, Ltd., Class A | 39,415 | ||||
| 101 | Texas Pacific Land Corp. | 132,967 | ||||
| 10,006 | Valero Energy Corp. | 1,173,704 | ||||
| 609 | Vital Energy, Inc.* | 27,496 | ||||
| 622 | Vitesse Energy, Inc. | 13,933 | ||||
| 9,330 | W&T Offshore, Inc.* | 36,107 | ||||
| 30,118 | Williams Cos., Inc. (The) | 982,750 | ||||
| 3,599 | World Kinect Corp. | 74,427 | ||||
| 46,089,671 | ||||||
| Paper & Forest Products (0.1%): |
| |||||
| 545 | Clearwater Paper Corp.* | 17,069 | ||||
| 2,520 | Glatfelter Corp. | 7,610 | ||||
| 4,555 | Louisiana-Pacific Corp. | 341,534 | ||||
| 3,875 | Mercer International, Inc. | 31,271 | ||||
| 2,050 | Sylvamo Corp. | 82,923 | ||||
| 480,407 | ||||||
| Passenger Airlines (0.6%): |
| |||||
| 5,767 | Alaska Air Group, Inc.* | 306,689 | ||||
| 639 | Allegiant Travel Co.* | 80,693 | ||||
| 28,209 | American Airlines Group, Inc.* | 506,069 | ||||
| 1,569 | Copa Holdings SA, Class A | 173,500 | ||||
| 33,557 | Delta Air Lines, Inc.* | 1,595,300 | ||||
| 2,340 | Frontier Group Holdings, Inc.* | 22,628 | ||||
| 1,057 | Hawaiian Holdings, Inc.* | 11,384 | ||||
| 15,406 | JetBlue Airways Corp.* | 136,497 | ||||
| 1,602 | SkyWest, Inc.* | 65,233 | ||||
| 16,338 | Southwest Airlines Co. | 591,599 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Passenger Airlines, continued | ||||||
| 2,445 | Spirit Airlines, Inc. | $ | 41,956 | |||
| 16,149 | United Airlines Holdings, Inc.* | 886,096 | ||||
| 4,417,644 | ||||||
| Personal Care Products (0.3%): |
| |||||
| 4,436 | BellRing Brands, Inc.* | 162,358 | ||||
| 34,070 | Coty, Inc., Class A* | 418,720 | ||||
| 2,944 | Edgewell Personal Care Co. | 121,617 | ||||
| 1,926 | elf Beauty, Inc.* | 220,007 | ||||
| 3,644 | Estee Lauder Cos., Inc. (The), Class A | 715,609 | ||||
| 2,298 | Herbalife, Ltd.* | 30,425 | ||||
| 1,161 | Inter Parfums, Inc. | 157,002 | ||||
| 654 | Medifast, Inc. | 60,273 | ||||
| 1,236 | Natures Sunshine Products, Inc.* | 16,871 | ||||
| 1,616 | Nu Skin Enterprises, Inc., Class A | 53,651 | ||||
| 340 | United-Guardian, Inc. | 2,897 | ||||
| 645 | USANA Health Sciences, Inc.* | 40,661 | ||||
| 2,000,091 | ||||||
| Pharmaceuticals (3.4%): |
| |||||
| 2,030 | Aclaris Therapeutics, Inc.* | 21,051 | ||||
| 2,003 | Amphastar Pharmaceuticals, Inc.* | 115,113 | ||||
| 900 | ANI Pharmaceuticals, Inc.* | 48,447 | ||||
| 300 | Arvinas, Inc.* | 7,446 | ||||
| 40,413 | Bristol-Myers Squibb Co. | 2,584,411 | ||||
| 4,717 | Catalent, Inc.* | 204,529 | ||||
| 1,180 | Collegium Pharmaceutical, Inc.* | 25,358 | ||||
| 4,216 | Corcept Therapeutics, Inc.* | 93,806 | ||||
| 1,468 | Cumberland Pharmaceuticals, Inc.* | 2,158 | ||||
| 1,054 | Cymabay Therapeutics, Inc.* | 11,541 | ||||
| 27,444 | Elanco Animal Health, Inc.* | 276,087 | ||||
| 9,543 | Eli Lilly & Co. | 4,475,476 | ||||
| 2,317 | Harmony Biosciences Holdings, Inc.* | 81,535 | ||||
| 3,292 | Innoviva, Inc.* | 41,907 | ||||
| 2,090 | Jazz Pharmaceuticals plc* | 259,097 | ||||
| 40,379 | Johnson & Johnson | 6,683,532 | ||||
| 640 | Ligand Pharmaceuticals, Inc.* | 46,144 | ||||
| 45,676 | Merck & Co., Inc. | 5,270,554 | ||||
| 3,567 | Nektar Therapeutics* | 2,052 | ||||
| 11,020 | Organon & Co. | 229,326 | ||||
| 1,467 | Pacira BioSciences, Inc.* | 58,783 | ||||
| 5,568 | Perrigo Co. plc | 189,034 | ||||
| 112,391 | Pfizer, Inc. | 4,122,502 | ||||
| 793 | Phibro Animal Health Corp., Class A | 10,864 | ||||
| 1,580 | Prestige Consumer Healthcare, Inc.* | 93,899 | ||||
| 8,865 | Royalty Pharma plc, Class A | 272,510 | ||||
| 2,134 | SIGA Technologies, Inc. | 10,777 | ||||
| 3,089 | Supernus Pharmaceuticals, Inc.* | 92,855 | ||||
| 923 | Taro Pharmaceutical Industries, Ltd.* | 35,009 | ||||
| 14,776 | Viatris, Inc. | 147,465 | ||||
| 9,619 | Zoetis, Inc. | 1,656,488 | ||||
| 27,169,756 | ||||||
| Professional Services (1.5%): |
| |||||
| 11,903 | Alight, Inc., Class A* | 109,984 | ||||
| 1,184 | ASGN, Inc.* | 89,546 | ||||
| 7,099 | Automatic Data Processing, Inc. | 1,560,289 | ||||
| 494 | Barrett Business Services, Inc. | 43,077 | ||||
| 3,527 | Booz Allen Hamilton Holding Corp. | 393,613 | ||||
| 2,863 | Broadridge Financial Solutions, Inc. | 474,199 | ||||
| 469 | CACI International, Inc., Class A* | 159,854 | ||||
See accompanying notes to the financial statements.
19
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Professional Services, continued | ||||||
| 2,664 | CBIZ, Inc.* | $ | 141,938 | |||
| 4,685 | Ceridian HCM Holding, Inc.* | 313,754 | ||||
| 2,143 | Clarivate plc* | 20,423 | ||||
| 2,464 | Concentrix Corp. | 198,968 | ||||
| 6,347 | Conduent, Inc.* | 21,580 | ||||
| 6,796 | CoStar Group, Inc.* | 604,844 | ||||
| 456 | CRA International, Inc. | 46,512 | ||||
| 1,011 | CSG Systems International, Inc. | 53,320 | ||||
| 10,835 | Dun & Bradstreet Holdings, Inc. | 125,361 | ||||
| 3,290 | Equifax, Inc. | 774,137 | ||||
| 318 | ExlService Holdings, Inc.* | 48,037 | ||||
| 715 | Exponent, Inc. | 66,724 | ||||
| 5,623 | First Advantage Corp.* | 86,650 | ||||
| 825 | Forrester Research, Inc.* | 23,999 | ||||
| 723 | FTI Consulting, Inc.* | 137,515 | ||||
| 4,350 | Genpact, Ltd. | 163,430 | ||||
| 421 | Heidrick & Struggles International, Inc. | 11,144 | ||||
| 660 | Huron Consulting Group, Inc.* | 56,041 | ||||
| 800 | ICF International, Inc. | 99,512 | ||||
| 614 | Insperity, Inc. | 73,041 | ||||
| 1,539 | Jack Henry & Associates, Inc. | 257,521 | ||||
| 2,800 | Jacobs Solutions, Inc. | 332,892 | ||||
| 5,794 | KBR, Inc. | 376,958 | ||||
| 1,042 | Kelly Services, Inc., Class A | 18,350 | ||||
| 1,395 | Kforce, Inc. | 87,411 | ||||
| 1,797 | Korn Ferry | 89,023 | ||||
| 2,680 | Leidos Holdings, Inc. | 237,126 | ||||
| 1,891 | ManpowerGroup, Inc. | 150,145 | ||||
| 1,840 | Maximus, Inc. | 155,498 | ||||
| 659 | Mistras Group, Inc.* | 5,087 | ||||
| 841 | NV5 Global, Inc.* | 93,158 | ||||
| 5,815 | Paychex, Inc. | 650,524 | ||||
| 1,083 | Paycom Software, Inc. | 347,903 | ||||
| 1,183 | Paylocity Holding Corp.* | 218,299 | ||||
| 2,125 | Resources Connection, Inc. | 33,384 | ||||
| 5,874 | Robert Half International, Inc. | 441,842 | ||||
| 1,300 | Science Applications International Corp. | 146,224 | ||||
| 6,582 | SS&C Technologies Holdings, Inc. | 398,869 | ||||
| 4,915 | TransUnion | 384,992 | ||||
| 2,461 | TriNet Group, Inc.* | 233,721 | ||||
| 1,029 | TrueBlue, Inc.* | 18,224 | ||||
| 2,127 | TTEC Holdings, Inc. | 71,978 | ||||
| 4,143 | Verisk Analytics, Inc. | 936,442 | ||||
| 7,657 | Verra Mobility Corp.* | 150,996 | ||||
| 633 | Willdan Group, Inc.* | 12,128 | ||||
| 11,746,187 | ||||||
| Real Estate Management & Development (0.3%): |
| |||||
| 3,814 | Anywhere Real Estate, Inc.* | 25,477 | ||||
| 6,977 | CBRE Group, Inc., Class A* | 563,114 | ||||
| 15,717 | Cushman & Wakefield plc* | 128,565 | ||||
| 1,626 | Douglas Elliman, Inc. | 3,611 | ||||
| 1,163 | eXp World Holdings, Inc.^ | 23,586 | ||||
| 2,407 | Forestar Group, Inc.* | 54,278 | ||||
| 232 | FRP Holdings, Inc.* | 13,356 | ||||
| 1,569 | Howard Hughes Corp. (The)* | 123,825 | ||||
| 1,776 | Jones Lang LaSalle, Inc.* | 276,701 | ||||
| 7,959 | Kennedy-Wilson Holdings, Inc. | 129,970 | ||||
| 2,533 | Marcus & Millichap, Inc. | 79,815 | ||||
| 10,029 | Newmark Group, Inc. | 62,380 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Real Estate Management & Development, continued |
| |||||
| 997 | Rafael Holdings, Inc., Class B* | $ | 2,084 | |||
| 910 | RE/MAX Holdings, Inc., Class A | 17,527 | ||||
| 357 | RMR Group, Inc. (The), Class A | 8,272 | ||||
| 1,857 | St Joe Co. (The) | 89,767 | ||||
| 1,447 | Tejon Ranch Co.* | 24,903 | ||||
| 1,463 | Zillow Group, Inc., Class A* | 71,980 | ||||
| 7,517 | Zillow Group, Inc., Class C* | 377,804 | ||||
| 2,077,015 | ||||||
| Semiconductors & Semiconductor Equipment (6.0%): |
| |||||
| 17,619 | Advanced Micro Devices, Inc.* | 2,006,980 | ||||
| 5,662 | Allegro MicroSystems, Inc.* | 255,583 | ||||
| 1,120 | Alpha & Omega Semiconductor, Ltd.* | 36,736 | ||||
| 1,283 | Ambarella, Inc.* | 107,349 | ||||
| 15,177 | Amkor Technology, Inc. | 451,516 | ||||
| 7,449 | Analog Devices, Inc. | 1,451,140 | ||||
| 16,123 | Applied Materials, Inc. | 2,330,418 | ||||
| 1,575 | Axcelis Technologies, Inc.* | 288,745 | ||||
| 1,701 | AXT, Inc.* | 5,851 | ||||
| 7,233 | Broadcom, Inc. | 6,274,121 | ||||
| 437 | CEVA, Inc.* | 11,165 | ||||
| 2,615 | Cirrus Logic, Inc.* | 211,841 | ||||
| 2,261 | Cohu, Inc.* | 93,967 | ||||
| 1,551 | Diodes, Inc.* | 143,452 | ||||
| 3,086 | Enphase Energy, Inc.* | 516,843 | ||||
| 1,826 | Entegris, Inc. | 202,357 | ||||
| 2,177 | First Solar, Inc.* | 413,826 | ||||
| 3,423 | FormFactor, Inc.* | 117,135 | ||||
| 1,314 | GSI Technology, Inc.* | 7,266 | ||||
| 948 | Ichor Holdings, Ltd.* | 35,550 | ||||
| 62,799 | Intel Corp. | 2,099,999 | ||||
| 2,594 | KLA Corp. | 1,258,142 | ||||
| 2,536 | Kulicke & Soffa Industries, Inc. | 150,765 | ||||
| 3,620 | Lam Research Corp. | 2,327,153 | ||||
| 2,460 | Lattice Semiconductor Corp.* | 236,332 | ||||
| 2,876 | MACOM Technology Solutions Holdings, Inc.* | 188,464 | ||||
| 10,736 | Marvell Technology, Inc. | 641,798 | ||||
| 2,503 | MaxLinear, Inc., Class A* | 78,995 | ||||
| 9,820 | Microchip Technology, Inc. | 879,774 | ||||
| 19,324 | Micron Technology, Inc. | 1,219,538 | ||||
| 1,074 | MKS Instruments, Inc. | 116,099 | ||||
| 565 | Monolithic Power Systems, Inc. | 305,230 | ||||
| 150 | NVE Corp. | 14,616 | ||||
| 22,704 | NVIDIA Corp. | 9,604,246 | ||||
| 4,964 | NXP Semiconductors NV | 1,016,032 | ||||
| 16,852 | ON Semiconductor Corp.* | 1,593,862 | ||||
| 2,020 | Onto Innovation, Inc.* | 235,269 | ||||
| 1,438 | PDF Solutions, Inc.* | 64,854 | ||||
| 2,358 | Photronics, Inc.* | 60,813 | ||||
| 2,400 | Power Integrations, Inc. | 227,208 | ||||
| 4,240 | Qorvo, Inc.* | 432,607 | ||||
| 31,305 | QUALCOMM, Inc. | 3,726,547 | ||||
| 3,254 | Rambus, Inc.* | 208,809 | ||||
| 2,303 | Semtech Corp.* | 58,634 | ||||
| 656 | Silicon Laboratories, Inc.* | 103,478 | ||||
| 5,222 | Skyworks Solutions, Inc. | 578,023 | ||||
| 1,050 | SMART Global Holdings, Inc.* | 30,461 | ||||
| 744 | SolarEdge Technologies, Inc.* | 200,173 | ||||
| 834 | Synaptics, Inc.* | 71,207 | ||||
| 4,230 | Teradyne, Inc. | 470,926 | ||||
See accompanying notes to the financial statements.
20
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Semiconductors & Semiconductor Equipment, continued |
| |||||
| 22,042 | Texas Instruments, Inc. | $ | 3,968,001 | |||
| 1,251 | Ultra Clean Holdings, Inc.* | 48,114 | ||||
| 1,085 | Universal Display Corp. | 156,381 | ||||
| 1,442 | Veeco Instruments, Inc.* | 37,031 | ||||
| 2,493 | Wolfspeed, Inc.* | 138,586 | ||||
| 47,510,008 | ||||||
| Software (7.4%): |
| |||||
| 2,814 | A10 Networks, Inc. | 41,056 | ||||
| 5,558 | ACI Worldwide, Inc.* | 128,779 | ||||
| 4,656 | Adeia, Inc. | 51,263 | ||||
| 3,583 | Adobe, Inc.* | 1,752,051 | ||||
| 436 | Agilysys, Inc.* | 29,927 | ||||
| 695 | Alarm.com Holdings, Inc.* | 35,918 | ||||
| 583 | Altair Engineering, Inc., Class A* | 44,215 | ||||
| 1,009 | American Software, Inc., Class A | 10,605 | ||||
| 1,210 | ANSYS, Inc.* | 399,627 | ||||
| 591 | Aspen Technology, Inc.* | 99,058 | ||||
| 810 | Atlassian Corp., Class A* | 135,926 | ||||
| 4,132 | Autodesk, Inc.* | 845,449 | ||||
| 2,272 | Aware, Inc.* | 3,590 | ||||
| 5,443 | Bentley Systems, Inc., Class B | 295,174 | ||||
| 2,047 | BILL Holdings, Inc.* | 239,192 | ||||
| 2,534 | Black Knight, Inc.* | 151,356 | ||||
| 2,195 | Blackbaud, Inc.* | 156,240 | ||||
| 6,172 | Box, Inc., Class A* | 181,333 | ||||
| 4,147 | Cadence Design Systems, Inc.* | 972,554 | ||||
| 2,772 | Cerence, Inc.* | 81,026 | ||||
| 1,830 | Cognyte Software, Ltd.* | 11,145 | ||||
| 838 | CommVault Systems, Inc.* | 60,856 | ||||
| 4,325 | Confluent, Inc., Class A* | 152,716 | ||||
| 491 | Consensus Cloud Solutions, Inc.* | 15,221 | ||||
| 1,921 | Crowdstrike Holdings, Inc., Class A* | 282,137 | ||||
| 2,012 | Datadog, Inc., Class A* | 197,941 | ||||
| 4,872 | Digital Turbine, Inc.* | 45,212 | ||||
| 3,037 | DocuSign, Inc.* | 155,160 | ||||
| 2,077 | Dolby Laboratories, Inc., Class A | 173,803 | ||||
| 2,382 | DoubleVerify Holdings, Inc.* | 92,707 | ||||
| 10,270 | Dropbox, Inc., Class A* | 273,901 | ||||
| 3,831 | Dynatrace, Inc.* | 197,182 | ||||
| 2,146 | E2open Parent Holdings, Inc.* | 12,018 | ||||
| 1,380 | Ebix, Inc. | 34,776 | ||||
| 3,059 | EngageSmart, Inc.* | 58,396 | ||||
| 1,707 | Envestnet, Inc.* | 101,310 | ||||
| 429 | Everbridge, Inc.* | 11,540 | ||||
| 237 | Fair Isaac Corp.* | 191,783 | ||||
| 10,912 | Fortinet, Inc.* | 824,838 | ||||
| 5,936 | Freshworks, Inc., Class A* | 104,355 | ||||
| 26,252 | Gen Digital, Inc. | 486,975 | ||||
| 2,480 | Guidewire Software, Inc.* | 188,678 | ||||
| 425 | HubSpot, Inc.* | 226,138 | ||||
| 1,949 | Informatica, Inc., Class A* | 36,057 | ||||
| 1,354 | InterDigital, Inc. | 130,729 | ||||
| 2,540 | Intuit, Inc. | 1,163,803 | ||||
| 3,554 | Jamf Holding Corp.* | 69,374 | ||||
| 3,557 | Jfrog, Ltd.* | 98,529 | ||||
| 3,815 | LiveRamp Holdings, Inc.* | 108,956 | ||||
| 1,888 | Manhattan Associates, Inc.* | 377,373 | ||||
| 9,761 | Matterport, Inc.* | 30,747 | ||||
| 105,354 | Microsoft Corp. | 35,877,251 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Software, continued | ||||||
| 4,817 | N-able, Inc.* | $ | 69,413 | |||
| 9,235 | NCR Corp.* | 232,722 | ||||
| 1,864 | Nutanix, Inc., Class A* | 52,285 | ||||
| 3,994 | Olo, Inc., Class A* | 25,801 | ||||
| 879 | OneSpan, Inc.* | 13,044 | ||||
| 26,522 | Oracle Corp. | 3,158,505 | ||||
| 35,970 | Palantir Technologies, Inc., Class A* | 551,420 | ||||
| 4,049 | Palo Alto Networks, Inc.* | 1,034,560 | ||||
| 5,963 | PowerSchool Holdings, Inc.* | 114,132 | ||||
| 1,540 | Procore Technologies, Inc.* | 100,208 | ||||
| 1,843 | Progress Software Corp. | 107,078 | ||||
| 1,903 | PTC, Inc.* | 270,797 | ||||
| 389 | Q2 Holdings, Inc.* | 12,020 | ||||
| 482 | Qualys, Inc.* | 62,260 | ||||
| 468 | Roper Technologies, Inc. | 225,014 | ||||
| 10,774 | Salesforce, Inc.* | 2,276,115 | ||||
| 1,200 | Sapiens International Corp. NV | 31,920 | ||||
| 975 | ServiceNow, Inc.* | 547,921 | ||||
| 5,655 | SolarWinds Corp.* | 58,020 | ||||
| 3,127 | Splunk, Inc.* | 331,743 | ||||
| 347 | SPS Commerce, Inc.* | 66,645 | ||||
| 2,279 | Synchronoss Technologies, Inc.* | 2,117 | ||||
| 1,635 | Synopsys, Inc.* | 711,895 | ||||
| 3,307 | Teradata Corp.* | 176,627 | ||||
| 627 | Tyler Technologies, Inc.* | 261,127 | ||||
| 1,729 | UiPath, Inc., Class A* | 28,650 | ||||
| 537 | Unity Software, Inc.* | 23,317 | ||||
| 1,022 | Verint Systems, Inc.* | 35,831 | ||||
| 1,088 | Vertex, Inc., Class A* | 21,216 | ||||
| 1,567 | VMware, Inc., Class A* | 225,162 | ||||
| 1,378 | Workday, Inc., Class A* | 311,276 | ||||
| 1,862 | Xperi, Inc.* | 24,485 | ||||
| 2,885 | Zoom Video Communications, Inc., Class A* | 195,834 | ||||
| 1,188 | Zscaler, Inc.* | 173,804 | ||||
| 58,978,910 | ||||||
| Specialty Retail (2.3%): |
| |||||
| 893 | 1-800-Flowers.com, Inc., Class A* | 6,965 | ||||
| 1,093 | Aaron’s Co., Inc. (The) | 15,455 | ||||
| 2,382 | Abercrombie & Fitch Co., Class A* | 89,754 | ||||
| 5,162 | Academy Sports & Outdoors, Inc. | 279,006 | ||||
| 3,501 | Advance Auto Parts, Inc. | 246,120 | ||||
| 10,666 | American Eagle Outfitters, Inc. | 125,859 | ||||
| 200 | America’s Car-Mart, Inc.* | 19,956 | ||||
| 793 | Asbury Automotive Group, Inc.* | 190,653 | ||||
| 2,911 | AutoNation, Inc.* | 479,180 | ||||
| 34 | AutoZone, Inc.* | 84,774 | ||||
| 3,164 | Barnes & Noble Education, Inc.* | 3,987 | ||||
| 6,125 | Bath & Body Works, Inc. | 229,687 | ||||
| 9,257 | Best Buy Co., Inc. | 758,611 | ||||
| 1,657 | Big 5 Sporting Goods Corp.^ | 15,178 | ||||
| 969 | Boot Barn Holdings, Inc.* | 82,065 | ||||
| 2,908 | Buckle, Inc. (The) | 100,617 | ||||
| 583 | Build-A-Bear Workshop, Inc. | 12,488 | ||||
| 1,747 | Burlington Stores, Inc.* | 274,960 | ||||
| 2,280 | Caleres, Inc. | 54,560 | ||||
| 3,853 | CarMax, Inc.* | 322,496 | ||||
| 1,987 | Cato Corp. (The), Class A | 15,956 | ||||
| 1,979 | Chewy, Inc., Class A* | 78,111 | ||||
| 7,822 | Chico’s FAS, Inc.* | 41,848 | ||||
See accompanying notes to the financial statements.
21
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Specialty Retail, continued | ||||||
| 501 | Children’s Place, Inc. (The)* | $ | 11,628 | |||
| 566 | Citi Trends, Inc.* | 9,996 | ||||
| 1,572 | Conn’s, Inc.* | 5,816 | ||||
| 3,425 | Designer Brands, Inc., Class A^ | 34,593 | ||||
| 3,630 | Destination XL Group, Inc.* | 17,787 | ||||
| 2,689 | Dick’s Sporting Goods, Inc. | 355,459 | ||||
| 1,082 | Five Below, Inc.* | 212,656 | ||||
| 3,631 | Floor & Decor Holdings, Inc., Class A* | 377,479 | ||||
| 5,197 | Foot Locker, Inc. | 140,891 | ||||
| 20,327 | Gap, Inc. (The) | 181,520 | ||||
| 435 | Genesco, Inc.* | 10,892 | ||||
| 630 | Group 1 Automotive, Inc. | 162,603 | ||||
| 2,846 | Guess?, Inc. | 55,355 | ||||
| 583 | Haverty Furniture Cos., Inc. | 17,618 | ||||
| 499 | Hibbett, Inc. | 18,109 | ||||
| 12,590 | Home Depot, Inc. (The) | 3,910,958 | ||||
| 1,642 | Lands’ End, Inc.* | 12,742 | ||||
| 7,985 | Leslie’s, Inc.* | 74,979 | ||||
| 1,881 | Lithia Motors, Inc. | 572,031 | ||||
| 8,000 | Lowe’s Cos., Inc. | 1,805,600 | ||||
| 527 | MarineMax, Inc.* | 18,002 | ||||
| 1,792 | Monro, Inc. | 72,809 | ||||
| 451 | Murphy U.S.A., Inc. | 140,311 | ||||
| 4,509 | National Vision Holdings, Inc.* | 109,524 | ||||
| 2,592 | ODP Corp. (The)* | 121,357 | ||||
| 878 | O’Reilly Automotive, Inc.* | 838,753 | ||||
| 2,891 | Penske Automotive Group, Inc. | 481,727 | ||||
| 11,500 | Petco Health & Wellness Co., Inc.* | 102,350 | ||||
| 588 | PetMed Express, Inc. | 8,109 | ||||
| 1,458 | Revolve Group, Inc.* | 23,911 | ||||
| 58 | RH* | 19,116 | ||||
| 7,784 | Ross Stores, Inc. | 872,820 | ||||
| 6,562 | Sally Beauty Holdings, Inc.* | 81,041 | ||||
| 1,200 | Shoe Carnival, Inc. | 28,176 | ||||
| 3,126 | Signet Jewelers, Ltd. | 204,003 | ||||
| 472 | Sleep Number Corp.* | 12,876 | ||||
| 844 | Sonic Automotive, Inc., Class A | 40,233 | ||||
| 1,606 | Sportsman’s Warehouse Holdings, Inc.* | 9,154 | ||||
| 4,730 | Stitch Fix, Inc., Class A* | 18,211 | ||||
| 854 | Tilly’s, Inc., Class A* | 5,987 | ||||
| 18,326 | TJX Cos., Inc. (The) | 1,553,862 | ||||
| 3,634 | Tractor Supply Co. | 803,477 | ||||
| 1,363 | Ulta Beauty, Inc.* | 641,421 | ||||
| 3,729 | Upbound Group, Inc. | 116,084 | ||||
| 5,247 | Urban Outfitters, Inc.* | 173,833 | ||||
| 2,580 | Valvoline, Inc. | 96,776 | ||||
| 4,115 | Victoria’s Secret & Co.* | 71,724 | ||||
| 2,246 | Williams-Sonoma, Inc. | 281,064 | ||||
| 75 | Winmark Corp. | 24,935 | ||||
| 729 | Zumiez, Inc.* | 12,145 | ||||
| 18,500,789 | ||||||
| Technology Hardware, Storage & Peripherals (5.9%): |
| |||||
| 220,555 | Apple, Inc. | 42,781,053 | ||||
| 728 | AstroNova, Inc.* | 10,556 | ||||
| 1,682 | Avid Technology, Inc.* | 42,891 | ||||
| 1,091 | Corsair Gaming, Inc.* | 19,354 | ||||
| 5,212 | Dell Technologies, Inc., Class C | 282,021 | ||||
| 31,513 | Hewlett Packard Enterprise Co. | 529,418 | ||||
| 18,499 | HP, Inc. | 568,104 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Technology Hardware, Storage & Peripherals, continued |
| |||||
| 7,086 | NetApp, Inc. | $ | 541,371 | |||
| 7,340 | Pure Storage, Inc., Class A* | 270,259 | ||||
| 4,442 | Seagate Technology Holdings plc | 274,827 | ||||
| 3,380 | Stratasys, Ltd.* | 60,029 | ||||
| 2,962 | Super Micro Computer, Inc.* | 738,279 | ||||
| 8,467 | Western Digital Corp.* | 321,153 | ||||
| 8,831 | Xerox Holdings Corp. | 131,494 | ||||
| 46,570,809 | ||||||
| Textiles, Apparel & Luxury Goods (0.9%): |
| |||||
| 8,154 | Capri Holdings, Ltd.* | 292,647 | ||||
| 2,487 | Carter’s, Inc. | 180,556 | ||||
| 2,680 | Columbia Sportswear Co. | 207,003 | ||||
| 3,185 | Crocs, Inc.* | 358,121 | ||||
| 810 | Culp, Inc.* | 4,026 | ||||
| 806 | Deckers Outdoor Corp.* | 425,294 | ||||
| 1,494 | Fossil Group, Inc.* | 3,840 | ||||
| 2,480 | G-III Apparel Group, Ltd.* | 47,790 | ||||
| 16,912 | Hanesbrands, Inc. | 76,780 | ||||
| 2,195 | Kontoor Brands, Inc. | 92,410 | ||||
| 5,738 | Levi Strauss & Co., Class A | 82,799 | ||||
| 2,208 | Lululemon Athletica, Inc.* | 835,728 | ||||
| 1,088 | Movado Group, Inc. | 29,191 | ||||
| 22,610 | NIKE, Inc., Class B | 2,495,466 | ||||
| 1,020 | Oxford Industries, Inc. | 100,388 | ||||
| 3,529 | PVH Corp. | 299,859 | ||||
| 2,424 | Ralph Lauren Corp. | 298,879 | ||||
| 570 | Rocky Brands, Inc. | 11,970 | ||||
| 6,081 | Skechers U.S.A., Inc., Class A* | 320,225 | ||||
| 4,232 | Steven Madden, Ltd. | 138,344 | ||||
| 700 | Superior Group of Cos., Inc. | 6,538 | ||||
| 15,312 | Tapestry, Inc. | 655,354 | ||||
| 10,508 | Under Armour, Inc., Class A* | 75,868 | ||||
| 12,274 | Under Armour, Inc., Class C* | 82,359 | ||||
| 1,027 | Unifi, Inc.* | 8,288 | ||||
| 802 | Vera Bradley, Inc.* | 5,125 | ||||
| 16,991 | VF Corp. | 324,358 | ||||
| 4,439 | Wolverine World Wide, Inc. | 65,209 | ||||
| 7,524,415 | ||||||
| Tobacco (0.4%): |
| |||||
| 25,340 | Altria Group, Inc. | 1,147,902 | ||||
| 21,266 | Philip Morris International, Inc. | 2,075,987 | ||||
| 1,286 | Universal Corp. | 64,223 | ||||
| 7,266 | Vector Group, Ltd. | 93,077 | ||||
| 3,381,189 | ||||||
| Trading Companies & Distributors (1.0%): |
| |||||
| 5,434 | Air Lease Corp. | 227,413 | ||||
| 1,661 | Applied Industrial Technologies, Inc. | 240,563 | ||||
| 4,247 | Beacon Roofing Supply, Inc.* | 352,416 | ||||
| 424 | BlueLinx Holdings, Inc.* | 39,763 | ||||
| 1,071 | Boise Cascade Co. | 96,765 | ||||
| 4,200 | Core & Main, Inc., Class A* | 131,628 | ||||
| 644 | DXP Enterprises, Inc.* | 23,448 | ||||
| 15,443 | Fastenal Co. | 910,983 | ||||
| 1,483 | GATX Corp. | 190,921 | ||||
| 977 | Global Industrial Co. | 27,131 | ||||
| 1,243 | GMS, Inc.* | 86,016 | ||||
| 1,547 | H&E Equipment Services, Inc. | 70,775 | ||||
| 2,005 | Herc Holdings, Inc. | 274,384 | ||||
See accompanying notes to the financial statements.
22
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Trading Companies & Distributors, continued | ||||||
| 2,780 | Hudson Technologies, Inc.* | $ | 26,744 | |||
| 730 | McGrath RentCorp | 67,510 | ||||
| 2,381 | MRC Global, Inc.* | 23,977 | ||||
| 1,669 | MSC Industrial Direct Co., Inc. | 159,022 | ||||
| 6,303 | NOW, Inc.* | 65,299 | ||||
| 2,504 | Rush Enterprises, Inc., Class A | 152,093 | ||||
| 365 | Rush Enterprises, Inc., Class B | 24,842 | ||||
| 1,560 | SiteOne Landscape Supply, Inc.* | 261,082 | ||||
| 2,757 | Textainer Group Holdings, Ltd. | 108,571 | ||||
| 1,803 | Titan Machinery, Inc.* | 53,188 | ||||
| 173 | Transcat, Inc.* | 14,759 | ||||
| 3,921 | Triton International, Ltd. | 326,462 | ||||
| 3,630 | United Rentals, Inc. | 1,616,693 | ||||
| 10,558 | Univar Solutions, Inc.* | 378,399 | ||||
| 947 | Veritiv Corp. | 118,953 | ||||
| 1,345 | W.W. Grainger, Inc. | 1,060,653 | ||||
| 1,000 | Watsco, Inc. | 381,470 | ||||
| 84 | Watsco, Inc., Class B | 31,749 | ||||
| 1,596 | WESCO International, Inc. | 285,780 | ||||
| 7,829,452 | ||||||
| Water Utilities (0.1%): |
| |||||
| 830 | American States Water Co. | 72,210 | ||||
| 3,637 | American Water Works Co., Inc. | 519,182 | ||||
| 491 | Artesian Resources Corp., Class A | 23,185 | ||||
| 2,255 | California Water Service Group | 116,426 | ||||
| 5,702 | Essential Utilities, Inc. | 227,567 | ||||
| 355 | Middlesex Water Co. | 28,634 | ||||
| 669 | Pure Cycle Corp.* | 7,359 | ||||
| 626 | SJW Group | 43,889 | ||||
| 372 | York Water Co. (The) | 15,352 | ||||
| 1,053,804 | ||||||
| Wireless Telecommunication Services (0.2%): |
| |||||
| 5,179 | Gogo, Inc.* | 88,095 | ||||
| 1,333 | Shenandoah Telecommunications Co. | 25,900 | ||||
| 1,649 | Spok Holdings, Inc. | 21,915 | ||||
| 7,440 | Telephone and Data Systems, Inc. | 61,231 | ||||
| 8,855 | T-Mobile US, Inc.* | 1,229,960 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Wireless Telecommunication Services, continued |
| |||||
| 1,151 | United States Cellular Corp.*^ | $ | 20,292 | |||
| 1,447,393 | ||||||
| Total Common Stocks (Cost $602,421,538) |
793,228,569 | |||||
| Preferred Stock (0.0%†): |
| |||||
| Trading Companies & Distributors (0.0%†): |
| |||||
| 1,076 | WESCO International, Inc., Series A, 1.40% | 28,751 | ||||
| Total Preferred Stock (Cost $28,514) |
28,751 | |||||
| Rights (0.0%†): |
| |||||
| Energy Equipment & Services (0.0%†): |
| |||||
| 2,344 | Resolute Fst CVR, Expires on 1/1/26* | 3,328 | ||||
| Health Care Equipment & Supplies (0.0%†): |
| |||||
| 278 | ABIOMED, Inc. CVR, Expires on 1/2/26* | 4,340 | ||||
| Health Care Providers & Services (0.0%†): |
| |||||
| 3,743 | Achillion Pharm CVR, Expires on 1/29/49* | 1,011 | ||||
| Trading Companies & Distributors (0.0%†): |
| |||||
| 79 | Communications Systems I CVR, Expires on 1/1/29* | 241 | ||||
| Total Rights (Cost $–) |
8,920 | |||||
| Short-Term Security Held as Collateral for Securities on Loan (0.2%): |
| |||||
| 1,773,148 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(b)(c) | 1,773,148 | ||||
| Total Short-Term Security Held as Collateral for Securities on Loan |
1,773,148 | |||||
| Unaffiliated Investment Company (0.2%): |
| |||||
| Money Markets (0.2%): |
| |||||
| 1,668,923 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(c) | 1,668,923 | ||||
| Total Unaffiliated Investment Company |
1,668,923 | |||||
| Total Investment Securities |
796,708,311 | |||||
| Net other assets (liabilities) — (0.1)% |
(1,000,616 | ) | ||||
| Net Assets — 100.0% |
$ | 795,707,695 | ||||
Percentages indicated are based on net assets as of June 30, 2023.
| CVR | - Contingency Valued Rights |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $1,751,232. |
| † | Represents less than 0.05%. |
| * | Non-income producing security. |
| (a) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| (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 June 30, 2023. |
| (c) | The rate represents the effective yield at June 30, 2023. |
Amounts shown as “—“ are either $0 or round to less than $1.
See accompanying notes to the financial statements.
23
AZL DFA U.S. Core Equity Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: | ||||
| Investment securities, at cost | $ | 605,892,123 | ||
|
|
|
| ||
| Investment securities, at value(a) | $ | 796,708,311 | ||
| Interest and dividends receivable | 505,172 | |||
| Receivable for investments sold | 1,690,317 | |||
| Reclaims receivable | 5,980 | |||
| Prepaid expenses | 5 | |||
|
|
|
| ||
| Total Assets |
798,909,785 | |||
|
|
|
| ||
| Liabilities: | ||||
| Cash overdraft | 7,796 | |||
| Payable for investments purchased | 345,641 | |||
| Payable for capital shares redeemed | 588,172 | |||
| Payable for collateral received on loaned securities | 1,773,148 | |||
| Management fees payable | 309,827 | |||
| Administration fees payable | 13,485 | |||
| Distribution fees payable | 161,368 | |||
| Custodian fees payable | 433 | |||
| Administrative and compliance services fees payable | 147 | |||
| Transfer agent fees payable | 64 | |||
| Trustee fees payable | 740 | |||
| Other accrued liabilities | 1,269 | |||
|
|
|
| ||
| Total Liabilities |
3,202,090 | |||
|
|
|
| ||
| Commitments and contingent liabilities^ |
||||
|
|
|
| ||
| Net Assets | $ | 795,707,695 | ||
|
|
|
| ||
| Net Assets Consist of: | ||||
| Paid in capital |
$ | 542,400,392 | ||
| Total distributable earnings |
253,307,303 | |||
|
|
|
| ||
| Net Assets | $ | 795,707,695 | ||
|
|
|
| ||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
58,042,542 | |||
| Net Asset Value (offering and redemption price per share) |
$ | 13.71 | ||
|
|
|
| ||
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: | ||||
| Dividends | $ | 5,415,769 | ||
| Income from securities lending | 7,249 | |||
| Foreign withholding tax | (2,265 | ) | ||
|
|
|
| ||
| Total Investment Income |
5,420,753 | |||
|
|
|
| ||
| Expenses: | ||||
| Management fees | 2,476,791 | |||
| Administration fees | 93,666 | |||
| Distribution fees | 773,996 | |||
| Custodian fees | 10,160 | |||
| Administrative and compliance services fees | 3,029 | |||
| Transfer agent fees | 2,243 | |||
| Trustee fees | 11,937 | |||
| Professional fees | 10,184 | |||
| Shareholder reports | 3,697 | |||
| Other expenses | 4,966 | |||
|
|
|
| ||
| Total expenses before reductions |
3,390,669 | |||
| Less Management fees contractually waived |
(990,714 | ) | ||
|
|
|
| ||
| Net expenses |
2,399,955 | |||
|
|
|
| ||
| Net Investment Income/(Loss) |
3,020,798 | |||
|
|
|
| ||
| Net realized and Change in net unrealized gains/losses on investments: |
||||
| Net realized gains/(losses) on securities and foreign currencies |
31,604,856 | |||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
53,208,343 | |||
|
|
|
| ||
| Net realized and Change in net unrealized gains/losses on investments |
84,813,199 | |||
|
|
|
| ||
| Change in Net Assets Resulting From Operations |
$ | 87,833,997 | ||
|
|
|
|
| (a) | Includes securities on loan of $1,751,232. |
| ^ | See Note 3 in Notes to the Financial Statements. |
See accompanying notes to the financial statements.
24
AZL DFA U.S. Core Equity Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 |
|||||||
| (Unaudited) | ||||||||
| Change In Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income/(loss) |
$ | 3,020,798 | $ | 3,506,628 | ||||
| Net realized gains/(losses) on investments |
31,604,856 | 25,326,678 | ||||||
| Change in unrealized appreciation/depreciation on investments |
53,208,343 | (102,596,252) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
87,833,997 | (73,762,946) | ||||||
|
|
|
|
|
|||||
| Distributions to Shareholders: | ||||||||
| Distributions |
— | (54,549,277) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from distributions to shareholders |
— | (54,549,277) | ||||||
|
|
|
|
|
|||||
| Capital Transactions: | ||||||||
| Proceeds from shares issued |
409,759,777 | 457,485 | ||||||
| Proceeds from dividends reinvested |
— | 54,549,277 | ||||||
| Value of shares redeemed |
(83,421,654) | (49,090,021) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from capital transactions |
326,338,123 | 5,916,741 | ||||||
|
|
|
|
|
|||||
| Change in net assets |
414,172,120 | (122,395,482) | ||||||
| Net Assets: | ||||||||
| Beginning of period |
381,535,575 | 503,931,057 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 795,707,695 | $ | 381,535,575 | ||||
|
|
|
|
|
|||||
| Share Transactions: | ||||||||
| Shares issued |
33,394,869 | 29,682 | ||||||
| Dividends reinvested |
— | 4,572,446 | ||||||
| Shares redeemed |
(6,450,343) | (3,307,401) | ||||||
|
|
|
|
|
|||||
| Change in shares |
26,944,526 | 1,294,727 | ||||||
|
|
|
|
|
|||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
25
AZL DFA U.S. Core Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six
Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$12.27 | $16.91 | $14.61 | $13.53 | $11.32 | $12.76 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.06 | (a) | 0.12 | (a) | 0.11 | (a) | 0.12 | (a) | 0.13 | (a) | 0.16 | |||||||||||||
| Net Realized and Unrealized Gains/ (Losses) on Investments |
1.38 | (2.78 | ) | 3.76 | 2.13 | 3.08 | (1.06 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
1.44 | (2.66 | ) | 3.87 | 2.25 | 3.21 | (0.90 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.11 | ) | (0.16 | ) | (0.16 | ) | (0.15 | ) | (0.15 | ) | |||||||||||||
| Net Realized Gains |
— | (1.87 | ) | (1.41 | ) | (1.01 | ) | (0.85 | ) | (0.39 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (1.98 | ) | (1.57 | ) | (1.17 | ) | (1.00 | ) | (0.54 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$13.71 | $12.27 | $16.91 | $14.61 | $13.53 | $11.32 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
11.74 | %(c) | (15.38 | )% | 27.31 | % | 17.70 | % | 29.36 | % | (7.52 | )% | ||||||||||||
| Ratios to Average Net Assets/ Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) | $795,708 | $381,536 | $503,931 | $478,781 | $496,318 | $463,537 | ||||||||||||||||||
| Net Investment Income/(Loss)(d) | 0.97 | % | 0.83 | % | 0.64 | % | 0.95 | % | 1.03 | % | 1.00 | % | ||||||||||||
| Expenses Before Reductions(d)(e) | 1.09 | % | 1.09 | % | 1.10 | % | 1.11 | % | 1.10 | % | 1.10 | % | ||||||||||||
| Expenses Net of Reductions(d) | 0.77 | % | 0.82 | % | 0.84 | % | 0.85 | % | 0.84 | % | 0.84 | % | ||||||||||||
| Portfolio Turnover Rate | 19 | %(c) | 4 | % | 9 | % | 11 | % | 4 | % | 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) | 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. |
See accompanying notes to the financial statements.
26
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
27
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $723 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,773,148 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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, 2024.
For the period ended June 30, 2023, 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 0.48% 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, 2024. The annual rate due to the Subadviser from the Manager is 0.12% of the first $100 million of the Fund’s net assets and 0.10% of the Fund’s net assets over $100 million.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable.
28
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||||||
| Common Stocks+ | $793,213,145 | $15,424 | $— | # | $793,228,569 | |||||||||||||||||||||||||||||||||||||||||||
| Preferred Stock+ | 28,751 | — | — | 28,751 | ||||||||||||||||||||||||||||||||||||||||||||
29
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||||||
| Rights+ | $— | $8,920 | $— | $8,920 | ||||||||||||||||||||||||||||||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan | 1,773,148 | — | — | 1,773,148 | ||||||||||||||||||||||||||||||||||||||||||||
| Unaffiliated Investment Company | 1,668,923 | — | — | 1,668,923 | ||||||||||||||||||||||||||||||||||||||||||||
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| Total Investment Securities |
$796,683,967 | $24,344 | $— | $796,708,311 | ||||||||||||||||||||||||||||||||||||||||||||
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| + | 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 June 30, 2023. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 | $433,903,206 | $105,382,724 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $245,467,293. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation | $160,926,950 | |||
| Unrealized (depreciation) | (24,383,508) | |||
|
|
|
|||
| Net unrealized appreciation/(depreciation) | $136,543,442 | |||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | ||||
| AZL DFA U.S. Core Equity Fund | $3,360,438 | $51,188,839 | $54,549,277 |
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
30
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
At December 31, 2022, 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 | $3,609,757 | $25,320,107 | $— | $136,543,442 | $165,473,306 |
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023, the Fund was wholly-owned by multiple shareholder accounts which are affiliated with the Manager. Investment activities of these shareholders could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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.
31
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
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
33
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 | |
AZL® DFA U.S. Small Cap Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 21 |
|
Page 21 |
| Statements of Changes in Net Assets Page 22 |
|
Page 23 |
| Notes to the Financial Statements Page 24 |
|
Page 29 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 30 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA U.S. Small Cap Fund
(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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL DFA U.S. Small Cap Fund |
$ | 1,000.00 | $ | 1,057.10 | $ | 5.00 | 0.98 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL DFA U.S. Small Cap Fund |
$ | 1,000.00 | $ | 1,019.93 | $ | 4.91 | 0.98 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
20.7 | % | |||
| Financials |
17.1 | ||||
| Consumer Discretionary |
13.2 | ||||
| Information Technology |
12.3 | ||||
| Health Care |
11.2 | ||||
| Materials |
6.9 | ||||
| Energy |
6.4 | ||||
| Consumer Staples |
4.9 | ||||
| Utilities |
3.5 | ||||
| Communication Services |
2.7 | ||||
| Real Estate |
0.8 | ||||
|
|
|
||||
| Total Common Stocks and Preferred Stocks |
99.7 | ||||
| Rights |
— | † | |||
| Short-Term Security Held as Collateral for Securities on Loan |
0.6 | ||||
| Unaffiliated Investment Company |
0.3 | ||||
|
|
|
||||
| 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
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks (99.7%): | ||||||||
| Aerospace & Defense (1.5%): | ||||||||
| 3,973 | AAR Corp.* | $ | 229,480 | |||||
| 5,037 | Aerojet Rocketdyne Holdings, Inc.* | 276,380 | ||||||
| 3,054 | AeroVironment, Inc.* | 312,363 | ||||||
| 4,487 | Astronics Corp.* | 89,112 | ||||||
| 392 | Astronics Corp., Class B* | 7,762 | ||||||
| 9,047 | BWX Technologies, Inc. | 647,494 | ||||||
| 817 | Cadre Holdings, Inc. | 17,811 | ||||||
| 1,182 | Curtiss-Wright Corp. | 217,086 | ||||||
| 1,538 | Ducommun, Inc.* | 67,011 | ||||||
| 4,744 | Hexcel Corp. | 360,639 | ||||||
| 3,376 | Innovative Solutions & Support, Inc. | 24,206 | ||||||
| 2,977 | Kaman Corp., Class A | 72,430 | ||||||
| 12,407 | Kratos Defense & Security Solutions, Inc.* | 177,916 | ||||||
| 2,680 | Mercury Systems, Inc.* | 92,701 | ||||||
| 3,061 | Moog, Inc., Class A | 331,904 | ||||||
| 984 | National Presto Industries, Inc. | 72,029 | ||||||
| 5,428 | Park Aerospace Corp., Class C | 74,906 | ||||||
| 4,030 | Parsons Corp.* | 194,004 | ||||||
| 4,524 | Triumph Group, Inc.* | 55,962 | ||||||
| 759 | V2X, Inc.* | 37,616 | ||||||
| 682 | Woodward, Inc. | 81,097 | ||||||
|
|
|
|||||||
| 3,439,909 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics (0.4%): | ||||||||
| 738 | Air T, Inc.* | 18,524 | ||||||
| 9,122 | Air Transport Services Group, Inc.* | 172,132 | ||||||
| 2,622 | Forward Air Corp. | 278,220 | ||||||
| 1,052 | GXO Logistics, Inc.* | 66,087 | ||||||
| 3,378 | Hub Group, Inc., Class A* | 271,321 | ||||||
| 10,253 | Radiant Logistics, Inc.* | 68,900 | ||||||
|
|
|
|||||||
| 875,184 | ||||||||
|
|
|
|||||||
| Automobile Components (1.9%): | ||||||||
| 9,203 | Adient plc* | 352,659 | ||||||
| 12,836 | American Axle & Manufacturing Holdings, Inc.* | 106,154 | ||||||
| 151 | Autoliv, Inc. | 12,841 | ||||||
| 2,031 | Cooper-Standard Holdings, Inc.* | 28,962 | ||||||
| 15,253 | Dana, Inc. | 259,301 | ||||||
| 3,131 | Dorman Products, Inc. | 246,817 | ||||||
| 4,077 | Fox Factory Holding Corp.* | 442,395 | ||||||
| 3,895 | Garrett Motion, Inc.* | 29,485 | ||||||
| 570 | Gentex Corp. | 16,678 | ||||||
| 3,709 | Gentherm, Inc.* | 209,596 | ||||||
| 29,434 | Goodyear Tire & Rubber Co. (The)* | 402,657 | ||||||
| 7,274 | Harley-Davidson, Inc. | 256,118 | ||||||
| 2,637 | LCI Industries | 333,211 | ||||||
| 6,189 | Modine Manufacturing Co.* | 204,361 | ||||||
| 4,433 | Motorcar Parts of America, Inc.* | 34,311 | ||||||
| 1,849 | Patrick Industries, Inc. | 147,920 | ||||||
| 2,719 | Standard Motor Products, Inc. | 102,017 | ||||||
| 3,353 | Stoneridge, Inc.* | 63,204 | ||||||
| 2,799 | Thor Industries, Inc. | 289,696 | ||||||
| 2,880 | Visteon Corp.* | 413,597 | ||||||
| 2,959 | Winnebago Industries, Inc. | 197,336 | ||||||
| 1,503 | XPEL, Inc.* | 126,583 | ||||||
|
|
|
|||||||
| 4,275,899 | ||||||||
|
|
|
|||||||
| Banks (8.9%): | ||||||||
| 2,374 | 1st Source Corp. | 99,542 | ||||||
| 410 | ACNB Corp. | 13,600 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 600 | Amalgamated Financial Corp. | $ | 9,654 | |||||
| 2,183 | Amerant Bancorp, Inc. | 37,526 | ||||||
| 939 | American National Bankshares, Inc. | 27,212 | ||||||
| 7,949 | Ameris Bancorp | 271,935 | ||||||
| 2,317 | Ames National Corp. | 41,776 | ||||||
| 1,825 | Arrow Financial Corp. | 36,755 | ||||||
| 11,647 | Associated Banc-Corp. | 189,031 | ||||||
| 7,680 | Atlantic Union Bankshares Corp. | 199,296 | ||||||
| 13 | Auburn National Bancorp, Inc. | 279 | ||||||
| 5,181 | Axos Financial, Inc.* | 204,339 | ||||||
| 5,753 | Banc of California, Inc. | 66,620 | ||||||
| 2,869 | BancFirst Corp. | 263,948 | ||||||
| 3,525 | Bancorp, Inc. (The)* | 115,091 | ||||||
| 4,823 | Bank of Hawaii Corp. | 198,852 | ||||||
| 2,100 | Bank of Marin Bancorp | 37,107 | ||||||
| 2,482 | Bank of NT Butterfield & Son, Ltd. (The) | 67,908 | ||||||
| 485 | Bank of South Carolina Corp. | 6,693 | ||||||
| 13,022 | Bank OZK | 522,964 | ||||||
| 2,838 | BankFinancial Corp. | 23,215 | ||||||
| 9,043 | BankUnited, Inc. | 194,877 | ||||||
| 1,859 | Banner Corp. | 81,183 | ||||||
| 872 | Bar Harbor Bankshares | 21,486 | ||||||
| 2,544 | BayCom Corp. | 42,434 | ||||||
| 595 | BCB Bancorp, Inc. | 6,985 | ||||||
| 4,593 | Berkshire Hills Bancorp, Inc. | 95,213 | ||||||
| 2,284 | Blue Foundry Bancorp* | 23,091 | ||||||
| 3,910 | BOK Financial Corp. | 315,850 | ||||||
| 2,024 | Bridgewater Bancshares, Inc.* | 19,936 | ||||||
| 5,008 | Brookline Bancorp, Inc. | 43,770 | ||||||
| 667 | Business First Bancshares, Inc. | 10,052 | ||||||
| 2,546 | Byline Bancorp, Inc. | 46,057 | ||||||
| 227 | C&F Financial Corp. | 12,190 | ||||||
| 20,744 | Cadence Bank | 407,412 | ||||||
| 436 | Cambridge Bancorp | 23,679 | ||||||
| 2,138 | Camden National Corp. | 66,214 | ||||||
| 2,618 | Capital City Bank Group, Inc. | 80,216 | ||||||
| 7,770 | Capitol Federal Financial, Inc. | 47,941 | ||||||
| 700 | Capstar Financial Holdings, Inc. | 8,589 | ||||||
| 8,271 | Cathay General Bancorp | 266,243 | ||||||
| 1,822 | Central Pacific Financial Corp. | 28,624 | ||||||
| 1,934 | Central Valley Community Bancorp | 29,880 | ||||||
| 668 | Chemung Financial Corp.^ | 25,658 | ||||||
| 2,723 | Citizens & Northern Corp. | 52,554 | ||||||
| 280 | Citizens Community Bancorp, Inc. | 2,478 | ||||||
| 718 | Citizens Holding Co. | 8,760 | ||||||
| 1,571 | City Holding Co. | 141,374 | ||||||
| 822 | Civista Bancshares, Inc. | 14,303 | ||||||
| 2,204 | CNB Financial Corp. | 38,901 | ||||||
| 271 | Coastal Financial Corp.* | 10,203 | ||||||
| 85 | Codorus Valley Bancorp, Inc. | 1,667 | ||||||
| 56 | Colony Bankcorp, Inc. | 528 | ||||||
| 23,726 | Columbia Banking System, Inc. | 481,163 | ||||||
| 9,398 | Columbia Financial, Inc.* | 162,491 | ||||||
| 740 | Commerce Bancshares, Inc. | 36,038 | ||||||
| 2,562 | Community Bank System, Inc. | 120,107 | ||||||
| 2,074 | Community Trust Bancorp, Inc. | 73,772 | ||||||
| 525 | Community West Bancshares | 6,436 | ||||||
| 5,427 | ConnectOne Bancorp, Inc. | 90,034 | ||||||
| 4,772 | CrossFirst Bankshares, Inc.* | 47,720 | ||||||
See accompanying notes to the financial statements.
4
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 3,496 | Customers Bancorp, Inc.* | $ | 105,789 | |||||
| 6,743 | CVB Financial Corp. | 89,547 | ||||||
| 2,220 | Dime Community Bancshares, Inc. | 39,139 | ||||||
| 609 | Eagle Bancorp Montana, Inc. | 8,057 | ||||||
| 3,312 | Eagle Bancorp, Inc. | 70,082 | ||||||
| 2,687 | Eastern Bankshares, Inc. | 32,969 | ||||||
| 759 | Enterprise Bancorp, Inc. | 21,965 | ||||||
| 2,149 | Enterprise Financial Services Corp. | 84,026 | ||||||
| 1,888 | Equity Bancshares, Inc., Class A | 43,009 | ||||||
| 1,537 | ESSA Bancorp, Inc.^ | 22,978 | ||||||
| 1,156 | Evans Bancorp, Inc. | 28,819 | ||||||
| 2,582 | Farmers National Banc Corp.^ | 31,939 | ||||||
| 2,391 | FB Financial Corp. | 67,068 | ||||||
| 2,566 | Financial Institutions, Inc. | 40,389 | ||||||
| 1,555 | First Bancorp, Inc. (The) | 37,849 | ||||||
| 22,168 | First BanCorp/Puerto Rico | 270,893 | ||||||
| 3,627 | First Bancorp/Southern Pines NC | 107,903 | ||||||
| 3,288 | First Bancshares, Inc. (The) | 84,962 | ||||||
| 5,592 | First Busey Corp. | 112,399 | ||||||
| 1,453 | First Business Financial Services, Inc. | 42,849 | ||||||
| 242 | First Capital, Inc. | 7,483 | ||||||
| 4,622 | First Commonwealth Financial Corp. | 58,468 | ||||||
| 2,238 | First Community Bankshares | 66,536 | ||||||
| 9,894 | First Financial Bancorp | 202,233 | ||||||
| 5,933 | First Financial Bankshares, Inc. | 169,031 | ||||||
| 1,672 | First Financial Corp. | 54,290 | ||||||
| 1,717 | First Financial Northwest, Inc. | 19,522 | ||||||
| 2,543 | First Foundation, Inc. | 10,096 | ||||||
| 6,483 | First Hawaiian, Inc. | 116,759 | ||||||
| 402 | First Internet BanCorp | 5,970 | ||||||
| 9,316 | First Interstate BancSystem, Inc., Class A | 222,093 | ||||||
| 2,751 | First Merchants Corp. | 77,661 | ||||||
| 720 | First Mid Bancshares, Inc. | 17,381 | ||||||
| 2,923 | First of Long Island Corp. (The) | 35,134 | ||||||
| 84 | First Savings Financial Group, Inc. | 1,109 | ||||||
| 234 | First United Corp. | 3,337 | ||||||
| 908 | First US Bancshares, Inc. | 7,745 | ||||||
| 1,446 | Five Star Bancorp | 32,347 | ||||||
| 3,754 | Flushing Financial Corp. | 46,137 | ||||||
| 34,418 | FNB Corp. | 393,742 | ||||||
| 1,506 | FS Bancorp, Inc. | 45,285 | ||||||
| 19,649 | Fulton Financial Corp. | 234,216 | ||||||
| 2,039 | German American Bancorp, Inc. | 55,420 | ||||||
| 11,466 | Glacier Bancorp, Inc. | 357,395 | ||||||
| 1,038 | Great Southern Bancorp, Inc. | 52,658 | ||||||
| 440 | Guaranty Bancshares, Inc. | 11,915 | ||||||
| 9,524 | Hancock Whitney Corp. | 365,531 | ||||||
| 3,857 | Hanmi Financial Corp. | 57,585 | ||||||
| 7,681 | HarborOne Bancorp, Inc. | 66,671 | ||||||
| 46 | Hawthorn Bancshares, Inc. | 821 | ||||||
| 1,822 | HBT Financial, Inc. | 33,598 | ||||||
| 4,161 | Heartland Financial U.S.A., Inc. | 115,967 | ||||||
| 4,560 | Heritage Financial Corp. | 73,735 | ||||||
| 4,406 | Hertiage Commerce Corp. | 36,482 | ||||||
| 4,106 | Hilltop Holdings, Inc. | 129,175 | ||||||
| 150 | Hingham Institution for Savings (The) | 31,977 | ||||||
| 629 | HMN Financial, Inc. | 11,787 | ||||||
| 973 | Home Bancorp, Inc. | 32,313 | ||||||
| 17,823 | Home BancShares, Inc. | 406,364 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 86 | Home Federal Bancorp, Inc. of Louisiana | $ | 1,262 | |||||
| 2,273 | HomeStreet, Inc. | 13,456 | ||||||
| 2,317 | Hometrust Bancshares, Inc. | 48,402 | ||||||
| 12,058 | Hope Bancorp, Inc. | 101,528 | ||||||
| 6,998 | Horizon Bancorp, Inc. | 72,849 | ||||||
| 869 | IF Bancorp, Inc. | 12,548 | ||||||
| 2,325 | Independent Bank Corp. | 103,486 | ||||||
| 1,306 | Independent Bank Corp. | 22,150 | ||||||
| 4,333 | Independent Bank Group, Inc. | 149,618 | ||||||
| 6,432 | International Bancshares Corp. | 284,294 | ||||||
| 8,307 | Kearny Financial Corp. | 58,564 | ||||||
| 390 | Kentucky First Federal Bancorp | 2,422 | ||||||
| 4,232 | Lakeland Bancorp, Inc. | 56,666 | ||||||
| 1,608 | Lakeland Financial Corp. | 78,020 | ||||||
| 997 | Landmark Bancorp, Inc. | 21,735 | ||||||
| 1,512 | LCNB Corp.^ | 22,317 | ||||||
| 4,363 | Live Oak Bancshares, Inc. | 114,791 | ||||||
| 3,446 | Luther Burbank Corp. | 30,738 | ||||||
| 3,707 | Macatawa Bank Corp. | 34,401 | ||||||
| 940 | Malvern Bancorp, Inc.* | 14,805 | ||||||
| 2,374 | Mercantile Bank Corp. | 65,570 | ||||||
| 400 | Metropolitan Bank Holding Corp.*^ | 13,892 | ||||||
| 782 | Mid Penn Bancorp, Inc. | 17,267 | ||||||
| 3,355 | Midland States BanCorp, Inc. | 66,798 | ||||||
| 2,171 | MidWestone Financial Group, Inc. | 46,394 | ||||||
| 300 | MVB Financial Corp. | 6,324 | ||||||
| 3,634 | National Bank Holdings Corp., Class A | 105,531 | ||||||
| 769 | National Bankshares, Inc.^ | 22,447 | ||||||
| 4,356 | NBT Bancorp, Inc. | 138,739 | ||||||
| 23,943 | New York Community Bancorp, Inc. | 269,119 | ||||||
| 679 | Nicolet Bankshares, Inc. | 46,111 | ||||||
| 822 | Northeast Bank | 34,253 | ||||||
| 6,156 | Northfield Bancorp, Inc. | 67,593 | ||||||
| 657 | Northrim Bancorp, Inc. | 25,840 | ||||||
| 13,094 | Northwest Bancshares, Inc. | 138,796 | ||||||
| 609 | Norwood Financial Corp. | 17,984 | ||||||
| 3,132 | Oceanfirst Financial Corp. | 48,922 | ||||||
| 198 | Oconee Federal Financial Corp. | 2,821 | ||||||
| 4,849 | OFG Bancorp | 126,462 | ||||||
| 183 | Ohio Valley Banc Corp. | 4,483 | ||||||
| 4,466 | Old National Bancorp | 62,256 | ||||||
| 1,004 | Old Point Financial Corp. | 17,409 | ||||||
| 3,314 | Old Second Bancorp, Inc. | 43,281 | ||||||
| 2,466 | Origin Bancorp, Inc. | 72,254 | ||||||
| 1,846 | Orrstown Financial Services, Inc. | 35,351 | ||||||
| 10,027 | Pacific Premier Bancorp, Inc. | 207,358 | ||||||
| 6,187 | PacWest Bancorp^ | 50,424 | ||||||
| 1,210 | Park National Corp. | 123,807 | ||||||
| 1,636 | Parke Bancorp, Inc. | 27,796 | ||||||
| 1,842 | Pathward Financial, Inc. | 85,395 | ||||||
| 1,140 | Peapack-Gladstone Financial Corp. | 30,871 | ||||||
| 952 | Penns Woods Bancorp, Inc.^ | 23,829 | ||||||
| 434 | Peoples Bancorp of North Carolina, Inc. | 7,912 | ||||||
| 4,279 | Peoples Bancorp, Inc. | 113,607 | ||||||
| 488 | Peoples Financial Services Corp. | 21,370 | ||||||
| 4,556 | Pinnacle Financial Partners, Inc. | 258,097 | ||||||
| 4,363 | Popular, Inc. | 264,049 | ||||||
| 1,407 | Preferred Bank | 77,371 | ||||||
| 4,368 | Premier Financial Corp. | 69,975 | ||||||
See accompanying notes to the financial statements.
5
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 2,309 | Primis Financial Corp. | $ | 19,442 | |||||
| 1,001 | Prosperity Bancshares, Inc. | 56,536 | ||||||
| 1,677 | Provident Financial Holdings, Inc. | 21,667 | ||||||
| 3,721 | Provident Financial Services, Inc. | 60,801 | ||||||
| 1,518 | QCR Holdings, Inc. | 62,284 | ||||||
| 351 | RBB Bancorp | 4,191 | ||||||
| 5,730 | Renasant Corp. | 149,725 | ||||||
| 2,023 | Republic Bancorp, Inc., Class A | 85,977 | ||||||
| 1,982 | Riverview Bancorp, Inc. | 9,989 | ||||||
| 4,279 | S&T Bancorp, Inc. | 116,346 | ||||||
| 640 | Salisbury Bancorp, Inc. | 15,162 | ||||||
| 4,833 | Sandy Spring Bancorp, Inc. | 109,612 | ||||||
| 579 | SB Financial Group, Inc. | 7,330 | ||||||
| 4,000 | Seacoast Banking Corp of Florida | 88,400 | ||||||
| 5,438 | ServisFirst Bancshares, Inc. | 222,523 | ||||||
| 2,960 | Shore Bancshares, Inc. | 34,218 | ||||||
| 1,997 | Sierra Bancorp | 33,889 | ||||||
| 13,368 | Simmons First National Corp., Class A | 230,598 | ||||||
| 1,252 | Southern First Bancshares, Inc.* | 30,987 | ||||||
| 707 | Southern Missouri Bancorp, Inc. | 27,184 | ||||||
| 3,030 | Southside Bancshares, Inc. | 79,265 | ||||||
| 3,541 | SouthState Corp. | 232,998 | ||||||
| 5,561 | Stellar Bancorp, Inc. | 127,291 | ||||||
| 1,053 | Sterling Bancorp, Inc.* | 5,760 | ||||||
| 2,985 | Stock Yards Bancorp, Inc. | 135,429 | ||||||
| 682 | Summit Financial Group, Inc. | 14,090 | ||||||
| 1,323 | Summit State Bank | 19,991 | ||||||
| 3,187 | Synovus Financial Corp. | 96,407 | ||||||
| 1,409 | Territorial Bancorp, Inc. | 17,303 | ||||||
| 2,562 | Texas Capital Bancshares, Inc.* | 131,943 | ||||||
| 491 | Timberland Bancorp, Inc. | 12,560 | ||||||
| 694 | Tompkins Financial Corp. | 38,656 | ||||||
| 7,395 | Towne Bank | 171,860 | ||||||
| 1,824 | TriCo Bancshares | 60,557 | ||||||
| 2,060 | Triumph Financial, Inc.* | 125,083 | ||||||
| 2,210 | TrustCo. Bank Corp. | 63,228 | ||||||
| 6,543 | Trustmark Corp. | 138,188 | ||||||
| 2,644 | UMB Financial Corp. | 161,020 | ||||||
| 249 | Union Bankshares, Inc. | 5,716 | ||||||
| 450 | United Bancshares, Inc. | 8,437 | ||||||
| 14,933 | United Bankshares, Inc. | 443,062 | ||||||
| 10,718 | United Community Banks, Inc. | 267,843 | ||||||
| 916 | United Security Bancshares | 6,101 | ||||||
| 42 | Unity Bancorp, Inc. | 991 | ||||||
| 2,426 | Univest Financial Corp. | 43,862 | ||||||
| 18,424 | Valley National Bancorp | 142,786 | ||||||
| 1,563 | Veritex Holdings, Inc. | 28,025 | ||||||
| 7,052 | Washington Federal, Inc. | 187,019 | ||||||
| 2,313 | Washington Trust Bancorp, Inc. | 62,012 | ||||||
| 5,051 | WesBanco, Inc. | 129,356 | ||||||
| 1,569 | West BanCorp, Inc. | 28,885 | ||||||
| 1,354 | Westamerica BanCorp | 51,858 | ||||||
| 5,173 | Western New England BanCorp, Inc. | 30,210 | ||||||
| 6,563 | Wintrust Financial Corp. | 476,605 | ||||||
| 7,007 | WSFS Financial Corp. | 264,304 | ||||||
| 35 | WVS Financial Corp. | 431 | ||||||
|
|
|
|||||||
| 19,925,855 | ||||||||
|
|
|
|||||||
| Beverages (0.5%): | ||||||||
| 943 | Boston Beer Co., Inc. (The), Class A* | 290,859 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Beverages, continued | ||||||||
| 706 | Coca-Cola Consolidated, Inc. | $ | 449,030 | |||||
| 2,226 | MGP Ingredients, Inc. | 236,579 | ||||||
| 2,943 | National Beverage Corp.* | 142,294 | ||||||
| 985 | Willamette Valley Vineyards, Inc.* | 5,684 | ||||||
|
|
|
|||||||
| 1,124,446 | ||||||||
|
|
|
|||||||
| Biotechnology (2.8%): | ||||||||
| 1,865 | 4D Molecular Therapeutics, Inc.* | 33,701 | ||||||
| 1,733 | AC Immune SA* | 5,121 | ||||||
| 900 | Adicet Bio, Inc.* | 2,187 | ||||||
| 4,525 | ADMA Biologics, Inc.* | 16,697 | ||||||
| 3,308 | Adverum Biotechnologies, Inc.* | 5,260 | ||||||
| 6,471 | Agios Pharmaceuticals, Inc.* | 183,259 | ||||||
| 2,076 | Akero Therapeutics, Inc.* | 96,928 | ||||||
| 2,035 | Aldeyra Therapeutics, Inc.* | 17,074 | ||||||
| 16,177 | Alkermes plc* | 506,340 | ||||||
| 2,613 | Allogene Therapeutics, Inc.*^ | 12,987 | ||||||
| 4,178 | AnaptysBio, Inc.* | 84,981 | ||||||
| 2,497 | Anika Therapeutics, Inc.* | 64,872 | ||||||
| 2,476 | Arcturus Therapeutics Holdings, Inc.* | 71,012 | ||||||
| 629 | Arcus Biosciences, Inc.* | 12,775 | ||||||
| 7,314 | Arcutis Biotherapeutics, Inc.* | 69,702 | ||||||
| 6,613 | Ardelyx, Inc.* | 22,418 | ||||||
| 4,656 | Atara Biotherapeutics, Inc.* | 7,496 | ||||||
| 2,342 | Atreca, Inc., Class A* | 2,295 | ||||||
| 7,293 | Avid Bioservices, Inc.* | 101,883 | ||||||
| 5,639 | Avidity Biosciences, Inc.* | 62,537 | ||||||
| 1,742 | Avita Medical, Inc.* | 29,631 | ||||||
| 3,255 | Bluebird Bio, Inc.* | 10,709 | ||||||
| 1,454 | Blueprint Medicines Corp.* | 91,893 | ||||||
| 1,034 | CareDx, Inc.* | 8,789 | ||||||
| 142 | CASI Pharmaceuticals Holdings, Inc.* | 354 | ||||||
| 11,050 | Catalyst Pharmaceuticals, Inc.* | 148,512 | ||||||
| 1,100 | Century Therapeutics, Inc.* | 3,476 | ||||||
| 5,276 | Chinook Therapeutics, Inc.* | 202,704 | ||||||
| 1,904 | Cogent Biosciences, Inc.* | 22,543 | ||||||
| 2,225 | Crinetics Pharmaceuticals, Inc.* | 40,095 | ||||||
| 2,607 | CRISPR Therapeutics AG* | 146,357 | ||||||
| 1,634 | Cue Biopharma, Inc.* | 5,964 | ||||||
| 2,020 | Cullinan Oncology, Inc.* | 21,735 | ||||||
| 4,970 | Deciphera Pharmaceuticals, Inc.* | 69,978 | ||||||
| 1,858 | Denali Therapeutics, Inc.* | 54,830 | ||||||
| 5,385 | Dynavax Technologies Corp.* | 69,574 | ||||||
| 944 | Dyne Therapeutics, Inc.* | 10,620 | ||||||
| 1,798 | Eagle Pharmaceuticals, Inc.* | 34,953 | ||||||
| 7,241 | Editas Medicine, Inc.* | 59,593 | ||||||
| 3,775 | Emergent BioSolutions, Inc.* | 27,746 | ||||||
| 2,404 | Enanta Pharmaceuticals, Inc.* | 51,446 | ||||||
| 24,577 | Exelixis, Inc.* | 469,666 | ||||||
| 2,705 | G1 Therapeutics, Inc.* | 6,735 | ||||||
| 2,547 | Gritstone bio, Inc.* | 4,967 | ||||||
| 3,531 | Halozyme Therapeutics, Inc.* | 127,363 | ||||||
| 6,867 | Ideaya Biosciences, Inc.* | 161,375 | ||||||
| 1,919 | IGM Biosciences, Inc.*^ | 17,712 | ||||||
| 592 | ImmuCell Corp.* | 3,019 | ||||||
| 1,574 | Immuneering Corp., Class A* | 15,960 | ||||||
| 1,281 | Immunovant, Inc.* | 24,301 | ||||||
| 2,885 | Intellia Therapeutics, Inc.* | 117,650 | ||||||
| 2,237 | Iovance Biotherapeutics, Inc.* | 15,749 | ||||||
| 14,404 | Ironwood Pharmaceuticals, Inc.* | 153,259 | ||||||
See accompanying notes to the financial statements.
6
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Biotechnology, continued | ||||||||
| 1,631 | iTeos Therapeutics, Inc.* | $ | 21,594 | |||||
| 4,709 | IVERIC bio, Inc.* | 185,252 | ||||||
| 2,004 | KalVista Pharmaceuticals, Inc.* | 18,036 | ||||||
| 514 | Kiniksa Pharmaceuticals, Ltd., Class A* | 7,237 | ||||||
| 2,490 | Krystal Biotech, Inc.* | 292,326 | ||||||
| 6,099 | Kura Oncology, Inc.* | 64,527 | ||||||
| 2,505 | Kymera Therapeutics, Inc.* | 57,590 | ||||||
| 4,768 | Lexicon Pharmaceuticals, Inc.* | 10,919 | ||||||
| 5,865 | MacroGenics, Inc.* | 31,378 | ||||||
| 900 | MediciNova, Inc.* | 2,070 | ||||||
| 2,101 | MeiraGTx Holdings plc* | 14,119 | ||||||
| 1,843 | Mersana Therapeutics, Inc.* | 6,063 | ||||||
| 123 | Mirati Therapeutics, Inc.* | 4,444 | ||||||
| 901 | Morphic Holding, Inc.* | 51,654 | ||||||
| 4,120 | Myriad Genetics, Inc.* | 95,502 | ||||||
| 4,899 | Nurix Therapeutics, Inc.* | 48,941 | ||||||
| 14,857 | PDL BioPharma, Inc.* | 23,958 | ||||||
| 1,808 | PMV Pharmaceuticals, Inc.* | 11,318 | ||||||
| 6,654 | Poseida Therapeutics, Inc.* | 11,711 | ||||||
| 2,083 | Precision BioSciences, Inc.* | 1,096 | ||||||
| 2,098 | Protagonist Therapeutics, Inc.* | 57,947 | ||||||
| 2,444 | Prothena Corp. plc* | 166,876 | ||||||
| 2,162 | RAPT Therapeutics, Inc.* | 40,429 | ||||||
| 5,356 | REGENXBIO, Inc.* | 107,066 | ||||||
| 427 | Repare Therapeutics, Inc.* | 4,518 | ||||||
| 4,849 | Replimune Group, Inc.* | 112,594 | ||||||
| 5,027 | REVOLUTION Medicines, Inc.* | 134,472 | ||||||
| 1,106 | Rhythm Pharmaceuticals, Inc.* | 18,238 | ||||||
| 2,920 | Rocket Pharmaceuticals, Inc.* | 58,020 | ||||||
| 4,519 | Sage Therapeutics, Inc.* | 212,483 | ||||||
| 10,666 | Sangamo Therapeutics, Inc.* | 13,866 | ||||||
| 1,550 | Scholar Rock Holding Corp.* | 11,687 | ||||||
| 9,500 | Spectrum Pharmaceuticals, Inc.* | 9,120 | ||||||
| 4,069 | SpringWorks Therapeutics, Inc.* | 106,689 | ||||||
| 1,779 | Stoke Therapeutics, Inc.* | 18,911 | ||||||
| 1,873 | Sutro Biopharma, Inc.* | 8,709 | ||||||
| 3,311 | Syndax Pharmaceuticals, Inc.* | 69,299 | ||||||
| 446 | Twist Bioscience Corp.* | 9,125 | ||||||
| 7,073 | Vanda Pharmaceuticals, Inc.* | 46,611 | ||||||
| 2,332 | Vaxart, Inc.* | 1,702 | ||||||
| 112 | VBI Vaccines, Inc.* | 368 | ||||||
| 3,248 | Veracyte, Inc.* | 82,727 | ||||||
| 683 | Verastem, Inc.* | 5,082 | ||||||
| 1,521 | Vericel Corp.* | 57,144 | ||||||
| 4,488 | Viking Therapeutics, Inc.* | 72,750 | ||||||
| 1,685 | Voyager Therapeutics, Inc.* | 19,293 | ||||||
| 7,581 | Xencor, Inc.* | 189,298 | ||||||
| 1,840 | Y-mAbs Therapeutics, Inc.* | 12,494 | ||||||
| 784 | Zentalis Pharmaceuticals, Inc.* | 22,117 | ||||||
|
|
|
|||||||
| 6,238,153 | ||||||||
|
|
|
|||||||
| Broadline Retail (0.4%): | ||||||||
| 1,321 | Big Lots, Inc. | 11,664 | ||||||
| 643 | Dillard’s, Inc., Class A | 209,798 | ||||||
| 6,694 | Kohl’s Corp. | 154,297 | ||||||
| 15,078 | Macy’s, Inc. | 242,002 | ||||||
| 3,706 | Nordstrom, Inc.^ | 75,862 | ||||||
| 3,884 | Ollie’s Bargain Outlet Holdings, Inc.* | 225,000 | ||||||
| 16,641 | Qurate Retail, Inc., Class A* | 16,471 | ||||||
|
|
|
|||||||
| 935,094 | ||||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Building Products (1.7%): | ||||||||
| 6,195 | AAON, Inc. | $ | 587,348 | |||||
| 1,827 | American Woodmark Corp.* | 139,528 | ||||||
| 2,517 | Apogee Enterprises, Inc. | 119,482 | ||||||
| 4,753 | Armstrong World Industries, Inc. | 349,155 | ||||||
| 6,559 | AZEK Co., Inc. (The)* | 198,672 | ||||||
| 1,354 | AZZ, Inc. | 58,845 | ||||||
| 1,636 | CSW Industrials, Inc. | 271,887 | ||||||
| 2,928 | Gibraltar Industries, Inc.* | 184,230 | ||||||
| 2,150 | Griffon Corp. | 86,645 | ||||||
| 3,136 | Hayward Holdings, Inc.* | 40,298 | ||||||
| 2,035 | Insteel Industries, Inc. | 63,329 | ||||||
| 1,557 | Janus International Group, Inc.* | 16,598 | ||||||
| 8,072 | JELD-WEN Holding, Inc.* | 141,583 | ||||||
| 1,719 | Masonite International Corp.* | 176,094 | ||||||
| 1,917 | Masterbrand, Inc.* | 22,295 | ||||||
| 6,615 | PGT Innovations, Inc.* | 192,827 | ||||||
| 5,021 | Quanex Building Products Corp. | 134,814 | ||||||
| 8,440 | Resideo Technologies, Inc.* | 149,050 | ||||||
| 1,123 | Simpson Manufacturing Co., Inc. | 155,535 | ||||||
| 2,919 | Trex Co., Inc.* | 191,370 | ||||||
| 4,283 | UFP Industries, Inc. | 415,665 | ||||||
|
|
|
|||||||
| 3,695,250 | ||||||||
|
|
|
|||||||
| Capital Markets (1.9%): | ||||||||
| 4,048 | Affiliated Managers Group, Inc. | 606,755 | ||||||
| 7,920 | Artisan Partners Asset Management, Inc., Class A | 311,335 | ||||||
| 3,768 | AssetMark Financial Holdings, Inc.* | 111,759 | ||||||
| 1,300 | Avantax, Inc.* | 29,094 | ||||||
| 19,971 | BGC Partners, Inc., Class A | 88,471 | ||||||
| 5,063 | Brightsphere Investment Group, Inc. | 106,070 | ||||||
| 4,660 | Cohen & Steers, Inc. | 270,233 | ||||||
| 474 | Diamond Hill Investment Group, Inc. | 81,196 | ||||||
| 3,033 | Donnelley Financial Solutions, Inc.* | 138,092 | ||||||
| 8,105 | Federated Hermes, Inc., Class B | 290,564 | ||||||
| 1,481 | GCM Grosvenor, Inc., Class A | 11,167 | ||||||
| 1,990 | Greenhill & Co., Inc. | 29,153 | ||||||
| 4,296 | Hamilton Lane, Inc., Class A | 343,594 | ||||||
| 211 | Hennessy Advisors, Inc. | 1,494 | ||||||
| 762 | Houlihan Lokey, Inc. | 74,912 | ||||||
| 8,484 | Janus Henderson Group plc | 231,189 | ||||||
| 1,499 | Lazard, Ltd., Class A | 47,968 | ||||||
| 5,313 | Moelis & Co., Class A | 240,891 | ||||||
| 5,470 | Open Lending Corp., Class A* | 57,490 | ||||||
| 853 | Oppenheimer Holdings, Inc., Class A | 34,274 | ||||||
| 1,395 | Piper Sandler Cos. | 180,318 | ||||||
| 2,773 | PJT Partners, Inc., Class A | 193,112 | ||||||
| 3,824 | Safeguard Scientifics, Inc.* | 6,310 | ||||||
| 1,619 | Silvercrest Asset Management Group, Inc., Class A | 32,785 | ||||||
| 2,326 | StepStone Group, Inc., Class A | 57,708 | ||||||
| 813 | Stifel Financial Corp. | 48,512 | ||||||
| 2,021 | StoneX Group, Inc.* | 167,905 | ||||||
| 207 | Value Line, Inc. | 9,501 | ||||||
| 9,443 | Virtu Financial, Inc., Class A | 161,381 | ||||||
| 851 | Virtus Investment Partners, Inc. | 168,047 | ||||||
| 1,478 | Westwood Holdings, Inc. | 18,327 | ||||||
| 20,113 | WisdomTree, Inc. | 137,975 | ||||||
|
|
|
|||||||
| 4,287,582 | ||||||||
|
|
|
|||||||
| Chemicals (3.2%): | ||||||||
| 1,064 | Advanced Emissions Solutions, Inc.* | 1,979 | ||||||
| 2,655 | AdvanSix, Inc. | 92,872 | ||||||
See accompanying notes to the financial statements.
7
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Chemicals, continued | ||||||||
| 2,222 | Alto Ingredients, Inc.* | $ | 6,422 | |||||
| 4,315 | American Vanguard Corp. | 77,109 | ||||||
| 5,009 | Ashland, Inc. | 435,332 | ||||||
| 10,279 | Avient Corp. | 420,411 | ||||||
| 1,699 | Axalta Coating Systems, Ltd.* | 55,744 | ||||||
| 3,457 | Balchem Corp. | 466,038 | ||||||
| 5,834 | Cabot Corp. | 390,236 | ||||||
| 1,284 | Chase Corp. | 155,646 | ||||||
| 14,073 | Chemours Co. (The) | 519,153 | ||||||
| 12,504 | Ecovyst, Inc.* | 143,296 | ||||||
| 26,293 | Element Solutions, Inc. | 504,826 | ||||||
| 7,635 | FutureFuel Corp. | 67,570 | ||||||
| 3,188 | Hawkins, Inc. | 152,036 | ||||||
| 5,783 | HB Fuller Co. | 413,542 | ||||||
| 5,123 | Huntsman Corp. | 138,423 | ||||||
| 3,956 | Ingevity Corp.* | 230,081 | ||||||
| 2,434 | Innospec, Inc. | 244,471 | ||||||
| 2,142 | Intrepid Potash, Inc.* | 48,602 | ||||||
| 2,348 | Koppers Holdings, Inc. | 80,067 | ||||||
| 9,313 | Kronos Worldwide, Inc. | 81,303 | ||||||
| 17,628 | Livent Corp.* | 483,536 | ||||||
| 8,341 | LSB Industries, Inc.* | 82,159 | ||||||
| 6,267 | Mativ Holdings, Inc. | 94,757 | ||||||
| 3,627 | Minerals Technologies, Inc. | 209,242 | ||||||
| 774 | NewMarket Corp. | 311,241 | ||||||
| 1,786 | Northern Technologies International Corp. | 19,128 | ||||||
| 5,770 | Orion SA | 122,439 | ||||||
| 958 | Quaker Chemical Corp. | 186,714 | ||||||
| 5,893 | Rayonier Advanced Materials, Inc.* | 25,222 | ||||||
| 1,867 | Scotts Miracle-Gro Co. (The) | 117,042 | ||||||
| 4,403 | Sensient Technologies Corp. | 313,185 | ||||||
| 2,364 | Stepan Co. | 225,904 | ||||||
| 3,149 | Trinseo PLC | 39,898 | ||||||
| 16,456 | Tronox Holdings plc, Class A | 209,156 | ||||||
|
|
|
|||||||
| 7,164,782 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies (1.8%): | ||||||||
| 7,246 | ABM Industries, Inc. | 309,042 | ||||||
| 13,710 | ACCO Brands Corp. | 71,429 | ||||||
| 675 | Acme United Corp. | 16,834 | ||||||
| 1,238 | ACV Auctions, Inc., Class A* | 21,380 | ||||||
| 5,441 | Brady Corp., Class A | 258,828 | ||||||
| 3,882 | BrightView Holdings, Inc.* | 27,873 | ||||||
| 5,100 | Brink’s Co. (The) | 345,933 | ||||||
| 5,002 | Casella Waste Systems, Inc.* | 452,431 | ||||||
| 4,628 | CECO Environmental Corp.* | 61,830 | ||||||
| 3,051 | Cimpress plc* | 181,473 | ||||||
| 436 | Civeo Corp.* | 8,493 | ||||||
| 325 | CompX International, Inc. | 7,085 | ||||||
| 2,746 | Deluxe Corp. | 48,000 | ||||||
| 3,883 | Ennis, Inc. | 79,136 | ||||||
| 4,634 | Enviri Corp.* | 45,738 | ||||||
| 7,473 | Healthcare Services Group, Inc. | 111,572 | ||||||
| 2,027 | Heritage-Crystal Clean, Inc.* | 76,600 | ||||||
| 4,570 | HNI Corp. | 128,783 | ||||||
| 7,503 | Interface, Inc. | 65,951 | ||||||
| 2,418 | Liquidity Services, Inc.* | 39,897 | ||||||
| 3,522 | Matthews International Corp., Class A | 150,108 | ||||||
| 2,673 | MillerKnoll, Inc. | 39,507 | ||||||
| 319 | Montrose Environmental Group, Inc.* | 13,436 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Commercial Services & Supplies, continued | ||||||||
| 1,759 | MSA Safety, Inc. | $ | 305,996 | |||||
| 2,566 | NL Industries, Inc. | 14,190 | ||||||
| 7,507 | OPENLANE, Inc.* | 114,257 | ||||||
| 2,198 | Perma-Fix Environmental Services, Inc.* | 24,134 | ||||||
| 21,279 | Pitney Bowes, Inc. | 75,328 | ||||||
| 5,379 | Quad Graphics, Inc.* | 20,225 | ||||||
| 2,243 | SP Plus Corp.* | 87,724 | ||||||
| 9,533 | Steelcase, Inc., Class A | 73,499 | ||||||
| 3,917 | Stericycle, Inc.* | 181,905 | ||||||
| 308 | Tetra Tech, Inc. | 50,432 | ||||||
| 1,491 | UniFirst Corp. | 231,120 | ||||||
| 2,033 | Viad Corp.* | 54,647 | ||||||
| 3,364 | Virco Mfg. Corp.* | 14,028 | ||||||
| 1,994 | VSE Corp. | 109,052 | ||||||
|
|
|
|||||||
| 3,917,896 | ||||||||
|
|
|
|||||||
| Communications Equipment (1.0%): | ||||||||
| 1,463 | ADTRAN Holdings, Inc. | 15,406 | ||||||
| 1,444 | Applied Optoelectronics, Inc.* | 8,606 | ||||||
| 1,336 | Aviat Networks, Inc.* | 44,582 | ||||||
| 180 | BK Technologies Corp. | 2,981 | ||||||
| 3,195 | CalAmp Corp.* | 3,387 | ||||||
| 7,080 | Calix, Inc.* | 353,363 | ||||||
| 1,792 | Cambium Networks Corp.* | 27,274 | ||||||
| 588 | Clearfield, Inc.* | 27,842 | ||||||
| 6,730 | CommScope Holding Co., Inc.* | 37,890 | ||||||
| 1,983 | Comtech Telecommunications Corp. | 18,125 | ||||||
| 4,365 | Digi International, Inc.* | 171,937 | ||||||
| 1,222 | DZS, Inc.* | 4,851 | ||||||
| 3,157 | EMCORE Corp.* | 2,376 | ||||||
| 9,501 | Extreme Networks, Inc.* | 247,501 | ||||||
| 13,537 | Harmonic, Inc.* | 218,893 | ||||||
| 6,719 | Infinera Corp.* | 32,453 | ||||||
| 3,767 | KVH Industries, Inc.* | 34,430 | ||||||
| 1,172 | Lantronix, Inc.* | 4,934 | ||||||
| 2,674 | Lumentum Holdings, Inc.* | 151,696 | ||||||
| 3,410 | NETGEAR, Inc.* | 48,286 | ||||||
| 8,073 | NetScout Systems, Inc.* | 249,859 | ||||||
| 2,391 | Network-1 Technologies, Inc. | 5,523 | ||||||
| 131 | Optical Cable Corp.* | 529 | ||||||
| 19,376 | Ribbon Communications, Inc.* | 54,059 | ||||||
| 7,633 | Viasat, Inc.* | 314,938 | ||||||
| 19,090 | Viavi Solutions, Inc.* | 216,290 | ||||||
|
|
|
|||||||
| 2,298,011 | ||||||||
|
|
|
|||||||
| Construction & Engineering (1.8%): | ||||||||
| 3,851 | Ameresco, Inc., Class A* | 187,274 | ||||||
| 17,489 | API Group Corp.* | 476,750 | ||||||
| 5,149 | Arcosa, Inc. | 390,140 | ||||||
| 1,736 | Argan, Inc. | 68,416 | ||||||
| 3,656 | Comfort Systems U.S.A., Inc. | 600,315 | ||||||
| 1,234 | Concrete Pumping Holdings, Inc.* | 9,909 | ||||||
| 2,109 | Construction Partners, Inc., Class A* | 66,202 | ||||||
| 2,514 | Dycom Industries, Inc.* | 285,716 | ||||||
| 1,457 | EMCOR Group, Inc. | 269,224 | ||||||
| 5,634 | Fluor Corp.* | 166,766 | ||||||
| 4,440 | Granite Construction, Inc. | 176,623 | ||||||
| 8,770 | Great Lakes Dredge & Dock Corp.* | 71,563 | ||||||
| 2,825 | IES Holdings, Inc.* | 160,686 | ||||||
| 645 | Limbach Holdings, Inc.* | 15,951 | ||||||
| 6,757 | Matrix Service Co.* | 39,799 | ||||||
See accompanying notes to the financial statements.
8
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Construction & Engineering, continued | ||||||||
| 8,407 | MDU Resources Group, Inc. | $ | 176,043 | |||||
| 1,693 | MYR Group, Inc.* | 234,210 | ||||||
| 1,279 | Northwest Pipe Co.* | 38,677 | ||||||
| 5,203 | Orion Group Holdings, Inc.* | 14,620 | ||||||
| 3,181 | Primoris Services Corp. | 96,925 | ||||||
| 3,473 | Sterling Infrastructure, Inc.* | 193,793 | ||||||
| 2,090 | Tutor Perini Corp.* | 14,944 | ||||||
| 1,223 | Valmont Industries, Inc. | 355,954 | ||||||
|
|
|
|||||||
| 4,110,500 | ||||||||
|
|
|
|||||||
| Construction Materials (0.6%): | ||||||||
| 3,573 | Eagle Materials, Inc. | 666,079 | ||||||
| 2,101 | Knife River Corp.* | 91,393 | ||||||
| 11,217 | Summit Materials, Inc., Class A* | 424,563 | ||||||
| 466 | U.S. Lime & Minerals, Inc. | 97,343 | ||||||
|
|
|
|||||||
| 1,279,378 | ||||||||
|
|
|
|||||||
| Consumer Finance (1.3%): | ||||||||
| 1,070 | Atlanticus Holdings Corp.* | 44,951 | ||||||
| 6,215 | Bread Financial Holdings, Inc. | 195,089 | ||||||
| 1,688 | Consumer Portfolio Services, Inc.*^ | 19,699 | ||||||
| 357 | Credit Acceptance Corp.* | 181,331 | ||||||
| 2,490 | Encore Capital Group, Inc.* | 121,064 | ||||||
| 3,204 | Enova International, Inc.* | 170,197 | ||||||
| 9,163 | EZCORP, Inc., Class A*^ | 76,786 | ||||||
| 4,868 | FirstCash Holdings, Inc. | 454,330 | ||||||
| 6,940 | Green Dot Corp., Class A* | 130,056 | ||||||
| 1,127 | LendingTree, Inc.* | 24,918 | ||||||
| 6,374 | Navient Corp. | 118,429 | ||||||
| 2,638 | Nelnet, Inc., Class A | 254,514 | ||||||
| 1,635 | NerdWallet, Inc., Class A* | 15,385 | ||||||
| 1,556 | Nicholas Financial, Inc.* | 7,803 | ||||||
| 7,867 | OneMain Holdings, Inc. | 343,709 | ||||||
| 964 | Oportun Financial Corp.* | 5,755 | ||||||
| 4,400 | PRA Group, Inc.* | 100,540 | ||||||
| 5,652 | PROG Holdings, Inc.* | 181,542 | ||||||
| 1,735 | Regional Mgmt Corp. | 52,918 | ||||||
| 23,290 | SLM Corp. | 380,093 | ||||||
| 710 | World Acceptance Corp.* | 95,147 | ||||||
|
|
|
|||||||
| 2,974,256 | ||||||||
|
|
|
|||||||
| Consumer Staples Distribution & Retail (0.8%): | ||||||||
| 3,969 | Andersons, Inc. (The) | 183,169 | ||||||
| 4,394 | Chefs’ Warehouse, Inc. (The)* | 157,129 | ||||||
| 5,307 | Grocery Outlet Holding Corp.* | 162,447 | ||||||
| 1,269 | Ingles Markets, Inc., Class A | 104,883 | ||||||
| 5,345 | Natural Grocers by Vitamin Cottage, Inc. | 65,530 | ||||||
| 3,237 | PriceSmart, Inc. | 239,732 | ||||||
| 4,321 | SpartanNash Co. | 97,266 | ||||||
| 9,056 | Sprouts Farmers Market, Inc.* | 332,627 | ||||||
| 7,537 | United Natural Foods, Inc.* | 147,348 | ||||||
| 2,245 | Village Super Market, Inc., Class A | 51,231 | ||||||
| 2,812 | Weis Markets, Inc. | 180,559 | ||||||
|
|
|
|||||||
| 1,721,921 | ||||||||
|
|
|
|||||||
| Containers & Packaging (0.7%): | ||||||||
| 1,906 | Graphic Packaging Holding Co. | 45,801 | ||||||
| 2,564 | Greif, Inc., Class A | 176,634 | ||||||
| 1,767 | Greif, Inc., Class B | 136,501 | ||||||
| 5,975 | Myers Industries, Inc. | 116,094 | ||||||
| 14,774 | O-I Glass, Inc.* | 315,129 | ||||||
| 5,335 | Ranpak Holdings Corp.* | 24,114 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Containers & Packaging, continued | ||||||||
| 7,385 | Silgan Holdings, Inc. | $ | 346,283 | |||||
| 5,968 | Sonoco Products Co. | 352,231 | ||||||
| 4,005 | TriMas Corp. | 110,098 | ||||||
|
|
|
|||||||
| 1,622,885 | ||||||||
|
|
|
|||||||
| Distributors (0.0%†): | ||||||||
| 12 | AMCON Distributing Co. | 2,436 | ||||||
| 1,626 | Educational Development Corp.* | 1,935 | ||||||
| 2,876 | Funko, Inc., Class A* | 31,118 | ||||||
| 1,262 | Weyco Group, Inc. | 33,683 | ||||||
|
|
|
|||||||
| 69,172 | ||||||||
|
|
|
|||||||
| Diversified Consumer Services (1.1%): | ||||||||
| 8,950 | 2U, Inc.* | 36,068 | ||||||
| 2,721 | ADT, Inc. | 16,408 | ||||||
| 5,182 | Adtalem Global Education, Inc.* | 177,950 | ||||||
| 1,366 | American Public Education, Inc.* | 6,475 | ||||||
| 535 | Bright Horizons Family Solutions, Inc.* | 49,461 | ||||||
| 2,816 | Carriage Services, Inc. | 91,435 | ||||||
| 8,867 | Chegg, Inc.* | 78,739 | ||||||
| 5,641 | Coursera, Inc.* | 73,446 | ||||||
| 600 | European Wax Center, Inc., Class A*^ | 11,178 | ||||||
| 9,343 | Frontdoor, Inc.* | 298,042 | ||||||
| 403 | Graham Holdings Co., Class B | 230,306 | ||||||
| 3,498 | Grand Canyon Education, Inc.* | 361,029 | ||||||
| 11,643 | H&R Block, Inc. | 371,062 | ||||||
| 4,565 | Laureate Education, Inc. | 55,191 | ||||||
| 7,411 | OneSpaWorld Holdings, Ltd.* | 89,673 | ||||||
| 8,354 | Perdoceo Education Corp.* | 102,504 | ||||||
| 2,583 | Rover Group, Inc.* | 12,683 | ||||||
| 2,753 | Strategic Education, Inc. | 186,763 | ||||||
| 4,771 | Stride, Inc.* | 177,624 | ||||||
| 7,236 | Universal Technical Institute, Inc.* | 50,001 | ||||||
|
|
|
|||||||
| 2,476,038 | ||||||||
|
|
|
|||||||
| Diversified Telecommunication Services (0.5%): | ||||||||
| 2,223 | Anterix, Inc.* | 70,447 | ||||||
| 1,667 | ATN International, Inc. | 61,012 | ||||||
| 1,565 | Bandwidth, Inc., Class A* | 21,409 | ||||||
| 4,328 | Cogent Communications Holdings, Inc. | 291,231 | ||||||
| 5,491 | Consolidated Communications Holdings, Inc.* | 21,030 | ||||||
| 4,493 | EchoStar Corp., Class A* | 77,909 | ||||||
| 2,807 | IDT Corp.* | 72,561 | ||||||
| 4,964 | Iridium Communications, Inc. | 308,364 | ||||||
| 5,815 | Liberty Latin America, Ltd., Class A* | 50,881 | ||||||
| 19,361 | Liberty Latin America, Ltd., Class C* | 166,892 | ||||||
| 1,745 | Ooma, Inc.* | 26,123 | ||||||
|
|
|
|||||||
| 1,167,859 | ||||||||
|
|
|
|||||||
| Electric Utilities (1.1%): | ||||||||
| 6,116 | ALLETE, Inc. | 354,545 | ||||||
| 3,043 | Genie Energy, Ltd., Class B | 43,028 | ||||||
| 10,289 | Hawaiian Electric Industries, Inc. | 372,462 | ||||||
| 3,498 | IDACORP, Inc. | 358,895 | ||||||
| 3,540 | MGE Energy, Inc. | 280,049 | ||||||
| 4,490 | Otter Tail Corp. | 354,530 | ||||||
| 8,948 | PNM Resources, Inc. | 403,555 | ||||||
| 6,533 | Portland General Electric Co. | 305,940 | ||||||
| 513 | Via Renewables, Inc. | 3,571 | ||||||
|
|
|
|||||||
| 2,476,575 | ||||||||
|
|
|
|||||||
See accompanying notes to the financial statements.
9
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Electrical Equipment (1.1%): | ||||||||
| 2,221 | American Superconductor Corp.* | $ | 13,903 | |||||
| 3,541 | Atkore, Inc.* | 552,184 | ||||||
| 2,024 | Encore Wire Corp. | 376,322 | ||||||
| 3,995 | EnerSys | 433,537 | ||||||
| 411 | Espey Mfg. & Electronics Corp. | 6,882 | ||||||
| 19,087 | GrafTech International, Ltd. | 96,199 | ||||||
| 6,028 | LSI Industries, Inc. | 75,712 | ||||||
| 2,523 | nVent Electric plc | 130,363 | ||||||
| 1,123 | Powell Industries, Inc. | 68,043 | ||||||
| 576 | Preformed Line Products Co. | 89,914 | ||||||
| 75 | Servotronics, Inc.* | 975 | ||||||
| 3,914 | Shoals Technologies Group, Inc., Class A* | 100,042 | ||||||
| 7,686 | Sunrun, Inc.* | 137,272 | ||||||
| 4,719 | Thermon Group Holdings, Inc.* | 125,525 | ||||||
| 1,832 | TPI Composites, Inc.* | 18,998 | ||||||
| 3,104 | Ultralife Corp.* | 15,023 | ||||||
| 2,185 | Vicor Corp.* | 117,990 | ||||||
|
|
|
|||||||
| 2,358,884 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components (3.6%): | ||||||||
| 4,239 | Advanced Energy Industries, Inc. | 472,437 | ||||||
| 2,539 | Allied Motion Technologies, Inc. | 101,408 | ||||||
| 6,544 | Arlo Technologies, Inc.* | 71,395 | ||||||
| 9,565 | Avnet, Inc. | 482,554 | ||||||
| 3,258 | Badger Meter, Inc. | 480,750 | ||||||
| 254 | Bel Fuse, Inc., Class A | 14,803 | ||||||
| 740 | Bel Fuse, Inc., Class B | 42,483 | ||||||
| 4,849 | Belden, Inc. | 463,807 | ||||||
| 3,971 | Benchmark Electronics, Inc. | 102,571 | ||||||
| 311 | Climb Global Solutions, Inc. | 14,884 | ||||||
| 1,324 | Coherent Corp.* | 67,497 | ||||||
| 3,574 | CTS Corp. | 152,360 | ||||||
| 6,442 | Daktronics, Inc.* | 41,229 | ||||||
| 1,365 | Data I/O Corp.* | 5,856 | ||||||
| 1,751 | ePlus, Inc.* | 98,581 | ||||||
| 3,624 | Fabrinet* | 470,685 | ||||||
| 2,068 | FARO Technologies, Inc.* | 33,502 | ||||||
| 640 | Frequency Electronics, Inc. | 4,237 | ||||||
| 865 | Identiv, Inc.* | 7,275 | ||||||
| 3,311 | Insight Enterprises, Inc.* | 484,532 | ||||||
| 2,298 | IPG Photonics Corp.* | 312,114 | ||||||
| 4,540 | Itron, Inc.* | 327,334 | ||||||
| 3,798 | Kimball Electronics, Inc.* | 104,939 | ||||||
| 8,986 | Knowles Corp.* | 162,287 | ||||||
| 439 | Littelfuse, Inc. | 127,885 | ||||||
| 1,600 | Luna Innovations, Inc.*^ | 14,592 | ||||||
| 4,257 | Methode Electronics, Inc., Class A | 142,695 | ||||||
| 1,358 | Mirion Technologies, Inc.* | 11,475 | ||||||
| 4,166 | Napco Security Technologies, Inc. | 144,352 | ||||||
| 3,997 | National Instruments Corp. | 229,428 | ||||||
| 3,256 | nLight, Inc.* | 50,207 | ||||||
| 3,546 | Novanta, Inc.* | 652,819 | ||||||
| 1,855 | OSI Systems, Inc.* | 218,575 | ||||||
| 1,684 | PAR Technology Corp.*^ | 55,454 | ||||||
| 2,619 | PC Connection, Inc. | 118,117 | ||||||
| 2,630 | Plexus Corp.* | 258,371 | ||||||
| 1,927 | Rogers Corp.* | 312,039 | ||||||
| 6,819 | Sanmina Corp.* | 410,981 | ||||||
| 3,760 | ScanSource, Inc.* | 111,146 | ||||||
| 3,056 | SmartRent, Inc.*^ | 11,704 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Electronic Equipment, Instruments & Components, continued | ||||||||
| 10,514 | TTM Technologies, Inc.* | $ | 146,145 | |||||
| 11,813 | Vishay Intertechnology, Inc. | 347,302 | ||||||
| 1,974 | Vishay Precision Group, Inc.* | 73,334 | ||||||
| 5,235 | Vontier Corp. | 168,619 | ||||||
| 3,952 | Wireless Telecom Group, Inc.* | 8,299 | ||||||
|
|
|
|||||||
| 8,133,059 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services (2.3%): | ||||||||
| 18,466 | Archrock, Inc. | 189,277 | ||||||
| 4,375 | Bristow Group, Inc.* | 125,694 | ||||||
| 6,123 | Cactus, Inc., Class A | 259,125 | ||||||
| 12,978 | ChampionX Corp. | 402,837 | ||||||
| 5,252 | Core Laboratories, Inc. | 122,109 | ||||||
| 653 | DMC Global, Inc.* | 11,597 | ||||||
| 5,377 | Dril-Quip, Inc.* | 125,123 | ||||||
| 1,226 | Expro Group Holdings NV* | 21,725 | ||||||
| 56 | Expro Group Holdings NV* | 992 | ||||||
| 782 | Forum Energy Technologies, Inc.* | 20,011 | ||||||
| 1,260 | Geospace Technologies Corp.* | 9,790 | ||||||
| 2,641 | Gulf Island Fabrication, Inc.* | 8,583 | ||||||
| 15,555 | Helix Energy Solutions Group, Inc.* | 114,796 | ||||||
| 11,106 | Helmerich & Payne, Inc. | 393,708 | ||||||
| 12,218 | Liberty Energy, Inc., Class A | 163,355 | ||||||
| 595 | Mammoth Energy Services, Inc.* | 2,874 | ||||||
| 1,083 | Nabors Industries, Ltd.* | 100,752 | ||||||
| 6,878 | National Energy Services Reunited Corp.* | 20,290 | ||||||
| 1,299 | Natural Gas Services Group* | 12,860 | ||||||
| 17,842 | Newpark Resources, Inc.* | 93,314 | ||||||
| 23,813 | NexTier Oilfield Solutions, Inc.* | 212,888 | ||||||
| 1,750 | Nine Energy Service, Inc.* | 6,703 | ||||||
| 541 | Noble Corp. plc* | 22,349 | ||||||
| 888 | NOV, Inc. | 14,244 | ||||||
| 12,312 | Oceaneering International, Inc.* | 230,234 | ||||||
| 6,786 | Oil States International, Inc.* | 50,691 | ||||||
| 21,240 | Patterson-UTI Energy, Inc. | 254,243 | ||||||
| 14,685 | ProPetro Holding Corp.* | 121,004 | ||||||
| 20,859 | RPC, Inc. | 149,142 | ||||||
| 1,598 | SEACOR Marine Holdings, Inc.* | 18,265 | ||||||
| 9,033 | Select Water Solutions, Inc. | 73,167 | ||||||
| 1,537 | Solaris Oilfield Infrastructure, Inc., Class A | 12,803 | ||||||
| 36,026 | TechnipFMC plc* | 598,752 | ||||||
| 5,480 | TETRA Technologies, Inc.* | 18,522 | ||||||
| 3,988 | Tidewater, Inc.* | 221,095 | ||||||
| 31,786 | Transocean, Ltd.* | 222,820 | ||||||
| 8,704 | US Silica Holdings, Inc.* | 105,580 | ||||||
| 3,853 | Valaris, Ltd.* | 242,469 | ||||||
| 3,663 | Weatherford International plc* | 243,296 | ||||||
|
|
|
|||||||
| 5,017,079 | ||||||||
|
|
|
|||||||
| Entertainment (0.5%): | ||||||||
| 7,111 | Cinemark Holdings, Inc.* | 117,331 | ||||||
| 2,527 | FG Group Holdings, Inc.* | 4,852 | ||||||
| 6,033 | IMAX Corp.* | 102,501 | ||||||
| 1,562 | Liberty Media Corp.-Liberty Braves, Class A* | 63,917 | ||||||
| 4,252 | Liberty Media Corp.-Liberty Braves, Class C* | 168,464 | ||||||
| 7,700 | Lions Gate Entertainment Corp., Class A* | 67,991 | ||||||
| 16,442 | Lions Gate Entertainment Corp., Class B* | 137,291 | ||||||
| 1,260 | Madison Square Garden Entertainment Corp.* | 42,361 | ||||||
| 460 | Madison Square Garden Sports Corp., Class A | 86,503 | ||||||
| 1,570 | Marcus Corp. (The) | 23,283 | ||||||
| 2,680 | Playstudios, Inc.* | 13,159 | ||||||
See accompanying notes to the financial statements.
10
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Entertainment, continued | ||||||||
| 4,940 | Playtika Holding Corp.* | $ | 57,304 | |||||
| 2,715 | Reading International, Inc., Class A* | 7,195 | ||||||
| 1,376 | Sciplay Corp., Class A* | 27,080 | ||||||
| 1,660 | Sphere Entertainment Co.* | 45,467 | ||||||
| 1,833 | World Wrestling Entertainment, Inc., Class A | 198,825 | ||||||
|
|
|
|||||||
| 1,163,524 | ||||||||
|
|
|
|||||||
| Financial Services (1.8%): | ||||||||
| 1,888 | Acacia Research Corp.* | 7,854 | ||||||
| 500 | Alerus Financial Corp. | 8,990 | ||||||
| 2,519 | A-Mark Precious Metals, Inc. | 94,299 | ||||||
| 9,859 | AvidXchange Holdings, Inc.* | 102,336 | ||||||
| 622 | BM Technologies, Inc.* | 1,854 | ||||||
| 3,167 | Cannae Holdings, Inc.* | 64,005 | ||||||
| 4,597 | Cantaloupe, Inc.* | 36,592 | ||||||
| 1,959 | Cass Information Systems, Inc. | 75,970 | ||||||
| 9,815 | Essent Group, Ltd. | 459,342 | ||||||
| 3,213 | Euronet Worldwide, Inc.* | 377,110 | ||||||
| 5,750 | EVERTEC, Inc. | 211,773 | ||||||
| 1,261 | Federal Agricultural Mortgage Corp. | 181,256 | ||||||
| 5,390 | Flywire Corp.* | 167,306 | ||||||
| 2,986 | I3 Verticals, Inc., Class A* | 68,260 | ||||||
| 2,738 | International Money Express, Inc.* | 67,163 | ||||||
| 13,088 | Marqeta, Inc., Class A* | 63,739 | ||||||
| 4,042 | Merchants Bancorp | 103,394 | ||||||
| 13,325 | MGIC Investment Corp. | 210,402 | ||||||
| 3,941 | Mr Cooper Group, Inc.* | 199,572 | ||||||
| 9,566 | NMI Holdings, Inc., Class A* | 246,994 | ||||||
| 2,237 | Ocwen Financial Corp.* | 67,043 | ||||||
| 2,338 | Paysafe, Ltd.* | 23,590 | ||||||
| 862 | Paysign, Inc.* | 2,112 | ||||||
| 2,346 | PennyMac Financial Services, Inc. | 164,947 | ||||||
| 4,780 | Radian Group, Inc. | 120,838 | ||||||
| 622 | Remitly Global, Inc.* | 11,706 | ||||||
| 4,573 | Repay Holdings Corp.* | 35,807 | ||||||
| 3,589 | Security National Financial Corp., Class A* | 31,834 | ||||||
| 3,309 | Shift4 Payments, Inc., Class A* | 224,714 | ||||||
| 9,668 | TFS Financial Corp. | 121,527 | ||||||
| 2,577 | Walker & Dunlop, Inc. | 203,815 | ||||||
| 1,247 | Waterstone Financial, Inc. | 18,069 | ||||||
| 13,836 | Western Union Co. (The) | 162,296 | ||||||
|
|
|
|||||||
| 3,936,509 | ||||||||
|
|
|
|||||||
| Food Products (1.8%): | ||||||||
| 444 | Alico, Inc. | 11,304 | ||||||
| 4,537 | B&G Foods, Inc.^ | 63,155 | ||||||
| 2,392 | Calavo Growers, Inc. | 69,416 | ||||||
| 4,138 | Cal-Maine Foods, Inc. | 186,210 | ||||||
| 1,318 | Coffee Holding Co., Inc.* | 1,832 | ||||||
| 2,411 | Farmer Brothers Co.* | 6,679 | ||||||
| 13,296 | Flowers Foods, Inc. | 330,805 | ||||||
| 4,536 | Fresh Del Monte Produce, Inc. | 116,621 | ||||||
| 2,131 | Freshpet, Inc.* | 140,241 | ||||||
| 7,444 | Hain Celestial Group, Inc. (The)* | 93,124 | ||||||
| 12,276 | Hostess Brands, Inc.* | 310,828 | ||||||
| 1,245 | Ingredion, Inc. | 131,908 | ||||||
| 2,003 | J & J Snack Foods Corp. | 317,195 | ||||||
| 987 | John B Sanfilippo & Son, Inc. | 115,746 | ||||||
| 2,667 | Lancaster Colony Corp. | 536,307 | ||||||
| 3,838 | Limoneira Co. | 59,719 | ||||||
| 3,161 | Pilgrim’s Pride Corp.* | 67,930 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Food Products, continued | ||||||||
| 3,923 | Post Holdings, Inc.* | $ | 339,928 | |||||
| 1,220 | Rocky Mountain Chocolate Factory, Inc.* | 6,600 | ||||||
| 83 | Seaboard Corp. | 295,540 | ||||||
| 708 | Seneca Foods Corp., Class A* | 23,137 | ||||||
| 12 | Seneca Foods Corp., Class B* | 382 | ||||||
| 9,319 | Simply Good Foods Co. (The)* | 340,982 | ||||||
| 4,502 | Tootsie Roll Industries, Inc. | 159,416 | ||||||
| 4,199 | TreeHouse Foods, Inc.* | 211,546 | ||||||
| 5,157 | Vital Farms, Inc.* | 61,832 | ||||||
|
|
|
|||||||
| 3,998,383 | ||||||||
|
|
|
|||||||
| Gas Utilities (0.9%): | ||||||||
| 2,015 | Chesapeake Utilities Corp. | 239,785 | ||||||
| 4,076 | National Fuel Gas Co. | 209,343 | ||||||
| 9,694 | New Jersey Resources Corp. | 457,557 | ||||||
| 3,221 | Northwest Natural Holding Co. | 138,664 | ||||||
| 5,141 | ONE Gas, Inc. | 394,880 | ||||||
| 873 | RGC Resources, Inc. | 17,486 | ||||||
| 3,356 | Southwest Gas Holdings, Inc. | 213,609 | ||||||
| 5,201 | Spire, Inc. | 329,952 | ||||||
| 2,733 | UGI Corp. | 73,709 | ||||||
|
|
|
|||||||
| 2,074,985 | ||||||||
|
|
|
|||||||
| Ground Transportation (0.8%): | ||||||||
| 2,893 | ArcBest Corp. | 285,828 | ||||||
| 2,533 | Covenant Logistics Group, Inc. | 111,021 | ||||||
| 2,131 | Daseke, Inc.* | 15,194 | ||||||
| 4,045 | Heartland Express, Inc. | 66,378 | ||||||
| 4,262 | Hertz Global Holdings, Inc.* | 78,378 | ||||||
| 1,562 | Landstar System, Inc. | 300,748 | ||||||
| 5,246 | Marten Transport, Ltd. | 112,789 | ||||||
| 1,698 | PAM Transportation Services, Inc. | 45,455 | ||||||
| 774 | RXO, Inc.* | 17,547 | ||||||
| 1,507 | Ryder System, Inc. | 127,779 | ||||||
| 526 | Saia, Inc.* | 180,108 | ||||||
| 4,258 | Schneider National, Inc., Class B | 122,290 | ||||||
| 1,009 | U.S. Xpress Enterprises, Inc., Class A* | 6,195 | ||||||
| 2,327 | Universal Logistics Holdings, Inc. | 67,041 | ||||||
| 5,665 | Werner Enterprises, Inc. | 250,280 | ||||||
| 774 | XPO, Inc.* | 45,666 | ||||||
| 2,752 | Yellow Corp.* | 1,895 | ||||||
|
|
|
|||||||
| 1,834,592 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies (2.9%): | ||||||||
| 10,348 | Accuray, Inc.* | 40,047 | ||||||
| 2,365 | AngioDynamics, Inc.* | 24,667 | ||||||
| 2,193 | Apyx Medical Corp.* | 11,031 | ||||||
| 5,282 | Artivion, Inc.* | 90,798 | ||||||
| 5,423 | AtriCure, Inc.* | 267,679 | ||||||
| 141 | Atrion Corp. | 79,764 | ||||||
| 5,513 | Avanos Medical, Inc.* | 140,912 | ||||||
| 2,841 | Axogen, Inc.* | 25,938 | ||||||
| 3,882 | Axonics, Inc.* | 195,925 | ||||||
| 3,041 | CONMED Corp. | 413,241 | ||||||
| 2,081 | CytoSorbents Corp.* | 7,471 | ||||||
| 1,118 | Elctromed, Inc.* | 11,974 | ||||||
| 2,424 | Embecta Corp. | 52,358 | ||||||
| 3,281 | Enovis Corp.* | 210,378 | ||||||
| 6,467 | Envista Holdings Corp.* | 218,843 | ||||||
| 427 | FONAR Corp.* | 7,302 | ||||||
| 4,496 | Glaukos Corp.* | 320,160 | ||||||
See accompanying notes to the financial statements.
11
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Health Care Equipment & Supplies, continued | ||||||||
| 4,250 | Globus Medical, Inc.* | $ | 253,045 | |||||
| 3,641 | Haemonetics Corp.* | 309,995 | ||||||
| 1,134 | Inari Medical, Inc.* | 65,931 | ||||||
| 1,790 | Inogen, Inc.* | 20,675 | ||||||
| 3,470 | Integer Holdings Corp.* | 307,477 | ||||||
| 8,077 | Integra LifeSciences Holdings Corp.* | 332,207 | ||||||
| 1,681 | iRadimed Corp. | 80,251 | ||||||
| 2,006 | IRIDEX Corp.* | 4,353 | ||||||
| 249 | Kewaunee Scientific Corp.* | 3,857 | ||||||
| 5,751 | Lantheus Holdings, Inc.* | 482,624 | ||||||
| 2,646 | LeMaitre Vascular, Inc. | 178,023 | ||||||
| 1,127 | LENSAR, Inc.* | 4,790 | ||||||
| 5,632 | LivaNova plc* | 289,654 | ||||||
| 5,441 | Merit Medical Systems, Inc.* | 455,085 | ||||||
| 522 | Mesa Laboratories, Inc. | 67,077 | ||||||
| 2,684 | NuVasive, Inc.* | 111,628 | ||||||
| 4,344 | Omnicell, Inc.* | 320,022 | ||||||
| 11,694 | OraSure Technologies, Inc.* | 58,587 | ||||||
| 4,817 | Orthofix Medical, Inc.* | 86,995 | ||||||
| 2,663 | OrthoPediatrics Corp.* | 116,773 | ||||||
| 1,571 | Pulmonx Corp.* | 20,596 | ||||||
| 400 | Semler Scientific, Inc.* | 10,496 | ||||||
| 1,010 | SI-BONE, Inc.* | 27,250 | ||||||
| 3,128 | Sight Sciences, Inc.* | 25,900 | ||||||
| 337 | Silk Road Medical, Inc.* | 10,949 | ||||||
| 4,332 | STAAR Surgical Co.* | 227,733 | ||||||
| 879 | Surmodics, Inc.* | 27,521 | ||||||
| 1,169 | Tactile Systems Technology, Inc.* | 29,143 | ||||||
| 2,912 | Tandem Diabetes Care, Inc.* | 71,460 | ||||||
| 743 | TransMedics Group, Inc.* | 62,397 | ||||||
| 671 | UFP Technologies, Inc.* | 130,073 | ||||||
| 821 | Utah Medical Products, Inc. | 76,517 | ||||||
| 4,899 | Varex Imaging Corp.* | 115,469 | ||||||
| 8,600 | ViewRay, Inc.* | 3,029 | ||||||
| 755 | Zynex, Inc.*^ | 7,240 | ||||||
|
|
|
|||||||
| 6,513,310 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services (3.1%): | ||||||||
| 644 | Acadia Healthcare Co., Inc.* | 51,288 | ||||||
| 6,905 | Accolade, Inc.* | 93,010 | ||||||
| 2,021 | Addus HomeCare Corp.* | 187,347 | ||||||
| 2,135 | Amedisys, Inc.* | 195,224 | ||||||
| 3,828 | AMN Healthcare Services, Inc.* | 417,711 | ||||||
| 6,816 | Apollo Medical Holdings, Inc.* | 215,386 | ||||||
| 19,092 | Brookdale Senior Living, Inc.* | 80,568 | ||||||
| 1,638 | Castle Biosciences, Inc.* | 22,473 | ||||||
| 17,271 | Community Health Systems, Inc.* | 75,992 | ||||||
| 1,549 | CorVel Corp.* | 299,732 | ||||||
| 4,391 | Cross Country Healthcare, Inc.* | 123,299 | ||||||
| 5,272 | Encompass Health Corp. | 356,967 | ||||||
| 2,372 | Enhabit, Inc.* | 27,278 | ||||||
| 5,739 | Ensign Group, Inc. (The) | 547,845 | ||||||
| 7,407 | Enzo Biochem, Inc.* | 13,629 | ||||||
| 774 | Fulgent Genetics, Inc.* | 28,661 | ||||||
| 5,537 | HealthEquity, Inc.* | 349,606 | ||||||
| 2,914 | Hims & Hers Health, Inc.* | 27,392 | ||||||
| 1,999 | InfuSystem Holdings, Inc.* | 19,250 | ||||||
| 1,190 | Joint Corp. (The)* | 16,065 | ||||||
| 1,339 | ModivCare, Inc.* | 60,536 | ||||||
| 1,428 | National Healthcare Corp. | 88,279 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Health Care Providers & Services, continued | ||||||||
| 3,235 | National Research Corp. | $ | 140,755 | |||||
| 11,926 | NeoGenomics, Inc.* | 191,651 | ||||||
| 314 | OmniAb Operations, Inc.*(a)(b) | — | ||||||
| 314 | OmniAb Operations, Inc.*(a)(b) | — | ||||||
| 26,516 | OPKO Health, Inc.* | 57,540 | ||||||
| 18,969 | Option Care Health, Inc.* | 616,303 | ||||||
| 7,875 | Owens & Minor, Inc.* | 149,940 | ||||||
| 10,254 | Patterson Cos., Inc. | 341,048 | ||||||
| 10,007 | Pediatrix Medical Group, Inc.* | 142,200 | ||||||
| 3,565 | Pennant Group, Inc. (The)* | 43,778 | ||||||
| 3,801 | PetIQ, Inc.* | 57,661 | ||||||
| 11,273 | Premier, Inc., Class A | 311,811 | ||||||
| 429 | Privia Health Group, Inc.* | 11,201 | ||||||
| 2,623 | Progyny, Inc.* | 103,189 | ||||||
| 1,080 | Psychemedics Corp. | 4,925 | ||||||
| 5,839 | RadNet, Inc.* | 190,468 | ||||||
| 13,065 | Select Medical Holdings Corp. | 416,251 | ||||||
| 10,156 | Surgery Partners, Inc.* | 456,919 | ||||||
| 2,123 | Tenet Healthcare Corp.* | 172,770 | ||||||
| 1,473 | US Physical Therapy, Inc. | 178,808 | ||||||
|
|
|
|||||||
| 6,884,756 | ||||||||
|
|
|
|||||||
| Health Care Technology (0.6%): | ||||||||
| 7,056 | Certara, Inc.* | 128,490 | ||||||
| 1,545 | Computer Programs and Systems, Inc.* | 38,146 | ||||||
| 748 | Doximity, Inc., Class A* | 25,447 | ||||||
| 10,137 | Evolent Health, Inc., Class A* | 307,151 | ||||||
| 3,819 | GoodRx Holdings, Inc., Class A* | 21,081 | ||||||
| 6,108 | Health Catalyst, Inc.* | 76,350 | ||||||
| 3,597 | HealthStream, Inc. | 88,342 | ||||||
| 1,239 | iCAD, Inc.* | 2,020 | ||||||
| 8,255 | NextGen Healthcare, Inc.* | 133,896 | ||||||
| 445 | OptimizeRx Corp.* | 6,359 | ||||||
| 2,741 | Schrodinger, Inc.* | 136,831 | ||||||
| 1,580 | Simulations Plus, Inc. | 68,461 | ||||||
| 7,069 | Teladoc Health, Inc.* | 178,987 | ||||||
| 13,851 | Veradigm, Inc.* | 174,523 | ||||||
|
|
|
|||||||
| 1,386,084 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure (2.6%): | ||||||||
| 1,219 | Accel Entertainment, Inc.* | 12,873 | ||||||
| 2,682 | Bally’s Corp.* | 41,732 | ||||||
| 3 | Biglari Holdings, Inc., Class A* | 2,850 | ||||||
| 319 | Biglari Holdings, Inc., Class B* | 62,888 | ||||||
| 3,650 | BJ’s Restaurants, Inc.* | 116,070 | ||||||
| 9,701 | Bloomin’ Brands, Inc. | 260,860 | ||||||
| 759 | Bluegreen Vacations Holding Corp. | 27,058 | ||||||
| 5,467 | Brinker International, Inc.* | 200,092 | ||||||
| 4,497 | Carrols Restaurant Group, Inc.* | 22,665 | ||||||
| 700 | Century Casinos, Inc.* | 4,970 | ||||||
| 6,222 | Cheesecake Factory, Inc. (The) | 215,157 | ||||||
| 1,131 | Choice Hotels International, Inc. | 132,915 | ||||||
| 2,823 | Chuy’s Holdings, Inc.* | 115,235 | ||||||
| 2,074 | Cracker Barrel Old Country Store, Inc. | 193,255 | ||||||
| 3,965 | Dave & Buster’s Entertainment, Inc.* | 176,680 | ||||||
| 6,787 | Denny’s Corp.* | 83,616 | ||||||
| 602 | Dine Brands Global, Inc. | 34,934 | ||||||
| 5,001 | El Pollo Loco Holdings, Inc. | 43,859 | ||||||
| 2,608 | Fiesta Restaurant Group, Inc.* | 20,708 | ||||||
| 100 | Flanigan’s Enterprises, Inc. | 3,065 | ||||||
| 2,709 | Full House Resorts, Inc.* | 18,150 | ||||||
See accompanying notes to the financial statements.
12
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Hotels, Restaurants & Leisure, continued | ||||||||
| 4,240 | Hilton Grand Vacations, Inc.* | $ | 192,666 | |||||
| 1,648 | Inspired Entertainment, Inc.* | 24,242 | ||||||
| 5,547 | International Game Technology plc | 176,894 | ||||||
| 2,124 | Jack in the Box, Inc. | 207,154 | ||||||
| 3,042 | Light & Wonder, Inc., Class A* | 209,168 | ||||||
| 2,879 | Marriott Vacations Worldwide Corp. | 353,311 | ||||||
| 538 | Nathans Famous, Inc. | 42,255 | ||||||
| 1,669 | Noodles & Co.* | 5,641 | ||||||
| 1,507 | ONE Group Hospitality, Inc. (The)* | 11,031 | ||||||
| 3,557 | Papa John’s International, Inc. | 262,613 | ||||||
| 809 | Penn Entertainment, Inc.* | 19,440 | ||||||
| 555 | Planet Fitness, Inc., Class A* | 37,429 | ||||||
| 9,502 | Playa Hotels & Resorts NV* | 77,346 | ||||||
| 1,540 | PlayAGS, Inc.* | 8,701 | ||||||
| 897 | Potbelly Corp.* | 7,876 | ||||||
| 300 | RCI Hospitality Holdings, Inc. | 22,797 | ||||||
| 1,368 | Red Robin Gourmet Burgers, Inc.* | 18,919 | ||||||
| 662 | Red Rock Resorts, Inc., Class A | 30,968 | ||||||
| 7,273 | SeaWorld Entertainment, Inc.* | 407,361 | ||||||
| 3,298 | Shake Shack, Inc., Class A* | 256,321 | ||||||
| 2,405 | Six Flags Entertainment Corp.* | 62,482 | ||||||
| 1,870 | Soho House & Co., Inc.* | 10,135 | ||||||
| 2,373 | Texas Roadhouse, Inc. | 266,440 | ||||||
| 8,001 | Travel + Leisure Co. | 322,760 | ||||||
| 19,975 | Wendy’s Co. (The) | 434,456 | ||||||
| 1,655 | Wingstop, Inc. | 331,265 | ||||||
| 2,164 | Wyndham Hotels & Resorts, Inc. | 148,386 | ||||||
|
|
|
|||||||
| 5,737,689 | ||||||||
|
|
|
|||||||
| Household Durables (2.5%): | ||||||||
| 608 | Bassett Furniture Industries, Inc. | 9,144 | ||||||
| 3,160 | Beazer Homes U.S.A., Inc.* | 89,396 | ||||||
| 969 | Cavco Industries, Inc.* | 285,855 | ||||||
| 3,620 | Century Communities, Inc. | 277,364 | ||||||
| 3,255 | Ethan Allen Interiors, Inc. | 92,051 | ||||||
| 820 | Flexsteel Industries, Inc. | 16,162 | ||||||
| 7,358 | GoPro, Inc., Class A* | 30,462 | ||||||
| 1,624 | Green Brick Partners, Inc.* | 92,243 | ||||||
| 2,890 | Helen of Troy, Ltd.* | 312,178 | ||||||
| 670 | Hooker Furnishings Corp. | 12,502 | ||||||
| 347 | Hovnanian Enterprises, Inc., Class A* | 34,426 | ||||||
| 3,018 | Installed Building Products, Inc. | 423,003 | ||||||
| 1,482 | iRobot Corp.* | 67,061 | ||||||
| 4,791 | KB Home | 247,743 | ||||||
| 1,138 | Koss Corp.* | 4,211 | ||||||
| 5,377 | La-Z-Boy, Inc. | 153,997 | ||||||
| 1,413 | Legacy Housing Corp.* | 32,768 | ||||||
| 6,614 | Leggett & Platt, Inc. | 195,907 | ||||||
| 2,144 | LGI Homes, Inc.* | 289,204 | ||||||
| 2,522 | Lifetime Brands, Inc. | 14,249 | ||||||
| 625 | Lovesac Co. (The)* | 16,844 | ||||||
| 1,513 | M/I Homes, Inc.* | 131,919 | ||||||
| 6,707 | MDC Holdings, Inc. | 313,686 | ||||||
| 1,818 | Meritage Homes Corp. | 258,647 | ||||||
| 6,102 | Newell Brands, Inc. | 53,087 | ||||||
| 9,527 | Purple Innovation, Inc.^ | 26,485 | ||||||
| 5,951 | Skyline Champion Corp.* | 389,493 | ||||||
| 9,581 | Sonos, Inc.* | 156,458 | ||||||
| 12,185 | Taylor Morrison Home Corp., Class A* | 594,263 | ||||||
| 4,483 | Tempur Sealy International, Inc. | 179,634 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Household Durables, continued | ||||||||
| 1,904 | Toll Brothers, Inc. | $ | 150,549 | |||||
| 872 | TopBuild Corp.* | 231,969 | ||||||
| 10,863 | Tri Pointe Homes, Inc.* | 356,958 | ||||||
| 798 | Universal Electronics, Inc.* | 7,677 | ||||||
| 2,661 | Vizio Holding Corp., Class A* | 17,962 | ||||||
|
|
|
|||||||
| 5,565,557 | ||||||||
|
|
|
|||||||
| Household Products (0.6%): | ||||||||
| 1,235 | Central Garden & Pet Co.* | 47,881 | ||||||
| 4,712 | Central Garden & Pet Co., Class A* | 171,800 | ||||||
| 7,002 | Energizer Holdings, Inc. | 235,127 | ||||||
| 1,192 | Oil-Dri Corp. of America | 70,316 | ||||||
| 7,152 | Reynolds Consumer Products, Inc. | 202,044 | ||||||
| 3,808 | Spectrum Brands Holdings, Inc. | 297,214 | ||||||
| 1,352 | WD-40 Co. | 255,055 | ||||||
|
|
|
|||||||
| 1,279,437 | ||||||||
|
|
|
|||||||
| Independent Power and Renewable Electricity Producers (0.5%): | ||||||||
| 8,330 | Atlantica Sustainable Infrastructure plc | 195,255 | ||||||
| 2,245 | Clearway Energy, Inc., Class A | 60,615 | ||||||
| 3,475 | Clearway Energy, Inc., Class C | 99,246 | ||||||
| 5,585 | Ormat Technologies, Inc. | 449,369 | ||||||
| 11,366 | Sunnova Energy International, Inc.*^ | 208,112 | ||||||
|
|
|
|||||||
| 1,012,597 | ||||||||
|
|
|
|||||||
| Insurance (3.2%): | ||||||||
| 4,463 | Ambac Financial Group, Inc.* | 63,553 | ||||||
| 9,019 | American Equity Investment Life Holding Co. | 469,980 | ||||||
| 2,102 | AMERISAFE, Inc. | 112,079 | ||||||
| 1,862 | Argo Group International Holdings, Ltd. | 55,134 | ||||||
| 6,925 | Assured Guaranty, Ltd. | 386,415 | ||||||
| 5,537 | Axis Capital Holdings, Ltd. | 298,057 | ||||||
| 7,671 | Brighthouse Financial, Inc.* | 363,222 | ||||||
| 4,681 | BRP Group, Inc., Class A* | 115,995 | ||||||
| 2,876 | Crawford & Co., Class A | 31,895 | ||||||
| 3,445 | Crawford & Co., Class B | 32,348 | ||||||
| 5,378 | Donegal Group, Inc., Class A | 77,604 | ||||||
| 1,337 | eHealth, Inc.* | 10,749 | ||||||
| 2,911 | Employers Holdings, Inc. | 108,900 | ||||||
| 1,582 | Enstar Group, Ltd.* | 386,388 | ||||||
| 5,076 | First American Financial Corp. | 289,433 | ||||||
| 29,676 | Genworth Financial, Inc., Class A* | 148,380 | ||||||
| 5,998 | Greenlight Capital Re, Ltd., Class A* | 63,189 | ||||||
| 175 | Hallmark Financial Services, Inc.* | 980 | ||||||
| 3,655 | Hanover Insurance Group, Inc. (The) | 413,125 | ||||||
| 489 | HCI Group, Inc. | 30,210 | ||||||
| 1,369 | Heritage Insurance Holdings, Inc.* | 5,271 | ||||||
| 4,168 | Horace Mann Educators Corp. | 123,623 | ||||||
| 135 | Investors Title Co. | 19,710 | ||||||
| 3,776 | James River Group Holdings, Ltd. | 68,950 | ||||||
| 5,318 | Kemper Corp. | 256,647 | ||||||
| 1,473 | Kingstone Cos., Inc. | 1,885 | ||||||
| 350 | Kinsale Capital Group, Inc. | 130,970 | ||||||
| 12,677 | Maiden Holdings, Ltd.* | 26,622 | ||||||
| 5,743 | Mercury General Corp. | 173,841 | ||||||
| 403 | National Western Life Group, Inc., Class A | 167,471 | ||||||
| 929 | NI Holdings, Inc.* | 13,796 | ||||||
| 376 | Old Republic International Corp. | 9,464 | ||||||
| 3,018 | Primerica, Inc. | 596,840 | ||||||
| 5,241 | ProAssurance Corp. | 79,087 | ||||||
See accompanying notes to the financial statements.
13
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Insurance, continued | ||||||||
| 3,174 | RLI Corp. | $ | 433,156 | |||||
| 1,548 | Safety Insurance Group, Inc. | 111,022 | ||||||
| 5,986 | Selective Insurance Group, Inc. | 574,357 | ||||||
| 12,459 | SiriusPoint, Ltd.* | 112,505 | ||||||
| 2,858 | Stewart Information Services Corp. | 117,578 | ||||||
| 5,636 | Tiptree, Inc., Class A | 84,596 | ||||||
| 3,821 | United Fire Group, Inc. | 86,584 | ||||||
| 4,410 | Universal Insurance Holdings, Inc. | 68,046 | ||||||
| 59 | Unum Group | 2,814 | ||||||
| 287 | White Mountains Insurance Group, Ltd. | 398,617 | ||||||
|
|
|
|||||||
| 7,121,088 | ||||||||
|
|
|
|||||||
| Interactive Media & Services (0.7%): | ||||||||
| 3,144 | Angi, Inc., Class A* | 10,375 | ||||||
| 4,562 | Bumble, Inc., Class A* | 76,550 | ||||||
| 10,392 | Cargurus, Inc.* | 235,171 | ||||||
| 8,650 | Cars.com, Inc.* | 171,443 | ||||||
| 12,824 | DHI Group, Inc.* | 49,116 | ||||||
| 2,725 | MediaAlpha, Inc., Class A* | 28,095 | ||||||
| 6,656 | QuinStreet, Inc.* | 58,772 | ||||||
| 3,848 | Shutterstock, Inc. | 187,282 | ||||||
| 1,095 | Travelzoo* | 8,640 | ||||||
| 9,123 | TripAdvisor, Inc.* | 150,438 | ||||||
| 11,137 | TrueCar, Inc.* | 25,170 | ||||||
| 7,836 | Yelp, Inc.* | 285,309 | ||||||
| 5,107 | Ziff Davis, Inc.* | 357,796 | ||||||
|
|
|
|||||||
| 1,644,157 | ||||||||
|
|
|
|||||||
| IT Services (0.3%): | ||||||||
| 1,700 | Brightcove, Inc.* | 6,817 | ||||||
| 758 | CSP, Inc. | 9,028 | ||||||
| 4,183 | DXC Technology Co.* | 111,770 | ||||||
| 10,373 | Edgio, Inc.* | 6,992 | ||||||
| 6,592 | Fastly, Inc., Class A* | 103,956 | ||||||
| 3,495 | Hackett Group, Inc. (The) | 78,113 | ||||||
| 1,300 | Information Services Group, Inc. | 6,968 | ||||||
| 8,725 | Kyndryl Holdings, Inc.* | 115,868 | ||||||
| 3,191 | Perficient, Inc.* | 265,906 | ||||||
| 3,168 | PFSweb, Inc. | 14,319 | ||||||
| 4,235 | Unisys Corp.* | 16,855 | ||||||
|
|
|
|||||||
| 736,592 | ||||||||
|
|
|
|||||||
| Leisure Products (0.8%): | ||||||||
| 7,401 | Acushnet Holdings Corp. | 404,687 | ||||||
| 3,470 | American Outdoor Brands, Inc.* | 30,120 | ||||||
| 648 | Brunswick Corp. | 56,143 | ||||||
| 1,402 | Escalade, Inc. | 18,717 | ||||||
| 1,455 | Johnson Outdoors, Inc., Class A | 89,410 | ||||||
| 2,158 | Malibu Boats, Inc., Class A* | 126,588 | ||||||
| 3,527 | Marine Products Corp. | 59,465 | ||||||
| 1,734 | MasterCraft Boat Holdings, Inc.* | 53,147 | ||||||
| 7,857 | Mattel, Inc.* | 153,526 | ||||||
| 2,293 | Nautilus Group, Inc.* | 2,797 | ||||||
| 412 | Polaris, Inc. | 49,823 | ||||||
| 4,406 | Smith & Wesson Brands, Inc. | 57,454 | ||||||
| 2,044 | Solo Brands, Inc., Class A* | 11,569 | ||||||
| 10,855 | Topgolf Callaway Brands Corp.* | 215,472 | ||||||
| 4,296 | Vista Outdoor, Inc.* | 118,870 | ||||||
| 6,555 | YETI Holdings, Inc.* | 254,596 | ||||||
|
|
|
|||||||
| 1,702,384 | ||||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Life Sciences Tools & Services (0.7%): | ||||||||
| 11,902 | Adaptive Biotechnologies Corp.* | $ | 79,862 | |||||
| 255 | Azenta, Inc.* | 11,903 | ||||||
| 2,852 | BioLife Solutions, Inc.* | 63,029 | ||||||
| 2,937 | Codexis, Inc.* | 8,224 | ||||||
| 1,999 | CryoPort, Inc.* | 34,483 | ||||||
| 5,439 | Harvard Bioscience, Inc.* | 29,860 | ||||||
| 3,074 | Maravai LifeSciences Holdings, Inc., Class A* | 38,210 | ||||||
| 2,657 | Medpace Holdings, Inc.* | 638,132 | ||||||
| 4,067 | OmniAb, Inc.* | 20,457 | ||||||
| 10,949 | Pacific Biosciences of California, Inc.* | 145,622 | ||||||
| 647 | Personalis, Inc.* | 1,216 | ||||||
| 3,541 | Quanterix Corp.* | 79,850 | ||||||
| 15,049 | Sotera Health Co.* | 283,523 | ||||||
| 1,185 | Syneos Health, Inc.* | 49,936 | ||||||
|
|
|
|||||||
| 1,484,307 | ||||||||
|
|
|
|||||||
| Machinery (5.0%): | ||||||||
| 5,892 | 3D Systems Corp.* | 58,508 | ||||||
| 1,337 | Alamo Group, Inc. | 245,888 | ||||||
| 3,623 | Albany International Corp., Class A | 337,953 | ||||||
| 10,320 | Allison Transmission Holdings, Inc. | 582,667 | ||||||
| 806 | Art’s-Way Manufacturing Co., Inc. | 1,878 | ||||||
| 2,342 | Astec Industries, Inc. | 106,420 | ||||||
| 5,963 | Barnes Group, Inc. | 251,579 | ||||||
| 1,880 | Chart Industries, Inc.* | 300,405 | ||||||
| 2,915 | CIRCOR International, Inc.* | 164,552 | ||||||
| 3,104 | Columbus McKinnon Corp. | 126,178 | ||||||
| 6,424 | Commercial Vehicle Group, Inc.*^ | 71,306 | ||||||
| 1,917 | Crane Co. | 170,843 | ||||||
| 2,390 | Crane NXT Co. | 134,892 | ||||||
| 493 | Donaldson Co., Inc. | 30,817 | ||||||
| 3,774 | Douglas Dynamics, Inc. | 112,767 | ||||||
| 500 | Eastern Co. (The) | 9,045 | ||||||
| 5,334 | Energy Recovery, Inc.* | 149,085 | ||||||
| 5,407 | Enerpac Tool Group Corp. | 145,989 | ||||||
| 2,132 | EnPro Industries, Inc. | 284,686 | ||||||
| 1,739 | Esab Corp. | 115,713 | ||||||
| 2,512 | ESCO Technologies, Inc. | 260,319 | ||||||
| 6,371 | Federal Signal Corp. | 407,935 | ||||||
| 12,072 | Flowserve Corp. | 448,475 | ||||||
| 4,939 | Franklin Electric Co., Inc. | 508,223 | ||||||
| 11,667 | Gates Industrial Corp. plc* | 157,271 | ||||||
| 3,314 | Gencor Industries, Inc.* | 51,632 | ||||||
| 1,794 | Gorman-Rupp Co. (The) | 51,721 | ||||||
| 459 | Graham Corp.* | 6,096 | ||||||
| 3,796 | Greenbrier Cos., Inc. (The) | 163,608 | ||||||
| 3,709 | Helios Technologies, Inc. | 245,128 | ||||||
| 4,894 | Hillenbrand, Inc. | 250,964 | ||||||
| 1,170 | Hurco Cos., Inc. | 25,330 | ||||||
| 1,014 | Hyster-Yale Materials Handling, Inc., Class A | 56,622 | ||||||
| 219 | ITT, Inc. | 20,413 | ||||||
| 3,393 | John Bean Technologies Corp. | 411,571 | ||||||
| 951 | Kadant, Inc. | 211,217 | ||||||
| 7,094 | Kennametal, Inc. | 201,399 | ||||||
| 1,529 | L.B. Foster Co., Class A* | 21,834 | ||||||
| 1,158 | Lindsay Corp. | 138,196 | ||||||
| 3,189 | Luxfer Holdings plc | 45,379 | ||||||
| 3,228 | Manitex International, Inc.* | 17,302 | ||||||
| 2,653 | Manitowoc Co., Inc. (The)* | 49,956 | ||||||
| 589 | Mayville Engineering Co., Inc.* | 7,339 | ||||||
See accompanying notes to the financial statements.
14
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Machinery, continued | ||||||||
| 1,424 | Miller Industries, Inc. | $ | 50,509 | |||||
| 5,806 | Mueller Industries, Inc. | 506,748 | ||||||
| 17,126 | Mueller Water Products, Inc., Class A | 277,955 | ||||||
| 3,562 | NN, Inc.* | 8,513 | ||||||
| 920 | Omega Flex, Inc. | 95,478 | ||||||
| 2,691 | Oshkosh Corp. | 233,014 | ||||||
| 723 | P&F Industries, Inc., Class A | 4,555 | ||||||
| 1,229 | Park-Ohio Holdings Corp. | 23,351 | ||||||
| 3,123 | Proto Labs, Inc.* | 109,180 | ||||||
| 235 | RBC Bearings, Inc.* | 51,105 | ||||||
| 6,810 | REV Group, Inc. | 90,301 | ||||||
| 3,869 | Shyft Group, Inc. (The) | 85,350 | ||||||
| 3,392 | SPX Technologies, Inc.* | 288,218 | ||||||
| 1,443 | Standex International Corp. | 204,141 | ||||||
| 466 | Taylor Devices, Inc.* | 12,116 | ||||||
| 2,098 | Tennant Co. | 170,169 | ||||||
| 7,548 | Terex Corp. | 451,597 | ||||||
| 3,793 | Timken Co. (The) | 347,173 | ||||||
| 8,711 | Titan International, Inc.* | 100,002 | ||||||
| 8,005 | Trinity Industries, Inc. | 205,809 | ||||||
| 1,747 | Twin Disc, Inc.* | 19,671 | ||||||
| 5,930 | Wabash National Corp. | 152,045 | ||||||
| 2,870 | Watts Water Technologies, Inc., Class A | 527,305 | ||||||
|
|
|
|||||||
| 11,173,406 | ||||||||
|
|
|
|||||||
| Marine Transportation (0.4%): | ||||||||
| 9,113 | Costamare, Inc. | 88,123 | ||||||
| 290 | Eagle Bulk Shipping, Inc.^ | 13,931 | ||||||
| 315 | Eneti, Inc. | 3,815 | ||||||
| 6,304 | Genco Shipping & Trading, Ltd. | 88,445 | ||||||
| 4,186 | Kirby Corp.* | 322,113 | ||||||
| 3,488 | Matson, Inc. | 271,122 | ||||||
|
|
|
|||||||
| 787,549 | ||||||||
|
|
|
|||||||
| Media (0.7%): | ||||||||
| 6,248 | Altice U.S.A., Inc., Class A* | 18,869 | ||||||
| 3,441 | AMC Networks, Inc., Class A* | 41,120 | ||||||
| 3,595 | Boston Omaha Corp., Class A* | 67,658 | ||||||
| 7,836 | comScore, Inc.* | 6,347 | ||||||
| 198 | Daily Journal Corp.* | 57,277 | ||||||
| 976 | DallasNews Corp. | 3,797 | ||||||
| 6,737 | E.W. Scripps Co. (The), Class A* | 61,643 | ||||||
| 12,895 | Entravision Communications Corp., Class A | 56,609 | ||||||
| 5,880 | Gannett Co, Inc.* | 13,230 | ||||||
| 7,507 | Gray Television, Inc. | 59,155 | ||||||
| 1,608 | iHeartMedia, Inc., Class A* | 5,853 | ||||||
| 5,763 | Integral Ad Science Holding Corp.* | 103,619 | ||||||
| 5,004 | John Wiley & Sons, Inc., Class A | 170,286 | ||||||
| 5,805 | Magnite, Inc.* | 79,238 | ||||||
| 348 | Marchex, Inc., Class B* | 738 | ||||||
| 3,785 | New York Times Co. (The), Class A | 149,053 | ||||||
| 432 | Nexstar Media Group, Inc. | 71,950 | ||||||
| 2,028 | PubMatic, Inc., Class A* | 37,072 | ||||||
| 3,615 | Quotient Technology, Inc.* | 13,882 | ||||||
| 3,440 | Scholastic Corp. | 133,782 | ||||||
| 7,113 | Stagwell, Inc.* | 51,285 | ||||||
| 3,284 | TechTarget, Inc.* | 102,231 | ||||||
| 10,206 | TEGNA, Inc. | 165,745 | ||||||
| 3,183 | Thryv Holdings, Inc.* | 78,302 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Media, continued | ||||||||
| 4,009 | WideOpenWest, Inc.* | $ | 33,836 | |||||
|
|
|
|||||||
| 1,582,577 | ||||||||
|
|
|
|||||||
| Metals & Mining (2.0%): | ||||||||
| 1,706 | Alpha Metallurgical Resources, Inc. | 280,398 | ||||||
| 2,124 | Ampco-Pittsburgh Corp.* | 6,754 | ||||||
| 1,062 | Arconic Corp.* | 31,414 | ||||||
| 1,338 | Ascent Industries Co.* | 12,162 | ||||||
| 14,433 | ATI, Inc.* | 638,372 | ||||||
| 5,453 | Carpenter Technology Corp. | 306,077 | ||||||
| 14,713 | Century Aluminum Co.* | 128,297 | ||||||
| 27,193 | Coeur Mining, Inc.* | 77,228 | ||||||
| 12,935 | Commercial Metals Co. | 681,157 | ||||||
| 4,961 | Compass Minerals International, Inc. | 168,674 | ||||||
| 15,692 | Ferroglobe plc* | 74,851 | ||||||
| 515 | Fortitude Gold Corp. | 3,234 | ||||||
| 1,805 | Gold Resource Corp. | 1,137 | ||||||
| 2,290 | Haynes International, Inc. | 116,378 | ||||||
| 49,711 | Hecla Mining Co. | 256,012 | ||||||
| 754 | Kaiser Aluminum Corp. | 54,017 | ||||||
| 2,268 | Materion Corp. | 259,006 | ||||||
| 937 | McEwen Mining, Inc.* | 6,737 | ||||||
| 9,300 | MP Materials Corp.* | 212,784 | ||||||
| 665 | Olympic Steel, Inc. | 32,585 | ||||||
| 4,149 | Ryerson Holding Corp. | 179,984 | ||||||
| 2,862 | Schnitzer Steel Industries, Inc., Class A | 85,831 | ||||||
| 6,647 | SunCoke Energy, Inc. | 52,312 | ||||||
| 6,015 | TimkenSteel Corp.* | 129,743 | ||||||
| 5,136 | Tredegar Corp. | 34,257 | ||||||
| 9,051 | United States Steel Corp. | 226,365 | ||||||
| 1,458 | Universal Stainless & Alloy Products, Inc.* | 20,427 | ||||||
| 2,207 | Warrior Met Coal, Inc. | 85,963 | ||||||
| 5,427 | Worthington Industries, Inc. | 377,014 | ||||||
|
|
|
|||||||
| 4,539,170 | ||||||||
|
|
|
|||||||
| Multi-Utilities (0.5%): | ||||||||
| 7,625 | Avista Corp. | 299,434 | ||||||
| 6,714 | Black Hills Corp. | 404,585 | ||||||
| 5,832 | NorthWestern Corp. | 331,024 | ||||||
| 2,008 | Unitil Corp. | 101,826 | ||||||
|
|
|
|||||||
| 1,136,869 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels (4.2%): | ||||||||
| 2,827 | Amplify Energy Corp.* | 19,139 | ||||||
| 52,225 | Antero Midstream Corp. | 605,810 | ||||||
| 2,218 | Arch Resources, Inc. | 250,102 | ||||||
| 3,948 | Ardmore Shipping Corp. | 48,758 | ||||||
| 3,917 | Baytex Energy Corp.* | 12,769 | ||||||
| 9,758 | Berry Corp. | 67,135 | ||||||
| 5,609 | California Resources Corp. | 254,032 | ||||||
| 4,863 | Callon Petroleum Co.* | 170,545 | ||||||
| 882 | Centrus Energy Corp., Class A* | 28,718 | ||||||
| 735 | Chord Energy Corp. | 113,043 | ||||||
| 309 | Civitas Resources, Inc. | 21,435 | ||||||
| 21,990 | Clean Energy Fuel Corp.* | 109,070 | ||||||
| 17,318 | CNX Resources Corp.* | 306,875 | ||||||
| 17,410 | Comstock Resources, Inc.^ | 201,956 | ||||||
| 3,124 | CONSOL Energy, Inc. | 211,838 | ||||||
| 8,717 | CVR Energy, Inc. | 261,161 | ||||||
| 6,942 | Delek US Holdings, Inc. | 166,261 | ||||||
| 3,982 | Denbury, Inc.* | 343,487 | ||||||
See accompanying notes to the financial statements.
15
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Oil, Gas & Consumable Fuels, continued | ||||||||
| 17,465 | DHT Holdings, Inc. | $ | 148,976 | |||||
| 5,245 | Dorian LPG, Ltd. | 134,534 | ||||||
| 2,631 | DT Midstream, Inc. | 130,419 | ||||||
| 35,592 | Enlink Midstream LLC | 377,275 | ||||||
| 15,991 | Equitrans Midstream Corp. | 152,874 | ||||||
| 2,943 | Evolution Petroleum Corp. | 23,750 | ||||||
| 5,232 | Green Plains, Inc.* | 168,680 | ||||||
| 741 | Gulfport Energy Corp.* | 77,857 | ||||||
| 3,562 | International Seaways, Inc. | 136,211 | ||||||
| 41,871 | Kosmos Energy, Ltd.* | 250,807 | ||||||
| 13,505 | Magnolia Oil & Gas Corp., Class A | 282,255 | ||||||
| 8,034 | Matador Resources Co. | 420,339 | ||||||
| 9,109 | Murphy Oil Corp. | 348,875 | ||||||
| 245 | NACCO Industries, Inc., Class A | 8,492 | ||||||
| 19,107 | Nordic American Tankers, Ltd. | 70,123 | ||||||
| 897 | Northern Oil and Gas, Inc. | 30,785 | ||||||
| 5,300 | Overseas Shipholding Group, Inc., Class A* | 22,101 | ||||||
| 5,769 | Par Pacific Holdings, Inc.* | 153,513 | ||||||
| 13,132 | PBF Energy, Inc., Class A | 537,624 | ||||||
| 3,598 | PDC Energy, Inc. | 255,962 | ||||||
| 11,090 | Peabody Energy Corp. | 240,209 | ||||||
| 16,331 | Permian Resources Corp. | 178,988 | ||||||
| 2,410 | PHX Minerals, Inc. | 7,519 | ||||||
| 6 | PrimeEnergy Resources Corp.* | 552 | ||||||
| 5,480 | Range Resources Corp. | 161,112 | ||||||
| 1,817 | REX American Resources Corp.* | 63,250 | ||||||
| 5,496 | SandRidge Energy, Inc. | 83,814 | ||||||
| 6,217 | Scorpio Tankers, Inc. | 293,629 | ||||||
| 13,204 | SFL Corp., Ltd. | 123,193 | ||||||
| 3,500 | Sitio Royalties Corp., Class A | 91,945 | ||||||
| 12,500 | SM Energy Co. | 395,375 | ||||||
| 40,654 | Southwestern Energy Co.* | 244,331 | ||||||
| 7,811 | Talos Energy, Inc.* | 108,339 | ||||||
| 6,156 | Teekay Shipping Corp.* | 37,182 | ||||||
| 4,269 | Teekay Tankers, Ltd., Class A | 163,204 | ||||||
| 1,933 | Vital Energy, Inc.* | 87,275 | ||||||
| 11,767 | W&T Offshore, Inc.* | 45,538 | ||||||
| 7,161 | World Kinect Corp. | 148,090 | ||||||
|
|
|
|||||||
| 9,397,131 | ||||||||
|
|
|
|||||||
| Paper & Forest Products (0.3%): | ||||||||
| 2,555 | Clearwater Paper Corp.* | 80,023 | ||||||
| 3,299 | Glatfelter Corp. | 9,963 | ||||||
| 7,340 | Louisiana-Pacific Corp. | 550,353 | ||||||
| 7,454 | Mercer International, Inc. | 60,154 | ||||||
| 851 | Sylvamo Corp. | 34,423 | ||||||
|
|
|
|||||||
| 734,916 | ||||||||
|
|
|
|||||||
| Passenger Airlines (0.7%): | ||||||||
| 8,201 | Alaska Air Group, Inc.* | 436,129 | ||||||
| 2,166 | Allegiant Travel Co.* | 273,522 | ||||||
| 1,769 | Copa Holdings SA, Class A | 195,616 | ||||||
| 1,436 | Frontier Group Holdings, Inc.* | 13,886 | ||||||
| 6,778 | Hawaiian Holdings, Inc.* | 72,999 | ||||||
| 25,978 | JetBlue Airways Corp.* | 230,165 | ||||||
| 4,173 | SkyWest, Inc.* | 169,925 | ||||||
| 7,810 | Spirit Airlines, Inc. | 134,020 | ||||||
|
|
|
|||||||
| 1,526,262 | ||||||||
|
|
|
|||||||
| Personal Care Products (1.1%): | ||||||||
| 3,738 | Beauty Health Co. (The)* | 31,287 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Personal Care Products, continued | ||||||||
| 10,346 | BellRing Brands, Inc.* | $ | 378,664 | |||||
| 4,160 | Coty, Inc., Class A* | 51,126 | ||||||
| 5,591 | Edgewell Personal Care Co. | 230,964 | ||||||
| 5,839 | elf Beauty, Inc.* | 666,989 | ||||||
| 4,508 | Herbalife, Ltd.* | 59,686 | ||||||
| 3,699 | Inter Parfums, Inc. | 500,216 | ||||||
| 900 | Lifevantage Corp. | 3,915 | ||||||
| 1,046 | Medifast, Inc. | 96,399 | ||||||
| 1,387 | Natural Alternatives International, Inc.* | 10,292 | ||||||
| 369 | Natural Health Trends Corp. | 2,022 | ||||||
| 3,865 | Natures Sunshine Products, Inc.* | 52,757 | ||||||
| 4,261 | Nu Skin Enterprises, Inc., Class A | 141,465 | ||||||
| 340 | United-Guardian, Inc. | 2,897 | ||||||
| 2,073 | USANA Health Sciences, Inc.* | 130,682 | ||||||
|
|
|
|||||||
| 2,359,361 | ||||||||
|
|
|
|||||||
| Pharmaceuticals (1.1%): | ||||||||
| 1,113 | Aclaris Therapeutics, Inc.* | 11,542 | ||||||
| 9,876 | Amneal Pharmaceuticals, Inc.* | 30,616 | ||||||
| 5,537 | Amphastar Pharmaceuticals, Inc.* | 318,211 | ||||||
| 1,824 | ANI Pharmaceuticals, Inc.* | 98,186 | ||||||
| 2,880 | Cara Therapeutics, Inc.* | 8,150 | ||||||
| 327 | Catalent, Inc.* | 14,179 | ||||||
| 4,640 | Collegium Pharmaceutical, Inc.* | 99,714 | ||||||
| 8,031 | Corcept Therapeutics, Inc.* | 178,690 | ||||||
| 3,415 | Cumberland Pharmaceuticals, Inc.* | 5,020 | ||||||
| 5,512 | Cymabay Therapeutics, Inc.* | 60,356 | ||||||
| 3,833 | Elanco Animal Health, Inc.* | 38,560 | ||||||
| 1,163 | EyePoint Pharmaceuticals, Inc.* | 10,118 | ||||||
| 4,130 | Harmony Biosciences Holdings, Inc.* | 145,335 | ||||||
| 2,485 | Harrow Health, Inc.* | 47,314 | ||||||
| 8,756 | Innoviva, Inc.* | 111,464 | ||||||
| 1,693 | Ligand Pharmaceuticals, Inc.* | 122,065 | ||||||
| 10,744 | Nektar Therapeutics* | 6,180 | ||||||
| 882 | NGM Biopharmaceuticals, Inc.* | 2,284 | ||||||
| 7,543 | Organon & Co. | 156,970 | ||||||
| 4,377 | Pacira BioSciences, Inc.* | 175,386 | ||||||
| 6,939 | Perrigo Co. plc | 235,579 | ||||||
| 3,419 | Phibro Animal Health Corp., Class A | 46,840 | ||||||
| 5,147 | Prestige Consumer Healthcare, Inc.* | 305,886 | ||||||
| 420 | Relmada Therapeutics, Inc.* | 1,033 | ||||||
| 911 | scPharmaceuticals, Inc.*^ | 9,283 | ||||||
| 5,073 | SIGA Technologies, Inc. | 25,619 | ||||||
| 5,644 | Supernus Pharmaceuticals, Inc.* | 169,659 | ||||||
| 2,116 | Taro Pharmaceutical Industries, Ltd.* | 80,260 | ||||||
| 3,288 | Terns Pharmaceuticals, Inc.* | 28,770 | ||||||
| 352 | Ventyx Biosciences, Inc.* | 11,546 | ||||||
|
|
|
|||||||
| 2,554,815 | ||||||||
|
|
|
|||||||
| Professional Services (2.8%): | ||||||||
| 5,555 | ASGN, Inc.* | 420,125 | ||||||
| 935 | Asure Software, Inc.* | 11,370 | ||||||
| 1,144 | Barrett Business Services, Inc. | 99,757 | ||||||
| 558 | CACI International, Inc., Class A* | 190,189 | ||||||
| 6,075 | CBIZ, Inc.* | 323,676 | ||||||
| 1,374 | Clarivate plc* | 13,094 | ||||||
| 909 | Concentrix Corp. | 73,402 | ||||||
| 24,230 | Conduent, Inc.* | 82,382 | ||||||
| 490 | CRA International, Inc. | 49,980 | ||||||
| 3,392 | CSG Systems International, Inc. | 178,894 | ||||||
| 5,170 | Dun & Bradstreet Holdings, Inc. | 59,817 | ||||||
See accompanying notes to the financial statements.
16
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Professional Services, continued | ||||||||
| 3,445 | ExlService Holdings, Inc.* | $ | 520,402 | |||||
| 5,277 | Exponent, Inc. | 492,450 | ||||||
| 2,635 | Forrester Research, Inc.* | 76,652 | ||||||
| 1,760 | Franklin Covey Co.* | 76,877 | ||||||
| 2,543 | Heidrick & Struggles International, Inc. | 67,313 | ||||||
| 2,277 | Huron Consulting Group, Inc.* | 193,340 | ||||||
| 1,077 | IBEX Holdings, Ltd.* | 22,865 | ||||||
| 2,245 | ICF International, Inc. | 279,255 | ||||||
| 3,565 | Insperity, Inc. | 424,092 | ||||||
| 668 | KBR, Inc. | 43,460 | ||||||
| 4,618 | Kelly Services, Inc., Class A | 81,323 | ||||||
| 2,422 | Kforce, Inc. | 151,762 | ||||||
| 5,109 | Korn Ferry | 253,100 | ||||||
| 1,919 | ManpowerGroup, Inc. | 152,369 | ||||||
| 1,332 | Mastech Digital, Inc.* | 13,160 | ||||||
| 3,715 | Maximus, Inc. | 313,955 | ||||||
| 3,943 | Mistras Group, Inc.* | 30,440 | ||||||
| 1,892 | NV5 Global, Inc.* | 209,577 | ||||||
| 1,117 | Paycor HCM, Inc.* | 26,439 | ||||||
| 4,105 | Resources Connection, Inc. | 64,489 | ||||||
| 3,126 | Science Applications International Corp. | 351,612 | ||||||
| 1,400 | TaskUS, Inc., Class A* | 15,848 | ||||||
| 5,468 | TriNet Group, Inc.* | 519,296 | ||||||
| 4,565 | TrueBlue, Inc.* | 80,846 | ||||||
| 5,287 | TTEC Holdings, Inc. | 178,912 | ||||||
| 1,200 | Upwork, Inc.* | 11,208 | ||||||
| 8,419 | Verra Mobility Corp.* | 166,023 | ||||||
| 505 | Willdan Group, Inc.* | 9,676 | ||||||
|
|
|
|||||||
| 6,329,427 | ||||||||
|
|
|
|||||||
| Real Estate Management & Development (0.8%): | ||||||||
| 1,580 | AMREP Corp.* | 28,340 | ||||||
| 3,740 | Anywhere Real Estate, Inc.* | 24,983 | ||||||
| 395 | CKX Lands, Inc.* | 3,946 | ||||||
| 10,668 | Compass, Inc., Class A* | 37,338 | ||||||
| 15,704 | Cushman & Wakefield plc* | 128,459 | ||||||
| 12,238 | Douglas Elliman, Inc. | 27,168 | ||||||
| 913 | eXp World Holdings, Inc.^ | 18,516 | ||||||
| 1,627 | Five Point Holdings LLC, Class A* | 4,702 | ||||||
| 5,226 | Forestar Group, Inc.* | 117,846 | ||||||
| 971 | FRP Holdings, Inc.* | 55,900 | ||||||
| 4,346 | Howard Hughes Corp. (The)* | 342,986 | ||||||
| 10 | J.W. Mays, Inc.* | 468 | ||||||
| 14,336 | Kennedy-Wilson Holdings, Inc. | 234,107 | ||||||
| 3,651 | Marcus & Millichap, Inc. | 115,043 | ||||||
| 1,035 | Maui Land & Pineapple Co., Inc.* | 14,738 | ||||||
| 17,049 | Newmark Group, Inc. | 106,045 | ||||||
| 1,207 | Rafael Holdings, Inc., Class B* | 2,522 | ||||||
| 688 | RE/MAX Holdings, Inc., Class A | 13,251 | ||||||
| 2,198 | RMR Group, Inc. (The), Class A | 50,928 | ||||||
| 5,902 | St Joe Co. (The) | 285,303 | ||||||
| 308 | Stratus Properties, Inc. | 8,085 | ||||||
| 4,527 | Tejon Ranch Co.* | 77,910 | ||||||
|
|
|
|||||||
| 1,698,584 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment (3.5%): | ||||||||
| 1,271 | Aehr Test Systems* | 52,429 | ||||||
| 2,944 | Alpha & Omega Semiconductor, Ltd.* | 96,563 | ||||||
| 3,209 | Ambarella, Inc.* | 268,497 | ||||||
| 22,000 | Amkor Technology, Inc. | 654,500 | ||||||
| 1,301 | Amtech Systems, Inc.* | 12,438 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Semiconductors & Semiconductor Equipment, continued | ||||||||
| 3,636 | Axcelis Technologies, Inc.* | $ | 666,588 | |||||
| 2,777 | AXT, Inc.* | 9,553 | ||||||
| 2,382 | CEVA, Inc.* | 60,860 | ||||||
| 5,561 | Cirrus Logic, Inc.* | 450,497 | ||||||
| 4,518 | Cohu, Inc.* | 187,768 | ||||||
| 5,088 | Diodes, Inc.* | 470,589 | ||||||
| 7,567 | FormFactor, Inc.* | 258,943 | ||||||
| 4,679 | GSI Technology, Inc.* | 25,875 | ||||||
| 3,150 | Ichor Holdings, Ltd.* | 118,125 | ||||||
| 1,349 | inTEST Corp.* | 35,425 | ||||||
| 5,112 | Kulicke & Soffa Industries, Inc. | 303,908 | ||||||
| 4,502 | MACOM Technology Solutions Holdings, Inc.* | 295,016 | ||||||
| 1,636 | MagnaChip Semiconductor Corp.* | 18,290 | ||||||
| 8,358 | MaxLinear, Inc., Class A* | 263,778 | ||||||
| 129 | MKS Instruments, Inc. | 13,945 | ||||||
| 1,056 | NVE Corp. | 102,897 | ||||||
| 5,286 | Onto Innovation, Inc.* | 615,660 | ||||||
| 4,569 | PDF Solutions, Inc.* | 206,062 | ||||||
| 2,693 | Photronics, Inc.* | 69,452 | ||||||
| 2,109 | Pixelworks, Inc.* | 3,649 | ||||||
| 5,868 | Power Integrations, Inc. | 555,524 | ||||||
| 9,084 | Rambus, Inc.* | 582,920 | ||||||
| 6,562 | Semtech Corp.* | 167,068 | ||||||
| 2,296 | Silicon Laboratories, Inc.* | 362,171 | ||||||
| 2,252 | SMART Global Holdings, Inc.* | 65,330 | ||||||
| 3,812 | Synaptics, Inc.* | 325,469 | ||||||
| 5,069 | Ultra Clean Holdings, Inc.* | 194,954 | ||||||
| 1,328 | Universal Display Corp. | 191,405 | ||||||
| 4,871 | Veeco Instruments, Inc.* | 125,087 | ||||||
|
|
|
|||||||
| 7,831,235 | ||||||||
|
|
|
|||||||
| Software (3.3%): | ||||||||
| 8,280 | A10 Networks, Inc. | 120,805 | ||||||
| 12,372 | ACI Worldwide, Inc.* | 286,659 | ||||||
| 12,840 | Adeia, Inc. | 141,368 | ||||||
| 2,981 | Agilysys, Inc.* | 204,616 | ||||||
| 5,861 | Alarm.com Holdings, Inc.* | 302,897 | ||||||
| 3,530 | Altair Engineering, Inc., Class A* | 267,715 | ||||||
| 5,064 | American Software, Inc., Class A | 53,223 | ||||||
| 796 | Appfolio, Inc., Class A* | 137,023 | ||||||
| 1,884 | AvePoint, Inc.* | 10,852 | ||||||
| 2,785 | Aware, Inc.* | 4,400 | ||||||
| 6,035 | Blackbaud, Inc.* | 429,571 | ||||||
| 12,665 | Box, Inc., Class A* | 372,098 | ||||||
| 1,432 | Braze, Inc., Class A* | 62,707 | ||||||
| 2,942 | Cerence, Inc.* | 85,995 | ||||||
| 3,799 | Cognyte Software, Ltd.* | 23,136 | ||||||
| 4,305 | CommVault Systems, Inc.* | 312,629 | ||||||
| 2,247 | Consensus Cloud Solutions, Inc.* | 69,657 | ||||||
| 6,335 | DoubleVerify Holdings, Inc.* | 246,558 | ||||||
| 5,396 | E2open Parent Holdings, Inc.* | 30,218 | ||||||
| 3,520 | Ebix, Inc. | 88,704 | ||||||
| 1,400 | eGain Corp.* | 10,486 | ||||||
| 2,921 | EngageSmart, Inc.* | 55,762 | ||||||
| 4,266 | Envestnet, Inc.* | 253,187 | ||||||
| 463 | Everbridge, Inc.* | 12,455 | ||||||
| 1,623 | Guidewire Software, Inc.* | 123,478 | ||||||
| 1,398 | Informatica, Inc., Class A* | 25,863 | ||||||
| 2,755 | InterDigital, Inc. | 265,995 | ||||||
| 5,474 | Jamf Holding Corp.* | 106,852 | ||||||
See accompanying notes to the financial statements.
17
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Software, continued | ||||||||
| 4,429 | Jfrog, Ltd.* | $ | 122,683 | |||||
| 7,700 | LiveRamp Holdings, Inc.* | 219,912 | ||||||
| 3,178 | Mitek Systems, Inc.* | 34,450 | ||||||
| 1,326 | Model N, Inc.* | 46,887 | ||||||
| 13,710 | NCR Corp.* | 345,492 | ||||||
| 4,082 | Olo, Inc., Class A* | 26,370 | ||||||
| 2,642 | ON24, Inc. | 21,453 | ||||||
| 3,431 | OneSpan, Inc.* | 50,916 | ||||||
| 5,793 | PowerSchool Holdings, Inc.* | 110,878 | ||||||
| 4,551 | Progress Software Corp. | 264,413 | ||||||
| 293 | Q2 Holdings, Inc.* | 9,054 | ||||||
| 3,599 | Qualys, Inc.* | 464,883 | ||||||
| 7,922 | Rimini Street, Inc.* | 37,946 | ||||||
| 3,449 | Sapiens International Corp. NV | 91,743 | ||||||
| 539 | Shotspotter, Inc.* | 11,783 | ||||||
| 1,900 | Smith Micro Software, Inc.* | 2,109 | ||||||
| 5,797 | SolarWinds Corp.* | 59,477 | ||||||
| 1,013 | Sprinklr, Inc., Class A* | 14,010 | ||||||
| 2,387 | SPS Commerce, Inc.* | 458,447 | ||||||
| 3,280 | Synchronoss Technologies, Inc.* | 3,047 | ||||||
| 9,872 | Teradata Corp.* | 527,264 | ||||||
| 870 | Upland Software, Inc.* | 3,132 | ||||||
| 1,147 | Varonis Systems, Inc.* | 30,568 | ||||||
| 6,778 | Verint Systems, Inc.* | 237,637 | ||||||
| 3,188 | Xperi, Inc.* | 41,922 | ||||||
|
|
|
|||||||
| 7,341,385 | ||||||||
|
|
|
|||||||
| Specialty Retail (2.9%): | ||||||||
| 1,021 | 1-800-Flowers.com, Inc., Class A* | 7,964 | ||||||
| 3,889 | Aaron’s Co., Inc. (The) | 54,990 | ||||||
| 5,919 | Abercrombie & Fitch Co., Class A* | 223,028 | ||||||
| 8,552 | Academy Sports & Outdoors, Inc. | 462,236 | ||||||
| 22,289 | American Eagle Outfitters, Inc. | 263,010 | ||||||
| 840 | America’s Car-Mart, Inc.* | 83,815 | ||||||
| 4,214 | Arko Corp. | 33,501 | ||||||
| 1,894 | Asbury Automotive Group, Inc.* | 455,355 | ||||||
| 1,266 | AutoNation, Inc.* | 208,396 | ||||||
| 5,705 | Barnes & Noble Education, Inc.* | 7,188 | ||||||
| 1,634 | Big 5 Sporting Goods Corp.^ | 14,967 | ||||||
| 3,059 | Boot Barn Holdings, Inc.* | 259,067 | ||||||
| 5,832 | Buckle, Inc. (The) | 201,787 | ||||||
| 1,732 | Build-A-Bear Workshop, Inc. | 37,099 | ||||||
| 4,212 | Caleres, Inc. | 100,793 | ||||||
| 407 | Camping World Holdings, Inc., Class A^ | 12,251 | ||||||
| 2,166 | CarParts.com, Inc.* | 9,206 | ||||||
| 1,799 | Cato Corp. (The), Class A | 14,446 | ||||||
| 15,144 | Chico’s FAS, Inc.* | 81,020 | ||||||
| 1,618 | Children’s Place, Inc. (The)* | 37,554 | ||||||
| 1,682 | Citi Trends, Inc.* | 29,704 | ||||||
| 2,251 | Conn’s, Inc.* | 8,329 | ||||||
| 4,201 | Container Store Group, Inc. (The)* | 13,191 | ||||||
| 5,322 | Designer Brands, Inc., Class A^ | 53,752 | ||||||
| 4,253 | Destination XL Group, Inc.* | 20,840 | ||||||
| 738 | Duluth Holdings, Inc., Class B* | 4,635 | ||||||
| 9,025 | Foot Locker, Inc. | 244,668 | ||||||
| 950 | Franchise Group, Inc. | 27,208 | ||||||
| 8,222 | Gap, Inc. (The) | 73,422 | ||||||
| 1,751 | Genesco, Inc.* | 43,845 | ||||||
| 753 | Group 1 Automotive, Inc. | 194,349 | ||||||
| 5,310 | Guess?, Inc. | 103,280 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Specialty Retail, continued | ||||||||
| 2,627 | Haverty Furniture Cos., Inc. | $ | 79,388 | |||||
| 1,759 | Hibbett, Inc. | 63,834 | ||||||
| 861 | J. Jill, Inc.* | 18,451 | ||||||
| 1,300 | Lands’ End, Inc.* | 10,088 | ||||||
| 8,685 | Leslie’s, Inc.* | 81,552 | ||||||
| 1,529 | LL Flooring Holdings, Inc.* | 5,856 | ||||||
| 1,251 | MarineMax, Inc.* | 42,734 | ||||||
| 3,840 | Monro, Inc. | 156,019 | ||||||
| 1,446 | Murphy U.S.A., Inc. | 449,865 | ||||||
| 9,122 | National Vision Holdings, Inc.* | 221,573 | ||||||
| 2,301 | ODP Corp. (The)* | 107,733 | ||||||
| 443 | OneWater Marine, Inc.* | 16,054 | ||||||
| 159 | Penske Automotive Group, Inc. | 26,494 | ||||||
| 3,370 | PetMed Express, Inc. | 46,472 | ||||||
| 2,414 | Revolve Group, Inc.* | 39,590 | ||||||
| 9,361 | Sally Beauty Holdings, Inc.* | 115,608 | ||||||
| 3,524 | Shoe Carnival, Inc. | 82,744 | ||||||
| 4,223 | Signet Jewelers, Ltd. | 275,593 | ||||||
| 2,863 | Sleep Number Corp.* | 78,103 | ||||||
| 1,077 | Sonic Automotive, Inc., Class A | 51,341 | ||||||
| 5,038 | Sportsman’s Warehouse Holdings, Inc.* | 28,717 | ||||||
| 3,300 | Stitch Fix, Inc., Class A* | 12,705 | ||||||
| 1,307 | Tile Shop Holdings, Inc.* | 7,241 | ||||||
| 2,271 | Tilly’s, Inc., Class A* | 15,920 | ||||||
| 5,782 | Upbound Group, Inc. | 179,994 | ||||||
| 9,674 | Urban Outfitters, Inc.* | 320,500 | ||||||
| 8,308 | Valvoline, Inc. | 311,633 | ||||||
| 3,486 | Victoria’s Secret & Co.* | 60,761 | ||||||
| 924 | Warby Parker, Inc., Class A* | 10,802 | ||||||
| 453 | Winmark Corp. | 150,609 | ||||||
| 2,194 | Zumiez, Inc.* | 36,552 | ||||||
|
|
|
|||||||
| 6,489,422 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
| 1,308 | AstroNova, Inc.* | 18,966 | ||||||
| 5,532 | Avid Technology, Inc.* | 141,066 | ||||||
| 1,518 | Immersion Corp. | 10,748 | ||||||
| 1,673 | Intevac, Inc.* | 6,274 | ||||||
| 6,812 | Stratasys, Ltd.* | 120,981 | ||||||
| 2,757 | Super Micro Computer, Inc.* | 687,182 | ||||||
| 1,590 | TransAct Technologies, Inc.* | 14,246 | ||||||
| 600 | Turtle Beach Corp.* | 6,990 | ||||||
| 9,858 | Xerox Holdings Corp. | 146,786 | ||||||
|
|
|
|||||||
| 1,153,239 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods (1.0%): | ||||||||
| 4,805 | Capri Holdings, Ltd.* | 172,452 | ||||||
| 4,104 | Carter’s, Inc. | 297,950 | ||||||
| 4,005 | Columbia Sportswear Co. | 309,346 | ||||||
| 2,291 | Culp, Inc.* | 11,386 | ||||||
| 2,091 | Fossil Group, Inc.* | 5,374 | ||||||
| 5,172 | G-III Apparel Group, Ltd.* | 99,665 | ||||||
| 5,770 | Hanesbrands, Inc. | 26,196 | ||||||
| 6,230 | Kontoor Brands, Inc. | 262,283 | ||||||
| 816 | Lakeland Industries, Inc. | 11,742 | ||||||
| 1,625 | Movado Group, Inc. | 43,599 | ||||||
| 1,628 | Oxford Industries, Inc. | 160,228 | ||||||
| 3,974 | PVH Corp. | 337,671 | ||||||
| 674 | Rocky Brands, Inc. | 14,154 | ||||||
| 8,848 | Steven Madden, Ltd. | 289,241 | ||||||
| 418 | Superior Group of Cos., Inc. | 3,904 | ||||||
See accompanying notes to the financial statements.
18
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Textiles, Apparel & Luxury Goods, continued | ||||||||
| 11,206 | Under Armour, Inc., Class A* | $ | 80,907 | |||||
| 11,499 | Under Armour, Inc., Class C* | 77,158 | ||||||
| 957 | Unifi, Inc.* | 7,723 | ||||||
| 1,916 | Vera Bradley, Inc.* | 12,243 | ||||||
| 6,915 | Wolverine World Wide, Inc. | 101,581 | ||||||
|
|
|
|||||||
| 2,324,803 | ||||||||
|
|
|
|||||||
| Tobacco (0.2%): | ||||||||
| 763 | Turning Point Brands, Inc. | 18,320 | ||||||
| 2,298 | Universal Corp. | 114,762 | ||||||
| 17,860 | Vector Group, Ltd. | 228,786 | ||||||
|
|
|
|||||||
| 361,868 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors (2.8%): | ||||||||
| 12,706 | Air Lease Corp. | 531,746 | ||||||
| 3,201 | Alta Equipment Group, Inc. | 55,473 | ||||||
| 4,426 | Applied Industrial Technologies, Inc. | 641,018 | ||||||
| 7,216 | Beacon Roofing Supply, Inc.* | 598,784 | ||||||
| 1,151 | BlueLinx Holdings, Inc.* | 107,941 | ||||||
| 2,610 | Boise Cascade Co. | 235,813 | ||||||
| 2,629 | DXP Enterprises, Inc.* | 95,722 | ||||||
| 2,463 | EVI Industries, Inc.* | 54,186 | ||||||
| 3,079 | GATX Corp. | 396,390 | ||||||
| 4,153 | Global Industrial Co. | 115,329 | ||||||
| 1,159 | GMS, Inc.* | 80,203 | ||||||
| 2,840 | H&E Equipment Services, Inc. | 129,930 | ||||||
| 3,306 | Herc Holdings, Inc. | 452,426 | ||||||
| 2,500 | Hudson Technologies, Inc.* | 24,050 | ||||||
| 2,937 | McGrath RentCorp | 271,614 | ||||||
| 9,914 | MRC Global, Inc.* | 99,834 | ||||||
| 4,207 | MSC Industrial Direct Co., Inc. | 400,843 | ||||||
| 13,081 | NOW, Inc.* | 135,519 | ||||||
| 3,662 | Rush Enterprises, Inc., Class A | 222,430 | ||||||
| 876 | Rush Enterprises, Inc., Class B | 59,621 | ||||||
| 681 | SiteOne Landscape Supply, Inc.* | 113,972 | ||||||
| 4,207 | Textainer Group Holdings, Ltd. | 165,672 | ||||||
| 3,252 | Titan Machinery, Inc.* | 95,934 | ||||||
| 1,171 | Transcat, Inc.* | 99,898 | ||||||
| 6,285 | Triton International, Ltd. | 523,289 | ||||||
| 5,651 | Univar Solutions, Inc.* | 202,532 | ||||||
| 1,384 | Veritiv Corp. | 173,844 | ||||||
| 576 | WESCO International, Inc. | 103,138 | ||||||
|
|
|
|||||||
| 6,187,151 | ||||||||
|
|
|
|||||||
| Water Utilities (0.5%): | ||||||||
| 3,880 | American States Water Co. | 337,560 | ||||||
| 933 | Artesian Resources Corp., Class A | 44,056 | ||||||
| 5,298 | California Water Service Group | 273,536 | ||||||
| 1,256 | Consolidated Water Co., Ltd. | 30,433 | ||||||
| 1,823 | Middlesex Water Co. | 147,043 | ||||||
| 3,435 | Pure Cycle Corp.* | 37,785 | ||||||
| 3,168 | SJW Group | 222,109 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Water Utilities, continued | ||||||||
| 1,701 | York Water Co. (The) | $ | 70,200 | |||||
|
|
|
|||||||
| 1,162,722 | ||||||||
|
|
|
|||||||
| Wireless Telecommunication Services (0.2%): | ||||||||
| 8,428 | Gogo, Inc.* | 143,360 | ||||||
| 5,245 | Shenandoah Telecommunications Co. | 101,910 | ||||||
| 2,722 | Spok Holdings, Inc. | 36,175 | ||||||
| 11,047 | Telephone and Data Systems, Inc. | 90,917 | ||||||
| 3,950 | United States Cellular Corp.*^ | 69,639 | ||||||
|
|
|
|||||||
| 442,001 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Cost $199,991,732) |
222,775,511 | |||||||
|
|
|
|||||||
| Preferred Stocks (0.0%†): | ||||||||
| Media (0.0%†): | ||||||||
| 430 | Liberty Broadband Corp., Series A | 9,911 | ||||||
|
|
|
|||||||
| Trading Companies & Distributors (0.0%†): | ||||||||
| 2,540 | WESCO International, Inc., Series A, 1.40% | 67,869 | ||||||
|
|
|
|||||||
| Total Preferred Stocks (Cost $70,827) |
77,780 | |||||||
|
|
|
|||||||
| Rights (0.0%†): | ||||||||
| Biotechnology (0.0%†): | ||||||||
| 1,262 | Albireo Pharma, Inc. CVR, Expires on 3/2/26* | 2,035 | ||||||
| 2,004 | Chinook Therapeutics CVR, Expires on 12/31/49* | 4,970 | ||||||
|
|
|
|||||||
| 7,005 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services (0.0%†): | ||||||||
| 5,401 | Resolute Fst CVR, Expires on 1/1/26* | 7,670 | ||||||
|
|
|
|||||||
| Health Care Providers & Services (0.0%†): | ||||||||
| 8,857 | Achillion Pharm CVR, Expires on 1/29/49* | 2,391 | ||||||
| 8,452 | Xeris BioPharma Hold CVR, Expires on 10/6/49* | 2,566 | ||||||
|
|
|
|||||||
| 4,957 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors (0.0%†): | ||||||||
| 79 | Communications Systems I CVR, Expires on 1/1/29* | 241 | ||||||
|
|
|
|||||||
| Total Rights (Cost $–) |
19,873 | |||||||
|
|
|
|||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.6%): | ||||||||
| 1,255,965 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(c)(d) | 1,255,965 | ||||||
|
|
|
|||||||
| |
Total Short-Term Security Held as Collateral for Securities on |
1,255,965 | ||||||
|
|
|
|||||||
| Unaffiliated Investment Company (0.3%): | ||||||||
| Money Markets (0.3%): | ||||||||
| 740,702 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(d) |
740,702 | ||||||
|
|
|
|||||||
| |
Total Unaffiliated Investment Company |
740,702 | ||||||
|
|
|
|||||||
| |
Total Investment Securities (Cost $202,059,226) — 100.6% |
224,869,831 | ||||||
| Net other assets (liabilities) — (0.6)% |
(1,385,659 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 223,484,172 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets as of June 30, 2023.
CVR - Contingency Valued Rights
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $1,221,530. |
| † | Represents less than 0.05%. |
| * | Non-income producing security. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| (b) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| (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 June 30, 2023. |
| (d) | The rate represents the effective yield at June 30, 2023. |
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
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 202,059,226 | |||
|
|
|
||||
| Investment securities, at value(a) |
$ | 224,869,831 | |||
| Interest and dividends receivable |
137,927 | ||||
| Receivable for investments sold |
191,333 | ||||
| Prepaid expenses |
4 | ||||
|
|
|
||||
| Total Assets |
225,199,095 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Payable for investments purchased |
290,702 | ||||
| Payable for collateral received on loaned securities |
1,255,965 | ||||
| Management fees payable |
120,102 | ||||
| Administration fees payable |
2,764 | ||||
| Distribution fees payable |
44,814 | ||||
| Custodian fees payable |
193 | ||||
| Administrative and compliance services fees payable |
23 | ||||
| Transfer agent fees payable |
35 | ||||
| Trustee fees payable |
120 | ||||
| Other accrued liabilities |
205 | ||||
|
|
|
||||
| Total Liabilities |
1,714,923 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 223,484,172 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 179,937,432 | |||
| Total distributable earnings |
43,546,740 | ||||
|
|
|
||||
| Net Assets |
$ | 223,484,172 | |||
|
|
|
||||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
22,377,960 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 9.99 | |||
|
|
|
| (a) | Includes securities on loan of $1,221,530. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends |
$ | 1,374,849 | |||
| Income from securities lending |
1,785 | ||||
| Foreign withholding tax |
(1,410 | ) | |||
|
|
|
||||
| Total Investment Income |
1,375,224 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
740,786 | ||||
| Administration fees |
30,774 | ||||
| Distribution fees |
217,877 | ||||
| Custodian fees |
10,176 | ||||
| Administrative and compliance services fees |
1,151 | ||||
| Transfer agent fees |
2,770 | ||||
| Trustee fees |
4,488 | ||||
| Professional fees |
3,810 | ||||
| Shareholder reports |
1,372 | ||||
| Other expenses |
1,925 | ||||
|
|
|
||||
| Total expenses before reductions |
1,015,129 | ||||
| Less Management fees contractually waived |
(156,872 | ) | |||
|
|
|
||||
| Net expenses |
858,257 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
516,967 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
8,628,543 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
4,688,491 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
13,317,034 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 13,834,001 | |||
|
|
|
See accompanying notes to the financial statements.
21
AZL DFA U.S. Small Cap Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 516,967 | $ | 448,407 | ||||||
| Net realized gains/(losses) on investments |
8,628,543 | 11,018,027 | ||||||||
| Change in unrealized appreciation/depreciation on investments |
4,688,491 | (30,719,096 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
13,834,001 | (19,252,662 | ) | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Distributions |
— | (31,426,517 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
— | (31,426,517 | ) | |||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Proceeds from shares issued |
112,323,800 | 30,390 | ||||||||
| Proceeds from dividends reinvested |
— | 31,426,517 | ||||||||
| Value of shares redeemed |
(19,345,073 | ) | (19,090,502 | ) | ||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
92,978,727 | 12,366,405 | ||||||||
|
|
|
|
|
|||||||
| Change in net assets |
106,812,728 | (38,312,774 | ) | |||||||
| Net Assets: |
||||||||||
| Beginning of period |
116,671,444 | 154,984,218 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 223,484,172 | $ | 116,671,444 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Shares issued |
11,963,572 | 2,230 | ||||||||
| Dividends reinvested |
— | 3,457,263 | ||||||||
| Shares redeemed |
(1,933,214 | ) | (1,593,498 | ) | ||||||
|
|
|
|
|
|||||||
| Change in shares |
10,030,358 | 1,865,995 | ||||||||
|
|
|
|
|
|||||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
22
AZL DFA U.S. Small Cap Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$9.45 | $14.79 | $12.46 | $11.33 | $10.19 | $12.40 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.03 | (a) | 0.04 | (a) | 0.06 | (a) | 0.05 | (a) | 0.05 | (a) | 0.07 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.51 | (2.08 | ) | 3.50 | 1.46 | 2.00 | (1.53 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
0.54 | (2.04 | ) | 3.56 | 1.51 | 2.05 | (1.46 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.08 | ) | (0.09 | ) | (0.05 | ) | (0.06 | ) | (0.07 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (3.22 | ) | (1.14 | ) | (0.33 | ) | (0.85 | ) | (0.68 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (3.30 | ) | (1.23 | ) | (0.38 | ) | (0.91 | ) | (0.75 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$9.99 | $9.45 | $14.79 | $12.46 | $11.33 | $10.19 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
5.71 | %(c) | (12.91 | )% | 29.02 | % | 13.97 | % | 21.10 | % | (12.64 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/ Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$223,484 | $116,671 | $154,984 | $167,790 | $170,336 | $149,873 | ||||||||||||||||||||||||
| Net Investment Income/(Loss)(d) |
0.59 | % | 0.35 | % | 0.40 | % | 0.54 | % | 0.46 | % | 0.48 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) |
1.16 | % | 1.16 | % | 1.17 | % | 1.19 | % | 1.17 | % | 1.16 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) |
0.98 | % | 1.01 | % | 1.02 | % | 1.04 | % | 1.02 | % | 1.01 | % | ||||||||||||||||||
| Portfolio Turnover Rate |
16 | %(c) | 10 | % | 12 | % | 22 | % | 10 | % | 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) | 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. |
See accompanying notes to the financial statements.
23
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
24
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $179 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,255,965 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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, 2024.
For the period ended June 30, 2023, 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 0.67% 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, 2024. The annual rate due to the Subadviser from the Manager is 0.25%. |
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
25
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Management fees, which the Manager may waive 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, as applicable.
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
26
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| Common Stocks+ |
$222,751,553 | $23,958 | $— | # | $222,775,511 | |||||||||||||||
| Preferred Stocks+ |
77,780 | — | — | 77,780 | ||||||||||||||||
| Rights+ |
— | 19,873 | — | 19,873 | ||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
1,255,965 | — | — | 1,255,965 | ||||||||||||||||
| Unaffiliated Investment Company |
740,702 | — | — | 740,702 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
$224,826,000 | $43,831 | $— | $224,869,831 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 June 30, 2023. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$ | 117,800,963 | $ | 24,806,947 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $98,508,853. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$35,651,305 | ||||
| Unrealized (depreciation) |
(17,462,845 | ) | |||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$18,188,460 | ||||
|
|
|
27
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL DFA U.S. Small Cap Fund |
$ | 4,547,617 | $ | 26,878,900 | $ | 31,426,517 | |||||||||
| (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, 2022, 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 |
$ | 695,184 | $ | 10,829,095 | $ | — | $ | 18,188,460 | $ | 29,712,739 | |||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023, the Fund was wholly-owned by multiple shareholder accounts which are affiliated with the Manager. Investment activities of these shareholders could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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
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.
29
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
30
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Enhanced Bond Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 31 |
|
Page 31 |
| Statements of Changes in Net Assets Page 32 |
|
Page 33 |
| Notes to the Financial Statements Page 34 |
|
Page 43 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 44 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Enhanced Bond Index Fund
(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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Enhanced Bond Index Fund |
$ | 1,000.00 | $ | 1,020.00 | $ | 3.16 | 0.63 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Enhanced Bond Index Fund |
$ | 1,000.00 | $ | 1,021.67 | $ | 3.16 | 0.63 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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. Government Agency Mortgages |
33.8 | % | |||
| U.S. Treasury Obligations |
23.5 | ||||
| Corporate Bonds |
22.1 | ||||
| Unaffiliated Investment Company |
10.1 | ||||
| Asset Backed Securities |
7.7 | ||||
| Collateralized Mortgage Obligations |
6.5 | ||||
| Yankee Debt Obligations |
3.0 | ||||
| Municipal Bonds |
0.5 | ||||
| Foreign Bonds |
0.5 | ||||
| Short-Term Security Held as Collateral for Securities on Loan |
0.1 | ||||
|
|
|
| |||
| Total Investment Securities |
107.8 | ||||
| Net other assets (liabilities) |
(7.8 | ) | |||
|
|
|
| |||
| Net Assets |
100.0 | % | |||
|
|
|
| |||
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Asset Backed Securities (7.7%): |
||||||
| $3,294,000 | American Express Credit Account Master Trust, Class A, Series 2023-2, 4.80%, 5/15/30 | $ | 3,259,855 | |||
| 907,000 | American Express Credit Account Master Trust, Class A, Series 2022-3, 3.75%, 8/16/27 | 879,665 | ||||
| 6,700,000 | American Express Credit Account Master Trust, Class A, Series 2023-1, 4.87%, 5/15/28 | 6,660,861 | ||||
| 2,214,462 | American Homes 4 Rent LLC, Class A, Series 2014- SFR3, 3.68%, 12/17/36(a) | 2,135,042 | ||||
| 6,894,000 | BA Credit Card Trust, Class A1, Series 2023-A1, 4.79%, 5/15/28 | 6,838,963 | ||||
| 1,192,000 | BA Credit Card Trust, Class A2, Series 2022-A2, 5.00%, 4/17/28 | 1,186,417 | ||||
| 1,640,000 | Benchmark Mortgage Trust, Class A4, Series 2018- B7, 4.51%, 11/15/51, Callable 11/15/28 @ 100 | 1,541,238 | ||||
| 8,360,000 | Capital One Multi-Asset Execution Trust, Class A, Series 2023-A1, 4.42%, 5/15/28 | 8,208,284 | ||||
| 2,237,000 | Capital One Multi-Asset Execution Trust, Class A, Series 2022-A3, 4.95%, 10/15/27 | 2,220,744 | ||||
| 341,000 | Capital One Multi-Asset Execution Trust, Class A, Series 2022-A2, 3.49%, 5/15/27 | 329,658 | ||||
| 1,070,000 | Capital One Multi-Asset Execution Trust, Class A2, Series 2021-A2, 1.39%, 7/15/30 | 899,129 | ||||
| 1,018,000 | Carmax Auto Owner Trust, Class A3, Series 2023-2, 5.05%, 1/18/28, Callable 7/15/26 @ 100 | 1,010,650 | ||||
| 1,612,000 | Carmax Auto Owner Trust, Class A3, Series 2022-4, 5.34%, 8/16/27, Callable 4/15/26 @ 100 | 1,606,460 | ||||
| 1,204,350 | CarMax Auto Owner Trust, Class A2A, Series 2022- 2, 2.81%, 5/15/25 | 1,197,315 | ||||
| 133,288 | College Ave Student Loans LLC, Class A1, Series 2021-A, 6.25% (US0001M+110bps), 7/25/51, Callable 2/25/32 @ 100(a) | 133,567 | ||||
| 921,543 | College Ave Student Loans LLC, Class A2, Series 2021-C, 2.32%, 7/26/55, Callable 12/25/34 @ 100(a) | 784,963 | ||||
| 1,693,000 | College Ave Student Loans LLC, Class A2, Series 2023-A, 5.33%, 5/25/55, Callable 4/25/37 @ 100(a) | 1,658,091 | ||||
| 962,743 | College Avenue Student Loans LLC, Class A2, Series 2021-B, 1.76%, 6/25/52, Callable 1/25/34 @ 100(a) | 811,942 | ||||
| 3,400,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2021-4, 1.26%, 10/15/30, Callable 4/15/25 @ 100(a) | 3,250,872 | ||||
| 1,712,200 | Credit Acceptance Auto Loan Trust, Class A, Series 2021-3A, 1.00%, 5/15/30, Callable 11/15/24 @ 100(a) | 1,669,153 | ||||
| 2,206,728 | Credit Acceptance Auto Loan Trust, Class A, Series 2021-2A, 0.96%, 2/15/30, Callable 10/15/24 @ 100(a) | 2,163,029 | ||||
| 8,599,000 | Discover Card Execution Note Trust, Class A, Series 2023-A1, 4.31%, 3/15/28 | 8,411,150 | ||||
| 2,215,000 | Discover Card Execution Note Trust, Class A, Series 2023-A2, 4.93%, 6/15/28 | 2,206,078 | ||||
| 400,352 | EDvestinU Private Education Loan Issue No 3 LLC, Class A, Series 2021-A, 1.80%, 11/25/45(a) | 345,063 | ||||
| 773,000 | Enterprise Fleet Financing LLC, Class A3, Series 2022-3, 4.29%, 7/20/29, Callable 5/20/26 @ 100(a) | 740,852 | ||||
| 7,056,000 | Enterprise Fleet Financing LLC, Class A2, Series 2023-2, 5.56%, 4/22/30, Callable 2/20/27 @ 100(a) | 7,023,437 | ||||
| 1,522,000 | Enterprise Fleet Financing LLC, Class A3, Series 2023-2, 5.50%, 4/22/30, Callable 2/20/27 @ 100(a) | 1,508,758 | ||||
| Principal Amount | Value | |||||
| Asset Backed Securities, continued |
||||||
| $1,294,250 | Ford Credit Auto Lease Trust, Class A2A, Series 2022-A, 2.78%, 10/15/24 | $ | 1,290,442 | |||
| 3,637,000 | Ford Credit Auto Owner Trust, Class A3, Series 2023-B, 5.23%, 5/15/28, Callable 2/15/27 @ 100 | 3,620,331 | ||||
| 1,955,000 | Ford Credit Auto Owner Trust, Class A3, Series 2023-A, 4.65%, 2/15/28, Callable 5/15/26 @ 100 | 1,926,886 | ||||
| 917,000 | Ford Credit Auto Owner Trust, Class A3, Series 2022-D, 5.27%, 5/17/27, Callable 1/15/26 @ 100 | 913,805 | ||||
| 6,228,000 | Ford Credit Auto Owner Trust, Class A, Series 2023- 1, 4.85%, 8/15/35, Callable 2/15/28 @ 100(a) | 6,095,264 | ||||
| 12,119,000 | Ford Credit Floorplan Master Owner Trust A, Class A1, Series 2023-1, 4.92%, 5/15/28(a) | 11,970,402 | ||||
| 1,704,000 | GMF Floorplan Owner Revolving Trust, Class A, Series 2023-2, 5.34%, 6/17/30(a) | 1,695,498 | ||||
| 410,078 | Goodleap Sustainable Home Solutions Trust, Class A, Series 2022-1GS, 2.70%, 1/20/49, Callable 7/20/36 @ 100(a) | 326,730 | ||||
| 866,224 | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2021-5CS, 2.31%, 10/20/48, Callable 10/20/36 @ 100(a) | 668,666 | ||||
| 1,833,806 | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2022-3CS, 4.95%, 7/20/49, Callable 1/20/37 @ 100(a) | 1,674,145 | ||||
| 1,581,501 | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2021-4GS, 1.93%, 7/20/48, Callable 9/20/36 @ 100(a) | 1,204,089 | ||||
| 2,960,000 | GPMT, Ltd., Class A, Series 2021-FL4, 6.50% (US0001M+135bps), 11/15/36, Callable 11/20/23 @ 100(a) | 2,854,702 | ||||
| 1,467,000 | Honda Auto Receivables Owner Trust, Class A3, Series 2023-1, 5.04%, 4/21/27, Callable 6/21/26 @ 100 | 1,457,345 | ||||
| 3,369,000 | Honda Auto Receivables Owner Trust, Class A3, Series 2023-2, 4.93%, 11/15/27, Callable 9/15/26 @ 100 | 3,346,295 | ||||
| 6,226,000 | Hyundai Auto Receivables Trust, Class A3, Series 2022-C, 5.39%, 6/15/27, Callable 12/15/26 @ 100 | 6,205,681 | ||||
| 8,044,000 | John Deere Owner Trust, Class A3, Series 2023-B, 5.18%, 3/15/28, Callable 1/15/27 @ 100 | 8,019,613 | ||||
| 1,390,000 | Lendmark Funding Trust, Class A, Series 2021-1A, 1.90%, 11/20/31, Callable 5/20/26 @ 100(a) | 1,196,945 | ||||
| 1,200,000 | Mariner Finance Issuance Trust, Class A, Series 2021-AA, 1.86%, 3/20/36, Callable 3/20/26 @ 100(a) | 1,053,210 | ||||
| 156,000 | Mercedes-Benz Auto Receivables Trust, Class A3, Series 2022-1, 5.21%, 8/16/27, Callable 5/15/26 @ 100 | 154,889 | ||||
| 1,605,000 | Mercedes-Benz Auto Receivables Trust, Class A3, Series 2023-1, 4.51%, 11/15/27, Callable 5/15/26 @ 100 | 1,577,986 | ||||
| 924,542 | Mosaic Solar Loan Trust, Class A, Series 2022-D, 6.16%, 6/20/53, Callable 8/20/37 @ 100(a) | 909,116 | ||||
| 1,462,142 | Mosaic Solar Loan Trust, Class A, Series 2022-1A, 2.64%, 1/20/53, Callable 4/20/36 @ 100(a) | 1,240,774 | ||||
| 856,677 | Mosaic Solar Loan Trust, Class A, Series 2022-2A, 4.38%, 1/21/53, Callable 8/20/38 @ 100(a) | 781,610 | ||||
| 934,204 | Navient Private Education Loan Trust, Class A1B, Series 2020-lA, 6.19% (US0001M+100bps), 4/15/69, Callable 10/15/31 @ 100(a) | 917,948 | ||||
See accompanying notes to the financial statements.
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Asset Backed Securities, continued |
||||||
| $66,592 | Navient Private Education Loan Trust, Class A2A, Series 2018-BA, 3.61%, 12/15/59, Callable 3/15/28 @ 100(a) | $ | 64,110 | |||
| 1,974,192 | Navient Private Education Refi Loan Trust, Class A2A, Series 2019-D, 3.01%, 12/15/59, Callable 7/15/31 @ 100(a) | 1,823,689 | ||||
| 3,995,091 | Navient Private Education Refi Loan Trust, Class A, Series 2022-BA, 4.16%, 10/15/70, Callable 10/15/29 @ 100(a) | 3,782,629 | ||||
| 5,093,834 | Navient Private Education Refi Loan Trust, Class A, Series 2023-A, 5.51%, 10/15/71, Callable 10/15/32 @ 100(a) | 4,993,814 | ||||
| 6,029,566 | Navient Private Education Refi Loan Trust, Class A, Series 2021-EA, 0.97%, 12/16/69, Callable 8/15/29 @ 100(a) | 5,101,107 | ||||
| 407,314 | Navient Private Education Refi Loan Trust, Class A, Series 2021-A, 0.84%, 5/15/69, Callable 3/15/28 @ 100(a) | 351,340 | ||||
| 1,923,213 | Navient Private Education Refi Loan Trust, Class A, Series 2021-DA, 6.26% (PRIME-(199)bps), 4/15/60, Callable 5/15/32 @ 100(a) | 1,780,754 | ||||
| 1,873,409 | Navient Private Education Refi Loan Trust, Class A, Series 20-FA, 1.22%, 7/15/69, Callable 4/15/27 @ 100(a) | 1,664,464 | ||||
| 105,605 | Navient Student Loan Trust, Class A2, Series 2018- EA, 4.00%, 12/15/59, Callable 5/15/25 @ 100(a) | 102,463 | ||||
| 3,880,126 | Navient Student Loan Trust, Class A2B, Series 2019-D, 6.24% (US0001M+105bps), 12/15/59, Callable 7/15/31 @ 100(a) | 3,825,994 | ||||
| 771,609 | Navient Student Loan Trust, Class A2B, Series 2020-CA, 6.79% (US0001M+160bps), 11/15/68, Callable 5/15/31 @ 100(a) | 768,302 | ||||
| 3,243,147 | Nelnet Student Loan Trust, Class AFL, Series 2021- CA, 5.89% (US0001M+74bps), 4/20/62, Callable 7/20/31 @ 100(a) | 3,182,191 | ||||
| 2,333,941 | Nelnet Student Loan Trust, Class AFX, Series 2021- DA, 1.63%, 4/20/62, Callable 11/20/31 @ 100(a) | 2,094,690 | ||||
| 5,396,556 | Nelnet Student Loan Trust, Class AFL, Series 2021- BA, 5.94% (US0001M+78bps), 4/20/62, Callable 7/20/29 @ 100(a) | 5,303,805 | ||||
| 2,827,438 | Nelnet Student Loan Trust, Class APT2, Series 2021-A, 1.36%, 4/20/62, Callable 9/20/29 @ 100(a) | 2,510,316 | ||||
| 6,506,000 | OneMain Financial Issuance Trust, Class A, Series 2023-1A, 5.50%, 6/14/38, Callable 6/14/28 @ 100 | 6,377,205 | ||||
| 5,039,000 | PFS Financing Corp., Class A, Series 2023-1A, 5.80%, 3/15/28(a) | 5,037,869 | ||||
| 1,400,000 | PFS Financing Corp., Class A, Series 2021-A, 0.71%, 4/15/26(a) | 1,339,994 | ||||
| 7,235,000 | PFS Financing Corp., Class A, Series 2023-B, 5.27%, 5/15/28(a) | 7,153,324 | ||||
| 8,307,000 | Porsche Financial Auto Securitization Trust, Class A3, Series 2023-1A, 4.81%, 9/22/28, Callable 11/22/26 @ 100(a) | 8,198,771 | ||||
| 416,233 | Prodigy Finance CM2021-1 DAC, Class A, Series 2021-1A, 6.45% (US0001M+125bps), 7/25/51, Callable 2/25/27 @ 100(a) | 410,450 | ||||
| 2,009,000 | Regional Management Issuance Trust, Class A, Series 2021-2, 1.90%, 8/15/33, Callable 8/15/26 @ 100(a) | 1,688,170 | ||||
| Principal Amount | Value | |||||
| Asset Backed Securities, continued |
||||||
| $490,000 | SMB Private Education Loan Trust, Class B, Series 2021-A, 2.31%, 1/15/53(a) | $ | 440,552 | |||
| 1,518,791 | SMB Private Education Loan Trust, Class A1A, Series BA, 1.29%, 7/15/53(a) | 1,351,496 | ||||
| 3,203,851 | SMB Private Education Loan Trust, Class A2A1, Series 2021-A, 5.92% (US0001M+73bps), 1/15/53(a) | 3,137,528 | ||||
| 5,764,487 | SMB Private Education Loan Trust, Class A1B, Series 2022-D, 6.87% (SOFR30A+180bps), 10/15/58(a) | 5,821,580 | ||||
| 1,742,230 | SMB Private Education Loan Trust, Class A1B, Series 2022-C, 6.92% (SOFR30A+185bps), 5/16/50(a) | 1,753,820 | ||||
| 2,953,208 | SMB Private Education Loan Trust, Class APT, Series 2022-A, 2.85%, 11/16/54(a) | 2,640,587 | ||||
| 8,665,000 | SMB Private Education Loan Trust, Class A1B, Series 2023-B(SOFR30A+180bps), 10/16/56(a) | 8,683,740 | ||||
| 249,213 | SMB Private Education Loan Trust, Class A2B, Series 2020-A, 6.02% (US0001M+83bps), 9/15/37(a) | 244,785 | ||||
| 1,034,407 | SMB Private Education Loan Trust, Class APT1, Series 2021-C, 1.39%, 1/15/53(a) | 894,838 | ||||
| 271,417 | SMB Private Education Loan Trust, Class A2B, Series 2017-B, 5.94% (US0001M+75bps), 10/15/35(a) | 267,293 | ||||
| 1,019,282 | SoFi Professional Loan Program, Class A2FX, Series 2020-A, 2.54%, 5/15/46, Callable 6/15/27 @ 100(a) | 931,680 | ||||
| 519,203 | SoFi Professional Loan Program, Class AFX, Series 2020-C, 1.95%, 2/15/46, Callable 5/15/28 @ 100(a) | 464,359 | ||||
| 402,107 | SoFi Professional Loan Program, Class A2FX, Series 2019-B, 3.09%, 8/17/48, Callable 6/15/26 @ 100(a) | 377,384 | ||||
| 983,943 | SoFi Professional Loan Program, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 7/25/25 @ 100(a) | 945,448 | ||||
| 6,151,000 | Toyota Auto Receivables Owner Trust, Class A3, Series 2023-B, 4.71%, 2/15/28, Callable 9/15/25 @ 100 | 6,077,548 | ||||
| 2,569,000 | Volkswagen Auto Loan Enhanced Trust, Class A3, Series 2023-1, 5.02%, 6/20/28, Callable 11/20/26 @ 100 | 2,558,497 | ||||
|
|
|
|||||
| Total Asset Backed Securities (Cost $241,401,053) |
233,930,194 | |||||
|
|
|
|||||
| Collateralized Mortgage Obligations (6.5%): |
||||||
| 1,930,000 | ACRES Commercial Realty, Ltd., Class A, Series 2021-FL2, 6.56% (US0001M+140bps), 1/15/37, Callable 12/15/23 @ 100(a) | 1,884,793 | ||||
| 2,000,000 | AIMCO CLO, Class AR, Series 2017-AA, 6.30% (US0003M+105bps), 4/20/34, Callable 7/20/23 @ 100(a) | 1,962,878 | ||||
| 2,810,000 | Alen Mortgage Trust, Class A, Series 2021-ACEN, 6.34% (US0001M+115bps), 4/15/38(a) | 2,326,079 | ||||
| 870,000 | Allegro CLO VIII, Ltd., Class A, Series 2018-2A, 6.36% (US0003M+110bps), 7/15/31, Callable 7/15/23 @ 100(a) | 856,797 | ||||
| 979,093 | Anchorage Capital CLO 7, Ltd., Class AR2, Series 2015-7A, 6.36% (US0003M+109bps), 1/28/31, Callable 7/28/23 @ 100(a) | 968,113 | ||||
| 1,170,000 | Apidos CLO XX, Class A1RA, Series 2015-20A, 6.36% (US0003M+110bps), 7/16/31, Callable 7/16/23 @ 100(a) | 1,155,743 | ||||
See accompanying notes to the financial statements.
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $950,000 | Apidos CLO Xxv, Class A1R, Series 2016-25A, 6.42% (US0003M+117bps), 10/20/31, Callable 7/20/23 @ 100(a) | $ | 937,998 | |||
| 2,140,000 | Arbor Realty Commercial Real Estate Notes, Ltd., Class A, Series 2021-FL4, 6.54% (US0001M+135bps), 11/15/36, Callable 6/15/24 @ 100(a) | 2,097,200 | ||||
| 398,872 | Ares XL CLO, Ltd., Class A1RA, Series 2016-40A, 6.13% (US0003M+87bps), 1/15/29, Callable 7/15/23 @ 100(a) | 395,865 | ||||
| 500,000 | Ares XXXIIR CLO, Ltd., Class A1A, Series 2014- 32RA, 6.26% (US0003M+94bps), 5/15/30, Callable 8/15/23 @ 100(a) | 494,195 | ||||
| 1,530,421 | Arroyo Mortgage Trust, Class A1, Series 2022-2, 4.95%, 7/25/57, Callable 7/25/25 @ 100(a) | 1,441,330 | ||||
| 1,330,000 | BANK, Class A5, Series 2021-BN38, 2.52%, 12/15/64, Callable 12/15/31 @ 100 | 1,080,517 | ||||
| 3,850,000 | Barclays Commercial Mortgage Trust, Class A, Series 2018-TALL, 6.07% (US0001M+72bps), 3/15/37(a) | 2,928,223 | ||||
| 1,171,504 | Battalion CLO VIII, Ltd., Class A1R2, Series 2015- 8A, 6.33% (US0003M+107bps), 7/18/30, Callable 7/18/23 @ 100(a) | 1,161,473 | ||||
| 2,290,000 | Battalion CLO X, Ltd., Class A1R2, Series 2016-10A, 6.44% (US0003M+117bps), 1/25/35, Callable 7/24/23 @ 100(a) | 2,241,198 | ||||
| 3,270,000 | BBCMS Mortgage Trust, Class A2B, Series 2023- C19, 5.75%, 4/15/56, Callable 4/15/33 @ 100 | 3,248,351 | ||||
| 1,990,000 | BDS, Ltd., Class A, Series 2021-FL10, 6.51% (US0001M+135bps), 12/18/36, Callable 12/16/23 @ 100(a) | 1,950,821 | ||||
| 1,040,000 | Benchmark Mortgage Trust, Class B, Series 2019- B15, 3.56%, 12/15/72, Callable 12/15/29 @ 100 | 770,410 | ||||
| 3,120,000 | Benchmark Mortgage Trust, Class A5, Series 2019- B12, 3.12%, 8/15/52, Callable 8/15/29 @ 100 | 2,724,210 | ||||
| 1,540,000 | BSPRT Issuer, Ltd., Class A, Series 2021-FL7, 6.51% (US0001M+132bps), 12/15/38, Callable 12/15/23 @ 100(a) | 1,505,386 | ||||
| 3,350,000 | BX Commercial Mortgage Trust, Class A, Series 2020-ViV4, 2.84%, 3/9/44, Callable 3/9/30 @ 100(a) | 2,764,599 | ||||
| 1,476,904 | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 6.18% (US0001M+92bps), 10/15/36(a) | 1,467,635 | ||||
| 3,400,000 | BX Trust, Class A, Series 2023-A, 7.69% (TSFR1M+269bps), 5/15/38(a) | 3,391,349 | ||||
| 551,000 | BX Trust, Class D, Series 2019-OC11, 4.08%, 12/9/41, Callable 12/9/29 @ 100(a) | 455,108 | ||||
| 603,000 | Cantor Commercial Real Estate Lending, Class B, Series 2019-CF3, 3.50%, 1/15/53, Callable 12/15/29 @ 100(b) | 463,687 | ||||
| 615,000 | Cantor Commercial Real Estate Lending, Class A4, Series 2019-CF2, 2.62%, 11/15/52, Callable 10/15/29 @ 100 | 512,470 | ||||
| 400,000 | CARLYLE US CLO, Ltd., Class A1, Series 2021-5A, 6.37% (US0003M+112bps), 7/20/34, Callable 7/20/23 @ 100(a) | 393,164 | ||||
| 2,235,000 | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016- 6A, 6.30% (US0003M+105bps), 4/20/34, Callable 7/20/23 @ 100(a) | 2,176,523 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $1,950,000 | CEDR Commercial Mortgage Trust, Class A, Series 2022-SNAI, 6.14% (TSFR1M+99bps), 2/15/39(a) | $ | 1,789,091 | |||
| 240,345 | Chase Home Lending Mortgage Trust, Class A11, Series 2019-ATR2, 6.04% (US0001M+90bps), 7/25/49, Callable 9/25/27 @ 100(a) | 224,375 | ||||
| 1,750,000 | CIFC Funding, Ltd., Class A, Series 2018-3A, 6.36% (US0003M+110bps), 7/18/31, Callable 7/18/23 @ 100(a) | 1,733,375 | ||||
| 1,250,000 | CIFC Funding, Ltd., Class A1, Series 2013-3RA, 6.25% (US0003M+98bps), 4/24/31, Callable 7/24/23 @ 100(a) | 1,238,033 | ||||
| 329,932 | CIFC Funding, Ltd., Class A1, Series 2017-5A, 6.44% (US0003M+118bps), 11/16/30, Callable 7/17/23 @ 100(a) | 328,253 | ||||
| 687,298 | CIM Trust, Class A11, Series 2019-INV3, 5.50% (US0001M+100bps), 8/25/49, Callable 3/25/35 @ 100(a) | 641,478 | ||||
| 145,007 | CIM Trust, Class A1, Series 2021-R6, 1.42%, 7/25/61, Callable 9/25/26 @ 100(a)(b) | 123,332 | ||||
| 667,000 | Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48, Callable 6/10/26 @ 100 | 632,614 | ||||
| 3,075,000 | Commercial Mortgage Loan Trust, Class A4, Series 2015-CCRE26, 3.63%, 10/10/48, Callable 9/10/25 @ 100 | 2,894,439 | ||||
| 2,253,698 | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(a) | 1,987,395 | ||||
| 1,195,000 | CSAIL Commercial Mortgage Trust, Class B, Series 2019-C15, 4.48%, 3/15/52, Callable 2/15/29 @ 100 | 1,034,481 | ||||
| 210,000 | CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51, Callable 4/15/28 @ 100(b) | 193,604 | ||||
| 1,646,290 | CSMC, Class A1, Series 2021-NQM8, 1.84%, 10/25/66, Callable 11/25/24 @ 100(a)(b) | 1,395,489 | ||||
| 2,335,000 | CSMC, Class B, Series 2021-BHAR, 6.69% (US0001M+150bps), 11/15/38(a) | 2,274,394 | ||||
| 1,998,372 | Dewolf Park CLO, Ltd., Class AR, Series 2017-1A, 6.18% (US0003M+92bps), 10/15/30, Callable 7/15/23 @ 100(a) | 1,972,389 | ||||
| 1,440,000 | Diameter Capital CLO 1, Ltd., Class A1A, Series 2021-1A, 6.50% (US0003M+124bps), 7/15/36, Callable 10/15/23 @ 100(a) | 1,417,017 | ||||
| 482,843 | Dryden 30 Senior Loan Fund, Class AR, Series 2013- 30A, 6.14% (US0003M+82bps), 11/15/28, Callable 8/15/23 @ 100(a) | 479,355 | ||||
| 1,962,515 | Dryden 37 Senior Loan Fund, Class AR, Series 2015- 37A, 6.36% (US0003M+110bps), 1/15/31, Callable 7/15/23 @ 100(a) | 1,945,477 | ||||
| 2,095,000 | Dryden 43 Senior Loan Fund, Class AR2, Series 2016-43A, 6.29% (US0003M+104bps), 4/20/34, Callable 7/20/23 @ 100(a) | 2,050,940 | ||||
| 470,000 | Dryden 60 CLO, Ltd., Class A, Series 2018-60A, 6.31% (US0003M+105bps), 7/15/31, Callable 7/15/23 @ 100(a) | 465,907 | ||||
| 800,000 | Dryden 75 CLO, Ltd., Class AR2, Series 2019-75A, 6.30% (US0003M+104bps), 4/15/34, Callable 7/15/23 @ 100(a) | 782,000 | ||||
| 4,750,000 | Elmwood CLO II, Ltd., Class AR, Series 2019-2A, 6.40% (US0003M+115bps), 4/20/34, Callable 7/20/23 @ 100(a) | 4,677,605 | ||||
See accompanying notes to the financial statements.
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $490,401 | Flagstar Mortgage Trust, Class A11, Series 2019-1, 5.50% (US0001M+95bps), 10/25/49, Callable 7/25/28 @ 100(a) | $ | 458,936 | |||
| 4,230,000 | Flatiron CLO 18, Ltd., Class A, Series 2018-1A, 6.20% (TSFR3M+121bps), 4/17/31, Callable 7/17/23 @ 100(a) | 4,186,955 | ||||
| 995,741 | FRESB Multifamily Mortgage Pass Through, Class A10H, Series 2019-SB60, 3.50% (US0001M+350bps), 1/25/39, Callable 12/25/28 @ 100 | 909,452 | ||||
| 1,209,609 | FS RIALTO, Class A, Series 2021-FL2, 6.44% (US0001M+122bps), 4/16/26, Callable 7/16/23 @ 100(a) | 1,181,385 | ||||
| 2,720,000 | FS Rialto Issuer LLC, Class A, Series 2022-FL4, 6.97% (SOFR30A+190bps), 1/19/39, Callable 4/17/24 @ 100(a) | 2,657,499 | ||||
| 2,130,000 | Galaxy XXVI CLO, Ltd., Class A, Series 2018-26A, 6.58% (US0003M+120bps), 11/22/31, Callable 8/22/23 @ 100(a) | 2,106,328 | ||||
| 1,122,000 | Galaxy XXVII CLO, Ltd., Class A, Series 2018-27A, 6.34% (US0003M+102bps), 5/16/31, Callable 8/16/23 @ 100(a) | 1,107,140 | ||||
| 2,763,742 | GCAT Trust, Class A1, Series 2021-NQM7, 1.91%, 8/25/66, Callable 4/25/30 @ 100(a)(b) | 2,389,415 | ||||
| 4,110,000 | Great Wolf Trust, Class A, Series 2019-WOLF, 6.30% (TSFR1M+115bps), 12/15/36(a) | 4,061,672 | ||||
| 329,234 | Grippen Park CLO, Ltd., Class A, Series 2017-1A, 6.51% (US0003M+126bps), 1/20/30, Callable 7/20/23 @ 100(a) | 327,349 | ||||
| 3,575,853 | GS Mortgage Backed Securities Corp. Trust, Class A4, Series 2022-PJ2, 2.50%, 6/25/52, Callable 7/25/43 @ 100(a)(b) | 2,869,343 | ||||
| 2,105,000 | GS Mortgage Securities Corp. Trust, Class B, Series 2023-FUN, 7.94% (TSFR1M+279bps), 3/15/28(a) | 2,066,770 | ||||
| 2,090,000 | GS Mortgage Securities Corp. Trust, Class A, Series 2023-FUN, 7.24% (TSFR1M+209bps), 3/15/28(a) | 2,060,057 | ||||
| 1,046,946 | GS Mortgage-Backed Securities Trust, Class A2, Series 2021-PJ2, 2.50%, 7/25/51, Callable 3/25/42 @ 100(a)(b) | 827,460 | ||||
| 1,620,200 | GS Mortgage-Backed Securities Trust, Class A2, Series 2021-PJ6, 2.50%, 11/25/51, Callable 3/25/45 @ 100(a)(b) | 1,299,451 | ||||
| 1,010,693 | Homeward Opportunities Fund Trust, Class A1, Series 2022-1, 5.08%, 7/25/67, Callable 8/25/25 @ 100(a)(b) | 970,031 | ||||
| 1,525,000 | IMT Trust, Class BFX, Series 2017-APTS, 3.61%, 6/15/34(a)(b) | 1,466,226 | ||||
| 270,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class D, Series 2022-OPO, 3.56%, 1/5/39(a) (b) | 188,392 | ||||
| 2,314,003 | J.P. Morgan Mortgage Trust, Class A3B, Series 2022-INV3, 3.00%, 9/25/52, Callable 9/25/43 @ 100(a)(b) | 1,934,452 | ||||
| 1,500,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2022-NXSS, 7.33% (TSFR1M+218bps), 9/15/39(a) | 1,500,313 | ||||
| 3,460,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2021-NYAH, 5.95% (US0001M+76bps), 6/15/38 | 3,356,297 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $153,347 | JP Morgan Mortgage Trust, Class A11, Series 2019- 7, 6.02% (US0001M+90bps), 2/25/50, Callable 3/25/35 @ 100(a) | $ | 142,888 | |||
| 443,507 | JP Morgan Mortgage Trust, Class A11, Series 2019- INV2, 6.04% (US0001M+90bps), 2/25/50, Callable 9/25/34 @ 100(a) | 418,015 | ||||
| 547,668 | JP Morgan Mortgage Trust, Class A3, Series 2021- 7, 2.50%, 11/25/51, Callable 1/25/45 @ 100(a)(b) | 438,905 | ||||
| 79,774 | JP Morgan Mortgage Trust, Class A11, Series 2020- LTV1, 6.00% (US0001M+100bps), 6/25/50, Callable 3/25/38 @ 100(a) | 78,175 | ||||
| 969,324 | JP Morgan Mortgage Trust, Class A12, Series 2021- 12, 5.00%, 2/25/52, Callable 11/25/42 @ 100(a)(b) | 934,171 | ||||
| 1,479,759 | JP Morgan Mortgage Trust, Class A12, Series 2021- 14, 5.00%, 5/25/52, Callable 4/25/43 @ 100(a)(b) | 1,415,019 | ||||
| 390,001 | JP Morgan Mortgage Trust, Class A11, Series 2019- INV3, 6.00% (US0001M+100bps), 5/25/50, Callable 12/25/28 @ 100(a) | 366,648 | ||||
| 753,007 | JP Morgan Mortgage Trust, Class A3, Series 2021- 12, 2.50%, 2/25/52, Callable 11/25/42 @ 100(a)(b) | 602,523 | ||||
| 69,825 | JP Morgan Mortgage Trust, Class A11, Series 2019- LTV3, 5.99% (US0001M+85bps), 2/25/50, Callable 7/25/25 @ 100(a) | 68,821 | ||||
| 93,378 | JP Morgan Mortgage Trust, Class A5, Series 2019- LTV3, 3.50%, 2/25/50, Callable 7/25/25 @ 100(a)(b) | 90,387 | ||||
| 700,000 | JPMDB Commercial Mortgage Securities Trust, Class A5, Series 2017-C5, 3.69%, 3/15/50, Callable 4/15/27 @ 100 | 645,455 | ||||
| 2,904,000 | KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 6.14% (US0001M+80bps), 5/15/36(a) | 2,884,096 | ||||
| 1,000,000 | LCM XVIII, LP, Class A1R, Series 18A, 6.27% (US0003M+102bps), 4/20/31, Callable 7/20/23 @ 100(a) | 988,099 | ||||
| 1,503,944 | Life Mortgage Trust, Class A, Series 2021-BMR, 5.96% (US0001M+70bps), 3/15/38(a) | 1,465,465 | ||||
| 1,875,000 | LoanCore Issuer, Ltd., Class A, Series 2021-CRE6, 6.49% (US0001M+130bps), 11/15/38, Callable 11/15/23 @ 100(a) | 1,803,839 | ||||
| 1,120,000 | Madison Park Funding LXII, Ltd., Class A1, Series 2022-62A, 7.24% (TSFR3M+225bps), 7/17/33, Callable 7/17/23 @ 100(a) | 1,119,998 | ||||
| 991,351 | Madison Park Funding XVII, Ltd., Class ARR, Series 2015-18A, 6.20% (US0003M+94bps), 10/21/30, Callable 7/21/23 @ 100(a) | 982,695 | ||||
| 1,000,000 | Madison Park Funding XXXV, Ltd., Class A1R, Series 2019-35A, 6.24% (US0003M+99bps), 4/20/32, Callable 7/20/23 @ 100(a) | 985,588 | ||||
| 2,906,431 | Mello Mortgage Capital Acceptance, Class A3, Series 2022-INV2, 3.00%, 4/25/52, Callable 8/25/48 @ 100(a)(b) | 2,418,810 | ||||
| 630,000 | MF1, Class A, Series 2021-W10, 6.22% (SOFR30A+107bps), 12/15/24(a) | 608,359 | ||||
| 1,505,000 | MHP, Class A, Series 2021-STOR, 5.89% (US0001M+70bps), 7/15/38(a) | 1,462,927 | ||||
| 1,115,000 | MIRA Trust, Class A, Series 2023-MILE, 6.75%, 6/10/28(a) | 1,111,177 | ||||
| 1,067,684 | Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48, Callable 8/15/25 @ 100 | 1,014,248 | ||||
See accompanying notes to the financial statements.
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $1,540,000 | Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49, Callable 11/15/26 @ 100 | $ | 1,413,013 | |||
| 2,271,664 | Neuberger Berman CLO XV, Class A1R2, Series 2013-15A, 6.18% (US0003M+92bps), 10/15/29, Callable 7/15/23 @ 100(a) | 2,249,004 | ||||
| 10,055,124 | Neuberger Berman Loan Advisers CLO 25, Ltd., Class AR, Series 2017-25A, 6.19% (US0003M+93bps), 10/18/29, Callable 7/18/23 @ 100(a) | 9,960,224 | ||||
| 800,000 | Neuberger Berman Loan Advisers CLO 32, Ltd., Class AR, Series 2019-32A, 6.26% (US0003M+99bps), 1/20/32, Callable 7/19/23 @ 100(a) | 788,476 | ||||
| 1,459,773 | OBX Trust, Class A1, Series 2022-INV3, 3.00%, 2/25/52, Callable 2/25/48 @ 100(a)(b) | 1,217,599 | ||||
| 1,960,000 | OCP CLO, Ltd., Class A1, Series 2018-15A, 6.35% (US0003M+110bps), 7/20/31, Callable 7/20/23 @ 100(a) | 1,931,286 | ||||
| 470,000 | OCP CLO, Ltd., Class AR, Series 2019-16A, 6.54% (US0003M+100bps), 4/10/33, Callable 7/10/23 @ 100(a) | 461,761 | ||||
| 1,905,000 | Octagon 66, Ltd., Class A, Series 2022-1A, 7.01% (TSFR3M+194bps), 8/16/33, Callable 8/16/23 @ 100(a) | 1,905,794 | ||||
| 345,389 | Octagon Investment Partners 30, Ltd., Class A1R, Series 2017-1A, 6.25% (US0003M+100bps), 3/17/30, Callable 7/20/23 @ 100(a) | 341,110 | ||||
| 3,522,315 | OCTAGON INVESTMENT PARTNERS 35, LTD., Class A1A, Series 2018-1A, 6.31% (US0003M+106bps), 1/20/31, Callable 7/20/23 @ 100(a) | 3,496,103 | ||||
| 1,000,000 | Octagon Investment Partners XVI, Ltd., Class A1R, Series 2013-1A, 6.28% (US0003M+102bps), 7/17/30, Callable 7/17/23 @ 100(a) | 991,574 | ||||
| 1,200,000 | Octagon Investment Partners XVII, Ltd., Class A2R2, Series 2013-1A, 6.36% (US0003M+110bps), 1/25/31, Callable 7/25/23 @ 100(a) | 1,166,581 | ||||
| 2,219,296 | One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%, 10/15/30, Callable 10/15/23 @ 100(a)(b) | 2,217,838 | ||||
| 1,510,000 | One New York Plaza Trust, Class A, Series 2020- 1NYP, 6.14% (US0001M+95bps), 1/15/26(a) | 1,432,459 | ||||
| 1,075,805 | Palmer Square CLO, Ltd., Class A1R2, Series 2014- 1A, 6.39% (US0003M+113bps), 1/17/31, Callable 7/17/23 @ 100(a) | 1,067,709 | ||||
| 2,700,000 | Palmer Square CLO, Ltd., Class A1A, Series 2022- 4A, 7.20% (TSFR3M+215bps), 10/20/35, Callable 1/20/25 @ 100(a) | 2,699,904 | ||||
| 2,159,812 | PRKCM Trust, Class A1, Series 2021-AFC2, 2.07%, 11/25/56, Callable 10/25/45 @ 100(a)(b) | 1,782,164 | ||||
| 630,942 | RCKT Mortgage Trust, Class A1, Series 2021-1, 2.50%, 3/25/51, Callable 9/25/46 @ 100(a)(b) | 507,859 | ||||
| 1,921,753 | Regatta X Funding, Ltd., Class A, Series 2017-3A, 6.38% (US0003M+112bps), 1/17/31, Callable 7/17/23 @ 100(a) | 1,904,755 | ||||
| 1,147,947 | RR 3, Ltd., Class A1R2, Series 2018-3A, 6.35% (US0003M+109bps), 1/15/30, Callable 7/15/23 @ 100(a) | 1,138,557 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $545,232 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 8/25/43 @ 100 | $ | 519,650 | |||
| 1,404,782 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2019-2, 3.50%, 8/25/58, Callable 9/25/51 @ 100 | 1,313,794 | ||||
| 125,000 | SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48, Callable 7/10/26 @ 100 | 113,594 | ||||
| 819,445 | SG Residential Mortgage Trust, Class A1, Series 2022-2, 5.35%, 9/25/67, Callable 8/25/25 @ 100(a) (b) | 799,991 | ||||
| 1,500,000 | Signal Peak CLO 4, Ltd., Class XR, Series 2017-4A, 6.22% (US0003M+95bps), 10/26/34, Callable 10/26/23 @ 100 | 1,490,329 | ||||
| 1,000,000 | Signal Peak CLO 5, Ltd., Class A, Series 2018-5A, 6.37% (US0003M+111bps), 4/25/31, Callable 7/25/23 @ 100(a) | 992,378 | ||||
| 1,000,000 | Signal Peak CLO 8, Ltd., Class A, Series 2020-8A, 6.52% (US0003M+127bps), 4/20/33, Callable 7/20/23 @ 100(a) | 987,500 | ||||
| 2,810,000 | Taubman Centers Commercial Mortgage Trust, Class A, Series 2022-DPM, 7.33% (TSFR1M+219bps), 5/15/37(a) | 2,729,566 | ||||
| 761,376 | TCI-Flatiron CLO, Ltd., Class AR, Series 2017-1A, 6.29% (US0003M+96bps), 11/18/30, Callable 8/17/23 @ 100(a) | 754,993 | ||||
| 4,486,052 | TCI-Symphony CLO, Ltd., Class AR, Series 2017-1A, 6.19% (US0003M+93bps), 7/15/30, Callable 7/15/23 @ 100(a) | 4,439,222 | ||||
| 388,839 | Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 6.24% (US0001M+75bps), 11/11/34(a) | 381,809 | ||||
| 2,987,103 | UWM Mortgage Trust, Class A10, Series 2021- INV5, 5.00%, 1/25/52, Callable 2/25/46 @ 100(a)(b) | 2,878,773 | ||||
| 2,659,236 | Verus Securitization Trust, Class A1, Series 2022-3, 4.13%, 2/25/67, Callable 3/25/25 @ 100(a) | 2,425,479 | ||||
| 1,000,000 | Voya CLO, Ltd., Class A1R, Series 2017-3A, 6.29% (US0003M+104bps), 4/20/34, Callable 7/20/23 @ 100(a) | 979,585 | ||||
| 725,000 | Voya CLO, Ltd., Class AR, Series 2019-1A, 6.32% (US0003M+106bps), 4/15/31, Callable 7/15/23 @ 100(a) | 717,256 | ||||
| 1,015,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48, Callable 11/15/25 @ 100 | 959,513 | ||||
| 8,487,714 | Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 0.97%, 12/15/59, Callable 9/15/26 @ 100(b) | 192,158 | ||||
| 775,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48, Callable 5/15/25 @ 100 | 736,077 | ||||
| 1,250,000 | Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48, Callable 4/15/25 @ 100 | 1,114,156 | ||||
| 1,500,000 | Whitebox CLO III, Ltd., Class A1, Series 2021-3A, 6.48% (US0003M+122bps), 10/15/34, Callable 10/15/23 @ 100(a) | 1,477,206 | ||||
|
|
|
|||||
| Total Collateralized Mortgage Obligations (Cost $208,213,402) |
198,685,188 | |||||
|
|
|
|||||
See accompanying notes to the financial statements.
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds (22.1%): |
||||||
| Aerospace & Defense (1.3%): |
||||||
| $4,137,000 | BAE Systems Holdings, Inc., 3.85%, 12/15/25, Callable 9/15/25 @ 100(a) | $ | 3,951,778 | |||
| 219,000 | General Dynamics Corp., 3.50%, 4/1/27, Callable 2/1/27 @ 100 | 208,780 | ||||
| 1,982,000 | Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | 1,903,130 | ||||
| 723,000 | Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100 | 662,449 | ||||
| 2,674,000 | Huntington Ingalls Industries, Inc., 2.04%, 8/16/28, Callable 6/16/28 @ 100 | 2,234,461 | ||||
| 360,000 | Huntington Ingalls Industries, Inc., 4.20%, 5/1/30, Callable 2/1/30 @ 100 | 332,771 | ||||
| 2,069,000 | L3Harris Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100 | 1,971,664 | ||||
| 1,017,000 | Lockheed Martin Corp., 3.80%, 3/1/45, Callable 9/1/44 @ 100 | 856,834 | ||||
| 570,000 | Lockheed Martin Corp., 4.15%, 6/15/53, Callable 12/15/52 @ 100 | 499,241 | ||||
| 332,000 | Lockheed Martin Corp., 5.20%, 2/15/55, Callable 8/15/54 @ 100 | 339,613 | ||||
| 2,266,000 | Northrop Grumman Corp., 4.70%, 3/15/33, Callable 12/15/32 @ 100 | 2,219,352 | ||||
| 722,000 | Northrop Grumman Corp., 3.85%, 4/15/45, Callable 10/15/44 @ 100 | 586,151 | ||||
| 2,555,000 | Northrop Grumman Corp., 4.03%, 10/15/47, Callable 4/15/47 @ 100 | 2,182,440 | ||||
| 775,000 | Northrop Grumman Corp., 5.25%, 5/1/50, Callable 11/1/49 @ 100 | 784,825 | ||||
| 2,680,000 | Northrop Grumman Corp., 4.95%, 3/15/53, Callable 9/15/52 @ 100 | 2,593,184 | ||||
| 115,000 | Raytheon Technologies Corp., 7.00%, 11/1/28 | 122,318 | ||||
| 4,719,000 | Raytheon Technologies Corp., 4.13%, 11/16/28, Callable 8/16/28 @ 100 | 4,536,483 | ||||
| 4,330,000 | Raytheon Technologies Corp., 2.38%, 3/15/32, Callable 12/15/31 @ 100 | 3,548,517 | ||||
| 415,000 | Raytheon Technologies Corp., 4.20%, 12/15/44, Callable 6/15/44 @ 100 | 337,046 | ||||
| 709,000 | Raytheon Technologies Corp., 4.35%, 4/15/47, Callable 10/15/46 @ 100 | 629,971 | ||||
| 469,000 | Raytheon Technologies Corp., 4.05%, 5/4/47, Callable 11/4/46 @ 100 | 397,358 | ||||
| 324,000 | Raytheon Technologies Corp., 4.63%, 11/16/48, Callable 5/16/48 @ 100 | 301,449 | ||||
| 4,525,000 | Raytheon Technologies Corp., 2.82%, 9/1/51, Callable 3/1/51 @ 100 | 3,038,746 | ||||
| 1,251,000 | Raytheon Technologies Corp., 5.38%, 2/27/53, Callable 8/27/52 @ 100 | 1,289,434 | ||||
| 589,000 | Textron, Inc., 3.65%, 3/15/27, Callable 12/15/26 @ 100 | 551,705 | ||||
| 1,136,000 | Textron, Inc., 3.38%, 3/1/28, Callable 12/1/27 @ 100 | 1,032,540 | ||||
| 872,000 | Textron, Inc., 3.90%, 9/17/29, Callable 6/17/29 @ 100 | 800,174 | ||||
| 507,000 | Textron, Inc., 3.00%, 6/1/30, Callable 3/1/30 @ 100 | 441,628 | ||||
| 449,000 | Textron, Inc., 2.45%, 3/15/31, Callable 12/15/30 @ 100 | 371,035 | ||||
| 1,611,000 | The Boeing Co., 3.95%, 8/1/59, Callable 2/1/59 @ 100 | 1,179,716 | ||||
|
|
|
|||||
| 39,904,793 | ||||||
|
|
|
|||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Air Freight & Logistics (0.0%†): |
||||||
| $888,293 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29 | $ | 874,968 | |||
|
|
|
|||||
| Banks (1.8%): |
||||||
| 568,000 | Bank of America Corp., 1.32% (SOFR+115 bps), 6/19/26, Callable 6/19/25 @ 100, MTN | 520,061 | ||||
| 1,946,000 | Bank of America Corp., 3.71% (US0003M+151 bps), 4/24/28, Callable 4/24/27 @ 100 | 1,822,040 | ||||
| 2,164,000 | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | 1,979,647 | ||||
| 1,766,000 | Bank of America Corp., 3.97% (US0003M+107 bps), 3/5/29, Callable 3/5/28 @ 100, MTN | 1,649,048 | ||||
| 6,274,000 | Bank of America Corp., 2.09% (SOFR+106 bps), 6/14/29, Callable 6/14/28 @ 100 | 5,336,658 | ||||
| 3,537,000 | Bank of America Corp., 2.50% (US0003M+99 bps), 2/13/31, Callable 2/13/30 @ 100, MTN | 2,949,147 | ||||
| 939,000 | Bank of America Corp., 0.65% (EUR003M+94 bps), 10/26/31, Callable 10/26/30 @ 100, MTN(a) | 791,385 | ||||
| 2,411,000 | Bank of America Corp., 2.65% (SOFRRATE+1 bps), 3/11/32, Callable 3/11/31 @ 100 | 1,989,393 | ||||
| 369,000 | Bank of America Corp., 2.69% (SOFR+132 bps), 4/22/32, Callable 4/22/31 @ 100 | 305,576 | ||||
| 579,000 | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | 462,612 | ||||
| 10,957,000 | Bank of America Corp., 5.29% (SOFFRATE+2 bps), 4/25/34, Callable 4/25/33 @ 100 | 10,847,178 | ||||
| 351,000 | Capital One NA, 2.28%, 1/28/26, Callable 1/28/25 @ 100 | 327,010 | ||||
| 2,707,000 | Citigroup, Inc., 2.98% (SOFR+142 bps), 11/5/30, Callable 11/5/29 @ 100 | 2,342,521 | ||||
| 1,437,000 | Citigroup, Inc., 3.79% (SOFR+194 bps), 3/17/33, Callable 3/17/32 @ 100 | 1,261,759 | ||||
| 1,879,000 | Citigroup, Inc., 6.27% (SOFR+234 bps), 11/17/33, Callable 11/17/32 @ 100 | 1,992,056 | ||||
| 625,000 | Federal Farm Credit Banks Funding Corp., 3.50%, 9/1/32 | 584,779 | ||||
| 1,045,000 | Federal Farm Credit Banks Funding Corp., 3.88%, 9/20/32 | 1,006,900 | ||||
| 1,196,000 | JP Morgan Chase & Co., 1.95%, 2/4/32, Callable 2/4/31 @ 100 | 949,342 | ||||
| 461,000 | JP Morgan Chase & Co., 2.58% (SOFR+125 bps), 4/22/32, Callable 4/22/31 @ 100 | 381,748 | ||||
| 2,412,000 | JP Morgan Chase & Co., 5.35%, 6/1/34, Callable 6/1/33 @ 100 | 2,423,990 | ||||
| 714,000 | JPMorgan Chase & Co., 2.95% (SOFR+117 bps), 2/24/28, Callable 2/24/27 @ 100 | 655,369 | ||||
| 3,185,000 | JPMorgan Chase & Co., 3.70% (US0003M+116 bps), 5/6/30, Callable 5/6/29 @ 100 | 2,912,632 | ||||
| 3,373,000 | JPMorgan Chase & Co., 2.96% (SOFR+126 bps), 1/25/33, Callable 1/25/32 @ 100 | 2,835,573 | ||||
| 1,700,000 | Morgan Stanley Bank NA, 4.75%, 4/21/26, Callable 3/21/26 @ 100 | 1,674,748 | ||||
| 705,000 | Wells Fargo & Co., 2.57% (US0003M+100 bps), 2/11/31, Callable 2/11/30 @ 100, MTN | 595,626 | ||||
| 6,541,000 | Wells Fargo & Co., 5.39% (SOFRRATE+5 bps), 4/24/34, Callable 4/24/33 @ 100 | 6,497,914 | ||||
|
|
|
|||||
| 55,094,712 | ||||||
|
|
|
|||||
See accompanying notes to the financial statements.
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Beverages (0.1%): |
||||||
| $1,690,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | $ | 1,568,352 | |||
| 627,000 | Anheuser-Busch InBev Worldwide, Inc., 4.90%, 1/23/31, Callable 10/23/30 @ 100 | 637,244 | ||||
| 475,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48, Callable 10/15/47 @ 100 | 438,560 | ||||
|
|
|
|||||
| 2,644,156 | ||||||
|
|
|
|||||
| Biotechnology (0.8%): |
| |||||
| 2,680,000 | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | 2,547,967 | ||||
| 3,422,000 | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | 3,241,305 | ||||
| 666,000 | AbbVie, Inc., 4.40%, 11/6/42 | 594,502 | ||||
| 5,302,000 | Amgen, Inc., 5.15%, 3/2/28, Callable 2/2/28 @ 100 | 5,300,102 | ||||
| 1,698,000 | Amgen, Inc., 4.05%, 8/18/29, Callable 6/18/29 @ 100 | 1,608,157 | ||||
| 722,000 | Amgen, Inc., 5.25%, 3/2/30, Callable 1/2/30 @ 100 | 723,842 | ||||
| 1,917,000 | Amgen, Inc., 5.65%, 3/2/53, Callable 9/2/52 @ 100 | 1,939,402 | ||||
| 1,007,000 | Amgen, Inc., 4.40%, 2/22/62, Callable 8/22/61 @ 100 | 825,626 | ||||
| 2,326,000 | Amgen, Inc., 5.75%, 3/2/63, Callable 9/2/62 @ 100 | 2,360,927 | ||||
| 2,929,000 | Gilead Sciences, Inc., 2.60%, 10/1/40, Callable 4/1/40 @ 100 | 2,113,918 | ||||
| 1,364,000 | Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100 | 1,299,016 | ||||
| 486,000 | Gilead Sciences, Inc., 4.50%, 2/1/45, Callable 8/1/44 @ 100 | 441,408 | ||||
|
|
|
|||||
| 22,996,172 | ||||||
|
|
|
|||||
| Broadline Retail (0.1%): |
| |||||
| 800,000 | Amazon.com, Inc., 4.70%, 12/1/32, Callable 9/1/32 @ 100 | 805,866 | ||||
| 794,000 | Amazon.com, Inc., 2.50%, 6/3/50, Callable 12/3/49 @ 100 | 527,607 | ||||
| 280,000 | eBay, Inc., 6.30%, 11/22/32, Callable 8/22/32 @ 100 | 293,216 | ||||
|
|
|
|||||
| 1,626,689 | ||||||
|
|
|
|||||
| Building Products (0.0%†): |
| |||||
| 566,000 | Owens Corning, 4.40%, 1/30/48, Callable 7/30/47 @ 100 | 466,453 | ||||
|
|
|
|||||
| Capital Markets (2.1%): |
||||||
| 2,463,000 | FactSet Research Systems, 3.45%, 3/1/32, Callable 12/1/31 @ 100 | 2,090,508 | ||||
| 1,580,000 | Goldman Sachs Group, Inc. (The), 0.66% (SOFR+51 bps), 9/10/24, Callable 9/10/23 @ 100 | 1,562,167 | ||||
| 697,000 | Goldman Sachs Group, Inc. (The), 1.99% (SOFFRATE+1 bps), 1/27/32, Callable 1/27/31 @ 100 | 548,253 | ||||
| 2,331,000 | Goldman Sachs Group, Inc. (The), 2.62% (SOFR+128 bps), 4/22/32, Callable 4/22/31 @ 100 | 1,905,091 | ||||
| 1,406,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100 | 1,124,558 | ||||
| 3,081,000 | Goldman Sachs Group, Inc. (The), 2.65% (SOFR+126 bps), 10/21/32, Callable 10/21/31 @ 100 | 2,507,346 | ||||
| 1,675,000 | Goldman Sachs Group, Inc. (The), 3.10% (SOFR+141 bps), 2/24/33, Callable 2/24/32 @ 100 | 1,415,132 | ||||
| 716,000 | Intercontinental Exchange, Inc., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | 595,812 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Capital Markets, continued |
||||||
| $1,415,000 | Moody’s Corp., 2.00%, 8/19/31, Callable 5/19/31 @ 100 | $ | 1,137,313 | |||
| 1,744,000 | Moody’s Corp., 4.25%, 8/8/32, Callable 5/8/32 @ 100 | 1,651,055 | ||||
| 366,000 | Moody’s Corp., 2.55%, 8/18/60, Callable 2/18/60 @ 100 | 201,648 | ||||
| 1,165,000 | Moody’s Corp., 3.10%, 11/29/61, Callable 5/29/61 @ 100 | 758,325 | ||||
| 3,493,000 | Morgan Stanley, 3.59% (US0003M+134 bps), 7/22/28, Callable 7/22/27 @ 100 | 3,218,950 | ||||
| 6,500,000 | Morgan Stanley, 3.77% (US0003M+114 bps), 1/24/29, Callable 1/24/28 @ 100 | 6,067,321 | ||||
| 541,000 | Morgan Stanley, 5.12% (SOFR+173 bps), 2/1/29, Callable 2/1/28 @ 100 | 532,652 | ||||
| 810,000 | Morgan Stanley, 4.66% (EUR003M+130 bps), 3/2/29, Callable 3/2/28 @ 100 | 887,270 | ||||
| 455,000 | Morgan Stanley, 5.16%, 4/20/29, Callable 4/20/28 @ 100 | 449,075 | ||||
| 6,314,000 | Morgan Stanley, 2.70% (SOFR+114 bps), 1/22/31, Callable 1/22/30 @ 100, MTN | 5,367,626 | ||||
| 4,701,000 | Morgan Stanley, 1.79% (SOFR+1 bps), 2/13/32, Callable 2/13/31 @ 100, MTN | 3,637,183 | ||||
| 1,638,000 | Morgan Stanley, 2.24% (SOFR+118 bps), 7/21/32, Callable 7/21/31 @ 100, MTN | 1,297,999 | ||||
| 1,198,000 | Morgan Stanley, 2.51% (SOFR+120 bps), 10/20/32, Callable 10/20/31 @ 100, MTN | 965,529 | ||||
| 1,399,000 | Morgan Stanley, 4.89% (SOFR+208 bps), 7/20/33, Callable 7/20/32 @ 100 | 1,344,326 | ||||
| 15,052,000 | Morgan Stanley, 5.25%, 4/21/34, Callable 4/21/33 @ 100 | 14,813,320 | ||||
| 1,680,000 | Nasdaq, Inc., 4.50%, 2/15/32, Callable 12/15/31 @ 100 | 1,856,595 | ||||
| 519,000 | Nasdaq, Inc., 5.55%, 2/15/34, Callable 11/15/33 @ 100 | 520,732 | ||||
| 2,320,000 | Pfizer Investment Enterprises Pte, Ltd., 5.30%, 5/19/53, Callable 11/19/52 @ 100 | 2,403,666 | ||||
| 3,792,000 | Pfizer Investment Enterprises Pte, Ltd., 5.34%, 5/19/63, Callable 11/19/62 @ 100 | 3,820,531 | ||||
| 661,000 | State Street Corp., Series F, 9.15% (US0003M+360 bps), Callable 9/15/23 @ 100^ | 657,695 | ||||
| 725,000 | State Street Corp., Series H, 5.62% (US0003M+254 bps), 12/31/99, Callable 12/15/23 @ 100^ | 673,344 | ||||
|
|
|
|||||
| 64,011,022 | ||||||
|
|
|
|||||
| Chemicals (0.0%†): |
| |||||
| 525,000 | Ecolab, Inc., 2.75%, 8/18/55, Callable 2/18/55 @ 100 | 334,415 | ||||
| 569,000 | Sherwin-Williams Co. (The), 2.90%, 3/15/52, Callable 9/15/51 @ 100 | 365,987 | ||||
| 493,000 | Westlake Chemical Corp., 3.38%, 8/15/61, Callable 2/15/61 @ 100 | 299,057 | ||||
|
|
|
|||||
| 999,459 | ||||||
|
|
|
|||||
| Commercial Services & Supplies (0.0%†): |
| |||||
| 753,000 | Republic Services, Inc., 5.00%, 4/1/34, Callable 1/1/34 @ 100 | 749,189 | ||||
| 107,000 | Waste Management, Inc., 2.95%, 6/1/41, Callable 12/1/40 @ 100 | 78,777 | ||||
|
|
|
|||||
| 827,966 | ||||||
|
|
|
|||||
See accompanying notes to the financial statements.
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Communications Equipment (0.3%): |
||||||
| $435,000 | Juniper Networks, Inc., 3.75%, 8/15/29, Callable 5/15/29 @ 100 | $ | 390,683 | |||
| 2,716,000 | Motorola Solutions, Inc., 2.30%, 11/15/30, Callable 8/15/30 @ 100 | 2,187,404 | ||||
| 2,834,000 | Motorola Solutions, Inc., 2.75%, 5/24/31, Callable 2/24/31 @ 100 | 2,304,872 | ||||
| 3,002,000 | Motorola Solutions, Inc., 5.60%, 6/1/32, Callable 3/1/32 @ 100 | 2,969,531 | ||||
|
|
|
|||||
| 7,852,490 | ||||||
|
|
|
|||||
| Consumer Finance (0.1%): |
||||||
| 1,491,000 | Capital One Financial Corp., 3.27% (SOFR+179 bps), 3/1/30, Callable 3/1/29 @ 100 | 1,263,463 | ||||
| 210,000 | Capital One Financial Corp., 2.36%, 7/29/32, Callable 7/29/31 @ 100 | 147,834 | ||||
| 651,000 | General Motors Financial Co., Inc., 3.80%, 4/7/25 | 628,008 | ||||
| 679,000 | General Motors Financial Co., Inc., 2.35%, 1/8/31, Callable 10/8/30 @ 100 | 531,573 | ||||
|
|
|
|||||
| 2,570,878 | ||||||
|
|
|
|||||
| Containers & Packaging (0.1%): |
||||||
| 1,557,000 | Amcor Flexibles North America, Inc., 2.69%, 5/25/31, Callable 2/25/31 @ 100 | 1,274,542 | ||||
| 349,000 | International Paper Co., 4.80%, 6/15/44, Callable 12/15/43 @ 100 | 309,288 | ||||
|
|
|
|||||
| 1,583,830 | ||||||
|
|
|
|||||
| Diversified Consumer Services (0.0%†): |
||||||
| 145,000 | California Institute of Technology, 4.32%, 8/1/45 | 131,092 | ||||
| 360,000 | Massachusetts Institute of Technology, 4.68%, 7/1/14 | 331,540 | ||||
|
|
|
|||||
| 462,632 | ||||||
|
|
|
|||||
| Diversified REITs (0.1%): |
||||||
| 3,046,000 | Crown Castle, Inc., 2.10%, 4/1/31, Callable 1/1/31 @ 100 | 2,437,324 | ||||
| 350,000 | WP Carey, Inc., 2.40%, 2/1/31, Callable 11/1/30 @ 100 | 280,038 | ||||
|
|
|
|||||
| 2,717,362 | ||||||
|
|
|
|||||
| Diversified Telecommunication Services (1.1%): |
| |||||
| 2,766,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 2,615,801 | ||||
| 749,000 | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | 585,218 | ||||
| 6,836,000 | AT&T, Inc., 5.40%, 2/15/34, Callable 11/15/33 @ 100 | 6,815,834 | ||||
| 720,000 | AT&T, Inc., 4.30%, 11/18/34, Callable 8/18/34 @ 100 | 788,505 | ||||
| 408,000 | AT&T, Inc., 4.85%, 3/1/39, Callable 9/1/38 @ 100 | 373,470 | ||||
| 1,748,000 | AT&T, Inc., 3.50%, 6/1/41, Callable 12/1/40 @ 100 | 1,333,313 | ||||
| 490,000 | AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100 | 409,994 | ||||
| 1,000,000 | AT&T, Inc., 3.65%, 6/1/51, Callable 12/1/50 @ 100 | 729,026 | ||||
| 1,892,000 | AT&T, Inc., 3.55%, 9/15/55, Callable 3/15/55 @ 100 | 1,319,723 | ||||
| 422,000 | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | 305,415 | ||||
| 3,055,000 | AT&T, Inc., 3.65%, 9/15/59, Callable 3/15/59 @ 100 | 2,115,890 | ||||
| 2,965,000 | Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100 | 2,633,083 | ||||
| 2,472,000 | Verizon Communications, Inc., 1.75%, 1/20/31, Callable 10/20/30 @ 100 | 1,940,582 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Diversified Telecommunication Services, continued |
| |||||
| $1,479,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | $ | 1,234,502 | |||
| 7,472,000 | Verizon Communications, Inc., 2.36%, 3/15/32, Callable 12/15/31 @ 100 | 6,007,832 | ||||
| 1,664,000 | Verizon Communications, Inc., 4.50%, 8/10/33 | 1,568,240 | ||||
| 1,143,000 | Verizon Communications, Inc., 4.40%, 11/1/34, Callable 5/1/34 @ 100 | 1,053,248 | ||||
| 1,764,000 | Verizon Communications, Inc., 3.40%, 3/22/41, Callable 9/22/40 @ 100 | 1,357,523 | ||||
| 773,000 | Verizon Communications, Inc., 3.00%, 11/20/60, Callable 5/20/60 @ 100 | 479,316 | ||||
|
|
|
|||||
| 33,666,515 | ||||||
|
|
|
|||||
| Electric Utilities (2.9%): |
||||||
| 2,448,000 | AEP Texas, Inc., 5.40%, 6/1/33, Callable 3/1/33 @ 100 | 2,427,660 | ||||
| 901,000 | AEP Texas, Inc., 3.45%, 5/15/51, Callable 11/15/50 @ 100 | 637,784 | ||||
| 911,000 | AEP Texas, Inc., 5.25%, 5/15/52, Callable 11/15/51 @ 100 | 862,023 | ||||
| 1,005,000 | AEP Transmission Co. LLC, 3.15%, 9/15/49, Callable 3/15/49 @ 100 | 711,778 | ||||
| 905,000 | AEP Transmission Co. LLC, 3.65%, 4/1/50, Callable 10/1/49 @ 100 | 695,929 | ||||
| 557,000 | AEP Transmission Co. LLC, 2.75%, 8/15/51, Callable 2/15/51 @ 100 | 356,454 | ||||
| 826,000 | AEP Transmission Co. LLC, 4.50%, 6/15/52, Callable 12/1/51 @ 100 | 731,112 | ||||
| 958,000 | AEP Transmission Co. LLC, 5.40%, 3/15/53, Callable 9/15/52 @ 100 | 979,758 | ||||
| 823,000 | Alabama Power Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100 | 638,190 | ||||
| 643,000 | Alabama Power Co., 3.45%, 10/1/49, Callable 4/1/49 @ 100 | 470,728 | ||||
| 908,000 | Alabama Power Co., 3.00%, 3/15/52, Callable 9/15/51 @ 100 | 609,825 | ||||
| 1,716,000 | American Transmission Systems, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100(a) | 1,410,041 | ||||
| 1,216,000 | Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | 946,356 | ||||
| 642,000 | Baltimore Gas & Electric Co., 3.20%, 9/15/49, Callable 3/15/49 @ 100 | 457,802 | ||||
| 1,310,000 | Baltimore Gas and Electric Co., 4.55%, 6/1/52, Callable 12/1/51 @ 100 | 1,164,657 | ||||
| 430,000 | Baltimore Gas and Electric Co., 5.40%, 6/1/53, Callable 12/1/52 @ 100 | 436,098 | ||||
| 444,000 | Commonwealth Edison Co., 3.20%, 11/15/49, Callable 5/15/49 @ 100 | 316,410 | ||||
| 750,000 | Commonwealth Edison Co., 3.13%, 3/15/51, Callable 9/15/50 @ 100 | 522,553 | ||||
| 549,000 | Commonwealth Edison Co., 5.30%, 2/1/53, Callable 8/1/52 @ 100 | 553,793 | ||||
| 404,000 | Consolidated Edison Co. of New York, Inc., 4.63%, 12/1/54, Callable 6/1/54 @ 100 | 346,367 | ||||
| 374,000 | DTE Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | 296,706 | ||||
| 119,000 | DTE Electric Co., Series A, 4.05%, 5/15/48, Callable 11/15/47 @ 100 | 99,000 | ||||
| 1,088,000 | DTE Electric Co., 3.95%, 3/1/49, Callable 9/1/48 @ 100 | 895,879 | ||||
See accompanying notes to the financial statements.
11
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Electric Utilities, continued |
||||||
| $1,498,000 | DTE Electric Co., 5.40%, 4/1/53, Callable 10/1/52 @ 100 | $ | 1,547,787 | |||
| 429,000 | Duke Energy Carolinas LLC, 2.45%, 2/1/30, Callable 11/1/29 @ 100 | 368,373 | ||||
| 1,190,000 | Duke Energy Carolinas LLC, 4.95%, 1/15/33, Callable 10/15/32 @ 100 | 1,179,527 | ||||
| 118,000 | Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100 | 92,188 | ||||
| 718,000 | Duke Energy Carolinas LLC, 3.88%, 3/15/46, Callable 9/15/45 @ 100 | 568,824 | ||||
| 654,000 | Duke Energy Carolinas LLC, 3.95%, 3/15/48, Callable 9/15/47 @ 100 | 530,533 | ||||
| 426,000 | Duke Energy Carolinas LLC, 3.20%, 8/15/49, Callable 2/15/49 @ 100 | 306,678 | ||||
| 259,000 | Duke Energy Carolinas LLC, 3.45%, 4/15/51, Callable 10/15/50 @ 100 | 188,998 | ||||
| 436,000 | Duke Energy Carolinas LLC, 5.35%, 1/15/53, Callable 7/15/52 @ 100 | 440,446 | ||||
| 1,149,000 | Duke Energy Corp., 4.30%, 3/15/28, Callable 2/15/28 @ 100 | 1,099,750 | ||||
| 2,718,000 | Duke Energy Florida LLC, 2.50%, 12/1/29, Callable 9/1/29 @ 100 | 2,332,846 | ||||
| 2,209,000 | Duke Energy Florida LLC, 1.75%, 6/15/30, Callable 3/15/30 @ 100 | 1,786,352 | ||||
| 285,000 | Duke Energy Florida LLC, 4.20%, 7/15/48, Callable 1/15/48 @ 100 | 241,406 | ||||
| 1,116,000 | Duke Energy Florida LLC, 5.95%, 11/15/52, Callable 5/15/52 @ 100 | 1,217,173 | ||||
| 544,000 | Duke Energy Ohio, Inc., 3.65%, 2/1/29, Callable 11/1/28 @ 100 | 503,702 | ||||
| 95,000 | Duke Energy Progress LLC, 3.45%, 3/15/29, Callable 12/15/28 @ 100 | 86,806 | ||||
| 1,753,000 | Duke Energy Progress LLC, 5.25%, 3/15/33, Callable 12/15/32 @ 100 | 1,770,271 | ||||
| 857,000 | Duke Energy Progress LLC, 4.38%, 3/30/44, Callable 9/30/43 @ 100 | 738,900 | ||||
| 337,000 | Duke Energy Progress LLC, 4.20%, 8/15/45, Callable 2/15/45 @ 100 | 277,254 | ||||
| 656,000 | Duke Energy Progress LLC, 2.50%, 8/15/50, Callable 2/15/50 @ 100 | 401,925 | ||||
| 220,000 | Duke Energy Progress, Inc., 5.70%, 4/1/35 | 217,773 | ||||
| 1,043,000 | Duke Energy Progress, Inc., 4.10%, 5/15/42, Callable 11/15/41 @ 100 | 874,349 | ||||
| 1,601,000 | Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100 | 1,600,829 | ||||
| 595,000 | Edison International, 5.25%, 11/15/28, Callable 10/15/28 @ 100 | 579,151 | ||||
| 1,203,000 | Edison International, 6.95%, 11/15/29, Callable 9/15/29 @ 100 | 1,264,108 | ||||
| 258,000 | Entergy Arkansas LLC, 3.35%, 6/15/52, Callable 12/15/51 @ 100 | 183,252 | ||||
| 754,000 | Entergy Louisiana LLC, 1.60%, 12/15/30, Callable 9/15/30 @ 100 | 594,677 | ||||
| 863,000 | Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100 | 780,659 | ||||
| 373,000 | Entergy Louisiana LLC, 4.20%, 4/1/50, Callable 10/1/49 @ 100 | 310,418 | ||||
| 511,000 | Entergy Louisiana LLC, 2.90%, 3/15/51, Callable 9/15/50 @ 100 | 336,469 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Electric Utilities, continued |
||||||
| $793,000 | Entergy Mississippi LLC, 3.85%, 6/1/49, Callable 12/1/48 @ 100 | $ | 615,398 | |||
| 297,000 | Evergy Kansas Central, Inc., 5.70%, 3/15/53, Callable 9/15/52 @ 100 | 305,279 | ||||
| 2,185,000 | Eversource Energy, 5.45%, 3/1/28, Callable 2/1/28 @ 100 | 2,192,451 | ||||
| 778,000 | Exelon Corp., 5.63%, 6/15/35 | 787,741 | ||||
| 483,000 | Exelon Corp., 5.10%, 6/15/45, Callable 12/15/44 @ 100 | 443,433 | ||||
| 1,777,000 | Exelon Corp., 5.60%, 3/15/53, Callable 9/15/52 @ 100 | 1,790,496 | ||||
| 193,000 | FirstEnergy Corp., 2.05%, 3/1/25, Callable 2/1/25 @ 100 | 180,217 | ||||
| 636,000 | FirstEnergy Corp., Series C, 3.40%, 3/1/50, Callable 9/1/49 @ 100 | 438,434 | ||||
| 505,000 | FirstEnergy Transmission LLC, 4.35%, 1/15/25, Callable 10/15/24 @ 100(a) | 491,752 | ||||
| 637,000 | FirstEnergy Transmission LLC, 4.55%, 4/1/49, Callable 10/1/48 @ 100(a) | 522,250 | ||||
| 449,000 | Florida Power & Light Co., 3.99%, 3/1/49, Callable 9/1/48 @ 100 | 378,469 | ||||
| 1,120,000 | Florida Power & Light Co., 3.15%, 10/1/49, Callable 4/1/49 @ 100 | 815,536 | ||||
| 453,000 | Kentucky Utilities Co., 5.45%, 4/15/33, Callable 1/15/33 @ 100 | 461,197 | ||||
| 712,000 | Louisville Gas and Electric Co., 5.45%, 4/15/33, Callable 1/15/33 @ 100 | 723,138 | ||||
| 575,000 | Metropolitan Edison Co., 5.20%, 4/1/28, Callable 3/1/28 @ 100(a) | 568,604 | ||||
| 658,000 | MidAmerican Energy Co., 3.10%, 5/1/27, Callable 2/1/27 @ 100 | 613,379 | ||||
| 399,000 | MidAmerican Energy Co., 3.15%, 4/15/50, Callable 10/15/49 @ 100 | 274,827 | ||||
| 1,566,000 | Northern States Power Co., 2.90%, 3/1/50, Callable 9/1/49 @ 100 | 1,071,413 | ||||
| 311,000 | Northern States Power Co., 2.60%, 6/1/51, Callable 12/1/50 @ 100 | 197,773 | ||||
| 174,000 | Northern States Power Co., 3.20%, 4/1/52, Callable 10/1/51 @ 100 | 124,600 | ||||
| 465,000 | Northern States Power Co., 4.50%, 6/1/52, Callable 12/1/51 @ 100 | 416,298 | ||||
| 299,000 | NRG Energy, Inc., 2.45%, 12/2/27, Callable 10/2/27 @ 100(a) | 249,772 | ||||
| 598,000 | Ohio Power Co., 2.60%, 4/1/30, Callable 1/1/30 @ 100 | 509,642 | ||||
| 704,000 | Ohio Power Co., 1.63%, 1/15/31, Callable 10/15/30 @ 100 | 551,542 | ||||
| 1,922,000 | Ohio Power Co., 5.00%, 6/1/33, Callable 3/1/33 @ 100 | 1,882,730 | ||||
| 362,000 | Ohio Power Co., 4.00%, 6/1/49, Callable 12/1/48 @ 100 | 289,243 | ||||
| 663,000 | Ohio Power Co., 2.90%, 10/1/51, Callable 4/1/51 @ 100 | 437,901 | ||||
| 2,027,000 | Oncor Electric Delivery Co. LLC, 4.55%, 9/15/32, Callable 6/15/32 @ 100 | 1,963,747 | ||||
| 271,000 | Oncor Electric Delivery Co. LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100 | 221,388 | ||||
| 849,000 | Pacific Gas and Electric Co., 4.40%, 3/1/32, Callable 12/1/31 @ 100 | 734,404 | ||||
See accompanying notes to the financial statements.
12
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Electric Utilities, continued |
||||||
| $1,285,000 | Pacific Gas and Electric Co., 6.15%, 1/15/33, Callable 10/15/32 @ 100 | $ | 1,254,511 | |||
| 1,903,000 | Pacific Gas and Electric Co., 6.40%, 6/15/33, Callable 3/15/33 @ 100 | 1,891,656 | ||||
| 728,000 | Pacific Gas and Electric Co., 3.50%, 8/1/50, Callable 2/1/50 @ 100 | 463,180 | ||||
| 614,000 | PECO Energy Co., 3.05%, 3/15/51, Callable 9/15/50 @ 100 | 421,081 | ||||
| 460,000 | PECO Energy Co., 2.85%, 9/15/51, Callable 3/15/51 @ 100 | 301,008 | ||||
| 425,000 | Pennsylvania Electric Co., 5.15%, 3/30/26(a) | 419,698 | ||||
| 458,000 | Public Service Co of New Hampshire, 3.60%, 7/1/49, Callable 1/1/49 @ 100 | 355,477 | ||||
| 545,000 | Public Service Co of New Hampshire, 5.15%, 1/15/53, Callable 7/15/52 @ 100 | 546,284 | ||||
| 535,000 | Public Service Electric & Gas Co., 3.65%, 9/1/28, Callable 6/1/28 @ 100 | 500,651 | ||||
| 340,000 | Public Service Electric & Gas Co., 2.05%, 8/1/50, Callable 2/1/50 @ 100, MTN | 198,657 | ||||
| 1,052,000 | Public Service Electric and Gas Co., 2.45%, 1/15/30, Callable 10/15/29 @ 100, MTN | 904,490 | ||||
| 821,000 | Public Service Electric and Gas Co., 4.90%, 12/15/32, Callable 9/15/32 @ 100 | 817,823 | ||||
| 357,000 | Public Service Electric and Gas Co., 4.65%, 3/15/33, Callable 12/15/32 @ 100, MTN | 349,548 | ||||
| 389,000 | Public Service Electric and Gas Co., 4.15%, 11/1/45, Callable 5/1/45 @ 100 | 319,148 | ||||
| 1,221,000 | San Diego Gas & Electric Co., 5.35%, 4/1/53, Callable 10/1/52 @ 100 | 1,198,238 | ||||
| 1,719,000 | Southern California Edison Co., 1.20%, 2/1/26, Callable 1/1/26 @ 100 | 1,534,366 | ||||
| 742,000 | Southern California Edison Co., 2.75%, 2/1/32, Callable 11/1/31 @ 100 | 621,239 | ||||
| 3,480,000 | Southern California Edison Co., 5.95%, 11/1/32, Callable 8/1/32 @ 100 | 3,636,844 | ||||
| 828,000 | Southern California Edison Co., 5.88%, 12/1/53, Callable 6/1/53 @ 100 | 831,536 | ||||
| 4,774,000 | Southern Co. (The), 1.88% (EUSA5+211 bps), 9/15/81, Callable 6/15/27 @ 100 | 4,069,445 | ||||
| 564,000 | Southwestern Electric Power Co., 5.30%, 4/1/33, Callable 1/1/33 @ 100 | 556,733 | ||||
| 1,744,000 | Southwestern Public Service Co., 3.15%, 5/1/50, Callable 11/1/49 @ 100 | 1,199,129 | ||||
| 215,000 | Tampa Electric Co., 4.20%, 5/15/45, Callable 11/15/44 @ 100 | 170,498 | ||||
| 3,000 | Tampa Electric Co., 4.45%, 6/15/49, Callable 12/15/48 @ 100 | 2,537 | ||||
| 463,000 | Union Electric Co., 2.63%, 3/15/51, Callable 9/15/50 @ 100 | 294,989 | ||||
| 478,000 | Union Electric Co., 5.45%, 3/15/53, Callable 9/15/52 @ 100 | 487,352 | ||||
| 381,000 | Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 | 395,237 | ||||
| 451,000 | Virginia Electric & Power Co., Series D, 4.65%, 8/15/43, Callable 2/15/43 @ 100 | 396,641 | ||||
| 715,000 | Virginia Electric and Power Co., Series B, 4.20%, 5/15/45, Callable 11/15/44 @ 100 | 586,032 | ||||
| 2,298,000 | Vistra Operations Co. LLC, 5.13%, 5/13/25(a) | 2,234,669 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Electric Utilities, continued |
||||||
| $848,000 | Wisconsin Power and Light Co., 1.95%, 9/16/31, | |||||
| Callable 6/16/31 @ 100 | $ | 670,780 | ||||
|
|
|
|||||
| 86,870,858 | ||||||
|
|
|
|||||
| Financial Services (0.6%): |
||||||
| 1,708,000 | Federal National Mortgage Association, 1.55%, 8/24/35, Callable 8/24/23 @ 100 | 1,209,093 | ||||
| 1,000,000 | Fiserv, Inc., 4.50%, 5/24/31, Callable 2/24/31 @ 100 | 1,095,307 | ||||
| 295,000 | Franciscan Missionaries of Our Lady Health System, Inc., Series B, 3.91%, 7/1/49, Callable 1/1/49 @ 100 | 219,301 | ||||
| 1,508,000 | Glencore Funding LLC, 3.88%, 10/27/27, Callable 7/27/27 @ 100(a) | 1,406,432 | ||||
| 2,012,000 | Glencore Funding LLC, 5.40%, 5/8/28, Callable 4/8/28 @ 100(a) | 1,990,795 | ||||
| 1,381,000 | Glencore Funding LLC, 5.70%, 5/8/33, Callable 2/8/33 @ 100(a) | 1,363,474 | ||||
| 761,000 | Global Payments, Inc., 4.45%, 6/1/28, Callable 3/1/28 @ 100 | 710,632 | ||||
| 2,487,000 | Global Payments, Inc., 5.30%, 8/15/29, Callable 6/15/29 @ 100 | 2,408,003 | ||||
| 3,309,000 | Global Payments, Inc., 3.20%, 8/15/29, Callable 5/15/29 @ 100 | 2,876,749 | ||||
| 1,898,000 | Global Payments, Inc., 2.90%, 5/15/30, Callable 2/15/30 @ 100 | 1,596,755 | ||||
| 756,000 | Global Payments, Inc., 4.88%, 3/17/31, Callable 1/17/31 @ 100 | 820,010 | ||||
| 870,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.90%, 2/1/24, Callable 1/1/24 @ 100(a) | 857,272 | ||||
| 397,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.45%, 1/29/26, Callable 11/29/25 @ 100(a) | 380,541 | ||||
| 678,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.88%, 11/15/27, Callable 10/15/27 @ 100(a) | 671,928 | ||||
| 396,000 | Synchrony Bank, 5.63%, 8/23/27, Callable 7/23/27 @ 100 | 371,440 | ||||
|
|
|
|||||
| 17,977,732 | ||||||
|
|
|
|||||
| Gas Utilities (0.1%): |
||||||
| 262,000 | Atmos Energy Corp., 4.13%, 10/15/44, Callable 4/15/44 @ 100 | 220,227 | ||||
| 1,254,000 | Consolidated Edison Co. of New York, Inc., 6.15%, 11/15/52, Callable 5/15/52 @ 100 | 1,375,898 | ||||
| 500,000 | Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31, Callable 12/15/30 @ 100 | 407,496 | ||||
| 1,490,000 | Southwest Gas Corp., 5.45%, 3/23/28, Callable 2/23/28 @ 100 | 1,482,385 | ||||
|
|
|
|||||
| 3,486,006 | ||||||
|
|
|
|||||
| Ground Transportation (0.6%): |
||||||
| 787,000 | Burlington Northern Santa Fe LLC, 4.05%, 6/15/48, Callable 12/15/47 @ 100 | 672,814 | ||||
| 1,369,000 | Burlington Northern Santa Fe LLC, 4.15%, 12/15/48, Callable 6/15/48 @ 100 | 1,188,636 | ||||
| 855,000 | Burlington Northern Santa Fe LLC, 3.05%, 2/15/51, Callable 8/15/50 @ 100 | 604,595 | ||||
| 685,000 | Burlington Northern Santa Fe LLC, 3.30%, 9/15/51, Callable 3/15/51 @ 100 | 509,135 | ||||
| 313,000 | Burlington Northern Santa Fe LLC, 2.88%, 6/15/52, Callable 12/15/51 @ 100 | 213,373 | ||||
| 376,000 | CSX Corp., 4.50%, 3/15/49, Callable 9/15/48 @ 100 | 333,459 | ||||
See accompanying notes to the financial statements.
13
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Ground Transportation, continued |
||||||
| $1,715,000 | CSX Corp., 2.50%, 5/15/51, Callable 11/15/50 @ 100 | $ | 1,087,133 | |||
| 2,059,000 | CSX Corp., 4.50%, 11/15/52, Callable 5/15/52 @ 100 | 1,855,153 | ||||
| 1,356,000 | Norfolk Southern Corp., 2.55%, 11/1/29, Callable 8/1/29 @ 100 | 1,167,984 | ||||
| 667,000 | Norfolk Southern Corp., 3.40%, 11/1/49, Callable 5/1/49 @ 100 | 490,606 | ||||
| 2,331,000 | Norfolk Southern Corp., 3.05%, 5/15/50, Callable 11/15/49 @ 100 | 1,607,563 | ||||
| 1,232,000 | Norfolk Southern Corp., 2.90%, 8/25/51, Callable 2/25/51 @ 100 | 812,869 | ||||
| 738,000 | Norfolk Southern Corp., 4.05%, 8/15/52, Callable 2/15/52 @ 100 | 606,774 | ||||
| 1,894,000 | Ryder System, Inc., 5.65%, 3/1/28, Callable 2/1/28 @ 100 | 1,888,197 | ||||
| 1,198,000 | Ryder System, Inc., 5.25%, 6/1/28, Callable 5/1/28 @ 100, MTN | 1,184,741 | ||||
| 611,000 | Union Pacific Corp., 3.38%, 2/14/42, Callable 8/14/41 @ 100 | 486,589 | ||||
| 2,000 | Union Pacific Corp., 4.50%, 9/10/48, Callable 3/10/48 @ 100 | 1,789 | ||||
| 633,000 | Union Pacific Corp., 3.25%, 2/5/50, Callable 8/5/49 @ 100 | 470,993 | ||||
| 2,011,000 | Union Pacific Corp., 2.95%, 3/10/52, Callable 9/10/51 @ 100 | 1,395,129 | ||||
| 1,254,000 | Union Pacific Corp., 4.95%, 9/9/52, Callable 3/9/52 @ 100 | 1,239,836 | ||||
| 1,010,000 | Union Pacific Corp., 3.50%, 2/14/53, Callable 8/14/52 @ 100 | 777,615 | ||||
| 305,000 | Union Pacific Corp., 4.95%, 5/15/53, Callable 11/15/52 @ 100 | 301,297 | ||||
| 348,653 | Union Pacific Railroad Co., Series 2014-1, 3.23%, 5/14/26 | 332,294 | ||||
|
|
|
|||||
| 19,228,574 | ||||||
|
|
|
|||||
| Health Care Providers & Services (1.0%): |
||||||
| 410,000 | Aetna, Inc., 4.75%, 3/15/44, Callable 9/15/43 @ 100 | 361,052 | ||||
| 275,000 | AHS Hospital Corp., 2.78%, 7/1/51, Callable 1/1/51 @ 100 | 180,340 | ||||
| 448,000 | Anthem, Inc., 4.55%, 3/1/48, Callable 9/1/47 @ 100 | 392,395 | ||||
| 965,000 | BHSH System Obligated Group, Series 2019-A, 3.49%, 7/15/49, Callable 1/15/49 @ 100 | 708,102 | ||||
| 610,000 | City of Hope, Series 2013, 5.62%, 11/15/43 | 601,713 | ||||
| 350,000 | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | 293,566 | ||||
| 130,000 | CommonSpirit Health, 3.82%, 10/1/49, Callable 4/1/49 @ 100 | 100,675 | ||||
| 498,000 | CVS Health Corp., 5.00%, 12/1/24, Callable 9/1/24 @ 100 | 490,145 | ||||
| 1,501,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100 | 1,443,608 | ||||
| 1,240,000 | Duke University Health, 3.92%, 6/1/47, Callable 12/1/46 @ 100 | 1,037,550 | ||||
| 415,000 | Elevance Health, Inc., 3.60%, 3/15/51, Callable 9/15/50 @ 100 | 316,685 | ||||
| 710,000 | Elevance Health, Inc., 4.55%, 5/15/52, Callable 11/15/51 @ 100 | 629,384 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Health Care Providers & Services, continued |
||||||
| $476,000 | Elevance Health, Inc., 6.10%, 10/15/52, Callable 4/15/52 @ 100 | $ | 519,773 | |||
| 294,000 | Evernorth Health, Inc., 4.50%, 2/25/26, Callable 11/27/25 @ 100 | 287,536 | ||||
| 2,100,000 | HCA, Inc., 5.25%, 4/15/25 | 2,068,500 | ||||
| 2,353,000 | HCA, Inc., 5.88%, 2/15/26, Callable 8/15/25 @ 100 | 2,350,059 | ||||
| 6,869,000 | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | 6,783,137 | ||||
| 1,207,000 | HCA, Inc., 5.38%, 9/1/26, Callable 3/1/26 @ 100 | 1,197,947 | ||||
| 2,833,000 | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 2,482,416 | ||||
| 1,434,000 | HCA, Inc., 3.50%, 7/15/51, Callable 1/15/51 @ 100 | 984,224 | ||||
| 197,000 | Hoag Memorial Hospital Presbyterian, 3.80%, 7/15/52, Callable 1/15/52 @ 100 | 158,717 | ||||
| 737,000 | Humana, Inc., 3.95%, 3/15/27, Callable 12/15/26 @ 100 | 702,965 | ||||
| 410,000 | Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52 | 310,622 | ||||
| 235,000 | UnitedHealth Group, Inc., 4.20%, 1/15/47, Callable 7/15/46 @ 100 | 206,248 | ||||
| 530,000 | UnitedHealth Group, Inc., 3.75%, 10/15/47, Callable 4/15/47 @ 100 | 433,627 | ||||
| 1,856,000 | UnitedHealth Group, Inc., 2.90%, 5/15/50, Callable 11/15/49 @ 100 | 1,295,946 | ||||
| 851,000 | UnitedHealth Group, Inc., 4.75%, 5/15/52, Callable 11/15/51 @ 100 | 806,925 | ||||
| 398,000 | UnitedHealth Group, Inc., 4.95%, 5/15/62, Callable 11/15/61 @ 100 | 381,887 | ||||
| 1,201,000 | UnitedHealth Group, Inc., 6.05%, 2/15/63, Callable 8/15/62 @ 100 | 1,352,940 | ||||
|
|
|
|||||
| 28,878,684 | ||||||
|
|
|
|||||
| Independent Power and Renewable Electricity Producers (0.0%†): |
| |||||
| 905,000 | Evergy Metro, Inc., 4.95%, 4/15/33, Callable 1/15/33 @ 100 | 890,286 | ||||
|
|
|
|||||
| Industrial Conglomerates (0.0%†): |
||||||
| 980,000 | Honeywell International, Inc., 3.75%, 5/17/32, Callable 2/17/32 @ 100 | 1,050,365 | ||||
|
|
|
|||||
| Industrial REITs (0.1%): |
||||||
| 1,892,000 | Prologis LP, 1.75%, 2/1/31, Callable 11/1/30 @ 100 | 1,506,721 | ||||
| 2,913,000 | Prologis LP, 5.13%, 1/15/34, Callable 10/15/33 @ 100 | 2,875,498 | ||||
|
|
|
|||||
| 4,382,219 | ||||||
|
|
|
|||||
| Insurance (0.3%): |
||||||
| 775,000 | Aon Corp., 4.50%, 12/15/28, Callable 9/15/28 @ 100 | 744,477 | ||||
| 2,417,000 | Aon Corp., 2.80%, 5/15/30, Callable 2/15/30 @ 100 | 2,083,012 | ||||
| 2,539,000 | Aon Corp./Aon Global Holdings plc, 2.60%, 12/2/31, Callable 9/2/31 @ 100 | 2,083,455 | ||||
| 1,293,000 | Aon Corp./Aon Global Holdings plc, 5.00%, 9/12/32, Callable 6/12/32 @ 100 | 1,272,403 | ||||
| 962,000 | Aon Corp./Aon Global Holdings plc, 5.35%, 2/28/33, Callable 11/28/32 @ 100 | 966,444 | ||||
| 378,000 | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | 307,383 | ||||
| 1,303,000 | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29, Callable 12/15/28 @ 100 | 1,262,100 | ||||
|
|
|
|||||
| 8,719,274 | ||||||
|
|
|
|||||
See accompanying notes to the financial statements.
14
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Interactive Media & Services (0.1%): |
||||||
| $883,000 | Meta Platforms, Inc., 5.60%, 5/15/53, Callable 11/15/52 @ 100 | $ | 907,453 | |||
| 3,017,000 | Meta Platforms, Inc., 5.75%, 5/15/63, Callable 11/15/62 @ 100 | 3,111,079 | ||||
|
|
|
|||||
| 4,018,532 | ||||||
|
|
|
|||||
| IT Services (0.0%†): |
||||||
| 722,000 | DXC Technology Co., 2.38%, 9/15/28, Callable 7/15/28 @ 100 | 599,370 | ||||
|
|
|
|||||
| Life Sciences Tools & Services (0.0%†): |
||||||
| 614,000 | Agilent Technologies, Inc., 2.30%, 3/12/31, Callable 12/12/30 @ 100 | 502,060 | ||||
| 965,000 | Thermo Fisher Scientific, Inc., 2.00%, 10/15/31, Callable 7/15/31 @ 100 | 784,000 | ||||
|
|
|
|||||
| 1,286,060 | ||||||
|
|
|
|||||
| Machinery (0.1%): |
||||||
| 312,000 | CNH Industrial Capital LLC, 4.55%, 4/10/28, Callable 3/10/28 @ 100 | 299,626 | ||||
| 1,248,000 | Otis Worldwide Corp., 2.57%, 2/15/30, Callable 11/15/29 @ 100 | 1,075,226 | ||||
|
|
|
|||||
| 1,374,852 | ||||||
|
|
|
|||||
| Media (0.3%): |
||||||
| 2,976,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.95%, 6/30/62, Callable 12/30/61 @ 100 | 1,819,568 | ||||
| 1,880,000 | Comcast Corp., 2.65%, 2/1/30, Callable 11/1/29 @ 100 | 1,642,780 | ||||
| 1,640,000 | Comcast Corp., 4.20%, 8/15/34, Callable 2/15/34 @ 100 | 1,524,375 | ||||
| 1,541,000 | Comcast Corp., 2.94%, 11/1/56, Callable 5/1/56 @ 100 | 1,002,357 | ||||
| 384,000 | Cox Communications, Inc., 3.85%, 2/1/25, Callable 11/1/24 @ 100(a) | 371,732 | ||||
| 799,000 | Cox Communications, Inc., 3.60%, 6/15/51, Callable 12/15/50 @ 100(a) | 561,515 | ||||
| 369,000 | Interpublic Group of Cos., Inc. (The), 4.75%, 3/30/30, Callable 12/30/29 @ 100 | 357,985 | ||||
| 541,000 | NBCUniversal Media LLC, 4.45%, 1/15/43 | 481,964 | ||||
| 265,000 | Omnicom Group, Inc./Omnicom Capital, Inc., 3.65%, 11/1/24, Callable 8/1/24 @ 100 | 257,499 | ||||
| 526,000 | Paramount Global, 4.85%, 7/1/42, Callable 1/1/42 @ 100 | 392,144 | ||||
|
|
|
|||||
| 8,411,919 | ||||||
|
|
|
|||||
| Metals & Mining (0.0%†): |
||||||
| 1,176,000 | Newmont Corp., 2.60%, 7/15/32, Callable 4/15/32 @ 100 | 957,288 | ||||
|
|
|
|||||
| Multi-Utilities (0.3%): |
||||||
| 480,000 | Ameren Illinois Co., 3.25%, 3/15/50, Callable 9/15/49 @ 100 | 346,573 | ||||
| 390,000 | Ameren Illinois Co., 2.90%, 6/15/51, Callable 12/15/50 @ 100 | 261,411 | ||||
| 296,000 | Ameren Illinois Co., 5.90%, 12/1/52, Callable 6/1/52 @ 100 | 322,631 | ||||
| 705,000 | CenterPoint Energy Houston Electric LLC, 4.45%, 10/1/32, Callable 7/1/32 @ 100 | 677,161 | ||||
| 1,162,000 | CenterPoint Energy Houston Electric LLC, 4.95%, 4/1/33, Callable 1/1/33 @ 100 | 1,160,013 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Multi-Utilities, continued |
||||||
| $176,000 | CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100 | $ | 145,528 | |||
| 599,000 | CenterPoint Energy Houston Electric LLC, 2.90%, 7/1/50, Callable 1/1/50 @ 100 | 407,375 | ||||
| 695,000 | CenterPoint Energy Houston Electric LLC, 3.35%, 4/1/51, Callable 10/1/50 @ 100 | 515,130 | ||||
| 1,484,000 | Consumers Energy Co., 4.63%, 5/15/33, Callable 11/15/32 @ 100 | 1,444,184 | ||||
| 531,000 | Consumers Energy Co., 3.75%, 2/15/50, Callable 8/15/49 @ 100 | 421,124 | ||||
| 778,000 | Consumers Energy Co., 3.10%, 8/15/50, Callable 2/15/50 @ 100 | 546,081 | ||||
| 2,151,000 | Consumers Energy Co., 4.20%, 9/1/52, Callable 3/1/52 @ 100 | 1,840,120 | ||||
| 804,000 | NiSource, Inc., 5.25%, 3/30/28, Callable 2/29/28 @ 100 | 802,525 | ||||
|
|
|
|||||
| 8,889,856 | ||||||
|
|
|
|||||
| Oil, Gas & Consumable Fuels (3.3%): |
||||||
| 525,000 | Boardwalk Pipelines LP, 3.40%, 2/15/31, Callable 11/15/30 @ 100 | 449,521 | ||||
| 1,361,000 | BP Capital Markets America, Inc., 2.72%, 1/12/32, Callable 10/12/31 @ 100 | 1,153,100 | ||||
| 4,209,000 | BP Capital Markets America, Inc., 4.81%, 2/13/33, Callable 11/13/32 @ 100 | 4,136,302 | ||||
| 1,991,000 | BP Capital Markets America, Inc., 4.89%, 9/11/33, Callable 6/11/33 @ 100 | 1,966,537 | ||||
| 762,000 | Cameron LNG LLC, 2.90%, 7/15/31, Callable 4/15/31 @ 100(a) | 654,907 | ||||
| 4,367,000 | Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100(a) | 3,639,816 | ||||
| 1,608,000 | Cameron LNG LLC, 3.40%, 1/15/38, Callable 7/15/37 @ 100(a) | 1,330,472 | ||||
| 6,392,000 | Cheniere Corpus Christi Holdings LLC, 5.13%, 6/30/27, Callable 1/1/27 @ 100 | 6,296,120 | ||||
| 3,027,000 | Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29, Callable 5/18/29 @ 100 | 2,739,435 | ||||
| 469,000 | Devon Energy Corp., 8.25%, 8/1/23, Callable 7/18/23 @ 100 | 469,233 | ||||
| 2,070,000 | Devon Energy Corp., 4.50%, 1/15/30, Callable 1/15/25 @ 102.25 | 1,941,132 | ||||
| 5,592,000 | Diamondback Energy, Inc., 3.25%, 12/1/26, Callable 10/1/26 @ 100 | 5,242,500 | ||||
| 9,505,000 | Diamondback Energy, Inc., 3.50%, 12/1/29, Callable 9/1/29 @ 100 | 8,510,634 | ||||
| 2,292,000 | Diamondback Energy, Inc., 3.13%, 3/24/31, Callable 12/24/30 @ 100 | 1,957,856 | ||||
| 711,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 695,861 | ||||
| 1,007,000 | Energy Transfer LP, 5.88%, 1/15/24, Callable 10/15/23 @ 100 | 1,006,242 | ||||
| 1,064,000 | Energy Transfer LP, 5.95%, 12/1/25, Callable 9/1/25 @ 100 | 1,064,316 | ||||
| 2,432,000 | Energy Transfer LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | 2,414,205 | ||||
| 423,000 | Energy Transfer LP, 8.25%, 11/15/29, Callable 8/15/29 @ 100 | 467,741 | ||||
| 2,099,000 | Energy Transfer LP, 5.75%, 2/15/33, Callable 11/15/32 @ 100 | 2,107,453 | ||||
See accompanying notes to the financial statements.
15
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Oil, Gas & Consumable Fuels, continued |
||||||
| $398,000 | Energy Transfer LP, 4.90%, 3/15/35, Callable 9/15/34 @ 100 | $ | 360,795 | |||
| 391,000 | Energy Transfer LP, 5.15%, 2/1/43, Callable 8/1/42 @ 100 | 331,573 | ||||
| 1,223,000 | Energy Transfer LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | 1,077,437 | ||||
| 675,000 | Energy Transfer LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 655,517 | ||||
| 4,238,000 | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 3,576,605 | ||||
| 266,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 262,707 | ||||
| 515,000 | Enterprise Products Operating LLC, 4.20%, 1/31/50, Callable 7/31/49 @ 100 | 425,479 | ||||
| 918,000 | Enterprise Products Operating LLC, 3.20%, 2/15/52, Callable 8/15/51 @ 100 | 645,137 | ||||
| 1,537,000 | Enterprise Products Operating LLC, 3.30%, 2/15/53, Callable 8/15/52 @ 100 | 1,085,643 | ||||
| 240,000 | EQT Corp., 5.70%, 4/1/28, Callable 3/1/28 @ 100 | 237,600 | ||||
| 563,000 | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | 544,699 | ||||
| 2,294,000 | Kinder Morgan, Inc., 3.25%, 8/1/50, Callable 2/1/50 @ 100 | 1,471,775 | ||||
| 698,000 | Kinder Morgan, Inc., 3.60%, 2/15/51, Callable 8/15/50 @ 100 | 480,360 | ||||
| 3,034,000 | NGPL PipeCo LLC, 3.25%, 7/15/31, Callable 4/15/31 @ 100(a) | 2,511,888 | ||||
| 1,242,000 | NGPL PipeCo LLC, 7.77%, 12/15/37(a) | 1,318,073 | ||||
| 1,586,000 | NGPL PipeCo. LLC, 4.88%, 8/15/27, Callable 2/15/27 @ 100(a) | 1,504,718 | ||||
| 1,942,000 | Northern Natural Gas Co., 4.30%, 1/15/49, Callable 7/15/48 @ 100(a) | 1,566,542 | ||||
| 1,689,000 | Northern Natural Gas Co., 3.40%, 10/16/51, Callable 4/16/51 @ 100(a) | 1,165,608 | ||||
| 2,745,000 | Northwest Pipeline LLC, 4.00%, 4/1/27, Callable 1/1/27 @ 100 | 2,603,888 | ||||
| 2,028,000 | Pioneer Natural Resources Co., 5.10%, 3/29/26 | 2,013,323 | ||||
| 6,782,000 | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27, Callable 9/15/26 @ 100 | 6,674,166 | ||||
| 1,531,000 | Sabine Pass Liquefaction LLC, 5.90%, 9/15/37, Callable 3/15/37 @ 100(a) | 1,548,607 | ||||
| 1,374,000 | Targa Resources Corp., 5.20%, 7/1/27, Callable 6/1/27 @ 100 | 1,347,873 | ||||
| 766,000 | Targa Resources Corp., 6.50%, 2/15/53, Callable 8/15/52 @ 100 | 774,956 | ||||
| 470,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.00%, 1/15/28, Callable 8/7/23 @ 102.5 | 448,615 | ||||
| 2,554,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44 | 2,352,873 | ||||
| 1,670,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102 | 1,438,288 | ||||
| 1,696,000 | Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100(a) | 1,565,954 | ||||
| 3,477,000 | Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47 @ 100(a) | 2,728,325 | ||||
| 3,050,000 | Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100 | 3,190,736 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Oil, Gas & Consumable Fuels, continued |
||||||
| $2,198,000 | Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100 | $ | 2,056,774 | |||
| 2,266,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100 | 1,750,229 | ||||
| 424,000 | Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 464,235 | ||||
|
|
|
|||||
| 98,424,381 | ||||||
|
|
|
|||||
| Passenger Airlines (0.1%): | ||||||
| 739,139 | American Airlines Pass Through Trust, Series 2015- 2, Class B, 4.40%, 3/22/25 | 731,640 | ||||
| 443,150 | American Airlines Pass Through Trust, Series 2015- 2, Class AA, 3.60%, 3/22/29 | 408,022 | ||||
| 188,887 | American Airlines Pass Through Trust, Series 2016- 2, Class AA, 3.20%, 12/15/29 | 168,935 | ||||
| 68,160 | American Airlines Pass Through Trust, Series 2017- 1, Class AA, 3.65%, 8/15/30 | 62,199 | ||||
| 615,405 | American Airlines Pass Through Trust, Series 2019- 1, 3.15%, 8/15/33 | 532,517 | ||||
| 420,000 | Delta Airlines Pass Through Trust, Series 2019-1, Class AA, 3.20%, 10/25/25 | 409,726 | ||||
| 5,289 | United Airlines Pass Through Trust, Series 2016-2, Class B, 3.65%, 4/7/27 | 4,903 | ||||
| 216,482 | United Airlines Pass Through Trust, Series 2018-1, Class B, 4.60%, 9/1/27 | 199,831 | ||||
| 9,923 | United Airlines Pass Through Trust, Series 2015-1, Class AA, 3.45%, 6/1/29 | 9,072 | ||||
| 302,604 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.50%, 11/1/29 | 272,601 | ||||
| 41,168 | United Airlines Pass Through Trust, Series 2016-2, Class AA, 3.10%, 1/7/30 | 37,138 | ||||
| 159,583 | United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.88%, 4/7/30 | 138,047 | ||||
| 196,083 | United Airlines Pass Through Trust, Series 2018-1, Class AA, 3.50%, 9/1/31 | 175,202 | ||||
| 315,035 | United Airlines Pass Through Trust, Series 2016-1, Class AA, 4.15%, 2/25/33 | 286,859 | ||||
| 433,794 | United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.70%, 11/1/33 | 366,783 | ||||
|
|
|
|||||
| 3,803,475 | ||||||
|
|
|
|||||
| Pharmaceuticals (0.0%†): | ||||||
| 375,000 | Merck & Co., Inc., 5.15%, 5/17/63, Callable 11/17/62 @ 100 | 383,074 | ||||
|
|
|
|||||
| Professional Services (0.2%): | ||||||
| 733,000 | Broadridge Financial Solutions, Inc., 3.40%, 6/27/26, Callable 3/27/26 @ 100 | 689,562 | ||||
| 3,439,000 | Equifax, Inc., 5.10%, 6/1/28, Callable 5/1/28 @ 100 | 3,399,324 | ||||
| 1,603,000 | Global Payments, Inc., 4.95%, 8/15/27, Callable 7/15/27 @ 100 | 1,551,912 | ||||
|
|
|
|||||
| 5,640,798 | ||||||
|
|
|
|||||
| Real Estate Management & Development (0.0%†): |
| |||||
| 915,000 | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a) | 839,944 | ||||
|
|
|
|||||
| Retail REITs (0.2%): | ||||||
| 534,000 | Kimco Realty OP LLC, 2.25%, 12/1/31, Callable 9/1/31 @ 100 | 415,117 | ||||
| 593,000 | National Retail Properties, Inc., 3.10%, 4/15/50, Callable 10/15/49 @ 100 | 369,483 | ||||
See accompanying notes to the financial statements.
16
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Retail REITs, continued |
||||||
| $1,548,000 | National Retail Properties, Inc., 3.50%, 4/15/51, Callable 10/15/50 @ 100 | $ | 1,035,809 | |||
| 402,000 | National Retail Properties, Inc., 3.00%, 4/15/52, Callable 10/15/51 @ 100 | 241,181 | ||||
| 1,081,000 | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | 941,821 | ||||
| 1,987,000 | VICI Properties LP/VICI Note Co., Inc., 4.13%, 8/15/30, Callable 2/15/25 @ 102.06(a) | 1,743,593 | ||||
|
|
|
|||||
| 4,747,004 | ||||||
|
|
|
|||||
| Semiconductors & Semiconductor Equipment (0.7%): |
| |||||
| 1,998,000 | Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 | 1,830,158 | ||||
| 933,000 | Broadcom, Inc., 4.15%, 4/15/32, Callable 1/15/32 @ 100(a) | 841,806 | ||||
| 1,760,000 | Broadcom, Inc., 3.42%, 4/15/33, Callable 1/15/33 @ 100(a) | 1,467,564 | ||||
| 5,091,000 | Broadcom, Inc., 3.47%, 4/15/34, Callable 1/15/34 @ 100(a) | 4,181,187 | ||||
| 471,000 | Broadcom, Inc., 3.19%, 11/15/36, Callable 8/15/36 @ 100(a) | 356,333 | ||||
| 3,751,000 | Intel Corp., 4.88%, 2/10/28, Callable 1/10/28 @ 100 | 3,732,680 | ||||
| 745,000 | Intel Corp., 3.73%, 12/8/47, Callable 6/8/47 @ 100 | 577,721 | ||||
| 774,000 | Intel Corp., 5.05%, 8/5/62, Callable 2/5/62 @ 100 | 708,534 | ||||
| 1,870,000 | KLA Corp., 5.25%, 7/15/62, Callable 1/15/62 @ 100 | 1,882,364 | ||||
| 1,177,000 | KLA-Tencor Corp., 4.10%, 3/15/29, Callable 12/15/28 @ 100 | 1,131,980 | ||||
| 618,000 | QUALCOMM, Inc., 4.25%, 5/20/32, Callable 2/20/32 @ 100 | 600,656 | ||||
| 1,837,000 | QUALCOMM, Inc., 5.40%, 5/20/33, Callable 2/20/33 @ 100 | 1,932,638 | ||||
| 632,000 | QUALCOMM, Inc., 4.50%, 5/20/52, Callable 11/20/51 @ 100 | 574,260 | ||||
| 1,738,998 | Texas Electric Market Stabilization Funding N LLC, 4.26%, 8/1/36(a) | 1,663,885 | ||||
| 494,000 | TSMC Arizona Corp., 4.25%, 4/22/32, Callable 1/22/32 @ 100^ | 476,446 | ||||
|
|
|
|||||
| 21,958,212 | ||||||
|
|
|
|||||
| Software (0.6%): |
||||||
| 347,000 | Autodesk, Inc., 2.85%, 1/15/30, Callable 10/15/29 @ 100 | 302,812 | ||||
| 1,560,000 | Oracle Corp., 3.85%, 7/15/36, Callable 1/15/36 @ 100 | 1,300,155 | ||||
| 573,000 | Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100 | 467,025 | ||||
| 1,611,000 | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | 1,243,197 | ||||
| 1,903,000 | Oracle Corp., 5.38%, 7/15/40 | 1,805,517 | ||||
| 6,158,000 | Oracle Corp., 3.65%, 3/25/41, Callable 9/25/40 @ 100 | 4,731,407 | ||||
| 409,000 | Oracle Corp., 4.50%, 7/8/44, Callable 1/8/44 @ 100 | 342,153 | ||||
| 878,000 | Oracle Corp., 4.00%, 11/15/47, Callable 5/15/47 @ 100 | 670,229 | ||||
| 1,854,000 | Oracle Corp., 3.60%, 4/1/50, Callable 10/1/49 @ 100 | 1,320,730 | ||||
| 1,981,000 | Oracle Corp., 6.90%, 11/9/52, Callable 5/9/52 @ 100 | 2,218,076 | ||||
| 327,000 | Vmware, Inc., 4.65%, 5/15/27, Callable 3/15/27 @ 100 | 317,981 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Software, continued |
||||||
| $545,000 | Vmware, Inc., 1.80%, 8/15/28, Callable 6/15/28 @ 100 | $ | 455,339 | |||
| 2,348,000 | Vmware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 | 1,845,620 | ||||
|
|
|
|||||
| 17,020,241 | ||||||
|
|
|
|||||
| Specialized REITs (1.3%): |
||||||
| 1,582,000 | American Tower Corp., 2.95%, 1/15/25, Callable 12/15/24 @ 100 | 1,513,169 | ||||
| 3,000,000 | American Tower Corp., 0.45%, 1/15/27, Callable 11/15/26 @ 100 | 2,836,467 | ||||
| 359,000 | American Tower Corp., 2.75%, 1/15/27, Callable 11/15/26 @ 100 | 326,188 | ||||
| 347,000 | American Tower Corp., 3.13%, 1/15/27, Callable 10/15/26 @ 100 | 319,280 | ||||
| 318,000 | American Tower Corp., 3.65%, 3/15/27, Callable 2/15/27 @ 100 | 297,905 | ||||
| 1,592,000 | American Tower Corp., 3.55%, 7/15/27, Callable 4/15/27 @ 100 | 1,476,562 | ||||
| 1,454,000 | American Tower Corp., 5.50%, 3/15/28, Callable 2/15/28 @ 100 | 1,442,448 | ||||
| 2,191,000 | American Tower Corp., 3.80%, 8/15/29, Callable 5/15/29 @ 100 | 1,989,393 | ||||
| 530,000 | American Tower Corp., 1.88%, 10/15/30, Callable 7/15/30 @ 100 | 418,288 | ||||
| 1,406,000 | American Tower Corp., 2.70%, 4/15/31, Callable 1/15/31 @ 100 | 1,164,404 | ||||
| 1,504,000 | American Tower Corp., 2.30%, 9/15/31, Callable 6/15/31 @ 100 | 1,196,479 | ||||
| 1,078,000 | American Tower Corp., 4.05%, 3/15/32, Callable 12/15/31 @ 100 | 982,093 | ||||
| 1,823,000 | American Tower Corp., 5.65%, 3/15/33, Callable 12/15/32 @ 100 | 1,844,685 | ||||
| 3,450,000 | American Tower Corp., 5.55%, 7/15/33, Callable 4/15/33 @ 100 | 3,457,493 | ||||
| 1,226,000 | Crown Castle International Corp., 3.10%, 11/15/29, Callable 8/15/29 @ 100 | 1,066,296 | ||||
| 2,060,000 | Crown Castle International Corp., 2.25%, 1/15/31, Callable 10/15/30 @ 100 | 1,676,836 | ||||
| 2,873,000 | Crown Castle International Corp., 2.50%, 7/15/31, Callable 4/15/31 @ 100 | 2,356,595 | ||||
| 2,354,000 | Crown Castle, Inc., 5.00%, 1/11/28, Callable 12/11/27 @ 100 | 2,309,891 | ||||
| 2,318,000 | Crown Castle, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100 | 2,160,962 | ||||
| 3,830,000 | Crown Castle, Inc., 5.10%, 5/1/33, Callable 2/1/33 @ 100 | 3,749,382 | ||||
| 870,000 | Equifax, Inc., 1.80%, 7/15/27, Callable 5/15/27 @ 100 | 753,420 | ||||
| 1,299,000 | Equifax, Inc., 1.55%, 3/15/28, Callable 1/15/28 @ 100 | 1,088,402 | ||||
| 1,211,000 | Equifax, Inc., 2.50%, 5/15/31, Callable 2/15/31 @ 100 | 984,146 | ||||
| 772,000 | Equinix, Inc., 2.00%, 5/15/28, Callable 3/15/28 @ 100 | 656,058 | ||||
| 1,956,000 | Equinix, Inc., 3.20%, 11/18/29, Callable 8/18/29 @ 100 | 1,717,055 | ||||
See accompanying notes to the financial statements.
17
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Specialized REITs, continued |
||||||
| $2,283,000 | Equinix, Inc., 2.15%, 7/15/30, Callable 4/15/30 @ 100 | $ | 1,844,422 | |||
|
|
|
|||||
| 39,628,319 | ||||||
|
|
|
|||||
| Specialty Retail (0.3%): | ||||||
| 1,510,000 | General Motors Financial Co., Inc., 5.80%, 6/23/28, Callable 5/23/28 @ 100 | 1,500,165 | ||||
| 1,298,000 | General Motors Financial Co., Inc., 5.85%, 4/6/30, Callable 2/6/30 @ 100 | 1,282,688 | ||||
| 862,000 | Home Depot, Inc. (The), 2.75%, 9/15/51, Callable 3/15/51 @ 100 | 578,289 | ||||
| 3,551,000 | Lowe’s Cos., Inc., 3.65%, 4/5/29, Callable 1/5/29 @ 100 | 3,286,110 | ||||
| 2,736,000 | Lowe’s Cos., Inc., 2.63%, 4/1/31, Callable 1/1/31 @ 100 | 2,305,887 | ||||
|
|
|
|||||
| 8,953,139 | ||||||
|
|
|
|||||
| Technology Hardware, Storage & Peripherals (0.1%): |
| |||||
| 1,008,000 | Dell International LLC/EMC Corp., 3.45%, 12/15/51, Callable 6/15/51 @ 100(a) | 669,956 | ||||
| 1,502,000 | Hewlett Packard Enterprise Co., 5.25%, 7/1/28, Callable 6/1/28 @ 100 | 1,487,892 | ||||
|
|
|
|||||
| 2,157,848 | ||||||
|
|
|
|||||
| Tobacco (0.4%): | ||||||
| 2,243,000 | Altria Group, Inc., 2.45%, 2/4/32, Callable 11/4/31 @ 100 | 1,753,638 | ||||
| 1,537,000 | Altria Group, Inc., 5.80%, 2/14/39, Callable 8/14/38 @ 100 | 1,494,656 | ||||
| 800,000 | Altria Group, Inc., 4.25%, 8/9/42 | 620,670 | ||||
| 921,000 | BAT Capital Corp., 4.70%, 4/2/27, Callable 2/2/27 @ 100 | 886,278 | ||||
| 242,000 | BAT Capital Corp., 4.76%, 9/6/49, Callable 3/6/49 @ 100 | 181,616 | ||||
| 1,165,000 | BAT Capital Corp., 3.98%, 9/25/50, Callable 3/25/50 @ 100 | 784,481 | ||||
| 2,482,000 | Philip Morris International, Inc., 5.13%, 11/17/27, Callable 10/17/27 @ 100 | 2,488,510 | ||||
| 2,995,000 | Philip Morris International, Inc., 4.88%, 2/15/28, Callable 1/15/28 @ 100 | 2,950,021 | ||||
| 1,157,000 | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | 1,028,532 | ||||
|
|
|
|||||
| 12,188,402 | ||||||
|
|
|
|||||
| Water Utilities (0.0%†): | ||||||
| 1,220,000 | CenterPoint Energy Resources Corp., 5.25%, 3/1/28, Callable 2/1/28 @ 100 | 1,219,227 | ||||
|
|
|
|||||
| Wireless Telecommunication Services (0.6%): | ||||||
| 860,000 | Sprint LLC, 7.88%, 9/15/23 | 862,150 | ||||
| 5,191,000 | Sprint LLC, 7.13%, 6/15/24 | 5,242,910 | ||||
| 6,092,000 | Sprint LLC, 7.63%, 2/15/25, Callable 11/15/24 @ 100 | 6,221,455 | ||||
| 4,678,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 4,418,156 | ||||
| 1,502,000 | T-Mobile USA, Inc., 4.95%, 3/15/28, Callable 2/15/28 @ 100 | 1,478,483 | ||||
|
|
|
|||||
| 18,223,154 | ||||||
|
|
|
|||||
| Total Corporate Bonds (Cost $700,550,976) |
670,509,190 | |||||
|
|
|
|||||
| Principal Amount | Value | |||||
| Foreign Bonds (0.5%): |
||||||
| Automobiles (0.0%†): |
||||||
| $600,000 | Volkswagen International Finance NV, 1.25%, 9/23/32+(a) | $ | 505,454 | |||
| 300,000 | Volkswagen International Finance NV, 4.13%, 11/16/38+(a) | 312,020 | ||||
|
|
|
|||||
| 817,474 | ||||||
|
|
|
|||||
| Banks (0.1%): | ||||||
| 3,000,000 | ING Groep NV, 4.50%, 5/23/29, Callable 5/23/28 @ 100+(a) | 3,236,462 | ||||
|
|
|
|||||
| Capital Markets (0.1%): | ||||||
| 100,000 | Deutsche Bank AG, 1.00% (EUR003M+1.6bps), 11/19/25, Callable 11/19/24 @ 100+(a) | 102,972 | ||||
| 1,140,000 | Viterra Finance BV, 0.38%, 9/24/25, Callable 8/24/25 @ 100, MTN+(a) | 1,133,146 | ||||
|
|
|
|||||
| 1,236,118 | ||||||
|
|
|
|||||
| Chemicals (0.1%): | ||||||
| 2,200,000 | Linde plc, 3.38%, 6/12/29, Callable 3/12/29 @ 100+(a) | 2,380,727 | ||||
|
|
|
|||||
| Electric Utilities (0.0%†): | ||||||
| 600,000 | RTE Reseau de Transport d’Electricite SADIR, 3.75%, 7/4/35, Callable 4/4/35 @ 100, MTN+(a) | 651,482 | ||||
|
|
|
|||||
| Household Durables (0.1%): | ||||||
| 1,200,000 | Robert Bosch GmbH, 4.38%, 6/2/43, Callable 3/2/43 @ 100, MTN+(a) | 1,340,948 | ||||
|
|
|
|||||
| Oil, Gas & Consumable Fuels (0.0%†): | ||||||
| 600,000 | Digital Dutch Finco BV, 1.00%, 1/15/32, Callable 10/15/31 @ 100+(a) | 461,560 | ||||
| 630,000 | Eni SpA, 4.25%, 5/19/33, MTN+(a) |
681,778 | ||||
|
|
|
|||||
| 1,143,338 | ||||||
|
|
|
|||||
| Pharmaceuticals (0.1%): | ||||||
| 3,170,000 | Bayer AG, 4.00%, 8/26/26, Callable 7/26/26 @ 100+(a) | 3,461,367 | ||||
|
|
|
|||||
| Sovereign Bond (0.0%†): | ||||||
| 152,000 | Romanian Government International Bond, 2.88%, 3/11/29, MTN+(a) | 143,797 | ||||
| 163,000 | Romanian Government International Bond, Registered Shares, 2.50%, 2/8/30, MTN+(a) | 145,961 | ||||
|
|
|
|||||
| 289,758 | ||||||
|
|
|
|||||
| Total Foreign Bonds (Cost $15,024,358) |
14,557,674 | |||||
|
|
|
|||||
| Yankee Debt Obligations (3.0%): | ||||||
| Banks (0.1%): |
||||||
| 428,000 | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa, 4.13%, 6/6/24^(a) | 419,660 | ||||
| 317,000 | Bank Gospodarstwa Krajowego, 5.38%, 5/22/33(a) | 317,364 | ||||
| 487,000 | Barclays plc, 7.44% (H15T1Y+350 bps), 11/2/33, Callable 11/2/32 @ 100 | 526,385 | ||||
| 446,000 | Credicorp, Ltd., 2.75%, 6/17/25, Callable 5/17/25 @ 100(a) | 420,355 | ||||
| 348,000 | Intercorp Peru, Ltd., 3.88%, 8/15/29, Callable 5/15/29 @ 100(a) | 293,279 | ||||
| 419,000 | Perusahaan Penerbit SBSN Indonesia III, 4.40%, 6/6/27(a) | 412,715 | ||||
|
|
|
|||||
| 2,389,758 | ||||||
|
|
|
|||||
See accompanying notes to the financial statements.
18
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Biotechnology (0.0%†): |
||||||
| $941,000 | Shire Acquisitions Investments, 3.20%, 9/23/26, Callable 6/23/26 @ 100 | $ | 881,321 | |||
|
|
|
|||||
| Capital Markets (0.4%): | ||||||
| 438,000 | Credit Suisse AG, 4.75%, 8/9/24 | 427,689 | ||||
| 715,000 | Eig Pearl Holdings Sarl, 4.39%, 11/30/46(a) | 558,594 | ||||
| 2,000 | Macquarie Group, Ltd., 4.65% (US0003M+173 bps), 3/27/29, Callable 3/27/28 @ 100(a) | 1,908 | ||||
| 347,000 | MDGH GMTN RSC, Ltd., 4.38%, 11/22/33, Callable 8/22/33 @ 100(a) | 333,564 | ||||
| 650,000 | SA Global Sukuk, Ltd., 2.69%, 6/17/31, Callable 3/17/31 @ 100(a) | 561,265 | ||||
| 3,177,000 | UBS Group AG, 3.75%, 3/26/25 | 3,040,176 | ||||
| 538,000 | UBS Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a) | 509,853 | ||||
| 686,000 | UBS Group AG, 4.55%, 4/17/26 | 659,343 | ||||
| 608,000 | UBS Group AG, 2.19% (SOFR+204 bps), 6/5/26, Callable 6/5/25 @ 100(a) | 556,107 | ||||
| 494,000 | UBS Group AG, 4.28%, 1/9/28, Callable 1/9/27 @ 100(a) | 455,793 | ||||
| 750,000 | UBS Group AG, 6.54% (SOFR+392 bps), 8/12/33, Callable 8/12/32 @ 100(a) | 759,375 | ||||
| 2,010,000 | UBS Group AG, 9.02% (SOFR+502 bps), 11/15/33, Callable 11/15/32 @ 100(a) | 2,411,612 | ||||
|
|
|
|||||
| 10,275,279 | ||||||
|
|
|
|||||
| Chemicals (0.1%): | ||||||
| 660,000 | Equate Petrochemical BV, 4.25%, 11/3/26(a) | 631,950 | ||||
| 561,000 | SABIC Capital II BV, 4.50%, 10/10/28(a) | 547,036 | ||||
| 515,000 | Sociedad Quimica y Minera de Chile SA, 4.25%, 1/22/50, Callable 7/22/49 @ 100^(a) | 408,138 | ||||
|
|
|
|||||
| 1,587,124 | ||||||
|
|
|
|||||
| Construction Materials (0.0%†): | ||||||
| 425,000 | Freeport Indonesia PT, Registered Shares, 4.76%, 4/14/27, Callable 3/14/27 @ 100(a) | 410,871 | ||||
|
|
|
|||||
| Consumer Staples Distribution & Retail (0.0%†): |
| |||||
| 561,000 | Cencosud SA, 5.15%, 2/12/25, Callable 11/12/24 @ 100(a) | 553,825 | ||||
|
|
|
|||||
| Diversified Telecommunication Services (0.0%†): |
| |||||
| 344,000 | CK Hutchison International 23, Ltd., 4.75%, 4/21/28, Callable 3/21/28 @ 100(a) | 339,954 | ||||
| 389,000 | Deutsche Telekom International Finance BV, 2.49%, 9/19/23, Callable 7/19/23 @ 100(a) | 388,407 | ||||
| 330,000 | NTT Finance Corp., 4.14%, 7/26/24(a) | 322,956 | ||||
|
|
|
|||||
| 1,051,317 | ||||||
|
|
|
|||||
| Electric Utilities (0.1%): | ||||||
| 418,000 | Comision Federal de Electricidad, 4.88%, 1/15/24(a) | 413,064 | ||||
| 597,000 | Israel Electric Corp., Ltd., 4.25%, 8/14/28, MTN(a) | 553,946 | ||||
| 527,000 | Kallpa Generacion SA, 4.13%, 8/16/27, Callable 5/16/27 @ 100(a) | 488,353 | ||||
|
|
|
|||||
| 1,455,363 | ||||||
|
|
|
|||||
| Financial Services (0.6%): | ||||||
| 470,000 | Banco Latinoamericano de Comercio Exterior SA, 2.38%, 9/14/25, Callable 8/15/25 @ 100(a) | 434,918 | ||||
| 200,000 | Banco Nacional de Panama, 2.50%, 8/11/30, Callable 5/11/30 @ 100(a) | 157,000 | ||||
| 1,703,000 | BAT International Finance plc, 4.45%, 3/16/28, Callable 2/16/28 @ 100 | 1,607,206 | ||||
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued | ||||||
| Financial Services, continued | ||||||
| $762,000 | Consorcio Transmantaro SA, 4.70%, 4/16/34(a) | $ | 701,040 | |||
| 460,000 | Credit Suisse AG, 0.50%, 2/2/24 | 441,405 | ||||
| 4,961,000 | Credit Suisse AG, 3.63%, 9/9/24 | 4,764,907 | ||||
| 744,000 | Credit Suisse AG, 7.95%, 1/9/25 | 758,557 | ||||
| 4,952,000 | Credit Suisse AG, 3.70%, 2/21/25 | 4,726,694 | ||||
| 750,000 | Credit Suisse AG, 2.95%, 4/9/25 | 704,153 | ||||
| 1,935,000 | Credit Suisse AG, 5.00%, 7/9/27 | 1,859,264 | ||||
| 2,263,000 | Credit Suisse AG, 7.50%, 2/15/28 | 2,404,709 | ||||
|
|
|
|||||
| 18,559,853 | ||||||
|
|
|
|||||
| Food Products (0.0%†): | ||||||
| 697,000 | Grupo Bimbo SAB de CV, 4.00%, 9/6/49(a) | 562,526 | ||||
|
|
|
|||||
| Independent Power and Renewable Electricity Producers (0.0%†): |
| |||||
| 267,583 | AES Panama Generation Holdings SRL, 4.38%, 5/31/30, Callable 2/28/30 @ 100(a) | 231,124 | ||||
| 506,000 | Colbun SA, 3.15%, 1/19/32, Callable 10/19/31 @ 100(a) | 425,857 | ||||
|
|
|
|||||
| 656,981 | ||||||
|
|
|
|||||
| Interactive Media & Services (0.1%): | ||||||
| 490,000 | Baidu, Inc., 4.38%, 5/14/24, Callable 4/14/24 @ 100 | 483,319 | ||||
| 475,000 | Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100 | 455,196 | ||||
| 515,000 | Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100(a) | 478,741 | ||||
|
|
|
|||||
| 1,417,256 | ||||||
|
|
|
|||||
| Machinery (0.1%): | ||||||
| 1,864,000 | CNH Industrial N.V., 3.85%, 11/15/27, Callable 8/15/27 @ 100, MTN | 1,747,194 | ||||
|
|
|
|||||
| Metals & Mining (0.4%): | ||||||
| 3,581,000 | Anglo American Capital plc, 4.00%, 9/11/27(a) | 3,368,038 | ||||
| 3,304,000 | Anglo American Capital plc, 4.50%, 3/15/28, Callable 12/15/27 @ 100(a) | 3,148,613 | ||||
| 1,969,000 | Anglo American Capital plc, 2.25%, 3/17/28, Callable 1/17/28 @ 100(a) | 1,687,081 | ||||
| 2,017,000 | Anglo American Capital plc, 5.50%, 5/2/33, Callable 2/2/33 @ 100(a) | 1,961,837 | ||||
| 525,000 | Antofagasta plc, 2.38%, 10/14/30, Callable 7/14/30 @ 100(a) | 424,821 | ||||
| 858,000 | Corp. Nacional del Cobre de Chile, Registered Shares, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a) | 808,974 | ||||
| 409,000 | POSCO, 5.63%, 1/17/26(a) | 407,597 | ||||
|
|
|
|||||
| 11,806,961 | ||||||
|
|
|
|||||
| Oil, Gas & Consumable Fuels (0.2%): | ||||||
| 2,459,000 | Cenovus Energy, Inc., 3.75%, 2/15/52, Callable 8/15/51 @ 100 | 1,730,280 | ||||
| 555,000 | Ecopetrol SA, 4.13%, 1/16/25 | 532,106 | ||||
| 2,364,000 | Enbridge, Inc., 5.70%, 3/8/33, Callable 12/8/32 @ 100 | 2,386,763 | ||||
| 588,907 | Galaxy Pipeline Assets Bidco, Ltd., 2.94%, 9/30/40(a) | 472,010 | ||||
| 270,000 | KazMunayGas National Co. JSC, 3.50%, 4/14/33, Callable 10/14/32 @ 100(a) | 208,575 | ||||
| 470,000 | Pertamina Persero PT, 3.10%, 1/21/30, Callable 10/21/29 @ 100(a) | 414,775 | ||||
| 495,000 | Qatar Energy, 2.25%, 7/12/31, Callable 4/12/31 @ 100(a) | 413,222 | ||||
See accompanying notes to the financial statements.
19
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Oil, Gas & Consumable Fuels, continued |
||||||
| $623,000 | Saudi Arabian Oil Co., 3.25%, 11/24/50, Callable 5/24/50 @ 100(a) | $ | 434,323 | |||
| 604,000 | Saudi Arabian Oil Co., 3.50%, 11/24/70, Callable 5/24/70 @ 100(a) | 399,395 | ||||
| 196,000 | Suncor Energy, Inc., 7.15%, 2/1/32 | 210,647 | ||||
|
|
|
|||||
| 7,202,096 | ||||||
|
|
|
|||||
| Paper & Forest Products (0.1%): | ||||||
| 615,000 | Celulosa Arauco y Constitucion SA, 4.20%, 1/29/30, Callable 10/29/29 @ 100(a) | 546,378 | ||||
| 278,000 | Fibria Overseas Finance, Ltd., 5.50%, 1/17/27 | 278,000 | ||||
| 552,000 | Suzano Austria GmbH, 5.75%, 7/14/26(a) | 552,928 | ||||
| 327,000 | Suzano Austria GmbH, 3.75%, 1/15/31, Callable 10/15/30 @ 100 | 278,358 | ||||
|
|
|
|||||
| 1,655,664 | ||||||
|
|
|
|||||
| Passenger Airlines (0.0%†): | ||||||
| 257,816 | Air Canada Pass Through Trust, Series 2017-1, Class A, 3.30%, 7/15/31(a) | 226,886 | ||||
|
|
|
|||||
| Real Estate Management & Development (0.0%†): |
| |||||
| 269,000 | Trust Fibra Uno, 5.25%, 12/15/24, Callable 9/15/24 @ 100^(a) | 263,620 | ||||
| 453,000 | Trust Fibra Uno, 6.39%, 1/15/50, Callable 7/15/49 @ 100(a) | 356,728 | ||||
|
|
|
|||||
| 620,348 | ||||||
|
|
|
|||||
| Semiconductors & Semiconductor Equipment (0.1%): |
| |||||
| 2,213,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 6/18/29, Callable 3/18/29 @ 100 | 2,075,502 | ||||
| 2,377,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 5/1/30, Callable 2/1/30 @ 100 | 2,097,457 | ||||
|
|
|
|||||
| 4,172,959 | ||||||
|
|
|
|||||
| Sovereign Bond (0.7%): | ||||||
| 434,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | 364,516 | ||||
| 1,905,000 | Colombia Government International Bond, 3.13%, 4/15/31, Callable 1/15/31 @ 100 | 1,435,938 | ||||
| 860,000 | Colombia Government International Bond, 3.25%, 4/22/32, Callable 1/22/32 @ 100 | 632,238 | ||||
| 20,000 | Hungary Government International Bond, 5.38%, 3/25/24 | 19,899 | ||||
| 425,000 | Hungary Government International Bond, 5.25%, 6/16/29(a) | 412,805 | ||||
| 240,000 | Hungary Government International Bond, 7.63%, 3/29/41 | 270,609 | ||||
| 1,015,000 | Mexico Government International Bond, 3.75%, 1/11/28 | 962,348 | ||||
| 378,000 | Mexico Government International Bond, 4.75%, 4/27/32, Callable 1/27/32 @ 100 | 359,422 | ||||
| 4,915,000 | Mexico Government International Bond, 6.35%, 2/9/35, Callable 11/9/34 @ 100 | 5,153,658 | ||||
| 200,000 | Mexico Government International Bond, 6.34%, 5/4/53, Callable 11/4/52 @ 100 | 202,501 | ||||
| 322,000 | Mexico Government International Bond, 5.75%, 10/12/10 | 286,529 | ||||
| 393,041 | Oriental Republic of Uruguay, 4.50%, 8/14/24 | 391,500 | ||||
| 1,062,000 | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | 929,250 | ||||
| 421,000 | Panama Government International Bond, 3.30%, 1/19/33, Callable 10/19/32 @ 100 | 349,430 | ||||
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Sovereign Bond, continued |
||||||
| $1,095,000 | Panama Government International Bond, 4.50%, 4/1/56, Callable 10/1/55 @ 100 | $ | 817,144 | |||
| 430,000 | Peruvian Government International Bond, 2.78%, 1/23/31, Callable 10/23/30 @ 100 | 366,342 | ||||
| 397,000 | Peruvian Government International Bond, 1.86%, 12/1/32, Callable 9/1/32 @ 100 | 304,304 | ||||
| 116,000 | Peruvian Government International Bond, 3.00%, 1/15/34, Callable 10/15/33 @ 100 | 95,558 | ||||
| 200,000 | Qatar Government International Bond, 4.00%, 3/14/29(a) | 195,101 | ||||
| 200,000 | Qatar Government International Bond, 3.75%, 4/16/30(a) | 191,966 | ||||
| 200,000 | Qatar Government International Bond, 5.10%, 4/23/48(a) | 199,408 | ||||
| 3,516,000 | Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100 | 3,175,215 | ||||
| 275,000 | Republic of Colombia, 4.50%, 3/15/29, Callable 12/15/28 @ 100 | 240,453 | ||||
| 567,000 | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100 | 440,217 | ||||
| 1,137,000 | Republic of Panama, 3.88%, 3/17/28, Callable 12/17/27 @ 100 | 1,074,465 | ||||
| 1,031,000 | Republic of Peru, 5.63%, 11/18/50 | 1,052,422 | ||||
| 412,000 | Republic of Poland Government International Bond, 5.50%, 4/4/53, Callable 10/4/52 @ 100 | 414,950 | ||||
| 278,000 | Romanian Government International Bond, 5.25%, 11/25/27(a) | 270,892 | ||||
| 368,000 | Romanian Government International Bond, 3.63%, 3/27/32(a) | 312,801 | ||||
| 112,000 | Romanian Government International Bond, 7.13%, 1/17/33(a) | 118,730 | ||||
| 236,000 | Romanian Government International Bond, 7.63%, 1/17/53(a) | 259,482 | ||||
| 212,000 | Saudi Government International Bond, 2.75%, 2/3/32(a) | 182,256 | ||||
| 200,000 | Saudi Government International Bond, 5.00%, 4/17/49(a) | 186,275 | ||||
| 200,000 | Saudi Government International Bond, 3.25%, 11/17/51, MTN(a) | 140,131 | ||||
| 478,000 | Saudi Government International Bond, 3.75%, 1/21/55(a) | 360,938 | ||||
|
|
|
|||||
| 22,169,693 | ||||||
|
|
|
|||||
| Wireless Telecommunication Services (0.0%†): | ||||||
| 280,000 | Bharti Airtel, Ltd., 3.25%, 6/3/31, Callable 3/5/31 @ 100(a) | 241,335 | ||||
| 523,000 | Empresa Nacional del Petroleo, 3.75%, 8/5/26, Callable 5/5/26 @ 100(a) | 493,681 | ||||
| 285,000 | Empresa Nacional del Petroleo, 6.15%, 5/10/33, Callable 2/10/33 @ 100(a) | 284,287 | ||||
|
|
|
|||||
| 1,019,303 | ||||||
|
|
|
|||||
| Total Yankee Debt Obligations (Cost $94,145,455) |
90,422,578 | |||||
|
|
|
|||||
| Municipal Bonds (0.5%): | ||||||
| California (0.2%): |
||||||
| 905,000 | California State University Revenue, Series B, 2.72%, 11/1/52 | 650,496 | ||||
| 435,000 | California State, Build America Bonds, GO, 7.50%, 4/1/34 | 526,572 | ||||
See accompanying notes to the financial statements.
20
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Municipal Bonds, continued |
||||||
| California, continued |
||||||
| $600,000 | California State, Build America Bonds, GO, 7.55%, 4/1/39 | $ | 754,236 | |||
| 1,240,000 | Los Angeles Department of Water & Power Power System Revenue, 6.57%, 7/1/45 | 1,536,186 | ||||
| 645,000 | Regents of the University of California Medical Center Pooled Revenue, 4.13%, 5/15/32, Continuously Callable @100 | 614,124 | ||||
| 440,000 | University of California Revenue, Series BF, 2.65%, 5/15/50, Continuously Callable @100 | 287,729 | ||||
| 347,000 | University of California Revenue, 4.77%, 5/15/15 | 316,707 | ||||
| 50,000 | University of California Revenue, 4.86%, 5/15/12 | 44,538 | ||||
|
|
|
|||||
| 4,730,588 | ||||||
|
|
|
|||||
| Louisiana (0.2%): | ||||||
| 4,735,000 | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, 5.05%, 12/1/34 | 4,778,562 | ||||
|
|
|
|||||
| Michigan (0.0%†): | ||||||
| 801,000 | University of Michigan Revenue, 3.50%, 4/1/52, Continuously Callable @100 | 663,765 | ||||
|
|
|
|||||
| Minnesota (0.0%†): | ||||||
| 406,000 | University of Minnesota Revenue, 4.05%, 4/1/52 | 359,683 | ||||
|
|
|
|||||
| New Jersey (0.0%†): | ||||||
| 575,000 | New Jersey State Transportation Authority Revenue, Build America Bonds, GO, 6.56%, 12/15/40 | 664,085 | ||||
| 270,000 | New Jersey Transportation Trust Fund Authority Revenue, 4.13%, 6/15/42 | 242,735 | ||||
| 165,000 | New Jersey Turnpike Authority Revenue, Series B, 2.78%, 1/1/40, Continuously Callable @100 | 125,940 | ||||
|
|
|
|||||
| 1,032,760 | ||||||
|
|
|
|||||
| New York (0.1%): | ||||||
| 1,420,000 | New York State Dormitory Authority Revenue, 2.15%, 3/15/31 | 1,181,966 | ||||
| 1,045,000 | New York State Dormitory Authority Revenue, 2.05%, 3/15/30 | 889,232 | ||||
|
|
|
|||||
| 2,071,198 | ||||||
|
|
|
|||||
| Oklahoma (0.0%†): | ||||||
| 255,000 | Oklahoma Development Finance Authority Revenue, Series A2, 4.62%, 6/1/44 | 244,346 | ||||
|
|
|
|||||
| Texas (0.0%†): |
||||||
| 710,000 | City of Houston TX, GO, 3.96%, 3/1/47 | 635,251 | ||||
| 430,000 | State of Texas, GO, Series B, 2.75%, 10/1/41, Continuously Callable @100 | 343,157 | ||||
|
|
|
|||||
| 978,408 | ||||||
|
|
|
|||||
| Total Municipal Bonds (Cost $16,359,249) |
14,859,310 | |||||
|
|
|
|||||
| U.S. Government Agency Mortgages (33.8%): |
| |||||
| Federal National Mortgage Association (16.5%): |
| |||||
| 35,183 | 2.50%, 9/1/27, Pool #AP5205 | 33,097 | ||||
| 51,906 | 2.50%, 9/1/27, Pool #AB6194 | 48,804 | ||||
| 13,640 | 2.50%, 2/1/28, Pool #AB8446 | 12,831 | ||||
| 29,936 | 2.50%, 4/1/28, Pool #AB8870 | 28,170 | ||||
| 20,698 | 3.00%, 4/1/28, Pool #AT3121 | 19,869 | ||||
| 24,462 | 3.00%, 5/1/28, Pool #AT6033 | 23,482 | ||||
| 91,154 | 2.50%, 8/1/28, Pool #AS0190 | 85,768 | ||||
| 108,033 | 3.50%, 10/1/28, Pool #AV0198 | 104,895 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $4,787 | 3.00%, 10/1/28, Pool #AQ4132 | $ | 4,507 | |||
| 55,170 | 3.00%, 10/1/28, Pool #AU8774 | 52,730 | ||||
| 6,249 | 3.00%, 11/1/28, Pool #AV0298 | 5,883 | ||||
| 208,784 | 3.50%, 11/1/28, Pool #AV1360 | 202,722 | ||||
| 136,330 | 3.00%, 4/1/29, Pool #AW0937 | 130,555 | ||||
| 127,023 | 3.00%, 5/1/29, Pool #AW2544 | 121,861 | ||||
| 201,829 | 3.00%, 6/1/29, Pool #AS2676 | 193,280 | ||||
| 262,560 | 3.00%, 7/1/29, Pool #AW4229 | 251,948 | ||||
| 46,168 | 3.00%, 7/1/29, Pool #AW1281 | 44,453 | ||||
| 46,039 | 3.50%, 9/1/29, Pool #AX0105 | 44,426 | ||||
| 380,194 | 3.00%, 9/1/29, Pool #AL6897 | 363,346 | ||||
| 127,716 | 3.00%, 9/1/29, Pool #AS3220 | 122,311 | ||||
| 14,977 | 3.50%, 10/1/29, Pool #AX2741 | 14,453 | ||||
| 76,660 | 3.00%, 10/1/29, Pool #AS3594 | 73,549 | ||||
| 279,765 | 3.00%, 1/1/30, Pool #AL6144 | 267,937 | ||||
| 2,605,000 | 5.00%, 1/15/30(c) | 1,955,620 | ||||
| 11,123 | 2.50%, 2/1/30, Pool #AS4488 | 10,456 | ||||
| 9,934 | 2.50%, 2/1/30, Pool #AS4485 | 9,179 | ||||
| 34,408 | 2.50%, 2/1/30, Pool #BM3403 | 32,347 | ||||
| 77,851 | 2.50%, 3/1/30, Pool #AS4688 | 73,731 | ||||
| 60,197 | 3.00%, 3/1/30, Pool #AL6583 | 56,898 | ||||
| 30,476 | 2.50%, 4/1/30, Pool #AY3416 | 28,861 | ||||
| 49,405 | 3.00%, 4/1/30, Pool #AL6584 | 47,246 | ||||
| 16,242 | 2.50%, 5/1/30, Pool #AY0828 | 15,244 | ||||
| 26,609 | 3.00%, 5/1/30, Pool #AL6761 | 25,431 | ||||
| 3,901,000 | 5.04%, 5/15/30(c) | 2,886,022 | ||||
| 148,587 | 3.00%, 6/1/30, Pool #AL9381 | 141,724 | ||||
| 18,785 | 2.50%, 7/1/30, Pool #AZ2170 | 17,793 | ||||
| 10,746 | 3.00%, 7/1/30, Pool #AX9700 | 10,157 | ||||
| 10,988 | 2.50%, 7/1/30, Pool #AS5405 | 10,371 | ||||
| 40,824 | 3.00%, 7/1/30, Pool #AL7139 | 39,045 | ||||
| 53,988 | 3.00%, 7/1/30, Pool #AX9701 | 51,633 | ||||
| 62,990 | 2.50%, 7/1/30, Pool #AS5403 | 59,207 | ||||
| 7,226 | 3.00%, 7/1/30, Pool #AZ2297 | 6,830 | ||||
| 58,929 | 3.00%, 8/1/30, Pool #AL7227 | 56,329 | ||||
| 39,977 | 3.50%, 8/1/30, Pool #AS5708 | 38,428 | ||||
| 47,558 | 3.00%, 8/1/30, Pool #AS5622 | 45,488 | ||||
| 53,532 | 3.00%, 8/1/30, Pool #AS5623 | 51,167 | ||||
| 29,327 | 2.50%, 8/1/30, Pool #AS5548 | 27,564 | ||||
| 37,672 | 2.50%, 8/1/30, Pool #AS5614 | 35,686 | ||||
| 69,573 | 3.00%, 8/1/30, Pool #AL7225 | 66,545 | ||||
| 61,909 | 2.50%, 8/1/30, Pool #AS5616 | 57,210 | ||||
| 104,843 | 2.50%, 8/1/30, Pool #BM3552 | 95,871 | ||||
| 3,930 | 3.00%, 8/1/30, Pool #AZ8597 | 3,715 | ||||
| 9,459 | 3.00%, 8/1/30, Pool #AZ7833 | 8,943 | ||||
| 10,231 | 3.00%, 8/1/30, Pool #AX3298 | 9,671 | ||||
| 43,818 | 3.00%, 9/1/30, Pool #AS5714 | 41,906 | ||||
| 50,144 | 2.50%, 9/1/30, Pool #AS5872 | 47,496 | ||||
| 20,789 | 3.00%, 9/1/30, Pool #AZ5719 | 19,654 | ||||
| 39,418 | 2.50%, 9/1/30, Pool #AS5786 | 37,050 | ||||
| 12,901 | 3.00%, 9/1/30, Pool #AL7320 | 12,378 | ||||
| 51,590 | 3.00%, 9/1/30, Pool #AS5728 | 48,766 | ||||
| 40,872 | 2.50%, 11/1/30, Pool #AS6142 | 38,418 | ||||
| 6,247 | 2.50%, 11/1/30, Pool #AL7800 | 5,772 | ||||
| 36,913 | 2.50%, 11/1/30, Pool #AS6116 | 34,843 | ||||
| 49,477 | 2.50%, 11/1/30, Pool #AS6141 | 46,859 | ||||
| 43,314 | 2.50%, 11/1/30, Pool #AS6115 | 40,011 | ||||
| 649,236 | 3.00%, 1/1/31, Pool #BM3537 | 617,726 | ||||
| 56,234 | 2.50%, 3/1/31, Pool #BM1595 | 52,619 | ||||
See accompanying notes to the financial statements.
21
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $76,113 | 2.50%, 6/1/31, Pool #AS7320 | $ | 71,442 | |||
| 1,180,447 | 1.50%, 6/1/31, Pool #MA4367 | 1,069,006 | ||||
| 118,167 | 2.50%, 7/1/31, Pool #AS7605 | 110,936 | ||||
| 124,922 | 2.50%, 7/1/31, Pool #AS7617 | 117,266 | ||||
| 2,176,711 | 1.50%, 7/1/31, Pool #MA4389 | 1,971,139 | ||||
| 10,146 | 4.00%, 8/1/31, Pool #AY4688 | 9,909 | ||||
| 21,536 | 4.00%, 8/1/31, Pool #AY4707 | 21,123 | ||||
| 840,441 | 3.00%, 8/1/31, Pool #AL9376 | 790,527 | ||||
| 4,961 | 2.50%, 8/1/31, Pool #BC2777 | 4,655 | ||||
| 85,820 | 3.00%, 9/1/31, Pool #AL9378 | 81,710 | ||||
| 511,028 | 2.50%, 10/1/31, Pool #AS8195 | 480,164 | ||||
| 310,840 | 2.50%, 10/1/31, Pool #AS8208 | 291,736 | ||||
| 163,730 | 2.50%, 10/1/31, Pool #AS8009 | 153,460 | ||||
| 216,533 | 2.50%, 10/1/31, Pool #AS8193 | 202,963 | ||||
| 43,545 | 2.00%, 10/1/31, Pool #MA2774 | 39,847 | ||||
| 1,051,488 | 2.50%, 10/1/31, Pool #BC4773 | 987,715 | ||||
| 72,455 | 2.00%, 11/1/31, Pool #BC9040 | 66,311 | ||||
| 87,898 | 2.50%, 11/1/31, Pool #AS8245 | 82,579 | ||||
| 161,335 | 2.50%, 11/1/31, Pool #BC2631 | 150,948 | ||||
| 220,602 | 2.00%, 11/1/31, Pool #AS8251 | 201,862 | ||||
| 13,594 | 2.00%, 11/1/31, Pool #AS8291 | 12,438 | ||||
| 117,183 | 2.50%, 11/1/31, Pool #AS8241 | 109,823 | ||||
| 184,073 | 2.50%, 11/1/31, Pool #AS8240 | 172,779 | ||||
| 94,942 | 2.50%, 11/1/31, Pool #BC2628 | 89,245 | ||||
| 257,270 | 2.00%, 11/1/31, Pool #BM3054 | 235,408 | ||||
| 78,776 | 2.50%, 11/1/31, Pool #BC2629 | 73,932 | ||||
| 60,554 | 2.00%, 12/1/31, Pool #MA2845 | 55,413 | ||||
| 9,521 | 3.00%, 2/1/32, Pool #BE5670 | 8,992 | ||||
| 16,202 | 2.50%, 2/1/32, Pool #BM1036 | 15,163 | ||||
| 248,813 | 3.00%, 3/1/32, Pool #AS9327 | 234,879 | ||||
| 293,363 | 2.50%, 3/1/32, Pool #AS9321 | 273,393 | ||||
| 401,931 | 2.00%, 3/1/32, Pool #BM3061 | 367,772 | ||||
| 321,735 | 2.50%, 3/1/32, Pool #AS9319 | 300,520 | ||||
| 286,505 | 2.50%, 3/1/32, Pool #AS9318 | 266,924 | ||||
| 164,514 | 2.50%, 3/1/32, Pool #AS9317 | 152,968 | ||||
| 178,655 | 2.50%, 3/1/32, Pool #AS9316 | 167,663 | ||||
| 1,218,794 | 3.50%, 4/1/32, Pool #BM3503 | 1,168,578 | ||||
| 1,295,000 | Class A2 , Series 2022-M1S, 2.08%, 4/25/32 | 1,068,871 | ||||
| 882,672 | 3.50%, 5/1/32, Pool #BM1602 | 848,381 | ||||
| 1,271,082 | 3.00%, 6/1/32, Pool #BM1791 | 1,208,677 | ||||
| 385,964 | 2.50%, 8/1/32, Pool #BM3578 | 359,791 | ||||
| 143,166 | 3.00%, 9/1/32, Pool #BM3240 | 135,803 | ||||
| 49,337 | 3.50%, 11/1/32, Pool #BJ2054 | 47,306 | ||||
| 30,061 | 3.50%, 1/1/33, Pool #BJ2096 | 29,021 | ||||
| 51,673 | 5.50%, 1/1/33, Pool #676661 | 52,418 | ||||
| 730,981 | 2.50%, 2/1/33, Pool #BM3793 | 689,769 | ||||
| 1,664,565 | 3.00%, 5/1/33, Pool #FM1880 | 1,570,510 | ||||
| 36,032 | 5.50%, 5/1/33, Pool #555424 | 36,696 | ||||
| 48,620 | 4.00%, 9/1/33, Pool #BK7642 | 47,370 | ||||
| 148,290 | 4.00%, 10/1/33, Pool #CA2527 | 143,858 | ||||
| 141,824 | 4.00%, 11/1/33, Pool #CA2555 | 139,123 | ||||
| 273,458 | 2.50%, 12/1/33, Pool #FM1680 | 250,402 | ||||
| 3,430,000 | Class A3 , Series 2022-M5, 2.45%, 1/1/34 | 2,812,777 | ||||
| 272,975 | 5.00%, 2/1/35, Pool #735226 | 276,661 | ||||
| 87,987 | 5.50%, 2/1/35, Pool #735989 | 89,607 | ||||
| 21,555 | 5.00%, 3/1/35, Pool #735288 | 21,660 | ||||
| 8,378 | 6.00%, 4/1/35, Pool #735504 | 8,405 | ||||
| 297,800 | 2.00%, 6/1/35, Pool #CA5939 | 268,413 | ||||
| 626,005 | 2.00%, 6/1/35, Pool #CA5933 | 562,876 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $154,904 | 3.00%, 8/1/35, Pool #CA6876 | $ | 145,838 | |||
| 164,410 | 3.00%, 8/1/35, Pool #CA6849 | 154,751 | ||||
| 2,585,000 | 1.53%, 8/17/35, Callable 8/17/23 @ 100.00 | 1,828,184 | ||||
| 3,170,000 | 1.60%, 8/24/35, Callable 8/24/23 @ 100.00 | 2,258,419 | ||||
| 40,826 | 5.00%, 9/1/35, Pool #889974 | 41,318 | ||||
| 307,089 | 2.00%, 9/1/35, Pool #CA7136 | 273,078 | ||||
| 284,485 | 2.00%, 9/1/35, Pool #CA6840 | 253,854 | ||||
| 2,770,000 | 1.78%, 11/16/35, Callable 8/16/23 @ 100.00 | 2,004,294 | ||||
| 1,029,896 | 1.50%, 12/1/35, Pool #CA8377 | 886,684 | ||||
| 880,690 | 2.50%, 12/1/35, Pool #CA8387 | 803,869 | ||||
| 1,004,787 | 2.50%, 12/1/35, Pool #CA8388 | 919,781 | ||||
| 46,465 | 3.00%, 12/1/35, Pool #CA8391 | 43,559 | ||||
| 99,440 | 3.00%, 12/1/35, Pool #CA8389 | 93,600 | ||||
| 101,880 | 4.00%, 1/1/36, Pool #AB0686 | 100,292 | ||||
| 389,137 | 2.00%, 2/1/36, Pool #FM6149 | 347,241 | ||||
| 418,147 | 2.50%, 3/1/36, Pool #CA9444 | 382,690 | ||||
| 537,260 | 2.00%, 3/1/36, Pool #CA9432 | 478,207 | ||||
| 282,541 | 1.50%, 3/1/36, Pool #CA9422 | 246,106 | ||||
| 731,876 | 2.00%, 4/1/36, Pool #FM7495 | 652,064 | ||||
| 445,983 | 1.50%, 5/1/36, Pool #CB0622 | 388,434 | ||||
| 520,299 | 2.00%, 5/1/36, Pool #CB0428 | 463,567 | ||||
| 1,600,002 | 1.50%, 6/1/36, Pool #FM7423 | 1,377,860 | ||||
| 802,083 | 2.00%, 7/1/36, Pool #FM8117 | 714,253 | ||||
| 206,385 | 5.50%, 9/1/36, Pool #995113 | 209,872 | ||||
| 23,084 | 3.00%, 10/1/36, Pool #AL9227 | 21,132 | ||||
| 378,741 | 2.00%, 11/1/36, Pool #FM9318 | 338,214 | ||||
| 77,270 | 3.00%, 11/1/36, Pool #AS8349 | 70,732 | ||||
| 187,912 | 3.00%, 11/1/36, Pool #AS8348 | 173,527 | ||||
| 5,912,419 | 1.50%, 12/1/36, Pool #FS0003 | 5,134,691 | ||||
| 181,859 | 3.00%, 12/1/36, Pool #BE1896 | 166,470 | ||||
| 244,603 | 3.00%, 12/1/36, Pool #AS8553 | 222,624 | ||||
| 372,730 | 2.00%, 1/1/37, Pool #FS0216 | 333,499 | ||||
| 366,981 | 2.00%, 2/1/37, Pool #FS0754 | 327,090 | ||||
| 828,907 | 2.00%, 2/1/37, Pool #CB2967 | 737,309 | ||||
| 159,958 | 2.00%, 2/1/37, Pool #FS0610 | 142,149 | ||||
| 468,778 | 1.50%, 2/1/37, Pool #FS3221 | 408,169 | ||||
| 1,484,599 | 2.00%, 3/1/37, Pool #FS1331 | 1,322,147 | ||||
| 433,006 | 2.00%, 3/1/37, Pool #CB2966 | 384,004 | ||||
| 1,906,980 | 2.00%, 3/1/37, Pool #FS1330 | 1,688,996 | ||||
| 1,140,179 | 2.00%, 4/1/37, Pool #FS3325 | 1,018,251 | ||||
| 8,216 | 5.50%, 2/1/38, Pool #961545 | 8,354 | ||||
| 7,489 | 6.00%, 3/1/38, Pool #889529 | 7,789 | ||||
| 46,359 | 5.50%, 5/1/38, Pool #889692 | 46,885 | ||||
| 21,423 | 6.00%, 5/1/38, Pool #889466 | 22,566 | ||||
| 43,466 | 5.50%, 5/1/38, Pool #889441 | 44,215 | ||||
| 31,588 | 5.50%, 6/1/38, Pool #995018 | 32,132 | ||||
| 1,236,710 | 1.50%, 7/25/38, TBA | 1,065,116 | ||||
| 12,346,333 | 2.00%, 7/25/38, TBA | 10,938,079 | ||||
| 5,871,000 | 2.50%, 7/25/38, TBA | 5,340,775 | ||||
| 2,331,000 | 3.00%, 7/25/38, TBA | 2,173,658 | ||||
| 1,486,000 | 4.50%, 7/25/38, TBA | 1,457,267 | ||||
| 1,146,000 | 4.00%, 7/25/38, TBA | 1,106,360 | ||||
| 555,234 | 3.50%, 7/25/38, TBA | 527,993 | ||||
| 9,141 | 5.50%, 9/1/38, Pool #889995 | 9,270 | ||||
| 21,896 | 6.00%, 10/1/38, Pool #889983 | 22,780 | ||||
| 130,834 | 5.50%, 1/1/39, Pool #AB0200 | 137,468 | ||||
| 41,200 | 4.50%, 4/1/39, Pool #930922 | 41,045 | ||||
| 51,206 | 4.50%, 5/1/39, Pool #AL1472 | 50,813 | ||||
| 33,861 | 3.50%, 5/1/39, Pool #MA3660 | 31,931 | ||||
See accompanying notes to the financial statements.
22
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $496,193 | 5.00%, 6/1/39, Pool #AL7521 | $ | 502,178 | |||
| 341,798 | 6.00%, 7/1/39, Pool #BF0056 | 357,602 | ||||
| 23,579 | 5.50%, 10/1/39, Pool #AD0362 | 24,495 | ||||
| 181,285 | 5.50%, 12/1/39, Pool #AC6680 | 181,706 | ||||
| 24,014 | 5.50%, 12/1/39, Pool #AD0571 | 24,727 | ||||
| 143,103 | 3.50%, 12/1/39, Pool #MA3869 | 134,947 | ||||
| 2,330,841 | 4.50%, 1/1/40, Pool #AC8568 | 2,305,468 | ||||
| 61,727 | 3.50%, 1/1/40, Pool #MA3891 | 58,214 | ||||
| 109,098 | 3.50%, 2/1/40, Pool #MA3935 | 102,873 | ||||
| 19,244 | 5.50%, 3/1/40, Pool #AL5304 | 19,667 | ||||
| 146,918 | 6.00%, 4/1/40, Pool #AL4141 | 152,852 | ||||
| 16,533 | 4.50%, 4/1/40, Pool #AD4038 | 16,407 | ||||
| 27,677 | 6.50%, 5/1/40, Pool #AL1704 | 28,927 | ||||
| 31,822 | 4.50%, 7/1/40, Pool #AB1226 | 31,475 | ||||
| 37,778 | 4.50%, 7/1/40, Pool #AD7127 | 37,371 | ||||
| 16,464 | 6.00%, 9/1/40, Pool #AE0823 | 17,205 | ||||
| 2,680,000 | Class CY , Series 2010-136, 4.00%, 12/25/40 | 2,545,913 | ||||
| 17,800 | 4.00%, 1/1/41, Pool #AL7167 | 17,079 | ||||
| 2,639,559 | Class ZA , Series 2011-8, 4.00%, 2/25/41 | 2,469,926 | ||||
| 37,414 | 6.00%, 6/1/41, Pool #AL4142 | 39,365 | ||||
| 237,786 | 5.00%, 7/1/41, Pool #AL7524 | 244,141 | ||||
| 13,916 | 4.50%, 7/1/41, Pool #AB3314 | 13,478 | ||||
| 25,995 | 4.50%, 9/1/41, Pool #AI8961 | 25,840 | ||||
| 425,576 | 5.50%, 9/1/41, Pool #AL8430 | 432,888 | ||||
| 14,284,573 | 1.50%, 11/1/41, Pool #FS0316 | 11,622,538 | ||||
| 7,284,888 | 1.50%, 12/1/41, Pool #MA4500 | 5,928,777 | ||||
| 2,279,162 | 2.00%, 12/1/41, Pool #MA4501 | 1,904,713 | ||||
| 555,193 | 4.00%, 1/1/42, Pool #AB4307 | 538,657 | ||||
| 131,584 | 3.50%, 1/1/42, Pool #AW8154 | 121,665 | ||||
| 576,593 | 2.00%, 2/1/42, Pool #MA4540 | 488,756 | ||||
| 862,395 | 2.00%, 3/1/42, Pool #MA4586 | 730,960 | ||||
| 5,557,975 | 2.00%, 3/1/42, Pool #MA4570 | 4,711,329 | ||||
| 52,826 | 3.50%, 4/1/42, Pool #AO0777 | 49,381 | ||||
| 19,992 | 3.50%, 4/1/42, Pool #AK7510 | 18,918 | ||||
| 111,855 | 4.00%, 5/1/42, Pool #AO2961 | 107,693 | ||||
| 27,650 | 4.00%, 5/1/42, Pool #A02114 | 26,622 | ||||
| 7,169 | 3.50%, 5/1/42, Pool #AO2881 | 6,782 | ||||
| 10,990 | 3.50%, 6/1/42, Pool #AK9225 | 10,392 | ||||
| 8,466 | 3.50%, 6/1/42, Pool #AO3048 | 8,007 | ||||
| 24,559 | 3.50%, 7/1/42, Pool #AO9707 | 23,221 | ||||
| 110,972 | 4.50%, 9/1/42, Pool #AL2482 | 108,886 | ||||
| 656,841 | 4.50%, 1/1/43, Pool #AL8206 | 645,712 | ||||
| 52,306 | 3.00%, 3/1/43, Pool #AR7576 | 47,173 | ||||
| 61,432 | 3.00%, 3/1/43, Pool #AR9218 | 55,412 | ||||
| 41,584 | 3.00%, 3/1/43, Pool #AR7568 | 37,510 | ||||
| 53,331 | 3.00%, 4/1/43, Pool #AT2043 | 48,115 | ||||
| 613 | 3.50%, 4/1/43, Pool #CA1530 | 566 | ||||
| 51,945 | 3.00%, 4/1/43, Pool #AB8923 | 46,854 | ||||
| 50,952 | 3.00%, 4/1/43, Pool #AB8924 | 45,941 | ||||
| 83,591 | 3.00%, 4/1/43, Pool #AT2040 | 75,393 | ||||
| 21,162 | 3.00%, 4/1/43, Pool #AT2037 | 19,091 | ||||
| 62,897 | 3.00%, 4/1/43, Pool #AR8630 | 56,721 | ||||
| 7,291 | 3.00%, 6/1/43, Pool #AB9564 | 6,573 | ||||
| 440,283 | 5.00%, 12/1/43, Pool #AL7777 | 443,242 | ||||
| 227,050 | 5.00%, 11/1/44, Pool #AL8878 | 227,206 | ||||
| 185,929 | 3.50%, 2/1/45, Pool #BM1100 | 175,018 | ||||
| 568,090 | 3.50%, 2/1/45, Pool #FM5294 | 533,041 | ||||
| 126,702 | 5.00%, 6/1/45, Pool #BM3784 | 126,728 | ||||
| 2,538,041 | 3.50%, 9/1/45, Pool #FM3224 | 2,366,314 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $92,008 | 4.50%, 9/1/45, Pool #AL7936 | $ | 90,934 | |||
| 2,954 | 4.50%, 11/1/45, Pool #AS6233 | 2,925 | ||||
| 55,254 | 4.50%, 11/1/45, Pool #AL9501 | 54,885 | ||||
| 5,454,477 | 3.50%, 11/1/45, Pool #FM6411 | 5,068,807 | ||||
| 125,444 | 4.50%, 12/1/45, Pool #BM1756 | 121,928 | ||||
| 13,542 | 3.00%, 6/1/46, Pool #AS7365 | 12,173 | ||||
| 382,707 | 4.50%, 7/1/46, Pool #BM1920 | 377,887 | ||||
| 951,657 | 3.50%, 7/1/46, Pool #BA7748 | 886,791 | ||||
| 303,770 | 4.50%, 7/1/46, Pool #BM3053 | 298,673 | ||||
| 16,737 | 3.00%, 8/1/46, Pool #AL9031 | 15,127 | ||||
| 525,589 | Class UF , Series 2016-48, 5.55% (US0001M+40bps), 8/25/46 | 520,484 | ||||
| 950,396 | 3.00%, 9/1/46, Pool #BD1469 | 853,073 | ||||
| 112,045 | 3.00%, 11/1/46, Pool #BD9643 | 101,084 | ||||
| 145,929 | 3.00%, 11/1/46, Pool #BD9645 | 128,543 | ||||
| 282,975 | 3.00%, 11/1/46, Pool #BD9644 | 255,280 | ||||
| 228,934 | 3.50%, 12/1/46, Pool #BE2103 | 211,789 | ||||
| 918,481 | 3.00%, 12/1/46, Pool #AS8486 | 824,556 | ||||
| 356,237 | 3.50%, 2/1/47, Pool #BE1534 | 329,581 | ||||
| 794,002 | 3.50%, 2/1/47, Pool #AL9920 | 734,649 | ||||
| 71,151 | 3.50%, 3/1/47, Pool #BH0158 | 65,820 | ||||
| 281,612 | 4.00%, 5/1/47, Pool #BH0398 | 269,068 | ||||
| 339,344 | 3.50%, 5/1/47, Pool #BM1174 | 319,818 | ||||
| 176,338 | 3.50%, 5/1/47, Pool #BE9375 | 163,128 | ||||
| 477,251 | 3.50%, 5/1/47, Pool #BD2417 | 441,541 | ||||
| 133,076 | 3.50%, 6/1/47, Pool #BH0567 | 123,106 | ||||
| 218,483 | 4.00%, 7/1/47, Pool #BH3401 | 208,759 | ||||
| 300,891 | 4.00%, 8/1/47, Pool #BM1619 | 287,524 | ||||
| 20,230 | 4.00%, 9/1/47, Pool #MA3121 | 19,254 | ||||
| 150,527 | 4.50%, 10/1/47, Pool #BM3052 | 148,203 | ||||
| 632,724 | 3.50%, 11/1/47, Pool #MA3182 | 582,778 | ||||
| 182,519 | 4.50%, 12/1/47, Pool #BH7067 | 178,238 | ||||
| 434,361 | 4.00%, 1/1/48, Pool #BH9222 | 413,402 | ||||
| 382,594 | 3.50%, 1/1/48, Pool #MA3238 | 352,393 | ||||
| 1,335,893 | 3.50%, 1/1/48, Pool #FM5293 | 1,236,864 | ||||
| 67,855 | 4.00%, 2/1/48, Pool #BJ9057 | 64,955 | ||||
| 75,942 | 4.00%, 2/1/48, Pool #BJ9058 | 72,564 | ||||
| 291,575 | 3.50%, 2/1/48, Pool #BH9277 | 269,104 | ||||
| 3,500,899 | 3.50%, 3/1/48, Pool #BJ0650 | 3,230,992 | ||||
| 192,972 | 3.50%, 3/1/48, Pool #BJ0648 | 178,104 | ||||
| 372,637 | 3.50%, 3/1/48, Pool #BJ4916 | 343,964 | ||||
| 124,714 | 3.50%, 3/1/48, Pool #BK1958 | 115,101 | ||||
| 36,223 | 4.00%, 4/1/48, Pool #MA3333 | 34,410 | ||||
| 3,340,524 | 4.50%, 4/1/48, Pool #FM7783 | 3,269,593 | ||||
| 226,274 | 3.50%, 4/1/48, Pool #FM5295 | 211,806 | ||||
| 143,923 | 4.50%, 4/1/48, Pool #BM3846 | 141,531 | ||||
| 1,995,308 | 4.50%, 5/1/48, Pool #CA1704 | 1,958,758 | ||||
| 1,700,511 | 3.50%, 5/1/48, Pool #MA3356 | 1,570,966 | ||||
| 41,455 | 4.00%, 5/1/48, Pool #CA2708 | 39,377 | ||||
| 29,968 | 4.00%, 6/1/48, Pool #MA3384 | 28,467 | ||||
| 163,640 | 5.00%, 6/1/48, Pool #CA2317 | 163,197 | ||||
| 29,987 | 4.00%, 7/1/48, Pool #MA3415 | 28,486 | ||||
| 74,332 | 4.50%, 7/1/48, Pool #BK6113 | 73,150 | ||||
| 10,736 | 4.50%, 7/1/48, Pool #BK4471 | 10,540 | ||||
| 279,064 | 4.00%, 8/1/48, Pool #BK4772 | 265,095 | ||||
| 400,865 | 4.00%, 9/1/48, Pool #FM5566 | 381,896 | ||||
| 643,906 | 5.00%, 9/1/48, Pool #MA3472 | 642,160 | ||||
| 88,063 | 4.00%, 10/1/48, Pool #CA2469 | 83,924 | ||||
| 48,669 | 5.00%, 10/1/48, Pool #MA3501 | 48,537 | ||||
See accompanying notes to the financial statements.
23
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $128,525 | 5.00%, 10/1/48, Pool #BK7881 | $ | 128,177 | |||
| 89,254 | 5.00%, 11/1/48, Pool #MA3527 | 89,012 | ||||
| 8,812 | 3.50%, 11/1/48, Pool #FM1543 | 8,148 | ||||
| 30,258 | 5.00%, 12/1/48, Pool #BN4404 | 30,137 | ||||
| 1,233,601 | 4.00%, 1/1/49, Pool #FM5296 | 1,177,102 | ||||
| 90,499 | 5.00%, 1/1/49, Pool #BN3949 | 90,253 | ||||
| 28,284 | 5.00%, 1/1/49, Pool #BN4430 | 28,171 | ||||
| 269,930 | 3.50%, 6/1/49, Pool #FM5315 | 249,796 | ||||
| 785,002 | 4.00%, 9/1/49, Pool #FM3665 | 748,104 | ||||
| 634,417 | 3.50%, 12/1/49, Pool #MA3210 | 584,349 | ||||
| 4,723,548 | 3.00%, 3/1/50, Pool #FM5290 | 4,227,786 | ||||
| 355,993 | 4.00%, 3/1/50, Pool #CA5368 | 338,521 | ||||
| 327,349 | 4.00%, 5/1/50, Pool #FM7973 | 310,667 | ||||
| 460,106 | 4.00%, 6/1/50, Pool #CA6106 | 438,170 | ||||
| 2,964,246 | 2.50%, 7/1/50, Pool #CA6341 | 2,549,027 | ||||
| 2,979,550 | 2.50%, 7/1/50, Pool #CA6343 | 2,562,212 | ||||
| 1,718,275 | 2.50%, 7/1/50, Pool #CA6359 | 1,485,629 | ||||
| 2,915,879 | 2.50%, 7/1/50, Pool #CA6342 | 2,507,522 | ||||
| 3,425,140 | 2.50%, 8/1/50, Pool #CA6577 | 2,945,719 | ||||
| 2,803,210 | 2.50%, 8/1/50, Pool #CA6636 | 2,410,716 | ||||
| 875,472 | 2.50%, 8/1/50, Pool #CA6711 | 752,829 | ||||
| 1,777,851 | 3.00%, 8/1/50, Pool #FM5292 | 1,583,257 | ||||
| 271,253 | 4.00%, 8/1/50, Pool #FM7703 | 257,507 | ||||
| 382,887 | 2.00%, 9/1/50, Pool #BQ0697 | 313,251 | ||||
| 1,231,287 | 2.00%, 9/1/50, Pool #MA4119 | 1,007,409 | ||||
| 2,216,014 | 2.00%, 10/1/50, Pool #MA4158 | 1,813,088 | ||||
| 2,003,467 | 1.50%, 10/1/50, Pool #MA4157 | 1,547,963 | ||||
| 1,739,269 | 1.50%, 11/1/50, Pool #MA4181 | 1,343,776 | ||||
| 1,980,465 | 2.50%, 11/1/50, Pool #CA7597 | 1,712,238 | ||||
| 563,315 | 2.50%, 11/1/50, Pool #FM4874 | 487,045 | ||||
| 304,354 | 2.00%, 11/1/50, Pool #BQ6334 | 249,049 | ||||
| 432,506 | 2.00%, 12/1/50, Pool #FM5305 | 357,453 | ||||
| 1,353,024 | 2.00%, 12/1/50, Pool #FM5176 | 1,117,490 | ||||
| 14,347,711 | 3.50%, 1/1/51, Pool #FM7599 | 13,211,329 | ||||
| 30,978,259 | 2.00%, 1/1/51, Pool #MA4237 | 25,384,234 | ||||
| 1,660,180 | 4.00%, 1/1/51, Pool #FM7031 | 1,575,556 | ||||
| 511,205 | 2.50%, 1/1/51, Pool #CA8592 | 439,572 | ||||
| 2,720,679 | 2.00%, 2/1/51, Pool #BR1615 | 2,221,154 | ||||
| 1,429,166 | 2.50%, 2/1/51, Pool #CA9038 | 1,223,191 | ||||
| 1,828,222 | 4.00%, 3/1/51, Pool #FM7460 | 1,732,747 | ||||
| 180,609 | 2.50%, 3/1/51, Pool #BR4654 | 154,530 | ||||
| 494,527 | 2.00%, 3/1/51, Pool #BN9004 | 408,712 | ||||
| 880,646 | 2.00%, 3/1/51, Pool #BN8997 | 726,636 | ||||
| 2,328,746 | 1.50%, 3/1/51, Pool #MA4280 | 1,799,070 | ||||
| 653,286 | 2.00%, 4/1/51, Pool #BR7241 | 541,035 | ||||
| 822,022 | 2.00%, 4/1/51, Pool #BR7802 | 678,290 | ||||
| 1,237,002 | 2.00%, 4/1/51, Pool #FM6863 | 1,022,509 | ||||
| 223,798 | 2.50%, 4/1/51, Pool #BR8896 | 191,532 | ||||
| 126,231 | 2.50%, 4/1/51, Pool #BR8283 | 108,060 | ||||
| 308,160 | 2.00%, 4/1/51, Pool #FS0599 | 254,791 | ||||
| 2,119,277 | 2.50%, 5/1/51, Pool #CB0383 | 1,818,906 | ||||
| 121,543 | 2.50%, 5/1/51, Pool #BR8915 | 103,992 | ||||
| 9,191,530 | 4.00%, 5/1/51, Pool #FS1463 | 8,748,345 | ||||
| 68,096 | 2.50%, 5/1/51, Pool #BR8296 | 57,903 | ||||
| 6,115,544 | 3.00%, 6/1/51, Pool #CB0848 | 5,436,118 | ||||
| 199,434 | 2.50%, 7/1/51, Pool #BP3574 | 170,656 | ||||
| 10,413,142 | 2.00%, 8/1/51, Pool #CB1309 | 8,501,490 | ||||
| 8,855,698 | 2.00%, 8/1/51, Pool #CB1310 | 7,229,344 | ||||
| 70,787 | 2.50%, 10/1/51, Pool #BT8452 | 60,564 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $717,488 | 2.50%, 10/1/51, Pool #CB1806 | $ | 615,764 | |||
| 460,407 | 2.00%, 10/1/51, Pool #MA4465 | 375,941 | ||||
| 2,195,699 | 2.00%, 11/1/51, Pool #FM9538 | 1,817,845 | ||||
| 2,293,021 | 2.00%, 11/1/51, Pool #CB2079 | 1,884,527 | ||||
| 1,077,410 | 2.00%, 11/1/51, Pool #FM9452 | 890,204 | ||||
| 3,031,730 | 2.00%, 11/1/51, Pool #FS1334 | 2,485,424 | ||||
| 2,502,555 | 2.00%, 11/1/51, Pool #CB2054 | 2,068,242 | ||||
| 956,999 | 2.50%, 11/1/51, Pool #FS0026 | 824,721 | ||||
| 1,210,741 | 2.00%, 11/1/51, Pool #CB2139 | 1,002,456 | ||||
| 2,601,122 | 3.00%, 11/1/51, Pool #CB2165 | 2,307,128 | ||||
| 1,585,619 | 2.00%, 12/1/51, Pool #FS0211 | 1,303,721 | ||||
| 1,568,766 | 2.00%, 12/1/51, Pool #FS0212 | 1,293,921 | ||||
| 1,049,838 | 2.00%, 12/1/51, Pool #FM9925 | 863,846 | ||||
| 700,533 | 2.00%, 12/1/51, Pool #FM9730 | 578,988 | ||||
| 550,511 | 2.50%, 12/1/51, Pool #CB2372 | 472,414 | ||||
| 1,330,429 | 2.00%, 12/1/51, Pool #MA4492 | 1,086,128 | ||||
| 1,155,957 | 3.00%, 12/1/51, Pool #CB2418 | 1,028,508 | ||||
| 305,425 | 2.00%, 12/1/51, Pool #FS0598 | 252,747 | ||||
| 1,127,664 | Class IO , Series 2021-88, 2.50%, 12/25/51 | 167,165 | ||||
| 2,352,801 | 2.50%, 1/1/52, Pool #FS0208 | 2,012,965 | ||||
| 3,557,103 | 2.50%, 1/1/52, Pool #CB2622 | 3,043,200 | ||||
| 1,433,655 | 2.00%, 1/1/52, Pool #CB2601 | 1,186,925 | ||||
| 802,974 | 2.00%, 1/1/52, Pool #FS1406 | 655,394 | ||||
| 1,946,788 | 2.50%, 1/1/52, Pool #CB2620 | 1,677,405 | ||||
| 2,924,959 | 2.50%, 1/1/52, Pool #FS0209 | 2,510,598 | ||||
| 1,907,469 | 2.00%, 1/1/52, Pool #FS0497 | 1,576,677 | ||||
| 1,247,204 | 2.00%, 1/1/52, Pool #FS0290 | 1,032,400 | ||||
| 2,644,242 | 2.50%, 1/1/52, Pool #FS0378 | 2,287,835 | ||||
| 1,804,272 | 2.50%, 1/1/52, Pool #FS0193 | 1,544,248 | ||||
| 2,360,118 | 2.50%, 1/1/52, Pool #CB2621 | 2,034,493 | ||||
| 1,109,175 | 2.50%, 1/1/52, Pool #CB2633 | 955,267 | ||||
| 1,691,049 | 2.00%, 2/1/52, Pool #CB2837 | 1,385,740 | ||||
| 730,092 | 2.00%, 2/1/52, Pool #CB2836 | 599,066 | ||||
| 2,381,019 | 2.50%, 2/1/52, Pool #CB2856 | 2,038,039 | ||||
| 881,653 | 2.00%, 2/1/52, Pool #FS0646 | 722,565 | ||||
| 2,013,728 | 2.50%, 2/1/52, Pool #CB2855 | 1,729,504 | ||||
| 564,644 | 2.50%, 2/1/52, Pool #CB2854 | 484,958 | ||||
| 6,822,902 | 2.00%, 2/1/52, Pool #FS2040 | 5,566,898 | ||||
| 390,347 | 2.50%, 2/1/52, Pool #CB2863 | 338,582 | ||||
| 3,759,829 | 2.00%, 2/1/52, Pool #CB2838 | 3,078,794 | ||||
| 4,208,704 | 2.00%, 3/1/52, Pool #CB3102 | 3,450,603 | ||||
| 915,350 | 2.50%, 3/1/52, Pool #FS1661 | 789,099 | ||||
| 293,035 | 3.00%, 3/1/52, Pool #CB3115 | 261,109 | ||||
| 1,614,680 | 2.00%, 3/1/52, Pool #CB3105 | 1,322,951 | ||||
| 2,303,025 | 2.00%, 3/1/52, Pool #CB3101 | 1,885,915 | ||||
| 850,995 | 3.00%, 4/1/52, Pool #FS1520 | 757,904 | ||||
| 830,520 | 4.00%, 4/1/52, Pool #FS1267 | 785,358 | ||||
| 1,328,828 | 3.00%, 5/1/52, Pool #FS1522 | 1,176,673 | ||||
| 603,131 | 3.50%, 5/1/52, Pool #BV8545 | 557,009 | ||||
| 4,405,124 | 4.00%, 5/1/52, Pool #FS1133 | 4,173,307 | ||||
| 5,071,668 | 4.00%, 5/1/52, Pool #FS3377 | 4,817,618 | ||||
| 485,488 | 4.50%, 7/1/52, Pool #MA4656 | 467,108 | ||||
| 621,138 | 3.50%, 7/1/52, Pool #FS2812 | 571,307 | ||||
| 457,200 | 3.50%, 8/1/52, Pool #CB4324 | 420,897 | ||||
| 387,925 | 3.50%, 9/1/52, Pool #CB4660 | 354,668 | ||||
| 294,591 | 3.50%, 9/1/52, Pool #CB4658 | 270,175 | ||||
| 473,157 | 3.50%, 9/1/52, Pool #CB4661 | 433,530 | ||||
| 96,503 | 3.50%, 9/1/52, Pool #CB4657 | 88,793 | ||||
| 487,130 | 6.00%, 11/1/52, Pool #FS3251 | 493,111 | ||||
See accompanying notes to the financial statements.
24
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $982,632 | 5.00%, 12/1/52, Pool #MA4841 | $ | 963,066 | |||
| 2,496,092 | 5.00%, 1/1/53, Pool #CB5450 | 2,452,545 | ||||
| 1,075,980 | 5.50%, 1/1/53, Pool #CB5462 | 1,073,596 | ||||
| 425,915 | 5.00%, 1/1/53, Pool #BX4207 | 417,820 | ||||
| 1,394,308 | 5.50%, 1/1/53, Pool #BX6108 | 1,389,702 | ||||
| 2,983,651 | 6.00%, 1/1/53, Pool #FS3832 | 3,015,686 | ||||
| 9,273,721 | 5.00%, 4/1/53, Pool #CB6063 | 9,097,406 | ||||
| 2,409,439 | 6.00%, 4/1/53, Pool #CB6094 | 2,439,329 | ||||
| 457,011 | 6.00%, 5/1/53, Pool #BY0568 | 462,694 | ||||
| 855,127 | 5.50%, 5/1/53, Pool #BY0557 | 853,237 | ||||
| 831,617 | 5.50%, 5/1/53, Pool #BY2967 | 829,780 | ||||
| 3,228,275 | 6.00%, 5/1/53, Pool #CB6329 | 3,268,385 | ||||
| 957,444 | 6.00%, 5/1/53, Pool #FS4641 | 969,348 | ||||
| 3,250,815 | 5.50%, 5/1/53, Pool #FS4629 | 3,243,634 | ||||
| 4,040,036 | 5.50%, 5/1/53, Pool #CB6321 | 4,031,113 | ||||
| 2,358,428 | 5.50%, 6/1/53, Pool #CB6463 | 2,353,219 | ||||
| 13,218,232 | 3.00%, 7/25/53, TBA | 11,629,979 | ||||
| 34,450,000 | 4.00%, 7/25/53, TBA | 32,323,789 | ||||
| 3,274,000 | 6.50%, 7/25/53, TBA | 3,342,549 | ||||
| 1,660,998 | 5.00%, 7/25/53, TBA | 1,627,778 | ||||
| 5,916,200 | 1.50%, 7/25/53, TBA | 4,570,264 | ||||
| 31,299,488 | 2.00%, 7/25/53, TBA | 25,509,083 | ||||
| 10,229,055 | 3.50%, 7/25/53, TBA | 9,318,030 | ||||
| 26,912,500 | 2.50%, 8/25/53, TBA | 22,848,292 | ||||
|
|
|
|||||
| 499,384,619 | ||||||
|
|
|
|||||
| Federal Home Loan Mortgage Corporation (8.6%): |
| |||||
| 3,310,300 | Class A2 , Series KC02, 3.37%, 7/25/25 | 3,189,517 | ||||
| 64,687 | 3.00%, 9/1/27, Pool #U70060 | 61,754 | ||||
| 37,734 | 3.00%, 7/1/28, Pool #U79018 | 36,018 | ||||
| 591,000 | 4.97%, 9/15/29(c) | 449,940 | ||||
| 4,510,000 | Class XFX , Series KL06, 1.36%, 12/25/29, Callable 9/25/29 @ 100.00 | 272,543 | ||||
| 17,743 | 3.00%, 1/1/30, Pool #V60696 | 17,000 | ||||
| 22,458 | 3.00%, 1/1/30, Pool #V60724 | 21,464 | ||||
| 39,197 | 2.50%, 3/1/30, Pool #V60770 | 36,895 | ||||
| 79,953 | 3.00%, 5/1/30, Pool #J31689 | 75,652 | ||||
| 91,039 | 2.50%, 5/1/30, Pool #J31728 | 84,236 | ||||
| 42,248 | 2.50%, 5/1/30, Pool #J31418 | 39,523 | ||||
| 58,287 | 2.50%, 5/1/30, Pool #V60796 | 53,830 | ||||
| 151,183 | 3.00%, 6/1/30, Pool #V60840 | 144,396 | ||||
| 4,300 | 2.50%, 7/1/30, Pool #V60905 | 3,970 | ||||
| 3,524 | 2.50%, 7/1/30, Pool #J32491 | 3,260 | ||||
| 15,151 | 2.50%, 7/1/30, Pool #J32204 | 14,257 | ||||
| 13,032 | 2.50%, 7/1/30, Pool #J32209 | 12,192 | ||||
| 10,533 | 3.00%, 7/1/30, Pool #J32181 | 9,967 | ||||
| 71,063 | 3.00%, 7/1/30, Pool #G15520 | 68,005 | ||||
| 10,076 | 3.00%, 8/1/30, Pool #J32436 | 9,640 | ||||
| 15,799 | 3.00%, 8/1/30, Pool #V60909 | 15,091 | ||||
| 52,557 | 2.50%, 8/1/30, Pool #V60902 | 49,092 | ||||
| 62,726 | 2.50%, 8/1/30, Pool #V60886 | 58,596 | ||||
| 51,053 | 2.50%, 9/1/30, Pool #V60903 | 48,062 | ||||
| 160,043 | 2.50%, 9/1/30, Pool #V60904 | 147,819 | ||||
| 7,211,993 | Class X1 , Series K121, 1.12%, 10/25/30 | 404,071 | ||||
| 190,000 | 6.75%, 3/15/31 | 222,820 | ||||
| 197,000 | 5.18%, 3/15/31(c) | 140,193 | ||||
| 280,780 | 2.50%, 4/1/31, Pool #G16186 | 262,902 | ||||
| 4,925,100 | 1.50%, 5/1/31, Pool #RD5057 | 4,460,394 | ||||
| 749,727 | 1.50%, 6/1/31, Pool #RD5059 | 678,968 | ||||
| 570,000 | Class A2 , Series K142, 2.40%, 3/25/32 | 484,849 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $2,300,000 | Class A2 , Series K144, 2.45%, 4/25/32 | $ | 1,961,857 | |||
| 3,575,000 | Class A2 , Series K145, 2.58%, 5/25/32 | 3,079,680 | ||||
| 6,021 | 3.00%, 10/1/32, Pool #J37706 | 5,682 | ||||
| 8,014 | 3.00%, 11/1/32, Pool #J37835 | 7,563 | ||||
| 1,480,000 | Class A2 , Series K-152, 3.78%, 11/25/32 | 1,398,938 | ||||
| 5,483 | 3.00%, 12/1/32, Pool #J38060 | 5,176 | ||||
| 1,670,000 | Class A2 , Series K-154, 4.35%, 1/25/33 | 1,652,721 | ||||
| 1,985,734 | 2.50%, 4/1/33, Pool #ZS8087 | 1,815,704 | ||||
| 4,491,000 | Class A3 , Series K156, 3.70%, 6/25/33 | 4,222,895 | ||||
| 98,288 | 3.50%, 1/1/34, Pool #ZS9068 | 89,805 | ||||
| 1,065,158 | 2.50%, 1/1/35, Pool #SB0298 | 973,456 | ||||
| 60,479 | 5.50%, 2/1/35, Pool #G04692 | 60,558 | ||||
| 365,388 | 3.50%, 5/1/35, Pool #SC0063 | 354,418 | ||||
| 1,550,000 | 1.46%, 8/17/35, Callable 8/17/23 @ 100.00 | 1,086,372 | ||||
| 861,380 | 2.00%, 9/1/35, Pool #SB0539 | 766,149 | ||||
| 1,866,984 | 2.00%, 1/1/36, Pool #SB0546 | 1,670,885 | ||||
| 1,148,371 | 2.00%, 2/1/36, Pool #SB8507 | 1,030,647 | ||||
| 1,030,262 | 2.00%, 2/1/36, Pool #RC1819 | 918,067 | ||||
| 353,456 | 2.00%, 3/1/36, Pool #SB0544 | 314,971 | ||||
| 2,174,784 | 1.50%, 4/1/36, Pool #SB0514 | 1,872,764 | ||||
| 331,416 | 1.50%, 4/1/36, Pool #SB0510 | 288,685 | ||||
| 2,166,757 | 2.00%, 5/1/36, Pool #RC1999 | 1,930,361 | ||||
| 439,001 | 1.50%, 5/1/36, Pool #RC1975 | 378,017 | ||||
| 3,155,000 | 1.72%, 9/22/36, Callable 9/22/23 @ 100.00 | 2,216,315 | ||||
| 1,727,867 | 2.00%, 4/1/37, Pool #SB0679 | 1,539,737 | ||||
| 42,590 | 3.00%, 9/1/37, Pool #ZA2471 | 39,333 | ||||
| 871,956 | 3.00%, 6/1/38, Pool #SC0111 | 800,549 | ||||
| 95,011 | 6.00%, 4/1/39, Pool #G07613 | 98,046 | ||||
| 14,421 | 4.50%, 12/1/39, Pool #A90196 | 14,259 | ||||
| 446,912 | 3.50%, 1/1/40, Pool #RB5028 | 421,434 | ||||
| 55,861 | 3.50%, 2/1/40, Pool #RB5034 | 52,675 | ||||
| 15,163 | 4.50%, 7/1/40, Pool #A93010 | 14,998 | ||||
| 14,910 | 4.00%, 8/1/40, Pool #A93534 | 14,040 | ||||
| 300,901 | 4.50%, 9/1/40, Pool #A93700 | 298,600 | ||||
| 101,921 | 4.00%, 9/1/40, Pool #A93851 | 98,931 | ||||
| 22,079 | 4.00%, 10/1/40, Pool #A95923 | 21,427 | ||||
| 14,723 | 4.00%, 11/1/40, Pool #A94779 | 14,291 | ||||
| 15,514 | 4.00%, 11/1/40, Pool #A94977 | 15,056 | ||||
| 14,700 | 4.00%, 11/1/40, Pool #A95144 | 14,266 | ||||
| 978 | 4.00%, 4/1/41, Pool #Q00093 | 942 | ||||
| 37,445 | 4.50%, 5/1/41, Pool #Q00959 | 36,267 | ||||
| 31,843 | 4.50%, 5/1/41, Pool #Q00804 | 30,843 | ||||
| 213,492 | Class FL , Series 4248, 5.64% (US0001M+45bps), 5/15/41 | 209,249 | ||||
| 238,907 | 5.50%, 6/1/41, Pool #G07553 | 243,615 | ||||
| 24,605 | 4.00%, 10/1/41, Pool #Q04022 | 23,874 | ||||
| 17,925 | 4.00%, 10/1/41, Pool #Q03841 | 17,390 | ||||
| 50,397 | 5.00%, 10/1/41, Pool #G07642 | 50,642 | ||||
| 353,100 | 2.00%, 2/1/42, Pool #RB5145 | 299,293 | ||||
| 1,845,108 | 2.00%, 3/1/42, Pool #RB5148 | 1,564,039 | ||||
| 120,830 | 3.50%, 4/1/42, Pool #Q07417 | 115,201 | ||||
| 368,994 | 2.00%, 4/1/42, Pool #RB5153 | 312,748 | ||||
| 132,519 | 3.50%, 4/1/42, Pool #C03811 | 124,704 | ||||
| 11,261 | 3.50%, 5/1/42, Pool #Q08239 | 10,718 | ||||
| 3,934 | 3.50%, 5/1/42, Pool #Q08306 | 3,744 | ||||
| 99,459 | 3.50%, 8/1/42, Pool #G07106 | 94,842 | ||||
| 17,227 | 3.50%, 8/1/42, Pool #Q12162 | 16,424 | ||||
| 6,709 | 3.50%, 10/1/42, Pool #Q11909 | 6,396 | ||||
| 159,742 | 3.00%, 1/1/43, Pool #Q14866 | 147,289 | ||||
See accompanying notes to the financial statements.
25
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $63,954 | 3.00%, 3/1/43, Pool #Q16403 | $ | 57,670 | |||
| 124,222 | 3.00%, 3/1/43, Pool #Q16673 | 112,032 | ||||
| 64,991 | 3.50%, 6/1/43, Pool #Q18718 | 61,937 | ||||
| 115,026 | 3.50%, 7/1/43, Pool #Q20206 | 107,412 | ||||
| 44,058 | 4.00%, 9/1/43, Pool #Q21579 | 42,440 | ||||
| 108,018 | 4.50%, 12/1/43, Pool #Q23779 | 106,484 | ||||
| 90,577 | 4.50%, 12/1/43, Pool #G60018 | 87,695 | ||||
| 12,986 | 3.50%, 1/1/44, Pool #Q24368 | 12,190 | ||||
| 1,052,984 | Class XZ , Series 4316, 4.50%, 3/15/44 | 1,041,440 | ||||
| 53,072 | 4.00%, 4/1/44, Pool #Q25643 | 51,411 | ||||
| 529,658 | 3.50%, 4/1/44, Pool #G07848 | 488,584 | ||||
| 902,009 | Class ZX , Series 4352, 4.00%, 4/15/44 | 861,291 | ||||
| 13,199 | 3.50%, 5/1/44, Pool #Q26218 | 12,412 | ||||
| 64,065 | 3.50%, 6/1/44, Pool #Q28764 | 61,084 | ||||
| 1,744,645 | 3.00%, 6/1/44, Pool #SD0498 | 1,580,144 | ||||
| 12,216 | 3.50%, 7/1/44, Pool #Q27319 | 11,488 | ||||
| 45,839 | 4.00%, 7/1/44, Pool #G60901 | 44,122 | ||||
| 1,796,107 | 3.50%, 9/1/44, Pool #SD0481 | 1,675,779 | ||||
| 18,907 | 3.50%, 9/1/44, Pool #Q28604 | 17,789 | ||||
| 1,759,556 | 4.00%, 1/1/45, Pool #SD0478 | 1,692,184 | ||||
| 1,993,040 | 4.00%, 1/1/45, Pool #SD0490 | 1,928,326 | ||||
| 14,182 | 4.00%, 2/1/45, Pool #Q31338 | 13,706 | ||||
| 6,249 | 4.00%, 2/1/45, Pool #Q31128 | 6,040 | ||||
| 2,636,262 | 4.00%, 9/1/45, Pool #SD0507 | 2,543,563 | ||||
| 13,643 | 3.50%, 9/1/45, Pool #Q36302 | 12,878 | ||||
| 18,204 | 4.00%, 12/1/45, Pool #Q37955 | 17,594 | ||||
| 16,274 | 4.00%, 12/1/45, Pool #Q37957 | 15,709 | ||||
| 1,228,679 | 3.50%, 3/1/46, Pool #SD0485 | 1,140,464 | ||||
| 376,784 | Class FB , Series 4606, 5.69% (US0001M+50bps), 8/15/46 | 369,933 | ||||
| 230,298 | 3.50%, 9/1/46, Pool #SD0486 | 214,335 | ||||
| 219,343 | 3.00%, 9/1/46, Pool #G60718 | 193,268 | ||||
| 563,975 | 3.00%, 9/1/46, Pool #Q42979 | 496,784 | ||||
| 759,805 | 3.00%, 12/1/46, Pool #V82781 | 696,529 | ||||
| 237,379 | 3.00%, 12/1/46, Pool #Q45064 | 209,139 | ||||
| 131,739 | 3.00%, 12/1/46, Pool #Q45080 | 118,537 | ||||
| 63,557 | 3.00%, 12/1/46, Pool #Q45083 | 57,665 | ||||
| 629,845 | 3.00%, 2/1/47, Pool #SD0496 | 565,702 | ||||
| 360,732 | 3.50%, 3/1/47, Pool #G60968 | 337,487 | ||||
| 643,867 | 4.00%, 7/1/47, Pool #SD0504 | 616,626 | ||||
| 817,728 | 4.50%, 7/1/47, Pool #G61047 | 804,210 | ||||
| 350,197 | 3.50%, 10/1/47, Pool #G61178 | 328,207 | ||||
| 424,736 | 3.50%, 12/1/47, Pool #G61208 | 398,122 | ||||
| 382,390 | 3.50%, 1/1/48, Pool #ZS4751 | 353,048 | ||||
| 90,606 | 3.50%, 1/1/48, Pool #Q53648 | 84,740 | ||||
| 55,312 | 3.50%, 1/1/48, Pool #Q53630 | 51,863 | ||||
| 392,984 | 3.50%, 2/1/48, Pool #ZT1353 | 363,474 | ||||
| 2,746,512 | 3.50%, 4/1/48, Pool #G08808 | 2,534,965 | ||||
| 269,848 | 4.00%, 4/1/48, Pool #ZM6153 | 256,045 | ||||
| 2,956,863 | 3.50%, 4/1/48, Pool #Q55389 | 2,728,966 | ||||
| 586,597 | 4.00%, 4/1/48, Pool #SD0489 | 562,149 | ||||
| 2,754,874 | 3.50%, 5/1/48, Pool #G08813 | 2,542,485 | ||||
| 933,540 | 4.50%, 8/1/48, Pool #G67715 | 919,172 | ||||
| 2,780,562 | 4.00%, 8/1/48, Pool #SD0492 | 2,674,128 | ||||
| 2,184,415 | 4.00%, 5/1/49, Pool #SD0488 | 2,087,926 | ||||
| 2,479,741 | 4.00%, 3/1/50, Pool #SD0296 | 2,366,413 | ||||
| 1,769,570 | 4.50%, 3/1/50, Pool #SD0294 | 1,727,068 | ||||
| 1,672,049 | 4.00%, 7/1/50, Pool #SD1146 | 1,595,624 | ||||
| 589,592 | 4.00%, 7/1/50, Pool #SD0878 | 560,042 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $502,279 | 2.50%, 7/1/50, Pool #QB1193 | $ | 432,145 | |||
| 13,401 | 3.00%, 7/1/50, Pool #QB1488 | 12,017 | ||||
| 11,943 | 3.00%, 7/1/50, Pool #QB1158 | 10,723 | ||||
| 102,980 | 3.00%, 7/1/50, Pool #QB1479 | 92,541 | ||||
| 27,559 | 3.00%, 7/1/50, Pool #QB1486 | 24,731 | ||||
| 2,599,318 | Class AK , Series 4988, 1.00%, 7/25/50 | 2,107,527 | ||||
| 2,561,476 | Class TJ , Series 5002, 2.00%, 7/25/50 | 2,181,099 | ||||
| 779,570 | 3.00%, 8/1/50, Pool #RA3313 | 694,633 | ||||
| 803,605 | 3.00%, 8/1/50, Pool #RA3282 | 717,987 | ||||
| 763,591 | 1.50%, 8/1/50, Pool #RA3217 | 590,058 | ||||
| 82,155 | 3.00%, 8/1/50, Pool #QB2339 | 73,710 | ||||
| 268,819 | 2.00%, 8/1/50, Pool #QB2296 | 222,164 | ||||
| 3,900,000 | Class PO , Series 5319, 1.38%, 8/25/50 | 2,682,645 | ||||
| 5,360,802 | 3.00%, 9/1/50, Pool #SD0592 | 4,834,844 | ||||
| 1,918,398 | 1.50%, 10/1/50, Pool #SD8082 | 1,482,132 | ||||
| 606,285 | 2.00%, 11/1/50, Pool #SD7528 | 500,680 | ||||
| 1,055,738 | 3.00%, 12/1/50, Pool #SD0519 | 942,761 | ||||
| 882,097 | 4.00%, 12/1/50, Pool #SD0520 | 839,807 | ||||
| 3,779,934 | 2.50%, 2/1/51, Pool #SD7534 | 3,268,476 | ||||
| 5,324,285 | 2.00%, 3/1/51, Pool #SD8134 | 4,346,954 | ||||
| 2,006,285 | 2.00%, 4/1/51, Pool #SD7539 | 1,662,941 | ||||
| 1,089,361 | 2.00%, 5/1/51, Pool #SD7541 | 900,423 | ||||
| 2,364,538 | 2.50%, 5/1/51, Pool #SD0702 | 2,038,053 | ||||
| 8,404,838 | 2.50%, 5/1/51, Pool #RA5077 | 7,191,723 | ||||
| 1,024,166 | Class ID , Series 5109, 2.50%, 5/25/51 | 152,617 | ||||
| 1,158,261 | 3.00%, 7/1/51, Pool #SD7544 | 1,026,925 | ||||
| 3,504,603 | 2.00%, 7/1/51, Pool #SD0716 | 2,896,045 | ||||
| 776,003 | 2.00%, 9/1/51, Pool #SD8172 | 633,509 | ||||
| 760,069 | 2.00%, 9/1/51, Pool #SD0730 | 627,200 | ||||
| 1,022,725 | 2.00%, 9/1/51, Pool #SD0732 | 841,015 | ||||
| 3,360,995 | 2.00%, 10/1/51, Pool #RA6071 | 2,761,467 | ||||
| 1,006,648 | 3.00%, 10/1/51, Pool #RA6015 | 894,764 | ||||
| 7,403,461 | 2.50%, 11/1/51, Pool #SD7548 | 6,325,116 | ||||
| 2,321,984 | 2.50%, 11/1/51, Pool #RA6397 | 2,000,718 | ||||
| 200,931 | 2.00%, 12/1/51, Pool #SD0789 | 166,031 | ||||
| 4,509,517 | 2.50%, 12/1/51, Pool #RA6388 | 3,858,301 | ||||
| 1,095,662 | 2.00%, 12/1/51, Pool #SD0786 | 907,048 | ||||
| 1,046,263 | 2.00%, 12/1/51, Pool #SD0785 | 864,083 | ||||
| 5,700,388 | 2.00%, 12/1/51, Pool #SD8182 | 4,653,611 | ||||
| 411,071 | 2.00%, 12/1/51, Pool #SD0783 | 339,762 | ||||
| 2,596,293 | 2.00%, 1/1/52, Pool #SD0892 | 2,149,304 | ||||
| 1,914,790 | 2.00%, 1/1/52, Pool #SD0894 | 1,582,382 | ||||
| 23,317,317 | 2.50%, 1/1/52, Pool #SD7552 | 19,963,775 | ||||
| 8,024,716 | 2.00%, 1/1/52, Pool #SD7549 | 6,626,198 | ||||
| 7,086,444 | 2.50%, 1/1/52, Pool #SD0923 | 6,062,490 | ||||
| 1,330,881 | 2.00%, 2/1/52, Pool #RA6768 | 1,085,026 | ||||
| 854,979 | 3.00%, 2/1/52, Pool #SD7550 | 762,721 | ||||
| 23,266,175 | 3.00%, 3/1/52, Pool #SD7553 | 20,733,106 | ||||
| 1,122,780 | 3.50%, 6/1/52, Pool #SD1049 | 1,027,998 | ||||
| 422,811 | 3.50%, 6/1/52, Pool #SD1086 | 387,149 | ||||
| 608,645 | 4.00%, 6/1/52, Pool #SD1952 | 578,910 | ||||
| 1,023,416 | 3.50%, 6/1/52, Pool #SD1053 | 942,783 | ||||
| 457,344 | 4.50%, 7/1/52, Pool #SD8231 | 439,771 | ||||
| 2,871,264 | 4.50%, 7/1/52, Pool #RA7506 | 2,760,960 | ||||
| 894,790 | 4.50%, 8/1/52, Pool #QE8252 | 860,646 | ||||
| 3,383,629 | 3.00%, 8/1/52, Pool #SD7556 | 3,002,593 | ||||
| 461,084 | 6.00%, 11/1/52, Pool #RA8216 | 466,771 | ||||
| 718,664 | 5.00%, 11/1/52, Pool #SD1882 | 705,019 | ||||
| 2,018,117 | 4.50%, 11/1/52, Pool #SD2000 | 1,942,427 | ||||
See accompanying notes to the financial statements.
26
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $908,277 | 5.00%, 12/1/52, Pool #RA8295 | $ | 891,040 | |||
| 1,489,415 | 5.00%, 12/1/52, Pool #SD1991 | 1,461,137 | ||||
| 803,821 | 5.00%, 12/1/52, Pool #SD2081 | 788,565 | ||||
| 1,635,952 | 5.50%, 1/1/53, Pool #QF6560 | 1,632,335 | ||||
| 556,075 | 5.50%, 1/1/53, Pool #SD2275 | 554,843 | ||||
| 928,725 | 5.00%, 1/1/53, Pool #RA8404 | 911,076 | ||||
| 2,197,803 | 6.00%, 1/1/53, Pool #SD2163 | 2,221,401 | ||||
| 1,238,407 | 6.00%, 2/1/53, Pool #RA8560 | 1,251,732 | ||||
| 363,527 | 5.00%, 2/1/53, Pool #SD2306 | 356,618 | ||||
| 4,788,616 | 5.50%, 3/1/53, Pool #RA8758 | 4,778,028 | ||||
| 751,443 | 6.00%, 3/1/53, Pool #SD2598 | 759,524 | ||||
| 1,658,627 | 6.00%, 4/1/53, Pool #SD2760 | 1,679,245 | ||||
| 3,203,100 | 6.00%, 5/1/53, Pool #RA9073 | 3,242,909 | ||||
| 1,166,935 | 6.00%, 5/1/53, Pool #SD2886 | 1,181,430 | ||||
| 3,546,551 | 5.50%, 5/1/53, Pool #SD2893 | 3,538,716 | ||||
| 4,005,764 | 5.50%, 5/1/53, Pool #RA9063 | 3,996,914 | ||||
| 2,575,412 | 6.00%, 6/1/53, Pool #SD3176 | 2,607,432 | ||||
| 1,740,000 | Class A2 , Series K146, 2.92%, 6/25/54, Callable 7/25/32 @ 100.00 | 1,539,733 | ||||
|
|
|
|||||
| 259,334,677 | ||||||
|
|
|
|||||
| Federal Home Loan Bank (0.9%): | ||||||
| 3,020,000 | 0.92%, 2/26/27, Callable 8/26/23 @ 100.00 | 2,640,763 | ||||
| 22,560,000 | 2.06%, 9/27/29, Callable 9/27/23 @ 100.00 | 19,462,828 | ||||
| 4,080,000 | 3.56%, 5/16/33 | 3,811,271 | ||||
| 1,435,000 | 1.85%, 1/25/36, Callable 7/25/23 @ 100.00 | 1,043,581 | ||||
| 1,720,000 | 1.87%, 2/8/36, Callable 8/8/23 @ 100.00 | 1,252,746 | ||||
| 920,000 | 1.87%, 2/8/36, Callable 8/8/23 @ 100.00 | 670,074 | ||||
|
|
|
|||||
| 28,881,263 | ||||||
|
|
|
|||||
| Federal Farm Credit Banks Funding Corp. (1.2%): |
| |||||
| 14,521,000 | 2.25%, 8/15/29, Callable 8/15/24 @ 100.00 | 12,684,181 | ||||
| 10,440,000 | 2.17%, 10/29/29, Callable 10/29/24 @ 100.00 | 9,054,309 | ||||
| 6,095,000 | 1.68%, 9/17/35, Callable 7/14/23 @ 100.00 | 4,392,471 | ||||
| 3,450,000 | 1.84%, 1/25/36, Callable 7/14/23 @ 100.00 | 2,505,749 | ||||
| 4,730,000 | 2.10%, 2/25/36, Callable 7/14/23 @ 100.00 | 3,531,371 | ||||
| 2,569,000 | 2.50%, 4/14/36, Callable 7/14/23 @ 100.00 | 2,004,211 | ||||
| 2,875,000 | 2.49%, 5/19/36, Callable 7/14/23 @ 100.00 | 2,236,258 | ||||
|
|
|
|||||
| 36,408,550 | ||||||
|
|
|
|||||
| Government National Mortgage Association (6.6%): |
| |||||
| 8,085 | 4.50%, 9/15/33, Pool #615516 | 8,081 | ||||
| 28,816 | 5.00%, 12/15/33, Pool #783571 | 28,459 | ||||
| 9,597 | 6.50%, 8/20/38, Pool #4223 | 10,272 | ||||
| 7,663 | 6.50%, 10/15/38, Pool #673213 | 7,661 | ||||
| 5,466 | 6.50%, 11/20/38, Pool #4292 | 5,850 | ||||
| 9,979 | 6.50%, 12/15/38, Pool #782510 | 10,344 | ||||
| 104,853 | 5.00%, 1/15/39, Pool #782557 | 103,922 | ||||
| 66,332 | 5.00%, 4/15/39, Pool #782619 | 67,151 | ||||
| 52,211 | 5.00%, 4/15/39, Pool #711939 | 52,809 | ||||
| 6,543 | 4.00%, 4/20/39, Pool #4422 | 6,233 | ||||
| 6,342 | 5.00%, 6/15/39, Pool #782696 | 6,420 | ||||
| 22,592 | 4.00%, 7/20/39, Pool #4494 | 21,521 | ||||
| 38,213 | 5.00%, 10/20/39, Pool #4559 | 38,971 | ||||
| 4,251 | 4.50%, 12/20/39, Pool #G24598 | 4,227 | ||||
| 10,636 | 4.50%, 1/15/40, Pool #728627 | 10,573 | ||||
| 5,195 | 4.50%, 1/20/40, Pool #4617 | 5,167 | ||||
| 4,247 | 4.50%, 2/20/40, Pool #G24636 | 4,200 | ||||
| 30,087 | 5.00%, 5/15/40, Pool #782958 | 30,331 | ||||
| 273 | 4.50%, 5/20/40, Pool #G24696 | 270 | ||||
| 18,414 | 5.00%, 6/15/40, Pool #697862 | 18,529 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Government National Mortgage Association, continued |
| |||||
| $199,850 | 4.50%, 7/15/40, Pool #733795 | $ | 198,667 | |||
| 26,313 | 4.50%, 7/15/40, Pool #745793 | 26,421 | ||||
| 10,573 | 4.50%, 7/20/40, Pool #4746 | 10,457 | ||||
| 19,352 | 4.50%, 8/20/40, Pool #4771 | 19,139 | ||||
| 11,629 | 4.50%, 9/20/40, Pool #748948 | 11,515 | ||||
| 5,827 | 4.00%, 9/20/40, Pool #G24800 | 5,654 | ||||
| 43,377 | 4.50%, 10/15/40, Pool #783609 | 43,120 | ||||
| 19,590 | 4.50%, 10/20/40, Pool #4834 | 19,375 | ||||
| 152,481 | 4.00%, 10/20/40, Pool #G24833 | 147,939 | ||||
| 284,675 | 4.00%, 11/20/40, Pool #4853 | 281,465 | ||||
| 140,025 | 4.00%, 12/20/40, Pool #G24882 | 135,855 | ||||
| 77,257 | 4.00%, 1/15/41, Pool #759138 | 73,628 | ||||
| 125,809 | 4.00%, 1/20/41, Pool #4922 | 122,061 | ||||
| 12,509 | 4.50%, 2/15/41, Pool #738019 | 12,456 | ||||
| 513,516 | 4.00%, 2/20/41, Pool #742887 | 495,578 | ||||
| 2,151 | 4.00%, 2/20/41, Pool #4945 | 2,087 | ||||
| 41,904 | 4.00%, 3/15/41, Pool #762838 | 39,938 | ||||
| 3,141 | 5.00%, 4/20/41, Pool #5018 | 3,148 | ||||
| 6,817 | 5.00%, 6/20/41, Pool #5083 | 6,831 | ||||
| 49,975 | 4.50%, 6/20/41, Pool #783590 | 49,425 | ||||
| 3,668 | 5.00%, 7/20/41, Pool #5116 | 3,676 | ||||
| 117,041 | 4.50%, 7/20/41, Pool #5115 | 115,753 | ||||
| 15,781 | 4.50%, 7/20/41, Pool #754367 | 15,615 | ||||
| 122,107 | 4.00%, 7/20/41, Pool #742895 | 116,353 | ||||
| 34,728 | 4.50%, 7/20/41, Pool #783584 | 34,346 | ||||
| 35,191 | 4.50%, 11/15/41, Pool #783610 | 35,005 | ||||
| 100,926 | 3.50%, 1/15/42, Pool #553461 | 95,924 | ||||
| 139,106 | 4.00%, 4/20/42, Pool #MA0023 | 134,962 | ||||
| 59,977 | 5.00%, 7/20/42, Pool #MA0223 | 61,453 | ||||
| 141,277 | 3.50%, 4/15/43, Pool #AD2334 | 132,847 | ||||
| 266,532 | 3.50%, 4/20/43, Pool #MA0934 | 251,408 | ||||
| 151,102 | 3.50%, 5/20/43, Pool #MA1012 | 142,385 | ||||
| 13,073 | 4.00%, 7/20/43, Pool #MA1158 | 12,683 | ||||
| 519,459 | 4.50%, 6/20/44, Pool #MA1997 | 516,623 | ||||
| 8,447 | 4.00%, 8/20/44, Pool #AJ2723 | 8,159 | ||||
| 14,469 | 4.00%, 8/20/44, Pool #AI4167 | 13,973 | ||||
| 418,980 | 4.00%, 8/20/44, Pool #MA2149 | 406,501 | ||||
| 10,747 | 4.00%, 8/20/44, Pool #AJ4687 | 10,379 | ||||
| 20,244 | 3.00%, 12/20/44, Pool #MA2444 | 18,466 | ||||
| 235,148 | 5.00%, 12/20/44, Pool #MA2448 | 235,649 | ||||
| 237,154 | 3.00%, 2/15/45, Pool #784439 | 212,448 | ||||
| 1,067,739 | 3.50%, 5/20/45, Pool #MA2826 | 1,006,209 | ||||
| 146,416 | 5.00%, 12/20/45, Pool #MA3313 | 147,713 | ||||
| 5,401,758 | 3.50%, 3/20/46, Pool #MA3521 | 5,079,773 | ||||
| 1,036,079 | 3.50%, 5/20/46, Pool #MA3663 | 974,329 | ||||
| 345,953 | 3.50%, 7/20/46, Pool #MA3803 | 325,336 | ||||
| 1,403,217 | 3.50%, 9/20/46, Pool #MA3937 | 1,316,775 | ||||
| 55,307 | 3.50%, 10/20/46, Pool #AX4343 | 51,930 | ||||
| 8,676 | 4.00%, 10/20/46, Pool #AQ0542 | 8,389 | ||||
| 63,477 | 3.50%, 10/20/46, Pool #AX4341 | 59,890 | ||||
| 86,973 | 3.50%, 10/20/46, Pool #AX4345 | 81,404 | ||||
| 140,061 | 3.50%, 10/20/46, Pool #AX4344 | 130,762 | ||||
| 69,623 | 3.50%, 10/20/46, Pool #AX4342 | 65,452 | ||||
| 78,633 | 4.50%, 3/15/47, Pool #AZ8560 | 77,740 | ||||
| 63,259 | 4.50%, 4/15/47, Pool #AZ8597 | 62,541 | ||||
| 109,447 | 4.50%, 4/15/47, Pool #AZ8596 | 108,207 | ||||
| 57,704 | 4.50%, 5/15/47, Pool #BA7888 | 57,055 | ||||
| 1,332,277 | 4.00%, 6/20/47, Pool #MA4511 | 1,285,907 | ||||
| 15,161 | 4.00%, 9/15/47, Pool #BC5919 | 14,242 | ||||
See accompanying notes to the financial statements.
27
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Government National Mortgage Association, continued |
| |||||
| $14,468 | 4.00%, 10/15/47, Pool #BD3187 | $ | 13,606 | |||
| 17,249 | 4.00%, 10/15/47, Pool #BE1031 | 16,203 | ||||
| 16,754 | 4.00%, 11/15/47, Pool #BE1030 | 15,740 | ||||
| 1,045,662 | 4.00%, 11/20/47, Pool #MA4838 | 1,009,243 | ||||
| 19,301 | 4.00%, 12/15/47, Pool #BE4664 | 18,135 | ||||
| 510,524 | 4.00%, 12/20/47, Pool #MA4901 | 492,746 | ||||
| 22,618 | 4.00%, 1/15/48, Pool #BE0143 | 21,246 | ||||
| 15,922 | 4.00%, 1/15/48, Pool #BE0204 | 14,965 | ||||
| 223,346 | 4.50%, 9/20/48, Pool #BD0560 | 220,028 | ||||
| 423,615 | 4.50%, 3/20/49, Pool #MA5818 | 415,844 | ||||
| 17,932 | 4.50%, 4/20/49, Pool #MA5877 | 17,603 | ||||
| 191,223 | 4.50%, 5/20/49, Pool #MA5932 | 187,716 | ||||
| 593,999 | 3.00%, 4/20/50, Pool #MA6599 | 535,442 | ||||
| 353,443 | 4.50%, 4/20/50, Pool #MA6602 | 346,085 | ||||
| 76,131 | 3.00%, 5/20/50, Pool #MA6656 | 68,605 | ||||
| 271,355 | 4.00%, 5/20/50, Pool #MA6658 | 259,548 | ||||
| 1,654,515 | Class LP , Series 2020-127, 1.50%, 6/20/50 | 1,281,874 | ||||
| 5,778,508 | 2.00%, 8/20/50, Pool #MA6818 | 4,866,996 | ||||
| 1,369,842 | 3.00%, 10/20/50, Pool #MA6932 | 1,234,887 | ||||
| 1,020,303 | 2.00%, 11/20/50, Pool #MA6994 | 862,031 | ||||
| 12,666,535 | 2.00%, 1/20/51, Pool #MA7135 | 10,656,573 | ||||
| 1,247,376 | 3.00%, 1/20/51, Pool #MA7137 | 1,117,682 | ||||
| 1,921,808 | 2.00%, 2/20/51, Pool #MA7192 | 1,618,023 | ||||
| 5,731,323 | 2.50%, 4/20/51, Pool #MA7312 | 4,973,278 | ||||
| 6,534,789 | 3.00%, 6/20/51, Pool #MA7419 | 5,862,710 | ||||
| 8,417,340 | 3.00%, 8/20/51, Pool #MA7535 | 7,555,292 | ||||
| 2,971,578 | 2.50%, 10/20/51, Pool #MA7649 | 2,575,589 | ||||
| 2,115,352 | 3.00%, 12/20/51, Pool #MA7768 | 1,893,781 | ||||
| 7,067,006 | 2.50%, 12/20/51, Pool #MA7767 | 6,121,901 | ||||
| 88,730 | 3.00%, 1/20/52, Pool #MA7828 | 79,641 | ||||
| 4,773,159 | 2.50%, 5/20/52, Pool #MA8042 | 4,131,695 | ||||
| 18,977,204 | 2.50%, 6/20/52, Pool #MA8097 | 16,428,412 | ||||
| 5,563,451 | 2.50%, 7/20/52, Pool #MA8147 | 4,828,374 | ||||
| 237,585 | 2.50%, 8/20/52, Pool #MA8197 | 205,697 | ||||
| 1,270,383 | 2.50%, 12/20/52, Pool #MA8485 | 1,099,798 | ||||
| 4,162,607 | 2.50%, 1/20/53, Pool #MA8564 | 3,610,236 | ||||
| 220,759 | 6.00%, 4/20/53, Pool #CT7444 | 224,228 | ||||
| 1,526,000 | 6.50%, 6/20/53, TBA | 1,552,705 | ||||
| 25,711,000 | 4.50%, 7/20/53, TBA | 24,815,132 | ||||
| 11,597,000 | 4.00%, 7/20/53, TBA | 10,964,601 | ||||
| 14,703,797 | 3.50%, 7/20/53, TBA | 13,568,848 | ||||
| 12,421,700 | 3.00%, 7/20/53, TBA | 11,092,190 | ||||
| 9,069,000 | 5.00%, 7/20/53, TBA | 8,910,292 | ||||
| 5,964,000 | 5.50%, 7/20/53, TBA | 5,938,839 | ||||
| 22,711,100 | 2.00%, 7/20/53, TBA | 19,063,130 | ||||
| 2,981,000 | 6.00%, 7/20/53, TBA | 3,012,906 | ||||
|
|
|
|||||
| 199,374,108 | ||||||
|
|
|
|||||
| Total U.S. Government Agency Mortgages (Cost $1,089,298,382) |
1,023,383,217 | |||||
|
|
|
|||||
| U.S. Treasury Obligations (23.5%): | ||||||
| U.S. Treasury Bonds (10.3%): | ||||||
| 2,480,000 | 5.38%, 2/15/31 | 2,705,525 | ||||
| 14,025,000 | 4.75%, 2/15/37 | 15,491,051 | ||||
| 10,000,000 | 5.00%, 5/15/37 | 11,307,812 | ||||
| 12,855,000 | 1.13%, 8/15/40 | 8,249,295 | ||||
| 33,230,000 | 1.88%, 2/15/41 | 24,081,366 | ||||
| 4,580,000 | 1.75%, 8/15/41 | 3,211,725 | ||||
| 23,885,000 | 3.13%, 11/15/41 | 21,003,872 | ||||
| 2,795,000 | 2.00%, 11/15/41 | 2,041,660 | ||||
| Principal Amount | Value | |||||
| U.S. Treasury Obligations, continued | ||||||
| U.S. Treasury Bonds, continued | ||||||
| $5,045,000 | 2.38%, 2/15/42 | $ | 3,922,488 | |||
| 33,675,000 | 4.00%, 11/15/42 | 33,406,652 | ||||
| 16,285,000 | 2.75%, 11/15/42 | 13,368,967 | ||||
| 1,360,000 | 3.88%, 2/15/43 | 1,323,875 | ||||
| 4,335,000 | 3.88%, 5/15/43 | 4,222,561 | ||||
| 7,022,500 | 3.63%, 8/15/43 | 6,577,010 | ||||
| 1,205,000 | 3.13%, 8/15/44 | 1,040,442 | ||||
| 15,000 | 2.50%, 2/15/45 | 11,590 | ||||
| 955,000 | 3.00%, 5/15/45 | 804,886 | ||||
| 1,770,000 | 2.88%, 8/15/45 | 1,458,038 | ||||
| 12,235,000 | 3.00%, 11/15/45 | 10,296,517 | ||||
| 22,700,000 | 2.25%, 8/15/46 | 16,542,625 | ||||
| 6,855,000 | 2.88%, 11/15/46 | 5,637,166 | ||||
| 3,105,000 | 2.75%, 11/15/47 | 2,492,248 | ||||
| 5,645,000 | 3.00%, 2/15/48 | 4,748,856 | ||||
| 63,515,000 | 3.13%, 5/15/48(d) | 54,702,294 | ||||
| 4,055,000 | 3.38%, 11/15/48 | 3,657,103 | ||||
| 8,700,000 | 3.00%, 2/15/49 | 7,346,062 | ||||
| 125,000 | 2.88%, 5/15/49 | 103,145 | ||||
| 10,975,000 | 1.25%, 5/15/50 | 6,156,289 | ||||
| 8,590,000 | 1.38%, 8/15/50 | 4,982,200 | ||||
| 5,954,000 | 1.63%, 11/15/50 | 3,689,619 | ||||
| 13,650,000 | 2.38%, 5/15/51 | 10,130,859 | ||||
| 1,102,000 | 1.88%, 11/15/51 | 725,942 | ||||
| 1,054,000 | 2.25%, 2/15/52 | 760,362 | ||||
| 18,188,000 | 2.88%, 5/15/52 | 15,050,570 | ||||
| 5,054,000 | 3.00%, 8/15/52 | 4,289,583 | ||||
| 1,052,000 | 3.63%, 2/15/53 | 1,007,948 | ||||
| 5,910,000 | 3.63%, 5/15/53 | 5,670,830 | ||||
|
|
|
|||||
| 312,219,033 | ||||||
|
|
|
|||||
| U.S. Treasury Inflation Index Bonds (0.5%): | ||||||
| 17,064,169 | 1.25%, 4/15/28 | 16,504,358 | ||||
|
|
|
|||||
| U.S. Treasury Notes (12.7%): | ||||||
| 51,475,000 | 4.25%, 12/31/24 | 50,751,133 | ||||
| 3,992,000 | 2.88%, 6/15/25 | 3,839,181 | ||||
| 12,640,000 | 3.00%, 7/15/25 | 12,181,800 | ||||
| 890,000 | 3.00%, 10/31/25 | 855,790 | ||||
| 1,550,000 | 2.88%, 11/30/25 | 1,485,336 | ||||
| 7,810,000 | 0.38%, 12/31/25 | 7,037,542 | ||||
| 95,875,000 | 3.88%, 1/15/26 | 94,077,344 | ||||
| 84,589,000 | 4.00%, 2/15/26 | 83,280,514 | ||||
| 4,310,000 | 0.50%, 2/28/26 | 3,870,919 | ||||
| 12,275,000 | 3.75%, 4/15/26 | 12,010,320 | ||||
| 2,435,000 | 2.38%, 4/30/26 | 2,296,129 | ||||
| 5,100,000 | 3.63%, 5/31/28 | 4,986,844 | ||||
| 110,000 | 1.25%, 6/30/28 | 95,717 | ||||
| 12,246,000 | 4.00%, 6/30/28 | 12,173,289 | ||||
| 11,165,000 | 4.00%, 10/31/29 | 11,131,854 | ||||
| 998,000 | 3.88%, 11/30/29 | 988,644 | ||||
| 30,871,000 | 3.88%, 12/31/29 | 30,591,231 | ||||
| 5,515,000 | 3.50%, 4/30/30 | 5,352,997 | ||||
| 15,162,000 | 3.75%, 5/31/30 | 14,944,046 | ||||
| 4,520,000 | 3.75%, 6/30/30 | 4,459,969 | ||||
| 6,599,000 | 2.75%, 8/15/32 | 6,046,334 | ||||
| 5,539,000 | 4.13%, 11/15/32 | 5,656,704 | ||||
| 9,534,000 | 3.50%, 2/15/33 | 9,282,243 | ||||
See accompanying notes to the financial statements.
28
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Treasury Obligations, continued |
||||||
| U.S. Treasury Notes, continued |
||||||
| $6,740,000 | 3.38%, 5/15/33 | $ | 6,495,675 | |||
|
|
|
|||||
| 383,891,555 | ||||||
|
|
|
|||||
| Total U.S. Treasury Obligations (Cost $776,872,819) |
712,614,946 | |||||
|
|
|
|||||
| Shares | ||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.1%): | ||||||
| $1,751,168 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(c)(e) | 1,751,168 | ||||
|
|
|
|||||
| Total Short-Term Security Held as Collateral for Securities on Loan (Cost $1,751,168) |
1,751,168 | |||||
|
|
|
|||||
| Shares | Value | |||||
| Unaffiliated Investment Company (10.1%): |
||||||
| Money Markets (10.1%): |
||||||
| 307,113,687 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(c) | $ | 307,113,687 | |||
|
|
|
|||||
| Total Unaffiliated Investment Company (Cost $307,113,687) |
307,113,687 | |||||
|
|
|
|||||
| Total Investment Securities (Cost $3,450,730,547) — 107.8% |
3,267,827,152 | |||||
| Net other assets (liabilities) — (7.8)% |
(237,035,499) | |||||
|
|
|
|||||
| Net Assets — 100.0% |
$ | 3,030,791,653 | ||||
|
|
|
|||||
Percentages indicated are based on net assets as of June 30, 2023.
| EUR003M | - | 3 Month EUR LIBOR | ||
| EUSA5 | - | Euro 5 Year Swap Rate | ||
| 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 |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $1,693,191. |
| + | 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. |
| (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 June 30, 2023. |
| (c) | The rate represents the effective yield at June 30, 2023. |
| (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 June 30, 2023. |
Securities Sold Short (-1.7%):
At June 30, 2023, the Fund’s securities sold short were as follows:
| Security Description | Coupon Rate |
Maturity Date | Par Amount | Proceeds Received |
Fair Value | |||||||||||||||
| U.S. Government Agency Mortgages |
||||||||||||||||||||
| Federal National Mortgage Association |
| |||||||||||||||||||
| Federal National Mortgage Association, TBA |
4.50% | 8/25/53 | $(10,000,000 | ) | $ | (9,690,324 | ) | $ | (9,619,531 | ) | ||||||||||
| Federal National Mortgage Association, TBA |
4.50% | 7/25/53 | (1,167,800 | ) | (1,134,591 | ) | (1,122,548 | ) | ||||||||||||
| Federal National Mortgage Association, TBA |
5.50% | 7/25/53 | (13,584,000 | ) | (13,565,959 | ) | (13,522,447 | ) | ||||||||||||
| Federal National Mortgage Association, TBA |
6.00% | 7/25/53 | (16,037,400 | ) | (16,212,477 | ) | (16,177,727 | ) | ||||||||||||
| Federal National Mortgage Association, TBA |
2.50% | 7/25/53 | (675,000 | ) | (572,379 | ) | (572,168 | ) | ||||||||||||
| Federal National Mortgage Association, TBA |
4.00% | 8/25/53 | (6,877,600 | ) | (6,501,240 | ) | (6,459,571 | ) | ||||||||||||
| Government National Mortgage Association |
| |||||||||||||||||||
| Government National Mortgage Association, TBA |
2.50% | 7/20/53 | (5,684,522 | ) | (4,936,281 | ) | (4,918,888 | ) | ||||||||||||
|
|
|
|
|
|
| |||||||||||||||
| $(52,613,251 | ) | $(52,392,880 | ) | |||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||
See accompanying notes to the financial statements.
29
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
Futures Contracts
At June 30, 2023, the Fund’s open futures contracts were as follows:
Short Futures
| Description | Expiration Date | Number of Contracts |
Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
| 30-Day Federal Funds July Futures (U.S. Dollar) |
7/31/23 | 133 | $ | (52,591,853 | ) | $ | (1,758 | ) | ||||||||
| 30-Day Federal Funds June Futures (U.S. Dollar) |
6/30/23 | 38 | (15,030,994 | ) | (6,775 | ) | ||||||||||
| Euro Buxl 30-Year Bond September Futures (Euro) |
9/7/23 | 9 | (1,370,852 | ) | (12,845 | ) | ||||||||||
| Euro-Bobl September Futures (Euro) |
9/7/23 | 30 | (3,787,520 | ) | 58,051 | |||||||||||
| Euro-Bund September Futures (Euro) |
9/7/23 | 125 | (18,240,390 | ) | 192,373 | |||||||||||
| U.S. Treasury 10-Year Note September Futures (U.S. Dollar) |
9/20/23 | 575 | (68,101,563 | ) | 368,980 | |||||||||||
| U.S. Treasury 30-Year Bond September Futures (U.S. Dollar) |
9/20/23 | 123 | (15,609,469 | ) | 45,841 | |||||||||||
| Ultra Long Term U.S. Treasury Bond September Futures (U.S. Dollar) |
9/20/23 | 37 | (5,040,094 | ) | (36,196 | ) | ||||||||||
|
|
|
| ||||||||||||||
| $ | 607,671 | |||||||||||||||
|
|
|
| ||||||||||||||
Long Futures
| Description | Expiration Date | Number of Contracts |
Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||
| Euro Schatz Index September Futures (Euro) |
9/7/23 | 52 | $ | 5,948,871 | $ | (23,082 | ) | |||||
| ICE 3 Month Sonia December 24 Futures (U.S. Dollar) |
3/18/25 | 489 | 146,453,802 | (902,027 | ) | |||||||
| U.S. Treasury 10-Year Note September Futures (U.S. Dollar) |
9/20/23 | 484 | 54,336,563 | (208,259 | ) | |||||||
| U.S. Treasury 2-Year Note October Futures (U.S. Dollar) |
9/29/23 | 1,140 | 231,811,875 | (2,810,567 | ) | |||||||
| U.S. Treasury 5-Year Note October Futures (U.S. Dollar) |
9/29/23 | 2,628 | 281,442,375 | (5,521,930 | ) | |||||||
|
|
|
| ||||||||||
| $ | (9,465,865 | ) | ||||||||||
|
|
|
| ||||||||||
| Total Net Futures Contracts |
$ | (8,858,194 | ) | |||||||||
|
|
|
| ||||||||||
Forward Currency Contracts
At June 30, 2023, the Fund’s open forward currency contracts were as follows:
| Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
| U.S. Dollar |
17,389,796 | European Euro | 15,846,678 | Bank National Paribas | 9/20/23 | $27,624 | ||||||||||||||
| U.S. Dollar |
187,506 | European Euro | 171,000 | BMO Capital Markets | 9/20/23 | 152 | ||||||||||||||
| U.S. Dollar |
9,870,336 | European Euro | 8,993,322 | TD Securities International | 9/20/23 | 16,940 | ||||||||||||||
|
|
|
| ||||||||||||||||||
| $44,716 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||
| U.S. Dollar |
104,665 | European Euro | 96,700 | TD Securities International | 9/14/23 | (1,251 | ) | |||||||||||||
| U.S. Dollar |
1,640,871 | European Euro | 1,503,000 | BMO Capital Markets | 9/20/23 | (5,868 | ) | |||||||||||||
| U.S. Dollar |
1,322,082 | European Euro | 1,215,000 | HSBC | 9/20/23 | (9,114 | ) | |||||||||||||
| U.S. Dollar |
3,362,860 | European Euro | 3,097,000 | Morgan Stanley | 9/20/23 | (30,320 | ) | |||||||||||||
|
|
|
| ||||||||||||||||||
| $ | (46,553 | ) | ||||||||||||||||||
|
|
|
| ||||||||||||||||||
| Total Net Forward Currency Contracts |
$ | (1,837 | ) | |||||||||||||||||
|
|
|
| ||||||||||||||||||
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts.
| Unrealized Appreciation |
Unrealized Depreciation |
|||||||
| Forward currency contracts |
$44,716 | $(46,553) | ||||||
See accompanying notes to the financial statements.
30
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 3,450,730,547 | |||
|
|
|
| |||
| Investment securities, at value(a) |
$ | 3,267,827,152 | |||
| Interest and dividends receivable |
21,181,500 | ||||
| Foreign currency, at value (cost $7,787,759) |
7,817,621 | ||||
| Unrealized appreciation on forward currency contracts |
44,716 | ||||
| Receivable for capital shares issued |
191,561 | ||||
| Receivable for investments sold |
3,722,648 | ||||
| Receivable for TBA investments sold |
213,841,353 | ||||
| Prepaid expenses |
295 | ||||
|
|
|
| |||
| Total Assets |
3,514,626,846 | ||||
|
|
|
| |||
| Liabilities: |
|||||
| Cash overdraft |
17,082 | ||||
| Unrealized depreciation on forward currency contracts |
46,553 | ||||
| Payable for investments purchased |
31,511,994 | ||||
| Payable for TBA investments purchased |
395,004,761 | ||||
| Payable for capital shares redeemed |
1,191,011 | ||||
| Payable for collateral received on loaned securities |
1,751,168 | ||||
| Securities sold short (Proceeds received $52,613,251) |
52,392,880 | ||||
| Payable for variation margin on futures contracts |
398,222 | ||||
| Management fees payable |
873,814 | ||||
| Administration fees payable |
20,886 | ||||
| Distribution fees payable |
624,154 | ||||
| Custodian fees payable |
355 | ||||
| Administrative and compliance services fees payable |
130 | ||||
| Transfer agent fees payable |
36 | ||||
| Trustee fees payable |
776 | ||||
| Other accrued liabilities |
1,371 | ||||
|
|
|
| |||
| Total Liabilities |
483,835,193 | ||||
|
|
|
| |||
| Commitments and contingent liabilities^ |
|||||
|
|
|
| |||
| Net Assets |
$ | 3,030,791,653 | |||
|
|
|
| |||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 3,325,769,421 | |||
| Total distributable earnings |
(294,977,768 | ) | |||
|
|
|
| |||
| Net Assets |
$ | 3,030,791,653 | |||
|
|
|
| |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
313,357,234 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 9.67 | |||
|
|
|
| |||
| (a) | Includes securities on loan of $1,693,191. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Interest |
$ | 53,469,631 | |||
| Dividends |
4,983,802 | ||||
| Income from securities lending |
38,784 | ||||
| Foreign withholding tax |
1,116 | ||||
|
|
|
| |||
| Total Investment Income |
58,493,333 | ||||
|
|
|
| |||
| Expenses: |
|||||
| Management fees |
4,682,285 | ||||
| Administration fees |
318,230 | ||||
| Distribution fees |
3,344,496 | ||||
| Custodian fees |
22,306 | ||||
| Administrative and compliance services fees |
10,353 | ||||
| Transfer agent fees |
3,314 | ||||
| Trustee fees |
38,188 | ||||
| Professional fees |
27,247 | ||||
| Shareholder reports |
11,643 | ||||
| Other expenses |
16,131 | ||||
|
|
|
| |||
| Total expenses |
8,474,193 | ||||
|
|
|
| |||
| Net Investment Income/(Loss) |
50,019,140 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
(60,080,735 | ) | |||
| Net realized gains/(losses) on forward currency contracts |
(40,512 | ) | |||
| Net realized gains/(losses) on futures contracts |
3,629,485 | ||||
| Net realized gains/(losses) on securities held short |
1,111,996 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
61,451,347 | ||||
| Change in net unrealized appreciation/depreciation on forward currency contracts |
219,929 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
(10,125,773 | ) | |||
| Change in net unrealized appreciation/depreciation on securities held short |
(287,651 | ) | |||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments |
(4,121,914 | ) | |||
|
|
|
| |||
| Change in Net Assets Resulting From Operations |
$ | 45,897,226 | |||
|
|
|
|
See accompanying notes to the financial statements.
31
AZL Enhanced Bond Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 50,019,140 | $ | 46,816,878 | ||||||
| Net realized gains/(losses) on investments |
(55,379,766 | ) | (139,490,260 | ) | ||||||
| Change in unrealized appreciation/depreciation on investments |
51,257,852 | (265,407,947 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from operations |
45,897,226 | (358,081,329 | ) | |||||||
|
|
|
|
|
|
| |||||
| Distributions to Shareholders: |
||||||||||
| Distributions |
— | (34,867,754 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from distributions to shareholders |
— | (34,867,754 | ) | |||||||
|
|
|
|
|
|
| |||||
| Capital Transactions: |
||||||||||
| Proceeds from shares issued |
979,164,421 | 6,443,530 | ||||||||
| Proceeds from shares issued in merger |
10,164,890 | — | ||||||||
| Proceeds from dividends reinvested |
— | 34,867,754 | ||||||||
| Value of shares redeemed |
(92,303,856 | ) | (250,225,785 | ) | ||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from capital transactions |
897,025,455 | (208,914,501 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets |
942,922,681 | (601,863,584 | ) | |||||||
| Net Assets: |
||||||||||
| Beginning of period |
2,087,868,972 | 2,689,732,556 | ||||||||
|
|
|
|
|
|
| |||||
| End of period |
$ | 3,030,791,653 | $ | 2,087,868,972 | ||||||
|
|
|
|
|
|
| |||||
| Share Transactions: |
||||||||||
| Shares issued |
101,603,535 | 632,822 | ||||||||
| Shares issued in merger |
1,056,536 | — | ||||||||
| Dividends reinvested |
— | 3,733,164 | ||||||||
| Shares redeemed |
(9,519,941 | ) | (24,963,335 | ) | ||||||
|
|
|
|
|
|
| |||||
| Change in shares |
93,140,130 | (20,597,349 | ) | |||||||
|
|
|
|
|
|
| |||||
| Amounts shown as “—” are either $0 or round to less than $1. |
||||||||||
See accompanying notes to the financial statements.
32
AZL Enhanced Bond Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
| Ended | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
| June 30, 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$9.48 | $11.17 | $11.78 | $11.21 | $10.59 | $10.89 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.18 | (a) | 0.20 | (a) | 0.09 | (a) | 0.17 | (a) | 0.25 | (a) | 0.28 | |||||||||||||
| Net Realized and Unrealized Gains/ (Losses) on Investments |
0.01 | (1.73 | ) | (0.32 | ) | 0.67 | 0.64 | (0.35 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.19 | (1.53 | ) | (0.23 | ) | 0.84 | 0.89 | (0.07 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.15 | ) | (0.09 | ) | (0.27 | ) | (0.27 | ) | (0.23 | ) | |||||||||||||
| Net Realized Gains |
— | (0.01 | ) | (0.29 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (0.16 | ) | (0.38 | ) | (0.27 | ) | (0.27 | ) | (0.23 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$9.67 | $9.48 | $11.17 | $11.78 | $11.21 | $10.59 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
2.00 | %(c) | (13.68 | )% | (1.94 | )% | 7.53 | % | 8.38 | % | (0.58 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$3,030,792 | $2,087,869 | $2,689,733 | $2,081,430 | $2,239,557 | $1,936,318 | ||||||||||||||||||
| Net Investment Income/(Loss)(d) |
3.74 | % | 2.03 | % | 0.80 | % | 1.45 | % | 2.28 | % | 2.41 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.63 | % | 0.64 | % | 0.66 | % | 0.66 | % | 0.65 | % | 0.65 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.63 | % | 0.64 | % | 0.66 | % | 0.66 | % | 0.65 | % | 0.65 | % | ||||||||||||
| Portfolio Turnover Rate |
87 | %(c) | 133 | % | 137 | % | 140 | % | 119 | % | 144 | % | ||||||||||||
| (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. |
See accompanying notes to the financial statements.
33
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest
34
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $3,711 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,751,168 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sales 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 June 30, 2023, no collateral had been posted by the Fund to counterparties for TBAs.
35
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, the monthly average notional amount for long contracts was $1.6 million and the monthly average notional amount for short contracts was $32.8 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $354.3 million, and the monthly average notional amount for short contracts was $107.1 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 June 30, 2023:
| 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* | $665,245 | Payable for variation margin on futures contracts* | $9,523,439 | ||||||||
| Foreign Exchange Risk |
||||||||||||
| Forward Currency Contracts |
Unrealized appreciation on forward currency contracts | 44,716 | Unrealized depreciation on forward currency contracts | 46,553 | ||||||||
| * | 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 period ended June 30, 2023:
| 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 | $3,629,485 | $(10,125,773) | |||||||
| Foreign Exchange Risk |
||||||||||
| Forward Currency Contracts |
Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | (40,512 | ) | 219,929 | ||||||
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
36
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023. 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 June 30, 2023.
As of June 30, 2023, the Fund’s derivative assets and liabilities by type were as follows:
| Assets | Liabilities | |||||||||
| Derivative Financial Instruments: |
||||||||||
| Forward Currency Contracts |
$44,716 | $46,553 | ||||||||
| Futures Contracts |
— | 398,222 | ||||||||
| Total derivative assets and liabilities in the Statement of Assets and Liabilities |
$44,716 | $444,775 | ||||||||
| Derivatives not subject to a master netting agreement or similar agreement (“MNA”) |
— | (398,222) | ||||||||
| Total derivative assets and liabilities subject to a MNA |
$44,716 | $46,553 | ||||||||
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 June 30, 2023:
| Counterparty | Derivative Assets Subject to a MNA by Counterparty |
Derivatives Available for Offset |
Non-Cash Collateral Pledged* |
Cash Collateral Pledged* | Net Amount of Derivative Assets | ||||||||||||||||||||||
| Bank National Paribas |
$27,624 | $— | $— | $— | $27,624 | ||||||||||||||||||||||
| BMO Capital Markets |
152 | (152) | — | — | — | ||||||||||||||||||||||
| TD Securities International |
16,940 | (1,251) | — | — | 15,689 | ||||||||||||||||||||||
| Total |
$44,716 | $(1,403) | $— | $— | $43,313 | ||||||||||||||||||||||
| 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 June 30, 2023: | |||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||
| BMO Capital Markets |
$5,868 | $(152) | $— | $— | $5,716 | ||||||||||||||||||||||
| HSBC |
9,114 | — | — | — | 9,114 | ||||||||||||||||||||||
| Morgan Stanley |
30,320 | — | — | — | 30,320 | ||||||||||||||||||||||
| TD Securities International |
1,251 | (1,251) | — | — | — | ||||||||||||||||||||||
| Total |
$46,553 | $(1,403) | $— | $— | $45,150 | ||||||||||||||||||||||
* 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 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, 2024.
For the period ended June 30, 2023, 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% | ||||||||
* The annual rate due to the Subadviser from the Manager is 0.14% of the first $100 million of the Fund’s net assets, 0.09% of the next $200 million of the Fund’s net assets and 0.05% of the Fund’s net assets over $300 million.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the
37
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, 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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the settlement prices established each day on the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source in accordance with valuation procedures approved by the Board. 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.
38
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 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 |
$— | $233,930,194 | $— | $233,930,194 | ||||||||||||||||
| Collateralized Mortgage Obligations |
— | 198,685,188 | — | 198,685,188 | ||||||||||||||||
| Corporate Bonds+ |
— | 670,509,190 | — | 670,509,190 | ||||||||||||||||
| Foreign Bonds+ |
— | 14,557,674 | — | 14,557,674 | ||||||||||||||||
| Yankee Debt Obligations+ |
— | 90,422,578 | — | 90,422,578 | ||||||||||||||||
| Municipal Bonds |
— | 14,859,310 | — | 14,859,310 | ||||||||||||||||
| U.S. Government Agency Mortgages |
— | 1,023,383,217 | — | 1,023,383,217 | ||||||||||||||||
| U.S. Treasury Obligations |
— | 712,614,946 | — | 712,614,946 | ||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
1,751,168 | — | — | 1,751,168 | ||||||||||||||||
| Unaffiliated Investment Company |
307,113,687 | — | — | 307,113,687 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
308,864,855 | 2,958,962,297 | — | 3,267,827,152 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Securities Sold Short |
— | (52,392,880) | — | (52,392,880) | ||||||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||
| Futures Contracts |
(8,858,194) | — | — | (8,858,194) | ||||||||||||||||
| Forward Currency Contracts |
— | (1,837) | — | (1,837) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investments |
$300,006,661 | $2,906,567,580 | $— | $3,206,574,241 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 currency contracts. |
5. Security Purchases and Sales
For the period ended June 30, 2023 cost of purchases and proceeds from sales of securities (excluding fund merger transactions and securities maturing less than one year from acquisition) were as follows:
| Purchases | Sales | |||||||||
| AZL Enhanced Bond Index Fund |
$2,684,358,545 | $1,869,137,275 | ||||||||
For the period ended June 30, 2023 purchases and sales of long-term U.S. government securities were as follows:
| Purchases | Sales | |||||||||
| AZL Enhanced Bond Index Fund |
$1,471,785,933 | $976,879,263 | ||||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
39
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such companies.
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 ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis 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 the transition period, 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.
7. Coronavirus (COVID-19) Pandemic
The global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
40
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $2,410,443,059. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$2,965,741 | ||||
| Unrealized (depreciation) |
(250,943,827) | ||||
|
|
|
| |||
| Net unrealized appreciation/(depreciation) |
$(247,978,086) | ||||
|
|
|
|
As of the end of its tax year ended December 31, 2022, 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.
CLCFs not subject to expiration:
| Short-Term Amount |
Long-Term Amount |
Total | |||||||||||||
| AZL Enhanced Bond Index Fund |
$51,350,351 | $89,856,106 | $141,206,457 | ||||||||||||
| The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows: | |||||||||||||||
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL Enhanced Bond Index Fund |
$33,654,146 | $1,213,608 | $34,867,754 | ||||||||||||
| (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, 2022, the components of accumulated earnings on a tax basis were as follows:
| Undistributed | Undistributed | Accumulated | Unrealized | Total | |||||||||||||||||||||
| Ordinary | Long-Term | Capital and | Appreciation/ | Accumulated | |||||||||||||||||||||
| Income | Capital Gains | Other Losses | Depreciation(a) | Earnings/ (Deficit) | |||||||||||||||||||||
| AZL Enhanced Bond Index Fund |
$49,043,424 | $— | $(141,206,457) | $(248,193,827) | $(340,356,860) | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had no shareholder accounts which are affiliated with the Manager representing ownership in excess of 25% of the Fund.
10. Acquisition of Funds
Effective as of the close of business March 10, 2023, the Fund acquired all the assets and liabilities of the AZL DFA Five-Year Global Fixed Income Fund (“AZL DFA Five-Year Fund”), an open-end management investment company, pursuant to a plan of reorganization approved by the Board on December 13, 2022 (the “Plan”). The acquisition was accomplished by a taxable exchange of 1,217,405 shares of the AZL DFA Five-Year Fund outstanding as of close of business March 10, 2023, valued at $10,164,890 for1,056,536 shares of the Fund.
At the close of business March 10, 2023, the AZL DFA Five-Year Fund’s investment holdings had a fair value of $9,967,081 and identified cost of $9,967,081. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value, including the cost basis of investments received. All fees and expenses incurred by the AZL DFA Five-Year Fund and the Fund directly in connection with the Plan were borne by the Manager. There are no material differences in accounting policies of the AZL DFA Five-Year Fund as compared to those of the Fund.
Assuming the acquisition had been completed on January 1, 2023, the beginning of the semi-annual reporting period of the Fund, the Fund’s pro forma results of operations for the period ended June 30, 2023, are as follows:
| Net investment income/(loss) |
$51,331,615 | |||
| Net realized/unrealized gains/(losses) |
(3,835,144) | |||
|
|
|
| ||
| Change in net assets resulting from operations |
$47,496,471 | |||
|
|
|
| ||
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the AZL DFA Five-Year Fund that have been included in the Fund’s Statement of Operations subsequent to March 10, 2023. The Fund did not purchase or sell securities following the acquisition for purposes of realigning its investment portfolio. Accordingly, the acquisition of the AZL DFA Five-Year Fund did not affect the Fund’s portfolio turnover ratio for the period ended June 30, 2023.
41
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
11. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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.
42
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.
43
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
44
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Fidelity Institutional Asset Management
Multi-Strategy Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Page 3 |
| Page 4 |
| Page 30 |
| Page 30 |
| Page 31 |
| Page 32 |
| Page 33 |
| Page 42 |
| Statement Regarding the Trust’s Liquidity Risk Management Program |
| Page 43 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
(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 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 | Ending | Expenses Paid | Annualized Expense | |||||||||||||
| Account Value | Account Value | During Period | Ratio During Period | |||||||||||||
| 1/1/23 | 6/30/23 | 1/1/23 - 6/30/23* | 1/1/23 - 6/30/23 | |||||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 |
$1,000.00 | $1,079.30 | $2.37 | 0.46% | ||||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 |
$1,000.00 | $1,077.50 | $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 | Ending | Expenses Paid | Annualized Expense | |||||||||||||
| Account Value | Account Value | During Period | Ratio During Period | |||||||||||||
| 1/1/23 | 6/30/23 | 1/1/23 - 6/30/23* | 1/1/23 - 6/30/23 | |||||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 |
$1,000.00 | $1,022.51 | $2.31 | 0.46% | ||||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 |
$1,000.00 | $1,021.27 | $3.56 | 0.71% | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
40.9 | % | ||
| U.S. Treasury Obligations |
18.8 | |||
| Corporate Bonds |
18.0 | |||
| U.S. Government Agency Mortgages |
12.3 | |||
| Collateralized Mortgage Obligations |
5.4 | |||
| Unaffiliated Investment Company |
4.5 | |||
| Yankee Debt Obligations |
4.3 | |||
| Short-Term Security Held as Collateral for Securities on Loan |
0.6 | |||
| Asset Backed Securities |
0.5 | |||
| Municipal Bonds |
0.2 | |||
| Bank Loans |
0.1 | |||
| Convertible Bonds |
— | † | ||
| Preferred Stock |
— | † | ||
| Warrants |
— | † | ||
| Total Investment Securities |
105.6 | |||
| Net other assets (liabilities) |
(5.6 | ) | ||
| Net Assets |
100.0 | % | ||
| † | Represents less than 0.05%. |
3
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (40.9%): |
| |||||
| Aerospace & Defense (0.7%): |
| |||||
| 14,476 | L3Harris Technologies, Inc. | $ | 2,833,967 | |||
| 11,275 | Lockheed Martin Corp. | 5,190,784 | ||||
| 8,168 | Parsons Corp.* | 393,208 | ||||
| 7,351 | Raytheon Technologies Corp. | 720,104 | ||||
| 35,742 | Textron, Inc. | 2,417,231 | ||||
|
|
|
| ||||
| 11,555,294 | ||||||
|
|
|
| ||||
| Automobile Components (0.9%): |
| |||||
| 48,949 | General Motors Co. | 1,887,473 | ||||
| 51,205 | Tesla, Inc.* | 13,403,933 | ||||
|
|
|
| ||||
| 15,291,406 | ||||||
|
|
|
| ||||
| Banks (1.1%): |
| |||||
| 199,103 | Bank of America Corp. | 5,712,265 | ||||
| 1,749 | Columbia Banking System, Inc. | 35,470 | ||||
| 15,273 | East West Bancorp, Inc. | 806,262 | ||||
| 48,519 | JPMorgan Chase & Co. | 7,056,603 | ||||
| 124,788 | US Bancorp | 4,122,995 | ||||
|
|
|
| ||||
| 17,733,595 | ||||||
|
|
|
| ||||
| Beverages (0.7%): |
| |||||
| 123,405 | Coca-Cola Co. (The) | 7,431,449 | ||||
| 272 | Coca-Cola Consolidated, Inc. | 172,998 | ||||
| 19,792 | PepsiCo, Inc. | 3,665,874 | ||||
|
|
|
| ||||
| 11,270,321 | ||||||
|
|
|
| ||||
| Biotechnology (0.9%): |
| |||||
| 12,016 | AbbVie, Inc. | 1,618,916 | ||||
| 11,117 | Amgen, Inc. | 2,468,196 | ||||
| 105,384 | Exelixis, Inc.* | 2,013,888 | ||||
| 65,087 | Gilead Sciences, Inc. | 5,016,255 | ||||
| 39,380 | Incyte Corp.* | 2,451,405 | ||||
| 375 | Sarepta Therapeutics, Inc.* | 42,945 | ||||
| 4,008 | United Therapeutics Corp.* | 884,766 | ||||
| 23,818 | Vir Biotechnology, Inc.* | 584,256 | ||||
|
|
|
| ||||
| 15,080,627 | ||||||
|
|
|
| ||||
| Broadline Retail (1.6%): |
| |||||
| 180,103 | Amazon.com, Inc.* | 23,478,227 | ||||
| 32,992 | eBay, Inc. | 1,474,412 | ||||
| 9,119 | Etsy, Inc.* | 771,559 | ||||
|
|
|
| ||||
| 25,724,198 | ||||||
|
|
|
| ||||
| Building Products (0.1%): |
| |||||
| 16,457 | Johnson Controls International plc | 1,121,380 | ||||
| 5,301 | Trane Technologies plc | 1,013,869 | ||||
|
|
|
| ||||
| 2,135,249 | ||||||
|
|
|
| ||||
| Capital Markets (0.8%): |
| |||||
| 11,913 | Bank of New York Mellon Corp. (The) | 530,367 | ||||
| 72,332 | Charles Schwab Corp. (The) | 4,099,778 | ||||
| 2,227 | CME Group, Inc. | 412,641 | ||||
| 4,378 | Goldman Sachs Group, Inc. (The) | 1,412,080 | ||||
| 9,529 | LPL Financial Holdings, Inc. | 2,071,890 | ||||
| 71,906 | Nasdaq, Inc. | 3,584,514 | ||||
| 666 | SEI Investments Co. | 39,707 | ||||
| 6,125 | Stifel Financial Corp. | 365,479 | ||||
|
|
|
| ||||
| 12,516,456 | ||||||
|
|
|
| ||||
| Chemicals (0.4%): |
| |||||
| 27,152 | CF Industries Holdings, Inc. | 1,884,892 | ||||
| 15,522 | Chemours Co. (The) | 572,606 | ||||
| 1,827 | Ecolab, Inc. | 341,083 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Chemicals, continued |
| |||||
| 5,336 | Linde plc | $ | 2,033,443 | |||
| 7,993 | Westlake Corp. | 954,924 | ||||
|
|
|
| ||||
| 5,786,948 | ||||||
|
|
|
| ||||
| Commercial Services & Supplies (0.6%): |
| |||||
| 8,235 | Cintas Corp. | 4,093,454 | ||||
| 26,630 | Republic Services, Inc. | 4,078,917 | ||||
| 5,838 | Waste Management, Inc. | 1,012,426 | ||||
|
|
|
| ||||
| 9,184,797 | ||||||
|
|
|
| ||||
| Communications Equipment (0.6%): |
| |||||
| 140,853 | Cisco Systems, Inc. | 7,287,734 | ||||
| 27,403 | Juniper Networks, Inc. | 858,536 | ||||
| 4,105 | Motorola Solutions, Inc. | 1,203,915 | ||||
|
|
|
| ||||
| 9,350,185 | ||||||
|
|
|
| ||||
| Construction & Engineering (0.1%): |
| |||||
| 4,541 | Valmont Industries, Inc. | 1,321,658 | ||||
|
|
|
| ||||
| Consumer Finance (0.3%): |
| |||||
| 22,947 | American Express Co. | 3,997,367 | ||||
| 49,103 | Synchrony Financial | 1,665,574 | ||||
|
|
|
| ||||
| 5,662,941 | ||||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (0.1%): |
| |||||
| 1,539 | Costco Wholesale Corp. | 828,567 | ||||
| 3,373 | Walmart, Inc. | 530,168 | ||||
|
|
|
| ||||
| 1,358,735 | ||||||
|
|
|
| ||||
| Containers & Packaging (0.1%): |
| |||||
| 26,554 | Sealed Air Corp. | 1,062,160 | ||||
|
|
|
| ||||
| Distributors (0.1%): |
| |||||
| 9,030 | Genuine Parts Co. | 1,528,147 | ||||
|
|
|
| ||||
| Electric Utilities (0.2%): |
| |||||
| 39,636 | Hawaiian Electric Industries, Inc. | 1,434,823 | ||||
| 7,670 | NextEra Energy, Inc. | 569,114 | ||||
| 33,988 | Xcel Energy, Inc. | 2,113,034 | ||||
|
|
|
| ||||
| 4,116,971 | ||||||
|
|
|
| ||||
| Electrical Equipment (0.6%): |
| |||||
| 25,676 | AMETEK, Inc. | 4,156,431 | ||||
| 49,798 | Emerson Electric Co. | 4,501,241 | ||||
| 26,532 | nVent Electric plc | 1,370,909 | ||||
|
|
|
| ||||
| 10,028,581 | ||||||
|
|
|
| ||||
| Electronic Equipment, Instruments & Components (0.0%†): |
| |||||
| 368 | Keysight Technologies, Inc.* | 61,622 | ||||
| 4,224 | Vontier Corp. | 136,055 | ||||
|
|
|
| ||||
| 197,677 | ||||||
|
|
|
| ||||
| Energy Equipment & Services (0.0%†): |
| |||||
| 475 | Weatherford International plc* | 31,549 | ||||
|
|
|
| ||||
| Entertainment (0.5%): |
| |||||
| 4,423 | Activision Blizzard, Inc.* | 372,859 | ||||
| 30,560 | Electronic Arts, Inc. | 3,963,632 | ||||
| 7,823 | Netflix, Inc.* | 3,445,953 | ||||
|
|
|
| ||||
| 7,782,444 | ||||||
|
|
|
| ||||
| Financial Services (2.2%): |
| |||||
| 41,668 | Berkshire Hathaway, Inc., Class B* | 14,208,788 | ||||
| 68,803 | Fidelity National Information Services, Inc. | 3,763,524 | ||||
| 23,465 | Mastercard, Inc., Class A | 9,228,784 | ||||
| 66,241 | PayPal Holdings, Inc.* | 4,420,262 | ||||
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Financial Services, continued |
| |||||
| 14,412 | Visa, Inc., Class A | $ | 3,422,562 | |||
|
|
|
| ||||
| 35,043,920 | ||||||
|
|
|
| ||||
| Food Products (0.5%): |
| |||||
| 87,994 | Kraft Heinz Co. (The) | 3,123,787 | ||||
| 68,909 | Mondelez International, Inc., Class A | 5,026,222 | ||||
|
|
|
| ||||
| 8,150,009 | ||||||
|
|
|
| ||||
| Ground Transportation (0.9%): |
| |||||
| 139,858 | CSX Corp. | 4,769,158 | ||||
| 8,520 | Norfolk Southern Corp. | 1,931,995 | ||||
| 45,195 | Uber Technologies, Inc.* | 1,951,068 | ||||
| 26,886 | Union Pacific Corp. | 5,501,413 | ||||
|
|
|
| ||||
| 14,153,634 | ||||||
|
|
|
| ||||
| Health Care Equipment & Supplies (0.7%): |
| |||||
| 56,842 | Abbott Laboratories | 6,196,915 | ||||
| 1,030 | Becton Dickinson & Co. | 271,930 | ||||
| 10,624 | Lantheus Holdings, Inc.* | 891,566 | ||||
| 28,133 | Zimmer Biomet Holdings, Inc. | 4,096,165 | ||||
| 4,544 | Zimvie, Inc.* | 51,029 | ||||
|
|
|
| ||||
| 11,507,605 | ||||||
|
|
|
| ||||
| Health Care Providers & Services (2.0%): |
| |||||
| 54,458 | Centene Corp.* | 3,673,192 | ||||
| 9,120 | Cigna Group (The) | 2,559,072 | ||||
| 70,739 | CVS Health Corp. | 4,890,187 | ||||
| 10,828 | Elevance Health, Inc. | 4,810,772 | ||||
| 9,559 | Humana, Inc. | 4,274,116 | ||||
| 1,838 | McKesson Corp. | 785,396 | ||||
| 23,616 | UnitedHealth Group, Inc. | 11,350,794 | ||||
|
|
|
| ||||
| 32,343,529 | ||||||
|
|
|
| ||||
| Health Care Technology (0.1%): |
| |||||
| 5,405 | Veeva Systems, Inc., Class A* | 1,068,731 | ||||
|
|
|
| ||||
| Hotel & Resort REITs (0.1%): |
| |||||
| 19,570 | Ryman Hospitality Properties, Inc. | 1,818,444 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (1.0%): |
| |||||
| 23,765 | Airbnb, Inc., Class A* | 3,045,722 | ||||
| 1,069 | Booking Holdings, Inc.* | 2,886,653 | ||||
| 370 | Chipotle Mexican Grill, Inc.* | 791,430 | ||||
| 14,348 | McDonald’s Corp. | 4,281,587 | ||||
| 24,893 | MGM Resorts International | 1,093,301 | ||||
| 37,854 | Starbucks Corp. | 3,749,817 | ||||
|
|
|
| ||||
| 15,848,510 | ||||||
|
|
|
| ||||
| Household Durables (0.5%): |
| |||||
| 410 | NVR, Inc.* | 2,603,754 | ||||
| 38,672 | Toll Brothers, Inc. | 3,057,795 | ||||
| 7,617 | TopBuild Corp.* | 2,026,275 | ||||
|
|
|
| ||||
| 7,687,824 | ||||||
|
|
|
| ||||
| Household Products (0.9%): |
| |||||
| 41,327 | Colgate-Palmolive Co. | 3,183,832 | ||||
| 21,794 | Kimberly-Clark Corp. | 3,008,880 | ||||
| 51,835 | Procter & Gamble Co. (The) | 7,865,443 | ||||
|
|
|
| ||||
| 14,058,155 | ||||||
|
|
|
| ||||
| Industrial Conglomerates (0.1%): |
| |||||
| 21,603 | 3M Co. | 2,162,244 | ||||
|
|
|
| ||||
| Insurance (0.5%): |
| |||||
| 41,612 | Hartford Financial Services Group, Inc. (The) | 2,996,896 | ||||
| 21,899 | Progressive Corp. (The) | 2,898,771 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Insurance, continued |
| |||||
| 3,307 | Travelers Cos., Inc. (The) | $ | 574,294 | |||
| 26,083 | Unum Group | 1,244,159 | ||||
|
|
|
| ||||
| 7,714,120 | ||||||
|
|
|
| ||||
| Interactive Media & Services (2.5%): |
| |||||
| 105,715 | Alphabet, Inc., Class A* | 12,654,086 | ||||
| 119,273 | Alphabet, Inc., Class C* | 14,428,455 | ||||
| 44,978 | Meta Platforms, Inc., Class A* | 12,907,786 | ||||
|
|
|
| ||||
| 39,990,327 | ||||||
|
|
|
| ||||
| IT Services (0.5%): |
| |||||
| 132 | Accenture plc, Class A | 40,733 | ||||
| 6,238 | Gartner, Inc.* | 2,185,234 | ||||
| 38,469 | GoDaddy, Inc., Class A* | 2,890,176 | ||||
| 8,716 | VeriSign, Inc.* | 1,969,554 | ||||
| 8,734 | Wix.com, Ltd.* | 683,348 | ||||
|
|
|
| ||||
| 7,769,045 | ||||||
|
|
|
| ||||
| Life Sciences Tools & Services (0.1%): |
| |||||
| 64 | 10X Genomics, Inc., Class A* | 3,574 | ||||
| 5,320 | Danaher Corp. | 1,276,800 | ||||
| 22,307 | Syneos Health, Inc.* | 940,017 | ||||
| 519 | Thermo Fisher Scientific, Inc. | 270,788 | ||||
|
|
|
| ||||
| 2,491,179 | ||||||
|
|
|
| ||||
| Machinery (0.7%): |
| |||||
| 6,885 | AGCO Corp. | 904,827 | ||||
| 18,792 | Allison Transmission Holdings, Inc. | 1,060,997 | ||||
| 17,723 | Caterpillar, Inc. | 4,360,744 | ||||
| 4,380 | Deere & Co. | 1,774,732 | ||||
| 31,851 | PACCAR, Inc. | 2,664,336 | ||||
|
|
|
| ||||
| 10,765,636 | ||||||
|
|
|
| ||||
| Media (0.5%): |
| |||||
| 5,184 | Charter Communications, Inc., Class A* | 1,904,446 | ||||
| 150,678 | Comcast Corp., Class A | 6,260,671 | ||||
|
|
|
| ||||
| 8,165,117 | ||||||
|
|
|
| ||||
| Metals & Mining (0.3%): |
| |||||
| 25,906 | Nucor Corp. | 4,248,066 | ||||
|
|
|
| ||||
| Office REITs (0.0%†): |
| |||||
| 3,000 | Highwoods Properties, Inc. | 71,730 | ||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (1.5%): |
| |||||
| 49,800 | Chevron Corp. | 7,836,030 | ||||
| 2,114 | Civitas Resources, Inc. | 146,648 | ||||
| 34,564 | ConocoPhillips | 3,581,176 | ||||
| 5,526 | Denbury, Inc.* | 476,673 | ||||
| 8,097 | Devon Energy Corp. | 391,409 | ||||
| 40,278 | EOG Resources, Inc. | 4,609,414 | ||||
| 60,879 | Exxon Mobil Corp. | 6,529,273 | ||||
| 911 | Pioneer Natural Resources Co. | 188,741 | ||||
| 4,011 | Sanchez Energy Corp.* | 599,560 | ||||
| 1,572 | Scorpio Tankers, Inc. | 74,246 | ||||
| 7,762 | Targa Resources Corp. | 590,688 | ||||
|
|
|
| ||||
| 25,023,858 | ||||||
|
|
|
| ||||
| Passenger Airlines (0.1%): |
| |||||
| 118,294 | American Airlines Group, Inc.* | 2,122,194 | ||||
|
|
|
| ||||
| Pharmaceuticals (2.1%): |
| |||||
| 82,705 | Bristol-Myers Squibb Co. | 5,288,985 | ||||
| 6,700 | Eli Lilly & Co. | 3,142,166 | ||||
| 66,445 | Johnson & Johnson | 10,997,976 | ||||
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Pharmaceuticals, continued |
| |||||
| 73,968 | Merck & Co., Inc. | $ | 8,535,167 | |||
| 189,892 | Pfizer, Inc. | 6,965,239 | ||||
|
|
|
| ||||
| 34,929,533 | ||||||
|
|
|
| ||||
| Professional Services (0.0%†): |
| |||||
| 7,984 | Leidos Holdings, Inc. | 706,424 | ||||
|
|
|
| ||||
| Residential REITs (0.0%†): |
| |||||
| 19,341 | Invitation Homes, Inc. | 665,330 | ||||
|
|
|
| ||||
| Retail REITs (0.2%): |
| |||||
| 35,646 | Simon Property Group, Inc. | 4,116,400 | ||||
|
|
|
| ||||
| Semiconductors & Semiconductor Equipment (2.9%): |
| |||||
| 4,178 | Advanced Micro Devices, Inc.* | 475,916 | ||||
| 1,558 | Applied Materials, Inc. | 225,193 | ||||
| 11,563 | Broadcom, Inc. | 10,030,093 | ||||
| 3,213 | Enphase Energy, Inc.* | 538,113 | ||||
| 174,959 | Intel Corp. | 5,850,629 | ||||
| 8,159 | Lattice Semiconductor Corp.* | 783,835 | ||||
| 436 | Micron Technology, Inc. | 27,516 | ||||
| 45,785 | NVIDIA Corp. | 19,367,971 | ||||
| 21,929 | NXP Semiconductors NV | 4,488,428 | ||||
| 49,483 | QUALCOMM, Inc. | 5,890,456 | ||||
|
|
|
| ||||
| 47,678,150 | ||||||
|
|
|
| ||||
| Software (4.8%): |
| |||||
| 15,381 | Adobe, Inc.* | 7,521,155 | ||||
| 7,131 | AppLovin Corp., Class A* | 183,481 | ||||
| 486 | Autodesk, Inc.* | 99,441 | ||||
| 107,660 | Dropbox, Inc., Class A* | 2,871,292 | ||||
| 141,978 | Microsoft Corp. | 48,349,188 | ||||
| 4,462 | New Relic, Inc.* | 291,993 | ||||
| 15,079 | Palo Alto Networks, Inc.* | 3,852,835 | ||||
| 53,095 | RingCentral, Inc., Class A* | 1,737,800 | ||||
| 12,978 | Salesforce, Inc.* | 2,741,732 | ||||
| 10,099 | Synopsys, Inc.* | 4,397,206 | ||||
| 34,237 | Teradata Corp.* | 1,828,598 | ||||
| 15,900 | Workday, Inc., Class A* | 3,591,651 | ||||
| 4,331 | Zoom Video Communications, Inc., Class A* | 293,988 | ||||
|
|
|
| ||||
| 77,760,360 | ||||||
|
|
|
| ||||
| Specialized REITs (0.4%): |
| |||||
| 1,454 | American Tower Corp. | 281,989 | ||||
| 19,866 | Crown Castle, Inc. | 2,263,532 | ||||
| 12,232 | Public Storage | 3,570,276 | ||||
| 4,461 | SBA Communications Corp. | 1,033,881 | ||||
|
|
|
| ||||
| 7,149,678 | ||||||
|
|
|
| ||||
| Specialty Retail (0.7%): |
| |||||
| 4,382 | Bath & Body Works, Inc. | 164,325 | ||||
| 16,060 | Home Depot, Inc. (The) | 4,988,879 | ||||
| 828 | Murphy U.S.A., Inc. | 257,599 | ||||
| 2,678 | O’Reilly Automotive, Inc.* | 2,558,293 | ||||
| 17,881 | TJX Cos., Inc. (The) | 1,516,130 | ||||
| 3,539 | Ulta Beauty, Inc.* | 1,665,436 | ||||
|
|
|
| ||||
| 11,150,662 | ||||||
|
|
|
| ||||
| Technology Hardware, Storage & Peripherals (3.5%): |
| |||||
| 280,903 | Apple, Inc. | 54,486,755 | ||||
| 17,235 | NetApp, Inc. | 1,316,754 | ||||
| 24,912 | Pure Storage, Inc., Class A* | 917,260 | ||||
|
|
|
| ||||
| 56,720,769 | ||||||
|
|
|
| ||||
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Textiles, Apparel & Luxury Goods (0.1%): |
| |||||
| 8,642 | Capri Holdings, Ltd.* | $ | 310,161 | |||
| 8,786 | Crocs, Inc.* | 987,898 | ||||
|
|
|
| ||||
| 1,298,059 | ||||||
|
|
|
| ||||
| Trading Companies & Distributors (0.1%): |
| |||||
| 10,497 | Univar Solutions, Inc.* | 376,212 | ||||
| 661 | W.W. Grainger, Inc. | 521,258 | ||||
|
|
|
| ||||
| 897,470 | ||||||
|
|
|
| ||||
| Total Common Stocks (Cost $584,607,431) |
663,996,651 | |||||
|
|
|
| ||||
| Preferred Stock (0.0%†): |
| |||||
| Electric Utilities (0.0%†): |
| |||||
| 1,000 | PG&E Corp., 8/16/23 | 149,510 | ||||
|
|
|
| ||||
| Total Preferred Stock (Cost $117,395) |
149,510 | |||||
|
|
|
| ||||
| Contracts | Value | |||||
| Warrants (0.0%†): |
| |||||
| Oil, Gas & Consumable Fuels (0.0%†): |
| |||||
| 63 | California Resources Corp., 10/27/24 | 747 | ||||
| 2,121 | Occidental Petroleum Corp., 8/3/27 | 79,156 | ||||
|
|
|
| ||||
| 79,903 | ||||||
|
|
|
| ||||
| Total Warrants (Cost $20,366) |
79,903 | |||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Asset Backed Securities (0.5%): |
| |||||
| $90,249 | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | 65,209 | ||||
| 174,780 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 109,064 | ||||
| 461,777 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | 384,673 | ||||
| 123,838 | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | 104,037 | ||||
| 138,939 | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | 69,541 | ||||
| 207,390 | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | 173,765 | ||||
| 641,005 | Aaset Trust, Class A, Series 2021-1A, 2.95%, 11/16/41(a) | 565,088 | ||||
| 1,239,294 | Aaset Trust, Class A, Series 2021-2A, 2.80%, 1/15/47(a) | 1,054,164 | ||||
| 490,231 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 451,916 | ||||
| 45,333 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 43,239 | ||||
| 940,573 | Blackbird Capital Aircraft, Class A, Series 2021-1A, 2.44%, 7/15/46, Callable 7/15/28 @ 100(a) | 799,424 | ||||
| 200,526 | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | 178,017 | ||||
| 186,315 | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | 134,655 | ||||
| 171,286 | Castlelake Aircraft Structured Trust, Class A, Series 2021-1A, 3.47%, 1/15/46(a) | 156,296 | ||||
| 118,874 | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 108,093 | ||||
| 359,073 | CF Hippolyta LLC, Class A1, Series 2021-A, 1.53%, 3/15/61, Callable 3/15/24 @ 100(a) | 311,390 | ||||
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Asset Backed Securities, continued |
| |||||
| $348,680 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | $ | 319,274 | |||
| 189,077 | Horizon Aircraft Finance, Ltd., Class A, Series 2019- 1, 3.72%, 7/15/39(a) | 160,508 | ||||
| 192,545 | Horizon Aircraft Finance, Ltd., Class A, Series 2018- 1, 4.46%, 12/15/38(a) | 166,036 | ||||
| 611,263 | Planet Fitness Master Issuer LLC, Class A2I, Series 2022-1A, 3.25%, 12/5/51, Callable 12/5/24 @ 100(a) | 542,601 | ||||
| 212,300 | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | 179,873 | ||||
| 549,050 | Planet Fitness Master Issuer LLC, Class A2II, Series 2022-1A, 4.01%, 12/5/51, Callable 12/5/27 @ 100(a) | 436,009 | ||||
| 210,631 | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | 175,602 | ||||
| 204,707 | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | 172,093 | ||||
| 233,783 | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | 164,014 | ||||
| 193,261 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) |
176,983 | ||||
| 297,184 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | 246,621 | ||||
| 271,485 | Thunderbolt II Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | 224,464 | ||||
|
|
|
| ||||
| Total Asset Backed Securities (Cost $9,076,684) |
7,672,649 | |||||
|
|
|
| ||||
| Collateralized Mortgage Obligations (5.4%): |
| |||||
| 250,000 | Aimco CLO, Class AR, Series 2018-BA, 6.36%(US0003M+110bps), 1/15/32, Callable 7/15/23 @ 100(a) | 247,313 | ||||
| 523,000 | Aimco CLO 11, Ltd., Class AR, Series 2020-11A, 6.39%(US0003M+113bps), 10/17/34, Callable 10/17/23 @ 100(a) | 513,423 | ||||
| 387,000 | Aimco CLO 14, Ltd., Class A, Series 2021-14A, 6.24%(US0003M+99bps), 4/20/34, Callable 7/20/23 @ 100(a) | 378,949 | ||||
| 250,000 | Allegro CLO XIII, Ltd., Class A, Series 2021-1A, 6.39%(US0003M+114bps), 7/20/34, Callable 7/20/23 @ 100(a) | 244,357 | ||||
| 2,812,000 | Allegro CLO XIV, Ltd., Class A1, Series 2021-2A, 6.42%(US0003M+116bps), 10/15/34, Callable 10/15/23 @ 100(a) | 2,764,157 | ||||
| 624,000 | Allegro CLO XV, Ltd., Class A, Series 2022-1A, 6.55%(TSFR3M+150bps), 7/20/35, Callable 7/20/24 @ 100(a) | 613,843 | ||||
| 256,000 | Ares CLO, Ltd., Class A, Series 2019-54A, 6.58%(US0003M+132bps), 10/15/32, Callable 7/15/23 @ 100(a) | 253,518 | ||||
| 853,000 | Ares LV CLO, Ltd., Class A1R, Series 2020-55A, 6.39%(US0003M+113bps), 7/15/34, Callable 7/15/23 @ 100(a) | 839,811 | ||||
| 660,000 | Ares XLI CLO, Ltd., Class AR2, Series 2016-41A, 6.33%(US0003M+107bps), 4/15/34, Callable 7/15/23 @ 100(a) | 646,055 | ||||
| 105,000 | BAMLL Commercial Mortgage Securities Trust, Class B, Series 2022-DKLX, 6.70%(TSFR1M+155bps), 1/15/39(a) | 101,435 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $100,000 | BAMLL Commercial Mortgage Securities Trust, Class C, Series 2022-DKLX, 7.30%(TSFR1M+215bps), 1/15/39(a) | $ | 96,012 | |||
| 177,000 | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | 166,008 | ||||
| 555,000 | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2022-DKLX, 6.30%(TSFR1M+115bps), 1/15/39(a) | 539,440 | ||||
| 30,000 | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52, Callable 10/15/29 @ 100 | 25,384 | ||||
| 310,000 | Barings CLO, Ltd., Class A, Series 2020-4A, 6.47%(US0003M+122bps), 1/20/32, Callable 7/20/23 @ 100(a) | 306,911 | ||||
| 786,000 | Barings CLO, Ltd., Class AR, Series 2020-1A, 6.41%(US0003M+115bps), 10/15/36, Callable 10/15/23 @ 100(a) | 769,169 | ||||
| 417,000 | Beechwood Park CLO, Ltd., Class A1R, Series 2019- 1A, 6.29%(TSFR3M+130bps), 1/17/35, Callable 1/17/24 @ 100(a) | 408,625 | ||||
| 34,000 | Benchmark Mortgage Trust, Class A5, Series 2018- B4, 4.12%, 7/15/51, Callable 7/15/28 @ 100(b) | 31,583 | ||||
| 1,139,000 | Bethpage Park CLO, Ltd., Class A, Series 2021-1A, 6.39%(US0003M+113bps), 1/15/35, Callable 10/15/23 @ 100(a) | 1,115,120 | ||||
| 139,000 | BFLD Trust, Class A, Series 2020-OBRK, 7.31%(US0001M+205bps), 11/15/28(a) | 138,552 | ||||
| 488,000 | BPR Trust, Class B, Series 2022-OANA, 7.59%(TSFR1M+245bps), 4/15/37(a) | 476,593 | ||||
| 1,835,000 | BPR Trust, Class A, Series 2022-OANA, 7.04%(TSFR1M+190bps), 4/15/37(a) | 1,786,550 | ||||
| 285,089 | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 6.25%(US0003M+99bps), 4/15/29, Callable 7/15/23 @ 100(a) | 282,349 | ||||
| 390,852 | BX Commercial Mortgage Trust, Class B, Series 2022-LP2, 6.46%(TSFR1M+131bps), 2/15/39(a) | 374,856 | ||||
| 1,297,889 | BX Commercial Mortgage Trust, Class A, Series 2022-LP2, 6.16%(TSFR1M+101bps), 2/15/39(a) | 1,258,310 | ||||
| 390,852 | BX Commercial Mortgage Trust, Class C, Series 2022-LP2, 6.71%(TSFR1M+156bps), 2/15/39(a) | 370,100 | ||||
| 155,550 | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 6.51%(US0001M+125bps), 10/15/36(a) | 153,903 | ||||
| 390,852 | BX Commercial Mortgage Trust, Class D, Series 2022-LP2, 7.11%(TSFR1M+196bps), 2/15/39(a) | 372,642 | ||||
| 309,400 | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 7.06%(US0001M+180bps), 10/15/36(a) | 305,189 | ||||
| 124,100 | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 6.34%(US0001M+108bps), 10/15/36(a) | 122,984 | ||||
| 164,425 | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 6.18%(US0001M+92bps), 10/15/36(a) | 163,393 | ||||
| 220,150 | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 6.71%(US0001M+145bps), 10/15/36(a) | 217,552 | ||||
| 119,000 | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 7.09%(US0001M+190bps), 4/15/34(a) | 116,338 | ||||
| 113,000 | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 6.79%(US0001M+160bps), 4/15/34(a) | 110,558 | ||||
| 172,000 | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 6.49%(US0001M+130bps), 4/15/34(a) | 168,611 | ||||
| 5,017,000 | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 6.19%(US0001M+100bps), 4/15/34(a) | 4,962,782 | ||||
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $162,000 | BX Mortgage Trust, Class B, Series 2021-PAC, 6.09%(US0001M+90bps), 10/15/36(a) | $ | 156,031 | |||
| 216,000 | BX Mortgage Trust, Class C, Series 2021-PAC, 6.29%(US0001M+110bps), 10/15/36(a) | 206,557 | ||||
| 2,708,000 | BX Mortgage Trust, Class A, Series 2021-PAC, 5.88%(US0001M+69bps), 10/15/36(a) | 2,626,824 | ||||
| 210,000 | BX Mortgage Trust, Class D, Series 2021-PAC, 6.49%(US0001M+130bps), 10/15/36(a) | 199,049 | ||||
| 730,000 | BX Mortgage Trust, Class E, Series 2021-PAC, 7.14%(US0001M+195bps), 10/15/36(a) | 695,351 | ||||
| 904,645 | BX Trust, Class A, Series 2022-IND A, 6.64%(TSFR1M+149bps), 4/15/24(a) | 891,431 | ||||
| 472,000 | BX Trust, Class A, Series 2022-GPA, 7.31%(TSFR1M+217bps), 10/15/39(a) | 471,353 | ||||
| 4,846,662 | BX Trust, Class A, Series 2021-SOAR, 5.86%(US0001M+67bps), 6/15/38(a) | 4,720,338 | ||||
| 104,382 | BX Trust, Class C, Series 2022-IND, 7.44%(TSFR1M+229bps), 4/15/24(a) | 101,908 | ||||
| 461,479 | BX Trust, Class B, Series 2022-IND, 7.09%(TSFR1M+194bps), 4/15/24(a) | 453,047 | ||||
| 86,985 | BX Trust, Class D, Series 2022-IND, 7.99%(TSFR1M+284bps), 4/15/24(a) | 83,406 | ||||
| 380,345 | Cascade Funding Mortgage Trust, Class A, Series 2021-HB6, 0.90%, 6/25/36, Callable 7/25/23 @ 100(a)(b) |
358,921 | ||||
| 17,105,000 | Cedar Funding V CLO, Ltd., Class A1R, Series 2016- 5A, 6.36%(US0003M+110bps), 7/17/31, Callable 7/17/23 @ 100(a) | 16,940,574 | ||||
| 235,000 | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016- 6A, 6.30%(US0003M+105bps), 4/20/34, Callable 7/20/23 @ 100(a) | 228,851 | ||||
| 643,000 | Cedar Funding X CLO, Ltd., Class AR, Series 2019- 10A, 6.35%(US0003M+110bps), 10/20/32, Callable 7/20/23 @ 100(a) | 632,913 | ||||
| 485,000 | Cedar Funding XII CLO, Ltd., Class A1R, Series 2020-12A, 6.39%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(a) | 475,521 | ||||
| 942,000 | Cedar Funding XV CLO, Ltd., Class A, Series 2022- 15A, 6.37%(TSFR3M+132bps), 4/20/35, Callable 4/20/24 @ 100(a) | 917,694 | ||||
| 43,164 | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 6.94%(US0001M+175bps), 6/15/34(a) | 42,071 | ||||
| 791,000 | Columbia Cent CLO 29, Ltd., Class AR, Series 2020- 29A, 6.42%(US0003M+117bps), 10/20/34, Callable 10/20/23 @ 100(a) | 768,902 | ||||
| 410,000 | Columbia Cent CLO 30, Ltd., Class A1, Series 2020- 30A, 6.56%(US0003M+131bps), 1/20/34, Callable 7/20/23 @ 100(a) | 403,415 | ||||
| 310,000 | Columbia Cent CLO 31, Ltd., Class A1, Series 2021- 31A, 6.45%(US0003M+120bps), 4/20/34, Callable 7/20/23 @ 100(a) | 302,028 | ||||
| 920,000 | Columbia Cent CLO 32, Ltd., Class A1, Series 2022- 32A, 6.77%(TSFR3M+170bps), 7/20/34, Callable 1/24/24 @ 100(a) | 906,185 | ||||
| 57,000 | Commercial Mortgage Trust, Class A5, Series 2014- CR18, 3.83%, 7/15/47, Callable 7/15/24 @ 100 | 55,617 | ||||
| 242,397 | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 6.42%(US0001M+123bps), 5/15/36(a) | 240,511 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $3,680,584 | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(a) | $ | 3,245,677 | |||
| 100,000 | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | 96,415 | ||||
| 860,000 | CSMC Trust, Class D, Series 2017-PFHP, 7.44%(US0001M+225bps), 12/15/30(a) | 813,422 | ||||
| 205,000 | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | 198,508 | ||||
| 100,000 | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | 94,333 | ||||
| 100,000 | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | 96,020 | ||||
| 527,000 | Dryden 76 CLO, Ltd., Class A1R, Series 2019-76A, 6.40%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(a) | 518,325 | ||||
| 577,000 | Dryden 83 CLO, Ltd., Class A, Series 2020-83A, 6.48%(US0003M+122bps), 1/18/32, Callable 7/18/23 @ 100(a) | 569,741 | ||||
| 1,019,000 | Dryden 85 CLO, Ltd., Class AR, Series 2020-85A, 6.41%(US0003M+115bps), 10/15/35, Callable 10/15/23 @ 100(a) | 997,605 | ||||
| 670,000 | Dryden 90 CLO, Ltd., Class A1A, Series 2021-90A, 6.51%(US0003M+113bps), 2/20/35, Callable 2/20/24 @ 100(a) | 655,916 | ||||
| 250,000 | Dryden CLO, Ltd., Class A, Series 2020-78A, 6.44%(US0003M+118bps), 4/17/33, Callable 7/17/23 @ 100(a) | 246,868 | ||||
| 363,000 | Eaton Vance CLO, Ltd., Class AR, Series 2019-1A, 6.36%(US0003M+110bps), 4/15/31, Callable 7/15/23 @ 100(a) | 357,555 | ||||
| 930,000 | Eaton Vance CLO, Ltd., Class AR, Series 2020-2A, 6.41%(US0003M+115bps), 1/15/35, Callable 1/15/24 @ 100(a) | 914,756 | ||||
| 250,000 | Eaton Vance CLO, Ltd., Class A13R, Series 2013-1A, 6.51%(US0003M+125bps), 1/15/34, Callable 7/15/23 @ 100(a) | 245,121 | ||||
| 1,469,000 | ELP Commercial Mortgage Trust, Class A, Series 2021-ELP, 5.90%(US0001M+70bps), 11/15/36(a) | 1,425,823 | ||||
| 293,940 | Extended Stay America Trust, Class B, Series 2021- ESH, 6.57%(US0001M+138bps), 7/15/38(a) | 286,807 | ||||
| 216,841 | Extended Stay America Trust, Class C, Series 2021- ESH, 6.89%(US0001M+170bps), 7/15/38(a) | 211,019 | ||||
| 433,682 | Extended Stay America Trust, Class D, Series 2021- ESH, 7.44%(US0001M+225bps), 7/15/38(a) | 421,556 | ||||
| 515,600 | Extended Stay America Trust, Class A, Series 2021- ESH, 6.27%(US0001M+108bps), 7/15/38(a) | 505,443 | ||||
| 508,000 | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 6.68%(US0003M+130bps), 11/20/33, Callable 8/20/23 @ 100(a) | 502,877 | ||||
| 250,000 | Flatiron CLO 21, Ltd., Class A1, Series 2021-1A, 6.37%(US0003M+111bps), 7/19/34, Callable 7/19/23 @ 100(a) | 246,065 | ||||
| 643,000 | GS Mortgage Securities Corp. Trust, Class A, Series 2021-IP, 6.14%(US0001M+95bps), 10/15/36(a) | 604,712 | ||||
| 100,000 | GS Mortgage Securities Corp. Trust, Class B, Series 2021-IP, 6.34%(US0001M+115bps), 10/15/36(a) | 92,508 | ||||
| 100,000 | GS Mortgage Securities Corp. Trust, Class C, Series 2021-IP, 6.74%(US0001M+155bps), 10/15/36(a) | 91,164 | ||||
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $800,000 | INTOWN STAY Mortgage Trust, Class A, Series 2022, 7.64%(TSFR1M+249bps), 8/15/37, Callable 8/15/24 @ 100(a) | $ | 799,957 | |||
| 556,000 | Invesco CLO, Ltd., Class A, Series 2021-3A, 6.40%(US0003M+113bps), 10/22/34, Callable 10/22/23 @ 100(a) | 545,517 | ||||
| 41,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | 37,890 | ||||
| 64,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | 58,243 | ||||
| 87,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | 77,795 | ||||
| 98,297 | Life Mortgage Trust, Class E, Series 2021-BMR, 7.01%(US0001M+175bps), 3/15/38(a) | 93,954 | ||||
| 280,147 | Life Mortgage Trust, Class A, Series 2021-BMR, 5.96%(US0001M+70bps), 3/15/38(a) | 272,979 | ||||
| 1,420,000 | Life Mortgage Trust, Class A1, Series 2022-BMR2, 6.44%(TSFR1M+130bps), 5/15/39, Callable 5/15/24 @ 100(a) | 1,388,512 | ||||
| 855,000 | Life Mortgage Trust, Class B, Series 2022-BMR2, 6.94%(TSFR1M+179bps), 5/15/39, Callable 5/15/24 @ 100(a) | 835,240 | ||||
| 479,000 | Life Mortgage Trust, Class C, Series 2022-BMR2, 7.24%(TSFR1M+209bps), 5/15/39, Callable 5/15/24 @ 100(a) | 465,535 | ||||
| 426,000 | Life Mortgage Trust, Class D, Series 2022-BMR2, 7.69%(TSFR1M+254bps), 5/15/39, Callable 5/15/24 @ 100(a) | 404,846 | ||||
| 98,297 | Life Mortgage Trust, Class C, Series 2021-BMR, 6.36%(US0001M+110bps), 3/15/38(a) | 94,650 | ||||
| 98,297 | Life Mortgage Trust, Class B, Series 2021-BMR, 6.14%(US0001M+88bps), 3/15/38(a) | 95,355 | ||||
| 98,297 | Life Mortgage Trust, Class D, Series 2021-BMR, 6.66%(US0001M+140bps), 3/15/38(a) | 94,497 | ||||
| 500,000 | Lucali CLO, Ltd., Class A, Series 2020-1A, 6.47%(US0003M+121bps), 1/15/32, Callable 7/15/23 @ 100(a) | 495,334 | ||||
| 320,000 | Madison Park Funding L, Ltd., Class A, Series 2021- 50A, 6.43%(US0003M+114bps), 4/19/34, Callable 7/19/23 @ 100(a) | 314,996 | ||||
| 910,000 | Madison Park Funding LII, Ltd., Class A, Series 2021-52A, 6.37%(US0003M+110bps), 1/22/35, Callable 1/22/24 @ 100(a) | 890,039 | ||||
| 250,000 | Madison Park Funding XLV, Ltd., Class AR, Series 2020-45A, 6.38%(US0003M+112bps), 7/15/34, Callable 7/15/23 @ 100(a) | 246,016 | ||||
| 430,465 | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 6.19%(US0003M+92bps), 1/22/28, Callable 7/22/23 @ 100(a) | 427,925 | ||||
| 250,000 | Magnetite XXI, Ltd., Class AR, Series 2019-21A, 6.27%(US0003M+102bps), 4/20/34, Callable 7/20/23 @ 100(a) | 244,230 | ||||
| 680,000 | Magnetite XXIX, Ltd., Class A, Series 2021-29A, 6.25% (US0003M+99bps), 1/15/34, Callable 7/15/23 @ 100(a) | 672,935 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $250,000 | Magnetite XXVII, Ltd., Class AR, Series 2020-27A, 6.39%(US0003M+114bps), 10/20/34, Callable 10/20/23 @ 100(a) | $ | 245,495 | |||
| 968,000 | Magnetite XXX, Ltd., Class A, Series 2021-30A, 6.39%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(a) | 950,038 | ||||
| 54,850 | Mesquite Energy, Inc., 13.00%(LIBOR+800bps), 7/15/23(a)(c) | 54,850 | ||||
| 31,702 | Mesquite Energy, Inc., 15.00%(LIBOR+0bps), 7/15/23(a)(c) | 31,702 | ||||
| 260,000 | MHC Commercial Mortgage Trust, Class A, Series 2021-MHC, 6.06%(US0001M+80bps), 4/15/38(a) | 255,113 | ||||
| 302,496 | Milos CLO, Ltd., Class AR, Series 2017-1A, 6.32%(US0003M+107bps), 10/20/30, Callable 7/20/23 @ 100(a) | 299,987 | ||||
| 196,000 | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 6.44%(US0001M+125bps), 6/15/35(a) | 163,774 | ||||
| 132,000 | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 1/15/29 @ 100 | 122,879 | ||||
| 56,000 | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | 52,177 | ||||
| 385,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a) | 361,597 | ||||
| 471,200 | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 6.69%(US0001M+150bps), 6/15/35(a) | 338,437 | ||||
| 53,000 | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.28%, 11/10/36, Callable 11/10/24 @ 100(a)(b) |
48,763 | ||||
| 326,000 | Peace Park CLO, Ltd., Class A, Series 2021-1A, 6.38%(US0003M+113bps), 10/20/34, Callable 10/20/23 @ 100(a) | 320,183 | ||||
| 17,385 | Prima Capital CRE Securitization, Class A, Series 2021-9A, 6.61%(US0001M+145bps), 12/15/37, Callable 5/25/24 @ 100(a) | 17,331 | ||||
| 333,000 | Rockland Park CLO, Ltd., Class A, Series 2021-1A, 6.37%(US0003M+112bps), 4/20/34, Callable 7/20/23 @ 100(a) | 328,369 | ||||
| 130,000 | SPGN Mortgage Trust, Class C, Series 2022-TFLM, 7.80%(TSFR1M+265bps), 2/15/39, Callable 2/15/24 @ 100(a) | 122,408 | ||||
| 250,000 | SPGN Mortgage Trust, Class B, Series 2022-TFLM, 7.15%(TSFR1M+200bps), 2/15/39, Callable 2/15/24 @ 100(a) | 238,714 | ||||
| 1,013,000 | SREIT Trust, Class A, Series 2021-MFP, 5.92%(US0001M+73bps), 11/15/38(a) | 983,260 | ||||
| 237,000 | SREIT Trust, Class D, Series 2021-MFP, 6.77%(US0001M+158bps), 11/15/38(a) | 227,368 | ||||
| 580,000 | SREIT Trust, Class B, Series 2021-MFP, 6.27%(US0001M+108bps), 11/15/38(a) | 562,485 | ||||
| 360,000 | SREIT Trust, Class C, Series 2021-MFP, 6.52%(US0001M+133bps), 11/15/38(a) | 346,767 | ||||
| 234,475 | Stratus CLO, Ltd., Class A, Series 2022-1A, 6.80%(TSFR3M+175bps), 7/20/30, Callable 7/20/23 @ 100(a) | 233,570 | ||||
| 403,000 | Symphony CLO XIX, Ltd., Class A, Series 2018-19A, 6.22%(US0003M+96bps), 4/16/31, Callable 7/16/23 @ 100(a) | 398,536 | ||||
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $500,000 | Symphony CLO XXVI, Ltd., Class AR, Series 2021- 26A, 6.33%(US0003M+108bps), 4/20/33, Callable 7/20/23 @ 100(a) | $ | 491,569 | |||
| 1,054,000 | Symphony CLO XXXII, Ltd., Class A1, Series 2022- 32A, 6.39%(TSFR3M+132bps), 4/23/35, Callable 4/23/24 @ 100(a) | 1,030,561 | ||||
| 20,000 | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(a) | 15,445 | ||||
| 285,000 | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(a) | 222,516 | ||||
| 564,000 | Voya CLO, Ltd., Class AR, Series 2020-1A, 6.41%(US0003M+115bps), 7/16/34, Callable 7/16/23 @ 100(a) | 554,415 | ||||
| 551,000 | Voya CLO, Ltd., Class A1R, Series 2020-2A, 6.42%(US0003M+116bps), 7/19/34, Callable 7/19/23 @ 100(a) | 540,891 | ||||
| 335,000 | Voya CLO, Ltd., Class A, Series 2019-2, 6.52%(US0003M+127bps), 7/20/32, Callable 7/20/23 @ 100(a) | 331,484 | ||||
| 1,073,000 | Voya CLO, Ltd., Class AR, Series 2020-3A, 6.40%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(a) | 1,052,953 | ||||
| 155,000 | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | 145,554 | ||||
| 185,000 | Wells Fargo Commercial Mortgage Trust, Class A, Series 2021-FCMT, 6.39%(US0001M+120bps), 5/15/31(a) | 177,156 | ||||
|
|
|
| ||||
| Total Collateralized Mortgage Obligations |
87,581,901 | |||||
|
|
|
| ||||
| Convertible Bonds (0.0%†): |
| |||||
| Entertainment (0.0%† ): |
| |||||
| 25,000 | Live Nation Entertainment, Inc., 2.00%, 2/15/25 | 26,530 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.0%†): |
| |||||
| 37,000 | Booking Holdings, Inc., 0.75%, 5/1/25 | 55,270 | ||||
| 27,000 | Vail Resorts, Inc., 4.70%, 1/1/26 | 24,062 | ||||
|
|
|
| ||||
| 79,332 | ||||||
|
|
|
| ||||
| Leisure Products (0.0%†): |
| |||||
| 19,000 | Callaway Golf Co., 2.75%, 5/1/26 | 24,793 | ||||
|
|
|
| ||||
| Media (0.0%†): |
| |||||
| 54,000 | DISH Network Corp., 2.38%, 3/15/24 | 48,143 | ||||
| 846,000 | DISH Network Corp., 3.38%, 8/15/26 | 421,734 | ||||
|
|
|
| ||||
| 469,877 | ||||||
|
|
|
| ||||
| Professional Services (0.0%†): |
| |||||
| 23,000 | KBR, Inc., 2.50%, 11/1/23 | 59,336 | ||||
|
|
|
| ||||
| Semiconductors & Semiconductor Equipment (0.0%†): |
| |||||
| 8,000 | ON Semiconductor Corp., 1.63%, 10/15/23 | 36,723 | ||||
|
|
|
| ||||
| Total Convertible Bonds (Cost $996,633) |
696,591 | |||||
|
|
|
| ||||
| Bank Loans (0.1%): |
| |||||
| Chemicals (0.0%†): |
| |||||
| 14,738 | Consolidated Energy Term Incr B 1Ln, 8.56% (LIBOR+350bps) | 14,296 | ||||
| 19,750 | Diversey Term B 1Ln, 0.00% (LIBOR+275bps), 9/14/28 | 19,718 | ||||
|
|
|
| ||||
| 34,014 | ||||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Bank Loans, continued |
| |||||
| Construction & Engineering (0.0%†): |
| |||||
| $35,000 | Convergint Tech Term 2Ln, 9.14% (Term SOFR+675bps), 3/18/29 | $ | 30,873 | |||
| 4,913 | Convergint Tech Term B 1Ln, 11.89% (Term SOFR+375bps), 3/31/28 | 4,813 | ||||
|
|
|
| ||||
| 35,686 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.0%† ): |
| |||||
| 15,000 | Ascend Learning Term 2Ln, 10.89% (Term SOFR+575bps), 12/10/29 | 12,687 | ||||
| 162,938 | Ascend Learning Term B 1Ln, 8.64% (Term SOFR+350bps), 12/10/28 | 152,831 | ||||
|
|
|
| ||||
| 165,518 | ||||||
|
|
|
| ||||
| Health Care Providers & Services (0.0%†): |
| |||||
| 249,369 | Cano Health Term B, 9.14% (Term SOFR+400bps), 11/23/27 | 208,846 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.0%†): |
| |||||
| 246,875 | City Football Group Term B 1Ln, 8.06% (LIBOR+300bps), 7/21/28 | 241,937 | ||||
| 172,368 | Diamond Sports Group Term 2Ln, 8.64% (Term SOFR+350bps), 8/24/26 | 5,315 | ||||
| 34,160 | Golden Entertainment Term B 1Ln, 8.06% (LIBOR+300bps), 10/20/24 | 34,107 | ||||
|
|
|
| ||||
| 281,359 | ||||||
|
|
|
| ||||
| Industrial Products (0.0%†): |
| |||||
| 118,538 | Westinghouse Term 1Ln, 8.89% (Term SOFR+375bps), 8/1/25 | 118,508 | ||||
|
|
|
| ||||
| Media (0.0%†): |
| |||||
| 44,662 | Authentic Brands Term B1 1Ln, 8.64% (Term SOFR+350bps), 12/21/28 | 44,406 | ||||
|
|
|
| ||||
| Software (0.0%†): |
| |||||
| 3,385 | Ion Analytics Term 1Ln, 9.14% (Term SOFR+400bps), 2/16/28 | 3,338 | ||||
|
|
|
| ||||
| Software & Computer Services (0.0%†): |
| |||||
| 335,000 | UKG, Term 2Ln, 10.39% (Term SOFR+525bps), 5/3/27 | 323,992 | ||||
|
|
|
| ||||
| Software & Tech Services (0.1%): |
| |||||
| 110,600 | Athenahealth Term B 1Ln, 8.64% (Term SOFR+350bps), 2/15/29 | 106,314 | ||||
| 13,587 | Athenahealth Term DD 1Ln, 8.56% (LIBOR+350bps), 2/15/29+ | 13,061 | ||||
| 300,000 | Nielsen Holdings Term B 1Ln, 10.14% (Term SOFR+500bps), 4/11/29 | 263,400 | ||||
|
|
|
| ||||
| 382,775 | ||||||
|
|
|
| ||||
| Utilities (0.0%†): |
| |||||
| 339,071 | Breakwater Energy Term, 16.06% (LIBOR+1100bps), 9/1/26 | 322,117 | ||||
|
|
|
| ||||
| Total Bank Loans (Cost $2,061,342) |
1,920,559 | |||||
|
|
|
| ||||
| Corporate Bonds (18.0%): |
| |||||
| Aerospace & Defense (0.4%): |
| |||||
| 1,145,000 | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | 1,131,506 | ||||
| 145,000 | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | 143,426 | ||||
| 1,100,000 | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | 1,095,664 | ||||
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Aerospace & Defense, continued |
| |||||
| $100,000 | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | $ | 98,830 | |||
| 1,150,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 1,135,617 | ||||
| 310,000 | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 8/7/23 @ 102.06(a) | 283,650 | ||||
| 310,000 | Howmet Aerospace, Inc., 5.95%, 2/1/37 | 311,937 | ||||
| 145,000 | Moog, Inc., 4.25%, 12/15/27, Callable 8/7/23 @ 103.19(a) | 134,306 | ||||
| 40,000 | TransDigm UK Holdings plc, 6.88%, 5/15/26, Callable 8/7/23 @ 101.72 | 39,600 | ||||
| 40,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 8/7/23 @ 100 | 39,350 | ||||
| 35,000 | TransDigm, Inc., 7.50%, 3/15/27, Callable 8/7/23 @ 101.88 | 34,913 | ||||
| 1,655,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 8/7/23 @ 102.75 | 1,559,838 | ||||
| 310,000 | TransDigm, Inc., 4.88%, 5/1/29, Callable 5/1/24 @ 102.44 | 275,900 | ||||
|
|
|
| ||||
| 6,284,537 | ||||||
|
|
|
| ||||
| Air Freight & Logistics (0.0%†): |
| |||||
| 255,000 | Cargo Aircraft Management, Inc., 4.75%, 2/1/28, Callable 7/24/23 @ 102.38(a) | 222,169 | ||||
| 237,000 | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 8/7/23 @ 101.56(a) | 234,630 | ||||
|
|
|
| ||||
| 456,799 | ||||||
|
|
|
| ||||
| Automobile Components (0.0%†): |
| |||||
| 125,000 | Dana, Inc., 4.50%, 2/15/32, Callable 2/15/27 @ 102.25 | 103,438 | ||||
|
|
|
| ||||
| Automobiles (0.0%†): |
| |||||
| 165,000 | Thor Industries, Inc., 4.00%, 10/15/29, Callable 10/15/24 @ 102(a) | 140,044 | ||||
|
|
|
| ||||
| Banks (2.1%): |
| |||||
| 410,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 397,247 | ||||
| 151,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 146,306 | ||||
| 1,300,000 | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | 1,189,252 | ||||
| 980,000 | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | 783,005 | ||||
| 6,359,000 | Bank of America Corp., 5.02% (SOFR+216 bps), 7/22/33, Callable 7/22/32 @ 100 | 6,180,134 | ||||
| 165,000 | CIT Group, Inc., 6.13%, 3/9/28 | 160,072 | ||||
| 2,455,000 | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | 2,400,131 | ||||
| 1,098,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,049,340 | ||||
| 1,156,000 | Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100 | 1,084,971 | ||||
| 2,635,000 | Citigroup, Inc., 4.91% (SOFR+209 bps), 5/24/33, Callable 5/24/32 @ 100 | 2,541,144 | ||||
| 2,500,000 | JPMorgan Chase & Co., 4.49% (SOFR+379 bps), 3/24/31, Callable 3/24/30 @ 100 | 2,393,325 | ||||
| 181,000 | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | 154,752 | ||||
| 5,828,000 | JPMorgan Chase & Co., 4.59% (SOFR+180 bps), 4/26/33, Callable 4/26/32 @ 100 | 5,537,334 | ||||
| 937,000 | JPMorgan Chase & Co., 4.91% (SOFR+208 bps), 7/25/33, Callable 7/25/32 @ 100 | 911,809 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Banks, continued |
| |||||
| $724,000 | Santander Holdings USA, Inc., 6.50% (SOFR+236 bps), 3/9/29, Callable 3/9/28 @ 100 | $ | 714,454 | |||
| 3,705,000 | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | 3,530,042 | ||||
| 1,099,000 | Wells Fargo & Co., 3.53% (SOFR+151 bps), 3/24/28, Callable 3/24/27 @ 100 | 1,025,477 | ||||
| 2,645,000 | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | 2,515,741 | ||||
| 1,800,000 | Wells Fargo & Co., 5.01% (US0003M+424 bps), 4/4/51, Callable 4/4/50 @ 100, MTN | 1,666,341 | ||||
|
|
|
| ||||
| 34,380,877 | ||||||
|
|
|
| ||||
| Beverages (0.5%): |
| |||||
| 2,400,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | 2,325,499 | ||||
| 3,100,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 2,876,859 | ||||
| 150,000 | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | 137,701 | ||||
| 333,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | 307,982 | ||||
| 2,445,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | 2,652,490 | ||||
|
|
|
| ||||
| 8,300,531 | ||||||
|
|
|
| ||||
| Biotechnology (0.1%): |
| |||||
| 411,000 | Amgen, Inc., 5.15%, 3/2/28, Callable 2/2/28 @ 100 | 410,853 | ||||
| 375,000 | Amgen, Inc., 5.25%, 3/2/30, Callable 1/2/30 @ 100 | 375,957 | ||||
| 424,000 | Amgen, Inc., 5.25%, 3/2/33, Callable 12/2/32 @ 100 | 424,585 | ||||
| 403,000 | Amgen, Inc., 5.60%, 3/2/43, Callable 9/2/42 @ 100 | 402,191 | ||||
| 200,000 | Amgen, Inc., 5.65%, 3/2/53, Callable 9/2/52 @ 100 | 202,337 | ||||
| 365,000 | Amgen, Inc., 5.75%, 3/2/63, Callable 9/2/62 @ 100 | 370,481 | ||||
| 175,000 | Emergent BioSolutions, Inc., 3.88%, 8/15/28, Callable 8/15/23 @ 101.94(a) | 97,125 | ||||
|
|
|
| ||||
| 2,283,529 | ||||||
|
|
|
| ||||
| Building Products (0.1%): |
| |||||
| 795,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 7/24/23 @ 102.5(a) | 753,263 | ||||
| 120,000 | Builders FirstSource, Inc., 4.25%, 2/1/32, Callable 8/1/26 @ 102.13(a) | 104,400 | ||||
| 35,000 | Roller Bearing Co. of America, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19(a) | 31,237 | ||||
|
|
|
| ||||
| 888,900 | ||||||
|
|
|
| ||||
| Capital Markets (1.3%): |
| |||||
| 457,000 | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | 447,860 | ||||
| 2,707,000 | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | 2,503,212 | ||||
| 105,000 | Charles Schwab Corp. (The), 5.38% (H15T5Y+497 bps), Callable 6/1/25 @ 100 | 101,063 | ||||
| 250,000 | Charles Schwab Corp. (The), 4.00% (H15T10Y+308 bps), 12/31/99, Callable 12/1/30 @ 100 | 183,437 | ||||
| 2,880,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 2,658,712 | ||||
| 1,263,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100 | 1,010,183 | ||||
| 3,062,000 | Goldman Sachs Group, Inc. (The), 3.10% (SOFR+141 bps), 2/24/33, Callable 2/24/32 @ 100 | 2,586,946 | ||||
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Capital Markets, continued |
| |||||
| $128,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | $ | 137,597 | |||
| 50,000 | HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 6/15/26, Callable 3/15/26 @ 100(a) | 44,625 | ||||
| 640,000 | Hightower Holding LLC, 6.75%, 4/15/29, Callable 4/15/24 @ 103.38(a) | 552,000 | ||||
| 55,000 | LCM Investments Holdings II LLC, 4.88%, 5/1/29, Callable 5/1/24 @ 102.44(a) | 46,750 | ||||
| 55,000 | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(a) | 40,700 | ||||
| 1,100,000 | Moody's Corp., 3.75%, 3/24/25, Callable 2/24/25 @ 100 | 1,069,024 | ||||
| 1,100,000 | Moody's Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100 | 1,023,815 | ||||
| 2,534,000 | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | 2,281,669 | ||||
| 2,236,000 | Morgan Stanley, 4.89% (SOFR+208 bps), 7/20/33, Callable 7/20/32 @ 100 | 2,148,615 | ||||
| 1,700,000 | Morgan Stanley, 6.34% (SOFR+256 bps), 10/18/33, Callable 10/18/32 @ 100 | 1,798,762 | ||||
| 500,000 | MSCI, Inc., 3.88%, 2/15/31, Callable 6/1/25 @ 101.94(a) | 431,875 | ||||
| 100,000 | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(a) | 79,625 | ||||
| 485,000 | Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 10.75%, 7/1/25, Callable 8/7/23 @ 102.69(a) | 468,025 | ||||
| 650,000 | Olympus Water US Holding Corp., 4.25%, 10/1/28, Callable 10/1/24 @ 102.13(a) | 512,687 | ||||
| 300,000 | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | 269,150 | ||||
| 15,000 | Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29, Callable 2/1/24 @ 103.13(a) | 12,225 | ||||
|
|
|
| ||||
| 20,408,557 | ||||||
|
|
|
| ||||
| Chemicals (0.2%): |
| |||||
| 15,000 | CF Industries, Inc., 4.95%, 6/1/43 | 12,975 | ||||
| 510,000 | Chemours Co. (The), 5.38%, 5/15/27, Callable 2/15/27 @ 100 | 477,488 | ||||
| 915,000 | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(a) | 837,225 | ||||
| 60,000 | Diamond BC BV, 4.63%, 10/1/29(a) | 60,525 | ||||
| 20,000 | Kobe US Midco 2, Inc., 9.25%, 11/1/26, Callable 8/7/23 @ 104.63(a) | 13,200 | ||||
| 555,000 | LSB Industries, Inc., 6.25%, 10/15/28, Callable 10/15/24 @ 103.13^(a) | 495,338 | ||||
| 410,000 | SCIH Salt Holdings, Inc., 4.88%, 5/1/28, Callable 5/1/24 @ 102.44(a) | 365,925 | ||||
| 135,000 | Scotts Miracle-Gro Co. (The), 4.38%, 2/1/32, Callable 8/1/26 @ 102.19 | 106,650 | ||||
| 25,000 | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 24,469 | ||||
| 450,000 | WR Grace Holdings LLC, 4.88%, 6/15/27, Callable 8/7/23 @ 102.44(a) | 419,185 | ||||
| 125,000 | WR Grace Holdings LLC, 5.63%, 8/15/29, Callable 8/15/24 @ 102.81(a) | 102,187 | ||||
| 40,000 | WR Grace Holdings LLC, 7.38%, 3/1/31, Callable 3/1/26 @ 103.69(a) | 39,200 | ||||
|
|
|
| ||||
| 2,954,367 | ||||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Commercial Services & Supplies (0.1%): |
| |||||
| $125,000 | ADT Security Corp. (The), 4.13%, 8/1/29, Callable 8/1/28 @ 100(a) | $ | 107,969 | |||
| 430,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 8/7/23 @ 102.5(a) | 404,737 | ||||
| 55,000 | Clean Harbors, Inc., 6.38%, 2/1/31, Callable 2/1/26 @ 103.19(a) | 55,138 | ||||
| 470,000 | CoreCivic, Inc., 8.25%, 4/15/26, Callable 4/15/24 @ 104.13 | 472,937 | ||||
| 41,000 | GEO Group, Inc. (The), 10.50%, 6/30/28, Callable 7/18/23 @ 103 | 41,205 | ||||
| 85,000 | GEO Group, Inc. (The), 9.50%, 12/31/28, Callable 7/18/23 @ 103(a) | 79,050 | ||||
| 25,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/1/26, Callable 8/7/23 @ 102.5(a) | 22,594 | ||||
| 25,000 | Pitney Bowes, Inc., 6.88%, 3/15/27, Callable 3/15/24 @ 103.44^(a) | 18,500 | ||||
| 45,000 | Pitney Bowes, Inc., 7.25%, 3/15/29, Callable 3/15/24 @ 103.63(a) | 29,700 | ||||
| 270,000 | Rand Parent LLC, 8.50%, 2/15/30, Callable 2/15/26 @ 104.25(a) | 244,350 | ||||
| 270,000 | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(a) | 239,625 | ||||
|
|
|
| ||||
| 1,715,805 | ||||||
|
|
|
| ||||
| Communications Equipment (0.0%†): |
| |||||
| 205,000 | CommScope, Inc., 7.13%, 7/1/28, Callable 8/7/23 @ 103.56(a) | 145,550 | ||||
| 500,000 | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(a) | 393,750 | ||||
| 250,000 | Viavi Solutions, Inc., 3.75%, 10/1/29, Callable 10/1/24 @ 101.88(a) | 212,500 | ||||
|
|
|
| ||||
| 751,800 | ||||||
|
|
|
| ||||
| Construction & Engineering (0.1%): |
| |||||
| 300,000 | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100 | 290,250 | ||||
| 25,000 | Arcosa, Inc., 4.38%, 4/15/29, Callable 4/15/24 @ 102.19(a) | 22,375 | ||||
| 845,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 8/7/23 @ 100(a) | 819,650 | ||||
| 270,000 | Dycom Industries, Inc., 4.50%, 4/15/29, Callable 4/15/24 @ 102.25(a) | 244,687 | ||||
| 55,000 | Global Infrastructure Solutions, Inc., 5.63%, 6/1/29, Callable 6/1/24 @ 102.81(a) | 44,688 | ||||
| 25,000 | Great Lakes Dredge & Dock Corp., 5.25%, 6/1/29, Callable 6/1/24 @ 102.63(a) | 20,938 | ||||
| 785,000 | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(a) | 702,575 | ||||
| 190,000 | Railworks Holdings LP/Railworks Rally, Inc., 8.25%, 11/15/28, Callable 11/15/24 @ 104.13(a) | 177,650 | ||||
|
|
|
| ||||
| 2,322,813 | ||||||
|
|
|
| ||||
| Consumer Finance (1.3%): |
| |||||
| 90,000 | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | 88,527 | ||||
| 100,000 | Ally Financial, Inc., 5.13%, 9/30/24 | 98,054 | ||||
| 224,000 | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | 219,667 | ||||
| 1,500,000 | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100^ | 1,443,812 | ||||
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Consumer Finance, continued |
| |||||
| $1,000,000 | Ally Financial, Inc., 7.10%, 11/15/27, Callable 10/15/27 @ 100^ | $ | 1,007,426 | |||
| 590,000 | Ally Financial, Inc., 4.70% (H15T5Y+387 bps), 12/31/99, Callable 5/15/26 @ 100 | 418,326 | ||||
| 577,000 | Capital One Financial Corp., 2.64% (SOFR+129 bps), 3/3/26, Callable 3/3/25 @ 100 | 537,824 | ||||
| 740,000 | Capital One Financial Corp., 4.99% (SOFR+216 bps), 7/24/26, Callable 7/24/25 @ 100 | 715,847 | ||||
| 2,665,000 | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | 2,459,275 | ||||
| 343,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 314,341 | ||||
| 738,000 | Capital One Financial Corp., 3.27% (SOFR+179 bps), 3/1/30, Callable 3/1/29 @ 100 | 625,376 | ||||
| 1,100,000 | Capital One Financial Corp., 5.25% (SOFR+260 bps), 7/26/30, Callable 7/26/29 @ 100 | 1,037,649 | ||||
| 250,000 | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | 226,637 | ||||
| 2,253,000 | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | 2,154,082 | ||||
| 174,000 | Discover Financial Services, 6.70%, 11/29/32, Callable 8/29/32 @ 100 | 178,769 | ||||
| 295,000 | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | 269,174 | ||||
| 550,000 | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | 469,405 | ||||
| 329,000 | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | 326,152 | ||||
| 55,000 | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | 53,529 | ||||
| 400,000 | Ford Motor Credit Co. LLC, 2.90%, 2/10/29, Callable 12/10/28 @ 100 | 329,502 | ||||
| 620,000 | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | 574,042 | ||||
| 2,100,000 | General Motors Financial Co., Inc., 4.00%, 1/15/25, Callable 10/15/24 @ 100 | 2,035,956 | ||||
| 295,000 | OneMain Finance Corp., 3.50%, 1/15/27, Callable 1/15/24 @ 101.75 | 252,594 | ||||
| 155,000 | OneMain Finance Corp., 3.88%, 9/15/28, Callable 9/15/24 @ 101.94 | 126,713 | ||||
| 430,000 | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | 330,563 | ||||
| 244,000 | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | 239,048 | ||||
| 797,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | 764,569 | ||||
| 3,605,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 3,137,298 | ||||
|
|
|
| ||||
| 20,434,157 | ||||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (0.2%): |
| |||||
| 25,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 1/15/27, Callable 8/7/23 @ 103.47(a) | 23,687 | ||||
| 210,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 6.50%, 2/15/28, Callable 2/15/25 @ 103.25(a) | 209,738 | ||||
| 50,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.50%, 3/15/29, Callable 9/15/23 @ 101.75(a) | 43,250 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Consumer Staples Distribution & Retail, continued |
| |||||
| $605,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(a) | $ | 556,600 | |||
| 475,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.13%, 2/1/28, Callable 1/1/28 @ 100(a) | 455,406 | ||||
| 975,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, 4/1/33, Callable 1/1/33 @ 100(a) | 911,625 | ||||
| 445,000 | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 8/7/23 @ 101.72(a) | 444,444 | ||||
| 70,000 | Performance Food Group, Inc., 4.25%, 8/1/29, Callable 8/1/24 @ 102.13(a) | 62,388 | ||||
| 93,000 | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | 97,279 | ||||
| 140,000 | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | 158,629 | ||||
| 285,000 | Triton Water Holdings, Inc., 6.25%, 4/1/29, Callable 4/1/24 @ 103.13(a) | 244,031 | ||||
| 45,000 | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(a) | 37,294 | ||||
| 660,000 | US Foods, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 590,700 | ||||
|
|
|
| ||||
| 3,835,071 | ||||||
|
|
|
| ||||
| Containers & Packaging (0.1%): |
| |||||
| 200,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance plc, 6.00%, 6/15/27, Callable 6/15/24 @ 103(a) | 196,500 | ||||
| 705,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 4.13%, 8/15/26, Callable 7/18/23 @ 102.06(a) | 654,769 | ||||
| 190,000 | Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | 156,037 | ||||
| 65,000 | Graphic Packaging International LLC, 3.75%, 2/1/30, Callable 8/1/29 @ 100(a) | 56,144 | ||||
| 180,000 | Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31, Callable 5/15/26 @ 103.63(a) | 182,250 | ||||
| 135,000 | Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 2/1/28, Callable 2/1/25 @ 103.06(a) | 133,481 | ||||
|
|
|
| ||||
| 1,379,181 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.0%†): |
| |||||
| 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(a) | 18,480 | ||||
| 350,000 | APX Group, Inc., 6.75%, 2/15/27, Callable 8/7/23 @ 103.38(a) | 342,125 | ||||
|
|
|
| ||||
| 360,605 | ||||||
|
|
|
| ||||
| Diversified REITs (0.5%): |
| |||||
| 1,039,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | 992,245 | ||||
| 1,265,000 | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 1,002,418 | ||||
| 62,000 | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | 45,415 | ||||
| 719,000 | Brandywine Operating Partnership LP, 7.55%, 3/15/28, Callable 2/15/28 @ 100 | 644,404 | ||||
| 45,000 | CTR Partnership LP/CareTrust Capital Corp., 3.88%, 6/30/28, Callable 3/30/28 @ 100(a) | 38,630 | ||||
| 430,000 | Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(a) | 315,513 | ||||
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Diversified REITs, continued |
| |||||
| $40,000 | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100 | $ | 34,200 | |||
| 45,000 | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | 34,931 | ||||
| 96,000 | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | 80,743 | ||||
| 1,277,000 | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | 925,171 | ||||
| 400,000 | WP Carey, Inc., 4.60%, 4/1/24, Callable 1/1/24 @ 100 | 394,582 | ||||
| 3,000,000 | WP Carey, Inc., 4.25%, 10/1/26, Callable 7/1/26 @ 100 | 2,883,090 | ||||
| 66,000 | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | 59,399 | ||||
|
|
|
| ||||
| 7,450,741 | ||||||
|
|
|
| ||||
| Diversified Telecommunication Services (0.6%): |
| |||||
| 138,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 130,506 | ||||
| 400,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 370,197 | ||||
| 1,200,000 | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | 868,480 | ||||
| 15,000 | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(a) | 11,156 | ||||
| 300,000 | Cogent Communications Group, Inc., 7.00%, 6/15/27, Callable 6/15/24 @ 103.5(a) | 290,250 | ||||
| 25,000 | Consolidated Communications, Inc., 5.00%, 10/1/28, Callable 10/1/23 @ 103.75(a) | 18,750 | ||||
| 635,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | 441,325 | ||||
| 185,000 | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 8/7/23 @ 103.06(a) | 115,394 | ||||
| 640,000 | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(a) | 584,000 | ||||
| 5,496 | Frontier Communications Holdings LLC, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94 | 4,012 | ||||
| 145,000 | Frontier Communications Holdings LLC, 8.75%, 5/15/30, Callable 5/15/25 @ 104.38(a) | 141,194 | ||||
| 3,725,000 | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | 3,266,568 | ||||
| 209,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 174,449 | ||||
| 1,250,000 | Verizon Communications, Inc., 2.99%, 10/30/56, Callable 4/30/56 @ 100 | 789,570 | ||||
| 485,000 | Warnermedia Holdings, Inc., 3.43%, 3/15/24 | 476,337 | ||||
| 265,000 | Warnermedia Holdings, Inc., 3.64%, 3/15/25 | 255,720 | ||||
| 519,000 | Warnermedia Holdings, Inc., 3.76%, 3/15/27, Callable 2/15/27 @ 100 | 482,750 | ||||
| 180,000 | Warnermedia Holdings, Inc., 4.05%, 3/15/29, Callable 1/15/29 @ 100 | 163,602 | ||||
| 753,000 | Warnermedia Holdings, Inc., 4.28%, 3/15/32, Callable 12/15/31 @ 100 | 663,629 | ||||
| 391,000 | Warnermedia Holdings, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100 | 326,322 | ||||
| 576,000 | Warnermedia Holdings, Inc., 5.14%, 3/15/52, Callable 9/15/51 @ 100 | 466,551 | ||||
| 55,000 | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 8/7/23 @ 100(a) | 38,844 | ||||
|
|
|
| ||||
| 10,079,606 | ||||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Electric Utilities (0.5%): |
| |||||
| $10,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | $ | 9,225 | |||
| 941,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 8/7/23 @ 103.38(a) | 884,540 | ||||
| 155,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94(a) | 136,206 | ||||
| 165,000 | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | 139,770 | ||||
| 54,000 | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(a) | 43,051 | ||||
| 587,000 | Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100(a) | 456,833 | ||||
| 1,000,000 | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100 | 945,244 | ||||
| 173,000 | Exelon Corp., 2.75%, 3/15/27, Callable 2/15/27 @ 100 | 158,273 | ||||
| 1,075,000 | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | 1,002,210 | ||||
| 210,000 | Exelon Corp., 3.35%, 3/15/32, Callable 12/15/31 @ 100 | 182,413 | ||||
| 255,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 1/15/24 @ 104 | 247,987 | ||||
| 136,000 | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | 131,240 | ||||
| 17,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(a) | 16,150 | ||||
| 430,000 | NRG Energy, Inc., 5.75%, 1/15/28, Callable 7/24/23 @ 102.88 | 407,425 | ||||
| 20,000 | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(a) | 16,300 | ||||
| 40,000 | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(a) | 31,100 | ||||
| 123,139 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | 122,062 | ||||
| 795,000 | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | 625,359 | ||||
| 1,370,000 | PG&E Corp., 5.00%, 7/1/28, Callable 7/18/23 @ 102.5 | 1,255,262 | ||||
| 311,000 | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63^ | 277,956 | ||||
| 605,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/18/23 @ 102.5(a) | 565,675 | ||||
|
|
|
| ||||
| 7,654,281 | ||||||
|
|
|
| ||||
| Electrical Equipment (0.1%): |
| |||||
| 55,000 | Artera Services LLC, 9.03%, 12/4/25, Callable 8/7/23 @ 104.52(a) | 47,850 | ||||
| 110,000 | GrafTech Global Enterprises, Inc., 9.88%, 12/15/28, Callable 12/15/25 @ 104.94(a) | 109,175 | ||||
| 665,000 | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(a) | 590,187 | ||||
| 310,000 | Vertiv Group Corp., 4.13%, 11/15/28, Callable 11/15/24 @ 102.06(a) | 278,225 | ||||
|
|
|
| ||||
| 1,025,437 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Electronic Equipment, Instruments & Components (0.0%†): |
| |||||
| $565,000 | II-VI, Inc., 5.00%, 12/15/29, Callable 12/14/24 @ 102.5^(a) | $ | 509,206 | |||
|
|
|
| ||||
| Energy Equipment & Services (0.0%†): |
| |||||
| 400,000 | Transocean, Inc., 11.50%, 1/30/27, Callable 7/30/23 @ 105.75(a) | 412,000 | ||||
| 170,000 | Transocean, Inc., 8.75%, 2/15/30, Callable 2/15/26 @ 104.38(a) | 172,125 | ||||
|
|
|
| ||||
| 584,125 | ||||||
|
|
|
| ||||
| Entertainment (0.0%† ): |
| |||||
| 255,000 | Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, 2/15/28, Callable 8/7/23 @ 113(a) | 130,050 | ||||
| 680,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 7/24/23 @ 102.69(a) | 22,950 | ||||
| 310,000 | ROBLOX Corp., 3.88%, 5/1/30, Callable 11/1/24 @ 101.94(a) | 260,400 | ||||
|
|
|
| ||||
| 413,400 | ||||||
|
|
|
| ||||
| Financial Services (0.8%): |
| |||||
| 585,000 | Acrisure LLC/Acrisure Finance, Inc., 6.00%, 8/1/29, Callable 8/1/24 @ 103(a) | 506,025 | ||||
| 70,000 | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(a) | 63,088 | ||||
| 2,052,000 | Blackstone Private Credit Fund, 4.70%, 3/24/25^ | 1,976,421 | ||||
| 888,000 | Blackstone Private Credit Fund, 7.05%, 9/29/25^ | 884,951 | ||||
| 570,000 | Clydesdale Acquisition Holdings, Inc., 6.63%, 4/15/29, Callable 4/15/25 @ 103.31(a) | 542,925 | ||||
| 120,000 | Cobra AcquisitionCo LLC, 6.38%, 11/1/29, Callable 11/1/24 @ 103.25(a) | 84,600 | ||||
| 242,000 | Corebridge Financial, Inc., 3.50%, 4/4/25, Callable 3/4/25 @ 100 | 230,285 | ||||
| 824,000 | Corebridge Financial, Inc., 3.65%, 4/5/27, Callable 3/5/27 @ 100 | 764,422 | ||||
| 339,000 | Corebridge Financial, Inc., 3.85%, 4/5/29, Callable 2/5/29 @ 100 | 304,828 | ||||
| 404,000 | Corebridge Financial, Inc., 3.90%, 4/5/32, Callable 1/5/32 @ 100 | 348,894 | ||||
| 92,000 | Corebridge Financial, Inc., 4.35%, 4/5/42, Callable 10/5/41 @ 100 | 73,716 | ||||
| 271,000 | Corebridge Financial, Inc., 4.40%, 4/5/52, Callable 10/5/51 @ 100 | 209,848 | ||||
| 968,000 | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | 934,438 | ||||
| 300,000 | GGAM Finance, Ltd., 7.75%, 5/15/26, Callable 11/15/25 @ 100(a) | 300,750 | ||||
| 505,000 | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(a) | 452,606 | ||||
| 240,000 | HUB International, Ltd., 7.25%, 6/15/30, Callable 6/15/26 @ 103.63(a) | 247,500 | ||||
| 358,000 | Jackson Financial, Inc., 5.17%, 6/8/27, Callable 5/8/27 @ 100^ | 338,224 | ||||
| 452,000 | Jackson Financial, Inc., 5.67%, 6/8/32, Callable 3/8/32 @ 100^ | 427,132 | ||||
| 70,000 | Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29, Callable 11/15/24 @ 102.25(a) | 60,200 | ||||
| 825,000 | Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 8/7/23 @ 102.13(a) | 532,125 | ||||
| 15,000 | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(a) | 8,962 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Financial Services, continued |
| |||||
| $35,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/1/30, Callable 2/1/25 @ 102.75(a) | $ | 28,875 | |||
| 205,000 | Neptune Bidco U.S., Inc., 9.29%, 4/15/29, Callable 10/15/25 @ 104.65(a) | 187,319 | ||||
| 130,000 | OI European Group BV, 4.75%, 2/15/30, Callable 11/15/24 @ 102.38(a) | 116,350 | ||||
| 500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 481,482 | ||||
| 2,296,000 | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | 2,108,543 | ||||
| 600,000 | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(a) | 520,500 | ||||
| 55,000 | Victors Merger Corp., 6.38%, 5/15/29, Callable 5/15/24 @ 103.19(a) | 37,125 | ||||
|
|
|
| ||||
| 12,772,134 | ||||||
|
|
|
| ||||
| Food Products (0.2%): |
| |||||
| 110,000 | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(a) | 84,425 | ||||
| 154,000 | JBS Finance Luxembourg Sarl, 3.63%, 1/15/32, Callable 1/15/27 @ 101.81(a) | 124,355 | ||||
| 180,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | 172,125 | ||||
| 1,375,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100(a) | 1,055,312 | ||||
| 650,000 | Pilgrim's Pride Corp., 4.25%, 4/15/31, Callable 4/15/26 @ 102.13 | 557,375 | ||||
| 500,000 | Post Holdings, Inc., 5.75%, 3/1/27, Callable 7/24/23 @ 101.92(a) | 487,500 | ||||
| 45,000 | Post Holdings, Inc., 5.63%, 1/15/28, Callable 7/24/23 @ 102.81(a) | 43,144 | ||||
| 69,000 | Post Holdings, Inc., 4.50%, 9/15/31, Callable 9/15/26 @ 102.25(a) | 58,909 | ||||
|
|
|
| ||||
| 2,583,145 | ||||||
|
|
|
| ||||
| Ground Transportation (0.1%): |
| |||||
| 1,050,000 | Uber Technologies, Inc., 4.50%, 8/15/29, Callable 8/15/24 @ 102.25(a) | 966,000 | ||||
|
|
|
| ||||
| Health Care Equipment & Supplies (0.0%†): |
| |||||
| 600,000 | Hologic, Inc., 4.63%, 2/1/28, Callable 8/7/23 @ 102.31(a) | 565,500 | ||||
|
|
|
| ||||
| Health Care Providers & Services (1.1%): |
| |||||
| 495,000 | 180 Medical, Inc., 3.88%, 10/15/29, Callable 10/7/24 @ 101.94(a) | 431,888 | ||||
| 140,000 | AHP Health Partners, Inc., 5.75%, 7/15/29, Callable 7/15/24 @ 102.88(a) | 120,750 | ||||
| 35,000 | Cano Health LLC, 6.25%, 10/1/28, Callable 10/1/24 @ 103.13(a) | 21,963 | ||||
| 3,765,000 | Centene Corp., 4.25%, 12/15/27, Callable 7/24/23 @ 102.13 | 3,525,922 | ||||
| 1,485,000 | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | 1,265,962 | ||||
| 410,000 | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | 377,200 | ||||
| 245,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 209,475 | ||||
| 610,000 | Centene Corp., 2.63%, 8/1/31, Callable 5/1/31 @ 100 | 485,712 | ||||
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Health Care Providers & Services, continued |
| |||||
| $255,000 | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(a) | $ | 223,763 | |||
| 255,000 | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103(a) | 214,519 | ||||
| 385,000 | CHS/Community Health Systems, Inc., 6.13%, 4/1/30, Callable 4/1/25 @ 103.06(a) | 231,000 | ||||
| 285,000 | CHS/Community Health Systems, Inc., 5.25%, 5/15/30, Callable 5/15/25 @ 102.63(a) | 224,437 | ||||
| 45,000 | CHS/Community Health Systems, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38(a) | 33,975 | ||||
| 4,341,000 | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | 4,192,907 | ||||
| 605,000 | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 8/7/23 @ 102(a) | 585,338 | ||||
| 343,000 | CVS Health Corp., 5.00%, 1/30/29, Callable 12/30/28 @ 100 | 339,691 | ||||
| 140,000 | CVS Health Corp., 5.25%, 1/30/31, Callable 11/30/30 @ 100 | 139,321 | ||||
| 495,000 | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 424,462 | ||||
| 55,000 | Garden Spinco Corp., 8.63%, 7/20/30, Callable 7/20/27 @ 102.16(a) | 59,263 | ||||
| 534,000 | HCA, Inc., 5.63%, 9/1/28, Callable 3/1/28 @ 100 | 534,000 | ||||
| 503,000 | HCA, Inc., 5.88%, 2/1/29, Callable 8/1/28 @ 100 | 504,257 | ||||
| 510,000 | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 446,888 | ||||
| 99,000 | HCA, Inc., 3.63%, 3/15/32, Callable 12/15/31 @ 100(a) | 85,880 | ||||
| 50,000 | HealthEquity, Inc., 4.50%, 10/1/29, Callable 10/1/24 @ 102.25(a) | 43,875 | ||||
| 314,000 | Humana, Inc., 3.70%, 3/23/29, Callable 2/23/29 @ 100 | 286,526 | ||||
| 400,000 | IQVIA, Inc., 5.00%, 10/15/26, Callable 8/7/23 @ 101.67(a) | 385,500 | ||||
| 40,000 | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | 34,200 | ||||
| 470,000 | Molina Healthcare, Inc., 3.88%, 5/15/32, Callable 2/15/32 @ 100(a) | 394,213 | ||||
| 25,000 | Owens & Minor, Inc., 4.50%, 3/31/29, Callable 3/31/24 @ 102.25(a) | 20,875 | ||||
| 127,000 | Surgery Center Holdings, Inc., 6.75%, 7/1/25, Callable 8/7/23 @ 100(a) | 126,365 | ||||
| 600,000 | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 7/24/23 @ 101.22 | 583,500 | ||||
| 590,000 | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 7/24/23 @ 101.56 | 582,625 | ||||
| 510,000 | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06 | 490,237 | ||||
| 295,000 | Tenet Healthcare Corp., 4.25%, 6/1/29, Callable 6/1/24 @ 102.13 | 265,500 | ||||
| 140,000 | Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19 | 126,000 | ||||
| 117,000 | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | 94,331 | ||||
| 35,000 | US Renal Care, Inc., 10.63%, 7/15/27, Callable 8/7/23 @ 102.66(a) | 8,750 | ||||
|
|
|
| ||||
| 18,121,070 | ||||||
|
|
|
| ||||
| Health Care REITs (0.4%): |
| |||||
| 66,000 | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | 60,315 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Health Care REITs, continued |
| |||||
| $63,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | $ | 53,655 | |||
| 535,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/7/23 @ 100.88^ | 474,144 | ||||
| 335,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27, Callable 8/7/23 @ 102.5 | 281,400 | ||||
| 360,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.50%, 3/15/31, Callable 3/15/26 @ 101.75 | 248,400 | ||||
| 114,000 | Omega Healthcare Investors, Inc., 4.38%, 8/1/23 | 113,406 | ||||
| 101,000 | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | 96,802 | ||||
| 1,278,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | 1,169,278 | ||||
| 2,482,000 | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | 2,037,059 | ||||
| 133,000 | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | 105,060 | ||||
| 1,214,000 | Sabra Health Care LP, 3.20%, 12/1/31, Callable 9/1/31 @ 100 | 905,088 | ||||
| 131,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | 120,822 | ||||
| 367,000 | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | 313,727 | ||||
| 1,430,000 | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | 1,355,248 | ||||
|
|
|
| ||||
| 7,334,404 | ||||||
|
|
|
| ||||
| Health Care Technology (0.0%†): |
| |||||
| 465,000 | Minerva Merger Sub, Inc., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(a) | 389,438 | ||||
|
|
|
| ||||
| Hotel & Resort REITs (0.0%†): |
| |||||
| 540,000 | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | 474,525 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.5%): |
| |||||
| 15,000 | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(a) | 13,200 | ||||
| 500,000 | Boyd Gaming Corp., 4.75%, 6/15/31, Callable 6/15/26 @ 102.38(a) | 446,250 | ||||
| 145,000 | Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31(a) | 126,512 | ||||
| 350,000 | Carnival Corp., 10.50%, 2/1/26, Callable 8/7/23 @ 105.25(a) | 367,920 | ||||
| 565,000 | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91^(a) | 552,288 | ||||
| 245,000 | Carnival Corp., 10.50%, 6/1/30, Callable 6/1/25 @ 105.25^(a) | 259,700 | ||||
| 125,000 | Carrols Restaurant Group, Inc., 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(a) | 102,344 | ||||
| 550,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 8/7/23 @ 104.06(a) | 561,687 | ||||
| 160,000 | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 1/15/30, Callable 1/15/25 @ 103.38(a) | 135,600 | ||||
| 530,000 | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 8/7/23 @ 101.91(a) | 531,325 | ||||
| 500,000 | Hilton Domestic Operating Co., Inc., 4.00%, 5/1/31, Callable 5/1/26 @ 102(a) | 433,125 | ||||
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Hotels, Restaurants & Leisure, continued |
| |||||
| $40,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.00%, 6/1/29, Callable 6/1/24 @ 102.5(a) | $ | 35,500 | |||
| 75,000 | Jacobs Entertainment, Inc., 6.75%, 2/15/29, Callable 2/15/25 @ 103.38(a) | 66,188 | ||||
| 45,000 | Life Time, Inc., 5.75%, 1/15/26, Callable 8/7/23 @ 102.88(a) | 43,763 | ||||
| 40,000 | Marriott Ownership Resorts, Inc., 4.50%, 6/15/29, Callable 6/15/24 @ 102.25(a) | 34,500 | ||||
| 900,000 | NCL Corp., Ltd., 5.88%, 3/15/26, Callable 12/15/25 @ 100(a) | 843,750 | ||||
| 170,000 | NCL Corp., Ltd., 5.88%, 2/15/27, Callable 2/15/24 @ 102.94(a) | 165,307 | ||||
| 20,000 | NCL Finance, Ltd., 6.13%, 3/15/28, Callable 12/15/27 @ 100(a) | 18,100 | ||||
| 202,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 7/18/23 @ 105.75(a) | 214,120 | ||||
| 310,000 | Royal Caribbean Cruises, Ltd., 5.50%, 8/31/26, Callable 2/28/26 @ 100(a) | 293,725 | ||||
| 115,000 | Royal Caribbean Cruises, Ltd., 5.38%, 7/15/27, Callable 10/15/26 @ 100(a) | 107,525 | ||||
| 95,000 | Royal Caribbean Cruises, Ltd., 7.25%, 1/15/30, Callable 12/15/25 @ 103.63(a) | 96,187 | ||||
| 510,000 | Station Casinos LLC, 4.50%, 2/15/28, Callable 8/7/23 @ 102.25(a) | 457,087 | ||||
| 255,000 | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 7/11/23 @ 104.88(a) | 267,801 | ||||
| 240,000 | Viking Cruises, Ltd., 9.13%, 7/15/31, Callable 7/15/26 @ 104.56^(a) | 241,500 | ||||
| 255,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | 250,856 | ||||
| 390,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/27, Callable 2/15/27 @ 100(a) | 369,525 | ||||
| 105,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.13%, 2/15/31, Callable 11/15/30 @ 100^(a) | 104,475 | ||||
| 700,000 | Yum! Brands, Inc., 3.63%, 3/15/31, Callable 12/15/30 @ 100 | 603,750 | ||||
|
|
|
| ||||
| 7,743,610 | ||||||
|
|
|
| ||||
| Household Durables (0.1%): |
| |||||
| 65,000 | Ambience Merger Sub, Inc., 4.88%, 7/15/28, Callable 8/7/23 @ 102.44(a) | 34,125 | ||||
| 70,000 | Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 4/1/30, Callable 4/1/25 @ 102.31(a) | 58,800 | ||||
| 150,000 | Century Communities, Inc., 3.88%, 8/15/29, Callable 2/15/29 @ 100(a) | 129,750 | ||||
| 295,000 | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(a) | 243,375 | ||||
| 290,000 | Newell Brands, Inc., 5.38%, 4/1/36, Callable 10/1/35 @ 100 | 240,700 | ||||
| 90,000 | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 4/30/27, Callable 10/15/23 @ 102.38(a) | 79,313 | ||||
| 15,000 | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(a) | 11,906 | ||||
| 130,000 | Tempur Sealy International, Inc., 3.88%, 10/15/31, Callable 10/15/26 @ 101.94(a) | 104,650 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Household Durables, continued |
| |||||
| $265,000 | TopBuild Corp., 4.13%, 2/15/32, Callable 10/15/26 @ 102.06(a) | $ | 225,581 | |||
|
|
|
| ||||
| 1,128,200 | ||||||
|
|
|
| ||||
| Household Products (0.0%†): |
| |||||
| 55,000 | Central Garden & Pet Co., 4.13%, 4/30/31, Callable 4/30/26 @ 102.06(a) | 45,306 | ||||
|
|
|
| ||||
| Independent Power and Renewable Electricity Producers (0.2%): |
| |||||
| 1,457,000 | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | 1,373,279 | ||||
| 1,412,000 | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | 1,268,600 | ||||
| 218,000 | AES Corp. (The), 2.45%, 1/15/31, Callable 10/15/30 @ 100 | 175,129 | ||||
| 30,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 7/18/23 @ 103.56(a) | 27,675 | ||||
| 35,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(a) | 31,763 | ||||
| 85,000 | Sunnova Energy Corp., 5.88%, 9/1/26, Callable 9/1/23 @ 102.94(a) | 77,669 | ||||
| 15,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | 13,838 | ||||
| 49,137 | Topaz Solar Farms LLC, 5.75%, 9/30/39(a) | 47,540 | ||||
|
|
|
| ||||
| 3,015,493 | ||||||
|
|
|
| ||||
| Industrial Conglomerates (0.1%): |
| |||||
| 1,400,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | 1,200,500 | ||||
|
|
|
| ||||
| Industrial REITs (0.0%†): |
| |||||
| 735,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 717,378 | ||||
|
|
|
| ||||
| Insurance (0.3%): |
| |||||
| 400,000 | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | 376,805 | ||||
| 40,000 | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(a) | 34,600 | ||||
| 70,000 | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(a) | 60,900 | ||||
| 2,771,000 | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | 2,351,836 | ||||
| 115,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 7/18/23 @ 100(a) | 114,425 | ||||
| 436,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 399,813 | ||||
| 185,000 | Ryan Specialty Group LLC, 4.38%, 2/1/30, Callable 2/1/25 @ 102.19(a) | 163,031 | ||||
| 227,000 | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | 208,424 | ||||
| 1,000,000 | Unum Group, 5.75%, 8/15/42 | 917,945 | ||||
| 685,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/7/23 @ 100(a) | 679,863 | ||||
|
|
|
| ||||
| 5,307,642 | ||||||
|
|
|
| ||||
| Interactive Media & Services (0.0%†): |
| |||||
| 190,000 | Match Group Holdings II LLC, 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(a) | 155,325 | ||||
| 25,000 | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a) | 21,344 | ||||
|
|
|
| ||||
| 176,669 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| IT Services (0.0%†): |
| |||||
| $25,000 | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(a) | $ | 21,562 | |||
| 10,000 | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(a) | 8,550 | ||||
| 15,000 | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(a) | 13,369 | ||||
| 500,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 8/7/23 @ 102.25(a) | 466,250 | ||||
| 45,000 | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | 39,150 | ||||
| 35,000 | Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | 29,794 | ||||
| 35,000 | Twilio, Inc., 3.88%, 3/15/31, Callable 3/15/26 @ 101.94 | 29,181 | ||||
|
|
|
| ||||
| 607,856 | ||||||
|
|
|
| ||||
| Leisure Products (0.0%†): |
| |||||
| 202,000 | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | 194,062 | ||||
| 5,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 8/7/23 @ 104.41(a) | 4,894 | ||||
| 170,000 | Mattel, Inc., 6.20%, 10/1/40 | 151,088 | ||||
|
|
|
| ||||
| 350,044 | ||||||
|
|
|
| ||||
| Life Sciences Tools & Services (0.0%†): |
| |||||
| 15,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 7/24/23 @ 102.13(a) | 13,687 | ||||
| 30,000 | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(a) | 26,288 | ||||
| 85,000 | Toledo Hospital (The), 6.02%, 11/15/48 | 59,500 | ||||
|
|
|
| ||||
| 99,475 | ||||||
|
|
|
| ||||
| Machinery (0.1%): |
| |||||
| 55,000 | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(a) | 44,688 | ||||
| 170,000 | ITT Holdings LLC, 6.50%, 8/1/29, Callable 8/1/24 @ 103.25(a) | 142,800 | ||||
| 230,000 | Madison IAQ LLC, 4.13%, 6/30/28, Callable 6/30/24 @ 102.06(a) | 202,400 | ||||
| 650,000 | Madison IAQ LLC, 5.88%, 6/30/29, Callable 6/30/24 @ 102.94(a) | 523,250 | ||||
| 45,000 | Mueller Water Products, Inc., 4.00%, 6/15/29, Callable 6/15/24 @ 102(a) | 39,937 | ||||
|
|
|
| ||||
| 953,075 | ||||||
|
|
|
| ||||
| Media (1.0%): |
| |||||
| 300,000 | Advantage Sales & Marketing, Inc., 6.50%, 11/15/28, Callable 11/15/23 @ 103.25(a) | 253,875 | ||||
| 25,000 | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(a) | 20,437 | ||||
| 20,000 | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(a) | 16,675 | ||||
| 1,250,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(a) | 1,062,500 | ||||
| 880,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | 731,500 | ||||
| 390,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25 | 310,050 | ||||
| 270,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 6/1/33, Callable 6/1/27 @ 102.25(a) | 211,275 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Media, continued |
| |||||
| $1,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25, Callable 4/23/25 @ 100 | $ | 1,469,667 | |||
| 813,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 | 710,209 | ||||
| 1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, 5/1/47, Callable 11/1/46 @ 100 | 826,594 | ||||
| 1,064,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.25%, 4/1/53, Callable 10/1/52 @ 100 | 858,916 | ||||
| 1,064,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.50%, 4/1/63, Callable 10/1/62 @ 100 | 849,031 | ||||
| 345,000 | Clear Channel Outdoor Holdings, Inc., 5.13%, 8/15/27, Callable 8/7/23 @ 102.56(a) | 309,637 | ||||
| 845,000 | CSC Holdings LLC, 4.63%, 12/1/30, Callable 12/1/25 @ 102.31(a) | 376,025 | ||||
| 2,346,000 | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | 2,051,849 | ||||
| 392,000 | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | 297,440 | ||||
| 605,000 | DISH DBS Corp., 7.75%, 7/1/26 | 373,587 | ||||
| 790,000 | DISH Network Corp., 11.75%, 11/15/27, Callable 5/15/25 @ 105.88(a) | 770,250 | ||||
| 1,094,000 | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 1,061,821 | ||||
| 93,000 | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | 86,595 | ||||
| 140,000 | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38^(a) | 93,800 | ||||
| 145,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 103.25(a) | 83,737 | ||||
| 1,400,000 | Sirius XM Radio, Inc., 3.88%, 9/1/31, Callable 9/1/26 @ 101.94(a) | 1,081,500 | ||||
| 350,000 | TEGNA, Inc., 4.75%, 3/15/26, Callable 8/7/23 @ 102.38(a) | 333,375 | ||||
| 250,000 | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 7/18/23 @ 104.44(a) | 177,500 | ||||
| 69,000 | Time Warner Cable LLC, 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 57,005 | ||||
| 1,620,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 1,543,944 | ||||
| 280,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | 284,630 | ||||
| 435,000 | Univision Communications, Inc., 6.63%, 6/1/27, Callable 7/18/23 @ 103.31(a) | 420,863 | ||||
| 245,000 | Univision Communications, Inc., 4.50%, 5/1/29, Callable 5/1/24 @ 102.25(a) | 210,088 | ||||
|
|
|
| ||||
| 16,934,375 | ||||||
|
|
|
| ||||
| Metals & Mining (0.1%): |
| |||||
| 45,000 | Alcoa Nederland Holding BV, 4.13%, 3/31/29, Callable 3/31/24 @ 102.06(a) | 40,140 | ||||
| 400,000 | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 8/7/23 @ 102.94 | 387,000 | ||||
| 60,000 | Allegheny Technologies, Inc., 4.88%, 10/1/29, Callable 10/1/24 @ 102.44 | 54,011 | ||||
| 45,000 | Allegheny Technologies, Inc., 5.13%, 10/1/31, Callable 10/1/26 @ 102.56 | 40,163 | ||||
| 45,000 | Cleveland-Cliffs, Inc., 4.63%, 3/1/29, Callable 3/1/24 @ 102.31(a) | 40,500 | ||||
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Metals & Mining, continued |
| |||||
| $45,000 | Cleveland-Cliffs, Inc., 4.88%, 3/1/31, Callable 3/1/26 @ 102.44^(a) | $ | 39,375 | |||
| 60,000 | Commercial Metals Co., 4.13%, 1/15/30, Callable 1/15/25 @ 102.06 | 53,550 | ||||
| 60,000 | Commercial Metals Co., 4.38%, 3/15/32, Callable 3/15/27 @ 102.19 | 51,900 | ||||
| 200,000 | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 8/7/23 @ 102.31(a) | 174,750 | ||||
| 195,000 | Mauser Packaging Solutions Holding Co., 7.88%, 8/15/26, Callable 8/15/24 @ 103.94(a) | 192,806 | ||||
| 125,000 | Novelis Corp., 3.88%, 8/15/31, Callable 8/15/26 @ 101.94(a) | 102,656 | ||||
|
|
|
| ||||
| 1,176,851 | ||||||
|
|
|
| ||||
| Mortgage Real Estate Investment Trusts (REITs) (0.0%†): |
| |||||
| 40,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(a) | 32,550 | ||||
| 45,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | 42,581 | ||||
|
|
|
| ||||
| 75,131 | ||||||
|
|
|
| ||||
| Multi-Utilities (0.2%): |
| |||||
| 1,100,000 | NiSource, Inc., 2.95%, 9/1/29, Callable 6/1/29 @ 100 | 961,889 | ||||
| 1,000,000 | NiSource, Inc., 5.25%, 2/15/43, Callable 8/15/42 @ 100 | 956,292 | ||||
| 140,000 | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | 127,229 | ||||
| 714,000 | Puget Energy, Inc., 4.22%, 3/15/32, Callable 12/15/31 @ 100 | 639,594 | ||||
|
|
|
| ||||
| 2,685,004 | ||||||
|
|
|
| ||||
| Office REITs (0.0%†): |
| |||||
| 68,000 | Corporate Office Properties LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | 59,491 | ||||
| 93,000 | Corporate Office Properties LP, 2.75%, 4/15/31, Callable 1/15/31 @ 100 | 69,067 | ||||
| 400,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | 283,500 | ||||
| 189,000 | Piedmont Operating Partnership LP, 2.75%, 4/1/32, Callable 1/1/32 @ 100 | 127,067 | ||||
| 72,000 | Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | 60,788 | ||||
|
|
|
| ||||
| 599,913 | ||||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (2.0%): |
| |||||
| 45,000 | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | 36,562 | ||||
| 10,000 | Apache Corp., 7.38%, 8/15/47 | 9,625 | ||||
| 95,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.75%, 7/15/28, Callable 7/15/25 @ 104.88(a) | 93,338 | ||||
| 145,000 | Cheniere Energy Partners LP, 4.00%, 3/1/31, Callable 3/1/26 @ 102 | 127,411 | ||||
| 440,000 | Cheniere Energy Partners, LP, 3.25%, 1/31/32, Callable 1/31/27 @ 101.63 | 361,680 | ||||
| 247,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | 245,311 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Oil, Gas & Consumable Fuels, continued |
| |||||
| $300,000 | CITGO Petroleum Corp., 6.38%, 6/15/26, Callable 8/7/23 @ 103.19(a) | $ | 288,750 | |||
| 50,000 | Cnx Midstream Partners LP, 4.75%, 4/15/30, Callable 4/15/25 @ 102.38(a) | 42,125 | ||||
| 20,000 | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(a) | 18,500 | ||||
| 65,000 | Colgate Energy Partners III LLC, 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(a) | 60,775 | ||||
| 305,000 | Comstock Resources, Inc., 6.75%, 3/1/29, Callable 3/1/24 @ 103.38(a) | 279,075 | ||||
| 25,000 | Comstock Resources, Inc., 5.88%, 1/15/30, Callable 1/15/25 @ 102.94(a) | 21,625 | ||||
| 485,000 | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(a) | 460,750 | ||||
| 42,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 8/7/23 @ 100 | 41,370 | ||||
| 795,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.00%, 2/1/29, Callable 2/1/24 @ 103(a) | 742,331 | ||||
| 140,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 7.38%, 2/1/31, Callable 2/1/26 @ 103.69(a) | 138,075 | ||||
| 605,000 | CVR Energy, Inc., 5.25%, 2/15/25, Callable 7/24/23 @ 101.31(a) | 580,800 | ||||
| 20,000 | CVR Energy, Inc., 5.75%, 2/15/28, Callable 7/24/23 @ 102.88(a) | 17,600 | ||||
| 230,000 | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | 227,412 | ||||
| 2,905,000 | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | 2,901,369 | ||||
| 321,000 | DCP Midstream Operating LP, 5.13%, 5/15/29, Callable 2/15/29 @ 100 | 313,777 | ||||
| 25,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.13%, 6/1/28, Callable 6/1/24 @ 103.56(a) | 23,125 | ||||
| 26,000 | Devon Energy Corp., 5.25%, 10/15/27, Callable 7/18/23 @ 102.63 | 25,599 | ||||
| 40,000 | DT Midstream, Inc., 4.13%, 6/15/29, Callable 6/15/24 @ 102.06(a) | 35,000 | ||||
| 124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 121,360 | ||||
| 300,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 8/7/23 @ 102.88(a) | 292,500 | ||||
| 2,229,000 | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 2,161,461 | ||||
| 106,000 | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | 103,064 | ||||
| 109,000 | Energy Transfer LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | 98,292 | ||||
| 73,000 | Energy Transfer LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 70,893 | ||||
| 1,908,000 | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 1,610,232 | ||||
| 65,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 64,195 | ||||
| 67,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | 66,793 | ||||
| 128,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 121,565 | ||||
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Oil, Gas & Consumable Fuels, continued |
| |||||
| $83,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | $ | 78,193 | |||
| 350,000 | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(a) | 339,063 | ||||
| 400,000 | EQM Midstream Partners LP, 7.50%, 6/1/27, Callable 6/1/24 @ 103.75(a) | 403,000 | ||||
| 50,000 | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a) | 49,125 | ||||
| 45,000 | EQM Midstream Partners LP, 4.50%, 1/15/29, Callable 7/15/28 @ 100(a) | 40,050 | ||||
| 30,000 | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | 28,163 | ||||
| 650,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | 622,854 | ||||
| 71,000 | Hess Corp., 7.30%, 8/15/31 | 77,406 | ||||
| 50,000 | Hess Corp., 7.13%, 3/15/33 | 54,280 | ||||
| 2,002,000 | Hess Corp., 5.60%, 2/15/41 | 1,894,401 | ||||
| 1,166,000 | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | 1,128,098 | ||||
| 405,000 | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 8/7/23 @ 101.41(a) | 398,419 | ||||
| 80,000 | Hess Midstream Operations LP, 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 69,600 | ||||
| 110,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.38%, 4/15/27, Callable 4/15/24 @ 103.19(a) | 108,900 | ||||
| 125,000 | Kinetik Holdings LP, 5.88%, 6/15/30, Callable 6/15/25 @ 102.94(a) | 115,766 | ||||
| 125,000 | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29, Callable 7/1/24 @ 102.13(a) | 111,094 | ||||
| 159,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 156,646 | ||||
| 722,000 | MPLX LP, 4.95%, 9/1/32, Callable 6/1/32 @ 100 | 690,514 | ||||
| 390,000 | Murphy Oil Corp., 5.88%, 12/1/27, Callable 7/24/23 @ 102.94 | 378,300 | ||||
| 400,000 | New Fortress Energy, Inc., 6.75%, 9/15/25, Callable 7/28/23 @ 103.38(a) | 373,000 | ||||
| 250,000 | New Fortress Energy, Inc., 6.50%, 9/30/26, Callable 8/7/23 @ 103.25(a) | 223,438 | ||||
| 375,000 | NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 2/1/26, Callable 8/7/23 @ 103.75(a) | 369,375 | ||||
| 1,506,000 | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | 1,485,293 | ||||
| 310,000 | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | 266,212 | ||||
| 255,000 | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | 292,612 | ||||
| 1,464,000 | Occidental Petroleum Corp., 7.50%, 5/1/31 | 1,597,590 | ||||
| 16,000 | Occidental Petroleum Corp., 7.88%, 9/15/31 | 17,820 | ||||
| 78,000 | Occidental Petroleum Corp., 6.45%, 9/15/36 | 80,145 | ||||
| 30,000 | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | 23,250 | ||||
| 25,000 | Occidental Petroleum Corp., 6.20%, 3/15/40 | 24,625 | ||||
| 410,000 | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | 420,762 | ||||
| 295,000 | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | 230,469 | ||||
| 430,000 | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | 307,450 | ||||
| 55,000 | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | 40,769 | ||||
| 65,000 | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | 47,775 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Oil, Gas & Consumable Fuels, continued |
| |||||
| $280,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28, Callable 8/7/23 @ 103 | $ | 261,800 | |||
| 20,000 | PDC Energy, Inc., 5.75%, 5/15/26, Callable 8/7/23 @ 101.44 | 19,900 | ||||
| 26,000 | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | 25,227 | ||||
| 1,172,000 | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | 1,133,263 | ||||
| 270,000 | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100 | 264,600 | ||||
| 335,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | 316,994 | ||||
| 278,000 | Sanchez Energy Corp., 7.25%, 2/15/23(a)(c) | — | ||||
| 10,000 | SM Energy Co., 5.63%, 6/1/25, Callable 8/7/23 @ 100 | 9,725 | ||||
| 50,000 | SM Energy Co., 6.75%, 9/15/26, Callable 8/7/23 @ 102.25 | 48,625 | ||||
| 300,000 | SM Energy Co., 6.50%, 7/15/28, Callable 7/15/24 @ 103.25 | 286,500 | ||||
| 130,000 | Southwestern Energy Co., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38 | 113,750 | ||||
| 5,000 | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 8/7/23 @ 102 | 4,912 | ||||
| 242,000 | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 8/7/23 @ 102.94 | 232,720 | ||||
| 430,000 | Sunoco LP/Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25 | 378,400 | ||||
| 350,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(a) | 306,250 | ||||
| 25,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | 23,938 | ||||
| 445,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44 | 409,956 | ||||
| 45,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102 | 38,756 | ||||
| 43,000 | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100 | 38,099 | ||||
| 40,000 | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | 38,350 | ||||
| 137,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 132,034 | ||||
| 1,000,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | 945,000 | ||||
| 66,000 | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | 62,617 | ||||
| 1,000,000 | Western Midstream Operating LP, 3.35%, 2/1/25, Callable 1/1/25 @ 100 | 953,750 | ||||
| 525,000 | Western Midstream Operating LP, 4.30%, 2/1/30, Callable 11/1/29 @ 100 | 471,844 | ||||
| 755,000 | Williams Cos., Inc. (The), 4.65%, 8/15/32, Callable 5/15/32 @ 100 | 712,522 | ||||
| 171,000 | Williams Cos., Inc. (The), 5.30%, 8/15/52, Callable 2/15/52 @ 100 | 157,909 | ||||
| 162,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | 161,186 | ||||
|
|
|
| ||||
| 31,895,424 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Paper & Forest Products (0.0%†): |
| |||||
| $100,000 | Glatfelter Corp., 4.75%, 11/15/29, Callable 11/1/24 @ 102.38(a) | $ | 65,375 | |||
| 45,000 | Mercer International, Inc., 5.13%, 2/1/29, Callable 2/1/24 @ 102.56 | 34,819 | ||||
|
|
|
| ||||
| 100,194 | ||||||
|
|
|
| ||||
| Passenger Airlines (0.0%†): |
| |||||
| 80,000 | American Airlines, Inc., 7.25%, 2/15/28, Callable 2/15/25 @ 103.63(a) | 79,200 | ||||
|
|
|
| ||||
| Personal Care Products (0.0%†): |
| |||||
| 125,000 | BellRing Brands, Inc., 7.00%, 3/15/30, Callable 3/15/27 @ 101.75(a) | 125,781 | ||||
|
|
|
| ||||
| Pharmaceuticals (0.2%): |
| |||||
| 97,000 | Bausch Health Cos., Inc., 11.00%, 9/30/28(a) | 68,385 | ||||
| 19,000 | Bausch Health Cos., Inc., 14.00%, 10/15/30, Callable 10/15/25 @ 106(a) | 11,305 | ||||
| 1,000,000 | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a) | 962,511 | ||||
| 55,000 | Catalent Pharma Solutions, Inc., 3.13%, 2/15/29, Callable 2/15/24 @ 101.56(a) | 44,550 | ||||
| 115,000 | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75^(a) | 93,437 | ||||
| 180,000 | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 8/7/23 @ 100 | 179,348 | ||||
| 76,000 | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100^ | 73,910 | ||||
| 30,000 | Jazz Securities DAC, 4.38%, 1/15/29, Callable 7/15/24 @ 102.19(a) | 26,775 | ||||
| 315,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, 4/30/28, Callable 4/30/24 @ 102.06(a) | 279,563 | ||||
| 40,000 | Viatris, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100 | 36,832 | ||||
| 1,406,000 | Viatris, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100 | 1,136,059 | ||||
| 90,000 | Viatris, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100 | 62,211 | ||||
|
|
|
| ||||
| 2,974,886 | ||||||
|
|
|
| ||||
| Professional Services (0.1%): |
| |||||
| 140,000 | Asgn, Inc., 4.63%, 5/15/28, Callable 8/7/23 @ 102.31(a) | 126,875 | ||||
| 600,000 | Black Knight InfoServ LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a) | 537,000 | ||||
| 40,000 | Block, Inc., 2.75%, 6/1/26, Callable 5/1/26 @ 100 | 36,200 | ||||
| 40,000 | Block, Inc., 3.50%, 6/1/31, Callable 3/1/31 @ 100 | 33,074 | ||||
| 335,000 | CoreLogic, Inc., 4.50%, 5/1/28, Callable 5/1/24 @ 102.25^(a) | 270,094 | ||||
| 400,000 | SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 8/7/23 @ 102.75(a) | 383,000 | ||||
|
|
|
| ||||
| 1,386,243 | ||||||
|
|
|
| ||||
| Real Estate Management & Development (0.2%): |
| |||||
| 210,000 | CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | 167,508 | ||||
| 68,000 | Corporate Office Properties LP, 2.00%, 1/15/29, Callable 11/15/28 @ 100 | 51,401 | ||||
| 550,000 | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32, Callable 1/15/32 @ 100^ | 490,207 | ||||
| 175,000 | Kennedy-Wilson, Inc., 4.75%, 2/1/30, Callable 9/1/24 @ 102.38 | 131,688 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Real Estate Management & Development, continued |
| |||||
| $145,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/29, Callable 1/15/24 @ 102.88(a) | $ | 108,750 | |||
| 725,000 | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 8/7/23 @ 102.63(a) | 667,906 | ||||
| 1,082,000 | VICI Properties LP, 4.95%, 2/15/30, Callable 12/15/29 @ 100 | 1,010,318 | ||||
| 25,000 | VICI Properties LP/VICI Note Co., Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | 24,156 | ||||
|
|
|
| ||||
| 2,651,934 | ||||||
|
|
|
| ||||
| Residential REITs (0.0%†): |
| |||||
| 371,000 | American Homes 4 Rent LP, 3.63%, 4/15/32, Callable 1/15/32 @ 100 | 319,891 | ||||
| 212,000 | Sun Communities Operating LP, 2.30%, 11/1/28, Callable 9/1/28 @ 100 | 178,124 | ||||
| 272,000 | Sun Communities Operating LP, 2.70%, 7/15/31, Callable 4/15/31 @ 100 | 213,960 | ||||
|
|
|
| ||||
| 711,975 | ||||||
|
|
|
| ||||
| Retail REITs (0.3%): |
| |||||
| 536,000 | Boston Properties LP, 6.75%, 12/1/27, Callable 11/1/27 @ 100 | 540,639 | ||||
| 355,000 | Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100 | 339,124 | ||||
| 15,000 | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | 13,502 | ||||
| 2,200,000 | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | 1,939,192 | ||||
| 581,000 | Tanger Properties LP, 2.75%, 9/1/31, Callable 6/1/31 @ 100 | 416,773 | ||||
| 60,000 | Vici Properties, 3.50%, 2/15/25, Callable 8/7/23 @ 100.88(a) | 57,075 | ||||
| 731,000 | VICI Properties LP, 4.75%, 2/15/28, Callable 1/15/28 @ 100 | 689,881 | ||||
| 249,000 | VICI Properties LP, 5.13%, 5/15/32, Callable 2/15/32 @ 100 | 232,192 | ||||
|
|
|
| ||||
| 4,228,378 | ||||||
|
|
|
| ||||
| Semiconductors & Semiconductor Equipment (0.4%): |
| |||||
| 65,000 | Broadcom, Inc., 1.95%, 2/15/28, Callable 12/15/27 @ 100(a) | 55,922 | ||||
| 4,456,000 | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(a) | 3,603,144 | ||||
| 564,000 | Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100(a) | 439,420 | ||||
| 1,648,000 | Broadcom, Inc., 3.50%, 2/15/41, Callable 8/15/40 @ 100(a) | 1,226,830 | ||||
| 210,000 | Broadcom, Inc., 3.75%, 2/15/51, Callable 8/15/50 @ 100(a) | 154,278 | ||||
| 310,000 | Entegris, Inc., 4.38%, 4/15/28, Callable 7/18/23 @ 102.19(a) | 281,325 | ||||
| 50,000 | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | 45,500 | ||||
| 285,000 | Qorvo, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19 | 256,500 | ||||
|
|
|
| ||||
| 6,062,919 | ||||||
|
|
|
| ||||
| Software (0.4%): |
| |||||
| 40,000 | Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(a) | 30,550 | ||||
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Software, continued |
| |||||
| $35,000 | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 8/7/23 @ 101.78(a) | $ | 34,825 | |||
| 25,000 | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(a) | 22,062 | ||||
| 625,000 | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44^(a) | 552,344 | ||||
| 65,000 | Elastic NV, 4.13%, 7/15/29, Callable 7/15/24 @ 102.06(a) | 56,062 | ||||
| 150,000 | Fair Isaac Corp., 4.00%, 6/15/28, Callable 7/24/23 @ 102(a) | 136,125 | ||||
| 253,000 | Oracle Corp., 1.65%, 3/25/26, Callable 2/25/26 @ 100 | 229,609 | ||||
| 2,200,000 | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | 2,021,444 | ||||
| 400,000 | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | 352,927 | ||||
| 2,990,000 | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | 2,545,964 | ||||
|
|
|
| ||||
| 5,981,912 | ||||||
|
|
|
| ||||
| Specialized REITs (0.1%): |
| |||||
| 297,000 | SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100(a) | 279,997 | ||||
| 97,000 | SBA Tower Trust, 1.88%, 7/15/50, Callable 1/15/25 @ 100(a) | 87,076 | ||||
| 74,000 | SBA Tower Trust, 2.33%, 7/15/52, Callable 7/15/26 @ 100(a) | 63,571 | ||||
| 355,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30, Callable 1/15/25 @ 103(a) | 239,625 | ||||
| 335,000 | Vici Properties, 4.25%, 12/1/26, Callable 8/7/23 @ 102.13(a) | 312,806 | ||||
| 93,000 | VICI Properties LP, 4.38%, 5/15/25 | 89,396 | ||||
|
|
|
| ||||
| 1,072,471 | ||||||
|
|
|
| ||||
| Specialty Retail (0.3%): |
| |||||
| 80,000 | Asbury Automotive Group, Inc., 4.63%, 11/15/29, Callable 11/15/24 @ 102.31(a) | 71,000 | ||||
| 85,000 | Asbury Automotive Group, Inc., 5.00%, 2/15/32, Callable 11/15/26 @ 102.5(a) | 73,844 | ||||
| 32,000 | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | 29,747 | ||||
| 49,000 | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | 47,281 | ||||
| 1,229,000 | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | 1,140,127 | ||||
| 150,000 | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41(a) | 87,000 | ||||
| 430,000 | Carvana Co., 4.88%, 9/1/29, Callable 9/1/24 @ 102.44(a) | 240,800 | ||||
| 125,000 | Carvana Co., 10.25%, 5/1/30, Callable 5/1/27 @ 105.13(a) | 96,250 | ||||
| 275,000 | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 4.63%, 1/15/29, Callable 1/15/25 @ 102.31(a) | 241,312 | ||||
| 65,000 | Foot Locker, Inc., 4.00%, 10/1/29, Callable 10/1/24 @ 102(a) | 48,913 | ||||
| 125,000 | Gap, Inc. (The), 3.88%, 10/1/31, Callable 10/1/26 @ 101.94(a) | 85,313 | ||||
| 565,000 | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(a) | 542,400 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Specialty Retail, continued |
| |||||
| $80,000 | Lowe's Cos., Inc., 3.35%, 4/1/27, Callable 3/1/27 @ 100 | $ | 75,571 | |||
| 1,003,000 | Lowe's Cos., Inc., 4.25%, 4/1/52, Callable 10/1/51 @ 100 | 816,087 | ||||
| 1,138,000 | Lowe's Cos., Inc., 4.45%, 4/1/62, Callable 10/1/61 @ 100 | 915,582 | ||||
| 340,000 | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63(a) | 272,850 | ||||
| 20,000 | Party City Holdings, Inc., 8.75%, 2/15/26, Callable 8/15/23 @ 104.38(a) | 2,650 | ||||
| 15,000 | Rent-A-Center, Inc., 6.38%, 2/15/29, Callable 2/15/24 @ 103.19(a) | 13,312 | ||||
| 350,000 | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(a) | 283,938 | ||||
| 85,000 | Victoria's Secret & Co., 4.63%, 7/15/29, Callable 7/15/24 @ 102.31(a) | 62,050 | ||||
|
|
|
| ||||
| 5,146,027 | ||||||
|
|
|
| ||||
| Technology Hardware, Storage & Peripherals (0.0%†): |
| |||||
| 55,000 | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100 | 55,128 | ||||
| 83,000 | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100 | 84,165 | ||||
| 101,000 | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100 | 103,479 | ||||
| 87,000 | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100 | 89,924 | ||||
| 115,000 | Seagate HDD Cayman, 8.25%, 12/15/29, Callable 7/15/26 @ 104.13(a) | 119,600 | ||||
|
|
|
| ||||
| 452,296 | ||||||
|
|
|
| ||||
| Textiles, Apparel & Luxury Goods (0.0%†): |
| |||||
| 130,000 | Crocs, Inc., 4.13%, 8/15/31, Callable 8/15/26 @ 102.06(a) | 104,650 | ||||
| 40,000 | Kontoor Brands, Inc., 4.13%, 11/15/29, Callable 11/15/24 @ 102.06(a) | 33,400 | ||||
| 45,000 | Levi Strauss & Co., 3.50%, 3/1/31, Callable 3/1/26 @ 101.75^(a) | 37,237 | ||||
| 235,000 | Wolverine World Wide, Inc., 4.00%, 8/15/29, Callable 8/15/24 @ 102(a) | 187,119 | ||||
|
|
|
| ||||
| 362,406 | ||||||
|
|
|
| ||||
| Tobacco (0.1%): |
| |||||
| 294,000 | Altria Group, Inc., 4.25%, 8/9/42 | 228,096 | ||||
| 191,000 | Altria Group, Inc., 4.50%, 5/2/43 | 151,501 | ||||
| 175,000 | Altria Group, Inc., 5.38%, 1/31/44 | 162,307 | ||||
| 72,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | 68,050 | ||||
| 232,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 225,611 | ||||
| 120,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | 112,530 | ||||
| 45,000 | Turning Point Brands, Inc., 5.63%, 2/15/26, Callable 7/18/23 @ 102.81(a) | 40,894 | ||||
|
|
|
| ||||
| 988,989 | ||||||
|
|
|
| ||||
| Trading Companies & Distributors (0.2%): |
| |||||
| 295,000 | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | 291,743 | ||||
| 2,465,000 | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | 2,333,251 | ||||
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
| |||||
| Trading Companies & Distributors, continued |
| |||||
| $30,000 | Foundation Building Materials, Inc., 6.00%, 3/1/29, Callable 3/1/24 @ 103(a) | $ | 25,050 | |||
| 30,000 | SRS Distribution, Inc., 4.63%, 7/1/28, Callable 7/1/24 @ 102.31(a) | 26,775 | ||||
| 15,000 | SRS Distribution, Inc., 6.13%, 7/1/29, Callable 7/1/24 @ 103.06(a) | 12,975 | ||||
| 90,000 | SRS Distribution, Inc., 6.00%, 12/1/29, Callable 12/1/24 @ 103(a) | 77,625 | ||||
|
|
|
| ||||
| 2,767,419 | ||||||
|
|
|
| ||||
| Wireless Telecommunication Services (0.3%): |
| |||||
| 1,155,000 | Sprint Capital Corp., 8.75%, 3/15/32 | 1,391,775 | ||||
| 2,860,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 2,701,138 | ||||
| 40,000 | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 7/18/23 @ 102.38 | 38,900 | ||||
| 45,000 | T-Mobile USA, Inc., 3.38%, 4/15/29, Callable 4/15/24 @ 101.69 | 40,396 | ||||
| 430,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 395,370 | ||||
| 56,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | 49,263 | ||||
| 110,000 | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100 | 93,990 | ||||
|
|
|
| ||||
| 4,710,832 | ||||||
|
|
|
| ||||
| Total Corporate Bonds (Cost $331,417,207) |
292,439,831 | |||||
|
|
|
| ||||
| Yankee Debt Obligations (4.3%): |
| |||||
| Aerospace & Defense (0.0%†): |
| |||||
| 35,000 | Bombardier, Inc., 7.13%, 6/15/26, Callable 8/8/23 @ 103.56(a) | 34,650 | ||||
| 620,000 | Bombardier, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(a) | 582,800 | ||||
|
|
|
| ||||
| 617,450 | ||||||
|
|
|
| ||||
| Banks (0.9%): |
| |||||
| 585,000 | Barclays plc, 4.38%, 1/12/26 | 560,607 | ||||
| 2,543,000 | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | 2,378,898 | ||||
| 2,377,000 | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | 2,148,939 | ||||
| 200,000 | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a) | 167,482 | ||||
| 530,000 | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | 511,394 | ||||
| 205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 202,242 | ||||
| 1,000,000 | HSBC Holdings plc, 4.95%, 3/31/30 | 981,803 | ||||
| 200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 193,790 | ||||
| 4,069,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 3,861,778 | ||||
| 680,000 | Societe Generale SA, 1.04% (H15T1Y+75 bps), 6/18/25, Callable 6/18/24 @ 100(a) | 639,949 | ||||
| 3,863,000 | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(a) | 3,394,720 | ||||
| 186,000 | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | 161,919 | ||||
|
|
|
| ||||
| 15,203,521 | ||||||
|
|
|
| ||||
| Biotechnology (0.0%†): |
| |||||
| 200,000 | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(a) | 172,500 | ||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
| |||||
| Capital Markets (0.6%): |
| |||||
| $314,000 | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(a) | $ | 278,179 | |||
| 4,610,000 | Deutsche Bank AG, 4.50%, 4/1/25 | 4,385,373 | ||||
| 4,009,000 | UBS Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a) | 3,799,261 | ||||
| 774,000 | UBS Group AG, 1.49% (H15T1Y+85 bps), 8/10/27, Callable 8/10/26 @ 100(a) | 661,742 | ||||
|
|
|
| ||||
| 9,124,555 | ||||||
|
|
|
| ||||
| Chemicals (0.1%): |
| |||||
| 125,000 | Cerdia Finanz GmbH, 10.50%, 2/15/27, Callable 2/15/24 @ 105.25(a) | 123,594 | ||||
| 510,000 | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100 | 473,662 | ||||
| 255,000 | Methanex Corp., 5.65%, 12/1/44, Callable 6/1/44 @ 100 | 207,825 | ||||
| 530,000 | NOVA Chemicals Corp., 5.25%, 6/1/27, Callable 3/3/27 @ 100(a) | 469,050 | ||||
| 500,000 | Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30, Callable 1/27/25 @ 102.5(a) | 441,875 | ||||
| 125,000 | SPCM SA, 3.13%, 3/15/27, Callable 3/15/24 @ 101.56(a) | 111,875 | ||||
|
|
|
| ||||
| 1,827,881 | ||||||
|
|
|
| ||||
| Communications Equipment (0.0%†): |
| |||||
| 160,000 | Nokia Oyj, 6.63%, 5/15/39 | 153,000 | ||||
|
|
|
| ||||
| Construction Materials (0.0%†): |
| |||||
| 205,000 | INEOS Finance plc, 6.75%, 5/15/28, Callable 2/15/25 @ 103.38(a) | 197,056 | ||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (0.1%): |
| |||||
| 1,380,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 2.50%, 1/15/27, Callable 12/15/26 @ 100(a) | 1,205,775 | ||||
|
|
|
| ||||
| Containers & Packaging (0.1%): |
| |||||
| 15,000 | Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 8/7/23 @ 103(a) | 12,769 | ||||
| 740,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/7/23 @ 102.75(a) | 712,250 | ||||
|
|
|
| ||||
| 725,019 | ||||||
|
|
|
| ||||
| 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(a) | 27,844 | ||||
| 980,000 | GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, 7/31/26, Callable 8/7/23 @ 101.78(a) | 949,375 | ||||
|
|
|
| ||||
| 977,219 | ||||||
|
|
|
| ||||
| Diversified Telecommunication Services (0.1%): |
| |||||
| 365,000 | Altice France SA, 6.00%, 2/15/28, Callable 8/7/23 @ 103(a) | 176,113 | ||||
| 470,000 | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(a) | 339,575 | ||||
| 550,000 | Telecom Italia Capital SA, 6.38%, 11/15/33 | 464,750 | ||||
| 55,000 | Telecom Italia SpA, 6.00%, 9/30/34 | 43,862 | ||||
|
|
|
| ||||
| 1,024,300 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
| |||||
| Energy Equipment & Services (0.0%†): |
| |||||
| $329,063 | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 8/7/23 @ 103.44(a) | $ | 325,361 | |||
|
|
|
| ||||
| Financial Services (0.4%): |
| |||||
| 151,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | 151,606 | ||||
| 1,245,000 | Altice Financing SA, 5.00%, 1/15/28, Callable 8/7/23 @ 102.5(a) | 989,775 | ||||
| 2,000,000 | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(a) | 1,859,504 | ||||
| 767,000 | Avolon Holdings Funding, Ltd., 6.38%, 5/4/28, Callable 4/4/28 @ 100(a) | 756,707 | ||||
| 711,000 | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 7/18/23 @ 103.44(a) | 617,681 | ||||
| 430,000 | Dolya Holdco 18 DAC, 5.00%, 7/15/28, Callable 8/7/23 @ 102.5(a) | 376,250 | ||||
| 250,000 | Intelsat Jackson Holdings SA, 6.50%, 3/15/30, Callable 3/15/25 @ 102(a) | 226,929 | ||||
| 1,355,000 | Park Aerospace Holdings, 5.50%, 2/15/24^(a) | 1,338,063 | ||||
| 780,000 | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a) | 629,850 | ||||
|
|
|
| ||||
| 6,946,365 | ||||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.1%): |
| |||||
| 35,000 | 1011778 BC ULC/New Red Finance, Inc., 5.75%, 4/15/25, Callable 8/8/23 @ 101.44(a) | 34,913 | ||||
| 525,000 | 1011778 BC ULC/New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(a) | 448,219 | ||||
| 45,000 | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 8/7/23 @ 102.88(a) | 39,206 | ||||
| 40,000 | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69(a) | 33,150 | ||||
| 115,000 | Studio City Co., Ltd., 7.00%, 2/15/27, Callable 2/15/24 @ 103.5(a) | 107,956 | ||||
|
|
|
| ||||
| 663,444 | ||||||
|
|
|
| ||||
| Industrial Services (0.0%†): |
| |||||
| 54,000 | 1375209 BC, Ltd., 9.00%, 1/30/28, Callable 7/18/23 @ 103(a) | 54,000 | ||||
|
|
|
| ||||
| Insurance (0.2%): |
| |||||
| 1,414,000 | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | 1,291,249 | ||||
| 1,200,000 | AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 100(a) | 917,148 | ||||
| 200,000 | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(a) | 186,910 | ||||
|
|
|
| ||||
| 2,395,307 | ||||||
|
|
|
| ||||
| Media (0.0%†): |
| |||||
| 200,000 | VZ Secured Financing BV, 5.00%, 1/15/32, Callable 1/15/27 @ 102.5(a) | 163,750 | ||||
| 335,000 | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | 252,925 | ||||
|
|
|
| ||||
| 416,675 | ||||||
|
|
|
| ||||
| Metals & Mining (0.1%): |
| |||||
| 695,000 | ERO Copper Corp., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(a) | 597,700 | ||||
| 370,000 | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 7/18/23 @ 101.72(a) | 363,525 | ||||
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
| |||||
| Metals & Mining, continued |
| |||||
| $35,000 | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(a) | $ | 34,125 | |||
| 5,000 | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | 4,675 | ||||
| 180,000 | Mineral Resources, Ltd., 8.00%, 11/1/27, Callable 11/1/24 @ 104(a) | 179,775 | ||||
|
|
|
| ||||
| 1,179,800 | ||||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (0.8%): |
| |||||
| 335,000 | eG Global Finance plc, 6.75%, 2/7/25, Callable 7/18/23 @ 100(a) | 324,531 | ||||
| 510,000 | eG Global Finance plc, 8.50%, 10/30/25, Callable 8/7/23 @ 102.13(a) | 494,700 | ||||
| 145,000 | Enbridge, Inc., 4.00%, 10/1/23, Callable 8/7/23 @ 100 | 144,276 | ||||
| 565,000 | Meg Energy Corp., 7.13%, 2/1/27, Callable 8/8/23 @ 103.56(a) | 572,063 | ||||
| 2,500,000 | Petroleos Mexicanos, 4.50%, 1/23/26^ | 2,234,375 | ||||
| 916,000 | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | 729,365 | ||||
| 4,780,000 | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100 | 3,489,400 | ||||
| 2,228,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 1,398,070 | ||||
| 5,000,000 | Petroleos Mexicanos, 6.35%, 2/12/48 | 3,012,500 | ||||
| 336,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | 209,580 | ||||
| 45,000 | Teine Energy, Ltd., 6.88%, 4/15/29, Callable 4/15/24 @ 103.44(a) | 40,950 | ||||
|
|
|
| ||||
| 12,649,810 | ||||||
|
|
|
| ||||
| Passenger Airlines (0.0%†): |
| |||||
| 240,000 | VistaJet Malta Finance plc/Vista Management Holding, Inc., 7.88%, 5/1/27, Callable 5/1/24 @ 103.94(a) | 214,800 | ||||
| 215,000 | VistaJet Malta Finance plc/Vista Management Holding, Inc., 6.38%, 2/1/30, Callable 2/1/25 @ 103.19(a) | 173,612 | ||||
|
|
|
| ||||
| 388,412 | ||||||
|
|
|
| ||||
| Pharmaceuticals (0.0%†): |
| |||||
| 295,000 | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 8/8/23 @ 100(a) | 258,125 | ||||
|
|
|
| ||||
| Software (0.0%†): |
| |||||
| 60,000 | Open Text Corp., 3.88%, 2/15/28, Callable 8/8/23 @ 101.94(a) | 52,650 | ||||
| 305,000 | Open Text Corp., 3.88%, 12/1/29, Callable 12/1/24 @ 101.94(a) | 254,294 | ||||
|
|
|
| ||||
| 306,944 | ||||||
|
|
|
| ||||
| Sovereign Bond (0.3%): |
| |||||
| 300,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | 251,969 | ||||
| 37,622 | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 8/7/23 @ 100 | 12,227 | ||||
| 342,505 | Argentine Republic Government International Bond, 0.50%, 7/9/30, Callable 8/7/23 @ 100 | 113,883 | ||||
| 627,494 | Argentine Republic Government International Bond, 1.50%, 7/9/35, Callable 8/7/23 @ 100 | 186,366 | ||||
| 900,000 | Dominican Republic, 5.50%, 1/27/25(a) | 885,375 | ||||
| 3,150,000 | Dominican Republic, 6.00%, 7/19/28(a) | 3,051,563 | ||||
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
| |||||
| Sovereign Bond, continued |
| |||||
| $375,000 | Indonesia Government International Bond, 4.20%, 10/15/50 | $ | 321,128 | |||
| 350,000 | Qatar Government International Bond, 4.40%, 4/16/50(a) | 317,993 | ||||
| 200,000 | Saudi Government International Bond, 3.25%, 10/22/30(a) | 180,996 | ||||
| 200,000 | Saudi Government International Bond, 4.50%, 4/22/60(a) | 173,246 | ||||
|
|
|
| ||||
| 5,494,746 | ||||||
|
|
|
| ||||
| Tobacco (0.0%†): |
| |||||
| 390,000 | Imperial Brands Finance plc, 6.13%, 7/27/27, Callable 6/27/27 @ 100(a) | 390,704 | ||||
|
|
|
| ||||
| Trading Companies & Distributors (0.3%): |
| |||||
| 320,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | 317,745 | ||||
| 2,200,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | 2,115,291 | ||||
| 1,379,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24, Callable 9/29/24 @ 100 | 1,294,787 | ||||
| 163,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | 155,736 | ||||
| 503,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | 448,465 | ||||
| 527,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/28, Callable 8/29/28 @ 100 | 454,975 | ||||
| 564,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | 459,668 | ||||
|
|
|
| ||||
| 5,246,667 | ||||||
|
|
|
| ||||
| Wireless Telecommunication Services (0.1%): |
| |||||
| 450,000 | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | 405,562 | ||||
| 295,000 | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(a) | 227,150 | ||||
| 562,000 | Rogers Communications, Inc., 3.20%, 3/15/27, Callable 2/15/27 @ 100(a) | 522,130 | ||||
| 490,000 | Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100(a) | 427,334 | ||||
|
|
|
| ||||
| 1,582,176 | ||||||
|
|
|
| ||||
| Total Yankee Debt Obligations (Cost $80,762,335) |
69,526,812 | |||||
|
|
|
| ||||
| Municipal Bonds (0.2%): |
| |||||
| Illinois (0.2%): |
| |||||
| 3,235,000 | Illinois State, GO, 5.10%, 6/1/33 | 3,175,929 | ||||
|
|
|
| ||||
| New Jersey (0.0%†): |
| |||||
| 339,000 | New Jersey Economic Development Authority Revenue, GO, Series A, 7.43%, 2/15/29 | 364,665 | ||||
|
|
|
| ||||
| Total Municipal Bonds (Cost $3,518,040) |
3,540,594 | |||||
|
|
|
| ||||
| U.S. Government Agency Mortgages (12.3%): |
| |||||
| Federal Home Loan Mortgage Corporation (2.9%): |
| |||||
| 18,730 | 2.50%, 6/1/31, Pool #G18604 | 17,494 | ||||
| 26,268 | 2.50%, 6/1/31, Pool #J34501 | 24,671 | ||||
| 33,404 | 2.50%, 7/1/31, Pool #V61246 | 30,909 | ||||
| 55,307 | 2.50%, 8/1/31, Pool #V61273 | 51,084 | ||||
| 147,601 | 3.50%, 3/1/32, Pool #C91403 | 141,551 | ||||
| 446,349 | 3.50%, 7/1/32, Pool #C91467 | 428,056 | ||||
| 114,657 | 2.50%, 12/1/32, Pool #G18669 | 104,912 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $26,123 | 2.50%, 3/1/33, Pool #G18680 | $ | 24,090 | |||
| 104,542 | 3.00%, 4/1/33, Pool #G18684 | 98,426 | ||||
| 33,530 | 3.00%, 5/1/33, Pool #G16550 | 31,616 | ||||
| 86,950 | 2.50%, 7/1/33, Pool #G16661 | 79,629 | ||||
| 24,418 | 3.00%, 4/1/34, Pool #G16829 | 23,171 | ||||
| 128,348 | 3.50%, 10/1/34, Pool #C91793 | 121,595 | ||||
| 430,656 | 3.00%, 5/1/35, Pool #SB0836 | 403,091 | ||||
| 2,979,432 | 2.00%, 6/1/35, Pool #QN2416 | 2,654,910 | ||||
| 462,748 | 1.50%, 8/1/35, Pool #SB8066 | 400,772 | ||||
| 539,365 | 1.50%, 11/1/35, Pool #SB8073 | 467,127 | ||||
| 505,134 | 1.50%, 1/1/36, Pool #SB8083 | 437,463 | ||||
| 964,551 | 1.50%, 2/1/36, Pool #RC1756 | 836,083 | ||||
| 645,836 | 2.00%, 5/1/36, Pool #QN6400 | 572,914 | ||||
| 1,176,333 | 2.00%, 6/1/36, Pool #SB8107 | 1,043,409 | ||||
| 3,207,895 | 2.50%, 7/1/36, Pool #SB0535 | 2,937,551 | ||||
| 435,464 | 1.50%, 12/1/36, Pool #SB8131 | 375,755 | ||||
| 2,884,406 | 1.50%, 4/1/37, Pool #SB8147 | 2,483,782 | ||||
| 355,175 | 4.00%, 5/1/37, Pool #C91938 | 342,497 | ||||
| 159,974 | 4.00%, 11/1/40, Pool #A95150 | 155,247 | ||||
| 32,353 | 1.50%, 12/1/40, Pool #RB5089 | 26,333 | ||||
| 53,669 | 1.50%, 2/1/41, Pool #RB5099 | 43,679 | ||||
| 54,409 | 1.50%, 3/1/41, Pool #RB5104 | 44,284 | ||||
| 19,990 | 2.00%, 4/1/41, Pool #RB5108 | 16,886 | ||||
| 54,293 | 1.50%, 4/1/41, Pool #RB5107 | 44,188 | ||||
| 732,589 | 2.00%, 7/1/41, Pool #SC0162 | 618,970 | ||||
| 20,765 | 2.00%, 7/1/41, Pool #RB5118 | 17,542 | ||||
| 90,307 | 2.50%, 10/1/41, Pool #RB5132 | 79,381 | ||||
| 21,751 | 2.00%, 10/1/41, Pool #RB5131 | 18,477 | ||||
| 337,813 | 2.00%, 11/1/41, Pool #RB5135 | 285,391 | ||||
| 160,679 | 2.00%, 11/1/41, Pool #QK1180 | 135,717 | ||||
| 172,608 | 2.50%, 1/1/42, Pool #RB5142 | 151,733 | ||||
| 225,107 | 3.50%, 1/1/44, Pool #G60271 | 213,417 | ||||
| 445,774 | 3.50%, 1/1/44, Pool #G07922 | 415,553 | ||||
| 56,073 | 4.00%, 2/1/45, Pool #G07949 | 54,049 | ||||
| 52,255 | 3.50%, 11/1/45, Pool #Q37467 | 49,196 | ||||
| 5,909 | 4.00%, 4/1/46, Pool #Q39975 | 5,660 | ||||
| 13,399 | 4.00%, 4/1/46, Pool #V82292 | 12,812 | ||||
| 107,803 | 3.50%, 9/1/46, Pool #Q43257 | 100,837 | ||||
| 167,314 | 3.00%, 12/1/46, Pool #G60989 | 150,176 | ||||
| 5,705 | 4.50%, 12/1/46, Pool #Q45028 | 5,605 | ||||
| 4,690 | 4.50%, 1/1/47, Pool #Q45635 | 4,609 | ||||
| 9,865 | 4.50%, 2/1/47, Pool #Q46222 | 9,662 | ||||
| 448,166 | 2.50%, 4/1/47, Pool #SD0978 | 380,109 | ||||
| 27,425 | 4.50%, 5/1/47, Pool #Q48095 | 26,859 | ||||
| 17,417 | 4.50%, 5/1/47, Pool #Q47935 | 17,058 | ||||
| 8,210 | 4.50%, 5/1/47, Pool #Q47942 | 8,042 | ||||
| 213,599 | 4.00%, 6/1/47, Pool #Q48877 | 205,084 | ||||
| 34,515 | 4.50%, 6/1/47, Pool #Q48759 | 33,805 | ||||
| 16,553 | 4.50%, 7/1/47, Pool #Q49393 | 16,214 | ||||
| 84,486 | 4.50%, 12/1/47, Pool #Q53017 | 82,526 | ||||
| 25,534 | 4.00%, 2/1/48, Pool #G61343 | 24,416 | ||||
| 11,521 | 4.00%, 2/1/48, Pool #Q54499 | 10,967 | ||||
| 26,705 | 4.50%, 4/1/48, Pool #Q55500 | 26,172 | ||||
| 47,976 | 4.50%, 4/1/48, Pool #Q55660 | 46,997 | ||||
| 20,182 | 4.50%, 4/1/48, Pool #Q55724 | 19,770 | ||||
| 93,218 | 4.00%, 5/1/48, Pool #Q55992 | 88,762 | ||||
| 26,636 | 4.50%, 5/1/48, Pool #Q55839 | 26,093 | ||||
| 137,135 | 4.00%, 6/1/48, Pool #G67713 | 131,587 | ||||
| 44,221 | 4.00%, 7/1/48, Pool #Q59935 | 42,398 | ||||
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $23,374 | 4.50%, 10/1/48, Pool #G67716 | $ | 23,029 | |||
| 140,136 | 3.00%, 6/1/49, Pool #ZT2090 | 124,335 | ||||
| 672,106 | 4.50%, 7/1/49, Pool #RA1171 | 659,740 | ||||
| 5,888 | 3.00%, 10/1/49, Pool #QA3907 | 5,241 | ||||
| 8,466 | 3.00%, 11/1/49, Pool #QA4483 | 7,537 | ||||
| 24,000 | 3.00%, 12/1/49, Pool #QA5154 | 21,361 | ||||
| 9,172 | 3.00%, 12/1/49, Pool #QA5521 | 8,166 | ||||
| 138,872 | 3.00%, 4/1/50, Pool #QA9049 | 123,261 | ||||
| 327,012 | 2.00%, 6/1/50, Pool #RA2677 | 271,667 | ||||
| 419,509 | 2.50%, 11/1/50, Pool #SD7530 | 358,962 | ||||
| 30,289 | 3.00%, 11/1/50, Pool #SD8108 | 26,861 | ||||
| 257,870 | 3.00%, 12/1/50, Pool #SD8115 | 228,682 | ||||
| 2,127,558 | 2.50%, 2/1/51, Pool #SD7535 | 1,821,151 | ||||
| 4,826,129 | 1.50%, 4/1/51, Pool #SD8139 | 3,728,643 | ||||
| 1,277,610 | 2.00%, 5/1/51, Pool #SD7541 | 1,056,022 | ||||
| 2,071,838 | 2.50%, 5/1/51, Pool #SD7540 | 1,779,089 | ||||
| 43,668 | 2.00%, 5/1/51, Pool #QC1514 | 36,030 | ||||
| 340,489 | 2.50%, 7/1/51, Pool #RA5574 | 291,156 | ||||
| 26,414 | 2.00%, 7/1/51, Pool #QC4163 | 21,799 | ||||
| 457,865 | 3.00%, 9/1/51, Pool #QC7496 | 404,689 | ||||
| 384,415 | 3.00%, 9/1/51, Pool #QC6608 | 339,117 | ||||
| 668,822 | 2.00%, 10/1/51, Pool #RA6076 | 550,022 | ||||
| 421,607 | 3.00%, 10/1/51, Pool #QC9077 | 372,620 | ||||
| 447,991 | 3.00%, 11/1/51, Pool #QD1240 | 395,981 | ||||
| 405,507 | 2.00%, 11/1/51, Pool #RA6302 | 333,002 | ||||
| 1,185,437 | 2.00%, 11/1/51, Pool #RA6241 | 974,688 | ||||
| 2,070,695 | 2.50%, 12/1/51, Pool #RA6435 | 1,770,331 | ||||
| 436,528 | 3.00%, 12/1/51, Pool #QD3200 | 385,729 | ||||
| 631,742 | 2.50%, 12/1/51, Pool #RA6434 | 539,484 | ||||
| 458,470 | 2.00%, 12/1/51, Pool #RA6510 | 378,290 | ||||
| 146,377 | 2.50%, 12/1/51, Pool #SD8183 | 124,079 | ||||
| 779,361 | 2.50%, 1/1/52, Pool #RA6622 | 666,329 | ||||
| 246,073 | 3.00%, 1/1/52, Pool #QD5561 | 216,759 | ||||
| 390,382 | 3.00%, 1/1/52, Pool #RA6604 | 345,041 | ||||
| 1,017,918 | 2.00%, 2/1/52, Pool #RA6823 | 832,756 | ||||
| 110,464 | 3.50%, 2/1/52, Pool #RA6700 | 101,163 | ||||
| 1,004,571 | 2.00%, 2/1/52, Pool #RA6824 | 823,600 | ||||
| 982,829 | 2.00%, 2/1/52, Pool #SD8193 | 801,296 | ||||
| 182,738 | 3.50%, 2/1/52, Pool #RA6799 | 167,316 | ||||
| 698,197 | 3.50%, 3/1/52, Pool #RA6950 | 639,612 | ||||
| 1,196,813 | 3.50%, 3/1/52, Pool #RA6987 | 1,096,736 | ||||
| 2,324,816 | 3.00%, 3/1/52, Pool #RA6988 | 2,049,749 | ||||
| 670,846 | 3.50%, 3/1/52, Pool #RA6949 | 614,303 | ||||
| 245,217 | 3.00%, 3/1/52, Pool #SD2219 | 217,060 | ||||
| 186,898 | 3.50%, 4/1/52, Pool #SD0927 | 172,711 | ||||
| 189,591 | 5.00%, 9/1/52, Pool #SD1572 | 187,287 | ||||
| 803,554 | 4.00%, 10/1/52, Pool #SD1772 | 763,181 | ||||
| 556,736 | 4.50%, 10/1/52, Pool #SD2467 | 535,457 | ||||
| 293,178 | 5.00%, 11/1/52, Pool #SD1862 | 290,339 | ||||
| 684,492 | 5.00%, 12/1/52, Pool #SD1924 | 676,158 | ||||
| 212,292 | 6.00%, 6/1/53, Pool #RA9278 | 216,177 | ||||
| 220,204 | 6.00%, 6/1/53, Pool #RA9277 | 224,786 | ||||
| 246,640 | 6.00%, 6/1/53, Pool #RA9276 | 252,366 | ||||
|
|
|
| ||||
| 47,029,767 | ||||||
|
|
|
| ||||
| Federal National Mortgage Association (6.9%): |
| |||||
| 27,874 | 2.50%, 5/1/31, Pool #BC0919 | 25,635 | ||||
| 40,516 | 2.50%, 8/1/31, Pool #BC2778 | 37,264 | ||||
| 28,727 | 2.50%, 10/1/31, Pool #AS8010 | 26,878 | ||||
| 185,761 | 2.50%, 1/1/32, Pool #BE3032 | 173,485 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $32,499 | 2.50%, 9/1/32, Pool #MA3124 | $ | 29,760 | |||
| 17,185 | 3.00%, 3/1/33, Pool #BM4614 | 16,279 | ||||
| 578,848 | 2.00%, 10/1/35, Pool #BK5705 | 515,734 | ||||
| 510,997 | 1.50%, 1/1/36, Pool #MA4228 | 442,538 | ||||
| 192,658 | 1.50%, 2/1/36, Pool #FM6507 | 166,273 | ||||
| 203,645 | 1.50%, 4/1/36, Pool #MA4302 | 175,724 | ||||
| 297,282 | 6.00%, 5/1/36, Pool #745512 | 307,444 | ||||
| 341,704 | 2.00%, 6/1/36, Pool #BP3507 | 303,059 | ||||
| 1,264,337 | 2.00%, 7/1/36, Pool #MA4383 | 1,121,473 | ||||
| 116,334 | 2.00%, 12/1/36, Pool #BU1384 | 103,084 | ||||
| 2,498,916 | 2.00%, 2/1/37, Pool #FS0427 | 2,216,126 | ||||
| 250,000 | 1.50%, 7/25/38, TBA | 215,312 | ||||
| 900,000 | 2.50%, 7/25/38, TBA | 818,719 | ||||
| 39,600 | 2.50%, 3/1/40, Pool #FM2646 | 35,029 | ||||
| 29,614 | 2.50%, 5/1/40, Pool #MA4016 | 26,202 | ||||
| 463,830 | 2.00%, 10/1/40, Pool #MA4176 | 396,296 | ||||
| 49,665 | 1.50%, 11/1/40, Pool #MA4175 | 40,424 | ||||
| 17,868 | 2.00%, 12/1/40, Pool #MA4204 | 14,871 | ||||
| 49,810 | 1.50%, 12/1/40, Pool #MA4202 | 40,538 | ||||
| 11,246 | 3.50%, 12/1/40, Pool #AH1556 | 10,506 | ||||
| 61,315 | 2.00%, 12/1/40, Pool #FM5042 | 51,679 | ||||
| 52,306 | 1.50%, 1/1/41, Pool #MA4231 | 42,574 | ||||
| 53,583 | 1.50%, 1/1/41, Pool #MA4266 | 43,610 | ||||
| 54,633 | 1.50%, 2/1/41, Pool #MA4286 | 44,465 | ||||
| 19,168 | 2.00%, 2/1/41, Pool #MA4268 | 16,193 | ||||
| 129,159 | 2.50%, 2/1/41, Pool #MA4269 | 113,542 | ||||
| 19,600 | 2.00%, 3/1/41, Pool #MA4287 | 16,558 | ||||
| 20,233 | 2.00%, 4/1/41, Pool #MA4311 | 17,092 | ||||
| 117,220 | 2.50%, 4/1/41, Pool #MA4312 | 103,054 | ||||
| 314,405 | 2.00%, 5/1/41, Pool #MA4333 | 265,600 | ||||
| 20,809 | 2.00%, 6/1/41, Pool #MA4364 | 17,709 | ||||
| 80,876 | 2.50%, 7/1/41, Pool #CB2014 | 71,136 | ||||
| 139,489 | 2.00%, 7/1/41, Pool #FM8066 | 117,835 | ||||
| 195,556 | 2.00%, 7/1/41, Pool #CB1069 | 165,240 | ||||
| 295,337 | 2.00%, 7/1/41, Pool #CB1071 | 249,468 | ||||
| 178,060 | 2.00%, 8/1/41, Pool #CB1337 | 150,407 | ||||
| 249,496 | 2.00%, 8/1/41, Pool #FM8393 | 210,773 | ||||
| 20,540 | 2.00%, 8/1/41, Pool #FM8410 | 17,353 | ||||
| 182,735 | 2.00%, 8/1/41, Pool #FM8334 | 154,393 | ||||
| 135,660 | 2.00%, 9/1/41, Pool #FM8862 | 115,378 | ||||
| 144,595 | 2.50%, 9/1/41, Pool #FM8850 | 126,784 | ||||
| 77,892 | 2.00%, 10/1/41, Pool #BQ6615 | 65,791 | ||||
| 286,619 | 2.00%, 10/1/41, Pool #FM9396 | 243,784 | ||||
| 136,470 | 2.00%, 10/1/41, Pool #CB1837 | 115,284 | ||||
| 21,490 | 2.00%, 10/1/41, Pool #MA4446 | 18,155 | ||||
| 174,874 | 2.50%, 11/1/41, Pool #FM9558 | 153,324 | ||||
| 114,955 | 2.50%, 11/1/41, Pool #MA4475 | 101,048 | ||||
| 359,926 | 2.00%, 11/1/41, Pool #BQ6743 | 304,014 | ||||
| 78,687 | 2.00%, 11/1/41, Pool #BU6530 | 66,457 | ||||
| 318,647 | 2.00%, 11/1/41, Pool #FS0106 | 271,113 | ||||
| 252,530 | 2.00%, 11/1/41, Pool #CB2110 | 213,357 | ||||
| 110,854 | 2.00%, 12/1/41, Pool #FM9851 | 93,659 | ||||
| 210,848 | 2.00%, 12/1/41, Pool #BU7091 | 178,103 | ||||
| 31,441 | 4.00%, 10/1/43, Pool #BM1167 | 30,325 | ||||
| 216,535 | 4.50%, 3/1/44, Pool #AV0957 | 212,535 | ||||
| 131,985 | 4.50%, 7/1/44, Pool #AS3062 | 129,271 | ||||
| 149,266 | 4.50%, 12/1/44, Pool #AS4176 | 147,117 | ||||
| 81,603 | 4.00%, 5/1/45, Pool #AZ1207 | 78,389 | ||||
| 119,755 | 4.00%, 6/1/45, Pool #AY8096 | 115,044 | ||||
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $57,649 | 4.00%, 6/1/45, Pool #AY8126 | $ | 55,685 | |||
| 21,749 | 4.00%, 12/1/45, Pool #AS6352 | 21,010 | ||||
| 6,952 | 4.50%, 1/1/46, Pool #AY3890 | 6,836 | ||||
| 58,741 | 4.00%, 2/1/46, Pool #BC1578 | 56,041 | ||||
| 2,923 | 4.50%, 3/1/46, Pool #BC0287 | 2,889 | ||||
| 19,404 | 4.00%, 4/1/46, Pool #AS7024 | 18,458 | ||||
| 215,138 | 4.00%, 4/1/46, Pool #AL8468 | 208,292 | ||||
| 22,680 | 4.50%, 6/1/46, Pool #BD1238 | 22,413 | ||||
| 149,824 | 4.00%, 6/1/46, Pool #AL9282 | 142,941 | ||||
| 82,252 | 4.00%, 7/1/46, Pool #BC1443 | 79,097 | ||||
| 25,794 | 4.00%, 9/1/46, Pool #BD1489 | 24,608 | ||||
| 91,945 | 4.00%, 9/1/46, Pool #BC2843 | 88,410 | ||||
| 38,863 | 4.50%, 10/1/46, Pool #BE1671 | 38,088 | ||||
| 86,116 | 4.00%, 10/1/46, Pool #BC4754 | 82,805 | ||||
| 17,156 | 4.00%, 10/1/46, Pool #BD7599 | 16,367 | ||||
| 49,676 | 4.50%, 11/1/46, Pool #BE2386 | 49,101 | ||||
| 231,571 | 3.50%, 12/1/46, Pool #BC9077 | 215,832 | ||||
| 4,614 | 4.50%, 12/1/46, Pool #BC9079 | 4,561 | ||||
| 99,256 | 4.50%, 12/1/46, Pool #BE4488 | 98,108 | ||||
| 29,258 | 4.50%, 1/1/47, Pool #BE6506 | 28,914 | ||||
| 17,866 | 4.50%, 1/1/47, Pool #BE7087 | 17,498 | ||||
| 249,202 | 2.50%, 2/1/47, Pool #FS0594 | 211,347 | ||||
| 324,643 | 4.00%, 2/1/47, Pool #AL9779 | 309,771 | ||||
| 46,768 | 4.50%, 2/1/47, Pool #BE8498 | 45,668 | ||||
| 49,792 | 2.50%, 3/1/47, Pool #FS0976 | 42,239 | ||||
| 43,279 | 4.00%, 5/1/47, Pool #BM1277 | 41,324 | ||||
| 5,181 | 4.00%, 6/1/47, Pool #BH4269 | 4,946 | ||||
| 8,440 | 4.50%, 6/1/47, Pool #BE9387 | 8,267 | ||||
| 12,628 | 4.50%, 6/1/47, Pool #BH0561 | 12,347 | ||||
| 47,876 | 4.50%, 6/1/47, Pool #BE3663 | 46,895 | ||||
| 23,593 | 4.00%, 7/1/47, Pool #AS9968 | 22,528 | ||||
| 39,529 | 4.50%, 7/1/47, Pool #BE3749 | 38,720 | ||||
| 44,394 | 4.00%, 4/1/48, Pool #BM3700 | 42,391 | ||||
| 18,785 | 4.50%, 4/1/48, Pool #BJ5454 | 18,428 | ||||
| 6,008 | 4.50%, 5/1/48, Pool #BJ5507 | 5,894 | ||||
| 237,479 | 4.50%, 10/1/48, Pool #CA2432 | 233,135 | ||||
| 58,775 | 4.50%, 10/25/48, Pool #BM4548 | 57,926 | ||||
| 273,149 | 4.50%, 12/1/48, Pool #CA2797 | 268,153 | ||||
| 159,125 | 4.50%, 9/1/49, Pool #FM1534 | 156,084 | ||||
| 8,698 | 3.00%, 11/1/49, Pool #BO8254 | 7,745 | ||||
| 224,013 | 4.00%, 11/1/49, Pool #CA4628 | 213,560 | ||||
| 163,462 | 3.00%, 1/1/50, Pool #MA3905 | 145,170 | ||||
| 117,918 | 3.00%, 1/1/50, Pool #CA5019 | 105,255 | ||||
| 482,838 | 4.00%, 3/1/50, Pool #FM3663 | 458,073 | ||||
| 123,474 | 3.00%, 4/1/50, Pool #MA3991 | 109,486 | ||||
| 120,650 | 2.00%, 7/1/50, Pool #CA6275 | 99,444 | ||||
| 85,229 | 2.00%, 7/1/50, Pool #FM3897 | 70,396 | ||||
| 555,765 | 3.00%, 8/1/50, Pool #FM6118 | 492,600 | ||||
| 323,209 | 2.50%, 8/1/50, Pool #SD0430 | 277,071 | ||||
| 128,023 | 3.00%, 9/1/50, Pool #CA6998 | 113,480 | ||||
| 48,945 | 3.00%, 9/1/50, Pool #FM4317 | 43,501 | ||||
| 125,161 | 2.00%, 10/1/50, Pool #CA7323 | 103,889 | ||||
| 149,925 | 2.50%, 10/1/50, Pool #CA7229 | 128,941 | ||||
| 84,829 | 2.00%, 11/1/50, Pool #C47616 | 70,054 | ||||
| 46,196 | 3.00%, 11/1/50, Pool #MA4184 | 40,962 | ||||
| 423,092 | 3.00%, 12/1/50, Pool #MA4211 | 375,100 | ||||
| 139,204 | 3.00%, 12/1/50, Pool #FM7827 | 123,548 | ||||
| 236,282 | 3.00%, 1/1/51, Pool #MA4239 | 209,500 | ||||
| 2,062,423 | 2.00%, 3/1/51, Pool #MA4281 | 1,689,271 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $4,224,443 | 3.00%, 4/1/51, Pool #BR9775 | $ | 3,732,841 | |||
| 1,013,277 | 2.50%, 4/1/51, Pool #FM6540 | 883,691 | ||||
| 2,009,290 | 2.00%, 4/1/51, Pool #MA4305 | 1,640,433 | ||||
| 2,958,323 | 2.00%, 4/1/51, Pool #CB0153 | 2,413,285 | ||||
| 443,074 | 2.50%, 5/1/51, Pool #MA4326 | 376,357 | ||||
| 553,324 | 3.00%, 5/1/51, Pool #CB0531 | 489,110 | ||||
| 1,280,800 | 3.00%, 6/1/51, Pool #CB0850 | 1,127,078 | ||||
| 19,835 | 2.00%, 7/1/51, Pool #BT1461 | 16,361 | ||||
| 492,813 | 3.00%, 7/1/51, Pool #FM8077 | 435,510 | ||||
| 776,888 | 2.50%, 7/1/51, Pool #CB0997 | 664,346 | ||||
| 43,464 | 2.00%, 7/1/51, Pool #BQ1010 | 35,729 | ||||
| 483,363 | 2.50%, 8/1/51, Pool #CB1384 | 413,288 | ||||
| 97,778 | 2.50%, 8/1/51, Pool #MA4399 | 83,051 | ||||
| 353,570 | 2.50%, 9/1/51, Pool #CB1549 | 302,644 | ||||
| 930,273 | 2.50%, 10/1/51, Pool #MA4438 | 788,596 | ||||
| 629,001 | 2.00%, 10/1/51, Pool #CB1801 | 518,994 | ||||
| 45,648 | 3.00%, 10/1/51, Pool #CB1878 | 40,279 | ||||
| 474,934 | 2.00%, 10/1/51, Pool #CB1799 | 393,137 | ||||
| 502,324 | 2.00%, 11/1/51, Pool #FM9539 | 414,569 | ||||
| 1,252,937 | 2.50%, 11/1/51, Pool #FM9501 | 1,072,304 | ||||
| 496,919 | 2.50%, 11/1/51, Pool #FM9517 | 422,746 | ||||
| 378,294 | 2.50%, 11/1/51, Pool #FM9505 | 323,094 | ||||
| 1,169,624 | 2.50%, 11/1/51, Pool #MA4466 | 991,468 | ||||
| 801,261 | 2.00%, 11/1/51, Pool #FM9568 | 662,235 | ||||
| 408,267 | 3.00%, 12/1/51, Pool #BT9503 | 360,866 | ||||
| 362,052 | 2.50%, 12/1/51, Pool #CB2320 | 309,852 | ||||
| 274,871 | 2.00%, 12/1/51, Pool #CB2347 | 227,163 | ||||
| 273,285 | 2.00%, 12/1/51, Pool #CB2348 | 225,477 | ||||
| 1,011,821 | 2.00%, 12/1/51, Pool #CB2349 | 834,928 | ||||
| 361,329 | 2.00%, 12/1/51, Pool #CB2350 | 297,123 | ||||
| 340,382 | 2.50%, 12/1/51, Pool #CB2376 | 291,009 | ||||
| 863,610 | 2.50%, 12/1/51, Pool #CB2289 | 737,417 | ||||
| 97,687 | 3.00%, 12/1/51, Pool #FM9777 | 86,329 | ||||
| 1,531,353 | 2.50%, 12/1/51, Pool #FM9865 | 1,310,572 | ||||
| 384,472 | 2.50%, 12/1/51, Pool #CB2321 | 328,311 | ||||
| 146,424 | 2.50%, 1/1/52, Pool #MA4512 | 124,119 | ||||
| 335,116 | 3.50%, 1/1/52, Pool #MA4514 | 307,194 | ||||
| 1,537,471 | 2.00%, 1/1/52, Pool #FS0286 | 1,268,557 | ||||
| 264,432 | 3.00%, 1/1/52, Pool #CB2662 | 234,833 | ||||
| 1,814,425 | 2.50%, 1/1/52, Pool #FS1648 | 1,539,656 | ||||
| 97,595 | 3.50%, 1/1/52, Pool #CB2679 | 90,226 | ||||
| 659,914 | 2.00%, 1/1/52, Pool #FS0288 | 541,849 | ||||
| 1,583,180 | 2.00%, 2/1/52, Pool #CB2842 | 1,294,128 | ||||
| 902,821 | 3.00%, 2/1/52, Pool #FS0631 | 794,395 | ||||
| 97,757 | 3.00%, 2/1/52, Pool #CB2886 | 86,539 | ||||
| 191,996 | 3.50%, 2/1/52, Pool #CB2905 | 175,899 | ||||
| 291,105 | 3.50%, 2/1/52, Pool #CB2906 | 266,270 | ||||
| 497,483 | 3.50%, 3/1/52, Pool #CB3128 | 455,474 | ||||
| 388,355 | 2.50%, 3/1/52, Pool #BV4139 | 331,411 | ||||
| 640,643 | 3.00%, 3/1/52, Pool #BV0350 | 564,754 | ||||
| 425,572 | 3.50%, 3/1/52, Pool #CB3174 | 390,039 | ||||
| 270,399 | 2.00%, 3/1/52, Pool #MA4562 | 220,453 | ||||
| 985,954 | 2.00%, 4/1/52, Pool #FS1598 | 803,798 | ||||
| 714,096 | 4.00%, 4/1/52, Pool #FS1647 | 675,314 | ||||
| 670,566 | 4.50%, 7/1/52, Pool #CB4064 | 650,631 | ||||
| 613,271 | 5.00%, 9/1/52, Pool #CB4682 | 605,815 | ||||
| 47,861 | 5.00%, 10/1/52, Pool #CB4893 | 47,279 | ||||
| 384,530 | 5.50%, 10/1/52, Pool #CB4843 | 383,321 | ||||
| 233,177 | 4.50%, 10/1/52, Pool #BX0507 | 224,272 | ||||
See accompanying notes to the financial statements.
27
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $448,162 | 4.50%, 10/1/52, Pool #BX1265 | $ | 431,086 | |||
| 285,804 | 5.00%, 11/1/52, Pool #FS3248 | 282,332 | ||||
| 145,073 | 5.00%, 11/1/52, Pool #FS3295 | 143,082 | ||||
| 484,251 | 5.00%, 11/1/52, Pool #CB5128 | 479,410 | ||||
| 1,469,385 | 4.50%, 11/1/52, Pool #BX1765 | 1,413,188 | ||||
| 343,134 | 5.00%, 12/1/52, Pool #MA4841 | 336,302 | ||||
| 145,174 | 5.00%, 12/1/52, Pool #CB5273 | 143,408 | ||||
| 400,770 | 6.00%, 6/1/53, Pool #CB6538 | 410,075 | ||||
| 798,685 | 5.50%, 6/1/53, Pool #CB6527 | 802,377 | ||||
| 303,362 | 6.00%, 6/1/53, Pool #CB6539 | 309,675 | ||||
| 1,100,000 | 4.50%, 7/25/53, TBA | 1,057,375 | ||||
| 500,000 | 5.00%, 7/25/53, TBA | 490,000 | ||||
| 3,000,000 | 5.50%, 7/25/53, TBA | 2,986,406 | ||||
| 8,450,000 | 3.50%, 7/25/53, TBA | 7,697,422 | ||||
| 6,550,000 | 3.00%, 7/25/53, TBA | 5,762,977 | ||||
| 12,300,000 | 2.50%, 7/25/53, TBA | 10,426,172 | ||||
| 3,100,000 | 1.50%, 7/25/53, TBA | 2,394,750 | ||||
| 16,000,000 | 2.00%, 7/25/53, TBA | 13,040,000 | ||||
| 7,425,000 | 4.00%, 7/25/53, TBA | 6,966,738 | ||||
| 2,350,000 | 2.00%, 8/25/53, TBA | 1,918,187 | ||||
|
|
|
| ||||
| 112,444,710 | ||||||
|
|
|
| ||||
| Government National Mortgage Association (2.5%): |
| |||||
| 16,247 | 4.00%, 10/20/40, Pool #G24833 | 15,763 | ||||
| 48,902 | 4.00%, 1/20/41, Pool #4922 | 47,445 | ||||
| 51,724 | 4.00%, 8/15/41, Pool #430354 | 49,018 | ||||
| 559,314 | 4.00%, 1/20/42, Pool #5280 | 542,649 | ||||
| 75,106 | 4.00%, 11/20/42, Pool #MA0535 | 72,867 | ||||
| 180,239 | 3.00%, 12/20/42, Pool #AA5872 | 161,484 | ||||
| 118,482 | 3.00%, 3/20/43, Pool #AA6146 | 106,663 | ||||
| 22,362 | 3.50%, 3/20/43, Pool #AD8884 | 20,992 | ||||
| 50,795 | 3.00%, 3/20/43, Pool #AD8812 | 45,805 | ||||
| 23,132 | 3.50%, 4/20/43, Pool #AD9075 | 21,712 | ||||
| 8,453 | 3.50%, 4/20/43, Pool #AB9891 | 7,935 | ||||
| 48,166 | 4.00%, 5/20/46, Pool #MA3664 | 46,645 | ||||
| 241,121 | 3.00%, 12/20/46, Pool #MA4126 | 217,710 | ||||
| 41,747 | 4.00%, 1/15/47, Pool #AX5857 | 39,257 | ||||
| 36,503 | 4.00%, 1/15/47, Pool #AX5831 | 34,289 | ||||
| 342,329 | 3.00%, 1/20/47, Pool #MA4195 | 309,100 | ||||
| 142,751 | 4.00%, 3/20/47, Pool #MA4322 | 137,781 | ||||
| 79,227 | 4.00%, 4/20/47, Pool #784303 | 74,714 | ||||
| 80,576 | 4.00%, 4/20/47, Pool #784304 | 75,978 | ||||
| 24,275 | 4.00%, 4/20/47, Pool #MA4383 | 23,429 | ||||
| 17,118 | 3.50%, 2/20/48, Pool #MA5019 | 15,889 | ||||
| 15,050 | 4.00%, 4/20/48, Pool #BG3507 | 14,443 | ||||
| 13,612 | 4.00%, 4/20/48, Pool #BG7744 | 13,059 | ||||
| 3,320 | 3.50%, 12/20/49, Pool #BR8987 | 3,119 | ||||
| 6,976 | 3.50%, 12/20/49, Pool #BR8985 | 6,519 | ||||
| 2,774 | 3.50%, 12/20/49, Pool #BR8984 | 2,569 | ||||
| 581,233 | 2.00%, 11/20/50, Pool #MA6994 | 491,071 | ||||
| 1,017,969 | 2.00%, 1/20/51, Pool #MA7135 | 856,434 | ||||
| 1,774,071 | 2.00%, 2/20/51, Pool #MA7192 | 1,493,639 | ||||
| 1,087,564 | 2.50%, 7/20/51, Pool #MA7472 | 943,648 | ||||
| 894,248 | 2.50%, 9/20/51, Pool #MA7589 | 775,086 | ||||
| 66,567 | 2.50%, 12/20/51, Pool #MA7767 | 57,664 | ||||
| 7,125,000 | 3.00%, 7/20/53, TBA | 6,362,402 | ||||
| 2,400,000 | 3.50%, 7/20/53, TBA | 2,214,750 | ||||
| 7,550,000 | 2.00%, 7/20/53, TBA | 6,337,281 | ||||
| 2,725,000 | 2.50%, 7/20/53, TBA | 2,357,977 | ||||
| 1,900,000 | 5.50%, 7/20/53, TBA | 1,891,984 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Government National Mortgage Association, continued |
| |||||
| $1,250,000 | 4.00%, 7/20/53, TBA | $ | 1,181,836 | |||
| 3,200,000 | 4.50%, 7/20/53, TBA | 3,088,500 | ||||
| 2,700,000 | 3.50%, 8/1/53, TBA | 2,492,438 | ||||
| 3,250,000 | 2.00%, 8/20/53, TBA | 2,731,650 | ||||
| 5,850,000 | 2.50%, 8/20/53, TBA | 5,068,248 | ||||
|
|
|
| ||||
| 40,451,442 | ||||||
|
|
|
| ||||
| Total U.S. Government Agency Mortgages |
199,925,919 | |||||
|
|
|
| ||||
| U.S. Treasury Obligations (18.8%): |
| |||||
| U.S. Treasury Bonds (6.2%): |
| |||||
| 32,428,000 | 1.75%, 8/15/41 | 22,740,135 | ||||
| 3,796,700 | 3.38%, 8/15/42 | 3,440,166 | ||||
| 1,605,300 | 3.00%, 2/15/47 | 1,348,703 | ||||
| 66,722,000 | 2.00%, 8/15/51 | 45,391,811 | ||||
| 6,906,000 | 1.88%, 11/15/51 | 4,549,327 | ||||
| 7,300,000 | 2.25%, 2/15/52 | 5,266,266 | ||||
| 3,500,000 | 2.88%, 5/15/52 | 2,896,250 | ||||
| 15,000,000 | 3.63%, 2/15/53 | 14,371,875 | ||||
|
|
|
| ||||
| 100,004,533 | ||||||
|
|
|
| ||||
| U.S. Treasury Notes (12.6%): |
| |||||
| 52,500,000 | 0.75%, 5/31/26 | 47,143,359 | ||||
| 18,472,000 | 1.25%, 12/31/26 | 16,619,027 | ||||
| 5,255,200 | 1.25%, 5/31/28 | 4,581,878 | ||||
| 17,310,000 | 1.25%, 9/30/28 | 14,978,559 | ||||
| 26,000,000 | 4.00%, 2/28/30 | 25,971,563 | ||||
| 2,800,000 | 3.63%, 3/31/30 | 2,737,875 | ||||
| 19,600,000 | 3.75%, 5/31/30 | 19,318,250 | ||||
| 23,500,000 | 2.88%, 5/15/32 | 21,774,219 | ||||
| 8,600,000 | 4.13%, 11/15/32 | 8,782,750 | ||||
| 32,000,000 | 3.50%, 2/15/33 | 31,155,000 | ||||
| 12,800,000 | 3.38%, 5/15/33 | 12,336,000 | ||||
|
|
|
| ||||
| 205,398,480 | ||||||
|
|
|
| ||||
| Total U.S. Treasury Obligations |
305,403,013 | |||||
|
|
|
| ||||
| Shares | ||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.6%): |
||||||
| $10,544,401 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(d)(e) | 10,544,401 | ||||
|
|
|
| ||||
| Total Short-Term Security Held as Collateral for Securities on Loan (Cost $10,544,401) |
10,544,401 | |||||
|
|
|
| ||||
| Unaffiliated Investment Company (4.5%): |
| |||||
| Money Markets (4.5%): |
| |||||
| 73,720,653 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(e) | 73,720,653 | ||||
|
|
|
| ||||
| Total Unaffiliated Investment Company |
73,720,653 | |||||
|
|
|
| ||||
| Total Investment Securities (Cost $1,752,464,542) — 105.6% |
1,717,198,987 | |||||
|
|
|
| ||||
| Net other assets (liabilities) — (5.6)% |
(91,465,674) | |||||
|
|
|
| ||||
| Net Assets — 100.0% |
$ | 1,625,733,313 | ||||
|
|
|
| ||||
| GO | - General Obligation |
| H15T1Y | - 1 Year Treasury Constant Maturity Rate |
| H15T5Y | - 5 Year Treasury Constant Maturity Rate |
See accompanying notes to the financial statements.
28
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| 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 |
Percentages indicated are based on net assets as of June 30, 2023.
| * | Non-income producing security. |
| † | Represents less than 0.05%. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. |
| (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 June 30, 2023. |
| (c) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| + | This security, in part or entirely, represents an unfunded loan commitment. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $10,163,320. |
| (d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2023. |
| (e) | The rate represents the effective yield at June 30, 2023. |
Futures Contracts
At June 30, 2023, 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 September Futures (U.S. Dollar) |
9/15/23 | 75 | $ | 16,830,938 | $ | 398,099 | ||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
| $ | 398,099 | |||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
See accompanying notes to the financial statements.
29
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
||||
| Investment securities, at cost |
$ | 1,752,464,542 | ||
|
|
|
|||
| Investment securities, at value(a) |
$ | 1,717,198,987 | ||
| Deposit at broker for futures contracts collateral |
873,600 | |||
| Interest and dividends receivable |
9,385,845 | |||
| Foreign currency, at value (cost $2,553) |
2,558 | |||
| Receivable for investments sold |
7,402,923 | |||
| Receivable for TBA investments sold |
22,740,266 | |||
| Receivable for variation margin on futures contracts |
204,451 | |||
| Reclaims receivable |
3,424 | |||
| Prepaid expenses |
4,951 | |||
|
|
|
|||
| Total Assets |
1,757,817,005 | |||
|
|
|
|||
| Liabilities: |
||||
| Cash overdraft |
1,481 | |||
| Payable for investments purchased |
7,429,111 | |||
| Payable for TBA investments purchased |
110,896,037 | |||
| Payable for capital shares redeemed |
2,238,957 | |||
| Payable for collateral received on loaned securities |
10,544,401 | |||
| Management fees payable |
548,995 | |||
| Administration fees payable |
41,166 | |||
| Distribution fees payable |
315,030 | |||
| Custodian fees payable |
8,009 | |||
| Administrative and compliance services fees payable |
2,875 | |||
| Transfer agent fees payable |
1,951 | |||
| Trustee fees payable |
14,166 | |||
| Other accrued liabilities |
41,513 | |||
|
|
|
|||
| Total Liabilities |
132,083,692 | |||
|
|
|
|||
| Commitments and contingent liabilities^ |
||||
|
|
|
|||
| Net Assets |
$ | 1,625,733,313 | ||
|
|
|
|||
| Net Assets Consist of: |
||||
| Paid in capital |
$ | 1,667,410,182 | ||
| Total distributable earnings |
(41,676,869) | |||
|
|
|
|||
| Net Assets |
$ | 1,625,733,313 | ||
|
|
|
|||
| Class 1 |
||||
| Net Assets |
$ | 86,298,965 | ||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
10,395,959 | |||
| Net Asset Value (offering and redemption price per share) |
$ | 8.30 | ||
|
|
|
|||
| Class 2 |
||||
| Net Assets |
$ | 1,539,434,348 | ||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
115,312,016 | |||
| Net Asset Value (offering and redemption price per share) |
$ | 13.35 | ||
|
|
|
|||
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
||||
| Interest |
$ | 16,006,916 | ||
| Dividends |
7,112,439 | |||
| Income from securities lending |
49,414 | |||
| Foreign withholding tax |
(4,219) | |||
|
|
|
|||
| Total Investment Income |
23,164,550 | |||
|
|
|
|||
| Expenses: |
||||
| Management fees |
3,292,016 | |||
| Administration fees |
165,102 | |||
| Distribution fees - Class 2 |
1,807,605 | |||
| Custodian fees |
25,206 | |||
| Administrative and compliance services fees |
9,989 | |||
| Transfer agent fees |
9,005 | |||
| Trustee fees |
40,619 | |||
| Professional fees |
33,139 | |||
| Shareholder reports |
33,852 | |||
| Other expenses |
23,219 | |||
|
|
|
|||
| Total expenses before reductions |
5,439,752 | |||
| Less expense contractually waived/reimbursed by the Manager |
(110,435) | |||
|
|
|
|||
| Net expenses |
5,329,317 | |||
|
|
|
|||
| Net Investment Income/(Loss) |
17,835,233 | |||
|
|
|
|||
| Net realized and Change in net unrealized gains/losses on investments: |
||||
| Net realized gains/(losses) on securities and foreign currencies |
(7,792,013) | |||
| Net realized gains/(losses) on futures contracts |
654,781 | |||
| Net realized gains/(losses) on securities held short |
(89,369) | |||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
107,323,762 | |||
| Change in net unrealized appreciation/depreciation on futures contracts |
876,879 | |||
|
|
|
|||
| Net realized and Change in net unrealized gains/losses on investments |
100,974,040 | |||
|
|
|
|||
| Change in Net Assets Resulting From Operations |
$ | 118,809,273 | ||
|
|
|
| (a) | Includes securities on loan of $10,163,320. |
| ^ | See Note 3 in Notes to the Financial Statements. |
See accompanying notes to the financial statements.
30
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 |
|||||||
| (Unaudited) | ||||||||
| Change In Net Assets: |
||||||||
| Operations: |
||||||||
| Net investment income/(loss) |
$ | 17,835,233 | $ | 26,800,220 | ||||
| Net realized gains/(losses) on investments |
(7,226,601) | (41,659,990) | ||||||
| Change in unrealized appreciation/depreciation on investments |
108,200,641 | (247,561,486) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
118,809,273 | (262,421,256) | ||||||
|
|
|
|
|
|||||
| Distributions to Shareholders: |
||||||||
| Class 1 |
— | (10,958,966) | ||||||
| Class 2 |
— | (109,130,381) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from distributions to shareholders |
— | (120,089,347) | ||||||
|
|
|
|
|
|||||
| Capital Transactions: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
70,339 | 213,171 | ||||||
| Proceeds from dividends reinvested |
— | 10,958,966 | ||||||
| Value of shares redeemed |
(5,307,853) | (12,968,837) | ||||||
|
|
|
|
|
|||||
| Total Class 1 Shares |
(5,237,514) | (1,796,700) | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
170,232,410 | 5,307,519 | ||||||
| Proceeds from shares issued in merger |
62,128,067 | — | ||||||
| Proceeds from dividends reinvested |
— | 109,130,381 | ||||||
| Value of shares redeemed |
(115,298,100) | (202,741,466) | ||||||
|
|
|
|
|
|||||
| Total Class 2 Shares |
117,062,377 | (88,303,566) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from capital transactions |
111,824,863 | (90,100,266) | ||||||
|
|
|
|
|
|||||
| Change in net assets |
230,634,136 | (472,610,869) | ||||||
| Net Assets: |
||||||||
| Beginning of period |
1,395,099,177 | 1,867,710,046 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 1,625,733,313 | $ | 1,395,099,177 | ||||
|
|
|
|
|
|||||
| Share Transactions: |
||||||||
| Class 1 |
||||||||
| Shares issued |
8,791 | 25,660 | ||||||
| Dividends reinvested |
— | 1,451,519 | ||||||
| Shares redeemed |
(664,055) | (1,449,051) | ||||||
|
|
|
|
|
|||||
| Total Class 1 Shares |
(655,264) | 28,128 | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Shares issued |
13,513,774 | 382,308 | ||||||
| Shares issued in merger |
4,953,915 | — | ||||||
| Dividends reinvested |
— | 8,967,163 | ||||||
| Shares redeemed |
(8,926,357) | (14,515,051) | ||||||
|
|
|
|
|
|||||
| Total Class 2 Shares |
9,541,332 | (5,165,580) | ||||||
|
|
|
|
|
|||||
| Change in shares |
8,886,068 | (5,137,452) | ||||||
|
|
|
|
|
|||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
31
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six
Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021^ |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 7.69 | $ | 10.29 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.10 | (a) | 0.17 | (a) | 0.07 | (a) | ||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.51 | (1.67 | ) | 0.52 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
0.61 | (1.50 | ) | 0.59 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.14 | ) | (0.08 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (0.96 | ) | (0.22 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (1.10 | ) | (0.30 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$ | 8.30 | $ | 7.69 | $ | 10.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
7.93 | %(c) | (14.40 | )% | 6.03 | %(c) | ||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) | $ | 86,299 | $ | 85,004 | $ | 113,445 | ||||||||||||||||||
| Net Investment Income/(Loss)(d) | 2.56 | % | 1.95 | % | 1.35 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) | 0.47 | % | 0.47 | % | 0.51 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) | 0.46 | % | 0.46 | % | 0.46 | % | ||||||||||||||||||
| Portfolio Turnover Rate(f) | 37 | % | 72 | % | 115 | % | ||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 12.39 | $ | 15.81 | $ | 14.44 | $ | 13.45 | $ | 12.26 | $ | 13.35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.15 | (a) | 0.24 | (a) | 0.19 | (a) | 0.26 | (a) | 0.31 | (a) | 0.34 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.81 | (2.56 | ) | 1.48 | 1.51 | 1.76 | (0.58 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.96 | (2.32 | ) | 1.67 | 1.77 | 2.07 | (0.24 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.14 | ) | (0.08 | ) | (0.35 | ) | (0.33 | ) | (0.32 | ) | |||||||||||||
| Net Realized Gains |
— | (0.96 | ) | (0.22 | ) | (0.43 | ) | (0.55 | ) | (0.53 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (1.10 | ) | (0.30 | ) | (0.78 | ) | (0.88 | ) | (0.85 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 13.35 | $ | 12.39 | $ | 15.81 | $ | 14.44 | $ | 13.45 | $ | 12.26 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
7.75 | %(c) | (14.56 | )% | 11.65 | % | 13.47 | % | 17.27 | % | (2.02 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) | $ | 1,539,434 | $ | 1,310,095 | $ | 1,754,265 | $ | 558,527 | $ | 559,027 | $ | 539,355 | ||||||||||||
| Net Investment Income/(Loss)(d) | 2.31 | % | 1.70 | % | 1.22 | % | 1.92 | % | 2.35 | % | 2.24 | % | ||||||||||||
| Expenses Before Reductions(d)(e) | 0.72 | % | 0.72 | % | 0.80 | % | 1.03 | % | 1.02 | % | 1.01 | % | ||||||||||||
| Expenses Net of Reductions(d) | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | ||||||||||||
| Portfolio Turnover Rate(f) | 37 | % | 72 | % | 115 | % | 77 | % | 77 | % | 66 | % | ||||||||||||
| ^ | Class 1 activity is 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. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
32
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
33
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 as shown in the Schedule of Portfolio Investments. 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 Investments. All or a portion of any bank loans may be unfunded. The Fund reflects both the funded portion of a bank loan, as well as its unfunded commitment in the Schedule of Portfolio Investments. 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 June 30, 2023 are presented on the Fund’s Schedule of Portfolio Investments.
34
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 $4,885 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $10,544,401 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $11.0 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 June 30, 2023:
| Asset Derivatives |
Liability Derivatives |
|||||||||||||||
| Statement of Assets | Statement of Assets | |||||||||||||||
| Primary Risk Exposure | and Liabilities Location | Total Value | and Liabilities Location | Total Value | ||||||||||||
| Equity Risk |
||||||||||||||||
| Futures Contracts |
Receivable for variation margin on futures contracts* | $398,099 | 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. |
35
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2023:
| Location of Gains/(Losses) | Realized Gains/(Losses) | Change in Net Unrealized | ||||||||||||
| on Derivatives | on Derivatives | Appreciation/Depreciation | ||||||||||||
| Primary Risk Exposure | Recognized | Recognized | on Derivatives Recognized | |||||||||||
| Equity Risk |
||||||||||||||
| Futures Contracts |
Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/ depreciation on futures contracts | $654,781 | $876,879 | |||||||||||
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, FIAM LLC (“FIAM”) to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with the Manager, FIAM provides investment advisory services as the subadviser for the Fund subject to the general supervision of the Trustees and the Manager. 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, 2024.
For the period ended June 30, 2023, 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. The annual rate due to the Subadviser from the Manager is 0.25% of the first $200 million of the Fund’s net assets, 0.20% of the next $200 million of the Fund’s net assets and 0.15% of the Fund’s net assets over $400 million.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager”.
At June 30, 2023, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
| Expires | Expires | Expires | Expires | |||||||||||||||||
| 12/31/2023 | 12/31/2024 | 12/31/2025 | 12/31/2026 | Total | ||||||||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund |
$353,628 | $564,106 | $228,020 | $110,435 | $1,256,189 |
The Fund has not recorded a commitment or contingent liability at June 30, 2023.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, 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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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.
36
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 to 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 determined pursuant to valuation procedures 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. 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 in accordance with valuation procedures approved by the Board. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||
| Common Stocks+ |
$663,397,091 | $599,560 | $— | $663,996,651 | ||||||||||||||||||||||||||||||||||||
| Preferred Stock+ |
149,510 | — | — | 149,510 | ||||||||||||||||||||||||||||||||||||
| Warrants+ |
79,903 | — | — | 79,903 | ||||||||||||||||||||||||||||||||||||
| Asset Backed Securities |
— | 7,672,649 | — | 7,672,649 | ||||||||||||||||||||||||||||||||||||
| Collateralized Mortgage Obligations |
— | 87,495,349 | 86,552 | 87,581,901 | ||||||||||||||||||||||||||||||||||||
| Convertible Bonds+ |
— | 696,591 | — | 696,591 | ||||||||||||||||||||||||||||||||||||
| Bank Loans |
— | 1,920,559 | — | 1,920,559 | ||||||||||||||||||||||||||||||||||||
| Corporate Bonds+ |
— | 292,439,831 | — | # | 292,439,831 | |||||||||||||||||||||||||||||||||||
| Yankee Debt Obligations+ |
— | 69,526,812 | — | 69,526,812 | ||||||||||||||||||||||||||||||||||||
| Municipal Bonds |
— | 3,540,594 | — | 3,540,594 | ||||||||||||||||||||||||||||||||||||
| U.S. Government Agency Mortgages |
— | 199,925,919 | — | 199,925,919 | ||||||||||||||||||||||||||||||||||||
| U.S. Treasury Obligations |
— | 305,403,013 | — | 305,403,013 | ||||||||||||||||||||||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
10,544,401 | — | — | 10,544,401 | ||||||||||||||||||||||||||||||||||||
37
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
| Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||
| Unaffiliated Investment Companies |
$73,720,653 | $— | $— | $73,720,653 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Total Investment Securities |
747,891,558 | 969,220,877 | 86,552 | 1,717,198,987 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||||||||||||||||||||||
| Futures Contracts |
398,099 | — | — | 398,099 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Total Investments |
$748,289,657 | $969,220,877 | $86,552 | $1,717,597,086 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| + | 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 June 30, 2023. |
| * | 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 period ended June 30, 2023 cost of purchases and proceeds from sales of securities (excluding fund merger transactions and securities maturing less than one year from acquisition) were as follows:
| Purchases | Sales | |||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund |
$ | 593,935,872 | $ | 466,721,848 | ||||||||
For the period ended June 30, 2023 purchases and sales of long-term U.S. government securities were as follows:
| Purchases | Sales | |||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund |
$ | 160,442,882 | $ | 48,017,352 | ||||||||
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 June 30, 2023 are identified below.
| Shares or | ||||||||||||||||||||||||||
| Acquisition | Acquisition | Principal | Fair | Percentage of Net | ||||||||||||||||||||||
| Security | Date(a) | Cost | Amount | Value | Assets | |||||||||||||||||||||
| Mesquite Energy, Inc, 15.00%, 7/15/23 |
7/10/20 | $ | 26,314 | 31,702 | $ | 31,702 | 0.00% | |||||||||||||||||||
| Mesquite Energy, Inc., 13.00%, 7/15/23 |
11/5/20 | 46,000 | 54,850 | 54,850 | 0.00% | |||||||||||||||||||||
| Sanchez Energy Corp, 7.25%, 2/15/23 |
10/30/18 | 286,488 | 278,000 | – | 0.00% | |||||||||||||||||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
38
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such companies.
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 ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis 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 the transition period, 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.
8. Coronavirus (COVID-19) Pandemic
The global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
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.
39
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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, 2022 is $1,640,453,507. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$7,775,519 | |||
| Unrealized (depreciation) |
(176,907,925) | |||
|
|
|
|||
| Net unrealized appreciation/(depreciation) |
$(169,132,406) | |||
|
|
|
As of the end of its tax year ended December 31, 2022, 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.
CLCFs not subject to expiration:
| Short-Term | Long-Term | |||||||||||
| Amount | Amount | Total | ||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund |
$17,799,083 | $— | $17,799,083 |
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Net | ||||||||||
| Ordinary | Long-Term | |||||||||
| Income | Capital Gains | Total Distributions(a) | ||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund |
$42,108,022 | $77,981,325 | $120,089,347 |
| (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, 2022, the components of accumulated earnings on a tax basis were as follows:
| Undistributed | Undistributed | Accumulated | Unrealized | Total | ||||||||||||||
| Ordinary | Long-Term | Capital and | Appreciation/ | Accumulated | ||||||||||||||
| Income | Capital Gains | Other Losses | Depreciation(a) | Earnings/(Deficit) | ||||||||||||||
| AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $26,438,940 | $— | $(17,799,083) | $(169,125,999) | $(160,486,142) |
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
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 June 30, 2023 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 this shareholder could have a material impact to the Fund.
11. Acquisition of Funds
Effective as of the close of business March 10, 2023, the Fund acquired all the assets and liabilities of the AZL Gateway Fund (“Gateway Fund”), an open-end management investment company, pursuant to a plan of reorganization approved by the Board on December 13, 2022 (the “Plan”). The acquisition was accomplished by a taxable exchange of 9,596,369 shares of the Gateway Fund outstanding as of close of business March 10, 2023, valued at $62,128,067 for Class 2 shares of the Fund.
At the close of business March 10, 2023, the Gateway Fund’s investment holdings had a fair value of $62,047,868 and identified cost of $62,047,868. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value, including the cost basis of investments received. All fees and expenses incurred by the Gateway Fund and the Fund directly in connection with the Plan were borne by the Manager. There are no material differences in accounting policies of the Gateway Fund as compared to those of the Fund.
Assuming the acquisition had been completed on January 1, 2023, the beginning of the semi-annual reporting period of the Fund, the Fund’s pro forma results of operations for the period ended June 30, 2023, are as follows:
| Net investment income/(loss) |
$ 18,594,046 | |||
| Net realized/unrealized gains/(losses) |
167,675,745 | |||
|
|
|
|||
| Change in net assets resulting from operations |
$186,269,791 | |||
|
|
|
40
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Gateway Fund that have been included in the Fund’s Statement of Operations subsequent to March 10, 2023. The Fund did not purchase or sell securities following the acquisition for purposes of realigning its investment portfolio. Accordingly, the acquisition of the Gateway Fund did not affect the Fund’s portfolio turnover ratio for the period ended June 30, 2023.
12. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for the Fund.
13. 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.
41
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
42
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
43
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 | |
AZL® Fidelity Institutional Asset Management Total Bond Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 22 |
|
Page 22 |
| Statements of Changes in Net Assets Page 23 |
|
Page 24 |
| Notes to the Financial Statements Page 25 |
|
Page 32 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 33 |
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
(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 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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 |
$ | 1,000.00 | $ | 1,031.00 | $ | 2.87 | 0.57 | % | ||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 |
$ | 1,000.00 | $ | 1,029.90 | $ | 4.13 | 0.82 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 |
$ | 1,000.00 | $ | 1,021.97 | $ | 2.86 | 0.57 | % | ||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 |
$ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 | |||
| Corporate Bonds |
29.8 | % | ||
| U.S. Treasury Obligations |
25.5 | |||
| U.S. Government Agency Mortgages |
20.7 | |||
| Collateralized Mortgage Obligations |
10.7 | |||
| Yankee Debt Obligations |
8.1 | |||
| Asset Backed Securities |
4.0 | |||
| Short-Term Security Held as Collateral for Securities on Loan |
1.6 | |||
| Municipal Bonds |
0.9 | |||
| Common Stocks |
0.6 | |||
| Unaffiliated Investment Company |
0.6 | |||
| Bank Loans |
0.4 | |||
| Convertible Bonds |
0.1 | |||
| Preferred Stock |
— | † | ||
| Warrant |
— | † | ||
|
|
|
| ||
| Total Investment Securities |
103.0 | |||
| Net other assets (liabilities) |
(3.0 | ) | ||
|
|
|
| ||
| Net Assets |
100.0 | % | ||
|
|
|
| ||
| † | Represents less than 0.05%. |
3
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (0.6%): |
||||||
| Oil, Gas & Consumable Fuels (0.6%): |
||||||
| 22 | Amplify Energy Corp.* | $ | 149 | |||
| 1,149 | Denbury, Inc.* | 99,113 | ||||
| 5,889 | Sanchez Energy Corp.* | 880,174 | ||||
|
|
|
| ||||
| Total Common Stocks (Cost $161,768) |
979,436 | |||||
|
|
|
| ||||
| Preferred Stock (0.0%†): |
||||||
| Electric Utilities (0.0%†): |
||||||
| 300 | PG&E Corp., 8/16/23 | 44,853 | ||||
|
|
|
| ||||
| Total Preferred Stock (Cost $35,219) |
44,853 | |||||
|
|
|
| ||||
| Contracts | Value | |||||
| Warrant (0.0%†): |
||||||
| Oil, Gas & Consumable Fuels (0.0%†): |
||||||
| 95 | California Resources Corp., 10/27/24 | 1,127 | ||||
|
|
|
| ||||
| Total Warrant (Cost $—) |
1,127 | |||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Asset Backed Securities (4.0%): |
||||||
| $686,537 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | 571,905 | ||||
| 502,439 | Aaset Trust, Class A, Series 2021-2A, 2.80%, 1/15/47(a) | 427,383 | ||||
| 267,342 | Aaset Trust, Class A, Series 2021-1A, 2.95%, 11/16/41(a) | 235,680 | ||||
| 138,939 | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | 69,541 | ||||
| 123,838 | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | 104,037 | ||||
| 318,704 | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | 267,032 | ||||
| 139,065 | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | 100,482 | ||||
| 193,277 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 120,606 | ||||
| 45,333 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 43,239 | ||||
| 512,341 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 472,299 | ||||
| 398,765 | Blackbird Capital Aircraft, Class A, Series 2021-1A, 2.44%, 7/15/46, Callable 7/15/28 @ 100(a) | 338,923 | ||||
| 181,239 | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 164,801 | ||||
| 186,315 | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | 134,655 | ||||
| 309,266 | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | 274,552 | ||||
| 154,946 | Castlelake Aircraft Structured Trust, Class A, Series 2021-1A, 3.47%, 1/15/46(a) | 141,386 | ||||
| 514,576 | CF Hippolyta LLC, Class A1, Series 2021-A, 1.53%, 3/15/61, Callable 3/15/24 @ 100(a) | 446,244 | ||||
| 197,166 | Horizon Aircraft Finance, Ltd., Class A, Series 2018- 1, 4.46%, 12/15/38(a) | 170,021 | ||||
| 189,077 | Horizon Aircraft Finance, Ltd., Class A, Series 2019- 1, 3.72%, 7/15/39(a) | 160,508 | ||||
| 325,205 | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | 275,532 | ||||
| Principal Amount | Value | |||||
| Asset Backed Securities, continued |
||||||
| $214,288 | Planet Fitness Master Issuer LLC, Class A2II, Series 2022-1A, 4.01%, 12/5/51, Callable 12/5/27 @ 100(a) | $ | 170,169 | |||
| 250,825 | Planet Fitness Master Issuer LLC, Class A2I, Series 2022-1A, 3.25%, 12/5/51, Callable 12/5/24 @ 100(a) | 222,650 | ||||
| 325,734 | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | 271,563 | ||||
| 303,531 | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | 255,173 | ||||
| 233,783 | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | 164,014 | ||||
| 455,682 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | 378,152 | ||||
| 292,692 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) |
268,039 | ||||
| 413,981 | Thunderbolt II Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | 342,279 | ||||
|
|
|
| ||||
| Total Asset Backed Securities (Cost $7,849,985) |
6,590,865 | |||||
|
|
|
| ||||
| Collateralized Mortgage Obligations (10.7%): |
||||||
| 273,000 | Allegro CLO XIII, Ltd., Class A, Series 2021-1A, 6.39%(US0003M+114bps), 7/20/34, Callable 7/20/23 @ 100(a) | 266,838 | ||||
| 254,000 | Allegro CLO XV, Ltd., Class A, Series 2022-1A, 6.55%(TSFR3M+150bps), 7/20/35, Callable 7/20/24 @ 100(a) | 249,866 | ||||
| 250,000 | Ares CLO, Ltd., Class AR2, Series 2015-2A, 6.51%(US0003M+125bps), 4/17/33, Callable 7/17/23 @ 100(a) | 245,868 | ||||
| 408,000 | Ares LVIII CLO, Ltd., Class AR, Series 2020-58A, 6.32%(TSFR3M+133bps), 1/15/35, Callable 1/15/24 @ 100(a) | 396,430 | ||||
| 227,000 | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2022-DKLX, 6.30%(TSFR1M+115bps), 1/15/39(a) | 220,636 | ||||
| 100,000 | BAMLL Commercial Mortgage Securities Trust, Class C, Series 2022-DKLX, 7.30%(TSFR1M+215bps), 1/15/39(a) | 96,013 | ||||
| 273,000 | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | 256,046 | ||||
| 100,000 | BAMLL Commercial Mortgage Securities Trust, Class BNM, Series 2019-BPR, 3.47%, 11/5/32(a) | 84,468 | ||||
| 201,000 | BFLD Trust, Class A, Series 2020-OBRK, 7.31%(US0001M+205bps), 11/15/28(a) | 200,353 | ||||
| 197,000 | BPR Trust, Class B, Series 2022-OANA, 7.59%(TSFR1M+245bps), 4/15/37(a) | 192,395 | ||||
| 185,000 | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 7.09%(US0001M+190bps), 4/15/34(a) | 180,862 | ||||
| 176,000 | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 6.79%(US0001M+160bps), 4/15/34(a) | 172,197 | ||||
| 266,000 | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 6.49%(US0001M+130bps), 4/15/34(a) | 260,759 | ||||
| 400,000 | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 6.19%(US0001M+100bps), 4/15/34(a) | 395,677 | ||||
| 238,850 | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 6.51%(US0001M+125bps), 10/15/36(a) | 236,321 | ||||
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $476,000 | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 7.06%(US0001M+180bps), 10/15/36(a) | $ | 469,521 | |||
| 160,611 | BX Commercial Mortgage Trust, Class D, Series 2022-LP2, 7.11%(TSFR1M+196bps), 2/15/39(a) | 153,128 | ||||
| 339,150 | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 6.71%(US0001M+145bps), 10/15/36(a) | 335,147 | ||||
| 160,611 | BX Commercial Mortgage Trust, Class B, Series 2022-LP2, 6.46%(TSFR1M+131bps), 2/15/39(a) | 154,038 | ||||
| 160,611 | BX Commercial Mortgage Trust, Class C, Series 2022-LP2, 6.71%(TSFR1M+156bps), 2/15/39(a) | 152,084 | ||||
| 100,000 | BX Mortgage Trust, Class C, Series 2021-PAC, 6.29%(US0001M+110bps), 10/15/36(a) | 95,628 | ||||
| 100,000 | BX Mortgage Trust, Class D, Series 2021-PAC, 6.49%(US0001M+130bps), 10/15/36(a) | 94,785 | ||||
| 302,000 | BX Mortgage Trust, Class E, Series 2021-PAC, 7.14%(US0001M+195bps), 10/15/36(a) | 287,666 | ||||
| 35,710 | BX Trust, Class D, Series 2022-IND, 7.99%(TSFR1M+284bps), 4/15/24(a) | 34,240 | ||||
| 42,119 | BX Trust, Class C, Series 2022-IND, 7.44%(TSFR1M+229bps), 4/15/24(a) | 41,121 | ||||
| 161,375 | Cascade Funding Mortgage Trust, Class A, Series 2021-HB6, 0.90%, 6/25/36, Callable 7/25/23 @ 100(a)(b) | 152,285 | ||||
| 336,000 | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016- 6A, 6.30%(US0003M+105bps), 4/20/34, Callable 7/20/23 @ 100(a) | 327,209 | ||||
| 264,000 | Cedar Funding X CLO, Ltd., Class AR, Series 2019- 10A, 6.35%(US0003M+110bps), 10/20/32, Callable 7/20/23 @ 100(a) | 259,858 | ||||
| 250,000 | Cedar Funding XII CLO, Ltd., Class A1R, Series 2020-12A, 6.39%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(a) | 245,114 | ||||
| 387,000 | Cedar Funding XV CLO, Ltd., Class A, Series 2022- 15A, 6.37%(TSFR3M+132bps), 4/20/35, Callable 4/20/24 @ 100(a) | 377,015 | ||||
| 59,998 | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 6.94%(US0001M+175bps), 6/15/34(a) | 58,479 | ||||
| 328,000 | Columbia Cent CLO 29, Ltd., Class AR, Series 2020- 29A, 6.42%(US0003M+117bps), 10/20/34, Callable 10/20/23 @ 100(a) | 318,837 | ||||
| 580,000 | Columbia Cent CLO 30, Ltd., Class A1, Series 2020- 30A, 6.56%(US0003M+131bps), 1/20/34, Callable 7/20/23 @ 100(a) | 570,685 | ||||
| 440,000 | Columbia Cent CLO 31, Ltd., Class A1, Series 2021- 31A, 6.45%(US0003M+120bps), 4/20/34, Callable 7/20/23 @ 100(a) | 428,685 | ||||
| 116,301 | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(a) | 102,559 | ||||
| 309,000 | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | 299,214 | ||||
| 100,000 | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | 96,415 | ||||
| 128,000 | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | 120,746 | ||||
| 1,384,000 | CSMC Trust, Class D, Series 2017-PFHP, 7.44%(US0001M+225bps), 12/15/30(a) | 1,309,041 | ||||
| 100,000 | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | 96,020 | ||||
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
| |||||
| $250,000 | Dryden 98 CLO, Ltd., Class A, Series 2022-98A, 6.35%(TSFR3M+130bps), 4/20/35, Callable 4/20/24 @ 100(a) | $ | 242,672 | |||
| 250,000 | Eaton Vance CLO, Ltd., Class A13R, Series 2013-1A, 6.51%(US0003M+125bps), 1/15/34, Callable 7/15/23 @ 100(a) | 245,121 | ||||
| 378,000 | Eaton Vance CLO, Ltd., Class AR, Series 2020-2A, 6.41%(US0003M+115bps), 1/15/35, Callable 1/15/24 @ 100(a) | 371,804 | ||||
| 130,105 | Extended Stay America Trust, Class D, Series 2021- ESH, 7.44%(US0001M+225bps), 7/15/38(a) | 126,467 | ||||
| 96,374 | Extended Stay America Trust, Class C, Series 2021- ESH, 6.89%(US0001M+170bps), 7/15/38(a) | 93,786 | ||||
| 250,000 | Flatiron CLO 19, Ltd., Class AR, Series 2019-1A, 6.40%(US0003M+108bps), 11/16/34, Callable 8/16/23 @ 100(a) | 246,271 | ||||
| 250,000 | Flatiron CLO 21, Ltd., Class A1, Series 2021-1A, 6.37%(US0003M+111bps), 7/19/34, Callable 7/19/23 @ 100(a) | 246,065 | ||||
| 100,000 | GS Mortgage Securities Corp. Trust, Class B, Series 2021-IP, 6.34%(US0001M+115bps), 10/15/36(a) | 92,508 | ||||
| 250,000 | Invesco CLO, Ltd., Class A, Series 2021-3A, 6.40%(US0003M+113bps), 10/22/34, Callable 10/22/23 @ 100(a) | 245,286 | ||||
| 97,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | 88,274 | ||||
| 133,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | 118,927 | ||||
| 63,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | 58,221 | ||||
| 506,000 | KKR CLO 41, Ltd., Class A1, Series 2022-41A, 6.32%(TSFR3M+133bps), 4/15/35, Callable 4/15/24 @ 100(a) | 490,554 | ||||
| 173,000 | Life Mortgage Trust, Class D, Series 2022-BMR2, 7.69%(TSFR1M+254bps), 5/15/39, Callable 5/15/24 @ 100(a) | 164,409 | ||||
| 98,297 | Life Mortgage Trust, Class E, Series 2021-BMR, 7.01%(US0001M+175bps), 3/15/38(a) | 93,954 | ||||
| 194,000 | Life Mortgage Trust, Class C, Series 2022-BMR2, 7.24%(TSFR1M+209bps), 5/15/39, Callable 5/15/24 @ 100(a) | 188,547 | ||||
| 98,297 | Life Mortgage Trust, Class C, Series 2021-BMR, 6.36%(US0001M+110bps), 3/15/38(a) | 94,650 | ||||
| 98,297 | Life Mortgage Trust, Class D, Series 2021-BMR, 6.66%(US0001M+140bps), 3/15/38(a) | 94,497 | ||||
| 369,000 | Madison Park Funding LII, Ltd., Class A, Series 2021-52A, 6.37%(US0003M+110bps), 1/22/35, Callable 1/22/24 @ 100(a) | 360,906 | ||||
| 400,000 | Magnetite XXX, Ltd., Class A, Series 2021-30A, 6.39%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(a) | 392,578 | ||||
| 46,865 | Mesquite Energy, Inc., 15.00%(LIBOR+0bps), 7/15/23(a)(c) | 46,865 | ||||
| 79,890 | Mesquite Energy, Inc., 13.00%(LIBOR+800bps), 7/15/23(a)(c) | 79,890 | ||||
| 723,200 | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 6.69%(US0001M+150bps), 6/15/35(a) | 519,434 | ||||
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Collateralized Mortgage Obligations, continued |
||||||
| $82,000 | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.28%, 11/10/36, Callable 11/10/24 @ 100(a)(b) | $ | 75,445 | |||
| 300,000 | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 6.44%(US0001M+125bps), 6/15/35(a) | 250,674 | ||||
| 86,000 | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | 80,130 | ||||
| 593,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a) | 556,954 | ||||
| 24,835 | Prima Capital CRE Securitization, Class A, Series 2021-9A, 6.61%(US0001M+145bps), 12/15/37, Callable 5/25/24 @ 100(a) | 24,758 | ||||
| 420,000 | RR 7, Ltd., Class A1AB, Series 2019-7A, 6.33%(TSFR3M+134bps), 1/15/37, Callable 7/15/23 @ 100(a) | 410,607 | ||||
| 53,000 | SPGN Mortgage Trust, Class C, Series 2022-TFLM, 7.80%(TSFR1M+265bps), 2/15/39, Callable 2/15/24 @ 100(a) | 49,905 | ||||
| 103,000 | SPGN Mortgage Trust, Class B, Series 2022-TFLM, 7.15%(TSFR1M+200bps), 2/15/39, Callable 2/15/24 @ 100(a) | 98,350 | ||||
| 146,000 | SREIT Trust, Class C, Series 2021-MFP, 6.52%(US0001M+133bps), 11/15/38(a) | 140,633 | ||||
| 100,000 | SREIT Trust, Class D, Series 2021-MFP, 6.77%(US0001M+158bps), 11/15/38(a) | 95,936 | ||||
| 350,000 | Symphony CLO XXVI, Ltd., Class AR, Series 2021- 26A, 6.33%(US0003M+108bps), 4/20/33, Callable 7/20/23 @ 100(a) | 344,099 | ||||
| 20,000 | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(a) | 15,445 | ||||
| 250,000 | Voya CLO, Ltd., Class AR, Series 2020-1A, 6.41%(US0003M+115bps), 7/16/34, Callable 7/16/23 @ 100(a) | 245,751 | ||||
| 516,000 | Voya CLO, Ltd., Class A, Series 2019-2, 6.52%(US0003M+127bps), 7/20/32, Callable 7/20/23 @ 100(a) | 510,584 | ||||
| 250,000 | Voya CLO, Ltd., Class A1R, Series 2020-2A, 6.42%(US0003M+116bps), 7/19/34, Callable 7/19/23 @ 100(a) | 245,413 | ||||
|
|
|
| ||||
| Total Collateralized Mortgage Obligations |
17,880,619 | |||||
|
|
|
| ||||
| Convertible Bonds (0.1%): |
||||||
| Entertainment (0.0%†): |
||||||
| 17,000 | Live Nation Entertainment, Inc., 2.00%, 2/15/25 | 18,041 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.0%†): |
||||||
| 18,000 | Booking Holdings, Inc., 0.75%, 5/1/25 | 26,888 | ||||
| 15,000 | Vail Resorts, Inc., 4.70%, 1/1/26 | 13,368 | ||||
|
|
|
| ||||
| 40,256 | ||||||
|
|
|
| ||||
| Leisure Products (0.0%†): |
||||||
| 13,000 | Callaway Golf Co., 2.75%, 5/1/26 | 16,963 | ||||
|
|
|
| ||||
| Media (0.1%): |
||||||
| 35,000 | DISH Network Corp., 2.38%, 3/15/24 | 31,204 | ||||
| 89,000 | DISH Network Corp., 3.38%, 8/15/26 | 44,367 | ||||
|
|
|
| ||||
| 75,571 | ||||||
|
|
|
| ||||
| Professional Services (0.0%†): |
||||||
| 13,000 | KBR, Inc., 2.50%, 11/1/23 | 33,537 | ||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Convertible Bonds, continued |
||||||
| Semiconductors & Semiconductor Equipment (0.0%†): |
| |||||
| $8,000 | ON Semiconductor Corp., 1.63%, 10/15/23 | $ | 36,723 | |||
|
|
|
| ||||
| Total Convertible Bonds (Cost $212,501) |
221,091 | |||||
|
|
|
| ||||
| Bank Loans (0.4%): |
||||||
| Chemicals (0.0%†): | ||||||
| 24,563 | Consolidated Energy Term Incr B 1Ln, 8.56% (LIBOR+350bps ) | 23,826 | ||||
| 9,875 | Diversey Term B 1Ln, 0.00% (LIBOR+275bps ), 9/14/28 | 9,859 | ||||
|
|
|
| ||||
| 33,685 | ||||||
|
|
|
| ||||
| Construction & Engineering (0.0%†): |
||||||
| 50,000 | Convergint Tech Term 2Ln, 9.14% (Term SOFR+675bps ), 3/31/29 | 44,104 | ||||
| 9,825 | Convergint Tech Term B 1Ln, 11.89% (Term SOFR+375bps ), 3/31/28 | 9,626 | ||||
|
|
|
| ||||
| 53,730 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.1%): |
||||||
| 5,000 | Ascend Learning Term 2Ln, 10.89% (Term SOFR+575bps ), 12/10/29 | 4,229 | ||||
| 74,063 | Ascend Learning Term B 1Ln, 8.64% (Term SOFR+350bps ), 12/10/28 | 69,468 | ||||
|
|
|
| ||||
| 73,697 | ||||||
|
|
|
| ||||
| Health Care Providers & Services (0.1%): |
||||||
| 104,735 | Cano Health Term B, 9.14% (Term SOFR+400bps ), 11/23/27 | 87,715 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.1%): |
||||||
| 108,625 | City Football Group Term B 1Ln, 8.06% (LIBOR+300bps ), 7/21/28 | 106,453 | ||||
| 75,095 | Diamond Sports Group Term 2Ln, 8.64% (Term SOFR+350bps ), 8/24/26 | 2,315 | ||||
| 51,241 | Golden Entertainment Term B 1Ln, 8.06% (LIBOR+300bps ), 10/20/24 | 51,161 | ||||
|
|
|
| ||||
| 159,929 | ||||||
|
|
|
| ||||
| Industrial Products (0.0%†): |
||||||
| 49,750 | Westinghouse Term 1Ln, 8.89% (Term SOFR+375bps ), 8/1/25 | 49,738 | ||||
|
|
|
| ||||
| Media (0.0%†): |
||||||
| 19,850 | Authentic Brands Term B1 1Ln, 8.64% (Term SOFR+350bps ), 12/21/28 | 19,736 | ||||
|
|
|
| ||||
| Software (0.0%†): |
||||||
| 6,771 | Ion Analytics Term 1Ln, 9.14% (Term SOFR+400bps ), 2/16/28 | 6,676 | ||||
|
|
|
| ||||
| Software & Computer Services (0.0%†): |
||||||
| 55,000 | UKG, Term 2Ln, 10.39% (Term SOFR+525bps ), 5/3/27 | 53,193 | ||||
|
|
|
| ||||
| Software & Tech Services (0.1%): |
||||||
| 48,664 | Athenahealth Term B 1Ln, 8.64% (Term SOFR+350bps ), 2/15/29 | 46,778 | ||||
| 5,978 | Athenahealth Term DD 1Ln, 8.56% (LIBOR+350bps ), 2/15/29+ | 5,747 | ||||
| 125,000 | Nielsen Holdings Term B 1Ln, 10.14% (Term SOFR+500bps ), 4/11/29 | 109,750 | ||||
|
|
|
| ||||
| 162,275 | ||||||
|
|
|
| ||||
| Total Bank Loans (Cost $764,730) |
700,374 | |||||
|
|
|
| ||||
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds (29.8%): |
||||||
| Aerospace & Defense (0.6%): |
||||||
| $214,000 | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | $ | 211,677 | |||
| 100,000 | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | 99,606 | ||||
| 200,000 | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | 197,659 | ||||
| 55,000 | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 8/7/23 @ 102.06(a) | 50,325 | ||||
| 30,000 | Howmet Aerospace, Inc., 5.95%, 2/1/37 | 30,187 | ||||
| 30,000 | Moog, Inc., 4.25%, 12/15/27, Callable 8/7/23 @ 103.19(a) | 27,788 | ||||
| 60,000 | TransDigm UK Holdings plc, 6.88%, 5/15/26, Callable 8/7/23 @ 101.72 | 59,400 | ||||
| 60,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 8/7/23 @ 100 | 59,025 | ||||
| 55,000 | TransDigm, Inc., 7.50%, 3/15/27, Callable 8/7/23 @ 101.88 | 54,863 | ||||
| 160,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 8/7/23 @ 102.75 | 150,800 | ||||
|
|
|
| ||||
| 941,330 | ||||||
|
|
|
| ||||
| Air Freight & Logistics (0.0%†): |
||||||
| 45,000 | Cargo Aircraft Management, Inc., 4.75%, 2/1/28, Callable 7/24/23 @ 102.38(a) | 39,206 | ||||
| 38,000 | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 8/7/23 @ 101.56(a) | 37,620 | ||||
|
|
|
| ||||
| 76,826 | ||||||
|
|
|
| ||||
| Automobile Components (0.0%†): |
||||||
| 20,000 | Clarios Global LP/Clarios US Finance Co., 6.75%, 5/15/28, Callable 5/15/25 @ 103.38(a) | 19,925 | ||||
| 25,000 | Dana, Inc., 4.50%, 2/15/32, Callable 2/15/27 @ 102.25 | 20,688 | ||||
|
|
|
| ||||
| 40,613 | ||||||
|
|
|
| ||||
| Automobiles (0.0%†): |
||||||
| 30,000 | Thor Industries, Inc., 4.00%, 10/15/29, Callable 10/15/24 @ 102(a) | 25,463 | ||||
|
|
|
| ||||
| Banks (3.0%): |
||||||
| 612,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 592,963 | ||||
| 128,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 124,021 | ||||
| 790,000 | Bank of America Corp., 5.02% (SOFR+216 bps), 7/22/33, Callable 7/22/32 @ 100^ | 767,779 | ||||
| 120,000 | CIT Group, Inc., 6.13%, 3/9/28 | 116,416 | ||||
| 770,000 | Citigroup, Inc., 4.30%, 11/20/26 | 735,876 | ||||
| 150,000 | Citigroup, Inc., 4.91% (SOFR+209 bps), 5/24/33, Callable 5/24/32 @ 100 | 144,657 | ||||
| 100,000 | Citizens Financial Group, Inc., 2.64%, 9/30/32, Callable 7/2/32 @ 100 | 69,683 | ||||
| 1,250,000 | JPMorgan Chase & Co., 4.59% (SOFR+180 bps), 4/26/33, Callable 4/26/32 @ 100 | 1,187,658 | ||||
| 449,000 | Wells Fargo & Co., 3.53% (SOFR+151 bps), 3/24/28, Callable 3/24/27 @ 100 | 418,962 | ||||
| 925,000 | Wells Fargo & Co., 4.90% (SOFR+210 bps), 7/25/33, Callable 7/25/32 @ 100 | 886,576 | ||||
|
|
|
| ||||
| 5,044,591 | ||||||
|
|
|
| ||||
| Beverages (0.5%): |
||||||
| 250,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 232,005 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Beverages, continued |
||||||
| $509,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | $ | 470,760 | |||
| 100,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | 108,486 | ||||
|
|
|
| ||||
| 811,251 | ||||||
|
|
|
| ||||
| Biotechnology (0.3%): |
||||||
| 154,000 | Amgen, Inc., 5.25%, 3/2/30, Callable 1/2/30 @ 100 | 154,393 | ||||
| 174,000 | Amgen, Inc., 5.25%, 3/2/33, Callable 12/2/32 @ 100 | 174,240 | ||||
| 165,000 | Amgen, Inc., 5.60%, 3/2/43, Callable 9/2/42 @ 100 | 164,669 | ||||
| 70,000 | Emergent BioSolutions, Inc., 3.88%, 8/15/28, Callable 8/15/23 @ 101.94(a) | 38,850 | ||||
|
|
|
| ||||
| 532,152 | ||||||
|
|
|
| ||||
| Building Products (0.1%): |
||||||
| 110,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 7/24/23 @ 102.5(a) | 104,225 | ||||
| 25,000 | Builders FirstSource, Inc., 4.25%, 2/1/32, Callable 8/1/26 @ 102.13(a) | 21,750 | ||||
| 15,000 | Roller Bearing Co. of America, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19(a) | 13,387 | ||||
|
|
|
| ||||
| 139,362 | ||||||
|
|
|
| ||||
| Capital Markets (1.9%): |
||||||
| 340,000 | Affiliated Managers Group, Inc., 3.50%, 8/1/25 | 321,101 | ||||
| 540,000 | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | 499,348 | ||||
| 20,000 | Charles Schwab Corp. (The), 5.38% (H15T5Y+497 bps), Callable 6/1/25 @ 100 | 19,250 | ||||
| 40,000 | Charles Schwab Corp. (The), 4.00% (H15T10Y+308 bps), 12/31/99, Callable 12/1/30 @ 100 | 29,350 | ||||
| 530,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 489,277 | ||||
| 270,000 | Goldman Sachs Group, Inc. (The), 3.10% (SOFR+141 bps), 2/24/33, Callable 2/24/32 @ 100 | 228,111 | ||||
| 90,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 96,748 | ||||
| 75,000 | Hightower Holding LLC, 6.75%, 4/15/29, Callable 4/15/24 @ 103.38(a) | 64,687 | ||||
| 10,000 | LCM Investments Holdings II LLC, 4.88%, 5/1/29, Callable 5/1/24 @ 102.44(a) | 8,500 | ||||
| 25,000 | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(a) | 18,500 | ||||
| 965,000 | Morgan Stanley, 6.34% (SOFR+256 bps), 10/18/33, Callable 10/18/32 @ 100 | 1,021,062 | ||||
| 45,000 | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(a) | 35,831 | ||||
| 80,000 | Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 10.75%, 7/1/25, Callable 8/7/23 @ 102.69(a) | 77,200 | ||||
| 85,000 | Olympus Water US Holding Corp., 4.25%, 10/1/28, Callable 10/1/24 @ 102.13(a) | 67,044 | ||||
| 250,000 | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | 224,291 | ||||
| 20,000 | Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29, Callable 2/1/24 @ 103.13(a) | 16,300 | ||||
|
|
|
| ||||
| 3,216,600 | ||||||
|
|
|
| ||||
| Chemicals (0.3%): |
||||||
| 16,000 | CF Industries, Inc., 4.95%, 6/1/43 | 13,840 | ||||
| 170,000 | Chemours Co. (The), 5.38%, 5/15/27, Callable 2/15/27 @ 100 | 159,162 | ||||
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Chemicals, continued |
||||||
| $75,000 | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(a) | $ | 68,625 | |||
| 25,000 | Diamond BC BV, 4.63%, 10/1/29(a) | 25,219 | ||||
| 5,000 | Kobe US Midco 2, Inc., 9.25%, 11/1/26, Callable 8/7/23 @ 104.63(a) | 3,300 | ||||
| 50,000 | LSB Industries, Inc., 6.25%, 10/15/28, Callable 10/15/24 @ 103.13^(a) | 44,625 | ||||
| 70,000 | SCIH Salt Holdings, Inc., 4.88%, 5/1/28, Callable 5/1/24 @ 102.44(a) | 62,475 | ||||
| 25,000 | Scotts Miracle-Gro Co. (The), 4.38%, 2/1/32, Callable 8/1/26 @ 102.19 | 19,750 | ||||
| 35,000 | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 34,256 | ||||
| 55,000 | WR Grace Holdings LLC, 5.63%, 8/15/29, Callable 8/15/24 @ 102.81(a) | 44,963 | ||||
| 15,000 | WR Grace Holdings LLC, 7.38%, 3/1/31, Callable 3/1/26 @ 103.69(a) | 14,700 | ||||
|
|
|
| ||||
| 490,915 | ||||||
|
|
|
| ||||
| Commercial Services & Supplies (0.3%): |
||||||
| 25,000 | ADT Security Corp. (The), 4.13%, 8/1/29, Callable 8/1/28 @ 100(a) | 21,594 | ||||
| 70,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 8/7/23 @ 102.5(a) | 65,887 | ||||
| 25,000 | Clean Harbors, Inc., 6.38%, 2/1/31, Callable 2/1/26 @ 103.19(a) | 25,063 | ||||
| 110,000 | CoreCivic, Inc., 8.25%, 4/15/26, Callable 4/15/24 @ 104.13 | 110,687 | ||||
| 56,000 | GEO Group, Inc. (The), 10.50%, 6/30/28, Callable 7/18/23 @ 103 | 56,280 | ||||
| 35,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/1/26, Callable 8/7/23 @ 102.5(a) | 31,631 | ||||
| 35,000 | Pitney Bowes, Inc., 6.88%, 3/15/27, Callable 3/15/24 @ 103.44^(a) | 25,900 | ||||
| 50,000 | Rand Parent LLC, 8.50%, 2/15/30, Callable 2/15/26 @ 104.25(a) | 45,250 | ||||
| 50,000 | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(a) | 44,375 | ||||
|
|
|
| ||||
| 426,667 | ||||||
|
|
|
| ||||
| Communications Equipment (0.1%): |
||||||
| 90,000 | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(a) | 70,875 | ||||
| 50,000 | Viavi Solutions, Inc., 3.75%, 10/1/29, Callable 10/1/24 @ 101.88(a) | 42,500 | ||||
|
|
|
| ||||
| 113,375 | ||||||
|
|
|
| ||||
| Construction & Engineering (0.2%): |
||||||
| 40,000 | Arcosa, Inc., 4.38%, 4/15/29, Callable 4/15/24 @ 102.19(a) | 35,800 | ||||
| 140,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 8/7/23 @ 100(a) | 135,800 | ||||
| 45,000 | Dycom Industries, Inc., 4.50%, 4/15/29, Callable 4/15/24 @ 102.25(a) | 40,781 | ||||
| 35,000 | Global Infrastructure Solutions, Inc., 5.63%, 6/1/29, Callable 6/1/24 @ 102.81(a) | 28,438 | ||||
| 35,000 | Great Lakes Dredge & Dock Corp., 5.25%, 6/1/29, Callable 6/1/24 @ 102.63(a) | 29,312 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Construction & Engineering, continued |
||||||
| $150,000 | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(a) | $ | 134,250 | |||
|
|
|
| ||||
| 404,381 | ||||||
|
|
|
| ||||
| Consumer Finance (1.7%): |
||||||
| 370,000 | Ally Financial, Inc., 7.10%, 11/15/27, Callable 10/15/27 @ 100^ | 372,748 | ||||
| 85,000 | Ally Financial, Inc., 4.70% (H15T5Y+387 bps), 12/31/99, Callable 5/15/26 @ 100 | 60,267 | ||||
| 636,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 582,859 | ||||
| 440,000 | Capital One Financial Corp., 5.25% (SOFR+260 bps), 7/26/30, Callable 7/26/29 @ 100 | 415,059 | ||||
| 250,000 | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | 226,637 | ||||
| 355,000 | Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100 | 327,255 | ||||
| 215,000 | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | 183,495 | ||||
| 80,000 | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | 77,860 | ||||
| 110,000 | OneMain Finance Corp., 3.50%, 1/15/27, Callable 1/15/24 @ 101.75 | 94,188 | ||||
| 75,000 | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | 57,656 | ||||
| 470,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 409,024 | ||||
|
|
|
| ||||
| 2,807,048 | ||||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (0.4%): |
||||||
| 35,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 1/15/27, Callable 8/7/23 @ 103.47(a) | 33,163 | ||||
| 80,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.50%, 3/15/29, Callable 9/15/23 @ 101.75(a) | 69,200 | ||||
| 50,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(a) | 46,000 | ||||
| 180,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, 4/1/33, Callable 1/1/33 @ 100(a) | 168,300 | ||||
| 65,000 | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 8/7/23 @ 101.72(a) | 64,919 | ||||
| 30,000 | Performance Food Group, Inc., 4.25%, 8/1/29, Callable 8/1/24 @ 102.13(a) | 26,737 | ||||
| 70,000 | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | 73,221 | ||||
| 100,000 | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | 113,307 | ||||
| 65,000 | Triton Water Holdings, Inc., 6.25%, 4/1/29, Callable 4/1/24 @ 103.13(a) | 55,656 | ||||
| 30,000 | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(a) | 24,862 | ||||
| 25,000 | US Foods, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 22,375 | ||||
|
|
|
| ||||
| 697,740 | ||||||
|
|
|
| ||||
| Containers & Packaging (0.2%): |
||||||
| 115,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 4.13%, 8/15/26, Callable 7/18/23 @ 102.06(a) | 106,806 | ||||
| 30,000 | Ball Corp., 6.00%, 6/15/29, Callable 5/15/26 @ 103 | 29,700 | ||||
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Containers & Packaging, continued |
||||||
| $35,000 | Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | $ | 28,744 | |||
| 30,000 | Graphic Packaging International LLC, 3.75%, 2/1/30, Callable 8/1/29 @ 100(a) | 25,912 | ||||
| 30,000 | Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31, Callable 5/15/26 @ 103.63(a) | 30,375 | ||||
| 25,000 | Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 2/1/28, Callable 2/1/25 @ 103.06(a) | 24,719 | ||||
|
|
|
| ||||
| 246,256 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.1%): |
||||||
| 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(a) | 26,880 | ||||
| 61,000 | APX Group, Inc., 6.75%, 2/15/27, Callable 8/7/23 @ 103.38(a) | 59,628 | ||||
|
|
|
| ||||
| 86,508 | ||||||
|
|
|
| ||||
| Diversified REITs (0.7%): |
||||||
| 421,000 | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 333,611 | ||||
| 288,000 | Brandywine Operating Partnership LP, 7.55%, 3/15/28, Callable 2/15/28 @ 100 | 258,120 | ||||
| 30,000 | CTR Partnership LP/CareTrust Capital Corp., 3.88%, 6/30/28, Callable 3/30/28 @ 100(a) | 25,753 | ||||
| 75,000 | Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(a) | 55,031 | ||||
| 60,000 | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | 46,575 | ||||
| 112,000 | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | 81,143 | ||||
| 300,000 | WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100 | 290,690 | ||||
| 101,000 | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | 90,898 | ||||
|
|
|
| ||||
| 1,181,821 | ||||||
|
|
|
| ||||
| Diversified Telecommunication Services (1.0%): |
||||||
| 110,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 104,027 | ||||
| 235,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 217,491 | ||||
| 25,000 | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(a) | 18,594 | ||||
| 40,000 | Consolidated Communications, Inc., 5.00%, 10/1/28, Callable 10/1/23 @ 103.75(a) | 30,000 | ||||
| 130,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | 90,350 | ||||
| 30,000 | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 8/7/23 @ 103.06(a) | 18,712 | ||||
| 25,000 | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(a) | 22,813 | ||||
| 8,244 | Frontier Communications Holdings LLC, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94 | 6,018 | ||||
| 60,000 | Frontier Communications Holdings LLC, 8.75%, 5/15/30, Callable 5/15/25 @ 104.38(a) | 58,425 | ||||
| 299,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 249,571 | ||||
| 213,000 | Warnermedia Holdings, Inc., 3.76%, 3/15/27, Callable 2/15/27 @ 100 | 198,123 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Diversified Telecommunication Services, continued |
||||||
| $74,000 | Warnermedia Holdings, Inc., 4.05%, 3/15/29, Callable 1/15/29 @ 100 | $ | 67,259 | |||
| 310,000 | Warnermedia Holdings, Inc., 4.28%, 3/15/32, Callable 12/15/31 @ 100 | 273,207 | ||||
| 155,000 | Warnermedia Holdings, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100 | 129,360 | ||||
| 234,000 | Warnermedia Holdings, Inc., 5.14%, 3/15/52, Callable 9/15/51 @ 100 | 189,536 | ||||
| 25,000 | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 8/7/23 @ 100(a) | 17,656 | ||||
|
|
|
| ||||
| 1,691,142 | ||||||
|
|
|
| ||||
| Electric Utilities (0.7%): |
||||||
| 20,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | 18,450 | ||||
| 96,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 8/7/23 @ 103.38(a) | 90,240 | ||||
| 70,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94(a) | 61,512 | ||||
| 130,000 | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | 110,122 | ||||
| 160,000 | Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100(a) | 124,520 | ||||
| 110,000 | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | 102,552 | ||||
| 45,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 1/15/24 @ 104 | 43,763 | ||||
| 29,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(a) | 27,550 | ||||
| 40,000 | NRG Energy, Inc., 5.75%, 1/15/28, Callable 7/24/23 @ 102.88 | 37,900 | ||||
| 30,000 | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(a) | 24,450 | ||||
| 55,000 | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(a) | 42,762 | ||||
| 40,812 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | 40,455 | ||||
| 210,000 | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | 165,189 | ||||
| 140,000 | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63^ | 125,125 | ||||
| 110,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/18/23 @ 102.5(a) | 102,850 | ||||
|
|
|
| ||||
| 1,117,440 | ||||||
|
|
|
| ||||
| Electrical Equipment (0.1%): |
||||||
| 35,000 | Artera Services LLC, 9.03%, 12/4/25, Callable 8/7/23 @ 104.52(a) | 30,450 | ||||
| 20,000 | GrafTech Global Enterprises, Inc., 9.88%, 12/15/28, Callable 12/15/25 @ 104.94(a) | 19,850 | ||||
| 45,000 | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(a) | 39,937 | ||||
| 60,000 | Vertiv Group Corp., 4.13%, 11/15/28, Callable 11/15/24 @ 102.06(a) | 53,850 | ||||
|
|
|
| ||||
| 144,087 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Electronic Equipment, Instruments & Components (0.1%): |
| |||||
| $110,000 | II-VI, Inc., 5.00%, 12/15/29, Callable 12/14/24 @ 102.5(a) | $ | 99,138 | |||
|
|
|
| ||||
| Energy Equipment & Services (0.0%†): |
||||||
| 70,000 | Transocean, Inc., 8.75%, 2/15/30, Callable 2/15/26 @ 104.38(a) | 70,875 | ||||
|
|
|
| ||||
| Entertainment (0.1%): |
||||||
| 45,000 | Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, 2/15/28, Callable 8/7/23 @ 113(a) | 22,950 | ||||
| 745,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 7/24/23 @ 102.69(a) | 25,144 | ||||
| 60,000 | ROBLOX Corp., 3.88%, 5/1/30, Callable 11/1/24 @ 101.94(a) | 50,400 | ||||
|
|
|
| ||||
| 98,494 | ||||||
|
|
|
| ||||
| Financial Services (1.8%): |
||||||
| 35,000 | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(a) | 31,544 | ||||
| 640,000 | Blackstone Private Credit Fund, 4.70%, 3/24/25^ | 616,428 | ||||
| 15,000 | Clydesdale Acquisition Holdings, Inc., 6.63%, 4/15/29, Callable 4/15/25 @ 103.31(a) | 14,287 | ||||
| 75,000 | Clydesdale Acquisition Holdings, Inc., 8.75%, 4/15/30, Callable 4/15/25 @ 104.38(a) | 66,094 | ||||
| 60,000 | Cobra AcquisitionCo LLC, 6.38%, 11/1/29, Callable 11/1/24 @ 103.25(a) | 42,300 | ||||
| 190,000 | Corebridge Financial, Inc., 3.65%, 4/5/27, Callable 3/5/27 @ 100 | 176,262 | ||||
| 130,000 | Corebridge Financial, Inc., 3.90%, 4/5/32, Callable 1/5/32 @ 100 | 112,268 | ||||
| 70,000 | Corebridge Financial, Inc., 4.40%, 4/5/52, Callable 10/5/51 @ 100 | 54,204 | ||||
| 45,000 | Ford Motor Credit Co LLC, 4.27%, 1/9/27, Callable 11/9/26 @ 100 | 41,623 | ||||
| 940,000 | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | 907,409 | ||||
| 50,000 | GGAM Finance, Ltd., 7.75%, 5/15/26, Callable 11/15/25 @ 100(a) | 50,125 | ||||
| 50,000 | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(a) | 44,813 | ||||
| 80,000 | HUB International, Ltd., 7.25%, 6/15/30, Callable 6/15/26 @ 103.63(a) | 82,500 | ||||
| 70,000 | Jackson Financial, Inc., 5.17%, 6/8/27, Callable 5/8/27 @ 100^ | 66,133 | ||||
| 90,000 | Jackson Financial, Inc., 5.67%, 6/8/32, Callable 3/8/32 @ 100^ | 85,048 | ||||
| 30,000 | Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29, Callable 11/15/24 @ 102.25(a) | 25,800 | ||||
| 140,000 | Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 8/7/23 @ 102.13(a) | 90,300 | ||||
| 20,000 | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(a) | 11,950 | ||||
| 15,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/1/30, Callable 2/1/25 @ 102.75(a) | 12,375 | ||||
| 25,000 | OI European Group BV, 4.75%, 2/15/30, Callable 11/15/24 @ 102.38(a) | 22,375 | ||||
| 250,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 240,741 | ||||
| 230,000 | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | 211,222 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Financial Services, continued |
||||||
| $35,000 | Victors Merger Corp., 6.38%, 5/15/29, Callable 5/15/24 @ 103.19(a) | $ | 23,625 | |||
|
|
|
| ||||
| 3,029,426 | ||||||
|
|
|
| ||||
| Food Products (0.4%): |
||||||
| 75,000 | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(a) | 57,563 | ||||
| 550,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100(a) | 422,125 | ||||
| 110,000 | Pilgrim’s Pride Corp., 4.25%, 4/15/31, Callable 4/15/26 @ 102.13 | 94,325 | ||||
| 15,000 | Post Holdings, Inc., 5.63%, 1/15/28, Callable 7/24/23 @ 102.81(a) | 14,381 | ||||
| 28,000 | Post Holdings, Inc., 4.50%, 9/15/31, Callable 9/15/26 @ 102.25(a) | 23,905 | ||||
|
|
|
| ||||
| 612,299 | ||||||
|
|
|
| ||||
| Ground Transportation (0.1%): |
||||||
| 180,000 | Uber Technologies, Inc., 4.50%, 8/15/29, Callable 8/15/24 @ 102.25(a) | 165,600 | ||||
|
|
|
| ||||
| Health Care Providers & Services (1.6%): |
||||||
| 50,000 | 180 Medical, Inc., 3.88%, 10/15/29, Callable 10/7/24 @ 101.94(a) | 43,625 | ||||
| 30,000 | AHP Health Partners, Inc., 5.75%, 7/15/29, Callable 7/15/24 @ 102.88(a) | 25,875 | ||||
| 5,000 | Cano Health LLC, 6.25%, 10/1/28, Callable 10/1/24 @ 103.13(a) | 3,138 | ||||
| 30,000 | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | 25,575 | ||||
| 630,000 | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | 579,600 | ||||
| 360,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 307,800 | ||||
| 100,000 | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(a) | 87,750 | ||||
| 100,000 | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103(a) | 84,125 | ||||
| 55,000 | CHS/Community Health Systems, Inc., 6.13%, 4/1/30, Callable 4/1/25 @ 103.06(a) | 33,000 | ||||
| 250,000 | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | 241,471 | ||||
| 90,000 | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 8/7/23 @ 102(a) | 87,075 | ||||
| 62,000 | CVS Health Corp., 5.00%, 1/30/29, Callable 12/30/28 @ 100 | 61,402 | ||||
| 25,000 | CVS Health Corp., 5.25%, 1/30/31, Callable 11/30/30 @ 100 | 24,879 | ||||
| 85,000 | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 72,887 | ||||
| 25,000 | Garden Spinco Corp., 8.63%, 7/20/30, Callable 7/20/27 @ 102.16(a) | 26,937 | ||||
| 203,000 | HCA, Inc., 5.88%, 2/1/29, Callable 8/1/28 @ 100 | 203,508 | ||||
| 110,000 | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 96,388 | ||||
| 25,000 | HealthEquity, Inc., 4.50%, 10/1/29, Callable 10/1/24 @ 102.25(a) | 21,937 | ||||
| 64,000 | Humana, Inc., 3.70%, 3/23/29, Callable 2/23/29 @ 100 | 58,400 | ||||
| 60,000 | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | 51,300 | ||||
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Health Care Providers & Services, continued |
| |||||
| $40,000 | Owens & Minor, Inc., 4.50%, 3/31/29, Callable 3/31/24 @ 102.25(a) | $ | 33,400 | |||
| 21,000 | Surgery Center Holdings, Inc., 6.75%, 7/1/25, Callable 8/7/23 @ 100(a) | 20,895 | ||||
| 195,000 | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06 | 187,444 | ||||
| 65,000 | Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19 | 58,500 | ||||
| 181,000 | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | 145,931 | ||||
| 20,000 | US Renal Care, Inc., 10.63%, 7/15/27, Callable 8/7/23 @ 102.66(a) | 5,000 | ||||
|
|
|
| ||||
| 2,587,842 | ||||||
|
|
|
| ||||
| Health Care REITs (1.0%): |
||||||
| 98,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | 83,462 | ||||
| 140,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27, Callable 8/7/23 @ 102.5 | 117,600 | ||||
| 150,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.50%, 3/15/31, Callable 3/15/26 @ 101.75 | 103,500 | ||||
| 350,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | 320,225 | ||||
| 435,000 | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | 357,019 | ||||
| 230,000 | Sabra Health Care LP, 3.20%, 12/1/31, Callable 9/1/31 @ 100 | 171,475 | ||||
| 631,000 | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | 598,015 | ||||
|
|
|
| ||||
| 1,751,296 | ||||||
|
|
|
| ||||
| Health Care Technology (0.0%†): |
||||||
| 90,000 | Minerva Merger Sub, Inc., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(a) | 75,375 | ||||
|
|
|
| ||||
| Hotel & Resort REITs (0.0%†): |
||||||
| 55,000 | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | 48,331 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.8%): |
||||||
| 25,000 | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(a) | 22,000 | ||||
| 65,000 | Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31(a) | 56,713 | ||||
| 130,000 | Carnival Corp., 10.50%, 2/1/26, Callable 8/7/23 @ 105.25(a) | 136,656 | ||||
| 45,000 | Carnival Corp., 10.50%, 6/1/30, Callable 6/1/25 @ 105.25^(a) | 47,700 | ||||
| 70,000 | Churchill Downs, Inc., 6.75%, 5/1/31, Callable 5/1/26 @ 103.38(a) | 69,213 | ||||
| 65,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 8/7/23 @ 104.06(a) | 66,381 | ||||
| 70,000 | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 1/15/30, Callable 1/15/25 @ 103.38(a) | 59,325 | ||||
| 25,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.00%, 6/1/29, Callable 6/1/24 @ 102.5(a) | 22,187 | ||||
| 30,000 | Jacobs Entertainment, Inc., 6.75%, 2/15/29, Callable 2/15/25 @ 103.38(a) | 26,475 | ||||
| 25,000 | Marriott Ownership Resorts, Inc., 4.50%, 6/15/29, Callable 6/15/24 @ 102.25(a) | 21,562 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Hotels, Restaurants & Leisure, continued |
| |||||
| $105,000 | MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100 | $ | 103,556 | |||
| 45,000 | NCL Corp., Ltd., 3.63%, 12/15/24, Callable 7/18/23 @ 100.91(a) | 43,088 | ||||
| 75,000 | NCL Corp., Ltd., 5.88%, 2/15/27, Callable 2/15/24 @ 102.94(a) | 72,930 | ||||
| 55,000 | NCL Corp., Ltd., 8.38%, 2/1/28, Callable 2/1/25 @ 104.19(a) | 57,475 | ||||
| 25,000 | NCL Finance, Ltd., 6.13%, 3/15/28, Callable 12/15/27 @ 100(a) | 22,625 | ||||
| 27,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 7/18/23 @ 105.75(a) | 28,620 | ||||
| 40,000 | Royal Caribbean Cruises, Ltd., 5.50%, 8/31/26, Callable 2/28/26 @ 100(a) | 37,900 | ||||
| 50,000 | Royal Caribbean Cruises, Ltd., 5.38%, 7/15/27, Callable 10/15/26 @ 100(a) | 46,750 | ||||
| 40,000 | Royal Caribbean Cruises, Ltd., 7.25%, 1/15/30, Callable 12/15/25 @ 103.63(a) | 40,500 | ||||
| 85,000 | Station Casinos LLC, 4.50%, 2/15/28, Callable 8/7/23 @ 102.25(a) | 76,181 | ||||
| 45,000 | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 7/11/23 @ 104.88(a) | 47,259 | ||||
| 50,000 | Viking Cruises, Ltd., 9.13%, 7/15/31, Callable 7/15/26 @ 104.56(a) | 50,312 | ||||
| 100,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | 98,375 | ||||
| 40,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.13%, 2/15/31, Callable 11/15/30 @ 100(a) | 39,800 | ||||
| 110,000 | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | 99,275 | ||||
|
|
|
| ||||
| 1,392,858 | ||||||
|
|
|
| ||||
| Household Durables (0.2%): |
||||||
| 30,000 | Ambience Merger Sub, Inc., 4.88%, 7/15/28, Callable 8/7/23 @ 102.44(a) | 15,750 | ||||
| 35,000 | Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 4/1/30, Callable 4/1/25 @ 102.31(a) | 29,400 | ||||
| 30,000 | Century Communities, Inc., 3.88%, 8/15/29, Callable 2/15/29 @ 100(a) | 25,950 | ||||
| 65,000 | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(a) | 53,625 | ||||
| 40,000 | Newell Brands, Inc., 5.38%, 4/1/36, Callable 10/1/35 @ 100 | 33,200 | ||||
| 25,000 | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(a) | 19,844 | ||||
| 45,000 | Tempur Sealy International, Inc., 4.00%, 4/15/29, Callable 4/15/24 @ 102(a) | 38,475 | ||||
| 25,000 | Tempur Sealy International, Inc., 3.88%, 10/15/31, Callable 10/15/26 @ 101.94(a) | 20,125 | ||||
| 50,000 | TopBuild Corp., 4.13%, 2/15/32, Callable 10/15/26 @ 102.06(a) | 42,562 | ||||
|
|
|
| ||||
| 278,931 | ||||||
|
|
|
| ||||
| Household Products (0.0%†): |
||||||
| 35,000 | Central Garden & Pet Co., 4.13%, 4/30/31, Callable 4/30/26 @ 102.06(a) | 28,831 | ||||
|
|
|
| ||||
| Independent Power and Renewable Electricity Producers (0.4%): |
| |||||
| 350,000 | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | 329,889 | ||||
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Independent Power and Renewable Electricity Producers, continued |
| |||||
| $280,000 | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | $ | 251,564 | |||
| 20,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 7/18/23 @ 103.56(a) | 18,450 | ||||
| 20,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(a) | 18,150 | ||||
| 40,000 | Sunnova Energy Corp., 5.88%, 9/1/26, Callable 9/1/23 @ 102.94^(a) | 36,550 | ||||
| 40,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | 36,900 | ||||
| 19,655 | Topaz Solar Farms LLC, 5.75%, 9/30/39(a) | 19,016 | ||||
|
|
|
| ||||
| 710,519 | ||||||
|
|
|
| ||||
| Industrial Conglomerates (0.1%): |
||||||
| 165,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | 141,488 | ||||
|
|
|
| ||||
| Industrial REITs (0.1%): |
||||||
| 135,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 131,763 | ||||
|
|
|
| ||||
| Industrial Services (0.0%†): |
||||||
| 35,000 | Railworks Holdings LP/Railworks Rally, Inc., 8.25%, 11/15/28, Callable 11/15/24 @ 104.13(a) | 32,725 | ||||
|
|
|
| ||||
| Insurance (0.8%): |
||||||
| 300,000 | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | 282,603 | ||||
| 25,000 | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(a) | 21,625 | ||||
| 30,000 | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(a) | 26,100 | ||||
| 340,000 | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | 288,569 | ||||
| 70,000 | Liberty Mutual Group, Inc., 4.57%, 2/1/29(a) | 65,729 | ||||
| 330,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 302,611 | ||||
| 35,000 | Ryan Specialty Group LLC, 4.38%, 2/1/30, Callable 2/1/25 @ 102.19(a) | 30,844 | ||||
| 280,000 | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | 257,087 | ||||
| 110,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/7/23 @ 100(a) | 109,175 | ||||
|
|
|
| ||||
| 1,384,343 | ||||||
|
|
|
| ||||
| Interactive Media & Services (0.0%†): |
||||||
| 85,000 | Match Group Holdings II LLC, 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(a) | 69,488 | ||||
|
|
|
| ||||
| IT Services (0.1%): |
||||||
| 10,000 | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(a) | 8,625 | ||||
| 15,000 | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(a) | 12,825 | ||||
| 20,000 | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(a) | 17,825 | ||||
| 30,000 | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | 26,100 | ||||
| 50,000 | Twilio, Inc., 3.88%, 3/15/31, Callable 3/15/26 @ 101.94 | 41,687 | ||||
|
|
|
| ||||
| 107,062 | ||||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Leisure Products (0.0%†): |
||||||
| $5,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 8/7/23 @ 104.41(a) | $ | 4,894 | |||
| 30,000 | Mattel, Inc., 6.20%, 10/1/40 | 26,662 | ||||
|
|
|
| ||||
| 31,556 | ||||||
|
|
|
| ||||
| Life Sciences Tools & Services (0.0%†): |
||||||
| 20,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 7/24/23 @ 102.13(a) | 18,250 | ||||
| 15,000 | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(a) | 13,144 | ||||
| 35,000 | Toledo Hospital (The), 6.02%, 11/15/48 | 24,500 | ||||
|
|
|
| ||||
| 55,894 | ||||||
|
|
|
| ||||
| Machinery (0.1%): |
||||||
| 35,000 | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(a) | 28,438 | ||||
| 30,000 | ITT Holdings LLC, 6.50%, 8/1/29, Callable 8/1/24 @ 103.25(a) | 25,200 | ||||
| 40,000 | Madison IAQ LLC, 4.13%, 6/30/28, Callable 6/30/24 @ 102.06(a) | 35,200 | ||||
| 135,000 | Madison IAQ LLC, 5.88%, 6/30/29, Callable 6/30/24 @ 102.94(a) | 108,675 | ||||
| 25,000 | Mueller Water Products, Inc., 4.00%, 6/15/29, Callable 6/15/24 @ 102(a) | 22,187 | ||||
|
|
|
| ||||
| 219,700 | ||||||
|
|
|
| ||||
| Media (1.3%): |
||||||
| 35,000 | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(a) | 28,613 | ||||
| 395,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(a) | 335,750 | ||||
| 105,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 6/1/33, Callable 6/1/27 @ 102.25(a) | 82,162 | ||||
| 160,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 | 139,771 | ||||
| 332,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.25%, 4/1/53, Callable 10/1/52 @ 100 | 268,008 | ||||
| 110,000 | CSC Holdings LLC, 4.63%, 12/1/30, Callable 12/1/25 @ 102.31(a) | 48,950 | ||||
| 230,000 | DISH DBS Corp., 7.75%, 7/1/26 | 142,025 | ||||
| 45,000 | Emerald Debt Merger Sub LLC, 6.63%, 12/15/30, Callable 6/15/26 @ 103.31(a) | 44,494 | ||||
| 75,000 | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 72,794 | ||||
| 75,000 | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | 69,834 | ||||
| 30,000 | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(a) | 20,100 | ||||
| 25,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 103.25(a) | 14,437 | ||||
| 190,000 | Sirius XM Radio, Inc., 3.88%, 9/1/31, Callable 9/1/26 @ 101.94(a) | 146,775 | ||||
| 140,000 | TEGNA, Inc., 4.75%, 3/15/26, Callable 8/7/23 @ 102.38(a) | 133,350 | ||||
| 40,000 | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 7/18/23 @ 104.44(a) | 28,400 | ||||
| 600,000 | Time Warner Cable, Inc., 6.75%, 6/15/39 | 568,131 | ||||
| 55,000 | Univision Communications, Inc., 6.63%, 6/1/27, Callable 7/18/23 @ 103.31(a) | 53,212 | ||||
|
|
|
| ||||
| 2,196,806 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Metals & Mining (0.1%): |
||||||
| $30,000 | Allegheny Technologies, Inc., 4.88%, 10/1/29, Callable 10/1/24 @ 102.44 | $ | 27,006 | |||
| 40,000 | Cleveland-Cliffs, Inc., 6.75%, 4/15/30, Callable 4/15/26 @ 103.38(a) | 38,400 | ||||
| 25,000 | Commercial Metals Co., 4.13%, 1/15/30, Callable 1/15/25 @ 102.06 | 22,313 | ||||
| 35,000 | Mauser Packaging Solutions Holding Co., 7.88%, 8/15/26, Callable 8/15/24 @ 103.94(a) | 34,606 | ||||
| 25,000 | Novelis Corp., 3.88%, 8/15/31, Callable 8/15/26 @ 101.94(a) | 20,531 | ||||
|
|
|
| ||||
| 142,856 | ||||||
|
|
|
| ||||
| Mortgage Real Estate Investment Trusts (REITs) (0.0%†): |
| |||||
| 25,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(a) | 20,344 | ||||
| 30,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | 28,387 | ||||
|
|
|
| ||||
| 48,731 | ||||||
|
|
|
| ||||
| Multi-Utilities (0.2%): |
||||||
| 100,000 | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | 90,878 | ||||
| 141,000 | Puget Energy, Inc., 4.22%, 3/15/32, Callable 12/15/31 @ 100 | 126,307 | ||||
| 55,000 | Sempra Energy, 6.00%, 10/15/39 | 55,816 | ||||
|
|
|
| ||||
| 273,001 | ||||||
|
|
|
| ||||
| Office REITs (0.3%): |
||||||
| 98,000 | Corporate Office Properties LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | 85,737 | ||||
| 85,000 | Corporate Office Properties LP, 2.75%, 4/15/31, Callable 1/15/31 @ 100 | 63,126 | ||||
| 290,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | 205,538 | ||||
| 35,000 | Piedmont Operating Partnership LP, 2.75%, 4/1/32, Callable 1/1/32 @ 100 | 23,531 | ||||
| 50,000 | Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | 42,214 | ||||
|
|
|
| ||||
| 420,146 | ||||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (3.7%): |
||||||
| 25,000 | Apache Corp., 7.38%, 8/15/47 | 24,062 | ||||
| 15,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.75%, 7/15/28, Callable 7/15/25 @ 104.88(a) | 14,737 | ||||
| 70,000 | Cheniere Energy Partners LP, 4.00%, 3/1/31, Callable 3/1/26 @ 102 | 61,509 | ||||
| 55,000 | Cheniere Energy Partners, LP, 3.25%, 1/31/32, Callable 1/31/27 @ 101.63 | 45,210 | ||||
| 160,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | 158,906 | ||||
| 10,000 | Cnx Midstream Partners LP, 4.75%, 4/15/30, Callable 4/15/25 @ 102.38(a) | 8,425 | ||||
| 15,000 | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(a) | 13,875 | ||||
| 30,000 | Colgate Energy Partners III LLC, 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(a) | 28,050 | ||||
| 80,000 | Comstock Resources, Inc., 6.75%, 3/1/29, Callable 3/1/24 @ 103.38(a) | 73,200 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Oil, Gas & Consumable Fuels, continued |
||||||
| $85,000 | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(a) | $ | 80,750 | |||
| 105,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.00%, 2/1/29, Callable 2/1/24 @ 103(a) | 98,044 | ||||
| 55,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 7.38%, 2/1/31, Callable 2/1/26 @ 103.69(a) | 54,244 | ||||
| 90,000 | CVR Energy, Inc., 5.25%, 2/15/25, Callable 7/24/23 @ 101.31(a) | 86,400 | ||||
| 25,000 | CVR Energy, Inc., 5.75%, 2/15/28, Callable 7/24/23 @ 102.88(a) | 22,000 | ||||
| 105,000 | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | 103,819 | ||||
| 60,000 | DCP Midstream Operating LP, 5.13%, 5/15/29, Callable 2/15/29 @ 100 | 58,650 | ||||
| 100,000 | DCP Midstream Operating LP, 5.60%, 4/1/44, Callable 10/1/43 @ 100 | 94,320 | ||||
| 35,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.13%, 6/1/28, Callable 6/1/24 @ 103.56(a) | 32,375 | ||||
| 18,000 | Devon Energy Corp., 5.25%, 10/15/27, Callable 7/18/23 @ 102.63 | 17,722 | ||||
| 25,000 | DT Midstream, Inc., 4.13%, 6/15/29, Callable 6/15/24 @ 102.06(a) | 21,875 | ||||
| 124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 121,360 | ||||
| 350,000 | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 339,395 | ||||
| 427,000 | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 360,361 | ||||
| 60,000 | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(a) | 58,125 | ||||
| 70,000 | EQM Midstream Partners LP, 4.50%, 1/15/29, Callable 7/15/28 @ 100(a) | 62,300 | ||||
| 45,000 | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | 42,244 | ||||
| 150,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | 143,736 | ||||
| 109,000 | Hess Corp., 7.30%, 8/15/31 | 118,835 | ||||
| 610,000 | Hess Corp., 5.60%, 2/15/41 | 577,215 | ||||
| 70,000 | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 8/7/23 @ 101.41(a) | 68,862 | ||||
| 35,000 | Hess Midstream Operations LP, 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 30,450 | ||||
| 20,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.38%, 4/15/27, Callable 4/15/24 @ 103.19(a) | 19,800 | ||||
| 20,000 | Kinetik Holdings LP, 5.88%, 6/15/30, Callable 6/15/25 @ 102.94(a) | 18,523 | ||||
| 25,000 | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29, Callable 7/1/24 @ 102.13(a) | 22,219 | ||||
| 140,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 137,928 | ||||
| 200,000 | MPLX LP, 4.95%, 9/1/32, Callable 6/1/32 @ 100 | 191,278 | ||||
| 65,000 | Murphy Oil Corp., 5.88%, 12/1/27, Callable 7/24/23 @ 102.94 | 63,050 | ||||
| 60,000 | NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 2/1/26, Callable 8/7/23 @ 103.75(a) | 59,100 | ||||
| 30,000 | Northern Oil and Gas, Inc., 8.75%, 6/15/31, Callable 6/15/26 @ 104.38(a) | 29,475 | ||||
| 50,000 | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | 42,937 | ||||
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Oil, Gas & Consumable Fuels, continued |
| |||||
| $85,000 | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | $ | 97,537 | |||
| 412,000 | Occidental Petroleum Corp., 7.50%, 5/1/31 | 449,595 | ||||
| 25,000 | Occidental Petroleum Corp., 7.88%, 9/15/31 | 27,844 | ||||
| 40,000 | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | 31,000 | ||||
| 40,000 | Occidental Petroleum Corp., 6.20%, 3/15/40 | 39,400 | ||||
| 120,000 | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | 93,750 | ||||
| 80,000 | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | 59,300 | ||||
| 50,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28, Callable 8/7/23 @ 103 | 46,750 | ||||
| 15,000 | PDC Energy, Inc., 5.75%, 5/15/26, Callable 8/7/23 @ 101.44 | 14,925 | ||||
| 110,000 | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | 106,364 | ||||
| 45,000 | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100 | 44,100 | ||||
| 230,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | 217,637 | ||||
| 408,000 | Sanchez Energy Corp., 7.25%, 2/15/23(a)(c) | — | ||||
| 20,000 | SM Energy Co., 5.63%, 6/1/25, Callable 8/7/23 @ 100 | 19,450 | ||||
| 346,000 | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100(a) | 326,105 | ||||
| 25,000 | Southwestern Energy Co., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38 | 21,875 | ||||
| 5,000 | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 8/7/23 @ 102 | 4,912 | ||||
| 95,000 | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 8/7/23 @ 102.94 | 91,357 | ||||
| 60,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(a) | 52,500 | ||||
| 30,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | 28,725 | ||||
| 20,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102 | 17,225 | ||||
| 13,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 12,529 | ||||
| 600,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | 567,000 | ||||
| 85,000 | Western Midstream Operating LP, 4.30%, 2/1/30, Callable 11/1/29 @ 100 | 76,394 | ||||
| 220,000 | Williams Cos., Inc. (The), 4.65%, 8/15/32, Callable 5/15/32 @ 100 | 207,622 | ||||
|
|
|
| ||||
| 6,259,262 | ||||||
|
|
|
| ||||
| Paper & Forest Products (0.0%†): |
||||||
| 45,000 | Glatfelter Corp., 4.75%, 11/15/29, Callable 11/1/24 @ 102.38(a) | 29,419 | ||||
|
|
|
| ||||
| Passenger Airlines (0.0%†): |
||||||
| 35,000 | American Airlines, Inc., 7.25%, 2/15/28, Callable 2/15/25 @ 103.63(a) | 34,650 | ||||
|
|
|
| ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Personal Care Products (0.0%†): |
||||||
| $25,000 | BellRing Brands, Inc., 7.00%, 3/15/30, Callable 3/15/27 @ 101.75(a) | $ | 25,156 | |||
|
|
|
| ||||
| Pharmaceuticals (0.3%): |
||||||
| 37,000 | Bausch Health Cos., Inc., 11.00%, 9/30/28(a) | 26,085 | ||||
| 7,000 | Bausch Health Cos., Inc., 14.00%, 10/15/30, Callable 10/15/25 @ 106(a) | 4,165 | ||||
| 20,000 | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75^(a) | 16,250 | ||||
| 116,000 | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100^ | 112,810 | ||||
| 20,000 | Jazz Securities DAC, 4.38%, 1/15/29, Callable 7/15/24 @ 102.19(a) | 17,850 | ||||
| 70,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, 4/30/28, Callable 4/30/24 @ 102.06(a) | 62,125 | ||||
| 230,000 | Viatris, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100 | 185,842 | ||||
|
|
|
| ||||
| 425,127 | ||||||
|
|
|
| ||||
| Professional Services (0.1%): |
||||||
| 25,000 | Asgn, Inc., 4.63%, 5/15/28, Callable 8/7/23 @ 102.31(a) | 22,656 | ||||
| 25,000 | Block, Inc., 2.75%, 6/1/26, Callable 5/1/26 @ 100 | 22,625 | ||||
| 25,000 | Block, Inc., 3.50%, 6/1/31, Callable 3/1/31 @ 100 | 20,671 | ||||
| 90,000 | CoreLogic, Inc., 4.50%, 5/1/28, Callable 5/1/24 @ 102.25(a) | 72,563 | ||||
|
|
|
| ||||
| 138,515 | ||||||
|
|
|
| ||||
| Real Estate Management & Development (0.5%): |
| |||||
| 150,000 | CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | 119,648 | ||||
| 27,000 | Corporate Office Properties LP, 2.00%, 1/15/29, Callable 11/15/28 @ 100 | 20,409 | ||||
| 225,000 | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32, Callable 1/15/32 @ 100 | 200,539 | ||||
| 35,000 | Kennedy-Wilson, Inc., 4.75%, 2/1/30, Callable 9/1/24 @ 102.38 | 26,338 | ||||
| 120,000 | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 8/7/23 @ 102.63(a) | 110,550 | ||||
| 390,000 | VICI Properties LP, 4.95%, 2/15/30, Callable 12/15/29 @ 100 | 364,163 | ||||
| 40,000 | VICI Properties LP/VICI Note Co., Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | 38,650 | ||||
|
|
|
| ||||
| 880,297 | ||||||
|
|
|
| ||||
| Residential REITs (0.2%): |
||||||
| 150,000 | American Homes 4 Rent LP, 3.63%, 4/15/32, Callable 1/15/32 @ 100 | 129,336 | ||||
| 87,000 | Sun Communities Operating LP, 2.30%, 11/1/28, Callable 9/1/28 @ 100 | 73,098 | ||||
| 232,000 | Sun Communities Operating LP, 2.70%, 7/15/31, Callable 4/15/31 @ 100 | 182,495 | ||||
|
|
|
| ||||
| 384,929 | ||||||
|
|
|
| ||||
| Retail REITs (0.4%): |
||||||
| 100,000 | Boston Properties LP, 6.75%, 12/1/27, Callable 11/1/27 @ 100 | 100,865 | ||||
| 22,000 | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | 19,803 | ||||
| 387,000 | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | 341,122 | ||||
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Retail REITs, continued |
||||||
| $237,000 | Tanger Properties LP, 2.75%, 9/1/31, Callable 6/1/31 @ 100 | $ | 170,009 | |||
|
|
|
| ||||
| 631,799 | ||||||
|
|
|
| ||||
| Semiconductors & Semiconductor Equipment (0.7%): |
| |||||
| 55,000 | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(a) | 44,473 | ||||
| 797,000 | Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100(a) | 620,953 | ||||
| 490,000 | Broadcom, Inc., 3.50%, 2/15/41, Callable 8/15/40 @ 100(a) | 364,774 | ||||
| 30,000 | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | 27,300 | ||||
| 50,000 | Qorvo, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19 | 45,000 | ||||
|
|
|
| ||||
| 1,102,500 | ||||||
|
|
|
| ||||
| Software (0.6%): |
||||||
| 55,000 | Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(a) | 42,006 | ||||
| 25,000 | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 8/7/23 @ 101.78(a) | 24,875 | ||||
| 40,000 | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44^(a) | 35,350 | ||||
| 110,000 | Cloud Software Group, Inc., 9.00%, 9/30/29, Callable 9/30/25 @ 104.5(a) | 95,150 | ||||
| 30,000 | Elastic NV, 4.13%, 7/15/29, Callable 7/15/24 @ 102.06(a) | 25,875 | ||||
| 30,000 | Fair Isaac Corp., 4.00%, 6/15/28, Callable 7/24/23 @ 102(a) | 27,225 | ||||
| 55,000 | MicroStrategy, Inc., 6.13%, 6/15/28, Callable 6/15/24 @ 103.06(a) | 49,156 | ||||
| 555,000 | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | 489,686 | ||||
| 240,000 | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | 204,359 | ||||
|
|
|
| ||||
| 993,682 | ||||||
|
|
|
| ||||
| Specialized REITs (0.0%†): |
||||||
| 70,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30, Callable 1/15/25 @ 103(a) | 47,250 | ||||
|
|
|
| ||||
| Specialty Retail (0.5%): |
||||||
| 35,000 | Asbury Automotive Group, Inc., 4.63%, 11/15/29, Callable 11/15/24 @ 102.31(a) | 31,063 | ||||
| 47,000 | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | 43,691 | ||||
| 200,000 | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | 185,537 | ||||
| 66,000 | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41(a) | 38,280 | ||||
| 10,000 | Carvana Co., 4.88%, 9/1/29, Callable 9/1/24 @ 102.44(a) | 5,600 | ||||
| 55,000 | Carvana Co., 10.25%, 5/1/30, Callable 5/1/27 @ 105.13(a) | 42,350 | ||||
| 30,000 | Foot Locker, Inc., 4.00%, 10/1/29, Callable 10/1/24 @ 102(a) | 22,575 | ||||
| 95,000 | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(a) | 91,200 | ||||
| 410,000 | Lowe’s Cos., Inc., 4.25%, 4/1/52, Callable 10/1/51 @ 100 | 333,595 | ||||
| Principal Amount | Value | |||||
| Corporate Bonds, continued |
||||||
| Specialty Retail, continued |
||||||
| $25,000 | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63(a) | $ | 20,062 | |||
| 30,000 | Party City Holdings, Inc., 8.75%, 2/15/26, Callable 8/15/23 @ 104.38(a) | 3,975 | ||||
| 20,000 | Rent-A-Center, Inc., 6.38%, 2/15/29, Callable 2/15/24 @ 103.19(a) | 17,750 | ||||
| 50,000 | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(a) | 40,563 | ||||
|
|
|
| ||||
| 876,241 | ||||||
|
|
|
| ||||
| Technology Hardware, Storage & Peripherals (0.2%): |
| |||||
| 129,000 | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100 | 130,810 | ||||
| 148,000 | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100 | 151,633 | ||||
| 20,000 | Seagate HDD Cayman, 8.25%, 12/15/29, Callable 7/15/26 @ 104.13(a) | 20,800 | ||||
|
|
|
| ||||
| 303,243 | ||||||
|
|
|
| ||||
| Textiles, Apparel & Luxury Goods (0.1%): |
| |||||
| 25,000 | Crocs, Inc., 4.13%, 8/15/31, Callable 8/15/26 @ 102.06(a) | 20,125 | ||||
| 20,000 | Kontoor Brands, Inc., 4.13%, 11/15/29, Callable 11/15/24 @ 102.06(a) | 16,700 | ||||
| 30,000 | Levi Strauss & Co., 3.50%, 3/1/31, Callable 3/1/26 @ 101.75^(a) | 24,825 | ||||
| 45,000 | Wolverine World Wide, Inc., 4.00%, 8/15/29, Callable 8/15/24 @ 102(a) | 35,831 | ||||
|
|
|
| ||||
| 97,481 | ||||||
|
|
|
| ||||
| Tobacco (0.0%†): |
||||||
| 30,000 | Turning Point Brands, Inc., 5.63%, 2/15/26, Callable 7/18/23 @ 102.81(a) | 27,263 | ||||
|
|
|
| ||||
| Trading Companies & Distributors (0.2%): |
| |||||
| 290,000 | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | 274,500 | ||||
| 40,000 | Foundation Building Materials, Inc., 6.00%, 3/1/29, Callable 3/1/24 @ 103(a) | 33,400 | ||||
| 25,000 | SRS Distribution, Inc., 6.13%, 7/1/29, Callable 7/1/24 @ 103.06(a) | 21,625 | ||||
| 40,000 | SRS Distribution, Inc., 6.00%, 12/1/29, Callable 12/1/24 @ 103(a) | 34,500 | ||||
|
|
|
| ||||
| 364,025 | ||||||
|
|
|
| ||||
| Wireless Telecommunication Services (0.5%): |
| |||||
| 175,000 | Sprint Communications, Inc., 6.88%, 11/15/28 | 185,281 | ||||
| 65,000 | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 7/18/23 @ 102.38 | 63,213 | ||||
| 500,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 459,732 | ||||
| 80,000 | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100 | 68,356 | ||||
|
|
|
| ||||
| 776,582 | ||||||
|
|
|
| ||||
| Total Corporate Bonds (Cost $55,494,716) |
49,838,363 | |||||
|
|
|
| ||||
| Yankee Debt Obligations (8.1%): |
||||||
| Aerospace & Defense (0.1%): |
||||||
| 55,000 | Bombardier, Inc., 7.13%, 6/15/26, Callable 8/8/23 @ 103.56(a) | 54,450 | ||||
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Aerospace & Defense, continued |
||||||
| $45,000 | Bombardier, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(a) | $ | 42,300 | |||
|
|
|
| ||||
| 96,750 | ||||||
|
|
|
| ||||
| Banks (1.9%): |
||||||
| 200,000 | Barclays plc, 4.38%, 1/12/26 | 191,661 | ||||
| 503,000 | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | 470,541 | ||||
| 270,000 | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | 244,095 | ||||
| 200,000 | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a) | 167,482 | ||||
| 370,000 | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | 357,011 | ||||
| 205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 202,242 | ||||
| 800,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 759,259 | ||||
| 286,000 | Royal Bank of Scotland Group plc, 3.07% (H15T1Y+255 bps), 5/22/28, Callable 5/22/27 @ 100 | 257,329 | ||||
| 513,000 | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(a) | 450,813 | ||||
| 135,000 | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | 117,522 | ||||
|
|
|
| ||||
| 3,217,955 | ||||||
|
|
|
| ||||
| Biotechnology (0.0%†): |
||||||
| 85,000 | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(a) | 73,313 | ||||
|
|
|
| ||||
| Capital Markets (1.1%): |
||||||
| 280,000 | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(a) | 248,057 | ||||
| 680,000 | Deutsche Bank AG, 4.50%, 4/1/25 | 646,866 | ||||
| 25,000 | Macquarie Airfinance Holdings, Ltd., 8.38%, 5/1/28, Callable 5/1/25 @ 104.19(a) | 25,125 | ||||
| 720,000 | UBS Group AG, 3.75%, 3/26/25 | 688,992 | ||||
| 314,000 | UBS Group AG, 1.49% (H15T1Y+85 bps), 8/10/27, Callable 8/10/26 @ 100(a) | 268,459 | ||||
|
|
|
| ||||
| 1,877,499 | ||||||
|
|
|
| ||||
| Chemicals (0.1%): |
||||||
| 25,000 | Cerdia Finanz GmbH, 10.50%, 2/15/27, Callable 2/15/24 @ 105.25(a) | 24,719 | ||||
| 85,000 | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100 | 78,943 | ||||
| 95,000 | NOVA Chemicals Corp., 5.25%, 6/1/27, Callable 3/3/27 @ 100(a) | 84,075 | ||||
| 25,000 | SPCM SA, 3.13%, 3/15/27, Callable 3/15/24 @ 101.56(a) | 22,375 | ||||
|
|
|
| ||||
| 210,112 | ||||||
|
|
|
| ||||
| Communications Equipment (0.0%†): |
||||||
| 30,000 | Nokia Oyj, 6.63%, 5/15/39 | 28,687 | ||||
|
|
|
| ||||
| Construction Materials (0.1%): |
||||||
| 85,000 | INEOS Finance plc, 6.75%, 5/15/28, Callable 2/15/25 @ 103.38^(a) | 81,706 | ||||
|
|
|
| ||||
| Containers & Packaging (0.1%): |
||||||
| 10,000 | Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 8/7/23 @ 103(a) | 8,512 | ||||
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Containers & Packaging, continued |
||||||
| $110,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/7/23 @ 102.75(a) | $ | 105,875 | |||
|
|
|
| ||||
| 114,387 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.1%): |
||||||
| 95,000 | GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, 7/31/26, Callable 8/7/23 @ 101.78(a) | 92,031 | ||||
|
|
|
| ||||
| Diversified Telecommunication Services (0.2%): |
| |||||
| 270,000 | Altice France SA, 6.00%, 2/15/28, Callable 8/7/23 @ 103(a) | 130,275 | ||||
| 185,000 | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(a) | 133,663 | ||||
| 540,000 | Intelsat, 0.00%(c) | — | ||||
| 111,000 | Intelsat, 0.00%(c) | — | ||||
| 20,000 | Telecom Italia Capital SA, 6.38%, 11/15/33 | 16,900 | ||||
| 80,000 | Telecom Italia SpA, 6.00%, 9/30/34 | 63,800 | ||||
|
|
|
| ||||
| 344,638 | ||||||
|
|
|
| ||||
| Energy Equipment & Services (0.0%†): |
||||||
| 48,750 | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 8/7/23 @ 103.44(a) | 48,202 | ||||
|
|
|
| ||||
| Financial Services (0.7%): |
||||||
| 130,000 | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 7/18/23 @ 103.44(a) | 112,938 | ||||
| 45,000 | Intelsat Jackson Holdings SA, 6.50%, 3/15/30, Callable 3/15/25 @ 102(a) | 40,847 | ||||
| 1,000,000 | Park Aerospace Holdings, 5.50%, 2/15/24(a) | 987,500 | ||||
| 130,000 | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a) | 104,975 | ||||
|
|
|
| ||||
| 1,246,260 | ||||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (0.1%): |
||||||
| 55,000 | 1011778 BC ULC/New Red Finance, Inc., 5.75%, 4/15/25, Callable 8/8/23 @ 101.44(a) | 54,862 | ||||
| 80,000 | 1011778 BC ULC/New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(a) | 68,300 | ||||
| 65,000 | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69(a) | 53,869 | ||||
| 25,000 | Studio City Co., Ltd., 7.00%, 2/15/27, Callable 2/15/24 @ 103.5(a) | 23,469 | ||||
|
|
|
| ||||
| 200,500 | ||||||
|
|
|
| ||||
| Industrial Services (0.0%†): |
||||||
| 21,000 | 1375209 BC, Ltd., 9.00%, 1/30/28, Callable 7/18/23 @ 103(a) | 21,000 | ||||
|
|
|
| ||||
| Insurance (0.2%): |
||||||
| 230,000 | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | 210,033 | ||||
| 200,000 | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(a) | 186,910 | ||||
|
|
|
| ||||
| 396,943 | ||||||
|
|
|
| ||||
| Media (0.0%†): |
||||||
| 50,000 | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | 37,750 | ||||
|
|
|
| ||||
| Metals & Mining (0.1%): |
||||||
| 85,000 | ERO Copper Corp., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(a) | 73,100 | ||||
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Metals & Mining, continued |
||||||
| $25,000 | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 7/18/23 @ 101.72(a) | $ | 24,563 | |||
| 55,000 | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(a) | 53,625 | ||||
| 5,000 | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | 4,675 | ||||
| 30,000 | Mineral Resources, Ltd., 8.00%, 11/1/27, Callable 11/1/24 @ 104(a) | 29,962 | ||||
|
|
|
| ||||
| 185,925 | ||||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (1.2%): |
||||||
| 115,000 | eG Global Finance plc, 6.75%, 2/7/25, Callable 7/18/23 @ 100(a) | 111,406 | ||||
| 55,000 | eG Global Finance plc, 8.50%, 10/30/25, Callable 8/7/23 @ 102.13(a) | 53,350 | ||||
| 100,000 | Meg Energy Corp., 7.13%, 2/1/27, Callable 8/8/23 @ 103.56(a) | 101,250 | ||||
| 785,000 | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | 625,056 | ||||
| 1,662,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 1,042,905 | ||||
| 30,000 | Teine Energy, Ltd., 6.88%, 4/15/29, Callable 4/15/24 @ 103.44(a) | 27,300 | ||||
|
|
|
| ||||
| 1,961,267 | ||||||
|
|
|
| ||||
| Passenger Airlines (0.1%): |
||||||
| 95,000 | VistaJet Malta Finance plc/Vista Management Holding, Inc., 6.38%, 2/1/30, Callable 2/1/25 @ 103.19(a) | 76,712 | ||||
|
|
|
| ||||
| Pharmaceuticals (0.0%†): |
||||||
| 40,000 | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 8/8/23 @ 100(a) | 35,000 | ||||
|
|
|
| ||||
| Software (0.1%): |
||||||
| 95,000 | Open Text Corp., 3.88%, 2/15/28, Callable 8/8/23 @ 101.94(a) | 83,363 | ||||
|
|
|
| ||||
| Sovereign Bond (1.1%): |
||||||
| 56,434 | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 8/7/23 @ 100 | 18,341 | ||||
| 513,757 | Argentine Republic Government International Bond, 0.50%, 7/9/30, Callable 8/7/23 @ 100 | 170,824 | ||||
| 941,242 | Argentine Republic Government International Bond, 1.50%, 7/9/35, Callable 8/7/23 @ 100 | 279,549 | ||||
| 444,000 | Dominican Republic, 5.50%, 1/27/25^(a) | 436,785 | ||||
| 250,000 | Dominican Republic, 6.00%, 7/19/28(a) | 242,188 | ||||
| 300,000 | Indonesia Government International Bond, 4.20%, 10/15/50 | 256,903 | ||||
| 200,000 | Qatar Government International Bond, 4.40%, 4/16/50(a) | 181,710 | ||||
| 230,000 | Saudi Government International Bond, 3.25%, 10/22/30(a) | 208,145 | ||||
|
|
|
| ||||
| 1,794,445 | ||||||
|
|
|
| ||||
| Tobacco (0.1%): |
||||||
| 200,000 | Imperial Brands Finance plc, 6.13%, 7/27/27, Callable 6/27/27 @ 100(a) | 200,361 | ||||
|
|
|
| ||||
| Trading Companies & Distributors (0.4%): |
||||||
| 251,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | 239,815 | ||||
| 209,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | 186,340 | ||||
| Principal Amount | Value | |||||
| Yankee Debt Obligations, continued |
||||||
| Trading Companies & Distributors, continued |
| |||||
| $234,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | $ | 190,713 | |||
|
|
|
| ||||
| 616,868 | ||||||
|
|
|
| ||||
| Transportation Infrastructure (0.0%†): |
||||||
| 35,000 | Seaspan Corp., 5.50%, 8/1/29, Callable 8/1/24 @ 102.75(a) | 27,519 | ||||
|
|
|
| ||||
| Wireless Telecommunication Services (0.3%): |
||||||
| 315,000 | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | 283,894 | ||||
| 60,000 | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(a) | 46,200 | ||||
| 110,000 | Rogers Communications, Inc., 3.20%, 3/15/27, Callable 2/15/27 @ 100(a) | 102,196 | ||||
| 100,000 | Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100(a) | 87,211 | ||||
|
|
|
| ||||
| 519,501 | ||||||
|
|
|
| ||||
| Total Yankee Debt Obligations (Cost $16,399,005) |
13,588,694 | |||||
|
|
|
| ||||
| Municipal Bonds (0.9%): |
||||||
| Illinois (0.6%): |
||||||
| 290,769 | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | 303,496 | ||||
| 392,308 | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | 411,319 | ||||
| 295,000 | Illinois State, GO, 5.10%, 6/1/33 | 289,613 | ||||
|
|
|
| ||||
| 1,004,428 | ||||||
|
|
|
| ||||
| New Jersey (0.3%): |
||||||
| 504,000 | New Jersey Economic Development Authority Revenue, GO, Series A, 7.43%, 2/15/29 | 542,158 | ||||
|
|
|
| ||||
| Total Municipal Bonds (Cost $1,600,037) |
1,546,586 | |||||
|
|
|
| ||||
| U.S. Government Agency Mortgages (20.7%): |
| |||||
| Federal National Mortgage Association (10.1%): |
| |||||
| 83,097 | 2.50%, 6/1/29, Pool #MA3734 | 75,612 | ||||
| 47,554 | 2.50%, 9/1/31, Pool #AS8012 | 44,489 | ||||
| 202,712 | 2.50%, 12/1/32, Pool #CA3748 | 185,595 | ||||
| 2,330 | 4.50%, 7/1/33, Pool #729327 | 2,293 | ||||
| 983 | 4.50%, 7/1/33, Pool #720240 | 963 | ||||
| 3,570 | 4.50%, 8/1/33, Pool #723124 | 3,497 | ||||
| 2,725 | 4.50%, 8/1/33, Pool #729713 | 2,668 | ||||
| 13,863 | 4.50%, 8/1/33, Pool #729380 | 13,581 | ||||
| 2,581 | 4.50%, 8/1/33, Pool #727160 | 2,528 | ||||
| 2,062 | 4.50%, 8/1/33, Pool #727029 | 2,018 | ||||
| 7,060 | 4.50%, 8/1/33, Pool #726956 | 6,918 | ||||
| 9,005 | 4.50%, 8/1/33, Pool #726928 | 8,822 | ||||
| 12,505 | 4.50%, 9/1/33, Pool #727147 | 12,305 | ||||
| 4,771 | 4.50%, 9/1/33, Pool #734922 | 4,695 | ||||
| 20,335 | 4.50%, 12/1/33, Pool #AL5321 | 20,011 | ||||
| 15,542 | 6.00%, 10/1/34, Pool #AL2130 | 16,215 | ||||
| 1,175,801 | 2.00%, 6/1/35, Pool #BP5619 | 1,047,371 | ||||
| 30,530 | 4.50%, 9/1/35, Pool #AB8198 | 29,788 | ||||
| 178,107 | 2.00%, 10/1/35, Pool #BK5705 | 158,688 | ||||
| 297,282 | 6.00%, 5/1/36, Pool #745512 | 307,444 | ||||
| 144,311 | 6.00%, 1/1/37, Pool #932030 | 150,946 | ||||
| 26,736 | 6.00%, 3/1/37, Pool #889506 | 27,789 | ||||
| 106,842 | 1.50%, 4/1/37, Pool #MA4581 | 92,005 | ||||
| 39,501 | 6.00%, 1/1/38, Pool #889371 | 40,778 | ||||
| 14,468 | 6.00%, 3/1/38, Pool #889219 | 15,010 | ||||
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $6,948 | 6.00%, 7/1/38, Pool #889733 | $ | 7,145 | |||
| 50,000 | 1.50%, 7/25/38, TBA | 43,062 | ||||
| 40,130 | 4.50%, 3/1/39, Pool #AB0051 | 39,492 | ||||
| 209,839 | 4.50%, 4/1/39, Pool #AB0043 | 204,722 | ||||
| 137,146 | 2.50%, 8/1/39, Pool #MA3761 | 121,325 | ||||
| 17,408 | 4.50%, 11/1/39, Pool #AC5442 | 17,212 | ||||
| 55,775 | 6.00%, 5/1/40, Pool #AL2129 | 57,628 | ||||
| 17,428 | 2.00%, 10/1/40, Pool #MA4176 | 14,890 | ||||
| 22,465 | 4.00%, 12/1/40, Pool #AA4757 | 21,801 | ||||
| 17,867 | 2.00%, 12/1/40, Pool #MA4204 | 14,870 | ||||
| 19,168 | 2.00%, 2/1/41, Pool #MA4268 | 16,193 | ||||
| 26,299 | 4.50%, 2/1/41, Pool #AH5580 | 26,112 | ||||
| 19,600 | 2.00%, 3/1/41, Pool #MA4287 | 16,558 | ||||
| 20,233 | 2.00%, 4/1/41, Pool #MA4311 | 17,092 | ||||
| 20,497 | 2.00%, 5/1/41, Pool #MA4333 | 17,316 | ||||
| 20,809 | 2.00%, 6/1/41, Pool #MA4364 | 17,709 | ||||
| 161,664 | 2.00%, 10/1/41, Pool #MA4446 | 136,573 | ||||
| 444,199 | 1.50%, 11/1/41, Pool #MA4473 | 361,527 | ||||
| 3,975 | 6.00%, 1/1/42, Pool #AL2128 | 3,945 | ||||
| 133,382 | 2.50%, 2/1/43, Pool #AB8465 | 116,655 | ||||
| 31,441 | 4.00%, 10/1/43, Pool #BM1167 | 30,325 | ||||
| 126,459 | 4.50%, 3/1/44, Pool #AL5082 | 123,527 | ||||
| 7,220 | 4.00%, 12/1/44, Pool #AY0045 | 6,890 | ||||
| 66,915 | 4.00%, 5/1/45, Pool #AZ1207 | 64,279 | ||||
| 42,944 | 3.00%, 5/1/45, Pool #AS4972 | 38,590 | ||||
| 23,743 | 5.00%, 6/1/45, Pool #AZ3448 | 23,970 | ||||
| 98,199 | 4.00%, 6/1/45, Pool #AY8096 | 94,336 | ||||
| 47,273 | 4.00%, 6/1/45, Pool #AY8126 | 45,662 | ||||
| 28,113 | 4.00%, 6/1/45, Pool #AZ3341 | 26,797 | ||||
| 21,580 | 4.00%, 6/1/45, Pool #AZ2719 | 20,571 | ||||
| 111,312 | 4.00%, 7/1/45, Pool #AZ0833 | 106,107 | ||||
| 93,958 | 3.00%, 8/1/45, Pool #AS5634 | 84,406 | ||||
| 15,165 | 3.00%, 8/1/45, Pool #AZ3728 | 13,622 | ||||
| 35,747 | 3.00%, 8/1/45, Pool #AZ8288 | 32,112 | ||||
| 13,814 | 4.00%, 11/1/45, Pool #AZ0560 | 13,270 | ||||
| 41,436 | 4.00%, 12/1/45, Pool #BA6404 | 39,803 | ||||
| 31,013 | 4.50%, 2/1/46, Pool #BM5199 | 30,516 | ||||
| 232,715 | 3.50%, 5/1/46, Pool #BC0880 | 216,876 | ||||
| 7,925 | 4.00%, 5/1/46, Pool #BC2276 | 7,589 | ||||
| 88,186 | 4.00%, 7/1/46, Pool #BC1443 | 84,803 | ||||
| 28,073 | 4.50%, 8/1/46, Pool #AL9111 | 27,536 | ||||
| 98,567 | 4.00%, 9/1/46, Pool #BC2843 | 94,777 | ||||
| 307,421 | 3.50%, 12/1/46, Pool #BC9077 | 286,527 | ||||
| 47,698 | 3.50%, 2/1/47, Pool #BE5696 | 44,242 | ||||
| 376,299 | 4.50%, 2/1/47, Pool #AL9846 | 369,694 | ||||
| 5,181 | 4.00%, 6/1/47, Pool #BH4269 | 4,946 | ||||
| 27,780 | 3.00%, 5/1/49, Pool #MA3670 | 24,673 | ||||
| 290,888 | 2.50%, 8/1/50, Pool #SD0430 | 249,364 | ||||
| 188,519 | 1.50%, 12/1/50, Pool #CA8005 | 145,771 | ||||
| 428,896 | 2.00%, 4/1/51, Pool #MA4305 | 350,161 | ||||
| 253,319 | 2.50%, 4/1/51, Pool #FM6540 | 220,923 | ||||
| 147,692 | 2.50%, 5/1/51, Pool #MA4326 | 125,453 | ||||
| 443,584 | 1.50%, 6/1/51, Pool #MA4354 | 342,698 | ||||
| 512,320 | 3.00%, 6/1/51, Pool #CB0850 | 450,831 | ||||
| 291,334 | 2.50%, 7/1/51, Pool #CB0997 | 249,131 | ||||
| 9,917 | 2.00%, 7/1/51, Pool #BT1461 | 8,180 | ||||
| 43,943 | 2.50%, 8/1/51, Pool #CB1384 | 37,572 | ||||
| 84,749 | 3.00%, 8/1/51, Pool #FM9973 | 75,291 | ||||
| 176,785 | 2.50%, 9/1/51, Pool #CB1549 | 151,322 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal National Mortgage Association, continued |
| |||||
| $237,467 | 2.00%, 10/1/51, Pool #CB1799 | $ | 196,568 | |||
| 314,501 | 2.00%, 10/1/51, Pool #CB1801 | 259,497 | ||||
| 141,743 | 3.00%, 11/1/51, Pool #FM9632 | 125,916 | ||||
| 715,959 | 2.50%, 11/1/51, Pool #FM9501 | 612,741 | ||||
| 207,859 | 2.00%, 11/1/51, Pool #FM9539 | 171,546 | ||||
| 331,557 | 2.00%, 11/1/51, Pool #FM9568 | 274,028 | ||||
| 178,514 | 3.00%, 11/1/51, Pool #FM9633 | 158,245 | ||||
| 189,143 | 3.00%, 11/1/51, Pool #CB2164 | 168,125 | ||||
| 181,026 | 2.50%, 12/1/51, Pool #CB2320 | 154,925 | ||||
| 127,643 | 2.50%, 12/1/51, Pool #CB2376 | 109,129 | ||||
| 59,913 | 3.00%, 12/1/51, Pool #CB2420 | 53,253 | ||||
| 97,687 | 3.00%, 12/1/51, Pool #FM9777 | 86,328 | ||||
| 1,080,954 | 2.50%, 12/1/51, Pool #FM9865 | 925,109 | ||||
| 135,498 | 2.00%, 12/1/51, Pool #CB2350 | 111,421 | ||||
| 505,909 | 2.00%, 12/1/51, Pool #CB2349 | 417,463 | ||||
| 137,435 | 2.00%, 12/1/51, Pool #CB2347 | 113,582 | ||||
| 91,095 | 2.00%, 12/1/51, Pool #CB2348 | 75,159 | ||||
| 90,726 | 3.00%, 12/1/51, Pool #BT9503 | 80,193 | ||||
| 357,454 | 2.00%, 1/1/52, Pool #FS0288 | 293,502 | ||||
| 832,797 | 2.00%, 1/1/52, Pool #FS0286 | 687,135 | ||||
| 225,705 | 3.00%, 2/1/52, Pool #FS0631 | 198,598 | ||||
| 146,635 | 3.00%, 2/1/52, Pool #CB2886 | 129,808 | ||||
| 884,718 | 2.00%, 2/1/52, Pool #CB2842 | 723,189 | ||||
| 49,749 | 3.50%, 3/1/52, Pool #CB3128 | 45,548 | ||||
| 47,607 | 4.00%, 4/1/52, Pool #FS1647 | 45,021 | ||||
| 192,265 | 5.50%, 10/1/52, Pool #CB4843 | 191,660 | ||||
| 193,700 | 5.00%, 11/1/52, Pool #CB5128 | 191,764 | ||||
| 95,268 | 5.00%, 11/1/52, Pool #FS3248 | 94,111 | ||||
| 48,357 | 5.00%, 11/1/52, Pool #FS3295 | 47,694 | ||||
| 100,192 | 6.00%, 6/1/53, Pool #CB6538 | 102,519 | ||||
| 99,835 | 5.50%, 6/1/53, Pool #CB6527 | 100,297 | ||||
| 100,000 | 3.50%, 7/25/53, TBA | 91,094 | ||||
| 1,175,000 | 5.50%, 7/25/53, TBA | 1,169,676 | ||||
| 350,000 | 2.00%, 7/25/53, TBA | 285,250 | ||||
| 450,000 | 2.50%, 7/25/53, TBA | 381,445 | ||||
| 50,000 | 2.00%, 8/25/53, TBA | 40,812 | ||||
|
|
|
| ||||
| 16,819,350 | ||||||
|
|
|
| ||||
| Government National Mortgage Association (4.1%): |
| |||||
| 3,357 | 5.00%, 6/15/34, Pool #629493 | 3,318 | ||||
| 2,299 | 5.00%, 3/15/38, Pool #676766 | 2,329 | ||||
| 1,378 | 5.00%, 4/15/38, Pool #672672 | 1,396 | ||||
| 5,392 | 5.00%, 8/15/38, Pool #687818 | 5,462 | ||||
| 46,559 | 5.00%, 1/15/39, Pool #705997 | 47,092 | ||||
| 584 | 5.00%, 3/15/39, Pool #697946 | 591 | ||||
| 81,601 | 5.00%, 3/15/39, Pool #646746 | 82,529 | ||||
| 88,709 | 4.00%, 10/15/40, Pool #783143 | 84,540 | ||||
| 24,371 | 4.00%, 10/20/40, Pool #G24833 | 23,645 | ||||
| 73,353 | 4.00%, 1/20/41, Pool #4922 | 71,168 | ||||
| 202,376 | 4.50%, 3/20/41, Pool #4978 | 200,148 | ||||
| 70,626 | 4.50%, 5/20/41, Pool #005055 | 69,848 | ||||
| 149,311 | 4.00%, 5/20/41, Pool #5054 | 144,864 | ||||
| 70,158 | 4.50%, 6/15/41, Pool #366975 | 69,736 | ||||
| 47,029 | 4.50%, 6/20/41, Pool #005082 | 46,511 | ||||
| 190,314 | 3.50%, 12/20/41, Pool #5258 | 178,510 | ||||
| 330,505 | 4.00%, 1/20/42, Pool #5280 | 320,658 | ||||
| 180,239 | 3.00%, 12/20/42, Pool #AA5872 | 161,484 | ||||
| 117,301 | 3.00%, 12/20/42, Pool #MA0624 | 107,404 | ||||
| 20,529 | 3.00%, 1/20/43, Pool #MA0698 | 18,334 | ||||
| 254,068 | 3.50%, 2/20/43, Pool #MA0783 | 239,408 | ||||
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Government National Mortgage Association, continued |
| |||||
| $33,544 | 3.50%, 3/20/43, Pool #AD8884 | $ | 31,487 | |||
| 50,795 | 3.00%, 3/20/43, Pool #AD8812 | 45,805 | ||||
| 118,482 | 3.00%, 3/20/43, Pool #AA6146 | 106,663 | ||||
| 12,679 | 3.50%, 4/20/43, Pool #AB9891 | 11,902 | ||||
| 34,698 | 3.50%, 4/20/43, Pool #AD9075 | 32,569 | ||||
| 2,940 | 4.00%, 7/20/44, Pool #MA2074 | 2,853 | ||||
| 126,938 | 4.00%, 4/15/46, Pool #784232 | 120,241 | ||||
| 19,306 | 3.50%, 7/20/46, Pool #784391 | 18,136 | ||||
| 10,723 | 3.00%, 10/20/46, Pool #MA4003 | 9,730 | ||||
| 559,438 | 3.00%, 12/20/46, Pool #MA4126 | 505,120 | ||||
| 57,401 | 4.00%, 1/15/47, Pool #AX5857 | 53,978 | ||||
| 50,191 | 4.00%, 1/15/47, Pool #AX5831 | 47,147 | ||||
| 176,193 | 3.00%, 1/20/47, Pool #MA4195 | 159,090 | ||||
| 106,097 | 3.00%, 2/20/47, Pool #MA4261 | 96,113 | ||||
| 177,267 | 4.00%, 4/20/47, Pool #784304 | 167,151 | ||||
| 174,301 | 4.00%, 4/20/47, Pool #784303 | 164,372 | ||||
| 54,448 | 4.00%, 4/20/48, Pool #BG7744 | 52,237 | ||||
| 60,199 | 4.00%, 4/20/48, Pool #BG3507 | 57,772 | ||||
| 242,180 | 2.00%, 11/20/50, Pool #MA6994 | 204,612 | ||||
| 387,800 | 2.00%, 1/20/51, Pool #MA7135 | 326,263 | ||||
| 282,124 | 2.00%, 2/20/51, Pool #MA7192 | 237,528 | ||||
| 100,271 | 2.50%, 6/20/51, POOL# MA7418 | 87,005 | ||||
| 199,100 | 2.50%, 9/20/51, Pool #MA7589 | 172,569 | ||||
| 700,000 | 4.50%, 7/20/53, TBA | 675,609 | ||||
| 50,000 | 4.00%, 7/20/53, TBA | 47,274 | ||||
| 275,000 | 2.50%, 7/20/53, TBA | 237,961 | ||||
| 400,000 | 2.00%, 7/20/53, TBA | 335,750 | ||||
| 350,000 | 5.50%, 7/20/53, TBA | 348,523 | ||||
| 550,000 | 2.50%, 8/20/53, TBA | 476,502 | ||||
| 150,000 | 2.00%, 8/20/53, TBA | 126,076 | ||||
|
|
|
| ||||
| 6,837,013 | ||||||
|
|
|
| ||||
| Federal Home Loan Mortgage Corporation (6.5%): |
| |||||
| 18,730 | 2.50%, 6/1/31, Pool #G18604 | 17,494 | ||||
| 33,404 | 2.50%, 7/1/31, Pool #V61246 | 30,909 | ||||
| 55,307 | 2.50%, 8/1/31, Pool #V61273 | 51,084 | ||||
| 201,274 | 3.50%, 3/1/32, Pool #C91403 | 193,025 | ||||
| 608,658 | 3.50%, 7/1/32, Pool #C91467 | 583,712 | ||||
| 5,298 | 2.50%, 8/1/32, Pool #G18654 | 4,847 | ||||
| 5,645 | 2.50%, 11/1/32, Pool #G18665 | 5,164 | ||||
| 171,986 | 2.50%, 12/1/32, Pool #G18669 | 157,368 | ||||
| 26,123 | 2.50%, 3/1/33, Pool #G18680 | 24,090 | ||||
| 10,567 | 2.50%, 4/1/33, Pool #G18683 | 9,745 | ||||
| 61,794 | 3.00%, 4/1/33, Pool #G18684 | 58,179 | ||||
| 5,393 | 2.50%, 5/1/33, Pool #G18687 | 4,973 | ||||
| 115,933 | 2.50%, 7/1/33, Pool #G16661 | 106,173 | ||||
| 24,418 | 3.00%, 4/1/34, Pool #G16829 | 23,171 | ||||
| 224,610 | 3.50%, 10/1/34, Pool #C91793 | 212,792 | ||||
| 443,969 | 4.00%, 5/1/37, Pool #C91938 | 428,121 | ||||
| 17,554 | 3.50%, 4/1/40, Pool #V81744 | 16,319 | ||||
| 38,150 | 3.50%, 5/1/40, Pool #V81750 | 35,448 | ||||
| 40,093 | 3.50%, 6/1/40, Pool #V81792 | 37,268 | ||||
| 23,169 | 3.50%, 8/1/40, Pool #V81886 | 21,528 | ||||
| 15,746 | 3.50%, 9/1/40, Pool #V81958 | 14,631 | ||||
| 26,693 | 4.50%, 1/1/41, Pool #A96051 | 26,402 | ||||
| 24,980 | 4.50%, 3/1/41, Pool #A97673 | 24,192 | ||||
| 19,990 | 2.00%, 4/1/41, Pool #RB5108 | 16,886 | ||||
| 39,050 | 4.50%, 4/1/41, Pool #A97942 | 37,819 | ||||
| 140,792 | 5.00%, 6/1/41, Pool #G06596 | 141,528 | ||||
| 20,765 | 2.00%, 7/1/41, Pool #RB5118 | 17,542 | ||||
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
| |||||
| Federal Home Loan Mortgage Corporation, continued |
| |||||
| $21,751 | 2.00%, 10/1/41, Pool #RB5131 | $ | 18,477 | |||
| 502,083 | 4.50%, 1/1/42, Pool #G60517 | 503,665 | ||||
| 70,484 | 3.00%, 12/1/42, Pool #C04320 | 63,561 | ||||
| 22,235 | 4.00%, 5/1/43, Pool #Q18481 | 21,412 | ||||
| 23,174 | 4.00%, 7/1/43, Pool #Q19597 | 22,317 | ||||
| 22,656 | 4.00%, 10/1/43, Pool #Q22499 | 21,729 | ||||
| 167,166 | 3.50%, 1/1/44, Pool #G07922 | 155,833 | ||||
| 84,414 | 3.50%, 1/1/44, Pool #G60271 | 80,030 | ||||
| 26,997 | 4.00%, 1/1/44, Pool #V80950 | 25,852 | ||||
| 90,429 | 4.00%, 1/1/45, Pool #Q30720 | 87,043 | ||||
| 84,109 | 4.00%, 2/1/45, Pool #G07949 | 81,073 | ||||
| 22,720 | 3.50%, 3/1/45, Pool #Q32328 | 21,394 | ||||
| 26,153 | 3.50%, 3/1/45, Pool #Q31974 | 24,619 | ||||
| 42,039 | 3.50%, 3/1/45, Pool #Q32008 | 39,579 | ||||
| 15,857 | 3.00%, 5/1/45, Pool #Q33468 | 14,439 | ||||
| 99,854 | 3.50%, 5/1/45, Pool #Q33547 | 91,636 | ||||
| 113,476 | 3.00%, 6/1/45, Pool #Q34156 | 103,345 | ||||
| 135,191 | 3.50%, 6/1/45, Pool #Q34164 | 124,088 | ||||
| 19,888 | 3.50%, 6/1/45, Pool #Q33791 | 18,261 | ||||
| 9,722 | 3.00%, 7/1/45, Pool #Q34979 | 8,800 | ||||
| 31,170 | 3.00%, 7/1/45, Pool #Q34759 | 28,883 | ||||
| 46,036 | 4.00%, 8/1/45, Pool #Q35845 | 43,401 | ||||
| 9,035 | 4.00%, 9/1/45, Pool #Q37853 | 8,667 | ||||
| 156,753 | 3.50%, 11/1/45, Pool #Q37467 | 147,576 | ||||
| 4,127 | 4.00%, 11/1/45, Pool #Q38812 | 3,958 | ||||
| 1,650 | 4.00%, 2/1/46, Pool #Q38879 | 1,580 | ||||
| 8,515 | 4.00%, 2/1/46, Pool #Q38782 | 8,157 | ||||
| 11,387 | 4.00%, 2/1/46, Pool #Q38783 | 10,893 | ||||
| 5,909 | 4.00%, 4/1/46, Pool #Q39975 | 5,659 | ||||
| 25,088 | 4.00%, 4/1/46, Pool #V82292 | 23,989 | ||||
| 50,425 | 3.50%, 5/1/46, Pool #Q40647 | 47,233 | ||||
| 59,326 | 3.50%, 5/1/46, Pool #G60603 | 55,498 | ||||
| 178,136 | 3.50%, 5/1/46, Pool #G60553 | 167,109 | ||||
| 161,704 | 3.50%, 9/1/46, Pool #Q43257 | 151,256 | ||||
| 7,935 | 4.00%, 9/1/47, Pool #Q50433 | 7,583 | ||||
| 14,456 | 4.00%, 10/1/47, Pool #Q51189 | 13,813 | ||||
| 10,517 | 4.00%, 2/1/48, Pool #Q54192 | 10,013 | ||||
| 114,797 | 4.00%, 5/1/48, Pool #Q55992 | 109,309 | ||||
| 356,552 | 4.00%, 6/1/48, Pool #G67713 | 342,126 | ||||
| 44,221 | 4.00%, 7/1/48, Pool #Q59935 | 42,399 | ||||
| 339,303 | 2.50%, 10/1/50, Pool #SD7525 | 290,975 | ||||
| 489,427 | 2.50%, 11/1/50, Pool #SD7530 | 418,788 | ||||
| 38,683 | 2.50%, 2/1/51, Pool #SD7535 | 33,112 | ||||
| 349,993 | 1.50%, 4/1/51, Pool #QC0798 | 270,463 | ||||
| 591,439 | 3.00%, 5/1/51, Pool #QC1881 | 525,120 | ||||
| 127,569 | 2.00%, 5/1/51, Pool #SD7541 | 105,444 | ||||
| 13,207 | 2.00%, 7/1/51, Pool #QC4163 | 10,900 | ||||
| 137,359 | 3.00%, 9/1/51, Pool #QC7496 | 121,407 | ||||
| 312,116 | 2.00%, 10/1/51, Pool #RA6076 | 256,677 | ||||
| 180,226 | 2.00%, 11/1/51, Pool #RA6302 | 148,001 | ||||
| 455,938 | 2.00%, 11/1/51, Pool #RA6241 | 374,880 | ||||
| 183,388 | 2.00%, 12/1/51, Pool #RA6510 | 151,316 | ||||
| 1,080,362 | 2.50%, 12/1/51, Pool #RA6435 | 923,651 | ||||
| 320,914 | 2.50%, 1/1/52, Pool #RA6622 | 274,372 | ||||
| 277,614 | 2.00%, 2/1/52, Pool #RA6823 | 227,115 | ||||
| 551,511 | 2.00%, 2/1/52, Pool #RA6820 | 450,936 | ||||
| 604,452 | 3.00%, 3/1/52, Pool #RA6988 | 532,935 | ||||
| 223,615 | 3.50%, 3/1/52, Pool #RA6949 | 204,768 | ||||
| 232,732 | 3.50%, 3/1/52, Pool #RA6950 | 213,204 | ||||
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||
| U.S. Government Agency Mortgages, continued |
||||||
| Federal Home Loan Mortgage Corporation, continued |
||||||
| $147,130 | 3.00%, 3/1/52, Pool #SD2219 | $ | 130,236 | |||
| 47,268 | 4.00%, 10/1/52, Pool #SD1772 | 44,893 | ||||
| 97,726 | 5.00%, 11/1/52, Pool #SD1862 | 96,779 | ||||
|
|
|
| ||||
| 10,862,637 | ||||||
|
|
|
| ||||
| Total U.S. Government Agency Mortgages |
34,519,000 | |||||
|
|
|
| ||||
| U.S. Treasury Obligations (25.5%): |
||||||
| U.S. Treasury Bonds (11.0%): |
||||||
| 3,103,000 | 1.75%, 8/15/41 | 2,175,979 | ||||
| 15,086,000 | 2.00%, 8/15/51 | 10,263,194 | ||||
| 6,100,000 | 3.63%, 2/15/53 | 5,844,563 | ||||
| 200,000 | 3.63%, 5/15/53 | 191,906 | ||||
|
|
|
| ||||
| 18,475,642 | ||||||
|
|
|
| ||||
| U.S. Treasury Notes (14.5%): |
||||||
| 1,000,000 | 3.50%, 4/30/28 | 971,250 | ||||
| 4,100,000 | 4.00%, 2/28/30 | 4,095,516 | ||||
| 3,300,000 | 3.63%, 3/31/30 | 3,226,781 | ||||
| 900,000 | 3.50%, 4/30/30 | 873,562 | ||||
| 10,800,000 | 3.50%, 2/15/33 | 10,514,813 | ||||
| Principal Amount | Value | |||||
| U.S. Treasury Obligations, continued |
||||||
| U.S. Treasury Notes, continued |
||||||
| $4,700,000 | 3.38%, 5/15/33 | $ | 4,529,625 | |||
|
|
|
| ||||
| 24,211,547 | ||||||
|
|
|
| ||||
| Total U.S. Treasury Obligations |
42,687,189 | |||||
|
|
|
| ||||
| Shares | ||||||
| Short-Term Security Held as Collateral for Securities on Loan (1.6%): |
||||||
| $2,688,732 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(d)(e) | 2,688,732 | ||||
|
|
|
| ||||
| Total Short-Term Security Held as Collateral for Securities on Loan |
2,688,732 | |||||
|
|
|
| ||||
| Unaffiliated Investment Company (0.6%): |
||||||
| Money Markets (0.6%): |
||||||
| 950,820 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(e) | 950,820 | ||||
|
|
|
| ||||
| Total Unaffiliated Investment Company |
950,820 | |||||
|
|
|
| ||||
| Total Investment Securities |
172,237,749 | |||||
| Net other assets (liabilities) — (3.0)% |
(4,992,640 | ) | ||||
|
|
|
| ||||
| Net Assets — 100.0% |
$ | 167,245,109 | ||||
|
|
|
| ||||
Percentages indicated are based on net assets as of June 30, 2023.
| GO | - | General Obligation | ||
| H15T1Y | - | 1 Year Treasury Constant Maturity Rate | ||
| H15T5Y | - | 5 Year Treasury Constant Maturity Rate | ||
| LIBOR | - | London Interbank Offered Rate | ||
| 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 | ||
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $2,579,036. |
| + | This security, in part or entirely, represents an unfunded loan commitment. |
| † | Represents less than 0.05%. |
| * | Non-income producing security. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. |
| (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 June 30, 2023. |
| (c) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| (d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2023. |
| (e) | The rate represents the effective yield at June 30, 2023. |
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
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 June 30, 2023:
| (Unaudited) | |||||
| Country | Percentage | ||||
| Argentina |
0.3% | ||||
| Australia |
0.2% | ||||
| Brazil |
—% | † | |||
| Canada |
0.5% | ||||
| Cayman Islands |
4.2% | ||||
| Colombia |
—% | † | |||
| Dominican Republic |
0.4% | ||||
| Finland |
—% | † | |||
| France |
0.4% | ||||
| Germany |
0.4% | ||||
| Hong Kong |
0.2% | ||||
| Indonesia |
0.1% | ||||
| Ireland |
0.4% | ||||
| Italy |
0.4% | ||||
| Jersey |
0.1% | ||||
| Luxembourg |
0.5% | ||||
| Macau |
—% | † | |||
| Mexico |
1.0% | ||||
| Netherlands |
0.3% | ||||
| Qatar |
0.1% | ||||
| Saudi Arabia |
0.1% | ||||
| Spain |
—% | † | |||
| Switzerland |
0.7% | ||||
| United Arab Emirates |
0.1% | ||||
| United Kingdom |
1.1% | ||||
| United States |
88.5% | ||||
| Zambia |
—% | † | |||
|
|
|
| |||
| 100.0% | |||||
|
|
|
| |||
| † | Represents less than 0.05%. |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Total Bond Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 191,985,980 | |||
|
|
|
| |||
| Investment securities, at value(a) |
$ | 172,237,749 | |||
| Cash |
4,243 | ||||
| Interest and dividends receivable |
1,719,668 | ||||
| Receivable for capital shares issued |
183,527 | ||||
| Receivable for investments sold |
398,435 | ||||
| Receivable for TBA investments sold |
1,141,070 | ||||
| Receivable from Manager |
1,379 | ||||
| Prepaid expenses |
985 | ||||
|
|
|
| |||
| Total Assets |
175,687,056 | ||||
|
|
|
| |||
| Liabilities: |
|||||
| Payable for investments purchased |
118,149 | ||||
| Payable for TBA investments purchased |
5,437,773 | ||||
| Payable for capital shares redeemed |
88,697 | ||||
| Payable for collateral received on loaned securities |
2,688,732 | ||||
| Management fees payable |
68,923 | ||||
| Administration fees payable |
4,348 | ||||
| Distribution fees payable |
31,123 | ||||
| Custodian fees payable |
1,829 | ||||
| Transfer agent fees payable |
540 | ||||
| Trustee fees payable |
231 | ||||
| Other accrued liabilities |
1,602 | ||||
|
|
|
| |||
| Total Liabilities |
8,441,947 | ||||
|
|
|
| |||
| Commitments and contingent liabilities^ |
|||||
|
|
|
| |||
| Net Assets |
$ | 167,245,109 | |||
|
|
|
| |||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 209,950,697 | |||
| Total distributable earnings |
(42,705,588 | ) | |||
|
|
|
| |||
| Net Assets |
$ | 167,245,109 | |||
|
|
|
| |||
| Class 1 |
|||||
| Net Assets |
$ | 16,153,818 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
1,866,757 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 8.65 | |||
|
|
|
| |||
| Class 2 |
|||||
| Net Assets |
$ | 151,091,291 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
16,876,714 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 8.95 | |||
|
|
|
|
| (a) | Includes securities on loan of $2,579,036. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Interest |
$ | 5,015,082 | |||
| Dividends |
383,480 | ||||
| Income from securities lending |
18,106 | ||||
|
|
|
| |||
| Total Investment Income |
5,416,668 | ||||
|
|
|
| |||
| Expenses: |
|||||
| Management fees |
583,597 | ||||
| Administration fees |
58,497 | ||||
| Distribution fees - Class 2 |
271,163 | ||||
| Custodian fees |
14,577 | ||||
| Administrative and compliance services fees |
1,471 | ||||
| Transfer agent fees |
6,303 | ||||
| Trustee fees |
4,295 | ||||
| Professional fees |
3,443 | ||||
| Shareholder reports |
4,349 | ||||
| Other expenses |
2,354 | ||||
|
|
|
| |||
| Total expenses before reductions |
950,049 | ||||
| Less Management fees contractually waived |
(11,489 | ) | |||
|
|
|
| |||
| Net expenses |
938,560 | ||||
|
|
|
| |||
| Net Investment Income/(Loss) |
4,478,108 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities |
(27,288,411 | ) | |||
| Net realized gains/(losses) on securities held short |
(50,434 | ) | |||
| Change in net unrealized appreciation/depreciation on securities |
29,520,612 | ||||
| Change in net unrealized appreciation/depreciation on securities held short |
(1,512 | ) | |||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments |
2,180,255 | ||||
|
|
|
| |||
| Change in Net Assets Resulting From Operations |
$ | 6,658,363 | |||
|
|
|
|
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Total Bond Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 4,478,108 | $ | 9,937,255 | ||||||
| Net realized gains/(losses) on investments |
(27,338,845) | (10,020,985) | ||||||||
| Change in unrealized appreciation/depreciation on investments |
29,519,100 | (57,358,544) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
6,658,363 | (57,442,274) | ||||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Class 1 |
— | (974,028) | ||||||||
| Class 2 |
— | (17,125,298) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
— | (18,099,326) | ||||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Class 1 |
||||||||||
| Proceeds from shares issued |
609,030 | 253,242 | ||||||||
| Proceeds from dividends reinvested |
— | 974,029 | ||||||||
| Value of shares redeemed |
(1,502,452) | (2,198,278) | ||||||||
|
|
|
|
|
|||||||
| Total Class 1 Shares |
(893,422) | (971,007) | ||||||||
|
|
|
|
|
|||||||
| Class 2 |
||||||||||
| Proceeds from shares issued |
10,333,443 | 5,486,206 | ||||||||
| Proceeds from shares issued in merger |
22,585,126 | — | ||||||||
| Proceeds from dividends reinvested |
— | 17,125,298 | ||||||||
| Value of shares redeemed |
(207,222,242) | (56,817,482) | ||||||||
|
|
|
|
|
|||||||
| Total Class 2 Shares |
(174,303,673) | (34,205,978) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
(175,197,095) | (35,176,985) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets |
(168,538,732) | (110,718,585) | ||||||||
| Net Assets: |
||||||||||
| Beginning of period |
335,783,841 | 446,502,426 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 167,245,109 | $ | 335,783,841 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Class 1 |
||||||||||
| Shares issued |
68,655 | 27,965 | ||||||||
| Dividends reinvested |
— | 118,064 | ||||||||
| Shares redeemed |
(174,845) | (238,277) | ||||||||
|
|
|
|
|
|||||||
| Total Class 1 Shares |
(106,190) | (92,248) | ||||||||
|
|
|
|
|
|||||||
| Class 2 |
||||||||||
| Shares issued |
1,156,525 | 589,079 | ||||||||
| Shares issued in merger |
2,540,209 | — | ||||||||
| Dividends reinvested |
— | 2,002,959 | ||||||||
| Shares redeemed |
(23,550,174) | (5,969,229) | ||||||||
|
|
|
|
|
|||||||
| Total Class 2 Shares |
(19,853,440) | (3,377,191) | ||||||||
|
|
|
|
|
|||||||
| Change in shares |
(19,959,630) | (3,469,439) | ||||||||
|
|
|
|
|
|||||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Total Bond Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 8.39 | $ | 10.27 | $ | 10.73 | $ | 10.20 | $ | 9.54 | $ | 9.96 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.18 | (a) | 0.27 | (a) | 0.23 | (a) | 0.29 | (a) | 0.32 | (a) | 0.32 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.08 | (1.64 | ) | (0.17 | ) | 0.63 | 0.69 | (0.42 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.26 | (1.37 | ) | 0.06 | 0.92 | 1.01 | (0.10 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.27 | ) | (0.31 | ) | (0.39 | ) | (0.35 | ) | (0.32 | ) | |||||||||||||
| Net Realized Gains |
— | (0.24 | ) | (0.21 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (0.51 | ) | (0.52 | ) | (0.39 | ) | (0.35 | ) | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 8.65 | $ | 8.39 | $ | 10.27 | $ | 10.73 | $ | 10.20 | $ | 9.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
3.10 | %(c) | (13.20 | )% | 0.59 | % | 9.12 | % | 10.57 | % | (1.00 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 16,154 | $ | 16,553 | $ | 21,203 | $ | 22,495 | $ | 22,823 | $ | 21,476 | ||||||||||||
| Net Investment Income/(Loss)(d) |
4.18 | % | 2.89 | % | 2.21 | % | 2.78 | % | 3.17 | % | 2.96 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.58 | % | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.57 | % | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
75 | % | 24 | % | 76 | % | 71 | % | 68 | % | 38 | % | ||||||||||||
| Class 2 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 8.69 | $ | 10.60 | $ | 11.06 | $ | 10.50 | $ | 9.81 | $ | 10.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.17 | (a) | 0.25 | (a) | 0.21 | (a) | 0.27 | (a) | 0.30 | (a) | 0.31 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.09 | (1.68 | ) | (0.18 | ) | 0.65 | 0.71 | (0.44 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.26 | (1.43 | ) | 0.03 | 0.92 | 1.01 | (0.13 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.24 | ) | (0.28 | ) | (0.36 | ) | (0.32 | ) | (0.29 | ) | |||||||||||||
| Net Realized Gains |
— | (0.24 | ) | (0.21 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (0.48 | ) | (0.49 | ) | (0.36 | ) | (0.32 | ) | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 8.95 | $ | 8.69 | $ | 10.60 | $ | 11.06 | $ | 10.50 | $ | 9.81 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
2.99 | %(c) | (13.37 | )% | 0.31 | % | 8.84 | % | 10.28 | % | (1.25 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 151,091 | $ | 319,231 | $ | 425,299 | $ | 436,803 | $ | 470,864 | $ | 478,991 | ||||||||||||
| Net Investment Income/(Loss)(d) |
3.81 | % | 2.64 | % | 1.96 | % | 2.53 | % | 2.92 | % | 2.71 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.83 | % | 0.81 | % | 0.82 | % | 0.83 | % | 0.82 | % | 0.81 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.82 | % | 0.81 | % | 0.82 | % | 0.83 | % | 0.82 | % | 0.81 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
75 | % | 24 | % | 76 | % | 71 | % | 68 | % | 38 | % | ||||||||||||
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
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
25
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 as shown in the Schedule of Portfolio Investments. 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 Investments. All or a portion of any bank loans may be unfunded. The Fund reflects both the funded portion of a bank loan, as well as its unfunded commitment in the Schedule of Portfolio Investments. 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 June 30, 2023 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 $1,782 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,688,732 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 June 30, 2023, no collateral had been posted by the Fund to counterparties for TBAs.
26
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 period ended June 30, 2023, 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 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, 2024.
For the period ended June 30, 2023, 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. The Manager waived, prior to any application of expense limit, the management fee to 0.49% on all assets in order to maintain a more competitive expense ratio. The annual rate due to the Subadviser from the Manager is 0.25% of the first $100 million of the Fund’s net assets, 0.18% of the next $400 million of the Fund’s net assets and 0.13% of the Fund’s net assets over $500 million.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, 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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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.
27
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 determined pursuant to valuation procedures 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. 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 in accordance with valuation procedures approved by the Board. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| Common Stocks+ |
$99,262 | $880,174 | $— | $979,436 | ||||||||||||||||
| Preferred Stock+ |
44,853 | — | — | 44,853 | ||||||||||||||||
| Warrant+ |
1,127 | — | — | 1,127 | ||||||||||||||||
| Asset Backed Securities |
— | 6,590,865 | — | 6,590,865 | ||||||||||||||||
| Collateralized Mortgage Obligations |
— | 17,753,863 | 126,755 | 17,880,618 | ||||||||||||||||
| Convertible Bonds+ |
— | 221,091 | — | 221,091 | ||||||||||||||||
| Bank Loans |
— | 700,374 | — | 700,374 | ||||||||||||||||
| Corporate Bonds+ |
— | 49,838,363 | — | # | 49,838,363 | |||||||||||||||
| Yankee Debt Obligations+ |
— | 13,588,694 | — | # | 13,588,694 | |||||||||||||||
| Municipal Bonds |
— | 1,546,586 | — | 1,546,586 | ||||||||||||||||
| U.S. Government Agency Mortgages |
— | 34,519,001 | — | 34,519,001 | ||||||||||||||||
| U.S. Treasury Obligations |
— | 42,687,189 | — | 42,687,189 | ||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
2,688,732 | — | — | 2,688,732 | ||||||||||||||||
| Unaffiliated Investment Company |
950,820 | — | — | 950,820 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
$3,784,794 | $168,326,200 | $126,755 | $172,237,749 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 June 30, 2023. |
28
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2023 cost of purchases and proceeds from sales of securities (excluding fund merger transactions and securities maturing less than one year from acquisition) were as follows:
| Purchases | Sales | |||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund |
$ | 138,456,685 | $ | 296,073,279 | ||||||
| For the period ended June 30, 2023 purchases and sales of long-term U.S. government securities were as follows: |
| |||||||||
| Purchases | Sales | |||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund |
$ | 132,262,800 | $ | 174,015,647 | ||||||
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 June 30, 2023 are identified below.
| Security | Acquisition Date(a) |
Acquisition Cost |
Shares or Principal Amount |
Fair Value |
Percentage of Net Assets | |||||||||||||
| Mesquite Energy, Inc, 15.00%, 7/15/23 |
7/10/20 | $ | 38,899 | 46,865 | $ | 46,865 | 0.03% | |||||||||||
| Mesquite Energy, Inc, 13.00%, 7/15/23 |
11/5/20 | 67,000 | 79,890 | 79,890 | 0.05% | |||||||||||||
| Sanchez Energy Corp, 7.25%, 2/15/23 |
10/30/18 | 420,525 | 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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such companies.
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 ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis 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 the transition period, 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.
29
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
8. Coronavirus (COVID-19) Pandemic
The global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
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, 2022 is $ 411,273,278. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$1,746,827 | ||||
| Unrealized (depreciation) |
(51,055,844) | ||||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$(49,309,017) | ||||
|
|
|
As of the end of its tax year ended December 31, 2022, 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.
CLCFS not subject to expiration:
| Ordinary Income |
Long-Term Amount |
Total | |||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund |
$5,836,668 | $4,156,354 | $9,993,022 | ||||||||||||
30
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund |
$9,225,806 | $8,873,521 | $18,099,327 | ||||||||||||
| (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, 2022, 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 | |||||||||||||||||||||
| AZL Fidelity Institutional Asset Management Total Bond Fund |
$9,938,088 | $— | $(9,993,022) | $(49,309,017) | $(49,363,951) | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) was attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
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 June 30, 2023 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 this shareholder could have a material impact to the Fund.
11. Acquisition of Funds
Effective as of the close of business March 10, 2023, the Fund acquired all the assets and liabilities of the AZL Metwest Total Return Bond Fund (“Metwest Total Return Bond Fund”), an open-end management investment company, pursuant to a plan of reorganization approved by the Board on December 13, 2022 (the “Plan”). The acquisition was accomplished by a taxable exchange of 2,756,614 shares of the Metwest Total Return Bond Fund outstanding as of close of business March 10, 2023, valued at $22,585,126 for 2,540,209 Class 2 shares of the Fund.
At the close of business March 10, 2023, the Metwest Total Return Bond Fund’s investment holdings had a fair value of $23,604,604 and identified cost of $23,953,216. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value, including the cost basis of investments received. All fees and expenses incurred by the Metwest Total Return Bond Fund and the Fund directly in connection with the Plan were borne by the Manager. There are no material differences in accounting policies of the Metwest Total Return Bond Fund as compared to those of the Fund.
Assuming the acquisition had been completed on January 1, 2023, the beginning of the semi-annual reporting period of the Fund, the Fund’s pro forma results of operations for the period ended June 30, 2023, are as follows:
| Net investment income/(loss) |
$5,872,423 | ||||
| Net realized/unrealized gains/(losses) |
1,075,584 | ||||
|
|
|
||||
| Change in net assets resulting from operations |
$6,948,007 | ||||
|
|
|
||||
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Metwest Total Return Bond Fund that have been included in the Fund’s Statement of Operations subsequent to March 10, 2023. The Fund did not purchase or sell securities following the acquisition for purposes of realigning its investment portfolio. Accordingly, the acquisition of the Metwest Total Return Bond Fund did not affect the Fund’s portfolio turnover ratio for the period ended June 30, 2023.
12. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for the Fund.
13. 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.
31
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
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
33
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Government Money Market Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 6
Page 6
Statements of Changes in Net Assets
Page 7
Page 8
Notes to the Financial Statements
Page 9
Page 14
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
(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 1/1/23 |
Ending Account Value |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Government Money Market Fund |
$1,000.00 | $1,019.30 | $4.36 | 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 1/1/23 |
Ending Account Value |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Government Money Market Fund |
$1,000.00 | $1,020.48 | $4.36 | 0.87% | ||||||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
58.3% | |
| U.S. Government Agency Mortgages |
36.5 | |
| U.S. Treasury Obligations |
5.5 | |
|
| ||
| Total Investment Securities |
100.3 | |
| Net other assets (liabilities) |
(0.3) | |
|
| ||
| Net Assets |
100.0% | |
|
| ||
| † | Represents less than 0.05%. |
3
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||||||
| U.S. Government Agency Mortgages (36.5%): |
||||||||||
| Federal Farm Credit Bank (6.5%): |
||||||||||
| $370,000 | 5.09%(SOFR+4bps), 7/12/23 | $ | 369,999 | |||||||
| 1,420,000 | 5.08%(SOFR+3bps), 7/25/23 | 1,419,997 | ||||||||
| 2,740,000 | 5.10%(SOFR+5bps), 8/22/23 | 2,740,000 | ||||||||
| 1,135,000 | 5.13%, 9/11/23(a) | 1,123,650 | ||||||||
| 1,870,000 | 5.10%(SOFR+5bps), 9/28/23 | 1,870,000 | ||||||||
| 315,000 | 4.78%, 10/16/23(a) | 310,647 | ||||||||
| 2,955,000 | 5.11%(SOFR+5bps), 10/16/23 | 2,955,000 | ||||||||
| 315,000 | 4.80%, 11/13/23(a) | 309,507 | ||||||||
| 3,435,000 | 5.11%(SOFR+6bps), 11/22/23 | 3,435,000 | ||||||||
| 580,000 | 5.11%(SOFR+6bps), 1/10/24 | 580,000 | ||||||||
| 3,825,000 | 5.09%(SOFR+5bps), 2/20/24 | 3,825,000 | ||||||||
| 2,425,000 | 5.10%(SOFR+5bps), 5/9/24 | 2,425,000 | ||||||||
| 1,040,000 | 5.15%(SOFR+10bps), 8/1/24 | 1,040,000 | ||||||||
| 4,180,000 | 5.14%(SOFR+9bps), 8/26/24 | 4,180,000 | ||||||||
| 2,885,000 | 5.19%(SOFR+14bps), 11/7/24 | 2,885,000 | ||||||||
| 2,355,000 | 5.22%(SOFR+17bps), 1/23/25 | 2,355,000 | ||||||||
|
|
|
|||||||||
| 31,823,800 | ||||||||||
|
|
|
|||||||||
| Federal Home Loan Bank (30.0%): |
| |||||||||
| 8,900,000 | 5.07%(SOFR+2bps), 7/13/23 | 8,900,000 | ||||||||
| 735,000 | 4.94%, 7/14/23(a) | 733,710 | ||||||||
| 3,105,000 | 5.14%, 7/19/23(a) | 3,097,082 | ||||||||
| 4,315,000 | 5.05%, 7/25/23(a) | 4,300,732 | ||||||||
| 11,900,000 | 5.06%(SOFR-–), 8/3/23 | 11,900,000 | ||||||||
| 1,470,000 | 4.83%, 8/4/23(a) | 1,463,455 | ||||||||
| 8,400,000 | 5.05%(SOFR-–), 8/8/23 | 8,400,000 | ||||||||
| 2,350,000 | 5.07%, 8/16/23(a) | 2,334,956 | ||||||||
| 1,790,000 | 5.20%(SOFR+7bps), 8/22/23 | 1,790,000 | ||||||||
| 2,520,000 | 5.22%, 8/23/23(a) | 2,500,894 | ||||||||
| 6,420,000 | 5.07%(SOFR+1bps), 8/25/23 | 6,420,000 | ||||||||
| 1,340,000 | 4.92%, 8/29/23(a) | 1,329,415 | ||||||||
| 3,210,000 | 3.60%, 9/1/23 | 3,208,815 | ||||||||
| 2,175,000 | 5.12%, 9/1/23(a) | 2,156,308 | ||||||||
| 6,510,000 | 5.12%(SOFR+6bps), 9/5/23 | 6,510,000 | ||||||||
| 5,100,000 | 5.07%(SOFR+2bps), 9/8/23 | 5,100,000 | ||||||||
| 3,015,000 | 5.14%(SOFR+9bps), 9/8/23 | 3,015,000 | ||||||||
| 8,820,000 | 5.12%, 9/15/23(a) | 8,727,086 | ||||||||
| 9,445,000 | 5.07%(SOFR+2bps), 9/18/23 | 9,445,000 | ||||||||
| 7,630,000 | 5.08%(SOFR+3bps), 9/19/23 | 7,630,000 | ||||||||
| 10,600,000 | 5.07%(SOFR+2bps), 9/19/23 | 10,600,000 | ||||||||
| 1,230,000 | 5.12%(SOFR+7bps), 9/25/23 | 1,230,000 | ||||||||
| 11,600,000 | 5.09%(SOFR+4bps), 9/26/23 | 11,600,000 | ||||||||
| 1,785,000 | 5.14%(SOFR+10bps), 10/6/23 | 1,785,000 | ||||||||
| 2,090,000 | 5.12%(SOFR+7bps), 11/30/23 | 2,090,000 | ||||||||
| 7,000,000 | 5.13%(SOFR+8bps), 1/24/24 | 7,000,000 | ||||||||
| 1,540,000 | 4.91%, 2/2/24(a) | 1,496,757 | ||||||||
| 6,430,000 | 5.42%, 2/9/24(a) | 6,232,972 | ||||||||
| 1,465,000 | 5.50%, 3/8/24 | 1,464,365 | ||||||||
| 3,940,000 | 5.40%, 3/27/24, Callable 6/27/23 @ – | 3,940,000 | ||||||||
|
|
|
|||||||||
| 146,401,547 | ||||||||||
|
|
|
|||||||||
| |
Total U.S. Government Agency Mortgages |
178,225,347 | ||||||||
|
|
|
|||||||||
| U.S. Treasury Obligations (5.5%): |
||||||||||
| U.S. Treasury Bills (3.6%): |
||||||||||
| 2,700,000 | 5.19%, 8/1/23(a) | 2,689,703 | ||||||||
| 12,090,000 | 5.21%, 8/10/23(a) | 12,021,170 | ||||||||
| 1,630,000 | 5.30%, 9/14/23(a) | 1,612,512 | ||||||||
| 1,530,000 | 5.21%, 6/13/24(a) | 1,457,085 | ||||||||
|
|
|
|||||||||
| 17,780,470 | ||||||||||
|
|
|
|||||||||
| Principal Amount | Value | |||||||||
| U.S. Treasury Obligations, continued |
||||||||||
| U.S. Treasury Notes (1.9%): |
||||||||||
| $4,520,000 | 5.18%(USBMMY3M-(8)bps), 4/30/24 | $ | 4,517,957 | |||||||
| 4,500,000 | 5.40%(USBMMY3M+20bps), 1/31/25 | 4,500,000 | ||||||||
|
|
|
|||||||||
| 9,017,957 | ||||||||||
|
|
|
|||||||||
| |
Total U.S. Treasury Obligations |
26,798,427 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements (58.3%): |
| |||||||||
| 38,000,000 | Bank of Montreal, 5.05%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $38,015,992, Collateralized by U.S. Treasury Obligations, 0.00%, 8/15/34 - 5/15/50, fair value of $38,760,000) | 38,000,000 | ||||||||
| 25,000,000 | Bank of Nova Scotia, 5.04%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $25,010,500, Collateralized by U.S. Treasury Obligations, 0.13% - 3.38%, 10/15/26 - 8/15/51, fair value of $25,510,726) | 25,000,000 | ||||||||
| 30,000,000 | BNP Paribas, 5.06%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $30,012,625, Collateralized by U.S. Government Agency Obligations, 0.00% - 6.00%, 10/31/24 - 11/20/52, fair value of $30,600,076) | 30,000,000 | ||||||||
| 31,000,000 | Citigroup Global Markets, 5.06%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $31,013,072, Collateralized by U.S. Government Agency Obligations, 3.00% - 4.50%, 10/20/45 - 5/20/46, fair value of $31,620,817) | 31,000,000 | ||||||||
| 44,000,000 | Mitsubishi UFJ Securities USA, Inc., 5.05%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $44,018,517, Collateralized by U.S. Treasury Obligations, 0.00% - 3.63%, 10/15/24 - 2/15/53, fair value of $44,880,010) | 44,000,000 | ||||||||
| 40,000,000 | Morgan Stanley & Co., 5.05%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $40,016,833, Collateralized by U.S. Treasury Obligations, 0.00% - 5.25%, 5/15/24 - 8/15/52, fair value of $40,800,096) | 40,000,000 | ||||||||
| 37,000,000 | Natixis, 5.06%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $37,015,602, Collateralized by U.S. Treasury Obligations, 0.38% - 4.63%, 10/15/24 - 2/15/40, fair value of $37,740,001) | 37,000,000 | ||||||||
| 20,000,000 | Toronto Dominion Bank NY, 5.05%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $20,008,417, Collateralized by U.S. Treasury Notes, 0.13% - 3.75%, 8/31/23 - 6/30/30, fair value of $20,400,017) | 20,000,000 | ||||||||
| 20,000,000 | Toronto Dominion Bank NY, 5.06%, 7/3/23, (Purchased on 6/30/23, proceeds at maturity $20,008,417, Collateralized by U.S. Treasury Notes, 0.13% - 3.75%, 8/31/23 - 6/30/30, fair value of $20,400,017) | 20,000,000 | ||||||||
|
|
|
|||||||||
| |
Total Repurchase Agreements |
285,000,000 | ||||||||
|
|
|
|||||||||
| |
Total Investment Securities |
490,023,774 | ||||||||
| Net other assets (liabilities) — (0.3)% |
(1,447,041 | ) | ||||||||
|
|
|
|||||||||
| Net Assets — 100.0% |
$ | 488,576,733 | ||||||||
|
|
|
|||||||||
Percentages indicated are based on net assets as of June 30, 2023.
See accompanying notes to the financial statements.
4
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| SOFR | - | Secured Overnight Financing Rate | ||
| USBMMY3M | - | 3 Month Treasury Bill Rate |
| (a) | The rate represents the effective yield at June 30, 2023. |
See accompanying notes to the financial statements.
5
AZL Government Money Market Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 205,023,774 | |||
|
|
|
||||
| Investment securities, at value |
$ | 205,023,774 | |||
| Repurchase agreements, at value/cost |
285,000,000 | ||||
| Cash |
574,500 | ||||
| Interest and dividends receivable |
960,062 | ||||
| Prepaid expenses |
2,441 | ||||
|
|
|
||||
| Total Assets |
491,560,777 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Payable for investments purchased |
2,689,703 | ||||
| Management fees payable |
189,728 | ||||
| Administration fees payable |
7,930 | ||||
| Distribution fees payable |
93,834 | ||||
| Custodian fees payable |
26 | ||||
| Administrative and compliance services fees payable |
110 | ||||
| Transfer agent fees payable |
125 | ||||
| Trustee fees payable |
684 | ||||
| Other accrued liabilities |
1,904 | ||||
|
|
|
||||
| Total Liabilities |
2,984,044 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 488,576,733 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 488,555,792 | |||
| Total distributable earnings |
20,941 | ||||
|
|
|
||||
| Net Assets |
$ | 488,576,733 | |||
|
|
|
||||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
488,555,914 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 1.00 | |||
|
|
|
||||
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Interest |
$ | 10,686,027 | |||
|
|
|
||||
| Total Investment Income |
10,686,027 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
790,809 | ||||
| Administration fees |
73,241 | ||||
| Distribution fees |
564,865 | ||||
| Custodian fees |
234 | ||||
| Administrative and compliance services fees |
1,582 | ||||
| Transfer agent fees |
1,649 | ||||
| Trustee fees |
5,933 | ||||
| Professional fees |
4,829 | ||||
| Shareholder reports |
4,009 | ||||
| Recoupment of prior expenses reimbursed by the manager |
536,525 | ||||
| Other expenses |
4,558 | ||||
|
|
|
||||
| Total expenses before reductions |
1,988,234 | ||||
| Less Management fees contractually waived |
(22,597 | ) | |||
|
|
|
||||
| Net expenses |
1,965,637 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
8,720,390 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities |
4,684 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
4,684 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 8,725,074 | |||
|
|
|
See accompanying notes to the financial statements.
6
AZL Government Money Market Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 8,720,390 | $ | 3,731,725 | ||||||
| Net realized gains/(losses) on investments |
4,684 | 7,260 | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
8,725,074 | 3,738,985 | ||||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Distributions |
(8,720,426) | (3,731,691) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
(8,720,426) | (3,731,691) | ||||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Proceeds from shares issued |
336,458,531 | 777,345,401 | ||||||||
| Proceeds from dividends reinvested |
8,720,427 | 3,731,690 | ||||||||
| Value of shares redeemed |
(373,816,467) | (803,770,501) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
(28,637,509) | (22,693,410) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets |
(28,632,861) | (22,686,116) | ||||||||
| Net Assets: |
||||||||||
| Beginning of period |
517,209,594 | 539,895,710 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 488,576,733 | $ | 517,209,594 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Shares issued |
336,458,531 | 777,345,400 | ||||||||
| Dividends reinvested |
8,720,427 | 3,731,690 | ||||||||
| Shares redeemed |
(373,816,467) | (803,770,501) | ||||||||
|
|
|
|
|
|||||||
| Change in shares |
(28,637,509) | (22,693,411) | ||||||||
|
|
|
|
|
|||||||
See accompanying notes to the financial statements.
7
AZL Government Money Market Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.02 | (a) | 0.01 | (a) | — | (a)(b) | — | (a)(b) | 0.01 | (a) | 0.01 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||||||
|
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|
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|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
0.02 | 0.01 | — | (b) | — | (b) | 0.01 | 0.01 | ||||||||||||||||||||||
|
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|
|
|
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|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
(0.02 | ) | (0.01 | ) | — | (b) | — | (b) | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
(0.02 | ) | 0.01 | — | (b) | — | (b) | 0.01 | (0.01 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(c) |
1.93 | %(d) | 0.77 | % | 0.00 | % | 0.21 | % | 1.39 | % | 1.01 | % | ||||||||||||||||||
| Ratios to Average Net Assets/ Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 488,577 | $ | 517,210 | $ | 539,896 | $ | 608,070 | $ | 481,524 | $ | 453,175 | ||||||||||||||||||
| Net Investment Income/(Loss)(e) |
3.86 | % | 0.77 | % | 0.00 | %(b) | 0.18 | % | 1.37 | % | 1.00 | % | ||||||||||||||||||
| Expenses Before Reductions(e)(f) |
0.88 | % | 0.88 | % | 0.65 | % | 0.66 | % | 0.88 | % | 0.87 | % | ||||||||||||||||||
| Expenses Net of Reductions(e) |
0.87 | % | 0.87 | % | 0.08 | %(g) | 0.35 | %(g) | 0.87 | % | 0.87 | % | ||||||||||||||||||
| (a) | Calculated using the average shares method. |
| (b) | Represents less than $0.005 or 0.005%. |
| (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) | Not annualized for periods less than one year. |
| (e) | Annualized for periods less than one year. |
| (f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (g) | 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
June 30, 2023 (Unaudited)
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 16 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 15 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 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.
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
9
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 period ended June 30, 2023, 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 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, 2024.
For the period ended June 30, 2023, 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, 2024. The annual rate due to the Subadviser from the Manager is 0.06% of the first $500 million of the Fund’s net assets and 0.04% of the Fund’s net assets over $500 million.
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. This agreement will continue from year to year in accordance with its terms, and will terminate upon termination of the investment management agreement with the Manager. 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 waiver, reimbursement or payment, calculated monthly from when the waiver, reimbursement or payment was recorded.
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 period ended
June 30, 2023 are reflected on the Statement of Operations as “Expenses waived/reimbursed by the Manager for minimum daily yield.”
At June 30, 2023, 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 |
$ | 309,380 | $ | 2,758,972 | $ | 3,068,352 | |||||||||
The Fund has not recorded a commitment or contingent liability at June 30, 2023.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 may waive 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, as applicable.
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.”
10
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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.
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 June 30, 2023 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 |
$— | $178,225,347 | $— | $178,225,347 | ||||||||||||||||
| U.S. Treasury Obligations |
— | 26,798,427 | — | 26,798,427 | ||||||||||||||||
| Repurchase Agreements |
— | 285,000,000 | — | 285,000,000 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
$— | $490,023,774 | $— | $490,023,774 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
5. Security Purchases and Sales
For the period ended June 30, 2023 cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
| Purchases | Sales | |||||||||
| AZL Government Money Market Fund |
$ | 23,160,919 | $ | 38,697,859 | ||||||
For the period ended June 30, 2023 purchases and sales of long-term U.S. government securities were as follows:
| Purchases | Sales | |||||||||
| AZL Government Money Market Fund |
$ | 23,160,919 | $ | 38,697,859 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
11
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
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.
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.
7. Coronavirus (COVID-19) Pandemic
The global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $492,249,215. 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, 2022 was as follows:
| Ordinary Income |
Net Long-Term |
Total Distributions(a) | |||||||||||||||||||||||
| AZL Government Money Market Fund |
$3,731,691 | $– | $3,731,691 | ||||||||||||||||||||||
| (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, 2022, the components of accumulated earnings on a tax basis were as follows:
|
Undistributed
Income |
Undistributed Capital Gains |
Accumulated Other Losses |
Unrealized Appreciation/ Depreciation(a) |
Total Accumulated | ||||||
| AZL Government Money Market Fund |
$16,293 | $— | $— | $— | $16,293 | |||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) was attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 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 this shareholder could have a material impact to the Fund.
12
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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.
13
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 the website.
14
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® International Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
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
(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 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL International Index Fund, Class 1 |
$1,000.00 | $1,116.50 | $2.26 | 0.43% | ||||||||||||||||
| AZL International Index Fund, Class 2 |
$1,000.00 | $1,116.00 | $3.57 | 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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL International Index Fund, Class 1 |
$1,000.00 | $1,022.66 | $2.16 | 0.43% | ||||||||||||||||
| AZL International Index Fund, Class 2 |
$1,000.00 | $1,021.42 | $3.41 | 0.68% | ||||||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
17.7 | % | |||
| Industrials |
16.5 | ||||
| Health Care |
13.0 | ||||
| Consumer Discretionary |
12.2 | ||||
| Consumer Staples |
10.0 | ||||
| Information Technology |
8.1 | ||||
| Materials |
7.3 | ||||
| Energy |
4.2 | ||||
| Communication Services |
4.1 | ||||
| Utilities |
3.4 | ||||
| Real Estate |
2.3 | ||||
|
|
|
| |||
| Total Common Stocks and Preferred Stocks |
98.8 | ||||
| Short-Term Security Held as Collateral for Securities on Loan |
0.9 | ||||
| Unaffiliated Investment Company |
— | † | |||
|
|
|
| |||
| Total Investment Securities |
99.7 | ||||
| Net other assets (liabilities) |
0.3 | ||||
|
|
|
| |||
| Net Assets |
100.0 | % | |||
|
|
|
| |||
Portfolio Composition
(Unaudited)
| Investments | Percent of Net Assets | |
| Japan |
22.2% | |
| United Kingdom |
13.0 | |
| France |
11.3 | |
| Switzerland |
10.4 | |
| Germany |
8.4 | |
| Australia |
7.3 | |
| Netherlands |
6.9 | |
| Denmark |
3.3 | |
| Sweden |
2.7 | |
| Spain |
2.5 | |
| All other countries |
11.7 | |
|
| ||
| Total Investment Securities |
99.7 | |
| Net other assets (liabilities) |
0.3 | |
|
| ||
| Net Assets |
100.0% | |
|
|
| † | Represents less than 0.05%. |
3
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (98.5%): | ||||||
| Aerospace & Defense (1.6%): | ||||||
| 47,028 | Airbus SE | $ | 6,797,496 | |||
| 244,859 | BAE Systems plc | 2,888,603 | ||||
| 1,828 | Dassault Aviation SA | 365,728 | ||||
| 2,295 | Elbit Systems, Ltd. | 478,668 | ||||
| 7,036 | Kongsberg Gruppen ASA | 320,187 | ||||
| 4,312 | MTU Aero Engines AG | 1,117,152 | ||||
| 3,321 | Rheinmetall AG | 911,759 | ||||
| 675,295 | Rolls-Royce Holdings plc* | 1,296,770 | ||||
| 6,378 | Saab AB, Class B | 344,910 | ||||
| 27,203 | Safran SA | 4,273,499 | ||||
| 127,200 | Singapore Technologies Engineering, Ltd. | 347,099 | ||||
| 8,612 | Thales SA | 1,288,989 | ||||
|
|
|
|||||
| 20,430,860 | ||||||
|
|
|
|||||
| Air Freight & Logistics (0.6%): | ||||||
| 80,061 | Deutsche Post AG | 3,909,198 | ||||
| 14,786 | DSV A/S | 3,112,199 | ||||
| 5,800 | NIPPON EXPRESS HOLDINGS, INC. | 327,142 | ||||
| 21,200 | SG Holdings Co., Ltd. | 302,506 | ||||
| 21,600 | Yamato Holdings Co., Ltd. | 390,679 | ||||
|
|
|
|||||
| 8,041,724 | ||||||
|
|
|
|||||
| Automobile Components (3.2%): | ||||||
| 10,600 | Aisin Corp. | 327,692 | ||||
| 26,721 | Bayerische Motoren Werke AG | 3,281,461 | ||||
| 46,100 | Bridgestone Corp. | 1,894,462 | ||||
| 54,750 | Cie Generale des Etablissements Michelin SCA | 1,618,324 | ||||
| 8,230 | Continental AG | 620,189 | ||||
| 35,000 | Denso Corp. | 2,359,817 | ||||
| 122,600 | Honda Motor Co., Ltd. | 3,703,956 | ||||
| 49,200 | Isuzu Motors, Ltd. | 599,070 | ||||
| 16,300 | Koito Manufacturing Co., Ltd. | 295,886 | ||||
| 46,900 | Mazda Motor Corp. | 458,398 | ||||
| 68,173 | Mercedes-Benz Group AG | 5,486,144 | ||||
| 191,700 | Nissan Motor Co., Ltd. | 791,739 | ||||
| 16,054 | Renault SA | 677,314 | ||||
| 6,855 | Stellantis NV | 120,655 | ||||
| 50,400 | Subaru Corp. | 953,672 | ||||
| 54,000 | Sumitomo Electric Industries, Ltd. | 662,691 | ||||
| 29,700 | Suzuki Motor Corp. | 1,079,373 | ||||
| 844,830 | Toyota Motor Corp. | 13,502,663 | ||||
| 18,025 | Valeo | 386,731 | ||||
| 45,248 | Volvo Car AB, Class B*^ | 179,980 | ||||
| 22,500 | Yamaha Motor Co., Ltd. | 648,408 | ||||
|
|
|
|||||
| 39,648,625 | ||||||
|
|
|
|||||
| Automobiles (0.6%): | ||||||
| 8,726 | Dr Ing hc F Porsche AG | 1,082,926 | ||||
| 9,968 | Ferrari NV | 3,263,062 | ||||
| 170,799 | Stellantis NV | 3,001,722 | ||||
| 2,396 | Volkswagen AG | 399,707 | ||||
|
|
|
|||||
| 7,747,417 | ||||||
|
|
|
|||||
| Banks (9.3%): | ||||||
| 34,205 | ABN AMRO Bank NV | 531,973 | ||||
| 81,200 | AIB Group plc | 341,590 | ||||
| 237,447 | ANZ Group Holdings, Ltd. | 3,764,430 | ||||
| 475,951 | Banco Bilbao Vizcaya Argentaria SA | 3,669,573 | ||||
| 1,310,625 | Banco Santander SA | 4,862,589 | ||||
| 96,434 | Bank Hapoalim BM | 791,427 | ||||
| 124,590 | Bank Leumi Le-Israel BM | 934,108 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Banks, continued | ||||||
| 87,644 | Bank of Ireland Group plc | $ | 837,275 | |||
| 2,155 | Banque Cantonale Vaudoise, Registered Shares | 227,731 | ||||
| 1,247,325 | Barclays plc | 2,436,052 | ||||
| 88,975 | BNP Paribas SA | 5,619,956 | ||||
| 299,000 | BOC Hong Kong Holdings, Ltd. | 915,198 | ||||
| 328,666 | CaixaBank SA | 1,363,127 | ||||
| 41,200 | Chiba Bank, Ltd. (The) | 249,981 | ||||
| 85,909 | Commerzbank AG | 951,178 | ||||
| 134,964 | Commonwealth Bank of Australia | 9,047,950 | ||||
| 78,500 | Concordia Financial Group, Ltd. | 309,411 | ||||
| 98,218 | Credit Agricole SA^ | 1,166,656 | ||||
| 55,665 | Danske Bank A/S* | 1,355,849 | ||||
| 146,100 | DBS Group Holdings, Ltd. | 3,416,917 | ||||
| 75,072 | DNB Bank ASA | 1,404,103 | ||||
| 27,754 | Erste Group Bank AG | 974,454 | ||||
| 50,162 | FinecoBank Banca Fineco SpA | 676,566 | ||||
| 58,300 | Hang Seng Bank, Ltd. | 830,345 | ||||
| 1,588,922 | HSBC Holdings plc | 12,565,382 | ||||
| 288,308 | ING Groep NV | 3,893,103 | ||||
| 1,279,815 | Intesa Sanpaolo SpA | 3,363,433 | ||||
| 105,115 | Israel Discount Bank, Ltd., Class A | 522,953 | ||||
| 120,700 | Japan Post Bank Co,m Ltd, | 945,746 | ||||
| 19,310 | KBC Group NV | 1,350,194 | ||||
| 5,321,269 | Lloyds Banking Group plc | 2,949,481 | ||||
| 45,023 | Mediobanca Banca di Credito Finanziario SpA | 539,852 | ||||
| 909,600 | Mitsubishi UFJ Financial Group, Inc. | 6,714,785 | ||||
| 12,599 | Mizrahi Tefahot Bank, Ltd. | 421,333 | ||||
| 190,163 | Mizuho Financial Group, Inc. | 2,902,778 | ||||
| 251,614 | National Australia Bank, Ltd. | 4,440,184 | ||||
| 428,442 | NatWest Group plc | 1,315,254 | ||||
| 258,423 | Nordea Bank Abp | 2,816,677 | ||||
| 273,199 | Oversea-Chinese Banking Corp., Ltd. | 2,489,852 | ||||
| 175,187 | Resona Holdings, Inc. | 839,556 | ||||
| 317,881 | Sberbank of Russia*(a)(b) | — | ||||
| 33,000 | Shizuoka Financial Group, Inc. | 239,762 | ||||
| 12,520 | SinoPac Financial Holdings Co., Ltd. | 6,988 | ||||
| 130,163 | Skandinaviska Enskilda Banken AB, Class A | 1,440,633 | ||||
| 57,939 | Societe Generale SA | 1,508,117 | ||||
| 190,526 | Standard Chartered plc | 1,661,331 | ||||
| 103,769 | Sumitomo Mitsui Financial Group, Inc. | 4,441,895 | ||||
| 26,803 | Sumitomo Mitsui Trust Holdings, Inc. | 959,179 | ||||
| 117,713 | Svenska Handelsbanken AB, Class A | 987,696 | ||||
| 67,627 | Swedbank AB, Class A | 1,142,557 | ||||
| 3,719 | TCS Group Holding plc, GDR*(a) | — | ||||
| — | Turkiye Is Bankasi AS, Class C | — | ||||
| 146,861 | UniCredit SpA | 3,424,497 | ||||
| 95,173 | United Overseas Bank, Ltd. | 1,973,380 | ||||
| 97,280,589 | VTB Bank PJSC*(a)(b) | — | ||||
| 278,304 | Westpac Banking Corp. | 3,969,167 | ||||
|
|
|
|||||
| 116,504,204 | ||||||
|
|
|
|||||
| Beverages (2.0%): | ||||||
| 70,159 | Anheuser-Busch InBev SA | 3,973,158 | ||||
| 36,800 | Asahi Group Holdings, Ltd. | 1,426,627 | ||||
| 137,100 | Budweiser Brewing Co. APAC, Ltd. | 353,539 | ||||
| 7,856 | Carlsberg AS, Class B | 1,256,300 | ||||
| 15,762 | Coca-Cola Europacific Partners plc | 1,014,706 | ||||
| 16,149 | Coca-Cola HBC AG | 481,100 | ||||
| 39,691 | David Campari-Milano NV, Class M | 550,009 | ||||
See accompanying notes to the financial statements.
4
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Beverages, continued | ||||||
| 179,598 | Diageo plc | $ | 7,702,773 | |||
| 8,891 | Heineken Holding NV | 773,000 | ||||
| 20,369 | Heineken NV | 2,096,009 | ||||
| 66,500 | Kirin Holdings Co., Ltd. | 971,289 | ||||
| 16,596 | Pernod Ricard SA | 3,666,357 | ||||
| 1,876 | Remy Cointreau SA | 300,737 | ||||
| 10,600 | Suntory Beverage & Food, Ltd. | 384,412 | ||||
| 55,069 | Treasury Wine Estates, Ltd. | 413,673 | ||||
|
|
|
|||||
| 25,363,689 | ||||||
|
|
|
|||||
| Biotechnology (0.9%): | ||||||
| 4,465 | Argenx SE* | 1,737,009 | ||||
| 110 | Celltrion, Inc. | 12,830 | ||||
| 38,551 | CSL, Ltd. | 7,132,220 | ||||
| 5,171 | Genmab A/S* | 1,962,920 | ||||
| 22,071 | Grifols SA* | 283,046 | ||||
| 13,318 | Swedish Orphan Biovitrum AB* | 259,831 | ||||
|
|
|
|||||
| 11,387,856 | ||||||
|
|
|
|||||
| Broadline Retail (0.8%): | ||||||
| 2,694 | Hanwha Galleria Corp.* | 3,125 | ||||
| 10,534 | Next plc | 924,926 | ||||
| 965 | Ozon Holdings plc, ADR*(a) | — | ||||
| 321 | Ozon Holdings plc, ADR*(a)(b) | — | ||||
| 31,900 | Pan Pacific International Holdings Corp. | 571,701 | ||||
| 63,928 | Prosus NV | 4,677,675 | ||||
| 109,300 | Rakuten Group, Inc. | 380,732 | ||||
| 89,762 | Wesfarmers, Ltd. | 2,959,462 | ||||
|
|
|
|||||
| 9,517,621 | ||||||
|
|
|
|||||
| Building Products (1.1%): | ||||||
| 14,700 | AGC, Inc.^ | 529,115 | ||||
| 80,676 | Assa Abloy AB, Class B | 1,937,261 | ||||
| 38,403 | Cie de Saint-Gobain | 2,339,188 | ||||
| 21,000 | Daikin Industries, Ltd. | 4,287,064 | ||||
| 2,715 | Geberit AG, Registered Shares | 1,421,842 | ||||
| 12,620 | Kingspan Group plc | 840,142 | ||||
| 24,300 | Lixil Corp. | 308,647 | ||||
| 122,306 | Nibe Industrier AB, Class B | 1,162,906 | ||||
| 817 | ROCKWOOL A/S, Class B | 211,303 | ||||
| 10,800 | TOTO, Ltd. | 325,777 | ||||
| 131,000 | Xinyi Glass Holdings, Ltd. | 204,814 | ||||
|
|
|
|||||
| 13,568,059 | ||||||
|
|
|
|||||
| Capital Markets (2.5%): | ||||||
| 78,825 | 3i Group plc | 1,957,240 | ||||
| 154,007 | abrdn plc | 427,322 | ||||
| 4,937 | Amundi SA | 291,757 | ||||
| 16,066 | ASX, Ltd. | 676,593 | ||||
| 100,600 | Daiwa Securities Group, Inc. | 520,579 | ||||
| 154,388 | Deutsche Bank AG | 1,619,882 | ||||
| 15,031 | Deutsche Boerse AG | 2,775,724 | ||||
| 28,691 | EQT AB | 552,801 | ||||
| 7,317 | Euronext NV | 497,643 | ||||
| 5,487 | Futu Holdings, Ltd., ADR*^ | 218,053 | ||||
| 27,012 | Hargreaves Lansdown plc | 279,687 | ||||
| 91,693 | Hong Kong Exchanges & Clearing, Ltd. | 3,487,130 | ||||
| 38,300 | Japan Exchange Group, Inc. | 670,084 | ||||
| 17,255 | Julius Baer Group, Ltd. | 1,088,282 | ||||
| 31,846 | London Stock Exchange Group plc | 3,374,067 | ||||
| 29,528 | Macquarie Group, Ltd. | 3,517,921 | ||||
| 45,462 | Moscow Exchange MICEX-RTS PJSC*(a)(b) | — | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Capital Markets, continued | ||||||
| 235,900 | Nomura Holdings, Inc. | $ | 895,388 | |||
| 1,832 | Partners Group Holding AG | 1,725,479 | ||||
| 18,590 | SBI Holdings, Inc. | 358,912 | ||||
| 74,473 | Schroders plc | 414,220 | ||||
| 64,600 | Singapore Exchange, Ltd. | 460,035 | ||||
| 41,470 | St James’s Place plc | 573,036 | ||||
| 261,978 | UBS Group AG | 5,331,597 | ||||
|
|
|
|||||
| 31,713,432 | ||||||
|
|
|
|||||
| Chemicals (3.0%): | ||||||
| 41,697 | Air Liquide SA | 7,474,806 | ||||
| 13,575 | Akzo Nobel NV | 1,109,114 | ||||
| 5,156 | Arkema SA | 486,317 | ||||
| 103,200 | Asahi Kasei Corp. | 700,600 | ||||
| 71,199 | BASF SE | 3,456,562 | ||||
| 8,009 | Chr Hansen Holding A/S | 557,139 | ||||
| 17,007 | Clariant AG | 245,908 | ||||
| 14,675 | Covestro AG* | 761,932 | ||||
| 11,396 | Croda International plc | 814,325 | ||||
| 14,106 | DSM-Firmenich AG* | 1,517,875 | ||||
| 586 | EMS-Chemie Holding AG | 443,948 | ||||
| 15,923 | Evonik Industries AG | 302,636 | ||||
| 746 | Givaudan SA, Registered Shares | 2,475,502 | ||||
| 2,389 | Hanwha Solutions Corp.* | 77,258 | ||||
| 53,836 | ICL Group, Ltd. | 294,972 | ||||
| 15,179 | Johnson Matthey plc | 337,598 | ||||
| 14,100 | JSR Corp. | 405,397 | ||||
| 97,000 | Mitsubishi Chemical Group Corp. | 584,914 | ||||
| 13,900 | Mitsui Chemicals, Inc. | 410,830 | ||||
| 62,900 | Nippon Paint Holdings Co., Ltd. | 520,044 | ||||
| 13,900 | Nippon Sanso Holdings Corp. | 302,170 | ||||
| 10,600 | Nissan Chemical Corp. | 456,840 | ||||
| 10,800 | Nitto Denko Corp. | 800,633 | ||||
| 16,801 | Novozymes A/S, B Shares | 782,608 | ||||
| 8,000 | OCI NV | 192,034 | ||||
| 34,383 | Orica, Ltd. | 340,931 | ||||
| 1,447 | PhosAgro PJSC(a)(b) | — | ||||
| 27 | Phosagro Public Joint Stock Co., GDR*(a) | — | ||||
| 147,100 | Shin-Etsu Chemical Co., Ltd. | 4,889,640 | ||||
| 11,746 | Sika AG, Registered Shares | 3,360,560 | ||||
| 5,641 | Solvay SA, Class A | 631,717 | ||||
| 121,000 | Sumitomo Chemical Co., Ltd. | 368,359 | ||||
| 10,716 | Symrise AG | 1,122,506 | ||||
| 115,800 | Toray Industries, Inc. | 647,015 | ||||
| 19,100 | Tosoh Corp. | 226,469 | ||||
| 17,362 | Umicore SA | 485,293 | ||||
| 1,454 | Wacker Chemie AG | 199,515 | ||||
| 12,572 | Yara International ASA | 444,090 | ||||
|
|
|
|||||
| 38,228,057 | ||||||
|
|
|
|||||
| Commercial Services & Supplies (0.4%): | ||||||
| 105,801 | Brambles, Ltd. | 1,018,082 | ||||
| 18,700 | Dai Nippon Printing Co., Ltd. | 530,251 | ||||
| 203,376 | Rentokil Initial plc | 1,588,257 | ||||
| 17,000 | Secom Co., Ltd. | 1,151,231 | ||||
| 37,053 | Securitas AB, Class B | 304,425 | ||||
| 21,600 | TOPPAN, INC. | 466,735 | ||||
|
|
|
|||||
| 5,058,981 | ||||||
|
|
|
|||||
| Communications Equipment (0.2%): | ||||||
| 434,694 | Nokia Oyj | 1,824,029 | ||||
See accompanying notes to the financial statements.
5
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Communications Equipment, continued | ||||||
| 235,556 | Telefonaktiebolaget LM Ericsson, Class B | $ | 1,285,198 | |||
|
|
|
|||||
| 3,109,227 | ||||||
|
|
|
|||||
| Construction & Engineering (0.8%): | ||||||
| 16,519 | ACS Actividades de Construccion y Servicios SA | 580,748 | ||||
| 17,061 | Bouygues SA | 572,952 | ||||
| 5,855 | Eiffage SA | 611,350 | ||||
| 39,327 | Ferrovial SE* | 1,245,042 | ||||
| 31,800 | Kajima Corp. | 481,048 | ||||
| 49,300 | Obayashi Corp. | 427,244 | ||||
| 49,400 | Shimizu Corp. | 312,016 | ||||
| 28,674 | Skanska AB, Class B | 402,443 | ||||
| 13,600 | Taisei Corp. | 475,729 | ||||
| 42,334 | Vinci SA | 4,919,896 | ||||
|
|
|
|||||
| 10,028,468 | ||||||
|
|
|
|||||
| Construction Materials (0.6%): | ||||||
| 59,013 | CRH plc | 3,259,121 | ||||
| 11,884 | Heidelberg Materials AG | 975,760 | ||||
| 44,751 | Holcim AG | 3,009,563 | ||||
| 34,080 | James Hardie Industries plc | 908,246 | ||||
|
|
|
|||||
| 8,152,690 | ||||||
|
|
|
|||||
| Consumer Finance (0.0%†): | ||||||
| — | Isracard, Ltd. | 2 | ||||
|
|
|
|||||
| Consumer Staples Distribution & Retail (1.3%): | ||||||
| 52,900 | Aeon Co., Ltd. | 1,082,988 | ||||
| 48,162 | Carrefour SA^ | 912,639 | ||||
| 107,929 | Coles Group, Ltd. | 1,326,206 | ||||
| 118,540 | Endeavour Group, Ltd. | 499,206 | ||||
| 12,116 | HelloFresh SE* | 299,554 | ||||
| 133,541 | J Sainsbury plc | 457,084 | ||||
| 23,703 | Jeronimo Martins SGPS SA | 653,438 | ||||
| 22,901 | Kesko Oyj, Class B | 430,953 | ||||
| 11,400 | Kobe Bussan Co., Ltd. | 294,720 | ||||
| 77,717 | Koninklijke Ahold Delhaize NV | 2,650,659 | ||||
| 2,004 | Magnit PJSC*(a)(b) | — | ||||
| 8,700 | MatsukiyoCocokara & Co. | 488,943 | ||||
| 47,375 | Ocado Group plc* | 342,209 | ||||
| 60,700 | Seven & i Holdings Co., Ltd. | 2,624,815 | ||||
| 597,360 | Tesco plc | 1,887,370 | ||||
| 6,600 | Welcia Holdings Co., Ltd. | 137,340 | ||||
| 95,784 | Woolworths Group, Ltd. | 2,540,907 | ||||
| 3,565 | X5 Retail Group NV, GDR*(a) | — | ||||
|
|
|
|||||
| 16,629,031 | ||||||
|
|
|
|||||
| Containers & Packaging (0.1%): | ||||||
| 23,221 | SIG Group AG | 641,937 | ||||
| 20,419 | Smurfit Kappa Group plc | 681,504 | ||||
|
|
|
|||||
| 1,323,441 | ||||||
|
|
|
|||||
| Distributors (0.0%†): | ||||||
| 2,056 | D’ieteren Group | 363,554 | ||||
|
|
|
|||||
| Diversified Consumer Services (0.1%): | ||||||
| 18,013 | IDP Education, Ltd. | 266,297 | ||||
| 48,999 | Pearson plc | 516,297 | ||||
|
|
|
|||||
| 782,594 | ||||||
|
|
|
|||||
| Diversified REITs (0.4%): | ||||||
| 71,275 | British Land Co. plc (The) | 274,828 | ||||
| 3,599 | Covivio SA | 170,245 | ||||
| 167 | Daiwa House REIT Investment Corp. | 320,555 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Diversified REITs, continued | ||||||
| 91,238 | Dexus | $ | 474,741 | |||
| 160,534 | GPT Group (The) | 443,563 | ||||
| 51,805 | Land Securities Group plc | 378,779 | ||||
| 336,024 | Mirvac Group | 507,924 | ||||
| 126 | Nippon Building Fund, Inc.^ | 495,670 | ||||
| 322 | Nomura Real Estate Master Fund, Inc. | 371,384 | ||||
| 98,328 | Segro plc | 896,315 | ||||
| 201,393 | Stockland | 543,016 | ||||
| 293,814 | Vicinity, Ltd. | 361,101 | ||||
|
|
|
|||||
| 5,238,121 | ||||||
|
|
|
|||||
| Diversified Telecommunication Services (1.8%): | ||||||
| 561,580 | BT Group plc | 873,589 | ||||
| 44,186 | Cellnex Telecom SA | 1,791,136 | ||||
| 257,519 | Deutsche Telekom AG | 5,612,589 | ||||
| 10,800 | Elisa Oyj | 576,795 | ||||
| 333,525 | HKT Trust & HKT, Ltd. | 388,470 | ||||
| 28,522 | Infrastrutture Wireless Italiane SpA | 376,557 | ||||
| 268,346 | Koninklijke KPN NV | 957,875 | ||||
| 2,360,100 | Nippon Telegraph & Telephone Corp. | 2,796,760 | ||||
| 148,319 | Orange SA | 1,734,617 | ||||
| 666,400 | Singapore Telecommunications, Ltd. | 1,234,979 | ||||
| 142,233 | Spark New Zealand, Ltd. | 444,435 | ||||
| 2,092 | Swisscom AG, Registered Shares | 1,305,473 | ||||
| 761,503 | Telecom Italia SpA* | 214,685 | ||||
| 87,057 | Telefonica Deutschland Holding AG | 244,626 | ||||
| 419,474 | Telefonica SA | 1,701,572 | ||||
| 53,260 | Telenor ASA | 540,130 | ||||
| 195,453 | Telia Co. AB | 428,794 | ||||
| 329,257 | Telstra Group, Ltd. | 944,808 | ||||
|
|
|
|||||
| 22,167,890 | ||||||
|
|
|
|||||
| Electric Utilities (1.9%): | ||||||
| 2,028 | Acciona SA^ | 344,388 | ||||
| 1,549 | BKW AG | 273,701 | ||||
| 49,000 | Chubu Electric Power Co., Inc. | 598,457 | ||||
| 52,070 | CK Infrastructure Holdings, Ltd. | 275,636 | ||||
| 133,500 | CLP Holdings, Ltd. | 1,039,142 | ||||
| 236,366 | EDP - Energias de Portugal SA | 1,156,863 | ||||
| 2,469 | Elia Group SA/NV | 313,621 | ||||
| 26,114 | Endesa SA^ | 560,944 | ||||
| 648,312 | Enel SpA | 4,366,799 | ||||
| 37,972 | Fortum Oyj | 508,454 | ||||
| 463,691 | Iberdrola SA | 6,056,095 | ||||
| 952,130 | Inter Rao Ues PJSC*(a)(b) | — | ||||
| 54,000 | Kansai Electric Power Co., Inc. (The) | 678,517 | ||||
| 62,734 | Mercury NZ, Ltd. | 250,260 | ||||
| 141,758 | Origin Energy, Ltd. | 792,256 | ||||
| 15,267 | Orsted AS | 1,442,598 | ||||
| 105,500 | Power Assets Holdings, Ltd. | 553,391 | ||||
| 30,305 | Red Electrica Corp. SA^ | 508,868 | ||||
| 84,709 | SSE plc | 1,984,171 | ||||
| 114,749 | Terna - Rete Elettrica Nazionale | 977,339 | ||||
| 122,700 | Tokyo Electric Power Co. Holdings, Inc.* | 450,069 | ||||
| 5,165 | Verbund AG, Class A | 414,775 | ||||
|
|
|
|||||
| 23,546,344 | ||||||
|
|
|
|||||
| Electrical Equipment (1.8%): | ||||||
| 125,219 | ABB, Ltd., Registered Shares | 4,928,532 | ||||
| 10,100 | Fuji Electric Co., Ltd. | 445,116 | ||||
| 21,502 | Legrand SA | 2,132,829 | ||||
See accompanying notes to the financial statements.
6
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Electrical Equipment, continued | ||||||
| 156,000 | Mitsubishi Electric Corp. | $ | 2,192,455 | |||
| 33,200 | NIDEC CORP. | 1,825,059 | ||||
| 20,835 | Prysmian SpA | 872,571 | ||||
| 43,297 | Schneider Electric SE | 7,890,863 | ||||
| 40,267 | Siemens Energy AG* | 710,725 | ||||
| 79,254 | Vestas Wind Systems A/S* | 2,106,011 | ||||
|
|
|
|||||
| 23,104,161 | ||||||
|
|
|
|||||
| Electronic Equipment, Instruments & Components (1.5%): |
||||||
| 8,200 | Azbil Corp. | 259,506 | ||||
| 28,976 | Halma plc | 838,617 | ||||
| 11,700 | Hamamatsu Photonics KK | 574,411 | ||||
| 157,083 | Hexagon AB, Class B | 1,934,873 | ||||
| 2,214 | Hirose Electric Co., Ltd. | 294,712 | ||||
| 9,300 | Ibiden Co., Ltd. | 527,422 | ||||
| 15,380 | Keyence Corp. | 7,274,238 | ||||
| 25,900 | Kyocera Corp. | 1,407,973 | ||||
| 46,400 | Murata Manufacturing Co., Ltd. | 2,662,702 | ||||
| 15,200 | Omron Corp. | 931,233 | ||||
| 18,100 | Shimadzu Corp. | 560,418 | ||||
| 31,400 | TDK Corp. | 1,215,973 | ||||
| 22,100 | Venture Corp., Ltd. | 241,435 | ||||
| 17,300 | Yokogawa Electric Corp. | 317,518 | ||||
|
|
|
|||||
| 19,041,031 | ||||||
|
|
|
|||||
| Energy Equipment & Services (0.0%†): | ||||||
| 39,743 | Tenaris SA | 594,645 | ||||
|
|
|
|||||
| Entertainment (0.8%): | ||||||
| 70,633 | Bollore SE | 440,125 | ||||
| 13,400 | Capcom Co., Ltd. | 531,137 | ||||
| 49,180 | Embracer Group AB*^ | 123,137 | ||||
| 8,260 | Koei Tecmo Holdings Co., Ltd. | 142,881 | ||||
| 7,100 | Konami Group Corp. | 372,104 | ||||
| 31,100 | Nexon Co., Ltd. | 595,999 | ||||
| 82,800 | Nintendo Co., Ltd. | 3,766,781 | ||||
| 29,061 | Sea, Ltd., ADR* | 1,686,701 | ||||
| 6,500 | Square Enix Holdings Co., Ltd. | 302,687 | ||||
| 9,200 | Toho Co., Ltd. | 350,040 | ||||
| 65,263 | Universal Music Group NV | 1,449,847 | ||||
|
|
|
|||||
| 9,761,439 | ||||||
|
|
|
|||||
| Financial Services (0.9%): | ||||||
| 20,143 | Edenred | 1,348,665 | ||||
| 3,632 | Eurazeo SE | 255,643 | ||||
| 8,959 | EXOR NV | 800,437 | ||||
| 3,200 | GMO Payment Gateway, Inc. | 249,850 | ||||
| 7,548 | Groupe Bruxelles Lambert NV | 594,815 | ||||
| 10,704 | Industrivarden AB, Class A | 296,899 | ||||
| 11,693 | Industrivarden AB, Class C | 322,781 | ||||
| 38,075 | Investor AB | 762,258 | ||||
| 137,868 | Investor AB, Class B | 2,759,720 | ||||
| 18,428 | Kinnevik AB, Class B* | 255,737 | ||||
| 6,582 | L E Lundbergforetagen AB | 280,326 | ||||
| 189,651 | M&G plc | 461,623 | ||||
| 50,900 | Mitsubishi HC Capital, Inc. | 303,319 | ||||
| 96,500 | ORIX Corp. | 1,765,030 | ||||
| 1,204 | Sofina SA | 249,584 | ||||
| 2,005 | Wendel SE | 205,964 | ||||
| 19,597 | Worldline SA* | 717,179 | ||||
|
|
|
|||||
| 11,629,830 | ||||||
|
|
|
|||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Food Products (3.2%): | ||||||
| 36,800 | Ajinomoto Co., Inc. | $ | 1,465,367 | |||
| 27,030 | Associated British Foods plc | 685,495 | ||||
| 273 | Barry Callebaut AG, Registered Shares | 527,141 | ||||
| 274,400 | China Huishan Dairy Holdings Co., Ltd.*(a) | — | ||||
| 85 | Chocoladefabriken Lindt & Spruengli AG | 1,068,037 | ||||
| 8 | Chocoladefabriken Lindt & Spruengli AG | 992,741 | ||||
| 50,899 | Danone SA | 3,118,630 | ||||
| 7,602 | JDE Peet’s NV | 226,114 | ||||
| 12,854 | Kerry Group plc, Class A | 1,254,066 | ||||
| 11,100 | Kikkoman Corp. | 626,442 | ||||
| 16,904 | MEIJI Holdings Co., Ltd. | 377,666 | ||||
| 31,757 | Mowi ASA | 504,185 | ||||
| 219,082 | Nestle SA, Registered Shares | 26,368,341 | ||||
| 14,545 | Nisshin Seifun Group, Inc. | 179,763 | ||||
| 5,100 | Nissin Foods Holdings Co., Ltd. | 421,287 | ||||
| 61,109 | Orkla ASA, Class A | 439,030 | ||||
| 5,798 | Salmar ASA | 233,970 | ||||
| 664,797 | WH Group, Ltd. | 353,307 | ||||
| 166,500 | Wilmar International, Ltd. | 468,985 | ||||
| 10,600 | Yakult Honsha Co., Ltd. | 671,679 | ||||
|
|
|
|||||
| 39,982,246 | ||||||
|
|
|
|||||
| Gas Utilities (0.3%): | ||||||
| 89,389 | APA Group | 578,164 | ||||
| 18,899 | Enagas SA^ | 371,302 | ||||
| 918,135 | Hong Kong & China Gas Co., Ltd. | 794,085 | ||||
| 11,581 | Naturgy Energy Group SA | 344,929 | ||||
| 30,400 | Osaka Gas Co., Ltd. | 466,386 | ||||
| 165,445 | Snam SpA | 864,537 | ||||
| 29,800 | Tokyo Gas Co., Ltd. | 651,127 | ||||
|
|
|
|||||
| 4,070,530 | ||||||
|
|
|
|||||
| Ground Transportation (0.6%): | ||||||
| 139,342 | Aurizon Holdings, Ltd. | 364,853 | ||||
| 11,600 | Central Japan Railway Co. | 1,454,865 | ||||
| 24,413 | East Japan Railway Co. | 1,353,977 | ||||
| 148,794 | Grab Holdings, Ltd.* | 510,363 | ||||
| 18,700 | Hankyu Hanshin Holdings, Inc. | 619,453 | ||||
| 8,100 | Keio Corp. | 254,727 | ||||
| 10,500 | Keisei Electric Railway Co., Ltd. | 435,238 | ||||
| 12,800 | Kintetsu Group Holdings Co., Ltd. | 443,555 | ||||
| 129,494 | MTR Corp., Ltd. | 596,071 | ||||
| 23,500 | Odakyu Electric Railway Co., Ltd. | 314,978 | ||||
| 14,300 | Tobu Railway Co., Ltd. | 383,727 | ||||
| 40,500 | Tokyu Corp. | 488,466 | ||||
| 16,800 | West Japan Railway Co. | 699,239 | ||||
|
|
|
|||||
| 7,919,512 | ||||||
|
|
|
|||||
| Health Care Equipment & Supplies (2.1%): | ||||||
| 40,328 | Alcon, Inc. | 3,351,614 | ||||
| 17,500 | Asahi Intecc Co., Ltd. | 344,124 | ||||
| 3,108 | BioMerieux | 326,150 | ||||
| 3,472 | Carl Zeiss Meditec AG | 375,393 | ||||
| 5,393 | Cochlear, Ltd. | 825,039 | ||||
| 9,588 | Coloplast A/S, Class B | 1,198,940 | ||||
| 7,748 | Demant A/S* | 327,912 | ||||
| 1,912 | DiaSorin SpA | 198,969 | ||||
| 23,181 | EssilorLuxottica SA | 4,386,533 | ||||
| 43,974 | Fisher & Paykel Healthcare Corp., Ltd. | 660,671 | ||||
| 17,368 | Getinge AB, Class B | 304,547 | ||||
| 127 | HLB, Inc.* | 3,156 | ||||
See accompanying notes to the financial statements.
7
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Health Care Equipment & Supplies, continued | ||||||
| 28,700 | Hoya Corp. | $ | 3,423,962 | |||
| 74,976 | Koninklijke Philips NV* | 1,622,351 | ||||
| 98,600 | Olympus Corp. | 1,560,890 | ||||
| 21,692 | Siemens Healthineers AG | 1,227,589 | ||||
| 70,295 | Smith & Nephew plc | 1,134,084 | ||||
| 4,195 | Sonova Holding AG | 1,117,842 | ||||
| 8,629 | Straumann Holding AG, Class R | 1,401,657 | ||||
| 13,700 | Sysmex Corp. | 936,588 | ||||
| 50,100 | Terumo Corp. | 1,593,552 | ||||
|
|
|
|||||
| 26,321,563 | ||||||
|
|
|
|||||
| Health Care Providers & Services (0.3%): | ||||||
| 10,391 | Amplifon SpA | 381,332 | ||||
| 105 | Celltrion Healthcare Co., Ltd. | 5,255 | ||||
| 13,978 | EBOS Group, Ltd. | 316,165 | ||||
| 15,701 | Fresenius Medical Care AG & Co., KGaA | 749,786 | ||||
| 32,423 | Fresenius SE & Co. KGaA | 897,384 | ||||
| 15,256 | Ramsay Health Care, Ltd. | 573,750 | ||||
| 37,378 | Sonic Healthcare, Ltd. | 888,860 | ||||
|
|
|
|||||
| 3,812,532 | ||||||
|
|
|
|||||
| Health Care Technology (0.1%): | ||||||
| 36,000 | M3, Inc. | 778,371 | ||||
|
|
|
|||||
| Hotels, Restaurants & Leisure (1.7%): | ||||||
| 12,982 | Accor SA | 482,697 | ||||
| 47,923 | Aristocrat Leisure, Ltd. | 1,240,663 | ||||
| 138,990 | Compass Group plc | 3,887,369 | ||||
| 13,159 | Delivery Hero SE* | 580,039 | ||||
| 48,536 | Entain plc | 788,107 | ||||
| 14,265 | Evolution AB | 1,808,302 | ||||
| 14,053 | Flutter Entertainment plc* | 2,828,108 | ||||
| 176,000 | Galaxy Entertainment Group, Ltd.* | 1,123,324 | ||||
| 521,157 | Genting Singapore, Ltd. | 361,721 | ||||
| 14,222 | InterContinental Hotels Group plc | 981,959 | ||||
| 14,853 | Just Eat Takeaway.com NV* | 227,841 | ||||
| 9,131 | La Francaise des Jeux SAEM | 359,481 | ||||
| 169,008 | Lottery Corp., Ltd. (The) | 579,535 | ||||
| 7,029 | McDonald’s Holdings Co., Ltd. | 273,395 | ||||
| 17,520 | Meituan* | 275,391 | ||||
| 86,900 | Oriental Land Co., Ltd. | 3,393,021 | ||||
| 184,732 | Sands China, Ltd.* | 632,265 | ||||
| 6,718 | Sodexo SA | 739,747 | ||||
| 15,373 | Whitbread plc | 661,443 | ||||
|
|
|
|||||
| 21,224,408 | ||||||
|
|
|
|||||
| Household Durables (1.2%): | ||||||
| 82,761 | Barratt Developments plc | 434,403 | ||||
| 8,253 | Berkeley Group Holdings plc | 411,006 | ||||
| 11,900 | Iida Group Holdings Co., Ltd. | 201,408 | ||||
| 6,700 | Open House Group Co., Ltd. | 241,724 | ||||
| 178,200 | Panasonic Holdings Corp. | 2,183,173 | ||||
| 27,040 | Persimmon plc | 352,460 | ||||
| 1,891 | SEB SA | 195,495 | ||||
| 29,700 | Sekisui Chemical Co., Ltd. | 429,662 | ||||
| 49,800 | Sekisui House, Ltd. | 1,007,863 | ||||
| 16,000 | Sharp Corp.^ | 89,171 | ||||
| 100,300 | Sony Group Corp. | 8,997,609 | ||||
| 259,842 | Taylor Wimpey plc | 339,354 | ||||
|
|
|
|||||
| 14,883,328 | ||||||
|
|
|
|||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Household Products (0.6%): | ||||||
| 47,177 | Essity AB, Class B | $ | 1,256,159 | |||
| 7,943 | Henkel AG & Co. KGaA | 559,003 | ||||
| 57,015 | Reckitt Benckiser Group plc | 4,281,148 | ||||
| 32,600 | Unicharm Corp. | 1,207,988 | ||||
|
|
|
|||||
| 7,304,298 | ||||||
|
|
|
|||||
| Independent Power and Renewable Electricity Producers (0.2%): |
||||||
| 6,231 | Corp ACCIONA Energias Renovables SA^ | 208,463 | ||||
| 19,458 | EDP Renovaveis SA | 389,696 | ||||
| 103,728 | Meridian Energy, Ltd. | 357,303 | ||||
| 50,524 | RWE AG | 2,198,958 | ||||
|
|
|
|||||
| 3,154,420 | ||||||
|
|
|
|||||
| Industrial Conglomerates (1.6%): | ||||||
| 215,744 | CK Hutchison Holdings, Ltd. | 1,320,603 | ||||
| 8,216 | DCC plc | 459,160 | ||||
| 74,720 | Hitachi, Ltd. | 4,625,022 | ||||
| 12,438 | Investment AB Latour, Class B | 246,915 | ||||
| 6,600 | Jardine Cycle & Carriage, Ltd. | 170,388 | ||||
| 12,100 | Jardine Matheson Holdings, Ltd. | 613,723 | ||||
| 111,400 | Keppel Corp., Ltd. | 554,613 | ||||
| 20,043 | Lifco AB, Class B | 436,327 | ||||
| 60,945 | Siemens AG, Registered Shares | 10,143,232 | ||||
| 26,917 | Smiths Group plc | 563,108 | ||||
| 31,600 | Toshiba Corp. | 990,577 | ||||
|
|
|
|||||
| 20,123,668 | ||||||
|
|
|
|||||
| Industrial REITs (0.3%): | ||||||
| 256,683 | CapitaLand Ascendas REIT | 517,872 | ||||
| 340 | GLP J-Reit | 335,292 | ||||
| 136,410 | Goodman Group | 1,826,883 | ||||
| 271,034 | Mapletree Logistics Trust | 325,475 | ||||
| 184 | Nippon Prologis REIT, Inc. | 369,165 | ||||
| 12,391 | Warehouses De Pauw CVA | 339,864 | ||||
|
|
|
|||||
| 3,714,551 | ||||||
|
|
|
|||||
| Insurance (5.0%): | ||||||
| 13,489 | Admiral Group plc | 357,367 | ||||
| 134,420 | Aegon NV | 680,732 | ||||
| 13,611 | Ageas SA/NV | 551,593 | ||||
| 927,600 | AIA Group, Ltd. | 9,464,835 | ||||
| 32,215 | Allianz SE, Registered Shares+ | 7,492,780 | ||||
| 80,732 | Assicurazioni Generali SpA | 1,644,058 | ||||
| 226,219 | Aviva plc | 1,139,964 | ||||
| 146,130 | AXA SA | 4,316,783 | ||||
| 3,478 | Baloise Holding AG, Registered Shares | 511,656 | ||||
| 75,700 | Dai-ichi Life Holdings, Inc. | 1,452,257 | ||||
| 15,186 | Gjensidige Forsikring ASA | 243,492 | ||||
| 4,905 | Hannover Rueck SE | 1,040,003 | ||||
| 2,957 | Helvetia Holding AG, Registered Shares | 400,394 | ||||
| 187,315 | Insurance Australia Group, Ltd. | 713,499 | ||||
| 174,800 | Japan Post Holdings Co., Ltd. | 1,257,040 | ||||
| 15,600 | Japan Post Insurance Co., Ltd. | 234,566 | ||||
| 482,101 | Legal & General Group plc | 1,397,303 | ||||
| 207,807 | Medibank Pvt, Ltd. | 488,915 | ||||
| 34,611 | MS&AD Insurance Group Holdings, Inc. | 1,233,375 | ||||
| 11,267 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class R | 4,224,565 | ||||
| 19,973 | NN Group NV | 741,045 | ||||
| 56,342 | Phoenix Group Holdings plc | 380,753 | ||||
| 43,375 | Poste Italiane SpA | 470,538 | ||||
See accompanying notes to the financial statements.
8
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Insurance, continued | ||||||
| 217,685 | Prudential plc | $ | 3,069,369 | |||
| 119,821 | QBE Insurance Group, Ltd. | 1,260,782 | ||||
| 38,718 | Sampo Oyj, A Shares | 1,736,293 | ||||
| 25,225 | Sompo Holdings, Inc. | 1,130,959 | ||||
| 103,227 | Suncorp Group, Ltd. | 931,018 | ||||
| 2,388 | Swiss Life Holding AG | 1,397,575 | ||||
| 24,342 | Swiss Re AG | 2,451,820 | ||||
| 39,836 | T&D Holdings, Inc. | 588,607 | ||||
| 5,045 | Talanx AG | 289,198 | ||||
| 144,800 | Tokio Marine Holdings, Inc. | 3,343,662 | ||||
| 27,304 | Tryg A/S | 591,069 | ||||
| 12,053 | Zurich Insurance Group AG | 5,728,026 | ||||
|
|
|
|||||
| 62,955,891 | ||||||
|
|
|
|||||
| Interactive Media & Services (0.2%): | ||||||
| 25,768 | Adevinta ASA* | 169,070 | ||||
| 71,470 | Auto Trader Group plc | 553,848 | ||||
| 3,995 | REA Group, Ltd. | 382,621 | ||||
| 6,090 | Scout24 SE | 386,007 | ||||
| 28,658 | SEEK, Ltd. | 415,707 | ||||
| 3,760 | VK Co., Ltd., GDR*(a) | — | ||||
| 9,068 | Yandex NV, Class A*(a) | — | ||||
| 224,800 | Z Holdings Corp. | 542,925 | ||||
|
|
|
|||||
| 2,450,178 | ||||||
|
|
|
|||||
| IT Services (0.8%): | ||||||
| 6,916 | Bechtle AG | 274,005 | ||||
| 12,869 | Capgemini SE | 2,437,686 | ||||
| 14,000 | Fujitsu, Ltd. | 1,805,165 | ||||
| 6,900 | Itochu Techno-Solutions Corp. | 174,618 | ||||
| 20,200 | NEC Corp. | 982,251 | ||||
| 32,038 | Nomura Research Institute, Ltd. | 883,667 | ||||
| 52,500 | NTT Data Corp. | 735,163 | ||||
| 5,300 | Obic Co., Ltd. | 849,799 | ||||
| 8,700 | Otsuka Corp. | 338,591 | ||||
| 13,500 | SCSK Corp. | 212,510 | ||||
| 18,500 | TIS, Inc. | 463,576 | ||||
| 4,347 | Wix.com, Ltd.* | 340,109 | ||||
|
|
|
|||||
| 9,497,140 | ||||||
|
|
|
|||||
| Leisure Products (0.2%): | ||||||
| 48,600 | Bandai Namco Holdings, Inc. | 1,124,691 | ||||
| 5,900 | Shimano, Inc. | 987,684 | ||||
| 10,700 | Yamaha Corp. | 411,520 | ||||
|
|
|
|||||
| 2,523,895 | ||||||
|
|
|
|||||
| Life Sciences Tools & Services (0.5%): | ||||||
| 2,520 | Bachem Holding AG, Registered B | 220,119 | ||||
| 10,204 | Eurofins Scientific SE^ | 648,081 | ||||
| 5,920 | Lonza Group AG | 3,536,355 | ||||
| 18,590 | QIAGEN NV* | 833,818 | ||||
| 1,990 | Sartorius AG | 682,355 | ||||
| 2,285 | Sartorius Stedim Biotech | 570,959 | ||||
|
|
|
|||||
| 6,491,687 | ||||||
|
|
|
|||||
| Machinery (3.1%): | ||||||
| 22,193 | Alfa Laval AB | 809,629 | ||||
| 26,350 | Alstom SA | 786,464 | ||||
| 212,445 | Atlas Copco AB, Class A | 3,065,035 | ||||
| 125,968 | Atlas Copco AB, Class B | 1,570,067 | ||||
| 82,584 | CNH Industrial NV | 1,193,526 | ||||
| 24,300 | Daifuku Co., Ltd. | 497,620 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Machinery, continued | ||||||
| 36,528 | Daimler Truck Holding AG | $ | 1,315,049 | |||
| 50,260 | Epiroc AB, Class A | 952,349 | ||||
| 29,884 | Epiroc AB, Class B | 483,512 | ||||
| 75,700 | FANUC Corp. | 2,661,918 | ||||
| 12,696 | GEA Group AG | 530,541 | ||||
| 7,700 | Hitachi Construction Machinery Co., Ltd. | 216,916 | ||||
| 9,400 | Hoshizaki Corp. | 338,067 | ||||
| 33,497 | Husqvarna AB, B Shares | 303,951 | ||||
| 20,933 | Indutrade AB | 472,509 | ||||
| 5,878 | Knorr-Bremse AG | 448,741 | ||||
| 74,400 | Komatsu, Ltd. | 2,013,348 | ||||
| 26,333 | Kone Oyj, Class B | 1,375,401 | ||||
| 81,700 | Kubota Corp.^ | 1,190,276 | ||||
| 8,400 | Kurita Water Industries, Ltd. | 322,885 | ||||
| 18,500 | Makita Corp. | 519,346 | ||||
| 50,641 | Metso Oyj | 610,004 | ||||
| 30,600 | MINEBEA MITSUMI, Inc. | 579,520 | ||||
| 21,600 | MISUMI Group, Inc. | 432,357 | ||||
| 26,000 | Mitsubishi Heavy Industries, Ltd. | 1,216,511 | ||||
| 20,900 | NGK Insulators, Ltd. | 250,042 | ||||
| 423 | Rational AG | 306,019 | ||||
| 86,048 | Sandvik AB | 1,680,825 | ||||
| 3,073 | Schindler Holding AG | 721,108 | ||||
| 1,919 | Schindler Holding AG, Registered Shares | 431,352 | ||||
| 3,435,869 | Seatrium, Ltd.* | 318,251 | ||||
| 29,127 | SKF AB, B Shares | 507,434 | ||||
| 4,400 | SMC Corp. | 2,445,776 | ||||
| 6,041 | Spirax-Sarco Engineering plc | 795,589 | ||||
| 111,000 | Techtronic Industries Co., Ltd. | 1,214,625 | ||||
| 12,100 | Toyota Industries Corp. | 868,141 | ||||
| 2,069 | VAT Group AG | 857,169 | ||||
| 15,205 | Volvo AB, Class A | 324,376 | ||||
| 121,785 | Volvo AB, Class B | 2,526,960 | ||||
| 35,945 | Wartsila Oyj Abp, Class B | 404,950 | ||||
| 19,700 | Yaskawa Electric Corp. | 906,997 | ||||
|
|
|
|||||
| 38,465,156 | ||||||
|
|
|
|||||
| Marine Transportation (0.4%): | ||||||
| 228 | AP Moller - Maersk A/S, Class A | 397,942 | ||||
| 408 | AP Moller - Maersk A/S, Class B | 717,899 | ||||
| 11,000 | Kawasaki Kisen Kaisha, Ltd. | 266,895 | ||||
| 4,385 | Kuehne + Nagel International AG | 1,296,647 | ||||
| 28,500 | Mitsui OSK Lines, Ltd. | 682,083 | ||||
| 39,200 | Nippon Yusen KK | 871,214 | ||||
| 104,000 | SITC International Holdings Co., Ltd. | 190,883 | ||||
|
|
|
|||||
| 4,423,563 | ||||||
|
|
|
|||||
| Media (0.4%): | ||||||
| 34,500 | CyberAgent, Inc. | 251,988 | ||||
| 16,577 | Dentsu Group, Inc. | 543,785 | ||||
| 17,600 | Hakuhodo DY Holdings, Inc. | 185,843 | ||||
| 115,470 | Informa plc | 1,064,234 | ||||
| 17,649 | Publicis Groupe SA | 1,376,649 | ||||
| 54,314 | Vivendi SE | 500,691 | ||||
| 86,428 | WPP plc | 903,289 | ||||
|
|
|
|||||
| 4,826,479 | ||||||
|
|
|
|||||
| Metals & Mining (3.3%): | ||||||
| 77,337 | Alrosa PAO*(a)(b) | — | ||||
| 100,521 | Anglo American plc | 2,848,744 | ||||
| 29,973 | Antofagasta plc | 558,484 | ||||
See accompanying notes to the financial statements.
9
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Metals & Mining, continued |
||||||
| 38,457 | ArcelorMittal SA | $ | 1,047,641 | |||
| 403,574 | BHP Group, Ltd. | 12,038,747 | ||||
| 35,184 | BlueScope Steel, Ltd. | 485,288 | ||||
| 22,331 | Boliden AB | 646,613 | ||||
| 14,787 | Endeavour Mining PLC | 355,518 | ||||
| 136,631 | Fortescue Metals Group, Ltd. | 2,034,389 | ||||
| 850,191 | Glencore plc | 4,821,956 | ||||
| 51,460 | IGO, Ltd. | 525,114 | ||||
| 41,800 | JFE Holdings, Inc. | 599,877 | ||||
| 14,064 | Mineral Resources, Ltd. | 675,438 | ||||
| 1,857 | MMC Norilsk Nickel PJSC*(a)(b) | — | ||||
| 68,956 | Newcrest Mining, Ltd. | 1,231,760 | ||||
| 65,148 | Nippon Steel Corp. | 1,367,697 | ||||
| 110,543 | Norsk Hydro ASA | 657,313 | ||||
| 89,610 | Northern Star Resources, Ltd. | 727,296 | ||||
| 42,350 | Novolipetsk Steel PJSC*(a)(b) | — | ||||
| 193,306 | Pilbara Minerals, Ltd. | 637,332 | ||||
| 10,301 | Polymetal International plc*(a)(b) | — | ||||
| 1,026 | Polyus PJSC*(a)(b) | — | ||||
| 89,182 | Rio Tinto plc | 5,664,768 | ||||
| 29,106 | Rio Tinto, Ltd. | 2,239,451 | ||||
| 6,613 | Severstal*(a)(b) | — | ||||
| 370,193 | South32, Ltd. | 933,421 | ||||
| 20,400 | Sumitomo Metal Mining Co., Ltd. | 657,578 | ||||
| 84,297 | United Co. RUSAL International PJSC(a)(b) | — | ||||
| 9,422 | voestalpine AG | 338,550 | ||||
|
|
|
|||||
| 41,092,975 | ||||||
|
|
|
|||||
| Multi-Utilities (0.9%): | ||||||
| 452,926 | Centrica plc | 713,167 | ||||
| 177,107 | E.ON SE | 2,257,250 | ||||
| 143,755 | Engie SA | 2,390,866 | ||||
| 295,598 | National Grid plc | 3,905,432 | ||||
| 53,712 | Veolia Environnement SA | 1,698,023 | ||||
|
|
|
|||||
| 10,964,738 | ||||||
|
|
|
|||||
| Office REITs (0.1%): | ||||||
| 3,809 | Gecina SA | 405,736 | ||||
| 100 | Japan Real Estate Investment Corp. | 380,517 | ||||
|
|
|
|||||
| 786,253 | ||||||
|
|
|
|||||
| Oil, Gas & Consumable Fuels (4.1%): | ||||||
| 26,158 | Aker BP ASA | 613,217 | ||||
| 18,095 | Ampol, Ltd. | 362,861 | ||||
| 1,409,460 | BP plc | 8,256,464 | ||||
| 250,220 | ENEOS Holdings, Inc. | 857,421 | ||||
| 184,914 | Eni SpA | 2,666,109 | ||||
| 74,561 | Equinor ASA | 2,166,863 | ||||
| 41,896 | Galp Energia SGPS SA | 489,817 | ||||
| 354,974 | Gazprom PJSC*(a)(b) | — | ||||
| 17,887 | Idemitsu Kosan Co., Ltd. | 359,108 | ||||
| 84,600 | Inpex Corp.^ | 943,568 | ||||
| 12,219 | LUKOIL PJSC*(a)(b) | — | ||||
| 32,856 | Neste Oyj | 1,266,180 | ||||
| 27,220 | Novatek PJSC(a)(b) | — | ||||
| 12,445 | OMV AG | 527,266 | ||||
| 105,732 | Repsol SA^ | 1,537,197 | ||||
| 34,912 | Rosneft Oil Co. PJSC(a)(b) | — | ||||
| 254,684 | Santos, Ltd. | 1,282,475 | ||||
| 545,448 | Shell plc | 16,237,307 | ||||
| 50 | SK Innovation Co., Ltd.* | 6,015 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Oil, Gas & Consumable Fuels, continued | ||||||
| 171,452 | Surgutneftegas PJSC(a)(b) | $ | — | |||
| 199,091 | Surgutneftegas Prefernce(a)(b) | — | ||||
| 43,241 | Tatneft PJSC(a)(b) | — | ||||
| 188,441 | TotalEnergies SE | 10,798,983 | ||||
| 15,937 | Washington H Soul Pattinson & Co., Ltd. | 337,783 | ||||
| 144,176 | Woodside Energy Group, Ltd. | 3,327,128 | ||||
| 6,149 | Woodside Energy Group, Ltd. | 142,370 | ||||
|
|
|
|||||
| 52,178,132 | ||||||
|
|
|
|||||
| Paper & Forest Products (0.3%): | ||||||
| 7,469 | Holmen AB, B Shares | 268,524 | ||||
| 36,635 | Mondi plc | 559,258 | ||||
| 62,500 | Oji Holdings Corp. | 234,134 | ||||
| 41,849 | Stora Enso Oyj, Class R | 484,965 | ||||
| 50,586 | Svenska Cellulosa AB SCA, Class B | 645,527 | ||||
| 42,807 | UPM-Kymmene Oyj | 1,275,626 | ||||
|
|
|
|||||
| 3,468,034 | ||||||
|
|
|
|||||
| Passenger Airlines (0.2%): | ||||||
| 12,100 | ANA Holdings, Inc.* | 288,722 | ||||
| 50,751 | Deutsche Lufthansa AG* | 519,409 | ||||
| 12,270 | Japan Airlines Co., Ltd. | 266,574 | ||||
| 70,174 | Qantas Airways, Ltd.* | 290,923 | ||||
| 102,150 | Singapore Airlines, Ltd. | 540,734 | ||||
|
|
|
|||||
| 1,906,362 | ||||||
|
|
|
|||||
| Personal Care Products (2.0%): | ||||||
| 8,162 | Beiersdorf AG | 1,079,787 | ||||
| 409,895 | Haleon plc | 1,686,575 | ||||
| 37,600 | Kao Corp. | 1,361,998 | ||||
| 4,200 | Kobayashi Pharmaceutical Co., Ltd. | 228,547 | ||||
| 2,500 | Kose Corp.^ | 240,342 | ||||
| 19,234 | L’Oreal SA | 8,975,214 | ||||
| 31,000 | Shiseido Co., Ltd. | 1,404,637 | ||||
| 201,899 | Unilever plc | 10,525,809 | ||||
|
|
|
|||||
| 25,502,909 | ||||||
|
|
|
|||||
| Pharmaceuticals (9.1%): | ||||||
| 144,100 | Astellas Pharma, Inc. | 2,147,525 | ||||
| 123,444 | AstraZeneca plc | 17,679,023 | ||||
| 78,511 | Bayer AG, Registered Shares | 4,340,141 | ||||
| 26 | Celltrion Pharm, Inc.* | 1,515 | ||||
| 51,800 | Chugai Pharmaceutical Co., Ltd. | 1,473,348 | ||||
| 147,300 | Daiichi Sankyo Co., Ltd. | 4,671,577 | ||||
| 20,300 | Eisai Co., Ltd. | 1,368,189 | ||||
| 322,791 | GSK plc | 5,701,074 | ||||
| 12,542 | Hikma Pharmaceuticals plc | 301,266 | ||||
| 3,054 | Ipsen SA | 367,491 | ||||
| 2,556 | Kangmei Pharmaceutical Co. A*(a) | — | ||||
| 22,000 | Kyowa Kirin Co., Ltd. | 406,713 | ||||
| 10,430 | Merck KGaA | 1,724,251 | ||||
| 4,100 | Nippon Shinyaku Co., Ltd. | 167,259 | ||||
| 163,269 | Novartis AG | 16,482,920 | ||||
| 131,882 | Novo Nordisk A/S, Class B | 21,303,880 | ||||
| 30,400 | Ono Pharmaceutical Co., Ltd. | 551,264 | ||||
| 9,112 | Orion Oyj, Class B | 378,089 | ||||
| 29,900 | Otsuka Holdings Co., Ltd. | 1,095,966 | ||||
| 8,986 | Recordati Industria Chimica e Farmaceutica SpA | 429,451 | ||||
| 55,970 | Roche Holding AG | 17,108,959 | ||||
| 2,550 | Roche Holding AG | 837,108 | ||||
| 90,308 | Sanofi | 9,680,361 | ||||
| 21,500 | Shionogi & Co., Ltd. | 908,472 | ||||
See accompanying notes to the financial statements.
10
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Pharmaceuticals, continued | ||||||
| 126,073 | Takeda Pharmaceutical Co., Ltd. | $ | 3,963,019 | |||
| 83,515 | Teva Pharmaceutical Industries, Ltd., ADR* | 628,868 | ||||
| 10,307 | UCB SA | 913,394 | ||||
|
|
|
|||||
| 114,631,123 | ||||||
|
|
|
|||||
| Professional Services (2.1%): | ||||||
| 13,783 | Adecco Group AG | 450,012 | ||||
| 1,714 | Adyen NV* | 2,969,416 | ||||
| 36,231 | Amadeus IT Group SA* | 2,762,032 | ||||
| 11,400 | BayCurrent Consulting, Inc. | 428,337 | ||||
| 22,303 | Bureau Veritas SA | 611,708 | ||||
| 44,998 | Computershare, Ltd. | 704,357 | ||||
| 74,346 | Experian plc | 2,856,322 | ||||
| 12,261 | Intertek Group plc | 665,420 | ||||
| 44,818 | Nexi SpA* | 351,834 | ||||
| 13,500 | Persol Holdings Co., Ltd. | 244,333 | ||||
| 9,079 | Randstad NV | 478,432 | ||||
| 114,100 | Recruit Holdings Co., Ltd. | 3,641,711 | ||||
| 152,837 | RELX plc | 5,094,514 | ||||
| 11,940 | SGS SA, Registered Shares | 1,128,035 | ||||
| 4,771 | Teleperformance | 800,858 | ||||
| 48,972 | Wise plc, Class A* | 408,573 | ||||
| 20,300 | Wolters Kluwer NV | 2,577,342 | ||||
|
|
|
|||||
| 26,173,236 | ||||||
|
|
|
|||||
| Real Estate Management & Development (1.2%): | ||||||
| 3,664 | Azrieli Group, Ltd. | 207,222 | ||||
| 199,200 | CapitaLand Investment, Ltd. | 489,712 | ||||
| 60,000 | China Evergrande Group* | 5,248 | ||||
| 33,900 | City Developments, Ltd. | 169,043 | ||||
| 160,744 | CK Asset Holdings, Ltd. | 892,122 | ||||
| 4,700 | Daito Trust Construction Co., Ltd. | 476,940 | ||||
| 48,400 | Daiwa House Industry Co., Ltd. | 1,279,321 | ||||
| 165,400 | ESR Group, Ltd. | 284,760 | ||||
| 47,911 | Fastighets AB Balder, B Shares* | 175,141 | ||||
| 173,000 | Hang Lung Properties, Ltd. | 267,022 | ||||
| 109,956 | Henderson Land Development Co., Ltd. | 327,875 | ||||
| 96,400 | Hongkong Land Holdings, Ltd. | 376,623 | ||||
| 29,800 | Hulic Co., Ltd. | 255,773 | ||||
| 5,995 | LEG Immobilien SE | 344,266 | ||||
| 50,412 | Lendlease Corp., Ltd. | 260,797 | ||||
| 90,800 | Mitsubishi Estate Co., Ltd. | 1,083,176 | ||||
| 72,800 | Mitsui Fudosan Co., Ltd. | 1,452,660 | ||||
| 114,655 | New World Development Co., Ltd. | 283,205 | ||||
| 9,400 | Nomura Real Estate Holdings, Inc. | 223,627 | ||||
| 13,919 | Sagax AB, Class B | 275,204 | ||||
| 41,676 | Shimao Group Holdings, Ltd.* | 7,403 | ||||
| 302,601 | Sino Land Co., Ltd. | 372,122 | ||||
| 22,800 | Sumitomo Realty & Development Co., Ltd. | 565,154 | ||||
| 112,000 | Sun Hung Kai Properties, Ltd. | 1,412,694 | ||||
| 81,000 | Sunac China Holdings, Ltd.* | 14,174 | ||||
| 42,964 | Swire Pacific, Ltd., Class A | 330,563 | ||||
| 96,400 | Swire Properties, Ltd. | 237,621 | ||||
| 5,841 | Swiss Prime Site AG, Registered Shares | 507,059 | ||||
| 36,896 | UOL Group, Ltd. | 175,760 | ||||
| 57,805 | Vonovia SE | 1,128,506 | ||||
| 127,300 | Wharf Real Estate Investment Co., Ltd. | 637,167 | ||||
|
|
|
|||||
| 14,517,960 | ||||||
|
|
|
|||||
| Retail REITs (0.3%): | ||||||
| 404,713 | CapitaLand Integrated Commercial Trust | 572,546 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Retail REITs, continued | ||||||
| 591 | Japan Metropolitan Fund Invest | $ | 394,765 | |||
| 17,429 | Klepierre SA | 432,364 | ||||
| 204,420 | Link REIT | 1,138,119 | ||||
| 182,400 | Mapletree Pan Asia Commercial Trust | 218,906 | ||||
| 424,787 | Scentre Group | 750,102 | ||||
| 9,878 | Unibail-Rodamco-Westfield* | 522,034 | ||||
|
|
|
|||||
| 4,028,836 | ||||||
|
|
|
|||||
| Semiconductors & Semiconductor Equipment (3.5%): |
||||||
| 14,700 | Advantest Corp. | 1,969,485 | ||||
| 3,783 | ASM International NV | 1,608,677 | ||||
| 32,116 | ASML Holding NV | 23,245,608 | ||||
| 6,600 | Disco Corp. | 1,044,259 | ||||
| 103,656 | Infineon Technologies AG | 4,274,418 | ||||
| 6,100 | Lasertec Corp. | 922,042 | ||||
| 101,400 | Renesas Electronics Corp.* | 1,919,173 | ||||
| 7,400 | Rohm Co., Ltd. | 699,506 | ||||
| 53,706 | STMicroelectronics NV | 2,671,536 | ||||
| 28,800 | SUMCO Corp. | 407,669 | ||||
| 35,700 | Tokyo Electron, Ltd. | 5,112,899 | ||||
| 8,897 | Tower Semiconductor, Ltd.* | 328,948 | ||||
|
|
|
|||||
| 44,204,220 | ||||||
|
|
|
|||||
| Software (1.6%): | ||||||
| 8,103 | Check Point Software Technologies, Ltd.* | 1,017,899 | ||||
| 3,389 | CyberArk Software, Ltd.* | 529,802 | ||||
| 52,250 | Dassault Systemes SE | 2,316,862 | ||||
| 1,521 | Monday.com, Ltd.* | 260,426 | ||||
| 4,385 | Nemetschek SE | 328,350 | ||||
| 5,127 | Nice, Ltd.* | 1,058,729 | ||||
| 2,800 | Oracle Corp. | 208,091 | ||||
| 84,002 | Sage Group plc (The) | 986,625 | ||||
| 83,484 | SAP SE | 11,398,139 | ||||
| 5,103 | Temenos AG, Registered Shares | 406,426 | ||||
| 11,100 | Trend Micro, Inc. | 537,604 | ||||
| 11,262 | WiseTech Global, Ltd. | 603,204 | ||||
| 10,262 | Xero, Ltd.* | 819,964 | ||||
|
|
|
|||||
| 20,472,121 | ||||||
|
|
|
|||||
| Specialty Retail (0.9%): | ||||||
| 7,852 | Dufry AG, Registered Shares* | 358,026 | ||||
| 13,800 | Fast Retailing Co., Ltd. | 3,543,145 | ||||
| 55,987 | H & M Hennes & Mauritz AB, Class B^ | 963,191 | ||||
| 1,500 | Hikari Tsushin, Inc. | 215,596 | ||||
| 88,107 | Industria de Diseno Textil SA | 3,422,827 | ||||
| 217,795 | JD Sports Fashion plc | 403,617 | ||||
| 146,299 | Kingfisher plc | 430,337 | ||||
| 6,100 | Nitori Holdings Co., Ltd. | 682,594 | ||||
| 16,600 | USS Co., Ltd. | 275,146 | ||||
| 18,592 | Zalando SE* | 534,865 | ||||
| 10,300 | ZOZO, Inc. | 213,199 | ||||
|
|
|
|||||
| 11,042,543 | ||||||
|
|
|
|||||
| Technology Hardware, Storage & Peripherals (0.4%): |
||||||
| 17,600 | Brother Industries, Ltd. | 258,119 | ||||
| 80,700 | Canon, Inc. | 2,129,734 | ||||
| 27,900 | FUJIFILM Holdings Corp. | 1,657,178 | ||||
| 14,283 | Logitech International SA, Class R | 849,461 | ||||
| 44,400 | Ricoh Co., Ltd. | 379,142 | ||||
| 23,600 | Seiko Epson Corp. | 366,484 | ||||
|
|
|
|||||
| 5,640,118 | ||||||
|
|
|
|||||
See accompanying notes to the financial statements.
11
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Textiles, Apparel & Luxury Goods (3.4%): | ||||||
| 12,748 | adidas AG | $ | 2,472,301 | |||
| 31,278 | Burberry Group plc | 841,664 | ||||
| 41,586 | Cie Financiere Richemont SA, Registered Shares | 7,058,020 | ||||
| 2,316 | FF Group*(a) | — | ||||
| 2,533 | Hermes International | 5,509,879 | ||||
| 5,930 | Kering SA | 3,283,943 | ||||
| 21,982 | LVMH Moet Hennessy Louis Vuitton SE | 20,742,990 | ||||
| 16,565 | Moncler SpA | 1,146,080 | ||||
| 7,545 | Pandora A/S | 674,337 | ||||
| 8,021 | Puma SE | 482,302 | ||||
| 3,854 | Swatch Group AG (The) | 211,901 | ||||
| 2,177 | Swatch Group AG (The), Class BR | 638,234 | ||||
|
|
|
|||||
| 43,061,651 | ||||||
|
|
|
|||||
| Tobacco (0.7%): | ||||||
| 168,817 | British American Tobacco plc | 5,599,835 | ||||
| 72,257 | Imperial Brands plc, Class A | 1,597,687 | ||||
| 96,700 | Japan Tobacco, Inc.^ | 2,119,795 | ||||
|
|
|
|||||
| 9,317,317 | ||||||
|
|
|
|||||
| Trading Companies & Distributors (1.9%): | ||||||
| 13,676 | AerCap Holdings NV* | 868,700 | ||||
| 35,304 | Ashtead Group plc | 2,451,109 | ||||
| 26,827 | Beijer Ref AB | 342,950 | ||||
| 11,799 | Brenntag SE | 919,166 | ||||
| 27,346 | Bunzl plc | 1,040,981 | ||||
| 4,712 | IMCD NV | 677,706 | ||||
| 94,100 | ITOCHU Corp. | 3,742,585 | ||||
| 124,800 | Marubeni Corp. | 2,132,278 | ||||
| 98,700 | Mitsubishi Corp. | 4,784,889 | ||||
| 104,600 | Mitsui & Co., Ltd. | 3,936,130 | ||||
| 18,500 | MonotaRO Co., Ltd.^ | 235,767 | ||||
| 15,779 | Reece, Ltd. | 196,628 | ||||
| 90,900 | Sumitomo Corp. | 1,931,507 | ||||
| 16,100 | Toyota Tsushu Corp. | 803,783 | ||||
|
|
|
|||||
| 24,064,179 | ||||||
|
|
|
|||||
| Transportation Infrastructure (0.4%): | ||||||
| 6,063 | Aena SME SA | 979,958 | ||||
| 2,254 | Aeroports de Paris | 323,833 | ||||
| 106,200 | Auckland International Airport, Ltd.* | 556,322 | ||||
| 28,476 | Getlink SE | 484,456 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Transportation Infrastructure, continued | ||||||
| 248,159 | Transurban Group | $ | 2,363,234 | |||
|
|
|
|||||
| 4,707,803 | ||||||
|
|
|
|||||
| Water Utilities (0.1%): | ||||||
| 20,867 | Severn Trent plc | 679,676 | ||||
| 51,908 | United Utilities Group plc | 633,812 | ||||
|
|
|
|||||
| 1,313,488 | ||||||
|
|
|
|||||
| Wireless Telecommunication Services (1.0%): | ||||||
| 119,200 | KDDI Corp. | 3,684,360 | ||||
| 29,884 | Mobile TeleSystems PJSC(a)(b) | — | ||||
| 231,500 | SoftBank Corp. | 2,476,840 | ||||
| 82,000 | SoftBank Group Corp. | 3,892,260 | ||||
| 47,483 | Tele2 AB | 393,147 | ||||
| 1,827,554 | Vodafone Group plc | 1,724,053 | ||||
|
|
|
|||||
| 12,170,660 | ||||||
|
|
|
|||||
| Total Common Stocks (Cost $834,051,716) |
1,238,851,067 | |||||
|
|
|
|||||
| Preferred Stocks (0.3%): | ||||||
| Automobile Components (0.2%): | ||||||
| 12,611 | Porsche Automobil Holding SE, 4.64%, 5/20/20* | 758,463 | ||||
| 16,425 | Volkswagen AG, 7.13%, 5/8/20 | 2,202,832 | ||||
|
|
|
|||||
| 2,961,295 | ||||||
|
|
|
|||||
| Automobiles (0.0%†): | ||||||
| 4,531 | Bayerische Motoren Werke AG, 8.18%, 5/15/20 | 515,140 | ||||
|
|
|
|||||
| Household Products (0.1%): | ||||||
| 14,378 | Henkel AG & Co. KGaA, 2.53%, 4/21/20 | 1,149,220 | ||||
|
|
|
|||||
| Total Preferred Stocks (Cost $3,995,882) |
4,625,655 | |||||
|
|
|
|||||
| Short-Term Security Held as Collateral for Securities on Loan (0.9%): |
||||||
| 10,695,325 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(c)(d) | 10,695,325 | ||||
|
|
|
|||||
| Total Short-Term Security Held as Collateral for Securities on Loan (Cost $10,695,325) |
10,695,325 | |||||
|
|
|
|||||
| Unaffiliated Investment Company (0.0%†): | ||||||
| Money Markets (0.0%†): | ||||||
| 492,315 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(d) | 492,315 | ||||
|
|
|
|||||
| Total Unaffiliated Investment Company (Cost $492,315) |
492,315 | |||||
|
|
|
|||||
| Total Investment Securities (Cost $849,235,238) — 99.7% |
1,254,664,362 | |||||
| Net other assets (liabilities) — 0.3% |
3,264,064 | |||||
|
|
|
|||||
| Net Assets — 100.0% |
$ | 1,257,928,426 | ||||
|
|
|
|||||
Percentages indicated are based on net assets as of June 30, 2023.
| ADR | - | American Depository Receipt | ||
| GDR | - | Global Depositary Receipt | ||
| REIT | - | Real Estate Investment Trust |
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $9,919,707. |
| † | Represents less than 0.05%. |
| + | Affiliated Securities |
| (a) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| (b) | These securities are held by the AZL MSCI Emerging Markets Equity Index Fund (the “Subsidiary”). See Note 2 in Notes to the Consolidated Financial Statements. |
| (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 June 30, 2023. |
| (d) | The rate represents the effective yield at June 30, 2023. |
Amounts shown as “—“ are either $0 or round to less than $1.
See accompanying notes to the financial statements.
12
AZL International Index Fund
Consolidated Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
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 June 30, 2023:
(Unaudited)
| Country | Percentage | ||||
| Australia |
7.1 | % | |||
| Austria |
0.2 | % | |||
| Belgium |
0.8 | % | |||
| Bermuda |
0.1 | % | |||
| China |
0.1 | % | |||
| Cyprus |
— | %† | |||
| Denmark |
3.0 | % | |||
| Finland |
1.1 | % | |||
| France |
11.3 | % | |||
| Germany |
8.4 | % | |||
| Greece |
— | %† | |||
| Hong Kong |
2.4 | % | |||
| Ireland |
1.2 | % | |||
| Isle of Man |
0.1 | % | |||
| Israel |
0.6 | % | |||
| Italy |
2.1 | % | |||
| Japan |
22.2 | % | |||
| Korea, Republic Of |
— | %† | |||
| Luxembourg |
0.2 | % | |||
| Netherlands |
6.9 | % | |||
| New Zealand |
0.3 | % | |||
| Norway |
0.6 | % | |||
| Portugal |
0.2 | % | |||
| Republic of Korea (South) |
— | %† | |||
| Russian Federation |
— | %† | |||
| Singapore |
1.4 | % | |||
| Spain |
2.5 | % | |||
| Sweden |
3.0 | % | |||
| Switzerland |
10.5 | % | |||
| Taiwan, Province Of China |
— | %† | |||
| Turkey |
— | %† | |||
| United Kingdom |
12.8 | % | |||
| United States |
0.9 | % | |||
|
|
|
| |||
| 100.0 | % | ||||
|
|
|
| |||
| † | Represents less than 0.05%. |
Futures Contracts
At June 30, 2023, 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 September Futures (Euro) |
9/15/23 | 69 | $ | 3,332,893 | $ | 58,900 | ||||||||||
| FTSE 100 Index September Futures (British Pounds) |
9/15/23 | 23 | 2,202,513 | (15,397 | ) | |||||||||||
| SGX Nikkei 225 Index September Futures (Japenese Yen) |
9/7/23 | 17 | 1,954,446 | 72,638 | ||||||||||||
| SPI 200 Index September Futures (Australian Dollar) |
9/21/23 | 9 | 1,073,077 | 10,074 | ||||||||||||
|
|
|
| ||||||||||||||
| $ | 126,215 | |||||||||||||||
|
|
|
| ||||||||||||||
See accompanying notes to the financial statements.
13
AZL International Index Fund
Consolidated Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investments in non-affiliates, at cost |
$ | 844,921,883 | |||
| Investments in affiliates, at cost |
4,313,355 | ||||
|
|
|
||||
| Investments in non-affiliates, at value(a) |
$ | 1,247,171,582 | |||
| Investments in affiliates, at value |
7,492,780 | ||||
| Deposit at broker for futures contracts collateral |
583,421 | ||||
| Interest and dividends receivable |
1,767,726 | ||||
| Foreign currency, at value (cost $5,845,464) |
5,897,716 | ||||
| Receivable for investments sold |
12,332 | ||||
| Receivable for variation margin on futures contracts |
60,614 | ||||
| Reclaims receivable |
6,986,936 | ||||
| Prepaid expenses |
2,027 | ||||
|
|
|
||||
| Total Assets |
1,269,975,134 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Payable for investments purchased |
10,256 | ||||
| Payable for capital shares redeemed |
634,913 | ||||
| Payable for collateral received on loaned securities |
10,695,325 | ||||
| Management fees payable |
359,449 | ||||
| Administration fees payable |
24,076 | ||||
| Distribution fees payable |
237,989 | ||||
| Custodian fees payable |
40,387 | ||||
| Administrative and compliance services fees payable |
854 | ||||
| Transfer agent fees payable |
934 | ||||
| Trustee fees payable |
4,308 | ||||
| Other accrued liabilities |
38,217 | ||||
|
|
|
||||
| Total Liabilities |
12,046,708 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 1,257,928,426 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 843,722,042 | |||
| Total distributable earnings |
414,206,384 | ||||
|
|
|
||||
| Net Assets |
$ | 1,257,928,426 | |||
|
|
|
||||
| Class 1 |
|||||
| Net Assets |
$ | 91,736,205 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
8,322,229 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 11.02 | |||
|
|
|
||||
| Class 2 |
|||||
| Net Assets |
$ | 1,166,192,221 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
68,489,889 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 17.03 | |||
|
|
|
Consolidated Statement of Operations
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends from non-affiliates |
$ | 28,604,122 | |||
| Dividends from affiliates |
407,892 | ||||
| Interest |
5,641 | ||||
| Income from securities lending |
78,744 | ||||
| Foreign withholding tax |
(3,207,692 | ) | |||
|
|
|
||||
| Total Investment Income |
25,888,707 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
2,232,903 | ||||
| Administration fees |
162,571 | ||||
| Distribution fees - Class 2 |
1,486,804 | ||||
| Custodian fees |
164,188 | ||||
| Administrative and compliance services fees |
4,358 | ||||
| Transfer agent fees |
5,507 | ||||
| Trustee fees |
17,654 | ||||
| Professional fees |
13,786 | ||||
| Licensing fees |
116,517 | ||||
| Shareholder reports |
11,970 | ||||
| Other expenses |
20,414 | ||||
|
|
|
||||
| Total expenses |
4,236,672 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
21,652,035 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
9,759,645 | ||||
| Net realized gains/(losses) on affiliated transactions |
261,129 | ||||
| Net realized gains/(losses) on futures contracts |
1,325,921 | ||||
| Net realized gains/(losses) on foreign taxes |
(136,757 | ) | |||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
110,196,824 | ||||
| Change in net unrealized appreciation/depreciation on affiliated transactions |
420,453 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
125,870 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
121,953,085 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 143,605,120 | |||
|
|
|
| (a) | Includes securities on loan of $9,919,707. |
| ^ | See Note 3 in Notes to the Financial Statements. |
See accompanying notes to the financial statements.
14
AZL International Index Fund
Consolidated Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 |
|||||||
| (Unaudited) | ||||||||
| Change In Net Assets: |
||||||||
| Operations: |
||||||||
| Net investment income/(loss) |
$ | 21,652,035 | $ | 35,131,429 | ||||
| Net realized gains/(losses) on investments |
11,209,938 | (10,176,778) | ||||||
| Change in unrealized appreciation/depreciation on investments |
110,743,147 | (272,172,800) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
143,605,120 | (247,218,149) | ||||||
|
|
|
|
|
|||||
| Distributions to Shareholders: |
||||||||
| Class 1 |
— | (6,471,396) | ||||||
| Class 2 |
— | (68,421,061) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from distributions to shareholders |
— | (74,892,457) | ||||||
|
|
|
|
|
|||||
| Capital Transactions: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
393,919 | 128,793 | ||||||
| Proceeds from shares issued in merger |
11,495,461 | — | ||||||
| Proceeds from dividends reinvested |
— | 6,471,396 | ||||||
| Value of shares redeemed |
(5,973,250) | (9,090,033) | ||||||
|
|
|
|
|
|||||
| Total Class 1 Shares |
5,916,130 | (2,489,844) | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
24,888,060 | 5,011,709 | ||||||
| Proceeds from shares issued in merger |
65,241,566 | — | ||||||
| Proceeds from dividends reinvested |
— | 68,421,061 | ||||||
| Value of shares redeemed |
(273,849,407) | (206,126,900) | ||||||
|
|
|
|
|
|||||
| Total Class 2 Shares |
(183,719,781) | (132,694,130) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from capital transactions |
(177,803,651) | (135,183,974) | ||||||
|
|
|
|
|
|||||
| Change in net assets |
(34,198,531) | (457,294,580) | ||||||
| Net Assets: |
||||||||
| Beginning of period |
1,292,126,957 | 1,749,421,537 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 1,257,928,426 | $ | 1,292,126,957 | ||||
|
|
|
|
|
|||||
| Share Transactions: |
||||||||
| Class 1 |
||||||||
| Shares issued |
44,253 | 12,242 | ||||||
| Shares issued in merger |
1,113,784 | — | ||||||
| Dividends reinvested |
— | 737,061 | ||||||
| Shares redeemed |
(560,209) | (847,600) | ||||||
|
|
|
|
|
|||||
| Total Class 1 Shares |
597,828 | (98,297) | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Shares issued |
1,569,251 | 330,418 | ||||||
| Shares issued in merger |
4,090,043 | — | ||||||
| Dividends reinvested |
— | 5,038,369 | ||||||
| Shares redeemed |
(16,831,912) | (12,702,582) | ||||||
|
|
|
|
|
|||||
| Total Class 2 Shares |
(11,172,618) | (7,333,795) | ||||||
|
|
|
|
|
|||||
| Change in shares |
(10,574,790) | (7,432,092) | ||||||
|
|
|
|
|
|||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
15
AZL International Index Fund
Consolidated Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 9.87 | $ | 12.69 | $ | 11.76 | $ | 11.53 | $ | 9.94 | $ | 12.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.20 | (a) | 0.29 | (a) | 0.27 | (a) | 0.20 | (a) | 0.32 | (a) | 0.36 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.95 | (2.21 | ) | 0.99 | 0.61 | 1.79 | (2.00 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
1.15 | (1.92 | ) | 1.26 | 0.81 | 2.11 | (1.64 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.51 | ) | (0.33 | ) | (0.55 | ) | (0.42 | ) | (0.50 | ) | |||||||||||||
| Net Realized Gains |
— | (0.39 | ) | — | (0.03 | ) | (0.10 | ) | (0.22 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (0.90 | ) | (0.33 | ) | (0.58 | ) | (0.52 | ) | (0.72 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 11.02 | $ | 9.87 | $ | 12.69 | $ | 11.76 | $ | 11.53 | $ | 9.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
11.65 | %(c) | (14.25 | )% | 10.80 | % | 7.66 | % | 21.67 | % | (13.80 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 91,736 | $ | 76,241 | $ | 99,304 | $ | 100,924 | $ | 106,657 | $ | 98,902 | ||||||||||||
| Net Investment Income/(Loss)(d) |
3.77 | % | 2.72 | % | 2.13 | % | 1.93 | % | 2.89 | % | 2.62 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.43 | % | 0.43 | % | 0.45 | % | 0.46 | % | 0.44 | % | 0.45 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.43 | % | 0.43 | % | 0.45 | % | 0.46 | % | 0.44 | % | 0.45 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
9 | % | 2 | % | 14 | % | 9 | % | 4 | % | 2 | % | ||||||||||||
| Class 2 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 15.26 | $ | 18.97 | $ | 17.43 | $ | 16.79 | $ | 14.25 | $ | 17.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.28 | (a) | 0.40 | (a) | 0.35 | (a) | 0.26 | (a) | 0.42 | (a) | 0.43 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
1.49 | (3.26 | ) | 1.48 | 0.91 | 2.60 | (2.81 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
1.77 | (2.86 | ) | 1.83 | 1.17 | 3.02 | (2.38 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.46 | ) | (0.29 | ) | (0.50 | ) | (0.38 | ) | (0.45 | ) | |||||||||||||
| Net Realized Gains |
— | (0.39 | ) | — | (0.03 | ) | (0.10 | ) | (0.22 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (0.85 | ) | (0.29 | ) | (0.53 | ) | (0.48 | ) | (0.67 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 17.03 | $ | 15.26 | $ | 18.97 | $ | 17.43 | $ | 16.79 | $ | 14.25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
11.60 | %(c) | (14.52 | )% | 10.55 | % | 7.40 | % | 21.44 | % | (14.04 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 1,166,192 | $ | 1,215,886 | $ | 1,650,118 | $ | 1,496,990 | $ | 1,591,233 | $ | 1,422,711 | ||||||||||||
| Net Investment Income/(Loss)(d) |
3.36 | % | 2.47 | % | 1.85 | % | 1.69 | % | 2.64 | % | 2.36 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.68 | % | 0.68 | % | 0.70 | % | 0.71 | % | 0.69 | % | 0.70 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.68 | % | 0.68 | % | 0.70 | % | 0.71 | % | 0.69 | % | 0.70 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
9 | % | 2 | % | 14 | % | 9 | % | 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) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
16
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
17
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 are presented on the Fund’s Consolidated Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $7,793 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Consolidated Statement of Operations. The Fund had securities lending transactions of $10,695,325 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, the Fund did not engage in any Rule 17a-7 transactions.
Consolidation of Subsidiary
Effective as of the close of business March 10, 2023, the Fund via a Purchase Agreement invested in shares of another series of the Trust managed by the Manager, the AZL MSCI Emerging Markets Equity Index Fund (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund. As of June 30, 2023, the Fund’s aggregate investment in the Subsidiary was $1, representing less than 0.01% of the Fund’s net assets. The Subsidiary is a disregarded entity for federal income tax purposes and holds certain Russian-based securities which have settlement restrictions. The Subsidiary’s financial statements, including its investments, and its operating results have been consolidated with those of the Fund. All intercompany transactions have been eliminated.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Consolidated 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 period ended June 30, 2023, 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
18
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
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 Consolidated 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 June 30, 2023, the monthly average notional amount for long contracts was $8.9 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 Consolidated Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2023:
| Asset Derivatives |
Liability Derivatives |
|||||||||||
| Primary Risk Exposure |
Consolidated Statement of Assets and Liabilities Location |
Total Value | Consolidated Statement of Assets and Liabilities Location |
Total Value | ||||||||
| Equity Risk |
||||||||||||
| Futures Contracts | Receivable for variation margin on futures contracts* | $141,612 | Payable for variation margin on futures contracts* | $15,397 | ||||||||
| * | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Consolidated Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Consolidated Statement of Operations, categorized by risk exposure, for the period ended June 30, 2023:
| Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized |
Realized Gains/(Losses) 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 | $1,325,921 | $125,869 | |||||||
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 Consolidated 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, 2024.
For the period ended June 30, 2023, 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 | % | |||||||
| * | The annual rate due to the Subadviser from the Manager is 0.04%. |
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, there were no such waivers.
At June 30, 2023, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| Value 12/31/22 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gains (Losses) |
Change in Net Unrealized Appreciation (Depreciation) |
Value 06/30/23 | Shares as of 06/30/23 |
Dividend Income |
Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
| Allianz SE, Registered Shares |
$ | 7,909,903 | $ | 539,571 | $ | (1,638,276) | $ | 261,129 | $ | 420,453 | $ | 7,492,780 | 32,215 | $ | 407,892 | $ | — | ||||||||||||||||||||||||||||
19
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
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 Consolidated 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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 Consolidated 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks+ |
$6,060,921 | $1,232,790,146 | $— | # | $1,238,851,067 | |||||||||||
| Preferred Stocks+ |
— | 4,625,655 | — | 4,625,655 | ||||||||||||
20
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
$10,695,325 | $— | $— | $10,695,325 | ||||||||||||
| Unaffiliated Investment Company |
492,315 | — | — | 492,315 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investment Securities |
17,248,561 | 1,237,415,801 | — | 1,254,664,362 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments:* |
||||||||||||||||
| Futures Contracts |
126,215 | — | — | 126,215 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$17,374,776 | $1,237,415,801 | $— | $1,254,790,577 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| + | For detailed industry descriptions, see the accompanying Consolidated Schedule of Portfolio Investments. |
| # | Represents the interest in securities that were determined to have a value of zero at June 30, 2023. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2023 cost of purchases and proceeds from sales of securities (excluding fund merger transactions and securities maturing less than one year from acquisition) were as follows:
| Purchases | Sales | |||||||||
| AZL International Index Fund |
$ | 98,399,604 | $ | 257,482,217 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such 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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
21
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $1,043,866,512. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$ | 345,703,798 | |||
| Unrealized (depreciation) |
(92,218,054 | ) | |||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$ | 253,485,744 | |||
|
|
|
As of the end of its tax year ended December 31, 2022, 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.
CLCFs not subject to expiration:
| Short-Term Amount |
Long-Term Amount |
Total | ||||||||||||
| AZL International Index Fund |
$2,628,421 | $9,717,567 | $12,345,988 | |||||||||||
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term |
Total Distributions(a) | ||||||||||||
| AZL International Index Fund |
$42,815,668 | $32,076,789 | $74,892,457 | |||||||||||
| (a) | Total distributions paid may differ from the Consolidated Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
At December 31, 2022, 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 Earnings/ | |||||||||||||||||||||
| AZL International Index Fund |
$29,669,843 | $— | $(12,345,988) | $253,277,409 | $270,601,264 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 65% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Acquisition of Funds
Effective as of the close of business March 10, 2023, the Fund acquired all the assets and liabilities of the AZL MSCI Emerging Markets Equity Index Fund (“AZL MSCI Emerging Markets Fund”), an open-end management investment company, pursuant to a plan of reorganization approved by the Board on December 13, 2022 (the “Plan”). The acquisition was accomplished by a taxable exchange of 1,113,784 Class 1 shares and 4,090,043 Class 2 shares of the AZL MSCI Emerging Markets Fund outstanding as of close of business March 10, 2023, valued at $11,495,461 and $65,241,566, respectively, for 2,549,011 Class 1 shares and 14,367,622 Class 2 shares of the Fund.
At the close of business March 10, 2023, the AZL MSCI Emerging Markets Fund’s investment holdings had a fair value of $74,501,099 and identified cost of $81,121,843. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value, including the cost basis of investments received. All fees and expenses incurred by the AZL MSCI Emerging Markets Fund and the Fund directly in connection with the Plan were borne by the Manager. There are no material differences in accounting policies of the AZL MSCI Emerging Markets Fund as compared to those of the Fund.
Assuming the acquisition had been completed on January 1, 2023, the beginning of the semi-annual reporting period of the Fund, the Fund’s pro forma results of operations for the period ended June 30, 2023, are as follows:
| Net investment income/(loss) |
$ 22,043,032 | |||
| Net realized/unrealized gains/(losses) |
127,965,078 | |||
|
|
|
|||
| Change in net assets resulting from operations |
$ 150,008,110 | |||
|
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the AZL MSCI Emerging Markets Fund that have been included in the Fund’s Statement of Operations subsequent to March 10, 2023. The Fund did not purchase or sell securities following the acquisition for purposes of realigning its investment portfolio. Accordingly, the acquisition of the AZL MSCI Emerging Markets Fund did not affect the Fund’s portfolio turnover ratio for the period ended June 30, 2023.
22
AZL International Index Fund
Notes to the Consolidated Financial Statements
June 30, 2023 (Unaudited)
11. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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.
23
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
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
25
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Mid Cap Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 10
Page 10
Statements of Changes in Net Assets
Page 11
Page 12
Notes to the Financial Statements
Page 13
Page 19
Statement Regarding the Trust’s Liquidity Risk Management Program
Page 20
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
(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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Mid Cap Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,085.80 | $ | 1.60 | 0.31 | % | ||||||||||||
| AZL Mid Cap Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,086.60 | $ | 2.85 | 0.55 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Mid Cap Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,023.26 | $ | 1.56 | 0.31 | % | ||||||||||||
| AZL Mid Cap Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,022.07 | $ | 2.76 | 0.55 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
22.8% | |||
| Consumer Discretionary |
14.9 | |||
| Financials |
13.4 | |||
| Information Technology |
10.3 | |||
| Health Care |
9.4 | |||
| Real Estate |
7.4 | |||
| Materials |
7.3 | |||
| Consumer Staples |
4.3 | |||
| Energy |
4.2 | |||
| Utilities |
3.3 | |||
| Communication Services |
2.1 | |||
|
|
|
|||
| Total Common Stocks |
99.4 | |||
| Unaffiliated Investment Company |
0.5 | |||
| Short-Term Security Held as Collateral for Securities on Loan |
0.5 | |||
|
|
|
|||
| Total Investment Securities |
100.4 | |||
| Net other assets (liabilities) |
(0.4) | |||
|
|
|
|||
| Net Assets |
100.0% | |||
|
|
|
|||
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (99.4%): |
||||||
| Aerospace & Defense (1.3%): | ||||||
| 33,314 | BWX Technologies, Inc. | $ | 2,384,283 | |||
| 13,968 | Curtiss-Wright Corp. | 2,565,363 | ||||
| 30,736 | Hexcel Corp. | 2,336,551 | ||||
| 21,198 | Mercury Systems, Inc.* | 733,239 | ||||
| 21,871 | Woodward, Inc. | 2,600,680 | ||||
|
|
|
| ||||
| 10,620,116 | ||||||
|
|
|
| ||||
| Air Freight & Logistics (0.3%): | ||||||
| 43,325 | GXO Logistics, Inc.* | 2,721,677 | ||||
|
|
|
| ||||
| Automobile Components (2.1%): | ||||||
| 34,500 | Adient plc* | 1,322,040 | ||||
| 28,141 | Autoliv, Inc. | 2,393,111 | ||||
| 15,411 | Fox Factory Holding Corp.* | 1,672,248 | ||||
| 85,137 | Gentex Corp. | 2,491,109 | ||||
| 104,665 | Goodyear Tire & Rubber Co. (The)* | 1,431,817 | ||||
| 47,658 | Harley-Davidson, Inc. | 1,678,038 | ||||
| 21,502 | Lear Corp. | 3,086,612 | ||||
| 19,497 | Thor Industries, Inc. | 2,017,939 | ||||
| 10,488 | Visteon Corp.* | 1,506,182 | ||||
|
|
|
| ||||
| 17,599,096 | ||||||
|
|
|
| ||||
| Banks (5.2%): | ||||||
| 54,969 | Associated Banc-Corp. | 892,147 | ||||
| 39,269 | Bank OZK | 1,577,043 | ||||
| 66,296 | Cadence Bank | 1,302,053 | ||||
| 26,425 | Cathay General Bancorp | 850,621 | ||||
| 75,941 | Columbia Banking System, Inc. | 1,540,084 | ||||
| 41,345 | Commerce Bancshares, Inc. | 2,013,502 | ||||
| 23,460 | Cullen/Frost Bankers, Inc. | 2,522,654 | ||||
| 51,533 | East West Bancorp, Inc. | 2,720,427 | ||||
| 47,317 | First Financial Bankshares, Inc. | 1,348,061 | ||||
| 195,924 | First Horizon Corp. | 2,208,063 | ||||
| 132,545 | FNB Corp. | 1,516,315 | ||||
| 40,390 | Glacier Bancorp, Inc. | 1,258,956 | ||||
| 31,358 | Hancock Whitney Corp. | 1,203,520 | ||||
| 68,708 | Home BancShares, Inc. | 1,566,542 | ||||
| 19,234 | International Bancshares Corp. | 850,143 | ||||
| 263,068 | New York Community Bancorp, Inc. | 2,956,884 | ||||
| 106,593 | Old National Bancorp | 1,485,906 | ||||
| 27,957 | Pinnacle Financial Partners, Inc. | 1,583,764 | ||||
| 34,123 | Prosperity Bancshares, Inc. | 1,927,267 | ||||
| 27,659 | SouthState Corp. | 1,819,962 | ||||
| 53,230 | Synovus Financial Corp. | 1,610,208 | ||||
| 17,439 | Texas Capital Bancshares, Inc.* | 898,109 | ||||
| 15,905 | UMB Financial Corp. | 968,615 | ||||
| 49,029 | United Bankshares, Inc. | 1,454,690 | ||||
| 153,564 | Valley National Bancorp | 1,190,121 | ||||
| 63,659 | Webster Financial Corp. | 2,403,127 | ||||
| 22,646 | Wintrust Financial Corp. | 1,644,553 | ||||
|
|
|
| ||||
| 43,313,337 | ||||||
|
|
|
| ||||
| Beverages (0.5%): | ||||||
| 3,412 | Boston Beer Co., Inc. (The), Class A* | 1,052,397 | ||||
| 14,826 | Celsius Holdings, Inc.* | 2,211,891 | ||||
| 1,677 | Coca-Cola Consolidated, Inc. | 1,066,606 | ||||
|
|
|
| ||||
| 4,330,894 | ||||||
|
|
|
| ||||
| Biotechnology (1.5%): | ||||||
| 38,943 | Arrowhead Pharmaceuticals, Inc.* | 1,388,707 | ||||
| 118,629 | Exelixis, Inc.* | 2,267,000 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Biotechnology, continued | ||||||
| 47,971 | Halozyme Therapeutics, Inc.* | $ | 1,730,314 | |||
| 35,546 | Neurocrine Biosciences, Inc.* | 3,351,988 | ||||
| 17,038 | United Therapeutics Corp.* | 3,761,139 | ||||
|
|
|
| ||||
| 12,499,148 | ||||||
|
|
|
| ||||
| Broadline Retail (0.6%): | ||||||
| 40,248 | Kohl’s Corp. | 927,717 | ||||
| 99,208 | Macy’s, Inc. | 1,592,288 | ||||
| 42,090 | Nordstrom, Inc.^ | 861,582 | ||||
| 20,970 | Ollie’s Bargain Outlet Holdings, Inc.* | 1,214,792 | ||||
|
|
|
| ||||
| 4,596,379 | ||||||
|
|
|
| ||||
| Building Products (3.8%): | ||||||
| 22,787 | Advanced Drainage Systems, Inc. | 2,592,705 | ||||
| 46,692 | Builders FirstSource, Inc.* | 6,350,112 | ||||
| 18,567 | Carlisle Cos., Inc. | 4,762,993 | ||||
| 46,160 | Fortune Brands Innovations, Inc. | 3,321,212 | ||||
| 11,769 | Lennox International, Inc. | 3,837,518 | ||||
| 32,826 | Owens Corning | 4,283,793 | ||||
| 15,545 | Simpson Manufacturing Co., Inc. | 2,152,982 | ||||
| 39,637 | Trex Co., Inc.* | 2,598,602 | ||||
| 22,621 | UFP Industries, Inc. | 2,195,368 | ||||
|
|
|
| ||||
| 32,095,285 | ||||||
|
|
|
| ||||
| Capital Markets (1.9%): | ||||||
| 13,152 | Affiliated Managers Group, Inc. | 1,971,353 | ||||
| 12,852 | Evercore, Inc., Class A | 1,588,379 | ||||
| 30,978 | Federated Hermes, Inc., Class B | 1,110,561 | ||||
| 37,520 | Interactive Brokers Group, Inc., Class A | 3,116,787 | ||||
| 48,279 | Janus Henderson Group plc | 1,315,603 | ||||
| 67,637 | Jefferies Financial Group, Inc. | 2,243,519 | ||||
| 36,908 | SEI Investments Co. | 2,200,455 | ||||
| 38,663 | Stifel Financial Corp. | 2,307,021 | ||||
|
|
|
| ||||
| 15,853,678 | ||||||
|
|
|
| ||||
| Chemicals (2.4%): | ||||||
| 17,696 | Ashland, Inc. | 1,537,959 | ||||
| 31,106 | Avient Corp. | 1,272,236 | ||||
| 80,704 | Axalta Coating Systems, Ltd.* | 2,647,898 | ||||
| 20,454 | Cabot Corp. | 1,368,168 | ||||
| 54,337 | Chemours Co. (The) | 2,004,492 | ||||
| 2,420 | NewMarket Corp. | 973,130 | ||||
| 43,798 | Olin Corp. | 2,250,779 | ||||
| 46,962 | RPM International, Inc. | 4,213,900 | ||||
| 14,895 | Scotts Miracle-Gro Co. (The) | 933,768 | ||||
| 15,554 | Sensient Technologies Corp. | 1,106,356 | ||||
| 12,555 | Westlake Corp. | 1,499,946 | ||||
|
|
|
| ||||
| 19,808,632 | ||||||
|
|
|
| ||||
| Commercial Services & Supplies (1.4%): | ||||||
| 16,912 | Brink’s Co. (The) | 1,147,141 | ||||
| 18,330 | Clean Harbors, Inc.* | 3,014,002 | ||||
| 13,447 | MSA Safety, Inc. | 2,339,240 | ||||
| 33,677 | Stericycle, Inc.* | 1,563,960 | ||||
| 19,391 | Tetra Tech, Inc. | 3,175,082 | ||||
|
|
|
| ||||
| 11,239,425 | ||||||
|
|
|
| ||||
| Communications Equipment (0.6%): | ||||||
| 20,995 | Calix, Inc.* | 1,047,860 | ||||
| 54,339 | Ciena Corp.* | 2,308,864 | ||||
| 25,027 | Lumentum Holdings, Inc.* | 1,419,782 | ||||
|
|
|
| ||||
| 4,776,506 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Construction & Engineering (1.8%): | ||||||
| 50,637 | AECOM | $ | 4,288,447 | |||
| 17,321 | EMCOR Group, Inc. | 3,200,574 | ||||
| 52,135 | Fluor Corp.* | 1,543,196 | ||||
| 21,734 | MasTec, Inc.* | 2,563,960 | ||||
| 74,185 | MDU Resources Group, Inc. | 1,553,434 | ||||
| 7,671 | Valmont Industries, Inc. | 2,232,645 | ||||
|
|
|
| ||||
| 15,382,256 | ||||||
|
|
|
| ||||
| Construction Materials (0.4%): | ||||||
| 13,134 | Eagle Materials, Inc. | 2,448,440 | ||||
| 18,458 | Knife River Corp.* | 802,923 | ||||
|
|
|
| ||||
| 3,251,363 | ||||||
|
|
|
| ||||
| Consumer Finance (0.3%): | ||||||
| 13,417 | FirstCash Holdings, Inc. | 1,252,209 | ||||
| 88,298 | SLM Corp. | 1,441,023 | ||||
|
|
|
| ||||
| 2,693,232 | ||||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (1.9%): | ||||||
| 48,957 | BJ’s Wholesale Club Holdings, Inc.* | 3,084,781 | ||||
| 13,574 | Casey’s General Stores, Inc. | 3,310,427 | ||||
| 32,583 | Grocery Outlet Holding Corp.* | 997,366 | ||||
| 56,884 | Performance Food Group Co.* | 3,426,692 | ||||
| 37,540 | Sprouts Farmers Market, Inc.* | 1,378,844 | ||||
| 82,007 | US Foods Holding Corp.* | 3,608,308 | ||||
|
|
|
| ||||
| 15,806,418 | ||||||
|
|
|
| ||||
| Containers & Packaging (2.0%): | ||||||
| 23,869 | AptarGroup, Inc. | 2,765,462 | ||||
| 43,424 | Berry Global Group, Inc. | 2,793,900 | ||||
| 43,752 | Crown Holdings, Inc. | 3,800,736 | ||||
| 111,890 | Graphic Packaging Holding Co. | 2,688,717 | ||||
| 9,683 | Greif, Inc., Class A | 667,062 | ||||
| 30,525 | Silgan Holdings, Inc. | 1,431,317 | ||||
| 35,685 | Sonoco Products Co. | 2,106,129 | ||||
|
|
|
| ||||
| 16,253,323 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.9%): | ||||||
| 1,377 | Graham Holdings Co., Class B | 786,928 | ||||
| 11,193 | Grand Canyon Education, Inc.* | 1,155,229 | ||||
| 55,477 | H&R Block, Inc. | 1,768,052 | ||||
| 55,071 | Service Corp. International | 3,557,036 | ||||
|
|
|
| ||||
| 7,267,245 | ||||||
|
|
|
| ||||
| Diversified Telecommunication Services (0.5%): | ||||||
| 81,337 | Frontier Communications Parent, Inc.* | 1,516,122 | ||||
| 45,874 | Iridium Communications, Inc. | 2,849,693 | ||||
|
|
|
| ||||
| 4,365,815 | ||||||
|
|
|
| ||||
| Electric Utilities (1.2%): | ||||||
| 20,880 | ALLETE, Inc. | 1,210,414 | ||||
| 39,917 | Hawaiian Electric Industries, Inc. | 1,444,995 | ||||
| 18,436 | IDACORP, Inc. | 1,891,534 | ||||
| 72,964 | OGE Energy Corp. | 2,620,137 | ||||
| 31,269 | PNM Resources, Inc. | 1,410,232 | ||||
| 35,199 | Portland General Electric Co. | 1,648,369 | ||||
|
|
|
| ||||
| 10,225,681 | ||||||
|
|
|
| ||||
| Electrical Equipment (2.2%): | ||||||
| 11,584 | Acuity Brands, Inc. | 1,889,119 | ||||
| 14,882 | EnerSys | 1,614,995 | ||||
| 19,522 | Hubbell, Inc. | 6,472,714 | ||||
| 60,352 | nVent Electric plc | 3,118,388 | ||||
| 24,145 | Regal Rexnord Corp. | 3,715,916 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Electrical Equipment, continued | ||||||
| 79,368 | Sunrun, Inc.* | $ | 1,417,512 | |||
| 8,056 | Vicor Corp.* | 435,024 | ||||
|
|
|
| ||||
| 18,663,668 | ||||||
|
|
|
| ||||
| Electronic Equipment, Instruments & Components (3.8%): | ||||||
| 20,578 | Arrow Electronics, Inc.* | 2,947,387 | ||||
| 33,296 | Avnet, Inc. | 1,679,783 | ||||
| 15,501 | Belden, Inc. | 1,482,671 | ||||
| 62,878 | Cognex Corp. | 3,522,426 | ||||
| 50,775 | Coherent Corp.* | 2,588,509 | ||||
| 11,374 | IPG Photonics Corp.* | 1,544,817 | ||||
| 48,336 | Jabil, Inc. | 5,216,904 | ||||
| 9,046 | Littelfuse, Inc. | 2,635,190 | ||||
| 47,904 | National Instruments Corp. | 2,749,690 | ||||
| 13,044 | Novanta, Inc.* | 2,401,400 | ||||
| 15,125 | TD SYNNEX Corp. | 1,421,750 | ||||
| 46,479 | Vishay Intertechnology, Inc. | 1,366,483 | ||||
| 56,692 | Vontier Corp. | 1,826,049 | ||||
|
|
|
| ||||
| 31,383,059 | ||||||
|
|
|
| ||||
| Energy Equipment & Services (0.7%): | ||||||
| 72,121 | ChampionX Corp. | 2,238,636 | ||||
| 143,433 | NOV, Inc. | 2,300,665 | ||||
| 21,911 | Valaris, Ltd.* | 1,378,859 | ||||
|
|
|
| ||||
| 5,918,160 | ||||||
|
|
|
| ||||
| Entertainment (0.2%): | ||||||
| 15,811 | World Wrestling Entertainment, Inc., Class A | 1,715,019 | ||||
|
|
|
| ||||
| Financial Services (1.5%): | ||||||
| 39,074 | Essent Group, Ltd. | 1,828,663 | ||||
| 17,175 | Euronet Worldwide, Inc.* | 2,015,830 | ||||
| 104,415 | MGIC Investment Corp. | 1,648,713 | ||||
| 35,799 | Voya Financial, Inc. | 2,567,146 | ||||
| 109,788 | Western Union Co. (The) | 1,287,813 | ||||
| 15,607 | WEX, Inc.* | 2,841,567 | ||||
|
|
|
| ||||
| 12,189,732 | ||||||
|
|
|
| ||||
| Food Products (1.4%): | ||||||
| 58,129 | Darling Ingredients, Inc.* | 3,708,049 | ||||
| 70,223 | Flowers Foods, Inc. | 1,747,148 | ||||
| 24,049 | Ingredion, Inc. | 2,547,992 | ||||
| 7,219 | Lancaster Colony Corp. | 1,451,669 | ||||
| 17,162 | Pilgrim’s Pride Corp.* | 368,811 | ||||
| 19,505 | Post Holdings, Inc.* | 1,690,108 | ||||
|
|
|
| ||||
| 11,513,777 | ||||||
|
|
|
| ||||
| Gas Utilities (1.2%): | ||||||
| 33,444 | National Fuel Gas Co. | 1,717,684 | ||||
| 35,324 | New Jersey Resources Corp. | 1,667,293 | ||||
| 20,149 | ONE Gas, Inc. | 1,547,644 | ||||
| 24,160 | Southwest Gas Holdings, Inc. | 1,537,784 | ||||
| 19,161 | Spire, Inc. | 1,215,574 | ||||
| 76,258 | UGI Corp. | 2,056,678 | ||||
|
|
|
| ||||
| 9,742,657 | ||||||
|
|
|
| ||||
| Ground Transportation (2.0%): | ||||||
| 8,691 | Avis Budget Group, Inc.* | 1,987,371 | ||||
| 57,421 | Hertz Global Holdings, Inc.* | 1,055,972 | ||||
| 58,663 | Knight-Swift Transportation Holdings, Inc. | 3,259,316 | ||||
| 13,090 | Landstar System, Inc. | 2,520,349 | ||||
| 16,937 | Ryder System, Inc. | 1,436,088 | ||||
| 9,666 | Saia, Inc.* | 3,309,735 | ||||
See accompanying notes to the financial statements.
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Ground Transportation, continued | ||||||
| 21,472 | Werner Enterprises, Inc. | $ | 948,633 | |||
| 42,206 | XPO, Inc.* | 2,490,154 | ||||
|
|
|
| ||||
| 17,007,618 | ||||||
|
|
|
| ||||
| Health Care Equipment & Supplies (3.6%): | ||||||
| 17,470 | Enovis Corp.* | 1,120,176 | ||||
| 59,636 | Envista Holdings Corp.* | 2,018,082 | ||||
| 29,250 | Globus Medical, Inc.* | 1,741,545 | ||||
| 18,378 | Haemonetics Corp.* | 1,564,703 | ||||
| 7,364 | ICU Medical, Inc.* | 1,312,191 | ||||
| 18,745 | Inari Medical, Inc.* | 1,089,834 | ||||
| 25,959 | Integra LifeSciences Holdings Corp.* | 1,067,694 | ||||
| 24,894 | Lantheus Holdings, Inc.* | 2,089,104 | ||||
| 19,588 | LivaNova plc* | 1,007,411 | ||||
| 17,689 | Masimo Corp.* | 2,910,725 | ||||
| 78,769 | Neogen Corp.* | 1,713,226 | ||||
| 16,423 | Omnicell, Inc.* | 1,209,882 | ||||
| 13,935 | Penumbra, Inc.* | 4,794,476 | ||||
| 19,939 | QuidelOrtho Corp.* | 1,652,146 | ||||
| 13,343 | Shockwave Medical, Inc.* | 3,808,226 | ||||
| 17,838 | STAAR Surgical Co.* | 937,744 | ||||
|
|
|
| ||||
| 30,037,165 | ||||||
|
|
|
| ||||
| Health Care Providers & Services (2.3%): | ||||||
| 33,528 | Acadia Healthcare Co., Inc.* | 2,670,170 | ||||
| 11,871 | Amedisys, Inc.* | 1,085,484 | ||||
| 5,472 | Chemed Corp. | 2,964,018 | ||||
| 36,516 | Encompass Health Corp. | 2,472,499 | ||||
| 31,533 | HealthEquity, Inc.* | 1,990,994 | ||||
| 60,249 | Option Care Health, Inc.* | 1,957,490 | ||||
| 31,828 | Patterson Cos., Inc. | 1,058,599 | ||||
| 27,815 | Progyny, Inc.* | 1,094,242 | ||||
| 50,276 | R1 RCM, Inc.* | 927,592 | ||||
| 37,135 | Tenet Healthcare Corp.* | 3,022,046 | ||||
|
|
|
| ||||
| 19,243,134 | ||||||
|
|
|
| ||||
| Health Care REITs (1.1%): | ||||||
| 138,731 | Healthcare Realty Trust, Inc. | 2,616,467 | ||||
| 217,959 | Medical Properties Trust, Inc. | 2,018,300 | ||||
| 85,374 | Omega Healthcare Investors, Inc. | 2,620,128 | ||||
| 84,668 | Physicians Realty Trust | 1,184,505 | ||||
| 84,224 | Sabra Health Care REIT, Inc. | 991,317 | ||||
|
|
|
| ||||
| 9,430,717 | ||||||
|
|
|
| ||||
| Health Care Technology (0.2%): | ||||||
| 43,244 | Doximity, Inc., Class A* | 1,471,161 | ||||
|
|
|
| ||||
| Hotel & Resort REITs (0.1%): | ||||||
| 78,553 | Park Hotels & Resorts, Inc. | 1,007,050 | ||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (3.5%): | ||||||
| 94,939 | Aramark | 4,087,124 | ||||
| 27,971 | Boyd Gaming Corp. | 1,940,348 | ||||
| 9,660 | Choice Hotels International, Inc. | 1,135,243 | ||||
| 24,001 | Churchill Downs, Inc. | 3,340,219 | ||||
| 28,003 | Hilton Grand Vacations, Inc.* | 1,272,456 | ||||
| 33,194 | Light & Wonder, Inc., Class A* | 2,282,419 | ||||
| 13,409 | Marriott Vacations Worldwide Corp. | 1,645,553 | ||||
| 10,826 | Papa John’s International, Inc. | 799,284 | ||||
| 56,144 | Penn Entertainment, Inc.* | 1,349,140 | ||||
| 30,950 | Planet Fitness, Inc., Class A* | 2,087,268 | ||||
| 24,408 | Texas Roadhouse, Inc. | 2,740,530 | ||||
| 27,797 | Travel + Leisure Co. | 1,121,331 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Hotels, Restaurants & Leisure, continued | ||||||
| 61,417 | Wendy’s Co. (The) | $ | 1,335,820 | |||
| 10,918 | Wingstop, Inc. | 2,185,347 | ||||
| 31,280 | Wyndham Hotels & Resorts, Inc. | 2,144,870 | ||||
|
|
|
| ||||
| 29,466,952 | ||||||
|
|
|
| ||||
| Household Durables (1.7%): | ||||||
| 8,757 | Helen of Troy, Ltd.* | 945,931 | ||||
| 29,244 | KB Home | 1,512,207 | ||||
| 48,492 | Leggett & Platt, Inc. | 1,436,333 | ||||
| 40,283 | Taylor Morrison Home Corp., Class A* | 1,964,602 | ||||
| 62,685 | Tempur Sealy International, Inc. | 2,511,788 | ||||
| 37,516 | Toll Brothers, Inc. | 2,966,390 | ||||
| 11,566 | TopBuild Corp.* | 3,076,788 | ||||
|
|
|
| ||||
| 14,414,039 | ||||||
|
|
|
| ||||
| Household Products (0.1%): | ||||||
| 24,216 | Energizer Holdings, Inc. | 813,173 | ||||
|
|
|
| ||||
| Independent Power and Renewable Electricity Producers (0.2%): | ||||||
| 19,141 | Ormat Technologies, Inc. | 1,540,085 | ||||
|
|
|
| ||||
| Industrial REITs (1.4%): | ||||||
| 16,290 | EastGroup Properties, Inc. | 2,827,944 | ||||
| 48,176 | First Industrial Realty Trust, Inc. | 2,535,985 | ||||
| 73,206 | Rexford Industrial Realty, Inc. | 3,822,817 | ||||
| 65,347 | STAG Industrial, Inc. | 2,344,650 | ||||
|
|
|
| ||||
| 11,531,396 | ||||||
|
|
|
| ||||
| Insurance (3.8%): | ||||||
| 25,445 | American Financial Group, Inc. | 3,021,594 | ||||
| 24,357 | Brighthouse Financial, Inc.* | 1,153,304 | ||||
| 41,732 | CNO Financial Group, Inc. | 987,796 | ||||
| 37,601 | First American Financial Corp. | 2,144,009 | ||||
| 13,015 | Hanover Insurance Group, Inc. (The) | 1,471,085 | ||||
| 23,312 | Kemper Corp. | 1,125,037 | ||||
| 7,929 | Kinsale Capital Group, Inc. | 2,967,032 | ||||
| 99,189 | Old Republic International Corp. | 2,496,587 | ||||
| 13,197 | Primerica, Inc. | 2,609,839 | ||||
| 24,241 | Reinsurance Group of America, Inc. | 3,361,984 | ||||
| 18,299 | RenaissanceRe Holdings, Ltd. | 3,413,130 | ||||
| 14,770 | RLI Corp. | 2,015,662 | ||||
| 22,037 | Selective Insurance Group, Inc. | 2,114,450 | ||||
| 67,484 | Unum Group | 3,218,987 | ||||
|
|
|
| ||||
| 32,100,496 | ||||||
|
|
|
| ||||
| Interactive Media & Services (0.5%): | ||||||
| 39,593 | TripAdvisor, Inc.* | 652,889 | ||||
| 17,225 | Ziff Davis, Inc.* | 1,206,783 | ||||
| 98,200 | ZoomInfo Technologies, Inc.* | 2,493,298 | ||||
|
|
|
| ||||
| 4,352,970 | ||||||
|
|
|
| ||||
| IT Services (0.1%): | ||||||
| 74,591 | Kyndryl Holdings, Inc.* | 990,569 | ||||
|
|
|
| ||||
| Leisure Products (1.1%): | ||||||
| 25,761 | Brunswick Corp. | 2,231,933 | ||||
| 128,946 | Mattel, Inc.* | 2,519,605 | ||||
| 19,487 | Polaris, Inc. | 2,356,563 | ||||
| 51,327 | Topgolf Callaway Brands Corp.* | 1,018,841 | ||||
| 31,566 | YETI Holdings, Inc.* | 1,226,023 | ||||
|
|
|
| ||||
| 9,352,965 | ||||||
|
|
|
| ||||
| Life Sciences Tools & Services (1.3%): | ||||||
| 23,740 | Azenta, Inc.* | 1,108,183 | ||||
See accompanying notes to the financial statements.
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Life Sciences Tools & Services, continued | ||||||
| 36,348 | Bruker Corp. | $ | 2,686,844 | |||
| 9,000 | Medpace Holdings, Inc.* | 2,161,530 | ||||
| 18,864 | Repligen Corp.* | 2,668,501 | ||||
| 35,689 | Sotera Health Co.* | 672,381 | ||||
| 37,763 | Syneos Health, Inc.* | 1,591,333 | ||||
|
|
|
| ||||
| 10,888,772 | ||||||
|
|
|
| ||||
| Machinery (4.8%): | ||||||
| 22,636 | AGCO Corp. | 2,974,823 | ||||
| 15,288 | Chart Industries, Inc.* | 2,442,869 | ||||
| 17,521 | Crane Co. | 1,561,472 | ||||
| 17,831 | Crane NXT Co. | 1,006,382 | ||||
| 44,181 | Donaldson Co., Inc. | 2,761,754 | ||||
| 18,867 | Esab Corp. | 1,255,410 | ||||
| 47,777 | Flowserve Corp. | 1,774,916 | ||||
| 61,326 | Graco, Inc. | 5,295,500 | ||||
| 30,018 | ITT, Inc. | 2,797,978 | ||||
| 20,974 | Lincoln Electric Holdings, Inc. | 4,166,066 | ||||
| 19,495 | Middleby Corp. (The)* | 2,881,946 | ||||
| 23,794 | Oshkosh Corp. | 2,060,322 | ||||
| 24,699 | Terex Corp. | 1,477,741 | ||||
| 24,000 | Timken Co. (The) | 2,196,720 | ||||
| 37,991 | Toro Co. (The) | 3,861,785 | ||||
| 9,985 | Watts Water Technologies, Inc., Class A | 1,834,544 | ||||
|
|
|
| ||||
| 40,350,228 | ||||||
|
|
|
| ||||
| Marine Transportation (0.2%): | ||||||
| 21,858 | Kirby Corp.* | 1,681,973 | ||||
|
|
|
| ||||
| Media (0.8%): | ||||||
| 1,718 | Cable One, Inc. | 1,128,863 | ||||
| 59,691 | New York Times Co. (The), Class A | 2,350,632 | ||||
| 13,063 | Nexstar Media Group, Inc. | 2,175,643 | ||||
| 81,977 | TEGNA, Inc. | 1,331,306 | ||||
|
|
|
| ||||
| 6,986,444 | ||||||
|
|
|
| ||||
| Metals & Mining (2.4%): | ||||||
| 64,991 | Alcoa Corp. | 2,205,145 | ||||
| 187,642 | Cleveland-Cliffs, Inc.* | 3,144,880 | ||||
| 42,665 | Commercial Metals Co. | 2,246,739 | ||||
| 33,648 | MP Materials Corp.* | 769,866 | ||||
| 21,418 | Reliance Steel & Aluminum Co. | 5,816,914 | ||||
| 23,926 | Royal Gold, Inc. | 2,746,226 | ||||
| 82,497 | United States Steel Corp. | 2,063,250 | ||||
| 11,057 | Worthington Industries, Inc. | 768,130 | ||||
|
|
|
| ||||
| 19,761,150 | ||||||
|
|
|
| ||||
| Mortgage Real Estate Investment Trusts (REITs) (0.7%): | ||||||
| 179,919 | Annaly Capital Management, Inc. | 3,600,179 | ||||
| 113,694 | Starwood Property Trust, Inc.^ | 2,205,664 | ||||
|
|
|
| ||||
| 5,805,843 | ||||||
|
|
|
| ||||
| Multi-Utilities (0.3%): | ||||||
| 24,208 | Black Hills Corp. | 1,458,774 | ||||
| 21,832 | NorthWestern Corp. | 1,239,184 | ||||
|
|
|
| ||||
| 2,697,958 | ||||||
|
|
|
| ||||
| Office REITs (0.6%): | ||||||
| 40,989 | Corporate Office Properties Trust | 973,489 | ||||
| 55,262 | Cousins Properties, Inc. | 1,259,974 | ||||
| 38,418 | Highwoods Properties, Inc. | 918,574 | ||||
| 38,400 | Kilroy Realty Corp. | 1,155,456 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Office REITs, continued | ||||||
| 58,717 | Vornado Realty Trust | $ | 1,065,126 | |||
|
|
|
| ||||
| 5,372,619 | ||||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (3.5%): | ||||||
| 122,316 | Antero Midstream Corp. | 1,418,866 | ||||
| 100,591 | Antero Resources Corp.* | 2,316,611 | ||||
| 15,137 | Chord Energy Corp. | 2,328,071 | ||||
| 60,319 | CNX Resources Corp.* | 1,068,853 | ||||
| 35,297 | DT Midstream, Inc. | 1,749,672 | ||||
| 157,807 | Equitrans Midstream Corp. | 1,508,635 | ||||
| 46,938 | HF Sinclair Corp. | 2,093,904 | ||||
| 41,247 | Matador Resources Co. | 2,158,043 | ||||
| 53,454 | Murphy Oil Corp. | 2,047,288 | ||||
| 89,079 | Ovintiv, Inc. | 3,391,237 | ||||
| 39,965 | PBF Energy, Inc., Class A | 1,636,167 | ||||
| 31,860 | PDC Energy, Inc. | 2,266,520 | ||||
| 87,900 | Range Resources Corp. | 2,584,260 | ||||
| 401,189 | Southwestern Energy Co.* | 2,411,146 | ||||
|
|
|
| ||||
| 28,979,273 | ||||||
|
|
|
| ||||
| Paper & Forest Products (0.2%): | ||||||
| 26,667 | Louisiana-Pacific Corp. | 1,999,492 | ||||
|
|
|
| ||||
| Passenger Airlines (0.1%): | ||||||
| 119,250 | JetBlue Airways Corp.* | 1,056,555 | ||||
|
|
|
| ||||
| Personal Care Products (0.4%): | ||||||
| 48,380 | BellRing Brands, Inc.* | 1,770,708 | ||||
| 133,589 | Coty, Inc., Class A* | 1,641,809 | ||||
|
|
|
| ||||
| 3,412,517 | ||||||
|
|
|
| ||||
| Pharmaceuticals (0.6%): | ||||||
| 23,539 | Jazz Pharmaceuticals plc* | 2,918,130 | ||||
| 49,299 | Perrigo Co. plc | 1,673,701 | ||||
|
|
|
| ||||
| 4,591,831 | ||||||
|
|
|
| ||||
| Professional Services (3.2%): | ||||||
| 17,960 | ASGN, Inc.* | 1,358,315 | ||||
| 8,303 | CACI International, Inc., Class A* | 2,829,994 | ||||
| 15,552 | Concentrix Corp. | 1,255,824 | ||||
| 12,112 | ExlService Holdings, Inc.* | 1,829,639 | ||||
| 18,519 | Exponent, Inc. | 1,728,193 | ||||
| 12,379 | FTI Consulting, Inc.* | 2,354,486 | ||||
| 61,719 | Genpact, Ltd. | 2,318,783 | ||||
| 13,275 | Insperity, Inc. | 1,579,194 | ||||
| 49,443 | KBR, Inc. | 3,216,761 | ||||
| 18,370 | ManpowerGroup, Inc. | 1,458,578 | ||||
| 22,143 | Maximus, Inc. | 1,871,305 | ||||
| 15,047 | Paylocity Holding Corp.* | 2,776,623 | ||||
| 19,669 | Science Applications International Corp. | 2,212,369 | ||||
|
|
|
| ||||
| 26,790,064 | ||||||
|
|
|
| ||||
| Real Estate Management & Development (0.3%): | ||||||
| 17,401 | Jones Lang LaSalle, Inc.* | 2,711,076 | ||||
|
|
|
| ||||
| Residential REITs (0.4%): | ||||||
| 54,354 | Apartment Income REIT Corp. | 1,961,636 | ||||
| 81,717 | Independence Realty Trust, Inc. | 1,488,884 | ||||
|
|
|
| ||||
| 3,450,520 | ||||||
|
|
|
| ||||
| Retail REITs (1.4%): | ||||||
| 33,952 | Agree Realty Corp. | 2,220,121 | ||||
| 109,489 | Brixmor Property Group, Inc. | 2,408,758 | ||||
| 79,900 | Kite Realty Group Trust | 1,784,966 | ||||
| 66,334 | NNN REIT, Inc. | 2,838,432 | ||||
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Retail REITs, continued | ||||||
| 51,474 | Spirit Realty Capital, Inc. | $ | 2,027,046 | |||
|
|
|
| ||||
| 11,279,323 | ||||||
|
|
|
| ||||
| Semiconductors & Semiconductor Equipment (2.6%): | ||||||
| 23,751 | Allegro MicroSystems, Inc.* | 1,072,120 | ||||
| 36,689 | Amkor Technology, Inc. | 1,091,498 | ||||
| 20,130 | Cirrus Logic, Inc.* | 1,630,731 | ||||
| 50,145 | Lattice Semiconductor Corp.* | 4,817,430 | ||||
| 18,851 | MACOM Technology Solutions Holdings, Inc.* | 1,235,306 | ||||
| 20,918 | MKS Instruments, Inc. | 2,261,236 | ||||
| 20,893 | Power Integrations, Inc. | 1,977,940 | ||||
| 11,656 | Silicon Laboratories, Inc.* | 1,838,618 | ||||
| 14,398 | Synaptics, Inc.* | 1,229,301 | ||||
| 15,864 | Universal Display Corp. | 2,286,479 | ||||
| 45,346 | Wolfspeed, Inc.* | 2,520,784 | ||||
|
|
|
| ||||
| 21,961,443 | ||||||
|
|
|
| ||||
| Software (2.7%): | ||||||
| 39,461 | ACI Worldwide, Inc.* | 914,311 | ||||
| 10,634 | Aspen Technology, Inc.* | 1,782,365 | ||||
| 16,483 | Blackbaud, Inc.* | 1,173,260 | ||||
| 16,020 | CommVault Systems, Inc.* | 1,163,373 | ||||
| 99,075 | Dropbox, Inc., Class A* | 2,642,330 | ||||
| 78,976 | Dynatrace, Inc.* | 4,064,895 | ||||
| 18,400 | Envestnet, Inc.* | 1,092,040 | ||||
| 22,596 | Manhattan Associates, Inc.* | 4,516,489 | ||||
| 51,917 | NCR Corp.* | 1,308,308 | ||||
| 12,231 | Qualys, Inc.* | 1,579,878 | ||||
| 36,830 | Teradata Corp.* | 1,967,090 | ||||
|
|
|
| ||||
| 22,204,339 | ||||||
|
|
|
| ||||
| Specialized REITs (2.0%): | ||||||
| 81,849 | CubeSmart | 3,655,376 | ||||
| 27,741 | EPR Properties | 1,298,279 | ||||
| 31,871 | Lamar Advertising Co., Class A | 3,163,197 | ||||
| 30,998 | Life Storage, Inc. | 4,121,494 | ||||
| 29,917 | National Storage Affiliates Trust | 1,042,009 | ||||
| 29,113 | PotlatchDeltic Corp. | 1,538,622 | ||||
| 53,996 | Rayonier, Inc. | 1,695,475 | ||||
|
|
|
| ||||
| 16,514,452 | ||||||
|
|
|
| ||||
| Specialty Retail (3.0%): | ||||||
| 11,464 | AutoNation, Inc.* | 1,887,089 | ||||
| 22,370 | Dick’s Sporting Goods, Inc. | 2,957,090 | ||||
| 20,278 | Five Below, Inc.* | 3,985,438 | ||||
| 28,931 | Foot Locker, Inc. | 784,319 | ||||
| 92,136 | GameStop Corp., Class A*^ | 2,234,298 | ||||
| 79,706 | Gap, Inc. (The) | 711,775 | ||||
| 10,028 | Lithia Motors, Inc. | 3,049,615 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Specialty Retail, continued | ||||||
| 7,301 | Murphy U.S.A., Inc. | $ | 2,271,414 | |||
| 6,505 | RH* | 2,143,983 | ||||
| 50,580 | Valvoline, Inc. | 1,897,256 | ||||
| 23,921 | Williams-Sonoma, Inc. | 2,993,474 | ||||
|
|
|
| ||||
| 24,915,751 | ||||||
|
|
|
| ||||
| Technology Hardware, Storage & Peripherals (0.6%): | ||||||
| 16,635 | Super Micro Computer, Inc.* | 4,146,274 | ||||
| 42,332 | Xerox Holdings Corp. | 630,323 | ||||
|
|
|
| ||||
| 4,776,597 | ||||||
|
|
|
| ||||
| Textiles, Apparel & Luxury Goods (2.0%): | ||||||
| 45,796 | Capri Holdings, Ltd.* | 1,643,618 | ||||
| 13,730 | Carter’s, Inc. | 996,798 | ||||
| 13,106 | Columbia Sportswear Co. | 1,012,308 | ||||
| 22,596 | Crocs, Inc.* | 2,540,694 | ||||
| 9,603 | Deckers Outdoor Corp.* | 5,067,119 | ||||
| 22,873 | PVH Corp. | 1,943,519 | ||||
| 48,915 | Skechers U.S.A., Inc., Class A* | 2,575,864 | ||||
| 68,133 | Under Armour, Inc., Class A* | 491,920 | ||||
| 70,868 | Under Armour, Inc., Class C* | 475,524 | ||||
|
|
|
| ||||
| 16,747,364 | ||||||
|
|
|
| ||||
| Trading Companies & Distributors (1.6%): | ||||||
| 13,075 | GATX Corp. | 1,683,276 | ||||
| 17,216 | MSC Industrial Direct Co., Inc. | 1,640,340 | ||||
| 57,466 | Univar Solutions, Inc.* | 2,059,581 | ||||
| 12,176 | Watsco, Inc. | 4,644,779 | ||||
| 16,437 | WESCO International, Inc. | 2,943,209 | ||||
|
|
|
| ||||
| 12,971,185 | ||||||
|
|
|
| ||||
| Water Utilities (0.4%): | ||||||
| 87,645 | Essential Utilities, Inc. | 3,497,912 | ||||
|
|
|
| ||||
| Total Common Stocks (Cost $587,278,251) | 829,989,749 | |||||
|
|
|
| ||||
| Short-Term Security Held as Collateral for Securities on Loan (0.5%): | ||||||
| 4,224,566 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(a)(b) | 4,224,566 | ||||
|
|
|
| ||||
| Total Short-Term Security Held as Collateral for Securities on Loan (Cost $4,224,566) |
4,224,566 | |||||
|
|
|
| ||||
| Unaffiliated Investment Company (0.5%): | ||||||
| Money Markets (0.5%): | ||||||
| 4,277,910 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(b) | 4,277,910 | ||||
|
|
|
| ||||
| Total Unaffiliated Investment Company (Cost $4,277,910) |
4,277,910 | |||||
|
|
|
| ||||
| Total Investment Securities (Cost $595,780,727) — 100.4% |
838,492,225 | |||||
| Net other assets (liabilities) — (0.4)% | (3,691,982) | |||||
|
|
|
| ||||
| Net Assets — 100.0% | $ | 834,800,243 | ||||
|
|
|
| ||||
Percentages indicated are based on net assets as of June 30, 2023.
| REIT - | Real Estate Investment Trust |
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $4,101,010. |
| (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 June 30, 2023. |
| (b) | The rate represents the effective yield at June 30, 2023. |
See accompanying notes to the financial statements.
8
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
Futures Contracts
At June 30, 2023, 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 September Futures (U.S. Dollar) |
9/15/23 | 20 | $ | 5,288,200 | $ | 137,718 | ||||||||||
|
|
|
|||||||||||||||
| $ | 137,718 | |||||||||||||||
|
|
|
|||||||||||||||
See accompanying notes to the financial statements.
9
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 595,780,727 | |||
|
|
|
| |||
| Investment securities, at value(a) |
$ | 838,492,225 | |||
| Deposit at broker for futures contracts collateral |
291,000 | ||||
| Interest and dividends receivable |
968,361 | ||||
| Receivable for investments sold |
15,000 | ||||
| Receivable for variation margin on futures contracts |
34,418 | ||||
| Prepaid expenses |
1,533 | ||||
|
|
|
| |||
| Total Assets |
839,802,537 | ||||
|
|
|
| |||
| Liabilities: |
|||||
| Payable for capital shares redeemed |
409,930 | ||||
| Payable for collateral received on loaned securities |
4,224,566 | ||||
| Management fees payable |
166,846 | ||||
| Administration fees payable |
16,355 | ||||
| Distribution fees payable |
157,709 | ||||
| Custodian fees payable |
3,163 | ||||
| Administrative and compliance services fees payable |
755 | ||||
| Transfer agent fees payable |
736 | ||||
| Trustee fees payable |
3,600 | ||||
| Other accrued liabilities |
18,634 | ||||
|
|
|
| |||
| Total Liabilities |
5,002,294 | ||||
|
|
|
| |||
| Commitments and contingent liabilities^ |
|||||
|
|
|
| |||
| Net Assets |
$ | 834,800,243 | |||
|
|
|
| |||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 545,133,626 | |||
| Total distributable earnings |
289,666,617 | ||||
|
|
|
| |||
| Net Assets |
$ | 834,800,243 | |||
|
|
|
| |||
| Class 1 |
|||||
| Net Assets |
$ | 45,718,647 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
18,037,158 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 2.53 | |||
|
|
|
| |||
| Class 2 |
|||||
| Net Assets |
$ | 789,081,596 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
37,874,563 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 20.83 | |||
|
|
|
| |||
| (a) | Includes securities on loan of $4,101,010. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends |
$ | 7,236,849 | |||
| Interest |
6,445 | ||||
| Income from securities lending |
77,500 | ||||
|
|
|
| |||
| Total Investment Income |
7,320,794 | ||||
|
|
|
| |||
| Expenses: |
|||||
| Management fees |
1,024,663 | ||||
| Administration fees |
102,283 | ||||
| Distribution fees - Class 2 |
968,433 | ||||
| Custodian fees |
13,660 | ||||
| Administrative and compliance services fees |
3,757 | ||||
| Transfer agent fees |
4,745 | ||||
| Trustee fees |
15,582 | ||||
| Professional fees |
12,483 | ||||
| Licensing fees |
57,038 | ||||
| Shareholder reports |
8,601 | ||||
| Other expenses |
7,894 | ||||
|
|
|
| |||
| Total expenses |
2,219,139 | ||||
|
|
|
| |||
| Net Investment Income/(Loss) |
5,101,655 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments: |
| ||||
| Net realized gains/(losses) on securities |
6,736,832 | ||||
| Net realized gains/(losses) on futures contracts |
(33,230 | ) | |||
| Change in net unrealized appreciation/depreciation on securities |
60,517,347 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
159,483 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments |
67,380,432 | ||||
|
|
|
| |||
| Change in Net Assets Resulting From Operations |
$ | 72,482,087 | |||
|
|
|
| |||
See accompanying notes to the financial statements.
10
AZL Mid Cap Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 5,101,655 | $ | 8,458,043 | ||||||
| Net realized gains/(losses) on investments |
6,703,602 | 39,303,616 | ||||||||
| Change in unrealized appreciation/depreciation on investments |
60,676,830 | (201,344,448) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
72,482,087 | (153,582,789) | ||||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Class 1 |
— | (30,765,163) | ||||||||
| Class 2 |
— | (173,154,510) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
— | (203,919,673) | ||||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Class 1 |
||||||||||
| Proceeds from shares issued |
— | 99,647 | ||||||||
| Proceeds from dividends reinvested |
— | 30,765,163 | ||||||||
| Value of shares redeemed |
(2,781,812) | (5,812,935) | ||||||||
|
|
|
|
|
|||||||
| Total Class 1 Shares |
(2,781,812) | 25,051,875 | ||||||||
|
|
|
|
|
|||||||
| Class 2 |
||||||||||
| Proceeds from shares issued |
34,373,411 | 1,689,684 | ||||||||
| Proceeds from dividends reinvested |
— | 173,154,510 | ||||||||
| Value of shares redeemed |
(110,456,378) | (166,491,923) | ||||||||
|
|
|
|
|
|||||||
| Total Class 2 Shares |
(76,082,967) | 8,352,271 | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
(78,864,779) | 33,404,146 | ||||||||
|
|
|
|
|
|||||||
| Change in net assets |
(6,382,692) | (324,098,316) | ||||||||
| Net Assets: |
||||||||||
| Beginning of period |
841,182,935 | 1,165,281,251 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 834,800,243 | $ | 841,182,935 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Class 1 |
||||||||||
| Shares issued |
— | 12,192 | ||||||||
| Dividends reinvested |
— | 13,734,448 | ||||||||
| Shares redeemed |
(1,156,263) | (1,115,941) | ||||||||
|
|
|
|
|
|||||||
| Total Class 1 Shares |
(1,156,263) | 12,630,699 | ||||||||
|
|
|
|
|
|||||||
| Class 2 |
||||||||||
| Shares issued |
1,799,183 | 77,998 | ||||||||
| Dividends reinvested |
— | 9,390,158 | ||||||||
| Shares redeemed |
(5,464,981) | (7,115,501) | ||||||||
|
|
|
|
|
|||||||
| Total Class 2 Shares |
(3,665,798) | 2,352,655 | ||||||||
|
|
|
|
|
|||||||
| Change in shares |
(4,822,061) | 14,983,354 | ||||||||
|
|
|
|
|
|||||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
11
AZL Mid Cap Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 2.33 | $ | 8.85 | $ | 8.40 | $ | 8.28 | $ | 8.16 | $ | 11.25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.02 | (a) | 0.06 | (a) | 0.09 | (a) | 0.09 | (a) | 0.12 | (a) | 0.15 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.18 | (1.45 | ) | 1.83 | 0.97 | 1.79 | (1.13 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.20 | (1.39 | ) | 1.92 | 1.06 | 1.91 | (0.98 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.26 | ) | (0.26 | ) | (0.31 | ) | (0.30 | ) | (0.28 | ) | |||||||||||||
| Net Realized Gains |
— | (4.87 | ) | (1.21 | ) | (0.63 | ) | (1.49 | ) | (1.83 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (5.13 | ) | (1.47 | ) | (0.94 | ) | (1.79 | ) | (2.11 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 2.53 | $ | 2.33 | $ | 8.85 | $ | 8.40 | $ | 8.28 | $ | 8.16 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
8.58 | %(c) | (13.34 | )% | 24.03 | %(c) | 14.82 | % | 25.47 | % | (11.01 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 45,719 | $ | 44,716 | $ | 58,070 | $ | 51,879 | $ | 50,096 | $ | 44,788 | ||||||||||||
| Net Investment Income/(Loss)(d) |
1.48 | % | 1.14 | % | 1.01 | % | 1.21 | % | 1.31 | % | 1.32 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.31 | % | 0.31 | % | 0.32 | % | 0.33 | % | 0.32 | % | 0.31 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.31 | % | 0.31 | % | 0.32 | % | 0.33 | % | 0.32 | % | 0.31 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
13 | % | 11 | % | 30 | % | 22 | % | 14 | % | 18 | % | ||||||||||||
| Class 2 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 19.17 | $ | 28.25 | $ | 24.06 | $ | 21.91 | $ | 19.00 | $ | 23.45 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.12 | (a) | 0.21 | (a) | 0.21 | (a) | 0.19 | (a) | 0.23 | (a) | 0.25 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
1.54 | (4.24 | ) | 5.39 | 2.84 | 4.41 | (2.65 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
1.66 | (4.03 | ) | 5.60 | 3.03 | 4.64 | (2.40 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.18 | ) | (0.20 | ) | (0.25 | ) | (0.24 | ) | (0.22 | ) | |||||||||||||
| Net Realized Gains |
— | (4.87 | ) | (1.21 | ) | (0.63 | ) | (1.49 | ) | (1.83 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (5.05 | ) | (1.41 | ) | (0.88 | ) | (1.73 | ) | (2.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 20.83 | $ | 19.17 | $ | 28.25 | $ | 24.06 | $ | 21.91 | $ | 19.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
8.66 | %(c) | (13.55 | )% | 23.66 | % | 14.53 | % | 25.28 | % | (11.35 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 789,082 | $ | 796,467 | $ | 1,107,212 | $ | 1,052,145 | $ | 1,150,058 | $ | 1,020,140 | ||||||||||||
| Net Investment Income/(Loss)(d) |
1.23 | % | 0.88 | % | 0.76 | % | 0.96 | % | 1.06 | % | 1.08 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.55 | % | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.55 | % | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
13 | % | 11 | % | 30 | % | 22 | % | 14 | % | 18 | % | ||||||||||||
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $7,608 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,224,566 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $5.9 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
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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* | $137,718 | 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 period ended June 30, 2023:
| 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 | $(33,230) | $159,483 | |||||||
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, 2024.
For the period ended June 30, 2023, 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 | % | ||||||
| * | The annual rate due to the Subadviser from the Manager is 0.015%. |
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, 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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
15
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks+ |
$829,989,749 | $— | $— | $829,989,749 | ||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
4,224,566 | — | — | 4,224,566 | ||||||||||||
| Unaffiliated Investment Company |
4,277,910 | — | — | 4,277,910 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investment Securities |
838,492,225 | — | — | 838,492,225 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments:* |
||||||||||||||||
| Futures Contracts |
137,718 | — | — | 137,718 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$838,629,943 | $— | $— | $838,629,943 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| + | 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 recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$ | 92,089,774 | $ | 161,060,688 | ||||||
16
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $672,331,702. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$228,556,803 | |||
| Unrealized (depreciation) |
(58,473,551) | |||
|
|
|
|||
| Net unrealized appreciation/(depreciation) |
$170,083,252 | |||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term |
Total Distributions(a) | |||||||||||||
| AZL Mid Cap Index Fund |
$30,037,653 | $173,882,020 | $203,919,673 | ||||||||||||
| (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, 2022, 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 |
$9,881,740 | $37,219,538 | $— | $170,083,252 | $217,184,530 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 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 this shareholder could have a material impact to the Fund.
17
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
18
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
19
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting
Period, and none were recommended by the Program Administrators in connection with the Report.
20
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Moderate Index Strategy Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3
Schedule of Portfolio Investments Page 4
Statement of Assets and Liabilities Page 5
Page 5
Statements of Changes in Net Assets Page 6
Page 7
Notes to the Financial Statements Page 8
Page 13
Statement Regarding the Trust’s Liquidity Risk Management Program Page 14 |
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
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Moderate Index Strategy Fund |
$1,000.00 | $1,086.80 | $0.41 | 0.08% | ||||||||||||||||
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
| Beginning Account Value 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Moderate Index Strategy Fund |
$1,000.00 | $1,024.40 | $0.40 | 0.08% | ||||||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
45.9 | % | ||
| Fixed Income Fund |
39.1 | |||
| International Equity Fund |
15.1 | |||
| Total Investment Securities |
100.1 | |||
| Net other assets (liabilities) |
(0.1 | ) | ||
| Net Assets |
100.0 | % | ||
3
AZL Moderate Index Strategy Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Affiliated Investment Companies (100.1%): |
| |||||
| Domestic Equity Funds (45.9%): |
| |||||
| 6,395,662 | AZL Mid Cap Index Fund, Class 2 | $ | 133,221,639 | |||
| 23,655,587 | AZL S&P 500 Index Fund, Class 2 | 467,197,850 | ||||
| 5,355,163 | AZL Small Cap Stock Index Fund, Class 2 | 64,743,919 | ||||
|
|
|
|||||
| 665,163,408 | ||||||
|
|
|
|||||
| Fixed Income Fund (39.1%): |
| |||||
| 58,697,732 | AZL Enhanced Bond Index Fund | 567,607,068 | ||||
Percentages indicated are based on net assets as of June 30, 2023.
| Shares | Value | |||||
| Affiliated Investment Companies, continued | ||||||
| International Equity Fund (15.1%): |
| |||||
| 12,840,286 | AZL International Index Fund, Class 2 | $ | 218,670,070 | |||
|
|
|
|||||
| Total Affiliated Investment Companies (Cost $1,594,256,161) |
1,451,440,546 | |||||
|
|
|
|||||
| Total Investment Securities (Cost $1,594,256,161) — 100.1% |
1,451,440,546 | |||||
| Net other assets (liabilities) — (0.1)% | (964,747) | |||||
|
|
|
|||||
| Net Assets — 100.0% | $ | 1,450,475,799 | ||||
|
|
|
|||||
See accompanying notes to the financial statements.
4
AZL Moderate Index Strategy Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investments in affiliates, at cost |
$ | 1,594,256,161 | |||
|
|
|
||||
| Investments in affiliates, at value |
$ | 1,451,440,546 | |||
| Interest and dividends receivable |
37 | ||||
| Foreign currency, at value (cost $105,369) |
108,608 | ||||
| Receivable for investments sold |
449,020 | ||||
| Prepaid expenses |
6,189 | ||||
|
|
|
||||
| Total Assets |
1,452,004,400 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Cash overdraft |
449,020 | ||||
| Payable for capital shares redeemed |
932,056 | ||||
| Management fees payable |
59,179 | ||||
| Administration fees payable |
15,382 | ||||
| Custodian fees payable |
8,114 | ||||
| Administrative and compliance services fees payable |
2,740 | ||||
| Transfer agent fees payable |
1,228 | ||||
| Trustee fees payable |
18,101 | ||||
| Other accrued liabilities |
42,781 | ||||
|
|
|
||||
| Total Liabilities |
1,528,601 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 1,450,475,799 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 1,496,605,508 | |||
| Total distributable earnings |
(46,129,709) | ||||
|
|
|
||||
| Net Assets |
$ | 1,450,475,799 | |||
|
|
|
||||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
111,361,114 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 13.02 | |||
|
|
|
||||
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends from non-affiliates |
$ | 107 | |||
|
|
|
||||
| Total Investment Income |
107 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
1,437,270 | ||||
| Administration fees |
51,088 | ||||
| Custodian fees |
19,895 | ||||
| Administrative and compliance services fees |
11,702 | ||||
| Transfer agent fees |
4,491 | ||||
| Trustee fees |
43,101 | ||||
| Professional fees |
35,295 | ||||
| Shareholder reports |
20,633 | ||||
| Other expenses |
24,571 | ||||
|
|
|
||||
| Total expenses before reductions |
1,648,046 | ||||
| Less Management fees contractually waived |
(1,077,946) | ||||
|
|
|
||||
| Net expenses |
570,100 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
(569,993) | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
173 | ||||
| Net realized gains/(losses) on affiliated underlying funds |
(24,662,817) | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
2,921 | ||||
| Change in net unrealized appreciation/depreciation on affiliated underlying funds |
146,612,736 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
121,953,013 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 121,383,020 | |||
|
|
|
||||
See accompanying notes to the financial statements.
5
AZL Moderate Index Strategy Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 |
|||||||
| (Unaudited) | ||||||||
| Change In Net Assets: |
||||||||
| Operations: |
||||||||
| Net investment income/(loss) |
$ | (569,993) | $ | 21,467,794 | ||||
| Net realized gains/(losses) on investments |
(24,662,644) | 101,072,356 | ||||||
| Change in unrealized appreciation/depreciation on investments |
146,615,657 | (409,829,174) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
121,383,020 | (287,289,024) | ||||||
|
|
|
|
|
|||||
| Distributions to Shareholders: |
||||||||
| Distributions |
— | (134,314,453) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from distributions to shareholders |
— | (134,314,453) | ||||||
|
|
|
|
|
|||||
| Capital Transactions: |
||||||||
| Proceeds from shares issued |
1,204,925 | 1,308,760 | ||||||
| Proceeds from dividends reinvested |
— | 134,314,453 | ||||||
| Value of shares redeemed |
(105,335,852) | (208,394,291) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from capital transactions |
(104,130,927) | (72,771,078) | ||||||
|
|
|
|
|
|||||
| Change in net assets |
17,252,093 | (494,374,555) | ||||||
| Net Assets: |
||||||||
| Beginning of period |
1,433,223,706 | 1,927,598,261 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 1,450,475,799 | $ | 1,433,223,706 | ||||
|
|
|
|
|
|||||
| Share Transactions: |
||||||||
| Shares issued |
95,454 | 108,134 | ||||||
| Dividends reinvested |
— | 11,598,830 | ||||||
| Shares redeemed |
(8,385,606) | (15,415,962) | ||||||
|
|
|
|
|
|||||
| Change in shares |
(8,290,152) | (3,708,998) | ||||||
|
|
|
|
|
|||||
| Amounts shown as “—” are either $0 or round to less than $1. |
||||||||
See accompanying notes to the financial statements.
6
AZL Moderate Index Strategy Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$11.98 | $15.63 | $14.20 | $13.32 | $11.98 | $13.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
— | (a)(b) | 0.18 | (a) | 0.20 | (a) | 0.26 | (a) | 0.23 | (a) | 0.26 | |||||||||||||
| Net Realized and Unrealized Gains/ |
||||||||||||||||||||||||
| (Losses) on Investments |
1.04 | (2.63 | ) | 1.50 | 1.39 | 2.03 | (0.92 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
1.04 | (2.45 | ) | 1.70 | 1.65 | 2.26 | (0.66 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.31 | ) | (0.09 | ) | (0.27 | ) | (0.32 | ) | (0.13 | ) | |||||||||||||
| Net Realized Gains |
— | (0.89 | ) | (0.18 | ) | (0.50 | ) | (0.60 | ) | (0.53 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (1.20 | ) | (0.27 | ) | (0.77 | ) | (0.92 | ) | (0.66 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$13.02 | $11.98 | $15.63 | $14.20 | $13.32 | $11.98 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(c) |
8.68 | %(d) | (15.37 | )% | 12.06 | % | 12.84 | % | 19.33 | % | (5.17 | )% | ||||||||||||
| Ratios to Average Net Assets/ Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$1,450,476 | $1,433,224 | $1,927,598 | $611,279 | $611,984 | $590,092 | ||||||||||||||||||
| Net Investment Income/(Loss)(e) |
(0.08 | )% | 1.35 | % | 1.30 | % | 1.95 | % | 1.78 | % | 1.75 | % | ||||||||||||
| Expenses Before Reductions*(e)(f) |
0.23 | % | 0.22 | % | 0.26 | % | 0.43 | % | 0.43 | % | 0.42 | % | ||||||||||||
| Expenses Net of Reductions*(e) |
0.08 | % | 0.07 | % | 0.07 | % | 0.08 | % | 0.08 | % | 0.07 | % | ||||||||||||
| Portfolio Turnover Rate |
— | (d)(g) | 8 | % | 14 | % | 15 | % | 5 | % | 4 | % | ||||||||||||
| * | The expense ratios exclude the impact of fees/expenses paid by each underlying fund. |
| (a) | Calculated using the average shares method. |
| (b) | Represents less than $0.005. |
| (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) | Not annualized for periods less than one year. |
| (e) | Annualized for periods less than one year. |
| (f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (g) | Represents less than 0.5%. |
See accompanying notes to the financial statements.
7
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 stocks, 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.
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 period, 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.
8
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 period ended June 30, 2023, 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, 2024. Expenses incurred for investment advisory and management services are reflected on the Statement of Operations as “Management fees.”
For the period ended June 30, 2023, 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, 2024.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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 period can be found on the Statement of Operations, as applicable.
The Manager serves as the investment adviser of the underlying funds in which the Fund invests. At June 30, 2023, 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 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 period ended June 30, 2023 is as follows:
| Net Realized | |||||||||||||||||||||||||||||||||||||||||||||
| Change in Net | Gains | ||||||||||||||||||||||||||||||||||||||||||||
| Unrealized | Shares | Distributions | |||||||||||||||||||||||||||||||||||||||||||
| Value | Purchases | Proceeds | Net Realized | Appreciation | Value | as of | Dividend | from Affiliated | |||||||||||||||||||||||||||||||||||||
| 12/31/22 | at Cost | from Sales | Gains (Losses) | (Depreciation) | 06/30/23 | 06/30/23 | Income | Underlying Funds | |||||||||||||||||||||||||||||||||||||
| AZL Enhanced Bond Index Fund |
$ | 570,683,693 | $ | 151,967 | $ | (14,792,122 | ) | $ | (2,709,491 | ) | $ | 14,273,021 | $ | 567,607,068 | 58,697,732 | $ | — | $ | — | ||||||||||||||||||||||||||
| AZL International Index Fund, Class 2 |
216,290,154 | — | (21,870,227 | ) | (3,584,011 | ) | 27,834,154 | 218,670,070 | 12,840,286 | — | — | ||||||||||||||||||||||||||||||||||
| AZL Mid Cap Index Fund, Class 2 |
130,847,055 | 904,739 | (9,754,714 | ) | (3,531,639 | ) | 14,756,198 | 133,221,639 | 6,395,662 | — | — | ||||||||||||||||||||||||||||||||||
| AZL S&P 500 Index Fund, Class 2 |
449,858,814 | — | (53,724,150 | ) | (13,014,582 | ) | 84,077,768 | 467,197,850 | 23,655,587 | — | — | ||||||||||||||||||||||||||||||||||
| AZL Small Cap Stock Index Fund, |
|||||||||||||||||||||||||||||||||||||||||||||
| Class 2 |
65,801,250 | — | (4,905,832 | ) | (1,823,094 | ) | 5,671,595 | 64,743,919 | 5,355,163 | — | — | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
| $ | 1,433,480,966 | $ | 1,056,706 | $ | (105,047,045 | ) | $ | (24,662,817 | ) | $ | 146,612,736 | $ | 1,451,440,546 | 106,944,430 | $ | — | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
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.”
9
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 fee, accrued daily and paid monthly. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 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 |
$1,451,440,546 | $— | $— | $1,451,440,546 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Total Investment Securities |
$1,451,440,546 | $— | $— | $1,451,440,546 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$ | 1,056,706 | $ | 105,047,045 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
Derivatives Risk: The Fund may invest directly or through affiliated or unaffiliated mutual funds 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.
10
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such companies.
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. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in 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.
7. Coronavirus (COVID-19) Pandemic
The global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $1,731,614,065. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$– | ||||
| Unrealized (depreciation) |
(298,133,099) | ||||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$(298,133,099) | ||||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | ||||
| AZL Moderate Index Strategy Fund |
$34,672,494 | $99,641,959 | $134,314,453 | |||
| (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, 2022, the components of accumulated earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Undistributed Long-Term Capital Gains |
Accumulated Other Losses |
Unrealized Depreciation(a) |
Total Accumulated | |||||||||||||||||||||
| AZL Moderate Index Strategy Fund |
$27,153,503 | $103,466,549 | $— | $(298,132,781) | $(167,512,729) | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
11
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 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 this shareholder could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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
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.
13
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
14
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® MSCI Global Equity Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 20 |
|
Page 20 |
| Statements of Changes in Net Assets Page 21 |
|
Page 22 |
| Notes to the Financial Statements Page 23 |
|
Page 29 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 30 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MSCI Global Equity Index Fund
(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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL MSCI Global Equity Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,152.10 | $ | 2.13 | 0.40 | % | ||||||||||||
| AZL MSCI Global Equity Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,149.50 | $ | 3.46 | 0.65 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL MSCI Global Equity Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,022.81 | $ | 2.01 | 0.40 | % | ||||||||||||
| AZL MSCI Global Equity Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 | 22.1 | % | |||
| Financials | 14.4 | ||||
| Health Care | 12.8 | ||||
| Industrials | 11.2 | ||||
| Consumer Discretionary | 11.0 | ||||
| Consumer Staples | 7.3 | ||||
| Communication Services | 7.0 | ||||
| Energy | 4.5 | ||||
| Materials | 4.1 | ||||
| Utilities | 2.8 | ||||
| Real Estate | 2.3 | ||||
|
|
|
| |||
| Total Common Stocks and Preferred Stocks | 99.5 | ||||
| Short-Term Security Held as Collateral for Securities on Loan | 0.5 | ||||
| Unaffiliated Investment Company | 0.2 | ||||
|
|
|
| |||
| Total Investment Securities | 100.2 | ||||
| Net other assets (liabilities) | (0.2 | ) | |||
|
|
|
| |||
| Net Assets | 100.0 | % | |||
|
|
|
| |||
3
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks (99.4%): |
||||||||
| Aerospace & Defense (1.6%): |
||||||||
| 4,181 | Airbus SE | $ | 604,328 | |||||
| 521 | Axon Enterprise, Inc.* | 101,658 | ||||||
| 23,346 | BAE Systems plc | 275,413 | ||||||
| 4,123 | Boeing Co. (The)* | 870,613 | ||||||
| 2,614 | CAE, Inc.* | 58,512 | ||||||
| 196 | Dassault Aviation SA | 39,214 | ||||||
| 169 | Elbit Systems, Ltd. | 35,248 | ||||||
| 1,736 | General Dynamics Corp. | 373,500 | ||||||
| 276 | HEICO Corp. | 48,835 | ||||||
| 499 | HEICO Corp., Class A | 70,159 | ||||||
| 2,863 | Howmet Aerospace, Inc. | 141,890 | ||||||
| 271 | Huntington Ingalls Industries, Inc. | 61,680 | ||||||
| 700 | Kongsberg Gruppen ASA | 31,855 | ||||||
| 1,431 | L3Harris Technologies, Inc. | 280,147 | ||||||
| 1,628 | Lockheed Martin Corp. | 749,499 | ||||||
| 376 | MTU Aero Engines AG | 97,414 | ||||||
| 1,062 | Northrop Grumman Corp. | 484,060 | ||||||
| 10,541 | Raytheon Technologies Corp. | 1,032,596 | ||||||
| 340 | Rheinmetall AG | 93,345 | ||||||
| 61,901 | Rolls-Royce Holdings plc* | 118,869 | ||||||
| 2,424 | Safran SA | 380,802 | ||||||
| 10,000 | Singapore Technologies Engineering, Ltd. | 27,288 | ||||||
| 1,491 | Textron, Inc. | 100,836 | ||||||
| 795 | Thales SA | 118,990 | ||||||
| 384 | TransDigm Group, Inc. | 343,361 | ||||||
|
|
|
| ||||||
| 6,540,112 | ||||||||
|
|
|
| ||||||
| Air Freight & Logistics (0.6%): | ||||||||
| 768 | CH Robinson Worldwide, Inc. | 72,461 | ||||||
| 7,478 | Deutsche Post AG | 365,134 | ||||||
| 1,287 | DSV A/S | 270,891 | ||||||
| 1,183 | Expeditors International of Washington, Inc. | 143,297 | ||||||
| 1,690 | FedEx Corp. | 418,951 | ||||||
| 700 | NIPPON EXPRESS HOLDINGS, INC. | 39,483 | ||||||
| 1,800 | SG Holdings Co., Ltd. | 25,684 | ||||||
| 5,166 | United Parcel Service, Inc., Class B | 926,006 | ||||||
| 1,600 | Yamato Holdings Co., Ltd. | 28,939 | ||||||
|
|
|
| ||||||
| 2,290,846 | ||||||||
|
|
|
| ||||||
| Automobile Components (2.5%): | ||||||||
| 800 | Aisin Corp. | 24,731 | ||||||
| 1,977 | Aptiv plc* | 201,832 | ||||||
| 2,421 | Bayerische Motoren Werke AG | 297,310 | ||||||
| 1,650 | BorgWarner, Inc. | 80,702 | ||||||
| 4,100 | Bridgestone Corp. | 168,488 | ||||||
| 4,919 | Cie Generale des Etablissements Michelin SCA | 145,398 | ||||||
| 819 | Continental AG | 61,717 | ||||||
| 3,200 | Denso Corp. | 215,755 | ||||||
| 27,845 | Ford Motor Co. | 421,295 | ||||||
| 10,256 | General Motors Co. | 395,471 | ||||||
| 11,200 | Honda Motor Co., Ltd. | 338,371 | ||||||
| 5,100 | Isuzu Motors, Ltd. | 62,099 | ||||||
| 2,000 | Koito Manufacturing Co., Ltd. | 36,305 | ||||||
| 419 | Lear Corp. | 60,147 | ||||||
| 3,397 | Lucid Group, Inc.* | 23,405 | ||||||
| 1,989 | Magna International, Inc. | 112,304 | ||||||
| 3,600 | Mazda Motor Corp. | 35,186 | ||||||
| 5,758 | Mercedes-Benz Group AG | 463,368 | ||||||
| 16,900 | Nissan Motor Co., Ltd. | 69,799 | ||||||
| 1,315 | Renault SA | 55,479 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Automobile Components, continued |
||||||||
| 2,401 | Rivian Automotive, Inc., Class A*^ | $ | 40,001 | |||||
| 98 | Stellantis NV | 1,725 | ||||||
| 4,300 | Subaru Corp. | 81,365 | ||||||
| 5,200 | Sumitomo Electric Industries, Ltd. | 63,815 | ||||||
| 2,700 | Suzuki Motor Corp. | 98,125 | ||||||
| 20,546 | Tesla, Inc.* | 5,378,326 | ||||||
| 76,400 | Toyota Motor Corp. | 1,221,078 | ||||||
| 1,230 | Valeo | 26,390 | ||||||
| 4,663 | Volvo Car AB, Class B* | 18,548 | ||||||
| 2,600 | Yamaha Motor Co., Ltd. | 74,927 | ||||||
|
|
|
| ||||||
| 10,273,462 | ||||||||
|
|
|
| ||||||
| Automobiles (0.2%): | ||||||||
| 861 | Dr Ing hc F Porsche AG | 106,853 | ||||||
| 949 | Ferrari NV | 310,659 | ||||||
| 16,003 | Stellantis NV | 281,246 | ||||||
| 201 | Volkswagen AG | 33,531 | ||||||
|
|
|
| ||||||
| 732,289 | ||||||||
|
|
|
| ||||||
| Banks (5.3%): | ||||||||
| 2,689 | ABN AMRO Bank NV | 41,821 | ||||||
| 8,372 | AIB Group plc | 35,219 | ||||||
| 22,179 | ANZ Group Holdings, Ltd. | 351,621 | ||||||
| 42,642 | Banco Bilbao Vizcaya Argentaria SA | 328,769 | ||||||
| 120,410 | Banco Santander SA | 446,737 | ||||||
| 8,532 | Bank Hapoalim BM | 70,021 | ||||||
| 10,762 | Bank Leumi Le-Israel BM | 80,688 | ||||||
| 52,064 | Bank of America Corp. | 1,493,716 | ||||||
| 7,994 | Bank of Ireland Group plc | 76,368 | ||||||
| 5,052 | Bank of Montreal | 456,305 | ||||||
| 8,558 | Bank of Nova Scotia (The)^ | 428,223 | ||||||
| 236 | Banque Cantonale Vaudoise, Registered Shares | 24,939 | ||||||
| 111,451 | Barclays plc | 217,666 | ||||||
| 8,077 | BNP Paribas SA | 510,170 | ||||||
| 27,500 | BOC Hong Kong Holdings, Ltd. | 84,174 | ||||||
| 28,315 | CaixaBank SA | 117,435 | ||||||
| 6,589 | Canadian Imperial Bank of Commerce | 281,348 | ||||||
| 2,800 | Chiba Bank, Ltd. (The) | 16,989 | ||||||
| 13,938 | Citigroup, Inc. | 641,705 | ||||||
| 3,112 | Citizens Financial Group, Inc. | 81,161 | ||||||
| 7,358 | Commerzbank AG | 81,467 | ||||||
| 12,127 | Commonwealth Bank of Australia | 812,991 | ||||||
| 8,400 | Concordia Financial Group, Ltd. | 33,109 | ||||||
| 8,923 | Credit Agricole SA^ | 105,989 | ||||||
| 5,146 | Danske Bank A/S* | 125,343 | ||||||
| 13,300 | DBS Group Holdings, Ltd. | 311,054 | ||||||
| 6,447 | DNB Bank ASA | 120,581 | ||||||
| 2,582 | Erste Group Bank AG | 90,655 | ||||||
| 4,619 | Fifth Third Bancorp | 121,064 | ||||||
| 3,940 | FinecoBank Banca Fineco SpA | 53,141 | ||||||
| 75 | First Citizens BancShares, Inc., Class A | 96,259 | ||||||
| 4,008 | First Horizon Corp. | 45,170 | ||||||
| 5,700 | Hang Seng Bank, Ltd. | 81,183 | ||||||
| 142,927 | HSBC Holdings plc | 1,130,283 | ||||||
| 10,474 | Huntington Bancshares, Inc. | 112,910 | ||||||
| 26,502 | ING Groep NV | 357,864 | ||||||
| 115,585 | Intesa Sanpaolo SpA | 303,764 | ||||||
| 7,605 | Israel Discount Bank, Ltd., Class A | 37,835 | ||||||
| 12,100 | Japan Post Bank Co,m Ltd, | 94,810 | ||||||
| 21,116 | JPMorgan Chase & Co. | 3,071,111 | ||||||
See accompanying notes to the financial statements.
4
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Banks, continued | ||||||||
| 1,716 | KBC Group NV | $ | 119,986 | |||||
| 6,790 | KeyCorp | 62,740 | ||||||
| 501,308 | Lloyds Banking Group plc | 277,866 | ||||||
| 1,171 | M&T Bank Corp. | 144,923 | ||||||
| 3,850 | Mediobanca Banca di Credito Finanziario SpA | 46,164 | ||||||
| 83,700 | Mitsubishi UFJ Financial Group, Inc. | 617,884 | ||||||
| 1,433 | Mizrahi Tefahot Bank, Ltd. | 47,922 | ||||||
| 17,450 | Mizuho Financial Group, Inc. | 266,369 | ||||||
| 22,602 | National Australia Bank, Ltd. | 398,853 | ||||||
| 2,471 | National Bank of Canada | 184,122 | ||||||
| 41,793 | NatWest Group plc | 128,298 | ||||||
| 23,542 | Nordea Bank Abp | 256,596 | ||||||
| 25,500 | Oversea-Chinese Banking Corp., Ltd. | 232,399 | ||||||
| 2,914 | PNC Financial Services Group, Inc. (The) | 367,018 | ||||||
| 6,785 | Regions Financial Corp. | 120,909 | ||||||
| 14,100 | Resona Holdings, Inc. | 67,572 | ||||||
| 10,056 | Royal Bank of Canada | 960,505 | ||||||
| 2,200 | Shizuoka Financial Group, Inc. | 15,984 | ||||||
| 11,377 | Skandinaviska Enskilda Banken AB, Class A | 125,920 | ||||||
| 5,044 | Societe Generale SA | 131,292 | ||||||
| 17,950 | Standard Chartered plc | 156,519 | ||||||
| 9,200 | Sumitomo Mitsui Financial Group, Inc. | 393,812 | ||||||
| 2,300 | Sumitomo Mitsui Trust Holdings, Inc. | 82,308 | ||||||
| 11,088 | Svenska Handelsbanken AB, Class A | 93,036 | ||||||
| 5,800 | Swedbank AB, Class A | 97,991 | ||||||
| 13,268 | Toronto-Dominion Bank (The) | 822,464 | ||||||
| 9,778 | Truist Financial Corp. | 296,762 | ||||||
| 13,100 | UniCredit SpA | 305,465 | ||||||
| 9,604 | United Overseas Bank, Ltd. | 199,136 | ||||||
| 10,614 | US Bancorp | 350,687 | ||||||
| 1,465 | Webster Financial Corp. | 55,304 | ||||||
| 27,121 | Wells Fargo & Co. | 1,157,524 | ||||||
| 24,628 | Westpac Banking Corp. | 351,244 | ||||||
|
|
|
| ||||||
| 21,907,232 | ||||||||
|
|
|
| ||||||
| Beverages (1.7%): | ||||||||
| 6,085 | Anheuser-Busch InBev SA | 344,598 | ||||||
| 3,500 | Asahi Group Holdings, Ltd. | 135,685 | ||||||
| 2,232 | Brown-Forman Corp., Class B | 149,053 | ||||||
| 11,900 | Budweiser Brewing Co. APAC, Ltd. | 30,686 | ||||||
| 665 | Carlsberg AS, Class B | 106,344 | ||||||
| 29,549 | Coca-Cola Co. (The) | 1,779,441 | ||||||
| 1,460 | Coca-Cola Europacific Partners plc | 93,990 | ||||||
| 1,283 | Coca-Cola HBC AG | 38,222 | ||||||
| 1,183 | Constellation Brands, Inc., Class A | 291,172 | ||||||
| 3,162 | David Campari-Milano NV, Class M | 43,817 | ||||||
| 16,401 | Diageo plc | 703,422 | ||||||
| 771 | Heineken Holding NV | 67,032 | ||||||
| 1,959 | Heineken NV | 201,585 | ||||||
| 5,730 | Keurig Dr Pepper, Inc. | 179,177 | ||||||
| 6,100 | Kirin Holdings Co., Ltd. | 89,096 | ||||||
| 1,314 | Molson Coors Beverage Co., Class B | 86,514 | ||||||
| 5,842 | Monster Beverage Corp.* | 335,565 | ||||||
| 9,981 | PepsiCo, Inc. | 1,848,681 | ||||||
| 1,529 | Pernod Ricard SA | 337,784 | ||||||
| 125 | Remy Cointreau SA | 20,038 | ||||||
| 800 | Suntory Beverage & Food, Ltd. | 29,012 | ||||||
| 6,592 | Treasury Wine Estates, Ltd. | 49,518 | ||||||
|
|
|
| ||||||
| 6,960,432 | ||||||||
|
|
|
| ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Biotechnology (1.7%): |
||||||||
| 12,738 | AbbVie, Inc. | $ | 1,716,191 | |||||
| 852 | Alnylam Pharmaceuticals, Inc.* | 161,829 | ||||||
| 3,844 | Amgen, Inc. | 853,445 | ||||||
| 423 | Argenx SE* | 164,559 | ||||||
| 1,062 | Biogen, Inc.* | 302,511 | ||||||
| 1,338 | BioMarin Pharmaceutical, Inc.* | 115,978 | ||||||
| 3,472 | CSL, Ltd. | 642,346 | ||||||
| 1,266 | Exact Sciences Corp.* | 118,877 | ||||||
| 491 | Genmab A/S* | 186,384 | ||||||
| 9,061 | Gilead Sciences, Inc. | 698,331 | ||||||
| 2,757 | Grifols SA* | 35,357 | ||||||
| 1,538 | Horizon Therapeutics plc* | 158,183 | ||||||
| 1,359 | Incyte Corp.* | 84,598 | ||||||
| 2,345 | Moderna, Inc.* | 284,917 | ||||||
| 652 | Neurocrine Biosciences, Inc.* | 61,484 | ||||||
| 760 | Regeneron Pharmaceuticals, Inc.* | 546,090 | ||||||
| 1,000 | Seagen, Inc.* | 192,460 | ||||||
| 1,322 | Swedish Orphan Biovitrum AB* | 25,792 | ||||||
| 351 | United Therapeutics Corp.* | 77,483 | ||||||
| 1,880 | Vertex Pharmaceuticals, Inc.* | 661,591 | ||||||
|
|
|
| ||||||
| 7,088,406 | ||||||||
|
|
|
| ||||||
| Broadline Retail (2.5%): | ||||||||
| 66,501 | Amazon.com, Inc.* | 8,669,070 | ||||||
| 380 | Canadian Tire Corp., Ltd., Class A | 51,960 | ||||||
| 2,154 | Dollarama, Inc. | 145,898 | ||||||
| 3,829 | eBay, Inc. | 171,118 | ||||||
| 821 | Etsy, Inc.* | 69,465 | ||||||
| 325 | MercadoLibre, Inc.* | 384,995 | ||||||
| 846 | Next plc | 74,282 | ||||||
| 2,700 | Pan Pacific International Holdings Corp. | 48,388 | ||||||
| 5,958 | Prosus NV | 435,953 | ||||||
| 8,000 | Rakuten Group, Inc. | 27,867 | ||||||
| 8,296 | Wesfarmers, Ltd. | 273,520 | ||||||
|
|
|
| ||||||
| 10,352,516 | ||||||||
|
|
|
| ||||||
| Building Products (0.7%): | ||||||||
| 953 | A O Smith Corp. | 69,359 | ||||||
| 1,200 | AGC, Inc.^ | 43,193 | ||||||
| 644 | Allegion plc | 77,293 | ||||||
| 7,067 | Assa Abloy AB, Class B | 169,699 | ||||||
| 1,012 | Builders FirstSource, Inc.* | 137,632 | ||||||
| 397 | Carlisle Cos., Inc. | 101,842 | ||||||
| 6,227 | Carrier Global Corp. | 309,544 | ||||||
| 3,605 | Cie de Saint-Gobain | 219,586 | ||||||
| 1,900 | Daikin Industries, Ltd. | 387,877 | ||||||
| 1,013 | Fortune Brands Innovations, Inc. | 72,885 | ||||||
| 228 | Geberit AG, Registered Shares | 119,403 | ||||||
| 4,871 | Johnson Controls International plc | 331,910 | ||||||
| 1,045 | Kingspan Group plc | 69,568 | ||||||
| 223 | Lennox International, Inc. | 72,714 | ||||||
| 2,500 | Lixil Corp. | 31,754 | ||||||
| 1,508 | Masco Corp. | 86,529 | ||||||
| 11,325 | Nibe Industrier AB, Class B | 107,680 | ||||||
| 729 | Owens Corning | 95,135 | ||||||
| 52 | ROCKWOOL A/S, Class B | 13,449 | ||||||
| 600 | TOTO, Ltd. | 18,099 | ||||||
| 1,698 | Trane Technologies plc | 324,760 | ||||||
| 13,000 | Xinyi Glass Holdings, Ltd. | 20,325 | ||||||
|
|
|
| ||||||
| 2,880,236 | ||||||||
|
|
|
| ||||||
See accompanying notes to the financial statements.
5
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Capital Markets (2.8%): |
||||||||
| 6,868 | 3i Group plc | $ | 170,534 | |||||
| 12,364 | abrdn plc | 34,306 | ||||||
| 754 | Ameriprise Financial, Inc. | 250,449 | ||||||
| 375 | Amundi SA | 22,161 | ||||||
| 1,156 | Ares Management Corp., Class A | 111,381 | ||||||
| 1,391 | ASX, Ltd. | 58,580 | ||||||
| 5,531 | Bank of New York Mellon Corp. (The) | 246,240 | ||||||
| 1,090 | BlackRock, Inc., Class A+ | 753,343 | ||||||
| 5,048 | Blackstone, Inc., Class A | 469,313 | ||||||
| 2,652 | Brookfield Asset Management, Ltd. | 86,571 | ||||||
| 10,609 | Brookfield Corp. | 357,211 | ||||||
| 1,473 | Carlyle Group, Inc. (The) | 47,062 | ||||||
| 717 | Cboe Global Markets, Inc. | 98,953 | ||||||
| 10,750 | Charles Schwab Corp. (The) | 609,310 | ||||||
| 2,595 | CME Group, Inc. | 480,828 | ||||||
| 938 | Coinbase Global, Inc., Class A*^ | 67,114 | ||||||
| 8,900 | Daiwa Securities Group, Inc. | 46,055 | ||||||
| 14,426 | Deutsche Bank AG | 151,362 | ||||||
| 1,382 | Deutsche Boerse AG | 255,209 | ||||||
| 2,202 | EQT AB | 42,427 | ||||||
| 719 | Euronext NV | 48,900 | ||||||
| 295 | FactSet Research Systems, Inc. | 118,192 | ||||||
| 2,020 | Franklin Resources, Inc. | 53,954 | ||||||
| 458 | Futu Holdings, Ltd., ADR*^ | 18,201 | ||||||
| 2,432 | Goldman Sachs Group, Inc. (The) | 784,417 | ||||||
| 3,288 | Hargreaves Lansdown plc | 34,045 | ||||||
| 8,600 | Hong Kong Exchanges & Clearing, Ltd. | 327,062 | ||||||
| 889 | IGM Financial, Inc.^ | 27,067 | ||||||
| 3,993 | Intercontinental Exchange, Inc. | 451,528 | ||||||
| 2,555 | Invesco, Ltd. | 42,950 | ||||||
| 3,400 | Japan Exchange Group, Inc. | 59,485 | ||||||
| 1,702 | Julius Baer Group, Ltd. | 107,346 | ||||||
| 3,986 | KKR & Co., Inc., Class A | 223,216 | ||||||
| 2,774 | London Stock Exchange Group plc | 293,904 | ||||||
| 529 | LPL Financial Holdings, Inc. | 115,020 | ||||||
| 2,709 | Macquarie Group, Ltd. | 322,746 | ||||||
| 287 | MarketAxess Holdings, Inc. | 75,028 | ||||||
| 1,166 | Moody’s Corp. | 405,442 | ||||||
| 8,968 | Morgan Stanley | 765,867 | ||||||
| 594 | MSCI, Inc. | 278,758 | ||||||
| 2,481 | Nasdaq, Inc. | 123,678 | ||||||
| 23,000 | Nomura Holdings, Inc. | 87,299 | ||||||
| 1,377 | Northern Trust Corp. | 102,091 | ||||||
| 177 | Partners Group Holding AG | 166,708 | ||||||
| 1,455 | Raymond James Financial, Inc. | 150,985 | ||||||
| 2,382 | S&P Global, Inc. | 954,920 | ||||||
| 1,400 | SBI Holdings, Inc. | 27,029 | ||||||
| 6,758 | Schroders plc | 37,588 | ||||||
| 757 | SEI Investments Co. | 45,132 | ||||||
| 3,200 | Singapore Exchange, Ltd. | 22,788 | ||||||
| 3,801 | St James’s Place plc | 52,523 | ||||||
| 2,406 | State Street Corp. | 176,071 | ||||||
| 1,699 | T. Rowe Price Group, Inc. | 190,322 | ||||||
| 1,625 | TMX Group, Ltd. | 36,570 | ||||||
| 922 | Tradeweb Markets, Inc., Class A | 63,139 | ||||||
| 23,263 | UBS Group AG | 473,433 | ||||||
|
|
|
| ||||||
| 11,621,813 | ||||||||
|
|
|
| ||||||
| Chemicals (2.1%): | ||||||||
| 3,728 | Air Liquide SA | 668,299 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Chemicals, continued |
||||||||
| 1,595 | Air Products and Chemicals, Inc. | $ | 477,750 | |||||
| 1,253 | Akzo Nobel NV | 102,373 | ||||||
| 875 | Albemarle Corp. | 195,204 | ||||||
| 413 | Arkema SA | 38,954 | ||||||
| 9,200 | Asahi Kasei Corp. | 62,457 | ||||||
| 6,379 | BASF SE | 309,687 | ||||||
| 692 | Celanese Corp. | 80,134 | ||||||
| 1,430 | CF Industries Holdings, Inc. | 99,271 | ||||||
| 801 | Chr Hansen Holding A/S | 55,721 | ||||||
| 2,080 | Clariant AG | 30,075 | ||||||
| 5,288 | Corteva, Inc. | 303,002 | ||||||
| 1,415 | Covestro AG* | 73,467 | ||||||
| 1,096 | Croda International plc | 78,317 | ||||||
| 5,054 | Dow, Inc. | 269,176 | ||||||
| 1,181 | DSM-Firmenich AG* | 127,081 | ||||||
| 3,366 | DuPont de Nemours, Inc. | 240,467 | ||||||
| 795 | Eastman Chemical Co. | 66,557 | ||||||
| 1,892 | Ecolab, Inc. | 353,218 | ||||||
| 62 | EMS-Chemie Holding AG | 46,971 | ||||||
| 1,938 | Evonik Industries AG | 36,834 | ||||||
| 949 | FMC Corp. | 99,019 | ||||||
| 67 | Givaudan SA, Registered Shares | 222,331 | ||||||
| 6,835 | ICL Group, Ltd. | 37,450 | ||||||
| 1,948 | International Flavors & Fragrances, Inc. | 155,041 | ||||||
| 890 | Johnson Matthey plc | 19,795 | ||||||
| 1,200 | JSR Corp. | 34,502 | ||||||
| 3,518 | Linde plc | 1,340,639 | ||||||
| 2,005 | LyondellBasell Industries NV, Class A | 184,119 | ||||||
| 8,000 | Mitsubishi Chemical Group Corp. | 48,240 | ||||||
| 1,700 | Mitsui Chemicals, Inc. | 50,245 | ||||||
| 2,249 | Mosaic Co. (The) | 78,715 | ||||||
| 6,600 | Nippon Paint Holdings Co., Ltd. | 54,567 | ||||||
| 1,100 | Nippon Sanso Holdings Corp. | 23,913 | ||||||
| 800 | Nissan Chemical Corp. | 34,479 | ||||||
| 1,000 | Nitto Denko Corp. | 74,133 | ||||||
| 1,580 | Novozymes A/S, B Shares | 73,598 | ||||||
| 3,587 | Nutrien, Ltd. | 211,792 | ||||||
| 824 | OCI NV | 19,780 | ||||||
| 2,876 | Orica, Ltd. | 28,517 | ||||||
| 1,714 | PPG Industries, Inc. | 254,186 | ||||||
| 942 | RPM International, Inc. | 84,526 | ||||||
| 1,760 | Sherwin-Williams Co. (The) | 467,315 | ||||||
| 13,100 | Shin-Etsu Chemical Co., Ltd. | 435,447 | ||||||
| 1,096 | Sika AG, Registered Shares | 313,568 | ||||||
| 456 | Solvay SA, Class A | 51,066 | ||||||
| 13,800 | Sumitomo Chemical Co., Ltd. | 42,011 | ||||||
| 979 | Symrise AG | 102,551 | ||||||
| 9,200 | Toray Industries, Inc. | 51,404 | ||||||
| 1,200 | Tosoh Corp. | 14,228 | ||||||
| 1,822 | Umicore SA | 50,928 | ||||||
| 301 | Westlake Corp. | 35,960 | ||||||
| 1,092 | Yara International ASA | 38,574 | ||||||
|
|
|
| ||||||
| 8,447,654 | ||||||||
|
|
|
| ||||||
| Commercial Services & Supplies (0.6%): | ||||||||
| 10,643 | Brambles, Ltd. | 102,414 | ||||||
| 668 | Cintas Corp. | 332,049 | ||||||
| 3,198 | Copart, Inc.* | 291,690 | ||||||
| 1,800 | Dai Nippon Printing Co., Ltd. | 51,040 | ||||||
| 1,558 | GFL Environmental, Inc. | 60,504 | ||||||
See accompanying notes to the financial statements.
6
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Commercial Services & Supplies, continued |
||||||||
| 1,016 | RB Global, Inc. | $ | 60,978 | |||||
| 18,835 | Rentokil Initial plc | 147,091 | ||||||
| 1,544 | Republic Services, Inc. | 236,495 | ||||||
| 1,446 | Rollins, Inc. | 61,932 | ||||||
| 1,500 | Secom Co., Ltd. | 101,579 | ||||||
| 4,897 | Securitas AB, Class B | 40,233 | ||||||
| 1,600 | TOPPAN, INC. | 34,573 | ||||||
| 1,899 | Waste Connections, Inc. | 271,424 | ||||||
| 2,983 | Waste Management, Inc. | 517,312 | ||||||
|
|
|
| ||||||
| 2,309,314 | ||||||||
|
|
|
| ||||||
| Communications Equipment (0.6%): | ||||||||
| 1,856 | Arista Networks, Inc.* | 300,783 | ||||||
| 29,514 | Cisco Systems, Inc. | 1,527,054 | ||||||
| 438 | F5, Inc.* | 64,062 | ||||||
| 2,336 | Juniper Networks, Inc. | 73,187 | ||||||
| 1,189 | Motorola Solutions, Inc. | 348,710 | ||||||
| 38,181 | Nokia Oyj | 160,212 | ||||||
| 22,141 | Telefonaktiebolaget LM Ericsson, Class B | 120,802 | ||||||
|
|
|
| ||||||
| 2,594,810 | ||||||||
|
|
|
| ||||||
| Construction & Engineering (0.3%): | ||||||||
| 1,670 | ACS Actividades de Construccion y Servicios SA | 58,711 | ||||||
| 1,016 | AECOM | 86,045 | ||||||
| 1,522 | Bouygues SA | 51,113 | ||||||
| 559 | Eiffage SA | 58,368 | ||||||
| 3,697 | Ferrovial SE* | 117,042 | ||||||
| 2,700 | Kajima Corp. | 40,844 | ||||||
| 4,900 | Obayashi Corp. | 42,464 | ||||||
| 1,006 | Quanta Services, Inc. | 197,629 | ||||||
| 5,900 | Shimizu Corp. | 37,265 | ||||||
| 3,144 | Skanska AB, Class B | 44,127 | ||||||
| 1,100 | Taisei Corp. | 38,478 | ||||||
| 3,871 | Vinci SA | 449,873 | ||||||
| 876 | WSP Global, Inc. | 115,746 | ||||||
|
|
|
| ||||||
| 1,337,705 | ||||||||
|
|
|
| ||||||
| Construction Materials (0.3%): | ||||||||
| 5,231 | CRH plc | 288,893 | ||||||
| 993 | Heidelberg Materials AG | 81,532 | ||||||
| 4,174 | Holcim AG | 280,707 | ||||||
| 3,417 | James Hardie Industries plc | 91,065 | ||||||
| 447 | Martin Marietta Materials, Inc. | 206,375 | ||||||
| 970 | Vulcan Materials Co. | 218,677 | ||||||
|
|
|
| ||||||
| 1,167,249 | ||||||||
|
|
|
| ||||||
| Consumer Finance (0.4%): | ||||||||
| 1,862 | Ally Financial, Inc. | 50,293 | ||||||
| 4,616 | American Express Co. | 804,107 | ||||||
| 2,795 | Capital One Financial Corp. | 305,689 | ||||||
| 1,849 | Discover Financial Services | 216,056 | ||||||
| 1 | Isracard, Ltd. | 2 | ||||||
| 2,983 | Synchrony Financial | 101,183 | ||||||
|
|
|
| ||||||
| 1,477,330 | ||||||||
|
|
|
| ||||||
| Consumer Staples Distribution & Retail (1.7%): | ||||||||
| 4,900 | Aeon Co., Ltd. | 100,315 | ||||||
| 2,104 | Albertsons Cos., Inc., Class A | 45,909 | ||||||
| 5,677 | Alimentation Couche-Tard, Inc. | 291,136 | ||||||
| 4,522 | Carrefour SA^ | 85,689 | ||||||
| 8,877 | Coles Group, Ltd. | 109,078 | ||||||
| 3,183 | Costco Wholesale Corp. | 1,713,663 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Consumer Staples Distribution & Retail, continued |
||||||||
| 1,581 | Dollar General Corp. | $ | 268,422 | |||||
| 1,624 | Dollar Tree, Inc.* | 233,044 | ||||||
| 787 | Empire Co., Ltd., Class A | 22,358 | ||||||
| 11,695 | Endeavour Group, Ltd. | 49,251 | ||||||
| 528 | George Weston, Ltd. | 62,430 | ||||||
| 1,243 | HelloFresh SE* | 30,732 | ||||||
| 15,420 | J Sainsbury plc | 52,780 | ||||||
| 1,662 | Jeronimo Martins SGPS SA | 45,818 | ||||||
| 1,609 | Kesko Oyj, Class B | 30,278 | ||||||
| 1,000 | Kobe Bussan Co., Ltd. | 25,853 | ||||||
| 7,054 | Koninklijke Ahold Delhaize NV | 240,588 | ||||||
| 5,167 | Kroger Co. (The) | 242,849 | ||||||
| 1,246 | Loblaw Cos., Ltd. | 114,083 | ||||||
| 900 | MatsukiyoCocokara & Co. | 50,580 | ||||||
| 1,796 | Metro, Inc. | 101,447 | ||||||
| 3,324 | Ocado Group plc* | 24,011 | ||||||
| 5,400 | Seven & i Holdings Co., Ltd. | 233,509 | ||||||
| 3,549 | Sysco Corp. | 263,336 | ||||||
| 3,356 | Target Corp. | 442,656 | ||||||
| 51,610 | Tesco plc | 163,063 | ||||||
| 5,273 | Walgreens Boots Alliance, Inc. | 150,228 | ||||||
| 10,700 | Walmart, Inc. | 1,681,826 | ||||||
| 500 | Welcia Holdings Co., Ltd. | 10,405 | ||||||
| 9,046 | Woolworths Group, Ltd. | 239,967 | ||||||
|
|
|
| ||||||
| 7,125,304 | ||||||||
|
|
|
| ||||||
| Containers & Packaging (0.2%): | ||||||||
| 1,733 | Amcor plc | 17,295 | ||||||
| 8,910 | Amcor plc | 88,922 | ||||||
| 648 | Avery Dennison Corp. | 111,326 | ||||||
| 2,167 | Ball Corp. | 126,141 | ||||||
| 1,000 | CCL Industries, Inc. | 49,162 | ||||||
| 998 | Crown Holdings, Inc. | 86,696 | ||||||
| 2,127 | International Paper Co. | 67,660 | ||||||
| 682 | Packaging Corp. of America | 90,133 | ||||||
| 1,076 | Sealed Air Corp. | 43,040 | ||||||
| 2,350 | SIG Group AG | 64,965 | ||||||
| 1,807 | Smurfit Kappa Group plc | 60,311 | ||||||
| 1,935 | Westrock Co. | 56,251 | ||||||
|
|
|
| ||||||
| 861,902 | ||||||||
|
|
|
| ||||||
| Distributors (0.1%): | ||||||||
| 195 | D’ieteren Group | 34,481 | ||||||
| 1,036 | Genuine Parts Co. | 175,322 | ||||||
| 1,795 | LKQ Corp. | 104,595 | ||||||
| 263 | Pool Corp. | 98,530 | ||||||
|
|
|
| ||||||
| 412,928 | ||||||||
|
|
|
| ||||||
| Diversified Consumer Services (0.0%†): | ||||||||
| 1,753 | IDP Education, Ltd. | 25,916 | ||||||
| 4,820 | Pearson plc | 50,788 | ||||||
|
|
|
| ||||||
| 76,704 | ||||||||
|
|
|
| ||||||
| Diversified REITs (0.1%): | ||||||||
| 8,137 | British Land Co. plc (The) | 31,375 | ||||||
| 316 | Covivio SA | 14,948 | ||||||
| 18 | Daiwa House REIT Investment Corp. | 34,551 | ||||||
| 6,489 | Dexus | 33,764 | ||||||
| 11,976 | GPT Group (The) | 33,090 | ||||||
| 4,133 | Land Securities Group plc | 30,219 | ||||||
| 36,393 | Mirvac Group | 55,011 | ||||||
| 10 | Nippon Building Fund, Inc. | 39,339 | ||||||
See accompanying notes to the financial statements.
7
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Diversified REITs, continued |
||||||||
| 39 | Nomura Real Estate Master Fund, Inc. | $ | 44,981 | |||||
| 460 | RioCan Real Estate Investment Trust | 6,695 | ||||||
| 9,532 | Segro plc | 86,890 | ||||||
| 15,451 | Stockland | 41,661 | ||||||
| 24,703 | Vicinity, Ltd. | 30,360 | ||||||
| 1,532 | WP Carey, Inc. | 103,502 | ||||||
|
|
|
| ||||||
| 586,386 | ||||||||
|
|
|
| ||||||
| Diversified Telecommunication Services (1.0%): | ||||||||
| 51,278 | AT&T, Inc. | 817,884 | ||||||
| 692 | BCE, Inc. | 31,554 | ||||||
| 54,369 | BT Group plc | 84,576 | ||||||
| 4,277 | Cellnex Telecom SA | 173,374 | ||||||
| 22,677 | Deutsche Telekom AG | 494,242 | ||||||
| 937 | Elisa Oyj | 50,042 | ||||||
| 20,000 | HKT Trust & HKT, Ltd. | 23,295 | ||||||
| 2,027 | Infrastrutture Wireless Italiane SpA | 26,761 | ||||||
| 24,798 | Koninklijke KPN NV | 88,518 | ||||||
| 914 | Liberty Global plc, Class A* | 15,410 | ||||||
| 1,489 | Liberty Global plc, Class C* | 26,460 | ||||||
| 217,500 | Nippon Telegraph & Telephone Corp. | 257,741 | ||||||
| 12,743 | Orange SA | 149,032 | ||||||
| 62,100 | Singapore Telecommunications, Ltd. | 115,084 | ||||||
| 17,116 | Spark New Zealand, Ltd. | 53,482 | ||||||
| 191 | Swisscom AG, Registered Shares | 119,190 | ||||||
| 92,093 | Telecom Italia SpA* | 25,963 | ||||||
| 10,489 | Telefonica Deutschland Holding AG | 29,474 | ||||||
| 37,089 | Telefonica SA | 150,449 | ||||||
| 5,021 | Telenor ASA | 50,920 | ||||||
| 18,848 | Telia Co. AB | 41,350 | ||||||
| 29,855 | Telstra Group, Ltd. | 85,669 | ||||||
| 3,112 | TELUS Corp. | 60,567 | ||||||
| 30,201 | Verizon Communications, Inc. | 1,123,175 | ||||||
|
|
|
| ||||||
| 4,094,212 | ||||||||
|
|
|
| ||||||
| Electric Utilities (1.7%): | ||||||||
| 193 | Acciona SA^ | 32,774 | ||||||
| 1,716 | Alliant Energy Corp. | 90,056 | ||||||
| 3,808 | American Electric Power Co., Inc. | 320,634 | ||||||
| 165 | BKW AG | 29,155 | ||||||
| 4,300 | Chubu Electric Power Co., Inc. | 52,518 | ||||||
| 3,500 | CK Infrastructure Holdings, Ltd. | 18,527 | ||||||
| 12,500 | CLP Holdings, Ltd. | 97,298 | ||||||
| 2,388 | Constellation Energy Corp. | 218,621 | ||||||
| 5,612 | Duke Energy Corp. | 503,621 | ||||||
| 2,803 | Edison International | 194,668 | ||||||
| 20,856 | EDP - Energias de Portugal SA | 102,077 | ||||||
| 240 | Elia Group SA/NV | 30,486 | ||||||
| 1,880 | Emera, Inc. | 77,437 | ||||||
| 2,156 | Endesa SA^ | 46,312 | ||||||
| 60,677 | Enel SpA | 408,699 | ||||||
| 1,468 | Entergy Corp. | 142,939 | ||||||
| 1,705 | Evergy, Inc. | 99,606 | ||||||
| 2,630 | Eversource Energy | 186,520 | ||||||
| 7,027 | Exelon Corp. | 286,280 | ||||||
| 3,886 | FirstEnergy Corp. | 151,088 | ||||||
| 3,321 | Fortis, Inc. | 143,134 | ||||||
| 3,188 | Fortum Oyj | 42,688 | ||||||
| 2,288 | Hydro One, Ltd. | 65,379 | ||||||
| 42,691 | Iberdrola SA | 557,571 | ||||||
| 4,800 | Kansai Electric Power Co., Inc. (The) | 60,313 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Electric Utilities, continued |
||||||||
| 4,873 | Mercury NZ, Ltd. | $ | 19,439 | |||||
| 14,583 | NextEra Energy, Inc. | 1,082,059 | ||||||
| 1,642 | NRG Energy, Inc. | 61,394 | ||||||
| 12,220 | Origin Energy, Ltd. | 68,295 | ||||||
| 1,339 | Orsted AS | 126,524 | ||||||
| 11,217 | PG&E Corp.* | 193,830 | ||||||
| 10,000 | Power Assets Holdings, Ltd. | 52,454 | ||||||
| 5,489 | PPL Corp. | 145,239 | ||||||
| 1,850 | Red Electrica Corp. SA^ | 31,064 | ||||||
| 7,943 | Southern Co. (The) | 557,996 | ||||||
| 7,619 | SSE plc | 178,463 | ||||||
| 10,285 | Terna - Rete Elettrica Nazionale | 87,599 | ||||||
| 14,900 | Tokyo Electric Power Co. Holdings, Inc.* | 54,654 | ||||||
| 453 | Verbund AG, Class A | 36,378 | ||||||
| 3,996 | Xcel Energy, Inc. | 248,431 | ||||||
|
|
|
| ||||||
| 6,902,220 | ||||||||
|
|
|
| ||||||
| Electrical Equipment (0.9%): | ||||||||
| 11,145 | ABB, Ltd., Registered Shares | 438,659 | ||||||
| 1,622 | AMETEK, Inc. | 262,569 | ||||||
| 2,885 | Eaton Corp. plc | 580,174 | ||||||
| 4,141 | Emerson Electric Co. | 374,305 | ||||||
| 1,200 | Fuji Electric Co., Ltd. | 52,885 | ||||||
| 515 | Generac Holdings, Inc.* | 76,802 | ||||||
| 401 | Hubbell, Inc. | 132,956 | ||||||
| 1,991 | Legrand SA | 197,492 | ||||||
| 13,400 | Mitsubishi Electric Corp. | 188,326 | ||||||
| 3,100 | NIDEC CORP. | 170,412 | ||||||
| 1,722 | Prysmian SpA | 72,118 | ||||||
| 834 | Rockwell Automation, Inc. | 274,761 | ||||||
| 3,890 | Schneider Electric SE | 708,951 | ||||||
| 994 | Sensata Technologies Holding plc | 44,720 | ||||||
| 3,694 | Siemens Energy AG* | 65,200 | ||||||
| 7,230 | Vestas Wind Systems A/S* | 192,122 | ||||||
|
|
|
| ||||||
| 3,832,452 | ||||||||
|
|
|
| ||||||
| Electronic Equipment, Instruments & Components (0.9%): | ||||||||
| 4,398 | Amphenol Corp., Class A | 373,610 | ||||||
| 499 | Arrow Electronics, Inc.* | 71,472 | ||||||
| 800 | Azbil Corp. | 25,318 | ||||||
| 996 | CDW Corp. | 182,766 | ||||||
| 1,304 | Cognex Corp. | 73,050 | ||||||
| 5,870 | Corning, Inc. | 205,685 | ||||||
| 2,865 | Halma plc | 82,918 | ||||||
| 900 | Hamamatsu Photonics KK | 44,186 | ||||||
| 14,804 | Hexagon AB, Class B | 182,349 | ||||||
| 205 | Hirose Electric Co., Ltd. | 27,288 | ||||||
| 600 | Ibiden Co., Ltd. | 34,027 | ||||||
| 1,400 | Keyence Corp. | 662,154 | ||||||
| 1,302 | Keysight Technologies, Inc.* | 218,020 | ||||||
| 2,500 | Kyocera Corp. | 135,905 | ||||||
| 4,200 | Murata Manufacturing Co., Ltd. | 241,020 | ||||||
| 1,300 | Omron Corp. | 79,645 | ||||||
| 1,400 | Shimadzu Corp. | 43,347 | ||||||
| 2,900 | TDK Corp. | 112,303 | ||||||
| 2,238 | TE Connectivity, Ltd. | 313,678 | ||||||
| 321 | Teledyne Technologies, Inc.* | 131,966 | ||||||
| 1,612 | Trimble, Inc.* | 85,339 | ||||||
| 2,800 | Venture Corp., Ltd. | 30,589 | ||||||
| 2,200 | Yokogawa Electric Corp. | 40,378 | ||||||
See accompanying notes to the financial statements.
8
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| |
Electronic Equipment, Instruments & Components, |
|||||||
| 344 | Zebra Technologies Corp., Class A* | $ | 101,766 | |||||
|
|
|
| ||||||
| 3,498,779 | ||||||||
|
|
|
| ||||||
| Energy Equipment & Services (0.2%): | ||||||||
| 7,448 | Baker Hughes Co. | 235,431 | ||||||
| 6,562 | Halliburton Co. | 216,480 | ||||||
| 10,264 | Schlumberger, Ltd. | 504,168 | ||||||
| 3,045 | Tenaris SA | 45,560 | ||||||
|
|
|
| ||||||
| 1,001,639 | ||||||||
|
|
|
| ||||||
| Entertainment (1.2%): | ||||||||
| 5,464 | Activision Blizzard, Inc.* | 460,615 | ||||||
| 5,483 | Bollore SE | 34,165 | ||||||
| 1,200 | Capcom Co., Ltd. | 47,565 | ||||||
| 1,965 | Electronic Arts, Inc. | 254,860 | ||||||
| 3,590 | Embracer Group AB* | 8,989 | ||||||
| 780 | Koei Tecmo Holdings Co., Ltd. | 13,492 | ||||||
| 900 | Konami Group Corp. | 47,168 | ||||||
| 1,414 | Liberty Media Corp-Liberty Formula One, Class C* | 106,446 | ||||||
| 1,290 | Live Nation Entertainment, Inc.* | 117,532 | ||||||
| 3,199 | Netflix, Inc.* | 1,409,128 | ||||||
| 3,600 | Nexon Co., Ltd. | 68,990 | ||||||
| 7,600 | Nintendo Co., Ltd. | 345,743 | ||||||
| 2,750 | ROBLOX Corp., Class A* | 110,825 | ||||||
| 924 | Roku, Inc.* | 59,099 | ||||||
| 2,662 | Sea, Ltd., ADR* | 154,502 | ||||||
| 400 | Square Enix Holdings Co., Ltd. | 18,627 | ||||||
| 1,199 | Take-Two Interactive Software, Inc.* | 176,445 | ||||||
| 600 | Toho Co., Ltd. | 22,829 | ||||||
| 4,901 | Universal Music Group NV | 108,878 | ||||||
| 13,259 | Walt Disney Co. (The)* | 1,183,764 | ||||||
| 17,412 | Warner Bros Discovery, Inc.* | 218,346 | ||||||
|
|
|
| ||||||
| 4,968,008 | ||||||||
|
|
|
| ||||||
| Financial Services (2.9%): | ||||||||
| 2,817 | Apollo Global Management, Inc. | 216,374 | ||||||
| 9,361 | Berkshire Hathaway, Inc., Class B* | 3,192,101 | ||||||
| 3,853 | Block, Inc.* | 256,494 | ||||||
| 1,792 | Edenred | 119,983 | ||||||
| 2,947 | Element Fleet Management Corp. | 44,897 | ||||||
| 2,830 | Equitable Holdings, Inc. | 76,863 | ||||||
| 414 | Eurazeo SE | 29,140 | ||||||
| 740 | EXOR NV | 66,115 | ||||||
| 4,459 | Fidelity National Information Services, Inc. | 243,907 | ||||||
| 4,420 | Fiserv, Inc.* | 557,583 | ||||||
| 548 | FleetCor Technologies, Inc.* | 137,592 | ||||||
| 1,989 | Global Payments, Inc. | 195,956 | ||||||
| 200 | GMO Payment Gateway, Inc. | 15,616 | ||||||
| 823 | Groupe Bruxelles Lambert NV | 64,856 | ||||||
| 885 | Industrivarden AB, Class A | 24,547 | ||||||
| 1,476 | Industrivarden AB, Class C | 40,744 | ||||||
| 3,138 | Investor AB | 62,823 | ||||||
| 12,518 | Investor AB, Class B | 250,574 | ||||||
| 2,236 | Kinnevik AB, Class B* | 31,030 | ||||||
| 418 | L E Lundbergforetagen AB | 17,803 | ||||||
| 15,826 | M&G plc | 38,522 | ||||||
| 6,133 | Mastercard, Inc., Class A | 2,412,109 | ||||||
| 4,100 | Mitsubishi HC Capital, Inc. | 24,432 | ||||||
| 340 | Nuvei Corp.* | 10,041 | ||||||
| 397 | Onex Corp. | 21,930 | ||||||
| 8,600 | ORIX Corp. | 157,298 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Financial Services, continued |
||||||||
| 7,756 | PayPal Holdings, Inc.* | $ | 517,558 | |||||
| 142 | Sofina SA | 29,436 | ||||||
| 1,929 | Toast, Inc., Class A* | 43,538 | ||||||
| 11,752 | Visa, Inc., Class A | 2,790,865 | ||||||
| 122 | Wendel SE | 12,532 | ||||||
| 1,617 | Worldline SA* | 59,176 | ||||||
|
|
|
| ||||||
| 11,762,435 | ||||||||
|
|
|
| ||||||
| Food Products (1.6%): | ||||||||
| 3,400 | Ajinomoto Co., Inc. | 135,387 | ||||||
| 3,935 | Archer-Daniels-Midland Co. | 297,329 | ||||||
| 2,448 | Associated British Foods plc | 62,083 | ||||||
| 23 | Barry Callebaut AG, Registered Shares | 44,411 | ||||||
| 1,034 | Bunge, Ltd. | 97,558 | ||||||
| 1,385 | Campbell Soup Co. | 63,308 | ||||||
| 7 | Chocoladefabriken Lindt & Spruengli AG | 87,956 | ||||||
| 3,715 | Conagra Brands, Inc. | 125,270 | ||||||
| 4,583 | Danone SA | 280,805 | ||||||
| 1,198 | Darling Ingredients, Inc.* | 76,420 | ||||||
| 4,181 | General Mills, Inc. | 320,683 | ||||||
| 1,030 | Hershey Co. (The) | 257,191 | ||||||
| 2,218 | Hormel Foods Corp. | 89,208 | ||||||
| 476 | JDE Peet’s NV | 14,158 | ||||||
| 815 | JM Smucker Co. (The) | 120,351 | ||||||
| 1,968 | Kellogg Co. | 132,643 | ||||||
| 1,279 | Kerry Group plc, Class A | 124,782 | ||||||
| 1,300 | Kikkoman Corp. | 73,367 | ||||||
| 5,513 | Kraft Heinz Co. (The) | 195,712 | ||||||
| 1,074 | Lamb Weston Holdings, Inc. | 123,456 | ||||||
| 1,749 | McCormick & Co., Inc. | 152,565 | ||||||
| 1,600 | MEIJI Holdings Co., Ltd. | 35,747 | ||||||
| 9,859 | Mondelez International, Inc., Class A | 719,115 | ||||||
| 3,271 | Mowi ASA | 51,932 | ||||||
| 19,887 | Nestle SA, Registered Shares | 2,393,566 | ||||||
| 2,400 | Nisshin Seifun Group, Inc. | 29,662 | ||||||
| 600 | Nissin Foods Holdings Co., Ltd. | 49,563 | ||||||
| 5,748 | Orkla ASA, Class A | 41,296 | ||||||
| 461 | Salmar ASA | 18,603 | ||||||
| 2,279 | Saputo, Inc. | 51,065 | ||||||
| 2,173 | Tyson Foods, Inc., Class A | 110,910 | ||||||
| 68,033 | WH Group, Ltd. | 36,156 | ||||||
| 18,000 | Wilmar International, Ltd. | 50,701 | ||||||
| 900 | Yakult Honsha Co., Ltd. | 57,029 | ||||||
|
|
|
| ||||||
| 6,519,988 | ||||||||
|
|
|
| ||||||
| Gas Utilities (0.1%): | ||||||||
| 2,666 | AltaGas, Ltd. | 47,902 | ||||||
| 8,525 | APA Group | 55,139 | ||||||
| 960 | Atmos Energy Corp. | 111,686 | ||||||
| 595 | Enagas SA^ | 11,690 | ||||||
| 83,117 | Hong Kong & China Gas Co., Ltd. | 71,887 | ||||||
| 985 | Naturgy Energy Group SA | 29,337 | ||||||
| 3,600 | Osaka Gas Co., Ltd. | 55,230 | ||||||
| 14,344 | Snam SpA | 74,955 | ||||||
| 3,500 | Tokyo Gas Co., Ltd. | 76,475 | ||||||
| 1,451 | UGI Corp. | 39,134 | ||||||
|
|
|
| ||||||
| 573,435 | ||||||||
|
|
|
| ||||||
| Ground Transportation (1.1%): | ||||||||
| 11,052 | Aurizon Holdings, Ltd. | 28,939 | ||||||
| 4,078 | Canadian National Railway Co. | 493,879 | ||||||
See accompanying notes to the financial statements.
9
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Ground Transportation, continued |
||||||||
| 6,774 | Canadian Pacific Kansas City, Ltd. | $ | 547,198 | |||||
| 1,100 | Central Japan Railway Co. | 137,961 | ||||||
| 14,791 | CSX Corp. | 504,373 | ||||||
| 2,300 | East Japan Railway Co. | 127,561 | ||||||
| 8,772 | Grab Holdings, Ltd.* | 30,088 | ||||||
| 1,400 | Hankyu Hanshin Holdings, Inc. | 46,376 | ||||||
| 653 | JB Hunt Transport Services, Inc. | 118,213 | ||||||
| 1,000 | Keio Corp. | 31,448 | ||||||
| 900 | Keisei Electric Railway Co., Ltd. | 37,306 | ||||||
| 1,000 | Kintetsu Group Holdings Co., Ltd. | 34,653 | ||||||
| 1,052 | Knight-Swift Transportation Holdings, Inc. | 58,449 | ||||||
| 10,500 | MTR Corp., Ltd. | 48,332 | ||||||
| 1,654 | Norfolk Southern Corp. | 375,061 | ||||||
| 2,700 | Odakyu Electric Railway Co., Ltd. | 36,189 | ||||||
| 684 | Old Dominion Freight Line, Inc. | 252,909 | ||||||
| 527 | TFI International, Inc. | 60,048 | ||||||
| 1,800 | Tobu Railway Co., Ltd. | 48,301 | ||||||
| 4,600 | Tokyu Corp. | 55,480 | ||||||
| 13,292 | Uber Technologies, Inc.* | 573,816 | ||||||
| 612 | U-Haul Holding Co. | 31,010 | ||||||
| 4,385 | Union Pacific Corp. | 897,259 | ||||||
| 1,500 | West Japan Railway Co. | 62,432 | ||||||
|
|
|
| ||||||
| 4,637,281 | ||||||||
|
|
|
| ||||||
| Health Care Equipment & Supplies (2.5%): | ||||||||
| 12,558 | Abbott Laboratories | 1,369,073 | ||||||
| 3,713 | Alcon, Inc. | 308,583 | ||||||
| 554 | Align Technology, Inc.* | 195,917 | ||||||
| 1,400 | Asahi Intecc Co., Ltd. | 27,530 | ||||||
| 3,685 | Baxter International, Inc. | 167,889 | ||||||
| 2,067 | Becton Dickinson & Co. | 545,709 | ||||||
| 245 | BioMerieux | 25,710 | ||||||
| 10,416 | Boston Scientific Corp.* | 563,401 | ||||||
| 372 | Carl Zeiss Meditec AG | 40,221 | ||||||
| 451 | Cochlear, Ltd. | 68,995 | ||||||
| 934 | Coloplast A/S, Class B | 116,793 | ||||||
| 340 | Cooper Cos., Inc. (The) | 130,366 | ||||||
| 522 | Demant A/S* | 22,092 | ||||||
| 1,576 | DENTSPLY SIRONA, Inc. | 63,071 | ||||||
| 2,733 | Dexcom, Inc.* | 351,218 | ||||||
| 233 | DiaSorin SpA | 24,247 | ||||||
| 4,379 | Edwards Lifesciences Corp.* | 413,071 | ||||||
| 2,063 | EssilorLuxottica SA | 390,381 | ||||||
| 4,138 | Fisher & Paykel Healthcare Corp., Ltd. | 62,170 | ||||||
| 2,722 | GE HealthCare Technologies, Inc. | 221,135 | ||||||
| 1,920 | Getinge AB, Class B | 33,667 | ||||||
| 1,772 | Hologic, Inc.* | 143,479 | ||||||
| 2,400 | Hoya Corp. | 286,324 | ||||||
| 613 | IDEXX Laboratories, Inc.* | 307,867 | ||||||
| 499 | Insulet Corp.* | 143,882 | ||||||
| 2,503 | Intuitive Surgical, Inc.* | 855,876 | ||||||
| 6,404 | Koninklijke Philips NV* | 138,571 | ||||||
| 395 | Masimo Corp.* | 64,997 | ||||||
| 9,689 | Medtronic plc | 853,601 | ||||||
| 825 | Novocure, Ltd.* | 34,237 | ||||||
| 8,700 | Olympus Corp. | 137,726 | ||||||
| 1,066 | ResMed, Inc. | 232,921 | ||||||
| 2,110 | Siemens Healthineers AG | 119,409 | ||||||
| 6,641 | Smith & Nephew plc | 107,141 | ||||||
| 384 | Sonova Holding AG | 102,325 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Health Care Equipment & Supplies, continued |
||||||||
| 694 | STERIS plc | $ | 156,136 | |||||
| 860 | Straumann Holding AG, Class R | 139,695 | ||||||
| 2,450 | Stryker Corp. | 747,470 | ||||||
| 1,100 | Sysmex Corp. | 75,200 | ||||||
| 354 | Teleflex, Inc. | 85,679 | ||||||
| 4,800 | Terumo Corp. | 152,676 | ||||||
| 1,512 | Zimmer Biomet Holdings, Inc. | 220,147 | ||||||
|
|
|
| ||||||
| 10,246,598 | ||||||||
|
|
|
| ||||||
| Health Care Providers & Services (2.0%): | ||||||||
| 1,106 | AmerisourceBergen Corp. | 212,828 | ||||||
| 845 | Amplifon SpA | 31,010 | ||||||
| 1,956 | Cardinal Health, Inc. | 184,979 | ||||||
| 3,866 | Centene Corp.* | 260,762 | ||||||
| 2,160 | Cigna Group (The) | 606,096 | ||||||
| 9,094 | CVS Health Corp. | 628,668 | ||||||
| 457 | DaVita, Inc.* | 45,915 | ||||||
| 1,704 | Elevance Health, Inc. | 757,070 | ||||||
| 1,484 | Fresenius Medical Care AG & Co., KGaA | 70,867 | ||||||
| 3,378 | Fresenius SE & Co. KGaA | 93,494 | ||||||
| 1,491 | HCA Healthcare, Inc. | 452,489 | ||||||
| 997 | Henry Schein, Inc.* | 80,857 | ||||||
| 912 | Humana, Inc. | 407,782 | ||||||
| 643 | Laboratory Corp. of America Holdings | 155,175 | ||||||
| 1,004 | McKesson Corp. | 429,019 | ||||||
| 453 | Molina Healthcare, Inc.* | 136,462 | ||||||
| 755 | Quest Diagnostics, Inc. | 106,123 | ||||||
| 1,328 | Ramsay Health Care, Ltd. | 49,944 | ||||||
| 3,322 | Sonic Healthcare, Ltd. | 78,998 | ||||||
| 6,719 | UnitedHealth Group, Inc. | 3,229,420 | ||||||
| 521 | Universal Health Services, Inc., Class B | 82,198 | ||||||
|
|
|
| ||||||
| 8,100,156 | ||||||||
|
|
|
| ||||||
| Health Care REITs (0.1%): | ||||||||
| 2,942 | Healthcare Realty Trust, Inc. | 55,486 | ||||||
| 4,227 | Healthpeak Properties, Inc. | 84,963 | ||||||
| 3,011 | Ventas, Inc. | 142,330 | ||||||
| 3,372 | Welltower, Inc. | 272,761 | ||||||
|
|
|
| ||||||
| 555,540 | ||||||||
|
|
|
| ||||||
| Health Care Technology (0.1%): | ||||||||
| 3,600 | M3, Inc. | 77,837 | ||||||
| 1,069 | Veeva Systems, Inc., Class A* | 211,374 | ||||||
|
|
|
| ||||||
| 289,211 | ||||||||
|
|
|
| ||||||
| Hotel & Resort REITs (0.0%†): | ||||||||
| 5,303 | Host Hotels & Resorts, Inc. | 89,250 | ||||||
|
|
|
| ||||||
| Hotels, Restaurants & Leisure (2.0%): | ||||||||
| 1,023 | Accor SA | 38,037 | ||||||
| 2,698 | Airbnb, Inc., Class A* | 345,776 | ||||||
| 1,475 | Aramark | 63,499 | ||||||
| 3,958 | Aristocrat Leisure, Ltd. | 102,467 | ||||||
| 274 | Booking Holdings, Inc.* | 739,890 | ||||||
| 1,690 | Caesars Entertainment, Inc.* | 86,139 | ||||||
| 6,824 | Carnival Corp., Class A* | 128,496 | ||||||
| 195 | Chipotle Mexican Grill, Inc.* | 417,105 | ||||||
| 12,429 | Compass Group plc | 347,623 | ||||||
| 888 | Darden Restaurants, Inc. | 148,367 | ||||||
| 1,331 | Delivery Hero SE* | 58,669 | ||||||
| 260 | Domino’s Pizza, Inc. | 87,617 | ||||||
| 1,849 | DoorDash, Inc., Class A* | 141,301 | ||||||
See accompanying notes to the financial statements.
10
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Hotels, Restaurants & Leisure, continued |
||||||||
| 4,276 | Entain plc | $ | 69,432 | |||||
| 1,406 | Evolution AB | 178,232 | ||||||
| 1,136 | Expedia Group, Inc.* | 124,267 | ||||||
| 1,257 | Flutter Entertainment plc* | 252,966 | ||||||
| 16,000 | Galaxy Entertainment Group, Ltd.* | 102,120 | ||||||
| 53,300 | Genting Singapore, Ltd. | 36,994 | ||||||
| 1,870 | Hilton Worldwide Holdings, Inc. | 272,178 | ||||||
| 1,297 | InterContinental Hotels Group plc | 89,551 | ||||||
| 1,296 | Just Eat Takeaway.com NV* | 19,880 | ||||||
| 883 | La Francaise des Jeux SAEM | 34,763 | ||||||
| 2,602 | Las Vegas Sands Corp.* | 150,916 | ||||||
| 14,501 | Lottery Corp., Ltd. (The) | 49,724 | ||||||
| 1,924 | Marriott International, Inc., Class A | 353,420 | ||||||
| 5,246 | McDonald’s Corp. | 1,565,459 | ||||||
| 900 | McDonald’s Holdings Co., Ltd. | 35,006 | ||||||
| 1,993 | MGM Resorts International | 87,533 | ||||||
| 7,000 | Oriental Land Co., Ltd. | 273,316 | ||||||
| 2,135 | Restaurant Brands International, Inc. | 165,505 | ||||||
| 1,567 | Royal Caribbean Cruises, Ltd.* | 162,561 | ||||||
| 15,600 | Sands China, Ltd.* | 53,393 | ||||||
| 597 | Sodexo SA | 65,738 | ||||||
| 8,209 | Starbucks Corp. | 813,184 | ||||||
| 297 | Vail Resorts, Inc. | 74,773 | ||||||
| 1,279 | Whitbread plc | 55,031 | ||||||
| 750 | Wynn Resorts, Ltd. | 79,207 | ||||||
| 2,074 | Yum! Brands, Inc. | 287,353 | ||||||
|
|
|
| ||||||
| 8,157,488 | ||||||||
|
|
|
| ||||||
| Household Durables (0.6%): | ||||||||
| 6,179 | Barratt Developments plc | 32,433 | ||||||
| 658 | Berkeley Group Holdings plc | 32,769 | ||||||
| 2,201 | DR Horton, Inc. | 267,840 | ||||||
| 212 | Garmin, Ltd. | 22,109 | ||||||
| 841 | Garmin, Ltd. | 87,708 | ||||||
| 600 | Iida Group Holdings Co., Ltd. | 10,155 | ||||||
| 1,831 | Lennar Corp., Class A | 229,443 | ||||||
| 380 | Mohawk Industries, Inc.* | 39,201 | ||||||
| 22 | NVR, Inc.* | 139,714 | ||||||
| 700 | Open House Group Co., Ltd. | 25,255 | ||||||
| 15,700 | Panasonic Holdings Corp. | 192,345 | ||||||
| 2,260 | Persimmon plc | 29,458 | ||||||
| 1,687 | PulteGroup, Inc. | 131,046 | ||||||
| 256 | SEB SA | 26,466 | ||||||
| 3,500 | Sekisui Chemical Co., Ltd. | 50,633 | ||||||
| 4,500 | Sekisui House, Ltd. | 91,072 | ||||||
| 1,000 | Sharp Corp.^ | 5,573 | ||||||
| 9,000 | Sony Group Corp. | 807,363 | ||||||
| 19,704 | Taylor Wimpey plc | 25,733 | ||||||
| 460 | Whirlpool Corp. | 68,443 | ||||||
|
|
|
| ||||||
| 2,314,759 | ||||||||
|
|
|
| ||||||
| Household Products (1.1%): | ||||||||
| 1,743 | Church & Dwight Co., Inc. | 174,701 | ||||||
| 885 | Clorox Co. (The) | 140,750 | ||||||
| 5,666 | Colgate-Palmolive Co. | 436,509 | ||||||
| 4,133 | Essity AB, Class B | 110,047 | ||||||
| 659 | Henkel AG & Co. KGaA | 46,378 | ||||||
| 2,495 | Kimberly-Clark Corp. | 344,460 | ||||||
| 17,003 | Procter & Gamble Co. (The) | 2,580,035 | ||||||
| 5,087 | Reckitt Benckiser Group plc | 381,973 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Household Products, continued |
||||||||
| 3,000 | Unicharm Corp. | $ | 111,165 | |||||
|
|
|
| ||||||
| 4,326,018 | ||||||||
|
|
|
| ||||||
| Independent Power and Renewable Electricity Producers (0.1%): |
||||||||
| 4,828 | AES Corp. (The) | 100,084 | ||||||
| 787 | Brookfield Renewable Corp., Class A | 24,829 | ||||||
| 516 | Corp ACCIONA Energias Renovables SA^ | 17,263 | ||||||
| 2,038 | EDP Renovaveis SA | 40,816 | ||||||
| 12,972 | Meridian Energy, Ltd. | 44,684 | ||||||
| 2,059 | Northland Power, Inc. | 42,949 | ||||||
| 4,774 | RWE AG | 207,779 | ||||||
| 2,304 | Vistra Corp. | 60,480 | ||||||
|
|
|
| ||||||
| 538,884 | ||||||||
|
|
|
| ||||||
| Industrial Conglomerates (1.0%): | ||||||||
| 3,950 | 3M Co. | 395,355 | ||||||
| 21,000 | CK Hutchison Holdings, Ltd. | 128,544 | ||||||
| 654 | DCC plc | 36,550 | ||||||
| 7,908 | General Electric Co. | 868,694 | ||||||
| 6,600 | Hitachi, Ltd. | 408,527 | ||||||
| 4,759 | Honeywell International, Inc. | 987,492 | ||||||
| 1,007 | Investment AB Latour, Class B | 19,991 | ||||||
| 1,000 | Jardine Cycle & Carriage, Ltd. | 25,816 | ||||||
| 1,100 | Jardine Matheson Holdings, Ltd. | 55,793 | ||||||
| 11,400 | Keppel Corp., Ltd. | 56,756 | ||||||
| 1,957 | Lifco AB, Class B | 42,603 | ||||||
| 5,489 | Siemens AG, Registered Shares | 913,548 | ||||||
| 2,548 | Smiths Group plc | 53,305 | ||||||
| 3,100 | Toshiba Corp. | 97,177 | ||||||
|
|
|
| ||||||
| 4,090,151 | ||||||||
|
|
|
| ||||||
| Industrial REITs (0.3%): | ||||||||
| 29,744 | CapitaLand Ascendas REIT | 60,010 | ||||||
| 28 | GLP J-Reit | 27,612 | ||||||
| 12,390 | Goodman Group | 165,934 | ||||||
| 21,123 | Mapletree Logistics Trust | 25,366 | ||||||
| 20 | Nippon Prologis REIT, Inc. | 40,127 | ||||||
| 6,567 | Prologis, Inc. | 805,311 | ||||||
| 1,164 | Warehouses De Pauw CVA | 31,927 | ||||||
|
|
|
| ||||||
| 1,156,287 | ||||||||
|
|
|
| ||||||
| Insurance (3.0%): | ||||||||
| 1,729 | Admiral Group plc | 45,807 | ||||||
| 12,269 | Aegon NV | 62,133 | ||||||
| 4,181 | Aflac, Inc. | 291,834 | ||||||
| 1,180 | Ageas SA/NV | 47,820 | ||||||
| 85,000 | AIA Group, Ltd. | 867,304 | ||||||
| 2,905 | Allianz SE, Registered Shares+ | 675,664 | ||||||
| 1,883 | Allstate Corp. (The) | 205,322 | ||||||
| 506 | American Financial Group, Inc. | 60,088 | ||||||
| 5,265 | American International Group, Inc. | 302,948 | ||||||
| 1,459 | Aon plc, Class A | 503,647 | ||||||
| 2,728 | Arch Capital Group, Ltd.* | 204,191 | ||||||
| 1,545 | Arthur J. Gallagher & Co. | 339,236 | ||||||
| 7,899 | Assicurazioni Generali SpA | 160,858 | ||||||
| 407 | Assurant, Inc. | 51,168 | ||||||
| 20,405 | Aviva plc | 102,825 | ||||||
| 13,302 | AXA SA | 392,950 | ||||||
| 296 | Baloise Holding AG, Registered Shares | 43,545 | ||||||
| 1,810 | Brown & Brown, Inc. | 124,600 | ||||||
| 2,967 | Chubb, Ltd. | 571,326 | ||||||
See accompanying notes to the financial statements.
11
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Insurance, continued |
||||||||
| 1,005 | Cincinnati Financial Corp. | $ | 97,807 | |||||
| 6,600 | Dai-ichi Life Holdings, Inc. | 126,617 | ||||||
| 202 | Erie Indemnity Co., Class A | 42,422 | ||||||
| 281 | Everest Re Group, Ltd. | 96,063 | ||||||
| 157 | Fairfax Financial Holdings, Ltd. | 117,613 | ||||||
| 1,917 | Fidelity National Financial, Inc. | 69,012 | ||||||
| 1,848 | Gjensidige Forsikring ASA | 29,631 | ||||||
| 676 | Globe Life, Inc. | 74,103 | ||||||
| 1,806 | Great-West Lifeco, Inc. | 52,451 | ||||||
| 437 | Hannover Rueck SE | 92,657 | ||||||
| 2,083 | Hartford Financial Services Group, Inc. (The) | 150,018 | ||||||
| 679 | iA Financial Corp., Inc. | 46,263 | ||||||
| 16,630 | Insurance Australia Group, Ltd. | 63,345 | ||||||
| 1,269 | Intact Financial Corp. | 195,954 | ||||||
| 15,300 | Japan Post Holdings Co., Ltd. | 110,027 | ||||||
| 1,700 | Japan Post Insurance Co., Ltd. | 25,562 | ||||||
| 41,596 | Legal & General Group plc | 120,560 | ||||||
| 1,606 | Loews Corp. | 95,364 | ||||||
| 13,145 | Manulife Financial Corp. | 248,491 | ||||||
| 91 | Markel Group, Inc.* | 125,869 | ||||||
| 3,554 | Marsh & McLennan Cos., Inc. | 668,436 | ||||||
| 17,323 | Medibank Pvt, Ltd. | 40,756 | ||||||
| 4,659 | MetLife, Inc. | 263,373 | ||||||
| 3,200 | MS&AD Insurance Group Holdings, Inc. | 114,033 | ||||||
| 1,000 | Muenchener Rueckversicherungs-Gesellschaft AG in | |||||||
| Muenchen, Class R | 374,950 | |||||||
| 2,086 | NN Group NV | 77,395 | ||||||
| 6,201 | Phoenix Group Holdings plc | 41,906 | ||||||
| 2,955 | Poste Italiane SpA | 32,056 | ||||||
| 4,218 | Power Corp. of Canada^ | 113,554 | ||||||
| 1,871 | Principal Financial Group, Inc. | 141,897 | ||||||
| 4,273 | Progressive Corp. (The) | 565,617 | ||||||
| 2,777 | Prudential Financial, Inc. | 244,987 | ||||||
| 20,125 | Prudential plc | 283,764 | ||||||
| 10,666 | QBE Insurance Group, Ltd. | 112,230 | ||||||
| 3,651 | Sampo Oyj, A Shares | 163,728 | ||||||
| 2,300 | Sompo Holdings, Inc. | 103,120 | ||||||
| 4,106 | Sun Life Financial, Inc. | 214,072 | ||||||
| 9,098 | Suncorp Group, Ltd. | 82,056 | ||||||
| 244 | Swiss Life Holding AG | 142,801 | ||||||
| 2,255 | Swiss Re AG | 227,132 | ||||||
| 3,200 | T&D Holdings, Inc. | 47,282 | ||||||
| 12,700 | Tokio Marine Holdings, Inc. | 293,263 | ||||||
| 1,651 | Travelers Cos., Inc. (The) | 286,713 | ||||||
| 2,488 | Tryg A/S | 53,860 | ||||||
| 1,540 | W R Berkley Corp. | 91,722 | ||||||
| 797 | Willis Towers Watson plc | 187,694 | ||||||
| 1,092 | Zurich Insurance Group AG | 518,958 | ||||||
|
|
|
| ||||||
| 12,520,450 | ||||||||
|
|
|
| ||||||
| Interactive Media & Services (3.6%): | ||||||||
| 1,569 | Adevinta ASA* | 10,295 | ||||||
| 42,902 | Alphabet, Inc., Class A* | 5,135,369 | ||||||
| 38,683 | Alphabet, Inc., Class C* | 4,679,482 | ||||||
| 6,294 | Auto Trader Group plc | 48,775 | ||||||
| 2,194 | Match Group, Inc.* | 91,819 | ||||||
| 15,947 | Meta Platforms, Inc., Class A* | 4,576,470 | ||||||
| 3,899 | Pinterest, Inc., Class A* | 106,599 | ||||||
| 488 | REA Group, Ltd. | 46,738 | ||||||
| 483 | Scout24 SE | 30,614 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Interactive Media & Services, continued |
||||||||
| 3,100 | SEEK, Ltd. | $ | 44,968 | |||||
| 8,297 | Snap, Inc., Class A* | 98,236 | ||||||
| 19,800 | Z Holdings Corp. | 47,820 | ||||||
| 1,887 | ZoomInfo Technologies, Inc.* | 47,911 | ||||||
|
|
|
| ||||||
| 14,965,096 | ||||||||
|
|
|
| ||||||
| IT Services (1.3%): | ||||||||
| 4,527 | Accenture plc, Class A | 1,396,942 | ||||||
| 1,051 | Akamai Technologies, Inc.* | 94,453 | ||||||
| 589 | Bechtle AG | 23,336 | ||||||
| 1,256 | Capgemini SE | 237,915 | ||||||
| 1,553 | CGI, Inc.* | 163,788 | ||||||
| 1,927 | Cloudflare, Inc., Class A* | 125,968 | ||||||
| 3,653 | Cognizant Technology Solutions Corp., Class A | 238,468 | ||||||
| 418 | EPAM Systems, Inc.* | 93,946 | ||||||
| 1,300 | Fujitsu, Ltd. | 167,623 | ||||||
| 585 | Gartner, Inc.* | 204,931 | ||||||
| 938 | GoDaddy, Inc., Class A* | 70,472 | ||||||
| 6,600 | International Business Machines Corp. | 883,146 | ||||||
| 800 | Itochu Techno-Solutions Corp. | 20,246 | ||||||
| 523 | MongoDB, Inc.* | 214,948 | ||||||
| 1,800 | NEC Corp. | 87,527 | ||||||
| 2,520 | Nomura Research Institute, Ltd. | 69,506 | ||||||
| 4,600 | NTT Data Corp. | 64,414 | ||||||
| 400 | Obic Co., Ltd. | 64,136 | ||||||
| 1,193 | Okta, Inc.* | 82,735 | ||||||
| 1,100 | Otsuka Corp. | 42,810 | ||||||
| 900 | SCSK Corp. | 14,167 | ||||||
| 8,545 | Shopify, Inc., Class A* | 552,335 | ||||||
| 1,688 | Snowflake, Inc., Class A* | 297,054 | ||||||
| 1,600 | TIS, Inc. | 40,093 | ||||||
| 1,365 | Twilio, Inc., Class A* | 86,841 | ||||||
| 709 | VeriSign, Inc.* | 160,213 | ||||||
| 514 | Wix.com, Ltd.* | 40,215 | ||||||
|
|
|
| ||||||
| 5,538,228 | ||||||||
|
|
|
| ||||||
| Leisure Products (0.1%): | ||||||||
| 4,200 | Bandai Namco Holdings, Inc. | 97,196 | ||||||
| 298 | BRP, Inc. | 25,195 | ||||||
| 961 | Hasbro, Inc. | 62,244 | ||||||
| 600 | Shimano, Inc. | 100,442 | ||||||
| 1,200 | Yamaha Corp. | 46,152 | ||||||
|
|
|
| ||||||
| 331,229 | ||||||||
|
|
|
| ||||||
| Life Sciences Tools & Services (1.2%): | ||||||||
| 2,059 | Agilent Technologies, Inc. | 247,595 | ||||||
| 5,277 | Avantor, Inc.* | 108,389 | ||||||
| 260 | Bachem Holding AG, Registered B | 22,711 | ||||||
| 171 | Bio-Rad Laboratories, Inc., Class A* | 64,829 | ||||||
| 1,220 | Bio-Techne Corp. | 99,589 | ||||||
| 403 | Charles River Laboratories International, Inc.* | 84,731 | ||||||
| 5,001 | Danaher Corp. | 1,200,240 | ||||||
| 1,012 | Eurofins Scientific SE^ | 64,275 | ||||||
| 1,166 | Illumina, Inc.* | 218,613 | ||||||
| 1,290 | IQVIA Holdings, Inc.* | 289,953 | ||||||
| 534 | Lonza Group AG | 318,989 | ||||||
| 155 | Mettler-Toledo International, Inc.* | 203,304 | ||||||
| 1,659 | QIAGEN NV* | 74,411 | ||||||
| 394 | Repligen Corp.* | 55,735 | ||||||
| 892 | Revvity, Inc. | 105,961 | ||||||
| 198 | Sartorius AG | 67,893 | ||||||
See accompanying notes to the financial statements.
12
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Life Sciences Tools & Services, continued |
||||||||
| 206 | Sartorius Stedim Biotech | $ | 51,474 | |||||
| 2,790 | Thermo Fisher Scientific, Inc. | 1,455,682 | ||||||
| 450 | Waters Corp.* | 119,943 | ||||||
| 551 | West Pharmaceutical Services, Inc. | 210,741 | ||||||
|
|
|
| ||||||
| 5,065,058 | ||||||||
|
|
|
| ||||||
| Machinery (2.1%): | ||||||||
| 2,154 | Alfa Laval AB | 78,581 | ||||||
| 2,573 | Alstom SA | 76,796 | ||||||
| 18,605 | Atlas Copco AB, Class A | 268,422 | ||||||
| 11,256 | Atlas Copco AB, Class B | 140,295 | ||||||
| 3,694 | Caterpillar, Inc. | 908,909 | ||||||
| 7,981 | CNH Industrial NV | 115,344 | ||||||
| 1,049 | Cummins, Inc. | 257,173 | ||||||
| 2,100 | Daifuku Co., Ltd. | 43,004 | ||||||
| 3,580 | Daimler Truck Holding AG | 128,884 | ||||||
| 2,013 | Deere & Co. | 815,647 | ||||||
| 1,026 | Dover Corp. | 151,489 | ||||||
| 5,056 | Epiroc AB, Class A | 95,803 | ||||||
| 2,340 | Epiroc AB, Class B | 37,860 | ||||||
| 7,000 | FANUC Corp. | 246,148 | ||||||
| 2,617 | Fortive Corp. | 195,673 | ||||||
| 952 | GEA Group AG | 39,782 | ||||||
| 1,299 | Graco, Inc. | 112,169 | ||||||
| 800 | Hitachi Construction Machinery Co., Ltd. | 22,537 | ||||||
| 600 | Hoshizaki Corp. | 21,579 | ||||||
| 2,525 | Husqvarna AB, B Shares | 22,912 | ||||||
| 495 | IDEX Corp. | 106,554 | ||||||
| 2,168 | Illinois Tool Works, Inc. | 542,347 | ||||||
| 2,137 | Indutrade AB | 48,237 | ||||||
| 3,004 | Ingersoll Rand, Inc. | 196,341 | ||||||
| 395 | Knorr-Bremse AG | 30,155 | ||||||
| 7,100 | Komatsu, Ltd. | 192,134 | ||||||
| 2,391 | Kone Oyj, Class B | 124,885 | ||||||
| 7,100 | Kubota Corp.^ | 103,439 | ||||||
| 1,000 | Kurita Water Industries, Ltd. | 38,439 | ||||||
| 1,500 | Makita Corp. | 42,109 | ||||||
| 5,113 | Metso Oyj | 61,589 | ||||||
| 2,300 | MINEBEA MITSUMI, Inc. | 43,559 | ||||||
| 1,800 | MISUMI Group, Inc. | 36,030 | ||||||
| 2,300 | Mitsubishi Heavy Industries, Ltd. | 107,614 | ||||||
| 1,400 | NGK Insulators, Ltd. | 16,749 | ||||||
| 411 | Nordson Corp. | 102,002 | ||||||
| 3,040 | Otis Worldwide Corp. | 270,590 | ||||||
| 3,675 | PACCAR, Inc. | 307,414 | ||||||
| 942 | Parker-Hannifin Corp. | 367,418 | ||||||
| 1,194 | Pentair PLC | 77,132 | ||||||
| 32 | Rational AG | 23,150 | ||||||
| 8,277 | Sandvik AB | 161,679 | ||||||
| 275 | Schindler Holding AG | 64,531 | ||||||
| 187 | Schindler Holding AG, Registered Shares | 42,034 | ||||||
| 217,569 | Seatrium, Ltd.* | 20,153 | ||||||
| 2,448 | SKF AB, B Shares | 42,648 | ||||||
| 400 | SMC Corp. | 222,343 | ||||||
| 388 | Snap-on, Inc. | 111,818 | ||||||
| 556 | Spirax-Sarco Engineering plc | 73,224 | ||||||
| 1,129 | Stanley Black & Decker, Inc. | 105,799 | ||||||
| 10,500 | Techtronic Industries Co., Ltd. | 114,897 | ||||||
| 802 | Toro Co. (The) | 81,523 | ||||||
| 1,100 | Toyota Industries Corp. | 78,922 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Machinery, continued |
||||||||
| 227 | VAT Group AG | $ | 94,044 | |||||
| 863 | Volvo AB, Class A | 18,411 | ||||||
| 11,054 | Volvo AB, Class B | 229,363 | ||||||
| 4,375 | Wartsila Oyj Abp, Class B | 49,288 | ||||||
| 1,184 | Westinghouse Air Brake Technologies Corp. | 129,849 | ||||||
| 1,706 | Xylem, Inc. | 192,130 | ||||||
| 1,600 | Yaskawa Electric Corp. | 73,665 | ||||||
|
|
|
| ||||||
| 8,523,215 | ||||||||
|
|
|
| ||||||
| Marine Transportation (0.1%): | ||||||||
| 20 | AP Moller - Maersk A/S, Class A | 34,907 | ||||||
| 39 | AP Moller - Maersk A/S, Class B | 68,623 | ||||||
| 408 | Kuehne + Nagel International AG | 120,646 | ||||||
| 2,700 | Mitsui OSK Lines, Ltd. | 64,618 | ||||||
| 3,600 | Nippon Yusen KK | 80,010 | ||||||
| 12,000 | SITC International Holdings Co., Ltd. | 22,025 | ||||||
|
|
|
| ||||||
| 390,829 | ||||||||
|
|
|
| ||||||
| Media (0.7%): | ||||||||
| 720 | Charter Communications, Inc., Class A* | 264,506 | ||||||
| 30,354 | Comcast Corp., Class A | 1,261,209 | ||||||
| 3,700 | CyberAgent, Inc. | 27,025 | ||||||
| 1,300 | Dentsu Group, Inc. | 42,645 | ||||||
| 2,345 | Fox Corp., Class A | 79,730 | ||||||
| 968 | Fox Corp., Class B | 30,870 | ||||||
| 1,700 | Hakuhodo DY Holdings, Inc. | 17,951 | ||||||
| 10,971 | Informa plc | 101,115 | ||||||
| 2,935 | Interpublic Group of Cos., Inc. (The) | 113,232 | ||||||
| 991 | Liberty Broadband Corp., Class C* | 79,389 | ||||||
| 1,069 | Liberty Media Corp-Liberty SiriusXM, Class C* | 34,988 | ||||||
| 2,491 | News Corp., Class A | 48,574 | ||||||
| 1,360 | Omnicom Group, Inc. | 129,404 | ||||||
| 3,327 | Paramount Global, Class B | 52,933 | ||||||
| 1,673 | Publicis Groupe SA | 130,497 | ||||||
| 717 | Quebecor, Inc., Class B | 17,673 | ||||||
| 6,283 | Sirius XM Holdings, Inc.^ | 28,462 | ||||||
| 3,134 | Trade Desk, Inc. (The), Class A* | 242,007 | ||||||
| 5,833 | Vivendi SE | 53,771 | ||||||
| 7,540 | WPP plc | 78,803 | ||||||
|
|
|
| ||||||
| 2,834,784 | ||||||||
|
|
|
| ||||||
| Metals & Mining (1.5%): | ||||||||
| 3,422 | Agnico Eagle Mines, Ltd. | 170,893 | ||||||
| 1,443 | Alcoa Corp. | 48,961 | ||||||
| 9,363 | Anglo American plc | 265,346 | ||||||
| 2,646 | Antofagasta plc | 49,303 | ||||||
| 3,710 | ArcelorMittal SA | 101,067 | ||||||
| 12,813 | Barrick Gold Corp. | 216,774 | ||||||
| 36,402 | BHP Group, Ltd. | 1,085,884 | ||||||
| 2,969 | BlueScope Steel, Ltd. | 40,951 | ||||||
| 2,098 | Boliden AB | 60,749 | ||||||
| 4,103 | Cleveland-Cliffs, Inc.* | 68,766 | ||||||
| 4,279 | First Quantum Minerals, Ltd. | 101,241 | ||||||
| 12,334 | Fortescue Metals Group, Ltd. | 183,649 | ||||||
| 1,429 | Franco-Nevada Corp. | 203,691 | ||||||
| 10,176 | Freeport-McMoRan, Inc. | 407,040 | ||||||
| 76,489 | Glencore plc | 433,816 | ||||||
| 5,091 | IGO, Ltd. | 51,950 | ||||||
| 4,254 | Ivanhoe Mines, Ltd., Class A* | 38,860 | ||||||
| 3,100 | JFE Holdings, Inc. | 44,489 | ||||||
| 7,700 | Kinross Gold Corp. | 36,739 | ||||||
See accompanying notes to the financial statements.
13
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Metals & Mining, continued |
||||||||
| 4,089 | Lundin Mining Corp. | $ | 32,043 | |||||
| 1,374 | Mineral Resources, Ltd. | 65,988 | ||||||
| 6,174 | Newcrest Mining, Ltd. | 110,286 | ||||||
| 5,797 | Newmont Corp. | 247,300 | ||||||
| 6,300 | Nippon Steel Corp. | 132,260 | ||||||
| 10,117 | Norsk Hydro ASA | 60,158 | ||||||
| 8,015 | Northern Star Resources, Ltd. | 65,052 | ||||||
| 1,798 | Nucor Corp. | 294,836 | ||||||
| 1,988 | Pan American Silver Corp. | 28,966 | ||||||
| 18,950 | Pilbara Minerals, Ltd. | 62,478 | ||||||
| 453 | Reliance Steel & Aluminum Co. | 123,030 | ||||||
| 8,195 | Rio Tinto plc | 520,540 | ||||||
| 2,653 | Rio Tinto, Ltd. | 204,125 | ||||||
| 33,578 | South32, Ltd. | 84,665 | ||||||
| 1,147 | Steel Dynamics, Inc. | 124,943 | ||||||
| 1,800 | Sumitomo Metal Mining Co., Ltd. | 58,022 | ||||||
| 3,439 | Teck Resources, Ltd., Class B | 144,715 | ||||||
| 1,156 | voestalpine AG | 41,537 | ||||||
| 3,194 | Wheaton Precious Metals Corp. | 138,143 | ||||||
|
|
|
| ||||||
| 6,149,256 | ||||||||
|
|
|
| ||||||
| Mortgage Real Estate Investment Trusts (REITs) (0.0%†): | ||||||||
| 3,240 | Annaly Capital Management, Inc. | 64,832 | ||||||
|
|
|
| ||||||
| Multi-Utilities (0.7%): | ||||||||
| 5,519 | Algonquin Power & Utilities Corp.^ | 45,624 | ||||||
| 1,839 | Ameren Corp. | 150,191 | ||||||
| 993 | Canadian Utilities, Ltd., Class A | 25,721 | ||||||
| 4,546 | CenterPoint Energy, Inc. | 132,516 | ||||||
| 41,700 | Centrica plc | 65,660 | ||||||
| 2,272 | CMS Energy Corp. | 133,480 | ||||||
| 2,626 | Consolidated Edison, Inc. | 237,390 | ||||||
| 6,169 | Dominion Energy, Inc. | 319,493 | ||||||
| 1,413 | DTE Energy Co. | 155,458 | ||||||
| 16,775 | E.ON SE | 213,799 | ||||||
| 13,346 | Engie SA | 221,964 | ||||||
| 26,334 | National Grid plc | 347,924 | ||||||
| 2,789 | NiSource, Inc. | 76,279 | ||||||
| 3,719 | Public Service Enterprise Group, Inc. | 232,847 | ||||||
| 2,330 | Sempra Energy | 339,225 | ||||||
| 4,592 | Veolia Environnement SA | 145,169 | ||||||
| 2,188 | WEC Energy Group, Inc. | 193,069 | ||||||
|
|
|
| ||||||
| 3,035,809 | ||||||||
|
|
|
| ||||||
| Office REITs (0.1%): | ||||||||
| 1,079 | Alexandria Real Estate Equities, Inc. | 122,456 | ||||||
| 1,147 | Boston Properties, Inc. | 66,056 | ||||||
| 424 | Gecina SA | 45,164 | ||||||
| 7 | Japan Real Estate Investment Corp. | 26,636 | ||||||
|
|
|
| ||||||
| 260,312 | ||||||||
|
|
|
| ||||||
| Oil, Gas & Consumable Fuels (4.3%): | ||||||||
| 2,453 | Aker BP ASA | 57,505 | ||||||
| 1,369 | Ampol, Ltd. | 27,453 | ||||||
| 2,297 | APA Corp. | 78,488 | ||||||
| 3,848 | ARC Resources, Ltd. | 51,332 | ||||||
| 126,386 | BP plc | 740,355 | ||||||
| 2,904 | Cameco Corp. | 90,961 | ||||||
| 8,059 | Canadian Natural Resources, Ltd. | 453,144 | ||||||
| 9,982 | Cenovus Energy, Inc. | 169,557 | ||||||
| 1,707 | Cheniere Energy, Inc. | 260,079 | ||||||
| 767 | Chesapeake Energy Corp. | 64,183 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Oil, Gas & Consumable Fuels, continued |
||||||||
| 12,936 | Chevron Corp. | $ | 2,035,480 | |||||
| 8,690 | ConocoPhillips | 900,371 | ||||||
| 5,788 | Coterra Energy, Inc. | 146,436 | ||||||
| 4,662 | Devon Energy Corp. | 225,361 | ||||||
| 1,284 | Diamondback Energy, Inc. | 168,666 | ||||||
| 14,260 | Enbridge, Inc. | 530,094 | ||||||
| 22,150 | ENEOS Holdings, Inc. | 75,901 | ||||||
| 17,025 | Eni SpA | 245,468 | ||||||
| 4,238 | EOG Resources, Inc. | 484,997 | ||||||
| 2,651 | EQT Corp. | 109,036 | ||||||
| 7,062 | Equinor ASA | 205,233 | ||||||
| 29,163 | Exxon Mobil Corp. | 3,127,732 | ||||||
| 4,420 | Galp Energia SGPS SA | 51,675 | ||||||
| 2,038 | Hess Corp. | 277,066 | ||||||
| 1,215 | HF Sinclair Corp. | 54,201 | ||||||
| 1,482 | Idemitsu Kosan Co., Ltd. | 29,753 | ||||||
| 1,615 | Imperial Oil, Ltd. | 82,640 | ||||||
| 7,500 | Inpex Corp. | 83,650 | ||||||
| 2,058 | Keyera Corp. | 47,465 | ||||||
| 14,812 | Kinder Morgan, Inc. | 255,063 | ||||||
| 4,175 | Marathon Oil Corp. | 96,109 | ||||||
| 3,239 | Marathon Petroleum Corp. | 377,667 | ||||||
| 2,999 | Neste Oyj | 115,573 | ||||||
| 5,280 | Occidental Petroleum Corp. | 310,464 | ||||||
| 981 | OMV AG | 41,563 | ||||||
| 3,296 | ONEOK, Inc. | 203,429 | ||||||
| 1,899 | Ovintiv, Inc. | 72,295 | ||||||
| 697 | Parkland Corp. | 17,364 | ||||||
| 3,603 | Pembina Pipeline Corp. | 113,291 | ||||||
| 3,388 | Phillips 66 | 323,147 | ||||||
| 1,678 | Pioneer Natural Resources Co. | 347,648 | ||||||
| 10,175 | Repsol SA^ | 147,930 | ||||||
| 24,668 | Santos, Ltd. | 124,217 | ||||||
| 49,520 | Shell plc | 1,474,149 | ||||||
| 9,400 | Suncor Energy, Inc. | 275,769 | ||||||
| 1,413 | Targa Resources Corp. | 107,529 | ||||||
| 7,433 | TC Energy Corp.^ | 300,440 | ||||||
| 48 | Texas Pacific Land Corp. | 63,192 | ||||||
| 17,009 | TotalEnergies SE | 974,734 | ||||||
| 2,246 | Tourmaline Oil Corp. | 105,840 | ||||||
| 2,565 | Valero Energy Corp. | 300,875 | ||||||
| 1,889 | Washington H Soul Pattinson & Co., Ltd. | 40,037 | ||||||
| 8,864 | Williams Cos., Inc. (The) | 289,232 | ||||||
| 13,699 | Woodside Energy Group, Ltd. | 316,130 | ||||||
| 275 | Woodside Energy Group, Ltd. | 6,367 | ||||||
|
|
|
| ||||||
| 17,674,336 | ||||||||
|
|
|
| ||||||
| Paper & Forest Products (0.1%): | ||||||||
| 734 | Holmen AB, B Shares | 26,389 | ||||||
| 3,443 | Mondi plc | 52,560 | ||||||
| 8,500 | Oji Holdings Corp. | 31,842 | ||||||
| 4,244 | Stora Enso Oyj, Class R | 49,181 | ||||||
| 4,358 | Svenska Cellulosa AB SCA, Class B | 55,612 | ||||||
| 3,794 | UPM-Kymmene Oyj | 113,059 | ||||||
| 391 | West Fraser Timber Co., Ltd. | 33,595 | ||||||
|
|
|
| ||||||
| 362,238 | ||||||||
|
|
|
| ||||||
| Passenger Airlines (0.1%): | ||||||||
| 990 | Air Canada* | 18,677 | ||||||
| 1,000 | ANA Holdings, Inc.* | 23,861 | ||||||
| 962 | Delta Air Lines, Inc.* | 45,734 | ||||||
See accompanying notes to the financial statements.
14
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Passenger Airlines, continued |
||||||||
| 4,680 | Deutsche Lufthansa AG* | $ | 47,897 | |||||
| 1,000 | Japan Airlines Co., Ltd. | 21,726 | ||||||
| 5,489 | Qantas Airways, Ltd.* | 22,756 | ||||||
| 8,850 | Singapore Airlines, Ltd. | 46,848 | ||||||
| 1,365 | Southwest Airlines Co. | 49,427 | ||||||
|
|
|
|||||||
| 276,926 | ||||||||
|
|
|
|||||||
| Personal Care Products (0.6%): | ||||||||
| 707 | Beiersdorf AG | 93,532 | ||||||
| 1,624 | Estee Lauder Cos., Inc. (The), Class A | 318,921 | ||||||
| 39,256 | Haleon plc | 161,525 | ||||||
| 3,500 | Kao Corp. | 126,782 | ||||||
| 500 | Kobayashi Pharmaceutical Co., Ltd. | 27,208 | ||||||
| 100 | Kose Corp.^ | 9,614 | ||||||
| 1,752 | L’Oreal SA | 817,540 | ||||||
| 2,800 | Shiseido Co., Ltd. | 126,870 | ||||||
| 18,351 | Unilever plc | 956,712 | ||||||
|
|
|
|||||||
| 2,638,704 | ||||||||
|
|
|
|||||||
| Pharmaceuticals (5.3%): | ||||||||
| 13,000 | Astellas Pharma, Inc. | 193,739 | ||||||
| 11,127 | AstraZeneca plc | 1,593,552 | ||||||
| 7,025 | Bayer AG, Registered Shares | 388,347 | ||||||
| 15,244 | Bristol-Myers Squibb Co. | 974,854 | ||||||
| 1,386 | Catalent, Inc.* | 60,097 | ||||||
| 4,600 | Chugai Pharmaceutical Co., Ltd. | 130,838 | ||||||
| 13,100 | Daiichi Sankyo Co., Ltd. | 415,463 | ||||||
| 1,700 | Eisai Co., Ltd. | 114,577 | ||||||
| 5,842 | Eli Lilly & Co. | 2,739,781 | ||||||
| 29,601 | GSK plc | 522,807 | ||||||
| 1,106 | Hikma Pharmaceuticals plc | 26,567 | ||||||
| 283 | Ipsen SA | 34,054 | ||||||
| 415 | Jazz Pharmaceuticals plc* | 51,448 | ||||||
| 18,769 | Johnson & Johnson | 3,106,645 | ||||||
| 2,500 | Kyowa Kirin Co., Ltd. | 46,217 | ||||||
| 18,209 | Merck & Co., Inc. | 2,101,137 | ||||||
| 999 | Merck KGaA | 165,151 | ||||||
| 200 | Nippon Shinyaku Co., Ltd. | 8,159 | ||||||
| 14,825 | Novartis AG | 1,496,667 | ||||||
| 11,973 | Novo Nordisk A/S, Class B | 1,934,088 | ||||||
| 2,500 | Ono Pharmaceutical Co., Ltd. | 45,334 | ||||||
| 612 | Orion Oyj, Class B | 25,394 | ||||||
| 2,900 | Otsuka Holdings Co., Ltd. | 106,298 | ||||||
| 40,456 | Pfizer, Inc. | 1,483,926 | ||||||
| 990 | Recordati Industria Chimica e Farmaceutica SpA | 47,313 | ||||||
| 5,109 | Roche Holding AG | 1,561,724 | ||||||
| 187 | Roche Holding AG | 61,388 | ||||||
| 2,369 | Royalty Pharma plc, Class A | 72,823 | ||||||
| 8,129 | Sanofi | 871,370 | ||||||
| 2,000 | Shionogi & Co., Ltd. | 84,509 | ||||||
| 11,050 | Takeda Pharmaceutical Co., Ltd. | 347,349 | ||||||
| 8,695 | Teva Pharmaceutical Industries, Ltd., ADR* | 65,473 | ||||||
| 950 | UCB SA | 84,188 | ||||||
| 9,546 | Viatris, Inc. | 95,269 | ||||||
| 3,307 | Zoetis, Inc. | 569,498 | ||||||
|
|
|
|||||||
| 21,626,044 | ||||||||
|
|
|
|||||||
| Professional Services (1.3%): | ||||||||
| 1,432 | Adecco Group AG | 46,754 | ||||||
| 160 | Adyen NV* | 277,192 | ||||||
| 3,441 | Amadeus IT Group SA* | 262,321 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Professional Services, continued |
||||||||
| 2,975 | Automatic Data Processing, Inc. | $ | 653,875 | |||||
| 1,000 | BayCurrent Consulting, Inc. | 37,573 | ||||||
| 973 | Booz Allen Hamilton Holding Corp. | 108,587 | ||||||
| 793 | Broadridge Financial Solutions, Inc. | 131,345 | ||||||
| 1,956 | Bureau Veritas SA | 53,648 | ||||||
| 1,003 | Ceridian HCM Holding, Inc.* | 67,171 | ||||||
| 3,091 | Clarivate plc* | 29,457 | ||||||
| 3,893 | Computershare, Ltd. | 60,937 | ||||||
| 2,990 | CoStar Group, Inc.* | 266,110 | ||||||
| 922 | Equifax, Inc. | 216,947 | ||||||
| 6,667 | Experian plc | 256,142 | ||||||
| 1,287 | Intertek Group plc | 69,847 | ||||||
| 546 | Jack Henry & Associates, Inc. | 91,362 | ||||||
| 860 | Jacobs Solutions, Inc. | 102,245 | ||||||
| 995 | Leidos Holdings, Inc. | 88,038 | ||||||
| 4,062 | Nexi SpA* | 31,888 | ||||||
| 2,419 | Paychex, Inc. | 270,614 | ||||||
| 353 | Paycom Software, Inc. | 113,398 | ||||||
| 310 | Paylocity Holding Corp.* | 57,204 | ||||||
| 1,300 | Persol Holdings Co., Ltd. | 23,528 | ||||||
| 647 | Randstad NV | 34,095 | ||||||
| 10,500 | Recruit Holdings Co., Ltd. | 335,127 | ||||||
| 13,714 | RELX plc | 457,129 | ||||||
| 825 | Robert Half International, Inc. | 62,056 | ||||||
| 1,175 | SGS SA, Registered Shares | 111,008 | ||||||
| 1,465 | SS&C Technologies Holdings, Inc. | 88,779 | ||||||
| 405 | Teleperformance | 67,983 | ||||||
| 1,168 | Thomson Reuters Corp. | 157,757 | ||||||
| 1,266 | TransUnion | 99,166 | ||||||
| 1,041 | Verisk Analytics, Inc. | 235,297 | ||||||
| 1,843 | Wolters Kluwer NV | 233,992 | ||||||
|
|
|
| ||||||
| 5,198,572 | ||||||||
|
|
|
| ||||||
| Real Estate Management & Development (0.4%): | ||||||||
| 116 | Azrieli Group, Ltd. | 6,561 | ||||||
| 17,300 | CapitaLand Investment, Ltd. | 42,530 | ||||||
| 2,320 | CBRE Group, Inc., Class A* | 187,247 | ||||||
| 3,700 | City Developments, Ltd. | 18,450 | ||||||
| 14,000 | CK Asset Holdings, Ltd. | 77,699 | ||||||
| 500 | Daito Trust Construction Co., Ltd. | 50,738 | ||||||
| 4,200 | Daiwa House Industry Co., Ltd. | 111,015 | ||||||
| 18,800 | ESR Group, Ltd. | 32,367 | ||||||
| 3,858 | Fastighets AB Balder, B Shares* | 14,103 | ||||||
| 257 | FirstService Corp., Class WI | 39,584 | ||||||
| 11,000 | Hang Lung Properties, Ltd. | 16,978 | ||||||
| 13,324 | Henderson Land Development Co., Ltd. | 39,731 | ||||||
| 6,600 | Hongkong Land Holdings, Ltd. | 25,785 | ||||||
| 2,400 | Hulic Co., Ltd. | 20,599 | ||||||
| 666 | LEG Immobilien SE | 38,245 | ||||||
| 4,109 | Lendlease Corp., Ltd. | 21,257 | ||||||
| 7,600 | Mitsubishi Estate Co., Ltd. | 90,662 | ||||||
| 6,300 | Mitsui Fudosan Co., Ltd. | 125,711 | ||||||
| 8,827 | New World Development Co., Ltd. | 21,803 | ||||||
| 1,000 | Nomura Real Estate Holdings, Inc. | 23,790 | ||||||
| 1,352 | Sagax AB, Class B | 26,732 | ||||||
| 24,117 | Sino Land Co., Ltd. | 29,658 | ||||||
| 2,100 | Sumitomo Realty & Development Co., Ltd. | 52,054 | ||||||
| 9,500 | Sun Hung Kai Properties, Ltd. | 119,827 | ||||||
| 5,000 | Swire Pacific, Ltd., Class A | 38,470 | ||||||
| 9,200 | Swire Properties, Ltd. | 22,678 | ||||||
See accompanying notes to the financial statements.
15
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Real Estate Management & Development, continued |
||||||||
| 702 | Swiss Prime Site AG, Registered Shares | $ | 60,941 | |||||
| 1,769 | UOL Group, Ltd. | 8,427 | ||||||
| 5,641 | Vonovia SE | 110,127 | ||||||
| 11,000 | Wharf Real Estate Investment Co., Ltd. | 55,058 | ||||||
| 1,012 | Zillow Group, Inc., Class C* | 50,863 | ||||||
|
|
|
| ||||||
| 1,579,690 | ||||||||
|
|
|
| ||||||
| Residential REITs (0.3%): | ||||||||
| 2,448 | American Homes 4 Rent, Class A | 86,781 | ||||||
| 973 | AvalonBay Communities, Inc. | 184,160 | ||||||
| 739 | Camden Property Trust | 80,455 | ||||||
| 815 | Canadian Apartment Properties REIT^ | 31,293 | ||||||
| 1,394 | Equity LifeStyle Properties, Inc. | 93,245 | ||||||
| 2,712 | Equity Residential | 178,911 | ||||||
| 428 | Essex Property Trust, Inc. | 100,280 | ||||||
| 4,453 | Invitation Homes, Inc. | 153,183 | ||||||
| 795 | Mid-America Apartment Communities, Inc. | 120,729 | ||||||
| 860 | Sun Communities, Inc. | 112,196 | ||||||
| 2,272 | UDR, Inc. | 97,605 | ||||||
|
|
|
| ||||||
| 1,238,838 | ||||||||
|
|
|
| ||||||
| Retail REITs (0.3%): | ||||||||
| 44,406 | CapitaLand Integrated Commercial Trust | 62,821 | ||||||
| 43 | Japan Metropolitan Fund Invest | 28,722 | ||||||
| 4,981 | Kimco Realty Corp. | 98,225 | ||||||
| 1,908 | Klepierre SA | 47,332 | ||||||
| 17,300 | Link REIT | 96,319 | ||||||
| 15,100 | Mapletree Pan Asia Commercial Trust | 18,122 | ||||||
| 4,556 | Realty Income Corp. | 272,403 | ||||||
| 1,170 | Regency Centers Corp. | 72,271 | ||||||
| 36,788 | Scentre Group | 64,962 | ||||||
| 2,386 | Simon Property Group, Inc. | 275,535 | ||||||
| 812 | Unibail-Rodamco-Westfield* | 42,913 | ||||||
|
|
|
| ||||||
| 1,079,625 | ||||||||
|
|
|
| ||||||
| Semiconductors & Semiconductor Equipment (5.9%): | ||||||||
| 11,592 | Advanced Micro Devices, Inc.* | 1,320,445 | ||||||
| 1,400 | Advantest Corp. | 187,570 | ||||||
| 3,701 | Analog Devices, Inc. | 720,992 | ||||||
| 6,055 | Applied Materials, Inc. | 875,190 | ||||||
| 323 | ASM International NV | 137,352 | ||||||
| 2,887 | ASML Holding NV | 2,089,615 | ||||||
| 3,003 | Broadcom, Inc. | 2,604,892 | ||||||
| 600 | Disco Corp. | 94,933 | ||||||
| 979 | Enphase Energy, Inc.* | 163,963 | ||||||
| 1,138 | Entegris, Inc. | 126,113 | ||||||
| 717 | First Solar, Inc.* | 136,294 | ||||||
| 9,326 | Infineon Technologies AG | 384,572 | ||||||
| 30,102 | Intel Corp. | 1,006,611 | ||||||
| 1,011 | KLA Corp. | 490,355 | ||||||
| 960 | Lam Research Corp. | 617,146 | ||||||
| 500 | Lasertec Corp. | 75,577 | ||||||
| 1,009 | Lattice Semiconductor Corp.* | 96,935 | ||||||
| 6,104 | Marvell Technology, Inc. | 364,897 | ||||||
| 4,087 | Microchip Technology, Inc. | 366,154 | ||||||
| 7,960 | Micron Technology, Inc. | 502,356 | ||||||
| 311 | Monolithic Power Systems, Inc. | 168,011 | ||||||
| 17,792 | NVIDIA Corp. | 7,526,372 | ||||||
| 1,879 | NXP Semiconductors NV | 384,594 | ||||||
| 3,160 | ON Semiconductor Corp.* | 298,873 | ||||||
| 704 | Qorvo, Inc.* | 71,829 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Semiconductors & Semiconductor Equipment, continued |
||||||||
| 8,121 | QUALCOMM, Inc. | $ | 966,724 | |||||
| 8,700 | Renesas Electronics Corp.* | 164,663 | ||||||
| 500 | Rohm Co., Ltd. | 47,264 | ||||||
| 1,188 | Skyworks Solutions, Inc. | 131,500 | ||||||
| 386 | SolarEdge Technologies, Inc.* | 103,853 | ||||||
| 4,717 | STMicroelectronics NV | 234,641 | ||||||
| 2,600 | SUMCO Corp. | 36,803 | ||||||
| 1,111 | Teradyne, Inc. | 123,688 | ||||||
| 6,567 | Texas Instruments, Inc. | 1,182,191 | ||||||
| 3,300 | Tokyo Electron, Ltd. | 472,621 | ||||||
| 853 | Tower Semiconductor, Ltd.* | 31,538 | ||||||
| 928 | Wolfspeed, Inc.* | 51,587 | ||||||
|
|
|
| ||||||
| 24,358,714 | ||||||||
|
|
|
| ||||||
| Software (7.7%): | ||||||||
| 3,318 | Adobe, Inc.* | 1,622,469 | ||||||
| 650 | ANSYS, Inc.* | 214,676 | ||||||
| 217 | Aspen Technology, Inc.* | 36,371 | ||||||
| 1,026 | Atlassian Corp., Class A* | 172,173 | ||||||
| 1,549 | Autodesk, Inc.* | 316,941 | ||||||
| 1,586 | Bentley Systems, Inc., Class B | 86,009 | ||||||
| 597 | BILL Holdings, Inc.* | 69,759 | ||||||
| 1,147 | Black Knight, Inc.* | 68,510 | ||||||
| 1,958 | Cadence Design Systems, Inc.* | 459,190 | ||||||
| 748 | Check Point Software Technologies, Ltd.* | 93,964 | ||||||
| 147 | Constellation Software, Inc. | 304,605 | ||||||
| 1,478 | Crowdstrike Holdings, Inc., Class A* | 217,074 | ||||||
| 382 | CyberArk Software, Ltd.* | 59,718 | ||||||
| 4,699 | Dassault Systemes SE | 208,362 | ||||||
| 1,802 | Datadog, Inc., Class A* | 177,281 | ||||||
| 633 | Descartes Systems Group, Inc. (The)* | 50,713 | ||||||
| 1,635 | DocuSign, Inc.* | 83,532 | ||||||
| 1,999 | Dropbox, Inc., Class A* | 53,313 | ||||||
| 1,408 | Dynatrace, Inc.* | 72,470 | ||||||
| 188 | Fair Isaac Corp.* | 152,132 | ||||||
| 4,938 | Fortinet, Inc.* | 373,263 | ||||||
| 4,346 | Gen Digital, Inc. | 80,618 | ||||||
| 320 | HubSpot, Inc.* | 170,269 | ||||||
| 2,011 | Intuit, Inc. | 921,420 | ||||||
| 50,938 | Microsoft Corp. | 17,346,427 | ||||||
| 423 | Nemetschek SE | 31,674 | ||||||
| 487 | Nice, Ltd.* | 100,566 | ||||||
| 2,016 | Open Text Corp. | 83,861 | ||||||
| 300 | Oracle Corp. | 22,295 | ||||||
| 11,695 | Oracle Corp. | 1,392,758 | ||||||
| 12,569 | Palantir Technologies, Inc., Class A* | 192,683 | ||||||
| 2,158 | Palo Alto Networks, Inc.* | 551,391 | ||||||
| 818 | PTC, Inc.* | 116,401 | ||||||
| 784 | Roper Technologies, Inc. | 376,947 | ||||||
| 7,580 | Sage Group plc (The) | 89,029 | ||||||
| 7,201 | Salesforce, Inc.* | 1,521,283 | ||||||
| 7,544 | SAP SE | 1,029,989 | ||||||
| 1,490 | ServiceNow, Inc.* | 837,335 | ||||||
| 1,105 | Splunk, Inc.* | 117,229 | ||||||
| 1,098 | Synopsys, Inc.* | 478,080 | ||||||
| 617 | Temenos AG, Registered Shares | 49,141 | ||||||
| 800 | Trend Micro, Inc. | 38,746 | ||||||
| 326 | Tyler Technologies, Inc.* | 135,769 | ||||||
| 1,510 | Unity Software, Inc.* | 65,564 | ||||||
| 1,501 | VMware, Inc., Class A* | 215,679 | ||||||
See accompanying notes to the financial statements.
16
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Software, continued |
||||||||
| 1,150 | WiseTech Global, Ltd. | $ | 61,595 | |||||
| 1,487 | Workday, Inc., Class A* | 335,898 | ||||||
| 951 | Xero, Ltd.* | 75,988 | ||||||
| 1,326 | Zoom Video Communications, Inc., Class A* | 90,009 | ||||||
| 663 | Zscaler, Inc.* | 96,997 | ||||||
|
|
|
| ||||||
| 31,518,166 | ||||||||
|
|
|
| ||||||
| Specialized REITs (0.7%): | ||||||||
| 3,341 | American Tower Corp. | 647,953 | ||||||
| 3,067 | Crown Castle, Inc. | 349,454 | ||||||
| 2,111 | Digital Realty Trust, Inc. | 240,380 | ||||||
| 684 | Equinix, Inc. | 536,215 | ||||||
| 984 | Extra Space Storage, Inc. | 146,468 | ||||||
| 1,963 | Gaming and Leisure Properties, Inc. | 95,127 | ||||||
| 2,113 | Iron Mountain, Inc. | 120,061 | ||||||
| 1,172 | Public Storage | 342,083 | ||||||
| 819 | SBA Communications Corp. | 189,811 | ||||||
| 7,051 | VICI Properties, Inc. | 221,613 | ||||||
| 4,962 | Weyerhaeuser Co. | 166,277 | ||||||
|
|
|
| ||||||
| 3,055,442 | ||||||||
|
|
|
| ||||||
| Specialty Retail (1.6%): | ||||||||
| 492 | Advance Auto Parts, Inc. | 34,588 | ||||||
| 129 | AutoZone, Inc.* | 321,643 | ||||||
| 1,673 | Bath & Body Works, Inc. | 62,737 | ||||||
| 1,357 | Best Buy Co., Inc. | 111,206 | ||||||
| 521 | Burlington Stores, Inc.* | 82,000 | ||||||
| 1,047 | CarMax, Inc.* | 87,634 | ||||||
| 819 | Chewy, Inc., Class A* | 32,326 | ||||||
| 455 | Dick’s Sporting Goods, Inc. | 60,146 | ||||||
| 1,200 | Fast Retailing Co., Ltd. | 308,100 | ||||||
| 5,397 | H & M Hennes & Mauritz AB, Class B | 92,849 | ||||||
| 100 | Hikari Tsushin, Inc. | 14,373 | ||||||
| 7,291 | Home Depot, Inc. (The) | 2,264,876 | ||||||
| 7,837 | Industria de Diseno Textil SA | 304,456 | ||||||
| 17,355 | JD Sports Fashion plc | 32,162 | ||||||
| 12,728 | Kingfisher plc | 37,439 | ||||||
| 4,274 | Lowe’s Cos., Inc. | 964,642 | ||||||
| 500 | Nitori Holdings Co., Ltd. | 55,950 | ||||||
| 449 | O’Reilly Automotive, Inc.* | 428,930 | ||||||
| 2,420 | Ross Stores, Inc. | 271,355 | ||||||
| 8,311 | TJX Cos., Inc. (The) | 704,690 | ||||||
| 839 | Tractor Supply Co. | 185,503 | ||||||
| 379 | Ulta Beauty, Inc.* | 178,355 | ||||||
| 1,700 | USS Co., Ltd. | 28,178 | ||||||
| 1,812 | Zalando SE* | 52,129 | ||||||
| 1,200 | ZOZO, Inc. | 24,839 | ||||||
|
|
|
| ||||||
| 6,741,106 | ||||||||
|
|
|
| ||||||
| Technology Hardware, Storage & Peripherals (5.7%): | ||||||||
| 113,969 | Apple, Inc. | 22,106,567 | ||||||
| 2,300 | Brother Industries, Ltd. | 33,731 | ||||||
| 7,200 | Canon, Inc. | 190,013 | ||||||
| 2,057 | Dell Technologies, Inc., Class C | 111,304 | ||||||
| 2,500 | FUJIFILM Holdings Corp. | 148,493 | ||||||
| 9,036 | Hewlett Packard Enterprise Co. | 151,805 | ||||||
| 6,502 | HP, Inc. | 199,676 | ||||||
| 1,306 | Logitech International SA, Class R | 77,673 | ||||||
| 1,454 | NetApp, Inc. | 111,086 | ||||||
| 3,600 | Ricoh Co., Ltd. | 30,741 | ||||||
| 1,345 | Seagate Technology Holdings plc | 83,215 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Technology Hardware, Storage & Peripherals, continued |
||||||||
| 2,200 | Seiko Epson Corp. | $ | 34,164 | |||||
| 2,418 | Western Digital Corp.* | 91,715 | ||||||
|
|
|
| ||||||
| 23,370,183 | ||||||||
|
|
|
| ||||||
| Textiles, Apparel & Luxury Goods (1.3%): | ||||||||
| 1,229 | adidas AG | 238,348 | ||||||
| 2,711 | Burberry Group plc | 72,951 | ||||||
| 3,812 | Cie Financiere Richemont SA, Registered Shares | 646,977 | ||||||
| 193 | Deckers Outdoor Corp.* | 101,838 | ||||||
| 1,244 | Gildan Activewear, Inc. | 40,111 | ||||||
| 226 | Hermes International | 491,604 | ||||||
| 522 | Kering SA | 289,075 | ||||||
| 835 | Lululemon Athletica, Inc.* | 316,047 | ||||||
| 1,983 | LVMH Moet Hennessy Louis Vuitton SE | 1,871,229 | ||||||
| 1,545 | Moncler SpA | 106,894 | ||||||
| 8,846 | NIKE, Inc., Class B | 976,333 | ||||||
| 733 | Pandora A/S | 65,512 | ||||||
| 767 | Puma SE | 46,120 | ||||||
| 437 | Swatch Group AG (The) | 24,027 | ||||||
| 209 | Swatch Group AG (The), Class BR | 61,273 | ||||||
| 2,236 | VF Corp. | 42,685 | ||||||
|
|
|
| ||||||
| 5,391,024 | ||||||||
|
|
|
| ||||||
| Tobacco (0.6%): | ||||||||
| 12,793 | Altria Group, Inc. | 579,523 | ||||||
| 15,602 | British American Tobacco plc | 517,534 | ||||||
| 6,629 | Imperial Brands plc, Class A | 146,575 | ||||||
| 8,700 | Japan Tobacco, Inc.^ | 190,716 | ||||||
| 11,105 | Philip Morris International, Inc. | 1,084,070 | ||||||
|
|
|
| ||||||
| 2,518,418 | ||||||||
|
|
|
| ||||||
| Trading Companies & Distributors (0.8%): | ||||||||
| 1,088 | AerCap Holdings NV* | 69,110 | ||||||
| 3,106 | Ashtead Group plc | 215,645 | ||||||
| 1,133 | Brenntag SE | 88,263 | ||||||
| 2,452 | Bunzl plc | 93,340 | ||||||
| 4,048 | Fastenal Co. | 238,791 | ||||||
| 1,437 | Ferguson plc | 226,827 | ||||||
| 478 | IMCD NV | 68,749 | ||||||
| 8,700 | ITOCHU Corp. | 346,020 | ||||||
| 11,600 | Marubeni Corp. | 198,192 | ||||||
| 9,000 | Mitsubishi Corp. | 436,312 | ||||||
| 9,600 | Mitsui & Co., Ltd. | 361,251 | ||||||
| 1,400 | MonotaRO Co., Ltd.^ | 17,842 | ||||||
| 1,239 | Reece, Ltd. | 15,440 | ||||||
| 8,000 | Sumitomo Corp. | 169,990 | ||||||
| 731 | Toromont Industries, Ltd. | 60,059 | ||||||
| 1,400 | Toyota Tsushu Corp. | 69,894 | ||||||
| 527 | United Rentals, Inc. | 234,710 | ||||||
| 327 | W.W. Grainger, Inc. | 257,869 | ||||||
| 244 | Watsco, Inc. | 93,079 | ||||||
|
|
|
| ||||||
| 3,261,383 | ||||||||
|
|
|
| ||||||
| Transportation Infrastructure (0.1%): | ||||||||
| 546 | Aena SME SA | 88,250 | ||||||
| 215 | Aeroports de Paris | 30,889 | ||||||
| 8,354 | Auckland International Airport, Ltd.* | 43,762 | ||||||
| 2,993 | Getlink SE | 50,919 | ||||||
| 21,423 | Transurban Group | 204,012 | ||||||
|
|
|
| ||||||
| 417,832 | ||||||||
|
|
|
| ||||||
See accompanying notes to the financial statements.
17
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued |
||||||||
| Water Utilities (0.1%): |
||||||||
| 1,396 | American Water Works Co., Inc. | $ | 199,279 | |||||
| 1,659 | Essential Utilities, Inc. | 66,211 | ||||||
| 1,696 | Severn Trent plc | 55,242 | ||||||
| 4,770 | United Utilities Group plc | 58,243 | ||||||
|
|
|
| ||||||
| 378,975 | ||||||||
|
|
|
| ||||||
| Wireless Telecommunication Services (0.4%): | ||||||||
| 11,000 | KDDI Corp. | 340,000 | ||||||
| 2,761 | Rogers Communications, Inc., Class B | 125,981 | ||||||
| 21,500 | SoftBank Corp. | 230,031 | ||||||
| 7,500 | SoftBank Group Corp. | 355,999 | ||||||
| 4,629 | Tele2 AB | 38,327 | ||||||
| 4,267 | T-Mobile US, Inc.* | 592,686 | ||||||
| 168,258 | Vodafone Group plc | 158,729 | ||||||
|
|
|
| ||||||
| 1,841,753 | ||||||||
|
|
|
| ||||||
| Total Common Stocks (Cost $336,669,647) |
408,906,488 | |||||||
|
|
|
| ||||||
| Preferred Stocks (0.1%): | ||||||||
| Automobile Components (0.1%): | ||||||||
| 1,151 | Porsche Automobil Holding SE, 4.64%, 5/20/20* | 69,224 | ||||||
| 1,331 | Volkswagen AG, 7.13%, 5/8/20 | 178,507 | ||||||
|
|
|
| ||||||
| 247,731 | ||||||||
|
|
|
| ||||||
| Shares | Value | |||||||
| Preferred Stocks, continued |
||||||||
| Automobiles (0.0%†): |
||||||||
| 335 | Bayerische Motoren Werke AG, 8.18%, 5/15/20 | $ | 38,087 | |||||
|
|
|
| ||||||
| Household Products (0.0%†): | ||||||||
| 1,314 | Henkel AG & Co. KGaA, 2.53%, 4/21/20 | 105,027 | ||||||
|
|
|
| ||||||
| Total Preferred Stocks (Cost $516,440) | 390,845 | |||||||
|
|
|
| ||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.5%): |
||||||||
| 2,010,818 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(a)(b) |
2,010,818 | ||||||
|
|
|
| ||||||
| |
Total Short-Term Security
Held as Collateral |
2,010,818 | ||||||
|
|
|
| ||||||
| Unaffiliated Investment Company (0.2%): | ||||||||
| Money Markets (0.2%): | ||||||||
| 696,373 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(b) | 696,373 | ||||||
|
|
|
| ||||||
| |
Total Unaffiliated Investment Company (Cost $696,373) |
696,373 | ||||||
|
|
|
| ||||||
| |
Total Investment
Securities |
412,004,524 | ||||||
|
|
|
| ||||||
| Net other assets (liabilities) — (0.2)% |
(711,561 | ) | ||||||
|
|
|
| ||||||
| Net Assets — 100.0% |
$ | 411,292,963 | ||||||
|
|
|
| ||||||
Percentages indicated are based on net assets as of June 30, 2023.
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 June 30, 2023. The total value of securities on loan as of June 30, 2023 was $1,894,027. |
| + | Affiliated Securities |
| † | 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 June 30, 2023. |
| (b) | The rate represents the effective yield at June 30, 2023. |
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 June 30, 2023:
| (Unaudited) | ||||
| Country | Percentage | |||
| Argentina |
0.1% | |||
| Australia |
2.0% | |||
| Austria |
0.1% | |||
| Belgium |
0.2% | |||
| Bermuda |
0.1% | |||
| Canada |
3.3% | |||
| China |
—% | † | ||
| Denmark |
0.8% | |||
| Finland |
0.3% | |||
| France |
3.1% | |||
| Germany |
2.3% | |||
| Hong Kong |
0.7% | |||
| Ireland |
0.9% | |||
| Isle of Man |
—% | † | ||
| Israel |
0.2% | |||
| Italy |
0.6% | |||
| Japan |
6.2% | |||
| Jersey |
—% | † | ||
| Liberia |
—% | † | ||
| Luxembourg |
0.1% | |||
| Netherlands |
2.2% | |||
| New Zealand |
0.1% | |||
| Norway |
0.2% | |||
See accompanying notes to the financial statements.
18
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Country | Percentage | |||
| Panama |
—% | † | ||
| Portugal |
—% | † | ||
| Singapore |
0.4% | |||
| Spain |
0.7% | |||
| Sweden |
0.8% | |||
| Switzerland |
3.1% | |||
| United Kingdom |
3.8% | |||
| United States |
67.7% | |||
|
|
|
|||
| 100.0% | ||||
|
|
|
|||
| † | Represents less than 0.05%. |
Futures Contracts
At June 30, 2023, 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 September Futures (Euro) |
9/15/23 | 6 | $ | 289,817 | $ | 7,788 | ||||||||||
| FTSE 100 Index September Futures (British Pounds) |
9/15/23 | 3 | 287,284 | 1,087 | ||||||||||||
| S&P 500 Index E-Mini September Futures (U.S. Dollar) |
9/15/23 | 6 | 1,346,475 | 39,598 | ||||||||||||
| SGX Nikkei 225 Index September Futures (Japenese Yen) |
9/7/23 | 1 | 114,967 | 4,273 | ||||||||||||
|
|
|
| ||||||||||||||
| $ | 52,746 | |||||||||||||||
|
|
|
| ||||||||||||||
See accompanying notes to the financial statements.
19
AZL MSCI Global Equity Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investments in non-affiliates, at cost |
$ | 338,556,979 | |||
| Investments in affiliates, at cost |
1,336,299 | ||||
|
|
|
| |||
| Investments in non-affiliates, at value(a) |
$ | 410,575,517 | |||
| Investments in affiliates, at value |
1,429,007 | ||||
| Deposit at broker for futures contracts collateral |
113,582 | ||||
| Interest and dividends receivable |
369,871 | ||||
| Foreign currency, at value (cost $931,894) |
933,016 | ||||
| Receivable for capital shares issued |
915 | ||||
| Receivable for investments sold |
15,273 | ||||
| Receivable for variation margin on futures contracts |
23,223 | ||||
| Reclaims receivable |
407,725 | ||||
| Prepaid expenses |
481 | ||||
|
|
|
| |||
| Total Assets |
413,868,610 | ||||
|
|
|
| |||
| Liabilities: |
|||||
| Payable for investments purchased |
584 | ||||
| Payable for capital shares redeemed |
331,117 | ||||
| Payable for collateral received on loaned securities |
2,010,818 | ||||
| Management fees payable |
103,554 | ||||
| Administration fees payable |
10,742 | ||||
| Distribution fees payable |
74,771 | ||||
| Custodian fees payable |
8,367 | ||||
| Administrative and compliance services fees payable |
597 | ||||
| Transfer agent fees payable |
1,296 | ||||
| Trustee fees payable |
2,933 | ||||
| Other accrued liabilities |
30,868 | ||||
|
|
|
| |||
| Total Liabilities |
2,575,647 | ||||
|
|
|
| |||
| Commitments and contingent liabilities^ |
|||||
|
|
|
| |||
| Net Assets |
$ | 411,292,963 | |||
|
|
|
| |||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 335,950,042 | |||
| Total distributable earnings |
75,342,921 | ||||
|
|
|
| |||
| Net Assets |
$ | 411,292,963 | |||
|
|
|
| |||
| Class 1 |
|||||
| Net Assets |
$ | 43,186,096 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
5,137,924 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 8.41 | |||
|
|
|
| |||
| Class 2 |
|||||
| Net Assets |
$ | 368,106,867 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
25,591,340 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 14.38 | |||
|
|
|
| |||
| (a) | Includes securities on loan of $1,894,027. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends from non-affiliates |
$ | 5,129,366 | |||
| Dividends from affiliates |
48,830 | ||||
| Interest |
770 | ||||
| Income from securities lending |
14,044 | ||||
| Foreign withholding tax |
(305,453) | ||||
|
|
|
||||
| Total Investment Income |
4,887,557 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
1,396,571 | ||||
| Administration fees |
50,671 | ||||
| Distribution fees - Class 2 |
447,180 | ||||
| Custodian fees |
31,128 | ||||
| Administrative and compliance services fees |
2,657 | ||||
| Transfer agent fees |
7,191 | ||||
| Trustee fees |
10,879 | ||||
| Professional fees |
8,789 | ||||
| Licensing fees |
56,079 | ||||
| Shareholder reports |
8,025 | ||||
| Other expenses |
5,172 | ||||
|
|
|
||||
| Total expenses before reductions |
2,024,342 | ||||
| Less Management fees contractually waived |
(778,086) | ||||
|
|
|
||||
| Net expenses |
1,246,256 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
3,641,301 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
(4,175,206) | ||||
| Net realized gains/(losses) on affiliated transactions |
(18,797) | ||||
| Net realized gains/(losses) on futures contracts |
299,569 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
54,702,167 | ||||
| Change in net unrealized appreciation/depreciation on affiliated transactions |
44,896 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
86,438 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
50,939,067 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 54,580,368 | |||
|
|
|
See accompanying notes to the financial statements.
20
AZL MSCI Global Equity Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 3,641,301 | $ | 5,933,192 | ||||||
| Net realized gains/(losses) on investments |
(3,894,434) | 535,485 | ||||||||
| Change in unrealized appreciation/depreciation on investments |
54,833,501 | (97,877,432) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
54,580,368 | (91,408,755) | ||||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Class 1 |
— | (5,669,928) | ||||||||
| Class 2 |
— | (29,626,829) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
— | (35,296,757) | ||||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Class 1 |
||||||||||
| Proceeds from shares issued |
29,446 | 71,634 | ||||||||
| Proceeds from dividends reinvested |
— | 5,669,928 | ||||||||
| Value of shares redeemed |
(2,539,168) | (5,131,647) | ||||||||
|
|
|
|
|
|||||||
| Total Class 1 Shares |
(2,509,722) | 609,915 | ||||||||
|
|
|
|
|
|||||||
| Class 2 |
||||||||||
| Proceeds from shares issued |
25,202,718 | 5,426,058 | ||||||||
| Proceeds from dividends reinvested |
— | 29,626,829 | ||||||||
| Value of shares redeemed |
(38,014,522) | (54,949,045) | ||||||||
|
|
|
|
|
|||||||
| Total Class 2 Shares |
(12,811,804) | (19,896,158) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
(15,321,526) | (19,286,243) | ||||||||
|
|
|
|
|
|||||||
| Change in net assets |
39,258,842 | (145,991,755) | ||||||||
| Net Assets: |
||||||||||
| Beginning of period |
372,034,121 | 518,025,876 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 411,292,963 | $ | 372,034,121 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Class 1 |
||||||||||
| Shares issued |
3,828 | 7,887 | ||||||||
| Dividends reinvested |
— | 809,990 | ||||||||
| Shares redeemed |
(322,243) | (585,641) | ||||||||
|
|
|
|
|
|||||||
| Total Class 1 Shares |
(318,415) | 232,236 | ||||||||
|
|
|
|
|
|||||||
| Class 2 |
||||||||||
| Shares issued |
1,843,822 | 398,125 | ||||||||
| Dividends reinvested |
— | 2,468,902 | ||||||||
| Shares redeemed |
(2,805,867) | (3,868,175) | ||||||||
|
|
|
|
|
|||||||
| Total Class 2 Shares |
(962,045) | (1,001,148) | ||||||||
|
|
|
|
|
|||||||
| Change in shares |
(1,280,460) | (768,912) | ||||||||
|
|
|
|
|
|||||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
21
AZL MSCI Global Equity Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021^ |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 7.30 | $ | 10.43 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.08 | (a) | 0.14 | (a) | 0.06 | (a) | ||||||||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
1.03 | (2.07 | ) | 0.91 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total from Investment Activities |
1.11 | (1.93 | ) | 0.97 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.17 | ) | (0.13 | ) | |||||||||||||||||||||||||
| Net Realized Gains |
— | (1.03 | ) | (0.41 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Dividends |
— | (1.20 | ) | (0.54 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
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| Net Asset Value, End of Period |
$ | 8.41 | $ | 7.30 | $ | 10.43 | ||||||||||||||||||||||||
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|||||||||||||||||||||||||
| Total Return(b) |
15.21 | %(c) | (18.08 | )% | 10.00 | %(c) | ||||||||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 43,186 | $ | 39,839 | $ | 54,468 | ||||||||||||||||||||||||
| Net Investment Income/(Loss)(d) |
2.04 | % | 1.65 | % | 1.06 | % | ||||||||||||||||||||||||
| Expenses Before Reductions(d)(e) |
0.79 | % | 0.79 | % | 0.83 | % | ||||||||||||||||||||||||
| Expenses Net of Reductions(d) |
0.40 | % | 0.39 | % | 0.44 | % | ||||||||||||||||||||||||
| Portfolio Turnover Rate(f) |
8 | % | 2 | % | 49 | % | ||||||||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 12.51 | $ | 16.82 | $ | 14.35 | $ | 12.55 | $ | 10.03 | $ | 11.22 | ||||||||||||||||||
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| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.12 | (a) | 0.20 | (a) | 0.16 | (a) | 0.16 | (a) | 0.19 | (a) | 0.21 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
1.75 | (3.31 | ) | 2.85 | 1.75 | 2.52 | (1.19 | ) | ||||||||||||||||||||||
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|||||||||||||||||||
| Total from Investment Activities |
1.87 | (3.11 | ) | 3.01 | 1.91 | 2.71 | (0.98 | ) | ||||||||||||||||||||||
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| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.17 | ) | (0.13 | ) | (0.11 | ) | (0.19 | ) | (0.21 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (1.03 | ) | (0.41 | ) | — | — | — | ||||||||||||||||||||||
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| Total Dividends |
— | (1.20 | ) | (0.54 | ) | (0.11 | ) | (0.19 | ) | (0.21 | ) | |||||||||||||||||||
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| Net Asset Value, End of Period |
$ | 14.38 | $ | 12.51 | $ | 16.82 | $ | 14.35 | $ | 12.55 | $ | 10.03 | ||||||||||||||||||
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|
|||||||||||||||||||
| Total Return(b) |
14.95 | %(c) | (18.23 | )% | 21.18 | % | 15.36 | % | 27.25 | % | (8.94 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 368,107 | $ | 332,195 | $ | 463,557 | $ | 321,637 | $ | 331,138 | $ | 127,860 | ||||||||||||||||||
| Net Investment Income/(Loss)(d) |
1.80 | % | 1.40 | % | 1.03 | % | 1.32 | % | 1.68 | % | 1.67 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) |
1.04 | % | 1.04 | % | 1.09 | % | 1.08 | % | 1.12 | % | 1.14 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) |
0.65 | % | 0.65 | % | 0.70 | % | 0.69 | % | 0.73 | % | 0.75 | % | ||||||||||||||||||
| Portfolio Turnover Rate(f) |
8 | % | 2 | % | 49 | % | 13 | % | 9 | % | 4 | % | ||||||||||||||||||
| ^ | Class 1 activity is 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. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
22
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
23
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $1,385 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,010,818 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $2.8 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.
24
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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* | $ | 52,746 | 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 period ended June 30, 2023:
| 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 | $299,569 | $86,438 | |||||||||
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, 2024.
For the period ended June 30, 2023, 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. 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, 2024. The annual rate due to the Subadviser from the Manager is 0.06% of the first $300 million of the Fund’s net assets and 0.03% of the Fund’s net assets over $300 million.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable.
At June 30, 2023, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| Value 12/31/22 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gains (Losses) |
Change in Net Unrealized Appreciation (Depreciation) |
Value 06/30/23 |
Shares as of 06/30/23 |
Dividend Income |
Capital Gains Distributions |
||||||||||||||||||||||||||||
| Allianz SE, Registered Shares |
$ | 658,102 | $ | 52,991 | $ | (88,061 | ) | $ | (1,998 | ) | $ | 54,630 | $ | 675,664 | 2,905 | $ | 37,625 | $ | — | |||||||||||||||||
| BlackRock, Inc., Class A |
781,618 | 59,347 | (61,089 | ) | (16,799 | ) | (9,734 | ) | 753,343 | 1,090 | 11,205 | — | ||||||||||||||||||||||||
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|
|||||||||||||||||||
| $ | 1,439,720 | $ | 112,338 | $ | (149,150 | ) | $ | (18,797 | ) | $ | 44,896 | $ | 1,429,007 | 3,995 | $ | 48,830 | $ | — | ||||||||||||||||||
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25
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks+ |
$297,135,895 | $111,770,593 | $— | $408,906,488 | ||||||||||||
| Preferred Stocks |
— | 390,845 | — | 390,845 | ||||||||||||
26
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
$2,010,818 | $— | $— | $2,010,818 | ||||||||||||||||
| Unaffiliated Investment Company |
696,373 | — | — | 696,373 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
299,843,086 | 112,161,438 | — | 412,004,524 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||
| Futures Contracts |
52,746 | — | — | 52,746 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investments |
$299,895,832 | $112,161,438 | $— | $412,057,270 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$26,804,020 | $37,969,394 | ||||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such 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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
27
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $358,602,087. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$53,152,897 | ||||
| Unrealized (depreciation) |
(38,642,577 | ) | |||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$14,510,320 | ||||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL MSCI Global Equity Index Fund |
$29,139,384 | $6,157,373 | $35,296,757 | ||||||||||||
| (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, 2022, 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 |
$6,245,628 | $— | $— | $14,517,547 | $20,763,175 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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
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.
29
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
30
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Russell 1000 Growth Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition
Page 3 |
| Schedule of Portfolio Investments
Page 4 |
| Statement of Assets and Liabilities
Page 10 |
|
Page 10 |
| Statements of Changes in Net Assets
Page 11 |
|
Page 12 |
| Notes to the Financial Statements
Page 13 |
|
Page 19 |
| Statement Regarding the Trust’s Liquidity Risk Management Program
Page 20 |
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
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Russell 1000 Growth Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,296.30 | $ | 2.33 | 0.41 | % | ||||||||||||
| AZL Russell 1000 Growth Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,294.10 | $ | 3.75 | 0.66 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Russell 1000 Growth Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,022.76 | $ | 2.06 | 0.41 | % | ||||||||||||
| AZL Russell 1000 Growth Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | 0.66 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
43.1 | % | |||
| Consumer Discretionary |
15.9 | ||||
| Health Care |
10.9 | ||||
| Communication Services |
10.7 | ||||
| Financials |
6.3 | ||||
| Industrials |
6.0 | ||||
| Consumer Staples |
4.4 | ||||
| Real Estate |
0.9 | ||||
| Materials |
0.7 | ||||
| Energy |
0.5 | ||||
| Utilities |
0.1 | ||||
|
|
|
||||
| Total Common Stocks |
99.5 | ||||
| Unaffiliated Investment Company |
0.6 | ||||
| Short-Term Security Held as Collateral for Securities on Loan |
— | † | |||
|
|
|
||||
| Total Investment Securities |
100.1 | ||||
| Net other assets (liabilities) |
(0.1 | ) | |||
|
|
|
||||
| Net Assets |
100.0 | % | |||
|
|
|
||||
| † | Represents less than 0.05%. |
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks (99.5%): | ||||||||
| Aerospace & Defense (0.8%): | ||||||||
| 1,778 | Axon Enterprise, Inc.* | $ | 346,923 | |||||
| 1,940 | Boeing Co. (The)* | 409,650 | ||||||
| 399 | BWX Technologies, Inc. | 28,556 | ||||||
| 1,021 | HEICO Corp. | 180,656 | ||||||
| 1,856 | HEICO Corp., Class A | 260,954 | ||||||
| 5,770 | Lockheed Martin Corp. | 2,656,393 | ||||||
| 209 | Northrop Grumman Corp. | 95,262 | ||||||
| 275 | Spirit AeroSystems Holdings, Inc., Class A | 8,027 | ||||||
| 227 | TransDigm Group, Inc. | 202,977 | ||||||
|
|
|
|||||||
| 4,189,398 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics (0.2%): | ||||||||
| 2,289 | CH Robinson Worldwide, Inc. | 215,967 | ||||||
| 531 | Expeditors International of Washington, Inc. | 64,320 | ||||||
| 5,132 | United Parcel Service, Inc., Class B | 919,911 | ||||||
|
|
|
|||||||
| 1,200,198 | ||||||||
|
|
|
|||||||
| Automobile Components (3.3%): | ||||||||
| 70,593 | Tesla, Inc.* | 18,479,130 | ||||||
|
|
|
|||||||
| Banks (0.1%): | ||||||||
| 30 | First Citizens BancShares, Inc., Class A | 38,504 | ||||||
| 40,399 | NU Holdings, Ltd., Class A* | 318,748 | ||||||
|
|
|
|||||||
| 357,252 | ||||||||
|
|
|
|||||||
| Beverages (1.7%): | ||||||||
| 238 | Boston Beer Co., Inc. (The), Class A* | 73,409 | ||||||
| 711 | Brown-Forman Corp., Class A | 48,398 | ||||||
| 3,732 | Brown-Forman Corp., Class B | 249,223 | ||||||
| 1,390 | Celsius Holdings, Inc.* | 207,374 | ||||||
| 49,425 | Coca-Cola Co. (The) | 2,976,373 | ||||||
| 391 | Constellation Brands, Inc., Class C | 96,237 | ||||||
| 19,029 | Monster Beverage Corp.* | 1,093,026 | ||||||
| 24,356 | PepsiCo, Inc. | 4,511,218 | ||||||
|
|
|
|||||||
| 9,255,258 | ||||||||
|
|
|
|||||||
| Biotechnology (2.5%): | ||||||||
| 45,149 | AbbVie, Inc. | 6,082,925 | ||||||
| 2,541 | Alnylam Pharmaceuticals, Inc.* | 482,637 | ||||||
| 9,294 | Amgen, Inc. | 2,063,454 | ||||||
| 2,549 | Apellis Pharmaceuticals, Inc.* | 232,214 | ||||||
| 564 | BioMarin Pharmaceutical, Inc.* | 48,887 | ||||||
| 1,584 | Exact Sciences Corp.* | 148,738 | ||||||
| 7,273 | Exelixis, Inc.* | 138,987 | ||||||
| 5,163 | Horizon Therapeutics plc* | 531,015 | ||||||
| 3,477 | Incyte Corp.* | 216,443 | ||||||
| 3,450 | Ionis Pharmaceuticals, Inc.* | 141,553 | ||||||
| 812 | Karuna Therapeutics, Inc.* | 176,082 | ||||||
| 2,412 | Natera, Inc.* | 117,368 | ||||||
| 2,349 | Neurocrine Biosciences, Inc.* | 221,511 | ||||||
| 180 | Regeneron Pharmaceuticals, Inc.* | 129,337 | ||||||
| 5,898 | Roivant Sciences, Ltd.* | 59,452 | ||||||
| 2,116 | Sarepta Therapeutics, Inc.* | 242,324 | ||||||
| 3,469 | Seagen, Inc.* | 667,644 | ||||||
| 1,383 | Ultragenyx Pharmaceutical, Inc.* | 63,798 | ||||||
| 6,102 | Vertex Pharmaceuticals, Inc.* | 2,147,355 | ||||||
|
|
|
|||||||
| 13,911,724 | ||||||||
|
|
|
|||||||
| Broadline Retail (5.5%): | ||||||||
| 230,510 | Amazon.com, Inc.* | 30,049,284 | ||||||
| 28,013 | Coupang, Inc.* | 487,426 | ||||||
| 847 | eBay, Inc. | 37,852 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Broadline Retail, continued | ||||||||
| 1,760 | Etsy, Inc.* | $ | 148,914 | |||||
| 506 | Ollie’s Bargain Outlet Holdings, Inc.* | 29,312 | ||||||
|
|
|
|||||||
| 30,752,788 | ||||||||
|
|
|
|||||||
| Building Products (0.2%): | ||||||||
| 336 | A O Smith Corp. | 24,454 | ||||||
| 1,521 | Advanced Drainage Systems, Inc. | 173,059 | ||||||
| 1,845 | Allegion plc | 221,437 | ||||||
| 696 | Armstrong World Industries, Inc. | 51,128 | ||||||
| 1,718 | Trane Technologies plc | 328,585 | ||||||
| 2,655 | Trex Co., Inc.* | 174,062 | ||||||
|
|
|
|||||||
| 972,725 | ||||||||
|
|
|
|||||||
| Capital Markets (1.2%): | ||||||||
| 2,688 | Ameriprise Financial, Inc. | 892,846 | ||||||
| 3,890 | Ares Management Corp., Class A | 374,802 | ||||||
| 18,056 | Blackstone, Inc., Class A | 1,678,666 | ||||||
| 1,702 | Blue Owl Capital, Inc. | 19,828 | ||||||
| 970 | FactSet Research Systems, Inc. | 388,631 | ||||||
| 4,063 | KKR & Co., Inc., Class A | 227,528 | ||||||
| 2,041 | LPL Financial Holdings, Inc. | 443,775 | ||||||
| 935 | MarketAxess Holdings, Inc. | 244,428 | ||||||
| 3,702 | Moody’s Corp. | 1,287,259 | ||||||
| 599 | Morningstar, Inc. | 117,446 | ||||||
| 994 | MSCI, Inc. | 466,474 | ||||||
| 681 | S&P Global, Inc. | 273,006 | ||||||
| 1,018 | Tradeweb Markets, Inc., Class A | 69,713 | ||||||
| 705 | XP, Inc.* | 16,539 | ||||||
|
|
|
|||||||
| 6,500,941 | ||||||||
|
|
|
|||||||
| Chemicals (0.6%): | ||||||||
| 1,426 | Axalta Coating Systems, Ltd.* | 46,787 | ||||||
| 4,944 | Ecolab, Inc. | 922,995 | ||||||
| 476 | FMC Corp. | 49,666 | ||||||
| 1,180 | Linde plc | 449,675 | ||||||
| 1,507 | PPG Industries, Inc. | 223,488 | ||||||
| 621 | RPM International, Inc. | 55,722 | ||||||
| 1,055 | Scotts Miracle-Gro Co. (The) | 66,138 | ||||||
| 5,068 | Sherwin-Williams Co. (The) | 1,345,655 | ||||||
|
|
|
|||||||
| 3,160,126 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies (0.7%): | ||||||||
| 1,972 | Cintas Corp. | 980,242 | ||||||
| 10,751 | Copart, Inc.* | 980,599 | ||||||
| 159 | MSA Safety, Inc. | 27,660 | ||||||
| 3,552 | RB Global, Inc. | 213,120 | ||||||
| 5,317 | Rollins, Inc. | 227,727 | ||||||
| 245 | Tetra Tech, Inc. | 40,116 | ||||||
| 9,353 | Waste Management, Inc. | 1,621,997 | ||||||
|
|
|
|||||||
| 4,091,461 | ||||||||
|
|
|
|||||||
| Communications Equipment (0.4%): | ||||||||
| 6,413 | Arista Networks, Inc.* | 1,039,291 | ||||||
| 3,888 | Motorola Solutions, Inc. | 1,140,273 | ||||||
| 18 | Ubiquiti, Inc. | 3,163 | ||||||
|
|
|
|||||||
| 2,182,727 | ||||||||
|
|
|
|||||||
| Construction & Engineering (0.1%): | ||||||||
| 415 | EMCOR Group, Inc. | 76,684 | ||||||
| 967 | Quanta Services, Inc. | 189,967 | ||||||
| 76 | Valmont Industries, Inc. | 22,120 | ||||||
See accompanying notes to the financial statements.
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Construction & Engineering, continued | ||||||||
| 1,267 | WillScot Mobile Mini Holdings Corp.* | $ | 60,550 | |||||
|
|
|
|||||||
| 349,321 | ||||||||
|
|
|
|||||||
| Construction Materials (0.1%): | ||||||||
| 709 | Eagle Materials, Inc. | 132,172 | ||||||
| 745 | Vulcan Materials Co. | 167,953 | ||||||
|
|
|
|||||||
| 300,125 | ||||||||
|
|
|
|||||||
| Consumer Finance (0.2%): | ||||||||
| 4,965 | American Express Co. | 864,903 | ||||||
| 2,428 | SLM Corp. | 39,625 | ||||||
|
|
|
|||||||
| 904,528 | ||||||||
|
|
|
|||||||
| Consumer Staples Distribution & Retail (1.8%): | ||||||||
| 1,176 | BJ’s Wholesale Club Holdings, Inc.* | 74,100 | ||||||
| 137 | Casey’s General Stores, Inc. | 33,412 | ||||||
| 11,335 | Costco Wholesale Corp. | 6,102,537 | ||||||
| 5,716 | Dollar General Corp. | 970,462 | ||||||
| 1,841 | Performance Food Group Co.* | 110,902 | ||||||
| 12,876 | Sysco Corp. | 955,399 | ||||||
| 11,767 | Target Corp. | 1,552,067 | ||||||
|
|
|
|||||||
| 9,798,879 | ||||||||
|
|
|
|||||||
| Containers & Packaging (0.1%): | ||||||||
| 679 | Avery Dennison Corp. | 116,652 | ||||||
| 4,163 | Graphic Packaging Holding Co. | 100,037 | ||||||
| 2,032 | Sealed Air Corp. | 81,280 | ||||||
|
|
|
|||||||
| 297,969 | ||||||||
|
|
|
|||||||
| Distributors (0.1%): | ||||||||
| 966 | Pool Corp. | 361,902 | ||||||
|
|
|
|||||||
| Diversified Consumer Services (0.0%†): | ||||||||
| 431 | Bright Horizons Family Solutions, Inc.* | 39,846 | ||||||
| 2,515 | H&R Block, Inc. | 80,153 | ||||||
| 1,384 | Service Corp. International | 89,393 | ||||||
|
|
|
|||||||
| 209,392 | ||||||||
|
|
|
|||||||
| Diversified Telecommunication Services (0.0%†): | ||||||||
| 2,983 | Iridium Communications, Inc. | 185,304 | ||||||
|
|
|
|||||||
| Electrical Equipment (0.2%): | ||||||||
| 6,727 | ChargePoint Holdings, Inc.*^ | 59,130 | ||||||
| 624 | Hubbell, Inc. | 206,894 | ||||||
| 2,938 | Rockwell Automation, Inc. | 967,924 | ||||||
| 1,096 | Vertiv Holdings Co. | 27,148 | ||||||
|
|
|
|||||||
| 1,261,096 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components (0.3%): | ||||||||
| 7,500 | Amphenol Corp., Class A | 637,125 | ||||||
| 3,404 | CDW Corp. | 624,634 | ||||||
| 2,076 | Jabil, Inc. | 224,063 | ||||||
| 1,161 | Keysight Technologies, Inc.* | 194,410 | ||||||
| 2,618 | National Instruments Corp. | 150,273 | ||||||
| 1,344 | Vontier Corp. | 43,290 | ||||||
| 235 | Zebra Technologies Corp., Class A* | 69,520 | ||||||
|
|
|
|||||||
| 1,943,315 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services (0.0%†): | ||||||||
| 4,618 | Halliburton Co. | 152,348 | ||||||
|
|
|
|||||||
| Entertainment (1.1%): | ||||||||
| 904 | Live Nation Entertainment, Inc.* | 82,364 | ||||||
| 11,219 | Netflix, Inc.* | 4,941,857 | ||||||
| 1,929 | Playtika Holding Corp.* | 22,376 | ||||||
| 11,466 | ROBLOX Corp., Class A* | 462,080 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Entertainment, continued | ||||||||
| 391 | Roku, Inc.* | $ | 25,008 | |||||
| 3,615 | Spotify Technology SA* | 580,388 | ||||||
| 1,144 | World Wrestling Entertainment, Inc., Class A | 124,090 | ||||||
|
|
|
|||||||
| 6,238,163 | ||||||||
|
|
|
|||||||
| Financial Services (4.2%): | ||||||||
| 13,341 | Apollo Global Management, Inc. | 1,024,722 | ||||||
| 5,157 | Block, Inc.* | 343,301 | ||||||
| 9,136 | Equitable Holdings, Inc. | 248,134 | ||||||
| 603 | Euronet Worldwide, Inc.* | 70,774 | ||||||
| 4,310 | Fiserv, Inc.* | 543,707 | ||||||
| 1,709 | FleetCor Technologies, Inc.* | 429,096 | ||||||
| 21,465 | Mastercard, Inc., Class A | 8,442,185 | ||||||
| 26,024 | PayPal Holdings, Inc.* | 1,736,582 | ||||||
| 1,773 | Rocket Cos., Inc., Class A*^ | 15,886 | ||||||
| 1,341 | Shift4 Payments, Inc., Class A* | 91,067 | ||||||
| 9,054 | Toast, Inc., Class A* | 204,349 | ||||||
| 604 | UWM Holdings Corp.^ | 3,382 | ||||||
| 41,432 | Visa, Inc., Class A | 9,839,271 | ||||||
| 2,516 | Western Union Co. (The) | 29,513 | ||||||
| 501 | WEX, Inc.* | 91,217 | ||||||
|
|
|
|||||||
| 23,113,186 | ||||||||
|
|
|
|||||||
| Food Products (0.2%): | ||||||||
| 675 | Freshpet, Inc.* | 44,422 | ||||||
| 2,795 | Hershey Co. (The) | 697,912 | ||||||
| 3,694 | Lamb Weston Holdings, Inc. | 424,625 | ||||||
|
|
|
|||||||
| 1,166,959 | ||||||||
|
|
|
|||||||
| Ground Transportation (0.9%): | ||||||||
| 180 | Avis Budget Group, Inc.* | 41,161 | ||||||
| 5,764 | CSX Corp. | 196,552 | ||||||
| 415 | JB Hunt Transport Services, Inc. | 75,127 | ||||||
| 845 | Landstar System, Inc. | 162,696 | ||||||
| 6,755 | Lyft, Inc., Class A* | 64,780 | ||||||
| 2,348 | Old Dominion Freight Line, Inc. | 868,173 | ||||||
| 49,618 | Uber Technologies, Inc.* | 2,142,009 | ||||||
| 792 | U-Haul Holding Co. | 40,131 | ||||||
| 6,675 | Union Pacific Corp. | 1,365,839 | ||||||
|
|
|
|||||||
| 4,956,468 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies (2.0%): | ||||||||
| 2,790 | Abbott Laboratories | 304,166 | ||||||
| 1,952 | Align Technology, Inc.* | 690,305 | ||||||
| 9,890 | Dexcom, Inc.* | 1,270,964 | ||||||
| 15,597 | Edwards Lifesciences Corp.* | 1,471,265 | ||||||
| 544 | GE HealthCare Technologies, Inc. | 44,195 | ||||||
| 2,085 | IDEXX Laboratories, Inc.* | 1,047,149 | ||||||
| 735 | Inspire Medical Systems, Inc.* | 238,610 | ||||||
| 1,725 | Insulet Corp.* | 497,386 | ||||||
| 8,935 | Intuitive Surgical, Inc.* | 3,055,234 | ||||||
| 1,214 | Masimo Corp.* | 199,764 | ||||||
| 2,552 | Novocure, Ltd.* | 105,908 | ||||||
| 898 | Penumbra, Inc.* | 308,966 | ||||||
| 3,712 | ResMed, Inc. | 811,072 | ||||||
| 927 | Shockwave Medical, Inc.* | 264,575 | ||||||
| 2,308 | Stryker Corp. | 704,148 | ||||||
| 222 | Tandem Diabetes Care, Inc.* | 5,448 | ||||||
|
|
|
|||||||
| 11,019,155 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services (2.4%): | ||||||||
| 6,287 | agilon health, Inc.* | 109,016 | ||||||
See accompanying notes to the financial statements.
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Health Care Providers & Services, continued | ||||||||
| 4,131 | AmerisourceBergen Corp. | $ | 794,928 | |||||
| 3,377 | Cardinal Health, Inc. | 319,363 | ||||||
| 268 | Chemed Corp. | 145,167 | ||||||
| 553 | Cigna Group (The) | 155,172 | ||||||
| 1,478 | DaVita, Inc.* | 148,495 | ||||||
| 807 | Elevance Health, Inc. | 358,542 | ||||||
| 1,083 | HCA Healthcare, Inc. | 328,669 | ||||||
| 1,387 | Humana, Inc. | 620,169 | ||||||
| 1,335 | McKesson Corp. | 570,459 | ||||||
| 803 | Molina Healthcare, Inc.* | 241,896 | ||||||
| 20,001 | UnitedHealth Group, Inc. | 9,613,281 | ||||||
|
|
|
|||||||
| 13,405,157 | ||||||||
|
|
|
|||||||
| Health Care Technology (0.1%): | ||||||||
| 1,995 | Certara, Inc.* | 36,329 | ||||||
| 1,384 | Doximity, Inc., Class A* | 47,084 | ||||||
| 3,703 | Veeva Systems, Inc., Class A* | 732,194 | ||||||
|
|
|
|||||||
| 815,607 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure (2.9%): | ||||||||
| 10,369 | Airbnb, Inc., Class A* | 1,328,891 | ||||||
| 949 | Booking Holdings, Inc.* | 2,562,613 | ||||||
| 2,150 | Caesars Entertainment, Inc.* | 109,586 | ||||||
| 692 | Chipotle Mexican Grill, Inc.* | 1,480,188 | ||||||
| 855 | Choice Hotels International, Inc. | 100,480 | ||||||
| 1,790 | Churchill Downs, Inc. | 249,114 | ||||||
| 1,441 | Darden Restaurants, Inc. | 240,762 | ||||||
| 905 | Domino’s Pizza, Inc. | 304,976 | ||||||
| 6,040 | DoorDash, Inc., Class A* | 461,577 | ||||||
| 10,687 | DraftKings, Inc.* | 283,954 | ||||||
| 2,688 | Expedia Group, Inc.* | 294,040 | ||||||
| 3,011 | Hilton Worldwide Holdings, Inc. | 438,251 | ||||||
| 7,886 | Las Vegas Sands Corp.* | 457,388 | ||||||
| 6,454 | Marriott International, Inc., Class A | 1,185,535 | ||||||
| 7,706 | McDonald’s Corp. | 2,299,547 | ||||||
| 2,604 | Norwegian Cruise Line Holdings, Ltd.* | 56,689 | ||||||
| 1,039 | Planet Fitness, Inc., Class A* | 70,070 | ||||||
| 1,801 | Royal Caribbean Cruises, Ltd.* | 186,836 | ||||||
| 28,865 | Starbucks Corp. | 2,859,367 | ||||||
| 1,709 | Texas Roadhouse, Inc. | 191,887 | ||||||
| 1,524 | Travel + Leisure Co. | 61,478 | ||||||
| 101 | Vail Resorts, Inc. | 25,428 | ||||||
| 4,532 | Wendy’s Co. (The) | 98,571 | ||||||
| 765 | Wingstop, Inc. | 153,122 | ||||||
| 153 | Wyndham Hotels & Resorts, Inc. | 10,491 | ||||||
| 349 | Wynn Resorts, Ltd. | 36,858 | ||||||
| 6,295 | Yum! Brands, Inc. | 872,172 | ||||||
|
|
|
|||||||
| 16,419,871 | ||||||||
|
|
|
|||||||
| Household Durables (0.0%†): | ||||||||
| 7 | NVR, Inc.* | 44,454 | ||||||
| 866 | Tempur Sealy International, Inc. | 34,701 | ||||||
| 53 | TopBuild Corp.* | 14,099 | ||||||
|
|
|
|||||||
| 93,254 | ||||||||
|
|
|
|||||||
| Household Products (0.7%): | ||||||||
| 5,596 | Church & Dwight Co., Inc. | 560,887 | ||||||
| 3,162 | Clorox Co. (The) | 502,885 | ||||||
| 8,108 | Kimberly-Clark Corp. | 1,119,390 | ||||||
| 11,324 | Procter & Gamble Co. (The) | 1,718,304 | ||||||
|
|
|
|||||||
| 3,901,466 | ||||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Independent Power and Renewable Electricity Producers (0.1%): |
||||||||
| 10,433 | AES Corp. (The) | $ | 216,276 | |||||
| 2,792 | Vistra Corp. | 73,290 | ||||||
|
|
|
|||||||
| 289,566 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates (0.1%): | ||||||||
| 2,197 | Honeywell International, Inc. | 455,878 | ||||||
|
|
|
|||||||
| Insurance (0.8%): | ||||||||
| 1,289 | Arch Capital Group, Ltd.* | 96,482 | ||||||
| 303 | Arthur J. Gallagher & Co. | 66,530 | ||||||
| 2,364 | Brown & Brown, Inc. | 162,738 | ||||||
| 146 | Everest Re Group, Ltd. | 49,911 | ||||||
| 558 | Kinsale Capital Group, Inc. | 208,804 | ||||||
| 933 | Lincoln National Corp. | 24,034 | ||||||
| 10,143 | Marsh & McLennan Cos., Inc. | 1,907,695 | ||||||
| 602 | Primerica, Inc. | 119,051 | ||||||
| 11,199 | Progressive Corp. (The) | 1,482,412 | ||||||
| 333 | RenaissanceRe Holdings, Ltd. | 62,111 | ||||||
| 227 | RLI Corp. | 30,979 | ||||||
| 2,186 | Ryan Specialty Holdings, Inc.* | 98,129 | ||||||
| 340 | Willis Towers Watson plc | 80,070 | ||||||
|
|
|
|||||||
| 4,388,946 | ||||||||
|
|
|
|||||||
| Interactive Media & Services (9.2%): | ||||||||
| 152,041 | Alphabet, Inc., Class A* | 18,199,308 | ||||||
| 131,763 | Alphabet, Inc., Class C* | 15,939,370 | ||||||
| 6,481 | Match Group, Inc.* | 271,230 | ||||||
| 56,592 | Meta Platforms, Inc., Class A* | 16,240,772 | ||||||
| 15,167 | Pinterest, Inc., Class A* | 414,666 | ||||||
| 4,122 | ZoomInfo Technologies, Inc.* | 104,657 | ||||||
|
|
|
|||||||
| 51,170,003 | ||||||||
|
|
|
|||||||
| IT Services (1.6%): | ||||||||
| 16,166 | Accenture plc, Class A | 4,988,504 | ||||||
| 7,027 | Cloudflare, Inc., Class A* | 459,355 | ||||||
| 1,404 | EPAM Systems, Inc.* | 315,549 | ||||||
| 1,940 | Gartner, Inc.* | 679,601 | ||||||
| 991 | Globant SA* | 178,103 | ||||||
| 2,388 | GoDaddy, Inc., Class A* | 179,410 | ||||||
| 1,694 | MongoDB, Inc.* | 696,217 | ||||||
| 540 | Okta, Inc.* | 37,449 | ||||||
| 7,926 | Snowflake, Inc., Class A* | 1,394,818 | ||||||
| 714 | Twilio, Inc., Class A* | 45,425 | ||||||
| 123 | VeriSign, Inc.* | 27,794 | ||||||
|
|
|
|||||||
| 9,002,225 | ||||||||
|
|
|
|||||||
| Leisure Products (0.0%†): | ||||||||
| 334 | Brunswick Corp. | 28,938 | ||||||
| 7,878 | Peloton Interactive, Inc., Class A* | 60,582 | ||||||
| 121 | Polaris, Inc. | 14,632 | ||||||
| 2,292 | YETI Holdings, Inc.* | 89,021 | ||||||
|
|
|
|||||||
| 193,173 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services (1.4%): | ||||||||
| 2,191 | 10X Genomics, Inc., Class A* | 122,345 | ||||||
| 6,140 | Agilent Technologies, Inc. | 738,335 | ||||||
| 3,948 | Bio-Techne Corp. | 322,275 | ||||||
| 2,629 | Bruker Corp. | 194,336 | ||||||
| 310 | ICON plc* | 77,562 | ||||||
| 1,205 | Illumina, Inc.* | 225,925 | ||||||
| 4,370 | IQVIA Holdings, Inc.* | 982,245 | ||||||
| 2,918 | Maravai LifeSciences Holdings, Inc., Class A* | 36,271 | ||||||
See accompanying notes to the financial statements.
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Life Sciences Tools & Services, continued | ||||||||
| 595 | Medpace Holdings, Inc.* | $ | 142,901 | |||||
| 556 | Mettler-Toledo International, Inc.* | 729,272 | ||||||
| 627 | Repligen Corp.* | 88,695 | ||||||
| 2,627 | Sotera Health Co.* | 49,493 | ||||||
| 6,080 | Thermo Fisher Scientific, Inc. | 3,172,240 | ||||||
| 1,518 | Waters Corp.* | 404,608 | ||||||
| 1,879 | West Pharmaceutical Services, Inc. | 718,661 | ||||||
|
|
|
|||||||
| 8,005,164 | ||||||||
|
|
|
|||||||
| Machinery (1.4%): | ||||||||
| 225 | Allison Transmission Holdings, Inc. | 12,703 | ||||||
| 9,910 | Caterpillar, Inc. | 2,438,356 | ||||||
| 6,524 | Deere & Co. | 2,643,460 | ||||||
| 1,284 | Donaldson Co., Inc. | 80,263 | ||||||
| 1,747 | Graco, Inc. | 150,853 | ||||||
| 157 | IDEX Corp. | 33,796 | ||||||
| 6,323 | Illinois Tool Works, Inc. | 1,581,762 | ||||||
| 1,397 | Lincoln Electric Holdings, Inc. | 277,486 | ||||||
| 624 | Otis Worldwide Corp. | 55,542 | ||||||
| 2,628 | Toro Co. (The) | 267,136 | ||||||
| 722 | Xylem, Inc. | 81,312 | ||||||
|
|
|
|||||||
| 7,622,669 | ||||||||
|
|
|
|||||||
| Media (0.4%): | ||||||||
| 10 | Cable One, Inc. | 6,571 | ||||||
| 2,692 | Charter Communications, Inc., Class A* | 988,960 | ||||||
| 215 | Liberty Broadband Corp., Class A* | 17,142 | ||||||
| 616 | Liberty Broadband Corp., Class C* | 49,347 | ||||||
| 300 | Nexstar Media Group, Inc. | 49,965 | ||||||
| 11,199 | Trade Desk, Inc. (The), Class A* | 864,787 | ||||||
|
|
|
|||||||
| 1,976,772 | ||||||||
|
|
|
|||||||
| Metals & Mining (0.0%†): | ||||||||
| 2,180 | Southern Copper Corp. | 156,393 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels (0.5%): | ||||||||
| 2,894 | Antero Midstream Corp. | 33,570 | ||||||
| 7,027 | APA Corp. | 240,113 | ||||||
| 6,201 | Cheniere Energy, Inc. | 944,784 | ||||||
| 3,966 | Hess Corp. | 539,178 | ||||||
| 1,464 | New Fortress Energy, Inc. | 39,206 | ||||||
| 629 | ONEOK, Inc. | 38,822 | ||||||
| 2,747 | Ovintiv, Inc. | 104,578 | ||||||
| 5,802 | Targa Resources Corp. | 441,532 | ||||||
| 140 | Texas Pacific Land Corp. | 184,310 | ||||||
|
|
|
|||||||
| 2,566,093 | ||||||||
|
|
|
|||||||
| Passenger Airlines (0.0%†): | ||||||||
| 6,159 | American Airlines Group, Inc.* | 110,492 | ||||||
| 837 | Delta Air Lines, Inc.* | 39,791 | ||||||
|
|
|
|||||||
| 150,283 | ||||||||
|
|
|
|||||||
| Personal Care Products (0.1%): | ||||||||
| 1,852 | Estee Lauder Cos., Inc. (The), Class A | 363,696 | ||||||
|
|
|
|||||||
| Pharmaceuticals (2.5%): | ||||||||
| 21,652 | Eli Lilly & Co. | 10,154,355 | ||||||
| 808 | Jazz Pharmaceuticals plc* | 100,168 | ||||||
| 11,958 | Merck & Co., Inc. | 1,379,833 | ||||||
| 11,909 | Zoetis, Inc. | 2,050,849 | ||||||
|
|
|
|||||||
| 13,685,205 | ||||||||
|
|
|
|||||||
| Professional Services (1.1%): | ||||||||
| 9,078 | Automatic Data Processing, Inc. | 1,995,254 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Professional Services, continued | ||||||||
| 3,330 | Booz Allen Hamilton Holding Corp. | $ | 371,628 | |||||
| 2,505 | Broadridge Financial Solutions, Inc. | 414,903 | ||||||
| 691 | Ceridian HCM Holding, Inc.* | 46,276 | ||||||
| 4,445 | CoStar Group, Inc.* | 395,605 | ||||||
| 2,156 | Equifax, Inc. | 507,307 | ||||||
| 157 | FTI Consulting, Inc.* | 29,861 | ||||||
| 1,141 | Genpact, Ltd. | 42,867 | ||||||
| 589 | Jack Henry & Associates, Inc. | 98,557 | ||||||
| 1,258 | KBR, Inc. | 81,846 | ||||||
| 8,241 | Paychex, Inc. | 921,921 | ||||||
| 1,309 | Paycom Software, Inc. | 420,503 | ||||||
| 1,055 | Paylocity Holding Corp.* | 194,679 | ||||||
| 3,649 | Verisk Analytics, Inc. | 824,784 | ||||||
|
|
|
|||||||
| 6,345,991 | ||||||||
|
|
|
|||||||
| Residential REITs (0.0%†): | ||||||||
| 1,485 | Equity LifeStyle Properties, Inc. | 99,332 | ||||||
| 685 | Sun Communities, Inc. | 89,365 | ||||||
|
|
|
|||||||
| 188,697 | ||||||||
|
|
|
|||||||
| Retail REITs (0.0%†): | ||||||||
| 1,809 | Simon Property Group, Inc. | 208,903 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment (9.2%): | ||||||||
| 23,335 | Advanced Micro Devices, Inc.* | 2,658,090 | ||||||
| 1,669 | Allegro MicroSystems, Inc.* | 75,339 | ||||||
| 18,249 | Applied Materials, Inc. | 2,637,710 | ||||||
| 10,443 | Broadcom, Inc. | 9,058,571 | ||||||
| 3,315 | Enphase Energy, Inc.* | 555,196 | ||||||
| 198 | Entegris, Inc. | 21,942 | ||||||
| 3,501 | KLA Corp. | 1,698,055 | ||||||
| 3,250 | Lam Research Corp. | 2,089,295 | ||||||
| 3,425 | Lattice Semiconductor Corp.* | 329,040 | ||||||
| 9,807 | Microchip Technology, Inc. | 878,609 | ||||||
| 1,169 | Monolithic Power Systems, Inc. | 631,529 | ||||||
| 60,794 | NVIDIA Corp. | 25,717,078 | ||||||
| 24,889 | QUALCOMM, Inc. | 2,962,787 | ||||||
| 3,319 | Teradyne, Inc. | 369,504 | ||||||
| 9,476 | Texas Instruments, Inc. | 1,705,870 | ||||||
| 540 | Universal Display Corp. | 77,830 | ||||||
|
|
|
|||||||
| 51,466,445 | ||||||||
|
|
|
|||||||
| Software (18.1%): | ||||||||
| 11,723 | Adobe, Inc.* | 5,732,430 | ||||||
| 1,596 | Alteryx, Inc., Class A* | 72,458 | ||||||
| 1,831 | ANSYS, Inc.* | 604,724 | ||||||
| 1,496 | AppLovin Corp., Class A* | 38,492 | ||||||
| 3,712 | Atlassian Corp., Class A* | 622,911 | ||||||
| 5,548 | Autodesk, Inc.* | 1,135,176 | ||||||
| 4,553 | Bentley Systems, Inc., Class B | 246,909 | ||||||
| 6,890 | Cadence Design Systems, Inc.* | 1,615,843 | ||||||
| 4,730 | Confluent, Inc., Class A* | 167,016 | ||||||
| 5,486 | Crowdstrike Holdings, Inc., Class A* | 805,729 | ||||||
| 6,982 | Datadog, Inc., Class A* | 686,889 | ||||||
| 4,968 | DocuSign, Inc.* | 253,815 | ||||||
| 2,873 | DoubleVerify Holdings, Inc.* | 111,817 | ||||||
| 6,011 | Dropbox, Inc., Class A* | 160,313 | ||||||
| 5,380 | Dynatrace, Inc.* | 276,909 | ||||||
| 2,057 | Elastic NV* | 131,895 | ||||||
| 602 | Fair Isaac Corp.* | 487,144 | ||||||
| 1,643 | Five9, Inc.* | 135,465 | ||||||
| 16,797 | Fortinet, Inc.* | 1,269,685 | ||||||
See accompanying notes to the financial statements.
7
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Software, continued | ||||||||
| 2,209 | Gen Digital, Inc. | $ | 40,977 | |||||
| 1,249 | Gitlab, Inc., Class A* | 63,836 | ||||||
| 1,623 | HashiCorp, Inc.* | 42,490 | ||||||
| 1,162 | HubSpot, Inc.* | 618,289 | ||||||
| 6,983 | Intuit, Inc. | 3,199,541 | ||||||
| 1,575 | Manhattan Associates, Inc.* | 314,811 | ||||||
| 190,414 | Microsoft Corp. | 64,843,584 | ||||||
| 471 | nCino, Inc.* | 14,187 | ||||||
| 1,416 | New Relic, Inc.* | 92,663 | ||||||
| 1,427 | Nutanix, Inc., Class A* | 40,027 | ||||||
| 15,989 | Oracle Corp. | 1,904,130 | ||||||
| 46,927 | Palantir Technologies, Inc., Class A* | 719,391 | ||||||
| 7,629 | Palo Alto Networks, Inc.* | 1,949,286 | ||||||
| 1,099 | Pegasystems, Inc. | 54,181 | ||||||
| 2,006 | Procore Technologies, Inc.* | 130,530 | ||||||
| 1,454 | PTC, Inc.* | 206,904 | ||||||
| 2,265 | RingCentral, Inc., Class A* | 74,133 | ||||||
| 18,259 | Salesforce, Inc.* | 3,857,396 | ||||||
| 645 | SentinelOne, Inc., Class A* | 9,740 | ||||||
| 5,209 | ServiceNow, Inc.* | 2,927,302 | ||||||
| 3,379 | Smartsheet, Inc., Class A* | 129,281 | ||||||
| 4,133 | Splunk, Inc.* | 438,470 | ||||||
| 3,854 | Synopsys, Inc.* | 1,678,070 | ||||||
| 2,599 | Teradata Corp.* | 138,813 | ||||||
| 804 | Tyler Technologies, Inc.* | 334,842 | ||||||
| 7,364 | UiPath, Inc., Class A* | 122,022 | ||||||
| 2,894 | Unity Software, Inc.* | 125,658 | ||||||
| 5,502 | VMware, Inc., Class A* | 790,582 | ||||||
| 5,075 | Workday, Inc., Class A* | 1,146,392 | ||||||
| 2,121 | Zscaler, Inc.* | 310,302 | ||||||
|
|
|
|||||||
| 100,873,450 | ||||||||
|
|
|
|||||||
| Specialized REITs (0.8%): | ||||||||
| 11,910 | American Tower Corp. | 2,309,825 | ||||||
| 1,173 | Crown Castle, Inc. | 133,652 | ||||||
| 1,199 | Equinix, Inc. | 939,944 | ||||||
| 197 | Extra Space Storage, Inc. | 29,323 | ||||||
| 3,665 | Iron Mountain, Inc. | 208,245 | ||||||
| 1,846 | Lamar Advertising Co., Class A | 183,216 | ||||||
| 2,328 | Public Storage | 679,497 | ||||||
| 277 | SBA Communications Corp. | 64,198 | ||||||
|
|
|
|||||||
| 4,547,900 | ||||||||
|
|
|
|||||||
| Specialty Retail (3.3%): | ||||||||
| 392 | AutoZone, Inc.* | 977,397 | ||||||
| 682 | Best Buy Co., Inc. | 55,890 | ||||||
| 1,562 | Burlington Stores, Inc.* | 245,843 | ||||||
| 487 | CarMax, Inc.* | 40,762 | ||||||
| 1,373 | Five Below, Inc.* | 269,850 | ||||||
| 2,570 | Floor & Decor Holdings, Inc., Class A* | 267,177 | ||||||
| 25,911 | Home Depot, Inc. (The) | 8,048,993 | ||||||
| 11,192 | Lowe’s Cos., Inc. | 2,526,034 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Specialty Retail, continued | ||||||||
| 478 | Murphy U.S.A., Inc. | $ | 148,711 | |||||
| 1,324 | O’Reilly Automotive, Inc.* | 1,264,817 | ||||||
| 68 | RH* | 22,412 | ||||||
| 8,013 | Ross Stores, Inc. | 898,498 | ||||||
| 29,410 | TJX Cos., Inc. (The) | 2,493,674 | ||||||
| 2,803 | Tractor Supply Co. | 619,743 | ||||||
| 1,272 | Ulta Beauty, Inc.* | 598,597 | ||||||
| 1,149 | Valvoline, Inc. | 43,099 | ||||||
| 1,541 | Victoria’s Secret & Co.* | 26,860 | ||||||
| 736 | Wayfair, Inc., Class A* | 47,847 | ||||||
| 215 | Williams-Sonoma, Inc. | 26,905 | ||||||
|
|
|
|||||||
| 18,623,109 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals (13.4%): | ||||||||
| 381,826 | Apple, Inc. | 74,062,789 | ||||||
| 4,507 | HP, Inc. | 138,410 | ||||||
| 2,176 | NetApp, Inc. | 166,247 | ||||||
| 5,621 | Pure Storage, Inc., Class A* | 206,965 | ||||||
|
|
|
|||||||
| 74,574,411 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods (0.6%): | ||||||||
| 1,555 | Crocs, Inc.* | 174,844 | ||||||
| 670 | Deckers Outdoor Corp.* | 353,532 | ||||||
| 2,822 | Lululemon Athletica, Inc.* | 1,068,127 | ||||||
| 16,216 | NIKE, Inc., Class B | 1,789,760 | ||||||
| 413 | Skechers U.S.A., Inc., Class A* | 21,749 | ||||||
| 869 | Tapestry, Inc. | 37,193 | ||||||
|
|
|
|||||||
| 3,445,205 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors (0.3%): | ||||||||
| 10,936 | Fastenal Co. | 645,115 | ||||||
| 285 | Ferguson PLC | 44,833 | ||||||
| 366 | SiteOne Landscape Supply, Inc.* | 61,254 | ||||||
| 360 | United Rentals, Inc. | 160,333 | ||||||
| 1,150 | W.W. Grainger, Inc. | 906,879 | ||||||
| 211 | Watsco, Inc. | 80,490 | ||||||
|
|
|
|||||||
| 1,898,904 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Cost $222,899,679) |
554,146,274 | |||||||
|
|
|
|||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.0%†): |
||||||||
| 78,737 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(a)(b) | 78,737 | ||||||
|
|
|
|||||||
| Total Short-Term Security Held as Collateral |
||||||||
| for Securities on Loan (Cost $78,737) |
78,737 | |||||||
|
|
|
|||||||
| Unaffiliated Investment Company (0.6%): | ||||||||
| Money Markets (0.6%): | ||||||||
| 3,171,695 | Dreyfus Treasury Securities Cash Management |
|||||||
| Fund, Institutional Shares, 4.96%(b) |
3,171,695 | |||||||
|
|
|
|||||||
| Total Unaffiliated Investment Company |
||||||||
| (Cost $3,171,695) |
3,171,695 | |||||||
|
|
|
|||||||
| Total Investment Securities |
||||||||
| (Cost $226,150,111) — 100.1% |
557,396,706 | |||||||
| Net other assets (liabilities) — (0.1)% |
(565,230) | |||||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 556,831,476 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets as of June 30, 2023.
| * | Non-income producing security. |
| † | Represents less than 0.05%. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $76,818. |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| (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 June 30, 2023. |
| (b) | The rate represents the effective yield at June 30, 2023. |
Futures Contracts
At June 30, 2023, 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 September Futures (U.S. Dollar) |
9/15/23 | 8 | $ | 2,453,920 | $ | 41,254 | ||||||
| S&P 500 Index E-Mini September Futures (U.S. Dollar) |
9/15/23 | 5 | 1,122,063 | 22,731 | ||||||||
|
|
|
|||||||||||
| $ | 63,985 | |||||||||||
|
|
|
|||||||||||
See accompanying notes to the financial statements.
9
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 226,150,111 | |||
|
|
|
| |||
| Investment securities, at value(a) |
$ | 557,396,706 | |||
| Deposit at broker for futures contracts collateral |
193,200 | ||||
| Interest and dividends receivable |
164,665 | ||||
| Receivable for variation margin on futures contracts |
49,911 | ||||
| Reclaims receivable |
1,468 | ||||
| Receivable from Manager |
40,380 | ||||
| Prepaid expenses |
2,416 | ||||
|
|
|
| |||
| Total Assets |
557,848,746 | ||||
|
|
|
| |||
| Liabilities: |
|||||
| Payable for capital shares redeemed |
522,184 | ||||
| Payable for collateral received on loaned securities |
78,737 | ||||
| Management fees payable |
197,412 | ||||
| Administration fees payable |
16,238 | ||||
| Distribution fees payable |
99,973 | ||||
| Custodian fees payable |
7,452 | ||||
| Administrative and compliance services fees payable |
1,331 | ||||
| Transfer agent fees payable |
2,353 | ||||
| Trustee fees payable |
6,804 | ||||
| Other accrued liabilities |
84,786 | ||||
|
|
|
| |||
| Total Liabilities |
1,017,270 | ||||
|
|
|
| |||
| Commitments and contingent liabilities^ |
|||||
|
|
|
| |||
| Net Assets |
$ | 556,831,476 | |||
|
|
|
| |||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 38,382,181 | |||
| Total distributable earnings |
518,449,295 | ||||
|
|
|
| |||
| Net Assets |
$ | 556,831,476 | |||
|
|
|
| |||
| Class 1 |
|||||
| Net Assets |
$ | 60,690,101 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
6,423,286 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 9.45 | |||
|
|
|
| |||
| Class 2 |
|||||
| Net Assets |
$ | 496,141,375 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
29,291,660 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 16.94 | |||
|
|
|
| |||
| (a) | Includes securities on loan of $76,818. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends |
$ | 3,242,480 | |||
| Interest |
4,378 | ||||
| Income from securities lending |
11,088 | ||||
| Foreign withholding tax |
570 | ||||
|
|
|
| |||
| Total Investment Income |
3,258,516 | ||||
|
|
|
| |||
| Expenses: |
|||||
| Management fees |
1,318,669 | ||||
| Administration fees |
72,867 | ||||
| Distribution fees - Class 2 |
680,654 | ||||
| Custodian fees |
10,750 | ||||
| Administrative and compliance services fees |
2,925 | ||||
| Transfer agent fees |
5,068 | ||||
| Trustee fees |
11,933 | ||||
| Professional fees |
9,376 | ||||
| Licensing fees |
45,395 | ||||
| Shareholder reports |
7,962 | ||||
| Other expenses |
7,021 | ||||
|
|
|
| |||
| Total expenses before reductions |
2,172,620 | ||||
| Less Management fees contractually waived |
(269,733 | ) | |||
|
|
|
| |||
| Net expenses |
1,902,887 | ||||
|
|
|
| |||
| Net Investment Income/(Loss) |
1,355,629 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
146,155,287 | ||||
| Net realized gains/(losses) on futures contracts |
427,274 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
528,865 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
90,475 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments |
147,201,901 | ||||
|
|
|
| |||
| Change in Net Assets Resulting From Operations |
$ | 148,557,530 | |||
|
|
|
|
See accompanying notes to the financial statements.
10
AZL Russell 1000 Growth Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 1,355,629 | $ | 2,564,495 | ||||||
| Net realized gains/(losses) on investments |
146,582,561 | 39,063,766 | ||||||||
| Change in unrealized appreciation/depreciation on investments |
619,340 | (361,760,059 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from operations |
148,557,530 | (320,131,798 | ) | |||||||
|
|
|
|
|
|
| |||||
| Distributions to Shareholders: |
||||||||||
| Class 1 |
— | (17,707,517 | ) | |||||||
| Class 2 |
— | (144,665,246 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from distributions to shareholders |
— | (162,372,763 | ) | |||||||
|
|
|
|
|
|
| |||||
| Capital Transactions: |
||||||||||
| Class 1 |
||||||||||
| Proceeds from shares issued |
44,541 | 347,832 | ||||||||
| Proceeds from dividends reinvested |
— | 17,707,517 | ||||||||
| Value of shares redeemed |
(4,266,983 | ) | (7,701,896 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 1 Shares |
(4,222,442 | ) | 10,353,453 | |||||||
|
|
|
|
|
|
| |||||
| Class 2 |
||||||||||
| Proceeds from shares issued |
1,256,044 | 7,831,397 | ||||||||
| Proceeds from dividends reinvested |
— | 144,665,246 | ||||||||
| Value of shares redeemed |
(289,584,453 | ) | (97,282,257 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 2 Shares |
(288,328,409 | ) | 55,214,386 | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from capital transactions |
(292,550,851 | ) | 65,567,839 | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets |
(143,993,321 | ) | (416,936,722 | ) | ||||||
| Net Assets: |
||||||||||
| Beginning of period |
700,824,797 | 1,117,761,519 | ||||||||
|
|
|
|
|
|
| |||||
| End of period |
$ | 556,831,476 | $ | 700,824,797 | ||||||
|
|
|
|
|
|
| |||||
| Share Transactions: |
||||||||||
| Class 1 |
||||||||||
| Shares issued |
5,526 | 28,219 | ||||||||
| Dividends reinvested |
— | 2,348,477 | ||||||||
| Shares redeemed |
(515,019 | ) | (704,447 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 1 Shares |
(509,493 | ) | 1,672,249 | |||||||
|
|
|
|
|
|
| |||||
| Class 2 |
||||||||||
| Shares issued |
87,012 | 456,011 | ||||||||
| Dividends reinvested |
— | 10,684,287 | ||||||||
| Shares redeemed |
(20,478,214 | ) | (5,461,931 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 2 Shares |
(20,391,202 | ) | 5,678,367 | |||||||
|
|
|
|
|
|
| |||||
| Change in shares |
(20,900,695 | ) | 7,350,616 | |||||||
|
|
|
|
|
|
| |||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
11
AZL Russell 1000 Growth Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 7.29 | $ | 15.38 | $ | 14.68 | $ | 11.46 | $ | 10.12 | $ | 11.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.03 | (a) | 0.06 | (a) | 0.05 | (a) | 0.07 | (a) | 0.10 | (a) | 0.13 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
2.13 | (4.46 | ) | 3.62 | 4.28 | 3.28 | (0.20 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
2.16 | (4.40 | ) | 3.67 | 4.35 | 3.38 | (0.07 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.08 | ) | (0.12 | ) | (0.15 | ) | (0.18 | ) | (0.20 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (3.61 | ) | (2.85 | ) | (0.98 | ) | (1.86 | ) | (1.35 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (3.69 | ) | (2.97 | ) | (1.13 | ) | (2.04 | ) | (1.55 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$ | 9.45 | $ | 7.29 | $ | 15.38 | $ | 14.68 | $ | 11.46 | $ | 10.12 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
29.63 | %(c) | (29.45 | )% | 27.14 | %(c) | 39.03 | % | 35.53 | % | (1.86 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 60,690 | $ | 50,561 | $ | 80,919 | $ | 70,903 | $ | 57,430 | $ | 48,665 | ||||||||||||||||||
| Net Investment Income/ |
0.67 | % | 0.54 | % | 0.31 | % | 0.56 | % | 0.86 | % | 0.96 | % | ||||||||||||||||||
| Expenses Before |
0.50 | % | 0.50 | % | 0.51 | % | 0.52 | % | 0.51 | % | 0.50 | % | ||||||||||||||||||
| Expenses Net of |
0.41 | % | 0.41 | % | 0.42 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||||||||||||||||
| Portfolio Turnover Rate(f) |
13 | % | 12 | % | 18 | % | 22 | % | 15 | % | 17 | % | ||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 13.09 | $ | 23.56 | $ | 21.11 | $ | 16.10 | $ | 13.53 | $ | 15.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.03 | (a) | 0.05 | (a) | 0.01 | (a) | 0.06 | (a) | 0.10 | (a) | 0.15 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
3.82 | (6.90 | ) | 5.35 | 6.04 | 4.46 | (0.33 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
3.85 | (6.85 | ) | 5.36 | 6.10 | 4.56 | (0.18 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.01 | ) | (0.06 | ) | (0.11 | ) | (0.13 | ) | (0.15 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (3.61 | ) | (2.85 | ) | (0.98 | ) | (1.86 | ) | (1.35 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (3.62 | ) | (2.91 | ) | (1.09 | ) | (1.99 | ) | (1.50 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$ | 16.94 | $ | 13.09 | $ | 23.56 | $ | 21.11 | $ | 16.10 | $ | 13.53 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
29.41 | %(c) | (29.59 | )% | 26.87 | % | 38.58 | % | 35.28 | % | (2.14 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 496,141 | $ | 650,264 | $ | 1,036,843 | $ | 995,350 | $ | 871,046 | $ | 775,621 | ||||||||||||||||||
| Net Investment Income/ |
0.43 | % | 0.29 | % | 0.06 | % | 0.31 | % | 0.61 | % | 0.71 | % | ||||||||||||||||||
| Expenses Before |
0.75 | % | 0.75 | % | 0.76 | % | 0.77 | % | 0.76 | % | 0.75 | % | ||||||||||||||||||
| Expenses Net of |
0.66 | % | 0.66 | % | 0.67 | % | 0.68 | % | 0.68 | % | 0.68 | % | ||||||||||||||||||
| Portfolio Turnover Rate(f) |
13 | % | 12 | % | 18 | % | 22 | % | 15 | % | 17 | % | ||||||||||||||||||
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
12
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
13
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $1,088 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $78,737 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $3.7 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.
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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* | $63,985 | 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 period ended June 30, 2023:
| Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized |
Realized Gains/(Losses) on Derivatives Recognized |
Change in Net
Unrealized on Derivatives Recognized |
|||||||
| Equity Risk |
||||||||||
| Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/ depreciation on futures contracts | $427,274 | $90,475 | |||||||
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, 2024.
For the period ended June 30, 2023, 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 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, 2024. The annual rate due to the Subadviser from the Manager is 0.015%.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable.
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| Common Stocks+ |
$554,146,274 | $— | $— | $554,146,274 | ||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
78,737 | — | — | 78,737 | ||||||||||||||||
| Unaffiliated Investment Company |
3,171,695 | — | — | 3,171,695 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
557,396,706 | — | — | 557,396,706 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||
| Futures Contracts |
63,985 | — | — | 63,985 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investments |
$557,460,691 | $— | $— | $557,460,691 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 recorded in the financial statements at the unrealized gain or loss on the investment. |
16
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2023 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
|
$ |
64,753,319 |
|
$ |
356,876,346 |
| ||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $373,266,289. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$ | 352,903,743 | |||
| Unrealized (depreciation) |
(24,316,554 | ) | |||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$ | 328,587,189 | |||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL Russell 1000 Growth Index Fund |
$4,773,902 | $157,598,861 | $162,372,763 | ||||||||||||
| (a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
17
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
At December 31, 2022, 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 |
$2,570,698 | $38,733,878 | $— | $328,587,189 | $369,891,765 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of this shareholder could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
18
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
19
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
20
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. These Funds are not FDIC Insured. |
SARRPT0623 08/23 |
AZL® Russell 1000 Value Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 13 |
|
Page 13 |
| Statements of Changes in Net Assets Page 14 |
|
Page 15 |
| Notes to the Financial Statements Page 16 |
|
Page 22 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 23 |
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
(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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Russell 1000 Value Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,056.00 | $ | 2.09 | 0.41 | % | ||||||||||||
| AZL Russell 1000 Value Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,055.00 | $ | 3.36 | 0.66 | % | ||||||||||||
| 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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Russell 1000 Value Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,022.76 | $ | 2.06 | 0.41 | % | ||||||||||||
| AZL Russell 1000 Value Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | 0.66 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
19.8 | % | |||
| Health Care |
15.6 | ||||
| Industrials |
13.5 | ||||
| Information Technology |
9.0 | ||||
| Consumer Staples |
8.3 | ||||
| Energy |
7.9 | ||||
| Consumer Discretionary |
5.2 | ||||
| Utilities |
5.1 | ||||
| Communication Services |
5.0 | ||||
| Materials |
4.8 | ||||
| Real Estate |
4.8 | ||||
|
|
|
| |||
| Total Common Stocks |
99.0 | ||||
| Unaffiliated Investment Company |
0.9 | ||||
| Short-Term Security Held as Collateral for Securities on Loan |
0.3 | ||||
|
|
|
| |||
| Total Investment Securities |
100.2 | ||||
| Net other assets (liabilities) |
(0.2 | ) | |||
|
|
|
| |||
| Net Assets |
100.0 | % | |||
|
|
|
| |||
3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (99.0%): |
||||||
| Aerospace & Defense (2.6%): |
||||||
| 16,480 | Boeing Co. (The)* | $ | 3,479,917 | |||
| 2,586 | BWX Technologies, Inc. | 185,080 | ||||
| 1,376 | Curtiss-Wright Corp. | 252,716 | ||||
| 8,371 | General Dynamics Corp. | 1,801,021 | ||||
| 116 | HEICO Corp. | 20,525 | ||||
| 118 | HEICO Corp., Class A | 16,591 | ||||
| 3,011 | Hexcel Corp. | 228,896 | ||||
| 12,965 | Howmet Aerospace, Inc. | 642,545 | ||||
| 1,339 | Huntington Ingalls Industries, Inc. | 304,756 | ||||
| 6,467 | L3Harris Technologies, Inc. | 1,266,045 | ||||
| 1,767 | Mercury Systems, Inc.* | 61,120 | ||||
| 4,617 | Northrop Grumman Corp. | 2,104,429 | ||||
| 49,987 | Raytheon Technologies Corp. | 4,896,726 | ||||
| 3,204 | Spirit AeroSystems Holdings, Inc., Class A | 93,525 | ||||
| 6,882 | Textron, Inc. | 465,430 | ||||
| 1,489 | TransDigm Group, Inc. | 1,331,419 | ||||
| 1,935 | Woodward, Inc. | 230,091 | ||||
|
|
|
| ||||
| 17,380,832 | ||||||
|
|
|
| ||||
| Air Freight & Logistics (0.9%): | ||||||
| 868 | CH Robinson Worldwide, Inc. | 81,896 | ||||
| 4,546 | Expeditors International of Washington, Inc. | 550,657 | ||||
| 7,931 | FedEx Corp. | 1,966,095 | ||||
| 3,998 | GXO Logistics, Inc.* | 251,154 | ||||
| 17,910 | United Parcel Service, Inc., Class B | 3,210,368 | ||||
|
|
|
| ||||
| 6,060,170 | ||||||
|
|
|
| ||||
| Automobile Components (1.0%): | ||||||
| 9,253 | Aptiv plc* | 944,639 | ||||
| 7,962 | BorgWarner, Inc. | 389,421 | ||||
| 134,195 | Ford Motor Co. | 2,030,370 | ||||
| 47,427 | General Motors Co. | 1,828,785 | ||||
| 8,442 | Gentex Corp. | 247,013 | ||||
| 4,834 | Harley-Davidson, Inc. | 170,205 | ||||
| 2,114 | Lear Corp. | 303,465 | ||||
| 25,457 | Lucid Group, Inc.* | 175,399 | ||||
| 9,262 | QuantumScape Corp.*^ | 74,003 | ||||
| 17,421 | Rivian Automotive, Inc., Class A*^ | 290,234 | ||||
| 1,855 | Thor Industries, Inc. | 191,993 | ||||
|
|
|
| ||||
| 6,645,527 | ||||||
|
|
|
| ||||
| Banks (6.2%): | ||||||
| 238,270 | Bank of America Corp. | 6,835,966 | ||||
| 3,521 | Bank OZK | 141,403 | ||||
| 1,043 | BOK Financial Corp. | 84,254 | ||||
| 66,529 | Citigroup, Inc. | 3,062,995 | ||||
| 16,504 | Citizens Financial Group, Inc. | 430,424 | ||||
| 7,439 | Columbia Banking System, Inc. | 150,863 | ||||
| 4,694 | Comerica, Inc. | 198,838 | ||||
| 4,085 | Commerce Bancshares, Inc. | 198,940 | ||||
| 2,096 | Cullen/Frost Bankers, Inc. | 225,383 | ||||
| 4,710 | East West Bancorp, Inc. | 248,641 | ||||
| 22,876 | Fifth Third Bancorp | 599,580 | ||||
| 330 | First Citizens BancShares, Inc., Class A | 423,539 | ||||
| 4,589 | First Hawaiian, Inc. | 82,648 | ||||
| 19,015 | First Horizon Corp. | 214,299 | ||||
| 12,538 | FNB Corp. | 143,435 | ||||
| 49,165 | Huntington Bancshares, Inc. | 529,999 | ||||
| 100,010 | JPMorgan Chase & Co. | 14,545,454 | ||||
| 30,969 | KeyCorp | 286,154 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Banks, continued |
||||||
| 5,654 | M&T Bank Corp. | $ | 699,739 | |||
| 24,050 | New York Community Bancorp, Inc. | 270,322 | ||||
| 24,838 | NU Holdings, Ltd., Class A* | 195,972 | ||||
| 2,693 | Pinnacle Financial Partners, Inc. | 152,558 | ||||
| 13,620 | PNC Financial Services Group, Inc. (The) | 1,715,439 | ||||
| 2,238 | Popular, Inc. | 135,444 | ||||
| 3,146 | Prosperity Bancshares, Inc. | 177,686 | ||||
| 32,411 | Regions Financial Corp. | 577,564 | ||||
| 5,173 | Synovus Financial Corp. | 156,483 | ||||
| 45,358 | Truist Financial Corp. | 1,376,615 | ||||
| 52,412 | US Bancorp | 1,731,693 | ||||
| 5,696 | Webster Financial Corp. | 215,024 | ||||
| 129,286 | Wells Fargo & Co. | 5,517,926 | ||||
| 3,694 | Western Alliance Bancorp | 134,720 | ||||
| 2,153 | Wintrust Financial Corp. | 156,351 | ||||
| 5,290 | Zions Bancorp NA | 142,089 | ||||
|
|
|
| ||||
| 41,758,440 | ||||||
|
|
|
| ||||
| Beverages (1.4%): | ||||||
| 344 | Brown-Forman Corp., Class A | 23,416 | ||||
| 1,295 | Brown-Forman Corp., Class B | 86,480 | ||||
| 67,147 | Coca-Cola Co. (The) | 4,043,592 | ||||
| 4,707 | Constellation Brands, Inc., Class A | 1,158,534 | ||||
| 32,591 | Keurig Dr Pepper, Inc. | 1,019,121 | ||||
| 5,974 | Molson Coors Beverage Co., Class B | 393,328 | ||||
| 14,562 | PepsiCo, Inc. | 2,697,174 | ||||
|
|
|
| ||||
| 9,421,645 | ||||||
|
|
|
| ||||
| Biotechnology (1.7%): | ||||||
| 834 | Alnylam Pharmaceuticals, Inc.* | 158,410 | ||||
| 5,847 | Amgen, Inc. | 1,298,151 | ||||
| 4,926 | Biogen, Inc.* | 1,403,171 | ||||
| 5,641 | BioMarin Pharmaceutical, Inc.* | 488,962 | ||||
| 3,985 | Exact Sciences Corp.* | 374,191 | ||||
| 1,631 | Exelixis, Inc.* | 31,168 | ||||
| 42,754 | Gilead Sciences, Inc. | 3,295,051 | ||||
| 888 | Horizon Therapeutics plc* | 91,331 | ||||
| 1,651 | Incyte Corp.* | 102,775 | ||||
| 498 | Ionis Pharmaceuticals, Inc.* | 20,433 | ||||
| 1,603 | Mirati Therapeutics, Inc.* | 57,916 | ||||
| 11,499 | Moderna, Inc.* | 1,397,128 | ||||
| 3,303 | Regeneron Pharmaceuticals, Inc.* | 2,373,338 | ||||
| 1,603 | United Therapeutics Corp.* | 353,862 | ||||
| 749 | Vertex Pharmaceuticals, Inc.* | 263,581 | ||||
|
|
|
| ||||
| 11,709,468 | ||||||
|
|
|
| ||||
| Broadline Retail (0.2%): | ||||||
| 16,519 | eBay, Inc. | 738,234 | ||||
| 1,841 | Etsy, Inc.* | 155,767 | ||||
| 4,170 | Kohl’s Corp. | 96,118 | ||||
| 9,683 | Macy’s, Inc. | 155,412 | ||||
| 3,899 | Nordstrom, Inc.^ | 79,813 | ||||
| 1,430 | Ollie’s Bargain Outlet Holdings, Inc.* | 82,840 | ||||
|
|
|
| ||||
| 1,308,184 | ||||||
|
|
|
| ||||
| Building Products (1.1%): | ||||||
| 3,412 | A O Smith Corp. | 248,325 | ||||
| 225 | Allegion plc | 27,005 | ||||
| 687 | Armstrong World Industries, Inc. | 50,467 | ||||
| 3,997 | AZEK Co., Inc. (The)* | 121,069 | ||||
| 4,352 | Builders FirstSource, Inc.* | 591,872 | ||||
See accompanying notes to the financial statements.
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Building Products, continued |
||||||
| 1,731 | Carlisle Cos., Inc. | $ | 444,054 | |||
| 28,486 | Carrier Global Corp. | 1,416,039 | ||||
| 4,320 | Fortune Brands Innovations, Inc. | 310,824 | ||||
| 2,751 | Hayward Holdings, Inc.* | 35,350 | ||||
| 23,493 | Johnson Controls International plc | 1,600,813 | ||||
| 1,085 | Lennox International, Inc. | 353,786 | ||||
| 7,675 | Masco Corp. | 440,392 | ||||
| 3,068 | Owens Corning | 400,374 | ||||
| 5,489 | Trane Technologies plc | 1,049,826 | ||||
|
|
|
| ||||
| 7,090,196 | ||||||
|
|
|
| ||||
| Capital Markets (4.8%): | ||||||
| 1,209 | Affiliated Managers Group, Inc. | 181,217 | ||||
| 27,017 | Bank of New York Mellon Corp. (The) | 1,202,797 | ||||
| 5,085 | BlackRock, Inc., Class A+ | 3,514,447 | ||||
| 12,993 | Blue Owl Capital, Inc. | 151,368 | ||||
| 7,439 | Carlyle Group, Inc. (The) | 237,676 | ||||
| 3,661 | Cboe Global Markets, Inc. | 505,255 | ||||
| 50,697 | Charles Schwab Corp. (The) | 2,873,506 | ||||
| 12,281 | CME Group, Inc. | 2,275,546 | ||||
| 5,738 | Coinbase Global, Inc., Class A*^ | 410,554 | ||||
| 1,310 | Evercore, Inc., Class A | 161,903 | ||||
| 10,253 | Franklin Resources, Inc. | 273,858 | ||||
| 11,044 | Goldman Sachs Group, Inc. (The) | 3,562,132 | ||||
| 1,573 | Houlihan Lokey, Inc. | 154,642 | ||||
| 3,336 | Interactive Brokers Group, Inc., Class A | 277,121 | ||||
| 18,954 | Intercontinental Exchange, Inc. | 2,143,318 | ||||
| 13,417 | Invesco, Ltd. | 225,540 | ||||
| 4,887 | Janus Henderson Group plc | 133,171 | ||||
| 6,568 | Jefferies Financial Group, Inc. | 217,860 | ||||
| 16,650 | KKR & Co., Inc., Class A | 932,400 | ||||
| 2,974 | Lazard, Ltd., Class A | 95,168 | ||||
| 478 | Moody’s Corp. | 166,210 | ||||
| 41,126 | Morgan Stanley | 3,512,160 | ||||
| 1,329 | MSCI, Inc. | 623,686 | ||||
| 11,633 | Nasdaq, Inc. | 579,905 | ||||
| 7,123 | Northern Trust Corp. | 528,099 | ||||
| 6,680 | Raymond James Financial, Inc. | 693,184 | ||||
| 20,194 | Robinhood Markets, Inc., Class A* | 201,536 | ||||
| 10,063 | S&P Global, Inc. | 4,034,156 | ||||
| 3,695 | SEI Investments Co. | 220,296 | ||||
| 11,409 | State Street Corp. | 834,911 | ||||
| 3,712 | Stifel Financial Corp. | 221,495 | ||||
| 7,540 | T. Rowe Price Group, Inc. | 844,631 | ||||
| 1,557 | TPG, Inc. | 45,558 | ||||
| 2,561 | Tradeweb Markets, Inc., Class A | 175,377 | ||||
| 3,390 | Virtu Financial, Inc., Class A | 57,935 | ||||
| 10,408 | XP, Inc.* | 244,172 | ||||
|
|
|
| ||||
| 32,512,790 | ||||||
|
|
|
| ||||
| Chemicals (2.9%): | ||||||
| 7,585 | Air Products and Chemicals, Inc. | 2,271,935 | ||||
| 4,002 | Albemarle Corp. | 892,806 | ||||
| 1,820 | Ashland, Inc. | 158,176 | ||||
| 6,006 | Axalta Coating Systems, Ltd.* | 197,057 | ||||
| 3,378 | Celanese Corp. | 391,172 | ||||
| 6,682 | CF Industries Holdings, Inc. | 463,865 | ||||
| 5,079 | Chemours Co. (The) | 187,364 | ||||
| 24,391 | Corteva, Inc. | 1,397,604 | ||||
| 24,199 | Dow, Inc. | 1,288,839 | ||||
| 15,698 | DuPont de Nemours, Inc. | 1,121,465 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Chemicals, continued |
||||||
| 4,052 | Eastman Chemical Co. | $ | 339,234 | |||
| 1,886 | Ecolab, Inc. | 352,097 | ||||
| 8,100 | Element Solutions, Inc. | 155,520 | ||||
| 3,632 | FMC Corp. | 378,963 | ||||
| 47,683 | Ginkgo Bioworks Holdings, Inc.*^ | 88,690 | ||||
| 6,550 | Huntsman Corp. | 176,981 | ||||
| 8,943 | International Flavors & Fragrances, Inc. | 711,773 | ||||
| 15,203 | Linde plc | 5,793,559 | ||||
| 8,844 | Lyondellbasell Industries NV | 812,145 | ||||
| 10,665 | Mosaic Co. (The) | 373,275 | ||||
| 209 | NewMarket Corp. | 84,043 | ||||
| 4,177 | Olin Corp. | 214,656 | ||||
| 6,011 | PPG Industries, Inc. | 891,431 | ||||
| 3,516 | RPM International, Inc. | 315,491 | ||||
| 1,358 | Sherwin-Williams Co. (The) | 360,576 | ||||
| 1,186 | Westlake Corp. | 141,692 | ||||
|
|
|
| ||||
| 19,560,409 | ||||||
|
|
|
| ||||
| Commercial Services & Supplies (0.4%): | ||||||
| 326 | Cintas Corp. | 162,048 | ||||
| 1,831 | Clean Harbors, Inc.* | 301,071 | ||||
| 2,242 | Driven Brands Holdings, Inc.* | 60,669 | ||||
| 1,046 | MSA Safety, Inc. | 181,962 | ||||
| 1,459 | RB Global, Inc. | 87,540 | ||||
| 7,062 | Republic Services, Inc. | 1,081,687 | ||||
| 3,293 | Stericycle, Inc.* | 152,927 | ||||
| 1,483 | Tetra Tech, Inc. | 242,826 | ||||
| 1,405 | Waste Management, Inc. | 243,655 | ||||
|
|
|
| ||||
| 2,514,385 | ||||||
|
|
|
| ||||
| Communications Equipment (1.3%): | ||||||
| 5,294 | Ciena Corp.* | 224,942 | ||||
| 140,262 | Cisco Systems, Inc. | 7,257,156 | ||||
| 2,010 | F5, Inc.* | 293,983 | ||||
| 10,858 | Juniper Networks, Inc. | 340,181 | ||||
| 2,447 | Lumentum Holdings, Inc.* | 138,818 | ||||
| 452 | Motorola Solutions, Inc. | 132,563 | ||||
| 15 | Ubiquiti, Inc. | 2,636 | ||||
| 2,581 | Viasat, Inc.* | 106,492 | ||||
|
|
|
| ||||
| 8,496,771 | ||||||
|
|
|
| ||||
| Construction & Engineering (0.3%): | ||||||
| 4,443 | AECOM | 376,278 | ||||
| 1,048 | EMCOR Group, Inc. | 193,649 | ||||
| 2,190 | MasTec, Inc.* | 258,354 | ||||
| 7,258 | MDU Resources Group, Inc. | 151,983 | ||||
| 3,622 | Quanta Services, Inc. | 711,542 | ||||
| 650 | Valmont Industries, Inc. | 189,183 | ||||
| 5,027 | WillScot Mobile Mini Holdings Corp.* | 240,240 | ||||
|
|
|
| ||||
| 2,121,229 | ||||||
|
|
|
| ||||
| Construction Materials (0.3%): | ||||||
| 417 | Eagle Materials, Inc. | 77,737 | ||||
| 2,110 | Martin Marietta Materials, Inc. | 974,166 | ||||
| 3,533 | Vulcan Materials Co. | 796,480 | ||||
|
|
|
| ||||
| 1,848,383 | ||||||
|
|
|
| ||||
| Consumer Finance (0.9%): | ||||||
| 9,246 | Ally Financial, Inc. | 249,735 | ||||
| 13,600 | American Express Co. | 2,369,120 | ||||
| 12,962 | Capital One Financial Corp. | 1,417,654 | ||||
| 217 | Credit Acceptance Corp.* | 110,221 | ||||
See accompanying notes to the financial statements.
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Consumer Finance, continued |
||||||
| 8,665 | Discover Financial Services | $ | 1,012,505 | |||
| 4,124 | OneMain Holdings, Inc. | 180,178 | ||||
| 4,992 | SLM Corp. | 81,469 | ||||
| 28,948 | SoFi Technologies, Inc.* | 241,426 | ||||
| 14,584 | Synchrony Financial | 494,689 | ||||
|
|
|
| ||||
| 6,156,997 | ||||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (1.8%): | ||||||
| 13,010 | Albertsons Cos., Inc., Class A | 283,878 | ||||
| 2,973 | BJ’s Wholesale Club Holdings, Inc.* | 187,329 | ||||
| 1,089 | Casey’s General Stores, Inc. | 265,585 | ||||
| 7,130 | Dollar Tree, Inc.* | 1,023,155 | ||||
| 2,935 | Grocery Outlet Holding Corp.* | 89,840 | ||||
| 22,309 | Kroger Co. (The) | 1,048,523 | ||||
| 2,775 | Performance Food Group Co.* | 167,166 | ||||
| 7,251 | US Foods Holding Corp.* | 319,044 | ||||
| 24,490 | Walgreens Boots Alliance, Inc. | 697,720 | ||||
| 48,826 | Walmart, Inc. | 7,674,471 | ||||
|
|
|
| ||||
| 11,756,711 | ||||||
|
|
|
| ||||
| Containers & Packaging (0.6%): | ||||||
| 49,658 | Amcor plc | 495,587 | ||||
| 2,183 | AptarGroup, Inc. | 252,922 | ||||
| 3,918 | Ardagh Metal Packaging SA | 14,732 | ||||
| 1,852 | Avery Dennison Corp. | 318,174 | ||||
| 10,531 | Ball Corp. | 613,009 | ||||
| 4,150 | Berry Global Group, Inc. | 267,011 | ||||
| 3,625 | Crown Holdings, Inc. | 314,904 | ||||
| 4,838 | Graphic Packaging Holding Co. | 116,257 | ||||
| 11,836 | International Paper Co. | 376,503 | ||||
| 3,024 | Packaging Corp. of America | 399,652 | ||||
| 2,195 | Sealed Air Corp. | 87,800 | ||||
| 3,021 | Silgan Holdings, Inc. | 141,655 | ||||
| 3,496 | Sonoco Products Co. | 206,334 | ||||
| 9,107 | Westrock Co. | 264,740 | ||||
|
|
|
| ||||
| 3,869,280 | ||||||
|
|
|
| ||||
| Distributors (0.2%): | ||||||
| 4,795 | Genuine Parts Co. | 811,458 | ||||
| 8,983 | LKQ Corp. | 523,439 | ||||
|
|
|
| ||||
| 1,334,897 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.1%): | ||||||
| 7,509 | ADT, Inc. | 45,279 | ||||
| 1,484 | Bright Horizons Family Solutions, Inc.* | 137,196 | ||||
| 744 | Grand Canyon Education, Inc.* | 76,788 | ||||
| 1,826 | H&R Block, Inc. | 58,195 | ||||
| 490 | Mister Car Wash, Inc.* | 4,729 | ||||
| 3,234 | Service Corp. International | 208,884 | ||||
|
|
|
| ||||
| 531,071 | ||||||
|
|
|
| ||||
| Diversified REITs (0.1%): | ||||||
| 2,884 | Federal Realty Investment Trust | 279,085 | ||||
| 7,384 | WP Carey, Inc. | 498,863 | ||||
|
|
|
| ||||
| 777,948 | ||||||
|
|
|
| ||||
| Diversified Telecommunication Services (1.4%): | ||||||
| 244,899 | AT&T, Inc. | 3,906,139 | ||||
| 8,800 | Frontier Communications Parent, Inc.* | 164,032 | ||||
| 5,506 | GCI Liberty, Inc.* | — | ||||
| 143,955 | Verizon Communications, Inc. | 5,353,687 | ||||
|
|
|
| ||||
| 9,423,858 | ||||||
|
|
|
| ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Electric Utilities (3.3%): |
||||||
| 8,588 | Alliant Energy Corp. | $ | 450,698 | |||
| 17,614 | American Electric Power Co., Inc. | 1,483,099 | ||||
| 2,547 | Avangrid, Inc. | 95,971 | ||||
| 11,202 | Constellation Energy Corp. | 1,025,543 | ||||
| 26,366 | Duke Energy Corp. | 2,366,085 | ||||
| 12,922 | Edison International | 897,433 | ||||
| 7,119 | Entergy Corp. | 693,177 | ||||
| 7,611 | Evergy, Inc. | 444,635 | ||||
| 11,873 | Eversource Energy | 842,033 | ||||
| 33,993 | Exelon Corp. | 1,384,875 | ||||
| 19,018 | FirstEnergy Corp. | 739,420 | ||||
| 3,909 | Hawaiian Electric Industries, Inc. | 141,506 | ||||
| 1,808 | IDACORP, Inc. | 185,501 | ||||
| 69,248 | NextEra Energy, Inc. | 5,138,201 | ||||
| 7,616 | NRG Energy, Inc. | 284,762 | ||||
| 7,175 | OGE Energy Corp. | 257,654 | ||||
| 61,593 | PG&E Corp.* | 1,064,327 | ||||
| 3,810 | Pinnacle West Capital Corp. | 310,362 | ||||
| 25,091 | PPL Corp. | 663,908 | ||||
| 37,273 | Southern Co. (The) | 2,618,428 | ||||
| 18,839 | Xcel Energy, Inc. | 1,171,221 | ||||
|
|
|
| ||||
| 22,258,839 | ||||||
|
|
|
| ||||
| Electrical Equipment (1.2%): | ||||||
| 1,152 | Acuity Brands, Inc. | 187,868 | ||||
| 7,863 | AMETEK, Inc. | 1,272,862 | ||||
| 13,621 | Eaton Corp. plc | 2,739,183 | ||||
| 19,520 | Emerson Electric Co. | 1,764,413 | ||||
| 2,078 | Generac Holdings, Inc.* | 309,892 | ||||
| 996 | Hubbell, Inc. | 330,234 | ||||
| 5,935 | nVent Electric plc | 306,661 | ||||
| 17,751 | Plug Power, Inc.*^ | 184,433 | ||||
| 2,224 | Regal Rexnord Corp. | 342,274 | ||||
| 5,433 | Sensata Technologies Holding plc | 244,431 | ||||
| 7,484 | Sunrun, Inc.* | 133,664 | ||||
| 9,184 | Vertiv Holdings Co. | 227,488 | ||||
|
|
|
| ||||
| 8,043,403 | ||||||
|
|
|
| ||||
| Electronic Equipment, Instruments & Components (0.9%): | ||||||
| 9,908 | Amphenol Corp., Class A | 841,685 | ||||
| 1,914 | Arrow Electronics, Inc.* | 274,142 | ||||
| 3,267 | Avnet, Inc. | 164,820 | ||||
| 268 | CDW Corp. | 49,178 | ||||
| 5,903 | Cognex Corp. | 330,686 | ||||
| 3,590 | Coherent Corp.* | 183,018 | ||||
| 26,003 | Corning, Inc. | 911,145 | ||||
| 1,023 | IPG Photonics Corp.* | 138,944 | ||||
| 1,644 | Jabil, Inc. | 177,437 | ||||
| 4,513 | Keysight Technologies, Inc.* | 755,702 | ||||
| 869 | Littelfuse, Inc. | 253,148 | ||||
| 976 | National Instruments Corp. | 56,023 | ||||
| 1,420 | TD SYNNEX Corp. | 133,480 | ||||
| 1,615 | Teledyne Technologies, Inc.* | 663,943 | ||||
| 8,422 | Trimble, Inc.* | 445,861 | ||||
| 3,520 | Vontier Corp. | 113,379 | ||||
| 1,434 | Zebra Technologies Corp., Class A* | 424,220 | ||||
|
|
|
| ||||
| 5,916,811 | ||||||
|
|
|
| ||||
| Energy Equipment & Services (0.7%): | ||||||
| 34,635 | Baker Hughes Co. | 1,094,812 | ||||
| 24,541 | Halliburton Co. | 809,608 | ||||
See accompanying notes to the financial statements.
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Energy Equipment & Services, continued |
||||||
| 14,063 | NOV, Inc. | $ | 225,570 | |||
| 48,731 | Schlumberger, Ltd. | 2,393,667 | ||||
| 15,000 | TechnipFMC plc* | 249,300 | ||||
|
|
|
| ||||
| 4,772,957 | ||||||
|
|
|
| ||||
| Entertainment (1.8%): | ||||||
| 26,652 | Activision Blizzard, Inc.* | 2,246,764 | ||||
| 18,570 | AMC Entertainment Holdings, Inc., Class A*^ | 81,708 | ||||
| 9,366 | Electronic Arts, Inc. | 1,214,770 | ||||
| 630 | Liberty Media Corp-Liberty Formula One, Class A* | 42,601 | ||||
| 6,403 | Liberty Media Corp-Liberty Formula One, Class C* | 482,018 | ||||
| 4,140 | Live Nation Entertainment, Inc.* | 377,195 | ||||
| 635 | Madison Square Garden Sports Corp., Class A | 119,412 | ||||
| 3,689 | Roku, Inc.* | 235,948 | ||||
| 5,637 | Take-Two Interactive Software, Inc.* | 829,541 | ||||
| 62,554 | Walt Disney Co. (The)* | 5,584,821 | ||||
| 75,327 | Warner Bros Discovery, Inc.* | 944,600 | ||||
|
|
|
| ||||
| 12,159,378 | ||||||
|
|
|
| ||||
| Financial Services (4.1%): | ||||||
| 7,710 | Affirm Holdings, Inc.*^ | 118,194 | ||||
| 62,640 | Berkshire Hathaway, Inc., Class B* | 21,360,240 | ||||
| 11,641 | Block, Inc.* | 774,941 | ||||
| 810 | Euronet Worldwide, Inc.* | 95,070 | ||||
| 20,240 | Fidelity National Information Services, Inc. | 1,107,128 | ||||
| 15,270 | Fiserv, Inc.* | 1,926,311 | ||||
| 172 | FleetCor Technologies, Inc.* | 43,186 | ||||
| 8,944 | Global Payments, Inc. | 881,163 | ||||
| 10,612 | MGIC Investment Corp. | 167,563 | ||||
| 3,610 | PayPal Holdings, Inc.* | 240,895 | ||||
| 2,385 | Rocket Cos., Inc., Class A*^ | 21,370 | ||||
| 2,177 | TFS Financial Corp. | 27,365 | ||||
| 3,497 | Voya Financial, Inc. | 250,770 | ||||
| 7,276 | Western Union Co. (The) | 85,348 | ||||
| 791 | WEX, Inc.* | 144,017 | ||||
|
|
|
| ||||
| 27,243,561 | ||||||
|
|
|
| ||||
| Food Products (1.9%): | ||||||
| 18,547 | Archer-Daniels-Midland Co. | 1,401,411 | ||||
| 4,766 | Bunge, Ltd. | 449,672 | ||||
| 6,536 | Campbell Soup Co. | 298,761 | ||||
| 16,388 | Conagra Brands, Inc. | 552,603 | ||||
| 5,352 | Darling Ingredients, Inc.* | 341,404 | ||||
| 6,734 | Flowers Foods, Inc. | 167,542 | ||||
| 720 | Freshpet, Inc.* | 47,383 | ||||
| 20,088 | General Mills, Inc. | 1,540,750 | ||||
| 1,299 | Hershey Co. (The) | 324,360 | ||||
| 10,303 | Hormel Foods Corp. | 414,387 | ||||
| 2,355 | Ingredion, Inc. | 249,512 | ||||
| 3,588 | JM Smucker Co. (The) | 529,840 | ||||
| 8,881 | Kellogg Co. | 598,579 | ||||
| 27,467 | Kraft Heinz Co. (The) | 975,079 | ||||
| 8,580 | McCormick & Co., Inc. | 748,434 | ||||
| 46,516 | Mondelez International, Inc., Class A | 3,392,877 | ||||
| 925 | Pilgrim’s Pride Corp.* | 19,878 | ||||
| 1,742 | Post Holdings, Inc.* | 150,944 | ||||
| 7 | Seaboard Corp. | 24,925 | ||||
| 9,773 | Tyson Foods, Inc., Class A | 498,814 | ||||
|
|
|
| ||||
| 12,727,155 | ||||||
|
|
|
| ||||
| Gas Utilities (0.1%): | ||||||
| 4,974 | Atmos Energy Corp. | 578,675 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Gas Utilities, continued |
||||||
| 2,894 | National Fuel Gas Co. | $ | 148,636 | |||
| 7,522 | UGI Corp. | 202,868 | ||||
|
|
|
| ||||
| 930,179 | ||||||
|
|
|
| ||||
| Ground Transportation (1.2%): | ||||||
| 458 | Avis Budget Group, Inc.* | 104,731 | ||||
| 61,727 | CSX Corp. | 2,104,891 | ||||
| 4,594 | Hertz Global Holdings, Inc.* | 84,484 | ||||
| 2,259 | JB Hunt Transport Services, Inc. | 408,947 | ||||
| 5,605 | Knight-Swift Transportation Holdings, Inc. | 311,414 | ||||
| 113 | Landstar System, Inc. | 21,757 | ||||
| 7,770 | Norfolk Southern Corp. | 1,761,925 | ||||
| 233 | Old Dominion Freight Line, Inc. | 86,152 | ||||
| 1,745 | Ryder System, Inc. | 147,958 | ||||
| 808 | Saia, Inc.* | 276,667 | ||||
| 1,941 | Schneider National, Inc., Class B | 55,745 | ||||
| 141 | U-Haul Holding Co. | 7,800 | ||||
| 1,699 | U-Haul Holding Co. | 86,088 | ||||
| 11,927 | Union Pacific Corp. | 2,440,503 | ||||
| 3,398 | XPO, Inc.* | 200,482 | ||||
|
|
|
| ||||
| 8,099,544 | ||||||
|
|
|
| ||||
| Health Care Equipment & Supplies (3.6%): | ||||||
| 55,485 | Abbott Laboratories | 6,048,975 | ||||
| 17,281 | Baxter International, Inc. | 787,322 | ||||
| 9,694 | Becton Dickinson & Co. | 2,559,313 | ||||
| 49,111 | Boston Scientific Corp.* | 2,656,414 | ||||
| 1,701 | Cooper Cos., Inc. (The) | 652,215 | ||||
| 7,197 | DENTSPLY SIRONA, Inc. | 288,024 | ||||
| 1,819 | Enovis Corp.* | 116,634 | ||||
| 5,848 | Envista Holdings Corp.* | 197,896 | ||||
| 12,319 | GE HealthCare Technologies, Inc. | 1,000,796 | ||||
| 2,560 | Globus Medical, Inc.* | 152,422 | ||||
| 8,305 | Hologic, Inc.* | 672,456 | ||||
| 590 | ICU Medical, Inc.* | 105,132 | ||||
| 2,602 | Integra LifeSciences Holdings Corp.* | 107,020 | ||||
| 45,435 | Medtronic plc | 4,002,824 | ||||
| 1,752 | QuidelOrtho Corp.* | 145,171 | ||||
| 3,390 | STERIS plc | 762,682 | ||||
| 9,065 | Stryker Corp. | 2,765,641 | ||||
| 1,904 | Tandem Diabetes Care, Inc.* | 46,724 | ||||
| 1,606 | Teleflex, Inc. | 388,700 | ||||
| 7,179 | Zimmer Biomet Holdings, Inc. | 1,045,262 | ||||
|
|
|
| ||||
| 24,501,623 | ||||||
|
|
|
| ||||
| Health Care Providers & Services (3.0%): | ||||||
| 3,200 | Acadia Healthcare Co., Inc.* | 254,848 | ||||
| 35 | agilon health, Inc.* | 607 | ||||
| 1,149 | Amedisys, Inc.* | 105,064 | ||||
| 4,303 | Cardinal Health, Inc. | 406,935 | ||||
| 18,747 | Centene Corp.* | 1,264,485 | ||||
| 143 | Chemed Corp. | 77,459 | ||||
| 9,248 | Cigna Group (The) | 2,594,989 | ||||
| 43,801 | CVS Health Corp. | 3,027,963 | ||||
| 7,030 | Elevance Health, Inc. | 3,123,359 | ||||
| 3,144 | Encompass Health Corp. | 212,880 | ||||
| 5,546 | HCA Healthcare, Inc. | 1,683,100 | ||||
| 4,454 | Henry Schein, Inc.* | 361,219 | ||||
| 2,418 | Humana, Inc. | 1,081,160 | ||||
| 3,093 | Laboratory Corp. of America Holdings | 746,434 | ||||
| 2,900 | McKesson Corp. | 1,239,199 | ||||
See accompanying notes to the financial statements.
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Health Care Providers & Services, continued |
||||||
| 900 | Molina Healthcare, Inc.* | $ | 271,116 | |||
| 4,230 | Premier, Inc., Class A | 117,002 | ||||
| 3,797 | Quest Diagnostics, Inc. | 533,706 | ||||
| 5,224 | R1 RCM, Inc.* | 96,383 | ||||
| 3,449 | Tenet Healthcare Corp.* | 280,680 | ||||
| 5,056 | UnitedHealth Group, Inc. | 2,430,116 | ||||
| 2,071 | Universal Health Services, Inc., Class B | 326,742 | ||||
|
|
|
|||||
| 20,235,446 | ||||||
|
|
|
|||||
| Health Care REITs (0.5%): | ||||||
| 13,623 | Healthcare Realty Trust, Inc. | 256,930 | ||||
| 19,378 | Healthpeak Properties, Inc. | 389,498 | ||||
| 21,340 | Medical Properties Trust, Inc.^ | 197,608 | ||||
| 8,444 | Omega Healthcare Investors, Inc. | 259,146 | ||||
| 13,909 | Ventas, Inc. | 657,478 | ||||
| 16,749 | Welltower, Inc. | 1,354,827 | ||||
|
|
|
|||||
| 3,115,487 | ||||||
|
|
|
|||||
| Health Care Technology (0.0%†): | ||||||
| 1,478 | Certara, Inc.* | 26,914 | ||||
| 2,123 | Doximity, Inc., Class A* | 72,225 | ||||
| 5,216 | Teladoc Health, Inc.* | 132,069 | ||||
|
|
|
|||||
| 231,208 | ||||||
|
|
|
|||||
| Hotel & Resort REITs (0.1%): | ||||||
| 24,163 | Host Hotels & Resorts, Inc. | 406,663 | ||||
| 8,008 | Park Hotels & Resorts, Inc. | 102,663 | ||||
|
|
|
|||||
| 509,326 | ||||||
|
|
|
|||||
| Hotels, Restaurants & Leisure (1.5%): | ||||||
| 8,330 | Aramark | 358,606 | ||||
| 2,455 | Boyd Gaming Corp. | 170,303 | ||||
| 4,154 | Caesars Entertainment, Inc.* | 211,729 | ||||
| 33,819 | Carnival Corp., Class A* | 636,812 | ||||
| 2,199 | Darden Restaurants, Inc. | 367,409 | ||||
| 2,238 | DoorDash, Inc., Class A* | 171,028 | ||||
| 1,316 | Expedia Group, Inc.* | 143,957 | ||||
| 4,764 | Hilton Worldwide Holdings, Inc. | 693,400 | ||||
| 1,701 | Hyatt Hotels Corp., Class A | 194,901 | ||||
| 769 | Las Vegas Sands Corp.* | 44,602 | ||||
| 1,344 | Marriott Vacations Worldwide Corp. | 164,936 | ||||
| 14,644 | McDonald’s Corp. | 4,369,916 | ||||
| 10,250 | MGM Resorts International | 450,180 | ||||
| 10,964 | Norwegian Cruise Line Holdings, Ltd.* | 238,686 | ||||
| 5,550 | Penn Entertainment, Inc.* | 133,366 | ||||
| 1,523 | Planet Fitness, Inc., Class A* | 102,711 | ||||
| 5,592 | Royal Caribbean Cruises, Ltd.* | 580,114 | ||||
| 1,387 | Travel + Leisure Co. | 55,952 | ||||
| 1,231 | Vail Resorts, Inc. | 309,917 | ||||
| 2,668 | Wyndham Hotels & Resorts, Inc. | 182,945 | ||||
| 3,081 | Wynn Resorts, Ltd. | 325,384 | ||||
| 1,170 | Yum! Brands, Inc. | 162,104 | ||||
|
|
|
|||||
| 10,068,958 | ||||||
|
|
|
|||||
| Household Durables (0.8%): | ||||||
| 10,639 | DR Horton, Inc. | 1,294,660 | ||||
| 5,252 | Garmin, Ltd. | 547,731 | ||||
| 4,781 | Leggett & Platt, Inc. | 141,613 | ||||
| 8,503 | Lennar Corp., Class A | 1,065,511 | ||||
| 547 | Lennar Corp., Class B | 61,800 | ||||
| 1,890 | Mohawk Industries, Inc.* | 194,972 | ||||
| 13,564 | Newell Brands, Inc. | 118,007 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Household Durables, continued |
||||||
| 92 | NVR, Inc.* | $ | 584,257 | |||
| 7,582 | PulteGroup, Inc. | 588,970 | ||||
| 4,544 | Tempur Sealy International, Inc. | 182,078 | ||||
| 3,773 | Toll Brothers, Inc. | 298,331 | ||||
| 1,012 | TopBuild Corp.* | 269,212 | ||||
| 1,916 | Whirlpool Corp. | 285,082 | ||||
|
|
|
|||||
| 5,632,224 | ||||||
|
|
|
|||||
| Household Products (1.9%): | ||||||
| 868 | Church & Dwight Co., Inc. | 87,000 | ||||
| 28,070 | Colgate-Palmolive Co. | 2,162,513 | ||||
| 680 | Kimberly-Clark Corp. | 93,881 | ||||
| 65,393 | Procter & Gamble Co. (The) | 9,922,734 | ||||
| 1,638 | Reynolds Consumer Products, Inc. | 46,273 | ||||
| 1,432 | Spectrum Brands Holdings, Inc. | 111,767 | ||||
|
|
|
|||||
| 12,424,168 | ||||||
|
|
|
|||||
| Independent Power and Renewable Electricity Producers (0.1%): |
||||||
| 8,880 | AES Corp. (The) | 184,082 | ||||
| 4,588 | Brookfield Renewable Corp., Class A^ | 144,614 | ||||
| 1,184 | Clearway Energy, Inc., Class A | 31,968 | ||||
| 2,799 | Clearway Energy, Inc., Class C | 79,939 | ||||
| 9,095 | Vistra Corp. | 238,744 | ||||
|
|
|
|||||
| 679,347 | ||||||
|
|
|
|||||
| Industrial Conglomerates (1.5%): | ||||||
| 18,806 | 3M Co. | 1,882,293 | ||||
| 37,085 | General Electric Co. | 4,073,787 | ||||
| 19,837 | Honeywell International, Inc. | 4,116,177 | ||||
|
|
|
|||||
| 10,072,257 | ||||||
|
|
|
|||||
| Industrial REITs (0.8%): | ||||||
| 9,658 | Americold Realty Trust, Inc. | 311,953 | ||||
| 1,478 | EastGroup Properties, Inc. | 256,581 | ||||
| 4,733 | First Industrial Realty Trust, Inc. | 249,145 | ||||
| 31,557 | Prologis, Inc. | 3,869,835 | ||||
| 6,599 | Rexford Industrial Realty, Inc. | 344,600 | ||||
| 6,135 | STAG Industrial, Inc. | 220,124 | ||||
|
|
|
|||||
| 5,252,238 | ||||||
|
|
|
|||||
| Insurance (3.7%): | ||||||
| 20,579 | Aflac, Inc. | 1,436,414 | ||||
| 8,967 | Allstate Corp. (The) | 977,762 | ||||
| 2,418 | American Financial Group, Inc. | 287,137 | ||||
| 25,087 | American International Group, Inc. | 1,443,506 | ||||
| 6,915 | Aon plc, Class A | 2,387,058 | ||||
| 10,503 | Arch Capital Group, Ltd.* | 786,150 | ||||
| 6,834 | Arthur J. Gallagher & Co. | 1,500,541 | ||||
| 1,795 | Assurant, Inc. | 225,667 | ||||
| 2,070 | Assured Guaranty, Ltd. | 115,506 | ||||
| 2,796 | Axis Capital Holdings, Ltd. | 150,509 | ||||
| 2,027 | Brighthouse Financial, Inc.* | 95,978 | ||||
| 4,943 | Brown & Brown, Inc. | 340,276 | ||||
| 14,099 | Chubb, Ltd. | 2,714,903 | ||||
| 5,312 | Cincinnati Financial Corp. | 516,964 | ||||
| 980 | CNA Financial Corp. | 37,848 | ||||
| 1,251 | Everest Re Group, Ltd. | 427,667 | ||||
| 8,763 | Fidelity National Financial, Inc. | 315,468 | ||||
| 3,625 | First American Financial Corp. | 206,698 | ||||
| 3,028 | Globe Life, Inc. | 331,929 | ||||
| 1,272 | Hanover Insurance Group, Inc. (The) | 143,774 | ||||
See accompanying notes to the financial statements.
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Insurance, continued |
||||||
| 10,411 | Hartford Financial Services Group, Inc. (The) | $ | 749,800 | |||
| 2,282 | Kemper Corp. | 110,129 | ||||
| 4,835 | Lincoln National Corp. | 124,550 | ||||
| 6,388 | Loews Corp. | 379,319 | ||||
| 449 | Markel Group, Inc.* | 621,048 | ||||
| 3,369 | Marsh & McLennan Cos., Inc. | 633,642 | ||||
| 22,117 | MetLife, Inc. | 1,250,274 | ||||
| 9,231 | Old Republic International Corp. | 232,344 | ||||
| 435 | Primerica, Inc. | 86,026 | ||||
| 8,421 | Principal Financial Group, Inc. | 638,649 | ||||
| 5,018 | Progressive Corp. (The) | 664,233 | ||||
| 12,550 | Prudential Financial, Inc. | 1,107,161 | ||||
| 2,264 | Reinsurance Group of America, Inc. | 313,994 | ||||
| 1,233 | RenaissanceRe Holdings, Ltd. | 229,979 | ||||
| 1,070 | RLI Corp. | 146,023 | ||||
| 7,883 | Travelers Cos., Inc. (The) | 1,368,962 | ||||
| 6,688 | Unum Group | 319,018 | ||||
| 7,390 | W R Berkley Corp. | 440,148 | ||||
| 90 | White Mountains Insurance Group, Ltd. | 125,002 | ||||
| 3,188 | Willis Towers Watson plc | 750,774 | ||||
|
|
|
|||||
| 24,732,830 | ||||||
|
|
|
|||||
| Interactive Media & Services (0.1%): | ||||||
| 2,761 | IAC, Inc.* | 173,391 | ||||
| 407 | Match Group, Inc.* | 17,033 | ||||
| 3,372 | TripAdvisor, Inc.* | 55,604 | ||||
| 5,149 | ZoomInfo Technologies, Inc.* | 130,733 | ||||
|
|
|
|||||
| 376,761 | ||||||
|
|
|
|||||
| IT Services (1.2%): | ||||||
| 5,360 | Akamai Technologies, Inc.* | 481,703 | ||||
| 4,125 | Amdocs, Ltd. | 407,756 | ||||
| 17,368 | Cognizant Technology Solutions Corp., Class A | 1,133,783 | ||||
| 8,265 | DXC Technology Co.* | 220,841 | ||||
| 2,076 | GoDaddy, Inc., Class A* | 155,970 | ||||
| 31,081 | International Business Machines Corp. | 4,158,949 | ||||
| 7,343 | Kyndryl Holdings, Inc.* | 97,515 | ||||
| 4,697 | Okta, Inc.* | 325,737 | ||||
| 4,831 | Twilio, Inc., Class A* | 307,348 | ||||
| 2,897 | VeriSign, Inc.* | 654,635 | ||||
|
|
|
|||||
| 7,944,237 | ||||||
|
|
|
|||||
| Leisure Products (0.1%): | ||||||
| 2,144 | Brunswick Corp. | 185,756 | ||||
| 4,721 | Hasbro, Inc. | 305,779 | ||||
| 12,028 | Mattel, Inc.* | 235,027 | ||||
| 1,680 | Polaris, Inc. | 203,163 | ||||
|
|
|
|||||
| 929,725 | ||||||
|
|
|
|||||
| Life Sciences Tools & Services (1.8%): | ||||||
| 1,888 | Agilent Technologies, Inc. | 227,032 | ||||
| 23,061 | Avantor, Inc.* | 473,673 | ||||
| 2,193 | Azenta, Inc.* | 102,369 | ||||
| 714 | Bio-Rad Laboratories, Inc., Class A* | 270,692 | ||||
| 1,734 | Charles River Laboratories International, Inc.* | 364,573 | ||||
| 22,514 | Danaher Corp. | 5,403,360 | ||||
| 2,371 | ICON plc* | 593,224 | ||||
| 3,795 | Illumina, Inc.* | 711,525 | ||||
| 460 | IQVIA Holdings, Inc.* | 103,394 | ||||
| 8,151 | QIAGEN NV* | 367,040 | ||||
| 1,059 | Repligen Corp.* | 149,806 | ||||
| 4,381 | Revvity, Inc. | 520,419 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Life Sciences Tools & Services, continued |
||||||
| 3,037 | Syneos Health, Inc.* | $ | 127,979 | |||
| 5,068 | Thermo Fisher Scientific, Inc. | 2,644,229 | ||||
|
|
|
|||||
| 12,059,315 | ||||||
|
|
|
|||||
| Machinery (2.5%): | ||||||
| 1,936 | AGCO Corp. | 254,429 | ||||
| 2,803 | Allison Transmission Holdings, Inc. | 158,257 | ||||
| 4,416 | Caterpillar, Inc. | 1,086,557 | ||||
| 33,404 | CNH Industrial NV | 481,018 | ||||
| 1,690 | Crane Co. | 150,613 | ||||
| 1,690 | Crane NXT Co. | 95,384 | ||||
| 4,848 | Cummins, Inc. | 1,188,536 | ||||
| 606 | Deere & Co. | 245,545 | ||||
| 2,420 | Donaldson Co., Inc. | 151,274 | ||||
| 4,751 | Dover Corp. | 701,485 | ||||
| 1,821 | Esab Corp. | 121,169 | ||||
| 4,678 | Flowserve Corp. | 173,788 | ||||
| 12,090 | Fortive Corp. | 903,969 | ||||
| 3,877 | Gates Industrial Corp. plc* | 52,262 | ||||
| 3,375 | Graco, Inc. | 291,431 | ||||
| 2,244 | IDEX Corp. | 483,043 | ||||
| 1,919 | Illinois Tool Works, Inc. | 480,057 | ||||
| 13,836 | Ingersoll Rand, Inc. | 904,321 | ||||
| 3,000 | ITT, Inc. | 279,630 | ||||
| 1,789 | Middleby Corp. (The)* | 264,468 | ||||
| 1,955 | Nordson Corp. | 485,192 | ||||
| 2,359 | Oshkosh Corp. | 204,266 | ||||
| 13,300 | Otis Worldwide Corp. | 1,183,833 | ||||
| 17,530 | PACCAR, Inc. | 1,466,385 | ||||
| 4,369 | Parker-Hannifin Corp. | 1,704,085 | ||||
| 5,912 | Pentair PLC | 381,915 | ||||
| 966 | RBC Bearings, Inc.* | 210,076 | ||||
| 1,779 | Snap-on, Inc. | 512,690 | ||||
| 5,306 | Stanley Black & Decker, Inc. | 497,225 | ||||
| 2,197 | Timken Co. (The) | 201,091 | ||||
| 6,095 | Westinghouse Air Brake Technologies Corp. | 668,439 | ||||
| 7,142 | Xylem, Inc. | 804,332 | ||||
|
|
|
|||||
| 16,786,765 | ||||||
|
|
|
|||||
| Marine Transportation (0.0%†): | ||||||
| 2,145 | Kirby Corp.* | 165,058 | ||||
|
|
|
|||||
| Media (1.4%): | ||||||
| 179 | Cable One, Inc. | 117,617 | ||||
| 141,452 | Comcast Corp., Class A | 5,877,331 | ||||
| 9,003 | DISH Network Corp., Class A* | 59,330 | ||||
| 10,085 | Fox Corp., Class A | 342,890 | ||||
| 5,118 | Fox Corp., Class B | 163,213 | ||||
| 13,434 | Interpublic Group of Cos., Inc. (The) | 518,284 | ||||
| 335 | Liberty Broadband Corp., Class A* | 26,710 | ||||
| 3,156 | Liberty Broadband Corp., Class C* | 252,827 | ||||
| 1,947 | Liberty Media Corp-Liberty SiriusXM, Class A* | 63,881 | ||||
| 5,247 | Liberty Media Corp-Liberty SiriusXM, Class C* | 171,734 | ||||
| 5,835 | New York Times Co. (The), Class A | 229,782 | ||||
| 13,649 | News Corp., Class A | 266,156 | ||||
| 4,252 | News Corp., Class B | 83,849 | ||||
| 768 | Nexstar Media Group, Inc. | 127,910 | ||||
| 6,744 | Omnicom Group, Inc. | 641,692 | ||||
| 33 | Paramount Global, Class A^ | 612 | ||||
| 19,478 | Paramount Global, Class B | 309,895 | ||||
See accompanying notes to the financial statements.
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Media, continued |
| |||||
| 25,216 | Sirius XM Holdings, Inc.^ | $ | 114,229 | |||
|
|
|
|||||
| 9,367,942 | ||||||
|
|
|
|||||
| Metals & Mining (1.0%): | ||||||
| 6,352 | Alcoa Corp. | 215,523 | ||||
| 17,165 | Cleveland-Cliffs, Inc.* | 287,685 | ||||
| 48,855 | Freeport-McMoRan, Inc. | 1,954,200 | ||||
| 3,553 | MP Materials Corp.* | 81,293 | ||||
| 27,208 | Newmont Corp. | 1,160,693 | ||||
| 8,607 | Nucor Corp. | 1,411,376 | ||||
| 2,017 | Reliance Steel & Aluminum Co. | 547,797 | ||||
| 2,202 | Royal Gold, Inc. | 252,746 | ||||
| 7,402 | SSR Mining, Inc. | 104,960 | ||||
| 5,491 | Steel Dynamics, Inc. | 598,135 | ||||
| 7,428 | United States Steel Corp. | 185,774 | ||||
|
|
|
|||||
| 6,800,182 | ||||||
|
|
|
|||||
| Mortgage Real Estate Investment Trusts (REITs) (0.1%): |
||||||
| 20,499 | AGNC Investment Corp. | 207,655 | ||||
| 15,791 | Annaly Capital Management, Inc. | 315,978 | ||||
| 15,555 | Rithm Capital Corp. | 145,439 | ||||
| 10,494 | Starwood Property Trust, Inc.^ | 203,584 | ||||
|
|
|
|||||
| 872,656 | ||||||
|
|
|
|||||
| Multi-Utilities (1.4%): | ||||||
| 9,039 | Ameren Corp. | 738,215 | ||||
| 21,974 | CenterPoint Energy, Inc. | 640,542 | ||||
| 10,078 | CMS Energy Corp. | 592,083 | ||||
| 11,864 | Consolidated Edison, Inc. | 1,072,506 | ||||
| 28,585 | Dominion Energy, Inc. | 1,480,417 | ||||
| 6,766 | DTE Energy Co. | 744,395 | ||||
| 14,591 | NiSource, Inc. | 399,064 | ||||
| 17,003 | Public Service Enterprise Group, Inc. | 1,064,558 | ||||
| 10,773 | Sempra Energy | 1,568,441 | ||||
| 10,788 | WEC Energy Group, Inc. | 951,933 | ||||
|
|
|
|||||
| 9,252,154 | ||||||
|
|
|
|||||
| Office REITs (0.2%): | ||||||
| 5,863 | Alexandria Real Estate Equities, Inc. | 665,392 | ||||
| 5,632 | Boston Properties, Inc. | 324,347 | ||||
| 5,426 | Cousins Properties, Inc. | 123,713 | ||||
| 3,732 | Highwoods Properties, Inc. | 89,232 | ||||
| 4,176 | Kilroy Realty Corp. | 125,656 | ||||
| 6,340 | Vornado Realty Trust | 115,007 | ||||
|
|
|
|||||
| 1,443,347 | ||||||
|
|
|
|||||
| Oil, Gas & Consumable Fuels (7.1%): | ||||||
| 7,715 | Antero Midstream Corp. | 89,494 | ||||
| 9,662 | Antero Resources Corp.* | 222,516 | ||||
| 1,209 | APA Corp. | 41,312 | ||||
| 4,352 | Chesapeake Energy Corp. | 364,175 | ||||
| 59,152 | Chevron Corp. | 9,307,567 | ||||
| 41,476 | ConocoPhillips | 4,297,328 | ||||
| 25,882 | Coterra Energy, Inc. | 654,815 | ||||
| 21,913 | Devon Energy Corp. | 1,059,274 | ||||
| 6,193 | Diamondback Energy, Inc. | 813,513 | ||||
| 3,482 | DT Midstream, Inc. | 172,603 | ||||
| 20,101 | EOG Resources, Inc. | 2,300,358 | ||||
| 12,321 | EQT Corp. | 506,763 | ||||
| 138,953 | Exxon Mobil Corp. | 14,902,709 | ||||
| 4,200 | Hess Corp. | 570,990 | ||||
| 4,847 | HF Sinclair Corp. | 216,225 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
| |||||
| Oil, Gas & Consumable Fuels, continued |
| |||||
| 67,060 | Kinder Morgan, Inc. | $ | 1,154,773 | |||
| 21,065 | Marathon Oil Corp. | 484,916 | ||||
| 15,095 | Marathon Petroleum Corp. | 1,760,077 | ||||
| 23,854 | Occidental Petroleum Corp. | 1,402,615 | ||||
| 14,439 | ONEOK, Inc. | 891,175 | ||||
| 4,618 | Ovintiv, Inc. | 175,807 | ||||
| 2,962 | PDC Energy, Inc. | 210,717 | ||||
| 15,757 | Phillips 66 | 1,502,903 | ||||
| 7,960 | Pioneer Natural Resources Co. | 1,649,153 | ||||
| 7,999 | Range Resources Corp. | 235,171 | ||||
| 36,730 | Southwestern Energy Co.* | 220,747 | ||||
| 12,327 | Valero Energy Corp. | 1,445,957 | ||||
| 41,641 | Williams Cos., Inc. (The) | 1,358,746 | ||||
|
|
|
|||||
| 48,012,399 | ||||||
|
|
|
|||||
| Paper & Forest Products (0.0%†): | ||||||
| 2,306 | Louisiana-Pacific Corp. | 172,904 | ||||
| Passenger Airlines (0.4%): | ||||||
| 4,445 | Alaska Air Group, Inc.* | 236,385 | ||||
| 13,962 | American Airlines Group, Inc.* | 250,479 | ||||
| 20,819 | Delta Air Lines, Inc.* | 989,735 | ||||
| 20,618 | Southwest Airlines Co. | 746,578 | ||||
| 11,322 | United Airlines Holdings, Inc.* | 621,238 | ||||
|
|
|
|||||
| 2,844,415 | ||||||
|
|
|
|||||
| Personal Care Products (0.2%): | ||||||
| 12,626 | Coty, Inc., Class A* | 155,174 | ||||
| 5,385 | Estee Lauder Cos., Inc. (The), Class A | 1,057,506 | ||||
|
|
|
|||||
| 1,212,680 | ||||||
|
|
|
|||||
| Pharmaceuticals (5.4%): | ||||||
| 71,909 | Bristol-Myers Squibb Co. | 4,598,581 | ||||
| 6,146 | Catalent, Inc.* | 266,491 | ||||
| 16,000 | Elanco Animal Health, Inc.* | 160,960 | ||||
| 1,005 | Jazz Pharmaceuticals plc* | 124,590 | ||||
| 88,979 | Johnson & Johnson | 14,727,804 | ||||
| 70,901 | Merck & Co., Inc. | 8,181,266 | ||||
| 9,131 | Organon & Co. | 190,016 | ||||
| 4,825 | Perrigo Co. plc | 163,809 | ||||
| 193,283 | Pfizer, Inc. | 7,089,620 | ||||
| 12,691 | Royalty Pharma plc, Class A | 390,121 | ||||
| 40,887 | Viatris, Inc. | 408,052 | ||||
|
|
|
|||||
| 36,301,310 | ||||||
|
|
|
|||||
| Professional Services (0.9%): | ||||||
| 2,009 | Automatic Data Processing, Inc. | 441,558 | ||||
| 657 | Broadridge Financial Solutions, Inc. | 108,819 | ||||
| 771 | CACI International, Inc., Class A* | 262,788 | ||||
| 4,607 | Ceridian HCM Holding, Inc.* | 308,531 | ||||
| 16,961 | Clarivate plc* | 161,638 | ||||
| 1,527 | Concentrix Corp. | 123,305 | ||||
| 7,878 | CoStar Group, Inc.* | 701,142 | ||||
| 9,034 | Dun & Bradstreet Holdings, Inc. | 104,523 | ||||
| 1,283 | Equifax, Inc. | 301,890 | ||||
| 927 | FTI Consulting, Inc.* | 176,316 | ||||
| 4,601 | Genpact, Ltd. | 172,860 | ||||
| 1,698 | Jack Henry & Associates, Inc. | 284,126 | ||||
| 4,398 | Jacobs Solutions, Inc. | 522,878 | ||||
| 2,939 | KBR, Inc. | 191,211 | ||||
| 4,664 | Leidos Holdings, Inc. | 412,671 | ||||
| 1,805 | ManpowerGroup, Inc. | 143,317 | ||||
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Professional Services, continued |
||||||
| 1,611 | Paycor HCM, Inc.* | $ | 38,132 | |||
| 3,594 | Robert Half International, Inc. | 270,341 | ||||
| 1,793 | Science Applications International Corp. | 201,677 | ||||
| 7,427 | SS&C Technologies Holdings, Inc. | 450,076 | ||||
| 6,600 | TransUnion | 516,978 | ||||
|
|
|
|||||
| 5,894,777 | ||||||
|
|
|
|||||
| Real Estate Management & Development (0.2%): | ||||||
| 10,591 | CBRE Group, Inc., Class A* | 854,799 | ||||
| 1,316 | Howard Hughes Corp. (The)* | 103,859 | ||||
| 1,715 | Jones Lang LaSalle, Inc.* | 267,197 | ||||
| 1,901 | Zillow Group, Inc., Class A* | 93,529 | ||||
| 5,326 | Zillow Group, Inc., Class C* | 267,685 | ||||
|
|
|
|||||
| 1,587,069 | ||||||
|
|
|
|||||
| Residential REITs (0.9%): | ||||||
| 11,060 | American Homes 4 Rent, Class A | 392,077 | ||||
| 4,943 | Apartment Income REIT Corp. | 178,393 | ||||
| 4,777 | AvalonBay Communities, Inc. | 904,143 | ||||
| 3,412 | Camden Property Trust | 371,464 | ||||
| 4,086 | Equity LifeStyle Properties, Inc. | 273,313 | ||||
| 12,988 | Equity Residential | 856,818 | ||||
| 2,241 | Essex Property Trust, Inc. | 525,066 | ||||
| 21,369 | Invitation Homes, Inc. | 735,094 | ||||
| 3,997 | Mid-America Apartment Communities, Inc. | 606,984 | ||||
| 3,285 | Sun Communities, Inc. | 428,561 | ||||
| 10,586 | UDR, Inc. | 454,775 | ||||
|
|
|
|||||
| 5,726,688 | ||||||
|
|
|
|||||
| Retail REITs (0.6%): | ||||||
| 3,041 | Agree Realty Corp. | 198,851 | ||||
| 10,717 | Brixmor Property Group, Inc. | 235,774 | ||||
| 20,680 | Kimco Realty Corp. | 407,810 | ||||
| 6,405 | NNN REIT, Inc. | 274,070 | ||||
| 22,162 | Realty Income Corp. | 1,325,066 | ||||
| 5,818 | Regency Centers Corp. | 359,378 | ||||
| 8,676 | Simon Property Group, Inc. | 1,001,904 | ||||
| 5,000 | Spirit Realty Capital, Inc. | 196,900 | ||||
|
|
|
|||||
| 3,999,753 | ||||||
|
|
|
|||||
| Semiconductors & Semiconductor Equipment (3.7%): | ||||||
| 23,632 | Advanced Micro Devices, Inc.* | 2,691,921 | ||||
| 17,292 | Analog Devices, Inc. | 3,368,654 | ||||
| 4,476 | Applied Materials, Inc. | 646,961 | ||||
| 1,969 | Cirrus Logic, Inc.* | 159,509 | ||||
| 4,838 | Entegris, Inc. | 536,147 | ||||
| 3,718 | First Solar, Inc.* | 706,755 | ||||
| 2,680 | GLOBALFOUNDRIES, Inc.* | 173,074 | ||||
| 142,806 | Intel Corp. | 4,775,433 | ||||
| 243 | Lam Research Corp. | 156,215 | ||||
| 29,220 | Marvell Technology, Inc. | 1,746,772 | ||||
| 5,278 | Microchip Technology, Inc. | 472,856 | ||||
| 37,383 | Micron Technology, Inc. | 2,359,241 | ||||
| 2,059 | MKS Instruments, Inc. | 222,578 | ||||
| 14,742 | ON Semiconductor Corp.* | 1,394,298 | ||||
| 3,419 | Qorvo, Inc.* | 348,840 | ||||
| 4,885 | QUALCOMM, Inc. | 581,510 | ||||
| 5,411 | Skyworks Solutions, Inc. | 598,944 | ||||
| 890 | Teradyne, Inc. | 99,084 | ||||
| 18,382 | Texas Instruments, Inc. | 3,309,128 | ||||
| 875 | Universal Display Corp. | 126,114 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Semiconductors & Semiconductor Equipment, continued |
| |||||
| 4,425 | Wolfspeed, Inc.* | $ | 245,986 | |||
|
|
|
|||||
| 24,720,020 | ||||||
|
|
|
|||||
| Software (1.6%): | ||||||
| 519 | ANSYS, Inc.* | 171,410 | ||||
| 5,783 | AppLovin Corp., Class A* | 148,797 | ||||
| 953 | Aspen Technology, Inc.* | 159,732 | ||||
| 3,553 | BILL Holdings, Inc.* | 415,168 | ||||
| 5,037 | Black Knight, Inc.* | 300,860 | ||||
| 6,873 | CCC Intelligent Solutions Holdings, Inc.* | 77,046 | ||||
| 1,963 | Dolby Laboratories, Inc., Class A | 164,264 | ||||
| 117 | Dropbox, Inc., Class A* | 3,120 | ||||
| 15,979 | Gen Digital, Inc. | 296,410 | ||||
| 2,945 | Guidewire Software, Inc.* | 224,056 | ||||
| 397 | Informatica, Inc., Class A* | 7,345 | ||||
| 1,661 | nCino, Inc.* | 50,029 | ||||
| 4,330 | NCR Corp.* | 109,116 | ||||
| 5,942 | Nutanix, Inc., Class A* | 166,673 | ||||
| 30,635 | Oracle Corp. | 3,648,322 | ||||
| 1,773 | PTC, Inc.* | 252,298 | ||||
| 3,615 | Roper Technologies, Inc. | 1,738,092 | ||||
| 7,965 | Salesforce, Inc.* | 1,682,686 | ||||
| 5,569 | SentinelOne, Inc., Class A* | 84,092 | ||||
| 347 | Tyler Technologies, Inc.* | 144,515 | ||||
| 2,991 | UiPath, Inc., Class A* | 49,561 | ||||
| 5,952 | Unity Software, Inc.* | 258,436 | ||||
| 8,450 | Zoom Video Communications, Inc., Class A* | 573,586 | ||||
|
|
|
|||||
| 10,725,614 | ||||||
|
|
|
|||||
| Specialized REITs (1.4%): | ||||||
| 13,227 | Crown Castle, Inc. | 1,507,084 | ||||
| 7,591 | CubeSmart | 339,014 | ||||
| 10,088 | Digital Realty Trust, Inc. | 1,148,721 | ||||
| 2,660 | EPR Properties | 124,488 | ||||
| 1,590 | Equinix, Inc. | 1,246,465 | ||||
| 4,063 | Extra Space Storage, Inc. | 604,777 | ||||
| 8,773 | Gaming and Leisure Properties, Inc. | 425,140 | ||||
| 4,999 | Iron Mountain, Inc. | 284,043 | ||||
| 680 | Lamar Advertising Co., Class A | 67,490 | ||||
| 2,869 | Life Storage, Inc. | 381,462 | ||||
| 3,050 | National Storage Affiliates Trust | 106,231 | ||||
| 2,245 | Public Storage | 655,271 | ||||
| 5,235 | Rayonier, Inc. | 164,379 | ||||
| 3,300 | SBA Communications Corp. | 764,808 | ||||
| 34,320 | VICI Properties, Inc. | 1,078,678 | ||||
| 25,037 | Weyerhaeuser Co. | 838,990 | ||||
|
|
|
|||||
| 9,737,041 | ||||||
|
|
|
|||||
| Specialty Retail (0.8%): | ||||||
| 1,989 | Advance Auto Parts, Inc. | 139,827 | ||||
| 1,041 | AutoNation, Inc.* | 171,359 | ||||
| 104 | AutoZone, Inc.* | 259,309 | ||||
| 8,221 | Bath & Body Works, Inc. | 308,288 | ||||
| 5,747 | Best Buy Co., Inc. | 470,967 | ||||
| 5,015 | CarMax, Inc.* | 419,755 | ||||
| 1,910 | Dick’s Sporting Goods, Inc. | 252,483 | ||||
| 9,646 | GameStop Corp., Class A*^ | 233,916 | ||||
| 6,989 | Gap, Inc. (The) | 62,412 | ||||
| 974 | Lithia Motors, Inc. | 296,203 | ||||
| 5,450 | Lowe’s Cos., Inc. | 1,230,065 | ||||
| 317 | O’Reilly Automotive, Inc.* | 302,830 | ||||
See accompanying notes to the financial statements.
11
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Specialty Retail, continued | ||||||
| 686 | Penske Automotive Group, Inc. | $ | 114,308 | |||
| 2,533 | Petco Health & Wellness Co., Inc.* | 22,544 | ||||
| 465 | RH* | 153,259 | ||||
| 769 | Ross Stores, Inc. | 86,228 | ||||
| 4,328 | Valvoline, Inc. | 162,343 | ||||
| 812 | Victoria’s Secret & Co.* | 14,153 | ||||
| 1,827 | Wayfair, Inc., Class A* | 118,773 | ||||
| 1,940 | Williams-Sonoma, Inc. | 242,772 | ||||
|
|
|
|||||
| 5,061,794 | ||||||
|
|
|
|||||
| Technology Hardware, Storage & Peripherals (0.3%): | ||||||
| 44,882 | Hewlett Packard Enterprise Co. | 754,018 | ||||
| 23,514 | HP, Inc. | 722,115 | ||||
| 4,401 | NetApp, Inc. | 336,236 | ||||
| 2,095 | Pure Storage, Inc., Class A* | 77,138 | ||||
| 10,920 | Western Digital Corp.* | 414,195 | ||||
|
|
|
|||||
| 2,303,702 | ||||||
|
|
|
|||||
| Textiles, Apparel & Luxury Goods (0.5%): | ||||||
| 3,972 | Capri Holdings, Ltd.* | 142,555 | ||||
| 1,340 | Carter’s, Inc. | 97,284 | ||||
| 1,294 | Columbia Sportswear Co. | 99,949 | ||||
| 18,996 | NIKE, Inc., Class B | 2,096,589 | ||||
| 2,097 | PVH Corp. | 178,182 | ||||
| 1,457 | Ralph Lauren Corp. | 179,648 | ||||
| 4,081 | Skechers U.S.A., Inc., Class A* | 214,905 | ||||
| 7,054 | Tapestry, Inc. | 301,911 | ||||
| 6,770 | Under Armour, Inc., Class A* | 48,879 | ||||
| 7,090 | Under Armour, Inc., Class C* | 47,574 | ||||
| 12,562 | VF Corp. | 239,809 | ||||
|
|
|
|||||
| 3,647,285 | ||||||
|
|
|
|||||
| Tobacco (1.2%): | ||||||
| 61,097 | Altria Group, Inc. | 2,767,694 | ||||
| 53,086 | Philip Morris International, Inc. | 5,182,255 | ||||
|
|
|
|||||
| 7,949,949 | ||||||
|
|
|
|||||
| Trading Companies & Distributors (0.5%): | ||||||
| 3,733 | Air Lease Corp. | 156,226 | ||||
| Shares | Value | |||||
| Common Stocks, continued | ||||||
| Trading Companies & Distributors, continued | ||||||
| 1,876 | Core & Main, Inc., Class A* | $ | 58,794 | |||
| 4,900 | Fastenal Co. | 289,051 | ||||
| 6,673 | Ferguson PLC | 1,049,729 | ||||
| 1,660 | MSC Industrial Direct Co., Inc. | 158,165 | ||||
| 1,030 | SiteOne Landscape Supply, Inc.* | 172,381 | ||||
| 1,865 | United Rentals, Inc. | 830,615 | ||||
| 5,226 | Univar Solutions, Inc.* | 187,300 | ||||
| 852 | Watsco, Inc. | 325,012 | ||||
| 1,512 | WESCO International, Inc. | 270,739 | ||||
|
|
|
|||||
| 3,498,012 | ||||||
|
|
|
|||||
| Water Utilities (0.2%): | ||||||
| 6,661 | American Water Works Co., Inc. | 950,858 | ||||
| 8,315 | Essential Utilities, Inc. | 331,851 | ||||
|
|
|
|||||
| 1,282,709 | ||||||
|
|
|
|||||
| Wireless Telecommunication Services (0.4%): | ||||||
| 18,578 | T-Mobile US, Inc.* | 2,580,484 | ||||
|
|
|
|||||
| Total Common Stocks (Cost $496,458,212) |
665,142,877 | |||||
|
|
|
|||||
| Short-Term Security Held as Collateral for Securities on Loan (0.3%): |
||||||
| $2,066,883 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(a)(b) | 2,066,883 | ||||
|
|
|
|||||
| Total Short-Term Security Held as Collateral for Securities on Loan |
2,066,883 | |||||
|
|
|
|||||
| Unaffiliated Investment Company (0.9%): | ||||||
| Money Markets (0.9%): | ||||||
| 5,961,563 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(b) | 5,961,563 | ||||
|
|
|
|||||
| Total Unaffiliated Investment Company |
5,961,563 | |||||
|
|
|
|||||
| Total Investment Securities |
673,171,323 | |||||
| Net other assets (liabilities) — (0.2)% | (1,602,778 | ) | ||||
|
|
|
|||||
| Net Assets — 100.0% | $ | 671,568,545 | ||||
|
|
|
|||||
Percentages indicated are based on net assets as of June 30, 2023.
REIT - Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $2,028,736. |
| + | Affiliated Securities |
| † | 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 June 30, 2023. |
| (b) | The rate represents the effective yield at June 30, 2023. |
Amounts shown as “—“ are either $0 or round to less than $1.
Futures Contracts
At June 30, 2023, 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 September Futures (U.S. Dollar) |
9/15/23 | 17 | $ | 3,815,013 | $ | 95,806 | ||||||||
| S&P Midcap 400 E-Mini September Futures (U.S. Dollar) |
9/15/23 | 12 | 3,172,920 | 118,115 | ||||||||||
|
|
|
|||||||||||||
| $ | 213,921 | |||||||||||||
|
|
|
|||||||||||||
See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investments in non-affiliates, at cost |
$ | 502,780,856 | |||
| Investments in affiliates, at cost |
1,705,802 | ||||
|
|
|
||||
| Investments in non-affiliates, at value(a) |
$ | 669,656,876 | |||
| Investments in affiliates, at value |
3,514,447 | ||||
| Deposit at broker for futures contracts collateral |
368,200 | ||||
| Interest and dividends receivable |
739,710 | ||||
| Receivable for variation margin on futures contracts |
69,627 | ||||
| Reclaims receivable |
13,934 | ||||
| Receivable from Manager |
48,727 | ||||
| Prepaid expenses |
3,292 | ||||
|
|
|
||||
| Total Assets |
674,414,813 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Cash overdraft |
37 | ||||
| Payable for capital shares redeemed |
285,855 | ||||
| Payable for collateral received on loaned securities |
2,066,883 | ||||
| Management fees payable |
238,218 | ||||
| Administration fees payable |
19,794 | ||||
| Distribution fees payable |
99,372 | ||||
| Custodian fees payable |
10,199 | ||||
| Administrative and compliance services fees payable |
1,646 | ||||
| Transfer agent fees payable |
2,496 | ||||
| Trustee fees payable |
8,199 | ||||
| Other accrued liabilities |
113,569 | ||||
|
|
|
||||
| Total Liabilities |
2,846,268 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 671,568,545 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 428,141,173 | |||
| Total distributable earnings |
243,427,372 | ||||
|
|
|
||||
| Net Assets |
$ | 671,568,545 | |||
|
|
|
||||
| Class 1 |
|||||
| Net Assets |
$ | 178,326,494 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
20,106,420 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 8.87 | |||
|
|
|
||||
| Class 2 |
|||||
| Net Assets |
$ | 493,242,051 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
37,814,638 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 13.04 | |||
|
|
|
| (a) | Includes securities on loan of $2,028,736. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends from non-affiliates |
$ | 8,901,025 | |||
| Dividends from affiliates |
63,285 | ||||
| Interest |
5,635 | ||||
| Income from securities lending |
84,281 | ||||
| Foreign withholding tax |
(56 | ) | |||
|
|
|
| |||
| Total Investment Income |
9,054,170 | ||||
|
|
|
| |||
| Expenses: |
|||||
| Management fees |
1,674,044 | ||||
| Administration fees |
91,239 | ||||
| Distribution fees - Class 2 |
728,741 | ||||
| Custodian fees |
14,412 | ||||
| Administrative and compliance services fees |
3,689 | ||||
| Transfer agent fees |
5,268 | ||||
| Trustee fees |
15,243 | ||||
| Professional fees |
11,854 | ||||
| Licensing fees |
59,313 | ||||
| Shareholder reports |
11,302 | ||||
| Other expenses |
8,826 | ||||
|
|
|
| |||
| Total expenses before reductions |
2,623,931 | ||||
| Less Management fees contractually waived |
(342,424 | ) | |||
|
|
|
| |||
| Net expenses |
2,281,507 | ||||
|
|
|
| |||
| Net Investment Income/(Loss) |
6,772,663 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
23,044,082 | ||||
| Net realized gains/(losses) on affiliated transactions |
(226,687 | ) | |||
| Net realized gains/(losses) on futures contracts |
(15,952 | ) | |||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
5,237,349 | ||||
| Change in net unrealized appreciation/depreciation on affiliated transactions |
60,242 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
308,056 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments |
28,407,090 | ||||
|
|
|
| |||
| Change in Net Assets Resulting From Operations |
$ | 35,179,753 | |||
|
|
|
|
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended |
For the Year Ended |
|||||||
| June 30, 2023 | December 31, 2022 | |||||||
| (Unaudited) | ||||||||
| Change In Net Assets: |
||||||||
| Operations: |
||||||||
| Net investment income/(loss) |
$ | 6,772,663 | $ | 15,861,994 | ||||
| Net realized gains/(losses) on investments |
22,801,443 | 39,929,522 | ||||||
| Change in unrealized appreciation/depreciation on investments |
5,605,647 | (151,834,583) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
35,179,753 | (96,043,067) | ||||||
|
|
|
|
|
|||||
| Distributions to Shareholders: |
||||||||
| Class 1 |
— | (29,777,305) | ||||||
| Class 2 |
— | (86,902,859) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from distributions to shareholders |
— | (116,680,164) | ||||||
|
|
|
|
|
|||||
| Capital Transactions: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
1,371,098 | 14,542 | ||||||
| Proceeds from dividends reinvested |
— | 29,777,305 | ||||||
| Value of shares redeemed |
(13,457,469) | (23,577,132) | ||||||
|
|
|
|
|
|||||
| Total Class 1 Shares |
(12,086,371) | 6,214,715 | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
1,963,522 | 8,911,501 | ||||||
| Proceeds from dividends reinvested |
— | 86,902,859 | ||||||
| Value of shares redeemed |
(281,047,125) | (180,794,379) | ||||||
|
|
|
|
|
|||||
| Total Class 2 Shares |
(279,083,603) | (84,980,019) | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from capital transactions |
(291,169,974) | (78,765,304) | ||||||
|
|
|
|
|
|||||
| Change in net assets |
(255,990,221) | (291,488,535) | ||||||
| Net Assets: |
||||||||
| Beginning of period |
927,558,766 | 1,219,047,301 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 671,568,545 | $ | 927,558,766 | ||||
|
|
|
|
|
|||||
| Share Transactions: |
||||||||
| Class 1 |
||||||||
| Shares issued |
157,152 | 1,397 | ||||||
| Dividends reinvested |
— | 3,764,514 | ||||||
| Shares redeemed |
(1,575,250) | (2,428,108) | ||||||
|
|
|
|
|
|||||
| Total Class 1 Shares |
(1,418,098) | 1,337,803 | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Shares issued |
152,172 | 664,830 | ||||||
| Dividends reinvested |
— | 7,459,473 | ||||||
| Shares redeemed |
(22,734,192) | (12,986,670) | ||||||
|
|
|
|
|
|||||
| Total Class 2 Shares |
(22,582,020) | (4,862,367) | ||||||
|
|
|
|
|
|||||
| Change in shares |
(24,000,118) | (3,524,564) | ||||||
|
|
|
|
|
|||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
14
AZL Russell 1000 Value Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||||||||
| (Unaudited | ) | |||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 8.40 | $ | 10.98 | $ | 9.02 | $ | 9.75 | $ | 8.55 | $ | 10.65 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.08 | (a) | 0.17 | (a) | 0.16 | (a) | 0.18 | (a) | 0.21 | (a) | 0.24 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.39 | (1.14 | ) | 2.04 | (0.06 | ) | 1.94 | (1.02 | ) | |||||||||||||||
| Total from Investment Activities |
0.47 | (0.97 | ) | 2.20 | 0.12 | 2.15 | (0.78 | ) | ||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.22 | ) | (0.20 | ) | (0.27 | ) | (0.30 | ) | (0.30 | ) | |||||||||||||
| Net Realized Gains |
— | (1.39 | ) | (0.04 | ) | (0.58 | ) | (0.65 | ) | (1.02 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (1.61 | ) | (0.24 | ) | (0.85 | ) | (0.95 | ) | (1.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 8.87 | $ | 8.40 | $ | 10.98 | $ | 9.02 | $ | 9.75 | $ | 8.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
5.60 | %(c) | (7.88 | )% | 24.55 | %(c) | 2.25 | % | 26.13 | % | (8.50 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 178,326 | $ | 180,772 | $ | 221,723 | $ | 146,474 | $ | 165,337 | $ | 148,796 | ||||||||||||
| Net Investment Income/(Loss)(d) |
1.97 | % | 1.75 | % | 1.52 | % | 2.08 | % | 2.21 | % | 2.10 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.50 | % | 0.50 | % | 0.52 | % | 0.52 | % | 0.51 | % | 0.50 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.41 | % | 0.41 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
14 | % | 12 | % | 38 | %(g) | 27 | % | 15 | % | 22 | % | ||||||||||||
| Class 2 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 12.36 | $ | 15.28 | $ | 12.48 | $ | 13.13 | $ | 11.22 | $ | 13.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.11 | (a) | 0.21 | (a) | 0.18 | (a) | 0.21 | (a) | 0.25 | (a) | 0.28 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.57 | (1.56 | ) | 2.83 | (0.04 | ) | 2.57 | (1.34 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.68 | (1.35 | ) | 3.01 | 0.17 | 2.82 | (1.06 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.18 | ) | (0.17 | ) | (0.24 | ) | (0.26 | ) | (0.26 | ) | |||||||||||||
| Net Realized Gains |
— | (1.39 | ) | (0.04 | ) | (0.58 | ) | (0.65 | ) | (1.02 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (1.57 | ) | (0.21 | ) | (0.82 | ) | (0.91 | ) | (1.28 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 13.04 | $ | 12.36 | $ | 15.28 | $ | 12.48 | $ | 13.13 | $ | 11.22 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
5.50 | %(c) | (8.18 | )% | 24.25 | % | 2.01 | % | 25.86 | % | (8.72 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 493,242 | $ | 746,787 | $ | 997,324 | $ | 779,649 | $ | 787,403 | $ | 720,365 | ||||||||||||
| Net Investment Income/(Loss)(d) |
1.72 | % | 1.60 | % | 1.27 | % | 1.83 | % | 1.96 | % | 1.85 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.75 | % | 0.75 | % | 0.77 | % | 0.77 | % | 0.76 | % | 0.75 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.66 | % | 0.66 | % | 0.68 | % | 0.68 | % | 0.68 | % | 0.68 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
14 | % | 12 | % | 38 | %(g) | 27 | % | 15 | % | 22 | % | ||||||||||||
| (a) | Calculated using the average shares method. |
| (b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
| (c) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
| (g) | Excludes impact of in-kind transactions. |
See accompanying notes to the financial statements.
15
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $8,321 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,066,883 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $4.7 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.
17
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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* | $213,921 | 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 period ended June 30, 2023:
| 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 | $ | (15,952) | $308,056 | ||||||
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, 2024.
For the period ended June 30, 2023, 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 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, 2024. The annual rate due to the Subadviser from the Manager is 0.015%.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
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, as applicable.
At June 30, 2023, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| Value 12/31/22 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gains (Losses) |
Change in Net Unrealized Appreciation (Depreciation) |
Value 06/30/23 |
Shares as of 06/30/23 |
Dividend Income |
Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
| BlackRock, Inc., Class A |
$ | 5,336,693 | $ | 57,153 | $ (1,712,954) | $ (226,687) | $ | 60,242 | $ | 3,514,447 | 5,085 | $ | 63,285 | $ | — | ||||||||||||||||||||||||||||||
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.”
18
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
19
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||
| Common Stocks+ |
$665,142,877 | $— | $— | $665,142,877 | ||||||||||||||||||||||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
2,066,883 | — | — | 2,066,883 | ||||||||||||||||||||||||||||||||||||
| Unaffiliated Investment Company |
5,961,563 | — | — | 5,961,563 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Total Investment Securities |
673,171,323 | — | — | 673,171,323 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||||||||||||||||||||||
| Futures Contracts |
213,921 | — | — | 213,921 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Total Investments |
$673,385,244 | $— | $— | $673,385,244 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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| + | 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 recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$ | 89,608,508 | $ | 377,491,405 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
20
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $775,935,827. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$ | 217,654,189 | |||
| Unrealized (depreciation) |
(64,929,694) | ||||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$ | 152,724,495 | |||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL Russell 1000 Value Index Fund |
$33,190,347 | $83,489,817 | $116,680,164 | ||||||||||||
| (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, 2022, 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 | |||||||||||||||||||||
| AZL Russell 1000 Value Index Fund |
$19,135,079 | $36,388,045 | $— | $152,724,495 | $208,247,619 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of this shareholder could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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
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
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
23
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® S&P 500 Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
Table of Contents
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 10
Statement of Operations
Page 10
Statements of Changes in Net Assets
Page 11
Financial Highlights
Page 12
Notes to the Financial Statements
Page 13
Other Information
Page 19
Statement Regarding the Trust’s Liquidity Risk Management Program
Page 20
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
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL S&P 500 Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,167.10 | $ | 1.18 | 0.22 | % | ||||||||||||
| AZL S&P 500 Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,165.90 | $ | 2.52 | 0.47 | % | ||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL S&P 500 Index Fund, Class 1 |
$ | 1,000.00 | $ | 1,023.70 | $ | 1.10 | 0.22 | % | ||||||||||||
| AZL S&P 500 Index Fund, Class 2 |
$ | 1,000.00 | $ | 1,022.46 | $ | 2.36 | 0.47 | % | ||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
28.1 | % | |||
| Health Care |
13.3 | ||||
| Financials |
12.3 | ||||
| Consumer Discretionary |
10.6 | ||||
| Industrials |
8.6 | ||||
| Communication Services |
8.3 | ||||
| Consumer Staples |
6.6 | ||||
| Energy |
4.1 | ||||
| Utilities |
2.5 | ||||
| Materials |
2.5 | ||||
| Real Estate |
2.4 | ||||
|
|
|
||||
| Total Common Stocks |
99.3 | ||||
| Unaffiliated Investment Company |
0.1 | ||||
|
|
|
||||
| Total Investment Securities |
99.4 | ||||
| Net other assets (liabilities) |
0.6 | ||||
|
|
|
||||
| Net Assets |
100.0 | % | |||
|
|
|
||||
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks (99.3%): | ||||||||
| Aerospace & Defense (1.7%): | ||||||||
| 5,078 | Axon Enterprise, Inc.* | $ | 990,819 | |||||
| 40,186 | Boeing Co. (The)* | 8,485,676 | ||||||
| 16,175 | General Dynamics Corp. | 3,480,051 | ||||||
| 26,462 | Howmet Aerospace, Inc. | 1,311,457 | ||||||
| 2,885 | Huntington Ingalls Industries, Inc. | 656,626 | ||||||
| 13,389 | L3Harris Technologies, Inc. | 2,621,165 | ||||||
| 16,038 | Lockheed Martin Corp. | 7,383,574 | ||||||
| 10,228 | Northrop Grumman Corp. | 4,661,922 | ||||||
| 103,931 | Raytheon Technologies Corp. | 10,181,081 | ||||||
| 14,799 | Textron, Inc. | 1,000,856 | ||||||
| 3,668 | TransDigm Group, Inc. | 3,279,816 | ||||||
|
|
|
|||||||
| 44,053,043 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics (0.6%): | ||||||||
| 7,910 | CH Robinson Worldwide, Inc. | 746,308 | ||||||
| 11,175 | Expeditors International of Washington, Inc. | 1,353,628 | ||||||
| 16,413 | FedEx Corp. | 4,068,783 | ||||||
| 51,840 | United Parcel Service, Inc., Class B | 9,292,320 | ||||||
|
|
|
|||||||
| 15,461,039 | ||||||||
|
|
|
|||||||
| Automobile Components (2.3%): | ||||||||
| 19,195 | Aptiv plc* | 1,959,618 | ||||||
| 16,029 | BorgWarner, Inc. | 783,978 | ||||||
| 278,299 | Ford Motor Co. | 4,210,664 | ||||||
| 100,002 | General Motors Co. | 3,856,077 | ||||||
| 191,823 | Tesla, Inc.* | 50,213,507 | ||||||
|
|
|
|||||||
| 61,023,844 | ||||||||
|
|
|
|||||||
| Banks (3.0%): | ||||||||
| 493,654 | Bank of America Corp. | 14,162,933 | ||||||
| 138,284 | Citigroup, Inc. | 6,366,595 | ||||||
| 33,285 | Citizens Financial Group, Inc. | 868,073 | ||||||
| 9,769 | Comerica, Inc. | 413,815 | ||||||
| 49,343 | Fifth Third Bancorp | 1,293,280 | ||||||
| 105,467 | Huntington Bancshares, Inc. | 1,136,934 | ||||||
| 208,072 | JPMorgan Chase & Co. | 30,261,992 | ||||||
| 68,556 | KeyCorp | 633,458 | ||||||
| 11,968 | M&T Bank Corp. | 1,481,160 | ||||||
| 28,352 | PNC Financial Services Group, Inc. (The) | 3,570,934 | ||||||
| 68,559 | Regions Financial Corp. | 1,221,721 | ||||||
| 94,226 | Truist Financial Corp. | 2,859,759 | ||||||
| 98,704 | US Bancorp | 3,261,180 | ||||||
| 266,991 | Wells Fargo & Co. | 11,395,176 | ||||||
| 10,729 | Zions Bancorp NA | 288,181 | ||||||
|
|
|
|||||||
| 79,215,191 | ||||||||
|
|
|
|||||||
| Beverages (1.7%): | ||||||||
| 13,128 | Brown-Forman Corp., Class B | 876,688 | ||||||
| 277,126 | Coca-Cola Co. (The) | 16,688,528 | ||||||
| 11,447 | Constellation Brands, Inc., Class A | 2,817,450 | ||||||
| 60,249 | Keurig Dr Pepper, Inc. | 1,883,986 | ||||||
| 13,901 | Molson Coors Beverage Co., Class B | 915,242 | ||||||
| 54,227 | Monster Beverage Corp.* | 3,114,799 | ||||||
| 98,094 | PepsiCo, Inc. | 18,168,970 | ||||||
|
|
|
|||||||
| 44,465,663 | ||||||||
|
|
|
|||||||
| Biotechnology (1.9%): | ||||||||
| 125,621 | AbbVie, Inc. | 16,924,917 | ||||||
| 37,945 | Amgen, Inc. | 8,424,549 | ||||||
| 10,245 | Biogen, Inc.* | 2,918,288 | ||||||
| 89,251 | Gilead Sciences, Inc. | 6,878,575 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Biotechnology, continued | ||||||||
| 13,664 | Incyte Corp.* | $ | 850,584 | |||||
| 22,960 | Moderna, Inc.* | 2,789,640 | ||||||
| 7,676 | Regeneron Pharmaceuticals, Inc.* | 5,515,513 | ||||||
| 18,451 | Vertex Pharmaceuticals, Inc.* | 6,493,092 | ||||||
|
|
|
|||||||
| 50,795,158 | ||||||||
|
|
|
|||||||
| Broadline Retail (3.2%): | ||||||||
| 635,584 | Amazon.com, Inc.* | 82,854,730 | ||||||
| 38,361 | eBay, Inc. | 1,714,353 | ||||||
| 9,091 | Etsy, Inc.* | 769,190 | ||||||
|
|
|
|||||||
| 85,338,273 | ||||||||
|
|
|
|||||||
| Building Products (0.4%): | ||||||||
| 8,564 | A O Smith Corp. | 623,288 | ||||||
| 6,110 | Allegion plc | 733,322 | ||||||
| 58,820 | Carrier Global Corp. | 2,923,942 | ||||||
| 48,984 | Johnson Controls International plc | 3,337,770 | ||||||
| 16,009 | Masco Corp. | 918,596 | ||||||
| 16,326 | Trane Technologies plc | 3,122,511 | ||||||
|
|
|
|||||||
| 11,659,429 | ||||||||
|
|
|
|||||||
| Capital Markets (2.6%): | ||||||||
| 7,395 | Ameriprise Financial, Inc. | 2,456,323 | ||||||
| 51,034 | Bank of New York Mellon Corp. (The) | 2,272,034 | ||||||
| 10,650 | BlackRock, Inc., Class A+ | 7,360,641 | ||||||
| 7,779 | Cboe Global Markets, Inc. | 1,073,580 | ||||||
| 105,812 | Charles Schwab Corp. (The) | 5,997,424 | ||||||
| 25,462 | CME Group, Inc. | 4,717,854 | ||||||
| 2,750 | FactSet Research Systems, Inc. | 1,101,788 | ||||||
| 19,919 | Franklin Resources, Inc. | 532,036 | ||||||
| 23,744 | Goldman Sachs Group, Inc. (The) | 7,658,390 | ||||||
| 39,903 | Intercontinental Exchange, Inc. | 4,512,231 | ||||||
| 34,577 | Invesco, Ltd. | 581,239 | ||||||
| 2,759 | MarketAxess Holdings, Inc. | 721,258 | ||||||
| 11,330 | Moody’s Corp. | 3,939,668 | ||||||
| 92,454 | Morgan Stanley | 7,895,572 | ||||||
| 5,649 | MSCI, Inc. | 2,651,019 | ||||||
| 24,828 | Nasdaq, Inc. | 1,237,676 | ||||||
| 14,964 | Northern Trust Corp. | 1,109,431 | ||||||
| 13,224 | Raymond James Financial, Inc. | 1,372,254 | ||||||
| 23,423 | S&P Global, Inc. | 9,390,046 | ||||||
| 24,117 | State Street Corp. | 1,764,882 | ||||||
| 15,686 | T. Rowe Price Group, Inc. | 1,757,146 | ||||||
|
|
|
|||||||
| 70,102,492 | ||||||||
|
|
|
|||||||
| Chemicals (1.7%): | ||||||||
| 15,900 | Air Products and Chemicals, Inc. | 4,762,527 | ||||||
| 8,172 | Albemarle Corp. | 1,823,091 | ||||||
| 7,401 | Celanese Corp. | 857,036 | ||||||
| 14,355 | CF Industries Holdings, Inc. | 996,524 | ||||||
| 50,732 | Corteva, Inc. | 2,906,943 | ||||||
| 51,063 | Dow, Inc. | 2,719,615 | ||||||
| 32,753 | DuPont de Nemours, Inc. | 2,339,874 | ||||||
| 8,352 | Eastman Chemical Co. | 699,229 | ||||||
| 17,620 | Ecolab, Inc. | 3,289,478 | ||||||
| 8,653 | FMC Corp. | 902,854 | ||||||
| 17,952 | International Flavors & Fragrances, Inc. | 1,428,800 | ||||||
| 34,860 | Linde plc | 13,284,449 | ||||||
| 17,743 | Lyondellbasell Industries NV | 1,629,340 | ||||||
| 24,077 | Mosaic Co. (The) | 842,695 | ||||||
| 16,879 | PPG Industries, Inc. | 2,503,156 | ||||||
See accompanying notes to the financial statements.
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Chemicals, continued | ||||||||
| 16,732 | Sherwin-Williams Co. (The) | $ | 4,442,681 | |||||
|
|
|
|||||||
| 45,428,292 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies (0.5%): | ||||||||
| 6,113 | Cintas Corp. | 3,038,650 | ||||||
| 30,940 | Copart, Inc.* | 2,822,037 | ||||||
| 14,660 | Republic Services, Inc. | 2,245,472 | ||||||
| 15,853 | Rollins, Inc. | 678,984 | ||||||
| 26,242 | Waste Management, Inc. | 4,550,888 | ||||||
|
|
|
|||||||
| 13,336,031 | ||||||||
|
|
|
|||||||
| Communications Equipment (0.9%): | ||||||||
| 17,949 | Arista Networks, Inc.* | 2,908,815 | ||||||
| 291,630 | Cisco Systems, Inc. | 15,088,936 | ||||||
| 4,113 | F5, Inc.* | 601,568 | ||||||
| 21,995 | Juniper Networks, Inc. | 689,103 | ||||||
| 11,997 | Motorola Solutions, Inc. | 3,518,480 | ||||||
|
|
|
|||||||
| 22,806,902 | ||||||||
|
|
|
|||||||
| Construction & Engineering (0.1%): | ||||||||
| 10,489 | Quanta Services, Inc. | 2,060,564 | ||||||
|
|
|
|||||||
| Construction Materials (0.2%): | ||||||||
| 4,405 | Martin Marietta Materials, Inc. | 2,033,745 | ||||||
| 9,410 | Vulcan Materials Co. | 2,121,390 | ||||||
|
|
|
|||||||
| 4,155,135 | ||||||||
|
|
|
|||||||
| Consumer Finance (0.5%): | ||||||||
| 42,328 | American Express Co. | 7,373,537 | ||||||
| 26,967 | Capital One Financial Corp. | 2,949,381 | ||||||
| 18,322 | Discover Financial Services | 2,140,926 | ||||||
| 30,741 | Synchrony Financial | 1,042,735 | ||||||
|
|
|
|||||||
| 13,506,579 | ||||||||
|
|
|
|||||||
| Consumer Staples Distribution & Retail (1.8%): | ||||||||
| 31,577 | Costco Wholesale Corp. | 17,000,425 | ||||||
| 15,610 | Dollar General Corp. | 2,650,266 | ||||||
| 14,565 | Dollar Tree, Inc.* | 2,090,078 | ||||||
| 46,640 | Kroger Co. (The) | 2,192,080 | ||||||
| 35,622 | Sysco Corp. | 2,643,152 | ||||||
| 33,160 | Target Corp. | 4,373,804 | ||||||
| 50,371 | Walgreens Boots Alliance, Inc. | 1,435,070 | ||||||
| 99,869 | Walmart, Inc. | 15,697,409 | ||||||
|
|
|
|||||||
| 48,082,284 | ||||||||
|
|
|
|||||||
| Containers & Packaging (0.2%): | ||||||||
| 103,433 | Amcor plc | 1,032,261 | ||||||
| 5,928 | Avery Dennison Corp. | 1,018,430 | ||||||
| 22,686 | Ball Corp. | 1,320,552 | ||||||
| 24,599 | International Paper Co. | 782,494 | ||||||
| 6,179 | Packaging Corp. of America | 816,617 | ||||||
| 9,234 | Sealed Air Corp. | 369,360 | ||||||
| 19,064 | Westrock Co. | 554,191 | ||||||
|
|
|
|||||||
| 5,893,905 | ||||||||
|
|
|
|||||||
| Distributors (0.1%): | ||||||||
| 9,863 | Genuine Parts Co. | 1,669,115 | ||||||
| 17,554 | LKQ Corp. | 1,022,872 | ||||||
| 2,690 | Pool Corp. | 1,007,782 | ||||||
|
|
|
|||||||
| 3,699,769 | ||||||||
|
|
|
|||||||
| Diversified REITs (0.0%†): | ||||||||
| 5,376 | Federal Realty Investment Trust | 520,236 | ||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Diversified Telecommunication Services (0.7%): | ||||||||
| 510,922 | AT&T, Inc. | $ | 8,149,206 | |||||
| 299,217 | Verizon Communications, Inc. | 11,127,880 | ||||||
|
|
|
|||||||
| 19,277,086 | ||||||||
|
|
|
|||||||
| Electric Utilities (1.7%): | ||||||||
| 18,652 | Alliant Energy Corp. | 978,857 | ||||||
| 36,762 | American Electric Power Co., Inc. | 3,095,361 | ||||||
| 23,163 | Constellation Energy Corp. | 2,120,573 | ||||||
| 54,758 | Duke Energy Corp. | 4,913,983 | ||||||
| 27,066 | Edison International | 1,879,734 | ||||||
| 14,867 | Entergy Corp. | 1,447,600 | ||||||
| 15,858 | Evergy, Inc. | 926,424 | ||||||
| 24,585 | Eversource Energy | 1,743,568 | ||||||
| 70,461 | Exelon Corp. | 2,870,581 | ||||||
| 39,625 | FirstEnergy Corp. | 1,540,620 | ||||||
| 143,876 | NextEra Energy, Inc. | 10,675,599 | ||||||
| 15,474 | NRG Energy, Inc. | 578,573 | ||||||
| 114,347 | PG&E Corp.* | 1,975,916 | ||||||
| 8,153 | Pinnacle West Capital Corp. | 664,143 | ||||||
| 53,716 | PPL Corp. | 1,421,325 | ||||||
| 77,946 | Southern Co. (The) | 5,475,707 | ||||||
| 39,636 | Xcel Energy, Inc. | 2,464,170 | ||||||
|
|
|
|||||||
| 44,772,734 | ||||||||
|
|
|
|||||||
| Electrical Equipment (0.6%): | ||||||||
| 16,504 | AMETEK, Inc. | 2,671,668 | ||||||
| 28,292 | Eaton Corp. plc | 5,689,521 | ||||||
| 40,954 | Emerson Electric Co. | 3,701,832 | ||||||
| 4,227 | Generac Holdings, Inc.* | 630,372 | ||||||
| 8,239 | Rockwell Automation, Inc. | 2,714,339 | ||||||
|
|
|
|||||||
| 15,407,732 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components (0.6%): | ||||||||
| 42,601 | Amphenol Corp., Class A | 3,618,955 | ||||||
| 9,533 | CDW Corp. | 1,749,305 | ||||||
| 53,670 | Corning, Inc. | 1,880,597 | ||||||
| 12,695 | Keysight Technologies, Inc.* | 2,125,778 | ||||||
| 22,535 | TE Connectivity, Ltd. | 3,158,506 | ||||||
| 3,260 | Teledyne Technologies, Inc.* | 1,340,218 | ||||||
| 17,285 | Trimble, Inc.* | 915,068 | ||||||
| 3,706 | Zebra Technologies Corp., Class A* | 1,096,346 | ||||||
|
|
|
|||||||
| 15,884,773 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services (0.4%): | ||||||||
| 71,335 | Baker Hughes Co. | 2,254,899 | ||||||
| 64,790 | Halliburton Co. | 2,137,422 | ||||||
| 102,114 | Schlumberger, Ltd. | 5,015,840 | ||||||
|
|
|
|||||||
| 9,408,161 | ||||||||
|
|
|
|||||||
| Entertainment (1.4%): | ||||||||
| 50,723 | Activision Blizzard, Inc.* | 4,275,949 | ||||||
| 18,859 | Electronic Arts, Inc. | 2,446,012 | ||||||
| 9,834 | Live Nation Entertainment, Inc.* | 895,976 | ||||||
| 31,652 | Netflix, Inc.* | 13,942,389 | ||||||
| 11,191 | Take-Two Interactive Software, Inc.* | 1,646,868 | ||||||
| 130,097 | Walt Disney Co. (The)* | 11,615,060 | ||||||
| 157,665 | Warner Bros Discovery, Inc.* | 1,977,119 | ||||||
|
|
|
|||||||
| 36,799,373 | ||||||||
|
|
|
|||||||
| Financial Services (4.1%): | ||||||||
| 126,974 | Berkshire Hathaway, Inc., Class B* | 43,298,134 | ||||||
| 42,670 | Fidelity National Information Services, Inc. | 2,334,049 | ||||||
| 43,906 | Fiserv, Inc.* | 5,538,742 | ||||||
See accompanying notes to the financial statements.
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Financial Services, continued | ||||||||
| 5,156 | FleetCor Technologies, Inc.* | $ | 1,294,568 | |||||
| 18,438 | Global Payments, Inc. | 1,816,512 | ||||||
| 59,579 | Mastercard, Inc., Class A | 23,432,421 | ||||||
| 79,062 | PayPal Holdings, Inc.* | 5,275,807 | ||||||
| 115,221 | Visa, Inc., Class A | 27,362,683 | ||||||
|
|
|
|||||||
| 110,352,916 | ||||||||
|
|
|
|||||||
| Food Products (1.0%): | ||||||||
| 39,022 | Archer-Daniels-Midland Co. | 2,948,502 | ||||||
| 10,901 | Bunge, Ltd. | 1,028,509 | ||||||
| 14,874 | Campbell Soup Co. | 679,891 | ||||||
| 34,714 | Conagra Brands, Inc. | 1,170,556 | ||||||
| 41,812 | General Mills, Inc. | 3,206,980 | ||||||
| 10,349 | Hershey Co. (The) | 2,584,145 | ||||||
| 20,326 | Hormel Foods Corp. | 817,512 | ||||||
| 7,679 | JM Smucker Co. (The) | 1,133,958 | ||||||
| 18,527 | Kellogg Co. | 1,248,720 | ||||||
| 56,913 | Kraft Heinz Co. (The) | 2,020,411 | ||||||
| 10,323 | Lamb Weston Holdings, Inc. | 1,186,629 | ||||||
| 17,422 | McCormick & Co., Inc. | 1,519,721 | ||||||
| 96,873 | Mondelez International, Inc., Class A | 7,065,917 | ||||||
| 20,900 | Tyson Foods, Inc., Class A | 1,066,736 | ||||||
|
|
|
|||||||
| 27,678,187 | ||||||||
|
|
|
|||||||
| Gas Utilities (0.0%†): | ||||||||
| 10,396 | Atmos Energy Corp. | 1,209,471 | ||||||
|
|
|
|||||||
| Ground Transportation (0.8%): | ||||||||
| 144,368 | CSX Corp. | 4,922,949 | ||||||
| 5,899 | JB Hunt Transport Services, Inc. | 1,067,896 | ||||||
| 16,280 | Norfolk Southern Corp. | 3,691,653 | ||||||
| 6,449 | Old Dominion Freight Line, Inc. | 2,384,518 | ||||||
| 43,318 | Union Pacific Corp. | 8,863,729 | ||||||
|
|
|
|||||||
| 20,930,745 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies (2.9%): | ||||||||
| 123,816 | Abbott Laboratories | 13,498,420 | ||||||
| 5,068 | Align Technology, Inc.* | 1,792,247 | ||||||
| 35,365 | Baxter International, Inc. | 1,611,229 | ||||||
| 20,296 | Becton Dickinson & Co. | 5,358,347 | ||||||
| 102,187 | Boston Scientific Corp.* | 5,527,295 | ||||||
| 3,615 | Cooper Cos., Inc. (The) | 1,386,099 | ||||||
| 15,100 | DENTSPLY SIRONA, Inc. | 604,302 | ||||||
| 27,657 | Dexcom, Inc.* | 3,554,201 | ||||||
| 42,885 | Edwards Lifesciences Corp.* | 4,045,342 | ||||||
| 25,998 | GE HealthCare Technologies, Inc. | 2,112,078 | ||||||
| 17,213 | Hologic, Inc.* | 1,393,737 | ||||||
| 5,856 | IDEXX Laboratories, Inc.* | 2,941,059 | ||||||
| 5,053 | Insulet Corp.* | 1,456,982 | ||||||
| 25,053 | Intuitive Surgical, Inc.* | 8,566,623 | ||||||
| 94,459 | Medtronic plc | 8,321,838 | ||||||
| 10,542 | ResMed, Inc. | 2,303,427 | ||||||
| 7,052 | STERIS plc | 1,586,559 | ||||||
| 24,114 | Stryker Corp. | 7,356,940 | ||||||
| 3,465 | Teleflex, Inc. | 838,634 | ||||||
| 14,961 | Zimmer Biomet Holdings, Inc. | 2,178,322 | ||||||
|
|
|
|||||||
| 76,433,681 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services (2.9%): | ||||||||
| 11,512 | AmerisourceBergen Corp. | 2,215,254 | ||||||
| 18,506 | Cardinal Health, Inc. | 1,750,112 | ||||||
| 38,647 | Centene Corp.* | 2,606,740 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Health Care Providers & Services, continued | ||||||||
| 21,046 | Cigna Group (The) | $ | 5,905,508 | |||||
| 91,660 | CVS Health Corp. | 6,336,456 | ||||||
| 3,967 | DaVita, Inc.* | 398,565 | ||||||
| 16,899 | Elevance Health, Inc. | 7,508,057 | ||||||
| 14,624 | HCA Healthcare, Inc. | 4,438,092 | ||||||
| 9,742 | Henry Schein, Inc.* | 790,076 | ||||||
| 8,940 | Humana, Inc. | 3,997,342 | ||||||
| 6,446 | Laboratory Corp. of America Holdings | 1,555,613 | ||||||
| 9,669 | McKesson Corp. | 4,131,660 | ||||||
| 4,027 | Molina Healthcare, Inc.* | 1,213,093 | ||||||
| 7,769 | Quest Diagnostics, Inc. | 1,092,011 | ||||||
| 66,291 | UnitedHealth Group, Inc. | 31,862,106 | ||||||
| 4,596 | Universal Health Services, Inc., Class B | 725,111 | ||||||
|
|
|
|||||||
| 76,525,796 | ||||||||
|
|
|
|||||||
| Health Care REITs (0.2%): | ||||||||
| 38,295 | Healthpeak Properties, Inc. | 769,730 | ||||||
| 28,975 | Ventas, Inc. | 1,369,648 | ||||||
| 34,884 | Welltower, Inc. | 2,821,767 | ||||||
|
|
|
|||||||
| 4,961,145 | ||||||||
|
|
|
|||||||
| Hotel & Resort REITs (0.0%†): | ||||||||
| 50,849 | Host Hotels & Resorts, Inc. | 855,789 | ||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure (2.0%): | ||||||||
| 2,635 | Booking Holdings, Inc.* | 7,115,370 | ||||||
| 15,520 | Caesars Entertainment, Inc.* | 791,054 | ||||||
| 70,200 | Carnival Corp., Class A* | 1,321,866 | ||||||
| 1,965 | Chipotle Mexican Grill, Inc.* | 4,203,135 | ||||||
| 8,394 | Darden Restaurants, Inc. | 1,402,470 | ||||||
| 2,600 | Domino’s Pizza, Inc. | 876,174 | ||||||
| 10,263 | Expedia Group, Inc.* | 1,122,670 | ||||||
| 19,105 | Hilton Worldwide Holdings, Inc. | 2,780,733 | ||||||
| 23,032 | Las Vegas Sands Corp.* | 1,335,856 | ||||||
| 18,171 | Marriott International, Inc., Class A | 3,337,831 | ||||||
| 51,984 | McDonald’s Corp. | 15,512,545 | ||||||
| 20,958 | MGM Resorts International | 920,475 | ||||||
| 31,090 | Norwegian Cruise Line Holdings, Ltd.* | 676,829 | ||||||
| 15,951 | Royal Caribbean Cruises, Ltd.* | 1,654,757 | ||||||
| 81,599 | Starbucks Corp. | 8,083,197 | ||||||
| 7,000 | Wynn Resorts, Ltd. | 739,270 | ||||||
| 19,859 | Yum! Brands, Inc. | 2,751,464 | ||||||
|
|
|
|||||||
| 54,625,696 | ||||||||
|
|
|
|||||||
| Household Durables (0.4%): | ||||||||
| 21,847 | DR Horton, Inc. | 2,658,562 | ||||||
| 11,032 | Garmin, Ltd. | 1,150,527 | ||||||
| 46 | Garmin, Ltd. | 4,797 | ||||||
| 18,112 | Lennar Corp., Class A | 2,269,615 | ||||||
| 3,740 | Mohawk Industries, Inc.* | 385,818 | ||||||
| 27,332 | Newell Brands, Inc. | 237,788 | ||||||
| 222 | NVR, Inc.* | 1,409,838 | ||||||
| 15,935 | PulteGroup, Inc. | 1,237,831 | ||||||
| 4,058 | Whirlpool Corp. | 603,790 | ||||||
|
|
|
|||||||
| 9,958,566 | ||||||||
|
|
|
|||||||
| Household Products (1.4%): | ||||||||
| 17,075 | Church & Dwight Co., Inc. | 1,711,427 | ||||||
| 8,999 | Clorox Co. (The) | 1,431,201 | ||||||
| 58,828 | Colgate-Palmolive Co. | 4,532,109 | ||||||
| 24,181 | Kimberly-Clark Corp. | 3,338,429 | ||||||
See accompanying notes to the financial statements.
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Household Products, continued | ||||||||
| 167,821 | Procter & Gamble Co. (The) | $ | 25,465,159 | |||||
|
|
|
|||||||
| 36,478,325 | ||||||||
|
|
|
|||||||
| Independent Power and Renewable Electricity Producers (0.0%†): |
||||||||
| 45,957 | AES Corp. (The) | 952,689 | ||||||
|
|
|
|||||||
| Industrial Conglomerates (0.8%): | ||||||||
| 39,301 | 3M Co. | 3,933,637 | ||||||
| 77,210 | General Electric Co. | 8,481,519 | ||||||
| 47,241 | Honeywell International, Inc. | 9,802,507 | ||||||
|
|
|
|||||||
| 22,217,663 | ||||||||
|
|
|
|||||||
| Industrial REITs (0.3%): | ||||||||
| 65,519 | Prologis, Inc. | 8,034,595 | ||||||
|
|
|
|||||||
| Insurance (2.1%): | ||||||||
| 39,671 | Aflac, Inc. | 2,769,036 | ||||||
| 18,921 | Allstate Corp. (The) | 2,063,146 | ||||||
| 50,847 | American International Group, Inc. | 2,925,736 | ||||||
| 14,639 | Aon plc, Class A | 5,053,383 | ||||||
| 27,323 | Arch Capital Group, Ltd.* | 2,045,126 | ||||||
| 15,049 | Arthur J. Gallagher & Co. | 3,304,309 | ||||||
| 3,573 | Assurant, Inc. | 449,198 | ||||||
| 16,385 | Brown & Brown, Inc. | 1,127,943 | ||||||
| 29,282 | Chubb, Ltd. | 5,638,542 | ||||||
| 10,766 | Cincinnati Financial Corp. | 1,047,747 | ||||||
| 2,829 | Everest Re Group, Ltd. | 967,122 | ||||||
| 6,244 | Globe Life, Inc. | 684,467 | ||||||
| 22,148 | Hartford Financial Services Group, Inc. (The) | 1,595,099 | ||||||
| 12,289 | Lincoln National Corp. | 316,565 | ||||||
| 12,793 | Loews Corp. | 759,648 | ||||||
| 35,341 | Marsh & McLennan Cos., Inc. | 6,646,935 | ||||||
| 46,228 | MetLife, Inc. | 2,613,269 | ||||||
| 16,348 | Principal Financial Group, Inc. | 1,239,832 | ||||||
| 41,937 | Progressive Corp. (The) | 5,551,201 | ||||||
| 26,371 | Prudential Financial, Inc. | 2,326,450 | ||||||
| 16,642 | Travelers Cos., Inc. (The) | 2,890,050 | ||||||
| 13,823 | W R Berkley Corp. | 823,298 | ||||||
| 7,647 | Willis Towers Watson plc | 1,800,868 | ||||||
|
|
|
|||||||
| 54,638,970 | ||||||||
|
|
|
|||||||
| Interactive Media & Services (5.3%): | ||||||||
| 423,010 | Alphabet, Inc., Class A* | 50,634,297 | ||||||
| 363,869 | Alphabet, Inc., Class C* | 44,017,233 | ||||||
| 20,436 | Match Group, Inc.* | 855,246 | ||||||
| 157,509 | Meta Platforms, Inc., Class A* | 45,201,933 | ||||||
|
|
|
|||||||
| 140,708,709 | ||||||||
|
|
|
|||||||
| IT Services (1.1%): | ||||||||
| 44,966 | Accenture plc, Class A | 13,875,608 | ||||||
| 10,939 | Akamai Technologies, Inc.* | 983,088 | ||||||
| 35,661 | Cognizant Technology Solutions Corp., Class A | 2,327,950 | ||||||
| 16,463 | DXC Technology Co.* | 439,891 | ||||||
| 4,150 | EPAM Systems, Inc.* | 932,713 | ||||||
| 5,624 | Gartner, Inc.* | 1,970,143 | ||||||
| 64,655 | International Business Machines Corp. | 8,651,486 | ||||||
| 6,413 | VeriSign, Inc.* | 1,449,146 | ||||||
|
|
|
|||||||
| 30,630,025 | ||||||||
|
|
|
|||||||
| Leisure Products (0.0%†): | ||||||||
| 9,779 | Hasbro, Inc. | 633,386 | ||||||
|
|
|
|||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Life Sciences Tools & Services (1.6%): | ||||||||
| 20,858 | Agilent Technologies, Inc. | $ | 2,508,175 | |||||
| 1,594 | Bio-Rad Laboratories, Inc., Class A* | 604,317 | ||||||
| 11,348 | Bio-Techne Corp. | 926,337 | ||||||
| 3,472 | Charles River Laboratories International, Inc.* | 729,988 | ||||||
| 47,445 | Danaher Corp. | 11,386,800 | ||||||
| 11,319 | Illumina, Inc.* | 2,122,199 | ||||||
| 13,108 | IQVIA Holdings, Inc.* | 2,946,285 | ||||||
| 1,541 | Mettler-Toledo International, Inc.* | 2,021,237 | ||||||
| 8,742 | Revvity, Inc. | 1,038,462 | ||||||
| 27,464 | Thermo Fisher Scientific, Inc. | 14,329,342 | ||||||
| 4,115 | Waters Corp.* | 1,096,812 | ||||||
| 5,239 | West Pharmaceutical Services, Inc. | 2,003,761 | ||||||
|
|
|
|||||||
| 41,713,715 | ||||||||
|
|
|
|||||||
| Machinery (1.8%): | ||||||||
| 36,858 | Caterpillar, Inc. | 9,068,911 | ||||||
| 10,121 | Cummins, Inc. | 2,481,264 | ||||||
| 19,246 | Deere & Co. | 7,798,287 | ||||||
| 9,804 | Dover Corp. | 1,447,561 | ||||||
| 24,837 | Fortive Corp. | 1,857,062 | ||||||
| 5,404 | IDEX Corp. | 1,163,265 | ||||||
| 19,755 | Illinois Tool Works, Inc. | 4,941,911 | ||||||
| 28,450 | Ingersoll Rand, Inc. | 1,859,492 | ||||||
| 3,692 | Nordson Corp. | 916,281 | ||||||
| 29,112 | Otis Worldwide Corp. | 2,591,259 | ||||||
| 36,871 | PACCAR, Inc. | 3,084,259 | ||||||
| 9,146 | Parker-Hannifin Corp. | 3,567,306 | ||||||
| 11,187 | Pentair PLC | 722,680 | ||||||
| 3,822 | Snap-on, Inc. | 1,101,462 | ||||||
| 10,790 | Stanley Black & Decker, Inc. | 1,011,131 | ||||||
| 13,151 | Westinghouse Air Brake Technologies Corp. | 1,442,270 | ||||||
| 17,380 | Xylem, Inc. | 1,957,336 | ||||||
|
|
|
|||||||
| 47,011,737 | ||||||||
|
|
|
|||||||
| Media (0.7%): | ||||||||
| 7,340 | Charter Communications, Inc., Class A* | 2,696,496 | ||||||
| 296,156 | Comcast Corp., Class A | 12,305,282 | ||||||
| 18,455 | Fox Corp., Class A | 627,470 | ||||||
| 8,579 | Fox Corp., Class B | 273,584 | ||||||
| 26,581 | Interpublic Group of Cos., Inc. (The) | 1,025,495 | ||||||
| 27,741 | News Corp., Class A | 540,950 | ||||||
| 6,960 | News Corp., Class B | 137,251 | ||||||
| 14,285 | Omnicom Group, Inc. | 1,359,218 | ||||||
| 38,384 | Paramount Global, Class B | 610,689 | ||||||
|
|
|
|||||||
| 19,576,435 | ||||||||
|
|
|
|||||||
| Metals & Mining (0.4%): | ||||||||
| 101,287 | Freeport-McMoRan, Inc. | 4,051,480 | ||||||
| 57,406 | Newmont Corp. | 2,448,940 | ||||||
| 18,115 | Nucor Corp. | 2,970,498 | ||||||
| 11,540 | Steel Dynamics, Inc. | 1,257,052 | ||||||
|
|
|
|||||||
| 10,727,970 | ||||||||
|
|
|
|||||||
| Multi-Utilities (0.7%): | ||||||||
| 19,046 | Ameren Corp. | 1,555,487 | ||||||
| 45,680 | CenterPoint Energy, Inc. | 1,331,572 | ||||||
| 21,169 | CMS Energy Corp. | 1,243,679 | ||||||
| 24,674 | Consolidated Edison, Inc. | 2,230,530 | ||||||
| 59,611 | Dominion Energy, Inc. | 3,087,254 | ||||||
| 14,215 | DTE Energy Co. | 1,563,934 | ||||||
| 29,877 | NiSource, Inc. | 817,136 | ||||||
| 35,707 | Public Service Enterprise Group, Inc. | 2,235,615 | ||||||
See accompanying notes to the financial statements.
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Multi-Utilities, continued | ||||||||
| 22,555 | Sempra Energy | $ | 3,283,782 | |||||
| 22,493 | WEC Energy Group, Inc. | 1,984,782 | ||||||
|
|
|
|||||||
| 19,333,771 | ||||||||
|
|
|
|||||||
| Office REITs (0.1%): | ||||||||
| 11,439 | Alexandria Real Estate Equities, Inc. | 1,298,212 | ||||||
| 10,624 | Boston Properties, Inc. | 611,836 | ||||||
|
|
|
|||||||
| 1,910,048 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels (3.7%): | ||||||||
| 21,838 | APA Corp. | 746,204 | ||||||
| 124,082 | Chevron Corp. | 19,524,303 | ||||||
| 86,549 | ConocoPhillips | 8,967,342 | ||||||
| 54,450 | Coterra Energy, Inc. | 1,377,585 | ||||||
| 45,406 | Devon Energy Corp. | 2,194,926 | ||||||
| 12,930 | Diamondback Energy, Inc. | 1,698,485 | ||||||
| 41,605 | EOG Resources, Inc. | 4,761,276 | ||||||
| 26,270 | EQT Corp. | 1,080,485 | ||||||
| 287,869 | Exxon Mobil Corp. | 30,873,950 | ||||||
| 19,551 | Hess Corp. | 2,657,958 | ||||||
| 142,357 | Kinder Morgan, Inc. | 2,451,388 | ||||||
| 43,826 | Marathon Oil Corp. | 1,008,875 | ||||||
| 29,937 | Marathon Petroleum Corp. | 3,490,654 | ||||||
| 51,799 | Occidental Petroleum Corp. | 3,045,781 | ||||||
| 31,728 | ONEOK, Inc. | 1,958,252 | ||||||
| 32,981 | Phillips 66 | 3,145,728 | ||||||
| 16,710 | Pioneer Natural Resources Co. | 3,461,978 | ||||||
| 16,266 | Targa Resources Corp. | 1,237,843 | ||||||
| 25,411 | Valero Energy Corp. | 2,980,710 | ||||||
| 85,646 | Williams Cos., Inc. (The) | 2,794,629 | ||||||
|
|
|
|||||||
| 99,458,352 | ||||||||
|
|
|
|||||||
| Passenger Airlines (0.2%): | ||||||||
| 9,806 | Alaska Air Group, Inc.* | 521,483 | ||||||
| 44,330 | American Airlines Group, Inc.* | 795,280 | ||||||
| 45,197 | Delta Air Lines, Inc.* | 2,148,666 | ||||||
| 42,895 | Southwest Airlines Co. | 1,553,228 | ||||||
| 22,746 | United Airlines Holdings, Inc.* | 1,248,073 | ||||||
|
|
|
|||||||
| 6,266,730 | ||||||||
|
|
|
|||||||
| Personal Care Products (0.1%): | ||||||||
| 16,662 | Estee Lauder Cos., Inc. (The), Class A | 3,272,084 | ||||||
|
|
|
|||||||
| Pharmaceuticals (4.1%): | ||||||||
| 149,152 | Bristol-Myers Squibb Co. | 9,538,270 | ||||||
| 11,963 | Catalent, Inc.* | 518,716 | ||||||
| 56,100 | Eli Lilly & Co. | 26,309,778 | ||||||
| 185,035 | Johnson & Johnson | 30,626,993 | ||||||
| 180,670 | Merck & Co., Inc. | 20,847,511 | ||||||
| 18,060 | Organon & Co. | 375,829 | ||||||
| 401,956 | Pfizer, Inc. | 14,743,746 | ||||||
| 82,581 | Viatris, Inc. | 824,158 | ||||||
| 32,884 | Zoetis, Inc. | 5,662,954 | ||||||
|
|
|
|||||||
| 109,447,955 | ||||||||
|
|
|
|||||||
| Professional Services (0.9%): | ||||||||
| 29,257 | Automatic Data Processing, Inc. | 6,430,396 | ||||||
| 8,569 | Broadridge Financial Solutions, Inc. | 1,419,284 | ||||||
| 10,791 | Ceridian HCM Holding, Inc.* | 722,673 | ||||||
| 29,162 | CoStar Group, Inc.* | 2,595,418 | ||||||
| 8,683 | Equifax, Inc. | 2,043,110 | ||||||
| 5,364 | Jack Henry & Associates, Inc. | 897,558 | ||||||
| 9,360 | Jacobs Solutions, Inc. | 1,112,810 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Professional Services, continued | ||||||||
| 9,715 | Leidos Holdings, Inc. | $ | 859,583 | |||||
| 23,134 | Paychex, Inc. | 2,588,001 | ||||||
| 3,344 | Paycom Software, Inc. | 1,074,227 | ||||||
| 7,709 | Robert Half International, Inc. | 579,871 | ||||||
| 10,447 | Verisk Analytics, Inc. | 2,361,335 | ||||||
|
|
|
|||||||
| 22,684,266 | ||||||||
|
|
|
|||||||
| Real Estate Management & Development (0.1%): | ||||||||
| 22,183 | CBRE Group, Inc., Class A* | 1,790,390 | ||||||
|
|
|
|||||||
| Residential REITs (0.3%): | ||||||||
| 10,285 | AvalonBay Communities, Inc. | 1,946,642 | ||||||
| 7,534 | Camden Property Trust | 820,227 | ||||||
| 24,006 | Equity Residential | 1,583,676 | ||||||
| 4,503 | Essex Property Trust, Inc. | 1,055,053 | ||||||
| 42,246 | Invitation Homes, Inc. | 1,453,262 | ||||||
| 8,347 | Mid-America Apartment Communities, Inc. | 1,267,575 | ||||||
| 22,165 | UDR, Inc. | 952,208 | ||||||
|
|
|
|||||||
| 9,078,643 | ||||||||
|
|
|
|||||||
| Retail REITs (0.3%): | ||||||||
| 42,639 | Kimco Realty Corp. | 840,841 | ||||||
| 48,573 | Realty Income Corp. | 2,904,180 | ||||||
| 10,700 | Regency Centers Corp. | 660,939 | ||||||
| 23,595 | Simon Property Group, Inc. | 2,724,750 | ||||||
|
|
|
|||||||
| 7,130,710 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment (7.3%): | ||||||||
| 114,661 | Advanced Micro Devices, Inc.* | 13,061,035 | ||||||
| 35,817 | Analog Devices, Inc. | 6,977,510 | ||||||
| 60,450 | Applied Materials, Inc. | 8,737,443 | ||||||
| 29,686 | Broadcom, Inc. | 25,750,527 | ||||||
| 9,909 | Enphase Energy, Inc.* | 1,659,559 | ||||||
| 6,954 | First Solar, Inc.* | 1,321,886 | ||||||
| 296,983 | Intel Corp. | 9,931,112 | ||||||
| 9,683 | KLA Corp. | 4,696,449 | ||||||
| 9,597 | Lam Research Corp. | 6,169,528 | ||||||
| 39,221 | Microchip Technology, Inc. | 3,513,809 | ||||||
| 78,393 | Micron Technology, Inc. | 4,947,382 | ||||||
| 3,235 | Monolithic Power Systems, Inc. | 1,747,644 | ||||||
| 176,091 | NVIDIA Corp. | 74,490,015 | ||||||
| 18,534 | NXP Semiconductors NV | 3,793,539 | ||||||
| 30,407 | ON Semiconductor Corp.* | 2,875,894 | ||||||
| 7,243 | Qorvo, Inc.* | 739,003 | ||||||
| 79,185 | QUALCOMM, Inc. | 9,426,182 | ||||||
| 11,561 | Skyworks Solutions, Inc. | 1,279,687 | ||||||
| 4,020 | SolarEdge Technologies, Inc.* | 1,081,581 | ||||||
| 10,889 | Teradyne, Inc. | 1,212,272 | ||||||
| 64,616 | Texas Instruments, Inc. | 11,632,172 | ||||||
|
|
|
|||||||
| 195,044,229 | ||||||||
|
|
|
|||||||
| Software (10.2%): | ||||||||
| 32,660 | Adobe, Inc.* | 15,970,413 | ||||||
| 6,186 | ANSYS, Inc.* | 2,043,050 | ||||||
| 15,374 | Autodesk, Inc.* | 3,145,674 | ||||||
| 19,269 | Cadence Design Systems, Inc.* | 4,518,966 | ||||||
| 1,821 | Fair Isaac Corp.* | 1,473,571 | ||||||
| 46,266 | Fortinet, Inc.* | 3,497,247 | ||||||
| 38,594 | Gen Digital, Inc. | 715,919 | ||||||
| 19,910 | Intuit, Inc. | 9,122,563 | ||||||
| 529,421 | Microsoft Corp. | 180,289,027 | ||||||
| 109,572 | Oracle Corp. | 13,048,930 | ||||||
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Software, continued | ||||||||
| 21,523 | Palo Alto Networks, Inc.* | $ | 5,499,342 | |||||
| 7,594 | PTC, Inc.* | 1,080,626 | ||||||
| 7,607 | Roper Technologies, Inc. | 3,657,446 | ||||||
| 69,708 | Salesforce, Inc.* | 14,726,512 | ||||||
| 14,460 | ServiceNow, Inc.* | 8,126,086 | ||||||
| 10,931 | Synopsys, Inc.* | 4,759,467 | ||||||
| 2,994 | Tyler Technologies, Inc.* | 1,246,911 | ||||||
|
|
|
|||||||
| 272,921,750 | ||||||||
|
|
|
|||||||
| Specialized REITs (1.1%): | ||||||||
| 33,284 | American Tower Corp. | 6,455,099 | ||||||
| 30,557 | Crown Castle, Inc. | 3,481,665 | ||||||
| 20,513 | Digital Realty Trust, Inc. | 2,335,815 | ||||||
| 6,655 | Equinix, Inc. | 5,217,121 | ||||||
| 9,750 | Extra Space Storage, Inc. | 1,451,288 | ||||||
| 159 | Gaming and Leisure Properties, Inc. | 7,705 | ||||||
| 21,183 | Iron Mountain, Inc. | 1,203,618 | ||||||
| 11,296 | Public Storage | 3,297,076 | ||||||
| 7,604 | SBA Communications Corp. | 1,762,303 | ||||||
| 71,261 | VICI Properties, Inc. | 2,239,733 | ||||||
| 51,626 | Weyerhaeuser Co. | 1,729,987 | ||||||
|
|
|
|||||||
| 29,181,410 | ||||||||
|
|
|
|||||||
| Specialty Retail (2.1%): | ||||||||
| 4,392 | Advance Auto Parts, Inc. | 308,758 | ||||||
| 1,327 | AutoZone, Inc.* | 3,308,689 | ||||||
| 16,221 | Bath & Body Works, Inc. | 608,287 | ||||||
| 13,640 | Best Buy Co., Inc. | 1,117,798 | ||||||
| 11,291 | CarMax, Inc.* | 945,057 | ||||||
| 72,104 | Home Depot, Inc. (The) | 22,398,387 | ||||||
| 42,309 | Lowe’s Cos., Inc. | 9,549,141 | ||||||
| 4,308 | O’Reilly Automotive, Inc.* | 4,115,432 | ||||||
| 24,393 | Ross Stores, Inc. | 2,735,187 | ||||||
| 81,916 | TJX Cos., Inc. (The) | 6,945,658 | ||||||
| 7,825 | Tractor Supply Co. | 1,730,107 | ||||||
| 3,594 | Ulta Beauty, Inc.* | 1,691,318 | ||||||
|
|
|
|||||||
| 55,453,819 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals (7.9%): | ||||||||
| 1,052,718 | Apple, Inc. | 204,195,710 | ||||||
| Shares | Value | |||||||
| Common Stocks, continued | ||||||||
| Technology Hardware, Storage & Peripherals, continued | ||||||||
| 93,172 | Hewlett Packard Enterprise Co. | $ | 1,565,290 | |||||
| 62,612 | HP, Inc. | 1,922,814 | ||||||
| 15,303 | NetApp, Inc. | 1,169,149 | ||||||
| 14,039 | Seagate Technology Holdings plc | 868,593 | ||||||
| 21,704 | Western Digital Corp.* | 823,233 | ||||||
|
|
|
|||||||
| 210,544,789 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods (0.4%): | ||||||||
| 87,490 | NIKE, Inc., Class B | 9,656,271 | ||||||
| 2,861 | Ralph Lauren Corp. | 352,761 | ||||||
| 17,072 | Tapestry, Inc. | 730,682 | ||||||
| 24,457 | VF Corp. | 466,884 | ||||||
|
|
|
|||||||
| 11,206,598 | ||||||||
|
|
|
|||||||
| Tobacco (0.6%): | ||||||||
| 126,722 | Altria Group, Inc. | 5,740,507 | ||||||
| 110,457 | Philip Morris International, Inc. | 10,782,812 | ||||||
|
|
|
|||||||
| 16,523,319 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors (0.3%): | ||||||||
| 40,973 | Fastenal Co. | 2,416,997 | ||||||
| 4,899 | United Rentals, Inc. | 2,181,868 | ||||||
| 3,222 | W.W. Grainger, Inc. | 2,540,837 | ||||||
|
|
|
|||||||
| 7,139,702 | ||||||||
|
|
|
|||||||
| Water Utilities (0.1%): | ||||||||
| 13,729 | American Water Works Co., Inc. | 1,959,815 | ||||||
|
|
|
|||||||
| Wireless Telecommunication Services (0.2%): | ||||||||
| 40,963 | T-Mobile US, Inc.* | 5,689,761 | ||||||
|
|
|
|||||||
| Total Common Stocks (Cost $895,834,674) |
2,646,048,040 | |||||||
|
|
|
|||||||
| Unaffiliated Investment Company (0.1%): | ||||||||
| Money Markets (0.1%): | ||||||||
| 1,979,799 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(a) | 1,979,799 | ||||||
|
|
|
|||||||
| |
Total Unaffiliated Investment Company ( Cost $1,979,799) |
1,979,799 | ||||||
|
|
|
|||||||
| |
Total Investment Securities (Cost $897,814,473) — 99.4% |
2,648,027,839 | ||||||
| Net other assets (liabilities) — 0.6% |
16,010,166 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 2,664,038,005 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets as of June 30, 2023.
| * | Non-income producing security. |
| + | Affiliated Securities |
| † | Represents less than 0.05%. |
| (a) | The rate represents the effective yield at June 30, 2023. |
Futures Contracts
At June 30, 2023, 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 September Futures (U.S. Dollar) |
9/15/23 | 93 | $ | 20,870,363 | $ | 97,845 | ||||||||||
|
|
|
|||||||||||||||
| $ | 97,845 | |||||||||||||||
|
|
|
|||||||||||||||
See accompanying notes to the financial statements.
9
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investments in non-affiliates, at cost |
$ | 894,942,097 | |||
| Investments in affiliates, at cost |
2,872,376 | ||||
|
|
|
||||
| Investments in non-affiliates, at value |
$ | 2,640,667,198 | |||
| Investments in affiliates, at value |
7,360,641 | ||||
| Deposit at broker for futures contracts collateral |
1,053,000 | ||||
| Interest and dividends receivable |
1,742,240 | ||||
| Foreign currency, at value (cost $82,805) |
76,663 | ||||
| Receivable for investments sold |
17,597,622 | ||||
| Receivable for variation margin on futures contracts |
88,030 | ||||
| Reclaims receivable |
44,805 | ||||
| Prepaid expenses |
2,977 | ||||
|
|
|
||||
| Total Assets |
2,668,633,176 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Cash overdraft |
21,585 | ||||
| Payable for investments purchased |
815,000 | ||||
| Payable for capital shares redeemed |
2,687,134 | ||||
| Management fees payable |
367,944 | ||||
| Administration fees payable |
54,295 | ||||
| Distribution fees payable |
525,328 | ||||
| Custodian fees payable |
6,933 | ||||
| Administrative and compliance services fees payable |
3,876 | ||||
| Transfer agent fees payable |
1,229 | ||||
| Trustee fees payable |
18,121 | ||||
| Other accrued liabilities |
93,726 | ||||
|
|
|
||||
| Total Liabilities |
4,595,171 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 2,664,038,005 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 805,150,734 | |||
| Total distributable earnings |
1,858,887,271 | ||||
|
|
|
||||
| Net Assets |
$ | 2,664,038,005 | |||
|
|
|
||||
| Class 1 |
|||||
| Net Assets |
$ | 78,559,130 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
3,931,697 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 19.98 | |||
|
|
|
||||
| Class 2 |
|||||
| Net Assets |
$ | 2,585,478,875 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
130,927,445 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 19.75 | |||
|
|
|
^ See Note 3 in Notes to the Financial Statements.
Statement of Operations
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends from non-affiliates |
$ | 21,572,659 | |||
| Dividends from affiliates |
109,305 | ||||
| Interest |
20,359 | ||||
| Income from securities lending |
3,626 | ||||
| Foreign withholding tax |
(7,919 | ) | |||
|
|
|
||||
| Total Investment Income |
21,698,030 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
2,154,506 | ||||
| Administration fees |
258,424 | ||||
| Distribution fees - Class 2 |
3,075,866 | ||||
| Custodian fees |
21,642 | ||||
| Administrative and compliance services fees |
12,431 | ||||
| Transfer agent fees |
5,732 | ||||
| Trustee fees |
51,831 | ||||
| Professional fees |
41,991 | ||||
| Licensing fees |
184,279 | ||||
| Shareholder reports |
20,412 | ||||
| Other expenses |
24,467 | ||||
|
|
|
||||
| Total expenses |
5,851,581 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
15,846,449 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
(4,708,922 | ) | |||
| Net realized gains/(losses) on affiliated transactions |
(206,921 | ) | |||
| Net realized gains/(losses) on futures contracts |
2,524,066 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
386,337,648 | ||||
| Change in net unrealized appreciation/depreciation on affiliated transactions |
42,176 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
208,274 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
384,196,321 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 400,042,770 | |||
|
|
|
See accompanying notes to the financial statements.
10
AZL S&P 500 Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 15,846,449 | $ | 30,676,173 | ||||||
| Net realized gains/(losses) on investments |
(2,391,777 | ) | 98,459,316 | |||||||
| Change in unrealized appreciation/depreciation on investments |
386,588,098 | (720,535,095 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from operations |
400,042,770 | (591,399,606 | ) | |||||||
|
|
|
|
|
|
| |||||
| Distributions to Shareholders: |
||||||||||
| Class 1 |
— | (10,776,208 | ) | |||||||
| Class 2 |
— | (347,727,512 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from distributions to shareholders |
— | (358,503,720 | ) | |||||||
|
|
|
|
|
|
| |||||
| Capital Transactions: |
||||||||||
| Class 1 |
||||||||||
| Proceeds from shares issued |
571,029 | 78,441 | ||||||||
| Proceeds from dividends reinvested |
— | 10,776,208 | ||||||||
| Value of shares redeemed |
(5,084,569 | ) | (10,198,242 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 1 Shares |
(4,513,540 | ) | 656,407 | |||||||
|
|
|
|
|
|
| |||||
| Class 2 |
||||||||||
| Proceeds from shares issued |
141,775,880 | 14,544,032 | ||||||||
| Proceeds from dividends reinvested |
— | 347,727,512 | ||||||||
| Value of shares redeemed |
(276,295,957 | ) | (343,033,400 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 2 Shares |
(134,520,077 | ) | 19,238,144 | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from capital transactions |
(139,033,617 | ) | 19,894,551 | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets |
261,009,153 | (930,008,775 | ) | |||||||
| Net Assets: |
||||||||||
| Beginning of period |
2,403,028,852 | 3,333,037,627 | ||||||||
|
|
|
|
|
|
| |||||
| End of period |
$ | 2,664,038,005 | $ | 2,403,028,852 | ||||||
|
|
|
|
|
|
| |||||
| Share Transactions: |
||||||||||
| Class 1 |
||||||||||
| Shares issued |
32,085 | 3,882 | ||||||||
| Dividends reinvested |
— | 641,059 | ||||||||
| Shares redeemed |
(278,568 | ) | (490,267 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 1 Shares |
(246,483 | ) | 154,674 | |||||||
|
|
|
|
|
|
| |||||
| Class 2 |
||||||||||
| Shares issued |
8,298,085 | 743,891 | ||||||||
| Dividends reinvested |
— | 20,897,086 | ||||||||
| Shares redeemed |
(14,995,590 | ) | (16,545,488 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 2 Shares |
(6,697,505 | ) | 5,095,489 | |||||||
|
|
|
|
|
|
| |||||
| Change in shares |
(6,943,988 | ) | 5,250,163 | |||||||
|
|
|
|
|
|
| |||||
| Amounts shown as “—” are either $0 or round to less than $1. |
||||||||||
See accompanying notes to the financial statements.
11
AZL S&P 500 Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 17.12 | $ | 24.64 | $ | 20.53 | $ | 18.39 | $ | 14.72 | $ | 16.25 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.14 | (a) | 0.28 | (a) | 0.26 | (a) | 0.28 | (a) | 0.31 | (a) | 0.29 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
2.72 | (4.84 | ) | 5.42 | 2.90 | 4.20 | (0.96 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
2.86 | (4.56 | ) | 5.68 | 3.18 | 4.51 | (0.67 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.29 | ) | (0.29 | ) | (0.35 | ) | (0.31 | ) | (0.31 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (2.67 | ) | (1.28 | ) | (0.69 | ) | (0.53 | ) | (0.55 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (2.96 | ) | (1.57 | ) | (1.04 | ) | (0.84 | ) | (0.86 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$ | 19.98 | $ | 17.12 | $ | 24.64 | $ | 20.53 | $ | 18.39 | $ | 14.72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
16.71 | %(c) | (18.31 | )% | 28.42 | % | 17.82 | % | 31.27 | % | (4.63 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 78,559 | $ | 71,530 | $ | 99,137 | $ | 86,300 | $ | 70,738 | $ | 62,599 | ||||||||||||||||||
| Net Investment Income/(Loss)(d) |
1.49 | % | 1.37 | % | 1.15 | % | 1.53 | % | 1.81 | % | 1.74 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) |
0.22 | % | 0.22 | % | 0.24 | % | 0.25 | % | 0.24 | % | 0.23 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) |
0.22 | % | 0.22 | % | 0.24 | % | 0.25 | % | 0.24 | % | 0.23 | % | ||||||||||||||||||
| Portfolio Turnover Rate(f) |
6 | % | 2 | % | 17 | % | 10 | % | 3 | % | 4 | % | ||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 16.94 | $ | 24.40 | $ | 20.35 | $ | 18.24 | $ | 14.61 | $ | 16.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.11 | (a) | 0.23 | (a) | 0.20 | (a) | 0.24 | (a) | 0.26 | (a) | 0.25 | |||||||||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
2.70 | (4.79 | ) | 5.37 | 2.86 | 4.17 | (0.95 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
2.81 | (4.56 | ) | 5.57 | 3.10 | 4.43 | (0.70 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.23 | ) | (0.24 | ) | (0.30 | ) | (0.27 | ) | (0.27 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (2.67 | ) | (1.28 | ) | (0.69 | ) | (0.53 | ) | (0.55 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (2.90 | ) | (1.52 | ) | (0.99 | ) | (0.80 | ) | (0.82 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$ | 19.75 | $ | 16.94 | $ | 24.40 | $ | 20.35 | $ | 18.24 | $ | 14.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
16.59 | %(c) | (18.51 | )% | 28.12 | % | 17.50 | % | 30.89 | % | (4.84 | )% | ||||||||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 2,585,479 | $ | 2,331,499 | $ | 3,233,900 | $ | 2,751,399 | $ | 2,719,291 | $ | 2,370,547 | ||||||||||||||||||
| Net Investment Income/(Loss)(d) |
1.24 | % | 1.12 | % | 0.89 | % | 1.31 | % | 1.56 | % | 1.49 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) |
0.47 | % | 0.47 | % | 0.49 | % | 0.50 | % | 0.49 | % | 0.48 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) |
0.47 | % | 0.47 | % | 0.49 | % | 0.50 | % | 0.49 | % | 0.48 | % | ||||||||||||||||||
| Portfolio Turnover Rate(f) |
6 | % | 2 | % | 17 | % | 10 | % | 3 | % | 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) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
12
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
13
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $359 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund did not have any securities lending transactions accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $13.4 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.
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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* | $97,845 | 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 period ended June 30, 2023:
| 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 | $2,524,066 | $208,273 | |||||||
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, 2024.
For the period ended June 30, 2023, 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 | % | ||||||
| * | The annual rate due to the Subadviser from the Manager is 0.015%. |
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, there were no such waivers.
At June 30, 2023, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
| Value 12/31/22 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gains (Losses) |
Change in Net Unrealized Appreciation (Depreciation) |
Value 06/30/23 |
Shares as of 06/30/23 |
Dividend Income |
Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
| BlackRock, Inc., Class A |
$ | 7,952,955 | $ | 402,475 | $ | (830,044) | $ | (206,921) | $ | 42,176 | $ | 7,360,641 | 10,650 | $ | 109,305 | $ | — | ||||||||||||||||||||||||||||
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.”
15
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
16
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| Common Stocks+ |
$ | 2,646,048,040 | $ | — | $ | — | $ | 2,646,048,040 | ||||||||||||
| Unaffiliated Investment Company |
1,979,799 | — | — | 1,979,799 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
2,648,027,839 | — | — | 2,648,027,839 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||
| Futures Contracts |
97,845 | — | — | 97,845 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investments |
$ | 2,648,125,684 | $ | — | $ | — | $ | 2,648,125,684 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$ | 136,966,597 | $ | 261,041,909 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $1,068,661,040. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$ | 1,383,592,688 | |||
| Unrealized (depreciation) |
(50,951,249 | ) | |||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$ | 1,332,641,439 | |||
|
|
|
17
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term |
Total Distributions(a) | |||||||||||||
| AZL S&P 500 Index Fund |
$31,749,280 | $326,754,440 | $358,503,720 | ||||||||||||
| (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, 2022, 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 |
$30,893,950 | $95,314,860 | $— | $1,332,635,691 | $1,458,844,501 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 50% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
18
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
19
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each
Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
20
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® Small Cap Stock Index Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
| Expense Examples and Portfolio Composition Page 3 |
| Schedule of Portfolio Investments Page 4 |
| Statement of Assets and Liabilities Page 11 |
|
Page 11 |
| Statements of Changes in Net Assets Page 12 |
|
Page 13 |
| Notes to the Financial Statements Page 14 |
|
Page 20 |
| Statement Regarding the Trust’s Liquidity Risk Management Program Page 21 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Small Cap Stock Index Fund
(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 1/1/23 |
Ending Account Value |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL Small Cap Stock Index Fund, Class 1 |
$1,000.00 | $1,058.20 | $1.63 | 0.32% | ||||||||||||||||
| AZL Small Cap Stock Index Fund, Class 2 |
$1,000.00 | $1,057.70 | $2.91 | 0.57% | ||||||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period | |||||||||||||||||
| AZL Small Cap Stock Index Fund, Class 1 |
$1,000.00 | $1,023.21 | $1.61 | 0.32% | ||||||||||||||||
| AZL Small Cap Stock Index Fund, Class 2 |
$1,000.00 | $1,021.97 | $2.86 | 0.57% | ||||||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
17.8 | % | |||
| Financials |
15.6 | ||||
| Information Technology |
14.1 | ||||
| Consumer Discretionary |
13.5 | ||||
| Health Care |
10.7 | ||||
| Real Estate |
7.8 | ||||
| Materials |
5.7 | ||||
| Consumer Staples |
4.9 | ||||
| Energy |
4.6 | ||||
| Communication Services |
2.5 | ||||
| Utilities |
2.0 | ||||
|
|
|
| |||
| Total Common Stocks |
99.2 | ||||
| Short-Term Security Held as Collateral for Securities on Loan |
1.4 | ||||
| Unaffiliated Investment Company |
0.7 | ||||
|
|
|
| |||
| Total Investment Securities |
101.3 | ||||
| Net other assets (liabilities) |
(1.3 | ) | |||
|
|
|
| |||
| Net Assets |
100.0 | % | |||
|
|
|
| |||
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks (99.2%): |
||||||
| Aerospace & Defense (1.4%): | ||||||
| 20,300 | AAR Corp.* | $ | 1,172,528 | |||
| 47,502 | Aerojet Rocketdyne Holdings, Inc.* | 2,606,435 | ||||
| 15,579 | AeroVironment, Inc.* | 1,593,420 | ||||
| 17,585 | Kaman Corp., Class A | 427,843 | ||||
| 18,611 | Moog, Inc., Class A | 2,017,991 | ||||
| 3,351 | National Presto Industries, Inc. | 245,293 | ||||
| 41,406 | Triumph Group, Inc.* | 512,192 | ||||
|
|
|
| ||||
| 8,575,702 | ||||||
|
|
|
| ||||
| Air Freight & Logistics (0.6%): |
||||||
| 16,362 | Forward Air Corp. | 1,736,172 | ||||
| 20,487 | Hub Group, Inc., Class A* | 1,645,516 | ||||
|
|
|
| ||||
| 3,381,688 | ||||||
|
|
|
| ||||
| Automobile Components (1.7%): |
||||||
| 72,682 | American Axle & Manufacturing Holdings, Inc.* | 601,080 | ||||
| 80,841 | Dana, Inc. | 1,374,297 | ||||
| 17,372 | Dorman Products, Inc. | 1,369,435 | ||||
| 20,154 | Gentherm, Inc.* | 1,138,903 | ||||
| 16,109 | LCI Industries | 2,035,533 | ||||
| 13,322 | Patrick Industries, Inc. | 1,065,760 | ||||
| 11,195 | Standard Motor Products, Inc. | 420,036 | ||||
| 18,935 | Winnebago Industries, Inc. | 1,262,775 | ||||
| 12,057 | XPEL, Inc.* | 1,015,441 | ||||
|
|
|
| ||||
| 10,283,260 | ||||||
|
|
|
| ||||
| Banks (8.6%): | ||||||
| 43,003 | Ameris Bancorp | 1,471,133 | ||||
| 42,697 | Atlantic Union Bankshares Corp. | 1,107,987 | ||||
| 33,873 | Axos Financial, Inc.* | 1,335,951 | ||||
| 37,053 | Banc of California, Inc. | 429,074 | ||||
| 11,794 | BancFirst Corp. | 1,085,048 | ||||
| 34,843 | Bancorp, Inc. (The)* | 1,137,624 | ||||
| 26,096 | Bank of Hawaii Corp.^ | 1,075,938 | ||||
| 50,146 | BankUnited, Inc. | 1,080,646 | ||||
| 22,757 | Banner Corp. | 993,798 | ||||
| 30,027 | Berkshire Hills Bancorp, Inc. | 622,460 | ||||
| 55,792 | Brookline Bancorp, Inc. | 487,622 | ||||
| 84,854 | Capitol Federal Financial, Inc. | 523,549 | ||||
| 18,225 | Central Pacific Financial Corp. | 286,315 | ||||
| 9,621 | City Holding Co. | 865,794 | ||||
| 35,117 | Community Bank System, Inc. | 1,646,285 | ||||
| 19,014 | Customers Bancorp, Inc.* | 575,364 | ||||
| 87,303 | CVB Financial Corp. | 1,159,384 | ||||
| 22,014 | Dime Community Bancshares, Inc. | 388,107 | ||||
| 21,238 | Eagle Bancorp, Inc. | 449,396 | ||||
| 24,776 | FB Financial Corp. | 694,967 | ||||
| 118,651 | First BanCorp/Puerto Rico | 1,449,915 | ||||
| 27,593 | First Bancorp/Southern Pines NC | 820,892 | ||||
| 64,118 | First Commonwealth Financial Corp. | 811,093 | ||||
| 63,084 | First Financial Bancorp | 1,289,437 | ||||
| 83,828 | First Hawaiian, Inc. | 1,509,742 | ||||
| 46,215 | Fulton Financial Corp. | 550,883 | ||||
| 20,567 | Hanmi Financial Corp. | 307,065 | ||||
| 23,125 | Heritage Financial Corp. | 373,931 | ||||
| 30,605 | Hilltop Holdings, Inc. | 962,833 | ||||
| 80,256 | Hope Bancorp, Inc. | 675,756 | ||||
| 29,159 | Independent Bank Corp. | 1,297,867 | ||||
| 24,070 | Independent Bank Group, Inc. | 831,137 | ||||
| 16,448 | Lakeland Financial Corp. | 798,057 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Banks, continued |
||||||
| 24,904 | National Bank Holdings Corp., Class A | $ | 723,212 | |||
| 28,446 | NBT Bancorp, Inc. | 906,005 | ||||
| 27,305 | Northfield Bancorp, Inc. | 299,809 | ||||
| 84,859 | Northwest Bancshares, Inc. | 899,505 | ||||
| 31,337 | OFG Bancorp | 817,269 | ||||
| 63,542 | Pacific Premier Bancorp, Inc. | 1,314,049 | ||||
| 76,335 | PacWest Bancorp^ | 622,130 | ||||
| 9,604 | Park National Corp. | 982,681 | ||||
| 17,414 | Pathward Financial, Inc. | 807,313 | ||||
| 7,851 | Preferred Bank | 431,727 | ||||
| 49,893 | Provident Financial Services, Inc. | 815,252 | ||||
| 37,348 | Renasant Corp. | 975,903 | ||||
| 25,848 | S&T Bancorp, Inc. | 702,807 | ||||
| 54,864 | Seacoast Banking Corp of Florida | 1,212,494 | ||||
| 32,000 | ServisFirst Bancshares, Inc. | 1,309,440 | ||||
| 83,969 | Simmons First National Corp., Class A | 1,448,465 | ||||
| 19,996 | Southside Bancshares, Inc. | 523,095 | ||||
| 29,008 | Stellar Bancorp, Inc. | 663,993 | ||||
| 8,561 | Tompkins Financial Corp. | 476,848 | ||||
| 14,106 | Triumph Financial, Inc.* | 856,516 | ||||
| 12,378 | TrustCo. Bank Corp. | 354,135 | ||||
| 40,459 | Trustmark Corp. | 854,494 | ||||
| 73,322 | United Community Banks, Inc. | 1,832,317 | ||||
| 36,598 | Veritex Holdings, Inc. | 656,202 | ||||
| 38,014 | Washington Federal, Inc. | 1,008,131 | ||||
| 17,654 | Westamerica BanCorp | 676,148 | ||||
| 40,432 | WSFS Financial Corp. | 1,525,095 | ||||
|
|
|
| ||||
| 52,790,085 | ||||||
|
|
|
| ||||
| Beverages (0.3%): |
||||||
| 9,083 | MGP Ingredients, Inc. | 965,341 | ||||
| 14,684 | National Beverage Corp.* | 709,972 | ||||
|
|
|
| ||||
| 1,675,313 | ||||||
|
|
|
| ||||
| Biotechnology (2.0%): |
||||||
| 8,955 | Anika Therapeutics, Inc.* | 232,651 | ||||
| 32,882 | Arcus Biosciences, Inc.* | 667,833 | ||||
| 38,662 | Avid Bioservices, Inc.* | 540,108 | ||||
| 60,057 | Catalyst Pharmaceuticals, Inc.* | 807,166 | ||||
| 40,912 | Coherus Biosciences, Inc.* | 174,694 | ||||
| 59,684 | Cytokinetics, Inc.* | 1,946,892 | ||||
| 74,918 | Dynavax Technologies Corp.* | 967,941 | ||||
| 27,506 | Emergent BioSolutions, Inc.* | 202,169 | ||||
| 12,444 | Enanta Pharmaceuticals, Inc.* | 266,302 | ||||
| 84,359 | Ironwood Pharmaceuticals, Inc.* | 897,580 | ||||
| 15,862 | iTeos Therapeutics, Inc.* | 210,013 | ||||
| 51,096 | Myriad Genetics, Inc.* | 1,184,405 | ||||
| 23,783 | REGENXBIO, Inc.* | 475,422 | ||||
| 25,740 | uniQure NV* | 294,980 | ||||
| 35,360 | Vanda Pharmaceuticals, Inc.* | 233,022 | ||||
| 29,697 | Vericel Corp.* | 1,115,716 | ||||
| 48,633 | Vir Biotechnology, Inc.* | 1,192,968 | ||||
| 37,451 | Xencor, Inc.* | 935,152 | ||||
|
|
|
| ||||
| 12,345,014 | ||||||
|
|
|
| ||||
| Building Products (1.9%): |
||||||
| 26,521 | AAON, Inc. | 2,514,456 | ||||
| 10,344 | American Woodmark Corp.* | 789,971 | ||||
| 13,263 | Apogee Enterprises, Inc. | 629,595 | ||||
| 14,448 | AZZ, Inc. | 627,910 | ||||
See accompanying notes to the financial statements.
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Building Products, continued | ||||||
| 18,346 | Gibraltar Industries, Inc.* | $ | 1,154,330 | |||
| 29,492 | Griffon Corp. | 1,188,528 | ||||
| 11,788 | Insteel Industries, Inc. | 366,843 | ||||
| 80,138 | Masterbrand, Inc.* | 932,005 | ||||
| 35,604 | PGT Innovations, Inc.* | 1,037,857 | ||||
| 20,678 | Quanex Building Products Corp. | 555,204 | ||||
| 92,540 | Resideo Technologies, Inc.* | 1,634,256 | ||||
|
|
|
| ||||
| 11,430,955 | ||||||
|
|
|
| ||||
| Capital Markets (1.1%): |
||||||
| 11,773 | Artisan Partners Asset Management, Inc., Class A | 462,797 | ||||
| 26,018 | Avantax, Inc.* | 582,283 | ||||
| 10,694 | B Riley Financial, Inc.^ | 491,710 | ||||
| 29,713 | Brightsphere Investment Group, Inc. | 622,487 | ||||
| 15,583 | Donnelley Financial Solutions, Inc.* | 709,494 | ||||
| 9,827 | Moelis & Co., Class A^ | 445,556 | ||||
| 9,822 | Piper Sandler Cos. | 1,269,592 | ||||
| 11,473 | StoneX Group, Inc.* | 953,177 | ||||
| 4,676 | Virtus Investment Partners, Inc. | 923,370 | ||||
| 71,017 | WisdomTree, Inc. | 487,176 | ||||
|
|
|
| ||||
| 6,947,642 | ||||||
|
|
|
| ||||
| Chemicals (2.9%): |
||||||
| 17,525 | AdvanSix, Inc. | 613,025 | ||||
| 16,086 | American Vanguard Corp. | 287,457 | ||||
| 20,087 | Balchem Corp. | 2,707,928 | ||||
| 16,583 | FutureFuel Corp. | 146,760 | ||||
| 11,745 | Hawkins, Inc. | 560,119 | ||||
| 34,583 | HB Fuller Co. | 2,473,030 | ||||
| 20,865 | Ingevity Corp.* | 1,213,508 | ||||
| 15,833 | Innospec, Inc. | 1,590,267 | ||||
| 12,633 | Koppers Holdings, Inc. | 430,785 | ||||
| 112,023 | Livent Corp.* | 3,072,791 | ||||
| 34,550 | Mativ Holdings, Inc. | 522,396 | ||||
| 19,359 | Minerals Technologies, Inc. | 1,116,821 | ||||
| 8,557 | Quaker Chemical Corp. | 1,667,759 | ||||
| 13,155 | Stepan Co. | 1,257,092 | ||||
| 23,405 | Trinseo PLC | 296,541 | ||||
|
|
|
| ||||
| 17,956,279 | ||||||
|
|
|
| ||||
| Commercial Services & Supplies (2.0%): | ||||||
| 42,517 | ABM Industries, Inc. | 1,813,350 | ||||
| 28,441 | Brady Corp., Class A | 1,352,938 | ||||
| 69,600 | CoreCivic, Inc.* | 654,936 | ||||
| 30,334 | Deluxe Corp. | 530,238 | ||||
| 49,038 | Enviri Corp.* | 484,005 | ||||
| 77,340 | GEO Group, Inc. (The)* | 553,754 | ||||
| 46,888 | Healthcare Services Group, Inc. | 700,038 | ||||
| 30,211 | HNI Corp. | 851,346 | ||||
| 37,945 | Interface, Inc. | 333,537 | ||||
| 13,883 | Liquidity Services, Inc.* | 229,069 | ||||
| 18,830 | Matthews International Corp., Class A | 802,535 | ||||
| 47,570 | MillerKnoll, Inc. | 703,085 | ||||
| 67,822 | OPENLANE, Inc.* | 1,032,251 | ||||
| 101,264 | Pitney Bowes, Inc. | 358,475 | ||||
| 9,525 | UniFirst Corp. | 1,476,470 | ||||
| 13,241 | Viad Corp.* | 355,918 | ||||
|
|
|
| ||||
| 12,231,945 | ||||||
|
|
|
| ||||
| Communications Equipment (1.6%): | ||||||
| 45,100 | ADTRAN Holdings, Inc. | 474,903 | ||||
| 7,846 | Clearfield, Inc.* | 371,508 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Communications Equipment, continued |
||||||
| 21,831 | Digi International, Inc.* | $ | 859,923 | |||
| 81,432 | Extreme Networks, Inc.* | 2,121,304 | ||||
| 69,264 | Harmonic, Inc.* | 1,119,999 | ||||
| 17,061 | NETGEAR, Inc.* | 241,584 | ||||
| 42,356 | NetScout Systems, Inc.* | 1,310,918 | ||||
| 47,744 | Viasat, Inc.* | 1,969,917 | ||||
| 137,485 | Viavi Solutions, Inc.* | 1,557,705 | ||||
|
|
|
| ||||
| 10,027,761 | ||||||
|
|
|
| ||||
| Construction & Engineering (1.7%): |
||||||
| 30,225 | Arcosa, Inc. | 2,290,148 | ||||
| 22,286 | Comfort Systems U.S.A., Inc. | 3,659,361 | ||||
| 18,315 | Dycom Industries, Inc.* | 2,081,500 | ||||
| 27,170 | Granite Construction, Inc. | 1,080,823 | ||||
| 10,200 | MYR Group, Inc.* | 1,411,068 | ||||
|
|
|
| ||||
| 10,522,900 | ||||||
|
|
|
| ||||
| Consumer Finance (1.0%): | ||||||
| 17,177 | Bread Financial Holdings, Inc. | 539,186 | ||||
| 15,545 | Encore Capital Group, Inc.* | 755,798 | ||||
| 20,508 | Enova International, Inc.* | 1,089,385 | ||||
| 36,473 | EZCORP, Inc., Class A*^ | 305,644 | ||||
| 30,548 | Green Dot Corp., Class A* | 572,469 | ||||
| 65,991 | Navient Corp. | 1,226,113 | ||||
| 24,568 | PRA Group, Inc.* | 561,379 | ||||
| 29,374 | PROG Holdings, Inc.* | 943,493 | ||||
| 2,191 | World Acceptance Corp.* | 293,616 | ||||
|
|
|
| ||||
| 6,287,083 | ||||||
|
|
|
| ||||
| Consumer Staples Distribution & Retail (0.6%): |
||||||
| 19,647 | Andersons, Inc. (The) | 906,709 | ||||
| 21,105 | Chefs’ Warehouse, Inc. (The)* | 754,715 | ||||
| 15,300 | PriceSmart, Inc. | 1,133,118 | ||||
| 21,480 | SpartanNash Co. | 483,515 | ||||
| 36,683 | United Natural Foods, Inc.* | 717,152 | ||||
|
|
|
| ||||
| 3,995,209 | ||||||
|
|
|
| ||||
| Containers & Packaging (0.4%): | ||||||
| 23,066 | Myers Industries, Inc. | 448,172 | ||||
| 98,120 | O-I Glass, Inc.* | 2,092,900 | ||||
|
|
|
| ||||
| 2,541,072 | ||||||
|
|
|
| ||||
| Diversified Consumer Services (0.9%): | ||||||
| 27,033 | Adtalem Global Education, Inc.* | 928,313 | ||||
| 51,289 | Frontdoor, Inc.* | 1,636,119 | ||||
| 53,293 | Mister Car Wash, Inc.* | 514,277 | ||||
| 41,491 | Perdoceo Education Corp.* | 509,095 | ||||
| 14,129 | Strategic Education, Inc. | 958,511 | ||||
| 25,268 | Stride, Inc.* | 940,728 | ||||
|
|
|
| ||||
| 5,487,043 | ||||||
|
|
|
| ||||
| Diversified REITs (0.8%): | ||||||
| 49,921 | Alexander & Baldwin, Inc. | 927,532 | ||||
| 33,450 | American Assets Trust, Inc. | 642,240 | ||||
| 44,742 | Armada Hoffler Properties, Inc. | 522,587 | ||||
| 96,082 | Essential Properties Realty Trust, Inc. | 2,261,770 | ||||
| 68,851 | Global Net Lease, Inc. | 707,788 | ||||
|
|
|
| ||||
| 5,061,917 | ||||||
|
|
|
| ||||
| Diversified Telecommunication Services (0.6%): |
||||||
| 6,137 | ATN International, Inc. | 224,614 | ||||
| 27,441 | Cogent Communications Holdings, Inc. | 1,846,505 | ||||
| 47,411 | Consolidated Communications Holdings, Inc.* | 181,584 | ||||
See accompanying notes to the financial statements.
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Diversified Telecommunication Services, continued | ||||||
| 583,003 | Lumen Technologies, Inc. | $ | 1,317,587 | |||
|
|
|
| ||||
| 3,570,290 | ||||||
|
|
|
| ||||
| Electric Utilities (0.3%): |
||||||
| 26,074 | Otter Tail Corp. | 2,058,803 | ||||
|
|
|
| ||||
| Electrical Equipment (0.5%): |
||||||
| 11,161 | Encore Wire Corp. | 2,075,165 | ||||
| 5,629 | Powell Industries, Inc. | 341,061 | ||||
| 53,384 | SunPower Corp.*^ | 523,163 | ||||
|
|
|
| ||||
| 2,939,389 | ||||||
|
|
|
| ||||
| Electronic Equipment, Instruments & Components (4.3%): | ||||||
| 23,492 | Advanced Energy Industries, Inc. | 2,618,183 | ||||
| 57,001 | Arlo Technologies, Inc.* | 621,881 | ||||
| 18,394 | Badger Meter, Inc. | 2,714,219 | ||||
| 22,311 | Benchmark Electronics, Inc. | 576,293 | ||||
| 18,969 | CTS Corp. | 808,649 | ||||
| 16,901 | ePlus, Inc.* | 951,526 | ||||
| 22,686 | Fabrinet* | 2,946,458 | ||||
| 18,113 | Insight Enterprises, Inc.* | 2,650,656 | ||||
| 28,445 | Itron, Inc.* | 2,050,885 | ||||
| 54,951 | Knowles Corp.* | 992,415 | ||||
| 21,905 | Methode Electronics, Inc., Class A | 734,256 | ||||
| 9,492 | OSI Systems, Inc.* | 1,118,442 | ||||
| 6,500 | PC Connection, Inc. | 293,150 | ||||
| 17,197 | Plexus Corp.* | 1,689,433 | ||||
| 11,555 | Rogers Corp.* | 1,871,101 | ||||
| 36,527 | Sanmina Corp.* | 2,201,482 | ||||
| 14,138 | ScanSource, Inc.* | 417,919 | ||||
| 63,142 | TTM Technologies, Inc.* | 877,674 | ||||
|
|
|
| ||||
| 26,134,622 | ||||||
|
|
|
| ||||
| Energy Equipment & Services (1.8%): | ||||||
| 85,557 | Archrock, Inc. | 876,959 | ||||
| 13,560 | Bristow Group, Inc.* | 389,579 | ||||
| 29,243 | Core Laboratories, Inc. | 679,900 | ||||
| 19,779 | Dril-Quip, Inc.* | 460,257 | ||||
| 87,349 | Helix Energy Solutions Group, Inc.* | 644,636 | ||||
| 66,259 | Helmerich & Payne, Inc. | 2,348,881 | ||||
| 5,574 | Nabors Industries, Ltd.* | 518,549 | ||||
| 92,048 | NexTier Oilfield Solutions, Inc.* | 822,909 | ||||
| 62,483 | Oceaneering International, Inc.* | 1,168,432 | ||||
| 39,038 | Oil States International, Inc.* | 291,614 | ||||
| 131,743 | Patterson-UTI Energy, Inc. | 1,576,964 | ||||
| 60,446 | ProPetro Holding Corp.* | 498,075 | ||||
| 50,048 | RPC, Inc. | 357,843 | ||||
| 47,743 | US Silica Holdings, Inc.* | 579,123 | ||||
|
|
|
| ||||
| 11,213,721 | ||||||
|
|
|
| ||||
| Entertainment (0.2%): | ||||||
| 67,711 | Cinemark Holdings, Inc.* | 1,117,231 | ||||
| 14,619 | Marcus Corp. (The) | 216,800 | ||||
|
|
|
| ||||
| 1,334,031 | ||||||
|
|
|
| ||||
| Financial Services (1.3%): | ||||||
| 40,017 | EVERTEC, Inc. | 1,473,826 | ||||
| 44,089 | Mr Cooper Group, Inc.* | 2,232,667 | ||||
| 52,318 | NMI Holdings, Inc., Class A* | 1,350,851 | ||||
| 126,472 | Payoneer Global, Inc.* | 608,330 | ||||
| 22,142 | Radian Group, Inc. | 559,750 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Financial Services, continued |
||||||
| 20,382 | Walker & Dunlop, Inc. | $ | 1,612,012 | |||
|
|
|
| ||||
| 7,837,436 | ||||||
|
|
|
| ||||
| Food Products (1.9%): |
||||||
| 45,515 | B&G Foods, Inc.^ | 633,569 | ||||
| 10,948 | Calavo Growers, Inc. | 317,711 | ||||
| 23,296 | Cal-Maine Foods, Inc. | 1,048,320 | ||||
| 18,836 | Fresh Del Monte Produce, Inc. | 484,274 | ||||
| 54,119 | Hain Celestial Group, Inc. (The)* | 677,029 | ||||
| 82,552 | Hostess Brands, Inc.* | 2,090,217 | ||||
| 9,434 | J & J Snack Foods Corp. | 1,493,968 | ||||
| 5,497 | John B Sanfilippo & Son, Inc. | 644,633 | ||||
| 2,471 | Seneca Foods Corp., Class A* | 80,752 | ||||
| 52,577 | Simply Good Foods Co. (The)* | 1,923,792 | ||||
| 11,433 | Tootsie Roll Industries, Inc. | 404,842 | ||||
| 31,403 | TreeHouse Foods, Inc.* | 1,582,083 | ||||
|
|
|
| ||||
| 11,381,190 | ||||||
|
|
|
| ||||
| Gas Utilities (0.4%): |
||||||
| 10,930 | Chesapeake Utilities Corp. | 1,300,670 | ||||
| 21,424 | Northwest Natural Holding Co. | 922,303 | ||||
|
|
|
| ||||
| 2,222,973 | ||||||
|
|
|
| ||||
| Ground Transportation (0.7%): | ||||||
| 14,827 | ArcBest Corp. | 1,464,908 | ||||
| 23,294 | Heartland Express, Inc. | 382,255 | ||||
| 34,893 | Marten Transport, Ltd. | 750,199 | ||||
| 74,015 | RXO, Inc.* | 1,677,920 | ||||
|
|
|
| ||||
| 4,275,282 | ||||||
|
|
|
| ||||
| Health Care Equipment & Supplies (2.8%): | ||||||
| 24,298 | AngioDynamics, Inc.* | 253,428 | ||||
| 25,502 | Artivion, Inc.* | 438,379 | ||||
| 28,912 | Avanos Medical, Inc.* | 738,991 | ||||
| 19,330 | CONMED Corp. | 2,626,754 | ||||
| 35,427 | Embecta Corp. | 765,223 | ||||
| 30,131 | Glaukos Corp.* | 2,145,629 | ||||
| 20,941 | Integer Holdings Corp.* | 1,855,582 | ||||
| 11,877 | LeMaitre Vascular, Inc. | 799,085 | ||||
| 36,553 | Merit Medical Systems, Inc.* | 3,057,293 | ||||
| 2,964 | Mesa Laboratories, Inc. | 380,874 | ||||
| 32,543 | NuVasive, Inc.* | 1,353,463 | ||||
| 44,501 | OraSure Technologies, Inc.* | 222,950 | ||||
| 21,058 | Orthofix Medical, Inc.* | 380,307 | ||||
| 39,929 | Tandem Diabetes Care, Inc.* | 979,858 | ||||
| 4,214 | UFP Technologies, Inc.* | 816,884 | ||||
| 24,741 | Varex Imaging Corp.* | 583,145 | ||||
| 13,133 | Zynex, Inc.*^ | 125,945 | ||||
|
|
|
| ||||
| 17,523,790 | ||||||
|
|
|
| ||||
| Health Care Providers & Services (3.4%): |
||||||
| 46,729 | AdaptHealth Corp.* | 568,692 | ||||
| 9,842 | Addus HomeCare Corp.* | 912,353 | ||||
| 21,408 | Agiliti, Inc.* | 353,232 | ||||
| 24,767 | AMN Healthcare Services, Inc.* | 2,702,575 | ||||
| 24,801 | Apollo Medical Holdings, Inc.* | 783,712 | ||||
| 80,230 | Community Health Systems, Inc.* | 353,012 | ||||
| 5,678 | CorVel Corp.* | 1,098,693 | ||||
| 21,004 | Cross Country Healthcare, Inc.* | 589,792 | ||||
| 30,690 | Enhabit, Inc.* | 352,935 | ||||
| 34,845 | Ensign Group, Inc. (The) | 3,326,304 | ||||
| 12,490 | Fulgent Genetics, Inc.* | 462,505 | ||||
See accompanying notes to the financial statements.
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Health Care Providers & Services, continued |
||||||
| 7,547 | ModivCare, Inc.* | $ | 341,200 | |||
| 79,525 | NeoGenomics, Inc.* | 1,277,967 | ||||
| 4,420 | OmniAb Operations, Inc.*(a)(b) | — | ||||
| 4,420 | OmniAb Operations, Inc.*(a)(b) | — | ||||
| 47,750 | Owens & Minor, Inc.* | 909,160 | ||||
| 51,342 | Pediatrix Medical Group, Inc.* | 729,570 | ||||
| 58,004 | Privia Health Group, Inc.* | 1,514,484 | ||||
| 35,841 | RadNet, Inc.* | 1,169,133 | ||||
| 66,291 | Select Medical Holdings Corp. | 2,112,031 | ||||
| 8,976 | US Physical Therapy, Inc. | 1,089,597 | ||||
|
|
|
| ||||
| 20,646,947 | ||||||
|
|
|
| ||||
| Health Care REITs (0.5%): | ||||||
| 64,760 | CareTrust REIT, Inc. | 1,286,134 | ||||
| 15,143 | Community Healthcare Trust, Inc. | 500,022 | ||||
| 26,855 | LTC Properties, Inc. | 886,752 | ||||
| 8,861 | Universal Health Realty Income Trust | 421,606 | ||||
|
|
|
| ||||
| 3,094,514 | ||||||
|
|
|
| ||||
| Health Care Technology (0.9%): | ||||||
| 65,858 | Certara, Inc.* | 1,199,274 | ||||
| 7,617 | Computer Programs and Systems, Inc.* | 188,064 | ||||
| 13,978 | HealthStream, Inc. | 343,299 | ||||
| 31,999 | NextGen Healthcare, Inc.* | 519,024 | ||||
| 33,679 | Schrodinger, Inc.* | 1,681,256 | ||||
| 9,889 | Simulations Plus, Inc. | 428,490 | ||||
| 68,953 | Veradigm, Inc.* | 868,808 | ||||
|
|
|
| ||||
| 5,228,215 | ||||||
|
|
|
| ||||
| Hotel & Resort REITs (0.9%): |
||||||
| 30,122 | Chatham Lodging Trust | 281,942 | ||||
| 132,095 | DiamondRock Hospitality Co. | 1,058,081 | ||||
| 69,830 | Pebblebrook Hotel Trust^ | 973,430 | ||||
| 103,864 | Service Properties Trust | 902,578 | ||||
| 67,667 | Summit Hotel Properties, Inc. | 440,512 | ||||
| 129,947 | Sunstone Hotel Investors, Inc. | 1,315,064 | ||||
| 69,153 | Xenia Hotels & Resorts, Inc. | 851,273 | ||||
|
|
|
| ||||
| 5,822,880 | ||||||
|
|
|
| ||||
| Hotels, Restaurants & Leisure (2.2%): |
||||||
| 14,389 | BJ’s Restaurants, Inc.* | 457,570 | ||||
| 55,619 | Bloomin’ Brands, Inc. | 1,495,595 | ||||
| 27,345 | Brinker International, Inc.* | 1,000,827 | ||||
| 29,773 | Cheesecake Factory, Inc. (The) | 1,029,550 | ||||
| 11,307 | Chuy’s Holdings, Inc.* | 461,552 | ||||
| 13,950 | Cracker Barrel Old Country Store, Inc. | 1,299,861 | ||||
| 24,798 | Dave & Buster’s Entertainment, Inc.* | 1,104,999 | ||||
| 9,951 | Dine Brands Global, Inc. | 577,457 | ||||
| 10,072 | El Pollo Loco Holdings, Inc. | 88,331 | ||||
| 13,758 | Golden Entertainment, Inc.* | 575,084 | ||||
| 12,694 | Jack in the Box, Inc. | 1,238,046 | ||||
| 8,049 | Monarch Casino & Resort, Inc. | 567,052 | ||||
| 208,554 | Sabre Corp.* | 665,287 | ||||
| 23,337 | Shake Shack, Inc., Class A* | 1,813,752 | ||||
| 46,047 | Six Flags Entertainment Corp.* | 1,196,301 | ||||
|
|
|
| ||||
| 13,571,264 | ||||||
|
|
|
| ||||
| Household Durables (3.1%): |
||||||
| 4,858 | Cavco Industries, Inc.* | 1,433,110 | ||||
| 17,438 | Century Communities, Inc. | 1,336,100 | ||||
| 14,870 | Ethan Allen Interiors, Inc. | 420,524 | ||||
| 16,419 | Green Brick Partners, Inc.* | 932,599 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Household Durables, continued |
||||||
| 14,662 | Installed Building Products, Inc. | $ | 2,055,026 | |||
| 16,753 | iRobot Corp.* | 758,073 | ||||
| 26,477 | La-Z-Boy, Inc. | 758,301 | ||||
| 12,787 | LGI Homes, Inc.* | 1,724,838 | ||||
| 16,456 | M/I Homes, Inc.* | 1,434,799 | ||||
| 38,319 | MDC Holdings, Inc. | 1,792,180 | ||||
| 22,827 | Meritage Homes Corp. | 3,247,597 | ||||
| 79,191 | Sonos, Inc.* | 1,293,189 | ||||
| 62,932 | Tri Pointe Homes, Inc.* | 2,067,945 | ||||
|
|
|
| ||||
| 19,254,281 | ||||||
|
|
|
| ||||
| Household Products (0.4%): |
||||||
| 6,360 | Central Garden & Pet Co.* | 246,577 | ||||
| 24,008 | Central Garden & Pet Co., Class A* | 875,332 | ||||
| 8,454 | WD-40 Co. | 1,594,847 | ||||
|
|
|
| ||||
| 2,716,756 | ||||||
|
|
|
| ||||
| Industrial REITs (0.5%): |
||||||
| 17,682 | Innovative Industrial Properties, Inc. | 1,290,963 | ||||
| 190,156 | LXP Industrial Trust | 1,854,021 | ||||
|
|
|
| ||||
| 3,144,984 | ||||||
|
|
|
| ||||
| Insurance (2.2%): |
||||||
| 27,848 | Ambac Financial Group, Inc.* | 396,555 | ||||
| 40,748 | American Equity Investment Life Holding Co. | 2,123,378 | ||||
| 11,649 | AMERISAFE, Inc. | 621,125 | ||||
| 38,486 | Assured Guaranty, Ltd. | 2,147,519 | ||||
| 16,723 | Employers Holdings, Inc. | 625,607 | ||||
| 306,399 | Genworth Financial, Inc., Class A* | 1,531,995 | ||||
| 4,198 | HCI Group, Inc. | 259,352 | ||||
| 25,828 | Horace Mann Educators Corp. | 766,058 | ||||
| 22,584 | James River Group Holdings, Ltd. | 412,384 | ||||
| 17,615 | Mercury General Corp. | 533,206 | ||||
| 15,377 | Palomar Holdings, Inc.* | 892,481 | ||||
| 32,766 | ProAssurance Corp. | 494,439 | ||||
| 9,381 | Safety Insurance Group, Inc. | 672,805 | ||||
| 51,851 | SiriusPoint, Ltd.* | 468,215 | ||||
| 17,419 | Stewart Information Services Corp. | 716,618 | ||||
| 21,976 | Trupanion, Inc.* | 432,488 | ||||
| 13,250 | United Fire Group, Inc. | 300,245 | ||||
| 17,153 | Universal Insurance Holdings, Inc. | 264,671 | ||||
|
|
|
| ||||
| 13,659,141 | ||||||
|
|
|
| ||||
| Interactive Media & Services (0.7%): |
||||||
| 55,588 | Cargurus, Inc.* | 1,257,956 | ||||
| 37,995 | Cars.com, Inc.* | 753,061 | ||||
| 31,372 | QuinStreet, Inc.* | 277,015 | ||||
| 14,748 | Shutterstock, Inc. | 717,785 | ||||
| 43,102 | Yelp, Inc.* | 1,569,344 | ||||
|
|
|
| ||||
| 4,575,161 | ||||||
|
|
|
| ||||
| IT Services (0.3%): |
||||||
| 21,960 | Perficient, Inc.* | 1,829,927 | ||||
|
|
|
| ||||
| Leisure Products (0.3%): |
||||||
| 11,025 | Sturm Ruger & Co., Inc. | 583,884 | ||||
| 34,810 | Vista Outdoor, Inc.* | 963,193 | ||||
|
|
|
| ||||
| 1,547,077 | ||||||
|
|
|
| ||||
| Life Sciences Tools & Services (0.1%): |
||||||
| 21,518 | BioLife Solutions, Inc.* | 475,548 | ||||
| 48,955 | Cytek Biosciences, Inc.* | 418,075 | ||||
|
|
|
| ||||
| 893,623 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Machinery (5.5%): | ||||||
| 81,799 | 3D Systems Corp.* | $ | 812,264 | |||
| 6,117 | Alamo Group, Inc. | 1,124,977 | ||||
| 19,541 | Albany International Corp., Class A | 1,822,785 | ||||
| 13,789 | Astec Industries, Inc. | 626,572 | ||||
| 30,993 | Barnes Group, Inc. | 1,307,595 | ||||
| 12,744 | CIRCOR International, Inc.* | 719,399 | ||||
| 35,022 | Enerpac Tool Group Corp. | 945,594 | ||||
| 13,087 | EnPro Industries, Inc. | 1,747,507 | ||||
| 15,760 | ESCO Technologies, Inc. | 1,633,209 | ||||
| 38,140 | Federal Signal Corp. | 2,442,104 | ||||
| 24,232 | Franklin Electric Co., Inc. | 2,493,473 | ||||
| 19,909 | Greenbrier Cos., Inc. (The) | 858,078 | ||||
| 43,869 | Hillenbrand, Inc. | 2,249,602 | ||||
| 19,969 | John Bean Technologies Corp. | 2,422,240 | ||||
| 51,348 | Kennametal, Inc. | 1,457,770 | ||||
| 6,481 | Lindsay Corp. | 773,443 | ||||
| 35,823 | Mueller Industries, Inc. | 3,126,631 | ||||
| 16,187 | Proto Labs, Inc.* | 565,898 | ||||
| 28,606 | SPX Technologies, Inc.* | 2,430,652 | ||||
| 7,030 | Standex International Corp. | 994,534 | ||||
| 11,037 | Tennant Co. | 895,211 | ||||
| 31,969 | Titan International, Inc.* | 367,004 | ||||
| 51,026 | Trinity Industries, Inc. | 1,311,878 | ||||
| 29,277 | Wabash National Corp. | 750,662 | ||||
|
|
|
| ||||
| 33,879,082 | ||||||
|
|
|
| ||||
| Marine Transportation (0.3%): | ||||||
| 22,638 | Matson, Inc. | 1,759,652 | ||||
|
|
|
| ||||
| Media (0.7%): | ||||||
| 17,471 | AMC Networks, Inc., Class A* | 208,778 | ||||
| 162,291 | DISH Network Corp., Class A* | 1,069,498 | ||||
| 37,137 | E.W. Scripps Co. (The), Class A* | 339,804 | ||||
| 27,538 | John Wiley & Sons, Inc., Class A | 937,118 | ||||
| 18,184 | Scholastic Corp. | 707,176 | ||||
| 16,126 | TechTarget, Inc.* | 502,002 | ||||
| 19,398 | Thryv Holdings, Inc.* | 477,191 | ||||
|
|
|
| ||||
| 4,241,567 | ||||||
|
|
|
| ||||
| Metals & Mining (2.1%): |
||||||
| 62,385 | Arconic Corp.* | 1,845,348 | ||||
| 81,025 | ATI, Inc.* | 3,583,736 | ||||
| 30,718 | Carpenter Technology Corp. | 1,724,201 | ||||
| 32,347 | Century Aluminum Co.* | 282,066 | ||||
| 21,090 | Compass Minerals International, Inc. | 717,060 | ||||
| 7,967 | Haynes International, Inc. | 404,883 | ||||
| 10,089 | Kaiser Aluminum Corp. | 722,776 | ||||
| 12,719 | Materion Corp. | 1,452,510 | ||||
| 6,081 | Olympic Steel, Inc. | 297,969 | ||||
| 50,518 | SunCoke Energy, Inc. | 397,577 | ||||
| 24,392 | TimkenSteel Corp.* | 526,135 | ||||
| 31,348 | Warrior Met Coal, Inc. | 1,221,005 | ||||
|
|
|
| ||||
| 13,175,266 | ||||||
|
|
|
| ||||
| Mortgage Real Estate Investment Trusts (REITs) (1.4%): | ||||||
| 84,827 | Apollo Commercial Real Estate Finance, Inc. | 960,242 | ||||
| 63,912 | Arbor Realty Trust, Inc.^ | 947,176 | ||||
| 120,485 | ARMOUR Residential REIT, Inc.^ | 642,185 | ||||
| 37,331 | Ellington Financial, Inc.^ | 515,168 | ||||
| 50,851 | Franklin BSP Realty Trust, Inc. | 720,050 | ||||
| 27,831 | Invesco Mortgage Capital, Inc. | 319,221 | ||||
| 37,360 | KKR Real Estate Finance Trust, Inc. | 454,671 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Mortgage Real Estate Investment Trusts (REITs), continued | ||||||
| 59,136 | New York Mortgage Trust, Inc. | $ | 586,629 | |||
| 56,743 | PennyMac Mortgage Investment Trust | 764,896 | ||||
| 101,574 | Ready Capital Corp. | 1,145,755 | ||||
| 74,399 | Redwood Trust, Inc. | 473,921 | ||||
| 64,894 | Two Harbors Investment Corp. | 900,729 | ||||
|
|
|
| ||||
| 8,430,643 | ||||||
|
|
|
| ||||
| Multi-Utilities (0.4%): |
||||||
| 48,037 | Avista Corp. | 1,886,413 | ||||
| 8,978 | Unitil Corp. | 455,274 | ||||
|
|
|
| ||||
| 2,341,687 | ||||||
|
|
|
| ||||
| Office REITs (0.9%): |
||||||
| 114,177 | Brandywine Realty Trust | 530,923 | ||||
| 61,490 | Douglas Emmett, Inc.^ | 772,929 | ||||
| 60,444 | Easterly Government Properties, Inc. | 876,438 | ||||
| 83,400 | Hudson Pacific Properties, Inc. | 351,948 | ||||
| 65,682 | JBG SMITH Properties | 987,857 | ||||
| 31,710 | Office Properties Income Trust | 244,167 | ||||
| 37,494 | Orion Office REIT, Inc. | 247,836 | ||||
| 41,478 | SL Green Realty Corp. | 1,246,414 | ||||
|
|
|
| ||||
| 5,258,512 | ||||||
|
|
|
| ||||
| Oil, Gas & Consumable Fuels (2.8%): |
||||||
| 43,987 | California Resources Corp. | 1,992,171 | ||||
| 31,415 | Callon Petroleum Co.* | 1,101,724 | ||||
| 31,438 | Civitas Resources, Inc. | 2,180,854 | ||||
| 57,396 | Comstock Resources, Inc. | 665,794 | ||||
| 19,700 | CONSOL Energy, Inc. | 1,335,857 | ||||
| 20,206 | CVR Energy, Inc. | 605,372 | ||||
| 18,041 | Dorian LPG, Ltd. | 462,752 | ||||
| 35,914 | Green Plains, Inc.* | 1,157,867 | ||||
| 50,520 | Northern Oil and Gas, Inc. | 1,733,846 | ||||
| 35,074 | Par Pacific Holdings, Inc.* | 933,319 | ||||
| 9,218 | REX American Resources Corp.* | 320,879 | ||||
| 76,762 | SM Energy Co. | 2,427,982 | ||||
| 65,818 | Talos Energy, Inc.* | 912,896 | ||||
| 11,365 | Vital Energy, Inc.* | 513,130 | ||||
| 39,018 | World Kinect Corp. | 806,892 | ||||
|
|
|
| ||||
| 17,151,335 | ||||||
|
|
|
| ||||
| Paper & Forest Products (0.2%): |
||||||
| 10,127 | Clearwater Paper Corp.* | 317,178 | ||||
| 26,483 | Mercer International, Inc. | 213,718 | ||||
| 19,914 | Sylvamo Corp. | 805,521 | ||||
|
|
|
| ||||
| 1,336,417 | ||||||
|
|
|
| ||||
| Passenger Airlines (0.5%): |
||||||
| 9,916 | Allegiant Travel Co.* | 1,252,192 | ||||
| 36,366 | Hawaiian Holdings, Inc.* | 391,662 | ||||
| 28,218 | SkyWest, Inc.* | 1,149,037 | ||||
| 23,058 | Sun Country Airlines Holdings, Inc.* | 518,344 | ||||
|
|
|
| ||||
| 3,311,235 | ||||||
|
|
|
| ||||
| Personal Care Products (1.4%): |
||||||
| 31,598 | Edgewell Personal Care Co. | 1,305,313 | ||||
| 31,498 | elf Beauty, Inc.* | 3,598,017 | ||||
| 11,223 | Inter Parfums, Inc. | 1,517,686 | ||||
| 7,126 | Medifast, Inc. | 656,732 | ||||
| 32,397 | Nu Skin Enterprises, Inc., Class A | 1,075,580 | ||||
| 6,536 | USANA Health Sciences, Inc.* | 412,030 | ||||
|
|
|
| ||||
| 8,565,358 | ||||||
|
|
|
| ||||
See accompanying notes to the financial statements.
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Pharmaceuticals (1.5%): | ||||||
| 23,396 | Amphastar Pharmaceuticals, Inc.* | $ | 1,344,568 | |||
| 8,464 | ANI Pharmaceuticals, Inc.* | 455,617 | ||||
| 20,458 | Collegium Pharmaceutical, Inc.* | 439,642 | ||||
| 55,908 | Corcept Therapeutics, Inc.* | 1,243,953 | ||||
| 18,411 | Harmony Biosciences Holdings, Inc.* | 647,883 | ||||
| 35,524 | Innoviva, Inc.* | 452,221 | ||||
| 10,109 | Ligand Pharmaceuticals, Inc.* | 728,859 | ||||
| 27,955 | Pacira BioSciences, Inc.* | 1,120,157 | ||||
| 12,767 | Phibro Animal Health Corp., Class A | 174,908 | ||||
| 30,756 | Prestige Consumer Healthcare, Inc.* | 1,827,829 | ||||
| 33,449 | Supernus Pharmaceuticals, Inc.* | 1,005,477 | ||||
|
|
|
| ||||
| 9,441,114 | ||||||
|
|
|
| ||||
| Professional Services (1.2%): |
||||||
| 19,069 | CSG Systems International, Inc. | 1,005,699 | ||||
| 7,087 | Forrester Research, Inc.* | 206,161 | ||||
| 12,377 | Heidrick & Struggles International, Inc. | 327,619 | ||||
| 20,692 | Kelly Services, Inc., Class A | 364,386 | ||||
| 33,331 | Korn Ferry | 1,651,218 | ||||
| 7,464 | NV5 Global, Inc.* | 826,787 | ||||
| 20,264 | Resources Connection, Inc. | 318,348 | ||||
| 19,052 | TrueBlue, Inc.* | 337,411 | ||||
| 12,925 | TTEC Holdings, Inc. | 437,382 | ||||
| 88,088 | Verra Mobility Corp.* | 1,737,095 | ||||
|
|
|
| ||||
| 7,212,106 | ||||||
|
|
|
| ||||
| Real Estate Management & Development (0.8%): |
||||||
| 69,458 | Anywhere Real Estate, Inc.* | 463,980 | ||||
| 86,101 | Cushman & Wakefield plc* | 704,306 | ||||
| 47,007 | eXp World Holdings, Inc.^ | 953,302 | ||||
| 78,201 | Kennedy-Wilson Holdings, Inc. | 1,277,022 | ||||
| 15,051 | Marcus & Millichap, Inc. | 474,257 | ||||
| 12,605 | RE/MAX Holdings, Inc., Class A | 242,772 | ||||
| 21,387 | St Joe Co. (The) | 1,033,848 | ||||
|
|
|
| ||||
| 5,149,487 | ||||||
|
|
|
| ||||
| Residential REITs (0.5%): |
||||||
| 9,526 | Centerspace | 584,515 | ||||
| 56,595 | Elme Communities | 930,422 | ||||
| 14,239 | NexPoint Residential Trust, Inc. | 647,590 | ||||
| 48,840 | Veris Residential, Inc.* | 783,882 | ||||
|
|
|
| ||||
| 2,946,409 | ||||||
|
|
|
| ||||
| Retail REITs (2.1%): |
||||||
| 62,645 | Acadia Realty Trust | 901,462 | ||||
| 27,882 | Getty Realty Corp. | 942,969 | ||||
| 133,353 | Macerich Co. (The) | 1,502,888 | ||||
| 75,364 | Phillips Edison & Co., Inc. | 2,568,405 | ||||
| 83,881 | Retail Opportunity Investments Corp. | 1,133,232 | ||||
| 56,438 | RPT Realty | 589,777 | ||||
| 9,903 | Saul Centers, Inc. | 364,728 | ||||
| 119,929 | SITE Centers Corp. | 1,585,461 | ||||
| 68,138 | Tanger Factory Outlet Centers, Inc. | 1,503,806 | ||||
| 78,667 | Urban Edge Properties | 1,213,832 | ||||
| 18,707 | Urstadt Biddle Properties, Inc., Class A | 397,711 | ||||
| 33,732 | Whitestone REIT | 327,200 | ||||
|
|
|
| ||||
| 13,031,471 | ||||||
|
|
|
| ||||
| Semiconductors & Semiconductor Equipment (4.7%): | ||||||
| 14,037 | Alpha & Omega Semiconductor, Ltd.* | 460,414 | ||||
| 20,449 | Axcelis Technologies, Inc.* | 3,748,915 | ||||
| 13,505 | CEVA, Inc.* | 345,053 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Semiconductors & Semiconductor Equipment, continued | ||||||
| 29,183 | Cohu, Inc.* | $ | 1,212,846 | |||
| 28,753 | Diodes, Inc.* | 2,659,365 | ||||
| 48,195 | FormFactor, Inc.* | 1,649,233 | ||||
| 17,679 | Ichor Holdings, Ltd.* | 662,963 | ||||
| 36,508 | Kulicke & Soffa Industries, Inc. | 2,170,401 | ||||
| 45,886 | MaxLinear, Inc., Class A* | 1,448,162 | ||||
| 30,673 | Onto Innovation, Inc.* | 3,572,484 | ||||
| 18,104 | PDF Solutions, Inc.* | 816,490 | ||||
| 38,839 | Photronics, Inc.* | 1,001,658 | ||||
| 67,846 | Rambus, Inc.* | 4,353,678 | ||||
| 39,327 | Semtech Corp.* | 1,001,265 | ||||
| 10,263 | SiTime Corp.* | 1,210,726 | ||||
| 30,347 | SMART Global Holdings, Inc.* | 880,366 | ||||
| 27,655 | Ultra Clean Holdings, Inc.* | 1,063,611 | ||||
| 31,956 | Veeco Instruments, Inc.* | 820,630 | ||||
|
|
|
| ||||
| 29,078,260 | ||||||
|
|
|
| ||||
| Software (3.0%): |
||||||
| 70,071 | 8x8, Inc.* | 296,400 | ||||
| 40,922 | A10 Networks, Inc. | 597,052 | ||||
| 67,107 | Adeia, Inc. | 738,848 | ||||
| 12,358 | Agilysys, Inc.* | 848,253 | ||||
| 31,733 | Alarm.com Holdings, Inc.* | 1,639,962 | ||||
| 25,418 | Cerence, Inc.* | 742,968 | ||||
| 10,938 | Consensus Cloud Solutions, Inc.* | 339,078 | ||||
| 55,874 | Digital Turbine, Inc.* | 518,511 | ||||
| 55,910 | DoubleVerify Holdings, Inc.* | 2,176,017 | ||||
| 15,212 | Ebix, Inc. | 383,342 | ||||
| 16,623 | InterDigital, Inc. | 1,604,951 | ||||
| 40,335 | LiveRamp Holdings, Inc.* | 1,151,968 | ||||
| 43,258 | N-able, Inc.* | 623,348 | ||||
| 21,882 | OneSpan, Inc.* | 324,729 | ||||
| 27,504 | Progress Software Corp. | 1,597,982 | ||||
| 23,106 | SPS Commerce, Inc.* | 4,437,738 | ||||
| 26,794 | Xperi, Inc.* | 352,341 | ||||
|
|
|
| ||||
| 18,373,488 | ||||||
|
|
|
| ||||
| Specialized REITs (0.7%): |
||||||
| 57,465 | Four Corners Property Trust, Inc. | 1,459,611 | ||||
| 97,116 | Outfront Media, Inc. | 1,526,664 | ||||
| 26,825 | Safehold, Inc. | 636,557 | ||||
| 155,424 | Uniti Group, Inc. | 718,059 | ||||
|
|
|
| ||||
| 4,340,891 | ||||||
|
|
|
| ||||
| Specialty Retail (4.3%): |
||||||
| 20,307 | Aaron’s Co., Inc. (The) | 287,141 | ||||
| 31,170 | Abercrombie & Fitch Co., Class A* | 1,174,486 | ||||
| 47,852 | Academy Sports & Outdoors, Inc. | 2,586,401 | ||||
| 114,753 | American Eagle Outfitters, Inc. | 1,354,085 | ||||
| 3,481 | America’s Car-Mart, Inc.* | 347,334 | ||||
| 13,431 | Asbury Automotive Group, Inc.* | 3,229,081 | ||||
| 18,374 | Boot Barn Holdings, Inc.* | 1,556,094 | ||||
| 19,071 | Buckle, Inc. (The) | 659,857 | ||||
| 22,685 | Caleres, Inc. | 542,852 | ||||
| 75,836 | Chico’s FAS, Inc.* | 405,723 | ||||
| 32,783 | Designer Brands, Inc., Class A^ | 331,108 | ||||
| 8,934 | Group 1 Automotive, Inc. | 2,305,865 | ||||
| 20,357 | Guess?, Inc. | 395,944 | ||||
| 8,565 | Haverty Furniture Cos., Inc. | 258,834 | ||||
| 7,634 | Hibbett, Inc. | 277,038 | ||||
| 90,611 | Leslie’s, Inc.* | 850,837 | ||||
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Specialty Retail, continued |
||||||
| 13,109 | MarineMax, Inc.* | $ | 447,804 | |||
| 18,318 | Monro, Inc. | 744,260 | ||||
| 48,632 | National Vision Holdings, Inc.* | 1,181,271 | ||||
| 20,971 | ODP Corp. (The)* | 981,862 | ||||
| 66,086 | Sally Beauty Holdings, Inc.* | 816,162 | ||||
| 9,718 | Shoe Carnival, Inc. | 228,179 | ||||
| 28,384 | Signet Jewelers, Ltd. | 1,852,340 | ||||
| 13,418 | Sleep Number Corp.* | 366,043 | ||||
| 9,927 | Sonic Automotive, Inc., Class A | 473,220 | ||||
| 31,381 | Upbound Group, Inc. | 976,891 | ||||
| 37,763 | Urban Outfitters, Inc.* | 1,251,088 | ||||
| 47,991 | Victoria’s Secret & Co.* | 836,483 | ||||
|
|
|
| ||||
| 26,718,283 | ||||||
|
|
|
| ||||
| Technology Hardware, Storage & Peripherals (0.2%): | ||||||
| 20,888 | Avid Technology, Inc.* | 532,644 | ||||
| 24,931 | Corsair Gaming, Inc.* | 442,276 | ||||
|
|
|
| ||||
| 974,920 | ||||||
|
|
|
| ||||
| Textiles, Apparel & Luxury Goods (1.0%): |
||||||
| 25,890 | G-III Apparel Group, Ltd.* | 498,900 | ||||
| 223,978 | Hanesbrands, Inc. | 1,016,860 | ||||
| 31,846 | Kontoor Brands, Inc. | 1,340,717 | ||||
| 10,651 | Movado Group, Inc. | 285,767 | ||||
| 9,076 | Oxford Industries, Inc. | 893,260 | ||||
| 46,057 | Steven Madden, Ltd. | 1,505,603 | ||||
| 49,555 | Wolverine World Wide, Inc. | 727,963 | ||||
|
|
|
| ||||
| 6,269,070 | ||||||
|
|
|
| ||||
| Tobacco (0.3%): |
||||||
| 15,479 | Universal Corp. | 773,021 | ||||
| 86,009 | Vector Group, Ltd. | 1,101,776 | ||||
|
|
|
| ||||
| 1,874,797 | ||||||
|
|
|
| ||||
| Trading Companies & Distributors (1.6%): |
||||||
| 24,167 | Applied Industrial Technologies, Inc. | 3,500,106 | ||||
| Shares | Value | |||||
| Common Stocks, continued |
||||||
| Trading Companies & Distributors, continued |
||||||
| 24,788 | Boise Cascade Co. | $ | 2,239,596 | |||
| 8,785 | DXP Enterprises, Inc.* | 319,862 | ||||
| 25,951 | GMS, Inc.* | 1,795,809 | ||||
| 65,195 | NOW, Inc.* | 675,420 | ||||
| 8,570 | Veritiv Corp. | 1,076,478 | ||||
|
|
|
| ||||
| 9,607,271 | ||||||
|
|
|
| ||||
| Water Utilities (1.0%): |
||||||
| 23,379 | American States Water Co. | 2,033,973 | ||||
| 35,447 | California Water Service Group | 1,830,129 | ||||
| 10,693 | Middlesex Water Co. | 862,497 | ||||
| 16,524 | SJW Group | 1,158,498 | ||||
|
|
|
| ||||
| 5,885,097 | ||||||
|
|
|
| ||||
| Wireless Telecommunication Services (0.3%): |
||||||
| 41,637 | Gogo, Inc.* | 708,245 | ||||
| 30,443 | Shenandoah Telecommunications Co. | 591,508 | ||||
| 62,971 | Telephone and Data Systems, Inc. | 518,251 | ||||
|
|
|
| ||||
| 1,818,004 | ||||||
|
|
|
| ||||
| Total Common Stocks (Cost $454,248,825) | 610,188,587 | |||||
|
|
|
| ||||
| Short-Term Security Held as Collateral for Securities on Loan (1.4%): | ||||||
| 8,661,023 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(c)(d) | 8,661,023 | ||||
|
|
|
| ||||
| Total Short-Term Security Held as Collateral for Securities on Loan (Cost $8,661,023) |
8,661,023 | |||||
|
|
|
| ||||
| Unaffiliated Investment Company (0.7%): |
||||||
| Money Markets (0.7%): |
||||||
| 4,153,047 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(d) | 4,153,047 | ||||
|
|
|
| ||||
| Total Unaffiliated Investment Company (Cost $4,153,047) |
4,153,047 | |||||
|
|
|
| ||||
| Total Investment Securities (Cost $467,062,895) — 101.3% |
623,002,657 | |||||
| Net other assets (liabilities) — (1.3)% | (8,042,906 | ) | ||||
|
|
|
| ||||
| Net Assets — 100.0% | $ | 614,959,751 | ||||
|
|
|
| ||||
Percentages indicated are based on net assets as of June 30, 2023.
REIT - Real Estate Investment Trust
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $8,382,887. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. |
| (b) | Security was valued using significant unobservable inputs as of June 30, 2023. |
| (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 June 30, 2023. |
| (d) | The rate represents the effective yield at June 30, 2023. |
Amounts shown as “—” are either $0 or round to less than $1.
Futures Contracts
At June 30, 2023, 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 September Futures (U.S. Dollar) |
9/15/23 | 52 | $ | 4,949,620 | $ | 1,794 | ||||||
|
|
|
| ||||||||||
| $ | 1,794 | |||||||||||
|
|
|
| ||||||||||
See accompanying notes to the financial statements.
10
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 467,062,895 | |||
|
|
|
| |||
| Investment securities, at value(a) |
$ | 623,002,657 | |||
| Deposit at broker for futures contracts collateral |
325,600 | ||||
| Interest and dividends receivable |
687,826 | ||||
| Receivable for variation margin on futures contracts |
14,560 | ||||
| Prepaid expenses |
1,621 | ||||
|
|
|
| |||
| Total Assets |
624,032,264 | ||||
|
|
|
| |||
| Liabilities: |
|||||
| Payable for capital shares redeemed |
137,923 | ||||
| Payable for collateral received on loaned securities |
8,661,023 | ||||
| Management fees payable |
128,634 | ||||
| Administration fees payable |
11,900 | ||||
| Distribution fees payable |
116,767 | ||||
| Custodian fees payable |
2,346 | ||||
| Administrative and compliance services fees payable |
445 | ||||
| Transfer agent fees payable |
575 | ||||
| Trustee fees payable |
2,144 | ||||
| Other accrued liabilities |
10,756 | ||||
|
|
|
| |||
| Total Liabilities |
9,072,513 | ||||
|
|
|
| |||
| Commitments and contingent liabilities^ |
|||||
|
|
|
| |||
| Net Assets |
$ | 614,959,751 | |||
|
|
|
| |||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 429,213,074 | |||
| Total distributable earnings |
185,746,677 | ||||
|
|
|
| |||
| Net Assets |
$ | 614,959,751 | |||
|
|
|
| |||
| Class 1 |
|||||
| Net Assets |
$ | 34,356,642 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
4,494,262 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 7.64 | |||
|
|
|
| |||
| Class 2 |
|||||
| Net Assets |
$ | 580,603,109 | |||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
48,038,799 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 12.09 | |||
|
|
|
| |||
| (a) | Includes securities on loan of $8,382,887. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Dividends |
$ | 5,821,166 | |||
| Interest |
7,347 | ||||
| Income from securities lending |
34,881 | ||||
| Foreign withholding tax |
(4,931 | ) | |||
|
|
|
| |||
| Total Investment Income |
5,858,463 | ||||
|
|
|
| |||
| Expenses: |
|||||
| Management fees |
793,671 | ||||
| Administration fees |
82,762 | ||||
| Distribution fees - Class 2 |
720,313 | ||||
| Custodian fees |
12,067 | ||||
| Administrative and compliance services fees |
2,661 | ||||
| Transfer agent fees |
4,412 | ||||
| Trustee fees |
10,986 | ||||
| Professional fees |
8,824 | ||||
| Licensing fees |
40,263 | ||||
| Shareholder reports |
7,308 | ||||
| Other expenses |
6,200 | ||||
|
|
|
| |||
| Total expenses |
1,689,467 | ||||
|
|
|
| |||
| Net Investment Income/(Loss) |
4,168,996 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
1,398,259 | ||||
| Net realized gains/(losses) on futures contracts |
(312,763 | ) | |||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
30,756,510 | ||||
| Change in net unrealized appreciation/depreciation on futures contracts |
40,376 | ||||
|
|
|
| |||
| Net realized and Change in net unrealized gains/losses on investments |
31,882,382 | ||||
|
|
|
| |||
| Change in Net Assets Resulting From Operations |
$ | 36,051,378 | |||
|
|
|
| |||
See accompanying notes to the financial statements.
11
AZL Small Cap Stock Index Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 4,168,996 | $ | 5,910,356 | ||||||
| Net realized gains/(losses) on investments |
1,085,496 | 37,230,614 | ||||||||
| Change in unrealized appreciation/depreciation on investments |
30,796,886 | (183,110,645 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from operations |
36,051,378 | (139,969,675 | ) | |||||||
|
|
|
|
|
|
| |||||
| Distributions to Shareholders: |
||||||||||
| Class 1 |
— | (9,156,857 | ) | |||||||
| Class 2 |
— | (107,893,670 | ) | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from distributions to shareholders |
— | (117,050,527 | ) | |||||||
|
|
|
|
|
|
| |||||
| Capital Transactions: |
||||||||||
| Class 1 |
||||||||||
| Proceeds from shares issued |
58,384 | 47,960 | ||||||||
| Proceeds from dividends reinvested |
— | 9,156,857 | ||||||||
| Value of shares redeemed |
(2,210,256 | ) | (4,287,362 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 1 Shares |
(2,151,872 | ) | 4,917,455 | |||||||
|
|
|
|
|
|
| |||||
| Class 2 |
||||||||||
| Proceeds from shares issued |
18,349,497 | 4,742,326 | ||||||||
| Proceeds from dividends reinvested |
— | 107,893,670 | ||||||||
| Value of shares redeemed |
(57,515,577 | ) | (111,921,820 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 2 Shares |
(39,166,080 | ) | 714,176 | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets resulting from capital transactions |
(41,317,952 | ) | 5,631,631 | |||||||
|
|
|
|
|
|
| |||||
| Change in net assets |
(5,266,574 | ) | (251,388,571 | ) | ||||||
| Net Assets: |
||||||||||
| Beginning of period |
620,226,325 | 871,614,896 | ||||||||
|
|
|
|
|
|
| |||||
| End of period |
$ | 614,959,751 | $ | 620,226,325 | ||||||
|
|
|
|
|
|
| |||||
| Share Transactions: |
||||||||||
| Class 1 |
||||||||||
| Shares issued |
8,027 | 5,161 | ||||||||
| Dividends reinvested |
— | 1,306,256 | ||||||||
| Shares redeemed |
(296,429 | ) | (458,726 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 1 Shares |
(288,402 | ) | 852,691 | |||||||
|
|
|
|
|
|
| |||||
| Class 2 |
||||||||||
| Shares issued |
1,607,306 | 358,773 | ||||||||
| Dividends reinvested |
— | 9,720,151 | ||||||||
| Shares redeemed |
(4,824,120 | ) | (8,046,992 | ) | ||||||
|
|
|
|
|
|
| |||||
| Total Class 2 Shares |
(3,216,814 | ) | 2,031,932 | |||||||
|
|
|
|
|
|
| |||||
| Change in shares |
(3,505,216 | ) | 2,884,623 | |||||||
|
|
|
|
|
|
| |||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
12
AZL Small Cap Stock Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
| Ended | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
| June 30, 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 7.22 | $ | 11.75 | $ | 9.76 | $ | 9.65 | $ | 9.26 | $ | 11.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.06 | (a) | 0.10 | (a) | 0.11 | (a) | 0.09 | (a) | 0.12 | (a) | 0.16 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.36 | (2.11 | ) | 2.44 | 0.80 | 1.78 | (0.93 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.42 | (2.01 | ) | 2.55 | 0.89 | 1.90 | (0.77 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.16 | ) | (0.14 | ) | (0.17 | ) | (0.17 | ) | (0.18 | ) | |||||||||||||
| Net Realized Gains |
— | (2.36 | ) | (0.42 | ) | (0.61 | ) | (1.34 | ) | (1.47 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (2.52 | ) | (0.56 | ) | (0.78 | ) | (1.51 | ) | (1.65 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 7.64 | $ | 7.22 | $ | 11.75 | $ | 9.76 | $ | 9.65 | $ | 9.26 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
5.82 | %(c) | (16.45 | )% | 26.37 | %(c) | 10.98 | % | 22.42 | % | (8.59 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 34,357 | $ | 34,525 | $ | 46,174 | $ | 42,848 | $ | 44,098 | $ | 41,285 | ||||||||||||
| Net Investment Income/(Loss)(d) |
1.60 | % | 1.08 | % | 0.95 | % | 1.11 | % | 1.21 | % | 1.17 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.32 | % | 0.32 | % | 0.33 | % | 0.34 | % | 0.33 | % | 0.33 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.32 | % | 0.32 | % | 0.33 | % | 0.34 | % | 0.33 | % | 0.33 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
15 | % | 12 | % | 20 | % | 21 | % | 14 | % | 19 | % | ||||||||||||
| Class 2 |
||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$ | 11.43 | $ | 16.77 | $ | 13.74 | $ | 13.23 | $ | 12.17 | $ | 14.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Investment Activities: |
||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.08 | (a) | 0.12 | (a) | 0.12 | (a) | 0.10 | (a) | 0.13 | (a) | 0.15 | |||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments |
0.58 | (2.98 | ) | 3.44 | 1.15 | 2.40 | (1.25 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total from Investment Activities |
0.66 | (2.86 | ) | 3.56 | 1.25 | 2.53 | (1.10 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||
| Net Investment Income |
— | (0.12 | ) | (0.11 | ) | (0.13 | ) | (0.13 | ) | (0.14 | ) | |||||||||||||
| Net Realized Gains |
— | (2.36 | ) | (0.42 | ) | (0.61 | ) | (1.34 | ) | (1.47 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Dividends |
— | (2.48 | ) | (0.53 | ) | (0.74 | ) | (1.47 | ) | (1.61 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Period |
$ | 12.09 | $ | 11.43 | $ | 16.77 | $ | 13.74 | $ | 13.23 | $ | 12.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(b) |
5.77 | %(c) | (16.65 | )% | 26.04 | % | 10.71 | % | 22.19 | % | (8.93 | )% | ||||||||||||
| Ratios to Average Net Assets/Supplemental Data: |
||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$ | 580,603 | $ | 585,701 | $ | 825,440 | $ | 771,671 | $ | 803,521 | $ | 713,258 | ||||||||||||
| Net Investment Income/(Loss)(d) |
1.35 | % | 0.82 | % | 0.71 | % | 0.86 | % | 0.96 | % | 0.93 | % | ||||||||||||
| Expenses Before Reductions(d)(e) |
0.57 | % | 0.57 | % | 0.58 | % | 0.59 | % | 0.58 | % | 0.58 | % | ||||||||||||
| Expenses Net of Reductions(d) |
0.57 | % | 0.57 | % | 0.58 | % | 0.59 | % | 0.58 | % | 0.58 | % | ||||||||||||
| Portfolio Turnover Rate(f) |
15 | % | 12 | % | 20 | % | 21 | % | 14 | % | 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) | Not annualized for periods less than one year. |
| (d) | Annualized for periods less than one year. |
| (e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
| (f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
13
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 June 30, 2023 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 $3,509 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $8,661,023 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, the monthly average notional amount for long contracts was $4.9 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.
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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* | $1,794 | 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 period ended June 30, 2023:
| Equity Risk | 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 | $(312,763) | $40,376 | |||||||
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, 2024.
For the period ended June 30, 2023, 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% | ||||||||
| * | The annual rate due to the Subadviser from the Manager is 0.015%. |
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable. During the period ended June 30, 2023, 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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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.”
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 to 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 determined pursuant to valuation procedures 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. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks+ |
$610,188,587 | $— | $— | # | $610,188,587 | |||||||||||||||||||||||||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
8,661,023 | — | — | 8,661,023 | ||||||||||||||||||||||||||||||||||||||||
| Unaffiliated Investment Company |
4,153,047 | — | — | 4,153,047 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
| Total Investment Securities |
623,002,657 | — | — | 623,002,657 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||||||||||||||||||||||||||
| Futures Contracts |
1,794 | — | — | 1,794 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
| Total Investments |
$623,004,451 | $— | $— | $623,004,451 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
| + | 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 June 30, 2023. |
| * | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
17
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2023 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 |
$76,981,821 | $115,595,067 | |||||||||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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 other party to a derivatives contract could default.
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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $514,256,269. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$180,095,649 | |||
| Unrealized (depreciation) |
(71,684,832) | |||
|
|
|
|||
| Net unrealized appreciation/(depreciation) |
$108,410,817 | |||
|
|
|
|||
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL Small Cap Stock Index Fund |
$20,947,176 | $96,103,351 | $117,050,527 | ||||||||||||
| (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, 2022, 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 |
$7,171,306 | $34,113,176 | $— | $108,410,817 | $149,695,299 | ||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
18
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 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 this shareholder could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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
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.
20
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
21
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | |||||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
AZL® T. Rowe Price Capital Appreciation Fund
Semi-Annual Report
June 30, 2023
(Unaudited)
Expense Examples and Portfolio Composition
Page 3
Schedule of Portfolio Investments
Page 4
Statement of Assets and Liabilities
Page 13
Page 13
Statements of Changes in Net Assets
Page 14
Page 15
Notes to the Financial Statements
Page 16
Page 23
Statement Regarding the Trust’s Liquidity Risk Management Program
Page 24
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
(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 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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL T. Rowe Price Capital Appreciation Fund |
$1,000.00 | $1,111.90 | $5.13 | 0.98% | ||||||||||||||||
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 1/1/23 |
Ending Account Value 6/30/23 |
Expenses Paid During Period 1/1/23 - 6/30/23* |
Annualized Expense Ratio During Period 1/1/23 - 6/30/23 | |||||||||||||||||
| AZL T. Rowe Price Capital Appreciation Fund |
$1,000.00 | $1,019.93 | $4.91 | 0.98% | ||||||||||||||||
| * | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (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 |
66.5% | |||
| Corporate Bonds |
12.3 | |||
| Bank Loans |
8.4 | |||
| U.S. Treasury Obligations |
8.1 | |||
| Unaffiliated Investment Company |
6.7 | |||
| Preferred Stocks |
0.4 | |||
| Yankee Debt Obligations |
0.2 | |||
| Short-Term Security Held as Collateral for Securities on Loan |
0.2 | |||
| Asset Backed Securities |
0.1 | |||
|
|
|
|||
| Total Investment Securities |
102.9 | |||
| Net other assets (liabilities) |
(2.9) | |||
|
|
|
|||
| Net Assets |
100.0% | |||
|
|
|
|||
3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||||||
| Common Stocks (66.5%): |
||||||||||||
| Automobile Components (0.3%): |
||||||||||||
| 87,589 | Mobileye Global, Inc., Class A*^ | $ | 3,365,169 | |||||||||
|
|
|
|||||||||||
| Banks (0.9%): |
||||||||||||
| 82,416 | PNC Financial Services Group, Inc. (The) | 10,380,295 | ||||||||||
|
|
|
|||||||||||
| Beverages (0.6%): |
||||||||||||
| 217,637 | Keurig Dr Pepper, Inc. | 6,805,509 | ||||||||||
|
|
|
|||||||||||
| Biotechnology (1.9%): |
||||||||||||
| 84,173 | AbbVie, Inc. | 11,340,628 | ||||||||||
| 29,374 | Biogen, Inc.* | 8,367,184 | ||||||||||
| 7,928 | Karuna Therapeutics, Inc.* | 1,719,187 | ||||||||||
|
|
|
|||||||||||
| 21,426,999 | ||||||||||||
|
|
|
|||||||||||
| Broadline Retail (2.8%): |
||||||||||||
| 243,507 | Amazon.com, Inc.* | 31,743,573 | ||||||||||
|
|
|
|||||||||||
| Capital Markets (3.6%): |
||||||||||||
| 3,336 | CME Group, Inc. | 618,127 | ||||||||||
| 21,900 | Goldman Sachs Group, Inc. (The) | 7,063,626 | ||||||||||
| 192,673 | Intercontinental Exchange, Inc. | 21,787,463 | ||||||||||
| 135,847 | KKR & Co., Inc., Class A | 7,607,432 | ||||||||||
| 7,983 | S&P Global, Inc. | 3,200,305 | ||||||||||
|
|
|
|||||||||||
| 40,276,953 | ||||||||||||
|
|
|
|||||||||||
| Chemicals (0.9%): |
||||||||||||
| 26,483 | Linde plc | 10,092,142 | ||||||||||
|
|
|
|||||||||||
| Commercial Services & Supplies (1.8%): |
||||||||||||
| 825,132 | Aurora Innovation, Inc.* | 2,425,888 | ||||||||||
| 9,258 | Republic Services, Inc. | 1,418,048 | ||||||||||
| 113,303 | Waste Connections, Inc. | 16,194,398 | ||||||||||
|
|
|
|||||||||||
| 20,038,334 | ||||||||||||
|
|
|
|||||||||||
| Electric Utilities (2.3%): |
||||||||||||
| 292,409 | Exelon Corp. | 11,912,742 | ||||||||||
| 222,151 | Xcel Energy, Inc. | 13,811,128 | ||||||||||
|
|
|
|||||||||||
| 25,723,870 | ||||||||||||
|
|
|
|||||||||||
| Electrical Equipment (0.3%): |
||||||||||||
| 23,255 | AMETEK, Inc. | 3,764,519 | ||||||||||
|
|
|
|||||||||||
| Electronic Equipment, Instruments & Components (1.1%): |
||||||||||||
| 24,736 | TE Connectivity, Ltd. | 3,466,998 | ||||||||||
| 22,019 | Teledyne Technologies, Inc.* | 9,052,231 | ||||||||||
|
|
|
|||||||||||
| 12,519,229 | ||||||||||||
|
|
|
|||||||||||
| Financial Services (2.3%): |
||||||||||||
| 34,200 | Mastercard, Inc., Class A | 13,450,860 | ||||||||||
| 49,100 | Visa, Inc., Class A | 11,660,268 | ||||||||||
|
|
|
|||||||||||
| 25,111,128 | ||||||||||||
|
|
|
|||||||||||
| Health Care Equipment & Supplies (4.3%): |
||||||||||||
| 114,807 | Baxter International, Inc. | 5,230,607 | ||||||||||
| 86,761 | Becton Dickinson & Co. | 22,905,772 | ||||||||||
| 43,201 | GE HealthCare Technologies, Inc. | 3,509,649 | ||||||||||
| 16,400 | Stryker Corp. | 5,003,476 | ||||||||||
| 44,759 | Teleflex, Inc. | 10,833,021 | ||||||||||
|
|
|
|||||||||||
| 47,482,525 | ||||||||||||
|
|
|
|||||||||||
| Health Care Providers & Services (2.8%): |
||||||||||||
| 642 | Humana, Inc. | 287,058 | ||||||||||
| 63,246 | UnitedHealth Group, Inc. | 30,398,557 | ||||||||||
|
|
|
|||||||||||
| 30,685,615 | ||||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure (2.7%): |
||||||||||||
| 53,185 | Hilton Worldwide Holdings, Inc. | 7,741,077 | ||||||||||
| Shares | Value | |||||||||||
| Common Stocks, continued |
||||||||||||
| Hotels, Restaurants & Leisure, continued |
||||||||||||
| 22,800 | Starbucks Corp. | $ | 2,258,568 | |||||||||
| 142,735 | Yum! Brands, Inc. | 19,775,934 | ||||||||||
|
|
|
|||||||||||
| 29,775,579 | ||||||||||||
|
|
|
|||||||||||
| Industrial Conglomerates (0.5%): |
||||||||||||
| 53,894 | General Electric Co. | 5,920,256 | ||||||||||
|
|
|
|||||||||||
| Insurance (0.8%): |
||||||||||||
| 47,290 | Marsh & McLennan Cos., Inc. | 8,894,303 | ||||||||||
|
|
|
|||||||||||
| Interactive Media & Services (3.0%): |
||||||||||||
| 228,781 | Alphabet, Inc., Class A* | 27,385,086 | ||||||||||
| 21,786 | Meta Platforms, Inc., Class A* | 6,252,146 | ||||||||||
|
|
|
|||||||||||
| 33,637,232 | ||||||||||||
|
|
|
|||||||||||
| Life Sciences Tools & Services (6.3%): |
||||||||||||
| 533,121 | Avantor, Inc.* | 10,950,305 | ||||||||||
| 101,835 | Danaher Corp. | 24,440,400 | ||||||||||
| 175,857 | Revvity, Inc. | 20,890,053 | ||||||||||
| 26,238 | Thermo Fisher Scientific, Inc. | 13,689,677 | ||||||||||
|
|
|
|||||||||||
| 69,970,435 | ||||||||||||
|
|
|
|||||||||||
| Machinery (3.7%): |
||||||||||||
| 336,616 | Fortive Corp. | 25,168,778 | ||||||||||
| 237,574 | Ingersoll Rand, Inc. | 15,527,837 | ||||||||||
|
|
|
|||||||||||
| 40,696,615 | ||||||||||||
|
|
|
|||||||||||
| Multi-Utilities (2.8%): |
||||||||||||
| 199,218 | Ameren Corp. | 16,270,134 | ||||||||||
| 156,193 | CenterPoint Energy, Inc. | 4,553,026 | ||||||||||
| 59,596 | DTE Energy Co. | 6,556,752 | ||||||||||
| 39,800 | WEC Energy Group, Inc. | 3,511,952 | ||||||||||
|
|
|
|||||||||||
| 30,891,864 | ||||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels (1.5%): |
||||||||||||
| 132,860 | Canadian Natural Resources, Ltd. | 7,474,704 | ||||||||||
| 76,300 | Chesapeake Energy Corp. | 6,384,784 | ||||||||||
| 27,653 | EOG Resources, Inc. | 3,164,609 | ||||||||||
|
|
|
|||||||||||
| 17,024,097 | ||||||||||||
|
|
|
|||||||||||
| Pharmaceuticals (0.8%): |
||||||||||||
| 18,500 | Eli Lilly & Co. | 8,676,130 | ||||||||||
|
|
|
|||||||||||
| Professional Services (1.6%): |
||||||||||||
| 41,979 | Equifax, Inc. | 9,877,659 | ||||||||||
| 103,173 | TransUnion | 8,081,541 | ||||||||||
|
|
|
|||||||||||
| 17,959,200 | ||||||||||||
|
|
|
|||||||||||
| Semiconductors & Semiconductor Equipment (4.2%): |
||||||||||||
| 30,400 | Analog Devices, Inc. | 5,922,224 | ||||||||||
| 35,800 | NVIDIA Corp. | 15,144,116 | ||||||||||
| 76,877 | NXP Semiconductors NV | 15,735,184 | ||||||||||
| 54,946 | Texas Instruments, Inc. | 9,891,379 | ||||||||||
|
|
|
|||||||||||
| 46,692,903 | ||||||||||||
|
|
|
|||||||||||
| Software (9.2%): |
||||||||||||
| 99,997 | Black Knight, Inc.* | 5,972,821 | ||||||||||
| 18,545 | Intuit, Inc. | 8,497,133 | ||||||||||
| 184,116 | Microsoft Corp. | 62,698,863 | ||||||||||
| 4,526 | PTC, Inc.* | 644,050 | ||||||||||
| 31,721 | Roper Technologies, Inc. | 15,251,457 | ||||||||||
| 44,432 | Salesforce, Inc.* | 9,386,704 | ||||||||||
|
|
|
|||||||||||
| 102,451,028 | ||||||||||||
|
|
|
|||||||||||
See accompanying notes to the financial statements.
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||||||
| Common Stocks, continued |
||||||||||||
| Technology Hardware, Storage & Peripherals (3.5%): |
||||||||||||
| 199,924 | Apple, Inc. | $ | 38,779,258 | |||||||||
|
|
|
|||||||||||
| |
Total Common
Stocks |
740,784,760 | ||||||||||
|
|
|
|||||||||||
| Preferred Stocks (0.4%): |
||||||||||||
| Capital Markets (0.0%†): |
||||||||||||
| 3,600 | Charles Schwab Corp. (The), Series D, 5.95%, 11/14/19 | 90,000 | ||||||||||
|
|
|
|||||||||||
| Electric Utilities (0.1%): |
||||||||||||
| 52,836 | SCE Trust IV, Series J, 5.38%, 12/31/49 | 1,044,040 | ||||||||||
|
|
|
|||||||||||
| Multi-Utilities (0.3%): |
||||||||||||
| 64,008 | CMS Energy Corp., 5.88%, 10/15/78 | 1,534,272 | ||||||||||
| 58,524 | CMS Energy Corp., 5.88%, 3/1/79 | 1,425,059 | ||||||||||
| 15,421 | NiSource, Inc., Series B, 6.50%, 11/21/19 | 388,455 | ||||||||||
|
|
|
|||||||||||
| 3,347,786 | ||||||||||||
|
|
|
|||||||||||
| |
Total Preferred
Stocks |
4,481,826 | ||||||||||
|
|
|
|||||||||||
| Principal Amount | ||||||||||||
| Asset Backed Securities (0.1%): |
||||||||||||
| $815,798 | Domino’s Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a) | 754,188 | ||||||||||
| 624,038 | Domino’s Pizza Master Issuer LLC, Class A2, Series 2019-1A, 3.67%, 10/25/49, Callable 10/25/26 @ 100(a) | 548,578 | ||||||||||
|
|
|
|||||||||||
| |
Total Asset Backed
Securities |
1,302,766 | ||||||||||
|
|
|
|||||||||||
| Bank Loans (10.5%): |
||||||||||||
| Airlines (0.2%): |
||||||||||||
| 1,687,846 | SkyMiles IP Ltd. Initial Term Loan, 8.89% (Term SOFR+375bps ), 10/20/27 | 1,751,528 | ||||||||||
|
|
|
|||||||||||
| Building Products (0.5%): |
||||||||||||
| 2,006,371 | Filtration Group Corporation 2021 Incremental Term Loan, 8.64% (Term SOFR+350bps ), 10/21/28 | 1,997,062 | ||||||||||
| 3,708,139 | Filtration Group Corporation 2023 Extended Dollar Term Loan, 9.45% (Term SOFR+425bps ), 10/21/28 | 3,703,504 | ||||||||||
| 354,486 | Filtration Group Corporation 2023 Extended Euro Term Loan, 7.67% (EURIBOR RFR+0bps ), 10/21/28 | 381,220 | ||||||||||
|
|
|
|||||||||||
| 6,081,786 | ||||||||||||
|
|
|
|||||||||||
| Capital Markets (0.0%†): |
||||||||||||
| 445,848 | Woof Holdings, Inc. Initial First Lien Term Loan, 8.89% (Term SOFR+375bps ), 12/21/27 | 435,816 | ||||||||||
|
|
|
|||||||||||
| Chemicals (0.7%): |
||||||||||||
| 4,331,743 | USI, Inc. 2021 New Term Loan, 8.39% (Term SOFR+325bps ), 12/2/26 | 4,325,635 | ||||||||||
| 3,875,949 | USI, Inc. 2022 New Term Loan, 8.89% (Term SOFR+375bps ), 11/22/29 | 3,866,259 | ||||||||||
|
|
|
|||||||||||
| 8,191,894 | ||||||||||||
|
|
|
|||||||||||
| Consumer Discretionary Services (0.2%): |
||||||||||||
| 2,713,900 | IRB Holding Corp. 2022 Replacement Term B Loan, 8.14% (Term SOFR+300bps ), 12/15/27 | 2,692,704 | ||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services (0.3%): |
||||||||||||
| 2,605,476 | Loire UK Midco 3 Limited Facility B, 8.14% (Term SOFR+300bps ), 4/21/27 | 2,517,542 | ||||||||||
| Principal Amount | Value | |||||||||||
| Bank Loans, continued |
||||||||||||
| Diversified Consumer Services, continued |
||||||||||||
| $504,518 | Loire UK Midco 3 Limited Facility B2, 8.64% (Term SOFR+350bps ), 4/21/27 | $ | 488,752 | |||||||||
|
|
|
|||||||||||
| 3,006,294 | ||||||||||||
|
|
|
|||||||||||
| Electric Utilities (0.6%): |
||||||||||||
| 4,555,037 | Alliant Holdings I LLC TLB-4 New Term Loan, 8.56% (LIBOR+350bps ), 11/5/27 | 4,524,108 | ||||||||||
| 1,862,466 | Alliant Holdings Intermediate, LLC TLB-5 New Term Loan, 0.00% (Term SOFR+350bps ), 11/5/27 | 1,849,280 | ||||||||||
|
|
|
|||||||||||
| 6,373,388 | ||||||||||||
|
|
|
|||||||||||
| Electrical Equipment (0.0%†): |
||||||||||||
| 217,492 | Quartz Acquireco LLC TL B 1L, 5.06% (LIBOR+0bps ), 4/13/30 | 217,220 | ||||||||||
|
|
|
|||||||||||
| Financial Services (2.3%): |
||||||||||||
| 1,486,459 | Azalea TopCo, Inc. 2021 First Lien Term Loan, 8.89% (Term SOFR+375bps ), 7/24/26 | 1,434,894 | ||||||||||
| 836,420 | Azalea TopCo, Inc. 2022 Incremental First Lien Term Loan, 8.89% (Term SOFR+375bps ), 7/24/26 | 811,327 | ||||||||||
| 4,770,078 | Azalea TopCo, Inc. Initial First Lien Term Loan, 8.64% (Term SOFR+350bps ), 7/24/26 | 4,628,168 | ||||||||||
| 1,047,985 | Hub International Limited 2022 Incremental Term Loan, 9.14% (Term SOFR+400bps ), 11/10/29 | 1,046,372 | ||||||||||
| 17,409,000 | HUB International, Limited 2023 Refinancing Term Loan, 9.33%, 6/20/30 | 17,440,510 | ||||||||||
| 724,938 | Trans Union LLC 2019 Replacement Term B-5 Loan, 6.91% (Term SOFR+175bps ), 11/16/26 | 722,321 | ||||||||||
|
|
|
|||||||||||
| 26,083,592 | ||||||||||||
|
|
|
|||||||||||
| Health Care (0.0%†): |
||||||||||||
| 115,000 | PetVet Care Centers, LLC Initial Second Lien Term Loan, 11.31% (LIBOR+625bps ), 2/13/26 | 104,650 | ||||||||||
|
|
|
|||||||||||
| Health Care Providers & Services (0.8%): |
||||||||||||
| 1,583,086 | ADMI Corp. Amendment No. 4 Refinancing Term Loan, 8.51% (Term SOFR+337.5bps ), 12/23/27 | 1,486,122 | ||||||||||
| 2,960,436 | ADMI Corp. Amendment No. 5 Incremental Term Loan, 8.89% (Term SOFR+375bps ), 12/23/27 | 2,759,363 | ||||||||||
| 715,086 | ADMI Corp. Initial Term Loan, 8.14% (Term SOFR+300bps ), 4/30/25 | 685,145 | ||||||||||
| 3,832,129 | Heartland Dental LLC 2023 New Term Loan, 10.16% (Term SOFR+500bps ), 4/28/28 | 3,691,605 | ||||||||||
|
|
|
|||||||||||
| 8,622,235 | ||||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure (0.3%): |
||||||||||||
| 216,922 | 1011778 B.C. Unlimited Liability Company Term B-4 Loan, 6.91% (LIBOR+175bps), 11/19/26 | 215,204 | ||||||||||
| 2,870,704 | Hilton Worldwide Refinanced Series B-2 Term Loan, 6.89% (Term SOFR+175bps ), 6/22/26 | 2,866,341 | ||||||||||
|
|
|
|||||||||||
| 3,081,545 | ||||||||||||
|
|
|
|||||||||||
| insurance (0.1%): |
||||||||||||
| 1,082,264 | BroadStreet Partners, Inc. Initial Term B Loan, 9.14% (Term SOFR+400bps ), 1/27/29 | 1,074,418 | ||||||||||
|
|
|
|||||||||||
| Insurance (0.5%): |
||||||||||||
| 108,270 | AssuredPartners, Inc. 2021 Term Loan, 8.72% (Term SOFR+350bps ), 2/12/27 | 107,097 | ||||||||||
| 78,106 | AssuredPartners, Inc. 2022 February Refinancing Term Loan, 8.78% (Term SOFR+350bps ), 2/12/27 | 77,390 | ||||||||||
| 212,342 | AssuredPartners, Inc. 2022 Term Loan, 8.64% (Term SOFR+350bps ), 2/12/27 | 210,219 | ||||||||||
See accompanying notes to the financial statements.
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||||||||
| Bank Loans, continued |
||||||||||||
| Insurance, continued |
||||||||||||
| $45,787 | BroadStreet Partners, Inc. Initial Term Loan, 7.89% (Term SOFR+275bps ), 1/27/27 | $ | 45,129 | |||||||||
| 3,832,506 | HIG Finance 2 Limited 2021 Dollar Refinancing Term Loan, 8.31% (LIBOR+325bps ), 11/12/27 | 3,804,835 | ||||||||||
| 1,120,466 | Ryan Specialty Group, LLC Initial Term Loan, 8.14% (Term SOFR+300bps ), 9/1/27 | 1,118,012 | ||||||||||
|
|
|
|||||||||||
| 5,362,682 | ||||||||||||
|
|
|
|||||||||||
| Life Sciences Tools & Services (0.1%): |
||||||||||||
| 1,395,182 | Avantor Funding, Inc. 2021 Incremental B-5 Dollar Term Loan, 7.39% (Term SOFR+225bps ), 11/8/27 | 1,393,634 | ||||||||||
|
|
|
|||||||||||
| Media (0.2%): |
||||||||||||
| 813,493 | Charter Communications Operating LLC Term B-2 Loan, 6.89% (Term SOFR+175bps ), 2/1/27 | 808,066 | ||||||||||
| 1,123,979 | Charter Communications Operating, LLC Term B-1 Loan, 6.89% (Term SOFR+175bps ), 4/30/25 | 1,122,698 | ||||||||||
|
|
|
|||||||||||
| 1,930,764 | ||||||||||||
|
|
|
|||||||||||
| Pharmaceuticals (0.3%): |
||||||||||||
| 2,864,688 | Sunshine Luxembourg VII S.a r.l. Facility B3, 8.89% (Term SOFR+375bps ), 10/1/26 | 2,845,723 | ||||||||||
|
|
|
|||||||||||
| Software (2.1%): |
||||||||||||
| 1,355,949 | Applied Systems, Inc. 2021 Second Lien Term Loan, 11.89% (Term SOFR+675bps ), 9/17/27 | 1,355,108 | ||||||||||
| 6,237,942 | Applied Systems, Inc. 2026 First Lien Term Loan, 9.64% (Term SOFR+450bps ), 9/18/26 | 6,243,806 | ||||||||||
| 4,334,340 | RealPage, Inc. Initial First Lien Term Loan, 8.06% (LIBOR+300bps ), 4/24/28 | 4,235,734 | ||||||||||
| 200,000 | RealPage, Inc. Initial Second Lien Loan, 11.64% (Term SOFR+650bps ), 4/23/29 | 193,166 | ||||||||||
| 513,848 | Sophia, L.P. 2022 Incremental First Lien Term B-1 Loan, 9.09% (SOFR+400bps ), 10/7/27 | 508,067 | ||||||||||
| 1,792,341 | Sophia, L.P. First Lien Term Loan B, 8.56% (LIBOR+350bps ), 10/7/27 | 1,771,066 | ||||||||||
| 8,892,777 | UKG Inc. 2021-2 Incremental First LienTerm Loan, 8.39% (Term SOFR+325bps ), 5/4/26 | 8,717,678 | ||||||||||
|
|
|
|||||||||||
| 23,024,625 | ||||||||||||
|
|
|
|||||||||||
| Software & Tech Services (0.5%): |
||||||||||||
| 554,348 | Athenahealth Group, Inc. Initial DDTL, 8.64% (Term SOFR+350bps ), 2/15/29+ | 532,867 | ||||||||||
| 4,512,481 | Athenahealth Group, Inc. Initial Term Loan, 8.64% (Term SOFR+350bps ), 2/15/29 | 4,337,623 | ||||||||||
| 642,971 | Storable, Inc. Initial First Lien Term Loan, 8.64% (Term SOFR+350bps ), 4/17/28 | 625,019 | ||||||||||
|
|
|
|||||||||||
| 5,495,509 | ||||||||||||
|
|
|
|||||||||||
| Sovereign Bond (0.4%): |
||||||||||||
| 4,312,995 | Mileage Plus Holdings LLC Initial Term Loan, 10.39% (Term SOFR+525bps ), 6/21/27 | 4,475,638 | ||||||||||
|
|
|
|||||||||||
| Specialty Retail (0.3%): |
||||||||||||
| 1,411,311 | PetVet Care Centers, LLC 2018 First Lien Term Loan, 8.31% (LIBOR+325bps ), 2/14/25 | 1,368,972 | ||||||||||
| 1,684,555 | PetVet Care Centers, LLC 2021 First Lien Replacement Term Loan, 8.56% (LIBOR+350bps ), 2/14/25 | 1,646,231 | ||||||||||
| 355,952 | PetVet Care Centers, LLC Initial First Lien Term Loan, 7.81% (LIBOR+275bps ), 2/14/25 | 343,569 | ||||||||||
|
|
|
|||||||||||
| 3,358,772 | ||||||||||||
|
|
|
|||||||||||
| Principal Amount | Value | |||||||||||
| Bank Loans, continued |
||||||||||||
| Telecommunications (0.1%): |
||||||||||||
| $1,691,107 | SBA Senior Finance II LLC Initial Term Loan, 6.81% (LIBOR+175bps ), 4/11/25 | $ | 1,690,346 | |||||||||
|
|
|
|||||||||||
| Total Bank Loans (Cost $117,602,372) | 117,294,763 | |||||||||||
|
|
|
|||||||||||
| Corporate Bonds (10.2%): |
||||||||||||
| Aerospace & Defense (0.2%): |
||||||||||||
| 76,000 | Howmet Aerospace, Inc., 5.90%, 2/1/27 | 76,475 | ||||||||||
| 570,000 | Howmet Aerospace, Inc., 3.00%, 1/15/29, Callable 11/15/28 @ 100 | 496,612 | ||||||||||
| 250,000 | TransDigm UK Holdings plc, 6.88%, 5/15/26, Callable 8/7/23 @ 101.72 | 247,500 | ||||||||||
| 904,000 | TransDigm, Inc., 6.25%, 3/15/26, Callable 8/7/23 @ 101.56(a) | 899,480 | ||||||||||
| 160,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 8/7/23 @ 100 | 157,400 | ||||||||||
| 976,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 8/7/23 @ 102.75 | 919,880 | ||||||||||
|
|
|
|||||||||||
| 2,797,347 | ||||||||||||
|
|
|
|||||||||||
| Air Freight & Logistics (0.1%): |
||||||||||||
| 1,150,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(a) | 1,115,771 | ||||||||||
|
|
|
|||||||||||
| Automobile Components (0.2%): |
||||||||||||
| 467,000 | Clarios Global LP, 6.75%, 5/15/25, Callable 8/8/23 @ 101.69(a) | 466,416 | ||||||||||
| 643,000 | Clarios Global LP/Clarios US Finance Co., 6.25%, 5/15/26, Callable 8/7/23 @ 101.56(a) | 636,570 | ||||||||||
| 1,735,000 | Clarios Global LP/Clarios US Finance Co., 8.50%, 5/15/27, Callable 8/7/23 @ 102.13(a) | 1,739,338 | ||||||||||
|
|
|
|||||||||||
| 2,842,324 | ||||||||||||
|
|
|
|||||||||||
| Building Products (0.2%): |
||||||||||||
| 1,506,898 | Filtration Group Corporation, 7.09% (Term SOFR+350bps ), 10/21/28, Callable 8/6/23 @ 100 | 1,501,247 | ||||||||||
| 280,000 | Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100 | 276,612 | ||||||||||
|
|
|
|||||||||||
| 1,777,859 | ||||||||||||
|
|
|
|||||||||||
| Capital Markets (0.4%): |
||||||||||||
| 152,000 | Intercontinental Exchange, Inc., 4.00%, 9/15/27, Callable 8/15/27 @ 100 | 147,877 | ||||||||||
| 893,000 | MSCI, Inc., 4.00%, 11/15/29, Callable 11/15/24 @ 102(a) | 802,584 | ||||||||||
| 1,543,000 | MSCI, Inc., 3.63%, 9/1/30, Callable 3/1/25 @ 101.81(a) | 1,323,122 | ||||||||||
| 1,010,000 | MSCI, Inc., 3.88%, 2/15/31, Callable 6/1/25 @ 101.94(a) | 872,388 | ||||||||||
| 932,000 | MSCI, Inc., 3.63%, 11/1/31, Callable 11/1/26 @ 101.81(a) | 787,540 | ||||||||||
| 601,000 | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(a) | 478,546 | ||||||||||
|
|
|
|||||||||||
| 4,412,057 | ||||||||||||
|
|
|
|||||||||||
| Containers & Packaging (0.1%): |
||||||||||||
| 1,225,000 | Ball Corp., 6.00%, 6/15/29, Callable 5/15/26 @ 103 | 1,212,750 | ||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services (0.0%†): |
||||||||||||
| 605,000 | Service Corp. International, 3.38%, 8/15/30, Callable 8/15/25 @ 101.69 | 503,663 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to the financial statements.
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||||||
| Corporate Bonds, continued |
| |||||||||
| Diversified REITs (0.1%): |
| |||||||||
| $1,165,000 | SBA Communications Corp., 3.13%, 2/1/29, Callable 2/1/24 @ 101.56 | $ | 987,338 | |||||||
|
|
|
|||||||||
| Electric Utilities (0.6%): |
| |||||||||
| 1,819,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 8/7/23 @ 103.38(a) | 1,709,860 | ||||||||
| 385,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | 355,162 | ||||||||
| 3,812,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 4/15/28, Callable 4/15/25 @ 103.38(a) | 3,750,055 | ||||||||
| 626,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94(a) | 550,098 | ||||||||
|
|
|
|||||||||
| 6,365,175 | ||||||||||
|
|
|
|||||||||
| Electrical Equipment (0.2%): |
| |||||||||
| 1,006,000 | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(a) | 892,825 | ||||||||
| 403,000 | Sensata Technologies BV, 5.88%, 9/1/30, Callable 9/1/25 @ 102.94(a) | 388,895 | ||||||||
| 290,000 | Sensata Technologies, Inc., 4.38%, 2/15/30, Callable 11/15/29 @ 100(a) | 257,375 | ||||||||
| 743,000 | Sensata Technologies, Inc., 3.75%, 2/15/31, Callable 2/15/26 @ 101.88(a) | 629,692 | ||||||||
|
|
|
|||||||||
| 2,168,787 | ||||||||||
|
|
|
|||||||||
| Entertainment (0.0%†): |
| |||||||||
| 100,000 | Live Nation Entertainment, Inc., 4.88%, 11/1/24, Callable 8/7/23 @ 100(a) | 98,500 | ||||||||
|
|
|
|||||||||
| Financial Services (1.2%): |
| |||||||||
| 510,000 | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(a) | 459,638 | ||||||||
| 876,000 | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(a) | 785,115 | ||||||||
| 11,629,000 | HUB International, Ltd., 7.25%, 6/15/30, Callable 6/15/26 @ 103.63(a) | 11,992,406 | ||||||||
|
|
|
|||||||||
| 13,237,159 | ||||||||||
|
|
|
|||||||||
| Health Care Equipment & Supplies (0.1%): |
| |||||||||
| 574,000 | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(a) | 499,380 | ||||||||
| 745,000 | Teleflex, Inc., 4.63%, 11/15/27, Callable 7/24/23 @ 102.31 | 702,163 | ||||||||
| 130,000 | Teleflex, Inc., 4.25%, 6/1/28, Callable 8/7/23 @ 102.13(a) | 118,950 | ||||||||
|
|
|
|||||||||
| 1,320,493 | ||||||||||
|
|
|
|||||||||
| Health Care Providers & Services (0.5%): |
| |||||||||
| 1,775,000 | Hadrian Merger Sub, Inc., 8.50%, 5/1/26, Callable 8/7/23 @ 100(a) | 1,606,375 | ||||||||
| 1,068,000 | Heartland Dental LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28, Callable 5/15/25 @ 105.25(a) | 1,059,990 | ||||||||
| 1,419,000 | IQVIA, Inc., 5.70%, 5/15/28, Callable 4/15/28 @ 100(a) | 1,404,810 | ||||||||
| 355,000 | IQVIA, Inc., 6.50%, 5/15/30, Callable 5/15/26 @ 103.25(a) | 358,994 | ||||||||
| Principal Amount | Value | |||||||||||
| Corporate Bonds, continued |
||||||||||||
| Health Care Providers & Services, continued |
||||||||||||
| $714,000 | Surgery Center Holdings, Inc., 10.00%, 4/15/27, Callable 8/7/23 @ 102.5(a) | $ | 730,065 | |||||||||
|
|
|
|||||||||||
| 5,160,234 | ||||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure (2.6%): |
||||||||||||
| 1,838,000 | Cedar Fair LP, 5.25%, 7/15/29, Callable 7/15/24 @ 102.63 | 1,672,580 | ||||||||||
| 1,301,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 5/1/25, Callable 8/7/23 @ 101.38(a) | 1,289,616 | ||||||||||
| 2,088,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.38%, 4/15/27, Callable 8/7/23 @ 101.79 | 1,978,380 | ||||||||||
| 1,584,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 6.50%, 10/1/28, Callable 10/1/23 @ 103.25 | 1,544,400 | ||||||||||
| 1,113,000 | Hilton Domestic Operatin, 5.75%, 5/1/28, Callable 8/7/23 @ 102.88(a) | 1,093,523 | ||||||||||
| 501,000 | Hilton Domestic Operating Co., Inc., 5.38%, 5/1/25, Callable 7/18/23 @ 101.34(a) | 494,738 | ||||||||||
| 954,000 | Hilton Domestic Operating Co., Inc., 3.75%, 5/1/29, Callable 5/1/24 @ 101.88(a) | 843,098 | ||||||||||
| 750,000 | Hilton Domestic Operating Co., Inc., 4.88%, 1/15/30, Callable 1/15/25 @ 102.44 | 696,562 | ||||||||||
| 1,129,000 | Hilton Domestic Operating Co., Inc., 4.00%, 5/1/31, Callable 5/1/26 @ 102(a) | 977,996 | ||||||||||
| 1,205,000 | Hilton Domestic Operating Co., Inc., 3.63%, 2/15/32, Callable 8/15/26 @ 101.81(a) | 1,004,669 | ||||||||||
| 349,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 4/1/27, Callable 7/24/23 @ 101.22 | 338,966 | ||||||||||
| 3,236,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/1/27, Callable 8/7/23 @ 101.58(a) | 3,118,695 | ||||||||||
| 1,273,000 | Life Time, Inc., 5.75%, 1/15/26, Callable 8/7/23 @ 102.88(a) | 1,237,993 | ||||||||||
| 2,690,000 | Six Flags Entertainment Corp., 5.50%, 4/15/27, Callable 8/7/23 @ 101.83(a) | 2,542,050 | ||||||||||
| 737,000 | Six Flags Theme Parks, Inc., 7.00%, 7/1/25, Callable 8/7/23 @ 101.75(a) | 742,527 | ||||||||||
| 383,000 | Vail Resorts, Inc., 6.25%, 5/15/25, Callable 8/7/23 @ 101.56(a) | 382,042 | ||||||||||
| 989,000 | Yum! Brands, Inc., 4.75%, 1/15/30, Callable 10/15/29 @ 100(a) | 923,479 | ||||||||||
| 933,000 | Yum! Brands, Inc., 3.63%, 3/15/31, Callable 12/15/30 @ 100^ | 804,712 | ||||||||||
| 2,045,000 | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | 1,845,613 | ||||||||||
| 2,237,000 | Yum! Brands, Inc., 5.38%, 4/1/32, Callable 4/1/27 @ 102.69 | 2,116,761 | ||||||||||
| 1,120,000 | Yum! Brands, Inc., 6.88%, 11/15/37 | 1,187,200 | ||||||||||
| 2,100,000 | Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100 | 1,837,500 | ||||||||||
|
|
|
|||||||||||
| 28,673,100 | ||||||||||||
|
|
|
|||||||||||
| Industrial Conglomerates (0.2%): |
||||||||||||
| 2,789,000 | General Electric Co., Series D, 8.88% (US0003M+333 bps), Callable 9/15/23 @ 100 | 2,802,762 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to the financial statements.
7
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Principal Amount | Value | |||||||||||
| Corporate Bonds, continued |
||||||||||||
| Insurance (1.0%): |
||||||||||||
| $701,000 | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(a) | $ | 609,870 | |||||||||
| 7,599,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 7/18/23 @ 100(a) | 7,561,005 | ||||||||||
| 80,000 | Ryan Specialty Group LLC, 4.38%, 2/1/30, Callable 2/1/25 @ 102.19(a) | 70,500 | ||||||||||
| 2,713,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/7/23 @ 100(a) | 2,692,652 | ||||||||||
|
|
|
|||||||||||
| 10,934,027 | ||||||||||||
|
|
|
|||||||||||
| IT Services (0.2%): |
||||||||||||
| 616,000 | Booz Allen Hamilton, Inc., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | 555,940 | ||||||||||
| 379,000 | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(a) | 337,784 | ||||||||||
| 247,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 8/7/23 @ 102.25(a) | 230,327 | ||||||||||
| 724,000 | Gartner, Inc., 3.63%, 6/15/29, Callable 6/15/24 @ 101.81(a) | 635,310 | ||||||||||
| 341,000 | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | 296,670 | ||||||||||
|
|
|
|||||||||||
| 2,056,031 | ||||||||||||
|
|
|
|||||||||||
| Leisure Products (0.1%): |
||||||||||||
| 178,000 | Mattel, Inc., 3.38%, 4/1/26, Callable 7/18/23 @ 101.69(a) | 163,315 | ||||||||||
| 136,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 8/7/23 @ 104.41(a) | 133,110 | ||||||||||
| 379,000 | Mattel, Inc., 3.75%, 4/1/29, Callable 4/1/24 @ 101.88(a) | 332,099 | ||||||||||
|
|
|
|||||||||||
| 628,524 | ||||||||||||
|
|
|
|||||||||||
| Life Sciences Tools & Services (0.6%): |
||||||||||||
| 2,585,000 | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 8/7/23 @ 102.31(a) | 2,394,356 | ||||||||||
| 2,321,000 | Avantor Funding, Inc., 3.88%, 11/1/29, Callable 11/1/24 @ 101.94(a) | 2,027,974 | ||||||||||
| 283,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 7/24/23 @ 102.13(a) | 258,238 | ||||||||||
| 1,080,000 | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(a) | 946,350 | ||||||||||
| 714,000 | Charles River Laboratories International, Inc., 4.00%, 3/15/31, Callable 3/15/26 @ 102(a) | 617,610 | ||||||||||
| 350,000 | IQVIA, Inc., 5.00%, 5/15/27, Callable 8/7/23 @ 101.25(a) | 337,312 | ||||||||||
| 211,000 | PRA Health Sciences, Inc., 2.88%, 7/15/26, Callable 8/7/23 @ 101.44(a) | 191,746 | ||||||||||
|
|
|
|||||||||||
| 6,773,586 | ||||||||||||
|
|
|
|||||||||||
| Media (1.2%): |
||||||||||||
| 350,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.50%, 5/1/26, Callable 8/7/23 @ 100.92(a) | 341,250 | ||||||||||
| 7,100,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 5/1/27, Callable 8/7/23 @ 101.71(a) | 6,611,875 | ||||||||||
| 5,511,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28, Callable 7/24/23 @ 102.5(a) | 5,021,899 | ||||||||||
| 754,000 | Lamar Media Corp., 3.75%, 2/15/28, Callable 7/24/23 @ 101.88 | 686,140 | ||||||||||
| 124,000 | Lamar Media Corp., 4.88%, 1/15/29, Callable 1/15/24 @ 102.44 | 115,475 | ||||||||||
| Principal Amount | Value | |||||||||||
| Corporate Bonds, continued |
||||||||||||
| Media, continued |
||||||||||||
| $120,000 | Lamar Media Corp., 3.63%, 1/15/31, Callable 1/15/26 @ 101.81 | $ | 101,100 | |||||||||
|
|
|
|||||||||||
| 12,877,739 | ||||||||||||
|
|
|
|||||||||||
| Passenger Airlines (0.1%): |
||||||||||||
| 1,186,934 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27, Callable 8/7/23 @ 103.25(a) | 1,189,902 | ||||||||||
|
|
|
|||||||||||
| Professional Services (0.1%): |
||||||||||||
| 228,000 | Black Knight InfoServ LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a) | 204,060 | ||||||||||
| 457,000 | Korn Ferry, 4.63%, 12/15/27, Callable 8/7/23 @ 102.31(a) | 428,437 | ||||||||||
|
|
|
|||||||||||
| 632,497 | ||||||||||||
|
|
|
|||||||||||
| |
Semiconductors & Semiconductor |
|||||||||||
| 430,000 | Entegris Escrow Corp., 4.75%, 4/15/29, Callable 1/15/29 @ 100(a) | 396,675 | ||||||||||
|
|
|
|||||||||||
| Software (0.1%): |
||||||||||||
| 306,000 | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(a) | 270,045 | ||||||||||
| 220,000 | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44(a) | 194,425 | ||||||||||
| 60,000 | Crowdstrike Holdings, Inc., 3.00%, 2/15/29, Callable 2/15/24 @ 101.5^ | 51,750 | ||||||||||
| 150,000 | PTC, Inc., 4.00%, 2/15/28, Callable 8/7/23 @ 102(a) | 138,375 | ||||||||||
|
|
|
|||||||||||
| 654,595 | ||||||||||||
|
|
|
|||||||||||
| Specialized REITs (0.1%): |
||||||||||||
| 1,357,000 | SBA Communications Corp., 3.88%, 2/15/27, Callable 7/18/23 @ 101.94 | 1,245,047 | ||||||||||
| 63,000 | SBA Tower Trust, 6.60%, 1/15/28, Callable 1/15/27 @ 100(a) | 63,975 | ||||||||||
|
|
|
|||||||||||
| 1,309,022 | ||||||||||||
|
|
|
|||||||||||
| |
Total Corporate Bonds (Cost $115,593,207) |
112,927,917 | ||||||||||
|
|
|
|||||||||||
| Yankee Debt Obligations (0.2%): |
||||||||||||
| Commercial Services & Supplies (0.1%): |
||||||||||||
| 478,000 | GFL Environmental, Inc., 4.00%, 8/1/28, Callable 8/1/23 @ 102(a) | 425,420 | ||||||||||
| 1,113,000 | GFL Environmental, Inc., 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(a) | 1,015,612 | ||||||||||
| 448,000 | GFL Environmental, Inc., 4.38%, 8/15/29, Callable 8/15/24 @ 102.19(a) | 398,720 | ||||||||||
|
|
|
|||||||||||
| 1,839,752 | ||||||||||||
|
|
|
|||||||||||
| Electrical Equipment (0.1%): |
||||||||||||
| 260,000 | Sensata Technologies BV, 5.63%, 11/1/24(a) | 258,050 | ||||||||||
| 565,000 | Sensata Technologies BV, 5.00%, 10/1/25(a) | 550,169 | ||||||||||
|
|
|
|||||||||||
| 808,219 | ||||||||||||
|
|
|
|||||||||||
| |
Total Yankee Debt Obligations (Cost $2,661,877) |
2,647,971 | ||||||||||
|
|
|
|||||||||||
| U.S. Treasury Obligations (8.1%): |
||||||||||||
| U.S. Treasury Notes (8.1%): |
||||||||||||
| 8,123,100 | 2.75%, 8/15/32 | 7,442,790 | ||||||||||
| 37,122,600 | 4.13%, 11/15/32 | 37,911,455 | ||||||||||
| 46,211,300 | 3.50%, 2/15/33 | 44,991,033 | ||||||||||
|
|
|
|||||||||||
| 90,345,278 | ||||||||||||
|
|
|
|||||||||||
| |
Total U.S. Treasury Obligations (Cost $92,585,055) |
90,345,278 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Shares | Value | |||||||||||
| Short-Term Security Held as Collateral for Securities on Loan (0.2%): |
||||||||||||
| $2,008,010 | BlackRock Liquidity FedFund, Institutional Class, 3.57%(b)(c) | $ | 2,008,010 | |||||||||
|
|
|
|||||||||||
| |
Total Short-Term Security Held as Collateral for Securities on Loan (Cost $2,008,010) |
2,008,010 | ||||||||||
|
|
|
|||||||||||
| Unaffiliated Investment Company (6.7%): |
||||||||||||
| Money Markets (6.7%): |
||||||||||||
| 74,164,494 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 4.96%(c) | 74,164,494 | ||||||||||
|
|
|
|||||||||||
| |
Total Unaffiliated Investment Company (Cost $74,164,494) |
74,164,494 | ||||||||||
|
|
|
|||||||||||
| Shares | Value | |||||||
| Unaffiliated Investment Company, continued | ||||||||
| Money Markets, continued | ||||||||
| Total Investment Securities (Cost $1,026,701,883) — 102.9% |
$ | 1,145,957,785 | ||||||
| Net other assets (liabilities) — (2.9)% |
(32,729,672 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 1,113,228,113 | ||||||
|
|
|
|||||||
| LIBOR | - London Interbank Offered Rate | |
| SOFR | - Secured Overnight Financing Rate | |
| US0003M | - 3 Month US Dollar LIBOR |
Percentages indicated are based on net assets as of June 30, 2023.
| * | Non-income producing security. |
| ^ | This security or a partial position of this security was on loan as of June 30, 2023. The total value of securities on loan as of June 30, 2023 was $2,002,940. |
| † | Represents less than 0.05%. |
| + | This security, in part or entirely, represents an unfunded loan commitment. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. |
| (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 June 30, 2023. |
| (c) | The rate represents the effective yield at June 30, 2023. |
Options Contracts
At June 30, 2023, the Fund’s over-the-counter options written were as follows:
| Description | Counterparty | Put/Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) |
Fair Value | |||||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 145.00 USD | 1/19/24 | 7 | $ | 1,015 | $ | (2,661 | ) | ||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 150.00 USD | 1/19/24 | 7 | 1,050 | (1,764 | ) | ||||||||||||||
| Abbvie, Inc. |
Citigroup | Call | 155.00 USD | 1/19/24 | 94 | 14,570 | (15,799 | ) | ||||||||||||||
| Abbvie, Inc. |
Citigroup | Call | 160.00 USD | 1/19/24 | 94 | 15,040 | (10,577 | ) | ||||||||||||||
| Abbvie, Inc. |
Citigroup | Call | 170.00 USD | 1/19/24 | 120 | 20,400 | (6,060 | ) | ||||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 175.00 USD | 1/19/24 | 59 | 10,325 | (1,998 | ) | ||||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 180.00 USD | 1/19/24 | 90 | 16,200 | (2,046 | ) | ||||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 185.00 USD | 1/19/24 | 31 | 5,735 | (472 | ) | ||||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 195.00 USD | 1/19/24 | 31 | 6,045 | (212 | ) | ||||||||||||||
| Abbvie, Inc. |
JPMorgan Chase | Call | 200.00 USD | 1/19/24 | 31 | 6,200 | (143 | ) | ||||||||||||||
| Alphabet, Inc. |
Citigroup | Call | 102.50 USD | 1/19/24 | 78 | 7,995 | (181,413 | ) | ||||||||||||||
| Alphabet, Inc. |
Wells Fargo | Call | 120.00 USD | 1/19/24 | 276 | 33,120 | (310,746 | ) | ||||||||||||||
| Alphabet, Inc. |
Citigroup | Call | 142.00 USD | 1/19/24 | 142 | 20,164 | (43,024 | ) | ||||||||||||||
| Amazon Com, Inc. |
Wells Fargo | Call | 132.50 USD | 1/19/24 | 212 | 28,090 | (275,721 | ) | ||||||||||||||
| Amazon.com, Inc. |
Wells Fargo | Call | 107.50 USD | 1/19/24 | 91 | 9,783 | (269,313 | ) | ||||||||||||||
| Amazon.com, Inc. |
Wells Fargo | Call | 110.00 USD | 1/19/24 | 181 | 19,910 | (500,275 | ) | ||||||||||||||
| Amazon.com, Inc. |
Wells Fargo | Call | 115.00 USD | 1/19/24 | 351 | 40,365 | (838,933 | ) | ||||||||||||||
| Amazon.com, Inc. |
Wells Fargo | Call | 120.00 USD | 1/19/24 | 91 | 10,920 | (185,749 | ) | ||||||||||||||
| Amazon.com, Inc. |
Wells Fargo | Call | 135.00 USD | 1/19/24 | 152 | 20,520 | (178,862 | ) | ||||||||||||||
| Analog Devices, Inc. |
UBS | Call | 200.00 USD | 1/19/24 | 37 | 7,400 | (51,350 | ) | ||||||||||||||
| Analog Devices, Inc. |
UBS | Call | 210.00 USD | 1/19/24 | 7 | 1,470 | (6,586 | ) | ||||||||||||||
| Analog Devices, Inc. |
UBS | Call | 210.00 USD | 6/21/24 | 7 | 1,470 | (11,070 | ) | ||||||||||||||
| Analog Devices, Inc. |
UBS | Call | 220.00 USD | 6/21/24 | 7 | 1,540 | (8,379 | ) | ||||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 145.00 USD | 1/19/24 | 76 | 11,020 | (409,603 | ) | ||||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 150.00 USD | 1/19/24 | 151 | 22,650 | (745,064 | ) | ||||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 155.00 USD | 1/19/24 | 151 | 23,405 | (677,648 | ) | ||||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 180.00 USD | 1/19/24 | 219 | 39,420 | (536,407 | ) | ||||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 195.00 USD | 1/19/24 | 85 | 16,575 | (122,464 | ) | ||||||||||||||
See accompanying notes to the financial statements.
9
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Description | Counterparty | Put/Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) |
Fair Value | |||||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 200.00 USD | 1/19/24 | 71 | $ | 14,200 | $ | (81,941 | ) | ||||||||||||
| Apple, Inc. |
JPMorgan Chase | Call | 205.00 USD | 1/19/24 | 14 | 2,870 | (12,615 | ) | ||||||||||||||
| Baxter International, Inc. |
Citigroup | Call | 50.00 USD | 1/19/24 | 70 | 3,500 | (14,512 | ) | ||||||||||||||
| Becton Dickinson And Co. |
Goldman Sachs | Call | 270.00 USD | 1/19/24 | 46 | 12,420 | (60,371 | ) | ||||||||||||||
| Becton Dickinson And Co. |
Goldman Sachs | Call | 280.00 USD | 1/19/24 | 45 | 12,600 | (36,334 | ) | ||||||||||||||
| Becton Dickinson And Co. |
Goldman Sachs | Call | 290.00 USD | 1/19/24 | 31 | 8,990 | (14,350 | ) | ||||||||||||||
| Becton Dickinson And Co. |
Goldman Sachs | Call | 300.00 USD | 1/19/24 | 31 | 9,300 | (8,210 | ) | ||||||||||||||
| CME Group, Inc. |
Wells Fargo | Call | 190.00 USD | 1/19/24 | 11 | 2,090 | (8,862 | ) | ||||||||||||||
| CME Group, Inc. |
Wells Fargo | Call | 200.00 USD | 1/19/24 | 11 | 2,200 | (4,740 | ) | ||||||||||||||
| CME Group, Inc. |
Wells Fargo | Call | 210.00 USD | 1/19/24 | 11 | 2,310 | (2,519 | ) | ||||||||||||||
| Danaher Corp. |
JPMorgan Chase | Call | 290.00 USD | 1/19/24 | 76 | 22,040 | (21,771 | ) | ||||||||||||||
| Danaher Corp. |
JPMorgan Chase | Call | 300.00 USD | 1/19/24 | 16 | 4,800 | (3,015 | ) | ||||||||||||||
| Danaher Corp. |
JPMorgan Chase | Call | 310.00 USD | 1/19/24 | 16 | 4,960 | (1,988 | ) | ||||||||||||||
| Danaher Corp. |
JPMorgan Chase | Call | 320.00 USD | 1/19/24 | 16 | 5,120 | (1,312 | ) | ||||||||||||||
| Equifax, Inc. |
Citigroup | Call | 220.00 USD | 12/15/23 | 71 | 15,620 | (203,901 | ) | ||||||||||||||
| Equifax, Inc. |
Citigroup | Call | 230.00 USD | 12/15/23 | 27 | 6,210 | (59,943 | ) | ||||||||||||||
| Equifax, Inc. |
Citigroup | Call | 240.00 USD | 12/15/23 | 88 | 21,120 | (145,066 | ) | ||||||||||||||
| Equifax, Inc. |
Citigroup | Call | 230.00 USD | 1/19/24 | 8 | 1,840 | (19,331 | ) | ||||||||||||||
| Equifax, Inc. |
Citigroup | Call | 240.00 USD | 1/19/24 | 8 | 1,920 | (14,744 | ) | ||||||||||||||
| Exelon Corp. |
JPMorgan Chase | Call | 45.00 USD | 1/19/24 | 428 | 19,260 | (33,492 | ) | ||||||||||||||
| Exelon Corp. |
JPMorgan Chase | Call | 47.00 USD | 1/19/24 | 102 | 4,794 | (4,556 | ) | ||||||||||||||
| Exelon Corp. |
JPMorgan Chase | Call | 50.00 USD | 1/19/24 | 117 | 5,850 | (2,273 | ) | ||||||||||||||
| Exelon Corp. |
JPMorgan Chase | Call | 47.00 USD | 6/21/24 | 14 | 658 | (1,621 | ) | ||||||||||||||
| Fortive Corp. |
Citigroup | Call | 75.00 USD | 12/15/23 | 14 | 1,050 | (6,971 | ) | ||||||||||||||
| Fortive Corp. |
Citigroup | Call | 80.00 USD | 12/15/23 | 14 | 1,120 | (3,534 | ) | ||||||||||||||
| GE Healthcare Technology |
Wells Fargo | Call | 85.00 USD | 1/19/24 | 28 | 2,380 | (15,654 | ) | ||||||||||||||
| GE Healthcare Technology |
Wells Fargo | Call | 90.00 USD | 1/19/24 | 85 | 7,650 | (29,691 | ) | ||||||||||||||
| General Electric Co. |
Wells Fargo | Call | 90.00 USD | 1/19/24 | 102 | 9,180 | (248,065 | ) | ||||||||||||||
| General Electric Co. |
Wells Fargo | Call | 95.00 USD | 1/19/24 | 102 | 9,690 | (207,546 | ) | ||||||||||||||
| General Electric Co. |
Wells Fargo | Call | 110.00 USD | 1/19/24 | 167 | 18,370 | (169,670 | ) | ||||||||||||||
| General Electric Co. |
Wells Fargo | Call | 115.00 USD | 1/19/24 | 167 | 19,205 | (124,831 | ) | ||||||||||||||
| Hilton Worldwide Holdings |
Wells Fargo | Call | 140.00 USD | 1/19/24 | 16 | 2,240 | (25,213 | ) | ||||||||||||||
| Hilton Worldwide Holdings |
Wells Fargo | Call | 145.00 USD | 1/19/24 | 87 | 12,615 | (109,692 | ) | ||||||||||||||
| Hilton Worldwide Holdings |
Wells Fargo | Call | 150.00 USD | 1/19/24 | 88 | 13,200 | (86,123 | ) | ||||||||||||||
| Hilton Worldwide Holdings |
Wells Fargo | Call | 155.00 USD | 1/19/24 | 45 | 6,975 | (33,121 | ) | ||||||||||||||
| Hilton Worldwide Holdings |
Wells Fargo | Call | 160.00 USD | 1/19/24 | 29 | 4,640 | (15,628 | ) | ||||||||||||||
| Ingersoll Rand, Inc. |
Goldman Sachs | Call | 60.00 USD | 12/15/23 | 61 | 3,660 | (54,927 | ) | ||||||||||||||
| Ingersoll Rand, Inc. |
Goldman Sachs | Call | 75.00 USD | 12/15/23 | 70 | 5,250 | (12,021 | ) | ||||||||||||||
| Intercontinental Exchange, Inc. |
Citigroup | Call | 110.00 USD | 1/19/24 | 148 | 16,280 | (139,498 | ) | ||||||||||||||
| Intercontinental Exchange, Inc. |
Citigroup | Call | 115.00 USD | 1/19/24 | 88 | 10,120 | (54,935 | ) | ||||||||||||||
| Intercontinental Exchange, Inc. |
Citigroup | Call | 120.00 USD | 1/19/24 | 15 | 1,800 | (5,602 | ) | ||||||||||||||
| Intuit, Inc. |
UBS | Call | 480.00 USD | 1/19/24 | 16 | 7,680 | (57,019 | ) | ||||||||||||||
| Keurig Dr Pepper, Inc. |
Citigroup | Call | 37.00 USD | 1/19/24 | 80 | 2,960 | (1,121 | ) | ||||||||||||||
| Keurig Dr Pepper, Inc. |
Citigroup | Call | 40.00 USD | 1/19/24 | 79 | 3,160 | (252 | ) | ||||||||||||||
| KKR Co., Inc. |
UBS | Call | 55.00 USD | 1/19/24 | 147 | 8,085 | (87,516 | ) | ||||||||||||||
| Linde plc |
Wells Fargo | Call | 395.00 USD | 1/19/24 | 8 | 3,160 | (14,224 | ) | ||||||||||||||
| Linde plc |
Wells Fargo | Call | 410.00 USD | 1/19/24 | 8 | 3,280 | (8,852 | ) | ||||||||||||||
| Marsh McLennan Cos. |
Goldman Sachs | Call | 185.00 USD | 7/21/23 | 47 | 8,695 | (23,076 | ) | ||||||||||||||
| Marsh McLennan Cos. |
Goldman Sachs | Call | 190.00 USD | 7/21/23 | 47 | 8,930 | (9,495 | ) | ||||||||||||||
| Marsh McLennan Cos. |
Goldman Sachs | Call | 195.00 USD | 7/21/23 | 47 | 9,165 | (3,335 | ) | ||||||||||||||
| Marsh McLennan Cos. |
Goldman Sachs | Call | 200.00 USD | 7/21/23 | 47 | 9,400 | (1,169 | ) | ||||||||||||||
| Marsh McLennan Cos. |
Goldman Sachs | Call | 180.00 USD | 1/19/24 | 59 | 10,620 | (100,794 | ) | ||||||||||||||
| Marsh McLennan Cos., Inc. |
Goldman Sachs | Call | 190.00 USD | 1/19/24 | 66 | 12,540 | (66,376 | ) | ||||||||||||||
| Marsh McLennan Cos., Inc. |
Goldman Sachs | Call | 200.00 USD | 1/19/24 | 8 | 1,600 | (3,810 | ) | ||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 380.00 USD | 1/19/24 | 31 | 11,780 | (117,162 | ) | ||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 400.00 USD | 1/19/24 | 82 | 32,800 | (207,083 | ) | ||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 405.00 USD | 1/19/24 | 8 | 3,240 | (17,968 | ) | ||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 410.00 USD | 1/19/24 | 44 | 18,040 | (87,259 | ) | ||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 420.00 USD | 1/19/24 | 38 | 15,960 | (57,517 | ) | ||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 425.00 USD | 1/19/24 | 8 | 3,400 | (10,477 | ) | ||||||||||||||
See accompanying notes to the financial statements.
10
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Description | Counterparty | Put/Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) |
Fair Value | |||||||||||||||
| Mastercard, Inc. |
Goldman Sachs | Call | 430.00 USD | 1/19/24 | 31 | $ | 13,330 | $ | (34,955 | ) | ||||||||||||
| Meta Plateform, Inc. |
Barclays Bank | Call | 290.00 USD | 1/19/24 | 71 | 20,590 | (245,299 | ) | ||||||||||||||
| Microsoft Corp. |
UBS | Call | 275.00 USD | 1/19/24 | 53 | 14,575 | (407,950 | ) | ||||||||||||||
| Microsoft Corp. |
UBS | Call | 290.00 USD | 1/19/24 | 53 | 15,370 | (342,411 | ) | ||||||||||||||
| Microsoft Corp. |
JPMorgan Chase | Call | 300.00 USD | 1/19/24 | 223 | 66,900 | (1,266,316 | ) | ||||||||||||||
| Microsoft Corp. |
UBS | Call | 300.00 USD | 1/19/24 | 53 | 15,900 | (300,963 | ) | ||||||||||||||
| Microsoft Corp. |
UBS | Call | 360.00 USD | 1/19/24 | 29 | 10,440 | (56,667 | ) | ||||||||||||||
| Microsoft Corp. |
UBS | Call | 375.00 USD | 1/19/24 | 29 | 10,875 | (39,913 | ) | ||||||||||||||
| New Linde plc |
Wells Fargo | Call | 390.00 USD | 1/19/24 | 30 | 11,700 | (61,367 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 170.00 USD | 1/19/24 | 47 | 7,990 | (205,121 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 180.00 USD | 1/19/24 | 93 | 16,740 | (337,497 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 185.00 USD | 1/19/24 | 93 | 17,205 | (305,413 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 190.00 USD | 1/19/24 | 59 | 11,210 | (174,359 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 195.00 USD | 1/19/24 | 93 | 18,135 | (245,831 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 200.00 USD | 1/19/24 | 59 | 11,800 | (138,601 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 210.00 USD | 1/19/24 | 14 | 2,940 | (25,475 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 220.00 USD | 1/19/24 | 14 | 3,080 | (19,265 | ) | ||||||||||||||
| NXP Semiconductors NV |
Wells Fargo | Call | 220.00 USD | 6/21/24 | 11 | 2,420 | (24,326 | ) | ||||||||||||||
| PerkinElmer, Inc. |
Citigroup | Call | 155.00 USD | 9/15/23 | 39 | 6,045 | (1,833 | ) | ||||||||||||||
| PerkinElmer, Inc. |
Citigroup | Call | 165.00 USD | 9/15/23 | 39 | 6,435 | (1,218 | ) | ||||||||||||||
| PerkinElmer, Inc. |
Citigroup | Call | 170.00 USD | 9/15/23 | 39 | 6,630 | (1,030 | ) | ||||||||||||||
| PerkinElmer, Inc. |
Citigroup | Call | 175.00 USD | 9/15/23 | 39 | 6,825 | (885 | ) | ||||||||||||||
| PNC Financial Services Group, Inc. (The) |
JPMorgan Chase | Call | 170.00 USD | 1/19/24 | 36 | 6,120 | (2,740 | ) | ||||||||||||||
| PNC Financial Services Group, Inc. (The) |
JPMorgan Chase | Call | 175.00 USD | 1/19/24 | 59 | 10,325 | (3,376 | ) | ||||||||||||||
| PNC Financial Services Group, Inc. (The) |
JPMorgan Chase | Call | 185.00 USD | 1/19/24 | 24 | 4,440 | (784 | ) | ||||||||||||||
| PNC Financial Services Group, Inc. (The) |
JPMorgan Chase | Call | 190.00 USD | 1/19/24 | 24 | 4,560 | (595 | ) | ||||||||||||||
| PNC Financial Services Group, Inc. (The) |
JPMorgan Chase | Call | 200.00 USD | 1/19/24 | 24 | 4,800 | (338 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 470.00 USD | 8/18/23 | 30 | 14,100 | (57,009 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 480.00 USD | 8/18/23 | 8 | 3,840 | (10,173 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 500.00 USD | 8/18/23 | 8 | 4,000 | (3,385 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 520.00 USD | 8/18/23 | 8 | 4,160 | (817 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 540.00 USD | 8/18/23 | 8 | 4,320 | (171 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 490.00 USD | 2/19/24 | 7 | 3,430 | (20,634 | ) | ||||||||||||||
| Roper Technologies, Inc. |
Citigroup | Call | 510.00 USD | 2/19/24 | 7 | 3,570 | (13,665 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 370.00 USD | 1/19/24 | 11 | 4,070 | (54,272 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 390.00 USD | 1/19/24 | 11 | 4,290 | (38,635 | ) | ||||||||||||||
| S&P Global, Inc. |
UBS | Call | 400.00 USD | 1/19/24 | 8 | 3,200 | (22,989 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 400.00 USD | 1/19/24 | 11 | 4,400 | (31,610 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 410.00 USD | 1/19/24 | 5 | 2,050 | (11,464 | ) | ||||||||||||||
| S&P Global, Inc. |
UBS | Call | 410.00 USD | 1/19/24 | 7 | 2,870 | (16,049 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 420.00 USD | 1/19/24 | 11 | 4,620 | (19,595 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 430.00 USD | 1/19/24 | 5 | 2,150 | (6,751 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 450.00 USD | 1/19/24 | 5 | 2,250 | (3,707 | ) | ||||||||||||||
| S&P Global, Inc. |
Bank of America | Call | 470.00 USD | 1/19/24 | 5 | 2,350 | (2,015 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 160.00 USD | 1/19/24 | 39 | 6,240 | (229,424 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 165.00 USD | 1/19/24 | 77 | 12,705 | (420,458 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 170.00 USD | 1/19/24 | 38 | 6,460 | (191,884 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 230.00 USD | 1/19/24 | 22 | 5,060 | (29,539 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 240.00 USD | 1/19/24 | 22 | 5,280 | (22,138 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 230.00 USD | 6/21/24 | 7 | 1,610 | (15,584 | ) | ||||||||||||||
| Salesforce.com, Inc. |
Goldman Sachs | Call | 240.00 USD | 6/21/24 | 7 | 1,680 | (12,765 | ) | ||||||||||||||
| Starbucks Corp. |
Goldman Sachs | Call | 100.00 USD | 1/19/24 | 87 | 8,700 | (61,611 | ) | ||||||||||||||
| Starbucks Corp. |
Goldman Sachs | Call | 105.00 USD | 1/19/24 | 87 | 9,135 | (40,079 | ) | ||||||||||||||
| Starbucks Corp. |
Goldman Sachs | Call | 115.00 USD | 1/19/24 | 54 | 6,210 | (9,359 | ) | ||||||||||||||
| Stryker Corp. |
Wells Fargo | Call | 270.00 USD | 1/19/24 | 32 | 8,640 | (150,647 | ) | ||||||||||||||
| Stryker Corp. |
Wells Fargo | Call | 280.00 USD | 1/19/24 | 32 | 8,960 | (125,489 | ) | ||||||||||||||
| Stryker Corp. |
Wells Fargo | Call | 290.00 USD | 1/19/24 | 32 | 9,280 | (101,936 | ) | ||||||||||||||
| Stryker Corp. |
Wells Fargo | Call | 300.00 USD | 1/19/24 | 32 | 9,600 | (80,179 | ) | ||||||||||||||
| Stryker Corp. |
Wells Fargo | Call | 310.00 USD | 1/19/24 | 22 | 6,820 | (41,635 | ) | ||||||||||||||
| Stryker Corp. |
Wells Fargo | Call | 320.00 USD | 1/19/24 | 14 | 4,480 | (19,099 | ) | ||||||||||||||
See accompanying notes to the financial statements.
11
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2023 (Unaudited)
| Description | Counterparty | Put/Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) |
Fair Value | |||||||||||||||
| TE Connectivity, Ltd. |
JPMorgan Chase | Call | 125.00 USD | 7/21/23 | 24 | $ | 3,000 | $ | (38,786 | ) | ||||||||||||
| TE Connectivity, Ltd. |
JPMorgan Chase | Call | 130.00 USD | 7/21/23 | 47 | 6,110 | (53,632 | ) | ||||||||||||||
| TE Connectivity, Ltd. |
JPMorgan Chase | Call | 135.00 USD | 7/21/23 | 47 | 6,345 | (30,830 | ) | ||||||||||||||
| TE Connectivity, Ltd. |
JPMorgan Chase | Call | 140.00 USD | 7/21/23 | 47 | 6,580 | (9,719 | ) | ||||||||||||||
| Teledyne Technologies, Inc. |
JPMorgan Chase | Call | 440.00 USD | 12/15/23 | 4 | 1,760 | (5,403 | ) | ||||||||||||||
| Teledyne Technologies, Inc. |
JPMorgan Chase | Call | 460.00 USD | 12/15/23 | 4 | 1,840 | (2,909 | ) | ||||||||||||||
| Texas Instruments, Inc. |
Bank of America | Call | 180.00 USD | 1/19/24 | 62 | 11,160 | (85,563 | ) | ||||||||||||||
| Texas Instruments, Inc. |
Bank of America | Call | 190.00 USD | 1/19/24 | 83 | 15,770 | (73,597 | ) | ||||||||||||||
| Texas Instruments, Inc. |
Bank of America | Call | 195.00 USD | 1/19/24 | 83 | 16,185 | (57,424 | ) | ||||||||||||||
| Texas Instruments, Inc. |
Bank of America | Call | 200.00 USD | 1/19/24 | 245 | 49,000 | (130,647 | ) | ||||||||||||||
| Texas Instruments, Inc. |
Bank of America | Call | 195.00 USD | 6/21/24 | 14 | 2,730 | (16,859 | ) | ||||||||||||||
| Texas Instruments, Inc. |
Bank of America | Call | 200.00 USD | 6/21/24 | 14 | 2,800 | (14,206 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
Citigroup | Call | 560.00 USD | 1/19/24 | 4 | 2,240 | (9,014 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
Citigroup | Call | 590.00 USD | 1/19/24 | 4 | 2,360 | (4,962 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
Citigroup | Call | 600.00 USD | 1/19/24 | 29 | 17,400 | (29,307 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
JPMorgan Chase | Call | 610.00 USD | 1/19/24 | 8 | 4,880 | (6,589 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
Citigroup | Call | 610.00 USD | 1/19/24 | 11 | 6,710 | (9,060 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
Citigroup | Call | 620.00 USD | 1/19/24 | 11 | 6,820 | (7,394 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
JPMorgan Chase | Call | 630.00 USD | 1/19/24 | 8 | 5,040 | (4,393 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
Citigroup | Call | 630.00 USD | 1/19/24 | 11 | 6,930 | (6,040 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
JPMorgan Chase | Call | 660.00 USD | 1/19/24 | 8 | 5,280 | (2,406 | ) | ||||||||||||||
| Thermo Fisher Scientific, Inc. |
JPMorgan Chase | Call | 690.00 USD | 1/19/24 | 8 | 5,520 | (1,324 | ) | ||||||||||||||
| Transunion |
Goldman Sachs | Call | 65.00 USD | 10/20/23 | 32 | 2,080 | (49,251 | ) | ||||||||||||||
| Transunion |
Goldman Sachs | Call | 70.00 USD | 10/20/23 | 32 | 2,240 | (36,186 | ) | ||||||||||||||
| Transunion |
Goldman Sachs | Call | 80.00 USD | 12/15/23 | 29 | 2,320 | (17,205 | ) | ||||||||||||||
| UnitedHealth Group, Inc. |
JPMorgan Chase | Call | 550.00 USD | 1/19/24 | 15 | 8,250 | (12,290 | ) | ||||||||||||||
| UnitedHealth Group, Inc. |
Citigroup | Call | 580.00 USD | 1/19/24 | 49 | 28,420 | (19,688 | ) | ||||||||||||||
| UnitedHealth Group, Inc. |
JPMorgan Chase | Call | 600.00 USD | 1/19/24 | 52 | 31,200 | (12,996 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 230.00 USD | 1/19/24 | 46 | 10,580 | (100,254 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 240.00 USD | 1/19/24 | 53 | 12,720 | (81,350 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 245.00 USD | 1/19/24 | 21 | 5,145 | (26,215 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 250.00 USD | 1/19/24 | 46 | 11,500 | (45,662 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 260.00 USD | 1/19/24 | 53 | 13,780 | (31,417 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 250.00 USD | 6/21/24 | 4 | 1,000 | (7,193 | ) | ||||||||||||||
| Visa, Inc. |
Goldman Sachs | Call | 260.00 USD | 6/21/24 | 4 | 1,040 | (5,243 | ) | ||||||||||||||
| Yum! Brands, Inc. |
Wells Fargo | Call | 140.00 USD | 1/19/24 | 211 | 29,540 | (164,444 | ) | ||||||||||||||
| Yum! Brands, Inc. |
Citigroup | Call | 145.00 USD | 1/19/24 | 53 | 7,685 | (27,288 | ) | ||||||||||||||
| Yum! Brands, Inc. |
Citigroup | Call | 150.00 USD | 1/19/24 | 53 | 7,950 | (17,228 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||||
| Total (Premiums $10,395,130) |
$ | (15,732,302 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| (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 |
$(15,732,302) |
See accompanying notes to the financial statements.
12
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
June 30, 2023
(Unaudited)
| Assets: |
|||||
| Investment securities, at cost |
$ | 1,026,701,883 | |||
|
|
|
||||
| Investment securities, at value(a) |
$ | 1,145,957,785 | |||
| Cash |
701,232 | ||||
| Interest and dividends receivable |
2,359,078 | ||||
| Foreign currency, at value (cost $77,645) |
81,196 | ||||
| Receivable for investments sold |
4,061,435 | ||||
| Reclaims receivable |
37,669 | ||||
| Prepaid expenses |
2,178 | ||||
|
|
|
||||
| Total Assets |
1,153,200,573 | ||||
|
|
|
||||
| Liabilities: |
|||||
| Payable for investments purchased |
21,058,998 | ||||
| Payable for capital shares redeemed |
301,640 | ||||
| Written Options (Premiums received $10,395,130) |
15,732,302 | ||||
| Payable for collateral received on loaned securities |
2,008,010 | ||||
| Management fees payable |
633,679 | ||||
| Administration fees payable |
8,804 | ||||
| Distribution fees payable |
226,314 | ||||
| Custodian fees payable |
361 | ||||
| Administrative and compliance services fees payable |
102 | ||||
| Transfer agent fees payable |
56 | ||||
| Trustee fees payable |
669 | ||||
| Other accrued liabilities |
1,525 | ||||
|
|
|
||||
| Total Liabilities |
39,972,460 | ||||
|
|
|
||||
| Commitments and contingent liabilities^ |
|||||
|
|
|
||||
| Net Assets |
$ | 1,113,228,113 | |||
|
|
|
||||
| Net Assets Consist of: |
|||||
| Paid in capital |
$ | 860,075,434 | |||
| Total distributable earnings |
253,152,679 | ||||
|
|
|
||||
| Net Assets |
$ | 1,113,228,113 | |||
|
|
|
||||
| Shares of beneficial interest (unlimited number of shares authorized, no par value) |
61,567,216 | ||||
| Net Asset Value (offering and redemption price per share) |
$ | 18.08 | |||
|
|
|
||||
| (a) | Includes securities on loan of $2,002,940. |
| ^ | See Note 3 in Notes to the Financial Statements. |
For the Six Months Ended June 30, 2023
(Unaudited)
| Investment Income: |
|||||
| Interest |
$ | 11,565,136 | |||
| Dividends |
5,964,363 | ||||
| Income from securities lending |
94,485 | ||||
| Foreign withholding tax |
(46,839 | ) | |||
|
|
|
||||
| Total Investment Income |
17,577,145 | ||||
|
|
|
||||
| Expenses: |
|||||
| Management fees |
4,093,359 | ||||
| Administration fees |
135,938 | ||||
| Distribution fees |
1,364,453 | ||||
| Custodian fees |
8,040 | ||||
| Administrative and compliance services fees |
3,879 | ||||
| Transfer agent fees |
1,853 | ||||
| Trustee fees |
14,270 | ||||
| Professional fees |
11,709 | ||||
| Shareholder reports |
6,366 | ||||
| Other expenses |
8,223 | ||||
|
|
|
||||
| Total expenses before reductions |
5,648,090 | ||||
| Less Management fees contractually waived |
(272,899 | ) | |||
|
|
|
||||
| Net expenses |
5,375,191 | ||||
|
|
|
||||
| Net Investment Income/(Loss) |
12,201,954 | ||||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments: |
|||||
| Net realized gains/(losses) on securities and foreign currencies |
(10,246,602 | ) | |||
| Net realized gains/(losses) on written options contracts |
4,261,783 | ||||
| Change in net unrealized appreciation/depreciation on securities and foreign currencies |
120,493,834 | ||||
| Change in net unrealized appreciation/depreciation on written options contracts |
(9,999,964 | ) | |||
|
|
|
||||
| Net realized and Change in net unrealized gains/losses on investments |
104,509,051 | ||||
|
|
|
||||
| Change in Net Assets Resulting From Operations |
$ | 116,711,005 | |||
|
|
|
See accompanying notes to the financial statements.
13
AZL T. Rowe Price Capital Appreciation Fund
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2023 |
For the Year Ended December 31, 2022 | |||||||||
| (Unaudited) | ||||||||||
| Change In Net Assets: |
||||||||||
| Operations: |
||||||||||
| Net investment income/(loss) |
$ | 12,201,954 | $ | 14,472,606 | ||||||
| Net realized gains/(losses) on investments |
(5,984,819 | ) | 126,083,725 | |||||||
| Change in unrealized appreciation/depreciation on investments |
110,493,870 | (307,791,244 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
116,711,005 | (167,234,913 | ) | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders: |
||||||||||
| Distributions |
— | (171,888,281 | ) | |||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from distributions to shareholders |
— | (171,888,281 | ) | |||||||
|
|
|
|
|
|||||||
| Capital Transactions: |
||||||||||
| Proceeds from shares issued |
3,913,462 | 9,903,777 | ||||||||
| Proceeds from dividends reinvested |
— | 171,888,281 | ||||||||
| Value of shares redeemed |
(84,273,089 | ) | (189,545,650 | ) | ||||||
|
|
|
|
|
|||||||
| Change in net assets resulting from capital transactions |
(80,359,627 | ) | (7,753,592 | ) | ||||||
|
|
|
|
|
|||||||
| Change in net assets |
36,351,378 | (346,876,786 | ) | |||||||
| Net Assets: |
||||||||||
| Beginning of period |
1,076,876,735 | 1,423,753,521 | ||||||||
|
|
|
|
|
|||||||
| End of period |
$ | 1,113,228,113 | $ | 1,076,876,735 | ||||||
|
|
|
|
|
|||||||
| Share Transactions: |
||||||||||
| Shares issued |
224,389 | 525,081 | ||||||||
| Dividends reinvested |
— | 10,696,222 | ||||||||
| Shares redeemed |
(4,901,872 | ) | (9,869,718 | ) | ||||||
|
|
|
|
|
|||||||
| Change in shares |
(4,677,483 | ) | 1,351,585 | |||||||
|
|
|
|
|
|||||||
Amounts shown as “—” are either $0 or round to less than $1.
See accompanying notes to the financial statements.
14
AZL T. Rowe Price Capital Appreciation Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
| Six Months Ended June 30, 2023 |
Year Ended December 31, 2022 |
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 | |||||||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
$16.26 | $21.94 | $21.14 | $19.66 | $16.93 | $18.03 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Investment Activities: |
||||||||||||||||||||||||||||||
| Net Investment Income/(Loss) |
0.19 | (a) | 0.23 | (a) | 0.16 | (a) | 0.19 | (a) | 0.26 | (a) | 0.41 | |||||||||||||||||||
| Net Realized and Unrealized Gains/ (Losses) on Investments |
1.63 | (2.92 | ) | 3.54 | 3.10 | 3.79 | (0.31 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total from Investment Activities |
1.82 | (2.69 | ) | 3.70 | 3.29 | 4.05 | 0.10 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions to Shareholders From: |
||||||||||||||||||||||||||||||
| Net Investment Income |
— | (0.14 | ) | (0.23 | ) | (0.29 | ) | (0.42 | ) | (0.17 | ) | |||||||||||||||||||
| Net Realized Gains |
— | (2.85 | ) | (2.67 | ) | (1.52 | ) | (0.90 | ) | (1.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Dividends |
— | (2.99 | ) | (2.90 | ) | (1.81 | ) | (1.32 | ) | (1.20 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net Asset Value, End of Period |
$18.08 | $16.26 | $21.94 | $21.14 | $19.66 | $16.93 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(b) |
11.19 | %(c) | (12.09 | )% | 18.12 | % | 17.48 | % | 24.38 | % | 0.38 | % | ||||||||||||||||||
| Ratios to Average Net Assets/ Supplemental Data: |
||||||||||||||||||||||||||||||
| Net Assets, End of Period (000’s) |
$1,113,228 | $1,076,877 | $1,423,754 | $1,336,254 | $1,271,510 | $1,079,607 | ||||||||||||||||||||||||
| Net Investment Income/(Loss)(d) |
2.23 | % | 1.21 | % | 0.70 | % | 0.97 | % | 1.36 | % | 2.25 | % | ||||||||||||||||||
| Expenses Before Reductions(d)(e) |
1.03 | % | 1.04 | % | 1.05 | % | 1.06 | % | 1.05 | % | 1.05 | % | ||||||||||||||||||
| Expenses Net of Reductions(d) |
0.98 | % | 0.99 | % | 1.00 | % | 1.01 | % | 1.00 | % | 1.00 | % | ||||||||||||||||||
| Portfolio Turnover Rate |
44 | %(c) | 86 | % | 49 | % | 87 | % | 45 | % | 70 | % | ||||||||||||||||||
| (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. |
See accompanying notes to the financial statements.
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 16 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 15 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 period, 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.
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 as shown in the Schedule of Portfolio Investments. 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 Investments. All or a portion of any bank loans may be unfunded. The Fund reflects both the funded portion of a bank loan, as well as its unfunded commitment in the Schedule of Portfolio Investments. 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 June 30, 2023 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 $9,262 during the period ended June 30, 2023. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,008,010 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2023. At June 30, 2023, 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 period ended June 30, 2023, 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 period ended June 30, 2023, 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 June 30, 2023, securities valued at $92,425,417 have been segregated as collateral as reported on the Fund’s Schedule of Portfolio Investments. For the period ended June 30, 2023, the monthly average notional amount for written options contracts was $1.5 Million. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
17
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 June 30, 2023:
| 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 | $ | 15,732,302 | ||||||||
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2023:
| 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 | $4,261,783 | $(9,999,964) | |||||||
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 June 30, 2023. 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 June 30, 2023.
As of June 30, 2023, the Fund’s derivative assets and liabilities by type were as follows:
| Assets | Liabilities | |||||||||
| Derivative Financial Instruments: |
||||||||||
| Written option contracts |
$— | $ | 15,732,302 | |||||||
|
|
|
|||||||||
| Total derivative assets and liabilities in the Statement of Assets and Liabilities |
$— | $ | 15,732,302 | |||||||
| Derivatives not subject to a master netting agreement or similar agreement (“MNA”) |
— | — | ||||||||
|
|
|
|||||||||
| Total derivative assets and liabilities subject to a MNA |
$— | $ | 15,732,302 | |||||||
|
|
|
|||||||||
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 June 30, 2023:
| 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 |
$546,345 | $— | $(546,345) | $— | $— | |||||||||||||||
| Barclays |
245,299 | — | — | — | 245,299 | |||||||||||||||
| Citigroup |
1,167,084 | — | — | — | 1,167,084 | |||||||||||||||
| Goldman Sachs |
2,359,506 | — | (2,359,506) | — | — | |||||||||||||||
| JPMorgan Chase |
4,120,492 | — | — | — | 4,120,492 | |||||||||||||||
| UBS |
1,408,862 | — | (1,408,862) | — | — | |||||||||||||||
| Wells Fargo |
5,884,714 | — | (5,884,714) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$15,732,302 | $— | $(10,199,427) | $— | $5,532,875 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
* 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, 2024.
18
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
For the period ended June 30, 2023, 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, 2024. The annual rate due to the Subadviser from the Manager ranges from 0.35% to 0.50% based upon asset breakpoint levels and total assets.
Any amounts contractually waived or remitted to the Fund by the Manager with respect to the annual expense limit in a particular fiscal year may be reimbursed by the Fund to the Manager, provided that such reimbursement will not cause the Fund to exceed the lesser of any applicable expense limit in effect (i) at the time of the original waiver or payment and (ii) at the time of such reimbursement, as supported by standard accounting practices. Such reimbursement only applies to amounts waived or paid by the Manager within the three years prior to the date of such reimbursement, calculated monthly from when the waiver or payment was recorded. 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 June 30, 2023, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years, and no commitment or contingent liability is expected.
Management fees, which the Manager may waive 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, as applicable.
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 combined average daily net assets of the Funds on the first $4 billion, 0.04% of combined average daily net assets of the Funds on the next $2 billion, 0.02% of combined average daily net assets of the Funds on the next $2 billion and 0.01% of combined average daily net assets of the Funds 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 determined pursuant to valuation procedures 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. 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
19
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 in accordance with valuation procedures approved by the Board. 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 have become unreliable or are not readily available as defined in Rule 2a-5 under the 1940 Act are valued in accordance with valuation procedures approved by the Board. 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 valuation procedures approved by the Board, 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 Board has designated the Manager to perform the Fund’s fair value determinations in accordance with valuation procedures approved by the Board. The effect of using fair value pricing is that the Fund’s NAV will be subject to the judgment of the Manager. The Manager’s fair valuation process is subject to the oversight of the Board.
The following is a summary of the valuation inputs used as of June 30, 2023 in valuing the Fund’s investments based upon the three levels defined above:
| Investment Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| Common Stocks+ |
$740,784,760 | $— | $— | $740,784,760 | ||||||||||||||||
| Preferred Stocks |
4,481,826 | — | — | 4,481,826 | ||||||||||||||||
| Asset Backed Securities |
— | 1,302,766 | — | 1,302,766 | ||||||||||||||||
| Bank Loans |
— | 93,753,983 | — | 93,753,983 | ||||||||||||||||
| Corporate Bonds+ |
— | 136,468,697 | — | 136,468,697 | ||||||||||||||||
| Yankee Debt Obligations+ |
— | 2,647,971 | — | 2,647,971 | ||||||||||||||||
| U.S. Treasury Obligations |
— | 90,345,278 | — | 90,345,278 | ||||||||||||||||
| Short-Term Security Held as Collateral for Securities on Loan |
2,008,010 | — | — | 2,008,010 | ||||||||||||||||
| Unaffiliated Investment Company |
74,164,494 | — | — | 74,164,494 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investment Securities |
821,439,090 | 324,518,695 | — | 1,145,957,785 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Other Financial Instruments:* |
||||||||||||||||||||
| Written Options |
— | (15,732,302 | ) | — | (15,732,302 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Investments |
$821,439,090 | $308,786,393 | $— | $1,130,225,483 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| + | 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 period ended June 30, 2023 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 |
$ | 1,056,706 | $ | 105,047,045 | ||||||
For the period ended June 30, 2023 purchases and sales of long-term U.S. government securities were as follows:
| Purchases | Sales | |||||||||
| AZL T. Rowe Price Capital Appreciation Fund |
$ | 97,040,989 | $ | 103,525,105 | ||||||
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. The Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Fund.
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
20
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
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 other party to a derivatives contract could default.
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. Certain foreign companies may be subject to sanctions, embargoes, or other governmental actions that may impair or otherwise limit the ability to invest in, receive, hold or sell the securities of such companies.
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 ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis 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 the transition period, 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 global outbreak of the COVID-19 strain of the coronavirus has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may adversely impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objective(s).
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
21
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2023 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2022 is $1,093,656,097. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
| Unrealized appreciation |
$45,272,572 | ||||
| Unrealized (depreciation) |
(56,964,269) | ||||
|
|
|
||||
| Net unrealized appreciation/(depreciation) |
$(11,691,697) | ||||
|
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2022 was as follows:
| Ordinary Income |
Net Long-Term Capital Gains |
Total Distributions(a) | |||||||||||||
| AZL T. Rowe Price Capital Appreciation Fund |
$ | 157,037,927 | $ | 14,850,354 | $ | 171,888,281 | |||||||||
| (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, 2022, 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 |
$86,410,164 | $67,544,746 | $— | $(11,690,301) | $142,264,609 | |||||||||||||||||||||||||
| (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) was attributable primarily to tax deferral of losses on wash sales and the difference between book and tax amortization methods for premium and market discounts. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2023 the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
10. Recent Regulatory Pronouncements
Effective January 24, 2023, the SEC adopted rule and form amendments that require open-end management investment companies to transmit concise and visually engaging annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a tailored shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Management is currently evaluating the effect of these amendments on the shareholder reports for 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
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.
23
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 21, 2023, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2022, through December 31, 2022 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report, and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, no Fund maintained a designated HLIM; each Fund primarily holds assets which are highly liquid investments, and, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report.
24
| The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
| These Funds are not FDIC Insured. | SARRPT0623 08/23 |
Item 2. Code of Ethics.
Not applicable—only for annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable—only for annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable—only for annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (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. |
| (b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| (a)(1) | Not applicable—only for annual reports. | |
| (a)(2) | Certifications pursuant to Rule 30a-2(a) are furnished herewith. | |
| (a)(3) | Not applicable. | |
| (a)(4) | Not applicable. | |
| (b) | Certifications pursuant to Rule 30a-2(b) are furnished herewith. | |
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 |
August 23, 2023 | |
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 |
August 23, 2023 | |
| By (Signature and Title) | /s/ Bashir C. Asad | |
| Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer | ||
| Date |
August 23, 2023 | |