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Valic Co II – ‘N-CSRS’ for 2/28/17

On:  Monday, 5/8/17, at 2:39pm ET   ·   Effective:  5/8/17   ·   For:  2/28/17   ·   Accession #:  1193125-17-162390   ·   File #:  811-08789

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 5/08/17  Valic Co II                       N-CSRS      2/28/17    3:10M                                    Donnelley … Solutions/FAAggressive Growth Lifestyle Fund VAGLXCapital Appreciation Fund VCCAXConservative Growth Lifestyle Fund VCGLXCore Bond Fund VCCBXGovernment Money Market II Fund VIIXXHigh Yield Bond Fund VCHYXInternational Opportunities Fund VISEXLarge Cap Value Fund VACVXMid Cap Growth Fund VAMGXMid Cap Value Fund VMCVXModerate Growth Lifestyle Fund VMGLXSmall Cap Growth Fund VASMXSmall Cap Value Fund VCSVXStrategic Bond Fund VCSBXU.S. Socially Responsible Fund VCSRX

Certified Semi-Annual Shareholder Report by a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSRS      Certified Semi-Annual Shareholder Report by a       HTML   6.92M 
                          Management Investment Company                          
 3: EX-99.906.CERT  Miscellaneous Exhibit                           HTML      6K 
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     18K 


N-CSRS   —   Certified Semi-Annual Shareholder Report by a Management Investment Company
Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
"Table of Contents
"President's Letter
"Expense Example
"Aggressive Growth Lifestyle Fund
"Capital Appreciation Fund
"Conservative Growth Lifestyle Fund
"Core Bond Fund
"Government Money Market II Fund
"High Yield Bond Fund
"International Opportunities Fund
"Large Cap Value Fund
"Mid Cap Growth Fund
"Mid Cap Value Fund
"Moderate Growth Lifestyle Fund
"Small Cap Growth Fund
"Small Cap Value Fund
"Socially Responsible Fund
"Strategic Bond Fund
"Statements of Assets and Liabilities
"Statements of Operations
"Statements of Changes in Net Assets
"Notes to Financial Statements
"Financial Highlights
"Supplements to Prospectus

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  N-CSRS  
Table of Contents

 

 

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 811-08789

 

 

VALIC Company II

(Exact name of registrant as specified in charter)

 

 

2929 Allen Parkway, Houston, TX 77019

(Address of principal executive offices) (Zip code)

 

 

John T. Genoy

President

SunAmerica Asset Management, LLC

Harborside 5

185 Hudson Street, Suite 3300

Jersey City, NJ 07311

(Name and address of agent for service)

Registrant’s telephone number, including area code: (201) 324-6414

 

 

Date of fiscal year end: August 31

Date of reporting period: February 28, 2017

 

 

 


Table of Contents

Item 1. Reports to Stockholders

 


Table of Contents

LOGO

 

VALIC Company II

 

Semi-Annual Report, February 28, 2017

 

SAVING : INVESTING : PLANNING


Table of Contents

VALIC Company II

SEMI-ANNUAL REPORT FEBRUARY 28, 2017


 

TABLE OF CONTENTS

 

President’s Letter

     1  

Expense Example

     2  

Portfolios of Investments:

        

Aggressive Growth Lifestyle Fund

     4  

Capital Appreciation Fund

     6  

Conservative Growth Lifestyle Fund

     9  

Core Bond Fund

     11  

Government Money Market II Fund

     33  

High Yield Bond Fund

     35  

International Opportunities Fund

     47  

Large Cap Value Fund

     54  

Mid Cap Growth Fund

     58  

Mid Cap Value Fund

     61  

Moderate Growth Lifestyle Fund

     66  

Small Cap Growth Fund

     68  

Small Cap Value Fund

     72  

Socially Responsible Fund

     81  

Strategic Bond Fund

     87  

Statements of Assets and Liabilities

     114  

Statements of Operations

     117  

Statements of Changes in Net Assets

     120  

Notes to Financial Statements

     124  

Financial Highlights

     143  

Supplements to Prospectus

     151  


Table of Contents

VALIC Company II

PRESIDENT’S LETTER (Unaudited)


 

Dear Valued Investor:

 

We are pleased to provide you with the following Semi-Annual Report for VALIC Company II. The report contains the investment portfolio information and the financial statements of VALIC Company II for the six-month period ended February 28, 2017. We encourage you to carefully read this report and thank you for your investment.

 

Domestically, the total return for the S&P 500® Index,* widely regarded as the best single gauge of the U.S. equity market, rose 10.01% during the six month period ended February 28, 2017. The election of Donald Trump as the next U.S. President changed the course of the fourth quarter. After the S&P 500’s nearly 2% decline in October, the U.S. equity market completely reversed itself and rallied into year-end, supported by continued improvement of economic fundamentals and ignited by the anticipation of tax cuts and reform, regulatory relief and infrastructure spending under the new administration. In short, a renewed optimism of stronger economic growth captured the markets, rallying U.S. equities and raising U.S. Treasury yields. There also was important news in the oil markets. At the end of the period, OPEC reached an agreement to cut oil production. This served to increase oil prices, a dramatic reversal from the low price levels seen earlier in the year. In February, all major benchmarks hit record highs.

 

As anticipated prior to the presidential election, the Federal Reserve (the “Fed”) increased the federal funds target rate by 0.25% to a range between 0.50% and 0.75% following their December meeting. Notes released from the Fed cited a better labor market and inflation moving toward the Fed’s 2% target level. The Federal Reserve is forecasted to increase rates three more time in 2017 as it seeks to normalize interest rates.

 

During the six month period ended February 28, 2017 fixed income markets declined across most of the spectrum, with the Bloomberg Barclays U.S. Aggregate Bond Index,** a broad measure of the bond market, down 2.19%. Long Treasuries, as measured by the Bloomberg Barclays US Treasury Long Index,*** erased most of the gains made in the first half of the 2016, declining -11.39% and only risk assets, such as high yield assets, gained some ground.

 

The MSCI EAFE Index (net),**** designed to measure the equity market performance of developed foreign markets (Europe, Australasia, Far East), excluding the U.S. and Canada, rose 4.90% during the six month period ended February 28, 2017. Global growth continued to slow during the period which weighed heavily on international markets. Further compounding global pressures was the shadow that was cast over the Eurozone amidst the fallout and potential ramifications from the United Kingdom’s vote to leave the European Union, dubbed “Brexit” (British Exit).

 

We appreciate being part of your investment program and thank you for your ongoing confidence in us. We look forward to serving your investment needs in the years ahead.

 

Sincerely,

 

LOGO

 

John T. Genoy, President

VALIC Company II

 


Past performance is no guarantee of future results.

 

*

The S&P 500® Index is an index of the stocks of 500 major large-cap U.S. corporations, chosen for market size, liquidity, and industry group representation. It is a market-value weighted index, with each stock’s percentage in the Index in proportion to its market value.

** The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage- and asset-backed securities and commercial mortgage-backed securities.
*** The Bloomberg Barclays US Treasury Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury. Treasury bills are excluded by the maturity constraint, but are part of a separate Short Treasury Index. STRIPS are excluded from the index because their inclusion would result in double-counting.
**** The MSCI EAFE Index (net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The MSCI EAFE Index consists of the following 21 developed market countries: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indices reinvest dividends after the deduction of withholding taxes, using (for international indices) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.

 

Indices are not managed and an investor cannot invest directly into an index. Past performance of an index does not guarantee the future performance of any investment.

 

1


Table of Contents

VALIC Company II

EXPENSE EXAMPLE — February 28, 2017 (unaudited)


 

Disclosure of Fund Expenses in Shareholder Reports

 

As a shareholder of a Fund in VALIC Company II (“VC II”), you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at September 1, 2016 and held until February 28, 2017. Shares of VC II are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts), qualified retirement plans (the “Plans”) and Individual Retirement Plan Accounts (“IRA”) offered by The Variable Annuity Life Insurance Company (“VALIC”), the investment adviser to VC II and other life insurance companies affiliated with VALIC. The fees and expenses associated with the Variable Contracts, Plans and IRA’s are not included in these Examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus or Plan/IRA documents for more details on the fees associated with the Variable Contract, Plans or IRA’s.

 

Actual Expenses

 

The “Actual” section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, 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 column under the heading entitled “Expenses Paid During the Six Months Ended February 28, 2017 to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six Months Ended February 28, 2017 column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, Plans and IRA’s, in which the Funds are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended February 28, 2017 column would have been higher and the “Ending Account Value” column would have been lower.

 

Hypothetical Example for Comparison Purposes

 

The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an annual rate of return of 5% 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 the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The “Expenses Paid During the Six Months Ended February 28, 2017 column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, Plans or IRA’s in which the Funds are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended February 28, 2017 column would have been higher and the “Ending Account Value” column would have been lower.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts, Plans or IRA’s. Please refer to your Variable Contract prospectus or Plan/IRA document for more information. Therefore, the “hypothetical” example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.

 

2


Table of Contents

VALIC Company II

EXPENSE EXAMPLE — February 28, 2017 (unaudited) — (continued)


 

 

     Actual

     Hypothetical

 

Fund


   Beginning
Account Value
at September  1,
2016


     Ending
Account Value
Using Actual
Return at
February 28,
2017


     Expenses Paid
During the Six
Months Ended
February 28,
2017
*


     Beginning
Account Value
at September 1,
2016


     Ending
Account Value
Using a
Hypothetical
5% Annual
Return at
February 28,

2017


     Expenses Paid
During the

Six Months Ended
February 28,
2017
*


     Annualized
Expense
Ratio


 

Aggressive Growth Lifestyle#

   $ 1,000.00      $ 1,058.60      $ 0.51      $ 1,000.00      $ 1,024.30      $ 0.50        0.10

Capital Appreciation#

   $ 1,000.00      $ 1,065.04      $ 4.35      $ 1,000.00      $ 1,020.58      $ 4.26        0.85

Conservative Growth Lifestyle#

   $ 1,000.00      $ 1,024.54      $ 0.50      $ 1,000.00      $ 1,024.30      $ 0.50        0.10

Core Bond#

   $ 1,000.00      $ 985.84      $ 3.79      $ 1,000.00      $ 1,020.98      $ 3.86        0.77

Government Money Market II#

   $ 1,000.00      $ 1,000.10      $ 2.28      $ 1,000.00      $ 1,022.51      $ 2.31        0.46

High Yield Bond

   $ 1,000.00      $ 1,042.33      $ 4.86      $ 1,000.00      $ 1,020.03      $ 4.81        0.96

International Opportunities#

   $ 1,000.00      $ 1,018.75      $ 5.01      $ 1,000.00      $ 1,019.84      $ 5.01        1.00

Large Cap Value#

   $ 1,000.00      $ 1,139.05      $ 4.30      $ 1,000.00      $ 1,020.78      $ 4.06        0.81

Mid Cap Growth#

   $ 1,000.00      $ 1,085.51      $ 4.40      $ 1,000.00      $ 1,020.58      $ 4.26        0.85

Mid Cap Value

   $ 1,000.00      $ 1,105.14      $ 5.43      $ 1,000.00      $ 1,019.64      $ 5.21        1.04

Moderate Growth Lifestyle#

   $ 1,000.00      $ 1,045.06      $ 0.51      $ 1,000.00      $ 1,024.30      $ 0.50        0.10

Small Cap Growth#

   $ 1,000.00      $ 1,113.38      $ 6.08      $ 1,000.00      $ 1,019.04      $ 5.81        1.16

Small Cap Value#

   $ 1,000.00      $ 1,145.17      $ 5.05      $ 1,000.00      $ 1,020.08      $ 4.76        0.95

Socially Responsible#

   $ 1,000.00      $ 1,089.96      $ 2.90      $ 1,000.00      $ 1,022.02      $ 2.81        0.56

Strategic Bond

   $ 1,000.00      $ 1,010.64      $ 4.34      $ 1,000.00      $ 1,020.48      $ 4.36        0.87

 

* Expenses are equal to each Fund‘s annualized expense ratio multiplied by the average account value over the period, multiplied by 181 days then divided by 365 days (to reflect the one-half year period) . These ratios do not reflect fees and expenses associated with the Variable Contracts, Plans or IRA‘s. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts or your Plan/IRA document for details on the administration fees charged by your Plan sponsor.
# During the stated period, the investment adviser waived a portion of or all fees and assumed a portion of or all expenses for the Fund. As a result, if these fees and expenses had not been waived or assumed, the “Actual/Hypothetical Ending Account Value” would have been lower and the “Actual/Hypothetical Expenses Paid During the Six Months Ended February 28, 2017 and the “Annualized Expense Ratio” would have been higher.

 

3


Table of Contents

VALIC Company II Aggressive Growth Lifestyle Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Domestic Equity Investment Companies

     52.9

Domestic Fixed Income Investment Companies

     23.0  

International Equity Investment Companies

     15.7  

Real Estate Investment Companies

     7.0  

International Fixed Income Investment Companies

     1.4  
    


       100.0
    


 

* Calculated as a percentage of net assets
 

 

4


Table of Contents

VALIC Company II Aggressive Growth Lifestyle Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares      Value
(Note 2)
 

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%

 

Domestic Equity Investment Companies — 52.9%

 

VALIC Co. I Blue Chip Growth Fund

     909,742      $ 14,428,508  

VALIC Co. I Dividend Value Fund

     1,582,234        18,907,697  

VALIC Co. I Mid Cap Index Fund

     1,275,024        33,749,893  

VALIC Co. I Mid Cap Strategic Growth Fund

     385,710        5,091,370  

VALIC Co. I Nasdaq-100 Index Fund

     651,136        7,253,658  

VALIC Co. I Science & Technology Fund

     245,651        5,753,143  

VALIC Co. I Small Cap Index Fund

     2,075,638        42,343,007  

VALIC Co. I Small Cap Special Values Fund

     1,180,060        15,836,405  

VALIC Co. I Stock Index Fund

     634,315        22,575,262  

VALIC Co. I Value Fund

     223,369        3,703,466  

VALIC Co. II Capital Appreciation Fund

     1,052,411        17,922,554  

VALIC Co. II Large Cap Value Fund

     534,897        11,216,788  

VALIC Co. II Mid Cap Growth Fund

     627,775        5,737,865  

VALIC Co. II Mid Cap Value Fund

     2,155,780        48,720,631  

VALIC Co. II Small Cap Growth Fund

     738,128        11,662,422  

VALIC Co. II Small Cap Value Fund

     1,791,115        27,833,933  
             


Total Domestic Equity Investment Companies

                 

(cost $262,890,222)

              292,736,602  
             


Domestic Fixed Income Investment Companies — 23.0%

 

VALIC Co. I Capital Conservation Fund

     725,386        7,043,502  

VALIC Co. I Government Securities Fund

     738,422        7,746,047  

VALIC Co. I Inflation Protected Fund

     3,176,961        34,787,725  

VALIC Co. II Core Bond Fund

     536,892        5,980,982  

VALIC Co. II High Yield Bond Fund

     4,192,344        33,035,671  

VALIC Co. II Strategic Bond Fund

     3,403,953        38,805,063  
             


Total Domestic Fixed Income Investment Companies

                 

(cost $125,282,652)

              127,398,990  
             


Security Description    Shares     Value
(Note 2)
 

                  

International Equity Investment Companies — 15.7%

 

VALIC Co. I Emerging Economies Fund

     1,869,060     $ 13,849,737  

VALIC Co. I Foreign Value Fund

     2,815,209       27,842,419  

VALIC Co. I International Equities Index Fund

     2,601,878       16,704,054  

VALIC Co. I International Growth Fund

     953,409       11,154,880  

VALIC Co. II International Opportunities Fund

     1,045,838       17,047,157  
            


Total International Equity Investment Companies

                

(cost $88,414,763)

             86,598,247  
            


International Fixed Income Investment Companies — 1.4%

 

VALIC Co. I International Government Bond Fund

                

(cost $7,956,156)

     672,812       7,629,690  
            


Real Estate Investment Companies — 7.0%

 

VALIC Co. I Global Real Estate Fund

                

(cost $42,648,282)

     5,250,274       39,009,533  
            


TOTAL INVESTMENTS

                

(cost $527,192,075)(2)

     100.0     553,373,062  

Liabilities in excess of other assets

     (0.0     (75,487
    


 


NET ASSETS

     100.0   $ 553,297,575  
    


 



# The Aggressive Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com.
(1) See Note 3.
(2) See Note 5 for cost of investments on a tax basis.
 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices

     Level 2 - Other
Observable  Inputs

     Level 3 -  Significant
Unobservable Inputs

     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Affiliated Registered Investment Companies

   $ 553,373,062      $         —        $         —        $ 553,373,062  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

5


Table of Contents

VALIC Company II Capital Appreciation Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Applications Software

     10.2

Web Portals/ISP

     5.8  

Medical — HMO

     4.3  

Cable/Satellite TV

     4.1  

Medical — Drugs

     3.9  

Internet Content — Entertainment

     3.9  

E-Commerce/Products

     3.5  

Medical — Biomedical/Gene

     3.5  

Electronic Components — Semiconductors

     3.4  

Food — Misc./Diversified

     3.3  

Time Deposits

     2.8  

Retail — Discount

     2.3  

Instruments — Controls

     2.2  

E-Commerce/Services

     2.2  

Retail — Building Products

     2.2  

Registered Investment Companies

     2.0  

Diversified Banking Institutions

     1.9  

Finance — Other Services

     1.8  

Enterprise Software/Service

     1.8  

Retail — Perfume & Cosmetics

     1.8  

Diagnostic Equipment

     1.6  

Television

     1.6  

Finance — Consumer Loans

     1.5  

Chemicals — Diversified

     1.5  

Oil — Field Services

     1.5  

Aerospace/Defense — Equipment

     1.4  

Retail — Restaurants

     1.4  

Transport — Rail

     1.3  

Home Decoration Products

     1.3  

Brewery

     1.3  

Aerospace/Defense

     1.2  

Steel — Producers

     1.1  

Investment Management/Advisor Services

     1.1  

Exchange-Traded Funds

     1.1  

Medical Instruments

     1.1  

Electronic Measurement Instruments

     1.1  

Diversified Manufacturing Operations

     1.0  

Cellular Telecom

     1.0  

Building Products — Cement

     1.0  

Retail — Major Department Stores

     1.0  

Dental Supplies & Equipment

     0.9  

Retail — Drug Store

     0.9  

Networking Products

     0.8  

Oil Companies — Exploration & Production

     0.8  

Computers — Memory Devices

     0.8  

Computer Software

     0.8  

Commercial Services

     0.8  

Computer Services

     0.7  

Computer Data Security

     0.6  

Commercial Services — Finance

     0.6  

Auto/Truck Parts & Equipment — Original

     0.5  

Therapeutics

     0.4  
    


       100.6
    


 

* Calculated as a percentage of net assets
 

 

6


Table of Contents

VALIC Company II Capital Appreciation Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares     

Value
(Note 2)

 

COMMON STOCKS — 94.7%

 

Aerospace/Defense — 1.2%

 

Raytheon Co.

     6,919      $ 1,066,564  
             


Aerospace/Defense - Equipment — 1.4%

 

United Technologies Corp.

     11,189        1,259,322  
             


Applications Software — 10.2%

 

Citrix Systems, Inc.†#

     13,279        1,048,377  

Intuit, Inc.

     11,131        1,396,272  

Microsoft Corp.

     67,796        4,337,588  

salesforce.com, Inc.†

     12,219        994,016  

ServiceNow, Inc.†

     8,577        745,513  

Twilio, Inc., Class A†

     13,587        430,980  
             


                8,952,746  
             


Auto/Truck Parts & Equipment - Original — 0.5%

 

Delphi Automotive PLC

     6,170        469,722  
             


Brewery — 1.3%

 

Molson Coors Brewing Co., Class B

     11,196        1,123,966  
             


Building Products - Cement — 1.0%

 

Vulcan Materials Co.

     7,212        869,839  
             


Cable/Satellite TV — 4.1%

 

Charter Communications, Inc., Class A†

     4,457        1,439,878  

Comcast Corp., Class A#

     58,524        2,189,968  
             


                3,629,846  
             


Cellular Telecom — 1.0%

 

T-Mobile US, Inc.†

     13,937        871,481  
             


Chemicals - Diversified — 1.5%

 

Dow Chemical Co.

     21,231        1,321,842  
             


Commercial Services — 0.8%

 

Quanta Services, Inc.†

     17,876        667,132  
             


Commercial Services - Finance — 0.6%

 

Square, Inc., Class A†

     29,994        519,496  
             


Computer Data Security — 0.6%

 

Fortinet, Inc.†

     14,051        524,805  
             


Computer Services — 0.7%

 

Teradata Corp.†#

     21,151        657,796  
             


Computer Software — 0.8%

 

Splunk, Inc.†#

     10,954        676,190  
             


Computers - Memory Devices — 0.8%

 

Western Digital Corp.

     9,078        697,917  
             


Dental Supplies & Equipment — 0.9%

 

DENTSPLY SIRONA, Inc.

     12,478        792,603  
             


Diagnostic Equipment — 1.6%

 

Danaher Corp.

     16,786        1,436,042  
             


Diversified Banking Institutions — 1.9%

 

Goldman Sachs Group, Inc.

     3,938        976,860  

JPMorgan Chase & Co.

     7,608        689,437  
             


                1,666,297  
             


Diversified Manufacturing Operations — 1.0%

 

Eaton Corp. PLC

     12,119        872,326  
             


E-Commerce/Products — 3.5%

 

Amazon.com, Inc.†

     3,640        3,075,946  
             


E-Commerce/Services — 2.2%

 

Priceline Group, Inc.†

     1,125        1,939,646  
             


Electronic Components - Semiconductors — 3.4%

 

Broadcom, Ltd.

     6,991        1,474,611  

Texas Instruments, Inc.

     20,493        1,570,174  
             


                3,044,785  
             


Security Description    Shares     

Value
(Note 2)

 

                   

Electronic Measurement Instruments — 1.1%

 

Fortive Corp.

     16,199      $ 933,872  
             


Enterprise Software/Service — 1.8%

 

Oracle Corp.

     36,565        1,557,303  
             


Finance - Consumer Loans — 1.5%

 

Synchrony Financial

     37,125        1,345,410  
             


Finance - Other Services — 1.8%

 

CME Group, Inc.#

     12,841        1,559,668  
             


Food - Misc./Diversified — 3.3%

 

Conagra Brands, Inc.

     20,011        824,653  

Kellogg Co.

     12,445        921,801  

Kraft Heinz Co.

     13,148        1,203,174  
             


                2,949,628  
             


Home Decoration Products — 1.3%

 

Newell Brands, Inc.#

     23,403        1,147,449  
             


Instruments - Controls — 2.2%

 

Honeywell International, Inc.

     15,796        1,966,602  
             


Internet Content - Entertainment — 3.9%

 

Facebook, Inc., Class A†

     25,280        3,426,451  
             


Investment Management/Advisor Services — 1.1%

 

Ameriprise Financial, Inc.

     7,567        995,060  
             


Medical Instruments — 1.1%

 

Boston Scientific Corp.†

     38,349        941,468  
             


Medical - Biomedical/Gene — 3.5%

 

BioMarin Pharmaceutical, Inc.†

     12,398        1,164,544  

Celgene Corp.†

     15,242        1,882,540  
             


                3,047,084  
             


Medical - Drugs — 3.9%

 

Eli Lilly & Co.

     21,784        1,803,933  

TESARO, Inc.†#

     4,200        791,154  

Zoetis, Inc.

     16,268        867,247  
             


                3,462,334  
             


Medical - HMO — 4.3%

 

Aetna, Inc.

     7,480        963,125  

UnitedHealth Group, Inc.

     17,352        2,869,674  
             


                3,832,799  
             


Networking Products — 0.8%

 

Cisco Systems, Inc.

     21,221        725,334  
             


Oil Companies - Exploration & Production — 0.8%

 

Pioneer Natural Resources Co.#

     3,880        721,564  
             


Oil - Field Services — 1.5%

 

Schlumberger, Ltd.

     6,060        486,982  

Superior Energy Services, Inc.†

     48,378        798,237  
             


                1,285,219  
             


Retail - Building Products — 2.2%

 

Home Depot, Inc.

     13,178        1,909,624  
             


Retail - Discount — 2.3%

 

Costco Wholesale Corp.

     11,452        2,029,065  
             


Retail - Drug Store — 0.9%

 

Walgreens Boots Alliance, Inc.

     8,770        757,553  
             


Retail - Major Department Stores — 1.0%

 

TJX Cos., Inc.

     10,990        862,166  
             


Retail - Perfume & Cosmetics — 1.8%

 

Ulta Beauty, Inc.†

     5,682        1,553,629  
             


 

 

7


Table of Contents

VALIC Company II Capital Appreciation Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares/
Principal
Amount
    Value
(Note 2)
 

COMMON STOCKS (continued)

 

Retail - Restaurants — 1.4%

 

Starbucks Corp.#

     21,705     $ 1,234,363  
            


Steel - Producers — 1.1%

 

Nucor Corp.

     16,217       1,014,698  
            


Television — 1.6%

 

CBS Corp., Class B

     20,925       1,379,376  
            


Therapeutics — 0.4%

 

Neurocrine Biosciences, Inc.†#

     7,840       346,214  
            


Transport - Rail — 1.3%

 

Union Pacific Corp.

     11,041       1,191,766  
            


Web Portals/ISP — 5.8%

 

Alphabet, Inc., Class A†

     2,652       2,240,754  

Alphabet, Inc., Class C†

     3,533       2,908,401  
            


               5,149,155  
            


Total Common Stocks

                

(cost $65,624,817)

             83,461,163  
            


EXCHANGE-TRADED FUNDS — 1.1%

 

iShares Russell 1000 Growth ETF#

                

(cost $862,403)

     8,363       943,096  
            


Total Long-Term Investment Securities

                

(cost $66,487,220)

             84,404,259  
            


SHORT-TERM INVESTMENT SECURITIES — 4.8%

                

Registered Investment Companies — 2.0%

                

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(2)

     1,724,967       1,724,967  
            


Time Deposits — 2.8%

                

Euro Time Deposit with State Street Bank and Trust Co. 0.07% due 03/01/2017

   $ 2,499,000       2,499,000  
            


Total Short-Term Investment Securities

                

(cost $4,223,967)

             4,223,967  
            


TOTAL INVESTMENTS

                

(cost $70,711,187)(3)

     100.6     88,628,226  

Liabilities in excess of other assets

     (0.6     (545,711
    


 


NET ASSETS

     100.0   $ 88,082,515  
    


 



Non-income producing security
# The security or a portion thereof is out on loan (see Note 2).
(1) At February 28, 2017, the Fund had loaned securities with a total value of $8,837,846. This was secured by collateral of $1,724,967 which was received in cash and subsequently invested in short-term investments currently valued at $1,724,967 as reported in the Portfolio of Investments. Additional collateral of $7,388,903 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge.

 

The components of the fixed income pooled securities referenced above are as follows:

 

Securities


   Coupon Range

   Maturity Date Range

   Value as of
February 28,
2017


 

Federal Home Loan Mtg. Corp.

   2.50% to 4.50%    11/01/2027 to 09/01/2044    $ 829,681  

Federal National Mtg. Assoc.

   2.00% to 4.25%    01/01/2032 to 02/25/2044      1,446,468  

Government National Mtg. Assoc.

   2.50% to 3.50%    11/20/2027 to 11/20/2046      3,328,428  

United States Treasury Bills

   0.00%    03/09/2017 to 12/07/2017      280,739  

United States Treasury Notes/Bonds

   0.13% to 4.63%    07/15/2017 to 11/15/2046      1,503,587  

 

(2) The rate shown is the 7-day yield as of February 28, 2017.
(3) See Note 5 for cost of investments on a tax basis

 

ETF—Exchange-Traded Fund

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices

     Level 2 - Other
Observable  Inputs

     Level 3 -  Significant
Unobservable Inputs

     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 83,461,163      $ —        $         —        $ 83,461,163  

Exchange-Traded Funds

     943,096        —          —          943,096  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     1,724,967        —          —          1,724,967  

Time Deposits

     —          2,499,000        —          2,499,000  
    


  


  


  


Total Investments at Value

   $ 86,129,226      $ 2,499,000      $ —        $ 88,628,226  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

8


Table of Contents

VALIC Company II Conservative Growth Lifestyle Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Domestic Fixed Income Investment Companies

     63.5

Domestic Equity Investment Companies

     23.8  

International Equity Investment Companies

     6.4  

Real Estate Investment Companies

     3.9  

International Fixed Income Investment Companies

     2.4  
    


       100.0
    


 

* Calculated as a percentage of net assets
 

 

9


Table of Contents

VALIC Company II Conservative Growth Lifestyle Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares      Value
(Note 2)
 

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 97.0%

 

Domestic Equity Investment Companies — 23.8%

 

VALIC Co. I Blue Chip Growth Fund

     110,445      $ 1,751,651  

VALIC Co. I Dividend Value Fund

     656,652        7,846,992  

VALIC Co. I Mid Cap Index Fund

     378,371        10,015,483  

VALIC Co. I Mid Cap Strategic Growth Fund

     27,485        362,799  

VALIC Co. I Nasdaq-100 Index Fund

     68,436        762,379  

VALIC Co. I Science & Technology Fund

     32,547        762,242  

VALIC Co. I Small Cap Index Fund

     494,761        10,093,127  

VALIC Co. I Small Cap Special Values Fund

     477,899        6,413,405  

VALIC Co. I Stock Index Fund

     51,009        1,815,393  

VALIC Co. I Value Fund

     55,985        928,225  

VALIC Co. II Capital Appreciation Fund

     222,675        3,792,152  

VALIC Co. II Large Cap Value Fund

     184,803        3,875,323  

VALIC Co. II Mid Cap Growth Fund

     79,022        722,257  

VALIC Co. II Mid Cap Value Fund

     883,903        19,976,204  

VALIC Co. II Small Cap Growth Fund

     87,818        1,387,530  

VALIC Co. II Small Cap Value Fund

     583,566        9,068,619  
             


Total Domestic Equity Investment Companies

                 

(cost $73,030,855)

              79,573,781  
             


Domestic Fixed Income Investment Companies — 63.5%

 

VALIC Co. I Capital Conservation Fund

     1,289,799        12,523,952  

VALIC Co. I Government Securities Fund

     512,705        5,378,270  

VALIC Co. I Inflation Protected Fund

     2,811,441        30,785,277  

VALIC Co. II Core Bond Fund

     3,931,677        43,798,881  

VALIC Co. II High Yield Bond Fund

     5,515,639        43,463,235  

VALIC Co. II Strategic Bond Fund

     6,637,131        75,663,288  
             


Total Domestic Fixed Income Investment Companies

                 

(cost $210,795,515)

              211,612,903  
             


International Equity Investment Companies — 6.4%

 

VALIC Co. I Emerging Economies Fund

     592,625        4,391,349  

VALIC Co. I Foreign Value Fund

     622,583        6,157,348  

VALIC Co. I International Equities Index Fund

     797,847        5,122,179  

VALIC Co. I International Growth Fund

     177,087        2,071,912  

VALIC Co. II International Opportunities Fund

     215,031        3,505,001  
             


Total International Equity Investment Companies

                 

(cost $20,967,522)

              21,247,789  
             


Security Description    Shares     Value
(Note 2)
 

                  

International Fixed Income Investment Companies — 2.4%

 

VALIC Co. I International Government Bond Fund (cost $8,190,509)

     694,322     $ 7,873,606  
            


Real Estate Investment Companies — 3.9%

 

VALIC Co. I Global Real Estate Fund
(cost $14,141,325)

     1,732,451       12,872,112  
            


TOTAL INVESTMENTS

                

(cost $327,125,726)(2)

     100.0     333,180,191  

Liabilities in excess of other assets

     (0.0     (15,297
    


 


NET ASSETS

     100.0   $ 333,164,894  
    


 



# The Conservative Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com.
(1) See Note 3
(2) See Note 5 for cost of investments on a tax basis.
 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable  Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Affiliated Registered Investment Companies

   $ 333,180,191      $         —        $         —        $ 333,180,191  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

10


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Federal National Mtg. Assoc.

     18.1

Federal Home Loan Mtg. Corp.

     14.8  

United States Treasury Notes

     6.9  

Diversified Banking Institutions

     5.5  

United States Treasury Bonds

     5.3  

Diversified Financial Services

     3.7  

Time Deposits

     3.6  

Banks — Commercial

     2.9  

Pipelines

     2.2  

Registered Investment Companies

     2.0  

Auto — Cars/Light Trucks

     1.8  

Oil Companies — Exploration & Production

     1.7  

Government National Mtg. Assoc.

     1.7  

Electric — Integrated

     1.7  

Telephone — Integrated

     1.5  

Oil Companies — Integrated

     1.2  

Cable/Satellite TV

     1.2  

Banks — Super Regional

     1.1  

Insurance — Life/Health

     1.0  

Computers

     1.0  

Diversified Manufacturing Operations

     0.9  

Paper & Related Products

     0.9  

Savings & Loans/Thrifts

     0.9  

Brewery

     0.7  

Insurance — Multi-line

     0.7  

Multimedia

     0.6  

Medical Labs & Testing Services

     0.5  

Real Estate Investment Trusts

     0.5  

Networking Products

     0.4  

Applications Software

     0.4  

Enterprise Software/Service

     0.4  

Finance — Other Services

     0.4  

Insurance — Mutual

     0.4  

Computer Services

     0.4  

Medical — Drugs

     0.4  

Agricultural Chemicals

     0.3  

Medical — Hospitals

     0.3  

Chemicals — Diversified

     0.3  

Electronic Components — Semiconductors

     0.3  

Medical — HMO

     0.3  

Machinery — Farming

     0.3  

Satellite Telecom

     0.3  

Aerospace/Defense — Equipment

     0.3  

Finance — Credit Card

     0.3  

Medical — Biomedical/Gene

     0.3  

Building — Residential/Commercial

     0.3  

Cellular Telecom

     0.3  

Rental Auto/Equipment

     0.3  

Finance — Leasing Companies

     0.3  

Tools — Hand Held

     0.3  

Airlines

     0.2  

Containers — Paper/Plastic

     0.2  

Gambling (Non — Hotel)

     0.2  

Computers — Memory Devices

     0.2  

Auto — Heavy Duty Trucks

     0.2  

Finance — Consumer Loans

     0.2  

Finance — Auto Loans

     0.2  

Food — Misc./Diversified

     0.2  

Sovereign

     0.2  

Chemicals — Specialty

     0.2  

Building Products — Wood

     0.2  

Oil — Field Services

     0.2  

Cosmetics & Toiletries

     0.2  

Cruise Lines

     0.2  

Beverages — Non — alcoholic

     0.2  

Casino Hotels

     0.2  

Machinery — General Industrial

     0.2  

Metal — Copper

     0.2  

Electric — Generation

     0.2  

Printing — Commercial

     0.2  

Coal

     0.2  

Transport — Rail

     0.2  

Banks — Fiduciary

     0.2  

Steel — Producers

     0.2  

Advertising Agencies

     0.2  

Hazardous Waste Disposal

     0.2  

Electric — Distribution

     0.1  

Building Products — Air & Heating

     0.1  

Retail — Drug Store

     0.1  

Real Estate Management/Services

     0.1  

Metal Processors & Fabrication

     0.1  

Independent Power Producers

     0.1  

Beverages — Wine/Spirits

     0.1  

Retail — Discount

     0.1  

Transport — Equipment & Leasing

     0.1  

Pharmacy Services

     0.1  

Medical — Generic Drugs

     0.1  

Computers — Integrated Systems

     0.1  

Containers — Metal/Glass

     0.1  

Energy — Alternate Sources

     0.1  

Telecom Services

     0.1  

Financial Guarantee Insurance

     0.1  

Metal — Iron

     0.1  

Data Processing/Management

     0.1  

SupraNational Banks

     0.1  

Internet Connectivity Services

     0.1  

Retail — Appliances

     0.1  

Food — Dairy Products

     0.1  

Insurance — Reinsurance

     0.1  

Broadcast Services/Program

     0.1  

Internet Content — Entertainment

     0.1  

Food — Retail

     0.1  

Power Converter/Supply Equipment

     0.1  

Aerospace/Defense

     0.1  

Finance — Mortgage Loan/Banker

     0.1  

Food — Wholesale/Distribution

     0.1  

Finance — Investment Banker/Broker

     0.1  

Oil Refining & Marketing

     0.1  

Retail — Restaurants

     0.1  

Marine Services

     0.1  

Office Automation & Equipment

     0.1  

Security Services

     0.1  

Electronic Components — Misc.

     0.1  

Appliances

     0.1  

Building & Construction — Misc.

     0.1  

Batteries/Battery Systems

     0.1  

Telecommunication Equipment

     0.1  

Chemicals — Plastics

     0.1  

Food — Flour & Grain

     0.1  

Gas — Distribution

     0.1  

Soap & Cleaning Preparation

     0.1  

Tennessee Valley Authority

     0.1  

Hotels/Motels

     0.1  

Retail — Building Products

     0.1  

Semiconductor Equipment

     0.1  

Commercial Services — Finance

     0.1  

Home Furnishings

     0.1  

Building Societies

     0.1  

Gold Mining

     0.1  

Travel Services

     0.1  

Transport — Services

     0.1  
    


       102.6
    


 

* Calculated as a percentage of net assets

 

 

 

11


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)

 

Credit Quality†#

 

Aaa

     51.4

Aa

     4.1  

A

     12.4  

Baa

     17.4  

Ba

     5.1  

B

     5.5  

Caa

     1.8  

Not Rated@

     2.3  
    


       100.0
    


 

Source: Moody’s
# Calculated as a percentage of total debt issues
@ Represents debt issues that either have no rating, or the rating is unavailable from the data source.
 

 

12


Table of Contents

 

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

ASSET BACKED SECURITIES — 3.3%

 

Diversified Financial Services — 3.3%

 

American Express Credit Account Master Trust FRS
Series 2014-1, Class A
1.14% due 12/15/2021

   $ 239,000      $ 239,900  

AmeriCredit Automobile Receivables Trust
Series 2013-3, Class D
3.00% due 07/08/2019

     525,000        530,365  

BA Credit Card Trust
Series 2015-A2,Class A
1.36% due 09/15/2020

     1,217,000        1,216,226  

Capital One Multi-Asset Execution Trust
Series 2016-A4, Class A4
1.33% due 06/15/2022

     725,000        717,550  

CarMax Auto Owner Trust
Series 2016-4, ClassA4
1.60% due 06/15/2022

     1,048,000        1,032,859  

CGGS Commercial Mtg. Trust
Series 2016-RNDA, Class AFX
2.76% due 02/10/2033*(1)

     2,800,000        2,818,869  

Chase Mtg. Trust VRS
Series 2016-2, Class M2
3.75% due 12/25/2045*(2)

     1,986,265        1,986,826  

Citibank Credit Card Issuance Trust
Series 2014-A6, Class A6
2.15% due 07/15/2021

     446,000        450,069  

Citigroup Commercial Mtg. Trust
Series 2016-SMPL, Class A
2.23% due 09/10/2031*(1)

     1,753,000        1,721,927  

Citigroup Commercial Mtg. Trust
Series 2014-GC19, Class A2
2.79% due 03/10/2047(1)

     1,478,000        1,501,092  

Citigroup Commercial Mtg. Trust
Series 2014-GC23, Class A2
2.85% due 07/10/2047(1)

     1,392,408        1,415,435  

Commercial Mtg. Trust
Series 2015-DC1, Class A2
2.87% due 02/10/2048(1)

     1,778,000        1,809,804  

Commercial Mtg. Trust
Series 2015-CR24, Class A2
3.02% due 08/10/2048(1)

     145,390        148,814  

Commercial Mtg. Trust
Series 2016-787S, Class A
3.55% due 02/10/2036*(1)

     1,786,000        1,832,457  

Commercial Mtg. Trust VRS
Series 2016-787S, Class B
3.83% due 02/10/2036*(1)

     754,000        784,326  

Core Industrial Trust
Series 2015-CALW, Class A
3.04% due 02/10/2034*(1)

     6,000        6,144  

CSAIL Commercial Mortgage Trust
Series 2015-C1, Class A2
2.97% due 04/15/2050(1)

     86,800        88,692  

CSAIL Commercial Mortgage Trust
Series 2016-C7, Class A5
3.50% due 11/15/2049(1)

     2,200,000        2,226,737  

CSMC Trust
Series 2015-GLPA, Class A
3.88% due 11/15/2037*(1)

     1,500,000        1,586,200  

Discover Card Execution Note Trust
Series 2015-A4, Class A4
2.19% due 04/17/2023

     1,556,000        1,564,228  

Ford Credit Auto Owner Trust
Series 2014-C,Class B
1.97% due 04/15/2020

     1,023,000        1,026,592  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Diversified Financial Services (continued)

 

GS Mtg. Securities Corp. II
Series GC30, Class A2
2.73% due 05/10/2050(1)

   $ 162,750      $ 165,409  

GS Mtg. Securities Trust
Series 2015-GC28, Class A2
2.90% due 02/10/2048(1)

     61,000        62,276  

GS Mtg. Securities Trust
Series 2013-GC14, Class A2
3.00% due 08/10/2046(1)

     3,200,000        3,244,985  

Honda Auto Receivables 2016-2 Owner Trust
Series 2016-2, Class A4
1.62% due 08/15/2022

     512,000        508,823  

Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class A2
2.98% due 07/15/2050(1)

     1,000,000        1,021,694  

Morgan Stanley Capital Barclays Bank Trust
Series 2016-MART, Class A
2.20% due 09/13/2031*(1)

     2,397,000        2,353,006  

Santander Drive Auto Receivables Trust
Series 2014-5, Class C
2.46% due 06/15/2020

     620,000        624,357  

Synchrony Credit Card Master Note Trust
Series 2016-1, Class A
2.04% due 03/15/2022

     350,000        351,531  

Synchrony Credit Card Master Note Trust
Series 2016-2, Class A
2.21% due 05/15/2024

     277,000        275,773  

Taco Bell Funding LLC
Series 2016-1A, Class A2I
3.83% due 05/25/2046*

     521,380        523,230  
             


Total Asset Backed Securities

                 

(cost $34,035,585)

              33,836,196  
             


U.S. CORPORATE BONDS & NOTES — 36.4%

 

Advertising Agencies — 0.2%

 

Interpublic Group of Cos., Inc.
Senior Notes
4.20% due 04/15/2024

     611,000        632,708  

Omnicom Group, Inc.
Company Guar. Notes
3.60% due 04/15/2026

     942,000        945,134  
             


                1,577,842  
             


Aerospace/Defense — 0.1%

 

Boeing Co.
Senior Notes
3.65% due 03/01/2047

     875,000        846,478  
             


Aerospace/Defense - Equipment — 0.3%

 

Harris Corp.
Senior Notes
4.85% due 04/27/2035

     1,054,000        1,137,439  

L-3 Technologies, Inc.
Company Guar. Notes
3.85% due 12/15/2026

     716,000        725,802  

Moog, Inc.
Company Guar. Notes
5.25% due 12/01/2022*

     409,000        419,225  

Triumph Group, Inc.
Company Guar. Notes
4.88% due 04/01/2021

     305,000        290,512  

Triumph Group, Inc.
Company Guar. Notes
5.25% due 06/01/2022

     470,000        444,150  
             


                3,017,128  
             


 

 

13


Table of Contents

 

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Agricultural Chemicals — 0.3%

 

CF Industries, Inc.
Senior Sec. Notes
3.40% due 12/01/2021*

   $ 320,000      $ 321,065  

CF Industries, Inc.
Senior Sec. Notes
4.50% due 12/01/2026*

     1,619,000        1,658,533  

Mosaic Co.
Senior Notes
4.88% due 11/15/2041

     914,000        857,931  

Mosaic Co.
Senior Notes
5.45% due 11/15/2033

     619,000        645,323  
             


                3,482,852  
             


Airlines — 0.2%

 

Allegiant Travel Co.
Company Guar. Notes
5.50% due 07/15/2019

     447,000        460,410  

American Airlines Pass-Through Trust
Pass-Through Certs.
Series 2017-1, Class AA
3.65% due 02/15/2029

     1,395,000        1,412,438  

Atlas Air, Inc.
Pass-Through Certs.
Series 1999-1, Class B
7.63% due 01/02/2018(5)

     45,115        45,277  

United Airlines Pass-Through Trust
Pass-Through Certs.
Series 2014-2, Class B
4.63% due 03/03/2024

     605,832        618,706  
             


                2,536,831  
             


Appliances — 0.1%

 

Whirlpool Corp.
Senior Notes
4.50% due 06/01/2046

     634,000        638,993  
             


Applications Software — 0.4%

 

Microsoft Corp.
Senior Notes
2.88% due 02/06/2024

     713,000        717,908  

Microsoft Corp.
Senior Notes
3.30% due 02/06/2027

     1,141,000        1,163,913  

Microsoft Corp.
Senior Notes
3.45% due 08/08/2036

     440,000        421,050  

Microsoft Corp.
Senior Notes
3.70% due 08/08/2046

     426,000        403,073  

Microsoft Corp.
Senior Notes
4.10% due 02/06/2037

     1,199,000        1,243,054  

Nuance Communications, Inc.
Company Guar. Notes
5.63% due 12/15/2026*

     390,000        398,287  
             


                4,347,285  
             


Auto - Cars/Light Trucks — 1.8%

 

American Honda Finance Corp.
Senior Notes
1.20% due 07/12/2019

     1,383,000        1,365,722  

American Honda Finance Corp.
Senior Notes
2.00% due 02/14/2020

     1,015,000        1,016,959  

BMW US Capital LLC
Company Guar. Notes
1.50% due 04/11/2019*#

     1,015,000        1,010,107  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Auto - Cars/Light Trucks (continued)

 

Daimler Finance North America LLC
Company Guar. Notes
1.50% due 07/05/2019*#

   $ 1,497,000      $ 1,479,299  

Daimler Finance North America LLC
Company Guar. Notes
2.00% due 07/06/2021*

     911,000        888,112  

Daimler Finance North America LLC
Company Guar. Notes
2.30% due 01/06/2020*

     834,000        836,473  

Daimler Finance North America LLC
Company Guar. Notes
2.45% due 05/18/2020*

     1,839,000        1,843,710  

Ford Motor Co.
Senior Notes
4.35% due 12/08/2026#

     1,068,000        1,098,296  

Ford Motor Co.
Senior Notes
5.29% due 12/08/2046#

     812,000        839,527  

Ford Motor Credit Co. LLC
Senior Notes
2.02% due 05/03/2019

     1,314,000        1,307,572  

Ford Motor Credit Co. LLC
Senior Notes
3.10% due 05/04/2023

     1,309,000        1,287,824  

Hyundai Capital America
Senior Notes
2.40% due 10/30/2018*

     2,238,000        2,246,460  

Toyota Motor Credit Corp.
Senior Notes
1.70% due 01/09/2019

     2,371,000        2,377,032  

Toyota Motor Credit Corp.
Senior Notes
2.00% due 10/24/2018

     738,000        743,711  
             


                18,340,804  
             


Auto - Heavy Duty Trucks — 0.2%

 

JB Poindexter & Co., Inc.
Senior Notes
9.00% due 04/01/2022*

     597,000        626,104  

PACCAR Financial Corp.
Senior Notes
2.20% due 09/15/2019

     1,620,000        1,633,698  
             


                2,259,802  
             


Banks - Commercial — 1.3%

 

BankUnited, Inc.
Senior Notes
4.88% due 11/17/2025

     2,256,000        2,255,172  

Citizens Bank NA
Senior Notes
2.55% due 05/13/2021

     514,000        513,012  

Discover Bank
Senior Notes
3.45% due 07/27/2026

     757,000        741,774  

Fifth Third Bank
Senior Notes
1.63% due 09/27/2019

     700,000        692,505  

Fifth Third Bank
Senior Notes
2.30% due 03/15/2019

     450,000        453,654  

Fifth Third Bank
Senior Notes
2.88% due 10/01/2021

     823,000        834,836  

First Horizon National Corp.
Senior Notes
3.50% due 12/15/2020

     3,712,000        3,799,740  
 

 

14


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Banks - Commercial (continued)

 

First Republic Bank
Sub. Notes
4.63% due 02/13/2047

   $ 413,000      $ 417,593  

First Tennessee Bank NA
Senior Notes
2.95% due 12/01/2019

     979,000        990,746  

Regions Financial Corp.
Senior Notes
3.20% due 02/08/2021

     428,000        436,378  

Regions Financial Corp.
Sub. Notes
7.38% due 12/10/2037

     1,907,000        2,380,884  
             


                13,516,294  
             


Banks - Fiduciary — 0.2%

 

Citizens Financial Group, Inc.
Sub. Notes
4.15% due 09/28/2022*

     1,570,000        1,614,836  
             


Banks - Super Regional — 0.9%

 

JPMorgan Chase Bank NA
Senior Notes
1.65% due 09/23/2019

     1,985,000        1,979,319  

Wells Fargo & Co.
Senior Notes
3.00% due 10/23/2026

     2,802,000        2,690,629  

Wells Fargo & Co.
Senior Notes
3.07% due 01/24/2023#

     1,970,000        1,979,277  

Wells Fargo & Co.
Sub. Notes
4.10% due 06/03/2026

     367,000        375,503  

Wells Fargo & Co.
Sub. Notes
4.30% due 07/22/2027

     961,000        1,000,434  

Wells Fargo & Co.
Sub. Notes
4.40% due 06/14/2046

     133,000        130,887  

Wells Fargo & Co.
Sub. Notes
4.75% due 12/07/2046

     834,000        870,024  

Wells Fargo & Co.
Sub. Notes
4.90% due 11/17/2045

     194,000        205,864  
             


                9,231,937  
             


Batteries/Battery Systems — 0.1%

 

EnerSys
Company Guar. Notes
5.00% due 04/30/2023*

     605,000        615,587  
             


Brewery — 0.7%

 

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
1.90% due 02/01/2019#

     753,000        755,480  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
2.65% due 02/01/2021

     1,408,000        1,423,713  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
3.30% due 02/01/2023

     617,000        630,581  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
4.70% due 02/01/2036

     1,481,000        1,592,724  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
4.90% due 02/01/2046

     835,000        916,560  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Brewery (continued)

 

Anheuser-Busch InBev Worldwide, Inc.
Company Guar. Notes
1.38% due 07/15/2017

   $ 2,222,000      $ 2,223,155  
             


                7,542,213  
             


Broadcast Services/Program — 0.1%

 

Clear Channel Worldwide Holdings, Inc.
Company Guar. Notes
Series A
6.50% due 11/15/2022

     911,000        920,110  
             


Building & Construction Products-Misc. — 0.0%

 

Standard Industries, Inc.
Senior Notes
5.00% due 02/15/2027*

     381,000        388,620  
             


Building & Construction-Misc. — 0.1%

 

Weekley Homes LLC/Weekley Finance Corp.
Senior Notes
6.00% due 02/01/2023

     650,000        627,250  
             


Building Products - Air & Heating — 0.1%

 

Lennox International, Inc.
Company Guar. Notes
3.00% due 11/15/2023

     1,240,000        1,224,289  
             


Building Products - Wood — 0.2%

 

Boise Cascade Co.
Company Guar. Notes
5.63% due 09/01/2024*#

     600,000        613,500  

Masco Corp.
Senior Notes
4.45% due 04/01/2025

     1,336,000        1,390,843  
             


                2,004,343  
             


Building - Residential/Commercial — 0.2%

 

Lennar Corp.
Company Guar. Notes
4.13% due 01/15/2022#

     1,144,000        1,158,300  

Meritage Homes Corp.
Company Guar. Notes
7.00% due 04/01/2022

     500,000        561,250  
             


                1,719,550  
             


Cable/Satellite TV — 0.8%

 

Block Communications, Inc.
Senior Notes
6.88% due 02/15/2025*

     544,000        575,334  

Cablevision Systems Corp.
Senior Notes
5.88% due 09/15/2022#

     575,000        589,375  

Charter Communications Operating LLC/Charter
Communications Operating Capital
Senior Sec. Notes
3.58% due 07/23/2020

     692,000        711,736  

Charter Communications Operating LLC/Charter
Communications Operating Capital
Senior Sec. Notes
4.91% due 07/23/2025

     1,722,000        1,813,960  

Charter Communications Operating LLC/Charter
Communications Operating Capital
Senior Sec. Notes
6.38% due 10/23/2035

     1,499,000        1,712,762  

Charter Communications Operating LLC/Charter
Communications Operating Capital
Senior Sec. Notes
6.48% due 10/23/2045

     398,000        461,948  
 

 

15


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Cable/Satellite TV (continued)

 

Comcast Corp.
Company Guar. Notes
3.20% due 07/15/2036

   $ 720,000      $ 644,222  

Comcast Corp.
Company Guar. Notes
3.40% due 07/15/2046

     380,000        329,380  

CSC Holdings LLC
Company Guar. Notes
5.50% due 04/15/2027*

     300,000        308,625  

DISH DBS Corp.
Company Guar. Notes
7.75% due 07/01/2026

     729,000        852,930  
             


                8,000,272  
             


Casino Hotels — 0.2%

 

Chester Downs & Marina LLC
Senior Sec. Notes
9.25% due 02/01/2020*

     836,000        840,698  

Downstream Development Authority of the Quapaw Tribe of Oklahoma
Senior Sec. Notes
10.50% due 07/01/2019*

     413,000        409,903  

Golden Nugget Escrow, Inc.
Senior Notes
8.50% due 12/01/2021*

     628,000        670,390  
             


                1,920,991  
             


Cellular Telecom — 0.3%

 

Sprint Corp.
Company Guar. Notes
7.25% due 09/15/2021

     1,860,000        2,027,400  

T-Mobile USA, Inc.
Company Guar. Notes
6.54% due 04/28/2020

     654,000        671,985  
             


                2,699,385  
             


Chemicals - Diversified — 0.2%

 

Eastman Chemical Co.
Senior Notes
4.65% due 10/15/2044

     588,000        602,221  

Hexion, Inc.
Senior Sec. Notes
6.63% due 04/15/2020

     470,000        437,100  

Hexion, Inc.
Senior Sec. Notes
10.38% due 02/01/2022*#

     105,000        108,150  

Westlake Chemical Corp.
Company Guar. Notes
3.60% due 08/15/2026*

     874,000        858,744  
             


                2,006,215  
             


Chemicals - Plastics — 0.1%

 

A. Schulman, Inc.
Company Guar. Notes
6.88% due 06/01/2023*

     554,000        584,470  
             


Chemicals - Specialty — 0.2%

 

HB Fuller Co.
Senior Notes
4.00% due 02/15/2027#

     535,000        538,128  

Lubrizol Corp.
Company Guar. Notes
6.50% due 10/01/2034

     550,000        712,253  

Unifrax I LLC/Unifrax Holding Co.
Company Guar. Notes
7.50% due 02/15/2019*

     791,000        789,022  
             


                2,039,403  
             


Security Description    Principal
Amount
     Value
(Note 2)
 

   

Coal — 0.2%

 

Peabody Securities Finance Corp.
Senior Sec. Notes
6.00% due 03/31/2022*

   $ 552,000      $ 563,040  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.
Company Guar. Notes
7.38% due 02/01/2020

     1,134,000        1,156,680  
             


                1,719,720  
             


Coatings/Paint — 0.0%

 

RPM International, Inc.
Senior Notes
3.75% due 03/15/2027

     484,000        484,697  
             


Commercial Services - Finance — 0.1%

 

Automatic Data Processing, Inc.
Senior Notes
2.25% due 09/15/2020

     547,000        552,288  
             


Computer Services — 0.4%

 

Harland Clarke Holdings Corp.
Senior Notes
8.38% due 08/15/2022*

     560,000        578,550  

Harland Clarke Holdings Corp.
Senior Notes
9.25% due 03/01/2021*

     812,000        783,580  

Hewlett Packard Enterprise Co.
Senior Notes
6.20% due 10/15/2035#

     1,900,000        2,016,924  

Leidos Holdings, Inc.
Company Guar. Notes
4.45% due 12/01/2020

     525,000        546,074  
             


                3,925,128  
             


Computers — 1.0%

 

Apple, Inc.
Senior Notes
2.45% due 08/04/2026#

     815,000        772,681  

Apple, Inc.
Senior Notes
2.85% due 05/06/2021

     1,080,000        1,107,609  

Apple, Inc.
Senior Notes
2.85% due 02/23/2023

     1,130,000        1,138,706  

Apple, Inc.
Senior Notes
4.50% due 02/23/2036

     461,000        500,879  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.
Senior Sec. Notes
6.02% due 06/15/2026*

     3,303,000        3,631,896  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.
Senior Sec. Notes
8.10% due 07/15/2036*

     1,240,000        1,564,740  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.
Senior Sec. Notes
8.35% due 07/15/2046*

     825,000        1,075,836  
             


                9,792,347  
             


Computers - Integrated Systems — 0.1%

 

Diebold, Inc.
Company Guar. Notes
8.50% due 04/15/2024

     1,079,000        1,184,202  
             


Computers - Memory Devices — 0.1%

 

Western Digital Corp.
Company Guar. Notes
10.50% due 04/01/2024

     628,000        734,760  
             


 

 

16


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Containers - Metal/Glass — 0.1%

 

Crown Cork & Seal Co., Inc.
Company Guar. Notes
7.38% due 12/15/2026

   $ 483,000      $ 554,242  

Owens-Brockway Glass Container, Inc.
Company Guar. Notes
5.38% due 01/15/2025*

     600,000        618,750  
             


                1,172,992  
             


Containers - Paper/Plastic — 0.2%

 

Amcor Finance USA, Inc.
Company Guar. Notes
3.63% due 04/28/2026*

     1,287,000        1,278,313  

Brambles USA, Inc.
Company Guar. Notes
4.13% due 10/23/2025*

     446,000        458,126  

Multi-Color Corp.
Company Guar. Notes
6.13% due 12/01/2022*

     650,000        679,250  
             


                2,415,689  
             


Cosmetics & Toiletries — 0.2%

 

Estee Lauder Cos., Inc.
Senior Bonds
4.15% due 03/15/2047

     506,000        512,545  

Procter & Gamble Co.
Senior Notes
1.70% due 11/03/2021

     1,463,000        1,438,321  
             


                1,950,866  
             


Data Processing/Management — 0.1%

 

Fidelity National Information Services, Inc.
Senior Notes
4.50% due 08/15/2046

     541,000        527,836  

Fidelity National Information Services, Inc.
Senior Notes
5.00% due 10/15/2025

     453,000        496,167  
             


                1,024,003  
             


Distribution/Wholesale — 0.0%

 

WW Grainger, Inc.
Senior Notes
3.75% due 05/15/2046

     504,000        483,003  
             


Diversified Banking Institutions — 3.9%

 

Bank of America Corp.
Senior Notes
2.50% due 10/21/2022

     1,290,000        1,255,126  

Bank of America Corp.
FRS Senior Notes
3.12% due 01/20/2023

     3,223,000        3,232,547  

Bank of America Corp.
Sub. Notes
3.95% due 04/21/2025

     543,000        545,017  

Bank of America Corp.
Sub. Notes
4.18% due 11/25/2027

     1,043,000        1,050,425  

Bank of America Corp.
Sub. Notes
4.25% due 10/22/2026

     1,513,000        1,542,137  

Bank of America Corp.
Sub. Notes
6.11% due 01/29/2037

     1,681,000        1,997,601  

Bank of America Corp.
Sub. Notes
7.25% due 10/15/2025

     75,000        90,314  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Diversified Banking Institutions (continued)

 

Citigroup, Inc.
Sub. Notes
3.88% due 03/26/2025

   $ 183,000      $ 182,265  

Citigroup, Inc.
Sub. Notes
4.40% due 06/10/2025

     2,229,000        2,289,598  

Citigroup, Inc.
Sub. Notes
4.45% due 09/29/2027

     3,595,000        3,681,161  

Citigroup, Inc.
Sub. Notes
6.00% due 10/31/2033#

     622,000        713,575  

Goldman Sachs Group, Inc.
FRS Senior Notes
2.79% due 10/28/2027

     1,007,000        1,033,934  

Goldman Sachs Group, Inc.
Senior Notes
3.50% due 11/16/2026

     1,094,000        1,077,662  

Goldman Sachs Group, Inc.
Senior Notes
3.63% due 01/22/2023

     1,286,000        1,319,905  

Goldman Sachs Group, Inc.
Senior Notes
4.75% due 10/21/2045

     395,000        420,532  

Goldman Sachs Group, Inc.
Sub. Notes
5.15% due 05/22/2045

     851,000        906,940  

Goldman Sachs Group, Inc.
Senior Notes
6.13% due 02/15/2033

     1,627,000        1,986,606  

Goldman Sachs Group, Inc.
Sub. Notes
6.75% due 10/01/2037

     1,174,000        1,465,062  

JPMorgan Chase & Co.
Senior Notes
2.20% due 10/22/2019

     1,856,000        1,866,783  

JPMorgan Chase & Co.
Senior Notes
2.55% due 03/01/2021

     1,250,000        1,254,208  

JPMorgan Chase & Co.
Senior Notes
2.70% due 05/18/2023

     472,000        462,902  

JPMorgan Chase & Co.
Sub. Notes
3.63% due 12/01/2027#

     1,425,000        1,390,492  

JPMorgan Chase & Co.
Sub. Notes
4.13% due 12/15/2026

     1,240,000        1,270,557  

JPMorgan Chase & Co. FRS
Senior Notes
4.26% due 02/22/2048

     1,129,000        1,138,516  

Morgan Stanley
Senior Notes
2.13% due 04/25/2018

     722,000        726,144  

Morgan Stanley
Senior Notes
2.80% due 06/16/2020

     663,000        672,619  

Morgan Stanley
Sub. Notes
4.10% due 05/22/2023

     2,854,000        2,961,856  

Morgan Stanley
Senior Notes
4.38% due 01/22/2047

     747,000        759,269  
 

 

17


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Diversified Banking Institutions (continued)

 

Morgan Stanley
Sub. Notes
5.00% due 11/24/2025

   $ 3,098,000      $ 3,341,051  
             


                40,634,804  
             


Diversified Financial Services — 0.2%

 

USAA Capital Corp.
Senior Notes
2.13% due 06/03/2019*

     1,623,000        1,630,828  
             


Diversified Manufacturing Operations — 0.9%

 

General Electric Co.
Senior Notes
2.70% due 10/09/2022

     2,432,000        2,462,052  

Illinois Tool Works, Inc.
Senior Notes
2.65% due 11/15/2026#

     1,115,000        1,078,910  

Ingersoll-Rand Global Holding Co., Ltd.
Company Guar. Notes
5.75% due 06/15/2043

     1,521,000        1,834,988  

Parker-Hannifin Corp.
Senior Notes
3.25% due 03/01/2027*

     692,000        697,194  

Parker-Hannifin Corp.
Senior Notes
4.10% due 03/01/2047*

     545,000        552,117  

Textron, Inc.
Senior Notes
3.65% due 03/15/2027

     856,000        855,748  

Textron, Inc.
Senior Notes
4.00% due 03/15/2026

     1,001,000        1,023,427  

Trinity Industries, Inc.
Company Guar. Notes
4.55% due 10/01/2024

     777,000        780,396  
             


                9,284,832  
             


Electric - Distribution — 0.0%

 

Entergy Louisiana LLC
1st Mtg. Notes
4.70% due 01/15/2045

     402,000        415,803  
             


Electric - Integrated — 1.5%

 

AES Corp.
Senior Notes
5.50% due 03/15/2024#

     779,000        794,580  

Consolidated Edison Co. of New York, Inc.
Senior Notes
4.30% due 12/01/2056

     583,000        596,172  

Dominion Resources, Inc.
Junior Sub. Notes
2.96% due 07/01/2019

     412,000        417,184  

Dominion Resources, Inc.
Senior Notes
5.25% due 08/01/2033

     1,459,000        1,594,843  

Duke Energy Corp.
Senior Notes
3.75% due 09/01/2046

     783,000        720,787  

Duke Energy Progress LLC
1st Mtg. Notes
2.80% due 05/15/2022

     1,018,000        1,035,613  

Exelon Generation Co. LLC
Senior Notes
2.95% due 01/15/2020

     785,000        794,773  

FirstEnergy Corp.
Senior Notes
7.38% due 11/15/2031

     866,000        1,141,493  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Electric - Integrated (continued)

 

Massachusetts Electric Co.
Notes
4.00% due 08/15/2046*

   $ 2,264,000      $ 2,203,495  

Mirant Mid Atlantic LLC Pass Through Trust Pass-Through Certs.
Class C
10.06% due 12/30/2028

     705,389        629,560  

Pacific Gas & Electric Co.
Senior Notes
4.00% due 12/01/2046

     1,125,000        1,129,973  

South Carolina Electric & Gas Co.
1st Mtg. Bonds
5.10% due 06/01/2065

     606,000        661,800  

Southern California Edison Co.
1st Mtg. Bonds
1.13% due 05/01/2017

     1,496,000        1,496,344  

Southern Co.
Senior Notes
1.30% due 08/15/2017

     1,198,000        1,197,911  

Southern Power Co.
Senior Notes
4.95% due 12/15/2046

     640,000        647,462  

Trans-Allegheny Interstate Line Co.
Senior Notes
3.85% due 06/01/2025*

     224,000        230,540  
             


                15,292,530  
             


Electric - Transmission — 0.0%

 

AEP Transmission Co. LLC
Senior Notes
4.00% due 12/01/2046*

     337,000        341,870  
             


Electronic Components - Misc. — 0.1%

 

Corning, Inc.
Senior Notes
1.50% due 05/08/2018

     667,000        666,280  
             


Electronic Components - Semiconductors — 0.3%

 

Broadcom Corp./Broadcom Cayman Finance, Ltd.
Company Guar. Notes
3.88% due 01/15/2027*

     1,990,000        2,003,853  

Intel Corp.
Senior Notes
1.35% due 12/15/2017

     1,180,000        1,181,155  
             


                3,185,008  
             


Energy - Alternate Sources — 0.1%

 

Pattern Energy Group, Inc.
Company Guar. Notes
5.88% due 02/01/2024*

     278,000        285,297  

TerraForm Power Operating LLC
Company Guar. Notes
6.38% due 02/01/2023*

     820,000        848,700  
             


                1,133,997  
             


Enterprise Software/Service — 0.4%

 

Donnelley Financial Solutions, Inc.
Senior Notes
8.25% due 10/15/2024*

     627,000        650,513  

Oracle Corp.
Senior Notes
1.90% due 09/15/2021

     1,381,000        1,356,763  

Oracle Corp.
Senior Notes
3.85% due 07/15/2036

     1,862,000        1,850,519  

Oracle Corp.
Senior Notes
3.90% due 05/15/2035

     309,000        308,443  
             


                4,166,238  
             


 

 

18


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

zSecurity Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Finance - Auto Loans — 0.2%

 

Ally Financial, Inc.
Sub. Notes
5.75% due 11/20/2025#

   $ 1,349,000      $ 1,424,881  

Credit Acceptance Corp.
Company Guar. Notes
7.38% due 03/15/2023

     746,000        769,313  
             


                2,194,194  
             


Finance - Commercial — 0.0%

 

Jefferies Finance LLC/JFIN Co-Issuer Corp.
Senior Notes
6.88% due 04/15/2022*

     223,000        216,868  

Jefferies Finance LLC/JFIN Co-Issuer Corp.
Senior Notes
7.38% due 04/01/2020*

     220,000        223,850  
             


                440,718  
             


Finance - Consumer Loans — 0.2%

 

Enova International, Inc.
Company Guar. Notes
9.75% due 06/01/2021

     1,113,000        1,140,825  

Navient Corp.
Senior Notes
5.63% due 08/01/2033

     883,000        715,230  

OneMain Financial Holdings LLC
Company Guar. Notes
6.75% due 12/15/2019*

     349,000        365,361  
             


                2,221,416  
             


Finance - Credit Card — 0.3%

 

Alliance Data Systems Corp.
Company Guar. Notes
5.88% due 11/01/2021*

     600,000        621,000  

American Express Credit Corp.
Senior Notes
1.70% due 10/30/2019#

     986,000        979,084  

American Express Credit Corp.
Senior Notes
2.25% due 05/05/2021#

     1,373,000        1,363,444  
             


                2,963,528  
             


Finance - Investment Banker/Broker — 0.1%

 

Lehman Brothers Holdings, Inc.
Escrow Notes
6.75% due 12/28/2017(5)(6)†

     179,000        18  

Lehman Brothers Holdings, Inc.
Escrow Notes
7.50% due 05/11/2038(5)(6)†

     230,000        23  

TD Ameritrade Holding Corp.
Senior Notes
2.95% due 04/01/2022

     794,000        807,468  
             


                807,509  
             


Finance - Leasing Companies — 0.1%

 

International Lease Finance Corp.
Senior Notes
5.88% due 08/15/2022

     795,000        897,221  
             


Finance - Mortgage Loan/Banker — 0.1%

 

Quicken Loans, Inc.
Company Guar. Notes
5.75% due 05/01/2025*#

     850,000        837,250  
             


Finance - Other Services — 0.3%

 

CBOE Holdings, Inc.
Senior Notes
3.65% due 01/12/2027

     1,082,000        1,094,336  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Finance - Other Services (continued)

 

National Rural Utilities Cooperative Finance Corp.
Senior Notes
0.95% due 04/24/2017

   $ 588,000      $ 587,856  

National Rural Utilities Cooperative Finance Corp.
Collateral Trust Bonds
2.00% due 01/27/2020

     1,116,000        1,112,233  

National Rural Utilities Cooperative Finance Corp.
Collateral Trust Bonds
2.30% due 11/01/2020#

     531,000        528,992  
             


                3,323,417  
             


Firearms & Ammunition — 0.0%

 

FGI Operating Co. LLC/FGI Finance, Inc.
Sec. Notes
7.88% due 05/01/2020

     451,000        369,820  
             


Food - Flour & Grain — 0.1%

 

Post Holdings, Inc.
Company Guar. Notes
5.50% due 03/01/2025*#

     570,000        580,687  
             


Food - Meat Products — 0.0%

 

Smithfield Foods, Inc.
Company Guar. Notes
4.25% due 02/01/2027*

     414,000        423,005  
             


Food - Misc./Diversified — 0.2%

 

ConAgra Foods, Inc.
Senior Notes
3.20% due 01/25/2023

     588,000        588,998  

Kraft Heinz Foods Co.
Sec. Notes
4.88% due 02/15/2025*

     1,441,000        1,540,194  
             


                2,129,192  
             


Food - Retail — 0.1%

 

Albertsons Cos. LLC/Safeway, Inc.
Senior Notes
5.75% due 03/15/2025*

     465,000        465,872  

Albertsons Cos. LLC/Safeway, Inc.
Senior Notes
6.63% due 06/15/2024*

     402,000        426,120  
             


                891,992  
             


Food - Wholesale/Distribution — 0.1%

 

C&S Group Enterprises LLC
Senior Sec. Notes
5.38% due 07/15/2022*

     841,000        830,487  
             


Gambling (Non-Hotel) — 0.2%

 

Mohegan Tribal Gaming Authority
Company Guar. Notes
7.88% due 10/15/2024*#

     1,170,000        1,199,344  

Scientific Games International, Inc.
Company Guar. Notes
10.00% due 12/01/2022

     1,105,000        1,172,681  

Waterford Gaming LLC/Waterford Gaming Financial Corp.
Escrow Notes
8.63% due 09/15/2014*(5)(6)†

     5,223        67  
             


                2,372,092  
             


Gas - Distribution — 0.1%

 

Dominion Gas Holdings LLC
Senior Notes
4.80% due 11/01/2043

     546,000        575,595  
             


Hazardous Waste Disposal — 0.1%

 

Clean Harbors, Inc.
Company Guar. Notes
5.13% due 06/01/2021

     534,000        546,015  
             


 

 

19


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Home Decoration Products — 0.0%

 

Newell Rubbermaid, Inc.
Senior Notes
5.38% due 04/01/2036

   $ 394,000      $ 449,231  
             


Home Furnishings — 0.1%

 

Tempur Sealy International, Inc.
Company Guar. Notes
5.50% due 06/15/2026#

     556,000        546,270  
             


Hotels/Motels — 0.1%

 

Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc.
Company Guar. Notes
6.13% due 12/01/2024*

     529,000        558,095  
             


Independent Power Producers — 0.1%

 

Calpine Corp.
Senior Notes
5.50% due 02/01/2024#

     690,000        683,100  

Dynegy, Inc.
Company Guar. Notes
7.38% due 11/01/2022#

     491,000        482,407  

Dynegy, Inc.
Company Guar. Notes
8.00% due 01/15/2025*#

     300,000        285,000  
             


                1,450,507  
             


Industrial Gases — 0.0%

 

Airgas, Inc.
Company Guar. Notes
3.05% due 08/01/2020

     372,000        382,701  
             


Insurance Brokers — 0.0%

 

Marsh & McLennan Cos., Inc.
Senior Notes
4.35% due 01/30/2047#

     232,000        236,909  
             


Insurance - Life/Health — 0.7%

 

Aflac, Inc.
Senior Notes
4.00% due 10/15/2046

     712,000        683,037  

Jackson National Life Global Funding
Sec. Notes
3.05% due 04/29/2026*

     1,267,000        1,233,379  

Pacific LifeCorp
Senior Notes
6.00% due 02/10/2020*

     582,000        633,257  

Pricoa Global Funding I
Senior Sec. Notes
1.35% due 08/18/2017*

     1,429,000        1,429,400  

Pricoa Global Funding I
Senior Sec. Notes
1.60% due 05/29/2018*

     2,643,000        2,643,114  

Unum Group
Senior Notes
5.75% due 08/15/2042

     418,000        470,892  
             


                7,093,079  
             


Insurance - Multi-line — 0.4%

 

Assurant, Inc.
Senior Notes
6.75% due 02/15/2034

     862,000        1,043,975  

MetLife, Inc.
Senior Notes
4.60% due 05/13/2046#

     592,000        629,621  

Metropolitan Life Global Funding I
Sec. Notes
2.30% due 04/10/2019*

     2,231,000        2,252,146  
             


                3,925,742  
             


Security Description    Principal
Amount
     Value
(Note 2)
 

   

Insurance - Mutual — 0.4%

 

Massachusetts Mutual Life Insurance Co.
Sub. Notes
4.50% due 04/15/2065*

   $ 740,000      $ 708,622  

MassMutual Global Funding II
Senior Sec. Notes
2.35% due 04/09/2019*

     1,625,000        1,642,971  

MassMutual Global Funding II
Senior Sec. Notes
2.50% due 10/17/2022*

     483,000        473,460  

New York Life Global Funding
Sec. Notes
2.10% due 01/02/2019*

     1,136,000        1,144,761  
             


                3,969,814  
             


Insurance - Reinsurance — 0.1%

 

Berkshire Hathaway, Inc.
Senior Notes
1.15% due 08/15/2018

     976,000        971,205  
             


Internet Connectivity Services — 0.1%

 

Cogent Communications Group, Inc.
Senior Sec. Notes
5.38% due 03/01/2022*

     371,000        385,840  

Zayo Group LLC/Zayo Capital, Inc.
Company Guar. Notes
6.38% due 05/15/2025

     565,000        608,787  
             


                994,627  
             


Internet Content - Entertainment — 0.1%

 

Netflix, Inc.
Senior Notes
5.88% due 02/15/2025

     836,000        903,925  
             


Investment Management/Advisor Services — 0.0%

 

Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance
Senior Notes
5.00% due 08/01/2021*

     343,000        333,568  
             


Machinery - Construction & Mining — 0.0%

 

Terex Corp.
Company Guar. Notes
5.63% due 02/01/2025*

     396,000        406,395  
             


Machinery - Farming — 0.3%

 

John Deere Capital Corp.
Senior Notes
1.13% due 06/12/2017

     1,728,000        1,728,899  

John Deere Capital Corp.
Senior Notes
2.65% due 01/06/2022#

     1,423,000        1,434,405  
             


                3,163,304  
             


Machinery - General Industrial — 0.1%

 

Roper Technologies, Inc.
Senior Notes
3.80% due 12/15/2026

     378,000        382,083  

Wabtec Corp.
Company Guar. Notes
3.45% due 11/15/2026*

     892,000        869,150  
             


                1,251,233  
             


Marine Services — 0.1%

 

Great Lakes Dredge & Dock Corp.
Company Guar. Notes
7.38% due 02/01/2019

     764,000        762,090  
             


 

 

20


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Medical Labs & Testing Services — 0.5%

 

Laboratory Corp. of America Holdings
Senior Notes
3.20% due 02/01/2022

   $ 312,000      $ 313,546  

Quest Diagnostics, Inc.
Senior Notes
3.45% due 06/01/2026

     726,000        720,050  

Roche Holdings, Inc.
Company Guar. Notes
1.35% due 09/29/2017*#

     2,037,000        2,039,051  

Roche Holdings, Inc.
Company Guar. Notes
1.75% due 01/28/2022*#

     1,011,000        977,872  

Roche Holdings, Inc.
Company Guar. Notes
2.25% due 09/30/2019*

     1,595,000        1,610,015  
             


                5,660,534  
             


Medical Products — 0.0%

 

Becton Dickinson and Co.
Senior Notes
3.13% due 11/08/2021

     451,000        461,885  
             


Medical - Biomedical/Gene — 0.3%

 

Amgen, Inc.
Senior Notes
4.40% due 05/01/2045

     494,000        484,410  

Baxalta, Inc.
Company Guar. Notes
3.60% due 06/23/2022

     950,000        965,832  

Celgene Corp.
Senior Notes
3.63% due 05/15/2024

     1,057,000        1,065,903  

Gilead Sciences, Inc.
Senior Notes
4.00% due 09/01/2036#

     382,000        368,106  
             


                2,884,251  
             


Medical - Drugs — 0.3%

 

Forest Laboratories LLC
Company Guar. Notes
4.88% due 02/15/2021*

     1,139,000        1,231,810  

Johnson & Johnson
Senior Notes
3.63% due 03/03/2037

     1,736,000        1,731,591  
             


                2,963,401  
             


Medical - HMO — 0.3%

 

Centene Corp.
Senior Notes
4.75% due 01/15/2025

     570,000        586,387  

UnitedHealth Group, Inc.
Senior Notes
1.40% due 12/15/2017

     944,000        944,696  

UnitedHealth Group, Inc.
Senior Notes
2.13% due 03/15/2021

     971,000        963,335  

UnitedHealth Group, Inc.
Senior Notes
3.35% due 07/15/2022

     663,000        689,205  
             


                3,183,623  
             


Medical - Hospitals — 0.3%

 

CHS/Community Health Systems, Inc.
Company Guar. Notes
6.88% due 02/01/2022

     1,070,000        938,925  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Medical - Hospitals (continued)

 

HCA, Inc.
Senior Sec. Notes
5.25% due 06/15/2026

   $ 513,000      $ 541,856  

HCA, Inc.
Company Guar. Notes
5.38% due 02/01/2025

     95,000        99,394  

HCA, Inc.
Company Guar. Notes
7.50% due 11/15/2095

     700,000        682,500  

IASIS Healthcare LLC/IASIS Capital Corp.
Company Guar. Notes
8.38% due 05/15/2019#

     453,000        442,807  

RegionalCare Hospital Partners Holdings, Inc.
Senior Sec. Notes
8.25% due 05/01/2023*

     755,000        811,625  
             


                3,517,107  
             


Metal Processors & Fabrication — 0.1%

 

Grinding Media, Inc./MC Grinding Media Canada, Inc.
Senior Sec. Notes
7.38% due 12/15/2023*

     375,000        401,250  

Novelis Corp.
Company Guar. Notes
5.88% due 09/30/2026*#

     620,000        637,825  

Novelis Corp.
Company Guar. Notes
6.25% due 08/15/2024*

     389,000        412,340  
             


                1,451,415  
             


Metal - Aluminum — 0.0%

 

Kaiser Aluminum Corp.
Company Guar. Notes
5.88% due 05/15/2024

     293,000        307,650  
             


Metal - Iron — 0.0%

 

Cliffs Natural Resources, Inc.
Company Guar. Bonds
5.75% due 03/01/2025*#

     380,000        372,780  
             


Multimedia — 0.4%

 

Time Warner, Inc.
Company Guar. Notes
3.80% due 02/15/2027

     773,000        764,700  

Time Warner, Inc.
Company Guar. Notes
4.85% due 07/15/2045

     1,093,000        1,084,878  

Viacom, Inc.
Senior Notes
5.25% due 04/01/2044

     387,000        379,998  

Viacom, Inc.
Senior Notes
5.85% due 09/01/2043

     531,000        563,904  

Walt Disney Co.
Senior Notes
1.50% due 09/17/2018

     920,000        922,097  

Walt Disney Co.
Senior Notes
1.65% due 01/08/2019#

     500,000        501,915  
             


                4,217,492  
             


Networking Products — 0.4%

 

Cisco Systems, Inc.
Senior Notes
1.40% due 02/28/2018#

     1,262,000        1,264,681  

Cisco Systems, Inc.
Senior Notes
2.13% due 03/01/2019

     1,222,000        1,236,037  

Cisco Systems, Inc.
Senior Notes
2.20% due 02/28/2021

     2,079,000        2,083,247  
             


                4,583,965  
             


 

 

21


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Office Automation & Equipment — 0.1%

 

CDW LLC/CDW Finance Corp.
Company Guar. Notes
5.00% due 09/01/2025

   $ 565,000      $ 573,125  

Pitney Bowes, Inc.
Senior Notes
3.38% due 10/01/2021

     122,000        119,723  
             


                692,848  
             


Oil Companies - Exploration & Production — 1.5%

 

Anadarko Petroleum Corp.
Senior Notes
6.45% due 09/15/2036

     2,339,000        2,833,762  

Carrizo Oil & Gas, Inc.
Company Guar. Notes
6.25% due 04/15/2023#

     500,000        506,250  

Chesapeake Energy Corp.
Company Guar. Notes
8.00% due 01/15/2025*#

     660,000        655,050  

Concho Resources, Inc.
Company Guar. Notes
4.38% due 01/15/2025

     1,132,000        1,148,980  

Denbury Resources, Inc.
Company Guar. Notes
5.50% due 05/01/2022

     488,000        402,600  

Denbury Resources, Inc.
Sec. Notes
9.00% due 05/15/2021*

     1,050,000        1,131,375  

EP Energy LLC/Everest Acquisition Finance, Inc.
Senior Sec. Notes
8.00% due 11/29/2024*

     890,000        943,400  

Hess Corp.
Senior Notes
4.30% due 04/01/2027

     695,000        695,201  

Hess Corp.
Senior Notes
5.60% due 02/15/2041#

     1,336,000        1,370,493  

Hilcorp Energy I LP/Hilcorp Finance Co.
Senior Notes
5.00% due 12/01/2024*

     436,000        417,470  

Hilcorp Energy I LP/Hilcorp Finance Co.
Senior Notes
5.75% due 10/01/2025*

     35,000        34,737  

Marathon Oil Corp.
Senior Notes
5.20% due 06/01/2045

     415,000        416,764  

Newfield Exploration Co.
Senior Notes
5.38% due 01/01/2026

     509,000        530,632  

Noble Energy, Inc.
Senior Notes
3.90% due 11/15/2024#

     1,042,000        1,065,236  

Noble Energy, Inc.
Senior Notes
5.05% due 11/15/2044

     905,000        941,488  

Occidental Petroleum Corp.
Senior Notes
4.40% due 04/15/2046

     336,000        344,113  

Rex Energy Corp.
Sec. Notes
1.00% due 10/01/2020(4)

     523,900        314,340  

RSP Permian, Inc.
Company Guar. Notes
5.25% due 01/15/2025*

     600,000        615,000  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Oil Companies - Exploration & Production (continued)

 

Sanchez Energy Corp.
Company Guar. Notes
6.13% due 01/15/2023#

   $ 391,000      $ 375,360  

SM Energy Co.
Senior Notes
5.63% due 06/01/2025#

     281,000        265,896  

SM Energy Co.
Senior Notes
6.50% due 01/01/2023

     182,000        182,455  

WPX Energy, Inc.
Senior Notes
7.50% due 08/01/2020

     625,000        673,437  
             


                15,864,039  
             


Oil Companies - Integrated — 0.4%

 

Chevron Corp.
Senior Notes
1.37% due 03/02/2018

     1,193,000        1,193,063  

Chevron Corp.
Senior Notes
1.96% due 03/03/2020

     686,000        686,683  

Chevron Corp.
Senior Bonds
1.99% due 03/03/2020

     879,000        879,000  

Chevron Corp.
Senior Notes
2.36% due 12/05/2022

     1,200,000        1,175,799  

Exxon Mobil Corp.
Senior Notes
1.31% due 03/06/2018

     649,000        649,227  
             


                4,583,772  
             


Oil Field Machinery & Equipment — 0.0%

 

Forum Energy Technologies, Inc.
Company Guar. Notes
6.25% due 10/01/2021

     410,000        412,050  
             


Oil Refining & Marketing — 0.1%

 

PBF Holding Co. LLC/PBF Finance Corp.
Senior Sec. Notes
7.00% due 11/15/2023#

     790,000        793,950  
             


Oil - Field Services — 0.2%

 

Bristow Group, Inc.
Company Guar. Notes
6.25% due 10/15/2022#

     1,030,000        893,525  

SESI LLC
Company Guar. Notes
7.13% due 12/15/2021#

     675,000        693,562  
             


                1,587,087  
             


Paper & Related Products — 0.8%

 

Domtar Corp.
Company Guar. Notes
6.75% due 02/15/2044

     1,445,000        1,546,089  

Georgia-Pacific LLC
Senior Notes
3.60% due 03/01/2025*

     2,262,000        2,313,130  

Georgia-Pacific LLC
Senior Notes
3.73% due 07/15/2023*#

     2,930,000        3,043,042  

Georgia-Pacific LLC
Company Guar. Notes
5.40% due 11/01/2020*

     737,000        810,029  
 

 

22


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Paper & Related Products (continued)

 

International Paper Co.
Senior Notes
4.40% due 08/15/2047

   $ 490,000      $ 473,080  

PH Glatfelter Co.
Company Guar. Notes
5.38% due 10/15/2020

     540,000        550,800  
             


                8,736,170  
             


Pharmacy Services — 0.1%

 

Express Scripts Holding Co.
Company Guar. Notes
3.00% due 07/15/2023

     510,000        495,603  

Express Scripts Holding Co.
Company Guar. Notes
4.80% due 07/15/2046#

     732,000        712,691  
             


                1,208,294  
             


Pipelines — 1.9%

 

Antero Midstream Partners LP/Antero Midstream Finance Corp.
Company Guar. Notes
5.38% due 09/15/2024*

     583,000        591,745  

Cheniere Corpus Christi Holdings LLC
Senior Sec. Notes
7.00% due 06/30/2024*#

     231,000        258,720  

Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp.
Company Guar. Notes
4.15% due 08/15/2026*

     960,000        938,017  

Columbia Pipeline Group, Inc.
Company Guar. Notes
2.45% due 06/01/2018

     245,000        246,337  

Energy Transfer Partners LP
Senior Notes
4.90% due 03/15/2035

     301,000        292,439  

Energy Transfer Partners LP
Senior Notes
6.05% due 06/01/2041

     111,000        119,363  

Energy Transfer Partners LP
Senior Notes
6.63% due 10/15/2036

     1,894,000        2,169,005  

EnLink Midstream Partners LP
Senior Notes
4.40% due 04/01/2024#

     423,000        430,265  

EnLink Midstream Partners LP
Senior Notes
4.85% due 07/15/2026

     910,000        954,040  

EnLink Midstream Partners LP
Senior Notes
5.05% due 04/01/2045

     1,043,000        994,296  

Enterprise Products Operating LLC
Company Guar. Notes
3.95% due 02/15/2027#

     578,000        594,965  

Enterprise Products Operating LLC
Company Guar. Notes
4.85% due 03/15/2044

     358,000        370,935  

Genesis Energy LP/Genesis Energy Finance Corp.
Company Guar. Notes
5.63% due 06/15/2024

     314,000        313,215  

Genesis Energy LP/Genesis Energy Finance Corp.
Company Guar. Notes
5.75% due 02/15/2021

     250,000        253,750  

Genesis Energy LP/Genesis Energy Finance Corp.
Company Guar. Notes
6.00% due 05/15/2023

     500,000        506,250  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Pipelines (continued)

 

Holly Energy Partners LP/Holly Energy Finance Corp.
Company Guar. Notes
6.00% due 08/01/2024*

   $ 672,000      $ 705,600  

Kinder Morgan Energy Partners LP
Company Guar. Notes
3.45% due 02/15/2023

     787,000        783,894  

Kinder Morgan Energy Partners LP
Company Guar. Notes
4.70% due 11/01/2042

     479,000        450,170  

Kinder Morgan Energy Partners LP
Company Guar. Notes
5.63% due 09/01/2041

     473,000        483,876  

Kinder Morgan, Inc.
Company Guar. Notes
5.00% due 02/15/2021*#

     647,000        695,894  

Kinder Morgan, Inc.
Company Guar. Notes
5.55% due 06/01/2045

     605,000        638,413  

MPLX LP
Senior Notes
4.13% due 03/01/2027

     742,000        746,676  

MPLX LP
Senior Notes
5.20% due 03/01/2047

     405,000        412,227  

Phillips 66 Partners LP
Senior Notes
4.90% due 10/01/2046

     452,000        444,684  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
3.60% due 11/01/2024

     432,000        421,815  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
3.85% due 10/15/2023

     518,000        523,524  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
4.50% due 12/15/2026

     663,000        681,752  

Rose Rock Midstream LP/Rose Rock Finance Corp.
Company Guar. Notes
5.63% due 07/15/2022

     487,000        478,477  

Spectra Energy Partners LP
Senior Notes
3.38% due 10/15/2026

     531,000        512,150  

Summit Midstream Holdings LLC/Summit Midstream Finance Corp.
Company Guar. Notes
5.50% due 08/15/2022

     540,000        546,750  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
Company Guar. Notes
5.50% due 09/15/2024*#

     605,000        611,050  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.
Company Guar. Notes
5.88% due 10/01/2020

     579,000        596,804  

Western Gas Partners LP
Senior Notes
4.65% due 07/01/2026

     966,000        1,010,458  
             


                19,777,556  
             


Power Converter/Supply Equipment — 0.1%

 

Hubbell, Inc.
Senior Notes
3.35% due 03/01/2026

     864,000        863,386  
             


 

 

23


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Printing - Commercial — 0.1%

 

Quad/Graphics, Inc.
Company Guar. Notes
7.00% due 05/01/2022#

   $ 624,000      $ 622,440  
             


Radio — 0.0%

                 

Sirius XM Radio, Inc.
Company Guar. Notes
5.38% due 07/15/2026*

     384,000        391,680  
             


Real Estate Investment Trusts — 0.5%

                 

American Tower Corp.
Senior Notes
3.13% due 01/15/2027

     1,140,000        1,064,824  

American Tower Corp.
Senior Notes
3.38% due 10/15/2026

     736,000        703,665  

Columbia Property Trust Operating Partnership LP
Company Guar. Notes
3.65% due 08/15/2026

     365,000        353,457  

Corrections Corp. of America
Company Guar. Notes
5.00% due 10/15/2022

     204,000        208,080  

CTR Partnership LP/CareTrust Capital Corp.
Company Guar. Notes
5.88% due 06/01/2021

     497,000        510,667  

ESH Hospitality, Inc.
Company Guar. Notes
5.25% due 05/01/2025*#

     424,000        427,710  

Iron Mountain US Holdings, Inc.
Company Guar. Notes
5.38% due 06/01/2026*

     107,000        106,465  

Realty Income Corp.
Senior Notes
3.00% due 01/15/2027

     326,000        309,996  

Simon Property Group LP
Senior Notes
4.25% due 11/30/2046

     687,000        686,062  

Starwood Property Trust, Inc.
Senior Notes
5.00% due 12/15/2021*

     804,000        835,155  
             


                5,206,081  
             


Real Estate Management/Services — 0.1%

                 

Kennedy-Wilson, Inc.
Company Guar. Notes
5.88% due 04/01/2024

     1,000,000        1,042,500  

Realogy Group LLC/Realogy Co-Issuer Corp.
Company Guar. Notes
4.88% due 06/01/2023*

     455,000        448,175  
             


                1,490,675  
             


Rental Auto/Equipment — 0.3%

                 

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
Company Guar. Notes
5.25% due 03/15/2025*#

     597,000        571,627  

ERAC USA Finance LLC
Company Guar. Notes
4.20% due 11/01/2046*

     1,601,000        1,494,388  

Hertz Corp.
Company Guar. Notes
5.50% due 10/15/2024*#

     623,000        562,258  
             


                2,628,273  
             


Retail - Appliances — 0.1%

                 

Conn’s, Inc.
Company Guar. Notes
7.25% due 07/15/2022#

     1,131,000        986,797  
             


Security Description    Principal
Amount
     Value
(Note 2)
 

   

Retail - Building Products — 0.1%

                 

Home Depot, Inc.
Senior Notes
2.00% due 04/01/2021

   $ 88,000      $ 87,761  

Home Depot, Inc.
Senior Notes
3.50% due 09/15/2056

     524,000        467,946  
             


                555,707  
             


Retail - Discount — 0.1%

                 

Costco Wholesale Corp.
Senior Notes
2.25% due 02/15/2022#

     1,308,000        1,302,534  
             


Retail - Drug Store — 0.1%

                 

CVS Pass-Through Trust
Pass-Through Certs.
4.70% due 01/10/2036*

     571,189        600,540  

CVS Pass-Through Trust
Pass-Through Certs.
5.77% due 01/10/2033*

     291,966        330,991  

CVS Pass-Through Trust
Pass-Through Certs.
5.93% due 01/10/2034*

     507,293        586,099  
             


                1,517,630  
             


Retail - Restaurants — 0.1%

                 

Brinker International, Inc.
Company Guar. Notes
5.00% due 10/01/2024*

     580,000        569,850  

McDonald’s Corp.
Senior Notes
4.70% due 12/09/2035

     182,000        193,217  
             


                763,067  
             


Satellite Telecom — 0.1%

                 

Hughes Satellite Systems Corp.
Company Guar. Notes
7.63% due 06/15/2021

     510,000        565,463  
             


Savings & Loans/Thrifts — 0.9%

                 

Astoria Financial Corp.
Senior Notes
5.00% due 06/19/2017

     1,600,000        1,610,449  

First Niagara Financial Group, Inc.
Senior Notes
6.75% due 03/19/2020

     4,035,000        4,553,401  

First Niagara Financial Group, Inc.
Sub. Notes
7.25% due 12/15/2021

     2,210,000        2,609,665  
             


                8,773,515  
             


Soap & Cleaning Preparation — 0.1%

                 

Kronos Acquisition Holdings, Inc.
Company Guar. Notes
9.00% due 08/15/2023*

     560,000        571,900  
             


Steel - Producers — 0.1%

                 

AK Steel Corp.
Senior Sec. Notes
7.50% due 07/15/2023

     650,000        710,125  
             


Telecom Services — 0.0%

                 

Embarq Corp.
Senior Notes
8.00% due 06/01/2036

     450,000        451,476  
             


 

 

24


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Telecommunication Equipment — 0.1%

                 

Plantronics, Inc.
Company Guar. Notes
5.50% due 05/31/2023*

   $ 593,000      $ 603,680  
             


Telephone - Integrated — 1.3%

                 

AT&T, Inc.
Senior Notes
3.00% due 06/30/2022

     2,285,000        2,270,401  

AT&T, Inc.
Senior Notes
4.35% due 06/15/2045

     1,230,000        1,091,090  

AT&T, Inc.
Senior Notes
4.50% due 05/15/2035

     1,587,000        1,505,232  

AT&T, Inc.
Senior Notes
4.75% due 05/15/2046

     1,003,000        937,930  

AT&T, Inc.
Senior Notes
5.25% due 03/01/2037

     815,000        840,812  

AT&T, Inc.
Senior Notes
5.80% due 02/15/2019#

     572,000        614,363  

Sprint Capital Corp.
Company Guar. Notes
8.75% due 03/15/2032

     1,010,000        1,212,000  

Verizon Communications, Inc.
Senior Notes
3.00% due 11/01/2021

     1,181,000        1,191,982  

Verizon Communications, Inc.
Senior Notes
4.40% due 11/01/2034

     489,000        469,442  

Verizon Communications, Inc.
Senior Notes
4.67% due 03/15/2055

     2,947,000        2,682,949  

Verizon Communications, Inc.
Senior Notes
4.86% due 08/21/2046

     106,000        103,376  
             


                12,919,577  
             


Television — 0.0%

                 

Belo Corp.
Company Guar. Notes
7.75% due 06/01/2027

     178,000        193,575  
             


Tools - Hand Held — 0.1%

                 

Snap-on, Inc.
Senior Notes
3.25% due 03/01/2027

     521,000        527,881  
             


Transport - Equipment & Leasing — 0.1%

                 

GATX Corp.
Senior Notes
3.25% due 09/15/2026

     479,000        457,749  

GATX Corp.
Senior Notes
3.85% due 03/30/2027

     765,000        764,389  
             


                1,222,138  
             


Transport - Rail — 0.1%

                 

Burlington Northern Santa Fe LLC
Senior Notes
3.90% due 08/01/2046

     475,000        468,204  

CSX Corp.
Senior Notes
4.25% due 11/01/2066

     540,000        496,948  
             


                965,152  
             


Security Description    Principal
Amount
     Value
(Note 2)
 

   

Transport - Services — 0.1%

                 

FedEx Corp.
Company Guar. Notes
4.40% due 01/15/2047

   $ 542,000      $ 539,870  
             


Travel Services — 0.1%

                 

Sabre GLBL, Inc.
Senior Sec. Notes
5.38% due 04/15/2023*

     534,000        543,345  
             


Trucking/Leasing — 0.0%

                 

Penske Truck Leasing Co. LP/PTL Finance Corp.
Senior Notes
3.38% due 02/01/2022*

     420,000        427,865  
             


Wire & Cable Products — 0.0%

                 

General Cable Corp.
Company Guar. Notes
5.75% due 10/01/2022

     482,000        472,360  
             


Total U.S. Corporate Bonds & Notes

                 

(cost $367,292,004)

              374,774,559  
             


FOREIGN CORPORATE BONDS & NOTES — 8.1%

                 

Agricultural Chemicals — 0.0%

                 

Potash Corp. of Saskatchewan, Inc.
Senior Notes
4.00% due 12/15/2026

     492,000        500,567  
             


Auto - Cars/Light Trucks — 0.0%

                 

Volkswagen International Finance NV
Company Guar. Notes
2.38% due 03/22/2017*

     323,000        323,184  
             


Banks - Commercial — 1.6%

                 

Australia & New Zealand Banking Group, Ltd.
Senior Notes
1.60% due 07/15/2019

     728,000        721,493  

Bank of Montreal
Senior Notes
2.10% due 12/12/2019

     597,000        598,486  

Credit Suisse AG
Senior Notes
1.70% due 04/27/2018

     443,000        442,948  

Credit Suisse AG
Senior Notes
3.00% due 10/29/2021

     611,000        617,741  

DBS Group Holdings, Ltd.
Senior Notes
2.25% due 07/16/2019*

     1,529,000        1,535,174  

Dexia Credit Local SA
Government Guar. Notes
2.25% due 02/18/2020*

     1,161,000        1,157,915  

Kookmin Bank
Senior Notes
1.63% due 07/14/2017*

     1,906,000        1,905,399  

Mizuho Bank, Ltd.
Company Guar. Notes
2.15% due 10/20/2018*

     533,000        534,132  

Mizuho Bank, Ltd.
Company Guar. Notes
2.45% due 04/16/2019*

     591,000        594,366  

National Bank of Canada
Company Guar. Notes
1.45% due 11/07/2017

     2,515,000        2,515,802  

National Bank of Canada
Bank Guar. Notes
2.10% due 12/14/2018

     887,000        890,905  

Rabobank Nederland NY
Senior Notes
1.70% due 03/19/2018

     377,000        377,703  
 

 

25


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Banks - Commercial (continued)

                 

Sumitomo Mitsui Banking Corp.
Company Guar. Notes
1.97% due 01/11/2019

   $ 2,491,000      $ 2,490,071  

Toronto-Dominion Bank
Senior Notes
1.80% due 07/13/2021

     1,383,000        1,349,754  

Westpac Banking Corp. VRS
Sub. Notes
4.32% due 11/23/2031

     695,000        701,674  
             


                16,433,563  
             


Beverages - Non-alcoholic — 0.2%

                 

Coca-Cola Femsa SAB de CV
Company Guar. Notes
2.38% due 11/26/2018#

     1,914,000        1,930,804  
             


Beverages - Wine/Spirits — 0.1%

                 

Diageo Capital PLC
Company Guar. Notes
5.75% due 10/23/2017

     1,303,000        1,339,358  
             


Building Products - Air & Heating — 0.0%

                 

Johnson Controls International PLC
Senior Notes
4.50% due 02/15/2047

     311,000        320,000  
             


Building Societies — 0.1%

                 

Nationwide Building Society
Sub. Notes
4.00% due 09/14/2026*#

     565,000        544,176  
             


Building - Residential/Commercial — 0.1%

                 

Mattamy Group Corp.
Company Guar. Notes
6.50% due 11/15/2020*

     629,000        646,297  

Mattamy Group Corp.
Senior Notes
6.88% due 12/15/2023*

     330,000        344,850  
             


                991,147  
             


Cable/Satellite TV — 0.4%

                 

Altice Financing SA
Senior Sec. Notes
7.50% due 05/15/2026*

     1,060,000        1,138,175  

Altice Luxembourg SA
Company Guar. Notes
7.63% due 02/15/2025*#

     1,045,000        1,112,925  

Numericable-SFR SA
Senior Sec. Notes
7.38% due 05/01/2026*

     1,643,000        1,702,559  

Ziggo Secured Finance BV
Senior Sec. Notes
5.50% due 01/15/2027*

     575,000        582,187  
             


                4,535,846  
             


Chemicals - Diversified — 0.1%

                 

LYB International Finance II BV
Company Guar. Notes
3.50% due 03/02/2027

     1,074,000        1,068,897  

NOVA Chemicals Corp.
Senior Notes
5.00% due 05/01/2025*

     425,000        430,313  
             


                1,499,210  
             


Computers - Memory Devices — 0.1%

                 

Seagate HDD Cayman
Company Guar. Notes
4.25% due 03/01/2022*#

     1,011,000        999,977  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Computers - Memory Devices (continued)

                 

Seagate HDD Cayman
Company Guar. Notes
4.75% due 01/01/2025

   $ 580,000      $ 561,136  
             


                1,561,113  
             


Cruise Lines — 0.2%

                 

NCL Corp., Ltd.
Senior Notes
4.75% due 12/15/2021*

     550,000        561,000  

Royal Caribbean Cruises, Ltd.
Senior Notes
5.25% due 11/15/2022#

     232,000        259,770  

Royal Caribbean Cruises, Ltd.
Senior Notes
7.50% due 10/15/2027

     433,000        533,673  

Silversea Cruise Finance, Ltd.
Senior Sec. Notes
7.25% due 02/01/2025*

     570,000        594,225  
             


                1,948,668  
             


Diversified Banking Institutions — 1.2%

                 

Barclays PLC
Senior Notes
4.95% due 01/10/2047

     767,000        780,673  

BNP Paribas SA
Senior Notes
3.80% due 01/10/2024*#

     1,576,000        1,566,087  

Credit Agricole SA
Senior Notes
4.13% due 01/10/2027*

     1,129,000        1,117,089  

Credit Suisse Group AG
Senior Notes
4.28% due 01/09/2028*

     2,346,000        2,354,474  

Credit Suisse Group Funding Guernsey, Ltd.
Company Guar. Notes
4.55% due 04/17/2026

     539,000        557,755  

HSBC Holdings PLC
Senior Notes
2.65% due 01/05/2022

     1,162,000        1,146,074  

HSBC Holdings PLC
Sub. Notes
4.25% due 08/18/2025

     391,000        396,736  

HSBC Holdings PLC
Sub. Notes
4.38% due 11/23/2026

     543,000        549,659  

Lloyds Banking Group PLC
Sub. Notes
4.58% due 12/10/2025#

     1,168,000        1,189,366  

Mitsubishi UFJ Financial Group, Inc.
Senior Notes
2.95% due 03/01/2021

     1,135,000        1,147,232  

Mizuho Financial Group, Inc.
Senior Notes
2.27% due 09/13/2021

     935,000        914,082  

Royal Bank of Scotland Group PLC
Senior Notes
3.88% due 09/12/2023

     454,000        448,387  

UBS Group Funding Jersey, Ltd.
Company Guar. Notes
4.13% due 09/24/2025*

     269,000        274,229  
             


                12,441,843  
             


Diversified Financial Services — 0.2%

                 

GE Capital International Funding Co. ULC
Company Guar. Notes
4.42% due 11/15/2035

     2,435,000        2,608,094  
             


 

 

26


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Diversified Manufacturing Operations — 0.0%

                 

Ingersoll-Rand Luxembourg Finance SA
Company Guar. Notes
4.65% due 11/01/2044#

   $ 452,000      $ 469,550  
             


Electric - Generation — 0.2%

                 

Electricite de France SA
Senior Notes
2.35% due 10/13/2020*

     1,442,000        1,434,852  

Electricite de France SA
Senior Notes
6.00% due 01/22/2114*

     339,000        342,580  
             


                1,777,432  
             


Finance - Leasing Companies — 0.2%

                 

Aircastle, Ltd.
Senior Notes
5.00% due 04/01/2023

     670,000        706,012  

Aircastle, Ltd.
Senior Notes
6.25% due 12/01/2019

     323,000        352,070  

Fly Leasing, Ltd.
Senior Notes
6.38% due 10/15/2021

     600,000        624,000  
             


                1,682,082  
             


Gold Mining — 0.1%

                 

Goldcorp, Inc.
Senior Notes
5.45% due 06/09/2044

     501,000        543,708  
             


Hazardous Waste Disposal — 0.1%

                 

Tervita Escrow Corp.
Sec. Notes
7.63% due 12/01/2021*

     660,000        689,700  
             


Insurance - Life/Health — 0.2%

                 

AIA Group, Ltd.
Senior Notes
4.50% due 03/16/2046*

     495,000        503,679  

Manulife Financial Corp. VRS
Sub. Notes
4.06% due 02/24/2032#

     1,214,000        1,221,129  
             


                1,724,808  
             


Insurance - Multi-line — 0.2%

                 

XLIT, Ltd.
Company Guar. Notes
4.45% due 03/31/2025#

     593,000        600,686  

XLIT, Ltd.
Company Guar. Notes
5.50% due 03/31/2045

     1,026,000        1,027,062  
             


                1,627,748  
             


Machinery - General Industrial — 0.1%

 

ATS Automation Tooling Systems, Inc.
Senior Notes
6.50% due 06/15/2023*

     637,000        665,665  
             


Medical - Drugs — 0.1%

 

Teva Pharmaceutical Finance Netherlands III BV
Company Guar. Notes
2.80% due 07/21/2023

     969,000        919,643  
             


Medical - Generic Drugs — 0.1%

 

Actavis Funding SCS
Company Guar. Notes
3.00% due 03/12/2020

     1,172,000        1,193,813  
             


Security Description    Principal
Amount
     Value
(Note 2)
 

   

Metal - Copper — 0.2%

 

First Quantum Minerals, Ltd.
Company Guar. Notes
7.25% due 05/15/2022*#

   $ 969,000      $ 1,001,704  

Hudbay Minerals, Inc.
Company Guar. Notes
7.63% due 01/15/2025*

     750,000        819,375  
             


                1,821,079  
             


Metal - Iron — 0.1%

 

Vale Overseas, Ltd.
Company Guar. Notes
6.25% due 08/10/2026

     626,000        690,947  
             


Oil Companies - Exploration & Production — 0.2%

 

Anadarko Finance Co.
Company Guar. Notes
7.50% due 05/01/2031

     681,000        874,260  

MEG Energy Corp.
Company Guar. Notes
6.38% due 01/30/2023*

     902,000        800,525  

MEG Energy Corp.
Sec. Notes
6.50% due 01/15/2025*#

     471,000        460,403  
             


                2,135,188  
             


Oil Companies - Integrated — 0.8%

 

BP Capital Markets PLC
Company Guar. Notes
1.38% due 11/06/2017

     1,793,000        1,794,677  

BP Capital Markets PLC
Company Guar. Notes
1.68% due 05/03/2019

     781,000        777,904  

BP Capital Markets PLC
Company Guar. Notes
3.25% due 05/06/2022

     588,000        601,372  

Petroleos Mexicanos
Company Guar. Notes
5.50% due 06/27/2044

     85,000        73,100  

Petroleos Mexicanos
Company Guar. Notes
6.75% due 09/21/2047#

     1,960,000        1,940,400  

Shell International Finance BV
Company Guar. Notes
1.25% due 11/10/2017

     888,000        888,316  

Shell International Finance BV
Company Guar. Notes
2.13% due 05/11/2020

     902,000        904,896  

Shell International Finance BV
Company Guar. Notes
2.25% due 11/10/2020#

     1,024,000        1,027,638  
             


                8,008,303  
             


Oil - Field Services — 0.0%

 

Trinidad Drilling, Ltd.
Company Guar. Notes
6.63% due 02/15/2025*

     391,000        402,730  
             


Paper & Related Products — 0.1%

 

Cascades, Inc.
Company Guar. Notes
5.50% due 07/15/2022*

     650,000        659,750  

Cascades, Inc.
Company Guar. Notes
5.75% due 07/15/2023*

     350,000        357,000  
             


                1,016,750  
             


 

 

27


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

 

Pipelines — 0.1%

 

Enbridge, Inc.
Senior Notes
5.50% due 12/01/2046

   $ 663,000      $ 716,175  
             


Printing - Commercial — 0.1%

 

Cimpress NV
Company Guar. Notes
7.00% due 04/01/2022*

     1,090,000        1,128,150  
             


Satellite Telecom — 0.2%

 

Intelsat Jackson Holdings SA
Company Guar. Notes
5.50% due 08/01/2023

     1,590,000        1,307,775  

Telesat Canada/Telesat LLC
Company Guar. Notes
8.88% due 11/15/2024*

     1,067,000        1,165,697  
             


                2,473,472  
             


Security Services — 0.1%

 

Garda World Security Corp.
Company Guar. Notes
7.25% due 11/15/2021*

     701,000        671,208  
             


Semiconductor Components-Integrated Circuits — 0.0%

 

NXP BV/NXP Funding LLC
Company Guar. Notes
4.63% due 06/01/2023*

     395,000        420,675  
             


Semiconductor Equipment — 0.1%

 

Sensata Technologies BV
Company Guar. Notes
5.00% due 10/01/2025*

     545,000        553,175  
             


Steel - Producers — 0.1%

 

ArcelorMittal
Senior Notes
6.13% due 06/01/2025#

     785,000        882,144  
             


SupraNational Banks — 0.1%

 

North American Development Bank
Senior Notes
2.30% due 10/10/2018

     1,002,000        1,015,335  
             


Telephone - Integrated — 0.2%

 

Deutsche Telekom International Finance BV
Company Guar. Notes
2.49% due 09/19/2023*

     1,124,000        1,075,760  

Telecom Italia Capital SA
Company Guar. Notes
7.72% due 06/04/2038

     1,327,000        1,467,994  
             


                2,543,754  
             


Transport - Rail — 0.1%

 

Canadian Pacific Railway Co.
Senior Notes
6.13% due 09/15/2115

     623,000        752,487  
             


Total Foreign Corporate Bonds & Notes

                 

(cost $82,338,456)

              83,503,294  
             


FOREIGN GOVERNMENT OBLIGATIONS — 0.3%

 

Electric - Distribution — 0.1%

 

Hydro-Quebec
Government Guar. Notes
1.38% due 06/19/2017

     1,036,000        1,036,336  
             


Sovereign — 0.2%

 

United Mexican States
Senior Notes
3.50% due 01/21/2021#

     1,012,000        1,041,348  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Sovereign (continued)

 

United Mexican States
Senior Notes
4.35% due 01/15/2047

   $ 1,128,000      $ 1,007,868  
             


                2,049,216  
             


Total Foreign Government Obligations

                 

(cost $3,170,710)

              3,085,552  
             


U.S. GOVERNMENT AGENCIES — 34.7%

 

Federal Home Loan Mtg. Corp. — 14.8%

 

2.50% due 05/01/2023

     548,814        558,972  

2.50% due 01/01/2028

     894,514        907,614  

2.50% due 04/01/2028

     1,884,563        1,912,152  

2.50% due 03/01/2031

     1,056,874        1,060,663  

2.77% due 02/01/2037 FRS

     339,434        352,933  

3.00% due 11/01/2026

     4,314,626        4,443,310  

3.00% due 08/01/2027

     361,162        372,146  

3.00% due 10/01/2042

     1,748,572        1,750,044  

3.00% due 11/01/2042

     1,381,585        1,380,265  

3.00% due 02/01/2043

     2,128,299        2,118,333  

3.00% due 04/01/2043

     1,922,694        1,920,976  

3.00% due 05/01/2043

     705,239        705,832  

3.00% due 08/01/2043

     7,185,638        7,165,452  

3.00% due 07/01/2045

     12,427,323        12,346,115  

3.00% due 10/01/2045

     7,372,491        7,324,312  

3.00% due 12/01/2045

     2,182,064        2,167,804  

3.00% due 05/01/2046

     5,700,568        5,663,297  

3.00% due 08/01/2046

     3,867,680        3,842,392  

3.00% due March 30 TBA

     8,385,000        8,321,648  

3.12% due 11/01/2037 FRS

     2,346,811        2,499,684  

3.50% due 03/01/2042

     4,846,843        4,995,638  

3.50% due 04/01/2042

     1,995,604        2,056,993  

3.50% due 08/01/2042

     1,753,424        1,807,650  

3.50% due 09/01/2043

     1,866,814        1,924,552  

3.50% due 03/01/2045

     1,496,337        1,535,283  

3.50% due 07/01/2045

     10,258,446        10,537,145  

3.50% due 08/01/2045

     2,924,079        3,010,437  

3.50% due 11/01/2045

     5,478,142        5,620,725  

3.50% due 01/01/2046

     3,344,173        3,431,214  

4.00% due 03/01/2023

     419,929        431,459  

4.00% due 09/01/2040

     1,813,589        1,914,827  

4.00% due 10/01/2043

     5,949,073        6,260,401  

4.00% due 07/01/2044

     128,661        135,384  

4.00% due 10/01/2045

     4,860,382        5,113,385  

4.00% due 11/01/2045

     11,030,044        11,604,204  

4.00% due 01/01/2046

     988,693        1,046,428  

4.50% due 11/01/2018

     11,972        12,265  

4.50% due 02/01/2019

     17,669        18,120  

4.50% due 12/01/2039

     726,946        783,827  

4.50% due 07/01/2044

     1,734,879        1,871,931  

4.50% due 09/01/2044

     7,677,045        8,249,118  

5.00% due 10/01/2033

     2,047        2,261  

5.00% due 07/01/2040

     919,943        1,009,636  

5.00% due 11/01/2043

     4,105,177        4,514,467  

5.50% due 11/01/2018

     7,305        7,440  

5.50% due 11/01/2032

     12,464        13,979  

5.50% due 07/01/2034

     32,386        36,454  

5.50% due 02/01/2035

     52,890        58,658  

5.50% due 07/01/2035

     1,417        1,594  

5.50% due 01/01/2036

     246,686        276,468  

5.50% due 05/01/2037

     45,516        50,594  

6.00% due 07/01/2035

     89,301        101,072  

6.00% due 03/01/2040

     225,874        256,479  

6.50% due 12/01/2032

     38,625        43,410  

6.50% due 02/01/2036

     17,616        20,541  

6.50% due 09/01/2036

     426        489  

6.50% due 05/01/2037

     61,410        69,019  
 

 

28


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
     Value
(Note 2)
 

U.S. GOVERNMENT AGENCIES (continued)

 

Federal Home Loan Mtg. Corp. (continued)

 

Federal Home Loan Mtg. Corp. REMIC FRS
Series 3572, Class JS
6.03% due 09/15/2039(2)(7)(8)

   $ 1,515,905      $ 220,794  

Federal Home Loan Mtg. Corp. Structured Agency Credit Risk

                 

Series 2014-DN1, Class M2

                 

2.98% due 02/25/2024 FRS(2)

     1,580,000        1,622,161  

Series 2014-HQ2, Class M2

                 

2.98% due 09/25/2024 FRS(2)

     2,790,000        2,852,890  

Series 2015-HQ1, Class M2

                 

2.98% due 03/25/2025 FRS(2)

     18,557        18,736  

Series 2014-HQ3, Class M2

                 

3.43% due 10/25/2024 FRS(2)

     77,734        78,364  

Series 2015-HQA1, Class M2

                 

3.43% due 03/25/2028 FRS(2)

     1,069,843        1,095,754  

Series 2016-HQA1, Class M2

                 

3.53% due 09/25/2028 FRS(2)

     1,314,000        1,368,369  
             


                152,894,559  
             


Federal National Mtg. Assoc. — 18.1%

 

2.50% due 09/01/2027

     569,810        577,776  

2.50% due 02/01/2028

     1,836,067        1,862,315  

2.50% due 04/01/2028

     475,160        481,816  

2.50% due 02/01/2031

     2,969,927        2,980,472  

2.50% due 05/01/2031

     5,430,387        5,449,667  

2.50% due March 15 TBA

     2,647,000        2,653,967  

2.77% due 10/01/2035 FRS

     2,039,903        2,155,926  

2.79% due 09/01/2035 FRS

     1,769,794        1,861,939  

2.80% due 11/01/2036 FRS

     853,416        906,287  

2.92% due 05/01/2037 FRS

     540,571        571,283  

3.00% due 04/01/2027

     1,383,763        1,428,145  

3.00% due 10/01/2027

     250,811        258,884  

3.00% due 11/01/2027

     1,878,734        1,939,371  

3.00% due 01/01/2028

     1,869,969        1,929,990  

3.00% due 10/01/2030

     3,519,489        3,622,834  

3.00% due 07/01/2039 FRS

     1,439,038        1,523,868  

3.00% due 03/01/2042

     3,304,579        3,300,059  

3.00% due 12/01/2042

     3,349,031        3,340,786  

3.00% due 05/01/2043

     3,781,924        3,767,373  

3.00% due 06/01/2045

     1,832,747        1,831,944  

3.00% due 05/01/2046

     4,310,438        4,286,263  

3.00% due 09/01/2046

     1,919,189        1,908,425  

3.00% due March 15 TBA

     72,000        74,036  

3.09% due 10/01/2040 FRS

     563,604        596,259  

3.19% due 08/01/2035 FRS

     1,200,128        1,283,954  

3.27% due 10/01/2040 FRS

     1,108,050        1,175,393  

3.28% due 05/01/2040 FRS

     2,030,351        2,146,460  

3.50% due 08/01/2026

     1,561,905        1,631,153  

3.50% due 09/01/2026

     1,428,684        1,493,170  

3.50% due 08/01/2027

     216,497        225,925  

3.50% due 10/01/2028

     3,176,982        3,320,955  

3.50% due 12/01/2041

     489,627        504,730  

3.50% due 03/01/2042

     724,091        746,251  

3.50% due 08/01/2042

     4,577,912        4,717,201  

3.50% due 09/01/2042

     650,453        670,193  

3.50% due 02/01/2043

     3,277,286        3,391,138  

3.50% due 04/01/2045

     716,378        736,181  

3.50% due 07/01/2045

     2,232,819        2,291,385  

3.50% due 08/01/2045

     2,903,212        2,983,416  

3.50% due 09/01/2045

     666,121        683,593  

3.50% due 10/01/2045

     3,497,403        3,596,230  

3.50% due 11/01/2045

     5,921,456        6,076,774  

3.50% due 12/01/2045

     11,713,704        12,020,951  

3.50% due 02/01/2046

     2,639,959        2,709,204  

3.50% due 03/01/2046

     12,238,426        12,559,435  

3.50% due 07/01/2046

     6,698,087        6,892,792  
Security Description    Principal
Amount
     Value
(Note 2)
 

   

Federal National Mtg. Assoc. (continued)

 

3.50% due March 15 TBA

   $ 1,968,000      $ 2,052,304  

4.00% due 11/01/2025

     127,788        134,273  

4.00% due 06/01/2039

     540,286        575,209  

4.00% due 09/01/2040

     145,347        153,318  

4.00% due 10/01/2040

     306,924        322,952  

4.00% due 12/01/2040

     2,468,330        2,604,487  

4.00% due 10/01/2041

     1,440,924        1,520,834  

4.00% due 11/01/2041

     1,592,111        1,676,765  

4.00% due 01/01/2043

     1,157,637        1,226,921  

4.00% due 12/01/2043

     506,416        537,669  

4.00% due 10/01/2044

     5,010,234        5,269,374  

4.00% due 02/01/2045

     5,499,852        5,812,163  

4.00% due 02/01/2046

     4,099,433        4,311,725  

4.00% due 06/01/2046

     362,878        381,670  

4.50% due 06/01/2018

     1,435        1,472  

4.50% due 10/01/2024

     563,654        595,793  

4.50% due 03/01/2025

     782,936        823,311  

4.50% due 06/01/2039

     189,689        204,585  

4.50% due 01/01/2040

     515,717        555,568  

4.50% due 02/01/2040

     1,269,493        1,383,792  

4.50% due 05/01/2040

     413,501        449,340  

4.50% due 11/01/2040

     432,883        467,278  

4.50% due 12/01/2040

     389,027        418,526  

4.50% due 05/01/2041

     789,558        849,377  

4.50% due 03/01/2042

     4,329,166        4,665,983  

4.50% due 08/01/2045

     10,926,057        11,901,563  

5.00% due 09/01/2018

     1,256        1,289  

5.00% due 10/01/2018

     1,091        1,118  

5.00% due 03/01/2020

     3,326        3,471  

5.00% due 06/01/2022

     82,644        85,121  

5.00% due 10/01/2024

     280,135        290,056  

5.00% due 09/01/2033

     793,987        874,594  

5.00% due 04/01/2040

     434,088        476,359  

5.00% due 05/01/2040

     872,869        961,633  

5.00% due 06/01/2040

     4,003,804        4,393,687  

5.00% due 07/01/2040

     1,018,227        1,117,801  

5.00% due 02/01/2045

     2,296,182        2,555,211  

5.50% due 12/01/2029

     208,066        231,365  

5.50% due 12/01/2033

     40,792        45,782  

5.50% due 07/01/2037

     48,759        54,491  

5.50% due 08/01/2037

     1,877,698        2,098,829  

5.50% due 06/01/2038

     229,268        256,669  

5.50% due 09/01/2039

     724,861        812,660  

6.00% due 08/01/2034

     36,386        41,479  

6.00% due 11/01/2035

     61,799        70,624  

6.00% due 06/01/2036

     86,345        98,155  

6.00% due 12/01/2036

     150,280        170,137  

6.00% due 07/01/2038

     721,434        816,974  

6.00% due 09/01/2038

     386,749        437,938  

6.00% due 11/01/2038

     235,984        267,084  

Fannie Mae Connecticut Avenue Securities FRS

                 

Series 2013-C01, Class M1

2.78% due 10/25/2023(2)

     41,061        41,438  
             


                186,266,386  
             


Government National Mtg. Assoc. — 1.7%

 

3.00% due 02/20/2045

     2,632,642        2,668,051  

3.00% due 05/20/2045

     2,036,151        2,063,380  

3.00% due 07/20/2045

     493,714        500,286  

3.50% due 03/20/2045

     1,907,400        1,985,634  

3.50% due 07/20/2045

     902,924        939,958  

4.00% due 03/20/2044

     1,075,124        1,138,924  

4.00% due 07/20/2045

     3,422,251        3,624,789  

4.00% due 10/20/2045

     1,261,571        1,337,658  

4.50% due 05/15/2039

     671,703        739,017  

5.00% due 05/15/2034

     276,661        307,100  
 

 

29


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares/
Principal
Amount
     Value
(Note 2)
 

U.S. GOVERNMENT AGENCIES (continued)

 

Government National Mtg. Assoc. (continued)

 

5.00% due 01/15/2040

   $ 586,689      $ 658,727  

5.50% due 12/15/2039

     804,017        908,515  

6.00% due 10/15/2039

     475,998        539,845  

7.00% due 09/15/2028

     3,848        3,939  
             


                17,415,823  
             


Tennessee Valley Authority — 0.1%

 

1.75% due 10/15/2018

     565,000        569,682  
             


Total U.S. Government Agencies

 

        

(cost $360,478,179)

              357,146,450  
             


U.S. GOVERNMENT TREASURIES — 12.2%

 

United States Treasury Bonds — 5.3%

 

2.25% due 08/15/2046

     2,190,000        1,872,962  

2.50% due 02/15/2045

     4,308,000        3,906,650  

2.50% due 02/15/2046

     3,383,000        3,061,747  

2.50% due 05/15/2046#

     5,170,000        4,677,030  

2.88% due 11/15/2046

     446,000        437,341  

3.00% due 05/15/2045

     2,154,000        2,161,405  

3.00% due 11/15/2045

     12,041,000        12,082,867  

3.13% due 11/15/2041

     2,952,000        3,042,520  

3.13% due 02/15/2042

     6,916,000        7,128,072  

3.13% due 08/15/2044

     310,000        318,852  

3.63% due 08/15/2043

     1,723,000        1,936,020  

3.63% due 02/15/2044

     523,000        587,803  

3.75% due 08/15/2041

     131,000        149,647  

3.88% due 08/15/2040

     507,000        590,378  

4.25% due 11/15/2040

     2,585,000        3,179,147  

4.38% due 05/15/2041

     1,638,000        2,054,347  

4.50% due 02/15/2036#

     4,233,000        5,409,808  

4.63% due 02/15/2040

     245,000        316,978  

5.25% due 11/15/2028

     1,357,000        1,740,989  
             


                54,654,563  
             


United States Treasury Notes — 6.9%

 

0.75% due 01/31/2018

     1,173,000        1,171,397  

0.88% due 01/31/2018#

     4,692,000        4,690,348  

1.00% due 05/31/2018

     11,890,000        11,889,536  

1.13% due 06/30/2021

     6,214,000        6,035,347  

1.13% due 07/31/2021

     2,819,000        2,734,320  

1.25% due 11/30/2018

     16,917,000        16,942,765  

1.25% due 01/31/2020

     1,000,000        993,867  

1.38% due 06/30/2018

     3,446,000        3,461,614  

1.38% due 07/31/2018

     4,136,000        4,154,740  

1.38% due 12/31/2018

     1,725,000        1,730,727  

1.38% due 09/30/2020

     1,984,000        1,964,779  

1.50% due 08/31/2018

     6,031,000        6,067,518  

1.63% due 12/31/2019

     584,000        586,806  

1.75% due 12/31/2020

     480,000        480,619  

2.00% due 11/15/2021

     862,000        866,950  

2.00% due 07/31/2022

     492,000        492,403  

2.13% due 12/31/2021

     473,000        478,081  

2.38% due 05/31/2018

     4,852,000        4,933,877  

3.38% due 11/15/2019

     947,000        996,717  
             


                70,672,411  
             


Total U.S. Government Treasuries

 

        

(cost $126,117,825)

              125,326,974  
             


COMMON STOCKS — 0.0%

 

Television — 0.0%

 

ION Media Networks, Inc.†(5)(6)
(cost $1)

     79        46,861  
             


Security Description    Shares/
Principal
Amount
     Value
(Note 2)
 

PREFERRED SECURITIES — 0.1%

 

Electric - Distribution — 0.0%

 

Entergy Louisiana LLC
4.70%

     22,875      $ 529,785  
             


Sovereign Agency — 0.0%

 

Federal Home Loan Mtg. Corp. FRS
Series Z
8.38%†

     6,900        53,820  
             


Telecom Services — 0.1%

 

Qwest Corp.
6.13%#

     27,125        665,376  
             


Total Preferred Securities

                 

(cost $1,356,414)

 

     1,248,981  
             


PREFERRED SECURITIES/CAPITAL SECURITIES — 1.9%

 

Banks - Commercial — 0.0%

 

Standard Chartered PLC VRS
7.50% due 04/02/2022*#(3)

   $ 354,000        364,408  
             


Banks - Super Regional — 0.2%

 

Fifth Third Bancorp FRS
Series J
4.90% due 09/30/2019(3)

     1,323,000        1,309,770  

Wells Fargo Capital X
5.95% due 12/01/2086

     413,000        440,877  
             


                1,750,647  
             


Diversified Banking Institutions — 0.4%

 

BAC Capital Trust XIII FRS
Series F
4.00% due 03/20/2017(3)

     862,000        668,998  

Deutsche Bank AG VRS
7.50% due 04/30/2025#(3)

     600,000        560,250  

JPMorgan Chase & Co. FRS
Series U
6.13% due 04/30/2024(3)

     1,759,000        1,867,091  

Royal Bank of Scotland Group PLC VRS
8.00% due 08/10/2025(3)

     425,000        425,531  

Societe Generale SA VRS
7.88% due 12/18/2023*#(3)

     993,000        990,517  
             


                4,512,387  
             


Electric - Integrated — 0.2%

 

Dominion Resources, Inc. FRS
5.75% due 10/01/2054

     754,000        789,815  

Southern Co. FRS
Series B
5.50% due 03/15/2057

     892,000        929,763  
             


                1,719,578  
             


Finance - Investment Banker/Broker — 0.0%

 

Lehman Brothers Holdings Capital Trust VII
Escrow Security
0.00%(5)(6)†

     148,000        15  
             


Finance - Other Services — 0.1%

 

National Rural Utilities Cooperative Finance Corp. FRS
4.75% due 04/30/2043

     817,000        833,659  
             


Financial Guarantee Insurance — 0.1%

 

Assured Guaranty Municipal
Holdings, Inc. FRS
6.40% due 12/15/2066*

     1,309,000        1,112,650  
             


Food - Dairy Products — 0.1%

 

Land O’Lakes Capital Trust I
7.45% due 03/15/2028*

     868,000        976,500  
             


 

 

30


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
    Value
(Note 2)
 

PREFERRED SECURITIES/CAPITAL SECURITIES (continued)

 

Insurance - Life/Health — 0.1%

 

Prudential Financial, Inc. FRS
5.38% due 05/15/2045#

   $ 407,000     $ 425,315  

Prudential Financial, Inc. FRS
5.63% due 06/15/2043

     921,000       991,733  
            


               1,417,048  
            


Insurance - Multi-line — 0.1%

 

MetLife, Inc.
6.40% due 12/15/2066

     1,052,000       1,162,460  
            


Multimedia — 0.2%

 

Viacom, Inc. FRS
5.88% due 02/28/2057

     1,287,000       1,310,601  

Viacom, Inc. FRS
6.25% due 02/28/2057

     579,000       585,677  
            


               1,896,278  
            


Pipelines — 0.2%

 

Transcanada Trust FRS
5.30% due 03/15/2077

     1,460,000       1,474,600  

TransCanada Trust FRS
5.63% due 05/20/2075#

     490,000       510,090  
            


               1,984,690  
            


Tools - Hand Held — 0.2%

 

Stanley Black & Decker, Inc. FRS
5.75% due 12/15/2053#

     1,817,000       1,926,020  
            


Total Preferred Securities/Capital Securities

                

(cost $18,533,361)

             19,656,340  
            


Total Long-Term Investment Securities

                

(cost $993,322,535)

             998,625,207  
            


SHORT-TERM INVESTMENT SECURITIES — 5.6%

 

Registered Investment Companies — 2.0%

 

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(9)(10)

     20,710,665       20,710,665  
            


Time Deposits — 3.6%

 

Euro Time Deposit with State Street Bank and Trust Co.
0.07% due 03/01/2017

     36,681,000       36,681,000  
            


Total Short-Term Investment Securities

                

(cost $57,391,665)

             57,391,665  
            


TOTAL INVESTMENTS

                

(cost $1,050,714,200)(11)

     102.6     1,056,016,872  

Liabilities in excess of other assets

     (2.6     (26,991,303
    


 


NET ASSETS

     100.0   $ 1,029,025,569  
    


 



* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 28, 2017, the aggregate value of these securities was $145,069,981 representing 14.1% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
(1) Commercial Mortgage Backed Security
(2) Collateralized Mortgage Obligation
(3) Perpetual maturity — maturity date reflects the next call date.
(4) “Step-up” security where the rate increases (“steps-up”) at a predetermined rate. The rate reflected is as of February 28, 2017.
(5) Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs (see Note 2).
(6) Illiquid security. At February 28, 2017, the aggregate value of these securities was $46,984 representing 0.0% of net assets.
(7) Interest Only
(8) Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at February 28, 2017.
(9) At February 28, 2017, the Fund had loaned securities with a total value of 64,149,003. This was secured by collateral of $20,710,665, which was received in cash and subsequently invested in short-term investments currently valued at $20,710,665 as reported in the Portfolio of Investments. Additional collateral of $44,913,558 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly are not reflected in the Fund’s assets and liabilities. The components of the fixed income pooled securities referenced above are as follows:

 

Securities


  Coupon Range

  Maturity Date Range

  Value as of
February 28, 2017


 

Federal Home Loan Mtg. Corp.

  1.50% to 9.25%   11/01/2017 to 03/01/2047   $ 3,726,187  

Federal National Mtg. Assoc.

  zero coupon to 8.50%   11/01/2017 to 03/01/2047     5,098,222  

Government National Mtg. Assoc.

  1.21% to 8.50%   12/16/2024 to 02/20/2067     6,454,207  

United States Treasury Bills

  0.00%   05/04/2017 to 05/11/2017     60,195  

United States Treasury Notes/Bonds

  0.13% to 4.38%   04/15/2017 to 02/15/2045     29,574,747  

 

(10) The rate shown is the 7-day yield as of February 28, 2017.
(11) See Note 5 for cost of investments on a tax basis.

 

REMIC—Real Estate Mortgage Investment Conduit

TBA—Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal and maturity date will be determined upon settlement date.

ULC—Unlimited Liability Corp.

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 28, 2017 and unless noted otherwise, the dates are the original maturity dates.

 

 

31


Table of Contents

VALIC Company II Core Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable  Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Asset Backed Securities

   $ —        $ 33,836,196      $ —        $ 33,836,196  

U.S. Corporate Bonds & Notes:

                                   

Airlines

     —          2,491,554        45,277        2,536,831  

Finance - Investment Banker/Broker

     —          807,468        41        807,509  

Gambling (Non-Hotel)

     —          2,372,025        67        2,372,092  

Other Industries

     —          369,058,127        —          369,058,127  

Foreign Corporate Bonds & Notes

     —          83,503,294        —          83,503,294  

Foreign Government Obligations

     —          3,085,552        —          3,085,552  

U.S. Government Agencies

     —          357,146,450        —          357,146,450  

U.S. Government Treasuries

     —          125,326,974        —          125,326,974  

Common Stocks

     —          —          46,861        46,861  

Preferred Securities

     1,248,981        —          —          1,248,981  

Preferred Securities/Capital Securities:

                                   

Finance - Investment Banker/Broker

     —          —          15        15  

Other Industries

     —          19,656,325        —          19,656,325  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     20,710,665        —          —          20,710,665  

Time Deposits

     —          36,681,000        —          36,681,000  
    


  


  


  


Total Investments at Value

   $ 21,959,646      $ 1,033,964,965      $ 92,261      $ 1,056,016,872  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund.

 

See Notes to Financial Statements

 

32


Table of Contents

VALIC Company II Government Money Market II Fund†

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

U.S. Government Agencies

     86.3

U.S. Government Treasuries

     18.2  

Repurchase Agreements

     0.7  
    


       105.2
    


 

Credit Quality@#

 

A-1+

     99.3

A-1

     0.7  
    


       100.0
    


 

* Calculated as a percentage of net assets.
@ Source Standard & Poor’s
# Calculated as a percentage of total debt issues.
See Note 1

Weighted Average days to Maturity — 16.7 days

 

 

33


Table of Contents

VALIC Company II Government Money Market II Fund†

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description   

Principal

Amount

    

Value

(Note 2)

 

SHORT-TERM INVESTMENT SECURITIES — 104.5%

 

U.S. Government Agencies — 86.3%

 

Federal Farm Credit Bank

                 

0.68% due 03/27/2017 FRS

   $ 1,000,000      $ 999,976  

0.75% due 04/10/2017 FRS

     1,000,000        999,978  

0.80% due 03/29/2017 FRS

     5,350,000        5,349,790  

0.82% due 05/24/2017 FRS

     3,500,000        3,500,000  

0.83% due 09/22/2017 FRS

     1,200,000        1,200,922  

0.91% due 08/01/2017 FRS

     1,550,000        1,552,334  

Federal Home Loan Bank

                 

0.30% due 03/01/2017

     7,000,000        7,000,000  

0.53% due 03/15/2017

     31,000,000        30,993,692  

0.53% due 03/22/2017

     7,500,000        7,497,681  

0.53% due 05/05/2017

     750,000        749,296  

0.56% due 07/17/2017 FRS

     7,000,000        7,000,167  

0.66% due 08/07/2017 FRS

     1,450,000        1,450,000  

0.67% due 03/16/2017 FRS

     5,500,000        5,499,987  

0.74% due 10/06/2017 FRS

     7,000,000        7,000,000  

0.78% due 04/25/2017 FRS

     3,350,000        3,350,056  

0.81% due 08/04/2017 FRS

     3,000,000        3,000,000  

0.82% due 08/22/2017 FRS

     2,000,000        2,000,000  

0.85% due 12/05/2017 FRS

     755,000        755,680  

0.85% due 12/07/2017 FRS

     1,500,000        1,501,182  

Federal Home Loan Mtg. Corp.

                 

0.41% due 03/02/2017

     1,000,000        999,989  

0.56% due 05/04/2017 FRS

     3,500,000        3,500,000  

0.79% due 04/20/2017 FRS

     1,200,000        1,200,444  

0.82% due 04/27/2017 FRS

     3,500,000        3,501,310  

0.91% due 07/21/2017 FRS

     1,500,000        1,500,559  

1.00% due 06/29/2017

     1,600,000        1,602,046  

Federal National Mtg. Assoc.

                 

0.45% due 03/02/2017

     7,000,000        6,999,912  

0.52% due 03/20/2017

     3,500,000        3,499,058  

0.79% due 09/08/2017 FRS

     700,000        700,899  

0.79% due 10/05/2017 FRS

     600,000        600,261  

0.80% due 07/20/2017 FRS

     1,000,000        1,000,277  
             


Total U.S. Government Agencies

                 

(amortized cost $116,505,496)

              116,505,496  
             


Security Description   

Principal

Amount

   

Value

(Note 2)

 

U.S. Government Treasuries — 18.2%

 

United States Treasury Bills

                

0.48% due 03/02/2017

   $ 13,000,000     $ 12,999,827  

0.50% due 03/02/2017

     5,000,000       4,999,931  

0.51% due 03/09/2017

     6,500,000       6,499,270  
            


Total U.S. Government Treasuries

                

(amortized cost $24,499,028)

             24,499,028  
            


Total Short-Term Investment Securities — 104.5%

                

(amortized cost $141,004,524)

             141,004,524  
            


REPURCHASE AGREEMENTS — 0.7%

 

Agreement with Fixed Income Clearing Corp., bearing interest at 0.03%, dated 02/28/2017, to be repurchased 03/01/2017 in the amount of $984,001 and collateralized by $895,000 of United States Treasury Notes, bearing interest at 3.66%, due 08/15/2043 and having an approximate value of $1,004,108
(cost $984,000)

     984,000       984,000  
            


TOTAL INVESTMENTS —

                

(amortized cost $141,988,524)(1)

     105.2     141,988,524  

Liabilities in excess of other assets

     (5.2     (7,079,944
    


 


NET ASSETS

     100.0   $ 134,908,580  
    


 



See Note 1
(1) See Note 5 for cost of investments on a tax basis.
FRS—Floating Rate Security

The rates shown on FRS are the current interest rates at February 28, 2017 and unless noted otherwise, the dates shown are the original maturity dates.

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices

     Level 2 - Other
Observable Inputs

     Level 3 -  Significant
Unobservable Inputs

     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Short-Term Investment Securities

   $         —        $ 141,004,524      $         —        $ 141,004,524  

Repurchase Agreements

     —          984,000        —          984,000  
    


  


  


  


Total Investments at Value

   $ —        $ 141,988,524      $ —        $ 141,988,524  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

34


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Oil Companies — Exploration & Production

     11.2

Registered Investment Companies

     9.0  

Cable/Satellite TV

     7.7  

Medical — Hospitals

     6.1  

Repurchase Agreements

     4.5  

Medical — Drugs

     3.9  

Television

     3.7  

Cellular Telecom

     2.8  

Finance — Consumer Loans

     2.5  

Building — Residential/Commercial

     2.3  

Diversified Banking Institutions

     2.2  

Telephone — Integrated

     2.2  

Containers — Metal/Glass

     2.2  

Containers — Paper/Plastic

     2.0  

Steel — Producers

     1.9  

Pipelines

     1.8  

Data Processing/Management

     1.6  

Chemicals — Specialty

     1.5  

Rental Auto/Equipment

     1.3  

Gambling (Non-Hotel)

     1.3  

Electronic Components — Semiconductors

     1.2  

Casino Hotels

     1.2  

Finance — Other Services

     1.2  

Telecommunication Equipment

     1.1  

Enterprise Software/Service

     1.0  

Cosmetics & Toiletries

     1.0  

Diagnostic Kits

     1.0  

Oil & Gas Drilling

     0.9  

Metal — Aluminum

     0.9  

Internet Content — Entertainment

     0.9  

Diversified Minerals

     0.9  

Building & Construction Products — Misc.

     0.9  

Diversified Manufacturing Operations

     0.9  

Semiconductor Equipment

     0.9  

Broadcast Services/Program

     0.9  

Office Automation & Equipment

     0.9  

Multimedia

     0.9  

Real Estate Investment Trusts

     0.8  

Internet Connectivity Services

     0.8  

Food — Canned

     0.8  

Security Services

     0.8  

Building Products — Cement

     0.8  

Food — Flour & Grain

     0.7  

Printing — Commercial

     0.7  

Banks — Commercial

     0.7  

Coal

     0.6  

Disposable Medical Products

     0.6  

Applications Software

     0.6  

Insurance — Multi — line

     0.6  

Transport — Equipment & Leasing

     0.5  

Metal Processors & Fabrication

     0.5  

Retail — Restaurants

     0.5  

E-Commerce/Services

     0.5  

Computer Services

     0.5  

Racetracks

     0.5  

Chemicals — Diversified

     0.5  

Machinery — Material Handling

     0.5  

Retail — Leisure Products

     0.5  

Retail — Apparel/Shoe

     0.5  

Oil — Field Services

     0.4  

Retail — Arts & Crafts

     0.4  

Machinery — General Industrial

     0.4  

Independent Power Producers

     0.4  

Housewares

     0.4  

Financial Guarantee Insurance

     0.3  

Computer Software

     0.3  

Telecom Services

     0.3  

Medical Information Systems

     0.3  

Casino Services

     0.3  

Hazardous Waste Disposal

     0.3  

Office Supplies & Forms

     0.3  

Electric — Generation

     0.2  

Commercial Services — Finance

     0.2  

Distribution/Wholesale

     0.2  

Radio

     0.2  

Steel — Specialty

     0.2  

Finance — Credit Card

     0.2  

Medical — Wholesale Drug Distribution

     0.1  

Software Tools

     0.1  

E-Commerce/Products

     0.1  

Insurance — Property/Casualty

     0.1  

Food — Misc./Diversified

     0.1  

Medical — HMO

     0.1  

Music

     0.1  
    


       107.9%  
    


 

Credit Quality†#

 

Ba

     21.1

B

     51.0  

Caa

     22.9  

Not Rated@

     5.0  
    


       100.0
    


 

* Calculated as a percentage of net assets
Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
@ Represents debt issues that either have no rating, or the rating is unavailable from the data source.
 

 

35


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

CONVERTIBLE BONDS & NOTES — 2.4%

                 

Cable/Satellite TV — 0.3%

                 

DISH Network Corp.
Senior Notes
3.38% due 08/15/2026*

   $ 1,320,000      $ 1,588,950  
             


Commercial Services - Finance — 0.2%

                 

Cardtronics, Inc.
Senior Notes
1.00% due 12/01/2020#(2)

     1,360,000        1,434,800  
             


E-Commerce/Services — 0.5%

                 

Priceline Group, Inc.
Senior Notes
0.90% due 09/15/2021#

     1,490,000        1,668,800  

Zillow Group, Inc.
Senior Notes
2.00% due 12/01/2021*

     1,560,000        1,553,175  
             


                3,221,975  
             


Electronic Components - Semiconductors — 0.6%

                 

Microchip Technology, Inc.
Senior Sub. Notes
1.63% due 02/15/2025

     1,205,000        1,719,384  

Microchip Technology, Inc.
Senior Sub. Notes
1.63% due 02/15/2027*#

     1,068,000        1,078,013  

Microchip Technology, Inc.
Junior Notes
2.25% due 02/15/2037*

     1,113,000        1,121,347  
             


                3,918,744  
             


Finance - Credit Card — 0.2%

                 

Blackhawk Network Holdings, Inc.
Senior Notes
1.50% due 01/15/2022*

     949,000        963,235  
             


Financial Guarantee Insurance — 0.2%

                 

MGIC Investment Corp.
Senior Notes
2.00% due 04/01/2020(2)

     1,010,000        1,544,038  
             


Multimedia — 0.3%

                 

Liberty Media Corp.-Liberty Formula One
Senior Notes
1.00% due 01/30/2023*

     1,610,000        1,676,412  
             


Oil Companies - Exploration & Production — 0.1%

                 

Cobalt International Energy, Inc.
Senior Notes
2.63% due 12/01/2019#(2)

     1,465,000        454,150  

PDC Energy, Inc.
Company Guar. Notes
1.13% due 09/15/2021

     223,000        240,004  
             


                694,154  
             


Total Convertible Bonds & Notes

                 

(cost $15,827,899)

              15,042,308  
             


U.S. CORPORATE BONDS & NOTES — 73.3%

                 

Applications Software — 0.6%

                 

Emdeon, Inc.
Company Guar. Notes
6.00% due 02/15/2021*

     2,125,000        2,263,125  

Emdeon, Inc.
Company Guar. Notes
11.00% due 12/31/2019#

     1,285,000        1,320,337  
             


                3,583,462  
             


Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Broadcast Services/Program — 0.9%

                 

Clear Channel Worldwide Holdings, Inc.
Company Guar. Notes
7.63% due 03/15/2020

   $ 1,260,000      $ 1,269,450  

Liberty Interactive LLC
Senior Notes
8.25% due 02/01/2030

     4,055,000        4,338,850  
             


                5,608,300  
             


Building & Construction Products - Misc. — 0.9%

                 

Ply Gem Industries, Inc.
Company Guar. Notes
6.50% due 02/01/2022

     2,440,000        2,538,088  

Standard Industries, Inc.
Senior Notes
5.13% due 02/15/2021*

     550,000        573,375  

Standard Industries, Inc.
Senior Notes
5.38% due 11/15/2024*

     2,465,000        2,533,773  
             


                5,645,236  
             


Building Products - Cement — 0.5%

                 

Cemex Finance LLC
Senior Sec. Notes
6.00% due 04/01/2024*

     2,755,000        2,861,756  
             


Building - Residential/Commercial — 2.3%

                 

Beazer Homes USA, Inc.
Company Guar. Notes
8.75% due 03/15/2022*

     1,865,000        2,023,301  

KB Home
Company Guar. Notes
4.75% due 05/15/2019

     445,000        455,569  

KB Home
Company Guar. Notes
7.00% due 12/15/2021

     2,905,000        3,180,975  

KB Home
Company Guar. Notes
7.50% due 09/15/2022#

     1,145,000        1,253,775  

KB Home
Company Guar. Notes
8.00% due 03/15/2020

     1,461,000        1,625,363  

Lennar Corp.
Company Guar. Notes
4.75% due 04/01/2021

     2,370,000        2,467,762  

M/I Homes, Inc.
Company Guar. Notes
6.75% due 01/15/2021(2)

     3,295,000        3,459,750  
             


                14,466,495  
             


Cable/Satellite TV — 5.8%

                 

CCO Holdings LLC/CCO Holdings Capital Corp.
Senior Notes
5.13% due 02/15/2023

     150,000        156,188  

CCO Holdings LLC/CCO Holdings Capital Corp.
Senior Notes
5.13% due 05/01/2023*

     4,780,000        4,959,250  

CCO Holdings LLC/CCO Holdings Capital Corp.
Senior Notes
5.75% due 09/01/2023

     715,000        749,856  

CCO Holdings LLC/CCO Holdings Capital Corp.
Senior Notes
5.75% due 01/15/2024

     360,000        377,820  

CCO Holdings LLC/CCO Holdings Capital Corp.
Senior Notes
5.75% due 02/15/2026*

     1,815,000        1,942,050  
 

 

36


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description       
Principal
Amount(13)
    Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

               

Cable/Satellite TV (continued)

               

CCO Holdings LLC/CCO Holdings Capital Corp.
Senior Notes
5.88% due 04/01/2024*

  $ 1,490,000     $ 1,598,025  

Cequel Communications Holdings I LLC/Cequel Capital Corp.
Senior Notes
5.13% due 12/15/2021*

    7,105,000       7,196,699  

Charter Communications Operating LLC/Charter Communications Operating Capital
Senior Sec. Notes
4.91% due 07/23/2025

    845,000       890,126  

CSC Holdings LLC
Senior Notes
5.25% due 06/01/2024

    2,950,000       2,968,437  

CSC Holdings LLC
Senior Notes
10.13% due 01/15/2023*

    2,445,000       2,830,087  

CSC Holdings LLC
Senior Notes
10.88% due 10/15/2025*

    1,055,000       1,271,275  

DISH DBS Corp.
Company Guar. Notes
5.00% due 03/15/2023

    3,120,000       3,205,800  

DISH DBS Corp.
Company Guar. Notes
6.75% due 06/01/2021

    5,951,000       6,560,977  

DISH DBS Corp.
Company Guar. Notes
7.88% due 09/01/2019

    1,325,000       1,477,375  
           


        36,183,965  
           


Casino Hotels — 1.2%

               

Boyd Gaming Corp.
Company Guar. Notes
6.38% due 04/01/2026

    3,870,000       4,184,437  

Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp.
Senior Sec. Notes
6.75% due 11/15/2021*

    3,015,000       3,128,063  
           


        7,312,500  
           


Casino Services — 0.2%

               

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
Senior Sec. Notes
6.13% due 08/15/2021*

    1,300,000       1,329,640  
           


Cellular Telecom — 2.8%

               

Sprint Communications, Inc.
Company Guar. Notes
7.00% due 03/01/2020*

    2,240,000       2,447,200  

Sprint Corp.
Company Guar. Notes
7.13% due 06/15/2024

    3,945,000       4,259,377  

Sprint Corp.
Company Guar. Notes
7.25% due 09/15/2021

    5,140,000       5,602,600  

Sprint Corp.
Company Guar. Notes
7.88% due 09/15/2023

    4,945,000       5,501,313  
           


        17,810,490  
           


Chemicals - Diversified — 0.5%

               

Hexion, Inc.
Senior Sec. Notes
10.38% due 02/01/2022*

  $ 2,955,000     $ 3,043,650  
           


Security Description       
Principal
Amount(13)
    Value
(Note 2)
 

                 

Chemicals - Specialty — 1.5%

               

Chemours Co.
Company Guar. Notes
6.63% due 05/15/2023#

    4,370,000       4,637,662  

Chemours Co.
Company Guar. Notes
7.00% due 05/15/2025

    455,000       494,244  

Platform Specialty Products Corp.
Senior Notes
6.50% due 02/01/2022*#

    3,940,000       4,117,300  
           


        9,249,206  
           


Coal — 0.6%

               

Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp.
Sec. Notes
12.00% due 11/01/2021

    1,045,000       1,139,050  

Foresight Energy LLC/Foresight Energy Finance Corp.
Sec. Notes
10.00% due 08/15/2021*(1)

    1,888,616       2,068,035  

Peabody Securities Finance Corp.
Senior Sec. Notes
6.00% due 03/31/2022*

    380,000       387,600  

Peabody Securities Finance Corp.
Senior Sec. Notes
6.38% due 03/31/2025*

    410,000       418,200  
           


        4,012,885  
           


Computer Services — 0.5%

               

Conduent Finance, Inc./Xerox Business Services LLC
Company Guar. Notes
10.50% due 12/15/2024*

    2,815,000       3,212,619  
           


Containers - Metal/Glass — 0.9%

               

Ball Corp.
Company Guar. Notes
3.50% due 12/15/2020

  EUR 465,000       545,036  

Ball Corp.
Company Guar. Notes
4.38% due 12/15/2023

  EUR 620,000       739,391  

Owens-Brockway Glass Container, Inc.
Company Guar. Notes
5.88% due 08/15/2023*#

    4,070,000       4,370,162  
           


        5,654,589  
           


Containers - Paper/Plastic — 2.0%

               

Berry Plastics Corp.
Sec. Notes
6.00% due 10/15/2022

    2,760,000       2,922,150  

Flex Acquisition Co, Inc.
Senior Notes
6.88% due 01/15/2025*

    3,720,000       3,803,700  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
Senior Sec. Notes
5.13% due 07/15/2023*

    3,080,000       3,191,650  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
Company Guar. Notes
7.00% due 07/15/2024*

    2,320,000       2,495,450  
           


        12,412,950  
           


Cosmetics & Toiletries — 1.0%

               

Avon International Operations, Inc.
Senior Sec. Notes
7.88% due 08/15/2022*

    2,750,000       2,925,010  
 

 

37


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

                 

Cosmetics & Toiletries (continued)

                 

Revlon Consumer Products Corp.
Company Guar. Notes
6.25% due 08/01/2024#

   $ 3,330,000      $ 3,421,575  
             


         6,346,585  
             


Data Processing/Management — 1.6%

                 

First Data Corp.
Senior Sec. Notes
5.38% due 08/15/2023*

     3,580,000        3,723,200  

First Data Corp.
Sec. Notes
5.75% due 01/15/2024*

     2,415,000        2,502,544  

First Data Corp.
Company Guar. Notes
7.00% due 12/01/2023*

     3,245,000        3,488,375  
             


         9,714,119  
             


Diagnostic Kits — 1.0%

                 

Alere, Inc.
Company Guar. Notes
6.38% due 07/01/2023*

     3,700,000        3,755,500  

Alere, Inc.
Company Guar. Notes
6.50% due 06/15/2020

     2,555,000        2,567,775  
             


         6,323,275  
             


Disposable Medical Products — 0.6%

                 

Sterigenics-Nordion Holdings LLC
Senior Notes
6.50% due 05/15/2023*

     3,815,000        3,900,837  
             


Distribution/Wholesale — 0.2%

                 

American Builders & Contractors Supply Co., Inc.
Senior Notes
5.63% due 04/15/2021*

     335,000        343,794  

American Builders & Contractors Supply Co., Inc.
Senior Notes
5.75% due 12/15/2023*

     790,000        829,500  
             


         1,173,294  
             


Electric - Integrated — 0.0%

                 

GenOn Americas Generation LLC
Senior Notes
9.13% due 05/01/2031#

     250,000        223,750  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.
Escrow Notes
11.50% due 10/01/2020†(2)

     5,553,748        41,653  
             


         265,403  
             


Electronic Components - Semiconductors — 0.6%

                 

Micron Technology, Inc.
Senior Notes
5.50% due 02/01/2025

     3,770,000        3,892,525  
             


Enterprise Software/Service — 1.0%

                 

Infor Software Parent LLC/Infor Software Parent, Inc.
Company Guar. Notes
7.13% due 05/01/2021*(1)

     595,000        611,362  

Infor US, Inc.
Senior Sec. Notes
5.75% due 08/15/2020*

     165,000        171,188  

Infor US, Inc.
Company Guar. Notes
6.50% due 05/15/2022

     5,425,000        5,642,000  
             


         6,424,550  
             


Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Finance - Consumer Loans — 2.5%

                 

Navient Corp.
Senior Notes
5.88% due 10/25/2024

   $ 4,250,000      $ 3,984,375  

OneMain Financial Holdings LLC
Company Guar. Notes
6.75% due 12/15/2019*

     511,000        534,956  

SLM Corp.
Senior Notes
5.50% due 01/25/2023

     570,000        545,775  

SLM Corp.
Senior Notes
6.13% due 03/25/2024

     3,850,000        3,686,375  

Springleaf Finance Corp.
Company Guar. Notes
5.25% due 12/15/2019

     970,000        976,063  

Springleaf Finance Corp.
Company Guar. Notes
7.75% due 10/01/2021#

     2,585,000        2,756,256  

Springleaf Finance Corp.
Company Guar. Notes
8.25% due 12/15/2020

     3,095,000        3,400,631  
             


         15,884,431  
             


Finance - Other Services — 1.2%

                 

FBM Finance, Inc.
Senior Sec. Notes
8.25% due 08/15/2021*

     1,080,000        1,155,816  

Hexion 2 US Finance Corp.
Senior Sec. Notes
13.75% due 02/01/2022*(2)

     1,335,000        1,294,950  

Nationstar Mtg. LLC/Nationstar Capital Corp.
Company Guar. Notes
6.50% due 08/01/2018

     2,400,000        2,436,000  

Nationstar Mtg. LLC/Nationstar Capital Corp.
Company Guar. Notes
6.50% due 07/01/2021

     955,000        976,488  

Nationstar Mtg. LLC/Nationstar Capital Corp.
Company Guar. Notes
6.50% due 06/01/2022

     1,425,000        1,435,687  
             


         7,298,941  
             


Financial Guarantee Insurance — 0.1%

                 

MGIC Investment Corp.
Senior Notes
5.75% due 08/15/2023

     680,000        719,100  
             


Food - Canned — 0.8%

                 

TreeHouse Foods, Inc.
Company Guar. Notes
4.88% due 03/15/2022

     3,530,000        3,644,725  

TreeHouse Foods, Inc.
Company Guar. Notes
6.00% due 02/15/2024*

     1,230,000        1,294,575  
             


         4,939,300  
             


Food - Flour & Grain — 0.7%

                 

Post Holdings, Inc.
Company Guar. Notes
5.00% due 08/15/2026*

     4,040,000        3,906,155  

Post Holdings, Inc.
Company Guar. Notes
6.00% due 12/15/2022*

     740,000        780,700  
             


         4,686,855  
             


Food - Misc./Diversified — 0.1%

                 

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.
Company Guar. Notes
5.88% due 01/15/2024

     565,000        597,488  
             


 

 

38


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

                 

Gambling (Non-Hotel) — 1.3%

                 

Jacobs Entertainment, Inc.
Sec. Notes
7.88% due 02/01/2024*

   $ 2,455,000      $ 2,522,512  

Pinnacle Entertainment, Inc.
Senior Notes
5.63% due 05/01/2024*

     3,740,000        3,805,450  

Scientific Games International, Inc.
Company Guar. Notes
6.63% due 05/15/2021

     1,755,000        1,649,700  
             


         7,977,662  
             


Hazardous Waste Disposal — 0.2%

                 

Clean Harbors, Inc.
Company Guar. Notes
5.13% due 06/01/2021

     1,320,000        1,349,700  
             


Housewares — 0.4%

                 

American Greetings Corp.
Senior Notes
7.88% due 02/15/2025*

     2,155,000        2,258,720  
             


Independent Power Producers — 0.4%

                 

Dynegy, Inc.
Company Guar. Notes
8.00% due 01/15/2025*

     1,200,000        1,140,000  

RRI Energy, Inc.
Senior Notes
7.88% due 06/15/2017

     1,487,000        1,167,295  
             


         2,307,295  
             


Insurance - Multi-line — 0.6%

                 

Genworth Financial, Inc.
Company Guar. Notes
7.63% due 09/24/2021

     525,000        504,000  

Genworth Holdings, Inc.
Company Guar. Notes
4.80% due 02/15/2024

     260,000        219,050  

Genworth Holdings, Inc.
Company Guar. Notes
4.90% due 08/15/2023

     1,740,000        1,487,700  

Genworth Holdings, Inc.
Company Guar. Notes
7.20% due 02/15/2021

     990,000        955,350  

Genworth Holdings, Inc.
Company Guar. Notes
7.70% due 06/15/2020#

     341,000        341,000  
             


         3,507,100  
             


Internet Connectivity Services — 0.8%

                 

Zayo Group LLC/Zayo Capital, Inc.
Company Guar. Notes
6.00% due 04/01/2023

     3,765,000        3,981,487  

Zayo Group LLC/Zayo Capital, Inc.
Company Guar. Notes
6.38% due 05/15/2025

     985,000        1,061,338  
             


         5,042,825  
             


Internet Content - Entertainment — 0.9%

                 

Netflix, Inc.
Senior Notes
5.88% due 02/15/2025

     5,290,000        5,719,812  
             


Machinery - General Industrial — 0.1%

                 

Gardner Denver, Inc.
Senior Notes
6.88% due 08/15/2021*#

     825,000        849,750  
             


Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Machinery - Material Handling — 0.5%

                 

Cloud Crane LLC
Sec. Notes
10.13% due 08/01/2024*

   $ 2,645,000      $ 2,902,887  
             


Medical Information Systems — 0.3%

                 

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
Senior Bonds
5.75% due 03/01/2025*

     1,890,000        1,952,011  
             


Medical - Biomedical/Gene — 0.0%

                 

Sterigenics-Nordion Topco LLC
Senior Notes
8.13% due 11/01/2021*(1)

     180,000        185,400  
             


Medical - Drugs — 0.4%

                 

PRA Holdings, Inc.
Senior Notes
9.50% due 10/01/2023*(2)

     2,104,000        2,345,960  
             


Medical - HMO — 0.1%

                 

MPH Acquisition Holdings LLC
Company Guar. Notes
7.13% due 06/01/2024*

     540,000        581,850  
             


Medical - Hospitals — 6.1%

                 

Amsurg Corp.
Company Guar. Notes
5.63% due 07/15/2022

     2,995,000        3,118,544  

CHS/Community Health Systems, Inc.
Senior Sec. Notes
5.13% due 08/15/2018#

     200,000        201,250  

CHS/Community Health Systems, Inc.
Company Guar. Notes
6.88% due 02/01/2022

     9,335,000        8,191,462  

CHS/Community Health Systems, Inc.
Company Guar. Notes
7.13% due 07/15/2020#

     2,010,000        1,889,400  

Envision Healthcare Corp.
Company Guar. Notes
5.13% due 07/01/2022*

     1,680,000        1,719,900  

HCA Holdings, Inc.
Senior Notes
6.25% due 02/15/2021

     5,000,000        5,443,750  

HCA, Inc.
Company Guar. Notes
5.38% due 02/01/2025

     2,140,000        2,238,975  

HCA, Inc.
Company Guar. Notes
7.50% due 11/15/2095

     1,820,000        1,774,500  

LifePoint Health, Inc.
Company Guar. Notes
5.88% due 12/01/2023#

     1,185,000        1,217,588  

Tenet Healthcare Corp.
Senior Sec. Notes
4.75% due 06/01/2020

     2,365,000        2,412,300  

Tenet Healthcare Corp.
Senior Notes
5.00% due 03/01/2019

     5,095,000        5,098,465  

Tenet Healthcare Corp.
Senior Notes
6.75% due 06/15/2023#

     505,000        500,581  

Tenet Healthcare Corp.
Senior Notes
8.13% due 04/01/2022

     4,370,000        4,577,575  
             


         38,384,290  
             


 

 

39


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

                 

Medical - Wholesale Drug Distribution — 0.1%

                 

Vizient, Inc.
Senior Notes
10.38% due 03/01/2024*

   $ 795,000      $ 910,275  
             


Metal Processors & Fabrication — 0.5%

                 

Novelis Corp.
Company Guar. Notes
5.88% due 09/30/2026*

     1,145,000        1,177,919  

Novelis Corp.
Company Guar. Notes
6.25% due 08/15/2024*

     1,995,000        2,114,700  
             


         3,292,619  
             


Metal - Aluminum — 0.3%

                 

Kaiser Aluminum Corp.
Company Guar. Notes
5.88% due 05/15/2024

     1,940,000        2,037,000  
             


Mining — 0.0%

                 

Renco Metals, Inc.
Escrow Notes
11.50% due 07/01/2003†(2)(3)

     210,000        6,300  
             


Music — 0.1%

                 

WMG Acquisition Corp.
Senior Sec. Notes
5.00% due 08/01/2023*

     555,000        567,488  
             


Office Automation & Equipment — 0.9%

                 

CDW LLC/CDW Finance Corp.
Company Guar. Notes
5.00% due 09/01/2023

     1,410,000        1,452,300  

CDW LLC/CDW Finance Corp.
Company Guar. Notes
6.00% due 08/15/2022

     3,870,000        4,097,362  
             


         5,549,662  
             


Office Supplies & Forms — 0.3%

                 

ACCO Brands Corp.
Company Guar. Notes
5.25% due 12/15/2024*

     1,615,000        1,635,188  
             


Oil & Gas Drilling — 0.2%

                 

Rowan Cos., Inc.
Company Guar. Notes
5.85% due 01/15/2044

     1,850,000        1,517,000  
             


Oil Companies - Exploration & Production — 9.2%

                 

Antero Resources Corp.
Company Guar. Notes
5.38% due 11/01/2021

     2,190,000        2,239,275  

Antero Resources Corp.
Company Guar. Notes
5.63% due 06/01/2023

     915,000        926,437  

California Resources Corp.
Sec. Notes
8.00% due 12/15/2022*

     6,225,000        5,322,375  

Callon Petroleum Co
Company Guar. Notes
6.13% due 10/01/2024*

     605,000        630,712  

Concho Resources, Inc.
Company Guar. Notes
5.50% due 10/01/2022

     2,780,000        2,877,300  

Concho Resources, Inc.
Company Guar. Notes
5.50% due 04/01/2023

     580,000        600,300  

Continental Resources, Inc.
Company Guar. Notes
3.80% due 06/01/2024

     665,000        615,956  
Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Oil Companies - Exploration & Production (continued)

                 

Continental Resources, Inc.
Company Guar. Notes
4.50% due 04/15/2023

   $ 415,000      $ 406,700  

Continental Resources, Inc.
Company Guar. Notes
4.90% due 06/01/2044

     4,470,000        3,922,425  

Continental Resources, Inc.
Company Guar. Notes
5.00% due 09/15/2022#

     1,425,000        1,453,500  

Denbury Resources, Inc.
Sec. Notes
9.00% due 05/15/2021*

     4,585,000        4,940,337  

Diamondback Energy, Inc.
Company Guar. Notes
4.75% due 11/01/2024*

     335,000        335,838  

Energen Corp.
Senior Notes
4.63% due 09/01/2021

     2,170,000        2,164,575  

Laredo Petroleum, Inc.
Company Guar. Notes
5.63% due 01/15/2022#

     3,216,000        3,240,120  

Laredo Petroleum, Inc.
Company Guar. Notes
6.25% due 03/15/2023#

     1,380,000        1,414,500  

Laredo Petroleum, Inc.
Company Guar. Notes
7.38% due 05/01/2022

     1,135,000        1,174,725  

Matador Resources Co.
Senior Notes
6.88% due 04/15/2023*

     765,000        807,075  

Matador Resources Co.
Company Guar. Notes
6.88% due 04/15/2023

     2,550,000        2,690,250  

PDC Energy, Inc.
Company Guar. Notes
6.13% due 09/15/2024*

     700,000        722,750  

QEP Resources, Inc.
Senior Notes
5.25% due 05/01/2023

     4,356,000        4,290,660  

QEP Resources, Inc.
Senior Notes
5.38% due 10/01/2022

     206,000        207,030  

QEP Resources, Inc.
Senior Notes
6.80% due 03/01/2020(2)

     245,000        256,638  

Rice Energy, Inc.
Company Guar. Notes
6.25% due 05/01/2022

     1,935,000        1,977,338  

Rice Energy, Inc.
Company Guar. Notes
7.25% due 05/01/2023

     555,000        586,913  

RSP Permian, Inc.
Company Guar. Notes
6.63% due 10/01/2022

     1,460,000        1,543,950  

SM Energy Co.
Senior Notes
5.00% due 01/15/2024#

     3,865,000        3,623,437  

SM Energy Co.
Senior Notes
5.63% due 06/01/2025#

     25,000        23,656  

SM Energy Co.
Senior Notes
6.13% due 11/15/2022#

     365,000        367,738  

SM Energy Co.
Senior Notes
6.50% due 11/15/2021#

     170,000        173,825  
 

 

40


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

                 

Oil Companies - Exploration & Production (continued)

                 

SM Energy Co.
Senior Notes
6.75% due 09/15/2026#

   $ 395,000      $ 401,913  

WPX Energy, Inc.
Senior Notes
5.25% due 09/15/2024#

     3,415,000        3,333,894  

WPX Energy, Inc.
Senior Notes
6.00% due 01/15/2022#

     3,110,000        3,176,087  

WPX Energy, Inc.
Senior Notes
8.25% due 08/01/2023#

     970,000        1,086,400  
             


         57,534,629  
             


Pipelines — 1.8%

                 

Blue Racer Midstream LLC/Blue Racer Finance Corp.
Company Guar. Notes
6.13% due 11/15/2022*

     3,780,000        3,846,150  

Energy Transfer Equity LP
Senior Sec. Notes
5.50% due 06/01/2027

     3,605,000        3,816,794  

Energy Transfer Equity LP
Senior Sec. Notes
7.50% due 10/15/2020

     1,350,000        1,517,062  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.
Company Guar. Notes
6.75% due 03/15/2024

     1,650,000        1,802,625  
             


         10,982,631  
             


Printing - Commercial — 0.7%

                 

Quad/Graphics, Inc.
Company Guar. Notes
7.00% due 05/01/2022

     4,610,000        4,598,475  
             


Racetracks — 0.5%

                 

Penn National Gaming, Inc.
Senior Notes
5.63% due 01/15/2027*#

     3,145,000        3,156,794  
             


Radio — 0.2%

                 

CBS Radio, Inc.
Company Guar. Notes
7.25% due 11/01/2024*

     1,095,000        1,168,913  
             


Real Estate Investment Trusts — 0.8%

                 

Equinix, Inc.
Senior Notes
5.88% due 01/15/2026

     1,420,000        1,516,730  

FelCor Lodging LP
Company Guar. Notes
6.00% due 06/01/2025

     3,555,000        3,777,188  
             


         5,293,918  
             


Rental Auto/Equipment — 1.3%

                 

Herc Rentals, Inc.
Sec. Notes
7.50% due 06/01/2022*

     1,960,000        2,116,800  

Herc Rentals, Inc.
Sec. Notes
7.75% due 06/01/2024*

     1,780,000        1,958,000  

Hertz Corp.
Company Guar. Notes
5.50% due 10/15/2024*#

     4,595,000        4,146,987  
             


         8,221,787  
             


Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Retail - Apparel/Shoe — 0.5%

                 

L Brands, Inc.
Company Guar. Notes
6.88% due 11/01/2035

   $ 2,355,000      $ 2,263,744  

L Brands, Inc.
Senior Notes
6.95% due 03/01/2033

     651,000        624,146  
             


         2,887,890  
             


Retail - Arts & Crafts — 0.4%

                 

Michaels Stores, Inc.
Company Guar. Notes
5.88% due 12/15/2020*#

     2,600,000        2,671,500  
             


Retail - Leisure Products — 0.5%

                 

Party City Holdings, Inc.
Company Guar. Notes
6.13% due 08/15/2023*#

     2,830,000        2,900,750  
             


Retail - Restaurants — 0.5%

                 

CEC Entertainment, Inc.
Company Guar. Notes
8.00% due 02/15/2022

     3,065,000        3,225,912  
             


Rubber/Plastic Products — 0.0%

                 

Venture Holdings Co. LLC
Company Guar. Notes
11.00% due 06/01/2007†(2)(3)(4)(5)

     50,000        0  
             


Security Services — 0.8%

                 

APX Group, Inc.
Senior Sec. Notes
7.88% due 12/01/2022

     1,575,000        1,704,938  

APX Group, Inc.
Senior Sec. Notes
7.88% due 12/01/2022*

     2,815,000        3,047,237  
             


         4,752,175  
             


Semiconductor Equipment — 0.4%

                 

Entegris, Inc.
Company Guar. Notes
6.00% due 04/01/2022*

     2,540,000        2,647,950  
             


Software Tools — 0.1%

                 

JDA Escrow LLC/JDA Bond Finance, Inc.
Senior Sec. Notes
7.38% due 10/15/2024*

     775,000        813,750  
             


Steel - Producers — 1.9%

                 

AK Steel Corp.
Company Guar. Notes
7.63% due 05/15/2020#

     1,010,000        1,029,493  

AK Steel Corp.
Company Guar. Notes
7.63% due 10/01/2021#

     2,000,000        2,075,000  

AK Steel Corp.
Company Guar. Notes
8.38% due 04/01/2022

     1,360,000        1,412,700  

Steel Dynamics, Inc.
Company Guar. Notes
5.13% due 10/01/2021

     915,000        943,594  

Steel Dynamics, Inc.
Company Guar. Notes
5.50% due 10/01/2024

     1,130,000        1,202,094  

United States Steel Corp.
Senior Notes
6.88% due 04/01/2021

     286,000        295,295  

United States Steel Corp.
Senior Notes
7.38% due 04/01/2020#

     1,081,000        1,162,075  
 

 

41


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

                 

Steel - Producers (continued)

                 

United States Steel Corp.
Senior Notes
7.50% due 03/15/2022#

   $ 475,000      $ 494,000  

United States Steel Corp.
Senior Sec. Notes
8.38% due 07/01/2021*

     3,019,000        3,396,375  
             


         12,010,626  
             


Steel - Specialty — 0.2%

                 

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.
Company Guar. Notes
6.38% due 05/01/2022*

     975,000        1,001,813  
             


Telecommunication Equipment — 1.1%

                 

Alcatel-Lucent USA, Inc.
Senior Notes
6.45% due 03/15/2029

     6,485,000        7,165,925  
             


Telephone - Integrated — 2.2%

                 

Frontier Communications Corp.
Senior Notes
10.50% due 09/15/2022

     1,235,000        1,284,005  

Frontier Communications Corp.
Senior Notes
11.00% due 09/15/2025

     3,030,000        3,045,150  

Level 3 Financing, Inc.
Company Guar. Notes
5.13% due 05/01/2023

     455,000        464,100  

Level 3 Financing, Inc.
Company Guar. Notes
5.25% due 03/15/2026*

     4,330,000        4,367,887  

Level 3 Financing, Inc.
Company Guar. Notes
5.38% due 08/15/2022

     2,175,000        2,254,931  

Sprint Capital Corp.
Company Guar. Notes
6.88% due 11/15/2028

     2,115,000        2,255,119  
             


         13,671,192  
             


Television — 3.1%

                 

Gannett Co., Inc.
Company Guar. Notes
5.50% due 09/15/2024*#

     705,000        722,625  

Gray Television, Inc.
Company Guar. Notes
5.13% due 10/15/2024*

     1,220,000        1,204,750  

Gray Television, Inc.
Company Guar. Notes
5.88% due 07/15/2026*

     640,000        649,005  

Sinclair Television Group, Inc.
Company Guar. Notes
5.13% due 02/15/2027*

     1,015,000        976,938  

Sinclair Television Group, Inc.
Company Guar. Notes
5.88% due 03/15/2026*

     1,585,000        1,626,606  

Sinclair Television Group, Inc.
Company Guar. Notes
6.13% due 10/01/2022

     600,000        627,750  

TEGNA, Inc.
Company Guar. Notes
4.88% due 09/15/2021*

     2,990,000        3,049,800  

TEGNA, Inc.
Company Guar. Notes
5.13% due 10/15/2019

     3,685,000        3,781,731  
Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Television (continued)

                 

TEGNA, Inc.
Company Guar. Notes
6.38% due 10/15/2023

   $ 2,535,000      $ 2,699,775  

Tribune Media Co.
Company Guar. Notes
5.88% due 07/15/2022

     3,723,000        3,802,114  
             


         19,141,094  
             


Total U.S. Corporate Bonds & Notes

                 

(cost $440,361,689)

              459,282,964  
             


FOREIGN CORPORATE BONDS & NOTES — 14.5%

                 

Building Products - Cement — 0.3%

                 

Cemex SAB de CV
Senior Sec. Notes
5.70% due 01/11/2025*

     890,000        915,588  

Cemex SAB de CV
Senior Sec. Notes
7.75% due 04/16/2026*

     710,000        795,200  
             


         1,710,788  
             


Cable/Satellite TV — 1.6%

                 

Altice Financing SA
Senior Sec. Notes
6.63% due 02/15/2023*

     600,000        631,500  

Altice Financing SA
Senior Sec. Notes
7.50% due 05/15/2026*

     3,755,000        4,031,931  

Numericable-SFR SA
Senior Sec. Notes
7.38% due 05/01/2026*

     2,705,000        2,803,056  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
Senior Sec. Notes
5.50% due 01/15/2023*

     2,410,000        2,518,450  
             


         9,984,937  
             


Computer Software — 0.3%

                 

Camelot Finance SA
Senior Notes
7.88% due 10/15/2024*

     1,885,000        2,007,525  
             


Containers - Metal/Glass — 1.3%

                 

ARD Finance SA
Senior Sec. Notes
7.13% due 09/15/2023*(1)

     2,970,000        3,099,938  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
Company Guar. Notes
6.00% due 06/30/2021*#

     3,375,000        3,501,562  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
Company Guar. Notes
6.75% due 01/31/2021*

     450,000        466,560  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
Company Guar. Notes
7.25% due 05/15/2024*

     845,000        921,050  
             


         7,989,110  
             


Diversified Manufacturing Operations — 0.9%

                 

Bombardier, Inc.
Senior Notes
6.13% due 01/15/2023*

     5,635,000        5,635,000  
             


 

 

42


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Diversified Minerals — 0.9%

                 

Anglo American Capital PLC
Company Guar. Notes
4.13% due 04/15/2021*

   $ 590,000      $ 607,818  

Anglo American Capital PLC
Company Guar. Notes
4.13% due 09/27/2022*#

     745,000        758,037  

Anglo American Capital PLC
Company Guar. Notes
4.88% due 05/14/2025*

     490,000        508,375  

Anglo American Capital PLC
Company Guar. Notes
9.38% due 04/08/2019*

     890,000        1,007,925  

Teck Resources, Ltd.
Company Guar. Notes
8.00% due 06/01/2021*

     785,000        874,294  

Teck Resources, Ltd.
Company Guar. Notes
8.50% due 06/01/2024*

     1,630,000        1,903,025  
             


         5,659,474  
             


Gold Mining — 0.0%

                 

New Gold, Inc.
Company Guar. Notes
6.25% due 11/15/2022*

     160,000        162,000  
             


Hazardous Waste Disposal — 0.1%

                 

Tervita Escrow Corp.
Sec. Notes
7.63% due 12/01/2021*

     320,000        334,400  
             


Medical - Drugs — 3.5%

                 

Endo, Ltd./Endo Finance LLC/Endo Finco, Inc.
Company Guar. Notes
6.00% due 07/15/2023*

     4,910,000        4,517,200  

Endo, Ltd./Endo Finance LLC/Endo Finco, Inc.
Company Guar. Notes
6.00% due 02/01/2025*

     4,510,000        4,030,812  

Valeant Pharmaceuticals International, Inc.
Company Guar. Notes
5.50% due 03/01/2023*

     1,910,000        1,539,938  

Valeant Pharmaceuticals International, Inc.
Company Guar. Notes
5.88% due 05/15/2023*

     12,550,000        10,212,562  

Valeant Pharmaceuticals International, Inc.
Company Guar. Notes
6.13% due 04/15/2025*

     2,035,000        1,620,369  
             


         21,920,881  
             


Metal - Aluminum — 0.6%

                 

Constellium NV
Senior Sec. Notes
7.88% due 04/01/2021*

     3,430,000        3,713,318  
             


Multimedia — 0.2%

                 

Quebecor Media, Inc.
Senior Notes
5.75% due 01/15/2023

     1,415,000        1,508,744  
             


Oil & Gas Drilling — 0.7%

                 

Noble Holding International, Ltd.
Company Guar. Notes
7.75% due 01/15/2024#

     2,375,000        2,309,687  

Transocean, Inc.
Company Guar. Notes
6.80% due 03/15/2038#

     860,000        705,200  

Transocean, Inc.
Company Guar. Notes
7.50% due 04/15/2031

     255,000        232,050  
Security Description        
Principal
Amount(13)
     Value
(Note 2)
 

                   

Oil & Gas Drilling (continued)

                 

Transocean, Inc.
Company Guar. Notes
9.10% due 12/15/2041

   $ 1,035,000      $ 1,022,063  
             


         4,269,000  
             


Oil Companies - Exploration & Production — 1.9%

                 

MEG Energy Corp.
Company Guar. Notes
6.38% due 01/30/2023*

     3,715,000        3,297,063  

MEG Energy Corp.
Sec. Notes
6.50% due 01/15/2025*#

     1,490,000        1,456,475  

MEG Energy Corp.
Company Guar. Notes
7.00% due 03/31/2024*

     2,460,000        2,214,000  

Tullow Oil PLC
Company Guar. Notes
6.00% due 11/01/2020*

     1,220,000        1,149,850  

Tullow Oil PLC
Company Guar. Notes
6.25% due 04/15/2022*

     4,235,000        3,949,137  
             


         12,066,525  
             


Oil - Field Services — 0.4%

                 

Weatherford International, Ltd.
Company Guar. Notes
5.95% due 04/15/2042

     640,000        536,000  

Weatherford International, Ltd.
Company Guar. Notes
6.50% due 08/01/2036#

     1,700,000        1,568,250  

Weatherford International, Ltd.
Company Guar. Notes
7.00% due 03/15/2038

     640,000        603,200  
             


         2,707,450  
             


Semiconductor Equipment — 0.5%

                 

Sensata Technologies BV
Company Guar. Notes
5.00% due 10/01/2025*

     1,435,000        1,456,525  

Sensata Technologies BV
Company Guar. Notes
5.63% due 11/01/2024*#

     1,430,000        1,508,650  
             


                2,965,175  
             


Special Purpose Entity — 0.0%

                 

Hellas Telecommunications Luxembourg II SCA FRS
Sub. Notes
8.46% due 01/15/2015†*(2)(3)(4)(5)

     925,000        0  
             


Telecom Services — 0.3%

                 

Wind Acquisition Finance SA
Senior Sec. Notes
4.75% due 07/15/2020*

     1,940,000        1,971,525  
             


Television — 0.5%

                 

Videotron, Ltd.
Company Guar. Notes
5.00% due 07/15/2022

     2,720,000        2,862,800  
             


Transport - Equipment & Leasing — 0.5%

                 

Park Aerospace Holdings, Ltd.
Company Guar. Notes
5.25% due 08/15/2022*

     1,890,000        1,970,325  
 

 

43


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares/
Principal
Amount(13)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Transport - Equipment & Leasing (continued)

                 

Park Aerospace Holdings, Ltd.
Company Guar. Notes
5.50% due 02/15/2024*

   $ 1,375,000      $ 1,437,150  
             


                3,407,475  
             


Total Foreign Corporate Bonds & Notes

                 

(cost $90,222,212)

              90,876,127  
             


LOANS(2)(6)(7)(8) — 0.5%

                 

Building - Residential/Commercial — 0.0%

                 

TOUSA, Inc.
Escrow Loans
12.25% due 08/15/2011†(3)

     2,037,810        0  
             


E-Commerce/Products — 0.1%

                 

Lands’ End, Inc. FRS
BTL-B
4.26% due 04/04/2021

     1,010,712        747,927  
             


Insurance - Property/Casualty — 0.1%

                 

Asurion LLC FRS
2nd Lien
8.53% due 03/03/2021

     635,000        641,946  
             


Machinery - General Industrial — 0.3%

                 

Gardner Denver, Inc. FRS
BTL
4.28% due 07/30/2020

     1,818,900        1,807,532  
             


Total Loans

                 

(cost $3,455,619)

              3,197,405  
             


COMMON STOCKS — 0.3%

                 

Electric - Generation — 0.2%

                 

Vistra Energy Corp.†

     93,359        1,508,681  

Vistra Energy Corp. CVR†

     93,359        1,016  
             


                1,509,697  
             


Multimedia — 0.0%

                 

Haights Cross Communication, Inc. †(2)(3)

     10,439        0  
             


Television — 0.1%

                 

ION Media Networks, Inc.†(2)(3)(9)

     616        365,401  
             


Total Common Stocks

                 

(cost $5,224,629)

              1,875,098  
             


MEMBERSHIP INTEREST CERTIFICATES†(2)(9) — 0.1%

 

        

Casino Services — 0.1%

                 

Herbst Gaming, Inc.
(cost $232,701)

     23,439        392,605  
             


PREFERRED SECURITIES/CAPITAL SECURITIES — 3.3%

 

        

Banks - Commercial — 0.7%

                 

Banco Bilbao Vizcaya Argentaria SA VRS
7.00% due 02/19/2019(10)

     EUR 1,000,000        1,038,222  

Banco Bilbao Vizcaya Argentaria SA VRS
8.88% due 04/14/2021(10)

     EUR 1,800,000        2,093,397  

Intesa Sanpaolo SpA VRS
7.70% due 09/17/2025*#(10)

     1,435,000        1,361,456  
             


                4,493,075  
             


Diversified Banking Institutions — 2.2%

                 

Barclays PLC VRS
7.88% due 03/15/2022(10)

     879,000        922,115  

Barclays PLC VRS
8.00% due 12/15/2020(10)

     EUR 1,000,000        1,156,144  

Barclays PLC VRS
8.25% due 12/15/2018(10)

     1,120,000        1,188,600  

BNP Paribas SA VRS
7.63% due 03/30/2021*(10)

     1,615,000        1,705,440  
Security Description    Shares/
Principal
Amount(13)
    Value
(Note 2)
 

                  

Diversified Banking Institutions (continued)

                

Credit Agricole SA VRS
8.13% due 12/23/2025*(10)

   $ 2,520,000     $ 2,693,502  

Credit Suisse Group AG VRS
6.25% due 12/18/2024(10)

     3,150,000       3,191,372  

Royal Bank of Scotland Group PLC FRS
6.99% due 10/05/2017*(10)

     1,690,000       1,892,800  

Royal Bank of Scotland Group PLC FRS
Series U
7.64% due 09/30/2017#(10)

     500,000       476,250  

Societe Generale SA VRS
8.25% due 11/29/2018(10)

     875,000       912,047  
            


               14,138,270  
            


Multimedia — 0.4%

                

NBCUniversal Enterprise, Inc.
5.25% due 03/19/2021*(10)

     1,260,000       1,329,300  

Viacom, Inc. FRS
5.88% due 02/28/2057

     660,000       672,103  

Viacom, Inc. FRS
6.25% due 02/28/2057

     245,000       247,826  
            


               2,249,229  
            


Total Preferred Securities/Capital Securities

                

(cost $20,195,304)

             20,880,574  
            


Total Long-Term Investment Securities

                

(cost $575,520,053)

             591,547,081  
            


SHORT-TERM INVESTMENT SECURITIES — 9.0%

                

Registered Investment Companies — 9.0%

                

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(11)(12)
(cost $56,735,310)

     56,735,310       56,735,310  
            


REPURCHASE AGREEMENTS — 4.5%

                

Agreement with Fixed Income Clearing Corp., bearing interest at 0.03%, dated 02/28/17, to be repurchased 03/01/17 in the amount of $28,111,023 and collateralized by $31,700,000 of United States Treasury Notes, bearing interest at 2.50%, due 02/15/2045 and having an approximate value of $28,674,932
(cost $28,111,000)

     28,111,000       28,111,000  
            


TOTAL INVESTMENTS

                

(cost $660,366,363)(14)

     107.9     676,393,391  

Liabilities in excess of other assets

     (7.9     (49,522,752
    


 


NET ASSETS

     100.0   $ 626,870,639  
    


 



* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 28, 2017, the aggregate value of these securities was $276,675,937 representing 44.1% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
(1) PIK (“Payment-in-Kind”) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.
(2) Illiquid security. At February 28, 2017, the aggregate value of these securities was $14,151,704 representing 2.3% of net assets.
(3) Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs (see Note 2).
(4) Company has filed for bankruptcy protection.
(5) Security in default of interest and principal at maturity.
(6)

Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant

 

 

44


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

  economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.
(7) The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.
(8) All loans in the Fund were purchased through assignment agreements unless otherwise indicated.
(9) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of February 28, 2017, the Fund held the following restricted securities:

 

Description


  Acquisition
Date


    Shares

    Acquisition
Cost


    Value

    Value
Per Share


    % of
Net Assets


 

Common Stock

                                               

ION Media Networks, Inc.

    12/16/2016       616     $     $ 365,401     $ 593.18       0.06%  

Membership Interest
Certificate

                                               

Herbst Gaming, Inc.

    03/26/2008       23,439       232,701       392,605       16.75       0.06%  

 

(10) Perpetual maturity — maturity date reflects the next call date.
(11) At February 28, 2017, the Fund had loaned securities with a total value of $55,733,170. This was secured by collateral of $56,735,310, which was received in cash and subsequently invested in short-term investments currently valued at $56,735,310 as reported in the Portfolio of Investments.
(12) The rate shown is the 7-day yield as of February 28, 2017.
(13) Denominated in United States dollars unless otherwise indicated.
(14) See Note 5 for cost of investments on a tax basis.

 

BTL—Bank Term Loan

CVR—Contingent Value Rights

EUR—Euro Currency

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 28, 2017 and unless noted otherwise, the dates shown are the original maturity dates.

 
Forward Foreign Currency Contracts                                   
Counterparty    Contract to Deliver      In Exchange For      Delivery
Date
     Unrealized
Appreciation
     Unrealized
Depreciation
 

JPMorgan Chase Bank N.A

     EUR        4,953,000        USD        5,226,792        03/31/2017      $         –      $ (27,498
                                                 


  


 

Centrally Cleared Credit Default Swaps on Credit Indicies — Sell Protection(1)  
                            Value(4)

 
Reference Obligation   Fixed Deal
Receive Rate
    Termination
Date
    Implied Credit
Spread at
February 28,
2017
(2)
    Notional
Amount(3)
(000’s)
    Upfront
Premiums Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

Markit CDX North America High Yield Index

    5.00     12/20/2021       0.3161   $ 11,375     $ 462,743     $ 414,442  
                                   


 


 

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
(3) The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(4) The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

45


Table of Contents

VALIC Company II High Yield Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Convertible Bonds & Notes

   $ —        $ 15,042,308      $ —        $ 15,042,308  

U.S. Corporate Bonds & Notes:

                                   

Mining

     —          —          6,300        6,300  

Rubber/Plastic Products

     —          —          0        0  

Other Industries

     —          459,276,664        —          459,276,664  

Foreign Corporate Bonds & Notes:

                                   

Special Purpose Entity

     —          —          0        0  

Other Industries

     —          90,876,127        —          90,876,127  

Loans:

                                   

Building-Residential/Commercial

     —          —          0        0  

Other Industries

     —          3,197,405        —          3,197,405  

Common Stocks:

                                   

Electric-Generation

     1,508,681        1,016        —          1,509,697  

Other Industries

     —          —          365,401        365,401  

Membership Interest Certificates

     —          392,605        —          392,605  

Preferred Securities/Capital Securities

     —          20,880,574        —          20,880,574  

Short-Term Investment Securities

     56,735,310        —          —          56,735,310  

Repurchase Agreements

     —          28,111,000        —          28,111,000  
    


  


  


  


Total Investments at Value

   $ 58,243,991      $ 617,777,699      $ 371,701      $ 676,393,391  
    


  


  


  


Other Financial Instruments:+

                                   

Centrally Cleared Credit Default Swaps on Credit Indicies - Sell Protection

   $ —        $ 414,442      $ —        $ 414,442  
    


  


  


  


LIABILITIES:

                                   

Other Financial Instruments:+

                                   

Forward Foreign Currency Contracts

   $ —        $ 27,498      $ —        $ 27,498  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.
+ Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund.

 

See Notes to Financial Statements

 

46


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Auto/Truck Parts & Equipment-Original

     4.9

Registered Investment Companies

     4.3  

Banks — Commercial

     4.0  

Containers — Paper/Plastic

     2.8  

Electronic Components-Misc.

     2.5  

Retail — Discount

     2.4  

Computer Services

     2.1  

Repurchase Agreements

     2.1  

Distribution/Wholesale

     2.1  

Machinery — General Industrial

     2.0  

Diversified Financial Services

     1.8  

E-Commerce/Products

     1.8  

Casino Services

     1.7  

Building & Construction Products — Misc.

     1.7  

Beverages — Non-alcoholic

     1.7  

Commercial Services

     1.5  

Retail — Restaurants

     1.5  

Steel — Producers

     1.5  

Chemicals — Diversified

     1.5  

Photo Equipment & Supplies

     1.5  

Food — Misc./Diversified

     1.4  

E-Commerce/Services

     1.4  

Oil — Field Services

     1.4  

Enterprise Software/Service

     1.3  

Oil Companies — Exploration & Production

     1.3  

Apparel Manufacturers

     1.3  

Steel — Specialty

     1.2  

Human Resources

     1.2  

Beverages — Wine/Spirits

     1.1  

Hotels/Motels

     1.1  

Food — Wholesale/Distribution

     1.1  

Wireless Equipment

     1.1  

Fisheries

     1.1  

Chemicals — Specialty

     1.1  

Real Estate Operations & Development

     1.0  

Building Products — Cement

     1.0  

Diversified Operations/Commercial Services

     1.0  

Computers — Periphery Equipment

     1.0  

Applications Software

     1.0  

Food — Catering

     0.9  

Insurance — Property/Casualty

     0.9  

Medical — Drugs

     0.9  

Transport — Services

     0.8  

Chemicals — Fibers

     0.8  

Medical — Biomedical/Gene

     0.8  

Transactional Software

     0.8  

Retail — Misc./Diversified

     0.8  

Computers — Integrated Systems

     0.8  

Cosmetics & Toiletries

     0.8  

Medical Labs & Testing Services

     0.8  

Investment Management/Advisor Services

     0.7  

Transport — Marine

     0.7  

Gambling (Non-Hotel)

     0.7  

Medical Products

     0.7  

Electronic Components — Semiconductors

     0.7  

Metal — Copper

     0.6  

Brewery

     0.6  

Retail — Drug Store

     0.6  

Retail — Apparel/Shoe

     0.6  

Semiconductor Equipment

     0.5  

Forestry

     0.5  

Wire & Cable Products

     0.5  

Machine Tools & Related Products

     0.5  

Funeral Services & Related Items

     0.5  

Airlines

     0.5  

Insurance Brokers

     0.5  

Containers — Metal/Glass

     0.5  

Building & Construction — Misc.

     0.5  

U.S. Government Agencies

     0.5  

Metal Processors & Fabrication

     0.5  

Food — Flour & Grain

     0.4  

Oil Refining & Marketing

     0.4  

E-Services/Consulting

     0.4  

Respiratory Products

     0.4  

Appliances

     0.4  

Coatings/Paint

     0.4  

Building Products — Wood

     0.4  

Aerospace/Defense

     0.4  

Real Estate Management/Services

     0.4  

Consulting Services

     0.4  

Electronic Measurement Instruments

     0.4  

Research & Development

     0.3  

Transport — Truck

     0.3  

Machinery — Material Handling

     0.3  

Building — Maintenance & Services

     0.3  

Insurance — Life/Health

     0.3  

Satellite Telecom

     0.3  

Miscellaneous Manufacturing

     0.3  

Leisure Products

     0.3  

Electric — Generation

     0.3  

Gas — Distribution

     0.3  

Explosives

     0.3  

Rubber/Plastic Products

     0.3  

Food — Retail

     0.2  

Food — Confectionery

     0.2  

Telephone — Integrated

     0.2  

Retail — Convenience Store

     0.2  

Soap & Cleaning Preparation

     0.2  

Gold Mining

     0.2  

Metal — Iron

     0.2  

Finance — Other Services

     0.2  

Electric Products — Misc.

     0.2  

Resorts/Theme Parks

     0.2  

Retail — Home Furnishings

     0.2  

Electronic Connectors

     0.2  

Building — Residential/Commercial

     0.2  

Schools

     0.2  

Retail — Automobile

     0.2  

Telecommunication Equipment

     0.2  

Advertising Services

     0.2  

Diversified Minerals

     0.2  

Dental Supplies & Equipment

     0.2  

Veterinary Products

     0.2  

Diversified Manufacturing Operations

     0.2  

Female Health Care Products

     0.2  

Rental Auto/Equipment

     0.2  

Hazardous Waste Disposal

     0.2  

Finance — Investment Banker/Broker

     0.2  

Tobacco

     0.2  

Food — Meat Products

     0.2  

E-Marketing/Info

     0.2  

Agricultural Operations

     0.2  

Engineering/R&D Services

     0.1  

Finance — Credit Card

     0.1  

Home Furnishings

     0.1  

Internet Content — Information/News

     0.1  

Gas — Transportation

     0.1  

Medical Instruments

     0.1  

Retail — Sporting Goods

     0.1  

Cable/Satellite TV

     0.1  

Television

     0.1  

Footwear & Related Apparel

     0.1  

Power Converter/Supply Equipment

     0.1  

Office Supplies & Forms

     0.1  

Paper & Related Products

     0.1  

Electric — Integrated

     0.1  

Finance — Consumer Loans

     0.1  

Computers

     0.1  

Industrial Gases

     0.1  
 

 

47


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

 

Industry Allocation* (continued)

 

Real Estate Investment Trusts

     0.1

Airport Development/Maintenance

     0.1  

Auto — Cars/Light Trucks

     0.1  

Medical Information Systems

     0.1  

Aerospace/Defense — Equipment

     0.1  

Instruments — Controls

     0.1  

Bicycle Manufacturing

     0.1  

Office Automation & Equipment

     0.1  

Instruments — Scientific

     0.1  
    


       104.4%  
    


 

Country Allocation*

 

Japan

     19.6

United Kingdom

     16.0  

United States

     7.9  

France

     5.1  

Switzerland

     4.7  

Germany

     4.5  

Cayman Islands

     4.4  

Australia

     4.0  

Canada

     3.8  

Italy

     3.5  

Denmark

     2.7  

Brazil

     2.1  

Bermuda

     2.0  

Sweden

     2.0  

Finland

     1.8  

Taiwan

     1.7  

Thailand

     1.6  

Norway

     1.5  

South Korea

     1.4  

Ireland

     1.4  

Austria

     1.4  

Spain

     1.4  

Netherlands

     1.3  

Israel

     1.2  

Curacao

     1.1  

Singapore

     1.1  

Luxembourg

     0.8  

Jersey

     0.6  

Faroe Islands

     0.6  

Mexico

     0.6  

Hong Kong

     0.5  

Russia

     0.5  

New Zealand

     0.4  

South Africa

     0.4  

Malaysia

     0.2  

Indonesia

     0.2  

Mauritius

     0.1  

Portugal

     0.1  

Philippines

     0.1  

Turkey

     0.1  
    


       104.4%  
    


 

* Calculated as a percentage of net assets
 

 

48


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares     

    

Value
(Note 2)

 

COMMON STOCKS — 96.2%

                 

Australia — 4.0%

 

Ansell, Ltd.

     86,570      $ 1,413,086  

Aristocrat Leisure, Ltd.

     745,372        9,486,514  

AUB Group, Ltd.

     194,146        1,674,582  

BlueScope Steel, Ltd.

     437,279        4,096,900  

Computershare, Ltd.

     125,601        1,300,990  

DuluxGroup, Ltd.

     153,831        724,165  

Iluka Resources, Ltd.

     207,214        1,077,145  

Orica, Ltd.

     102,979        1,444,069  

Reliance Worldwide Corp., Ltd.†#

     259,064        554,162  

Super Retail Group, Ltd.#

     83,097        672,146  
             


                22,443,759  
             


Austria — 1.4%

 

BUWOG AG

     98,893        2,469,363  

Lenzing AG

     30,048        4,727,176  

Mayr-Melnhof Karton AG

     7,294        806,726  
             


                8,003,265  
             


Bermuda — 2.0%

 

Cafe de Coral Holdings, Ltd.

     358,000        1,189,813  

China Resources Gas Group, Ltd.

     532,000        1,624,187  

Credicorp, Ltd.

     6,896        1,135,219  

Dairy Farm International Holdings, Ltd.

     180,900        1,543,077  

Esprit Holdings, Ltd.†

     357,450        338,438  

Global Brands Group Holding, Ltd.†

     4,344,000        509,222  

Hiscox, Ltd.

     200,429        2,700,908  

Midland Holdings, Ltd.†

     2,492,000        680,550  

Pacific Basin Shipping, Ltd.†

     1,022,049        225,135  

Peace Mark Holdings, Ltd.†(4)(5)

     686,000        0  

VTech Holdings, Ltd.

     96,549        1,089,502  

XL Group, Ltd.

     12,144        491,710  
             


                11,527,761  
             


Brazil — 2.1%

 

BR Insurance Corretora de Seguros SA†

     3,610        22,593  

BRF SA

     34,200        446,546  

CETIP SA — Mercados Organizados

     23,400        352,392  

Estacio Participacoes SA

     53,022        255,480  

GAEC Educacao SA

     76,691        339,945  

Instituto Hermes Pardini SA†

     60,000        389,585  

Kroton Educacional SA

     127,288        559,314  

Linx SA

     70,200        373,904  

Localiza Rent a Car SA

     30,678        379,950  

Magazine Luiza SA†

     42,100        2,816,275  

Odontoprev SA

     207,114        795,568  

Qualicorp SA

     77,237        489,341  

Rumo Logistica Operadora Multimodal SA†

     981,800        2,707,761  

Suzano Papel e Celulose SA, Class A (Preference Shares)

     110,800        479,029  

TOTVS SA

     34,095        277,714  

Transmissora Alianca de Energia Eletrica SA

     67,150        475,079  

Ultrapar Participacoes SA

     26,100        548,679  

Usinas Siderurgicas de Minas Gerais SA, Class A (Preference Shares)†

     224,000        354,973  
             


                12,064,128  
             


Canada — 3.8%

 

Agnico Eagle Mines, Ltd.

     29,533        1,241,845  

Alimentation Couche-Tard, Inc., Class B

     13,893        617,769  

Birchcliff Energy, Ltd.†

     228,625        1,232,461  

Descartes Systems Group, Inc.†

     173,797        3,645,524  

Dollarama, Inc.#

     48,051        3,700,238  

Enerplus Corp.

     318,200        2,807,788  

Interfor Corp.†

     225,400        3,019,023  

Norbord, Inc.#

     79,700        2,319,833  

Parex Resources, Inc.†

     140,700        1,675,857  
Security Description    Shares     

    

Value
(Note 2)

 

                   

Canada (continued)

 

Raging River Exploration, Inc.†

     199,221      $ 1,348,439  

TORC Oil & Gas, Ltd.#

     44,081        230,992  
             


                21,839,769  
             


Cayman Islands — 4.4%

 

51job, Inc. ADR†#

     32,797        1,179,052  

Ajisen China Holdings, Ltd.

     715,000        279,077  

ASM Pacific Technology, Ltd.

     142,500        1,772,324  

Hengan International Group Co., Ltd.

     116,500        994,983  

Lee & Man Paper Manufacturing, Ltd.

     3,676,000        3,333,682  

Midland IC&I, Ltd.†

     12,460,000        91,489  

Shenguan Holdings Group, Ltd.

     764,000        61,018  

Stella International Holdings, Ltd.

     410,000        582,025  

Sunny Optical Technology Group Co., Ltd.

     1,278,000        8,223,229  

Tingyi Cayman Islands Holding Corp.#

     696,000        780,018  

Tongda Group Holdings, Ltd.#

     22,422,467        7,538,760  
             


                24,835,657  
             


Denmark — 2.7%

 

Carlsberg A/S, Class B

     8,415        739,341  

Chr. Hansen Holding A/S

     2,493        148,795  

Dfds A/S

     70,940        3,902,441  

DSV A/S

     29,181        1,436,416  

GN Store Nord A/S

     127,623        2,908,273  

Jyske Bank A/S

     35,103        1,807,466  

Spar Nord Bank A/S

     138,559        1,536,286  

Sydbank A/S

     43,986        1,522,022  

TDC A/S†

     152,415        820,196  

William Demant Holding A/S†

     17,258        353,431  
             


                15,174,667  
             


Faroe Islands — 0.6%

 

Bakkafrost P/F

     89,924        3,348,753  
             


Finland — 1.8%

 

Huhtamaki Oyj

     70,419        2,540,193  

Outokumpu Oyj†

     381,545        3,777,329  

Tikkurila Oyj

     8,345        167,354  

Valmet Oyj

     244,769        3,767,748  
             


                10,252,624  
             


France — 5.1%

 

Alten SA†

     29,051        2,009,713  

Christian Dior SE

     4,919        1,041,716  

Edenred

     11,598        262,449  

Elior Participations SCA#*

     260,160        5,838,869  

Elis SA

     28,192        528,639  

Eutelsat Communications SA

     30,561        600,742  

Havas SA

     125,721        1,087,087  

Legrand SA

     13,606        767,123  

Neopost SA

     9,597        289,049  

Remy Cointreau SA

     64,469        5,726,823  

SEB SA

     5,185        683,053  

Societe BIC SA

     2,831        350,152  

Sodexo SA

     19,438        2,132,364  

Somfy SA

     742        322,291  

Tarkett SA

     53,592        2,241,490  

Teleperformance

     34,571        3,827,260  

Virbac SA†

     5,760        1,033,092  
             


                28,741,912  
             


Germany — 4.3%

 

Amadeus Fire AG

     10,503        866,004  

Beiersdorf AG

     11,867        1,082,691  

Brenntag AG

     25,445        1,458,881  

CTS Eventim AG & Co. KGaA

     45,002        1,636,209  
 

 

49


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares     

    

Value
(Note 2)

 

COMMON STOCKS (continued)

                 

Germany (continued)

 

Deutsche Wohnen AG

     44,496      $ 1,528,483  

ElringKlinger AG#

     15,466        279,523  

Evotec AG†

     253,021        1,954,891  

FUCHS PETROLUB SE (Preference Shares)

     34,555        1,600,116  

GEA Group AG

     46,896        1,825,302  

Gerresheimer AG

     34,977        2,742,412  

Hella KGaA Hueck & Co.

     16,754        662,222  

Henkel AG & Co. KGaA (Preference Shares)

     10,880        1,358,947  

Infineon Technologies AG

     50,053        890,839  

LEG Immobilien AG

     23,774        1,959,232  

MTU Aero Engines AG

     8,911        1,130,949  

Pfeiffer Vacuum Technology AG

     2,007        214,748  

Symrise AG#

     50,605        3,147,497  

TAG Immobilien AG

     13,578        185,488  
             


                24,524,434  
             


Hong Kong — 0.5%

 

China Resources Beer Holdings Co., Ltd.†

     706,000        1,602,458  

Techtronic Industries Co., Ltd.

     400,000        1,432,454  
             


                3,034,912  
             


Indonesia — 0.2%

 

Astra Agro Lestari Tbk PT

     715,000        801,533  

PT Semen Indonesia Persero Tbk

     244,500        176,463  

XL Axiata Tbk PT†

     549,500        123,201  
             


                1,101,197  
             


Ireland — 1.4%

 

DCC PLC

     23,405        1,993,740  

Greencore Group PLC

     343,506        1,106,518  

Kerry Group PLC, Class A

     13,131        1,008,546  

Paddy Power Betfair PLC

     36,715        4,020,477  
             


                8,129,281  
             


Israel — 1.2%

 

Bezeq The Israeli Telecommunication Corp., Ltd.

     347,196        619,823  

Israel Discount Bank, Ltd., Class A†

     1,336,778        2,959,195  

Mizrahi Tefahot Bank, Ltd.

     184,682        3,083,951  
             


                6,662,969  
             


Italy — 3.5%

 

Brembo SpA

     94,465        6,344,829  

Buzzi Unicem SpA#

     232,773        5,765,499  

Cerved Information Solutions SpA

     252,751        2,257,253  

Davide Campari — Milano SpA

     71,008        718,407  

FinecoBank Banca Fineco SpA

     129,409        740,317  

Infrastrutture Wireless Italiane SpA*

     79,335        358,042  

Italgas SpA†

     166,638        662,717  

Moncler SpA

     148,679        2,838,338  
             


                19,685,402  
             


Japan — 19.6%

 

ABC-Mart, Inc.

     21,000        1,265,477  

Aeon Delight Co., Ltd.

     16,700        515,813  

AEON Financial Service Co., Ltd.

     42,200        816,617  

Ain Holdings, Inc.

     47,700        3,426,401  

Air Water, Inc.

     22,000        417,696  

Asante, Inc.

     9,800        148,729  

Brother Industries, Ltd.

     6,100        114,947  

Chiba Bank, Ltd.#

     147,000        1,027,149  

CMK Corp.†

     264,160        1,502,499  

Coca-Cola East Japan Co., Ltd.

     11,700        258,484  

Coca-Cola West Co., Ltd.

     19,100        566,140  

Cosmos Pharmaceutical Corp.

     4,000        762,651  

Daifuku Co., Ltd.

     73,800        1,723,719  
Security Description    Shares     

    

Value
(Note 2)

 

                   

Japan (continued)

 

Daiseki Co., Ltd.

     45,800      $ 975,153  

Daiwa Securities Group, Inc.

     138,000        874,960  

Doshisha Co., Ltd.

     8,200        151,453  

Ezaki Glico Co., Ltd.

     11,000        528,728  

FamilyMart UNY Holdings Co., Ltd.#

     2,300        140,442  

FP Corp.

     31,937        1,446,965  

Fuji Seal International, Inc.

     113,600        2,281,202  

Fujikura, Ltd.

     403,400        2,994,665  

Fujitsu General, Ltd.

     8,000        156,375  

Fukuoka Financial Group, Inc.

     902,000        4,207,112  

Harmonic Drive Systems, Inc.#

     148,900        4,632,209  

Heian Ceremony Service Co., Ltd.

     16,300        144,363  

Hirose Electric Co., Ltd.

     4,800        644,301  

Hogy Medical Co., Ltd.

     2,300        135,938  

Iriso Electronics Co., Ltd.

     8,850        527,006  

Japan Exchange Group, Inc.

     8,400        116,117  

Japan Pure Chemical Co., Ltd.

     2,400        53,386  

Jeol, Ltd.

     58,000        272,589  

JGC Corp.

     15,060        270,382  

Kakaku.com, Inc.

     16,700        241,109  

Kansai Paint Co., Ltd.

     60,000        1,165,339  

Kintetsu World Express, Inc.

     16,000        245,245  

Kobayashi Pharmaceutical Co., Ltd.

     43,600        2,018,069  

Koito Manufacturing Co., Ltd.

     41,400        2,133,660  

Lawson, Inc.#

     8,900        613,957  

Maeda Corp.

     309,000        2,742,205  

Matsumotokiyoshi Holdings Co., Ltd.

     32,800        1,550,296  

Meitec Corp.

     9,300        363,407  

Milbon Co., Ltd.#

     14,000        689,127  

Miraca Holdings, Inc.

     11,600        555,503  

Mitsubishi Pencil Co., Ltd.

     3,000        150,608  

MonotaRO Co., Ltd.#

     10,600        300,040  

Nakanishi, Inc.

     27,000        1,075,482  

NGK Spark Plug Co., Ltd.#

     48,500        1,097,828  

Nihon Kohden Corp.

     30,200        661,016  

Nippon Gas Co., Ltd.

     7,300        216,378  

Nippon Television Holdings, Inc.

     35,300        627,793  

Nissei ASB Machine Co., Ltd.

     11,000        237,047  

Nitori Holdings Co., Ltd.

     10,100        1,175,914  

Nomura Research Institute, Ltd.

     51,900        1,792,443  

NTN Corp.

     314,000        1,562,384  

Obara Corp.

     4,800        212,987  

OBIC Business Consultants Co., Ltd.

     19,800        962,286  

OBIC Co., Ltd.

     97,600        4,543,576  

Omron Corp.

     6,000        257,955  

Proto Corp.

     32,900        451,279  

Rakuten, Inc.

     6,900        68,358  

Ryohin Keikaku Co., Ltd.

     2,700        570,786  

S Foods, Inc.#

     11,900        336,837  

Santen Pharmaceutical Co., Ltd.#

     116,900        1,675,277  

SCREEN Holdings Co., Ltd.

     43,300        2,921,483  

Seria Co., Ltd.#

     79,167        6,229,350  

Shimamura Co., Ltd.

     3,100        401,211  

Shimano, Inc.

     2,000        295,518  

Shizuoka Bank, Ltd.

     59,000        517,816  

SK Kaken Co., Ltd.

     3,000        277,716  

SMS Co., Ltd.

     108,100        2,393,028  

Sony Financial Holdings, Inc.#

     50,700        890,843  

Stanley Electric Co., Ltd.

     53,300        1,501,576  

Start Today Co., Ltd.

     456,400        9,538,717  

Sumco Corp.

     206,600        3,037,992  

Sundrug Co., Ltd.

     16,200        1,065,628  

Taiko Pharmaceutical Co., Ltd.#

     9,600        160,648  

TechnoPro Holdings, Inc.

     101,100        3,541,132  

Temp Holdings Co., Ltd.

     294,300        4,985,116  
 

 

50


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares     

    

Value
(Note 2)

 

COMMON STOCKS (continued)

                 

Japan (continued)

 

Terumo Corp.

     21,200      $ 735,004  

THK Co., Ltd.

     56,400        1,466,415  

Toshiba Plant Systems & Services Corp.#

     17,000        238,782  

Trusco Nakayama Corp.#

     121,500        2,741,577  

Tsumura & Co.

     11,000        326,049  

Unicharm Corp.

     67,700        1,521,585  

USS Co., Ltd.

     67,200        1,150,855  

Yamato Holdings Co., Ltd.

     85,600        1,870,178  

Zojirushi Corp.#

     28,600        381,859  
             


                111,583,937  
             


Jersey — 0.6%

 

boohoo.com plc†#

     1,146,529        2,173,130  

Sanne Group PLC†

     176,836        1,424,081  
             


                3,597,211  
             


Luxembourg — 0.8%

 

APERAM SA

     55,839        2,840,071  

B&M European Value Retail SA

     245,539        908,547  

Globant SA†#

     16,287        591,218  
             


                4,339,836  
             


Malaysia — 0.2%

 

Public Bank Bhd

     260,900        1,172,875  
             


Mauritius — 0.1%

 

MakeMyTrip, Ltd.†#

     22,118        721,047  
             


Mexico — 0.6%

 

Alsea SAB de CV

     136,792        384,814  

Arca Continental SAB de CV

     69,943        392,508  

Bolsa Mexicana de Valores SAB de CV#

     158,435        228,290  

Concentradora Fibra Hotelera Mexicana SA de CV

     535,782        400,006  

Elementia SAB de CV†#*

     350,125        400,810  

Genomma Lab Internacional SAB de CV, Class B†

     536,502        610,696  

Grupo Aeroportuario del Sureste SAB de CV ADR

     2,523        399,441  

Grupo Financiero Inbursa SAB de CV, Class O

     274,733        393,951  
             


                3,210,516  
             


Netherlands — 1.3%

 

Aalberts Industries NV

     13,842        477,467  

ASM International NV

     25,401        1,291,132  

Corbion NV

     68,237        1,756,653  

IMCD Group NV

     12,479        592,003  

Wessanen

     260,747        3,473,658  
             


                7,590,913  
             


New Zealand — 0.4%

 

Fisher & Paykel Healthcare Corp., Ltd.

     361,746        2,373,754  
             


Norway — 1.5%

 

Aker Solutions ASA†#

     167,744        971,028  

Marine Harvest ASA

     83,262        1,455,980  

Norway Royal Salmon ASA

     60,380        1,231,584  

TGS Nopec Geophysical Co. ASA

     187,351        4,111,956  

XXL ASA*

     58,572        653,245  
             


                8,423,793  
             


Philippines — 0.1%

 

Jollibee Foods Corp.

     97,450        391,624  
             


Portugal — 0.1%

 

NOS SGPS SA

     108,235        640,972  
             


Russia — 0.5%

 

Aeroflot PJSC†

     1,006,300        2,869,352  
             


Singapore — 1.1%

 

Ascendas India Trust

     1,845,600        1,435,496  
Security Description    Shares     

    

Value
(Note 2)

 

                   

Singapore (continued)

 

City Developments, Ltd.

     175,600      $ 1,186,622  

Singapore Technologies Engineering, Ltd.

     320,300        841,090  

Super Group, Ltd.

     1,948,700        1,807,700  

Venture Corp., Ltd.

     118,963        912,553  
             


                6,183,461  
             


South Africa — 0.4%

 

Clicks Group, Ltd.

     149,084        1,460,438  

Woolworths Holdings, Ltd.#

     116,240        620,301  
             


                2,080,739  
             


South Korea — 1.4%

 

Coway Co., Ltd.

     16,296        1,289,845  

Mando Corp.

     18,927        4,444,058  

Orion Corp.

     1,517        957,894  

Samsung Fire & Marine Insurance Co., Ltd.

     5,084        1,146,513  

TK Corp.

     47,874        397,133  
             


                8,235,443  
             


Spain — 1.4%

 

Amadeus IT Group SA

     98,886        4,599,478  

Cellnex Telecom SAU#*

     71,035        1,069,742  

CIE Automotive SA

     75,662        1,454,035  

Viscofan SA#

     13,939        729,857  
             


                7,853,112  
             


Sweden — 2.0%

 

Axactor AB†#

     8,089,896        2,508,944  

Saab AB, Series B

     11,401        452,170  

Scandic Hotels Group AB†*

     340,187        3,080,926  

SSAB AB, Class A†

     1,062,294        4,204,879  

Swedish Match AB

     27,538        857,874  
             


                11,104,793  
             


Switzerland — 4.7%

 

Autoneum Holding AG

     14,099        3,751,638  

Coca-Cola HBC AG

     18,307        441,831  

DKSH Holding AG

     2,912        235,430  

Forbo Holding AG

     2,221        3,029,591  

Geberit AG

     2,265        980,106  

Georg Fischer AG

     5,088        4,409,921  

Julius Baer Group, Ltd.

     15,745        770,515  

Logitech International SA

     118,904        3,439,201  

Lonza Group AG

     2,079        382,949  

Sika AG

     460        2,590,034  

Sonova Holding AG

     9,045        1,187,868  

Temenos Group AG

     67,913        5,250,604  
             


                26,469,688  
             


Taiwan — 1.7%

 

Advantech Co., Ltd.

     53,235        453,104  

Chroma ATE, Inc.

     311,000        949,495  

E.Sun Financial Holding Co., Ltd.

     2,856,021        1,733,683  

Ennoconn Corp.

     138,000        2,178,463  

Voltronic Power Technology Corp.

     37,950        558,315  

Wistron NeWeb Corp.

     954,000        2,785,288  

Yuanta Financial Holding Co., Ltd.

     2,209,807        935,033  
             


                9,593,381  
             


Thailand — 1.6%

 

AEON Thana Sinsap Thailand PCL

     159,500        461,518  

Precious Shipping PCL†

     766,350        232,723  

PTT Global Chemical PCL

     765,300        1,562,150  

Taokaenoi Food & Marketing Public Co., Ltd.

     3,698,500        2,966,810  

Thai Beverage PCL

     1,721,200        1,166,790  

Tisco Financial Group PCL

     1,512,100        2,967,408  
             


                9,357,399  
             


 

 

51


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
    
Shares
    

    

Value
(Note 2)

 

COMMON STOCKS (continued)

                 

Turkey — 0.1%

 

Ford Otomotiv Sanayi AS

     16,605      $ 167,095  

Tofas Turk Otomobil Fabrikasi AS

     28,223        210,794  
             


                377,889  
             


United Kingdom — 16.0%

 

Abcam PLC

     438,304        4,685,437  

Admiral Group PLC

     20,290        460,233  

Ashtead Group PLC

     29,822        612,797  

Auto Trader Group PLC*

     226,176        1,109,131  

Babcock International Group PLC

     88,542        1,041,543  

Bellway PLC

     36,201        1,170,616  

Booker Group PLC

     1,265,172        3,125,649  

Britvic PLC

     41,637        326,266  

Bunzl PLC

     295,173        8,259,287  

Burberry Group PLC

     28,969        620,431  

Card Factory PLC

     40,296        132,003  

Cobham PLC

     231,053        343,469  

Compass Group PLC

     166,003        3,085,653  

Croda International PLC

     83,837        3,649,343  

Dignity PLC

     89,112        2,869,412  

Domino’s Pizza Group PLC

     1,074,777        5,121,167  

Electrocomponents PLC

     40,695        239,959  

Elementis PLC

     110,305        410,068  

EMIS Group PLC

     31,072        347,965  

Exova Group PLC

     163,726        428,666  

Fevertree Drinks PLC

     411,770        7,183,886  

GKN PLC

     137,054        612,059  

Halma PLC

     79,165        955,305  

Hargreaves Lansdown PLC

     48,932        810,576  

Howden Joinery Group PLC

     137,562        730,399  

Hunting PLC

     272,737        1,791,965  

IG Group Holdings PLC

     77,628        515,819  

IMI PLC

     34,042        524,211  

Intertek Group PLC

     42,842        1,874,971  

Jardine Lloyd Thompson Group PLC

     84,516        1,080,179  

John Wood Group PLC

     44,538        417,527  

Just Eat PLC†

     225,277        1,399,073  

Kazakhmys PLC†

     550,451        3,599,554  

Keywords Studios PLC†

     196,898        1,520,287  

Meggitt PLC

     109,047        636,638  

Merlin Entertainments PLC*

     193,094        1,178,836  

Micro Focus International PLC

     92,461        2,505,709  

Moneysupermarket.com Group PLC

     205,879        842,268  

Next PLC

     21,581        1,024,824  

PZ Cussons PLC

     23,146        91,677  

Rathbone Brothers PLC

     50,030        1,404,244  

Rightmove PLC

     51,260        2,500,351  

Rotork PLC

     109,304        335,006  

RPC Group PLC

     445,646        5,048,707  

Scapa Group PLC

     360,799        1,663,196  

Schroders PLC

     66,140        2,522,006  

SIG PLC

     82,059        114,042  

Smith & Nephew PLC

     103,476        1,554,902  

Spectris PLC

     33,849        1,020,637  

Spirax-Sarco Engineering PLC

     15,927        879,257  

Stagecoach Group PLC

     263,786        679,514  

Tate & Lyle PLC

     27,936        257,903  

TechnipFMC PLC†

     25,762        830,913  

Travis Perkins PLC

     22,114        417,639  

Victrex PLC

     51,864        1,229,833  

Whitbread PLC

     40,582        1,926,124  

ZPG PLC*

     310,145        1,429,694  
             


                91,148,826  
             


Security Description    Shares/
Principal
Amount
    Value
(Note 2)
 

                  

United States — 1.0%

 

Autoliv, Inc. SDR

     4,614     $ 484,576  

EPAM Systems, Inc.†

     38,914       2,865,238  

Gran Tierra Energy, Inc.†

     262,973       700,892  

PriceSmart, Inc.

     4,054       358,373  

Yum China Holdings, Inc.†

     51,970       1,381,882  
            


               5,790,961  
            


Total Common Stocks

                

(cost $461,156,944)

             546,482,012  
            


EQUITY CERTIFICATES — 1.3%

 

Deutsche Bank AG — MOIL, Ltd.

     229,293       1,219,860  

Merrill Lynch — CESC, Ltd.

     129,483       1,630,989  

Merrill Lynch — Dabur India, Ltd.

     276,493       1,147,517  

Merrill Lynch — Federal Bank, Ltd.

     1,059,008       1,386,482  

Merrill Lynch — Shriram Transport Finance Co., Ltd.†

     97,970       1,364,440  

Merrill Lynch — Titan Co., Ltd.†

     114,018       747,146  
            


Total Equity Certificates

                

(cost $5,312,886)

             7,496,434  
            


WARRANTS — 0.0%

 

Precious Shipping PCL
Expires 06/15/2018
(strike price THB 17.50) †
(cost $0)

     27,795       1,433  
            


Total Long-Term Investment Securities

                

(cost $466,469,830)

             553,979,879  
            


SHORT-TERM INVESTMENT SECURITIES — 4.8%

 

Registered Investment Companies — 4.3%

 

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(3)

     24,704,492       24,704,492  
            


U.S. Government Agencies — 0.5%

 

Federal Home Loan Bank
Disc. Notes
0.30% due 03/01/2017

   $
184,000
 
   
184,000
 

0.36% due 03/01/2017

     2,502,000       2,502,000  
            


Total Short-Term Investment Securities

             2,686,000  
            


(cost $27,390,492)

             27,390,492  
            


REPURCHASE AGREEMENTS — 2.1%

 

Agreement with Fixed Income Clearing Corp., bearing interest at 0.03%, dated 02/28/2017, to be repurchased 03/01/2017 in the amount of $11,982,010 collateralized by $12,120,000 of United States Treasury Notes, bearing interest at 3.00% due 05/15/2045 and having an approximate value of $12,226,389
(cost $11,982,000)

     11,982,000       11,982,000  
    


 


TOTAL INVESTMENTS —

                

(cost $505,842,322)(2)

     104.4     593,352,371  

Liabilities in excess of other assets

     (4.4     (25,108,853
    


 


NET ASSETS —

     100.0   $ 568,243,518  
    


 



# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 28, 2017, the aggregate value of these securities was $15,119,295 representing 2.7% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1)

At February 28, 2017, the Fund had loaned securities with a total value of $40,181,890. This was secured by collateral of $24,704,492, which was received in cash and subsequently invested in short-term investments currently value at $24,704,492 as

 

 

52


Table of Contents

VALIC Company II International Opportunities Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

  reported in the Portfolio of Investments. Additional collateral of $18,032,112 was received in the form of short-term pooled securities, which the Fund cannot sell or repledge and accordingly is not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:

 

Securities


   Coupon Range

   Maturity Date Range

   Value as of
February 28,
2017


 

Federal Home Loan Mtg. Corp.

   3.00% to 3.50%    05/01/2032 to 12/01/2041    $ 2,071  

Federal National Mtg. Assoc.

   2.50% to 4.40%    01/25/2032 to 10/01/2041      10,532  

Government National Mtg. Assoc.

   2.50% to 3.50%    05/20/2046 to 09/20/2046      5,795  

United States Treasury Bills

   0.00%    03/09/2017 to 12/07/2017      126,417  

United States Treasury Notes/Bonds

   0.13% to 4.50%    04/15/2017 to 11/15/2046      17,887,297  

 

(2) See Note 5 for cost of investments on a tax basis.
(3) The rate shown is a 7-day yield as of February 28, 2017.
(4) Illiquid Security. At February 28,2017 the aggregate value of these securities was $0 representing 0.0% of net assets.
(5) Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs (see Note 2).

 

ADR—American Depositary Receipt

BR—Bearer Shares

SDR—Swedish Depositary Receipt

THB—Thai Baht

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable Inputs


     Level 3 - Significant
Unobservable Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks:

                                   

Bermuda

   $ 11,527,761      $      $ 0      $ 11,527,761  

Russia

            2,869,352               2,869,352  

Other Countries

     532,084,899                      532,084,899  

Equity Certificates

            7,496,434               7,496,434  

Warrants

     1,433                      1,433  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     24,704,492                      24,704,492  

U.S. Government Agencies

            2,686,000               2,686,000  

Repurchase Agreements

            11,982,000               11,982,000  
    


  


  


  


Total Investments at Value

   $ 568,318,585      $ 25,033,786      $ 0      $ 593,352,371  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

At the beginning and the end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund.

 

See Notes to Financial Statements

 

53


Table of Contents

VALIC Company II Large Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Diversified Banking Institutions

     7.7

Oil Companies — Exploration & Production

     5.9  

Medical — Drugs

     5.1  

Banks — Super Regional

     4.5  

Insurance — Reinsurance

     4.5  

Food — Misc./Diversified

     4.2  

Insurance — Multi-line

     3.2  

Aerospace/Defense

     3.0  

Aerospace/Defense — Equipment

     2.8  

Oil Refining & Marketing

     2.7  

Telephone — Integrated

     2.5  

Oil — Field Services

     2.1  

Medical — HMO

     2.1  

Real Estate Investment Trusts

     1.9  

Networking Products

     1.8  

Advertising Agencies

     1.8  

Beverages — Non-alcoholic

     1.6  

Building Products — Cement

     1.5  

Brewery

     1.5  

Enterprise Software/Service

     1.4  

Medical — Wholesale Drug Distribution

     1.4  

U.S. Government Agencies

     1.3  

Instruments — Controls

     1.3  

Insurance — Life/Health

     1.3  

Electronic Components — Semiconductors

     1.2  

Investment Management/Advisor Services

     1.2  

Finance — Consumer Loans

     1.2  

Registered Investment Companies

     1.2  

Airlines

     1.1  

Web Portals/ISP

     1.1  

Finance — Credit Card

     1.1  

Electric — Integrated

     1.1  

Agricultural Chemicals

     1.1  

Computers

     1.0  

Containers — Paper/Plastic

     1.0  

Medical Labs & Testing Services

     1.0  

Cosmetics & Toiletries

     1.0  

Chemicals — Diversified

     0.9  

Diagnostic Equipment

     0.9  

Multimedia

     0.8  

Cable/Satellite TV

     0.8  

Gold Mining

     0.8  

Retail — Drug Store

     0.8  

Electronic Components — Misc.

     0.8  

Electric — Distribution

     0.8  

Oil Companies — Integrated

     0.7  

Finance — Investment Banker/Broker

     0.7  

Insurance — Property/Casualty

     0.7  

Medical Instruments

     0.7  

Commercial Services

     0.6  

Containers — Metal/Glass

     0.6  

E-Commerce/Products

     0.6  

Computer Services

     0.5  

Pipelines

     0.5  

Banks — Commercial

     0.5  

Exchange — Traded Funds

     0.5  

Rubber — Tires

     0.5  

Finance — Commercial

     0.5  

Vitamins & Nutrition Products

     0.4  

Computer Data Security

     0.4  

Time Deposits

     0.4  

Transport — Rail

     0.4  

Retail — Office Supplies

     0.4  

Electric Products — Misc.

     0.4  

Commercial Services — Finance

     0.3  

Cellular Telecom

     0.3  

Retail — Discount

     0.3  

Non-Hazardous Waste Disposal

     0.3  

Applications Software

     0.3  

Food — Confectionery

     0.3  

Diversified Manufacturing Operations

     0.3  

Semiconductor Components — Integrated Circuits

     0.2  

Banks — Fiduciary

     0.2  

Engineering/R&D Services

     0.2  

Distribution/Wholesale

     0.2  

Computers — Memory Devices

     0.2  
    


       101.1
    


 

* Calculated as a percentage of net assets
 

 

54


Table of Contents

VALIC Company II Large Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS — 97.7%

 

Advertising Agencies — 1.8%

 

Omnicom Group, Inc.

     53,014      $ 4,511,491  
             


Aerospace/Defense — 3.0%

 

General Dynamics Corp.

     16,890        3,205,891  

Raytheon Co.

     27,354        4,216,619  
             


         7,422,510  
             


Aerospace/Defense - Equipment — 2.8%

 

Harris Corp.

     12,551        1,379,355  

L3 Technologies, Inc.

     8,121        1,366,927  

United Technologies Corp.

     37,197        4,186,522  
             


         6,932,804  
             


Agricultural Chemicals — 1.1%

 

CF Industries Holdings, Inc.#

     63,737        2,002,617  

Potash Corp. of Saskatchewan, Inc.

     38,743        675,290  
             


         2,677,907  
             


Airlines — 1.1%

 

Delta Air Lines, Inc.

     56,293        2,810,709  
             


Applications Software — 0.3%

 

Microsoft Corp.

     11,434        731,547  
             


Banks - Commercial — 0.5%

 

BB&T Corp.

     26,803        1,292,441  
             


Banks - Fiduciary — 0.2%

 

Bank of New York Mellon Corp.

     10,676        503,267  
             


Banks - Super Regional — 4.5%

 

Capital One Financial Corp.

     11,200        1,051,232  

PNC Financial Services Group, Inc.#

     33,603        4,275,310  

SunTrust Banks, Inc.

     30,841        1,834,731  

US Bancorp

     35,129        1,932,095  

Wells Fargo & Co.

     37,810        2,188,443  
             


         11,281,811  
             


Beverages - Non-alcoholic — 1.6%

 

Coca-Cola Co.

     44,008        1,846,576  

Coca-Cola European Partners PLC

     35,775        1,241,035  

PepsiCo, Inc.

     8,591        948,274  
             


         4,035,885  
             


Brewery — 1.5%

 

Molson Coors Brewing Co., Class B

     35,782        3,592,155  
             


Building Products - Cement — 1.5%

 

Martin Marietta Materials, Inc.

     8,625        1,862,569  

Vulcan Materials Co.

     14,722        1,775,620  
             


         3,638,189  
             


Cable/Satellite TV — 0.8%

 

Comcast Corp., Class A#

     54,102        2,024,497  
             


Cellular Telecom — 0.3%

 

Vodafone Group PLC ADR#

     33,039        839,521  
             


Chemicals - Diversified — 0.9%

 

Dow Chemical Co.

     14,042        874,255  

Westlake Chemical Corp.

     20,521        1,301,647  
             


         2,175,902  
             


Commercial Services — 0.6%

 

Quanta Services, Inc.†

     39,759        1,483,806  
             


Commercial Services - Finance — 0.3%

 

Total System Services, Inc.

     15,689        854,737  
             


Computer Data Security — 0.4%

 

Check Point Software Technologies, Ltd.†#

     10,474        1,035,983  
             


Security Description    Shares      Value
(Note 2)
 

                   

Computer Services — 0.5%

 

Teradata Corp.†#

     43,463      $ 1,351,699  
             


Computers — 1.0%

 

Apple, Inc.

     18,773        2,571,713  
             


Computers - Memory Devices — 0.2%

 

Western Digital Corp.

     5,260        404,389  
             


Containers - Metal/Glass — 0.6%

 

Crown Holdings, Inc.†

     26,082        1,397,734  
             


Containers - Paper/Plastic — 1.0%

 

Packaging Corp. of America

     27,262        2,519,827  
             


Cosmetics & Toiletries — 1.0%

 

Procter & Gamble Co.

     14,325        1,304,578  

Unilever PLC ADR#

     22,718        1,078,650  
             


         2,383,228  
             


Diagnostic Equipment — 0.9%

 

Abbott Laboratories

     47,000        2,118,760  
             


Distribution/Wholesale — 0.2%

 

Fastenal Co.#

     9,104        455,473  
             


Diversified Banking Institutions — 7.7%

 

Bank of America Corp.

     267,212        6,594,792  

Citigroup, Inc.

     27,345        1,635,504  

Goldman Sachs Group, Inc.

     10,681        2,649,529  

JPMorgan Chase & Co.

     91,087        8,254,304  
             


         19,134,129  
             


Diversified Manufacturing Operations — 0.3%

 

General Electric Co.

     21,632        644,850  
             


E-Commerce/Products — 0.6%

 

eBay, Inc.†

     40,444        1,371,052  
             


Electric Products - Misc. — 0.4%

 

AMETEK, Inc.#

     16,046        866,003  
             


Electric - Distribution — 0.8%

 

PPL Corp.

     50,769        1,872,361  
             


Electric - Integrated — 1.1%

 

FirstEnergy Corp.

     43,441        1,408,792  

Great Plains Energy, Inc.

     44,132        1,282,476  
             


         2,691,268  
             


Electronic Components - Misc. — 0.8%

 

Corning, Inc.

     70,404        1,943,854  
             


Electronic Components - Semiconductors — 1.2%

 

Texas Instruments, Inc.

     39,251        3,007,412  
             


Engineering/R&D Services — 0.2%

 

Fluor Corp.

     8,584        475,468  
             


Enterprise Software/Service — 1.4%

 

Oracle Corp.

     83,565        3,559,033  
             


Finance - Commercial — 0.5%

 

CIT Group, Inc.

     28,280        1,213,212  
             


Finance - Consumer Loans — 1.2%

 

Synchrony Financial

     79,780        2,891,227  
             


Finance - Credit Card — 1.1%

 

American Express Co.

     34,228        2,740,294  
             


Finance - Investment Banker/Broker — 0.7%

 

Raymond James Financial, Inc.

     23,099        1,814,657  
             


Food - Confectionery — 0.3%

 

J.M. Smucker Co.

     4,623        655,218  
             


 

 

55


Table of Contents

VALIC Company II Large Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Food - Misc./Diversified — 4.2%

 

Conagra Brands, Inc.

     82,116      $ 3,384,000  

General Mills, Inc.

     8,822        532,584  

Kellogg Co.

     43,418        3,215,971  

Kraft Heinz Co.

     14,565        1,332,843  

Lamb Weston Holdings, Inc.

     22,687        889,104  

Mondelez International, Inc., Class A

     25,682        1,127,954  
             


         10,482,456  
             


Gold Mining — 0.8%

 

Newmont Mining Corp.

     58,663        2,008,621  
             


Instruments - Controls — 1.3%

 

Honeywell International, Inc.

     26,029        3,240,610  
             


Insurance - Life/Health — 1.3%

 

Prudential Financial, Inc.

     28,783        3,181,673  
             


Insurance - Multi-line — 3.2%

 

Allstate Corp.

     22,474        1,846,464  

Chubb, Ltd.

     20,343        2,810,792  

Hartford Financial Services Group, Inc.

     17,650        862,908  

Voya Financial, Inc.

     61,181        2,522,493  
             


         8,042,657  
             


Insurance - Property/Casualty — 0.7%

 

XL Group, Ltd.

     44,810        1,814,357  
             


Insurance - Reinsurance — 4.5%

                 

Athene Holding, Ltd., Class A†

     28,691        1,491,071  

Berkshire Hathaway, Inc., Class B†

     56,888        9,751,741  
             


         11,242,812  
             


Investment Management/Advisor Services — 1.2%

 

Affiliated Managers Group, Inc.

     6,690        1,123,452  

Ameriprise Financial, Inc.

     13,892        1,826,798  
             


         2,950,250  
             


Medical Instruments — 0.7%

 

Boston Scientific Corp.†

     69,608        1,708,876  
             


Medical Labs & Testing Services — 1.0%

 

Laboratory Corp. of America Holdings†

     17,023        2,421,692  
             


Medical - Drugs — 5.1%

 

Bristol-Myers Squibb Co.

     16,454        933,106  

Eli Lilly & Co.

     18,298        1,515,258  

Johnson & Johnson

     15,549        1,900,243  

Merck & Co., Inc.

     70,292        4,630,134  

Novartis AG ADR

     17,622        1,377,512  

Pfizer, Inc.

     63,836        2,178,084  
             


         12,534,337  
             


Medical - HMO — 2.1%

 

Aetna, Inc.

     10,975        1,413,141  

Humana, Inc.

     6,078        1,283,977  

UnitedHealth Group, Inc.

     15,412        2,548,837  
             


         5,245,955  
             


Medical - Wholesale Drug Distribution — 1.4%

 

AmerisourceBergen Corp.#

     37,663        3,446,541  
             


Multimedia — 0.8%

 

Time Warner, Inc.

     20,800        2,042,768  
             


Networking Products — 1.8%

                 

Cisco Systems, Inc.

     132,288        4,521,604  
             


Non-Hazardous Waste Disposal — 0.3%

 

Republic Services, Inc.

     12,044        746,126  
             


Security Description    Shares      Value
(Note 2)
 

                   

Oil Companies - Exploration & Production — 5.9%

                 

Anadarko Petroleum Corp.

     49,414      $ 3,194,616  

EOG Resources, Inc.

     45,546        4,417,507  

Noble Energy, Inc.

     32,253        1,174,332  

Occidental Petroleum Corp.

     88,777        5,819,332  
             


         14,605,787  
             


Oil Companies - Integrated — 0.7%

 

Exxon Mobil Corp.

     22,726        1,848,078  
             


Oil Refining & Marketing — 2.7%

 

HollyFrontier Corp.

     25,841        756,624  

Marathon Petroleum Corp.

     27,491        1,363,554  

Phillips 66

     35,520        2,777,309  

Valero Energy Corp.

     27,227        1,850,075  
             


         6,747,562  
             


Oil - Field Services — 2.1%

 

Halliburton Co.

     73,055        3,905,520  

Keane Group, Inc.†#

     28,791        504,419  

Schlumberger, Ltd.

     10,622        853,584  
             


         5,263,523  
             


Pipelines — 0.5%

 

Kinder Morgan, Inc.#

     62,455        1,330,916  
             


Real Estate Investment Trusts — 1.9%

 

Equity Residential

     27,339        1,724,271  

Uniti Group, Inc.†#

     75,811        2,196,245  

Weyerhaeuser Co.

     23,027        776,470  
             


         4,696,986  
             


Retail - Discount — 0.3%

 

Target Corp.

     12,931        759,955  
             


Retail - Drug Store — 0.8%

 

Walgreens Boots Alliance, Inc.

     22,926        1,980,348  
             


Retail - Office Supplies — 0.4%

                 

Staples, Inc.

     97,896        880,085  
             


Rubber - Tires — 0.5%

 

Goodyear Tire & Rubber Co.

     34,901        1,223,280  
             


Semiconductor Components - Integrated Circuits — 0.2%

 

Analog Devices, Inc.

     6,451        528,530  
             


Telephone - Integrated — 2.5%

 

AT&T, Inc.#

     118,022        4,932,140  

Verizon Communications, Inc.

     24,621        1,221,940  
             


         6,154,080  
             


Transport - Rail — 0.4%

 

CSX Corp.

     20,422        991,692  
             


Vitamins & Nutrition Products — 0.4%

                 

Mead Johnson Nutrition Co.

     12,374        1,086,313  
             


Web Portals/ISP — 1.1%

 

Alphabet, Inc., Class A†

     3,275        2,767,146  
             


Total Common Stocks

 

(cost $210,024,533)

              242,423,639  
             


EXCHANGE-TRADED FUNDS — 0.5%

 

iShares Russell 1000 Value ETF#

 

(cost $1,219,024)

     10,859        1,266,702  
             


Total Long-Term Investment Securities

 

(cost $211,243,557)

              243,690,341  
             


SHORT-TERM INVESTMENT SECURITIES — 2.9%

 

Registered Investment Companies — 1.2%

 

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(2)

     2,848,330        2,848,330  
             


 

 

56


Table of Contents

VALIC Company II Large Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description   

Principal
Amount

    Value
(Note 2)
 

SHORT-TERM INVESTMENT SECURITIES (continued)

 

       

Time Deposits — 0.4%

 

Euro Time Deposit with State Street Bank and Trust Co. 0.07% due 03/01/2017

   $ 992,000     $ 992,000  
            


U.S. Government Agencies — 1.3%

 

Federal Home Loan Bank
Disc. Notes
0.30% due 03/01/2017

     3,300,000       3,300,000  
            


Total Short-Term Investment Securities

 

(cost $7,140,330)

             7,140,330  
            


TOTAL INVESTMENTS

 

(cost $218,383,887)(3)

     101.1     250,830,671  

Liabilities in excess of other assets

     (1.1     (2,650,981
    


 


NET ASSETS

     100.0   $ 248,179,690  
    


 



# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
(1) At February 28, 2017, the Fund had loaned securities with a total value of $16,951,251. This was secured by collateral of $2,848,330, which was received in cash and subsequently invested in short-term investments currently valued at $2,848,330 as reported in the Portfolio of Investments. Additional collateral of $14,550,347 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge. The components of the fixed income pooled securities referenced above are as follows:

 

Securities


  Coupon Range

  Maturity Date Range

  Value as of
February 28, 2017


 

Federal Home Loan Mtg. Corp.

  2.50% to 4.50%   11/01/2027 to 09/01/2044   $ 1,270,305  

Federal National Mtg. Assoc.

  2.00% to 4.25%   01/01/2032 to 02/25/2044     2,214,652  

Government National Mtg. Assoc.

  2.50% to 3.50%   11/20/2027 to 11/20/2046     5,096,076  

United States Treasury Bills

  0.00%   03/02/2017 to 12/07/2017     1,388,371  

United States Treasury Notes/Bonds

  zero coupon to 8.75%   04/15/2017 to 11/15/2046     4,580,943  

 

(2) The rate shown is a 7-day yield as of February 28, 2017.
(3) See Note 5 for cost of investments on a tax basis.

 

ADR—American Depositary Receipt

ETF—Exchange-Traded Funds

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable  Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 242,423,639      $ —        $         —        $ 242,423,639  

Exchange Traded-Funds

     1,266,702        —          —          1,266,702  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     2,848,330        —          —          2,848,330  

Other Short-Term Investment Securities

     —          4,292,000        —          4,292,000  
    


  


  


  


Total Investments at Value

   $ 246,538,671      $ 4,292,000      $ —        $ 250,830,671  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

57


Table of Contents

VALIC Company II Mid Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 — (unaudited)


 

Industry Allocation*

 

Commercial Services — Finance

     8.1

Medical Instruments

     4.5  

Data Processing/Management

     3.6  

Finance — Other Services

     3.5  

Electronic Components — Semiconductors

     3.4  

Entertainment Software

     3.3  

Resorts/Theme Parks

     3.2  

Distribution/Wholesale

     3.2  

Enterprise Software/Service

     3.1  

Non-Hazardous Waste Disposal

     2.8  

Medical — Biomedical/Gene

     2.6  

Lighting Products & Systems

     2.5  

Applications Software

     2.4  

Chemicals — Specialty

     2.4  

Retail — Auto Parts

     2.3  

Retail — Apparel/Shoe

     2.2  

Containers — Paper/Plastic

     1.9  

Real Estate Management/Services

     1.8  

Auto/Truck Parts & Equipment — Original

     1.8  

Building Products — Cement

     1.7  

Electronic Security Devices

     1.7  

Building Products — Air & Heating

     1.7  

E-Commerce/Services

     1.7  

Airlines

     1.6  

Building Products — Doors & Windows

     1.6  

Registered Investment Companies

     1.6  

Building — Mobile Home/Manufactured Housing

     1.6  

Beverages — Wine/Spirits

     1.6  

Theaters

     1.5  

Commercial Services

     1.5  

Cable/Satellite TV

     1.5  

Telephone — Integrated

     1.4  

Computer Services

     1.4  

Cruise Lines

     1.3  

Telecom Equipment — Fiber Optics

     1.3  

Coatings/Paint

     1.3  

Finance — Investment Banker/Broker

     1.3  

Finance — Consumer Loans

     1.3  

Aerospace/Defense — Equipment

     1.3  

Building — Maintenance & Services

     1.2  

Electronic Measurement Instruments

     1.2  

Schools

     1.2  

Toys

     1.1  

Industrial Automated/Robotic

     1.0  

Drug Delivery Systems

     1.0  

Diversified Manufacturing Operations

     0.9  

Beverages — Non-alcoholic

     0.9  

Transport — Rail

     0.8  

Semiconductor Components — Integrated Circuits

     0.8  

Oil Companies — Exploration & Production

     0.7  

Medical — Generic Drugs

     0.7  

Repurchase Agreements

     0.3  

Auction Houses/Art Dealers

     0.2  
    


       100.5
    


 

* Calculated as a percentage of net assets

    

 

 

58


Table of Contents

VALIC Company II Mid Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS — 98.6%

 

Aerospace/Defense - Equipment — 1.3%

 

Harris Corp.

     13,949      $ 1,532,995  
             


Airlines — 1.6%

 

Spirit Airlines, Inc.†

     37,420        1,953,698  
             


Applications Software — 2.4%

 

PTC, Inc.†

     19,310        1,040,616  

ServiceNow, Inc.†

     21,560        1,873,995  
             


                2,914,611  
             


Auction Houses/Art Dealers — 0.2%

 

KAR Auction Services, Inc.

     5,262        235,843  
             


Auto/Truck Parts & Equipment-Original — 1.8%

 

Delphi Automotive PLC

     28,230        2,149,150  
             


Beverages - Non-alcoholic — 0.9%

 

Monster Beverage Corp.†

     25,350        1,050,504  
             


Beverages - Wine/Spirits — 1.6%

 

Constellation Brands, Inc., Class A#

     11,860        1,883,487  
             


Building Products - Air & Heating — 1.7%

 

Johnson Controls International PLC#

     48,416        2,030,567  
             


Building Products - Cement — 1.7%

 

Vulcan Materials Co.

     17,420        2,101,026  
             


Building Products - Doors & Windows — 1.6%

 

Masonite International Corp.†

     24,550        1,917,355  
             


Building - Maintenance & Services — 1.2%

 

Rollins, Inc.

     41,136        1,503,932  
             


Building - Mobile Home/Manufactured Housing — 1.6%

 

Thor Industries, Inc.

     17,030        1,887,265  
             


Cable/Satellite TV — 1.5%

 

Liberty Broadband Corp., Class C†

     20,870        1,793,568  
             


Chemicals - Specialty — 2.4%

 

Albemarle Corp.#

     9,420        956,224  

Univar, Inc.†

     60,610        1,951,642  
             


                2,907,866  
             


Coatings/Paint — 1.3%

 

Sherwin-Williams Co.#

     5,170        1,595,152  
             


Commercial Services — 1.5%

 

CoStar Group, Inc.†#

     8,871        1,802,410  
             


Commercial Services - Finance — 8.1%

 

Euronet Worldwide, Inc.†#

     21,560        1,784,737  

S&P Global, Inc.

     12,640        1,636,501  

Total System Services, Inc.

     42,920        2,338,282  

TransUnion†

     51,960        1,927,196  

WEX, Inc.†

     19,200        2,135,616  
             


                9,822,332  
             


Computer Services — 1.4%

 

EPAM Systems, Inc.†

     22,978        1,691,870  
             


Containers - Paper/Plastic — 1.9%

 

Berry Plastics Group, Inc.†

     45,160        2,272,903  
             


Cruise Lines — 1.3%

 

Royal Caribbean Cruises, Ltd.

     16,970        1,630,817  
             


Data Processing/Management — 3.6%

 

Acxiom Corp.†

     59,261        1,690,124  

Fidelity National Information Services, Inc.

     33,080        2,721,491  
             


                4,411,615  
             


Security Description    Shares      Value
(Note 2)
 

                   

Distribution/Wholesale — 3.2%

 

HD Supply Holdings, Inc.†

     57,340      $ 2,465,620  

Pool Corp.

     12,170        1,396,021  
             


                3,861,641  
             


Diversified Manufacturing Operations — 0.9%

 

Carlisle Cos., Inc.

     11,060        1,142,498  
             


Drug Delivery Systems — 1.0%

 

DexCom, Inc.†

     15,410        1,204,446  
             


E-Commerce/Services — 1.7%

 

MercadoLibre, Inc.

     9,560        2,015,917  
             


Electronic Components - Semiconductors — 3.4%

 

Broadcom, Ltd.

     5,090        1,073,634  

Micron Technology, Inc.†

     79,790        1,870,277  

NVIDIA Corp.

     11,370        1,153,828  
             


                4,097,739  
             


Electronic Measurement Instruments — 1.2%

 

FLIR Systems, Inc.

     39,140        1,436,829  
             


Electronic Security Devices — 1.7%

 

Allegion PLC

     28,410        2,062,282  
             


Enterprise Software/Service — 3.1%

 

Guidewire Software, Inc.†#

     30,490        1,665,974  

Ultimate Software Group, Inc.†

     10,640        2,057,669  
             


                3,723,643  
             


Entertainment Software — 3.3%

 

Activision Blizzard, Inc.

     30,630        1,382,332  

Electronic Arts, Inc.†

     30,270        2,618,355  
             


                4,000,687  
             


Finance - Consumer Loans — 1.3%

 

SLM Corp.†

     132,810        1,592,392  
             


Finance - Investment Banker/Broker — 1.3%

 

Raymond James Financial, Inc.

     20,280        1,593,197  
             


Finance - Other Services — 3.5%

 

Intercontinental Exchange, Inc.

     43,060        2,460,018  

SEI Investments Co.

     36,683        1,846,989  
             


                4,307,007  
             


Industrial Automated/Robotic — 1.0%

 

Rockwell Automation, Inc.

     8,410        1,270,751  
             


Lighting Products & Systems — 2.5%

 

Acuity Brands, Inc.#

     7,075        1,494,947  

Universal Display Corp.†#

     18,380        1,559,543  
             


                3,054,490  
             


Medical Instruments — 4.5%

 

Boston Scientific Corp.†#

     71,330        1,751,151  

Integra LifeSciences Holdings Corp.†

     27,990        1,196,293  

Intuitive Surgical, Inc.†

     3,360        2,476,320  
             


                5,423,764  
             


Medical - Biomedical/Gene — 2.6%

 

BioMarin Pharmaceutical, Inc.†

     13,100        1,230,483  

Bioverativ, Inc.†

     14,350        747,348  

Incyte Corp.†#

     6,990        930,369  

Seattle Genetics, Inc.†

     4,050        265,883  
             


                3,174,083  
             


Medical - Generic Drugs — 0.7%

 

Perrigo Co. PLC#

     11,430        854,621  
             


 

 

59


Table of Contents

VALIC Company II Mid Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description   

Shares

     Value
(Note 2)
 

COMMON STOCKS (continued)

 

Medical - Hospitals — 0.0%

 

Surgical Care Affiliates, Inc.†#

     410      $ 23,255  
             


Non-Hazardous Waste Disposal — 2.8%

 

Waste Connections, Inc.

     39,562        3,457,323  
             


Oil Companies - Exploration & Production — 0.7%

 

Diamondback Energy, Inc.†

     8,510        858,319  
             


Real Estate Management/Services — 1.8%

 

CBRE Group, Inc., Class A†

     61,020        2,173,532  
             


Resorts/Theme Parks — 3.2%

 

Six Flags Entertainment Corp.#

     30,980        1,877,698  

Vail Resorts, Inc.

     11,260        2,040,087  
             


                3,917,785  
             


Retail - Apparel/Shoe — 2.2%

 

Burlington Stores, Inc.†

     20,030        1,782,870  

L Brands, Inc.

     17,520        921,903  
             


                2,704,773  
             


Retail - Auto Parts — 2.3%

 

O’Reilly Automotive, Inc.†#

     10,430        2,833,935  
             


Schools — 1.2%

 

Bright Horizons Family Solutions, Inc.†

     20,620        1,425,048  
             


Semiconductor Components - Integrated Circuits — 0.8%

 

NXP Semiconductors NV†

     8,960        921,178  
             


Telecom Equipment - Fiber Optics — 1.3%

 

Finisar Corp.†

     47,990        1,606,705  
             


Telephone - Integrated — 1.4%

 

Zayo Group Holdings, Inc.†#

     55,002        1,733,663  
             


Theaters — 1.5%

 

Cinemark Holdings, Inc.

     44,799        1,875,734  
             


Toys — 1.1%

 

Nintendo Co., Ltd. ADR

     49,390        1,289,326  
             


Transport - Rail — 0.8%

 

Kansas City Southern

     10,690        947,455  
             


Total Long-Term Investment Securities

                 

(cost $103,243,211)

              119,672,984  
             


SHORT-TERM INVESTMENT SECURITIES — 1.6%

 

Registered Investment Companies — 1.6%

                 

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(2)
(cost $1,904,299)

     1,904,299        1,904,299  
             


Security Description        
Principal
Amount
    Value
(Note 2)
 

REPURCHASE AGREEMENTS — 0.3%

 

Agreement with Fixed Income Clearing Corp., bearing
interest at 0.03%, dated 02/28/2017, to be repurchased
03/01/2017 in the amount of $437,000 collateralized by
$445,000 of United States Treasury Notes, bearing interest
at 0.88% due 02/15/2047 and having an
approximate value of $446,669
(cost $437,000)

   $ 437,000     $ 437,000  
            


TOTAL INVESTMENTS

                

(cost $105,584,510)(3)

     100.5     122,014,283  

Liabilities in excess of other assets

     (0.5     (613,469
    


 


NET ASSETS

     100.0   $ 121,400,814  
    


 



Non-income producing security
# The security or a portion thereof is out on loan (see Note 2).
(1) At February 28, 2017, the Fund had loaned securities with a total value of $15,452,992. This was secured by collateral of $1,904,299, which was received in cash and subsequently invested in short-term investments currently valued at $1,904,299 as reported in the Portfolio of Investments. Additional collateral of $14,098,448 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge. The components of the fixed income pooled securities referenced above are as follows:

 

Securities


  Coupon Range

  Maturity Date Range

  Value as of
February 28, 2017


 

Federal Home Loan Mtg. Corp.

  2.50% to 4.50%   11/01/2027 to 09/01/2044   $ 1,008,865  

Federal National Mtg. Assoc.

  2.00% to 4.25%   01/01/2032 to 02/25/2044     1,758,856  

Government National Mtg. Assoc.

  2.50% to 3.50%   11/20/2027 to 11/20/2046     4,047,256  

United States Treasury Bills

  0.00%   03/02/2017 to 12/07/2017     1,039,703  

United States Treasury Notes/Bonds

  zero coupon to 7.63%   04/15/2017 to 11/15/2046     6,243,768  

 

(2) The rate shown is the 7-day yield as of February 28, 2017.
(3) See Note 5 for cost of investments on a tax basis.

 

ADR—American Depositary Receipt

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices

     Level 2 - Other
Observable  Inputs

     Level 3 -  Significant
Unobservable Inputs

     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 119,672,984      $ —        $         —        $ 119,672,984  

Short-Term Investment Securities

     1,904,299        —          —          1,904,299  

Repurchase Agreements

     —          437,000        —          437,000  
    


  


  


  


Total Investments at Value

   $ 121,577,283      $ 437,000      $ —        $ 122,014,283  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

60


Table of Contents

VALIC Company II Mid Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Real Estate Investment Trusts

     8.3

Oil Companies — Exploration & Production

     6.8  

Banks — Commercial

     5.4  

Electric — Integrated

     4.8  

Banks — Super Regional

     4.0  

Electronic Components — Semiconductors

     3.5  

Insurance — Property/Casualty

     2.9  

Aerospace/Defense — Equipment

     2.7  

Insurance — Life/Health

     2.6  

Containers — Paper/Plastic

     2.1  

Insurance — Reinsurance

     1.8  

Electronic Parts Distribution

     1.8  

Chemicals — Diversified

     1.8  

Finance — Investment Banker/Broker

     1.7  

Registered Investment Companies

     1.7  

Building — Residential/Commercial

     1.6  

Computer Services

     1.6  

Medical — Hospitals

     1.5  

Insurance — Multi-line

     1.5  

Entertainment Software

     1.4  

Human Resources

     1.3  

Diversified Manufacturing Operations

     1.2  

Power Converter/Supply Equipment

     1.2  

Gas — Distribution

     1.2  

Oil Refining & Marketing

     1.2  

Distribution/Wholesale

     1.1  

Insurance Brokers

     1.1  

Auto/Truck Parts & Equipment — Original

     1.0  

Chemicals — Specialty

     1.0  

Advertising Agencies

     0.9  

Telecommunication Equipment

     0.9  

Finance — Credit Card

     0.9  

Steel — Producers

     0.9  

Electronic Components — Misc.

     0.9  

Finance — Consumer Loans

     0.9  

Data Processing/Management

     0.9  

Tools — Hand Held

     0.8  

Rubber — Tires

     0.8  

Transport — Rail

     0.8  

Containers — Metal/Glass

     0.8  

Medical Instruments

     0.8  

Recreational Vehicles

     0.8  

Medical Products

     0.8  

Transport — Truck

     0.7  

Cruise Lines

     0.7  

E-Commerce/Services

     0.7  

Medical Labs & Testing Services

     0.6  

Computer Software

     0.6  

Food — Flour & Grain

     0.6  

Consulting Services

     0.6  

Repurchase Agreements

     0.6  

Electronic Measurement Instruments

     0.6  

Banks — Fiduciary

     0.6  

Commercial Services — Finance

     0.6  

Building Products — Doors & Windows

     0.6  

Disposable Medical Products

     0.6  

Savings & Loans/Thrifts

     0.6  

Building Products — Wood

     0.6  

E-Commerce/Products

     0.5  

Shipbuilding

     0.5  

Home Decoration Products

     0.5  

Apparel Manufacturers

     0.5  

Publishing — Books

     0.5  

Building & Construction Products — Misc.

     0.5  

Electronic Connectors

     0.4  

Retirement/Aged Care

     0.4  

Cellular Telecom

     0.4  

Instruments — Controls

     0.4  

Food — Misc./Diversified

     0.4  

Finance — Other Services

     0.4  

Dialysis Centers

     0.4  

Metal Processors & Fabrication

     0.3  

Medical — Drugs

     0.3  

Medical — Wholesale Drug Distribution

     0.3  

Retail — Auto Parts

     0.3  

Beverages — Non-alcoholic

     0.3  

Retail — Apparel/Shoe

     0.2  

Machine Tools & Related Products

     0.2  

Oil — Field Services

     0.2  

Engineering/R&D Services

     0.2  

Retail — Consumer Electronics

     0.2  

Electric Products — Misc.

     0.2  

Hazardous Waste Disposal

     0.2  

Computers — Memory Devices

     0.2  

Commercial Services

     0.2  

Office Supplies & Forms

     0.1  

Toys

     0.1  

Decision Support Software

     0.1  

Multimedia

     0.1  
    


       100.5
    


 

* Calculated as a percentage of net assets
 

 

61


Table of Contents

VALIC Company II Mid Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description        
Shares
     Value
(Note 2)
 

COMMON STOCKS — 98.2%

 

Advertising Agencies — 0.9%

 

Interpublic Group of Cos., Inc.

     264,713      $ 6,379,583  

Omnicom Group, Inc.#

     43,507        3,702,446  
             


         10,082,029  
             


Aerospace/Defense - Equipment — 2.7%

                 

Curtiss-Wright Corp.

     35,487        3,471,693  

Harris Corp.

     166,927        18,345,277  

Moog, Inc., Class A†

     108,727        7,347,771  
             


         29,164,741  
             


Apparel Manufacturers — 0.5%

                 

Global Brands Group Holding, Ltd.†

     45,967,470        5,388,501  
             


Applications Software — 0.0%

                 

Verint Systems, Inc.†

     9,421        355,643  
             


Auto/Truck Parts & Equipment - Original — 1.0%

                 

BorgWarner, Inc.#

     72,194        3,045,865  

Tenneco, Inc.

     65,781        4,230,376  

WABCO Holdings, Inc.†#

     32,963        3,701,086  
             


         10,977,327  
             


Banks - Commercial — 5.4%

                 

Bank of the Ozarks, Inc.#

     110,854        6,067,039  

BankUnited, Inc.

     127,316        5,045,533  

BB&T Corp.#

     69,557        3,354,039  

East West Bancorp, Inc.

     126,429        6,842,337  

IBERIABANK Corp.

     79,783        6,761,609  

MB Financial, Inc.

     116,650        5,251,583  

Regions Financial Corp.

     141,421        2,159,499  

South State Corp.

     61,253        5,482,144  

Western Alliance Bancorp†

     44,032        2,273,812  

Zions Bancorporation

     320,585        14,394,267  
             


         57,631,862  
             


Banks - Fiduciary — 0.6%

                 

State Street Corp.#

     77,819        6,202,953  
             


Banks - Super Regional — 4.0%

                 

Comerica, Inc.#

     216,242        15,413,730  

Fifth Third Bancorp

     309,583        8,494,958  

Huntington Bancshares, Inc.

     647,339        9,153,373  

SunTrust Banks, Inc.#

     157,484        9,368,723  
             


         42,430,784  
             


Beverages - Non-alcoholic — 0.3%

                 

Coca-Cola European Partners PLC

     77,645        2,693,505  
             


Building & Construction Products - Misc. — 0.5%

                 

Louisiana-Pacific Corp.†

     213,946        5,044,847  
             


Building Products - Doors & Windows — 0.6%

                 

Sanwa Holdings Corp.

     647,450        6,108,834  
             


Building Products - Wood — 0.6%

                 

Masco Corp.

     178,032        6,013,921  
             


Building - Residential/Commercial — 1.6%

                 

D.R. Horton, Inc.

     146,365        4,683,680  

Lennar Corp., Class A

     163,408        7,972,676  

PulteGroup, Inc.#

     71,809        1,583,389  

Toll Brothers, Inc.†

     99,805        3,407,343  
             


         17,647,088  
             


Cellular Telecom — 0.4%

                 

Millicom International Cellular SA SDR

     77,773        4,243,370  
             


Chemicals - Diversified — 1.8%

                 

Celanese Corp., Series A

     102,907        9,176,217  

PPG Industries, Inc.#

     29,464        3,017,998  
Security Description        
Shares
     Value
(Note 2)
 

                   

Chemicals - Diversified (continued)

                 

Westlake Chemical Corp.

     105,240      $ 6,675,373  
             


         18,869,588  
             


Chemicals - Specialty — 1.0%

                 

Cabot Corp.

     77,282        4,480,810  

Methanex Corp.#

     118,237        6,030,087  
             


         10,510,897  
             


Commercial Services — 0.2%

                 

Nielsen Holdings PLC

     39,977        1,773,380  
             


Commercial Services - Finance — 0.6%

                 

IHS Markit, Ltd.†#

     106,997        4,258,481  

Moody’s Corp.

     16,830        1,874,357  
             


         6,132,838  
             


Computer Services — 1.6%

                 

Amdocs, Ltd.

     152,607        9,255,614  

Cognizant Technology Solutions Corp., Class A†

     28,136        1,667,621  

Computer Sciences Corp.

     47,684        3,269,215  

Leidos Holdings, Inc.

     52,166        2,780,448  
             


         16,972,898  
             


Computer Software — 0.6%

                 

SS&C Technologies Holdings, Inc.#

     194,803        6,822,001  
             


Computers - Memory Devices — 0.2%

                 

Western Digital Corp.#

     26,522        2,039,011  
             


Consulting Services — 0.6%

                 

Booz Allen Hamilton Holding Corp.

     184,477        6,598,742  
             


Containers - Metal/Glass — 0.8%

                 

Crown Holdings, Inc.†

     156,690        8,397,017  
             


Containers - Paper/Plastic — 2.1%

                 

Bemis Co., Inc.

     108,927        5,399,511  

Berry Plastics Group, Inc.†

     115,521        5,814,172  

Graphic Packaging Holding Co.

     180,379        2,408,060  

Sealed Air Corp.#

     122,051        5,672,931  

WestRock Co.

     69,159        3,715,221  
             


         23,009,895  
             


Cruise Lines — 0.7%

                 

Norwegian Cruise Line Holdings, Ltd.†#

     156,540        7,936,578  
             


Data Processing/Management — 0.9%

                 

Fidelity National Information Services, Inc.

     115,197        9,477,257  
             


Decision Support Software — 0.1%

                 

MSCI, Inc.

     13,487        1,275,735  
             


Dialysis Centers — 0.4%

                 

DaVita, Inc.†

     57,553        3,994,754  
             


Disposable Medical Products — 0.6%

                 

STERIS PLC

     86,185        6,044,154  
             


Distribution/Wholesale — 1.1%

                 

HD Supply Holdings, Inc.†

     78,450        3,373,350  

WESCO International, Inc.†#

     128,791        8,950,975  
             


         12,324,325  
             


Diversified Manufacturing Operations — 1.2%

                 

Eaton Corp. PLC

     45,124        3,248,025  

Ingersoll-Rand PLC#

     87,394        6,935,588  

Textron, Inc.

     66,856        3,162,289  
             


         13,345,902  
             


 

 

62


Table of Contents

VALIC Company II Mid Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
Shares
     Value
(Note 2)
 

COMMON STOCKS (continued)

                 

E-Commerce/Products — 0.5%

                 

eBay, Inc.†

     173,547      $ 5,883,243  
             


E-Commerce/Services — 0.7%

                 

Expedia, Inc.#

     28,016        3,335,025  

IAC/InterActiveCorp†

     53,261        3,938,118  
             


         7,273,143  
             


Electric Products - Misc. — 0.2%

                 

AMETEK, Inc.#

     38,380        2,071,369  
             


Electric - Integrated — 4.8%

                 

Alliant Energy Corp.

     292,849        11,561,679  

Ameren Corp.

     64,144        3,508,035  

American Electric Power Co., Inc.

     100,990        6,763,300  

Edison International#

     125,875        10,037,273  

Great Plains Energy, Inc.

     333,244        9,684,071  

PG&E Corp.

     99,779        6,660,248  

Portland General Electric Co.

     71,712        3,250,705  
             


         51,465,311  
             


Electronic Components - Misc. — 0.9%

                 

Flex, Ltd.†

     365,325        6,024,209  

Jabil Circuit, Inc.

     143,674        3,665,124  
             


         9,689,333  
             


Electronic Components - Semiconductors — 3.5%

                 

Broadcom, Ltd.#

     8,387        1,769,070  

Microsemi Corp.†#

     307,232        15,920,762  

ON Semiconductor Corp.†#

     236,261        3,574,629  

Qorvo, Inc.†#

     103,254        6,825,089  

Silicon Motion Technology Corp. ADR#

     177,569        7,207,526  

Skyworks Solutions, Inc.#

     22,660        2,148,395  
             


         37,445,471  
             


Electronic Connectors — 0.4%

                 

TE Connectivity, Ltd.

     64,394        4,795,421  
             


Electronic Measurement Instruments — 0.6%

                 

Keysight Technologies, Inc.†

     166,600        6,264,160  
             


Electronic Parts Distribution — 1.8%

                 

Arrow Electronics, Inc.†

     265,811        19,191,554  
             


Engineering/R&D Services — 0.2%

                 

Fluor Corp.#

     43,139        2,389,469  
             


Entertainment Software — 1.4%

                 

Activision Blizzard, Inc.

     218,151        9,845,155  

NetEase, Inc. ADR

     15,347        4,681,756  
             


         14,526,911  
             


Finance - Consumer Loans — 0.9%

                 

Navient Corp.#

     263,498        4,060,504  

SLM Corp.†

     341,791        4,098,074  

Synchrony Financial

     40,889        1,481,818  
             


         9,640,396  
             


Finance - Credit Card — 0.9%

                 

Alliance Data Systems Corp.#

     6,353        1,543,652  

Discover Financial Services

     117,417        8,353,045  
             


         9,896,697  
             


Finance - Investment Banker/Broker — 1.7%

                 

Raymond James Financial, Inc.

     154,989        12,175,936  

TD Ameritrade Holding Corp.

     151,008        5,904,413  
             


         18,080,349  
             


Security Description        
Shares
     Value
(Note 2)
 

                   

Finance - Other Services — 0.4%

                 

SEI Investments Co.

     79,567      $ 4,006,198  
             


Food - Flour & Grain — 0.6%

                 

Post Holdings, Inc.†

     82,568        6,759,842  
             


Food - Misc./Diversified — 0.4%

                 

Ingredion, Inc.

     34,300        4,146,527  
             


Gas - Distribution — 1.2%

                 

UGI Corp.

     261,438        12,609,155  
             


Hazardous Waste Disposal — 0.2%

                 

Clean Harbors, Inc.†

     35,500        2,057,580  
             


Home Decoration Products — 0.5%

                 

Newell Brands, Inc.#

     114,034        5,591,087  
             


Human Resources — 1.3%

                 

ManpowerGroup, Inc.

     72,896        7,073,828  

Robert Half International, Inc.

     147,994        7,139,230  
             


         14,213,058  
             


Instruments - Controls — 0.4%

                 

Sensata Technologies Holding NV†

     102,459        4,205,942  
             


Insurance Brokers — 1.1%

                 

Aon PLC#

     52,139        6,029,875  

Marsh & McLennan Cos., Inc.

     73,430        5,395,637  
             


         11,425,512  
             


Insurance - Life/Health — 2.6%

                 

CNO Financial Group, Inc.

     274,571        5,741,280  

Torchmark Corp.

     47,153        3,655,772  

Unum Group

     385,739        18,835,635  
             


         28,232,687  
             


Insurance - Multi-line — 1.5%

                 

Allstate Corp.

     78,133        6,419,407  

Assurant, Inc.

     44,870        4,442,130  

Loews Corp.#

     106,692        5,012,390  
             


         15,873,927  
             


Insurance-Property/Casualty — 2.9%

                 

Alleghany Corp.†

     14,804        9,560,423  

Hanover Insurance Group, Inc.

     46,376        4,174,767  

WR Berkley Corp.#

     78,127        5,548,580  

XL Group, Ltd.

     298,692        12,094,039  
             


         31,377,809  
             


Insurance - Reinsurance — 1.8%

                 

Reinsurance Group of America, Inc.

     149,214        19,406,773  
             


Machine Tools & Related Products — 0.2%

                 

Milacron Holdings Corp.†

     141,926        2,577,376  
             


Medical Instruments — 0.8%

                 

Boston Scientific Corp.†#

     271,338        6,661,348  

Bruker Corp.

     70,841        1,710,810  
             


         8,372,158  
             


Medical Labs & Testing Services — 0.6%

                 

ICON PLC†

     18,119        1,517,829  

Laboratory Corp. of America Holdings†

     38,039        5,411,428  
             


         6,929,257  
             


Medical Products — 0.8%

                 

Becton Dickinson and Co.#

     26,398        4,832,154  

Zimmer Biomet Holdings, Inc.#

     28,081        3,287,723  
             


         8,119,877  
             


 

 

63


Table of Contents

VALIC Company II Mid Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description        
    
Shares
     Value
(Note 2)
 

COMMON STOCKS (continued)

                 

Medical - Drugs — 0.3%

                 

Endo International PLC†#

     228,030      $ 3,112,610  
             


Medical - Hospitals — 1.5%

                 

Acadia Healthcare Co., Inc.†#

     129,901        5,809,173  

Envision Healthcare Corp.†#

     106,799        7,475,930  

Universal Health Services, Inc., Class B

     24,667        3,098,175  
             


         16,383,278  
             


Medical - Wholesale Drug Distribution — 0.3%

                 

Cardinal Health, Inc.#

     36,973        3,008,493  
             


Metal Processors & Fabrication — 0.3%

                 

Timken Co.

     74,854        3,308,547  
             


Multimedia — 0.1%

                 

Quebecor, Inc., Class B

     28,400        803,548  
             


Office Supplies & Forms — 0.1%

                 

Avery Dennison Corp.

     19,741        1,593,296  
             


Oil Companies - Exploration & Production — 6.8%

                 

Cimarex Energy Co.

     18,329        2,304,322  

Cobalt International Energy, Inc.†#

     437,445        310,586  

Diamondback Energy, Inc.†#

     202,386        20,412,652  

Energen Corp.†

     187,582        9,848,055  

EQT Corp.

     48,280        2,891,489  

Gulfport Energy Corp.†#

     87,415        1,515,776  

Marathon Oil Corp.#

     296,212        4,739,392  

Newfield Exploration Co.†#

     341,224        12,441,027  

Parsley Energy, Inc., Class A†#

     193,518        5,881,012  

QEP Resources, Inc.†

     545,526        7,506,438  

Rice Energy, Inc.†

     63,187        1,178,438  

RSP Permian, Inc.†

     108,588        4,288,140  
             


         73,317,327  
             


Oil Refining & Marketing — 1.2%

                 

Delek US Holdings, Inc.

     183,913        4,426,786  

HollyFrontier Corp.#

     42,318        1,239,071  

Marathon Petroleum Corp.

     101,674        5,043,031  

Tesoro Corp.#

     21,222        1,807,902  
             


         12,516,790  
             


Oil - Field Services — 0.2%

                 

NOW, Inc.†

     62,036        1,187,369  

Trican Well Service, Ltd.†

     362,395        1,342,406  
             


         2,529,775  
             


Power Converter/Supply Equipment — 1.2%

                 

Generac Holdings, Inc.†#

     90,560        3,535,462  

Hubbell, Inc.

     79,541        9,435,154  
             


         12,970,616  
             


Publishing - Books — 0.5%

                 

John Wiley & Sons, Inc., Class A

     102,919        5,372,372  
             


Real Estate Investment Trusts — 8.3%

                 

American Assets Trust, Inc.

     126,356        5,559,664  

American Homes 4 Rent, Class A

     86,463        2,055,226  

Boston Properties, Inc.

     65,287        9,076,852  

Douglas Emmett, Inc.

     102,600        4,138,884  

Equity LifeStyle Properties, Inc.

     83,423        6,642,139  

Equity Residential

     48,045        3,030,198  

Essex Property Trust, Inc.

     9,241        2,168,863  

Extra Space Storage, Inc.

     52,811        4,182,103  

Forest City Realty Trust, Inc., Class A#

     90,730        2,073,180  

GGP, Inc.#

     140,942        3,503,818  

Kilroy Realty Corp.

     24,124        1,861,167  

Kimco Realty Corp.

     164,519        3,989,586  
Security Description   

Shares

     Value
(Note 2)
 

                   

Real Estate Investment Trusts (continued)

                 

LaSalle Hotel Properties

     161,078      $ 4,655,154  

Life Storage, Inc.

     44,388        3,934,108  

Macerich Co.

     29,881        2,013,382  

PS Business Parks, Inc.

     67,527        7,847,313  

Regency Centers Corp.

     106,587        7,498,395  

SL Green Realty Corp.

     79,986        9,012,822  

STORE Capital Corp.

     240,588        5,993,047  
             


                89,235,901  
             


Recreational Vehicles — 0.8%

                 

Brunswick Corp.

     137,596        8,240,624  
             


Retail - Apparel/Shoe — 0.2%

                 

DSW, Inc., Class A#

     122,885        2,584,272  
             


Retail - Auto Parts — 0.3%

                 

Advance Auto Parts, Inc.

     18,740        2,934,871  
             


Retail - Consumer Electronics — 0.2%

                 

Best Buy Co., Inc.#

     47,295        2,087,128  
             


Retirement/Aged Care — 0.4%

                 

Brookdale Senior Living, Inc.†

     308,527        4,442,789  
             


Rubber - Tires — 0.8%

                 

Goodyear Tire & Rubber Co.

     241,222        8,454,831  
             


Savings & Loans/Thrifts — 0.6%

                 

Provident Financial Services, Inc.

     111,570        2,962,183  

Sterling Bancorp#

     123,393        3,053,977  
             


                6,016,160  
             


Shipbuilding — 0.5%

                 

Huntington Ingalls Industries, Inc.

     26,016        5,684,496  
             


Steel - Producers — 0.9%

                 

Reliance Steel & Aluminum Co.

     47,120        3,988,708  

Steel Dynamics, Inc.#

     161,364        5,905,922  
             


                9,894,630  
             


Telecommunication Equipment — 0.9%

                 

CommScope Holding Co., Inc.†

     261,689        9,957,266  
             


Tools - Hand Held — 0.8%

                 

Stanley Black & Decker, Inc.

     70,025        8,903,679  
             


Toys — 0.1%

                 

Hasbro, Inc.#

     15,667        1,517,662  
             


Transport - Rail — 0.8%

                 

Genesee & Wyoming, Inc., Class A†

     113,746        8,433,128  
             


Transport - Truck — 0.7%

                 

Knight Transportation, Inc.#

     242,767        7,938,481  
             


Total Long-Term Investment Securities

                 

(cost $882,208,382)

              1,055,270,539  
             


SHORT-TERM INVESTMENT SECURITIES — 1.7%

                 

Registered Investment Companies — 1.7%

                 

State Street Institutional Liquid Reserves Fund, Administration Class 0.51%(3)

     9,366,512        9,367,448  

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(3)

     8,584,834        8,584,834  
             


Total Short-Term Investment Securities

                 

(cost $17,952,282)

              17,952,282  
             


 

 

64


Table of Contents

VALIC Company II Mid Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description   

Principal

Amount

    Value
(Note 2)
 

REPURCHASE AGREEMENTS — 0.6%

                

Agreement with Fixed Income Clearing Corp., bearing interest at 0.03%, dated 02/28/2017, to be repurchased 03/01/2017 in the amount of $6,481,004 collateralized by $6,820,000 of United States Treasury Notes, bearing interest at 3.00% due 05/15/2045 and having an approximate value of $6,678,110
(cost $6,481,000)

   $ 6,481,000     $ 6,481,000  
            


TOTAL INVESTMENTS

                

(cost $906,641,664)(2)

     100.5     1,079,703,821  

Liabilities in excess of other assets

     (0.5     (5,742,550
    


 


NET ASSETS

     100.0   $ 1,073,961,271  
    


 



# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
(1) At February 28, 2017, the Fund had loaned securities with a total value of $141,991,088. This was secured by collateral of $8,584,834, which was received in cash and subsequently invested in short-term investments currently value at $8,584,834 as reported in the Portfolio of Investments. Additional collateral of $138,174,666 was received in the form of short-term pooled securities, which the Fund cannot sell or repledge and accordingly is not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:

 

Securities


  Coupon Range

  Maturity Date Range

  Value as of
February 28,
2017


 

Federal Home Loan Mtg. Corp.

  2.50% to 4.50%   11/01/2027 to 09/01/2044   $ 13,613,949  

Federal National Mtg.
Assoc.

  2.00% to 4.25%   01/01/2032 to 02/25/2044     23,734,574  

Government National Mtg. Assoc.

  2.50% to 3.50%   11/20/2027 to 11/20/2046     54,614,991  

United States Treasury
Bills

  0.00%   03/02/2017 to 12/07/2017     10,100,258  

United States Treasury
Notes/Bonds

  zero coupon to 7.63%   04/15/2017 to 11/15/2046     36,110,894  

 

(2) See Note 5 for cost of investments on a tax basis.
(3) The rate shown is a 7-day yield as of February 28, 2017.

 

ADR—American Depositary Receipt

SDR—Swedish Depositary Receipt

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices

     Level 2 - Other
Observable  Inputs

     Level 3 -  Significant
Unobservable Inputs

     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 1,055,270,539      $ —        $         —        $ 1,055,270,539  

Short-Term Investment Securities

     17,952,282        —          —          17,952,282  

Repurchase Agreements

     —          6,481,000        —          6,481,000  
    


  


  


  


Total Investments at Value

   $ 1,073,222,821      $ 6,481,000      $ —        $ 1,079,703,821  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

65


Table of Contents

VALIC Company II Moderate Growth Lifestyle Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Domestic Equity Investment Companies

     43.3

Domestic Fixed Income Investment Companies

     40.6  

International Equity Investment Companies

     9.7  

Real Estate Investment Trusts

     5.2  

International Fixed Income Investment Companies

     1.2  
    


       100.0%  
    


 

* Calculated as a percentage of net assets
 

 

66


Table of Contents

VALIC Company II Moderate Growth Lifestyle Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares      Value
(Note 2)
 

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%

 

Domestic Equity Investment Companies — 43.3%

 

VALIC Co. I Blue Chip Growth Fund

     1,054,172      $ 16,719,168  

VALIC Co. I Dividend Value Fund

     2,112,194        25,240,714  

VALIC Co. I Mid Cap Index Fund

     1,899,924        50,290,986  

VALIC Co. I Mid Cap Strategic Growth Fund

     383,933        5,067,921  

VALIC Co. I Nasdaq-100 Index Fund

     742,225        8,268,386  

VALIC Co. I Science & Technology Fund

     324,061        7,589,518  

VALIC Co. I Small Cap Index Fund

     3,058,745        62,398,397  

VALIC Co. I Small Cap Special Values Fund

     1,813,019        24,330,721  

VALIC Co. I Stock Index Fund

     474,926        16,902,627  

VALIC Co. I Value Fund

     281,213        4,662,504  

VALIC Co. II Capital Appreciation Fund

     1,229,003        20,929,915  

VALIC Co. II Large Cap Value Fund

     710,335        14,895,718  

VALIC Co. II Mid Cap Growth Fund

     656,033        5,996,145  

VALIC Co. II Mid Cap Value Fund

     3,151,573        71,225,546  

VALIC Co. II Small Cap Growth Fund

     571,880        9,035,702  

VALIC Co. II Small Cap Value Fund

     2,369,893        36,828,143  
             


Total Domestic Equity Investment Companies

                 

(cost $341,989,290)

              380,382,111  
             


Domestic Fixed Income Investment Companies — 40.6%

 

VALIC Co. I Capital Conservation Fund

     2,677,211        25,995,719  

VALIC Co. I Government Securities Fund

     1,167,043        12,242,284  

VALIC Co. I Inflation Protected Fund

     5,800,638        63,516,984  

VALIC Co. II Core Bond Fund

     5,925,013        66,004,646  

VALIC Co. II High Yield Bond Fund

     10,051,009        79,201,954  

VALIC Co. II Strategic Bond Fund

     9,640,175        109,897,995  
             


Total Domestic Fixed Income Investment Companies

                 

(cost $353,037,375)

              356,859,582  
             


Security Description    Shares     Value
(Note 2)
 

                  

International Equity Investment Companies — 9.7%

 

VALIC Co. I Emerging Economies Fund

     1,667,700     $ 12,357,656  

VALIC Co. I Foreign Value Fund

     2,802,707       27,718,775  

VALIC Co. I International Equities Index Fund

     2,776,229       17,823,392  

VALIC Co. I International Growth Fund

     761,811       8,913,190  

VALIC Co. II International Opportunities Fund

     1,109,004       18,076,761  
            


Total International Equity Investment Companies

                

(cost $84,421,982)

             84,889,774  
            


International Fixed Income Investment Companies — 1.2%

 

VALIC Co. I International Government Bond Fund

                

(cost $10,557,251)

     891,558       10,110,270  
            


Real Estate Investment Companies — 5.2%

 

VALIC Co. I Global Real Estate Fund

                

(cost $50,124,319)

     6,177,612       45,899,657  
            


TOTAL INVESTMENTS

                

(cost $840,130,217)(2)

     100.0     878,141,394  

Liabilities in excess of other assets

     (0.0     (100,134
    


 


NET ASSETS

     100.0   $ 878,041,260  
    


 



# The Moderate Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com
(1) See Note 3
(2) See Note 5 for cost of investments on a tax basis.
 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable  Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Affiliated Registered Investment Companies

   $ 878,141,394      $         —        $         —        $ 878,141,394  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

67


Table of Contents

VALIC Company II Small Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Registered Investment Companies

     11.8

Medical — Biomedical/Gene

     7.6  

Electronic Components — Semiconductors

     5.7  

Enterprise Software/Service

     4.9  

Medical — Drugs

     3.6  

Building & Construction Products — Misc.

     3.0  

Retail — Automobile

     2.4  

Building Products — Doors & Windows

     2.3  

Distribution/Wholesale

     2.3  

Banks — Commercial

     2.2  

Computer Software

     1.9  

Medical Products

     1.9  

E-Commerce/Services

     1.9  

Transport — Truck

     1.7  

Applications Software

     1.7  

Entertainment Software

     1.6  

Oil Companies — Exploration & Production

     1.6  

Educational Software

     1.6  

Finance — Investment Banker/Broker

     1.6  

Therapeutics

     1.5  

Investment Management/Advisor Services

     1.5  

Retail — Apparel/Shoe

     1.5  

Time Deposits

     1.5  

Miscellaneous Manufacturing

     1.5  

Electric Products — Misc.

     1.5  

Casino Hotels

     1.4  

Building Products — Cement

     1.3  

Internet Security

     1.3  

Real Estate Management/Services

     1.3  

Aerospace/Defense — Equipment

     1.3  

Internet Telephone

     1.3  

Web Hosting/Design

     1.2  

Medical — Hospitals

     1.2  

Real Estate Investment Trusts

     1.2  

Building Products — Air & Heating

     1.1  

Resorts/Theme Parks

     1.1  

E-Services/Consulting

     1.1  

Drug Delivery Systems

     1.1  

Machinery — Pumps

     1.1  

Medical — HMO

     1.0  

Machinery — General Industrial

     1.0  

Internet Application Software

     1.0  

Diagnostic Equipment

     1.0  

Semiconductor Equipment

     1.0  

Footwear & Related Apparel

     0.9  

Retail — Restaurants

     0.9  

Advanced Materials

     0.9  

Commercial Services

     0.9  

Alternative Waste Technology

     0.9  

Retail — Discount

     0.9  

Retail — Convenience Store

     0.8  

Steel Pipe & Tube

     0.8  

E-Commerce/Products

     0.8  

Cosmetics & Toiletries

     0.8  

Patient Monitoring Equipment

     0.8  

Medical Labs & Testing Services

     0.7  

Food — Wholesale/Distribution

     0.7  

Machinery — Construction & Mining

     0.7  

Food — Misc./Diversified

     0.7  

Savings & Loans/Thrifts

     0.7  

Investment Companies

     0.7  

Medical Imaging Systems

     0.6  

Auto Repair Centers

     0.6  

Diversified Manufacturing Operations

     0.6  

Retail — Building Products

     0.6  

Telecom Equipment — Fiber Optics

     0.6  

Retail — Pet Food & Supplies

     0.6  

Building — Residential/Commercial

     0.6  

Wireless Equipment

     0.6  

Food — Retail

     0.5  

Computers

     0.4  

Computers — Memory Devices

     0.3  

Healthcare Safety Devices

     0.1  
    


       112.0
    


 

* Calculated as a percentage of net assets
 

 

68


Table of Contents

VALIC Company II Small Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares     

Value
(Note 2)

 

COMMON STOCKS — 98.7%

 

Advanced Materials — 0.9%

 

Hexcel Corp.

     18,421      $ 1,012,787  
             


Aerospace/Defense - Equipment — 1.3%

                 

HEICO Corp.#

     17,695        1,453,644  
             


Alternative Waste Technology — 0.9%

                 

Advanced Disposal Services, Inc.†

     44,777        979,721  
             


Applications Software — 1.7%

                 

HubSpot, Inc.†

     18,241        1,085,339  

Paycom Software, Inc.†#

     14,391        774,668  
             


                1,860,007  
             


Auto Repair Centers — 0.6%

                 

Monro Muffler Brake, Inc.#

     12,163        699,372  
             


Banks - Commercial — 2.2%

                 

Signature Bank†

     4,461        702,652  

Texas Capital Bancshares, Inc.†

     19,312        1,721,665  
             


                2,424,317  
             


Building & Construction Products - Misc. — 3.0%

                 

Fortune Brands Home & Security, Inc.

     14,407        833,157  

Summit Materials, Inc., Class A†

     45,881        1,096,097  

Trex Co., Inc.†#

     21,485        1,461,195  
             


                3,390,449  
             


Building Products - Air & Heating — 1.1%

                 

Lennox International, Inc.

     7,794        1,283,048  
             


Building Products - Cement — 1.3%

                 

Eagle Materials, Inc.

     14,286        1,481,601  
             


Building Products - Doors & Windows — 2.3%

                 

JELD-WEN Holding, Inc.†

     23,078        720,957  

Masonite International Corp.†

     23,372        1,825,353  
             


                2,546,310  
             


Building - Residential/Commercial — 0.6%

                 

TRI Pointe Group, Inc.†

     56,279        671,971  
             


Casino Hotels — 1.4%

                 

Boyd Gaming Corp.†#

     78,482        1,543,741  
             


Commercial Services — 0.9%

                 

CoStar Group, Inc.†

     4,945        1,004,725  
             


Computer Software — 1.9%

                 

Cornerstone OnDemand, Inc.†

     19,587        818,149  

Envestnet, Inc.†

     35,159        1,358,895  
             


                2,177,044  
             


Computers — 0.4%

                 

Nutanix, Inc., Class A†#

     14,827        444,662  
             


Computers - Memory Devices — 0.3%

                 

Nimble Storage, Inc.†#

     41,158        373,303  
             


Cosmetics & Toiletries — 0.8%

                 

elf Beauty, Inc.†#

     31,903        883,713  
             


Diagnostic Equipment — 1.0%

                 

GenMark Diagnostics, Inc.†

     96,738        1,095,074  
             


Distribution/Wholesale — 2.3%

                 

H&E Equipment Services, Inc.

     33,900        889,536  

Pool Corp.

     10,709        1,228,430  

Watsco, Inc.

     2,860        424,052  
             


                2,542,018  
             


Diversified Manufacturing Operations — 0.6%

                 

Carlisle Cos., Inc.

     6,713        693,453  
             


Security Description    Shares     

Value
(Note 2)

 

                   

Drug Delivery Systems — 1.1%

                 

Nektar Therapeutics†#

     47,054      $ 615,466  

Revance Therapeutics, Inc.†#

     29,692        623,532  
             


                1,238,998  
             


E-Commerce/Products — 0.8%

                 

Wayfair, Inc., Class A†#

     25,075        948,086  
             


E-Commerce/Services — 1.9%

                 

GrubHub, Inc.†#

     30,811        1,080,234  

Trade Desk, Inc., Class A†#

     24,202        1,021,566  
             


                2,101,800  
             


E-Services/Consulting — 1.1%

                 

Shopify, Inc.†

     21,395        1,266,798  
             


Educational Software — 1.6%

                 

2U, Inc.†

     31,381        1,146,975  

Instructure, Inc.†#

     26,672        610,789  
             


                1,757,764  
             


Electric Products - Misc. — 1.5%

                 

Littelfuse, Inc.

     10,161        1,640,493  
             


Electronic Components - Semiconductors — 5.7%

                 

Advanced Micro Devices, Inc.†#

     71,297        1,030,955  

Cavium, Inc.†#

     28,228        1,849,216  

Inphi Corp.†

     23,310        1,094,171  

MACOM Technology Solutions Holdings, Inc.†

     25,083        1,156,076  

Monolithic Power Systems, Inc.

     14,800        1,301,956  
             


                6,432,374  
             


Enterprise Software/Service — 4.9%

                 

Atlassian Corp. PLC, Class A†

     38,153        1,085,071  

Benefitfocus, Inc.†#

     23,270        617,818  

Evolent Health, Inc., Class A†#

     64,227        1,265,272  

Guidewire Software, Inc.†

     20,306        1,109,520  

Tyler Technologies, Inc.†

     3,517        533,353  

Veeva Systems, Inc., Class A†

     20,504        895,820  
             


                5,506,854  
             


Entertainment Software — 1.6%

                 

Take-Two Interactive Software, Inc.†#

     31,854        1,815,041  
             


Finance - Investment Banker/Broker — 1.6%

                 

Evercore Partners, Inc., Class A

     22,015        1,751,293  
             


Food - Misc./Diversified — 0.7%

                 

Snyder’s-Lance, Inc.#

     19,127        757,047  
             


Food-Retail — 0.5%

                 

Sprouts Farmers Market, Inc.†#

     29,693        548,133  
             


Food - Wholesale/Distribution — 0.7%

                 

Performance Food Group Co.†

     33,153        782,411  
             


Footwear & Related Apparel — 0.9%

                 

Wolverine World Wide, Inc.#

     42,040        1,058,147  
             


Healthcare Safety Devices — 0.1%

                 

Unilife Corp.†#

     36,964        70,601  
             


Internet Application Software — 1.0%

                 

Zendesk, Inc.†

     41,368        1,126,451  
             


Internet Security — 1.3%

                 

Imperva, Inc.†

     12,954        531,114  

Proofpoint, Inc.†#

     11,940        940,514  
             


                1,471,628  
             


Internet Telephone — 1.3%

                 

RingCentral, Inc., Class A†

     54,354        1,451,252  
             


 

 

69


Table of Contents

VALIC Company II Small Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares     

    

Value
(Note 2)

 

COMMON STOCKS (continued)

                 

Investment Companies — 0.7%

                 

PennantPark Investment Corp.

     86,903      $ 740,414  
             


Investment Management/Advisor Services — 1.5%

                 

Financial Engines, Inc.#

     32,151        1,424,290  

WisdomTree Investments, Inc.#

     27,811        253,358  
             


                1,677,648  
             


Machinery - Construction & Mining — 0.7%

                 

Oshkosh Corp.

     11,267        764,917  
             


Machinery - General Industrial — 1.0%

                 

Middleby Corp.†

     8,140        1,129,099  
             


Machinery - Pumps — 1.1%

                 

Graco, Inc.

     13,638        1,237,785  
             


Medical Imaging Systems — 0.6%

                 

Novadaq Technologies, Inc.†

     96,476        700,416  
             


Medical Labs & Testing Services — 0.7%

                 

Teladoc, Inc.†#

     37,582        828,683  
             


Medical Products — 1.9%

                 

K2M Group Holdings, Inc.†

     44,381        889,839  

Nevro Corp.†#

     13,009        1,248,734  
             


                2,138,573  
             


Medical - Biomedical/Gene — 7.6%

                 

Acceleron Pharma, Inc.†

     17,805        475,750  

Bellicum Pharmaceuticals, Inc.†#

     37,962        468,071  

Exact Sciences Corp.†#

     47,344        1,018,843  

FibroGen, Inc.†

     20,137        503,425  

Halozyme Therapeutics, Inc.†#

     66,110        847,530  

Insmed, Inc.†

     36,796        586,160  

Kite Pharma, Inc.†#

     16,708        1,182,425  

REGENXBIO, Inc.†

     22,638        416,539  

Sage Therapeutics, Inc.†#

     16,568        1,116,683  

Spark Therapeutics, Inc.†

     12,101        771,802  

Ultragenyx Pharmaceutical, Inc.†#

     5,907        502,568  

Versartis, Inc.†

     26,493        578,872  
             


                8,468,668  
             


Medical - Drugs — 3.6%

                 

ACADIA Pharmaceuticals, Inc.†#

     16,288        620,736  

Coherus Biosciences, Inc.†

     28,088        662,877  

Horizon Pharma PLC†#

     68,056        1,092,299  

Ignyta, Inc.†

     44,272        389,593  

TESARO, Inc.†#

     1,368        257,690  

TherapeuticsMD, Inc.†#

     153,523        964,124  
             


                3,987,319  
             


Medical - HMO — 1.0%

                 

WellCare Health Plans, Inc.†

     8,135        1,148,662  
             


Medical - Hospitals — 1.2%

                 

Acadia Healthcare Co., Inc.†#

     29,397        1,314,634  
             


Miscellaneous Manufacturing — 1.5%

                 

John Bean Technologies Corp.

     18,457        1,650,056  
             


Oil Companies - Exploration & Production — 1.6%

                 

Diamondback Energy, Inc.†

     5,183        522,757  

Jagged Peak Energy, Inc.†

     42,022        578,643  

RSP Permian, Inc.†

     17,434        688,469  
             


                1,789,869  
             


Patient Monitoring Equipment — 0.8%

                 

Insulet Corp.†#

     20,026        872,333  
             


Real Estate Investment Trusts — 1.2%

                 

CubeSmart

     21,438        584,185  
Security Description    Shares      Value
(Note 2)
 

                   

Real Estate Investment Trusts (continued)

                 

Highwoods Properties, Inc.

     13,608      $ 714,284  
             


                1,298,469  
             


Real Estate Management/Services — 1.3%

                 

RE/MAX Holdings, Inc., Class A

     25,344        1,457,280  
             


Resort/Theme Parks — 1.1%

                 

Vail Resorts, Inc.

     7,074        1,281,667  
             


Retail - Apparel/Shoe — 1.5%

                 

Burlington Stores, Inc.†

     12,223        1,087,969  

Tailored Brands, Inc.#

     25,498        589,259  
             


                1,677,228  
             


Retail - Automobile — 2.4%

                 

Lithia Motors, Inc., Class A#

     11,470        1,097,335  

Penske Automotive Group, Inc.

     7,910        397,873  

Rush Enterprises, Inc., Class A†

     33,030        1,138,874  
             


                2,634,082  
             


Retail - Building Products — 0.6%

                 

Tile Shop Holdings, Inc.†

     38,668        680,557  
             


Retail - Convenience Store — 0.8%

                 

Casey’s General Stores, Inc.

     8,315        952,733  
             


Retail - Discount — 0.9%

                 

Ollie’s Bargain Outlet Holdings, Inc.†#

     30,410        953,353  
             


Retail - Pet Food & Supplies — 0.6%

                 

Freshpet, Inc.†#

     66,692        673,589  
             


Retail - Restaurants — 0.9%

                 

Texas Roadhouse, Inc.

     24,992        1,057,162  
             


Savings & Loans/Thrifts — 0.7%

                 

BofI Holding, Inc.†#

     23,520        741,821  
             


Semiconductor Equipment — 1.0%

                 

MKS Instruments, Inc.#

     16,347        1,072,363  
             


Steel Pipe & Tube — 0.8%

                 

Advanced Drainage Systems, Inc.

     43,188        952,295  
             


Telecom Equipment - Fiber Optics — 0.6%

                 

Ciena Corp.†

     25,589        674,014  
             


Therapeutics — 1.5%

                 

Axovant Sciences, Ltd.†

     23,256        295,584  

Neurocrine Biosciences, Inc.†#

     12,260        541,401  

Portola Pharmaceuticals, Inc.†

     25,929        899,218  
             


                1,736,203  
             


Transport - Truck — 1.7%

                 

Old Dominion Freight Line, Inc.

     12,897        1,183,429  

XPO Logistics, Inc.†

     14,288        728,545  
             


                1,911,974  
             


Web Hosting/Design — 1.2%

                 

GoDaddy, Inc., Class A†#

     36,282        1,336,992  
             


Wireless Equipment — 0.6%

                 

Quantenna Communications, Inc.†#

     30,910        647,255  
             


Total Long-Term Investment Securities

                 

(cost $90,690,402)

              110,474,244  
             


SHORT-TERM INVESTMENT SECURITIES — 13.3%

 

Registered Investment Companies — 11.8%

 

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(2)

   $ 13,254,149        13,254,149  
             


 

 

70


Table of Contents

VALIC Company II Small Cap Growth Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description   

Principal
Amount

    Value
(Note 2)
 

SHORT-TERM INVESTMENT SECURITIES (continued)

 

Time Deposits — 1.5%

 

Euro Time Deposit with State Street Bank and Trust Co. 0.07% due 03/01/2017

   $ 1,653,000     $ 1,653,000  
            


Total Short-Term Investment Securities

                

(cost $14,907,149)

             14,907,149  
            


TOTAL INVESTMENTS

                

(cost $105,597,551)(3)

     112.0     125,381,393  

Liabilities in excess of other assets

     (12.0     (13,474,100
    


 


NET ASSETS

     100.0   $ 111,907,293  
    


 



# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
(1) At February 28, 2017, the Fund had loaned securities with a total value of $24,743,772. This was secured by collateral of $13,254,149, which was received in cash and subsequently invested in short-term investments currently valued at $13,254,149 as reported in the Portfolio of Investments. Additional collateral of $12,246,789 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge.
  The components of the fixed income pooled securities referenced above are as follows:

 

Securities


   Coupon Range

   Maturity Date Range

   Value as of
February 28,
2017


Federal Home Loan Mtg. Corp.

   2.50% to 4.50%    11/01/2027 to 09/01/2044    $   171,621

Federal National Mtg. Assoc.

   2.00% to 4.25%    01/01/2032 to 02/25/2044    299,204

Government National Mtg. Assoc.

   2.50% to 3.50%    11/20/2027 to 11/20/2046    688,491

United States Treasury Bills

   0.00%    03/02/2017 to 12/07/2017    2,892,601

United States Treasury Notes/Bonds

   zero coupon to
8.75%
   04/15/2017 to 11/15/2046    8,194,872

 

(2) The rate shown is a 7-day yield as of February 28, 2017.
(3) See Note 5 for cost of investments on a tax basis.

    

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable  Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 110,474,244      $ —        $         —        $ 110,474,244  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     13,254,149        —          —          13,254,149  

Time Deposits

     —          1,653,000        —          1,653,000  
    


  


  


  


Total Investments at Value

   $ 123,728,393      $ 1,653,000      $ —        $ 125,381,393  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

71


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Banks — Commercial

     19.3

Real Estate Investment Trusts

     10.6  

Registered Investment Companies

     4.8  

Savings & Loans/Thrifts

     3.1  

Electronic Components — Misc.

     3.0  

Repurchase Agreements

     2.6  

Electric — Integrated

     2.6  

Medical — Biomedical/Gene

     2.0  

Gas — Distribution

     1.9  

Insurance — Life/Health

     1.8  

Oil Companies — Exploration & Production

     1.7  

Computer Services

     1.5  

Retail — Apparel/Shoe

     1.5  

Oil — Field Services

     1.4  

Auto/Truck Parts & Equipment — Original

     1.3  

Transport — Truck

     1.3  

Engineering/R&D Services

     1.2  

Medical — HMO

     1.2  

Electronic Components — Semiconductors

     1.2  

Consulting Services

     1.2  

Insurance — Property/Casualty

     1.1  

Aerospace/Defense — Equipment

     1.1  

Steel — Producers

     1.0  

Office Supplies & Forms

     1.0  

Energy — Alternate Sources

     0.9  

Human Resources

     0.9  

Finance — Investment Banker/Broker

     0.9  

Consumer Products — Misc.

     0.9  

Rubber — Tires

     0.8  

Entertainment Software

     0.8  

Printing — Commercial

     0.8  

Machinery — Construction & Mining

     0.8  

Airlines

     0.7  

Electronic Parts Distribution

     0.6  

Satellite Telecom

     0.6  

Banks — Mortgage

     0.6  

Telecom Services

     0.6  

Medical — Wholesale Drug Distribution

     0.6  

Food — Wholesale/Distribution

     0.6  

Rental Auto/Equipment

     0.6  

Financial Guarantee Insurance

     0.6  

Semiconductor Equipment

     0.6  

Oil Refining & Marketing

     0.6  

Machinery — General Industrial

     0.6  

Real Estate Operations & Development

     0.5  

Tobacco

     0.5  

Chemicals — Specialty

     0.5  

Paper & Related Products

     0.5  

Independent Power Producers

     0.5  

Auto — Truck Trailers

     0.5  

Water

     0.5  

Wire & Cable Products

     0.4  

Telephone — Integrated

     0.4  

Retail — Office Supplies

     0.4  

Metal Processors & Fabrication

     0.4  

Metal Products — Distribution

     0.4  

Chemicals — Fibers

     0.4  

Rubber/Plastic Products

     0.4  

Auto/Truck Parts & Equipment — Replacement

     0.4  

Hotels/Motels

     0.3  

Schools

     0.3  

Semiconductor Components — Integrated Circuits

     0.3  

Networking Products

     0.3  

Insurance — Multi-line

     0.3  

Insurance — Reinsurance

     0.3  

Medical Instruments

     0.3  

Footwear & Related Apparel

     0.3  

Transport — Air Freight

     0.3  

Electronic Design Automation

     0.3  

Chemicals — Diversified

     0.3  

Retail — Misc./Diversified

     0.3  

Broadcast Services/Program

     0.3  

Medical — Drugs

     0.3  

Oil & Gas Drilling

     0.3  

Retail — Restaurants

     0.3  

Investment Management/Advisor Services

     0.3  

Data Processing/Management

     0.3  

E-Commerce/Services

     0.3  

Circuit Boards

     0.2  

Investment Companies

     0.2  

Food — Misc./Diversified

     0.2  

Distribution/Wholesale

     0.2  

Retail — Home Furnishings

     0.2  

Building — Maintenance & Services

     0.2  

Finance — Consumer Loans

     0.2  

Retail — Hair Salons

     0.2  

Power Converter/Supply Equipment

     0.2  

Oil Field Machinery & Equipment

     0.2  

Containers — Paper/Plastic

     0.2  

Retail — Jewelry

     0.2  

Retail — Pawn Shops

     0.2  

Finance — Mortgage Loan/Banker

     0.2  

Medical — Hospitals

     0.2  

Television

     0.2  

Pipelines

     0.2  

Applications Software

     0.2  

Machinery — Farming

     0.2  

Engines — Internal Combustion

     0.2  

Wireless Equipment

     0.2  

Housewares

     0.2  

Food — Dairy Products

     0.2  

Metal — Iron

     0.2  

Electric — Generation

     0.2  

Building Products — Wood

     0.2  

Coal

     0.2  

Transport — Services

     0.1  

Pollution Control

     0.1  

Security Services

     0.1  

Diversified Operations/Commercial Services

     0.1  

Radio

     0.1  

Travel Services

     0.1  

Electric — Distribution

     0.1  

Building Products — Doors & Windows

     0.1  

Building — Residential/Commercial

     0.1  

Retail — Regional Department Stores

     0.1  

E-Marketing/Info

     0.1  

Building & Construction — Misc.

     0.1  

Medical — Outpatient/Home Medical

     0.1  

Building — Heavy Construction

     0.1  

Transport — Equipment & Leasing

     0.1  

Machinery — Material Handling

     0.1  

Publishing — Newspapers

     0.1  

Toys

     0.1  

Chemicals — Other

     0.1  

Gambling (Non-Hotel)

     0.1  

Medical — Generic Drugs

     0.1  

Medical Products

     0.1  

Motion Pictures & Services

     0.1  

Therapeutics

     0.1  

Food — Retail

     0.1  

Commercial Services

     0.1  

Golf

     0.1  

Machine Tools & Related Products

     0.1  

Textile — Apparel

     0.1  

Finance — Leasing Companies

     0.1  

Computer Aided Design

     0.1  

Decision Support Software

     0.1  

Drug Delivery Systems

     0.1  

Telecom Equipment — Fiber Optics

     0.1  

Publishing — Books

     0.1  

Industrial Automated/Robotic

     0.1  
    


       104.9
    


 

* Calculated as a percentage of net assets
 

 

72


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS — 97.5%

 

Aerospace/Defense - Equipment — 1.1%

 

AAR Corp.

     67,000      $ 2,306,140  

Curtiss-Wright Corp.

     18,600        1,819,638  

Moog, Inc., Class A†

     30,400        2,054,432  
             


                6,180,210  
             


Airlines — 0.7%

 

Alaska Air Group, Inc.

     14,300        1,398,826  

JetBlue Airways Corp.†

     5,800        115,768  

SkyWest, Inc.

     61,000        2,144,150  
             


                3,658,744  
             


Applications Software — 0.2%

 

Progress Software Corp.

     35,000        1,003,800  
             


Auto - Truck Trailers — 0.5%

 

Wabash National Corp.#

     123,900        2,620,485  
             


Auto/Truck Parts & Equipment - Original — 1.3%

 

Cooper-Standard Holding, Inc.†

     19,400        2,172,800  

Dana, Inc.

     172,100        3,250,969  

Meritor, Inc.†#

     90,400        1,478,040  

Metaldyne Performance Group, Inc.

     3,300        76,890  
             


                6,978,699  
             


Auto/Truck Parts & Equipment - Replacement — 0.4%

 

Douglas Dynamics, Inc.

     59,200        1,974,320  
             


Banks - Commercial — 19.3%

 

1st Source Corp.

     20,520        958,489  

Allegiance Bancshares, Inc.†#

     5,600        206,640  

American National Bankshares, Inc.

     1,100        40,205  

BancFirst Corp.

     11,040        1,052,664  

BancorpSouth, Inc.

     64,100        1,987,100  

Bank of Hawaii Corp.#

     28,080            2,371,637  

Bank of Marin Bancorp

     600        41,100  

Banner Corp.

     4,800        278,976  

Bryn Mawr Bank Corp.

     5,300        217,565  

Capital Bank Financial Corp., Class A

     31,300        1,277,040  

Cascade Bancorp†

     30,501        251,633  

Cathay General Bancorp, Class B

     44,790        1,759,351  

Central Pacific Financial Corp.

     83,000        2,621,140  

Central Valley Community Bancorp

     8,500        174,590  

Century Bancorp, Inc., Class A

     1,418        89,759  

Citizens & Northern Corp.

     3,300        77,451  

City Holding Co.

     24,800        1,624,400  

Columbia Banking System, Inc.

     13,273        529,460  

Community Bank System, Inc.#

     23,280        1,383,065  

Community Trust Bancorp, Inc.#

     28,418        1,304,386  

CU Bancorp†

     4,400        172,920  

Customers Bancorp, Inc.†

     31,000        1,064,230  

East West Bancorp, Inc.

     9,573        518,091  

Enterprise Financial Services Corp.

     32,400        1,423,980  

Farmers National Banc Corp.

     15,900        219,420  

FCB Financial Holdings, Inc., Class A†

     63,100        3,066,660  

Fidelity Southern Corp.

     65,500        1,543,835  

Financial Institutions, Inc.

     31,400        1,073,880  

First BanCorp†

     495,600        3,161,928  

First Bancorp

     5,200        156,260  

First Busey Corp.

     12,926        399,672  

First Business Financial Services, Inc.#

     9,600        242,112  

First Citizens BancShares, Inc., Class A

     2,340        833,719  

First Commonwealth Financial Corp.

     225,300        3,138,429  

First Community Bancshares, Inc.

     21,600        583,632  

First Financial Bancorp

     30,398        843,545  

First Financial Bankshares, Inc.#

     12,960        570,240  

First Financial Corp.

     6,000        278,700  

First Hawaiian, Inc.

     25,300        801,504  
Security Description    Shares      Value
(Note 2)
 

   

Banks - Commercial (continued)

 

First Interstate BancSystem, Inc., Class A

     26,000      $ 1,140,100  

First Merchants Corp.

     67,500        2,708,100  

First Midwest Bancorp, Inc.

     15,800        385,994  

Franklin Financial Network, Inc.†

     6,400        252,160  

Fulton Financial Corp.

     117,900        2,254,838  

Glacier Bancorp, Inc.#

     36,400        1,343,888  

Great Southern Bancorp, Inc.

     16,700        835,835  

Great Western Bancorp, Inc.#

     25,400        1,085,596  

Green Bancorp, Inc.†#

     40,800        695,640  

Hancock Holding Co.

     126,621        6,008,166  

Hanmi Financial Corp.

     74,000        2,471,600  

Heartland Financial USA, Inc.

     14,300        708,565  

Heritage Financial Corp.

     38,339        958,475  

Hilltop Holdings, Inc.

     35,500        1,007,490  

Hope Bancorp, Inc.

     203,227        4,349,058  

IBERIABANK Corp.

     35,400        3,000,150  

Independent Bank Corp.

     28,000        599,200  

Independent Bank Corp./Rockland Trust Co.

     7,000        455,000  

Kearny Financial Corp.

     13,627        209,174  

Lakeland Financial Corp.

     7,170        325,446  

MainSource Financial Group, Inc.

     40,000        1,370,000  

MB Financial, Inc.

     2,900        130,558  

Mercantile Bank Corp.

     3,300        110,352  

Midland States Bancorp, Inc.

     5,100        179,316  

NBT Bancorp, Inc.

     16,800        678,384  

OFG Bancorp

     121,900        1,572,510  

Old Line Bancshares, Inc.

     1,600        44,880  

Pacific Continental Corp.

     13,400        337,010  

PacWest Bancorp

     32,700        1,801,770  

Park Sterling Corp.

     9,075        107,630  

Peoples Bancorp, Inc.

     13,800        448,776  

Pinnacle Financial Partners, Inc.

     18,200        1,263,080  

Preferred Bank

     23,200        1,302,448  

Premier Financial Bancorp, Inc.

     2,640        48,523  

PrivateBancorp, Inc.

     45,500        2,575,300  

Republic Bancorp, Inc., Class A

     7,100        245,518  

S&T Bancorp, Inc.

     3,780        134,530  

Sandy Spring Bancorp, Inc.

     4,600        198,076  

Shore Bancshares, Inc.

     4,100        71,217  

Sierra Bancorp

     6,100        174,704  

Simmons First National Corp., Class A

     2,700        155,250  

South State Corp.

     3,200        286,400  

Southern National Bancorp of Virginia, Inc.

     4,600        78,200  

Southside Bancshares, Inc.

     12,946        456,088  

Southwest Bancorp, Inc.

     29,280        780,312  

State Bank Financial Corp.

     9,900        268,587  

Stock Yards Bancorp, Inc.#

     3,250        143,650  

Stonegate Bank

     7,000        324,590  

Suffolk Bancorp

     3,020        128,471  

Texas Capital Bancshares, Inc.†

     8,900        793,435  

Tompkins Financial Corp.

     3,748        336,271  

Towne Bank

     3,400        110,670  

TriCo Bancshares

     38,000        1,380,540  

TriState Capital Holdings, Inc.†

     16,700        393,285  

Triumph Bancorp, Inc.†

     8,700        234,030  

Trustmark Corp.#

     66,300        2,190,552  

UMB Financial Corp.

     38,160        3,007,771  

Umpqua Holdings Corp.

     101,214        1,903,835  

Union Bankshares Corp.

     72,119        2,615,035  

United Community Banks, Inc.

     86,300            2,493,207  

Valley National Bancorp

     13,016        161,008  

Washington Trust Bancorp, Inc.

     6,480        351,216  

Webster Financial Corp.#

     19,100        1,049,163  

West Bancorporation, Inc.

     6,830        151,285  

Westamerica Bancorporation#

     58,924        3,408,753  
 

 

73


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS  — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Banks - Commercial (continued)

 

Western Alliance Bancorp†

     2,632      $ 135,916  

Wintrust Financial Corp.#

     17,900        1,319,230  
             


         106,585,215  
             


Banks - Fiduciary — 0.0%

                 

Boston Private Financial Holdings, Inc.

     7,400        127,280  
             


Banks - Mortgage — 0.6%

                 

Walker & Dunlop, Inc.†

     83,300        3,386,145  
             


Broadcast Services/Program — 0.3%

                 

TiVo Corp.

     86,200        1,594,700  
             


Building & Construction Products - Misc. — 0.0%

                 

Gibraltar Industries, Inc.†

     4,080        169,116  
             


Building & Construction - Misc. — 0.1%

                 

MYR Group, Inc.†

     15,600        585,156  
             


Building Products - Doors & Windows — 0.1%

                 

JELD-WEN Holding, Inc.†

     21,800        681,032  
             


Building Products - Wood — 0.2%

                 

Universal Forest Products, Inc.

     8,600        823,966  
             


Building - Heavy Construction — 0.1%

                 

Orion Group Holdings, Inc.†

     6,500        60,840  

Tutor Perini Corp.†#

     17,000        517,650  
             


         578,490  
             


Building - Maintenance & Services — 0.2%

                 

ABM Industries, Inc.#

     29,400        1,199,226  
             


Building - Residential/Commercial — 0.1%

                 

Beazer Homes USA, Inc.†#

     41,200        502,640  

Hovnanian Enterprises, Inc., Class A†#

     41,700        98,829  

UCP, Inc., Class A†

     5,400        58,590  
             


         660,059  
             


Chemicals - Diversified — 0.3%

                 

Innophos Holdings, Inc.#

     20,500        1,086,295  

Innospec, Inc.

     9,200        600,760  
             


         1,687,055  
             


Chemicals - Fibers — 0.4%

                 

Rayonier Advanced Materials, Inc.#

     162,900        2,160,054  
             


Chemicals - Other — 0.1%

                 

American Vanguard Corp.

     27,800        437,850  
             


Chemicals - Specialty — 0.5%

                 

Chemours Co.

     4,700        158,202  

Minerals Technologies, Inc.

     34,760        2,685,210  

OMNOVA Solutions, Inc.†

     5,300        49,025  
             


         2,892,437  
             


Circuit Boards — 0.2%

                 

TTM Technologies, Inc.†#

     83,200        1,344,512  
             


Coal — 0.1%

                 

SunCoke Energy, Inc.†

     19,700        192,075  

Westmoreland Coal Co.†

     39,600        571,824  
             


         763,899  
             


Commercial Services — 0.1%

                 

RPX Corp.†

     31,300        336,475  
             


Commercial Services - Finance — 0.0%

                 

EVERTEC, Inc.

     5,900        99,415  
             


Computer Aided Design — 0.1%

                 

Aspen Technology, Inc.†

     4,900        284,886  
             


Security Description    Shares      Value
(Note 2)
 

                   

Computer Services — 1.5%

                 

Convergys Corp.

     3,300      $ 72,204  

Engility Holdings, Inc.†

     15,200        475,912  

Insight Enterprises, Inc.†

     87,300        3,698,028  

Sykes Enterprises, Inc.†

     33,400        909,148  

Unisys Corp.†#

     238,700        3,317,930  
             


         8,473,222  
             


Consulting Services — 1.2%

                 

CRA International, Inc.

     4,600        164,956  

Franklin Covey Co.†#

     8,400        150,780  

FTI Consulting, Inc.†

     67,300        2,708,152  

Huron Consulting Group, Inc.†

     50,800        2,207,260  

Vectrus, Inc.†

     49,300        1,193,553  
             


         6,424,701  
             


Consumer Products - Misc. — 0.9%

                 

Central Garden & Pet Co., Class A†

     141,560        4,522,842  

CSS Industries, Inc.

     7,200        176,976  
             


         4,699,818  
             


Containers - Paper/Plastic — 0.2%

                 

Berry Plastics Group, Inc.†

     5,600        281,848  

Graphic Packaging Holding Co.

     62,810        838,513  
             


         1,120,361  
             


Data Processing/Management — 0.3%

                 

Fair Isaac Corp.

     10,920        1,420,364  
             


Decision Support Software — 0.1%

                 

QAD, Inc., Class A

     10,300        282,735  
             


Diagnostic Kits — 0.0%

                 

Quidel Corp.†

     1,300        27,300  
             


Distribution/Wholesale — 0.2%

                 

Anixter International, Inc.†

     1,100        91,630  

Essendant, Inc.

     25,000        398,250  

Titan Machinery, Inc.†#

     52,200        738,630  
             


             1,228,510  
             


Diversified Operations/Commercial Services — 0.1%

                 

Viad Corp.

     15,700        741,040  
             


Drug Delivery Systems — 0.1%

                 

Revance Therapeutics, Inc.†#

     12,900        270,900  
             


E-Commerce/Services — 0.3%

                 

RetailMeNot, Inc.†

     154,000        1,378,300  
             


E-Marketing/Info — 0.1%

                 

Liquidity Services, Inc.†

     9,400        76,610  

Rubicon Project, Inc.†

     59,800        522,652  
             


         599,262  
             


Electric Products - Misc. — 0.0%

                 

Graham Corp.

     4,400        96,492  

Novanta, Inc.†

     4,400        106,920  
             


         203,412  
             


Electric - Distribution — 0.1%

                 

Genie Energy, Ltd., Class B

     12,800        69,760  

Spark Energy, Inc., Class A#

     23,000        621,000  
             


         690,760  
             


Electric - Generation — 0.2%

                 

Atlantic Power Corp.†#

     356,700        838,245  
             


Electric - Integrated — 2.6%

                 

Avista Corp.

     42,480        1,693,678  

El Paso Electric Co.

     62,900        3,072,665  
 

 

74


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Electric - Integrated (continued)

                 

IDACORP, Inc.

     17,300      $ 1,434,689  

MGE Energy, Inc.#

     5,500        351,725  

NorthWestern Corp.

     34,618        2,025,153  

Portland General Electric Co.

     103,800        4,705,254  

Unitil Corp.

     13,400        597,640  

Westar Energy, Inc.

     9,900        534,402  
             


           14,415,206  
             


Electronic Components - Misc. — 3.0%

                 

Bel Fuse, Inc., Class B

     36,700        957,870  

Benchmark Electronics, Inc.†

     159,621        4,964,213  

Kimball Electronics, Inc.†

     43,300        697,130  

Knowles Corp.†#

     90,500        1,713,165  

Plexus Corp.†

     17,400        975,618  

Sanmina Corp.†

     86,800        3,385,200  

Stoneridge, Inc.†

     68,400        1,155,276  

Vishay Intertechnology, Inc.#

     176,300        2,794,355  

Vishay Precision Group, Inc.†#

     8,700        140,070  
             


         16,782,897  
             


Electronic Components - Semiconductors — 1.2%

                 

Advanced Micro Devices, Inc.†#

     15,700        227,022  

Alpha & Omega Semiconductor, Ltd.†

     87,700        1,689,102  

Amkor Technology, Inc.†

     271,800        2,669,076  

InvenSense, Inc.†

     26,900        332,215  

IXYS Corp.

     126,100        1,557,335  
             


         6,474,750  
             


Electronic Design Automation — 0.3%

                 

Mentor Graphics Corp.

     46,200        1,714,020  
             


Electronic Parts Distribution — 0.6%

                 

SYNNEX Corp.

     9,600        1,122,432  

Tech Data Corp.†

     27,600        2,401,200  
             


         3,523,632  
             


Energy - Alternate Sources — 0.9%

                 

First Solar, Inc.†#

     15,700        568,183  

FutureFuel Corp.

     18,500        244,755  

Green Plains, Inc.#

     7,700        192,885  

Pacific Ethanol, Inc.†

     37,500        294,375  

Renewable Energy Group, Inc.†#

     11,000        97,900  

REX American Resources Corp.†

     33,000        2,746,260  

TerraForm Global, Inc., Class A

     247,600        1,077,060  
             


         5,221,418  
             


Engineering/R&D Services — 1.2%

                 

Argan, Inc.

     6,100        420,290  

EMCOR Group, Inc.

     77,198        4,746,133  

VSE Corp.

     35,500        1,444,140  
             


         6,610,563  
             


Engines - Internal Combustion — 0.2%

                 

Briggs & Stratton Corp.

     46,000        984,400  
             


Enterprise Software/Service — 0.0%

                 

Donnelley Financial Solutions, Inc.†

     1,200        27,732  
             


Entertainment Software — 0.8%

                 

Take-Two Interactive Software, Inc.†#

     78,700        4,484,326  
             


Environmental Consulting & Engineering — 0.0%

                 

TRC Cos., Inc.†

     8,700        89,175  
             


Finance - Consumer Loans — 0.2%

                 

Enova International, Inc.†

     20,900        299,915  

Nelnet, Inc., Class A#

     15,500        694,245  

Regional Management Corp.†

     9,700        203,603  
             


         1,197,763  
             


Security Description    Shares      Value
(Note 2)
 

                   

Finance - Investment Banker/Broker — 0.9%

                 

Houlihan Lokey, Inc.#

     5,500      $ 173,195  

INTL. FCStone, Inc.†

     6,800        256,700  

Investment Technology Group, Inc.

     8,600        172,172  

KCG Holdings, Inc., Class A†

     126,300        1,749,255  

Oppenheimer Holdings, Inc., Class A

     7,800        129,480  

Piper Jaffray Cos.

     15,700        1,110,775  

Stifel Financial Corp.†

     23,700        1,278,852  
             


         4,870,429  
             


Finance - Leasing Companies — 0.1%

                 

Marlin Business Services Corp.

     12,900        307,020  
             


Finance - Mortgage Loan/Banker — 0.2%

                 

Arlington Asset Investment Corp., Class A#

     7,500        110,550  

FNFV Group†

     11,400        141,930  

PennyMac Financial Services, Inc., Class A†#

     46,000        821,100  
             


                1,073,580  
             


Finance - Other Services — 0.1%

                 

BGC Partners, Inc., Class A

     44,000        496,320  
             


Financial Guarantee Insurance — 0.6%

                 

Assured Guaranty, Ltd.#

     7,900        324,769  

MBIA, Inc.†#

     222,200        2,293,104  

MGIC Investment Corp.†

     41,900        446,235  
             


         3,064,108  
             


Food - Dairy Products — 0.2%

                 

Dean Foods Co.

     50,700        924,768  
             


Food - Flour & Grain — 0.0%

                 

Post Holdings, Inc.†

     2,850        233,329  
             


Food - Misc./Diversified — 0.2%

                 

Darling Ingredients, Inc.†

     95,900        1,247,659  
             


Food - Retail — 0.1%

                 

SUPERVALU, Inc.†#

     71,500        270,270  

Village Super Market, Inc., Class A

     2,600        76,986  
             


         347,256  
             


Food - Wholesale/Distribution — 0.6%

                 

Fresh Del Monte Produce, Inc.#

     7,300        422,451  

SpartanNash Co.

     71,100        2,481,390  

US Foods Holding Corp.†

     9,800        269,990  
             


         3,173,831  
             


Footwear & Related Apparel — 0.3%

                 

Iconix Brand Group, Inc.†

     228,400        1,760,964  
             


Gambling (Non-Hotel) — 0.1%

                 

Pinnacle Entertainment, Inc.†

     22,900        397,544  
             


Gas - Distribution — 1.9%

                 

New Jersey Resources Corp.

     34,200        1,347,480  

Northwest Natural Gas Co.

     38,200        2,295,820  

Southwest Gas Corp.

     45,540        3,895,036  

Spire, Inc.#

     39,400        2,596,460  

WGL Holdings, Inc.

     6,400        534,336  
             


           10,669,132  
             


Golf — 0.1%

                 

Acushnet Holdings Corp.†

     18,600        325,686  
             


Hotels/Motels — 0.3%

                 

La Quinta Holdings, Inc.†

     138,200        1,915,452  
             


Housewares — 0.2%

                 

Lifetime Brands, Inc.

     29,800        432,100  

NACCO Industries, Inc., Class A

     7,800        503,100  
             


         935,200  
             


 

 

75


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Human Resources — 0.9%

                 

Barrett Business Services, Inc.

     20,300      $ 1,299,809  

Cross Country Healthcare, Inc.†#

     116,600        1,803,802  

Kelly Services, Inc., Class A

     36,400        778,232  

TriNet Group, Inc.†

     24,600        660,510  

TrueBlue, Inc.†

     17,500        454,125  
             


         4,996,478  
             


Independent Power Producers — 0.5%

                 

Dynegy, Inc.†

     116,500        936,660  

Ormat Technologies, Inc.#

     30,700        1,692,491  
             


         2,629,151  
             


Industrial Automated/Robotic — 0.1%

                 

Hurco Cos., Inc.

     9,500        261,250  
             


Insurance - Life/Health — 1.8%

                 

American Equity Investment Life Holding Co.

     104,200        2,804,022  

CNO Financial Group, Inc.

     202,909        4,242,827  

Primerica, Inc.

     38,700        3,125,025  
             


         10,171,874  
             


Insurance - Multi-line — 0.3%

                 

Horace Mann Educators Corp.

     41,580        1,742,202  

United Fire Group, Inc.

     2,500        105,550  
             


         1,847,752  
             


Insurance - Property/Casualty — 1.1%

                 

AmTrust Financial Services, Inc.

     20,200        464,600  

Arch Capital Group, Ltd.†

     5,826        550,965  

Federated National Holding Co.

     7,100        142,071  

First American Financial Corp.

     19,700        769,679  

Global Indemnity, Ltd.†#

     2,000        79,360  

Hallmark Financial Services, Inc.†

     12,500        137,750  

Kinsale Capital Group, Inc.

     6,200        181,970  

Navigators Group, Inc.

     10,000        550,500  

ProAssurance Corp.

     30,080        1,777,728  

Selective Insurance Group, Inc.

     13,100        580,330  

Stewart Information Services Corp.

     20,700        919,287  

Universal Insurance Holdings, Inc.#

     4,300        115,885  
             


         6,270,125  
             


Insurance - Reinsurance — 0.3%

                 

Argo Group International Holdings, Ltd.

     11,200        749,840  

Aspen Insurance Holdings, Ltd.

     10,300        577,315  

Maiden Holdings, Ltd.

     30,900        477,405  
             


         1,804,560  
             


Internet Content - Entertainment — 0.0%

                 

Limelight Networks, Inc.†

     102,100        229,725  
             


Internet Content - Information/News — 0.0%

                 

Bankrate, Inc.†

     15,900        173,310  
             


Internet Security — 0.0%

                 

VASCO Data Security International, Inc.†

     8,900        115,700  
             


Internet Telephone — 0.0%

                 

RingCentral, Inc., Class A†

     3,400        90,780  
             


Investment Companies — 0.2%

                 

Acacia Research Corp.†

     222,200        1,299,870  
             


Investment Management/Advisor Services — 0.3%

                 

Janus Capital Group, Inc.

     13,700        173,442  

OM Asset Management PLC

     42,300        630,693  

Virtus Investment Partners, Inc.#

     4,700        515,355  

Waddell & Reed Financial, Inc., Class A#

     7,800        150,072  
             


             1,469,562  
             


Security Description    Shares      Value
(Note 2)
 

                   

Leisure Games — 0.0%

                 

Intrawest Resorts Holdings, Inc.†

     6,800      $ 160,208  
             


Machine Tools & Related Products — 0.1%

                 

Kennametal, Inc.#

     8,600        318,974  
             


Machinery - Construction & Mining — 0.8%

                 

Hyster-Yale Materials Handling, Inc.

     5,800        353,162  

Joy Global, Inc.

     137,000        3,862,030  
             


         4,215,192  
             


Machinery - Farming — 0.2%

                 

AGCO Corp.

     16,260        990,559  
             


Machinery - General Industrial — 0.6%

                 

Applied Industrial Technologies, Inc.

     1,500        94,575  

DXP Enterprises, Inc.†

     23,300        815,500  

Kadant, Inc.

     34,300        2,123,170  
             


         3,033,245  
             


Machinery - Material Handling — 0.1%

                 

Columbus McKinnon Corp.

     18,500        477,485  
             


Medical Instruments — 0.3%

                 

AngioDynamics, Inc.†

     16,800        274,680  

Halyard Health, Inc.†

     38,900        1,519,434  
             


         1,794,114  
             


Medical Products — 0.1%

                 

Surmodics, Inc.†

     15,400        381,150  
             


Medical - Biomedical/Gene — 2.0%

                 

Acorda Therapeutics, Inc.†

     19,000        502,550  

Adverum Biotechnologies, Inc.†

     1,900        5,035  

AMAG Pharmaceuticals, Inc.†

     91,500        2,054,175  

Ardelyx, Inc.†#

     29,000        394,400  

Celldex Therapeutics, Inc.†#

     34,300        121,422  

Corvus Pharmaceuticals, Inc.†#

     11,700        168,246  

Endocyte, Inc.†#

     58,400        119,720  

Epizyme, Inc.†#

     1,700        24,140  

Esperion Therapeutics, Inc.†#

     15,700        410,869  

Exelixis, Inc.†#

     18,700        402,611  

Five Prime Therapeutics, Inc.†#

     6,200        284,394  

Idera Pharmaceuticals, Inc.†#

     225,000        420,750  

Insmed, Inc.†

     5,800        92,394  

Karyopharm Therapeutics, Inc.†

     20,700        214,659  

Kite Pharma, Inc.†#

     2,100        148,617  

Lexicon Pharmaceuticals, Inc.†#

     15,800        253,590  

Loxo Oncology, Inc.†

     6,900        306,636  

MacroGenics, Inc.†#

     2,000        42,280  

Medicines Co.†#

     29,300        1,535,906  

Merrimack Pharmaceuticals, Inc.†#

     19,200        58,944  

Momenta Pharmaceuticals, Inc.†

     27,500        424,875  

Pfenex, Inc.†

     9,900        71,577  

PTC Therapeutics, Inc.†

     51,400        700,582  

Retrophin, Inc.†

     20,900        444,543  

Rigel Pharmaceuticals, Inc.†#

     174,400        427,280  

Sage Therapeutics, Inc.†#

     4,700        316,780  

Ultragenyx Pharmaceutical, Inc.†

     3,500        297,780  

Versartis, Inc.†#

     39,500        863,075  
             


           11,107,830  
             


Medical - Drugs — 0.3%

                 

ACADIA Pharmaceuticals, Inc.†#

     4,700        179,117  

Chimerix, Inc.†#

     41,500        235,720  

Enanta Pharmaceuticals, Inc.†

     11,300        325,666  

Immune Design Corp.†

     3,300        16,830  

Lannett Co., Inc.†#

     5,300        116,600  

MyoKardia, Inc.†#

     14,000        170,100  

NantKwest, Inc.†#

     10,200        48,246  
 

 

76


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Medical - Drugs (continued)

                 

Radius Health, Inc.†#

     8,700      $ 366,618  

Vanda Pharmaceuticals, Inc.†

     8,900        126,825  
             


         1,585,722  
             


Medical - Generic Drugs — 0.1%

                 

Amphastar Pharmaceuticals, Inc.†

     23,400        361,998  

Impax Laboratories, Inc.†

     2,000        28,500  
             


         390,498  
             


Medical - HMO — 1.2%

                 

Magellan Health, Inc.†

     3,000        207,450  

Molina Healthcare, Inc.†#

     49,300        2,391,543  

Tivity Health Inc.†#

     81,500            2,355,350  

Triple-S Management Corp., Class B†

     47,300        883,091  

WellCare Health Plans, Inc.†

     5,400        762,480  
             


         6,599,914  
             


Medical - Hospitals — 0.2%

                 

Community Health Systems, Inc.†#

     109,300        1,065,675  
             


Medical - Nursing Homes — 0.0%

                 

Genesis Healthcare, Inc.†#

     15,100        48,622  

Kindred Healthcare, Inc.

     18,900        170,100  
             


         218,722  
             


Medical - Outpatient/Home Medical — 0.1%

                 

Addus HomeCare Corp.†

     18,000        579,600  
             


Medical - Wholesale Drug Distribution — 0.6%

                 

Owens & Minor, Inc.

     88,000        3,175,040  
             


Metal Processors & Fabrication — 0.4%

                 

Global Brass & Copper Holdings, Inc.

     68,500        2,305,025  
             


Metal Products - Distribution — 0.4%

                 

Olympic Steel, Inc.

     9,500        229,710  

Worthington Industries, Inc.

     39,940        1,959,057  
             


                2,188,767  
             


Metal - Iron — 0.2%

                 

Cliffs Natural Resources, Inc.†#

     81,900        873,054  
             


Miscellaneous Manufacturing — 0.0%

                 

FreightCar America, Inc.

     6,400        87,744  
             


Motion Pictures & Services — 0.1%

                 

Eros International PLC†#

     32,400        372,600  
             


Networking Products — 0.3%

                 

A10 Networks, Inc.†

     44,600        421,916  

Black Box Corp.

     63,180        568,620  

Extreme Networks, Inc.†

     141,100        881,875  
             


         1,872,411  
             


Office Furnishings - Original — 0.0%

                 

Kimball International, Inc., Class B

     9,800        160,720  
             


Office Supplies & Forms — 1.0%

                 

ACCO Brands Corp.†

     409,600        5,488,640  
             


Oil & Gas Drilling — 0.3%

                 

Parker Drilling Co.†

     52,900        100,510  

Seadrill, Ltd.†#

     839,800        1,469,650  
             


         1,570,160  
             


Oil Companies - Exploration & Production — 1.7%

                 

Abraxas Petroleum Corp.†

     405,800        860,296  

Bill Barrett Corp.†

     351,000        1,934,010  

Clayton Williams Energy, Inc.†

     4,500        609,075  

Denbury Resources, Inc.†#

     598,600        1,622,206  

Eclipse Resources Corp.†

     111,000        239,760  

EP Energy Corp., Class A†#

     381,128        1,798,924  
Security Description    Shares      Value
(Note 2)
 

                   

Oil Companies - Exploration & Production (continued)

                 

Jones Energy, Inc., Class A†#

     35,800      $ 114,560  

Oasis Petroleum, Inc.†

     20,600        291,696  

Sanchez Energy Corp.†

     66,800        768,200  

Unit Corp.†#

     45,500        1,234,870  
             


         9,473,597  
             


Oil Field Machinery & Equipment — 0.2%

                 

Exterran Corp.†

     37,200        1,132,368  
             


Oil Refining & Marketing — 0.6%

                 

Alon USA Energy, Inc.#

     15,700        190,912  

Delek US Holdings, Inc.

     118,100        2,842,667  
             


         3,033,579  
             


Oil - Field Services — 1.4%

                 

Archrock, Inc.

     49,500        675,675  

McDermott International, Inc.†

     124,200        914,112  

MRC Global, Inc.†

     188,700        3,813,627  

NOW, Inc.†

     46,800        895,752  

Pioneer Energy Services Corp.†

     141,863        744,781  

SEACOR Holdings, Inc.†#

     12,800        881,280  
             


             7,925,227  
             


Paper & Related Products — 0.5%

                 

Domtar Corp.

     16,940        645,245  

P.H. Glatfelter Co.#

     9,500        209,950  

Schweitzer-Mauduit International, Inc.

     46,700        1,916,101  
             


         2,771,296  
             


Pipelines — 0.2%

                 

SemGroup Corp., Class A

     28,700        1,008,805  
             


Pollution Control — 0.1%

                 

CECO Environmental Corp.

     67,000        757,100  
             


Power Converter/Supply Equipment — 0.2%

                 

Advanced Energy Industries, Inc.†#

     11,800        732,780  

Powell Industries, Inc.

     12,300        401,472  
             


         1,134,252  
             


Printing - Commercial — 0.8%

                 

ARC Document Solutions, Inc.†

     144,193        579,656  

Ennis, Inc.

     14,300        233,805  

LSC Communications, Inc.

     1,200        34,104  

Quad/Graphics, Inc.

     129,200        3,507,780  

RR Donnelley & Sons Co.

     3,200        53,664  
             


         4,409,009  
             


Publishing - Books — 0.1%

                 

Houghton Mifflin Harcourt Co.†

     23,700        261,885  
             


Publishing - Newspapers — 0.1%

                 

tronc, Inc.†#

     30,700        448,220  
             


Racetracks — 0.0%

                 

Speedway Motorsports, Inc.

     9,900        211,068  
             


Radio — 0.1%

                 

Entercom Communications Corp., Class A#

     38,440        601,586  

Radio One, Inc., Class D†#

     43,900        120,725  
             


         722,311  
             


Real Estate Investment Trusts — 10.6%

                 

AG Mtg. Investment Trust, Inc.

     21,500        383,990  

Agree Realty Corp.

     1,200        59,556  

American Assets Trust, Inc.

     8,600        378,400  

American Campus Communities, Inc.

     14,800        756,280  

Apartment Investment & Management Co., Class A#

     33,679        1,567,084  

Armada Hoffler Properties, Inc.#

     7,500        104,625  
 

 

77


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Real Estate Investment Trusts (continued)

                 

ARMOUR Residential REIT, Inc.#

     8,809      $ 198,115  

Ashford Hospitality Prime, Inc.

     800        10,440  

Ashford Hospitality Trust, Inc.

     358,080        2,352,586  

Bluerock Residential Growth REIT, Inc.

     11,500        143,520  

Capstead Mtg. Corp.

     322,100        3,407,818  

CBL & Associates Properties, Inc.#

     61,840        620,255  

Cedar Realty Trust, Inc.

     66,300        389,181  

Chatham Lodging Trust

     10,200        204,306  

Chesapeake Lodging Trust

     16,500        398,640  

CoreSite Realty Corp.

     25,800        2,323,806  

Cousins Properties, Inc.

     120,860        1,033,353  

CyrusOne, Inc.

     3,000        152,700  

CYS Investments, Inc.

     343,800        2,757,276  

DCT Industrial Trust, Inc.

     85,160        4,074,054  

DiamondRock Hospitality Co.

     184,234        2,002,624  

DuPont Fabros Technology, Inc.

     11,900        612,731  

EastGroup Properties, Inc.

     1,700        126,378  

Education Realty Trust, Inc.#

     10,500        442,575  

EPR Properties

     11,300        869,648  

FelCor Lodging Trust, Inc.

     133,600        968,600  

First Industrial Realty Trust, Inc.

     61,718        1,660,214  

First Potomac Realty Trust

     83,500        834,165  

Franklin Street Properties Corp.

     12,500        154,875  

GEO Group, Inc.#

     22,300        1,061,703  

Getty Realty Corp.

     24,946        658,325  

Gladstone Commercial Corp.#

     12,500        260,125  

Government Properties Income Trust#

     81,800        1,685,898  

Highwoods Properties, Inc.

     17,400        913,326  

Hospitality Properties Trust

     27,240        865,687  

Hudson Pacific Properties, Inc.

     8,100        296,298  

InfraREIT, Inc.

     50,400        839,160  

Kite Realty Group Trust

     47,600        1,078,140  

LaSalle Hotel Properties

     13,578        392,404  

LTC Properties, Inc.

     18,220        878,933  

Mack-Cali Realty Corp.

     21,700        632,555  

Mid-America Apartment Communities, Inc.

     2,477        254,462  

Monogram Residential Trust, Inc.

     39,900        410,571  

National Storage Affiliates Trust

     13,100        317,282  

New Senior Investment Group, Inc.

     33,600        356,160  

NexPoint Residential Trust, Inc.

     10,980        261,873  

Orchid Island Capital, Inc.#

     4,400        43,208  

Parkway, Inc.†

     15,470        324,561  

Pebblebrook Hotel Trust#

     22,000        632,500  

Pennsylvania Real Estate Investment Trust

     51,280        846,120  

Potlatch Corp.

     31,400        1,389,450  

PS Business Parks, Inc.

     14,400        1,673,424  

QTS Realty Trust, Inc., Class A

     4,600        241,960  

RAIT Financial Trust

     271,300        911,568  

Ramco-Gershenson Properties Trust

     10,600        165,996  

Redwood Trust, Inc.

     84,700        1,386,539  

Retail Opportunity Investments Corp.

     77,400        1,702,800  

Rexford Industrial Realty, Inc.

     23,400        537,732  

RLJ Lodging Trust

     71,400        1,625,064  

Saul Centers, Inc.

     2,000        128,080  

Silver Bay Realty Trust Corp.

     36,500        785,845  

Summit Hotel Properties, Inc.

     87,400        1,345,086  

Sun Communities, Inc.

     5,500        455,565  

Sunstone Hotel Investors, Inc.

     144,872        2,136,862  

Taubman Centers, Inc.

     2,300        160,448  

Urstadt Biddle Properties, Inc., Class A

     13,300        296,324  

Washington Prime Group, Inc.

     1,053        9,761  

Washington Real Estate Investment Trust

     1,600        52,336  

Xenia Hotels & Resorts, Inc.

     77,700            1,365,189  
             


         58,367,115  
             


Security Description    Shares      Value
(Note 2)
 

                   

Real Estate Operations & Development — 0.5%

                 

Alexander & Baldwin, Inc.

     23,600      $ 1,057,988  

Forestar Group, Inc.†

     77,600        1,032,080  

St. Joe Co.†

     55,800        923,490  
             


         3,013,558  
             


Rental Auto/Equipment — 0.6%

                 

Aaron’s, Inc.

     43,300        1,181,224  

AMERCO#

     800        309,040  

Rent-A-Center, Inc.#

     192,100        1,665,507  
             


         3,155,771  
             


Retail - Apparel/Shoe — 1.5%

                 

Abercrombie & Fitch Co., Class A#

     138,100        1,651,676  

Caleres, Inc.

     19,600        585,452  

Children’s Place, Inc.#

     44,450        4,502,785  

Tailored Brands, Inc.#

     53,900        1,245,629  

Tilly’s, Inc., Class A

     21,300        234,939  
             


         8,220,481  
             


Retail - Hair Salons — 0.2%

                 

Regis Corp.†

     92,200        1,134,982  
             


Retail - Home Furnishings — 0.2%

                 

Pier 1 Imports, Inc.

     181,800        1,223,514  
             


Retail - Jewelry — 0.2%

                 

Movado Group, Inc.#

     45,600        1,105,800  
             


Retail - Misc./Diversified — 0.3%

                 

FirstCash, Inc.

     36,300        1,609,905  
             


Retail - Office Supplies — 0.4%

                 

Office Depot, Inc.

     576,300        2,403,171  
             


Retail - Pawn Shops — 0.2%

                 

EZCORP, Inc., Class A†

     125,600        1,105,280  
             


Retail - Petroleum Products — 0.0%

                 

World Fuel Services Corp.

     3,900        141,063  
             


Retail - Regional Department Stores — 0.1%

                 

Dillard’s, Inc., Class A#

     11,440        623,709  
             


Retail - Restaurants — 0.3%

                 

Bob Evans Farms, Inc.#

     12,600        714,798  

Ruby Tuesday, Inc.†

     10,900        20,710  

Ruth’s Hospitality Group, Inc.

     46,672        786,423  
             


         1,521,931  
             


Rubber - Tires — 0.8%

                 

Cooper Tire & Rubber Co.#

     114,100        4,615,345  
             


Rubber/Plastic Products — 0.4%

                 

Myers Industries, Inc.

     9,358        131,480  

Trinseo SA

     27,000        1,867,050  
             


         1,998,530  
             


Satellite Telecom — 0.6%

                 

DigitalGlobe, Inc.†

     103,600        3,278,940  

Intelsat SA†#

     35,900        178,782  
             


             3,457,722  
             


Savings & Loans/Thrifts — 3.1%

                 

BankFinancial Corp.

     4,100        60,967  

Beneficial Bancorp, Inc.

     177,858        2,899,086  

Berkshire Hills Bancorp, Inc.

     3,800        134,330  

Brookline Bancorp, Inc.

     12,900        204,465  

Charter Financial Corp.

     58,900        1,151,495  

Dime Community Bancshares, Inc.

     25,700        552,550  

First Defiance Financial Corp.

     11,200        550,480  

Flagstar Bancorp, Inc.†

     15,300        434,520  
 

 

78


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

 

Savings & Loans/Thrifts (continued)

                 

Flushing Financial Corp.

     32,500      $ 908,050  

HomeStreet, Inc.†

     11,400        311,220  

HomeTrust Bancshares, Inc.†

     5,400        129,600  

Investors Bancorp, Inc.#

     166,900        2,441,747  

Meridian Bancorp, Inc.

     56,300            1,072,515  

Meta Financial Group, Inc.#

     11,400        975,840  

Northfield Bancorp, Inc.

     101,100        1,896,636  

Oritani Financial Corp.

     4,700        80,840  

Provident Financial Holdings, Inc.

     3,100        57,846  

Provident Financial Services, Inc.

     9,000        238,950  

Sterling Bancorp#

     52,700        1,304,325  

Territorial Bancorp, Inc.

     2,700        86,994  

United Community Financial Corp.

     13,700        117,957  

United Financial Bancorp, Inc.

     16,600        296,476  

Waterstone Financial, Inc.

     15,200        281,960  

WSFS Financial Corp.

     14,874        678,254  
             


         16,867,103  
             


Schools — 0.3%

                 

American Public Education, Inc.†

     11,700        282,555  

Career Education Corp.†

     10,900        90,797  

DeVry Education Group, Inc.#

     4,900        157,535  

K12, Inc.†

     76,600        1,368,076  
             


         1,898,963  
             


Security Services — 0.1%

                 

Ascent Capital Group, Inc., Class A†

     47,000        754,350  
             


Seismic Data Collection — 0.0%

                 

Geospace Technologies Corp.†#

     5,700        94,107  
             


Semiconductor Components - Integrated Circuits — 0.3%

                 

Cypress Semiconductor Corp.#

     142,822        1,895,248  
             


Semiconductor Equipment — 0.6%

                 

Ultra Clean Holdings, Inc.†

     103,600        1,434,860  

Xcerra Corp.†

     183,955        1,607,767  
             


         3,042,627  
             


Steel Pipe & Tube — 0.0%

                 

TimkenSteel Corp.†

     2,500        52,300  
             


Steel - Producers — 1.0%

                 

AK Steel Holding Corp.†#

     333,600        2,778,888  

Carpenter Technology Corp.#

     42,700        1,731,912  

Commercial Metals Co.#

     7,200        152,136  

Ryerson Holding Corp.†

     6,100        66,185  

Schnitzer Steel Industries, Inc., Class A

     40,000        952,000  
             


         5,681,121  
             


Telecom Equipment - Fiber Optics — 0.1%

                 

Oclaro, Inc.†

     31,000        263,500  
             


Telecom Services — 0.6%

                 

HC2 Holdings, Inc.†

     113,000        621,500  

West Corp.

     107,300        2,565,543  
             


         3,187,043  
             


Telephone - Integrated — 0.4%

                 

IDT Corp., Class B

     25,700        496,010  

Windstream Holdings, Inc.#

     257,290        1,921,959  
             


         2,417,969  
             


Television — 0.2%

                 

Central European Media Enterprises, Ltd., Class A†#

     23,200        66,120  

Sinclair Broadcast Group, Inc., Class A#

     24,400        973,560  
             


         1,039,680  
             


Textile - Apparel — 0.1%

                 

Perry Ellis International, Inc.†

     13,400        312,086  
             


Security Description    Shares      Value
(Note 2)
 

                   

Therapeutics — 0.1%

                 

Cara Therapeutics, Inc.†#

     9,200      $ 147,476  

Seres Therapeutics, Inc.†#

     10,100        97,768  

Voyager Therapeutics, Inc.†#

     8,400        108,780  

Zafgen, Inc.†

     3,100        12,307  
             


         366,331  
             


Tobacco — 0.5%

                 

Alliance One International, Inc.†

     7,800        111,930  

Universal Corp.#

     42,100        2,850,170  
             


         2,962,100  
             


Toys — 0.1%

                 

JAKKS Pacific, Inc.†#

     84,200        442,050  
             


Transport - Air Freight — 0.3%

                 

Atlas Air Worldwide Holdings, Inc.†#

     30,800        1,750,980  
             


Transport - Equipment & Leasing — 0.1%

                 

Greenbrier Cos., Inc.#

     12,600        529,830  
             


Transport - Services — 0.1%

                 

Matson, Inc.

     22,400        760,032  
             


Transport - Truck — 1.3%

                 

ArcBest Corp.

     134,420        3,945,227  

Roadrunner Transportation Systems, Inc.†

     47,700        359,658  

USA Truck, Inc.†

     52,300        497,373  

YRC Worldwide, Inc.†#

     163,600        2,100,624  
             


         6,902,882  
             


Travel Services — 0.1%

                 

Liberty TripAdvisor Holdings, Inc., Class A†

     51,800        696,710  
             


Water — 0.5%

                 

American States Water Co.

     27,600        1,234,272  

Artesian Resources Corp., Class A

     2,200        72,490  

California Water Service Group#

     27,160        998,130  

Consolidated Water Co., Ltd.

     18,700        193,545  
             


         2,498,437  
             


Wire & Cable Products — 0.4%

                 

General Cable Corp.#

     146,600        2,448,220  
             


Wireless Equipment — 0.2%

                 

InterDigital, Inc.

     11,500        966,576  
             


Total Common Stocks

                 

(cost $438,235,232)

              537,670,341  
             


WARRANTS — 0.0%

                 

Finance other services — 0.0%

                 

Emergent Capital, Inc. Expires 10/01/2019 (strike price $10.75)†
(cost $0). . .

     994        0  
             


Total Long-Term Investment Securities

                 

(cost $438,235,232)

              537,670,341  
             


SHORT-TERM INVESTMENT SECURITIES — 4.8%

                 

Registered Investment Companies — 4.8%

                 

State Street Navigator Securities Lending Government Money Market Portfolio
0.50%(1)(3)

                 

(cost $26,492,313)

     26,492,313        26,492,313  
             


 

 

79


Table of Contents

VALIC Company II Small Cap Value Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount
    Value
(Note 2)
 

REPURCHASE AGREEMENTS — 2.6%

                

Agreement with Fixed Income Clearing Corp., bearing interest at 0.03%, dated 02/28/2017, to be repurchased 03/01/2017 in the amount of $14,450,012 collateralized by $12,755,000 of United States Treasury Notes, bearing interest at 3.8% due 11/15/2043 and having an approximate value of $14,744,002

                

(cost $14,450,000)

   $ 14,450,000     $ 14,450,000  
            


TOTAL INVESTMENTS

                

(cost $479,177,545)(2)

     104.9     578,612,654  

Liabilities in excess of other assets

     (4.9     (27,134,225
    


 


NET ASSETS

     100.0   $ 551,478,429  
    


 



Non-income producing security
# The security or a portion thereof is out on loan (see Note 2).
(1) At February 28, 2017, the Fund had loaned securities with a total value of $83,527,843. This was secured by collateral of $26,492,313, which was received in cash and subsequently invested in short-term investments currently value at $26,492,313 as reported in the Portfolio of Investments. Additional collateral of $60,820,292 was received in the form of short-term pooled securities, which the Fund cannot sell or repledge and accordingly is not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled secutities referenced above are as follows:

 

Securities


  Coupon Range

  Maturity Date Range

  Value as of
February 28, 2017


 

Federal Home Loan Mtg. Corp.

  2.50% to 4.50%   11/01/2027 to 09/01/2044   $ 1,414,530  

Federal National Mtg. Assoc.

  2.00% to 4.25%   01/01/2032 to 02/25/2044     2,466,093  

Government National Mtg. Assoc.

  2.50% to 3.50%   11/20/2027 to 11/20/2046     5,674,660  

United States Treasury Bills

  0.00%   03/02/2017 to 12/07/2017     11,025,837  

United States Treasury Notes/Bonds

  zero coupon to 8.75%   04/15/2017 to 11/15/2046     40,239,172  

 

(2) See Note 5 for cost of investments on a tax basis.
(3) The rate shown is a 7-day yield as of February 28, 2017.
 
Futures Contracts                                       
Number of
Contracts
     Type    Description    Expiration
Month
       Value at
Trade Date
       Value as of
February 28, 2017
      

Unrealized

Appreciation
(Depreciation)

 
  183      Long   

Russell 2000 E-Mini Index

     March 2017        $ 12,625,189        $ 12,672,750        $ 47,561  
                                                   


 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices

     Level 2 - Other
Observable Inputs

     Level 3 -  Significant
Unobservable Inputs

     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 537,670,341      $ —        $         —        $ 537,670,341  

Warrants

     —          0        —          0  

Short-Term Investment Securities

     26,492,313        —          —          26,492,313  

Repurchase Agreements

     —          14,450,000        —          14,450,000  
    


  


  


  


Total Investments at Value

   $ 564,162,654      $ 14,450,000      $ —        $ 578,612,654  
    


  


  


  


Other Financial Instruments:+

                                   

Futures Contracts

   $ 47,561      $ —        $ —        $ 47,561  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.
+ Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

80


Table of Contents

VALIC Company II Socially Responsible Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

 

Industry Allocation*

 

Real Estate Investment Trusts

     5.3

Banks — Super Regional

     4.8  

Medical — Biomedical/Gene

     3.9  

Applications Software

     3.6  

Web Portals/ISP

     3.4  

Cosmetics & Toiletries

     3.2  

Electronic Components — Semiconductors

     3.2  

Finance — Credit Card

     3.2  

U.S. Government Treasuries

     2.9  

Oil Companies — Exploration & Production

     2.7  

Beverages — Non-alcoholic

     2.7  

Diagnostic Equipment

     2.4  

Computer Services

     2.4  

Insurance — Reinsurance

     2.3  

Internet Content — Entertainment

     2.0  

Insurance — Multi-line

     1.9  

Multimedia

     1.8  

Medical — HMO

     1.7  

Medical — Drugs

     1.6  

Banks — Commercial

     1.6  

Medical Products

     1.5  

Cable/Satellite TV

     1.4  

Enterprise Software/Service

     1.3  

Transport — Rail

     1.3  

Insurance — Life/Health

     1.3  

Networking Products

     1.3  

Food — Misc./Diversified

     1.3  

Commercial Services — Finance

     1.2  

Retail — Restaurants

     1.2  

Diversified Manufacturing Operations

     1.2  

Oil — Field Services

     1.2  

Electric — Integrated

     1.1  

Pipelines

     1.0  

Semiconductor Components — Integrated Circuits

     1.0  

Investment Management/Advisor Services

     1.0  

Transport — Services

     0.9  

Retail — Major Department Stores

     0.8  

Registered Investment Companies

     0.8  

Medical — Wholesale Drug Distribution

     0.8  

Commercial Services

     0.7  

Electric — Distribution

     0.6  

Retail — Drug Store

     0.6  

Machinery — Construction & Mining

     0.6  

Airlines

     0.6  

Finance — Other Services

     0.6  

Retail — Apparel/Shoe

     0.6  

Retail — Building Products

     0.6  

Consumer Products — Misc.

     0.5  

E-Commerce/Services

     0.5  

Auto — Cars/Light Trucks

     0.5  

Data Processing/Management

     0.5  

Semiconductor Equipment

     0.5  

Electric Products — Misc.

     0.5  

Gas — Distribution

     0.5  

Electronic Forms

     0.5  

Apparel Manufacturers

     0.5  

Industrial Gases

     0.4  

Repurchase Agreements

     0.4  

Machinery — Farming

     0.4  

Food — Retail

     0.4  

Building Products — Air & Heating

     0.4  

Hotels/Motels

     0.4  

Telephone — Integrated

     0.4  

Pharmacy Services

     0.4  

Retail — Discount

     0.4  

Electronic Components — Misc.

     0.4  

Electronic Measurement Instruments

     0.3  

Banks — Fiduciary

     0.3  

Non-Hazardous Waste Disposal

     0.3  

Finance — Investment Banker/Broker

     0.3  

Insurance — Property/Casualty

     0.3  

Oil Refining & Marketing

     0.3  

Home Decoration Products

     0.3  

Chemicals — Diversified

     0.3  

Diversified Operations

     0.3  

Paper & Related Products

     0.3  

Computers — Memory Devices

     0.3  

Insurance Brokers

     0.3  

Oil Field Machinery & Equipment

     0.3  

Auto — Heavy Duty Trucks

     0.2  

Computers

     0.2  

Medical — Generic Drugs

     0.2  

Vitamins & Nutrition Products

     0.2  

Entertainment Software

     0.2  

Medical — Hospitals

     0.2  

Industrial Automated/Robotic

     0.2  

Retail — Regional Department Stores

     0.2  

Advertising Agencies

     0.2  

Dental Supplies & Equipment

     0.2  

Medical Labs & Testing Services

     0.2  

Engines — Internal Combustion

     0.2  

E-Commerce/Products

     0.2  

Finance — Consumer Loans

     0.2  

Medical Instruments

     0.2  

Retail — Auto Parts

     0.2  

Television

     0.2  

Building Products — Cement

     0.2  

Agricultural Chemicals

     0.2  

Tools — Hand Held

     0.2  

Textile — Home Furnishings

     0.1  

Auto/Truck Parts & Equipment — Original

     0.1  

Steel — Producers

     0.1  

Oil Companies — Integrated

     0.1  

Medical Information Systems

     0.1  

Containers — Paper/Plastic

     0.1  

Aerospace/Defense

     0.1  

Appliances

     0.1  

Distribution/Wholesale

     0.1  

Water

     0.1  

Retail — Perfume & Cosmetics

     0.1  

Electronic Connectors

     0.1  

Food — Confectionery

     0.1  

Telecom Services

     0.1  

Cruise Lines

     0.1  

Office Automation & Equipment

     0.1  

Wireless Equipment

     0.1  

Computer Aided Design

     0.1  

Building Products — Wood

     0.1  
    


       101.4
    


 

* Calculated as a percentage of net assets
 

 

81


Table of Contents

VALIC Company II Socially Responsible Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) 


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS — 97.3%

                 

Advertising Agencies — 0.2%

                 

Omnicom Group, Inc.#

     19,110      $ 1,626,261  
             


Aerospace/Defense — 0.1%

                 

TransDigm Group, Inc.#

     3,484        885,633  
             


Agricultural Chemicals — 0.2%

                 

CF Industries Holdings, Inc.#

     17,081        536,685  

Mosaic Co.#

     24,573        766,432  
             


         1,303,117  
             


Airlines — 0.6%

                 

American Airlines Group, Inc.#

     23,983        1,111,852  

Delta Air Lines, Inc.

     28,016        1,398,839  

Southwest Airlines Co.

     30,771        1,778,563  

United Continental Holdings, Inc.†#

     7,821        579,458  
             


         4,868,712  
             


Apparel Manufacturers — 0.5%

                 

Hanesbrands, Inc.#

     41,403        828,474  

Michael Kors Holdings, Ltd.†#

     4,294        156,731  

Under Armour, Inc., Class C†#

     20,491        380,313  

VF Corp.#

     43,935        2,304,391  
             


         3,669,909  
             


Appliances — 0.1%

                 

Whirlpool Corp.

     4,351        777,045  
             


Applications Software — 3.6%

                 

Citrix Systems, Inc.†

     3,558        280,904  

Intuit, Inc.

     12,501        1,568,126  

Microsoft Corp.

     382,582        24,477,596  

Red Hat, Inc.†

     1,310        108,481  

salesforce.com, Inc.†#

     30,739        2,500,618  
             


         28,935,725  
             


Auto - Cars/Light Trucks — 0.5%

                 

Ford Motor Co.

     341,193        4,275,148  
             


Auto - Heavy Duty Trucks — 0.2%

                 

PACCAR, Inc.

     29,524        1,972,498  
             


Auto/Truck Parts & Equipment-Original — 0.1%

                 

Delphi Automotive PLC

     15,439        1,175,371  
             


Banks - Commercial — 1.6%

                 

BB&T Corp.#

     137,108        6,611,348  

M&T Bank Corp.#

     30,038        5,015,445  

Regions Financial Corp.

     74,610        1,139,294  
             


         12,766,087  
             


Banks - Fiduciary — 0.3%

                 

Citizens Financial Group, Inc.

     28,688        1,072,071  

Northern Trust Corp.

     18,835        1,645,237  
             


         2,717,308  
             


Banks - Super Regional — 4.8%

                 

Capital One Financial Corp.

     61,326        5,756,059  

Comerica, Inc.

     14,387        1,025,505  

Fifth Third Bancorp

     155,600        4,269,664  

Huntington Bancshares, Inc.

     42,795        605,121  

KeyCorp#

     51,718        970,747  

PNC Financial Services Group, Inc.

     78,821        10,028,396  

SunTrust Banks, Inc.

     46,114        2,743,322  

US Bancorp

     241,162        13,263,910  
             


         38,662,724  
             


Beverages - Non-alcoholic — 2.7%

                 

Dr Pepper Snapple Group, Inc.

     15,893        1,485,042  

Monster Beverage Corp.†

     16,188        670,831  
Security Description    Shares      Value
(Note 2)
 

                   

Beverages - Non-alcoholic (continued)

                 

PepsiCo, Inc.

     174,856      $ 19,300,605  
             


         21,456,478  
             


Building Products - Air & Heating — 0.4%

                 

Johnson Controls International PLC

     76,651        3,214,743  
             


Building Products - Cement — 0.2%

                 

Martin Marietta Materials, Inc.

     1,296        279,871  

Vulcan Materials Co.

     8,500        1,025,185  
             


         1,305,056  
             


Building Products - Wood — 0.1%

                 

Masco Corp.

     12,078        407,995  
             


Cable/Satellite TV — 1.4%

                 

Comcast Corp., Class A

     297,426        11,129,681  
             


Chemicals - Diversified — 0.3%

                 

Eastman Chemical Co.

     19,559        1,569,610  

LyondellBasell Industries NV, Class A

     7,556        689,409  
             


         2,259,019  
             


Chemicals - Specialty — 0.0%

                 

International Flavors & Fragrances, Inc.#

     451        56,691  
             


Commercial Services — 0.7%

                 

Cintas Corp.#

     7,876        929,447  

Ecolab, Inc.

     29,042        3,600,336  

Nielsen Holdings PLC

     22,844        1,013,360  
             


         5,543,143  
             


Commercial Services - Finance — 1.2%

                 

Automatic Data Processing, Inc.#

     44,099        4,525,439  

H&R Block, Inc.#

     2,355        48,419  

PayPal Holdings, Inc.†

     77,368        3,249,456  

S&P Global, Inc.

     17,393        2,251,872  
             


         10,075,186  
             


Computer Aided Design — 0.1%

                 

Autodesk, Inc.†#

     4,946        426,840  
             


Computer Services — 2.4%

                 

Accenture PLC, Class A#

     39,908        4,888,730  

Cognizant Technology Solutions Corp., Class A†

     24,122        1,429,711  

Hewlett Packard Enterprise Co.

     80,682        1,841,163  

International Business Machines Corp.#

     63,003        11,329,200  
             


         19,488,804  
             


Computers — 0.2%

                 

HP, Inc.

     106,712        1,853,587  
             


Computers - Memory Devices — 0.3%

                 

NetApp, Inc.

     7,026        293,897  

Seagate Technology PLC#

     19,573        943,223  

Western Digital Corp.

     11,717        900,803  
             


         2,137,923  
             


Consumer Products - Misc. — 0.5%

                 

Kimberly-Clark Corp.

     33,770        4,476,213  
             


Containers - Paper/Plastic — 0.1%

                 

Sealed Air Corp.

     7,872        365,891  

WestRock Co.

     9,939        533,923  
             


         899,814  
             


Cosmetics & Toiletries — 3.2%

                 

Colgate-Palmolive Co.

     108,412        7,911,908  

Procter & Gamble Co.

     201,049        18,309,532  
             


         26,221,440  
             


 

 

82


Table of Contents

VALIC Company II Socially Responsible Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

                 

Cruise Lines — 0.1%

                 

Royal Caribbean Cruises, Ltd.

     5,489      $ 527,493  
             


Data Processing/Management — 0.5%

                 

Fidelity National Information Services, Inc.

     22,615        1,860,536  

Fiserv, Inc.†

     16,641        1,920,372  

Paychex, Inc.#

     4,220        259,192  
             


         4,040,100  
             


Dental Supplies & Equipment — 0.2%

                 

DENTSPLY SIRONA, Inc.

     25,202        1,600,831  
             


Diagnostic Equipment — 2.4%

                 

Abbott Laboratories

     184,383        8,311,986  

Danaher Corp.

     75,896        6,492,903  

Thermo Fisher Scientific, Inc.

     29,715        4,685,461  
             


         19,490,350  
             


Distribution/Wholesale — 0.1%

                 

Fastenal Co.#

     15,084        754,652  
             


Diversified Manufacturing Operations — 1.2%

                 

Eaton Corp. PLC

     41,717        3,002,790  

Illinois Tool Works, Inc.

     34,689        4,579,295  

Parker-Hannifin Corp.

     7,312        1,132,190  

Pentair PLC#

     14,110        819,226  
             


         9,533,501  
             


Diversified Operations — 0.3%

                 

Leucadia National Corp.#

     83,380        2,219,576  
             


E-Commerce/Products — 0.2%

                 

eBay, Inc.†

     44,453        1,506,957  
             


E-Commerce/Services — 0.5%

                 

Expedia, Inc.#

     2,780        330,931  

Priceline Group, Inc.†#

     2,304        3,972,396  
             


         4,303,327  
             


Electric Products - Misc. — 0.5%

                 

Emerson Electric Co.

     64,491        3,875,909  
             


Electric - Distribution — 0.6%

                 

PPL Corp.

     138,095        5,092,944  
             


Electric - Integrated — 1.1%

                 

CMS Energy Corp.

     58,662        2,611,632  

Eversource Energy#

     62,210        3,649,239  

WEC Energy Group, Inc.

     45,949        2,769,346  
             


         9,030,217  
             


Electronic Components - Misc. — 0.4%

                 

Corning, Inc.

     75,556        2,086,101  

Garmin, Ltd.

     15,409        795,259  
             


         2,881,360  
             


Electronic Components - Semiconductors — 3.2%

                 

Broadcom, Ltd.

     19,562        4,126,213  

Intel Corp.

     298,411        10,802,478  

Microchip Technology, Inc.#

     7,483        542,667  

Micron Technology, Inc.†#

     39,222        919,364  

NVIDIA Corp.

     23,771        2,412,281  

Qorvo, Inc.†#

     3,633        240,141  

Skyworks Solutions, Inc.#

     4,213        399,434  

Texas Instruments, Inc.

     86,464        6,624,872  
             


         26,067,450  
             


Electronic Connectors — 0.1%

                 

TE Connectivity, Ltd.

     9,019        671,645  
             


Electronic Forms — 0.5%

                 

Adobe Systems, Inc.†

     31,442        3,720,846  
             


Security Description    Shares      Value
(Note 2)
 

                   

Electronic Measurement Instruments — 0.3%

                 

Agilent Technologies, Inc.

     10,958      $ 562,146  

Fortive Corp.

     37,948        2,187,702  
             


         2,749,848  
             


Engines - Internal Combustion — 0.2%

                 

Cummins, Inc.

     10,180        1,511,628  
             


Enterprise Software/Service — 1.3%

                 

CA, Inc.

     12,277        396,179  

Oracle Corp.

     239,851        10,215,254  
             


         10,611,433  
             


Entertainment Software — 0.2%

                 

Activision Blizzard, Inc.

     18,813        849,031  

Electronic Arts, Inc.†

     10,628        919,322  
             


         1,768,353  
             


Finance - Consumer Loans — 0.2%

                 

Synchrony Financial

     40,161        1,455,435  
             


Finance - Credit Card — 3.2%

                 

American Express Co.

     57,742        4,622,824  

Discover Financial Services

     32,069        2,281,389  

MasterCard, Inc., Class A

     69,605        7,688,568  

Visa, Inc., Class A#

     130,424        11,469,487  
             


         26,062,268  
             


Finance - Investment Banker/Broker — 0.3%

                 

Charles Schwab Corp.#

     62,836        2,539,203  
             


Finance - Other Services — 0.6%

                 

CME Group, Inc.#

     24,376        2,960,709  

Intercontinental Exchange, Inc.

     33,070        1,889,289  
             


         4,849,998  
             


Food - Confectionery — 0.1%

                 

J.M. Smucker Co.

     4,413        625,454  
             


Food - Misc./Diversified — 1.3%

                 

Campbell Soup Co.#

     19,737        1,171,391  

General Mills, Inc.

     81,087        4,895,222  

Kraft Heinz Co.

     47,217        4,320,828  
             


         10,387,441  
             


Food - Retail — 0.4%

                 

Kroger Co.

     102,481        3,258,896  
             


Gas-Distribution — 0.5%

                 

CenterPoint Energy, Inc.

     107,674        2,941,654  

NiSource, Inc.

     36,845        880,964  
             


         3,822,618  
             


Home Decoration Products — 0.3%

                 

Newell Brands, Inc.#

     46,592        2,284,406  
             


Hotels/Motels — 0.4%

                 

Marriott International, Inc., Class A

     24,363        2,119,337  

Wyndham Worldwide Corp.

     12,248        1,019,524  
             


         3,138,861  
             


Industrial Automated/Robotic — 0.2%

                 

Rockwell Automation, Inc.

     11,351        1,715,136  
             


Industrial Gases — 0.4%

                 

Air Products & Chemicals, Inc.

     25,402        3,568,219  
             


Insurance Brokers — 0.3%

                 

Aon PLC#

     4,393        508,051  

Marsh & McLennan Cos., Inc.

     16,907        1,242,326  

Willis Towers Watson PLC

     2,553        327,882  
             


         2,078,259  
             


 

 

83


Table of Contents

VALIC Company II Socially Responsible Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

                 

Insurance - Life/Health — 1.3%

                 

Aflac, Inc.

     35,412      $ 2,562,058  

Lincoln National Corp.

     8,769        615,233  

Principal Financial Group, Inc.#

     11,542        721,837  

Prudential Financial, Inc.

     59,207        6,544,742  
             


         10,443,870  
             


Insurance - Multi-line — 1.9%

                 

Allstate Corp.

     37,523        3,082,889  

Chubb, Ltd.

     57,899        7,999,905  

Cincinnati Financial Corp.#

     6,024        439,511  

Hartford Financial Services Group, Inc.

     20,221        988,605  

Loews Corp.

     55,265        2,596,350  
             


         15,107,260  
             


Insurance - Property/Casualty — 0.3%

                 

Travelers Cos., Inc.

     20,300        2,481,472  
             


Insurance - Reinsurance — 2.3%

                 

Berkshire Hathaway, Inc., Class B†

     107,368        18,405,022  
             


Internet Content - Entertainment — 2.0%

                 

Facebook, Inc., Class A†

     98,706        13,378,611  

Netflix, Inc.†

     16,809        2,389,063  
             


         15,767,674  
             


Investment Management/Advisor Services — 1.0%

                 

Ameriprise Financial, Inc.

     12,211        1,605,747  

BlackRock, Inc.

     11,861        4,595,663  

Franklin Resources, Inc.

     20,511        882,793  

Invesco, Ltd.

     13,676        440,230  

T. Rowe Price Group, Inc.

     7,505        534,431  
             


         8,058,864  
             


Machinery - Construction & Mining — 0.6%

                 

Caterpillar, Inc.

     52,057        5,031,830  
             


Machinery - Farming — 0.4%

                 

Deere & Co.#

     30,086        3,294,116  
             


Machinery - General Industrial — 0.0%

                 

Roper Technologies, Inc.#

     1,163        243,300  
             


Medical Information Systems — 0.1%

                 

Cerner Corp.†#

     16,416        903,537  
             


Medical Instruments — 0.2%

                 

Edwards Lifesciences Corp.†

     15,364        1,444,831  
             


Medical Labs & Testing Services — 0.2%

                 

Laboratory Corp. of America Holdings†

     7,191        1,022,992  

Quest Diagnostics, Inc.#

     5,800        565,152  
             


         1,588,144  
             


Medical Products — 1.5%

                 

Becton Dickinson and Co.

     38,867        7,114,605  

Stryker Corp.#

     39,963        5,137,643  
             


         12,252,248  
             


Medical-Biomedical/Gene — 3.9%

                 

Alexion Pharmaceuticals, Inc.†

     16,295        2,138,719  

Amgen, Inc.

     56,037        9,892,212  

Biogen, Inc.†

     12,242        3,533,041  

Celgene Corp.†

     53,531        6,611,614  

Gilead Sciences, Inc.

     76,845        5,416,035  

Illumina, Inc.†#

     6,349        1,062,823  

Regeneron Pharmaceuticals, Inc.†

     4,165        1,555,627  

Vertex Pharmaceuticals, Inc.†

     14,151        1,282,364  
             


         31,492,435  
             


Security Description    Shares      Value
(Note 2)
 

                   

Medical - Drugs — 1.6%

                 

AbbVie, Inc.

     153,802      $ 9,511,116  

Zoetis, Inc.

     62,084        3,309,698  
             


         12,820,814  
             


Medical - Generic Drugs — 0.2%

                 

Mylan NV†

     28,444        1,190,381  

Perrigo Co. PLC#

     8,279        619,021  
             


         1,809,402  
             


Medical - HMO — 1.7%

                 

Humana, Inc.

     9,726        2,054,618  

UnitedHealth Group, Inc.

     70,785        11,706,423  
             


         13,761,041  
             


Medical - Hospitals — 0.2%

                 

HCA Holdings, Inc.†

     19,984        1,743,404  
             


Medical - Wholesale Drug Distribution — 0.8%

                 

AmerisourceBergen Corp.#

     17,803        1,629,153  

Cardinal Health, Inc.#

     31,658        2,576,011  

McKesson Corp.

     13,419        2,014,594  
             


         6,219,758  
             


Multimedia — 1.8%

                 

Twenty-First Century Fox, Inc., Class A

     50,956        1,524,604  

Twenty-First Century Fox, Inc., Class B

     49,618        1,456,288  

Viacom, Inc., Class B

     17,767        771,976  

Walt Disney Co.

     100,359        11,048,522  
             


         14,801,390  
             


Networking Products — 1.3%

                 

Cisco Systems, Inc.

     305,307        10,435,393  
             


Non-Hazardous Waste Disposal — 0.3%

                 

Republic Services, Inc.

     42,928        2,659,390  
             


Office Automation & Equipment — 0.1%

                 

Xerox Corp.

     69,111        514,186  
             


Oil Companies - Exploration & Production — 2.7%

                 

Anadarko Petroleum Corp.

     35,536        2,297,403  

Apache Corp.#

     24,537        1,290,401  

Cabot Oil & Gas Corp.#

     16,625        364,088  

Devon Energy Corp.

     34,331        1,488,592  

EOG Resources, Inc.

     30,897        2,996,700  

EQT Corp.

     7,872        471,454  

Hess Corp.#

     47,123        2,424,007  

Marathon Oil Corp.#

     165,552        2,648,832  

Noble Energy, Inc.

     20,412        743,201  

Occidental Petroleum Corp.

     86,573        5,674,860  

Pioneer Natural Resources Co.#

     6,458        1,200,994  
             


         21,600,532  
             


Oil Companies - Integrated — 0.1%

                 

Murphy Oil Corp.#

     34,888        986,981  
             


Oil Field Machinery & Equipment — 0.3%

                 

National Oilwell Varco, Inc.#

     51,004        2,061,582  
             


Oil Refining & Marketing — 0.3%

                 

Marathon Petroleum Corp.

     12,202        605,219  

Phillips 66

     16,995        1,328,839  

Valero Energy Corp.

     5,183        352,185  
             


         2,286,243  
             


Oil-Field Services — 1.2%

                 

Baker Hughes, Inc.

     31,181        1,879,591  

Schlumberger, Ltd.

     94,538        7,597,073  
             


         9,476,664  
             


 

 

84


Table of Contents

VALIC Company II Socially Responsible Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares      Value
(Note 2)
 

COMMON STOCKS (continued)

                 

Paper & Related Products — 0.3%

                 

International Paper Co.

     41,685      $ 2,196,799  
             


Pharmacy Services — 0.4%

                 

Express Scripts Holding Co.†#

     42,087        2,973,446  
             


Pipelines — 1.0%

                 

Enbridge, Inc.

     111,636        4,671,958  

Kinder Morgan, Inc.#

     109,565        2,334,830  

ONEOK, Inc.#

     25,861        1,397,787  
             


         8,404,575  
             


Real Estate Investment Trusts — 5.3%

                 

American Tower Corp.

     59,738        6,857,325  

AvalonBay Communities, Inc.

     8,787        1,614,875  

Boston Properties, Inc.

     4,161        578,504  

Crown Castle International Corp.#

     46,061        4,308,085  

Digital Realty Trust, Inc.#

     5,391        582,228  

Equinix, Inc.#

     4,741        1,782,948  

Equity Residential

     15,787        995,686  

Essex Property Trust, Inc.#

     799        187,525  

GGP, Inc.

     35,364        879,149  

HCP, Inc.

     63,567        2,084,362  

Host Hotels & Resorts, Inc.#

     83,156        1,495,976  

Prologis, Inc.#

     35,578        1,816,257  

Public Storage

     11,458        2,606,237  

Realty Income Corp.#

     11,177        684,927  

Simon Property Group, Inc.

     35,226        6,495,674  

Ventas, Inc.#

     39,584        2,574,939  

Vornado Realty Trust

     12,768        1,402,820  

Welltower, Inc.

     31,049        2,185,229  

Weyerhaeuser Co.#

     106,431        3,588,853  
             


         42,721,599  
             


Retail - Apparel/Shoe — 0.6%

                 

Coach, Inc.#

     24,099        917,931  

L Brands, Inc.

     26,870        1,413,900  

Ross Stores, Inc.

     35,761        2,452,489  
             


         4,784,320  
             


Retail - Auto Parts — 0.2%

                 

O’Reilly Automotive, Inc.†#

     5,028        1,366,158  
             


Retail - Automobile — 0.0%

                 

CarMax, Inc.†

     3,681        237,572  
             


Retail - Building Products — 0.6%

                 

Lowe’s Cos., Inc.

     62,390        4,639,944  
             


Retail - Consumer Electronics — 0.0%

                 

Best Buy Co., Inc.#

     7,266        320,649  
             


Retail - Discount — 0.4%

                 

Dollar General Corp.

     23,493        1,715,459  

Dollar Tree, Inc.†

     16,210        1,242,983  
             


         2,958,442  
             


Retail - Drug Store — 0.6%

                 

Walgreens Boots Alliance, Inc.

     58,672        5,068,087  
             


Retail - Jewelry — 0.0%

                 

Tiffany & Co.#

     1,850        169,959  
             


Retail - Major Department Stores — 0.8%

                 

TJX Cos., Inc.

     87,621        6,873,867  
             


Retail - Office Supplies — 0.0%

                 

Staples, Inc.

     30,753        276,469  
             


Retail - Perfume & Cosmetics — 0.1%

                 

Ulta Beauty, Inc.†

     2,547        696,426  
             


Security Description    Shares      Value
(Note 2)
 

                   

Retail - Regional Department Stores — 0.2%

                 

Kohl’s Corp.#

     19,822      $ 844,813  

Macy’s, Inc.#

     23,549        782,298  
             


         1,627,111  
             


Retail - Restaurants — 1.2%

                 

Chipotle Mexican Grill, Inc.†#

     725        303,587  

Darden Restaurants, Inc.#

     6,709        501,028  

Starbucks Corp.

     113,005        6,426,594  

Yum! Brands, Inc.

     37,577        2,454,530  
             


         9,685,739  
             


Semiconductor Components - Integrated Circuits — 1.0%

                 

Analog Devices, Inc.

     29,212        2,393,339  

QUALCOMM, Inc.

     100,398        5,670,479  
             


         8,063,818  
             


Semiconductor Equipment — 0.5%

                 

Applied Materials, Inc.

     64,853        2,348,976  

KLA-Tencor Corp.

     17,343        1,562,951  
             


         3,911,927  
             


Steel - Producers — 0.1%

                 

Nucor Corp.

     16,480        1,031,154  
             


Telecom Services — 0.1%

                 

Level 3 Communications, Inc.†

     10,841        620,647  
             


Telephone - Integrated — 0.4%

                 

CenturyLink, Inc.#

     101,001        2,450,284  

Frontier Communications Corp.#

     223,976        656,250  
             


         3,106,534  
             


Television — 0.2%

                 

CBS Corp., Class B

     19,927        1,313,588  
             


Textile - Home Furnishings — 0.1%

                 

Mohawk Industries, Inc.†

     5,332        1,206,951  
             


Tools-Hand Held — 0.2%

                 

Stanley Black & Decker, Inc.

     10,046        1,277,349  
             


Toys — 0.0%

                 

Mattel, Inc.#

     13,206        339,790  
             


Transport - Rail — 1.3%

                 

CSX Corp.

     52,381        2,543,622  

Norfolk Southern Corp.

     17,912        2,167,889  

Union Pacific Corp.

     53,201        5,742,516  
             


         10,454,027  
             


Transport - Services — 0.9%

                 

United Parcel Service, Inc., Class B

     68,007        7,192,420  
             


Vitamins & Nutrition Products — 0.2%

                 

Mead Johnson Nutrition Co.

     20,472        1,797,237  
             


Water — 0.1%

                 

American Water Works Co., Inc.

     9,183        716,274  
             


Web Portals/ISP — 3.4%

                 

Alphabet, Inc., Class A†

     16,446        13,895,719  

Alphabet, Inc., Class C†

     13,440        11,063,942  

Yahoo!, Inc.†

     49,585        2,264,051  
             


         27,223,712  
             


Wireless Equipment — 0.1%

                 

Motorola Solutions, Inc.

     6,303        497,748  
             


Total Long-Term Investment Securities

                 

(cost $584,671,236)

 

     783,778,486  
             


 

 

85


Table of Contents

VALIC Company II Socially Responsible Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares/
Principal
Amount
    Value
(Note 2)
 

SHORT-TERM INVESTMENT SECURITIES — 3.7%

                

Registered Investment Companies — 0.8%

                

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(1)(2)

     6,588,519     $ 6,588,519  
            


U.S. Government Treasuries — 2.9%

                

United States Treasury Bills

                

0.43% due 03/02/2017

   $ 5,000,000       4,999,935  

0.44% due 03/09/2017

     5,000,000       4,999,530  

0.49% due 03/02/2017

     5,000,000       4,999,935  

0.49% due 03/16/2017#(3)

     3,200,000       3,199,437  

0.51% due 03/16/2017#

     5,000,000       4,999,120  
            


        23,197,957  
            


Total Short-Term Investment Securities

                

(cost $29,786,191)

             29,786,476  
            


REPURCHASE AGREEMENTS — 0.4%

                

Agreement with Fixed Income Clearing Corp., bearing interest at 0.03%, dated 02/28/2017, to be repurchased 03/01/2017 in the amount of $3,329,003 and collateralized by $3,385,000 of United States Treasury Notes, bearing interest at 0.88%, due 02/15/2047 and having an approximate value of $3,397,694 (cost $3,329,000)

     3,329,000       3,329,000  
            


TOTAL INVESTMENTS

                

(cost $617,786,427)(4)

     101.4     816,893,962  

Liabilities in excess of other assets

     (1.4     (10,943,324
    


 


NET ASSETS

     100.0   $ 805,950,638  
    


 



# The security or a portion thereof is out on loan (see Note 2)
Non-income producing security
(1) The rate shown is the 7-day yield as of February 28, 2017.
(2) At February 28, 2017, the Fund had loaned securities with a total value of $91,539,741. This was secured by collateral of $6,588,519, which was received in cash and subsequently invested in short-term investments currently valued at $6,588,519 as reported in the Portfolio of Investments. Additional collateral of $87,701,993 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly are not reflected in the Fund’s assets and liabilities.

 

The components of the fixed income pooled securities referenced above are as follows:

 

Securities


   Coupon Range

   Maturity Date Range

   Value as of
February 28,
2017


 

Federal Home Loan Mtg. Corp.

   2.50% to 4.50%    11/01/2027 to 09/01/2044      5,097,570  

Federal National Mtg. Assoc.

   2.00% to 4.25%    01/01/2032 to 02/25/2044      8,887,109  

Government National Mtg. Assoc.

   2.50% to 3.50%    11/20/2027 to 11/20/2046      20,449,888  

United States Treasury Bills

   0.00%    03/02/2017 to 12/07/2017      5,374,402  

United States Treasury Notes/Bonds

   zero coupon to 8.75%    04/15/2017 to 11/15/2046      47,893,024  

(3) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(4) See Note 5 for cost of investments on a tax basis.
 
Futures Contracts  
Number of
Contracts
     Type    Description    Expiration
Month
       Value at
Trade Date
       Value as of
February 28, 2017
       Unrealized
Appreciation
(Depreciation)
 
  204      Long   

S&P 500 E-Mini Index

     March 2017        $ 23,137,782        $ 24,100,560        $ 962,778  
                                                   


 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Common Stocks

   $ 783,778,486      $ —        $         —        $ 783,778,486  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     6,588,519        —          —          6,588,519  

U.S. Government Treasuries

     —          23,197,957        —          23,197,957  

Repurchase Agreements

     —          3,329,000        —          3,329,000  
    


  


  


  


Total Investments at Value

   $ 790,367,005      $ 26,526,957      $ —        $ 816,893,962  
    


  


  


  


Other Financial Instruments:+

                                   

Futures Contracts

   $ 962,778      $ —        $ —        $ 962,778  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.
+ Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

See Notes to Financial Statements

 

86


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Industry Allocation*

 

Sovereign

     8.5

Federal National Mtg. Assoc.

     8.1  

Federal Home Loan Mtg. Corp.

     7.0  

Diversified Banking Institutions

     4.8  

Time Deposits

     4.2  

Registered Investment Companies

     3.7  

Oil Companies — Exploration & Production

     3.2  

Cable/Satellite TV

     3.1  

Banks — Commercial

     3.1  

Pipelines

     3.0  

Government National Mtg. Assoc.

     2.4  

Diversified Financial Services

     2.3  

Electric — Integrated

     1.9  

Telephone — Integrated

     1.6  

Medical — Hospitals

     1.6  

Oil Companies — Integrated

     1.4  

Auto — Cars/Light Trucks

     1.4  

Cellular Telecom

     1.2  

Real Estate Investment Trusts

     1.1  

Satellite Telecom

     1.1  

Paper & Related Products

     1.0  

Casino Hotels

     1.0  

Computers

     1.0  

United States Treasury Bonds

     0.9  

Gambling (Non-Hotel)

     0.8  

Computer Services

     0.8  

Finance — Leasing Companies

     0.8  

Finance — Auto Loans

     0.7  

Finance — Consumer Loans

     0.7  

Banks — Super Regional

     0.7  

Chemicals — Diversified

     0.7  

Building — Residential/Commercial

     0.7  

Cruise Lines

     0.7  

Printing — Commercial

     0.6  

Metal — Copper

     0.6  

Oil — Field Services

     0.6  

Savings & Loans/Thrifts

     0.6  

Brewery

     0.6  

Food — Retail

     0.6  

Insurance — Multi-line

     0.6  

Computers — Memory Devices

     0.6  

Metal Processors & Fabrication

     0.5  

Insurance — Life/Health

     0.5  

Coal

     0.5  

Airlines

     0.5  

Aerospace/Defense — Equipment

     0.5  

Real Estate Management/Services

     0.5  

Independent Power Producers

     0.5  

Steel — Producers

     0.5  

Rental Auto/Equipment

     0.5  

Diversified Manufacturing Operations

     0.4  

Oil Refining & Marketing

     0.4  

United States Treasury Notes

     0.4  

Hazardous Waste Disposal

     0.4  

Enterprise Software/Service

     0.4  

Retail — Appliances

     0.4  

Internet Content — Entertainment

     0.4  

Containers — Metal/Glass

     0.4  

Investment Management/Advisor Services

     0.4  

SupraNational Banks

     0.4  

Energy — Alternate Sources

     0.3  

Applications Software

     0.3  

Metal — Diversified

     0.3  

Internet Connectivity Services

     0.3  

Banks — Money Center

     0.3  

Computers — Integrated Systems

     0.3  

Finance — Credit Card

     0.3  

Financial Guarantee Insurance

     0.3  

Marine Services

     0.3  

Food — Wholesale/Distribution

     0.3  

Broadcast Services/Program

     0.3  

Medical — HMO

     0.3  

Security Services

     0.3  

Building & Construction — Misc.

     0.3  

Finance — Mortgage Loan/Banker

     0.3  

Chemicals — Specialty

     0.3  

Medical — Biomedical/Gene

     0.3  

Multimedia

     0.3  

Containers — Paper/Plastic

     0.3  

Insurance — Mutual

     0.3  

Telecom Services

     0.3  

Batteries/Battery Systems

     0.3  

Finance — Other Services

     0.3  

Food — Dairy Products

     0.3  

Insurance — Reinsurance

     0.3  

Machinery — General Industrial

     0.3  

Metal — Aluminum

     0.2  

Networking Products

     0.2  

Electronic Components — Semiconductors

     0.2  

Sovereign Agency

     0.2  

Building Products — Wood

     0.2  

Airport Development/Maintenance

     0.2  

Telecommunication Equipment

     0.2  

Auto — Heavy Duty Trucks

     0.2  

Hotels/Motels

     0.2  

Office Automation & Equipment

     0.2  

Metal — Iron

     0.2  

Medical — Drugs

     0.2  

Agricultural Chemicals

     0.2  

Food — Flour & Grain

     0.2  

Wire & Cable Products

     0.2  

Retail — Restaurants

     0.2  

Electric — Generation

     0.2  

Home Furnishings

     0.2  

Soap & Cleaning Preparation

     0.2  

Machinery — Construction & Mining

     0.2  

Banks — Special Purpose

     0.2  

Semiconductor Equipment

     0.2  

Travel Services

     0.2  

Oil Field Machinery & Equipment

     0.2  

Chemicals — Plastics

     0.2  

Finance — Commercial

     0.2  

Electric — Distribution

     0.1  

E-Commerce/Services

     0.1  

Radio

     0.1  

Building & Construction Products — Misc.

     0.1  

Food — Misc./Diversified

     0.1  

Tools — Hand Held

     0.1  

Aerospace/Defense

     0.1  

Firearms & Ammunition

     0.1  

Distribution/Wholesale

     0.1  

Retail — Drug Store

     0.1  

Industrial Gases

     0.1  

Semiconductor Components — Integrated Circuits

     0.1  

Banks — Fiduciary

     0.1  

Beverages — Non-alcoholic

     0.1  

Medical Labs & Testing Services

     0.1  

Cosmetics & Toiletries

     0.1  

Building Products — Cement

     0.1  

Television

     0.1  

Petrochemicals

     0.1  

Advertising Agencies

     0.1  

Food — Meat Products

     0.1  

Oil & Gas Drilling

     0.1  

Beverages — Wine/Spirits

     0.1  

Building Products — Air & Heating

     0.1  

Retail — Discount

     0.1  

Machinery — Farming

     0.1  
 

 

87


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

 

Industry Allocation* (continued)

 

Medical — Generic Drugs

     0.1

Commercial Services

     0.1  

Transport — Equipment & Leasing

     0.1  

Pharmacy Services

     0.1  

E-Commerce/Products

     0.1  

Transport — Marine

     0.1  

Federal Home Loan Bank

     0.1  

Data Processing/Management

     0.1  
    


       104.9
    


 

Credit Quality†#

 

Aaa

     22.5

Aa

     3.1  

A

     9.4  

Baa

     14.8  

Ba

     13.7  

B

     22.7  

Caa

     7.8  

Not Rated@

     6.0  
    


       100.0
    


 

* Calculated as a percentage of net assets.
Source Standard & Poor’s
# Calculated as a percentage of total debt issues, excluding short-term securities
@ Represents debt issues that either have no rating, or the rating is unavailable from the data source.
 

 

88


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

ASSET BACKED SECURITIES — 2.0%

 

Diversified Financial Services — 2.0%

 

American Express Credit Account Master Trust FRS
Series 2014-1, Class A
1.14% due 12/15/2021

   $ 84,000      $ 84,316  

AmeriCredit Automobile Receivables Trust
Series 2016-4, ClassA3
1.53% due 07/08/2021

     496,000        493,325  

AmeriCredit Automobile Receivables Trust
Series 2013-3, Class D
3.00% due 07/08/2019

     60,000        60,613  

Avis Budget Rental Car Funding AESOP LLC
Series 2013-1A, Class A
1.92% due 09/20/2019*

     450,000        449,947  

Capital One Multi-Asset Execution Trust
Series 2016-A4, Class A4
1.33% due 06/15/2022

     350,000        346,404  

Carmax Auto Owner Trust
Series 2016-3, Class A4
1.60% due 01/18/2022

     500,000        490,975  

CarMax Auto Owner Trust
Series 2016-4, ClassA4
1.60% due 06/15/2022

     332,000        327,204  

CD Commercial Mtg. Trust
Series 2016-CD2, Class A2
3.04% due 11/10/2049(1)

     2,500,000        2,561,974  

CGGS Commercial Mtg. Trust
Series 2016-RNDA, Class AFX
2.76% due 02/10/2033*(1)

     500,000        503,370  

Chase Issuance Trust
Series 2016-A2, Class A
1.37% due 06/15/2021

     300,000        297,797  

Chase Mtg. Trust VRS
Series 2016-2, Class M2
3.75% due 12/25/2045*(2)

     974,408        974,683  

Citibank Credit Card Issuance Trust
Series 2014-A6, Class A6
2.15% due 07/15/2021

     541,000        545,936  

Citibank Credit Card Issuance Trust
Series 2014-A1, Class A1
2.88% due 01/23/2023

     142,000        146,153  

Citigroup Commercial Mtg. Trust
Series 2016-SMPL, Class A
2.23% due 09/10/2031*(1)

     584,000        573,648  

Citigroup Commercial Mtg. Trust
Series 2014-GC19, Class A2
2.79% due 03/10/2047(1)

     226,000        229,531  

Citigroup Commercial Mtg. Trust
Series 2014-GC23, Class A2
2.85% due 07/10/2047(1)

     164,037        166,750  

Commercial Mtg. Trust VRS
Series 2015-CR22, Class XA
1.01% due 03/10/2048(1)(9)

     3,156,301        170,752  

Commercial Mtg. Trust
Series 2015-DC1, Class A2
2.87% due 02/10/2048(1)

     80,000        81,431  

Commercial Mtg. Trust
Series 2015-CR24, Class A2
3.02% due 08/10/2048(1)

     41,875        42,861  

Commercial Mtg. Trust
Series 2016-787S, Class A
3.55% due 02/10/2036*(1)

     100,000        102,601  

Core Industrial Trust
Series 2015-CALW, Class A
3.04% due 02/10/2034*(1)

     1,447,000        1,481,817  

CSAIL Commercial Mortgage Trust
Series 2015-C1, Class A2
2.97% due 04/15/2050(1)

     25,000        25,545  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Diversified Financial Services (continued)

 

CSMC Trust
Series 2015-GLPA, Class A
3.88% due 11/15/2037*(1)

   $ 950,000      $ 1,004,593  

Ford Credit Auto Owner Trust
Series 2014-C,Class B
1.97% due 04/15/2020

     129,000        129,453  

Ford Credit Auto Owner Trust*
Series 2015-2, Class A
2.44% due 01/15/2027

     120,000        120,991  

GS Mtg. Securities Corp. II
Series GC30, Class A2
2.73% due 05/10/2050(1)

     46,875        47,641  

GS Mtg. Securities Trust
Series 2015-GC28, Class A2
2.90% due 02/10/2048(1)

     75,000        76,568  

Honda Auto Receivables 2016-2 Owner Trust
Series 2016-2, Class A4
1.62% due 08/15/2022

     168,000        166,957  

Hudson Yards 2016-10HY Mortgage Trust
Series 2016-10HY, Class A
2.84% due 08/10/2038*(1)

     2,280,000        2,209,935  

JPMDB Commercial Mtg Securities Trust
Series 2016-C2, Class A2
2.66% due 06/15/2049(1)

     833,000        843,216  

Morgan Stanley Capital Barclays Bank Trust
Series 2016-MART, Class A
2.20% due 09/13/2031*(1)

     649,000        637,088  

Santander Drive Auto Receivables Trust
Series 2014-5, Class C
2.46% due 06/15/2020

     192,000        193,349  

Synchrony Credit Card Master Note Trust
Series 2016-1, Class A
2.04% due 03/15/2022

     100,000        100,437  

Synchrony Credit Card Master Note Trust
Series 2016-2, Class A
2.21% due 05/15/2024

     100,000        99,557  

Taco Bell Funding LLC
Series 2016-1A, Class A2I
3.83% due 05/25/2046*

     165,170        165,756  

Toyota Auto Receivables Owner Trust
Series 2016-A, Class A4
1.47% due 09/15/2021

     200,000        198,586  
             


Total Asset Backed Securities

                 

(cost $16,373,103)

              16,151,760  
             


U.S. CORPORATE BONDS & NOTES — 45.7%

 

Advertising Agencies — 0.1%

 

Interpublic Group of Cos., Inc.
Senior Notes
4.20% due 04/15/2024

     286,000        296,161  

Omnicom Group, Inc.
Company Guar. Notes
3.60% due 04/15/2026

     391,000        392,301  
             


                688,462  
             


Aerospace/Defense — 0.0%

 

Boeing Co.
Senior Notes
3.65% due 03/01/2047

     361,000        349,232  
             


Aerospace/Defense - Equipment — 0.5%

 

Harris Corp.
Senior Notes
4.85% due 04/27/2035

     468,000        505,049  

L-3 Technologies, Inc.
Company Guar. Notes
3.85% due 12/15/2026

     307,000        311,203  
 

 

89


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Aerospace/Defense - Equipment (continued)

 

Moog, Inc.
Company Guar. Notes
5.25% due 12/01/2022*

   $ 1,218,000      $ 1,248,450  

Triumph Group, Inc.
Company Guar. Notes
4.88% due 04/01/2021

     580,000        552,450  

Triumph Group, Inc.
Company Guar. Notes
5.25% due 06/01/2022

     1,701,000        1,607,445  
             


                4,224,597  
             


Agricultural Chemicals — 0.2%

 

CF Industries, Inc.
Senior Sec. Notes
3.40% due 12/01/2021*

     135,000        135,449  

CF Industries, Inc.
Senior Sec. Notes
4.50% due 12/01/2026*

     686,000        702,751  

Mosaic Co.
Senior Notes
4.88% due 11/15/2041

     385,000        361,383  

Mosaic Co.
Senior Notes
5.45% due 11/15/2033

     257,000        267,929  
             


                1,467,512  
             


Airlines — 0.5%

 

Allegiant Travel Co.
Company Guar. Notes
5.50% due 07/15/2019

     1,127,000        1,160,810  

American Airlines Pass-Through Trust
Pass-Through Certs.
Series 2017-1, Class AA
3.65% due 02/15/2029

     589,000        596,362  

Atlas Air, Inc.
Pass-Through Certs.
Series 1999-1, Class B
7.63% due 01/02/2018(4)(15)

     57,228        57,434  

United Airlines Pass-Through Trust
Pass-Through Certs.
Series 2014-2, Class B
4.63% due 03/03/2024

     1,085,072        1,108,130  

United Airlines Pass-Through Trust
Pass-Through Certs.
Series 2013-1, Class B
5.38% due 02/15/2023

     1,065,255        1,113,192  
             


                4,035,928  
             


Appliances — 0.0%

 

Whirlpool Corp.
Senior Notes
4.50% due 06/01/2046

     266,000        268,095  
             


Applications Software — 0.3%

 

Microsoft Corp.
Senior Notes
2.88% due 02/06/2024

     308,000        310,120  

Microsoft Corp.
Senior Notes
3.30% due 02/06/2027

     500,000        510,041  

Microsoft Corp.
Senior Notes
3.45% due 08/08/2036

     162,000        155,023  

Microsoft Corp.
Senior Notes
3.70% due 08/08/2046

     178,000        168,420  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Applications Software (continued)

 

Microsoft Corp.
Senior Notes
4.10% due 02/06/2037

   $ 517,000      $ 535,996  

Nuance Communications, Inc.
Company Guar. Notes
5.63% due 12/15/2026*

     1,165,000        1,189,756  
             


                2,869,356  
             


Auto - Cars/Light Trucks — 1.0%

 

American Honda Finance Corp.
Senior Notes
1.20% due 07/12/2019

     583,000        575,717  

American Honda Finance Corp.
Senior Notes
2.00% due 02/14/2020#

     504,000        504,973  

BMW US Capital LLC
Company Guar. Notes
1.50% due 04/11/2019*

     420,000        417,975  

Daimler Finance North America LLC
Company Guar. Notes
1.50% due 07/05/2019*

     641,000        633,421  

Daimler Finance North America LLC
Company Guar. Notes
2.00% due 07/06/2021*

     303,000        295,387  

Daimler Finance North America LLC
Company Guar. Notes
2.30% due 01/06/2020*

     357,000        358,058  

Daimler Finance North America LLC
Company Guar. Notes
2.45% due 05/18/2020*

     844,000        846,161  

Ford Motor Co.
Senior Notes
4.35% due 12/08/2026#

     460,000        473,049  

Ford Motor Co.
Senior Notes
5.29% due 12/08/2046#

     348,000        359,798  

Ford Motor Credit Co. LLC
Senior Notes
2.02% due 05/03/2019

     658,000        654,781  

Ford Motor Credit Co. LLC
Senior Notes
3.10% due 05/04/2023

     656,000        645,388  

Hyundai Capital America
Senior Notes
2.40% due 10/30/2018*

     965,000        968,648  

Toyota Motor Credit Corp.
Senior Notes
1.70% due 01/09/2019

     1,002,000        1,004,549  

Toyota Motor Credit Corp.
Senior Notes
2.00% due 10/24/2018

     321,000        323,484  
             


                8,061,389  
             


Auto - Heavy Duty Trucks — 0.2%

 

JB Poindexter & Co., Inc.
Senior Notes
9.00% due 04/01/2022*

     1,675,000        1,756,656  
             


Banks - Commercial — 0.7%

 

BankUnited, Inc.
Senior Notes
4.88% due 11/17/2025

     949,000        948,652  

Citizens Bank NA
Senior Notes
2.55% due 05/13/2021

     268,000        267,485  

Discover Bank
Senior Notes
3.45% due 07/27/2026

     368,000        360,598  
 

 

90


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Banks - Commercial (continued)

 

Fifth Third Bank
Senior Notes
1.63% due 09/27/2019

   $ 299,000      $ 295,799  

Fifth Third Bank
Senior Notes
2.30% due 03/15/2019

     236,000        237,916  

First Horizon National Corp.
Senior Notes
3.50% due 12/15/2020

     1,173,000        1,200,726  

First Republic Bank
Sub. Notes
4.63% due 02/13/2047

     256,000        258,847  

First Tennessee Bank NA
Senior Notes
2.95% due 12/01/2019

     674,000        682,087  

Regions Financial Corp.
Senior Notes
3.20% due 02/08/2021

     172,000        175,367  

Regions Financial Corp.
Sub. Notes
7.38% due 12/10/2037

     799,000        997,549  
             


                5,425,026  
             


Banks - Fiduciary — 0.1%

 

Citizens Financial Group, Inc.
Sub. Notes
4.15% due 09/28/2022*

     842,000        866,046  
             


Banks - Super Regional — 0.6%

 

JPMorgan Chase Bank NA
Senior Notes
1.65% due 09/23/2019

     842,000        839,590  

Wells Fargo & Co.
Senior Notes
1.50% due 09/12/2022

   EUR 800,000        890,338  

Wells Fargo & Co.
Senior Notes
3.00% due 10/23/2026

     1,234,000        1,184,952  

Wells Fargo & Co.
Senior Notes
3.07% due 01/24/2023#

     833,000        836,922  

Wells Fargo & Co.
Sub. Notes
4.10% due 06/03/2026

     76,000        77,761  

Wells Fargo & Co.
Sub. Notes
4.30% due 07/22/2027

     410,000        426,824  

Wells Fargo & Co.
Sub. Notes
4.40% due 06/14/2046

     69,000        67,904  

Wells Fargo & Co.
Sub. Notes
4.75% due 12/07/2046

     357,000        372,421  

Wells Fargo & Co.
Sub. Notes
4.90% due 11/17/2045

     78,000        82,770  
             


                4,779,482  
             


Batteries/Battery Systems — 0.3%

 

EnerSys
Company Guar. Notes
5.00% due 04/30/2023*

     2,028,000        2,063,490  
             


Brewery — 0.4%

 

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
1.90% due 02/01/2019

     315,000        316,038  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Brewery (continued)

 

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
2.65% due 02/01/2021

   $ 589,000      $ 595,573  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
3.30% due 02/01/2023

     258,000        263,679  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
4.70% due 02/01/2036

     621,000        667,847  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
4.90% due 02/01/2046

     166,000        182,214  

Anheuser-Busch InBev Worldwide, Inc.
Company Guar. Notes
1.38% due 07/15/2017

     1,313,000        1,313,683  
             


                3,339,034  
             


Broadcast Services/Program — 0.3%

 

Clear Channel Worldwide Holdings, Inc.
Company Guar. Notes
Series A
6.50% due 11/15/2022

     2,424,000        2,448,240  
             


Building & Construction Products - Misc. — 0.1%

 

Standard Industries, Inc.
Senior Notes
5.00% due 02/15/2027*

     1,104,000        1,126,080  
             


Building & Construction - Misc. — 0.3%

 

Weekley Homes LLC/Weekley Finance Corp.
Senior Notes
6.00% due 02/01/2023

     2,446,000        2,360,390  
             


Building Products - Air & Heating — 0.1%

 

Lennox International, Inc.
Company Guar. Notes
3.00% due 11/15/2023

     520,000        513,412  
             


Building Products - Cement — 0.1%

 

Cemex Finance LLC
Senior Sec. Notes
6.00% due 04/01/2024*#

     400,000        415,500  
             


Building Products - Wood — 0.2%

 

Boise Cascade Co.
Company Guar. Notes
5.63% due 09/01/2024*

     1,240,000        1,267,900  

Masco Corp.
Senior Notes
4.45% due 04/01/2025

     630,000        655,861  
             


                1,923,761  
             


Building - Residential/Commercial — 0.4%

 

Lennar Corp.
Company Guar. Notes
4.13% due 01/15/2022

     1,762,000        1,784,025  

Meritage Homes Corp.
Company Guar. Notes
7.00% due 04/01/2022

     1,050,000        1,178,625  
             


                2,962,650  
             


Cable/Satellite TV — 1.5%

 

Block Communications, Inc.
Senior Notes
6.88% due 02/15/2025*

     1,577,000        1,667,835  

Cable One, Inc.
Company Guar. Notes
5.75% due 06/15/2022*

     1,131,000        1,181,895  
 

 

91


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Cable/Satellite TV (continued)

 

Cablevision Systems Corp.
Senior Notes
5.88% due 09/15/2022#

   $ 1,695,000      $ 1,737,375  

Charter Communications Operating LLC/Charter Communications Operating Capital
Senior Sec. Notes
3.58% due 07/23/2020

     310,000        318,841  

Charter Communications Operating LLC/Charter Communications Operating Capital
Senior Sec. Notes
4.91% due 07/23/2025

     2,314,000        2,437,575  

Charter Communications Operating LLC/Charter Communications Operating Capital
Senior Sec. Notes
6.38% due 10/23/2035

     582,000        664,995  

Charter Communications Operating LLC/Charter Communications Operating Capital
Senior Sec. Notes
6.48% due 10/23/2045

     166,000        192,672  

Comcast Corp.
Company Guar. Notes
3.20% due 07/15/2036

     303,000        271,110  

Comcast Corp.
Company Guar. Notes
3.40% due 07/15/2046

     159,000        137,819  

CSC Holdings LLC
Company Guar. Notes
5.50% due 04/15/2027*

     1,070,000        1,100,763  

DISH DBS Corp.
Company Guar. Notes
7.75% due 07/01/2026

     2,365,000        2,767,050  
             


                12,477,930  
             


Casino Hotels — 1.0%

 

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
Sec. Notes
9.38% due 05/01/2022#

     2,217,000        2,399,902  

Chester Downs & Marina LLC Senior
Sec. Notes
9.25% due 02/01/2020*

     3,092,000        3,109,377  

Downstream Development Authority of the Quapaw Tribe of Oklahoma
Senior Sec. Notes
10.50% due 07/01/2019*

     1,013,000        1,005,403  

Golden Nugget Escrow, Inc.
Senior Notes
8.50% due 12/01/2021*

     1,824,000        1,947,120  
             


                8,461,802  
             


Cellular Telecom — 1.1%

 

Sprint Corp.
Company Guar. Notes
7.25% due 09/15/2021

     5,441,000        5,930,690  

T-Mobile USA, Inc.
Company Guar. Notes
6.54% due 04/28/2020

     2,891,000        2,970,502  
             


                8,901,192  
             


Chemicals - Diversified — 0.5%

 

Eastman Chemical Co.
Senior Notes
1.50% due 05/26/2023

   EUR  360,000        397,177  

Eastman Chemical Co.
Senior Notes
1.88% due 11/23/2026

   EUR 690,000        754,136  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Chemicals - Diversified (continued)

 

Eastman Chemical Co.
Senior Notes
4.65% due 10/15/2044

   $ 271,000      $ 277,554  

Hexion, Inc.
Senior Sec. Notes
6.63% due 04/15/2020

     1,938,000        1,802,340  

Hexion, Inc.
Senior Sec. Notes
10.38% due 02/01/2022*#

     237,000        244,110  

Westlake Chemical Corp.
Company Guar. Notes
3.60% due 08/15/2026*

     366,000        359,611  
             


                3,834,928  
             


Chemicals - Plastics — 0.2%

 

A. Schulman, Inc.
Company Guar. Notes
6.88% due 06/01/2023*

     1,219,000        1,286,045  
             


Chemicals - Specialty — 0.3%

 

HB Fuller Co.
Senior Notes
4.00% due 02/15/2027

     222,000        223,298  

Lubrizol Corp.
Company Guar. Notes
6.50% due 10/01/2034

     255,000        330,226  

Unifrax I LLC/Unifrax Holding Co.
Company Guar. Notes
7.50% due 02/15/2019*

     1,653,000        1,648,868  
             


                2,202,392  
             


Coal — 0.5%

 

Peabody Securities Finance Corp.
Senior Sec. Notes
6.00% due 03/31/2022*

     1,607,000        1,639,140  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.
Company Guar. Notes
7.38% due 02/01/2020

     2,824,000        2,880,480  
             


                4,519,620  
             


Coatings/Paint — 0.0%

 

RPM International, Inc.
Senior Notes
3.75% due 03/15/2027

     199,000        199,287  
             


Commercial Services — 0.1%

 

Ecolab, Inc.
Senior Notes
1.00% due 01/15/2024

   EUR  480,000        515,834  
             


Commercial Services - Finance — 0.0%

 

Automatic Data Processing, Inc.
Senior Notes
2.25% due 09/15/2020

     235,000        237,272  
             


Computer Services — 0.8%

 

Harland Clarke Holdings Corp.
Senior Notes
8.38% due 08/15/2022*

     1,630,000        1,683,994  

Harland Clarke Holdings Corp.
Senior Notes
9.25% due 03/01/2021*

     2,594,000        2,503,210  

Hewlett Packard Enterprise Co.
Senior Notes
6.20% due 10/15/2035#

     849,000        901,247  
 

 

92


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Computer Services (continued)

 

Leidos Holdings, Inc.
Company Guar. Notes
4.45% due 12/01/2020

   $ 1,559,000      $ 1,621,578  
             


                6,710,029  
             


Computers — 1.0%

 

Apple, Inc.
Senior Notes
2.45% due 08/04/2026#

     343,000        325,190  

Apple, Inc.
Senior Notes
2.85% due 05/06/2021

     485,000        497,398  

Apple, Inc.
Senior Notes
2.85% due 02/23/2023

     464,000        467,575  

Apple, Inc.
Senior Notes
4.50% due 02/23/2036

     183,000        198,830  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.
Senior Sec. Notes
6.02% due 06/15/2026*

     4,841,000        5,323,043  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.
Senior Sec. Notes
8.10% due 07/15/2036*

     520,000        656,181  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.
Senior Sec. Notes
8.35% due 07/15/2046*

     345,000        449,895  
             


                7,918,112  
             


Computers - Integrated Systems — 0.3%

 

Diebold, Inc.
Company Guar. Notes
8.50% due 04/15/2024

     2,477,000        2,718,507  
             


Computers - Memory Devices — 0.3%

 

Western Digital Corp.
Company Guar. Notes
10.50% due 04/01/2024

     1,763,000        2,062,710  
             


Containers - Metal/Glass — 0.4%

 

Crown Cork & Seal Co., Inc.
Company Guar. Notes
7.38% due 12/15/2026

     1,523,000        1,747,642  

Owens-Brockway Glass Container, Inc.
Company Guar. Notes
5.38% due 01/15/2025*

     1,190,000        1,227,188  
             


                2,974,830  
             


Containers - Paper/Plastic — 0.3%

 

Amcor Finance USA, Inc.
Company Guar. Notes
3.63% due 04/28/2026*

     540,000        536,355  

Brambles USA, Inc.
Company Guar. Notes
4.13% due 10/23/2025*

     194,000        199,275  

Multi-Color Corp.
Company Guar.
Notes 6.13% due 12/01/2022*

     1,354,000        1,414,930  
             


                2,150,560  
             


Cosmetics & Toiletries — 0.1%

 

Estee Lauder Cos., Inc.
Senior Bonds
4.15% due 03/15/2047

     214,000        216,768  

Procter & Gamble Co.
Senior Notes
1.70% due 11/03/2021

     615,000        604,626  
             


                821,394  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Data Processing/Management — 0.1%

 

Fidelity National Information Services, Inc.
Senior Notes
4.50% due 08/15/2046

   $ 231,000      $ 225,379  

Fidelity National Information Services, Inc.
Senior Notes
5.00% due 10/15/2025

     199,000        217,963  
             


                443,342  
             


Distribution/Wholesale — 0.1%

 

LKQ Corp.
Company Guar. Notes
4.75% due 05/15/2023

     747,000        748,172  

WW Grainger, Inc.
Senior Notes
3.75% due 05/15/2046

     216,000        207,001  
             


                955,173  
             


Diversified Banking Institutions — 2.7%

 

Bank of America Corp.
Senior Notes
2.50% due 07/27/2020

   EUR  1,000,000        1,142,198  

Bank of America Corp. FRS
Senior Notes
3.12% due 01/20/2023

     1,360,000        1,364,028  

Bank of America Corp.
Sub. Notes
3.95% due 04/21/2025

     253,000        253,940  

Bank of America Corp.
Sub. Notes
4.18% due 11/25/2027

     445,000        448,168  

Bank of America Corp.
Sub. Notes
4.25% due 10/22/2026

     1,458,000        1,486,078  

Bank of America Corp.
Sub. Notes
5.50% due 11/22/2021

   GBP 700,000        1,008,356  

Bank of America Corp.
Sub. Notes
6.11% due 01/29/2037

     548,000        651,211  

Bank of America Corp.
Sub. Notes
7.25% due 10/15/2025

     39,000        46,963  

Citigroup, Inc.
Sub. Notes
4.40% due 06/10/2025

     314,000        322,536  

Citigroup, Inc.
Sub. Notes
4.45% due 09/29/2027

     2,218,000        2,271,159  

Citigroup, Inc.
Sub. Notes
6.00% due 10/31/2033

     275,000        315,487  

Goldman Sachs Group, Inc.
Senior Notes
2.13% due 09/30/2024

   EUR 1,000,000        1,130,570  

Goldman Sachs Group, Inc.
Senior Notes
2.63% due 08/19/2020

   EUR 625,000        716,839  

Goldman Sachs Group, Inc. FRS
Senior Notes
2.79% due 10/28/2027

     422,000        433,287  

Goldman Sachs Group, Inc.
Senior Notes
3.50% due 11/16/2026

     460,000        453,130  

Goldman Sachs Group, Inc.
Senior Notes
3.63% due 01/22/2023

     569,000        584,002  
 

 

93


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Diversified Banking Institutions (continued)

 

Goldman Sachs Group, Inc.
Senior Notes
4.75% due 10/21/2045

   $ 173,000      $ 184,182  

Goldman Sachs Group, Inc.
Sub. Notes
5.15% due 05/22/2045

     54,000        57,550  

Goldman Sachs Group, Inc.
Senior Notes
6.13% due 02/15/2033

     751,000        916,989  

Goldman Sachs Group, Inc.
Sub. Notes
6.75% due 10/01/2037

     483,000        602,747  

JPMorgan Chase & Co.
Senior Notes
2.20% due 10/22/2019

     815,000        819,735  

JPMorgan Chase & Co.
Senior Notes
2.75% due 06/23/2020

     247,000        251,355  

JPMorgan Chase & Co.
Sub. Notes
3.63% due 12/01/2027#

     599,000        584,495  

JPMorgan Chase & Co.
Sub. Notes
4.13% due 12/15/2026

     631,000        646,550  

JPMorgan Chase & Co. FRS
Senior Notes
4.26% due 02/22/2048

     466,000        469,928  

Morgan Stanley
Senior Notes
1.75% due 03/11/2024

   EUR  900,000        997,395  

Morgan Stanley
Senior Notes
2.13% due 04/25/2018

     781,000        785,482  

Morgan Stanley
Senior Notes
2.38% due 03/31/2021

   EUR 800,000        917,126  

Morgan Stanley
Senior Notes
2.80% due 06/16/2020

     293,000        297,251  

Morgan Stanley
Sub. Notes
4.10% due 05/22/2023

     779,000        808,439  

Morgan Stanley
Senior Notes
4.38% due 01/22/2047

     315,000        320,174  

Morgan Stanley
Sub. Notes
5.00% due 11/24/2025

     1,286,000        1,386,892  
             


                22,674,242  
             


Diversified Financial Services — 0.1%

 

USAA Capital Corp.
Senior Notes
2.13% due 06/03/2019*

     571,000        573,754  
             


Diversified Manufacturing Operations — 0.4%

 

General Electric Co.
Senior Notes
2.70% due 10/09/2022

     514,000        520,352  

Illinois Tool Works, Inc.
Senior Notes
2.65% due 11/15/2026

     468,000        452,852  

Ingersoll-Rand Global Holding Co., Ltd.
Company Guar. Notes
5.75% due 06/15/2043

     691,000        833,647  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Diversified Manufacturing Operations (continued)

 

Parker-Hannifin Corp.
Senior Notes
3.25% due 03/01/2027*

   $ 286,000      $ 288,146  

Parker-Hannifin Corp.
Senior Notes
4.10% due 03/01/2047*

     225,000        227,938  

Textron, Inc.
Senior Notes
3.65% due 03/15/2027

     353,000        352,896  

Textron, Inc.
Senior Notes
4.00% due 03/15/2026

     416,000        425,320  

Trinity Industries, Inc.
Company Guar. Notes
4.55% due 10/01/2024

     402,000        403,757  
             


                3,504,908  
             


Electric - Distribution — 0.0%

 

Entergy Louisiana LLC
1st Mtg. Notes
4.95% due 01/15/2045

     182,000        188,249  
             


Electric - Integrated — 1.2%

 

AES Corp.
Senior Notes
5.50% due 03/15/2024#

     1,966,000        2,005,320  

Consolidated Edison Co. of New York, Inc.
Senior Notes
4.30% due 12/01/2056

     245,000        250,536  

Dominion Resources, Inc.
Junior Sub. Notes
2.96% due 07/01/2019

     172,000        174,164  

Dominion Resources, Inc.
Senior Notes
5.25% due 08/01/2033

     719,000        785,944  

Duke Energy Corp.
Senior Notes
3.75% due 09/01/2046

     327,000        301,018  

Duke Energy Progress LLC
1st Mtg. Notes
2.80% due 05/15/2022

     425,000        432,353  

Exelon Generation Co. LLC
Senior Notes
2.95% due 01/15/2020

     380,000        384,731  

FirstEnergy Corp.
Senior Notes
7.38% due 11/15/2031

     433,000        570,746  

Massachusetts Electric Co.
Notes
4.00% due 08/15/2046*

     946,000        920,718  

Mirant Mid Atlantic LLC Pass Through Trust
Pass-Through Certs.
Class B
9.13% due 06/30/2017

     64,766        59,261  

Mirant Mid Atlantic LLC Pass Through Trust
Pass-Through Certs.
Class C
10.06% due 12/30/2028

     1,861,877        1,661,725  

Pacific Gas & Electric Co.
Senior Notes
4.00% due 12/01/2046

     484,000        486,139  

South Carolina Electric & Gas Co.
1st Mtg. Bonds
5.10% due 06/01/2065

     284,000        310,150  
 

 

94


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Electric - Integrated (continued)

 

Southern California Edison Co.
1st Mtg. Bonds
1.13% due 05/01/2017

   $ 715,000      $ 715,165  

Southern Co.
Senior Notes
1.30% due 08/15/2017

     614,000        613,955  

Southern Power Co.
Senior Notes
4.95% due 12/15/2046

     268,000        271,125  

Trans-Allegheny Interstate Line Co.
Senior Notes
3.85% due 06/01/2025*

     147,000        151,292  
             


                10,094,342  
             


Electric - Transmission — 0.0%

 

AEP Transmission Co. LLC
Senior Notes
4.00% due 12/01/2046*

     140,000        142,023  
             


Electronic Components - Misc. — 0.0%

 

Corning, Inc.
Senior Notes
1.50% due 05/08/2018

     313,000        312,662  
             


Electronic Components - Semiconductors — 0.2%

 

Broadcom Corp./Broadcom Cayman Finance, Ltd.
Company Guar. Notes
3.88% due 01/15/2027*

     840,000        845,847  

Intel Corp.
Senior Notes
1.35% due 12/15/2017

     1,120,000        1,121,097  
             


                1,966,944  
             


Energy - Alternate Sources — 0.3%

 

Pattern Energy Group, Inc.
Company Guar. Notes
5.88% due 02/01/2024*

     706,000        724,532  

TerraForm Power Operating LLC
Company Guar. Notes
6.38% due 02/01/2023*

     1,844,000        1,908,540  
             


                2,633,072  
             


Enterprise Software/Service — 0.4%

 

Donnelley Financial Solutions, Inc.
Senior Notes
8.25% due 10/15/2024*

     1,867,000        1,937,013  

Oracle Corp.
Senior Notes
1.90% due 09/15/2021

     583,000        572,768  

Oracle Corp.
Senior Notes
3.85% due 07/15/2036

     756,000        751,339  

Oracle Corp.
Senior Notes
3.90% due 05/15/2035

     138,000        137,751  
             


                3,398,871  
             


Finance - Auto Loans — 0.7%

 

Ally Financial, Inc.
Sub. Notes
5.75% due 11/20/2025#

     3,688,000        3,895,450  

Credit Acceptance Corp.
Company Guar. Notes
7.38% due 03/15/2023

     1,808,000        1,864,500  
             


                5,759,950  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Finance - Commercial — 0.2%

 

Jefferies Finance LLC/JFIN Co-Issuer Corp.
Senior Notes
6.88% due 04/15/2022*

   $ 768,000      $ 746,880  

Jefferies Finance LLC/JFIN Co-Issuer Corp.
Senior Notes
7.38% due 04/01/2020*

     513,000        521,977  
             


                1,268,857  
             


Finance - Consumer Loans — 0.7%

 

Enova International, Inc.
Company Guar. Notes
9.75% due 06/01/2021

     2,385,000        2,444,625  

Navient Corp.
Senior Notes
5.63% due 08/01/2033

     1,439,000        1,165,590  

OneMain Financial Holdings LLC
Company Guar. Notes
6.75% due 12/15/2019*

     2,030,000        2,125,166  
             


                5,735,381  
             


Finance - Credit Card — 0.3%

 

Alliance Data Systems Corp.
Company Guar. Notes
5.88% due 11/01/2021*

     1,650,000        1,707,750  

American Express Credit Corp.
Senior Notes
1.70% due 10/30/2019#

     415,000        412,089  

American Express Credit Corp.
Senior Notes
2.25% due 05/05/2021

     589,000        584,901  
             


                2,704,740  
             


Finance - Investment Banker/Broker — 0.0%

 

Lehman Brothers Holdings, Inc.
Escrow Notes
5.50% due 04/04/2016†

     97,000        6,257  

Lehman Brothers Holdings, Inc.
Escrow Notes
6.75% due 12/28/2017†(4)(15)

     111,000        11  

Lehman Brothers Holdings, Inc.
Escrow Notes
7.50% due 05/11/2038†(4)(15)

     143,000        14  

TD Ameritrade Holding Corp.
Senior Notes
2.95% due 04/01/2022

     368,000        374,242  
             


                380,524  
             


Finance - Leasing Companies — 0.1%

 

International Lease Finance Corp.
Senior Notes
5.88% due 08/15/2022

     391,000        441,275  
             


Finance - Mortgage Loan/Banker — 0.3%

 

Quicken Loans, Inc.
Company Guar. Notes
5.75% due 05/01/2025*#

     2,375,000        2,339,375  
             


Finance - Other Services — 0.2%

 

CBOE Holdings, Inc.
Senior Notes
3.65% due 01/12/2027

     458,000        463,222  

National Rural Utilities Cooperative Finance Corp.
Senior Notes
0.95% due 04/24/2017

     261,000        260,936  

National Rural Utilities Cooperative Finance Corp.
Collateral Trust Bonds
2.00% due 01/27/2020

     524,000        522,231  
 

 

95


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Finance - Other Services (continued)

 

National Rural Utilities Cooperative Finance Corp.
Collateral Trust Bonds
2.30% due 11/01/2020

   $ 228,000      $ 227,138  
             


                1,473,527  
             


Firearms & Ammunition — 0.1%

 

FGI Operating Co. LLC/FGI Finance, Inc.
Sec. Notes
7.88% due 05/01/2020

     1,170,000        959,400  
             


Food - Flour & Grain — 0.2%

 

Post Holdings, Inc.
Company Guar. Notes
5.50% due 03/01/2025*#

     1,650,000        1,680,937  
             


Food - Meat Products — 0.0%

 

Smithfield Foods, Inc.
Company Guar. Notes
4.25% due 02/01/2027*

     173,000        176,763  
             


Food - Misc./Diversified — 0.1%

 

ConAgra Foods, Inc.
Senior Notes
3.20% due 01/25/2023

     243,000        243,412  

Kraft Heinz Foods Co.
Sec. Notes
4.88% due 02/15/2025*

     576,000        615,650  
             


                859,062  
             


Food - Retail — 0.3%

 

Albertsons Cos. LLC/Safeway, Inc.
Senior Notes
5.75% due 03/15/2025*

     1,025,000        1,026,922  

Albertsons Cos. LLC/Safeway, Inc.
Senior Notes
6.63% due 06/15/2024*

     1,395,000        1,478,700  
             


                2,505,622  
             


Food - Wholesale/Distribution — 0.3%

 

C&S Group Enterprises LLC
Senior Sec. Notes
5.38% due 07/15/2022*

     2,514,000        2,482,575  
             


Gambling (Non-Hotel) — 0.8%

 

Mohegan Tribal Gaming Authority
Company Guar. Notes
7.88% due 10/15/2024*#

     3,402,000        3,487,322  

Scientific Games International, Inc.
Company Guar. Notes
10.00% due 12/01/2022

     3,170,000        3,364,163  

Waterford Gaming LLC/Waterford Gaming Financial Corp.
Escrow Notes
8.63% due 09/14/2014*†(4)(15)

     272,905        3,520  
             


                6,855,005  
             


Gas - Distribution — 0.0%

 

Dominion Gas Holdings LLC
Senior Notes
4.80% due 11/01/2043

     249,000        262,497  
             


Hazardous Waste Disposal — 0.1%

 

Clean Harbors, Inc.
Company Guar. Notes
5.13% due 06/01/2021

     1,119,000        1,144,178  
             


Home Decoration Products — 0.0%

 

Newell Rubbermaid, Inc.
Senior Notes
5.38% due 04/01/2036

     164,000        186,990  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Home Furnishings — 0.2%

 

Tempur Sealy International, Inc.
Company Guar. Notes
5.50% due 06/15/2026#

   $ 1,651,000      $ 1,622,107  
             


Hotels/Motels — 0.2%

 

Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc.
Company Guar. Notes
6.13% due 12/01/2024*

     1,653,000        1,743,915  
             


Independent Power Producers — 0.5%

 

Calpine Corp.
Senior Notes
5.50% due 02/01/2024#

     1,760,000        1,742,400  

Dynegy, Inc.
Company Guar. Notes
8.00% due 01/15/2025*#

     2,355,000        2,237,250  
             


                3,979,650  
             


Industrial Gases — 0.1%

 

Airgas, Inc.
Company Guar. Notes
3.05% due 08/01/2020

     161,000        165,631  

Praxair, Inc.
Senior Notes
1.20% due 02/12/2024

   EUR  700,000        775,190  
             


                940,821  
             


Insurance Brokers — 0.0%

 

Marsh & McLennan Cos., Inc.
Senior Notes
4.35% due 01/30/2047#

     98,000        100,074  
             


Insurance - Life/Health — 0.2%

 

Aflac, Inc.
Senior Notes
4.00% due 10/15/2046

     305,000        292,593  

Jackson National Life Global Funding
Sec. Notes
3.05% due 04/29/2026*

     540,000        525,671  

Pacific LifeCorp
Senior Notes
6.00% due 02/10/2020*

     243,000        264,401  

Pricoa Global Funding I
Senior Sec. Notes
1.35% due 08/18/2017*

     634,000        634,177  

Unum Group
Senior Notes
5.75% due 08/15/2042

     179,000        201,650  
             


                1,918,492  
             


Insurance - Multi-line — 0.2%

 

Assurant, Inc.
Senior Notes
6.75% due 02/15/2034

     380,000        460,221  

MetLife, Inc.
Senior Notes
4.60% due 05/13/2046#

     257,000        273,332  

Metropolitan Life Global Funding I
Sec. Notes
2.30% due 04/10/2019*

     760,000        767,203  
             


                1,500,756  
             


Insurance - Mutual — 0.3%

 

Massachusetts Mutual Life Insurance Co.
Sub. Notes
4.50% due 04/15/2065*

     328,000        314,092  
 

 

96


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Insurance - Mutual (continued)

 

MassMutual Global Funding II
Senior Sec. Notes
2.35% due 04/09/2019*

   $ 946,000      $ 956,462  

MassMutual Global Funding II
Senior Sec. Notes
2.50% due 10/17/2022*

     387,000        379,356  

New York Life Global Funding
Sec. Notes
2.10% due 01/02/2019*

     490,000        493,779  
             


                2,143,689  
             


Insurance - Reinsurance — 0.1%

 

Berkshire Hathaway, Inc.
Senior Notes
0.63% due 01/17/2023

   EUR  430,000        460,602  

Berkshire Hathaway, Inc.
Senior Notes
1.15% due 08/15/2018

     407,000        405,000  
             


                865,602  
             


Internet Connectivity Services — 0.3%

 

Cogent Communications Group, Inc.
Senior Sec. Notes
5.38% due 03/01/2022*

     1,075,000        1,118,000  

Zayo Group LLC/Zayo Capital, Inc.
Company Guar. Notes
6.38% due 05/15/2025

     1,540,000        1,659,350  
             


                2,777,350  
             


Internet Content - Entertainment — 0.4%

 

Netflix, Inc.
Senior Notes
5.88% due 02/15/2025

     2,761,000        2,985,331  
             


Investment Management/Advisor Services — 0.3%

 

Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance
Senior Notes
5.00% due 08/01/2021*

     2,270,000        2,207,575  
             


Machinery - Construction & Mining — 0.2%

 

Terex Corp.
Company Guar. Notes
5.63% due 02/01/2025*

     1,551,000        1,591,714  
             


Machinery - Farming — 0.1%

 

John Deere Capital Corp.
Senior Notes
2.65% due 01/06/2022

     602,000        606,825  
             


Machinery - General Industrial — 0.1%

 

Roper Technologies, Inc.
Senior Notes
3.80% due 12/15/2026

     162,000        163,750  

Wabtec Corp.
Company Guar. Notes
3.45% due 11/15/2026*

     375,000        365,394  
             


                529,144  
             


Marine Services — 0.3%

 

Great Lakes Dredge & Dock Corp.
Company Guar. Notes
7.38% due 02/01/2019

     2,543,000        2,536,642  
             


Medical Labs & Testing Services — 0.1%

 

Laboratory Corp. of America Holdings
Senior Notes
3.20% due 02/01/2022

     149,000        149,738  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Medical Labs & Testing Services (continued)

 

Quest Diagnostics, Inc.
Senior Notes
3.45% due 06/01/2026

   $ 304,000      $ 301,509  

Roche Holdings, Inc.
Company Guar. Notes
1.75% due 01/28/2022*

     426,000        412,041  
             


                863,288  
             


Medical Products — 0.0%

 

Becton Dickinson and Co.
Senior Notes
3.13% due 11/08/2021

     337,000        345,134  
             


Medical - Biomedical/Gene — 0.3%

 

Amgen, Inc.
Senior Notes
1.25% due 02/25/2022

   EUR  675,000        742,404  

Amgen, Inc.
Senior Notes
2.00% due 02/25/2026

   EUR  190,000        216,454  

Amgen, Inc.
Senior Notes
4.40% due 05/01/2045

     211,000        206,904  

Baxalta, Inc.
Company Guar. Notes
3.60% due 06/23/2022

     414,000        420,899  

Celgene Corp.
Senior Notes
3.63% due 05/15/2024

     444,000        447,740  

Gilead Sciences, Inc.
Senior Notes
4.00% due 09/01/2036

     163,000        157,072  
             


                2,191,473  
             


Medical - Drugs — 0.2%

 

Forest Laboratories LLC
Company Guar. Notes
4.88% due 02/15/2021*

     560,000        605,631  

Johnson & Johnson
Senior Notes
3.63% due 03/03/2037

     715,000        713,184  
             


                1,318,815  
             


Medical - HMO — 0.3%

 

Centene Corp.
Senior Notes
4.75% due 01/15/2025

     1,190,000        1,224,213  

UnitedHealth Group, Inc.
Senior Notes
1.40% due 12/15/2017

     478,000        478,352  

UnitedHealth Group, Inc.
Senior Notes
2.13% due 03/15/2021

     398,000        394,858  

UnitedHealth Group, Inc.
Senior Notes
3.35% due 07/15/2022

     289,000        300,423  
             


                2,397,846  
             


Medical - Hospitals — 1.6%

 

CHS/Community Health Systems, Inc.
Company Guar. Notes
6.88% due 02/01/2022#

     3,110,000        2,729,025  

HCA, Inc.
Senior Sec. Notes
5.25% due 06/15/2026

     1,639,000        1,731,194  
 

 

97


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Medical - Hospitals (continued)

 

HCA, Inc.
Company Guar. Notes
7.50% due 11/15/2095

   $ 2,632,000      $ 2,566,200  

IASIS Healthcare LLC/IASIS Capital Corp.
Company Guar. Notes
8.38% due 05/15/2019#

     2,390,000        2,336,225  

RegionalCare Hospital Partners Holdings, Inc.
Senior Sec. Notes
8.25% due 05/01/2023*

     1,845,000        1,983,375  

Tenet Healthcare Corp.
Senior Sec. Notes
4.50% due 04/01/2021

     1,970,000        1,994,625  
             


                13,340,644  
             


Metal Processors & Fabrication — 0.5%

 

Grinding Media, Inc./MC Grinding Media Canada, Inc.
Senior Sec. Notes
7.38% due 12/15/2023*

     1,499,000        1,603,930  

Novelis Corp.
Company Guar. Notes
5.88% due 09/30/2026*

     1,280,000        1,316,800  

Novelis Corp.
Company Guar. Notes
6.25% due 08/15/2024*

     1,218,000        1,291,080  
             


                4,211,810  
             


Metal - Aluminum — 0.2%

 

Kaiser Aluminum Corp.
Company Guar. Notes
5.88% due 05/15/2024

     1,917,000        2,012,850  
             


Metal - Iron — 0.1%

 

Cliffs Natural Resources, Inc.
Company Guar. Bonds
5.75% due 03/01/2025*#

     1,092,000        1,071,252  
             


Mining — 0.0%

 

Renco Metals, Inc.
Escrow Notes
11.50% due 07/01/2003†(4)(15)

     75,000        2,250  
             


Multimedia — 0.2%

 

Time Warner, Inc.
Company Guar. Notes
3.80% due 02/15/2027

     332,000        328,436  

Time Warner, Inc.
Company Guar. Notes
4.85% due 07/15/2045

     457,000        453,604  

Viacom, Inc.
Senior Notes
5.25% due 04/01/2044

     160,000        157,105  

Viacom, Inc.
Senior Notes
5.85% due 09/01/2043

     223,000        236,818  

Walt Disney Co.
Senior Notes
1.65% due 01/08/2019#

     201,000        201,770  
             


                1,377,733  
             


Networking Products — 0.2%

 

Cisco Systems, Inc.
Senior Notes
1.40% due 02/28/2018

     518,000        519,100  

Cisco Systems, Inc.
Senior Notes
2.13% due 03/01/2019

     1,032,000        1,043,855  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Networking Products (continued)

 

Cisco Systems, Inc.
Senior Notes
2.20% due 02/28/2021

   $ 443,000      $ 443,905  
             


                2,006,860  
             


Office Automation & Equipment — 0.2%

 

CDW LLC/CDW Finance Corp.
Company Guar. Notes
5.00% due 09/01/2025

     1,645,000        1,668,655  

Pitney Bowes, Inc.
Senior Notes
3.38% due 10/01/2021

     53,000        52,011  
             


                1,720,666  
             


Oil Companies - Exploration & Production — 2.6%

 

Anadarko Petroleum Corp.
Senior Notes
6.45% due 09/15/2036

     745,000        902,588  

Carrizo Oil & Gas, Inc.
Company Guar. Notes
6.25% due 04/15/2023#

     1,600,000        1,620,000  

Chesapeake Energy Corp.
Company Guar. Notes
8.00% due 01/15/2025*#

     2,235,000        2,218,237  

Concho Resources, Inc.
Company Guar. Notes
4.38% due 01/15/2025

     485,000        492,275  

Denbury Resources, Inc.
Company Guar. Notes
5.50% due 05/01/2022

     1,205,000        994,125  

Denbury Resources, Inc.
Sec. Notes
9.00% due 05/15/2021*

     2,850,000        3,070,875  

EP Energy LLC/Everest Acquisition Finance, Inc.
Senior Sec. Notes
8.00% due 11/29/2024*

     700,000        742,000  

Hess Corp.
Senior Notes
4.30% due 04/01/2027

     293,000        293,085  

Hess Corp.
Senior Notes
5.60% due 02/15/2041#

     566,000        580,613  

Hilcorp Energy I LP/Hilcorp Finance Co.
Senior Notes
5.00% due 12/01/2024*

     1,589,000        1,521,467  

Hilcorp Energy I LP/Hilcorp Finance Co.
Senior Notes
5.75% due 10/01/2025*

     86,000        85,355  

Marathon Oil Corp.
Senior Notes
5.20% due 06/01/2045

     177,000        177,752  

Newfield Exploration Co.
Senior Notes
5.38% due 01/01/2026

     1,588,000        1,655,490  

Noble Energy, Inc.
Senior Notes
3.90% due 11/15/2024#

     513,000        524,439  

Noble Energy, Inc.
Senior Notes
5.05% due 11/15/2044

     301,000        313,136  

Occidental Petroleum Corp.
Senior Notes
4.40% due 04/15/2046

     140,000        143,380  

Rex Energy Corp.
Sec. Notes
8.00% due 10/01/2020(18)

     1,134,445        680,667  
 

 

98


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Oil Companies-Exploration & Production (continued)

 

RSP Permian, Inc.
Company Guar. Notes
5.25% due 01/15/2025*

   $ 1,500,000      $ 1,537,500  

Sanchez Energy Corp.
Company Guar. Notes
6.13% due 01/15/2023#

     955,000        916,800  

SM Energy Co.
Senior Notes
5.63% due 06/01/2025#

     899,000        850,679  

SM Energy Co.
Senior Notes
6.50% due 01/01/2023

     297,000        297,743  

WPX Energy, Inc.
Senior Notes
7.50% due 08/01/2020

     1,850,000        1,993,375  
             


                21,611,581  
             


Oil Companies - Integrated — 0.2%

 

Chevron Corp.
Senior Notes
1.37% due 03/02/2018

     597,000        597,032  

Chevron Corp.
Senior Notes
1.96% due 03/03/2020

     329,000        329,328  

Chevron Corp.
Senior Bonds
1.99% due 03/03/2020

     362,000        362,000  

Exxon Mobil Corp.
Senior Notes
1.31% due 03/06/2018

     333,000        333,116  
             


                1,621,476  
             


Oil Field Machinery & Equipment — 0.2%

 

Forum Energy Technologies, Inc.
Company Guar. Notes
6.25% due 10/01/2021

     1,399,000        1,405,995  
             


Oil Refining & Marketing — 0.2%

 

PBF Holding Co. LLC/PBF Finance Corp.
Senior Sec. Notes
7.00% due 11/15/2023#

     2,020,000        2,030,100  
             


Oil - Field Services — 0.5%

 

Bristow Group, Inc.
Company Guar. Notes
6.25% due 10/15/2022#

     2,708,000        2,349,190  

SESI LLC
Company Guar. Notes
7.13% due 12/15/2021#

     1,396,000        1,434,390  
             


                3,783,580  
             


Paper & Related Products — 0.6%

 

Domtar Corp.
Company Guar. Notes
6.75% due 02/15/2044

     700,000        748,970  

Georgia-Pacific LLC
Senior Notes
3.60% due 03/01/2025*#

     1,152,000        1,178,040  

Georgia-Pacific LLC
Senior Notes
3.73% due 07/15/2023*#

     1,253,000        1,301,342  

Georgia-Pacific LLC
Company Guar. Notes
5.40% due 11/01/2020*

     357,000        392,375  

International Paper Co.
Senior Notes
4.40% due 08/15/2047

     199,000        192,128  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Paper & Related Products (continued)

 

PH Glatfelter Co.
Company Guar. Notes
5.38% due 10/15/2020

   $ 1,247,000      $ 1,271,940  
             


                5,084,795  
             


Pharmacy Services — 0.1%

 

Express Scripts Holding Co.
Company Guar. Notes
3.00% due 07/15/2023

     215,000        208,931  

Express Scripts Holding Co.
Company Guar. Notes
4.80% due 07/15/2046#

     308,000        299,875  
             


                508,806  
             


Pipelines — 2.7%

 

Antero Midstream Partners LP/Antero Midstream Finance Corp.
Company Guar. Notes
5.38% due 09/15/2024*

     1,279,000        1,298,185  

Cheniere Corpus Christi Holdings LLC
Senior Sec. Notes
7.00% due 06/30/2024*#

     2,655,000        2,973,600  

Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp.
Company Guar. Notes
4.15% due 08/15/2026*

     376,000        367,390  

Columbia Pipeline Group, Inc.
Company Guar. Notes
2.45% due 06/01/2018

     115,000        115,627  

Energy Transfer Partners LP
Senior Notes
4.90% due 03/15/2035

     186,000        180,710  

Energy Transfer Partners LP
Senior Notes
6.05% due 06/01/2041

     45,000        48,390  

Energy Transfer Partners LP
Senior Notes
6.63% due 10/15/2036

     837,000        958,531  

EnLink Midstream Partners LP
Senior Notes
4.40% due 04/01/2024

     178,000        181,057  

EnLink Midstream Partners LP
Senior Notes
4.85% due 07/15/2026

     382,000        400,487  

EnLink Midstream Partners LP
Senior Notes
5.05% due 04/01/2045

     463,000        441,380  

Enterprise Products Operating LLC
Company Guar. Notes
3.95% due 02/15/2027#

     239,000        246,015  

Enterprise Products Operating LLC
Company Guar. Notes
4.85% due 03/15/2044

     150,000        155,420  

Genesis Energy LP/Genesis Energy Finance Corp.
Company Guar. Notes
5.63% due 06/15/2024

     2,287,000        2,281,282  

Genesis Energy LP/Genesis Energy Finance Corp.
Company Guar. Notes
6.00% due 05/15/2023

     933,000        944,662  

Holly Energy Partners LP/Holly Energy Finance Corp.
Company Guar. Notes
6.00% due 08/01/2024*

     1,407,000        1,477,350  

Kinder Morgan Energy Partners LP
Company Guar. Notes
3.45% due 02/15/2023

     326,000        324,713  
 

 

99


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Pipelines (continued)

 

Kinder Morgan Energy Partners LP
Company Guar. Notes
4.70% due 11/01/2042

   $ 216,000      $ 202,999  

Kinder Morgan Energy Partners LP
Company Guar. Notes
5.63% due 09/01/2041

     176,000        180,047  

Kinder Morgan, Inc.
Company Guar. Notes
5.00% due 02/15/2021*#

     402,000        432,380  

Kinder Morgan, Inc.
Company Guar. Notes
5.55% due 06/01/2045

     151,000        159,339  

MPLX LP
Senior Notes
4.13% due 03/01/2027

     313,000        314,973  

MPLX LP
Senior Notes
5.20% due 03/01/2047

     171,000        174,052  

Phillips 66 Partners LP
Senior Notes
4.90% due 10/01/2046

     190,000        186,925  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
3.60% due 11/01/2024

     183,000        178,685  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
3.85% due 10/15/2023

     219,000        221,336  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
4.50% due 12/15/2026

     279,000        286,891  

Rose Rock Midstream LP/Rose Rock Finance Corp.
Company Guar. Notes
5.63% due 07/15/2022

     1,754,000        1,723,305  

Spectra Energy Partners LP
Senior Notes
3.38% due 10/15/2026

     223,000        215,084  

Summit Midstream Holdings LLC/Summit Midstream Finance Corp.
Company Guar. Notes
5.50% due 08/15/2022

     1,678,000        1,698,975  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
Company Guar. Notes
5.50% due 09/15/2024*

     1,500,000        1,515,000  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.
Company Guar. Notes
5.88% due 10/01/2020

     783,000        807,077  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.
Company Guar. Notes
6.13% due 10/15/2021

     1,440,000        1,503,000  

Western Gas Partners LP
Senior Notes
4.65% due 07/01/2026

     408,000        426,777  
             


                22,621,644  
             


Power Converter/Supply Equipment — 0.0%

 

Hubbell, Inc.
Senior Notes
3.35% due 03/01/2026

     355,000        354,748  
             


Printing - Commercial — 0.2%

 

Quad/Graphics, Inc.
Company Guar. Notes
7.00% due 05/01/2022#

     1,909,000        1,904,227  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Radio — 0.1%

 

Sirius XM Radio, Inc.
Company Guar. Notes
5.38% due 07/15/2026*

   $ 1,113,000      $ 1,135,260  
             


Real Estate Investment Trusts — 1.1%

 

American Tower Corp.
Senior Notes
3.13% due 01/15/2027

     479,000        447,413  

American Tower Corp.
Senior Notes
3.38% due 10/15/2026

     258,000        246,665  

Columbia Property Trust Operating Partnership LP
Company Guar. Notes
3.65% due 08/15/2026

     152,000        147,193  

Corrections Corp. of America
Company Guar. Notes
5.00% due 10/15/2022

     587,000        598,740  

CTR Partnership LP/CareTrust Capital Corp.
Company Guar. Notes
5.88% due 06/01/2021

     1,825,000        1,875,188  

ESH Hospitality, Inc.
Company Guar. Notes
5.25% due 05/01/2025*#

     999,000        1,007,741  

Iron Mountain US Holdings, Inc.
Company Guar. Notes
5.38% due 06/01/2026*

     314,000        312,430  

iStar, Inc.
Senior Notes
6.50% due 07/01/2021

     1,210,000        1,273,525  

Realty Income Corp.
Senior Notes
3.00% due 01/15/2027

     137,000        130,274  

Simon Property Group LP
Senior Notes
4.25% due 11/30/2046

     289,000        288,606  

Starwood Property Trust, Inc.
Senior Notes
5.00% due 12/15/2021*

     2,811,000        2,919,926  
             


                9,247,701  
             


Real Estate Management/Services — 0.5%

 

Kennedy-Wilson, Inc.
Company Guar. Notes
5.88% due 04/01/2024

     2,626,000        2,737,605  

Realogy Group LLC/Realogy Co-Issuer Corp.
Company Guar. Notes
4.88% due 06/01/2023*

     1,320,000        1,300,200  
             


                4,037,805  
             


Rental Auto/Equipment — 0.5%

 

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
Company Guar. Notes
5.25% due 03/15/2025*#

     1,590,000        1,522,425  

ERAC USA Finance LLC
Company Guar. Notes
4.20% due 11/01/2046*

     672,000        627,251  

Hertz Corp.
Company Guar. Notes
5.50% due 10/15/2024*#

     1,971,000        1,778,827  
             


                3,928,503  
             


Retail - Appliances — 0.4%

 

Conn’s, Inc.
Company Guar. Notes
7.25% due 07/15/2022#

     3,674,000        3,205,565  
             


 

 

100


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Retail - Building Products — 0.0%

 

Home Depot, Inc.
Senior Notes
2.00% due 04/01/2021

   $ 34,000      $ 33,908  

Home Depot, Inc.
Senior Notes
3.50% due 09/15/2056

     219,000        195,572  
             


                229,480  
             


Retail - Discount — 0.1%

 

Costco Wholesale Corp.
Senior Notes
2.25% due 02/15/2022

     618,000        615,417  
             


Retail - Drug Store — 0.1%

 

CVS Pass-Through Trust
Pass-Through Certs.
4.70% due 01/10/2036*

     282,395        296,906  

CVS Pass-Through Trust
Pass-Through Certs.
5.77% due 01/10/2033*

     180,184        204,269  

CVS Pass-Through Trust
Pass-Through Certs.
5.93% due 01/10/2034*

     385,682        445,596  
             


                946,771  
             


Retail - Restaurants — 0.2%

 

Brinker International, Inc.
Company Guar. Notes
5.00% due 10/01/2024*

     1,600,000        1,572,000  

McDonald’s Corp.
Senior Notes
4.70% due 12/09/2035

     67,000        71,129  
             


                1,643,129  
             


Rubber/Plastic Products — 0.0%

 

Venture Holdings Co. LLC
Company Guar. Notes
11.00% due 06/01/2007*†(4)(8)(15)(16)

     25,000        0  
             


Satellite Telecom — 0.2%

 

Hughes Satellite Systems Corp.
Company Guar. Notes
7.63% due 06/15/2021

     1,514,000        1,678,647  
             


Savings & Loans/Thrifts — 0.6%

 

Astoria Financial Corp.
Senior Notes
5.00% due 06/19/2017

     638,000        642,167  

First Niagara Financial Group, Inc.
Senior Notes
6.75% due 03/19/2020

     2,196,000        2,478,133  

First Niagara Financial Group, Inc.
Sub. Notes
7.25% due 12/15/2021

     1,358,000        1,603,586  
             


                4,723,886  
             


Soap & Cleaning Preparation — 0.2%

 

Kronos Acquisition Holdings, Inc.
Company Guar. Notes
9.00% due 08/15/2023*

     1,560,000        1,593,150  
             


Steel - Producers — 0.2%

 

AK Steel Corp.
Senior Sec. Notes
7.50% due 07/15/2023

     1,595,000        1,742,537  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Telecom Services — 0.2%

 

Embarq Corp.
Senior Notes
8.00% due 06/01/2036

   $ 1,430,000      $ 1,434,692  
             


Telecommunication Equipment — 0.2%

 

Plantronics, Inc.
Company Guar. Notes
5.50% due 05/31/2023*

     1,771,000        1,802,896  
             


Telephone - Integrated — 1.1%

 

AT&T, Inc.
Senior Notes
3.00% due 06/30/2022

     1,018,000        1,011,496  

AT&T, Inc.
Senior Notes
4.35% due 06/15/2045

     560,000        496,757  

AT&T, Inc.
Senior Notes
4.50% due 05/15/2035

     704,000        667,727  

AT&T, Inc.
Senior Notes
4.75% due 05/15/2046

     438,000        409,585  

AT&T, Inc.
Senior Notes
5.25% due 03/01/2037

     343,000        353,863  

AT&T, Inc.
Senior Notes
5.80% due 02/15/2019

     247,000        265,293  

Sprint Capital Corp.
Company Guar. Notes
8.75% due 03/15/2032

     3,360,000        4,032,000  

Verizon Communications, Inc.
Senior Notes
3.00% due 11/01/2021

     610,000        615,672  

Verizon Communications, Inc.
Senior Notes
4.40% due 11/01/2034

     250,000        240,001  

Verizon Communications, Inc.
Senior Notes
4.67% due 03/15/2055

     1,059,000        964,114  

Verizon Communications, Inc.
Senior Notes
4.86% due 08/21/2046

     62,000        60,465  
             


                9,116,973  
             


Television — 0.1%

 

Belo Corp.
Company Guar. Notes
7.75% due 06/01/2027

     515,000        560,063  
             


Tools - Hand Held — 0.0%

 

Snap-on, Inc.
Senior Notes
3.25% due 03/01/2027

     215,000        217,840  
             


Transport - Equipment & Leasing — 0.1%

 

GATX Corp.
Senior Notes
3.25% due 09/15/2026

     200,000        191,127  

GATX Corp.
Senior Notes
3.85% due 03/30/2027

     323,000        322,742  
             


                513,869  
             


Transport - Rail — 0.0%

 

Burlington Northern Santa Fe LLC
Senior Notes
3.90% due 08/01/2046

     203,000        200,096  
 

 

101


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. CORPORATE BONDS & NOTES (continued)

 

Transport - Rail (continued)

 

CSX Corp.
Senior Notes
4.25% due 11/01/2066

   $ 227,000      $ 208,902  
             


                408,998  
             


Transport - Services — 0.0%

 

FedEx Corp.
Company Guar. Notes
4.40% due 01/15/2047

     229,000        228,100  
             


Travel Services — 0.2%

 

Sabre GLBL, Inc.
Senior Sec. Notes
5.38% due 04/15/2023*

     1,400,000        1,424,500  
             


Trucking/Leasing — 0.0%

 

Penske Truck Leasing Co. LP/PTL Finance Corp.
Senior Notes
3.38% due 02/01/2022*

     213,000        216,989  
             


Wire & Cable Products — 0.2%

 

General Cable Corp.
Company Guar. Notes
5.75% due 10/01/2022

     1,707,000        1,672,860  
             


Total U.S. Corporate Bonds & Notes

                 

(cost $368,212,465)

              378,203,913  
             


FOREIGN CORPORATE BONDS & NOTES — 18.2%

 

Aerospace/Defense — 0.1%

                 

BAE Systems PLC
Senior Notes
4.13% due 06/08/2022

   GBP 350,000        491,927  

Embraer Netherlands Finance BV
Company Guar. Notes
5.40% due 02/01/2027

     140,000        145,040  
             


                636,967  
             


Agricultural Chemicals — 0.0%

 

Potash Corp. of Saskatchewan, Inc.
Senior Notes
4.00% due 12/15/2026

     211,000        214,674  
             


Airlines — 0.0%

 

Latam Airlines Group SA*
Senior Notes
7.25% due 06/09/2020

     300,000        316,500  
             


Airport Development/Maintenance — 0.2%

 

Heathrow Funding, Ltd.
Senior Sec. Notes
1.88% due 05/23/2024

   EUR  1,300,000        1,481,709  

Heathrow Funding, Ltd.
Senior Sec. Notes
6.75% due 12/03/2028

   GBP 225,000        386,545  
             


                1,868,254  
             


Appliances — 0.0%

 

Arcelik AS
Senior Notes
5.00% due 04/03/2023

     250,000        246,690  
             


Auto - Cars/Light Trucks — 0.4%

 

Daimler AG
Senior Notes
2.75% due 12/04/2020

   GBP 475,000        627,838  

FCE Bank PLC
Senior Notes
1.53% due 11/09/2020

   EUR 600,000        662,229  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Auto - Cars/Light Trucks (continued)

 

FCE Bank PLC
Senior Notes
1.62% due 05/11/2023

   EUR  600,000      $ 659,791  

RCI Banque SA
Senior Notes
2.25% due 03/29/2021

   EUR 800,000        904,407  

Volkswagen International Finance NV
Company Guar. Notes
2.38% due 03/22/2017*

     151,000        151,086  
             


                3,005,351  
             


Banks - Commercial — 2.4%

 

ADCB Finance Cayman, Ltd.
Company Guar. Notes
4.50% due 03/06/2023

     325,000        336,375  

Australia & New Zealand Banking Group, Ltd.
Senior Notes
1.60% due 07/15/2019

     360,000        356,782  

Banco de Credito del Peru/Panama
Senior Notes
5.38% due 09/16/2020

     450,000        489,375  

Banco Macro SA VRS
Sub. Notes
6.75% due 11/04/2026*

     330,000        331,617  

Bangkok Bank PCL
Senior Notes
3.88% due 09/27/2022

     350,000        363,780  

Bank of China, Ltd.
Sub. Notes
5.00% due 11/13/2024

     275,000        292,936  

Bank of Montreal
Senior Notes
2.10% due 12/12/2019

     256,000        256,637  

Barclays Bank PLC
Sub. Notes
6.63% due 03/30/2022

   EUR 800,000        1,056,990  

BPCE SA VRS
Sub. Notes
2.75% due 11/30/2027

   EUR 1,000,000        1,084,518  

BPCE SA
Senior Notes
2.88% due 01/16/2024

   EUR 600,000        725,117  

Cooperatieve Rabobank UA
Senior Notes
4.55% due 08/30/2029

   GBP 250,000        387,801  

Credit Suisse AG
Senior Notes
1.70% due 04/27/2018

     262,000        261,969  

Credit Suisse AG
Senior Notes
3.00% due 10/29/2021

     395,000        399,358  

Credit Suisse AG VRS
Sub. Notes
5.75% due 09/18/2025

   EUR 700,000        825,810  

Danske Bank A/S VRS
Sub. Notes
3.88% due 10/04/2023

   EUR 625,000        699,827  

DBS Group Holdings, Ltd.
Senior Notes
2.25% due 07/16/2019*

     798,000        801,222  

Dexia Credit Local SA
Government Guar. Notes
2.25% due 02/18/2020*

     485,000        483,711  

HBOS PLC
Sub. Notes
5.37% due 06/30/2021

   EUR  1,400,000        1,753,131  
 

 

102


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

 

Banks - Commercial (continued)

 

HSBC Bank PLC VRS
Sub. Notes
5.00% due 03/20/2023

   GBP 875,000      $ 1,124,953  

ICICI Bank, Ltd.
Senior Notes
5.75% due 11/16/2020

     350,000        385,305  

ING Bank NV VRS
Sub. Notes
3.00% due 04/11/2028

   EUR  700,000        779,615  

Intesa Sanpaolo SpA
Senior Notes
1.13% due 01/14/2020

   EUR  900,000        969,005  

Mizuho Bank, Ltd.
Company Guar. Notes
2.15% due 10/20/2018*

     314,000        314,667  

Mizuho Bank, Ltd.
Company Guar. Notes
2.45% due 04/16/2019*

     385,000        387,193  

National Bank of Canada
Bank Guar. Notes
2.10% due 12/14/2018

     474,000        476,087  

Shinhan Bank
Sub. Bonds
3.88% due 03/24/2026*

     200,000        201,472  

Standard Chartered PLC
Sub. Notes
3.13% due 11/19/2024

   EUR 1,050,000        1,174,360  

Sumitomo Mitsui Banking Corp.
Company Guar. Notes
1.97% due 01/11/2019

     1,309,000        1,308,512  

Toronto-Dominion Bank
Senior Notes
1.80% due 07/13/2021

     583,000        568,985  

Turkiye Is Bankasi AS
Senior Notes
5.38% due 10/06/2021*

     200,000        198,316  

Union National Bank PJSC
Senior Notes
2.75% due 10/05/2021

     340,000        332,872  

Westpac Banking Corp. VRS
Sub. Notes
4.32% due 11/23/2031

     292,000        294,804  
             


                19,423,102  
             


Banks - Money Center — 0.3%

                 

ABN AMRO Bank NV
Senior Notes
2.50% due 11/29/2023

   EUR  475,000        571,088  

ABN AMRO Bank NV
Sub. Notes
7.13% due 07/06/2022

   EUR  800,000        1,086,254  

Lloyds Bank PLC
Sub. Notes
9.63% due 04/06/2023

   GBP 635,000        1,082,470  
             


                2,739,812  
             


Banks - Special Purpose — 0.2%

                 

Development Bank of Kazakhstan
Senior Notes
4.13% due 12/10/2022

     425,000        420,422  

Nederlandse Waterschapsbank NV
Senior Notes
1.13% due 01/28/2019

   EUR  1,000,000        1,090,075  
             


                1,510,497  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Beverages - Non-alcoholic — 0.1%

                 

Coca-Cola Femsa SAB de CV
Company Guar. Notes
2.38% due 11/26/2018

   $ 856,000      $ 863,515  
             


Beverages - Wine/Spirits — 0.1%

                 

Diageo Capital PLC
Company Guar. Notes
5.75% due 10/23/2017

     657,000        675,332  
             


Brewery — 0.2%

                 

Anheuser-Busch InBev SA/NV
Company Guar. Notes
2.75% due 03/17/2036

   EUR 780,000        893,265  

Anheuser-Busch InBev SA/NV/old
Company Guar. Notes
2.75% due 03/17/2036

   EUR  380,000        435,180  
             


                1,328,445  
             


Building Products - Air & Heating — 0.0%

                 

Johnson Controls International PLC
Senior Notes
4.50% due 02/15/2047

     131,000        134,791  
             


Building Products - Cement — 0.0%

                 

St Marys Cement, Inc.
Company Guar. Notes
5.75% due 01/28/2027*

     350,000        355,250  
             


Building Societies — 0.0%

                 

Nationwide Building Society
Sub. Notes
4.00% due 09/14/2026*

     265,000        255,233  
             


Building - Residential/Commercial — 0.3%

                 

Mattamy Group Corp.
Company Guar. Notes
6.50% due 11/15/2020*

     1,650,000        1,695,375  

Mattamy Group Corp.
Senior Notes
6.88% due 12/15/2023*

     770,000        804,650  
             


                2,500,025  
             


Cable/Satellite TV — 1.6%

                 

Altice Financing SA
Senior Sec. Notes
7.50% due 05/15/2026*

     3,080,000        3,307,150  

Altice Luxembourg SA
Company Guar. Notes
7.63% due 02/15/2025*#

     3,040,000        3,237,600  

Numericable-SFR SA
Senior Sec. Notes
7.38% due 05/01/2026*

     4,767,000        4,939,804  

Ziggo Secured Finance BV
Senior Sec. Notes
5.50% due 01/15/2027*

     1,625,000        1,645,312  
             


                13,129,866  
             


Cellular Telecom — 0.1%

                 

Empresa Nacional de Telecomunicaciones SA
Senior Notes
4.88% due 10/30/2024

     350,000        362,013  

GTH Finance BV
Company Guar. Notes
7.25% due 04/26/2023*

     225,000        248,062  

VimpelCom Holdings BV
Company Guar. Notes
5.95% due 02/13/2023

     200,000        210,202  
             


                820,277  
             


 

 

103


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

 

Chemicals - Diversified — 0.2%

                 

Israel Chemicals, Ltd.
Senior Notes
4.50% due 12/02/2024*

   $ 310,000      $ 310,468  

LYB International Finance II BV
Company Guar. Notes
3.50% due 03/02/2027

     443,000        440,895  

NOVA Chemicals Corp.
Senior Notes
5.00% due 05/01/2025*

     880,000        891,000  
             


                1,642,363  
             


Computers - Memory Devices — 0.3%

                 

Seagate HDD Cayman
Company Guar. Notes
4.25% due 03/01/2022*

     425,000        420,366  

Seagate HDD Cayman
Company Guar. Notes
4.75% due 01/01/2025

     1,690,000        1,635,033  
             


                2,055,399  
             


Cruise Lines — 0.7%

                 

NCL Corp., Ltd.
Senior Notes
4.75% due 12/15/2021*

     1,465,000        1,494,300  

Royal Caribbean Cruises, Ltd.
Senior Notes
5.25% due 11/15/2022#

     778,000        871,127  

Royal Caribbean Cruises, Ltd.
Senior Notes
7.50% due 10/15/2027

     1,110,000        1,368,075  

Silversea Cruise Finance, Ltd.
Senior Sec. Notes
7.25% due 02/01/2025*

     1,650,000        1,720,125  
             


                5,453,627  
             


Diversified Banking Institutions — 1.4%

 

Barclays PLC
Senior Notes
4.95% due 01/10/2047

     329,000        334,865  

BNP Paribas SA
Senior Notes
2.88% due 09/26/2023

   EUR 875,000        1,049,475  

BNP Paribas SA
Senior Notes
3.80% due 01/10/2024*#

     671,000        666,779  

Credit Agricole SA
Sub. Notes
3.90% due 04/19/2021

   EUR 750,000        902,011  

Credit Agricole SA
Senior Notes
4.13% due 01/10/2027*

     485,000        479,883  

Credit Agricole SA
Senior Notes
5.50% due 12/17/2021

   GBP 600,000        894,075  

Credit Suisse Group AG
Senior Notes
4.28% due 01/09/2028*

     997,000        1,000,601  

HSBC Holdings PLC
Senior Notes
2.65% due 01/05/2022

     492,000        485,257  

HSBC Holdings PLC
Sub. Notes
4.25% due 08/18/2025

     224,000        227,286  

HSBC Holdings PLC
Sub. Notes
4.38% due 11/23/2026

     231,000        233,833  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Diversified Banking Institutions (continued)

 

Lloyds Banking Group PLC
Sub. Notes
4.58% due 12/10/2025#

   $ 652,000      $ 663,927  

Mitsubishi UFJ Financial Group, Inc.
Senior Notes
2.95% due 03/01/2021

     586,000        592,315  

Mizuho Financial Group, Inc.
Senior Notes
2.27% due 09/13/2021

     396,000        387,141  

Royal Bank of Scotland Group PLC
Senior Notes
3.88% due 09/12/2023

     201,000        198,515  

Royal Bank of Scotland PLC VRS
Sub. Notes
10.50% due 03/16/2022

   EUR 1,965,000        2,090,130  

UBS AG VRS
Sub. Notes
4.75% due 02/12/2026

   EUR 1,400,000        1,626,557  
             


                11,832,650  
             


Diversified Financial Services — 0.2%

 

GE Capital International Funding Co. ULC
Company Guar. Notes
4.42% due 11/15/2035

     1,484,000        1,589,492  
             


Diversified Manufacturing Operations — 0.0%

 

Ingersoll-Rand Luxembourg Finance SA
Company Guar. Notes
4.65% due 11/01/2044

     234,000        243,086  
             


E-Commerce/Products — 0.1%

 

Alibaba Group Holding, Ltd.
Senior Notes
3.60% due 11/28/2024

     500,000        506,181  
             


Electric - Distribution — 0.0%

 

State Grid Overseas Investment 2014, Ltd.*
Company Guar. Notes
4.13% due 05/07/2024

     300,000        318,525  
             


Electric - Generation — 0.1%

 

Abu Dhabi National Energy Co. PJSC
Senior Notes
4.38% due 06/22/2026*#

     200,000        205,313  

Comision Federal de Electricidad
Senior Notes
4.75% due 02/23/2027*

     200,000        196,800  

Electricite de France SA
Senior Notes
2.35% due 10/13/2020*

     553,000        550,259  

Electricite de France SA
Senior Notes
6.00% due 01/22/2114*

     54,000        54,570  
             


                1,006,942  
             


Electric - Integrated — 0.5%

 

Enel Finance International NV
Company Guar. Notes
5.00% due 09/14/2022

   EUR 900,000        1,184,317  

Enel Finance International NV
Company Guar. Notes
5.63% due 08/14/2024

   GBP 225,000        341,205  

GDF Suez
Senior Notes
2.38% due 05/19/2026

   EUR 1,400,000        1,660,020  

Iberdrola International BV
Company Guar. Notes
2.50% due 10/24/2022

   EUR 800,000        940,249  
             


                4,125,791  
             


 

 

104


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Energy - Alternate Sources — 0.0%

 

Genneia SA
Senior Notes
8.75% due 01/20/2022*

   $ 325,000      $ 338,488  
             


Finance - Leasing Companies — 0.7%

 

Aircastle, Ltd.
Senior Notes
5.00% due 04/01/2023

     2,785,000        2,934,694  

Fly Leasing, Ltd.
Senior Notes
6.38% due 10/15/2021

     2,320,000        2,412,800  
             


                5,347,494  
             


Food - Meat Products — 0.1%

 

BRF SA
Senior Notes
7.75% due 05/22/2018*(15)

   BRL 1,000,000        305,850  

Minerva Luxembourg SA
Company Guar. Notes
6.50% due 09/20/2026*

     200,000        198,500  
             


                504,350  
             


Food - Misc./Diversified — 0.0%

 

BRF GmbH
Company Guar. Notes
4.35% due 09/29/2026*

     200,000        190,500  
             


Food - Retail — 0.3%

 

Casino Guichard-Perrachon SA
Senior Notes
5.98% due 05/26/2021

   EUR 1,400,000        1,747,351  

Cencosud SA
Company Guar. Notes
5.15% due 02/12/2025

     300,000        314,371  
             


                2,061,722  
             


Gas - Distribution — 0.0%

 

Gas Natural Capital Markets SA
Company Guar. Notes
5.13% due 11/02/2021

   EUR 200,000        258,585  
             


Gas - Transportation — 0.0%

 

Transportadora de Gas del Peru SA
Senior Notes
4.25% due 04/30/2028

     320,000        321,040  
             


Gold Mining — 0.0%

 

Goldcorp, Inc.
Senior Notes
5.45% due 06/09/2044

     229,000        248,521  
             


Hazardous Waste Disposal — 0.3%

 

Tervita Escrow Corp.
Sec. Notes
7.63% due 12/01/2021*

     2,215,000        2,314,675  
             


Insurance - Life/Health — 0.1%

 

AIA Group, Ltd.
Senior Notes
4.50% due 03/16/2046*

     258,000        262,524  

Manulife Financial Corp. VRS
Sub. Notes
4.06% due 02/24/2032#

     501,000        503,942  
             


                766,466  
             


Insurance - Multi-line — 0.2%

 

Willow No 2 Ireland PLC for Zurich Insurance Co., Ltd.
Senior Sec. Notes
3.38% due 06/27/2022

   EUR 500,000        612,296  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Insurance - Multi-line (continued)

 

XLIT, Ltd.
Company Guar. Notes
4.45% due 03/31/2025

   $ 264,000      $ 267,422  

XLIT, Ltd.
Company Guar. Notes
5.50% due 03/31/2045

     465,000        465,481  
             


                1,345,199  
             


Investment Companies — 0.0%

 

Huarong Finance II Co., Ltd.
Company Guar. Notes
3.25% due 06/03/2021

     350,000        346,699  
             


Investment Management/Advisor Services — 0.1%

 

China Cinda Finance 2015 I, Ltd.
Company Guar. Notes
4.25% due 04/23/2025*

     600,000        600,692  
             


Machinery - General Industrial — 0.2%

 

ATS Automation Tooling Systems, Inc.
Senior Notes
6.50% due 06/15/2023*

     1,244,000        1,299,980  
             


Medical - Drugs — 0.0%

 

Teva Pharmaceutical Finance Netherlands III BV
Company Guar. Notes
2.80% due 07/21/2023

     403,000        382,473  
             


Medical - Generic Drugs — 0.1%

 

Actavis Funding SCS
Company Guar. Notes
3.00% due 03/12/2020

     522,000        531,715  
             


Metal Processors & Fabrication — 0.0%

                 

Elementia SAB de CV
Company Guar. Notes
5.50% due 01/15/2025

     325,000        319,313  
             


Metal - Copper — 0.6%

 

First Quantum Minerals, Ltd.
Company Guar. Notes
7.25% due 05/15/2022*#

     2,794,000        2,888,297  

Hudbay Minerals, Inc.
Company Guar. Notes
7.63% due 01/15/2025*

     1,907,000        2,083,398  
             


                4,971,695  
             


Metal - Diversified — 0.3%

 

Glencore Canada Financial Corp.
Company Guar. Notes
7.38% due 05/27/2020

   GBP 400,000        581,710  

Glencore Finance Europe SA
Company Guar. Notes
3.75% due 04/01/2026

   EUR 750,000        897,938  

Glencore Finance Europe SA
Company Guar. Notes
6.00% due 04/03/2022

   GBP 700,000        1,009,716  

Vedanta Resources PLC
Senior Notes
6.38% due 07/30/2022*

     330,000        338,085  
             


                2,827,449  
             


Metal - Iron — 0.1%

 

NLMK Group
Senior Notes
4.50% due 06/15/2023

     350,000        355,250  

Vale Overseas, Ltd.
Company Guar. Notes
6.25% due 08/10/2026

     264,000        291,390  
             


                646,640  
             


 

 

105


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Oil & Gas Drilling — 0.1%

 

Pacific Drilling SA
Senior Sec. Notes
5.38% due 06/01/2020*#

   $ 1,472,000      $ 680,800  
             


Oil Companies - Exploration & Production — 0.6%

 

Anadarko Finance Co.
Company Guar. Notes
7.50% due 05/01/2031

     514,000        659,868  

Empresa Nacional del Petroleo
Senior Notes
3.75% due 08/05/2026*

     400,000        389,704  

MEG Energy Corp.
Company Guar. Notes
6.38% due 01/30/2023*

     2,375,000        2,107,812  

MEG Energy Corp.
Sec. Notes
6.50% due 01/15/2025*#

     1,190,000        1,163,225  

Novatek OAO via Novatek Finance, Ltd.
Senior Notes
6.60% due 02/03/2021

     350,000        384,563  

Tengizchevroil Finance Co. International, Ltd.
Senior Sec. Notes
4.00% due 08/15/2026*

     500,000        479,625  
             


                5,184,797  
             


Oil Companies - Integrated — 1.0%

 

BP Capital Markets PLC
Company Guar. Notes
1.38% due 11/06/2017

     1,070,000        1,071,000  

BP Capital Markets PLC
Company Guar. Notes
1.68% due 05/03/2019

     353,000        351,601  

BP Capital Markets PLC
Company Guar. Notes
3.25% due 05/06/2022

     328,000        335,459  

Ecopetrol SA
Senior Notes
4.13% due 01/16/2025

     300,000        290,850  

Ecopetrol SA
Senior Notes
5.88% due 09/18/2023

     325,000        352,625  

Lukoil International Finance BV
Company Guar. Notes
4.56% due 04/24/2023

     350,000        357,000  

Lukoil International Finance BV
Company Guar. Notes
4.75% due 11/02/2026*

     330,000        333,135  

Pertamina Persero PT
Senior Notes
4.88% due 05/03/2022*

     600,000        633,978  

Petrobras Global Finance BV
Company Guar. Notes
7.38% due 01/17/2027

     330,000        345,180  

Petrobras Global Finance BV
Company Guar. Notes
8.75% due 05/23/2026#

     320,000        363,040  

Petroleos Mexicanos
Company Guar. Notes
5.50% due 06/27/2044

     108,000        92,880  

Petroleos Mexicanos
Company Guar. Notes
6.75% due 09/21/2047

     1,189,000        1,177,110  

Petronas Capital, Ltd.
Company Guar. Notes
3.50% due 03/18/2025

     500,000        511,790  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Oil Companies - Integrated (continued)

 

Sasol Financing International PLC
Company Guar. Notes
4.50% due 11/14/2022

   $ 300,000      $ 303,900  

Shell International Finance BV
Company Guar. Notes
1.25% due 11/10/2017

     386,000        386,137  

Shell International Finance BV
Company Guar. Notes
2.13% due 05/11/2020

     422,000        423,355  

Shell International Finance BV
Company Guar. Notes
2.25% due 11/10/2020

     446,000        447,585  

Total Capital International SA
Company Guar. Notes
2.25% due 06/09/2022

   GBP  310,000        406,361  
             


                8,182,986  
             


Oil Refining & Marketing — 0.2%

                 

Cosan Luxembourg SA
Company Guar. Notes
7.00% due 01/20/2027*

     310,000        325,128  

Raizen Fuels Finance SA
Company Guar. Notes
5.30% due 01/20/2027*

     200,000        204,500  

Reliance Industries, Ltd.
Senior Notes
4.13% due 01/28/2025*#

     500,000        510,747  

Thai Oil PCL
Senior Notes
3.63% due 01/23/2023*

     200,000        202,823  

Ultrapar International SA
Company Guar. Notes
5.25% due 10/06/2026*

     200,000        201,020  
             


                1,444,218  
             


Oil - Field Services — 0.1%

                 

Trinidad Drilling, Ltd.
Company Guar. Notes
6.63% due 02/15/2025*

     1,143,000        1,177,290  
             


Paper & Related Products — 0.4%

 

Cascades, Inc.
Company Guar. Notes
5.50% due 07/15/2022*

     800,000        812,000  

Cascades, Inc.
Company Guar. Notes
5.75% due 07/15/2023*

     1,703,000        1,737,060  

Fibria Overseas Finance, Ltd.
Company Guar. Notes
5.25% due 05/12/2024#

     250,000        256,250  

Inversiones CMPC SA
Notes
4.38% due 05/15/2023

     250,000        254,474  

Klabin Finance SA
Company Guar. Notes
5.25% due 07/16/2024*

     200,000        201,500  

Suzano Austria GmbH
Company Guar. Notes
5.75% due 07/14/2026*#

     400,000        412,240  
             


                3,673,524  
             


Petrochemicals — 0.1%

 

Alpek SAB de CV
Company Guar. Notes
5.38% due 08/08/2023*

     350,000        365,750  
 

 

106


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN CORPORATE BONDS & NOTES (continued)

                 

Petrochemicals (continued)

 

Equate Petrochemical BV
Company Guar. Notes
4.25% due 11/03/2026*

   $ 340,000      $ 339,166  
             


                704,916  
             


Pipelines — 0.2%

 

Enbridge, Inc.
Senior Notes
5.50% due 12/01/2046

     291,000        314,339  

Southern Gas Corridor CJSC
Government Guar. Notes
6.88% due 03/24/2026*

     1,000,000        1,101,500  
             


                1,415,839  
             


Printing - Commercial — 0.4%

 

Cimpress NV
Company Guar. Notes
7.00% due 04/01/2022*

     3,100,000        3,208,500  
             


Real Estate Investment Trusts — 0.0%

 

Trust F/1401
Senior Notes
5.25% due 01/30/2026*

     200,000        199,200  
             


Retail - Major Department Stores — 0.0%

 

El Puerto de Liverpool SAB de CV
Company Guar. Notes
3.88% due 10/06/2026*

     200,000        187,250  
             


Satellite Telecom — 0.9%

 

Intelsat Jackson Holdings SA
Company Guar. Notes
5.50% due 08/01/2023

     4,630,000        3,808,175  

Telesat Canada/Telesat LLC
Company Guar. Notes
8.88% due 11/15/2024*

     3,080,000        3,364,900  
             


                7,173,075  
             


Security Services — 0.3%

 

Garda World Security Corp.
Company Guar. Notes
7.25% due 11/15/2021*

     2,485,000        2,379,387  
             


Semiconductor Components - Integrated Circuits — 0.1%

 

NXP BV/NXP Funding LLC
Company Guar. Notes
4.63% due 06/01/2023*

     825,000        878,625  
             


Semiconductor Equipment — 0.2%

 

Sensata Technologies BV
Company Guar. Notes
5.00% due 10/01/2025*

     1,470,000        1,492,050  
             


Sovereign Agency — 0.2%

 

European Stability Mechanism
Senior Notes
0.88% due 10/15/2019

   EUR  1,750,000        1,920,784  
             


Special Purpose Entity — 0.0%

 

Hellas Telecommunications Luxembourg II SCA FRS
Sub. Notes
8.46% due 01/15/2015†*(4)(8)(15)(16)

     560,000        0  
             


Steel - Producers — 0.3%

 

ArcelorMittal
Senior Notes
6.13% due 06/01/2025#

     1,965,000        2,208,169  
             


Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

SupraNational Banks — 0.1%

 

North American Development Bank
Senior Notes
2.30% due 10/10/2018

   $ 561,000      $ 568,466  
             


Telecom Services — 0.0%

 

Bharti Airtel International Netherlands BV
Company Guar. Notes
5.35% due 05/20/2024

     300,000        318,463  
             


Telephone - Integrated — 0.3%

 

Deutsche Telekom International Finance BV
Company Guar. Notes
2.49% due 09/19/2023*

     496,000        474,713  

Koninklijke KPN NV
Senior Notes
5.75% due 09/17/2029

   GBP 450,000        717,682  

Oi SA
Senior Notes
9.75% due 09/15/2016*†(8)(15)(16)

   BRL 530,000        35,776  

Ooredoo International Finance, Ltd.
Company Guar. Notes
3.25% due 02/21/2023

     330,000        327,971  

Telecom Italia Capital SA
Company Guar. Notes
7.72% due 06/04/2038

     581,000        642,731  
             


                2,198,873  
             


Transport - Marine — 0.1%

 

PT Pelabuhan Indonesia II*
Senior Notes
4.25% due 05/05/2025

     475,000        473,993  
             


Transport - Rail — 0.0%

 

Canadian Pacific Railway Co.
Senior Notes
6.13% due 09/15/2115

     283,000        341,820  
             


Transport - Services — 0.0%

 

Transnet SOC, Ltd.
Senior Notes
4.00% due 07/26/2022*

     250,000        244,996  
             


Total Foreign Corporate Bonds & Notes

 

(cost $151,397,781)

              150,680,354  
             


FOREIGN GOVERNMENT OBLIGATIONS — 8.9%

 

Electric - Distribution — 0.1%

 

Hydro-Quebec
Government Guar. Notes
1.38% due 06/19/2017

     442,000        442,143  
             


Sovereign — 8.5%

 

Dominican Republic
Senior Bonds
5.88% due 04/18/2024

     495,000        517,686  

Dominican Republic
Senior Bonds
5.95% due 01/25/2027*

     1,700,000        1,751,000  

Dominican Republic
Senior Bonds
6.88% due 01/29/2026*

     400,000        439,188  

Dominican Republic
Senior Bonds
8.63% due 04/20/2027

     600,000        703,962  

Federal Republic of Germany
Bonds
0.00% due 08/15/2026

   EUR  3,200,000        3,347,082  
 

 

107


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN GOVERNMENT OBLIGATIONS (continued)

                 

Sovereign (continued)

 

Federal Republic of Germany
Bonds
2.50% due 08/15/2046

   EUR  420,000      $ 615,260  

Federal Republic of Germany
Bonds
6.25% due 01/04/2030

   EUR  1,370,000        2,522,495  

Federative Republic of Brazil
Senior Notes
6.00% due 04/07/2026

     1,100,000        1,190,750  

Government of Egypt
Senior Notes
5.75% due 04/29/2020

     850,000        879,002  

Government of Egypt
Senior Notes
6.13% due 01/31/2022*

     750,000        779,063  

Government of Egypt
Senior Notes
6.88% due 04/30/2040

     450,000        424,935  

Government of Finland
Senior Bonds
2.63% due 07/04/2042*

   EUR  285,000        404,345  

Government of Jamaica
Senior Notes
6.75% due 04/28/2028

     400,000        448,084  

Government of Jamaica
Senior Notes
8.00% due 03/15/2039

     1,400,000        1,617,000  

Government of Romania
Senior Notes
6.13% due 01/22/2044

     380,000        459,762  

Government of Ukraine
Senior Notes
7.75% due 09/01/2021

     1,200,000        1,176,720  

Government of Ukraine
Senior Notes
7.75% due 09/01/2023

     1,050,000        1,005,375  

Kingdom of Bahrain
Senior Notes
7.00% due 10/12/2028*

     318,000        332,087  

Kingdom of Belgium
Senior Notes
3.75% due 06/22/2045

   EUR  200,000        316,008  

Kingdom of Belgium
Bonds
5.00% due 03/28/2035*

   EUR  560,000        967,905  

Kingdom of Jordan
Senior Notes
5.75% due 01/31/2027*

     1,900,000        1,840,435  

Kingdom of Morocco
Senior Notes
5.50% due 12/11/2042

     420,000        441,288  

Lebanon Government International Bond
Senior Notes
6.60% due 11/27/2026

     850,000        849,371  

Republic of Argentina
Senior Notes
5.63% due 01/26/2022*

     1,600,000        1,616,000  

Republic of Argentina
Senior Notes
7.63% due 04/22/2046*

     600,000        604,200  

Republic of Argentina
Senior Notes
7.63% due 04/22/2046

     330,000        332,310  

Republic of Argentina
Senior Notes
8.28% due 12/31/2033

     771,121        823,172  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Sovereign (continued)

 

Republic of Azerbaijan
Senior Notes
4.75% due 03/18/2024

     $ 800,000      $ 812,848  

Republic of Chile
Senior Notes
3.13% due 01/21/2026

     800,000        812,400  

Republic of Costa Rica
Senior Bonds
7.16% due 03/12/2045

     700,000        696,101  

Republic of Ecuador
Senior Notes
9.65% due 12/13/2026*

     1,650,000        1,780,680  

Republic of El Salvador
Senior Bonds
8.63% due 02/28/2029*

     691,000        696,183  

Republic of Ghana
Senior Bonds
7.88% due 08/07/2023

     1,790,000        1,736,873  

Republic of Guatemala
Senior Notes
5.75% due 06/06/2022

     500,000        544,240  

Republic of Indonesia
Senior Notes
3.70% due 01/08/2022*

     200,000        205,011  

Republic of Indonesia
Senior Notes
5.88% due 01/15/2024

     200,000        227,144  

Republic of Ivory Coast
Senior Notes
5.38% due 07/23/2024

     600,000        579,733  

Republic of Ivory Coast
Senior Notes
6.38% due 03/03/2028

     300,000        297,765  

Republic of Kenya
Senior Notes
6.88% due 06/24/2024

     1,650,000        1,623,204  

Republic of Lebanon
Senior Notes
4.00% due 12/31/2017

     113,300        112,881  

Republic of Lebanon
Senior Notes
5.80% due 04/14/2020

     780,000        786,349  

Republic of Lebanon
Senior Notes
6.60% due 11/27/2026

     1,250,000        1,249,075  

Republic of Lebanon
Senior Notes
8.25% due 04/12/2021

     340,000        373,319  

Republic of Lithuania
Senior Notes
6.63% due 02/01/2022

     1,000,000        1,172,272  

Republic of Lithuania
Senior Notes
7.38% due 02/11/2020

     1,275,000        1,448,976  

Republic of Namibia
Senior Notes
5.25% due 10/29/2025

     1,200,000        1,220,700  

Republic of Panama
Senior Notes
3.75% due 03/16/2025

     500,000        515,000  

Republic of Panama
Senior Notes
5.20% due 01/30/2020

     750,000        811,875  

Republic of Paraguay
Senior Notes
6.10% due 08/11/2044

     1,270,000        1,314,450  
 

 

108


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

FOREIGN GOVERNMENT OBLIGATIONS (continued)

                 

Sovereign (continued)

 

Republic of Peru
Senior Notes
4.13% due 08/25/2027#

   $ 377,000      $ 407,631  

Republic of Peru
Senior Notes
6.55% due 03/14/2037

     560,000        721,700  

Republic of Poland
Senior Notes
3.00% due 03/17/2023

     1,250,000        1,250,000  

Republic of Poland
Senior Notes
5.00% due 03/23/2022

     1,000,000        1,099,050  

Republic of Serbia
Senior Notes
7.25% due 09/28/2021

     1,400,000        1,588,686  

Republic of South Africa
Senior Notes
5.88% due 09/16/2025

     700,000        769,153  

Republic of Sri Lanka
Senior Notes
6.83% due 07/18/2026*

     550,000        572,130  

Republic of Sri Lanka
Senior Notes
6.83% due 07/18/2026

     780,000        811,384  

Republic of Sri Lanka
Senior Notes
6.85% due 11/03/2025*

     700,000        728,124  

Republic of Sri Lanka
Senior Notes
6.85% due 11/03/2025

     800,000        832,142  

Republic of the Philippines
Senior Notes
4.00% due 01/15/2021

     1,500,000        1,602,196  

Republic of Turkey
Senior Notes
3.25% due 03/23/2023

     2,130,000        1,937,448  

Republic of Turkey
Senior Notes
4.88% due 04/16/2043

     1,090,000        913,780  

Republic of Turkey
Senior Notes
6.00% due 03/25/2027

     800,000        819,061  

Republic of Turkey
Senior Notes
6.63% due 02/17/2045

     400,000        417,360  

Republic of Turkey
Senior Notes
11.88% due 01/15/2030

     450,000        688,023  

Republic of Venezuela
Senior Notes
8.25% due 10/13/2024

     2,100,000        1,013,250  

Republic of Venezuela
Senior Notes
9.25% due 05/07/2028

     1,600,000        775,200  

Republic of Venezuela
Senior Notes
9.38% due 01/13/2034

     1,700,000        842,690  

Russian Federation
Senior Notes
5.88% due 09/16/2043

     400,000        452,448  

United Kingdom Gilt Treasury
Bonds
3.50% due 01/22/2045

   GBP  300,000        511,186  

United Kingdom Gilt Treasury
Bonds
4.50% due 09/07/2034

   GBP  1,020,000        1,822,270  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Sovereign (continued)

 

United Mexican States
Senior Notes
3.60% due 01/30/2025

   $ 1,100,000      $ 1,091,200  

United Mexican States
Senior Notes
4.13% due 01/21/2026#

     400,000        409,060  

United Mexican States
Senior Notes
4.35% due 01/15/2047

     1,271,000        1,135,639  

United Mexican States
Senior Bonds
4.75% due 03/08/2044

     172,000        163,830  

United Mexican States
Senior Notes
6.05% due 01/11/2040

     1,550,000        1,737,937  
             


                70,534,142  
             


SupraNational Banks — 0.3%

 

European Investment Bank
Senior Notes
4.25% due 04/15/2019

   EUR  1,750,000        2,042,577  
             


Telephone - Integrated — 0.0%

 

Empresa de Telecomunicaciones de Bogota
Senior Notes
7.00% due 01/17/2023*

   COP  640,000,000        159,607  
             


Total Foreign Government Obligations

                 

(cost $74,117,827)

              73,178,469  
             


U.S. GOVERNMENT AGENCIES — 17.6%

 

Federal Home Loan Mtg. Corp. — 8.0%

 

2.50% due 05/01/2023

     251,750        256,409  

2.50% due 01/01/2028

     277,764        281,831  

2.50% due 04/01/2028

     606,959        615,844  

2.50% due 03/01/2031

     363,702        365,005  

2.50% due March 15 TBA

     1,800,000        1,804,781  

2.78% due 02/01/2037 FRS

     37,218        38,698  

3.00% due 11/01/2026

     2,389,933        2,461,213  

3.00% due 04/01/2043

     515,406        514,945  

3.00% due 08/01/2043

     727,495        725,297  

3.00% due 07/01/2045

     4,746,709        4,715,691  

3.00% due 05/01/2046

     1,355,053        1,346,194  

3.00% due 08/01/2046

     1,933,840        1,921,196  

3.00% due March 15 TBA

     1,800,000        1,851,733  

3.00% due March 30 TBA

     11,759,000        11,670,156  

3.21% due 11/01/2037 FRS

     251,579        267,967  

3.50% due 03/01/2042

     346,580        357,220  

3.50% due 04/01/2042

     635,725        655,281  

3.50% due 08/01/2042

     626,447        645,820  

3.50% due 09/01/2043

     65,344        67,365  

3.50% due 07/01/2045

     6,519,926        6,699,941  

3.50% due 08/01/2045

     323,483        333,036  

4.00% due 10/01/2043

     34,995        36,826  

4.00% due 12/01/2043

     3,506,779        3,715,327  

4.00% due 12/01/2046

     433,637        458,960  

4.00% due 07/01/2044

     202,939        213,543  

4.00% due 10/01/2045

     169,357        178,172  

4.00% due 11/01/2045

     3,667,756        3,858,677  

4.50% due 02/01/2020

     11,634        11,969  

4.50% due 08/01/2020

     5,357        5,482  

4.50% due 03/01/2023

     27,396        28,032  

4.50% due 03/01/2039

     2,349,444        2,541,823  

4.50% due 12/01/2039

     21,381        23,054  

4.50% due 07/01/2040

     1,383,192        1,498,692  

4.50% due 04/01/2044

     432,692        464,786  

4.50% due 07/01/2044

     1,460,951        1,576,363  
 

 

109


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Principal
Amount(14)
     Value
(Note 2)
 

U.S. GOVERNMENT AGENCIES (continued)

 

Federal Home Loan Mtg. Corp. (continued)

 

4.50% due 03/01/2046

   $ 2,116,564      $ 2,275,016  

5.00% due 05/01/2034

     81,196        89,933  

5.00% due 11/01/2043

     66,864        73,530  

5.50% due 06/01/2022

     29,205        31,093  

5.50% due 07/01/2035

     23,977        26,972  

6.00% due 03/01/2040

     72,380        82,187  

6.50% due 02/01/2036

     13,042        15,208  

Federal Home Loan Mtg. Corp.
REMIC FRS
Series 3572, Class JS
6.03% due 09/15/2039(2)(9)(10)

     251,951        36,697  

Federal Home Loan Mtg. Corp.
Structured Agency Credit Risk

                 

Series 2015-DNA1, Class M2

2.62% due 10/25/2027 FRS(2)

     450,000        458,464  

Series 2014-DN1, Class M2

2.97% due 02/25/2024 FRS(2)

     167,000        171,456  

Series 2014-HQ2, Class M2

2.97% due 09/25/2024 FRS(2)

     930,000        950,963  

Series 2014-HQ3, Class M2

3.42% due 10/25/2024 FRS(2)

     499,092        503,140  

Series 2015-HQA1, Class M2

3.42% due 03/25/2028 FRS(2)

     356,053        364,677  

Series 2016-HQA1, Class M2

3.52% due 09/25/2028 FRS(2)

     767,000        798,736  
             


                58,085,401  
             


Federal National Mtg. Assoc. — 8.1%

 

2.50% due 12/01/2026

     971,435        985,117  

2.50% due 09/01/2027

     1,502,226        1,523,227  

2.50% due 02/01/2031

     467,285        468,944  

2.50% due 05/01/2031

     2,397,516        2,406,028  

2.57% due 09/01/2035 FRS

     185,696        195,364  

2.77% due 10/01/2035 FRS

     213,421        225,560  

2.80% due 11/01/2036 FRS

     100,249        106,459  

2.89% due 05/01/2037 FRS

     59,385        62,759  

2.93% due 07/01/2039 FRS

     167,140        176,993  

3.00% due 04/01/2027

     1,587,151        1,638,057  

3.00% due 10/01/2027

     290,742        299,481  

3.00% due 12/01/2027

     268,280        276,158  

3.00% due 10/01/2030

     471,045        484,877  

3.00% due 03/01/2042

     540,526        539,787  

3.00% due 12/01/2042

     204,050        203,603  

3.00% due 05/01/2043

     410,335        408,757  

3.00% due 02/01/2045

     262,440        260,968  

3.00% due 06/01/2045

     366,549        366,389  

3.00% due 08/01/2045

     2,719,208        2,703,957  

3.00% due 09/01/2046

     397,785        395,554  

3.09% due 10/01/2040 FRS

     61,709        65,284  

3.16% due 08/01/2035 FRS

     136,307        145,827  

3.26% due 05/01/2040 FRS

     217,661        230,108  

3.27% due 10/01/2040 FRS

     121,950        129,361  

3.50% due 09/01/2026

     285,737        298,634  

3.50% due 08/01/2027

     93,039        97,091  

3.50% due 10/01/2028

     295,639        310,065  

3.50% due 07/01/2042

     129,795        131,886  

3.50% due 08/01/2042

     737,564        756,154  

3.50% due 09/01/2042

     650,453        670,193  

3.50% due 04/01/2045

     2,593,621        2,665,317  

3.50% due 07/01/2045

     225,670        231,590  

3.50% due 08/01/2045

     496,479        510,195  

3.50% due 10/01/2045

     555,188        570,876  

3.50% due 11/01/2045

     531,456        545,396  

3.50% due 12/01/2045

     9,814,074        10,071,494  

3.50% due 02/01/2046

     1,301,362        1,335,496  
Security Description    Principal
Amount(14)
     Value
(Note 2)
 

                   

Federal National Mtg. Assoc. (continued)

 

3.50% due 07/01/2046

   $ 6,698,087      $ 6,892,792  

3.50% March 15 TBA

     3,039,000        3,169,183  

4.00% due 11/01/2025

     165,959        174,381  

4.00% due 06/01/2039

     360,191        383,472  

4.00% due 12/01/2040

     43,881        46,302  

4.00% due 11/01/2041

     372,072        392,311  

4.00% due 01/01/2043

     2,648,217        2,806,709  

4.00% due 12/01/2043

     341,251        362,310  

4.00% due 10/01/2044

     363,209        381,995  

4.00% due 02/01/2045

     4,286,106        4,537,327  

4.00% due 02/01/2046

     4,142,585        4,357,112  

4.00% due 06/01/2046

     907,194        954,175  

4.50% due 06/01/2019

     10,058        10,310  

4.50% due 11/01/2040

     81,344        87,807  

4.50% due 05/01/2041

     81,958        88,167  

4.50% due 03/01/2042

     362,849        391,079  

4.50% due 08/01/2044

     1,206,061        1,297,165  

4.50% due 08/01/2045

     5,524,411        6,017,644  

5.00% due 01/01/2023

     58,739        62,748  

5.00% due 04/01/2023

     39,747        42,466  

5.00% due 03/01/2037

     12,440        13,651  

5.00% due 05/01/2040

     263,468        290,348  

5.00% due 06/01/2040

     87,745        96,289  

5.00% due 07/01/2040

     29,611        32,514  

5.00% due 02/01/2045

     787,262        876,072  

5.50% due 08/01/2037

     321,505        359,367  

5.50% due 06/01/2038

     42,765        47,876  

6.00% due 02/01/2032

     3,445        3,898  

6.00% due 10/01/2034

     135        153  

6.00% due 09/01/2038

     85,368        96,646  

6.00% due 11/01/2038

     25,650        29,031  

6.00% due 06/01/2040

     21,337        24,165  

6.50% due 11/01/2037

     58,846        68,203  

Federal National Mortgage Assoc. FRS
Series 2014-C01, Class M1
2.37% due 01/25/2024(2)

     307,293        309,982  
             


                67,196,656  
             


Government National Mtg. Assoc. — 2.4%

 

3.00% due 02/20/2045

     284,476        288,302  

3.00% due 05/20/2045

     215,528        218,410  

3.00% due 07/20/2045

     65,223        66,091  

3.00% due 11/20/2045

     2,649,226        2,684,486  

3.00% due 03/20/2046

     516,143        523,013  

3.00% due 04/20/2046

     3,973,362        4,026,246  

3.00% due March 30 TBA

     281,000        284,337  

3.50% due 03/20/2045

     206,292        214,753  

3.50% due 04/20/2045

     304,625        317,120  

3.50% due 07/20/2045

     205,943        214,390  

3.50% due 10/20/2045

     5,578,505        5,807,313  

3.50% due 05/20/2046

     2,674,349        2,784,040  

4.00% due 07/20/2045

     1,269,028        1,344,132  

4.00% due 10/20/2045

     814,751        863,890  
             


                19,636,523  
             


Tennessee Valley Authority — 0.0%

 

1.75% due 10/15/2018

     316,000        318,619  
             


Total U.S. Government Agencies

                 

(cost $147,642,050)

              145,237,199  
             


U.S. GOVERNMENT TREASURIES — 1.3%

 

United States Treasury Bonds — 0.9%

 

2.25% due 08/15/2046

     6,500,000        5,559,021  

2.50% due 02/15/2046

     899,000        813,630  
 

 

110


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares/
Principal
Amount(14)
     Value
(Note 2)
 

U.S. GOVERNMENT TREASURIES (continued)

 

United States Treasury Bonds (continued)

 

2.50% due 05/15/2046#

   $ 120,000      $ 108,558  

3.38% due 05/15/2044

     40,000        43,056  

4.50% due 02/15/2036#

     599,000        765,527  
             


                7,289,792  
             


United States Treasury Notes — 0.4%

 

1.13% due 07/31/2021

     1,527,000        1,481,130  

1.38% due 01/31/2021

     247,000        243,652  

1.63% due 05/15/2026

     1,408,000        1,321,870  

2.13% due 12/31/2021

     278,000        280,986  

2.75% due 02/15/2024

     140,000        145,113  
             


                3,472,751  
             


Total U.S. Government Treasuries

                 

(cost $10,859,805)

              10,762,543  
             


LOANS(11)(12)(13) — 0.1%

 

E-Commerce/Services — 0.1%

 

RentPath LLC FRS
2nd Lien
10.00% due 12/17/2022
(cost $1,200,783)

     1,243,597        1,168,981  
             


COMMON STOCKS — 0.0%

 

Television — 0.0%

 

ION Media Networks, Inc. †(4)(15)
(cost $3)

     316        187,446  
             


PREFERRED SECURITIES — 0.1%

 

Electric - Distribution — 0.0%

 

Entergy Louisiana LLC
4.70%

     11,675        270,393  
             


Sovereign Agency — 0.0%

 

Federal Home Loan Mtg. Corp. FRS
Series Z
8.38%†

     4,350        33,930  
             


Telecom Services — 0.1%

 

Qwest Corp.
6.13%#

     13,875        340,354  
             


Total Preferred Securities

                 

(cost $705,914)

              644,677  
             


PREFERRED SECURITIES/CAPITAL SECURITIES — 3.1%

 

Banks - Commercial — 0.0%

 

Standard Chartered PLC VRS
7.50% due 04/02/2022*#(3)

     223,000        229,556  
             


Banks - Super Regional — 0.1%

 

Fifth Third Bancorp FRS
Series J
4.90% due 09/30/2019(3)

     637,000        630,630  

Wells Fargo Capital X
5.95% due 12/01/2086

     220,000        234,850  
             


                865,480  
             


Diversified Banking Institutions — 0.7%

 

Citigroup, Inc. FRS
Series P
5.95% due 05/15/2025(3)

     1,913,000        1,994,302  

Credit Agricole SA FRS
8.20% due 03/31/2018(3)

   EUR 900,000        1,026,161  

Deutsche Bank AG VRS
7.50% due 04/30/2025#(3)

     1,400,000        1,307,250  

JPMorgan Chase & Co. FRS
Series U
6.13% due 04/30/2024(3)

     803,000        852,344  
Security Description        
Principal
Amount(14)
     Value
(Note 2)
 

                   

Diversified Banking Institutions (continued)

 

Royal Bank of Scotland Group PLC VRS
8.00% due 08/10/2025(3)

   $ 245,000      $ 245,306  

Societe Generale SA VRS
7.88% due 12/18/2023*#(3)

     551,000        549,623  
             


                5,974,986  
             


Electric - Generation — 0.1%

 

Electricite de France SA VRS
4.13% due 01/22/2022(3)

   EUR 600,000        632,461  
             


Electric - Integrated — 0.2%

 

Dominion Resources, Inc. FRS
5.75% due 10/01/2054

     369,000        386,527  

Engie SA VRS
3.88% due 07/10/2018(3)

   EUR  600,000        660,271  

Southern Co. FRS
Series B
5.50% due 03/15/2057

     382,000        398,172  
             


                1,444,970  
             


Finance - Investment Banker/Broker — 0.0%

 

Lehman Brothers Holdings Capital Trust VII
Escrow Security
0.00†(4)(15)

     101,000        10  
             


Finance - Other Services — 0.1%

 

National Rural Utilities Cooperative Finance Corp. FRS
4.75% due 04/30/2043

     545,000        556,113  
             


Financial Guarantee Insurance — 0.3%

 

Assured Guaranty Municipal Holdings, Inc. FRS
6.40% due 12/15/2066*

     3,095,000        2,630,750  
             


Food - Dairy Products — 0.3%

 

Land O’Lakes Capital Trust I
7.45% due 03/15/2028*

     1,803,000        2,028,375  
             


Gas - Distribution — 0.0%

 

Centrica PLC VRS 3.00% due 04/10/2076

   EUR 225,000        241,838  
             


Insurance - Life/Health — 0.2%

 

Prudential Financial, Inc. FRS
5.38% due 05/15/2045#

     181,000        189,145  

Prudential Financial, Inc. FRS
5.63% due 06/15/2043

     1,535,000        1,652,888  
             


                1,842,033  
             


Insurance - Multi-line — 0.2%

 

MetLife, Inc.
6.40% due 12/15/2066

     603,000        666,315  

Zurich Finance UK PLC VRS
6.63% due 10/02/2022(3)

   GBP 500,000        714,295  
             


                1,380,610  
             


Insurance - Reinsurance — 0.2%

 

Muenchener Rueckversicherungs-Gesellschaft AG VRS
7.63% due 06/21/2028

   GBP 850,000        1,137,586  
             


Multimedia — 0.1%

 

Viacom, Inc. FRS
5.88% due 02/28/2057

     532,000        541,756  

Viacom, Inc. FRS
6.25% due 02/28/2057

     240,000        242,768  
             


                784,524  
             


Oil Companies - Integrated — 0.2%

 

TOTAL SA VRS
2.63% due 02/26/2025(3)

   EUR  650,000        661,065  

TOTAL SA VRS
3.88% due 05/18/2022(3)

   EUR  1,125,000        1,268,936  
             


                1,930,001  
             


 

 

111


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Security Description    Shares/
Principal
Amount(14)
    Value
(Note 2)
 

PREFERRED SECURITIES/CAPITAL SECURITIES (continued)

 

Pipelines — 0.1%

 

Transcanada Trust FRS
5.30% due 03/15/2077

   $ 602,000     $ 608,020  

TransCanada Trust FRS
5.63% due 05/20/2075

     229,000       238,389  
            


               846,409  
            


Telephone - Integrated — 0.2%

 

Orange SA VRS
4.00% due 10/01/2021(3)

   EUR  550,000       613,260  

Telefonica Europe BV VRS
4.20% due 12/04/2019(3)

   EUR  1,200,000       1,333,254  
            


               1,946,514  
            


Tools-Hand Held — 0.1%

 

Stanley Black & Decker, Inc. FRS
5.75% due 12/15/2053#

     726,000     $ 769,560  
            


Total Preferred Securities/Capital Securities

                

(cost $24,410,994)

             25,241,776  
            


Total Long-Term Investment Securities

                

(cost $794,920,725)

             801,457,118  
            


SHORT-TERM INVESTMENT SECURITIES — 7.9%

 

Registered Investment Companies — 3.7%

 

State Street Navigator Securities Lending Government Money Market Portfolio 0.50%(5)(6)

     31,177,315       31,177,315  
            


Time Deposits — 4.2%

 

Euro Time Deposit with State Street Bank and Trust Co. 0.07% due 03/01/2017

     34,526,000       34,526,000  
            


Total Short-Term Investment Securities

                

(cost $65,703,315)

             65,703,315  
            


TOTAL INVESTMENTS

                

(cost $860,624,040)(7)

     104.9     867,160,433  

Liabilities in excess of other assets

     (4.9     (40,356,766
    


 


NET ASSETS

     100.0   $ 826,803,667  
    


 



* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 28, 2017, the aggregate value of these securities was $221,405,148 representing 26.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
# The security or a portion thereof is out on loan (see Note 2).
Non-income producing security
(1) Commercial Mortgage Backed Security
(2) Collateralized Mortgage Obligation
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs (see Note 2).
(5) At February 28, 2017, the Fund had loaned securities with a total value of $70,286,300. This was secured by collateral of $31,177,315, which was received in cash and subsequently invested in short-term investments currently value at $31,177,315 as reported in the Portfolio of Investments. Additional collateral of $40,381,016 was received in the form of short-term pooled securities, which the Fund cannot sell or repledge and accordingly is not reflected in the Fund’s assets and liabilities.

 

The components of the fixed income pooled securities referenced above are as follows:

 

Securities


  Coupon Range

  Maturity Date Range

  Value as of
February 28, 2017


Federal Home Loan Mtg. Corp.

  1.50% to 9.25%   04/01/2018 to 02/01/2047   $204,316

Federal National Mtg. Assoc.

  1.75% to 6.00%   11/01/2017 to 01/01/2047   150,673

Government National Mtg. Assoc.

  1.21% to 8.50%   12/16/2024 to 02/20/2067   540,610

United States Treasury Bills

  0.00%   05/04/2017 to 05/11/2017   80,514

United States Treasury Notes/Bonds

  0.13% to 4.38%   04/15/2017 to 02/15/2045   39,404,903

 

(6) The rate shown is a 7-day yield as of February 28, 2017.
(7) See Note 5 for cost of investments on a tax basis.
(8) Security in default of interest and principal at maturity.
(9) Interest Only
(10) Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at February 28, 2017.
(11) Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.
(12) The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.
(13) All loans in the Fund were purchased through assignment agreements unless otherwise indicated.
(14) Denominated in United States Dollars unless otherwise indicated.
(15) Illiquid security. At February 28, 2017, the aggregate value of these securities was $592,311 representing 0.1% of net assets.
(16) Company has filed for bankruptcy protection.
(17) Security in default
(18) “Step-Up” Security where the rate increases (“steps up”) at a predetermined rate. Rate shown reflects the increased rate.

 

BTL—Bank Term Loan

REMIC—Real Estate Mortgage Investment Conduit

TBA—Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal and maturity date will be determined upon settlement date.

ULC—Unlimited Liability Corp.

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 28, 2017 and unless noted otherwise, the dates are the original maturity dates.


Currency Legend

BRL—Brazilian Real

COP—Columbian Peso

EUR—Euro Currency

GBP—British Pound

 

 

112


Table of Contents

VALIC Company II Strategic Bond Fund

PORTFOLIO OF INVESTMENTS — February 28, 2017 (unaudited) — (continued)


 

Forward Foreign Currency Contracts  
Counterparty    Contract to Deliver     

In Exchange For

     Delivery
Date
    

Unrealized
Appreciation

     Unrealized
Depreciation
 

JPMorgan Chase Bank N.A

     EUR        21,724,500        USD        22,929,890        03/17/2017      $      $ (99,920
       EUR        34,050,000        USD        36,015,094        04/12/2017               (126,062
       GBP        11,075,000        USD        13,821,522        04/12/2017        64,942         
       USD        354,742        EUR        334,000        03/17/2017               (674
       USD        199,124        GBP        160,000        04/12/2017               (383
                                                 


  


Net Unrealized Appreciation/(Depreciation)

                                                $ 64,942      $ (227,039
                                                 


  


 

EUR—Euro Currency

GBP—British Pound

USD—United States Dollar

 

The following is a summary of the inputs used to value the Fund’s net assets as of February 28, 2017 (see Note 2):

 

     Level 1 - Unadjusted
Quoted Prices


     Level 2 - Other
Observable  Inputs


     Level 3 - Significant
Unobservable  Inputs


     Total

 

ASSETS:

                                   

Investments at Value:*

                                   

Asset Backed Securities

   $ —        $ 16,151,760      $ —        $ 16,151,760  

U.S. Corporate Bonds & Notes:

                                   

Airlines

     —          3,978,494        57,434        4,035,928  

Finance Investment Banker/Broker

     —          380,499        25        380,524  

Gambling (Non-Hotel)

     —          6,851,485        3,520        6,855,005  

Mining

     —          —          2,250        2,250  

Rubber/Plastic Products

     —          —          0        0  

Other Industries

     —          366,930,206        —          366,930,206  

Foreign Corporate Bonds & Notes:

                                   

Special Purpose Entity

     —          —          0        0  

Other Industries

     —          150,680,354        —          150,680,354  

Foreign Government Obligations

     —          73,178,469        —          73,178,469  

U.S. Government Agencies

     —          145,237,199        —          145,237,199  

U.S. Government Treasuries

     —          10,762,543        —          10,762,543  

Loans

     —          1,168,981        —          1,168,981  

Common Stocks

     —          —          187,446        187,446  

Preferred Securities

     644,677        —          —          644,677  

Preferred Securities/Capital Securities:

                                   

Finance Investment Banker/Broker

     —          —          10        10  

Other Industries

     —          25,241,766        —          25,241,766  

Short-Term Investment Securities:

                                   

Registered Investment Companies

     31,177,315        —          —          31,177,315  

Time Deposits

     —          34,526,000        —          34,526,000  
    


  


  


  


Total Investments at Value

   $ 31,821,992      $ 835,087,756      $ 250,685      $ 867,160,433  
    


  


  


  


Other Financial Instruments:+

                                   

Forward Foreign Currency Contracts

   $ —        $ 64,942      $ —        $ 64,942  
    


  


  


  


LIABILITIES:

                                   

Other Financial Instruments:+

                                   

Forward Foreign Currency Contracts

   $ —        $ 227,039      $ —        $ 227,039  
    


  


  


  



* For a detailed presentation of investments, please refer to the Portfolio of Investments.
+ Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

 

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund.

 

See Notes to Financial Statements

 

113


Table of Contents

VALIC Company II

STATEMENTS OF ASSETS AND LIABILITIES — February 28, 2017 (unaudited)


 

    AGGRESSIVE
GROWTH
LIFESTYLE FUND
    CAPITAL
APPRECIATION
FUND
    CONSERVATIVE
GROWTH
LIFESTYLE FUND
    CORE BOND
FUND
    GOVERNMENT
MONEY MARKET II
FUND#
 

ASSETS:

                                       

Investments at value (unaffiliated)*†

  $     $ 88,628,226     $     $ 1,056,016,872     $ 141,004,524  

Investments at value (affiliated)*

    553,373,062               333,180,191              

Repurchase agreements (cost approximates value)

                            984,000  
   


 


 


 


 


Total investments

    553,373,062       88,628,226       333,180,191       1,056,016,872       141,988,524  
   


 


 


 


 


Cash

    11,123       776       35,274       72,219       24  

Foreign cash*

                             

Due from broker

                             

Receivable for:

                                       

Fund shares sold

    201,499       5,103       323,087       370,611       34,411  

Dividends and interest

          98,971             6,867,922       19,730  

Investments sold

          1,356,963             7,867,238        

Investments sold on an extended settlement basis

                             

Payments on swap contracts

                             

Securities lending income

          657             12,840        

Prepaid expenses and other assets

    16,252       11,800       12,096       33,261       21,876  

Due from investment adviser for expense reimbursements/fee waivers

    12,758       8,101       10,797       21,283       37,639  

Unrealized appreciation on forward foreign currency contracts

                             

Swap premiums paid

                             

Unrealized appreciation on swap contracts

                             
   


 


 


 


 


TOTAL ASSETS

    553,614,694       90,110,597       333,561,445       1,071,262,246       142,102,204  
   


 


 


 


 


LIABILITIES:

                                       

Payable for:

                                       

Fund shares reacquired

    27,543       6,422       6,663       34,317       91,854  

Investments purchased

    173,956       199,804       316,423       5,158,323       6,999,913  

Investments purchased on an extended settlement basis

                      15,612,573        

Investment advisory and management fees

    42,167       36,701       25,427       340,338       25,822  

Shareholder services

          16,682             195,931       25,822  

Administrative service fees

          4,504             52,901       6,972  

Transfer agent fees and expenses

    252       503       252       503       189  

Trustees’ fees and expenses

    8,526       4,794       5,926       20,027       15,729  

Other accrued expenses

    64,675       33,705       41,860       111,099       27,323  

Accrued foreign tax on capital gains

                             

Collateral upon return of securities loaned

          1,724,967             20,710,665        

Due to broker

                             

Variation margin on futures contracts

                             

Unrealized depreciation on forward foreign currency contracts

                             
   


 


 


 


 


TOTAL LIABILITIES

    317,119       2,028,082       396,551       42,236,677       7,193,624  
   


 


 


 


 


NET ASSETS

  $ 553,297,575     $ 88,082,515     $ 333,164,894     $ 1,029,025,569     $ 134,908,580  
   


 


 


 


 


NET ASSETS REPRESENTED BY:

                                       

Trust shares at par value of $0.01 per share

  $ 501,952     $ 51,718     $ 275,116     $ 924,031     $ 1,348,802  

Additional paid in capital

    471,765,872       61,012,824       314,851,426       985,940,994       133,560,619  

Accumulated undistributed net investment income (loss)

    15,109,633       652,183       10,291,641       40,084,083       (5,309

Accumulated undistributed net realized gain (loss) on investments, swap contracts, futures contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds

    39,739,131       8,448,751       1,692,246       (3,226,211     4,468  

Unrealized appreciation (depreciation) on investments

    26,180,987       17,917,039       6,054,465       5,302,672        

Unrealized appreciation (depreciation) on swap contracts, futures contracts and options contracts

                             

Unrealized foreign exchange gain (loss) on other assets and liabilities

                             

Accrued capital gains tax on unrealized appreciation (depreciation)

                             
   


 


 


 


 


NET ASSETS

  $ 553,297,575     $ 88,082,515     $ 333,164,894     $ 1,029,025,569       134,908,580  
   


 


 


 


 


SHARES OF BENEFICIAL INTEREST:

                                       

Authorized (Par value $0.01 per share)

    1,000,000,000       1,000,000,000       1,000,000,000       1,000,000,000       1,000,000,000  

Outstanding

    50,195,238       5,171,813       27,511,612       92,403,075       134,880,200  

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE

    11.02       17.03       12.11       11.14       1.00  
   


 


 


 


 



*   Cost

                                       

Investments (unaffiliated)

  $     $ 70,711,187     $     $ 1,050,714,200     $ 141,004,524  
   


 


 


 


 


Investments (affiliated)

  $ 527,192,075     $     $ 327,125,726     $     $  
   


 


 


 


 


Foreign cash

  $     $     $     $     $  
   


 


 


 


 


†  Including securities on loan

  $     $ 8,837,846     $     $ 64,149,003     $  
   


 


 


 


 



# See Note 1

See Notes to Financial Statements

 

114


Table of Contents

VALIC Company II

STATEMENTS OF ASSETS AND LIABILITIES — February 28, 2017 (unaudited) — (continued)


 

    HIGH YIELD
BOND FUND
    INTERNATIONAL
OPPORTUNITIES
FUND
    LARGE CAP
VALUE FUND
    MID CAP
GROWTH FUND
    MID CAP
VALUE FUND
 

ASSETS:

                                       

Investments at value (unaffiliated)*†

  $ 648,282,391     $ 581,370,371     $ 250,830,671     $ 121,577,283     $ 1,073,222,821  

Investments at value (affiliated)*

                             

Repurchase agreements (cost approximates value)

    28,111,000       11,982,000             437,000       6,481,000  
   


 


 


 


 


Total investments

    676,393,391       593,352,371       250,830,671       122,014,283       1,079,703,821  
   


 


 


 


 


Cash

    560       837       94,587       260       74  

Foreign cash*

    108,366       210,478                   28  

Due from broker

                             

Receivable for:

                                       

Fund shares sold

    91,326       25,925       88,951       9,744       28,899  

Dividends and interest

    9,432,274       696,476       425,848       68,318       1,034,584  

Investments sold

          110,177       2,847,890       1,601,833       9,578,673  

Investments sold on an extended settlement basis

                             

Payments on swap contracts

    112,171                          

Securities lending income

    25,095       36,451       1,805       670       10,590  

Prepaid expenses and other assets

    23,555       38,957       26,550       14,584       47,754  

Due from investment adviser for expense reimbursements/fee waivers

          101,624       10,169       26,821        

Unrealized appreciation on forward foreign currency contracts

                             

Swap premiums paid

    462,743                          

Unrealized appreciation on swap contracts

    414,442                          
   


 


 


 


 


TOTAL ASSETS

    687,063,923       594,573,296       254,326,471       123,736,513       1,090,404,423  
   


 


 


 


 


LIABILITIES:

                                       

Payable for:

                                       

Fund shares reacquired

    19,315       155,916       8,075       23,879       241,946  

Investments purchased

    2,495,633       782,085       3,087,443       252,260       6,641,229  

Investments purchased on an extended settlement basis

                             

Investment advisory and management fees

    286,621       356,291       93,733       70,468       565,918  

Shareholder services

    118,950       108,944       46,866       23,112       205,859  

Administrative service fees

    32,116       29,415       12,654       6,240       55,582  

Transfer agent fees and expenses

    503       377       378       440       566  

Trustees’ fees and expenses

    9,613       29,780       10,454       8,975       31,413  

Other accrued expenses

    53,120       102,236       38,848       46,025       115,805  

Accrued foreign tax on capital gains

          60,242                    

Collateral upon return of securities loaned

    56,735,310       24,704,492       2,848,330       1,904,300       8,584,834  

Due to broker

    414,605                          

Variation margin on futures contracts

                             

Unrealized depreciation on forward foreign currency contracts

    27,498                          
   


 


 


 


 


TOTAL LIABILITIES

    60,193,284       26,329,778       6,146,781       2,335,699       16,443,152  
   


 


 


 


 


NET ASSETS

  $ 626,870,639     $ 568,243,518     $ 248,179,690     $ 121,400,814     $ 1,073,961,271  
   


 


 


 


 


NET ASSETS REPRESENTED BY:

                                       

Trust shares at par value of $0.01 per share

  $ 795,236     $ 348,659     $ 118,368     $ 132,888     $ 475,103  

Additional paid in capital

    613,170,232       567,449,852       215,372,250       101,917,271       797,729,076  

Accumulated undistributed net investment income (loss)

    42,054,630       4,748,575       4,597,266       (69,175     8,768,885  

Accumulated undistributed net realized gain (loss) on investments, swap contracts, futures contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds

    (45,563,006     (91,715,525     (4,354,978     2,990,057       93,925,744  

Unrealized appreciation (depreciation) on investments

    16,027,028       87,510,049       32,446,784       16,429,773       173,062,157  

Unrealized appreciation (depreciation) on swap contracts, futures contracts and options contracts

    414,442                          

Unrealized foreign exchange gain (loss) on other assets and liabilities

    (27,923     (37,871                 306  

Accrued capital gains tax on unrealized appreciation (depreciation)

          (60,221                  
   


 


 


 


 


NET ASSETS

  $ 626,870,639     $ 568,243,518     $ 248,179,690     $ 121,400,814     $ 1,073,961,271  
   


 


 


 


 


SHARES OF BENEFICIAL INTEREST:

                                       

Authorized (Par value $0.01 per share)

    1,000,000,000       1,000,000,000       1,000,000,000       1,000,000,000       1,000,000,000  

Outstanding

    79,523,567       34,865,941       11,836,841       13,288,807       47,510,342  

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE

    7.88       16.30       20.97       9.14       22.60  
   


 


 


 


 



*   Cost

                                       

Investments (unaffiliated)

  $ 632,255,363     $ 493,860,322     $ 218,383,887     $ 105,147,510     $ 900,160,664  
   


 


 


 


 


Investments (affiliated)

  $     $     $     $     $  
   


 


 


 


 


Foreign cash

  $ 108,617     $ 210,141     $     $     $ 30  
   


 


 


 


 


†  Including securities on loan

  $ 55,733,170     $ 40,181,890     $ 16,951,251     $ 15,452,992     $ 141,991,088  
   


 


 


 


 


 

See Notes to Financial Statements

 

115


Table of Contents

VALIC Company II

STATEMENTS OF ASSETS AND LIABILITIES — February 28, 2017 (unaudited) — (continued)


 

    MODERATE
GROWTH
LIFESTYLE FUND
    SMALL CAP
GROWTH
FUND
    SMALL CAP
VALUE FUND
    SOCIALLY
RESPONSIBLE
FUND
    STRATEGIC
BOND FUND
 

ASSETS:

                                       

Investments at value (unaffiliated)*†

  $     $ 125,381,393     $ 564,162,654     $ 813,564,962     $ 867,160,433  

Investments at value (affiliated)*

    878,141,394                          

Repurchase agreements (cost approximates value)

                14,450,000       3,329,000        
   


 


 


 


 


Total investments

    878,141,394       125,381,393       578,612,654       816,893,962       867,160,433  
   


 


 


 


 


Cash

          149       257       145       337,532  

Foreign cash*

                            65,602  

Due from broker

                796,961              

Receivable for:

                                       

Fund shares sold

    40,734       24,349       52,498       134,936       301,367  

Dividends and interest

          45,304       354,101       1,316,254       10,033,659  

Investments sold

    317,106       86,648       1,911,257             11,772,357  

Investments sold on an extended settlement basis

                             

Payments on swap contracts

                             

Securities lending income

          27,238       66,395       9,283       20,436  

Prepaid expenses and other assets

    23,059       10,937       29,250       42,591       32,924  

Due from investment adviser for expense reimbursements/fee waivers

    21,341       6,784       25,920       27,302        

Unrealized appreciation on forward foreign currency contracts

                            64,942  

Swap premiums paid

                             

Unrealized appreciation on swap contracts

                             
   


 


 


 


 


TOTAL ASSETS

    878,543,634       125,582,802       581,849,293       818,424,473       889,789,252  
   


 


 


 


 


LIABILITIES:

                                       

Payable for:

                                       

Fund shares reacquired

    357,840       15,574       22,548       384,980       19,778  

Investments purchased

          262,700       3,145,539       4,999,517       9,668,996  

Investments purchased on an extended settlement basis

                            21,258,418  

Investment advisory and management fees

    67,200       69,953       285,106       152,693       318,422  

Shareholder services

          20,662       108,181       152,693       157,723  

Administrative service fees

          5,579       29,209       41,227       42,585  

Transfer agent fees and expenses

    252       503       440       251       692  

Trustees’ fees and expenses

    12,850       4,882       17,248       30,211       20,826  

Other accrued expenses

    64,232       41,507       76,664       67,644       93,791  

Accrued foreign tax on capital gains

                             

Collateral upon return of securities loaned

          13,254,149       26,492,314       6,588,519       31,177,315  

Due to broker

                             

Variation margin on futures contracts

                193,615       56,100        

Unrealized depreciation on forward foreign currency contracts

                            227,039  
   


 


 


 


 


TOTAL LIABILITIES

    502,374       13,675,509       30,370,864       12,473,835       62,985,585  
   


 


 


 


 


NET ASSETS

  $ 878,041,260     $ 111,907,293     $ 551,478,429     $ 805,950,638     $ 826,803,667  
   


 


 


 


 


NET ASSETS REPRESENTED BY:

                                       

Trust shares at par value of $0.01 per share

  $ 601,066     $ 70,779     $ 354,831     $ 384,433     $ 724,996  

Additional paid in capital

    773,284,589       86,077,663       407,141,728       533,694,503       801,768,369  

Accumulated undistributed net investment income (loss)

    25,217,119       (360,964     8,554,942       17,131,993       40,694,751  

Accumulated undistributed net realized gain (loss) on investments, swap contracts, futures contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds

    40,927,309       6,335,973       35,944,258       54,669,396       (22,728,378

Unrealized appreciation (depreciation) on investments

    38,011,177       19,783,842       99,435,109       199,107,535       6,536,393  

Unrealized appreciation (depreciation) on swap contracts, futures contracts and options contracts

                47,561       962,778        

Unrealized foreign exchange gain (loss) on other assets and liabilities

                            (192,464

Accrued capital gains tax on unrealized appreciation (depreciation)

                             
   


 


 


 


 


NET ASSETS

  $ 878,041,260     $ 111,907,293     $ 551,478,429     $ 805,950,638     $ 826,803,667  
   


 


 


 


 


SHARES OF BENEFICIAL INTEREST:

                                       

Authorized (Par value $0.01 per share)

    1,000,000,000       1,000,000,000       1,000,000,000       1,000,000,000       1,000,000,000  

Outstanding

    60,106,592       7,077,870       35,483,113       38,443,318       72,499,576  

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE

    14.61       15.81       15.54       20.96       11.40  
   


 


 


 


 



*   Cost

                                       

Investments (unaffiliated)

  $     $ 105,597,551     $ 464,727,545     $ 614,457,427     $ 860,624,040  
   


 


 


 


 


Investments (affiliated)

  $ 840,130,217     $     $     $     $  
   


 


 


 


 


Foreign cash

  $     $     $     $     $ 65,947  
   


 


 


 


 


†  Including securities on loan

  $     $ 24,743,772     $ 83,527,843     $ 91,539,741     $ 70,286,300  
   


 


 


 


 


 

See Notes to Financial Statements

 

116


Table of Contents

VALIC Company II

STATEMENTS OF OPERATIONS — For the Six Months Ended February 28, 2017 (unaudited)


 

     AGGRESSIVE
GROWTH
LIFESTYLE FUND
    CAPITAL
APPRECIATION
FUND
    CONSERVATIVE
GROWTH
LIFESTYLE FUND
    CORE BOND
FUND
    GOVERNMENT
MONEY MARKET II
FUND#
 

INVESTMENT INCOME:

                                        

Dividends (unaffiliated)

   $     $ 548,387     $     $ 55,334     $  

Dividends (affiliated)

     5,206,828             1,877,284              

Securities lending income

           9,919             89,140        

Interest (unaffiliated)

           175             16,324,345       326,925  
    


 


 


 


 


Total investment income*

     5,206,828       558,481       1,877,284       16,468,819       326,925  
    


 


 


 


 


EXPENSES:

                                        

Investment advisory and management fees

     264,332       228,045       162,031       2,317,472       170,830  

Administrative service fee

           27,987             361,785       46,124  

Shareholder services fee

           103,657             1,339,944       170,830  

Transfer agent fees and expenses

     750       1,501       750       1,501       563  

Custodian and accounting fees

     5,951       9,172       5,951       44,560       6,730  

Reports to shareholders

     27,544       5,022       19,623       69,585       24,870  

Audit and tax fees

     12,599       14,189       12,599       20,085       20,059  

Legal fees

     16,833       8,464       12,986       29,192       46,134  

Trustees’ fees and expenses

     14,655       2,342       9,071       32,845       4,301  

Interest expense

                              

Other expenses

     4,895       4,824       4,445       9,457       4,702  
    


 


 


 


 


Total expenses before fee waivers, expense reimbursements, fees paid indirectly

     347,559       405,203       227,456       4,226,426       495,143  
    


 


 


 


 


Fees waived and expenses reimbursed by investment adviser (Note 3)

     (83,224     (52,771     (65,426     (99,399     (182,130

Fees paid indirectly (Note 7)

           (4,644                  
    


 


 


 


 


Net expenses

     264,335       347,788       162,030       4,127,027       313,013  
    


 


 


 


 


Net investment income (loss)

     4,942,493       210,693       1,715,254       12,341,792       13,912  
    


 


 


 


 


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:

                                        

Net realized gain (loss) on investments (unaffiliated)**

           2,872,049             669,213       834  

Net realized gain (loss) on investments (affiliated)

     (302,375           (2,667,013            

Net realized gain (loss) from capital gain distributions from underlying funds (affiliated)

     12,729,142             3,378,005              

Net realized gain (loss) on futures and swap contracts

                              

Net realized foreign exchange gain (loss) on other assets and liabilities

                              
    


 


 


 


 


Net realized gain (loss) on investments and foreign currencies

     12,426,767       2,872,049       710,992       669,213       834  
    


 


 


 


 


Change in unrealized appreciation (depreciation) on investments (unaffiliated)

           2,288,555             (31,312,846      

Change in unrealized appreciation (depreciation) on investments (affiliated)

     13,368,110             5,544,885              

Change in unrealized appreciation (depreciation) on futures and swap contracts

                              

Change in unrealized foreign exchange gain (loss) on other assets and liabilities

                              

Change in accrued capital gains tax on unrealized appreciation (depreciation)

                              
    


 


 


 


 


Net unrealized gain (loss) on investments and foreign currencies

     13,368,110       2,288,555       5,544,885       (31,312,846      
    


 


 


 


 


Net realized and unrealized gain (loss) on investments and foreign currencies

     25,794,877       5,160,604       6,255,877       (30,643,633     834  
    


 


 


 


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 30,737,370     $ 5,371,297     $ 7,971,131     $ (18,301,841   $ 14,746  
    


 


 


 


 


*   Net of foreign withholding taxes on interest and dividends of

   $     $     $     $ (3,170   $  
    


 


 


 


 


** Net of foreign withholding taxes on capital gains of

   $     $     $     $     $  
    


 


 


 


 



# See Note 1

 

See Notes to Financial Statements

 

117


Table of Contents

VALIC Company II

STATEMENTS OF OPERATIONS — For the Six Months Ended February 28, 2017 (unaudited) — (continued)


 

     HIGH YIELD
BOND FUND
    INTERNATIONAL
OPPORTUNITIES
FUND
    LARGE CAP
VALUE FUND
    MID CAP
GROWTH FUND
    MID CAP
VALUE FUND
 

INVESTMENT INCOME:

                                        

Dividends (unaffiliated)

   $ 216,593     $ 3,317,567     $ 2,469,976     $ 605,284     $ 7,519,532  

Dividends (affiliated)

                              

Securities lending income

     162,021       177,812       6,749       4,928       38,127  

Interest (unaffiliated)

     18,288,137       8,024       5,982       75        
    


 


 


 


 


Total investment income*

     18,666,751       3,503,403       2,482,707       610,287       7,557,659  
    


 


 


 


 


EXPENSES:

                                        

Investment advisory and management fees

     1,831,255       2,310,396       581,017       444,136       3,501,614  

Administrative service fee

     204,966       190,756       78,437       39,241       343,031  

Shareholder services fee

     759,132       706,502       290,508       145,337       1,270,483  

Transfer agent fees and expenses

     1,501       1,126       1,126       1,313       1,689  

Custodian and accounting fees

     22,277       89,080       4,915       6,186       33,548  

Reports to shareholders

     29,905       36,992       11,995       6,530       49,702  

Audit and tax fees

     17,836       26,193       14,234       14,232       14,491  

Legal fees

     18,055       35,123       11,209       9,177       25,785  

Trustees’ fees and expenses

     15,107       17,341       6,012       3,495       26,806  

Interest expense

           667       1,135       9        

Other expenses

     7,176       10,682       6,250       5,066       13,865  
    


 


 


 


 


Total expenses before fee waivers, expense reimbursements, fees paid indirectly

     2,907,210       3,424,858       1,006,838       674,722       5,281,014  
    


 


 


 


 


Fees waived and expenses reimbursed by investment adviser (Note 3)

           (598,849     (65,592     (180,575      

Fees paid indirectly (Note 7)

                 (13,487     (3,257     (841
    


 


 


 


 


Net expenses

     2,907,210       2,826,009       927,759       490,890       5,280,173  
    


 


 


 


 


Net investment income (loss)

     15,759,541       677,394       1,554,948       119,397       2,277,486  
    


 


 


 


 


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:

                                        

Net realized gain (loss) on investments (unaffiliated)**

     (36,892     16,016,717       16,441,291       5,898,966       45,595,095  

Net realized gain (loss) on investments (affiliated)

                              

Net realized gain (loss) from capital gain distributions from underlying funds (affiliated)

                              

Net realized gain (loss) on futures and swap contracts

     1,273,700                          

Net realized foreign exchange gain (loss) on other assets and liabilities

     622,533       (513,569     134             (9,845
    


 


 


 


 


Net realized gain (loss) on investments and foreign currencies

     1,859,341       15,503,148       16,441,425       5,898,966       45,585,250  
    


 


 


 


 


Change in unrealized appreciation (depreciation) on investments (unaffiliated)

     8,783,275       (6,307,770     12,749,351       3,509,176       55,736,244  

Change in unrealized appreciation (depreciation) on investments (affiliated)

                              

Change in unrealized appreciation (depreciation) on futures and swap contracts

     (144,737                        

Change in unrealized foreign exchange gain (loss) on other assets and liabilities

     (123,768     6,893                   356  

Change in accrued capital gains tax on unrealized appreciation (depreciation)

           (33,216                  
    


 


 


 


 


Net unrealized gain (loss) on investments and foreign currencies

     8,514,770       (6,334,093     12,749,351       3,509,176       55,736,600  
    


 


 


 


 


Net realized and unrealized gain (loss) on investments and foreign currencies

     10,374,111       9,169,055       29,190,776       9,408,142       101,321,850  
    


 


 


 


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 26,133,652     $ 9,846,449     $ 30,745,724     $ 9,527,539     $ 103,599,336  
    


 


 


 


 


*   Net of foreign withholding taxes on interest and dividends of

   $     $ (300,987   $ 998     $ 985     $ 18,606  
    


 


 


 


 


** Net of foreign withholding taxes on capital gains of

   $     $ 1,933     $     $     $  
    


 


 


 


 


 

See Notes to Financial Statements

 

118


Table of Contents

VALIC Company II

STATEMENTS OF OPERATIONS — For the Six Months Ended February 28, 2017 (unaudited) — (continued)


 

     MODERATE
GROWTH
LIFESTYLE FUND
    SMALL CAP
GROWTH
FUND
    SMALL CAP
VALUE FUND
    SOCIALLY
RESPONSIBLE
FUND
    STRATEGIC
BOND FUND
 

INVESTMENT INCOME:

                                        

Dividends (unaffiliated)

   $     $ 254,914     $ 5,792,427     $ 8,167,682     $ 101,993  

Dividends (affiliated)

     6,685,457                          

Securities lending income

           109,028       417,207       61,631       102,757  

Interest (unaffiliated)

           195       1,107       32,772       16,880,576  
    


 


 


 


 


Total investment income*

     6,685,457       364,137       6,210,741       8,262,085       17,085,326  
    


 


 


 


 


EXPENSES:

                                        

Investment advisory and management fees

     422,405       426,630       1,770,781       951,123       2,069,002  

Administrative service fee

           33,924       181,314       256,803       276,878  

Shareholder services fee

           125,644       671,533       951,123       1,025,473  

Transfer agent fees and expenses

     750       1,501       1,313       750       2,065  

Custodian and accounting fees

     5,951       8,935       20,568       14,057       54,055  

Reports to shareholders

     48,925       4,646       24,108       45,111       47,661  

Audit and tax fees

     12,599       14,274       15,137       14,993       20,085  

Legal fees

     22,853       8,777       16,588       21,353       23,529  

Trustees’ fees and expenses

     23,233       2,699       13,938       20,893       22,526  

Interest expense

                              

Other expenses

     7,521       5,182       10,074       11,441       8,649  
    


 


 


 


 


Total expenses before fee waivers, expense reimbursements, fees paid indirectly

     544,237       632,212       2,725,354       2,287,647       3,549,923  
    


 


 


 


 


Fees waived and expenses reimbursed by investment adviser (Note 3)

     (121,832     (49,220     (173,527     (157,130      

Fees paid indirectly (Note 7)

           (1,552     (10,582            
    


 


 


 


 


Net expenses

     422,405       581,440       2,541,245       2,130,517       3,549,923  
    


 


 


 


 


Net investment income (loss)

     6,263,052       (217,303     3,669,496       6,131,568       13,535,403  
    


 


 


 


 


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:

                                        

Net realized gain (loss) on investments (unaffiliated)**

           2,002,476       27,912,041       1,299,821       1,946,636  

Net realized gain (loss) on investments (affiliated)

     (6,021,308                        

Net realized gain (loss) from capital gain distributions from underlying funds (affiliated)

     16,731,118                          

Net realized gain (loss) on futures and swap contracts

                 1,693,464       2,512,219        

Net realized foreign exchange gain (loss) on other assets and liabilities

                             3,880,314  
    


 


 


 


 


Net realized gain (loss) on investments and foreign currencies

     10,709,810       2,002,476       29,605,505       3,812,040       5,826,950  
    


 


 


 


 


Change in unrealized appreciation (depreciation) on investments (unaffiliated)

           9,398,610       40,126,541       57,676,521       (10,788,775

Change in unrealized appreciation (depreciation) on investments (affiliated)

     20,922,558                          

Change in unrealized appreciation (depreciation) on futures and swap contracts

                 (19,917     (265,067      

Change in unrealized foreign exchange gain (loss) on other assets and liabilities

                             237,139  

Change in accrued capital gains tax on unrealized appreciation (depreciation)

                              
    


 


 


 


 


Net unrealized gain (loss) on investments and foreign currencies

     20,922,558       9,398,610       40,106,624       57,411,454       (10,551,636
    


 


 


 


 


Net realized and unrealized gain (loss) on investments and foreign currencies

     31,632,368       11,401,086       69,712,129       61,223,494       (4,724,686
    


 


 


 


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 37,895,420     $ 11,183,783     $ 73,381,625     $ 67,355,062     $ 8,810,717  
    


 


 


 


 


*   Net of foreign withholding taxes on interest and dividends of

   $     $     $ (1,177   $     $ 870  
    


 


 


 


 


** Net of foreign withholding taxes on capital gains of

   $     $     $     $     $  
    


 


 


 


 


 

See Notes to Financial Statements

 

119


Table of Contents

VALIC Company II

STATEMENTS OF CHANGES IN NET ASSETS


 

     AGGRESSIVE GROWTH
LIFESTYLE FUND


    CAPITAL APPRECIATION
FUND


    CONSERVATIVE GROWTH
LIFESTYLE FUND


 
     For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


 

INCREASE (DECREASE) IN NET ASSETS

                                                

OPERATIONS:

                                                

Net investment income (loss)

   $ 4,942,493     $ 9,089,582     $ 210,693     $ 440,586     $ 1,715,254     $ 8,058,767  

Net realized gain (loss) on investments and foreign currencies

     12,426,767       30,832,484       2,872,049       6,271,006       710,992       3,139,083  

Net unrealized gain (loss) on investments and foreign currencies

     13,368,110       (1,861,057     2,288,555       (29,046     5,544,885       8,283,408  
    


 


 


 


 


 


Net increase (decrease) in net assets resulting from operations

     30,737,370       38,061,009       5,371,297       6,682,546       7,971,131       19,481,258  
    


 


 


 


 


 


DISTRIBUTIONS TO SHAREHOLDERS FROM:

                                                

Net investment income

           (10,738,936           (312,016           (8,954,028

Net realized gain on securities

           (36,862,555           (7,803,191           (13,000,997
    


 


 


 


 


 


Total distributions to shareholders

           (47,601,491           (8,115,207           (21,955,025
    


 


 


 


 


 


Net increase (decrease) in net assets resulting from capital share transactions (Note 6)

     (12,684,994     35,895,629       (2,234,444     4,417,592       (3,195,869     5,066,395  
    


 


 


 


 


 


TOTAL INCREASE (DECREASE) IN NET ASSETS

     18,052,376       26,355,147       3,136,853       2,984,931       4,775,262       2,592,628  

NET ASSETS:

                                                

Beginning of period

     535,245,199       508,890,052       84,945,662       81,960,731       328,389,632       325,797,004  
    


 


 


 


 


 


End of period†

   $ 553,297,575     $ 535,245,199     $ 88,082,515     $ 84,945,662     $ 333,164,894     $ 328,389,632  
    


 


 


 


 


 


†  Includes accumulated undistributed net investment income (loss) of

   $ 15,109,633     $ 10,167,140     $ 652,183     $ 441,490     $ 10,291,641     $ 8,576,387  
    


 


 


 


 


 


 

See Notes to Financial Statements

 

120


Table of Contents

VALIC Company II

STATEMENTS OF CHANGES IN NET ASSETS — (continued)


 

     CORE BOND
FUND


    GOVERNMENT MONEY
MARKET II FUND#


    HIGH YIELD BOND
FUND


    INTERNATIONAL
OPPORTUNITIES FUND


 
     For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


     For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


 

INCREASE (DECREASE) IN NET ASSETS

                                                                 

OPERATIONS:

                                                                 

Net investment income (loss)

   $ 12,341,792     $ 25,157,030     $ 13,912     $ 16,693     $ 15,759,541      $ 25,806,594     $ 677,394     $ 5,615,908  

Net realized gain (loss) on investments and foreign currencies

     669,213       757,680       834       4,513       1,859,341        (14,000,137     15,503,148       20,354,596  

Net unrealized gain (loss) on investments and foreign currencies

     (31,312,846     40,587,643                   8,514,770        23,598,136       (6,334,093     16,677,016  
    


 


 


 


 


  


 


 


Net increase (decrease) in net assets resulting from operations

     (18,301,841     66,502,353       14,746       21,206       26,133,652        35,404,593       9,846,449       42,647,520  
    


 


 


 


 


  


 


 


DISTRIBUTIONS TO SHAREHOLDERS FROM:

                                                                 

Net investment income

           (23,425,991     (13,912     (16,693            (23,145,260           (6,570,282

Net realized gain on securities

           (3,247,585                                     
    


 


 


 


 


  


 


 


Total distributions to shareholders

           (26,673,576     (13,912     (16,693            (23,145,260           (6,570,282
    


 


 


 


 


  


 


 


Net increase (decrease) in net assets resulting from capital share transactions (Note 6)

     (155,587,571     97,283,313       (6,382,977     (18,619,160     10,058,440        109,564,711       (37,658,078     (36,323,383
    


 


 


 


 


  


 


 


TOTAL INCREASE (DECREASE) IN NET ASSETS

     (173,889,412     137,112,090       (6,382,143     (18,614,647     36,192,092        121,824,044       (27,811,629     (246,145

NET ASSETS:

                                                                 

Beginning of period

     1,202,914,981       1,065,802,891       141,290,723       159,905,370       590,678,547        468,854,503       596,055,147       596,301,292  
    


 


 


 


 


  


 


 


End of period†

   $ 1,029,025,569     $ 1,202,914,981     $ 134,908,580     $ 141,290,723     $ 626,870,639      $ 590,678,547     $ 568,243,518     $ 596,055,147  
    


 


 


 


 


  


 


 


†  Includes accumulated undistributed net investment income (loss) of

   $ 40,084,083     $ 27,742,291     $ (5,309   $ (5,309   $ 42,054,630      $ 26,295,089     $ 4,748,575     $ 4,071,181  
    


 


 


 


 


  


 


 



# See Note 1

 

See Notes to Financial Statements

 

121


Table of Contents

VALIC Company II

STATEMENTS OF CHANGES IN NET ASSETS — (continued)


 

     LARGE CAP
VALUE FUND


    MID CAP GROWTH FUND

     MID CAP VALUE FUND

    MODERATE GROWTH
LIFESTYLE FUND


 
     For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


     For the
Year Ended
August 31,
2016


     For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


 

INCREASE (DECREASE) IN NET ASSETS

                                                                  

OPERATIONS:

                                                                  

Net investment income (loss)

   $ 1,554,948     $ 3,155,801     $ 119,397      $ (355,744    $ 2,277,486     $ 5,960,483     $ 6,263,052     $ 17,343,033  

Net realized gain (loss) on investments and foreign currencies

     16,441,425       7,721,758       5,898,966        (1,571,293      45,585,250       53,912,204       10,709,810       35,180,140  

Net unrealized gain (loss) on investments and foreign currencies

     12,749,351       7,417,784       3,509,176        3,771,207        55,736,600       27,399,294       20,922,558       6,586,314  
    


 


 


  


  


 


 


 


Net increase (decrease) in net assets resulting from operations

     30,745,724       18,295,343       9,527,539        1,844,170        103,599,336       87,271,981       37,895,420       59,109,487  
    


 


 


  


  


 


 


 


DISTRIBUTIONS TO SHAREHOLDERS FROM:

                                                                  

Net investment income

           (2,372,082                         (2,541,034           (18,174,605

Net realized gain on securities

                        (9,306,137            (130,705,432           (44,418,799
    


 


 


  


  


 


 


 


Total distributions to shareholders

           (2,372,082            (9,306,137            (133,246,466           (62,593,404
    


 


 


  


  


 


 


 


Net increase (decrease) in net assets resulting from capital share transactions (Note 6)

     (13,410,218     21,318,961       (8,900,268      (26,055,482      (27,214,250     116,970,362       (6,828,064     52,013,742  
    


 


 


  


  


 


 


 


TOTAL INCREASE (DECREASE) IN NET ASSETS

     17,335,506       37,242,222       627,271        (33,517,449      76,385,086       70,995,877       31,067,356       48,529,825  

NET ASSETS:

                                                                  

Beginning of period

     230,844,184       193,601,962       120,773,543        154,290,992        997,576,185       926,580,308       846,973,904       798,444,079  
    


 


 


  


  


 


 


 


End of period†

   $ 248,179,690     $ 230,844,184     $ 121,400,814      $ 120,773,543      $ 1,073,961,271     $ 997,576,185     $ 878,041,260     $ 846,973,904  
    


 


 


  


  


 


 


 


†  Includes accumulated undistributed net investment income (loss) of

   $ 4,597,266     $ 3,042,318     $ (69,175    $ (188,572    $ 8,768,885     $ 6,491,399     $ 25,217,119     $ 18,954,067  
    


 


 


  


  


 


 


 


 

See Notes to Financial Statements

 

122


Table of Contents

VALIC Company II

STATEMENTS OF CHANGES IN NET ASSETS — (continued)


 

     SMALL CAP GROWTH
FUND


     SMALL CAP VALUE
FUND


    SOCIALLY RESPONSIBLE
FUND


    STRATEGIC BOND
FUND


 
     For the
Six Months
Ended
February 28,
2017

(Unaudited)


     For the
Year Ended
August 31,
2016


     For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


    For the
Six Months
Ended
February 28,
2017

(Unaudited)


    For the
Year Ended
August 31,
2016


 

INCREASE (DECREASE) IN NET ASSETS OPERATIONS:

                                                                  

Net investment income (loss)

   $ (217,303    $ (206,361    $ 3,669,496     $ 4,755,127     $ 6,131,568     $ 10,817,578     $ 13,535,403     $ 27,224,356  

Net realized gain (loss) on investments and foreign currencies

     2,002,476        4,867,921        29,605,505       10,332,321       3,812,040       50,410,350       5,826,950       (22,629,928

Net unrealized gain (loss) on investments and foreign currencies

     9,398,610        (1,266,158      40,106,624       38,159,100       57,411,454       23,376,211       (10,551,636     49,458,576  
    


  


  


 


 


 


 


 


Net increase (decrease) in net assets resulting from operations

     11,183,783        3,395,402        73,381,625       53,246,548       67,355,062       84,604,139       8,810,717       54,053,004  
    


  


  


 


 


 


 


 


DISTRIBUTIONS TO SHAREHOLDERS FROM:

                                                                  

Net investment income

                         (5,703,783           (10,420,982           (30,733,820

Net realized gain on securities

            (9,907,299            (57,354,654           (45,692,358           (2,407,964
    


  


  


 


 


 


 


 


Total distributions to shareholders

            (9,907,299            (63,058,437           (56,113,340           (33,141,784
    


  


  


 


 


 


 


 


Net increase (decrease) in net assets resulting from capital share transactions (Note 6)

     839,926        (3,633,641      (35,686,302     36,438,081       (18,224,980     1,869,743       (5,471,239     16,918,052  
    


  


  


 


 


 


 


 


TOTAL INCREASE (DECREASE) IN NET ASSETS

     12,023,709        (10,145,538      37,695,323       26,626,192       49,130,082       30,360,542       3,339,478       37,829,272  

NET ASSETS:

                                                                  

Beginning of period

     99,883,584        110,029,122        513,783,106       487,156,914       756,820,556       726,460,014       823,464,189       785,634,917  
    


  


  


 


 


 


 


 


End of period†

   $ 111,907,293      $ 99,883,584      $ 551,478,429     $ 513,783,106     $ 805,950,638     $ 756,820,556     $ 826,803,667     $ 823,464,189  
    


  


  


 


 


 


 


 


†  Includes accumulated undistributed net investment income (loss) of

   $ (360,964    $ (143,661    $ 8,554,942     $ 4,885,446     $ 17,131,993     $ 11,000,425     $ 40,694,751     $ 27,159,348  
    


  


  


 


 


 


 


 


 

See Notes to Financial Statements

 

123


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited)


 

Note 1 — Organization

 

VALIC Company II (the “Series” or “VC II”) was organized as a Delaware statutory trust on May 6, 1998, by The Variable Annuity Life Insurance Company (“VALIC” or the “Adviser”). VALIC, the investment adviser to VC II, is an indirect wholly-owned subsidiary of American International Group, Inc. (“AIG”). VC II is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Series consists of 15 separate mutual funds (collectively, the “Funds,” or each, a “Fund”), each of which issues its own class of shares of beneficial interest:

 

Aggressive Growth Lifestyle Fund*    Mid Cap Growth Fund
Capital Appreciation Fund    Mid Cap Value Fund
Conservative Growth Lifestyle Fund*    Moderate Growth Lifestyle Fund*
Core Bond Fund    Small Cap Growth Fund
Government Money Market II Fund (formerly, Money Market II Fund)**    Small Cap Value Fund
High Yield Bond Fund    Socially Responsible Fund
International Opportunities Fund    Strategic Bond Fund
Large Cap Value Fund     

* The Lifestyle Funds represent “Fund of Funds” which invest in either the VALIC Company I (“VC I”) or VC II mutual funds.
** Effective September 28, 2016, the Money Market II Fund was converted into a “government money market fund” as defined by Rule 2a-7 under the Investment Company Act of 1940, as amended. In connection with this conversion the name of Money Market II Fund was changed to Government Money Market II Fund.

 

Each Fund is diversified as defined by the 1940 Act.

 

Indemnifications. Under VC II’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, VC II enters into contracts that contain the obligation to indemnify others. The Funds’ maximum exposure under these arrangements is unknown. Currently, however, VC II expects the risk of loss to be remote.

 

Note 2 — Significant Accounting Policies

 

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The following is a summary of significant accounting policies consistently followed by the Series in the preparation of its financial statements:

 

A. Security Valuation

 

In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Funds would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

 

Level 1 — Unadjusted quoted prices in active markets for identical securities

 

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”) , etc.)

 

Level 3 — Significant unobservable inputs (includes inputs that reflect the Funds’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

 

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The summary of the Funds’ assets and liabilities classified in the fair value hierarchy as of February 28, 2017, is reported on a schedule following the Portfolio of Investments.

 

124


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

 

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

 

As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Funds use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Fund’s shares, and a Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Funds may also fair value securities in other situations, for example, when a particular foreign market is closed but a Fund is open. For foreign equity securities and foreign equity futures contracts, the Funds use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

 

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

 

Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

 

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

 

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter (“OTC”) market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

 

For the Government Money Market II Fund, securities are valued at amortized cost, which approximates market value and are generally categorized as Level 2. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. In accordance with Rule 2a-7 under the 1940 Act, the Board has adopted procedures intended to stabilize the Government Money Market II Fund’s net asset value per share at $1.00. These procedures include the determination, at such intervals as the Board deems appropriate and reasonable in light of current market conditions, of the extent, if any, to which the Government Money Market II Fund market-based net asset value per share deviates from the Fund’s amortized cost per share. The calculation of such deviation is referred to as “shadow pricing.” For purposes of these market-based valuations, securities for which market quotations are not readily available are fair valued, as determined pursuant to procedures adopted in good faith by the Board.

 

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

 

The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Funds, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Series’ fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

 

B. Derivative Instruments

 

Forward Foreign Currency Contracts: During the period, the High Yield Bond Fund and Strategic Bond Fund used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.

 

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Fund as unrealized appreciation or depreciation. On the settlement date, a Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

 

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Risks to the Funds of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Fund’s loss will generally consist of the net amount of contractual payments that the Fund has not yet received though the Fund’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statements of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

 

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule following the Fund’s Portfolio of Investments.

 

Futures: During the period, the Small Cap Value Fund and Socially Responsible Fund used equity futures contracts to equitize cash, providing exposure to equity markets.

 

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Fund will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Fund as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statements of Assets and Liabilities as variation margin for changes in the value of the contracts and as due to/from broker for the changes in the value of the initial margin requirement. When a contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

 

The primary risk to the Funds of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Funds will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Fund may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Funds since the futures contracts are generally exchange-traded.

 

Futures contracts outstanding at the end of the period, if any, are reported on a schedule following the Fund’s Portfolio of Investments.

 

Swap Contracts: Certain Funds may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and a Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as due from broker. Unlike a bilateral swap contract, for centrally cleared swaps, the Funds have no credit exposure to the counterparty as the CCP stands between the Funds and the counterparty. Swaps are marked-to-market daily and the changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. The Funds amortize upfront payments and receipts on the swap contracts on a daily basis. Net periodic payments made or received by the Funds are included as part of realized gain (loss).

 

Credit Default Swap Agreements: During the period, the High Yield Bond Fund used credit default swaps to manage credit risk (i.e., hedging), enhance returns, and as a substitute for physical securities.

 

Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its Fund because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a Fund will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Fund for future potential losses as a result of a credit event on the reference bond or other asset. A Fund effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

 

Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations

 

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may result in a cheapest-to deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where a Fund owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer’s default.

 

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

 

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a Fund of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are disclosed in the footnotes to the Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Fund is the seller of protection, if any, are disclosed on a schedule following the Fund’s Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Fund for the same referenced entity or entities.

 

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule following the Fund’s Portfolio of Investments.

 

Risks of Entering into Swap Agreements: Risks to a Fund of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, the Funds may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset’s perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, the Fund may suffer a loss.

 

Master Agreements: Certain Funds that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Fund and applicable counterparty. Collateral requirements are generally determined based on a Fund’s net position with each counterparty. Master Agreements may also include certain provisions that require a Fund to post additional collateral upon the occurrence of certain events, such as when a Fund’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Fund may also occur upon a decline in a Fund’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Fund’s counterparties to elect early termination could cause a Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Fund’s financial statements. See additional information on specific types of derivative instruments and other financial instruments as disclosed in the Notes to Financial Statements. The Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

 

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The following tables represent the value of derivatives held as of February 28, 2017, by their primary underlying risk exposure and the respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the six months ended February 28, 2017. For a detailed presentation of derivatives held as of February 28, 2017, please refer to the schedule following the Portfolio of Investments.

 

     Asset Derivatives

 
     Equity
Contracts


     Credit
Contracts


     Foreign
Exchange
Contracts


     Total

 

Fund


   Futures
Contracts(1)(6)


     Swap
Contracts(2)


     Foreign
Forward
Exchange
Contracts(3)


    

High Yield Bond

   $ —        $ 414,442      $ —        $ 414,442  

Small Cap Value

     —          —          —          —    

Socially Responsible

     —          —          —          —    

Strategic Bond

     —          —          64,942        64,942  
     Liability Derivatives

 
     Equity
Contracts


     Credit
Contracts


     Foreign
Exchange
Contracts


     Total

 

Fund


   Futures
Contracts(1)(6)


     Swap
Contracts(4)


     Foreign
Forward
Exchange
Contracts(5)


    

High Yield Bond

   $ —        $ —        $ 27,498      $ 27,498  

Small Cap Value

     193,615        —          —          193,615  

Socially Responsible

     56,100        —          —          56,100  

Strategic Bond

     —          —          227,039        227,039  

 

Statement of Assets and Liabilities Location:

 

(1) Variation Margin on futures contracts
(2) Unrealized appreciation on swap contracts
(3) Unrealized appreciation on forward foreign currency contracts
(4) Unrealized depreciation on swap contracts
(5) Unrealized depreciation on forward foreign currency contracts
(6) The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) as reported on each Fund’s Portfolio of Investments in the following amounts:

 

Fund


   Cumulative
Unrealized
Appreciation
(Depreciation)


 

Small Cap Value

   $ 47,561  

Socially Responsible

     962,778  

 

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     Realized Gain (Loss) on Derivatives Recognized in
Statement of Operations


 
     Equity
Contracts


     Credit
Contracts


     Foreign
Exchange
Contracts


     Total

 

Fund


   Futures
Contracts(1)


     Swap
Contracts(1)


     Foreign
Forward
Exchange
Contracts(2)


    

High Yield Bond

   $ —        $ 1,273,700      $ 616,107      $ 1,889,807  

Small Cap Value

     1,693,464        —          —          1,693,464  

Socially Responsible

     2,512,219        —          —          2,512,219  

Strategic Bond

     —          —          3,929,216        3,929,216  

 

     Change in Unrealized Appreciation (Depreciation) on
Derivatives Recognized in Statement of Operations


 
     Equity
Contracts


     Credit
Contracts


     Foreign
Exchange
Contracts


     Total

 

Fund


   Futures
Contracts(3)


     Swap
Contracts(3)


     Foreign
Forward
Exchange
Contracts(4)


    

High Yield Bond

   $ —        $ (144,737    $ (123,570    $ (268,307

Small Cap Value

     (19,917      —          —          (19,917

Socially Responsible

     (265,067      —          —          (265,067

Strategic Bond

     —          —          258,968        258,968  

 

Statement of Operations Location:

 

(1) Net realized gain (loss) on futures and swap contracts
(2) Net realized foreign exchange gain (loss) on other assets and liabilities
(3) Change in unrealized appreciation (depreciation) on futures and swap contracts
(4) Change in unrealized foreign exchange gain (loss) on other assets and liabilities

 

The following table represents the average monthly balances of derivatives held during the six months ended February 28, 2017.

 

     Average Amount Outstanding During the Year

 

Fund


   Futures
Contracts(1)


     Credit Swap
Contracts(2)


     Foreign
Forward
Exchange
Contracts(2)


     Total

 

High Yield Bond

   $ —        $ 20,665,850      $ 8,526,315      $ 29,192,165  

Small Cap Value

     12,127,579        —          —          12,127,579  

Socially Responsible

     26,410,373        —          —          26,410,373  

Strategic Bond

     —          —          83,695,395        83,695,395  

 

(1) Amounts represent values in US dollars.
(2) Amounts represent notional amounts in US dollars.

 

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The following tables set forth the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of February 28, 2017. The repurchase agreements held by the Funds and securities on loan as of February 28, 2017, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments of each Fund and the Notes to the Financial Statements for more information about the Funds’ holdings in repurchase agreements and securities on loan.

 

    High Yield Bond Fund

                   
    Derivative Assets(1)

    Derivative Liabilities(1)

                   
Counterparty   Forward
Foreign
Currency
Contracts


    OTC
Swaps

    Options
Purchased


    Total

    Forward
Foreign
Currency
Contracts


    OTC
Swaps

    Options
Written


    Total

    Net
Derivative
Assets
(Liabilities)


    Collateral
Pledged/
(Received)(2)


    Net
Amount(3)


 

JPMorgan Chase Bank N.A.

  $ —       $ —       $ —       $ —       $ 27,498     $ —       $ —       $ 27,498     $ (27,498   $ —       $ (27,498
   


 


 


 


 


 


 


 


 


 


 



(1) Gross amounts of recognized assets and liabilities not offset in the Statements of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the net amount of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

 

C. Stripped Mortgage-Backed Securities

 

Stripped Mortgage-Backed Securities (“SMBS”) are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Fund invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the “principal only” class) from the mortgage pool, while the other class will receive all or most of the interest (the “interest only” class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Fund‘s yield.

 

D. Mortgage-Backed Dollar Rolls

 

During the six months ended February 28, 2017, the Core Bond Fund and the Strategic Bond Fund entered into dollar rolls using “to be announced” (“TBA”) mortgage-backed securities (“TBA Rolls”). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Funds’ policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. TBA Roll transactions involve the risk that the market value of the securities held by a Fund may decline below the price of the securities that the Fund has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Fund‘s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund‘s obligation to repurchase the securities. The return earned by a Fund with the proceeds of the TBA Roll transaction may not exceed the transaction costs.

 

E. When-Issued Securities and Forward Commitments

 

Certain Funds may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Fund may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Funds may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when-issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the six months ended February 28, 2017, the Core Bond Fund and the Strategic Bond Fund purchased and/or sold when-issued securities.

 

F. Inflation-Indexed Bonds

 

Certain Funds may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statements of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statements of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

 

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G. Repurchase Agreements

 

The Funds, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission (“SEC”), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.

 

In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Series’ custodian takes possession of the collateral pledged for investments in such repurchase agreements (“repo” or collectively “repos”). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Fund may be delayed or limited.

 

H. Investment Securities Loaned

 

To realize additional income, a Fund, except for Aggressive Growth Lifestyle Fund, Conservative Growth Lifestyle Fund, Moderate Growth Lifestyle Fund, and the Government Money Market II Fund, may lend portfolio securities with a value of up to 30% of its total assets. Securities lending arrangements are generally governed by master securities lending authorization agreements which typically provide the securities lending agent with the right to make loans of a Fund’s available securities to an approved list of borrowers. These master securities lending agreements are considered to be Master Agreements as discussed in the Notes to the Financial Statements. Loans made pursuant to these agreements will be continuously secured by collateral in an amount at least equal to the market value of the securities loaned. Such collateral will be cash, U.S. government securities, or other collateral as deemed appropriate. A Fund may use the cash collateral received to invest in short-term investments. The description of the short-term investments made with cash collateral from securities lending is included in the applicable Fund’s Portfolio of Investments. Loans by a Fund will only be made to broker-dealers deemed by the securities lending agent to be creditworthy and will not be made unless, in the judgment of VALIC, the consideration to be earned from such loans would justify the risk. It is the Series’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day. Therefore, the value of the collateral may be temporarily more or less than the value of the securities on loan. Each Fund receives income from the investment of cash collateral, in addition to lending fees and rebates paid by the borrower, less expenses associated with the loan. In the event of a borrower default, including if the borrower fails to maintain the requisite amount of collateral, the securities lending agent will terminate all outstanding loans to that particular borrower and the lending Fund is permitted to use the collateral to replace the securities while holding the borrower liable for any excess of replacement cost over collateral. The securities lending agent is also required to indemnify a Fund against certain losses resulting from a borrower default. Although risk is mitigated by the collateral and indemnification, the risks in lending fund securities, as with other extensions of secured credit, include possible delays in receiving additional collateral or in the recovery of the securities or possible loss of rights in the collateral should the borrower fail financially as well as risk of loss in the value of collateral or the value of the investments made with the collateral. Income and fees are recorded in the Statements of Operations as securities lending income. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

 

I. Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders

 

Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Funds amortize all premiums and accrete all discounts on fixed income securities.

 

Securities purchased or sold on a when-issued or forward commitment basis are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

 

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as a Fund is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations. For the Lifestyle Funds, distributions from income from the Underlying Funds, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from the Underlying Funds, if any, are recorded to realized gains on the ex-dividend date.

 

Funds which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and certain other countries’ tax regulations require that taxes be paid on capital gains realized by a Fund.

 

In consideration of recent decisions rendered by the European courts, certain Funds filed reclaims to recover taxes withheld on dividends earned from certain European Union countries during calendar years 2007 through 2015. These filing are subject to various administrative and judicial proceedings within these countries. During the period, the International Opportunities Fund successfully recovered taxes withheld by Finland for the calendar years 2007 and 2008 in the amount of $418,765. Such amounts are disclosed in the Statement of Operations as Dividends, Interest income and Net realized foreign exchange gain (loss) on other assets and liabilities of $528,566, $20,444 and $(130,245), respectively. No other amounts for additional tax reclaims are disclosed in the financial statements due to the uncertainty as to the ultimate resolution of the proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.

 

Distributions received from Real Estate Investment Trusts (“REIT”) investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year’s allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

 

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NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

 

Expenses common to all Funds are allocated among the Funds based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Fund as incurred on a specific identification basis. For the Lifestyle Funds, the expenses included in the accompanying financial statements reflect the expenses of the Lifestyle Funds and do not include any expenses associated with the Underlying Funds.

 

Dividends from net investment income, if any, are normally paid annually, except for the Government Money Market II Fund, which declares daily and pays monthly. Distributions from net realized capital gains, if any, are normally declared and paid annually. The Funds record dividends and distributions to their shareholders on the ex-dividend date.

 

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

 

Each Fund is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

 

The Funds recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Fund’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2013 — 2015 or expected to be taken in each Fund’s 2016 tax return. The Funds are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Funds file U.S. federal and certain state income tax returns. With few exceptions, the Funds are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2013.

 

J. Foreign Currency Translation

 

The books and records of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

 

The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period. Similarly, the Funds do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.

 

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates and realized gains and losses on forward foreign currency contracts.

 

Note 3 Advisory Fees and Other Transactions with Affiliates

 

VALIC serves as investment adviser to VC II. Certain officers and trustees of VC II are officers and directors of VALIC or affiliates of VALIC. VALIC receives from VC II a monthly fee based on each Fund’s average daily net asset value at the following annual rates:

 

Aggressive Growth Lifestyle Fund   0.10%
Capital Appreciation Fund   0.55% on first $1 billion
    0.525% on assets over $1 billion
Conservative Growth Lifestyle Fund   0.10%
Core Bond Fund   0.50% on the first $200 million
    0.45% on the next $300 million
    0.40% on assets over $500 million
Government Money Market II Fund   0.25%
High Yield Bond Fund   0.65% on the first $150 million
    0.60% on the next $350 million
    0.55% on assets over $500 million
International Opportunities Fund   0.90% on the first $100 million
    0.80% on the next $650 million
    0.75% on assets over $750 million
Large Cap Value Fund   0.50% on the first $500 million
    0.475% on assets over $500 million
Mid Cap Growth Fund   0.80% on the first $50 million
    0.75% on the next $50 million
    0.70% on the next $150 million
    0.65% on the next $250 million
    0.60% on assets over $500 million

 

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NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

Mid Cap Value Fund   0.75% on the first $100 million
    0.725% on the next $150 million
    0.70% on the next $250 million
    0.675% on the next $250 million
    0.65% on assets over $750 million
Moderate Growth Lifestyle Fund   0.10%
Small Cap Growth Fund   0.85% on the first $100 million
    0.80% on assets over $100 million
Small Cap Value Fund   0.75% on the first $50 million
    0.65% on assets over $50 million
Socially Responsible Fund   0.25% on the first $1 billion
    0.24% on assets over $1 billion
Strategic Bond Fund   0.60% on the first $200 million
    0.50% on the next $300 million
    0.45% on assets over $500 million

 

VALIC has entered into subadvisory agreements with the following:

 

Delaware Investments Fund Advisers (“Delaware Investments”)—subadviser for a portion of the International Opportunities Fund.

J.P. Morgan Investment Management Inc. (“JPMIM”)—subadviser for the Small Cap Growth Fund and the Small Cap Value Fund.(1)

Janus Capital Management, LLC (“Janus”)—subadviser for a portion of the Large Cap Value Fund.

Massachusetts Financial Services Company (“MFS”)—subadviser for a portion of the International Opportunities Fund.

PineBridge Investments, LLC (“PineBridge”)—subadviser for the Strategic Bond Fund, Core Bond Fund, Aggressive, Moderate and Conservative Growth Lifestyle Funds.

Robeco Investment Management, Inc. d/b/a Boston Partners (“Robeco”)—subadviser for a portion of the Mid Cap Value Fund.

SunAmerica Asset Management, LLC (“SunAmerica”)—subadviser for the Government Money Market II Fund and the Socially Responsible Fund.

The Boston Company Asset Management, LLC (“The Boston Co.”)—subadviser for the Capital Appreciation Fund and a portion of the Large Cap Value Fund.

Wellington Management Company LLP—subadviser for the High Yield Bond Fund and a portion of the Mid Cap Value Fund.

Wells Capital Management Incorporated (“Wells Capital”)—subadviser for the Mid Cap Growth Fund.


(1) Effective October 29, 2016, J.P. Morgan Investment Management Inc. replaced Wells Capital Management Incorporated as the subadvisor for the Small Cap Value Fund.

 

The subadvisers are compensated for their services by VALIC.

 

VALIC has contractually agreed to waive fees and/or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each Fund’s average daily net assets through December 31, 2017. For the purposes of waived fee and/or reimbursed expense calculations, annual fund operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and/or infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Fund’s business. The contractual expense waivers and fee reimbursements will continue until December 31, 2017, subject to termination by the Board, including a majority of the Trustees who are not interested persons of the Fund or VALIC as defined by Section 2(a)(19) of the 1940 Act (the “Disinterested Trustees”).

 

Fund


   Expense
Limitation


 

Aggressive Growth Lifestyle

     0.10

Capital Appreciation

     0.85

Conservative Growth Lifestyle

     0.10

Core Bond

     0.77

Government Money Market II

     0.55

High Yield Bond

     0.96

International Opportunities

     1.00

Large Cap Value

     0.81

Mid Cap Growth

     0.85

Mid Cap Value

     1.05

Moderate Growth Lifestyle

     0.10

Small Cap Growth

     1.16

Small Cap Value

     0.95

Socially Responsible

     0.56

Strategic Bond

     0.89

 

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NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

 

For the six months ended February 28, 2017, pursuant to the contractual expense limitations in the above table, VALIC waived fees and/or reimbursed expenses as follows:

 

Fund


   Amount

 

Aggressive Growth Lifestyle

   $  83,224  

Capital Appreciation

     52,771  

Conservative Growth Lifestyle

     65,426  

Core Bond

     99,399  

Government Money Market II

     119,314  

International Opportunities

     598,849  

Large Cap Value

     65,592  

Mid Cap Growth

     180,575  

Moderate Growth Lifestyle

     121,832  

Small Cap Growth

     49,220  

Small Cap Value

     173,527  

Socially Responsible

     157,130  

 

VALIC may also voluntarily waive fees and/or reimburse expenses to avoid a negative yield on the Government Money Market II Fund. The voluntary waivers and/or reimbursements may be terminated at any time at the option of VALIC. The exact amount of the voluntary waivers and/or reimbursements may change on a day-to-day basis. There is no guarantee that the Government Money Market II Fund will be able to avoid a negative yield. For the six months ended February 28, 2017, VALIC voluntarily waived fees and/or reimbursed expenses of $62,816 for the Government Money Market II Fund.

 

VC II, on behalf of each Fund, other than the Lifestyle Funds, has entered into an Administrative Services Agreement with SunAmerica (“Administrator”), an affiliate of the Adviser. SunAmerica receives from each Fund in the Series and VCI, other than the Lifestyle Funds, an annual fee of 0.06% based upon each Fund’s average daily net assets, plus the following Accounting Basis Point Fee†: 0.0075% on the first $75 billion; 0.0060% on the next $25 billion; and 0.0050% in excess of $100 billion. Pursuant to the Administrative Services Agreement, SunAmerica provides administrative services to the Funds, regulatory reporting, internal legal and compliance services, fund accounting and related portfolio accounting services, all necessary office space, equipment, personnel, compensation and facilities for handling the affairs of the Funds and other services. Without limiting the generality of the foregoing, the Administrator (or its appointed service provider): assists with the preparation of prospectuses, statements of additional information, registration statements, and proxy materials; develops and prepares communications to shareholders, including the annual and semi-annual reports to shareholders; coordinates and supervises the preparation and filing of Fund tax returns; assists with the design, development, and operation of the Funds; prepares the Funds’ financial statements; determines the net asset value of the Funds’ shares; supervises the Funds’ transfer agent with respect to the payment of dividends and other distributions to shareholders; and calculates performance data of the Funds. For the six months ended February 28, 2017, the Administrator earned fees as reflected in the Statements of Operations based upon the aforementioned rate.

 

VC II, on behalf of each Fund, entered into a Master Transfer Agency and Services Agreement with VALIC Retirement Services Company (“VRSCO”), an affiliate of VALIC. VRSCO receives from the Series and VC I an annual fee of $132,510, which is allocated to each Fund in the Series and VC I based on shareholder accounts. Under this agreement, VRSCO provides services which include the issuance and redemption of shares, acting as dividend disbursing agent, and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. In addition to the above, VRSCO provides “Blue Sky” registration and reporting in applicable states for each Fund that is sold outside of a variable annuity or variable life contract in order to effect and maintain, as the case may be, including but not limited to, the qualification of shares for sale under the applicable securities laws of such jurisdictions to qualified plans. For the six months ended February 28, 2017, VRSCO earned fees as reflected in the Statement of Operations based upon the aforementioned rate.

 

VC II, on behalf of each Fund, other than the Lifestyle Funds, has entered into a Shareholder Services Agreement with VALIC. Under the agreement, VALIC provides record keeping, account maintenance, and other administrative and shareholder services for contract owners and participants. VALIC receives from each Fund, other than the Lifestyle Funds, an annual fee of 0.25% based on average daily net assets of the Fund. For the six months ended February 28, 2017, VALIC earned fees as reflected in the Statements of Operations based upon the aforementioned rate.

 

On January 23, 2001, the Board ratified a Deferred Compensation Plan for its independent trustees who are not officers, directors, or employees of VALIC, or an affiliate of VALIC. The effective date of the plan was January 1, 2001. The first deferred payment was made in March of 2001. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred may be invested in up to three different affiliated mutual funds that are specified in the plan as selected by the trustees. Obligations under the deferred compensation plan represents unsecured claims against the general assets of the Funds. For the six months ended February 28, 2017, VC II has deferred $11,075 of trustee compensation.

 

134

Accounting Basis Point Fee is calculated based upon all assets in all registered management investment companies managed and/or administered by the Administrator and VALIC, other than “funds-of-funds” and “feeder funds.”


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

 

At February 28, 2017, the following affiliates owned outstanding shares of the following Funds:

 

     Holder

 

Fund


   American
General Life
Insurance Co.


    The United
States Life
Insurance Co.


    VALIC

    VC I
Dynamic
Allocation Fund


    VC II
Aggressive
Growth Lifestyle


    VC II
Conservative
Growth Lifestyle


    VC II
Moderate
Growth Lifestyle


 

Aggressive Growth Lifestyle

     —       —       100.00     —       —       —       —  

Capital Appreciation

     —         —         43.99       7.59       20.35       4.31       23.76  

Conservative Growth Lifestyle

     —         —         100.00       —         —         —         —    

Core Bond

     —         —         87.30       1.45       0.58       4.26       6.41  

Government Money Market II

     —         —         100.00       —         —         —         —    

High Yield Bond

     0.03       —         74.65       0.48       5.27       6.93       12.64  

International Opportunities

     —         —         93.20       —         3.00       0.62       3.18  

Large Cap Value

     —         —         87.92       —         4.52       1.56       6.00  

Mid Cap Growth

     —         —         88.06       1.68       4.72       0.60       4.94  

Mid Cap Value

     0.24       —         86.53       0.20       4.54       1.86       6.63  

Moderate Growth Lifestyle

     —         —         100.00       —         —         —         —    

Small Cap Growth

     —         —         76.49       3.76       10.43       1.24       8.08  

Small Cap Value

     —         —         85.94       0.69       5.05       1.64       6.68  

Socially Responsible

     0.00       —         100.00       —         —         —         —    

Strategic Bond

     0.06       0.01       72.17       0.62       4.69       9.15       13.30  

 

As disclosed in the Portfolio of Investments, certain Funds own shares of various VC I or VC II Funds and securities issued by AIG or an affiliate thereof. During the six months ended February 28, 2017, transactions in these securities were as follows:

 

Aggressive Growth Lifestyle Fund

 

Security


  Income

    Capital Gain
Distribution
Received


    Value
at 08/31/2016


    Cost of
Purchases†


    Proceeds
from Sales


    Realized
Gain/(Loss)


    Change in
Unrealized
Gain/(Loss)


    Value
at 02/28/2017


 

VALIC Co. I Blue Chip Growth Fund

  $ —       $ 1,378,148     $ 15,321,422     $ 1,378,148     $ 2,214,368     $ 172,281     $ (228,975   $ 14,428,508  

VALIC Co. I Capital Conservation Fund

    161,455       7,864       5,985,390       3,382,009       2,019,291       (8,167     (296,439     7,043,502  

VALIC Co. I Dividend Value Fund

    353,073       1,525,322       17,130,245       1,878,395       —         —         (100,943     18,907,697  

VALIC Co. I Emerging Economies Fund

    222,924       —         9,933,574       19,212,466       16,823,449       463,454       1,063,692       13,849,737  

VALIC Co. I Foreign Value Fund

    532,274       —         26,622,335       532,274       977,019       (65,329     1,730,158       27,842,419  

VALIC Co. I Global Real Estate Fund

    1,618,663       1,995,020       54,356,225       4,998,868       14,546,705       (966,347     (4,832,508     39,009,533  

VALIC Co. I Government Securities Fund

    186,807       —         7,401,700       3,706,369       2,986,229       (39,531     (336,262     7,746,047  

VALIC Co. I Inflation Protected Fund

    86,941       50,628       3,256,539       31,339,872       —         —         191,314       34,787,725  

VALIC Co. I International Equities Index Fund

    448,593       —         33,545,328       448,593       17,614,272       (1,318,743     1,643,148       16,704,054  

VALIC Co. I International Growth Fund

    166,270       —         17,423,681       166,270       6,481,237       (1,139,590     1,185,756       11,154,880  

VALIC Co. I Mid Cap Index Fund

    377,158       2,582,696       26,564,486       7,067,135       —         —         118,272       33,749,893  

VALIC Co. I Mid Cap Strategic Growth Fund

    —         332,788       5,997,163       332,788       1,222,961       (203,187     187,567       5,091,370  

VALIC Co. I Nasdaq-100 Index Fund

    52,150       325,415       12,357,276       377,565       5,978,856       2,669,001       (2,171,328     7,253,658  

VALIC Co. I Science & Technology Fund

    —         420,758       7,961,730       420,758       2,808,422       602,542       (423,465     5,753,143  

VALIC Co. I Small Cap Index Fund

    446,577       2,131,259       29,618,264       11,378,371       —         —         1,346,372       42,343,007  

VALIC Co. I Small Cap Special Values Fund

    153,242       984,341       14,152,320       1,137,582       —         —         546,503       15,836,405  

VALIC Co. I Stock Index Fund

    339,172       994,903       20,019,331       3,736,342       1,770,988       (84,097     674,674       22,575,262  

VALIC Co. I Value Fund

    61,529       —         3,395,396       61,528       —         —         246,542       3,703,466  

VALIC Co. II Capital Appreciation Fund

    —         —         16,828,047       —         —         —         1,094,507       17,922,554  

VALIC Co. II Core Bond Fund

    —         —         31,650,665       —         25,211,288       (163,527     (294,868     5,980,982  

VALIC Co. II High Yield Bond Fund

    —         —         41,823,055       —         10,347,928       (124,603     1,685,147       33,035,671  

VALIC Co. II International Opportunities Fund

    —         —         18,032,426       —         1,283,273       (6,551     304,555       17,047,157  

VALIC Co. II Large Cap Value Fund

    —         —         9,847,452       —         —         —         1,369,336       11,216,788  

VALIC Co. II Mid Cap Growth Fund

    —         —         6,995,995       —         1,677,632       125,924       293,578       5,737,865  

VALIC Co. II Mid Cap Value Fund

    —         —         33,148,398       11,758,684       —         —         3,813,549       48,720,631  

VALIC Co. II Small Cap Growth Fund

    —         —         10,481,418       —         —         —         1,181,004       11,662,422  

VALIC Co. II Small Cap Value Fund

    —         —         21,141,495       3,595,281       —         —         3,097,157       27,833,933  

 

135

Includes reinvestment of distributions paid.


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

 

Aggressive Growth Lifestyle Fund (continued)

 

Security


  Income

    Capital Gain
Distribution
Received


    Value
at 08/31/2016


    Cost of
Purchases†


    Proceeds
from Sales


    Realized
Gain/(Loss)


    Change in
Unrealized
Gain/(Loss)


    Value
at 02/28/2017


 

VALIC Co. II Strategic Bond Fund

  $ —       $ —       $ 33,848,518     $ 12,155,521     $ 7,601,203     $ (215,905   $ 618,132     $ 38,805,063  

VALIC Co. I International Government Bond Fund

    —         —         531,777       7,435,978       —         —         (338,065     7,629,690  
   


 


 


 


 


 


 


 


    $ 5,206,828     $ 12,729,142     $ 535,371,651     $ 126,500,797     $ 121,565,121     $ (302,375   $ 13,368,110     $ 553,373,062  
   


 


 


 


 


 


 


 


 

Conservative Growth Lifestyle Fund

 

Security


  Income

    Capital Gain
Distribution
Received


    Value
at 08/31/2016


    Cost of
Purchases†


    Proceeds
from Sales


    Realized
Gain/(Loss)


    Change in
Unrealized
Gain/(Loss)


    Value
at 02/28/2017


 

VALIC Co. I Blue Chip Growth Fund

  $ —       $ 167,310     $ 2,326,865     $ 167,310     $ 745,512     $ (65,455   $ 68,443     $ 1,751,651  

VALIC Co. I Capital Conservation Fund

    287,081       13,983       13,460,918       4,825,568       5,219,249       47,901       (591,186     12,523,952  

VALIC Co. I Dividend Value Fund

    146,531       633,033       7,109,322       779,563       —         —         (41,893     7,846,992  

VALIC Co. I Emerging Economies Fund

    73,806       —         1,540,790       10,590,900       8,344,756       180,320       424,095       4,391,349  

VALIC Co. I Foreign Value Fund

    117,712       —         11,259,806       117,712       5,874,131       (831,012     1,484,973       6,157,348  

VALIC Co. I Global Real Estate Fund

    534,116       658,304       19,440,502       1,192,420       5,750,242       (700,969     (1,309,599     12,872,112  

VALIC Co. I Government Securities Fund

    144,952       —         11,452,787       1,629,221       7,233,541       (278,694     (191,503     5,378,270  

VALIC Co. I Inflation Protected Fund

    76,938       44,803       9,978,232       20,701,579       —         —         105,466       30,785,277  

VALIC Co. I International Equities Index Fund

    137,558       —         15,142,320       137,558       10,324,605       (726,595     893,501       5,122,179  

VALIC Co. I International Government Bond Fund

    —         —         329,674       7,868,183       —         —         (324,251     7,873,606  

VALIC Co. I International Growth Fund

    30,883       —         6,337,605       30,883       4,249,869       (686,220     639,513       2,071,912  

VALIC Co. I Mid Cap Index Fund

    111,021       760,248       2,386,633       8,041,150       —         —         (412,300     10,015,483  

VALIC Co. I Mid Cap Strategic Growth Fund

    —         23,714       671,931       23,714       335,484       (81,820     84,458       362,799  

VALIC Co. I Nasdaq-100 Index Fund

    5,481       34,202       679,983       39,683       —         —         42,713       762,379  

VALIC Co. I Science & Technology Fund

    —         55,747       689,268       55,747       —         —         17,227       762,242  

VALIC Co. I Small Cap Index Fund

    106,449       508,019       5,475,724       4,462,125       —         —         155,278       10,093,127  

VALIC Co. I Small Cap Special Values Fund

    62,060       398,637       5,731,386       460,696       —         1       221,322       6,413,405  

VALIC Co. I Stock Index Fund

    27,275       80,005       2,047,065       107,280       398,974       5,149       54,873       1,815,393  

VALIC Co. I Value Fund

    15,421       —         851,011       15,421       —         —         61,793       928,225  

VALIC Co. II Capital Appreciation Fund

            —         3,560,571       —         —         —         231,581       3,792,152  

VALIC Co. II Core Bond Fund

            —         66,368,944       —         21,667,586       340,331       (1,242,808     43,798,881  

VALIC Co. II High Yield Bond Fund

            —         45,840,032       —         4,174,026       292,523       1,504,706       43,463,235  

VALIC Co. II International Opportunities Fund

            —         7,246,530       —         3,696,379       24,679       (69,829     3,505,001  

VALIC Co. II Large Cap Value Fund

            —         3,402,227       —         —         —         473,096       3,875,323  

VALIC Co. II Mid Cap Growth Fund

            —         665,361       —         —         —         56,896       722,257  

VALIC Co. II Mid Cap Value Fund

            —         7,779,257       11,087,630       —         —         1,109,317       19,976,204  

VALIC Co. II Small Cap Growth Fund

            —         542,833       726,999       —         —         117,698       1,387,530  

VALIC Co. II Small Cap Value Fund

            —         7,065,831       969,475       —         —         1,033,313       9,068,619  

VALIC Co. II Strategic Bond Fund

            —         69,060,359       9,307,930       3,465,841       (187,152     947,992       75,663,288  
   


 


 


 


 


 


 


 


    $ 1,877,284     $ 3,378,005     $ 328,443,767     $ 83,338,747     $ 81,480,195     $ (2,667,013   $ 5,544,885     $ 333,180,191  
   


 


 


 


 


 


 


 


 

Moderate Growth Lifestyle Fund

 

Security


  Income

    Capital Gain
Distribution
Received


    Value
at 08/31/2016


    Cost of
Purchases†


    Proceeds
from Sales


    Realized
Gain/(Loss)


    Unrealized
Gain/(Loss)


    Value
at 02/28/2017


 

VALIC Co. I Blue Chip Growth Fund

  $ —       $ 1,596,942     $ 15,199,126     $ 1,596,943     $ —       $ —       $ (76,901   $ 16,719,168  

VALIC Co. I Capital Conservation Fund

    595,887       29,025       23,964,652       9,351,621       6,143,134       (24,910     (1,152,510     25,995,719  

VALIC Co. I Dividend Value Fund

    471,333       2,036,219       22,867,915       2,507,552       —         —         (134,753     25,240,714  

VALIC Co. I Emerging Economies Fund

    226,614       —         9,422,600       23,141,922       21,938,495       606,451       1,125,178       12,357,656  

VALIC Co. I Foreign Value Fund

    529,911       —         29,489,789       529,911       4,186,055       (334,113     2,219,243       27,718,775  

VALIC Co. I Global Real Estate Fund

    1,904,561       2,347,394       80,198,117       4,251,956       30,687,758       (2,505,958     (5,356,700     45,899,657  

VALIC Co. I Government Securities Fund

    322,195       —         12,651,446       6,927,203       6,675,888       (220,633     (439,844     12,242,284  

VALIC Co. I Inflation Protected Fund

    158,741       92,439       8,429,373       54,716,370       —         —         371,241       63,516,984  

 

136

Includes reinvestment of distributions paid.


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

 

Moderate Growth Lifestyle Fund (continued)

 

Security


  Income

    Capital Gain
Distribution
Received


    Value
at 08/31/2016


    Cost of
Purchases†


    Proceeds
from Sales


    Realized
Gain/(Loss)


    Unrealized
Gain/(Loss)


    Value
at 02/28/2017


 

VALIC Co. I International Equities Index Fund

  $ 478,653     $ —       $ 38,077,630     $ 478,653     $ 21,159,167     $ (1,213,341   $ 1,639,617     $ 17,823,392  

VALIC Co. I International Government Bond Fund

    —         —         840,378       9,735,408       —         —         (465,516     10,110,270  

VALIC Co. I International Growth Fund

    132,857       —         23,502,940       132,857       14,585,645       (2,637,739     2,500,777       8,913,190  

VALIC Co. I Mid Cap Index Fund

    580,321       3,973,905       34,948,351       15,646,329       —         —         (303,694     50,290,986  

VALIC Co. I Mid Cap Strategic Growth Fund

    —         331,256       4,731,566       331,255       —         —         5,100       5,067,921  

VALIC Co. I Nasdaq-100 Index Fund

    59,445       370,938       7,374,763       430,383       —         —         463,240       8,268,386  

VALIC Co. I Science & Technology Fund

    —         555,062       6,862,935       555,062       —         —         171,521       7,589,518  

VALIC Co. I Small Cap Index Fund

    658,094       3,140,711       43,777,211       16,684,657       —         —         1,936,529       62,398,397  

VALIC Co. I Small Cap Special Values Fund

    235,437       1,512,320       21,192,799       2,363,958       —         —         773,964       24,330,721  

VALIC Co. I Stock Index Fund

    253,946       744,907       21,075,631       998,853       5,754,093       (35,292     617,528       16,902,627  

VALIC Co. I Value Fund

    77,462       —         4,274,657       77,462       —         —         310,385       4,662,504  

VALIC Co. II Capital Appreciation Fund

    —         —         19,651,753       —         —         —         1,278,162       20,929,915  

VALIC Co. II Core Bond Fund

    —         —         93,570,680       7,040,573       33,165,495       110,054       (1,551,166     66,004,646  

VALIC Co. II High Yield Bond Fund

    —         —         91,118,805       —         15,425,840       616,950       2,892,039       79,201,954  

VALIC Co. II International Opportunities Fund

    —         —         19,079,039       —         1,296,401       (29,464     323,587       18,076,761  

VALIC Co. II Large Cap Value Fund

    —         —         13,077,261       —         —         —         1,818,457       14,895,718  

VALIC Co. II Mid Cap Growth Fund

    —         —         5,523,801       —         —         —         472,344       5,996,145  

VALIC Co. II Mid Cap Value Fund

    —         —         48,763,345       16,888,280       —         —         5,573,921       71,225,546  

VALIC Co. II Small Cap Growth Fund

    —         —         7,824,110       306,192       —         —         905,400       9,035,702  

VALIC Co. II Small Cap Value Fund

    —         —         25,081,035       8,185,026       —         —         3,562,082       36,828,143  

VALIC Co. II Strategic Bond Fund

    —         —         113,109,023       9,479,974       13,781,016       (353,313     1,443,327       109,897,995  
   


 


 


 


 


 


 


 


    $ 6,685,457     $ 16,731,118     $ 845,680,731     $ 192,358,400     $ 174,798,987     $ (6,021,308   $ 20,922,558     $ 878,141,394  
   


 


 


 


 


 


 


 



Includes reinvestment of distributions paid.

 

Note 4 — Purchases and Sales of Investment Securities

 

The cost of purchases and proceeds from sales and maturities of long-term investments during the six months ended February 28, 2017 were as follows:

 

Fund


   Purchases of
Investment
Securities
(Excluding U.S.
Government
Securities)


     Sales of
Investment
Securities
(Excluding U.S.
Government
Securities)


     Purchase of U.S.
Government
Securities


     Sales of U.S.
Government
Securities


 

Aggressive Growth Lifestyle

   $ 108,564,827      $ 121,565,121      $ —        $ —    

Capital Appreciation

     28,769,291        33,963,948        —          —    

Conservative Growth Lifestyle

     78,083,458        81,480,195        —          —    

Core Bond

     226,821,821        202,506,305        209,605,254        367,457,104  

Government Money Market II

     —          —          —          —    

High Yield Bond

     172,795,724        127,489,250        —          —    

International Opportunities

     199,351,563        237,665,028        —          —    

Large Cap Value

     94,991,645        107,141,266        —          —    

Mid Cap Growth

     48,029,099        57,424,706        —          —    

Mid Cap Value

     240,972,148        266,732,418        —          —    

Moderate Growth Lifestyle

     168,941,825        174,798,987        —          —    

Small Cap Growth

     15,983,801        15,162,913        —          —    

Small Cap Value

     281,663,618        288,695,774        —          —    

Socially Responsible

     —          3,228,228        —          —    

Strategic Bond

     365,135,488        274,366,790        293,368,278        362,000,250  

 

Note 5 — Federal Income Taxes

 

The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, treatment of deferred compensation, late year ordinary losses, straddles, investments in partnerships, treatment of defaulted securities and derivative transactions.

 

 

137


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

The information in the following table is presented on the basis of cost for Federal Income Tax purposes at February 28, 2017.

 

Fund


   Identified Cost
of Investments
Owned


     Gross
Unrealized
Appreciation


     Gross
Unrealized
Depreciation


     Net Unrealized
Appreciation
(Depreciation)


 

Aggressive Growth Lifesyle

   $ 530,260,881      $ 36,175,890      $ (13,063,709    $ 23,112,181  

Capital Appreciation

     70,711,199        18,304,210        (387,183      17,917,027  

Conservative Growth Lifestyle

     328,944,419        9,738,725        (5,502,953      4,235,772  

Core Bond

     1,051,028,857        16,509,489        (11,521,474      4,988,015  

Government Money Market II

     141,988,524        —          —          —    

High Yield Bond

     660,543,531        26,057,649        (10,207,789      15,849,860  

International Opportunities

     510,265,804        100,442,012        (17,355,445      83,086,567  

Large Cap Value

     219,419,962        34,738,861        (3,328,152      31,410,709  

Mid Cap Growth

     105,862,503        17,721,607        (1,569,827      16,151,780  

Mid Cap Value

     911,380,511        197,384,273        (29,060,964      168,323,309  

Moderate Growth Lifestyle

     844,842,974        48,419,938        (15,121,518      33,298,420  

Small Cap Growth

     106,125,510        25,246,167        (5,990,284      19,255,883  

Small Cap Value

     483,281,898        115,356,189        (20,025,434      95,330,755  

Socially Responsible

     619,135,661        216,586,447        (18,828,146      197,758,301  

Strategic Bond

     860,983,059        18,424,567        (12,247,193      6,177,374  

 

The tax character of distributions paid may differ from the Statement of Changes in Net Assets due to short-term gains treated as ordinary income distributions for tax purposes.

 

The tax basis distributable earnings at August 31, 2016 and the tax character of distributions paid during the year ended August 31, 2016 were as follows:

 

    Distributable Earnings

    Tax Distributions

 
    For the year ended August 31, 2016

 

Fund


  Ordinary
Income


    Long-term
Capital Gains
and Other
Losses


    Unrealized
Appreciation
(Depreciation)@


    Ordinary
Income


    Long-Term
Capital

Gains

 

Aggressive Growth Lifestyle

  $ 10,175,053     $ 30,381,169     $ 9,744,071     $ 13,270,729     $ 34,330,762  

Capital Appreciation

    444,641       7,972,350       15,628,472       312,016       7,803,191  

Conservative Growth Lifestyle

    8,581,634       2,821,833       (1,309,113     9,991,705       11,963,320  

Core Bond

    27,768,658       (1,908,578     36,300,861       26,673,576       —    

Government Money Market II

    6,406       —         —         16,693       —    

High Yield Bond

    27,551,970       (34,993,409     7,066,358       23,145,260       —    

International Opportunities

    7,790,735       (93,325,579     89,320,198       6,570,282       —    

Large Cap Value

    3,049,306       (17,818,892     18,661,358       2,372,082       —    

Mid Cap Growth

    —         (2,327,330     12,642,604       —         9,306,137  

Mid Cap Value

    6,514,472       62,136,734       112,587,016       2,541,034       130,705,432  

Moderate Growth Lifestyle

    18,966,348       34,930,260       12,375,862       21,298,906       41,294,498  

Small Cap Growth

    —         6,502,058       9,857,273       69,228       9,838,071  

Small Cap Value

    5,369,680       19,109,755       55,204,215       10,495,948       52,562,489  

Socially Responsible

    12,252,457       52,201,632       140,081,780       10,420,982       45,692,358  

Strategic Bond

    28,271,122       (10,351,324     16,957,611       32,224,009       917,775  

@ Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

 

 

138


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

As of August 31, 2016, for Federal income tax purposes, the Funds indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:

 

     Capital Loss
Carryforward†


     Unlimited†

 

Fund


   2018

     ST

     LT

 

Aggressive Growth Lifestyle

   $ —        $ —        $ —    

Capital Appreciation

     —          —          —    

Conservative Growth Lifestyle

     —          —          —    

Core Bond

     —          —          1,908,578  

Government Money Market II

     —          —          —    

High Yield Bond

     25,316,663        6,794,791        2,881,955  

International Opportunities

     93,325,579        —          —    

Large Cap Value

     17,818,892        —          —    

Mid Cap Growth

     —          2,327,330        —    

Mid Cap Value

     —          —          —    

Moderate Growth Lifestyle

     —          —          —    

Small Cap Growth

     —          —          —    

Small Cap Value

     —          —          —    

Socially Responsible

     —          —          —    

Strategic Bond

     —          3,364,943        6,986,381  

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, a Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.

 

Under the current tax law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring on the first day of the following year. For the fiscal year ended August 31, 2016, the Funds elected to defer late year ordinary losses and post October capital losses as follows:

 

Fund


   Deferred Late Year
Ordinary Loss


     Deferred  Post-October
Short-Term

Capital Loss

     Deferred  Post-October
Long-Term

Capital Loss

 

Aggressive Growth Lifestyle

   $ —        $ —        $ —    

Capital Appreciation

     —          2,395,637        —    

Conservative Growth Lifestyle

     —          21,888        —    

Core Bond

     —          (3,800,643      5,482,755  

Government Money Market II

     —          —          —    

High Yield Bond

     —          1,421,111        10,857,666  

International Opportunities

     —          13,144,487        —    

Large Cap Value

     —          1,941,433        —    

Mid Cap Growth

     183,117        5,238,470        (4,934,885

Mid Cap Value

     —          9,057,391        —    

Moderate Growth Lifestyle

     —          —          —    

Small Cap Growth

     140,096        1,640,601        —    

Small Cap Value

     307        9,069,947        —    

Socially Responsible

     —          —          —    

Strategic Bond

     886,936        1,443,622        16,407,599  

 

 

139


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

Note 6 Capital Share Transactions

 

Transactions in capital shares of each class of each Fund were as follows:

 

     Aggressive Growth Lifestyle

    Capital Appreciation

 
     For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     1,182,678     $ 12,531,257       2,529,023     $ 26,519,694       88,074     $ 1,432,115       165,944     $ 2,726,232  

Reinvested dividends

     —         —         4,837,550       47,601,491       —         —         527,990       8,115,207  

Shares redeemed

     (2,397,367     (25,216,251     (3,663,417     (38,225,556     (229,502     (3,666,559     (394,882     (6,423,847
    


 


 


 


 


 


 


 


Net increase (decrease)

     (1,214,689   $ (12,684,994     3,703,156     $ 35,895,629       (141,428   $ (2,234,444     299,052     $ 4,417,592  
    


 


 


 


 


 


 


 


     Conservative Growth Lifestyle

    Core Bond

 
     For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     998,825     $ 11,791,103       1,704,814     $ 20,114,374       5,220,436     $ 58,041,965       29,384,378     $ 324,369,615  

Reinvested dividends

     —         —         1,934,363       21,955,025       —         —         2,420,470       26,673,576  

Shares redeemed

     (1,266,416     (14,986,972     (3,130,108     (37,003,004     (19,251,400     (213,629,536     (22,860,308     (253,759,878
    


 


 


 


 


 


 


 


Net increase (decrease)

     (267,591   $ (3,195,869     509,069     $ 5,066,395       (14,030,964   $ (155,587,571     8,944,540     $ 97,283,313  
    


 


 


 


 


 


 


 


     Government Money Market II

    High Yield Bond

 
     For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     26,002,311     $ 26,002,311       72,393,205     $ 72,393,205       8,983,484     $ 68,459,718       19,111,895     $ 140,865,271  

Reinvested dividends

     13,912       13,912       16,693       16,693       —         —         3,241,633       23,145,260  

Shares redeemed

     (32,399,200     (32,399,200     (91,029,058     (91,029,058     (7,607,908     (58,401,278     (7,537,158     (54,445,820
    


 


 


 


 


 


 


 


Net increase (decrease)

     (6,382,977   $ (6,382,977     (18,619,160   $ (18,619,160     1,375,576     $ 10,058,440       14,816,370     $ 109,564,711  
    


 


 


 


 


 


 


 


     International Opportunities

    Large Cap Value

 
     For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017
(unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     306,118     $ 4,747,257       2,689,365     $ 41,012,286       500,079     $ 9,953,471       2,348,522     $ 41,070,164  

Reinvested dividends

     —         —         426,088       6,570,282       —         —         136,483       2,372,082  

Shares redeemed

     (2,700,010     (42,405,335     (5,403,603     (83,905,951     (1,202,858     (23,363,689     (1,278,767     (22,123,285
    


 


 


 


 


 


 


 


Net increase (decrease)

     (2,393,892   $ (37,658,078     (2,288,150   $ (36,323,383     (702,779   $ (13,410,218     1,206,238     $ 21,318,961  
    


 


 


 


 


 


 


 


     Mid Cap Growth

    Mid Cap Value

 
     For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     136,645     $ 1,183,916       931,126     $ 7,915,190       2,397,389     $ 51,817,427       2,878,053     $ 58,872,960  

Reinvested dividends

     —         —         1,179,485       9,306,137       —         —         6,976,255       133,246,466  

Shares redeemed

     (1,186,317     (10,084,184     (5,279,491     (43,276,809     (3,663,441     (79,031,677     (3,537,996     (75,149,064
    


 


 


 


 


 


 


 


Net increase (decrease)

     (1,049,672   $ (8,900,268     (3,168,880   $ (26,055,482     (1,266,052   $ (27,214,250     6,316,312     $ 116,970,362  
    


 


 


 


 


 


 


 


 

140


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

     Moderate Growth Lifestyle

    Small Cap Growth

 
     For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     1,679,872     $ 23,650,531       3,284,540     $ 45,784,397       526,742     $ 7,881,009       476,646     $ 6,587,220  

Reinvested dividends

     —         —         4,706,271       62,593,404       —         —         826,986       9,907,299  

Shares redeemed

     (2,154,672     (30,478,595     (4,064,492     (56,364,059     (484,053     (7,041,083     (1,453,590     (20,128,160
    


 


 


 


 


 


 


 


Net increase (decrease)

     (474,800   $ (6,828,064     3,926,319     $ 52,013,742       42,689     $ 839,926       (149,958   $ (3,633,641
    


 


 


 


 


 


 


 


     Small Cap Value

    Socially Responsible

 
     For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


    For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


 
     Shares

    Amount

    Shares

    Amount

    Shares

    Amount

    Shares

    Amount

 

Shares sold

     1,545,407     $ 23,674,434       4,061,698     $ 55,420,760       1,127,125     $ 22,004,056       1,163,692     $ 22,038,052  

Reinvested dividends

     —         —         5,101,815       63,058,437       —         —         3,084,846       56,113,340  

Shares redeemed

     (3,928,126     (59,360,736     (6,081,367     (82,041,116     (2,044,003     (40,229,036     (4,041,692     (76,281,649
    


 


 


 


 


 


 


 


Net increase (decrease)

     (2,382,719   $ (35,686,302     3,082,146     $ 36,438,081       (916,878   $ (18,224,980     206,846     $ 1,869,743  
    


 


 


 


 


 


 


 


     Strategic Bond

                         
     For the period ended
February 28, 2017 (unaudited)


    For the year ended
August 31, 2016


                         
     Shares

    Amount

    Shares

    Amount

                         

Shares sold

     3,730,048     $ 41,894,937       9,365,661     $ 102,893,415                                  

Reinvested dividends

     —         —         3,063,011       33,141,784                                  

Shares redeemed

     (4,213,298     (47,366,176     (10,873,519     (119,117,147                                
    


 


 


 


                               

Net increase (decrease)

     (483,250   $ (5,471,239     1,555,153     $ 16,918,052                                  
    


 


 


 


                               

 

Note 7 — Expense Reductions

 

Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Funds have been reduced. For the six months ended February 28, 2017, the amount of expense reductions received by each Fund used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.

 

Note 8 Investment Concentration

 

The High Yield Bond Fund’s investment in high yield securities, whether rated or unrated, may be considered speculative and subject to greater market fluctuations and risk of loss of income and principal than lower-yielding, higher-rated, fixed-income securities. The risk of loss due to default by the issuer may be significantly greater for the holders of high yield securities, because such securities are generally unsecured and are often subordinated to other creditors of the issuer.

 

The Funds may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities of such issuer might not be able to recover its investments from the U.S. Government. As a result of the Core Bond Fund, Government Money Market II Fund and Strategic Bond Fund’s concentration in such investments, these funds may be subject to risks associated with the U.S. Government agencies or instrumentalities.

 

The International Opportunities Fund invests internationally, including in “emerging market” countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

 

Each Fund, except the Government Money Market II Fund, the Lifestyle Funds and the Small Cap Value Fund, may invest in international bonds, which include U.S. dollar-denominated bonds issued by foreign corporations for which the primary trading market is in the United States (“Yankee Bonds”), or for which the primary trading market is abroad (“Euro Bonds”). International bonds may involve special risks and considerations not typically associated with investing in U.S. companies, including differences in accounting, auditing and financial reporting standards; generally higher commission rates on foreign portfolio transactions; the possibility of nationalization, expropriation or confiscatory taxation; adverse changes in investment or exchange control regulations (which may include suspension of the ability to transfer currency from a country); and political instability which could affect U.S. investments in foreign countries. As a result of the Strategic Bond Fund’s concentration in such investments, it may be subject to risks associated with the international bonds.

 

 

141


Table of Contents

VALIC Company II

NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)


 

Note 9 Line of Credit

 

The Series, along with certain other funds managed by the Adviser, has access to a $85 million committed unsecured line of credit and a $40 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company, the Series’ custodian. The interest payable under the committed line of credit is the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points. In addition, the commitment fee on the daily unused portion of the committed line of credit is equal to 25 basis points per annum. The Series also paid a portion of an upfront fee in the amount of $50,000 at the closing of the committed and uncommitted lines of credit on October 7, 2016. Borrowings under the line of credit will commence when the respective Fund’s cash shortfall exceeds $100,000. For the six months ended February 28, 2017, the following Funds had borrowings:

 

Fund


   Days
Outstanding


     Interest
Charges


     Average
Debt
Utilized


     Weighted
Average
Interest


 

International Opportunities

     8      $ 667      $ 1,535,678        1.90

Large Cap Value

     9        1,135        2,307,334        1.92  

Mid Cap Growth

     1        9        179,408        1.79  

 

At February 28, 2017, there were no borrowings outstanding.

 

Note 10 Interfund Lending Agreement

 

Pursuant to the exemptive relief granted by the SEC, the Funds are permitted to participate in an interfund lending program among investment companies advised by VALIC or an affiliate. The interfund lending program allows the participating Funds to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Funds receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction.

 

For the six months ended February 28, 2017, none of the Funds participated in this program.

 

Note 11 Security Transactions with Affiliated Portfolios

 

The Funds are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions.

 

For the six months ended February 28, 2017, the following Funds engaged in security transactions with affiliated Funds:

 

Fund


   Cost of
Purchases


     Proceeds from
Sales


     Realized
Gain/
(Loss)


 

International Opportunities

   $ 16,790      $ 439,856      $ 17,756  

 

For the six months ended February 28, 2017, the following Funds incurred brokerage commissions with affiliated brokers which are affiliates of a sub-advisor:

 

Affiliated Broker


   International
Opportunities


     Large Cap
Value


     Small Cap
Value


 

ConvergEx Execution Solutions LLC

   $ —        $ 338      $ —    

J.P. Morgan Securities

     —          —          2,216  

Macquarie Bank

     3,490        —          —    

Pershing, LLC

     —          210        —    

Wells Fargo Securities, LLC

     —          —          84  

 

142


Table of Contents

VALIC Company II

FINANCIAL HIGHLIGHTS


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    Aggressive Growth Lifestyle Fund

    Capital Appreciation Fund

 
    Six Months
Ended
February 28,
2017
(f)


    Year Ended August 31,

    Six Months
Ended
February 28,
2017
(f)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 10.41     $ 10.67   $ 12.04     $ 10.30     $ 9.22     $ 8.44     $ 15.99     $ 16.35   $ 15.88     $ 12.82     $ 10.92     $ 9.37  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.10       0.19       0.20       0.18       0.11       0.14       0.04       0.09       0.06       0.05       0.07       0.05  

Net realized and unrealized gain (loss) on investments and foreign currencies

    0.51       0.56       (0.52     1.77       1.10       0.79       1.00       1.20       0.46       3.08       1.88       1.55  

Net increase from payments by affiliates

                                                                       
   


 


Total income (loss) from investment operations

    0.61       0.75     (0.32     1.95       1.21       0.93       1.04       1.29     0.52       3.13       1.95       1.60  
   


 


Distributions from:

                                                                                               

Net investment income

          (0.23     (0.19     (0.11     (0.13     (0.15           (0.06     (0.05     (0.07     (0.05     (0.05

Net realized gain on securities

          (0.78     (0.86     (0.10                       (1.59                        
   


 


Total distributions

          (1.01     (1.05     (0.21     (0.13     (0.15           (1.65     (0.05     (0.07     (0.05     (0.05
   


 


Net asset value at end of period

  $ 11.02     $ 10.41   $ 10.67     $ 12.04     $ 10.30     $ 9.22     $ 17.03     $ 15.99   $ 16.35     $ 15.88     $ 12.82     $ 10.92  
   


 


TOTAL RETURN(a)

    5.86     7.53     (3.17 )%      19.03     13.21     11.15     6.50     8.33     3.28     24.43     17.93     17.13
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    0.10 %(e)(g)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.85 %(g)      0.85     0.85     0.85     0.85     0.85

Ratio of expenses to average net assets(c)

    0.13 %(e)(g)      0.15 %(e)      0.14 %(e)      0.14 %(e)      0.15 %(e)      0.16 %(e)      0.98 %(g)      1.00     0.98     0.99     1.01     1.07

Ratio of expense reductions to average net assets

                                        0.01 %(g)      0.01     0.01     0.01     0.01     0.01

Ratio of net investment income (loss) to average net assets(b)

    1.87 %(e)(g)      1.78 %(e)      1.71 %(e)      1.56 %(e)      1.11 %(e)      1.62 %(e)      0.50 %(g)      0.52     0.36     0.31     0.58     0.53

Ratio of net investment income (loss) to average net assets(c)

    1.84 %(e)(g)      1.73 %(e)      1.67 %(e)      1.52 %(e)      1.06 %(e)      1.55 %(e)      0.37 %(g)      0.37     0.23     0.17     0.42     0.32

Portfolio turnover rate

    20     24     31     32     41     44     35     54     44     44     44     119

Number of shares outstanding at end of period (000’s)

    50,195       51,410       47,707       42,546       38,755       34,029       5,172       5,313       5,014       5,491       5,470       5,443  

Net assets at the end of period (000’s)

  $ 553,298     $ 535,245     $ 508,890     $ 512,113     $ 399,133     $ 313,655     $ 88,083     $ 84,946     $ 81,961     $ 87,214     $ 70,095     $ 59,413  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e) 

Does not include underlying fund expenses that the Fund bears indirectly.

(f)

Unaudited

(g)

Annualized

 

See Notes to Financial Statements

 

143


Table of Contents

VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    Conservative Growth Lifestyle Fund

    Core Bond Fund

 
    Six Months
Ended
February 28,
2017
(f)


    Year Ended August 31,

    Six Months
Ended
February 28,
2017
(f)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 11.82     $ 11.95     $ 13.12     $ 12.13     $ 12.02     $ 11.22     $ 11.30     $ 10.93     $ 11.09     $ 10.69     $ 11.41     $ 10.90  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.06       0.30       0.31       0.29       0.26       0.29       0.13       0.24       0.23       0.24       0.23       0.30  

Net realized and unrealized gain (loss) on investments and foreign currencies

    0.23       0.41       (0.62     1.31       0.32       0.86       (0.29     0.38       (0.16     0.44       (0.43     0.56  

Net increase from payments by affiliates

                                                                       
   


 


Total income (loss) from investment operations

    0.29       0.71       (0.31     1.60       0.58       1.15       (0.16     0.62       0.07       0.68       (0.20     0.86  
   


 


Distributions from:

                                                                                               

Net investment income

          (0.34     (0.29     (0.26     (0.24     (0.27           (0.22     (0.23     (0.20     (0.32     (0.30

Net realized gain on securities

          (0.50     (0.57     (0.35     (0.23     (0.08           (0.03           (0.08     (0.20     (0.05
   


 


Total distributions

          (0.84     (0.86     (0.61     (0.47     (0.35           (0.25     (0.23     (0.28     (0.52     (0.35
   


 


Net asset value at end of period

  $ 12.11     $ 11.82     $ 11.95     $ 13.12     $ 12.13     $ 12.02     $ 11.14     $ 11.30     $ 10.93     $ 11.09     $ 10.69     $ 11.41  
   


 


TOTAL RETURN(a)

    2.45     6.19     (2.65 )%      13.34     4.93     10.50     (1.42 )%      5.78     0.62     6.44     (1.95 )%      8.08
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    0.10 %(e)(g)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.77 %(g)      0.77     0.77     0.77     0.77     0.77

Ratio of expenses to average net assets(c)

    0.14 %(e)(g)      0.15 %(e)      0.14 %(e)      0.15 %(e)      0.16 %(e)      0.18 %(e)      0.79 %(g)      0.79     0.79     0.80     0.84     0.86

Ratio of expense reductions to average net assets

                                                                       

Ratio of net investment income (loss) to average net assets(b)

    1.06 %(e)(g)      2.51 %(e)      2.45 %(e)      2.26 %(e)      2.12 %(e)      2.59 %(e)      2.30 %(g)      2.16     2.10     2.24     2.12     2.79

Ratio of net investment income (loss) to average net assets(c)

    1.02 %(e)(g)      2.46 %(e)      2.40 %(e)      2.22 %(e)      2.06 %(e)      2.51 %(e)      2.28 %(g)      2.15     2.08     2.21     2.05     2.70

Portfolio turnover rate

    24     27     33     31     53     36     41     139     153     169     175     177

Number of shares outstanding at end of period (000’s)

    27,512       27,779       27,270       24,601       21,622       16,819       92,403       106,434       97,489       85,364       72,290       55,895  

Net assets at the end of period (000’s)

  $ 333,165     $ 328,390     $ 325,797     $ 322,764     $ 262,360     $ 202,134     $ 1,029,026     $ 1,202,915     $ 1,065,803     $ 946,699     $ 772,784     $ 637,701  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e) 

Does not include underlying fund expenses that the Fund bears indirectly.

(f)

Unaudited

(g)

Annualized

 

See Notes to Financial Statements

 

144


Table of Contents

VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    Government Money Market II Fund

    High Yield Bond Fund

 
    Six Months
Ended
February  28,
2017
(f)


    Year Ended August 31,

    Six Months
Ended
February  28,
2017
(f)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 7.56     $ 7.40   $ 7.93     $ 7.63     $ 7.64     $ 7.28  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.00       0.00       0.00       0.00       0.00       0.00       0.20       0.37       0.38       0.41       0.44       0.46  

Net realized and unrealized gain (loss) on investments and foreign currencies

    0.00       0.00       0.00       0.00       0.00       0.00       0.12       0.13       (0.53     0.28       (0.03     0.45  

Net increase from payments by affiliates

    0.00             0.00                                                        
   


 


Total income (loss) from investment operations

    0.00       0.00       0.00       0.00       0.00       0.00       0.32       0.50     (0.15     0.69       0.41       0.91  
   


 


Distributions from:

                                                                                               

Net investment income

    (0.00     (0.00     (0.00     (0.00     (0.00     (0.00           (0.34     (0.38     (0.39     (0.42     (0.55

Net realized gain on securities

                                                                       
   


 


Total distributions

    (0.00     (0.00     (0.00     (0.00     (0.00     (0.00           (0.34     (0.38     (0.39     (0.42     (0.55
   


 


Net asset value at end of period

  $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 7.88     $ 7.56   $ 7.40     $ 7.93     $ 7.63     $ 7.64  
   


 


TOTAL RETURN(a)

    0.01     0.01     0.01 %(e)      0.01     0.01     0.01     4.23     7.07     (2.02 )%      9.10     5.46     13.18
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    0.46 %(g)      0.32     0.15     0.15     0.20     0.19     0.96 %(g)      0.96     0.96     0.96     0.96     0.96

Ratio of expenses to average net assets(c)

    0.72 %(g)      0.66     0.64     0.63     0.65     0.65     0.96 %(g)      0.99     0.98     0.99     1.01     1.02

Ratio of expense reductions to average net assets

                                                                       

Ratio of net investment income (loss) to average net assets(b)

    0.02 %(g)      0.01     0.01     0.01     0.01     0.01     5.19 %(g)      5.16     5.00     5.25     5.77     6.26

Ratio of net investment income (loss) to average net assets(c)

    (0.25 )%(g)      (0.33 )%      (0.48 )%      (0.47 )%      (0.44 )%      (0.45 )%      5.19 %(g)      5.13     4.97     5.22     5.73     6.20

Portfolio turnover rate

    N/A       N/A       N/A       N/A       N/A       N/A       22     36     36     37     34     38

Number of shares outstanding at end of period (000’s)

    134,880       141,263       159,882       170,830       186,069       187,696       79,524       78,148       63,332       53,018       44,801       37,281  

Net assets at the end of period (000’s)

  $ 134,909     $ 141,291     $ 159,905     $ 170,575     $ 185,810     $ 187,430     $ 626,871     $ 590,679     $ 468,855     $ 420,459     $ 341,751     $ 284,818  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e) 

The fund’s performance figure was increased by less than 0.01% from the effect of payments by an affiliate.

(f)

Unaudited

(g)

Annualized

 

See Notes to Financial Statements

 

145


Table of Contents

VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    International Opportunities Fund

    Large Cap Value Fund

 
    Six Months
Ended
February  28,
2017
(e)


    Year Ended August 31,

    Six Months
Ended
February  28,
2017
(e)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 16.00     $ 15.08   $ 15.50     $ 13.78     $ 11.87     $ 12.47     $ 18.41     $  17.08     $ 17.58     $ 14.51     $ 11.67     $ 10.41  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.02       0.14       0.16       0.16       0.14       0.20       0.13       0.27       0.20       0.22       0.19       0.15  

Net realized and unrealized gain (loss) on investments and foreign currencies

    0.28       0.94       (0.38     1.75       2.04       (0.59     2.43       1.27       (0.46     3.04       2.81       1.22  

Net increase from payments by affiliates

                                                                       
   


 


Total income (loss) from investment operations

    0.30       1.08     (0.22     1.91       2.18       (0.39     2.56       1.54       (0.26     3.26       3.00       1.37  
   


 


Distributions from:

                                                                                               

Net investment income

          (0.16     (0.20     (0.19     (0.27     (0.21           (0.21     (0.24     (0.19     (0.16     (0.11

Net realized gain on securities

                                                                       
   


 


Total distributions

          (0.16     (0.20     (0.19     (0.27     (0.21           (0.21     (0.24     (0.19     (0.16     (0.11
   


 


Net asset value at end of period

  $ 16.30     $ 16.00   $ 15.08     $ 15.50     $ 13.78     $ 11.87     $ 20.97     $ 18.41     $ 17.08     $ 17.58     $ 14.51     $ 11.67  
   


 


TOTAL RETURN(a)

    1.88     7.23     (1.50 )%      13.88     18.58     (2.95 )%      13.91     9.09     (1.56 )%      22.55     26.02     13.30
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    1.00 %(f)      1.00     1.00     1.00     1.00     1.00     0.81 %(f)      0.81     0.81     0.81     0.81     0.81

Ratio of expenses to average net assets(c)

    1.21 %(f)      1.21     1.21     1.21     1.31     1.31     0.87 %(f)      0.89     0.88     0.88     0.91     0.93

Ratio of expense reductions to average net assets

          0.00     0.01     0.00                 0.01 %(f)      0.01     0.01     0.01     0.01     0.02

Ratio of net investment income (loss) to average net assets(b)

    0.24 %(f)      0.91     1.02     1.05     1.08     1.70     1.33 %(f)      1.59     1.11     1.31     1.40     1.33

Ratio of net investment income (loss) to average net assets(c)

    0.03 %(f)      0.70     0.81     0.84     0.76     1.39     1.27 %(f)      1.51     1.04     1.24     1.30     1.21

Portfolio turnover rate

    36     58     59     72     62     164     41     71     72     54     53     62

Number of shares outstanding at end of period (000’s)

    34,866       37,260       39,548       37,851       38,063       41,554       11,837       12,540       11,333       12,597       12,995       12,913  

Net assets at the end of period (000’s)

  $ 568,244     $ 596,055     $ 596,301     $ 586,631     $ 524,503     $ 493,207     $ 248,180     $ 230,844     $ 193,602     $ 221,453     $ 188,508     $ 150,682  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e)

Unaudited

(f)

Annualized

 

See Notes to Financial Statements

 

146


Table of Contents

VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    Mid Cap Growth Fund

    Mid Cap Value Fund

 
    Six Months
Ended
February  28,
2017
(e)


    Year Ended August 31,

    Six Months
Ended
February  28,
2017
(e)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 8.42     $ 8.81     $ 10.13     $ 9.76     $ 8.45     $ 7.93     $ 20.45     $ 21.82     $ 25.15     $ 21.66     $ 17.31     $ 15.28  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.01       (0.02     (0.02     (0.05     0.00       0.00       0.05       0.14       0.07       0.05       0.07       0.06  

Net realized and unrealized gain (loss) on investments and foreign currencies

    0.71       0.24       0.27       1.33       1.42       0.52       2.10       1.73       (0.82     5.06       4.35       2.05  

Net increase from payments by affiliates

                                                                       
   


 


Total income (loss) from investment operations

    0.72       0.22       0.25       1.28       1.42       0.52       2.15       1.87       (0.75     5.11       4.42       2.11  
   


 


Distributions from:

                                                                                               

Net investment income

                      (0.01     (0.01                 (0.06     (0.05     (0.08     (0.07     (0.08

Net realized gain on securities

          (0.61     (1.57     (0.90     (0.10                 (3.18     (2.53     (1.54            
   


 


Total distributions

          (0.61     (1.57     (0.91     (0.11                 (3.24     (2.58     (1.62     (0.07     (0.08
   


 


Net asset value at end of period

  $ 9.14     $ 8.42     $ 8.81     $ 10.13     $ 9.76     $ 8.45     $ 22.60     $ 20.45     $ 21.82     $ 25.15     $ 21.66     $ 17.31  
   


 


TOTAL RETURN(a)

    8.55     3.01     1.66     13.86     17.06     6.56     10.51     9.62     (3.61 )%      23.97     25.64     13.85
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    0.85 %(f)      0.85     0.85     0.85     0.85     0.85     1.04 %(f)      1.05     1.05     1.05     1.05     1.05

Ratio of expenses to average net assets(c)

    1.16 %(f)      1.17     1.14     1.17     1.18     1.18     1.04 %(f)      1.06     1.06     1.05     1.08     1.11

Ratio of expense reductions to average net assets

    0.01 %(f)      0.01     0.01     0.01     0.01     0.03     0.00 %(f)      0.00     0.00     0.00     0.00     0.01

Ratio of net investment income (loss) to average net assets(b)

    0.20 %(f)      (0.27 )%      (0.26 )%      (0.47 )%      0.02     0.02     0.45 %(f)      0.65     0.28     0.22     0.37     0.39

Ratio of net investment income (loss) to average net assets(c)

    (0.11 )%(f)      (0.59 )%      (0.54 )%      (0.79 )%      (0.30 )%      (0.31 )%      0.45 %(f)      0.64     0.27     0.22     0.34     0.33

Portfolio turnover rate

    41     92     102     175     112     131     24     44     56     29     46     70

Number of shares outstanding at end of period (000’s)

    13,289       14,338       17,507       16,118       13,586       16,888       47,510       48,776       42,460       38,551       39,686       40,101  

Net assets at the end of period (000’s)

  $ 121,401     $ 120,774     $ 154,291     $ 163,273     $ 132,584     $ 142,785     $ 1,073,961     $ 997,576     $ 926,580     $ 969,591     $ 859,611     $ 694,095  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e)

Unaudited

(f)

Annualized

 

See Notes to Financial Statements

 

147


Table of Contents

VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    Moderate Growth Lifestyle Fund

    Small Cap Growth Fund

 
    Six Months
Ended
February  28,
2017
(f)


    Year Ended August 31,

    Six Months
Ended
February  28,
2017
(f)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 13.98     $ 14.09     $ 15.61     $ 13.93     $ 13.10     $ 12.04     $ 14.20     $ 15.31     $ 16.27     $ 16.11     $ 13.47     $ 12.87  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.10       0.30       0.29       0.28       0.21       0.24       (0.03     (0.03     (0.04     (0.14     (0.09     (0.07

Net realized and unrealized gain (loss) on investments and foreign currencies

    0.53       0.70       (0.65     1.99       1.04       1.06       1.64       0.42       0.97       1.68       3.92       1.66  

Net increase from payments by affiliates

                                                                       
   


 


Total income (loss) from investment operations

    0.63       1.00       (0.36     2.27       1.25       1.30       1.61       0.39       0.93       1.54       3.83       1.59  
   


 


Distributions from:

                                                                                               

Net investment income

          (0.32     (0.28     (0.20     (0.21     (0.24                                    

Net realized gain on securities

          (0.79     (0.88     (0.39     (0.21                 (1.50     (1.89     (1.38     (1.19     (0.99
   


 


Total distributions

          (1.11     (1.16     (0.59     (0.42     (0.24           (1.50     (1.89     (1.38     (1.19     (0.99
   


 


Net asset value at end of period

  $ 14.61     $ 13.98     $ 14.09     $ 15.61     $ 13.93     $ 13.10     $ 15.81     $ 14.20     $ 15.31     $ 16.27     $ 16.11     $ 13.47  
   


 


TOTAL RETURN(a)

    4.51     7.48     (2.68 )%      16.46     9.76     11.00     11.34     4.40     5.26     10.33     31.19     13.13
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    0.10 %(e)(g)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.10 %(e)      0.10 %(e)      1.16 %(g)      1.16     1.16     1.16     1.16     1.16

Ratio of expenses to average net assets(c)

    0.13 %(e)(g)      0.14 %(e)      0.13 %(e)      0.13 %(e)      0.14 %(e)      0.16 %(e)      1.26 %(g)      1.29     1.25     1.26     1.31     1.33

Ratio of expense reduction to average net assets

                                        0.00 %(g)      0.01     0.01     0.00     0.01     0.01

Ratio of net investment income (loss) to average net assets(b)

    1.48 %(e)(g)      2.15 %(e)      1.92 %(e)      1.84 %(e)      1.55 %(e)      1.99 %(e)      (0.44 )%(g)      (0.22 )%      (0.25 )%      (0.83 )%      (0.65 )%      (0.52 )% 

Ratio of net investment income (loss) to average net assets(c)

    1.45 %(e)(g)      2.11 %(e)      1.89 %(e)      1.81 %(e)      1.50 %(e)      1.93 %(e)      (0.53 )%(g)      (0.35 )%      (0.34 )%      (0.93 )%      (0.80 )%      (0.69 )% 

Portfolio turnover rate

    20     33     30     27     36     36     15     39     49     63     68     63

Number of shares outstanding at end of period (000’s)

    60,107       60,581       56,655       51,152       43,504       34,532       7,078       7,035       7,185       7,001       6,333       6,026  

Net assets at the end of period (000’s)

  $ 878,041     $ 846,974     $ 798,444     $ 798,521     $ 606,185     $ 452,347     $ 111,907     $ 99,884     $ 110,029     $ 113,907     $ 102,025     $ 81,161  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e) 

Does not include underlying fund expenses that the Fund bears indirectly.

(f)

Unaudited

(g)

Annualized

 

See Notes to Financial Statements

 

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VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

    Small Cap Value Fund

    Socially Responsible Fund

 
    Six Months
Ended
February  28,
2017
(f)


    Year Ended August 31,

    Six Months
Ended
February  28,
2017
(f)


    Year Ended August 31,

 
      2016

    2015

    2014

    2013

    2012

      2016

    2015

    2014

    2013

    2012

 

PER SHARE DATA

                                                                                               

Net asset value at beginning of period

  $ 13.57     $ 14.01     $ 16.65     $ 15.83     $ 12.68     $ 12.41     $ 19.23     $ 18.55     $ 18.56     $ 14.84     $ 12.53     $ 10.92  
   


 


Income (loss) from investment operations:

                                                                                               

Net investment income (loss)(d)

    0.10       0.13       0.17       0.09       0.13       0.07       0.16       0.28       0.26       0.22       0.21       0.16  

Net realized and unrealized gain (loss) on investments and foreign currencies

    1.87       1.27       (0.56     2.70       3.33       0.71       1.57       1.89       (0.05     3.74       2.31       1.60  

Net increase from payments by affiliates

                                  0.00                                      
   


 


Total income (loss) from investment operations

    1.97       1.40       (0.39     2.79       3.46       0.78       1.73       2.17       0.21       3.96       2.52       1.76  
   


 


Distributions from:

                                                                                               

Net investment income

          (0.17     (0.10     (0.17     (0.07     (0.12           (0.28     (0.22     (0.24     (0.21     (0.15

Net realized gain on securities

          (1.67     (2.15     (1.80     (0.24     (0.39           (1.21                        
   


 


Total distributions

          (1.84     (2.25     (1.97     (0.31     (0.51           (1.49     (0.22     (0.24     (0.21     (0.15
   


 


Net asset value at end of period

  $ 15.54     $ 13.57     $ 14.01     $ 16.65     $ 15.83     $ 12.68     $ 20.96     $ 19.23     $ 18.55     $ 18.56     $ 14.84     $ 12.53  
   


 


TOTAL RETURN(a)

    14.52     11.27     (3.38 )%      18.39     27.78     6.58 %(e)      9.00     12.16     1.06     26.82     20.40     16.34
   


 


RATIOS/SUPPLEMENTAL DATA

                                                                                               

Ratio of expenses to average net assets(b)

    0.95 %(g)      0.95     0.95     0.95     0.95     0.95     0.56 %(g)      0.56     0.56     0.56     0.56     0.56

Ratio of expenses to average net assets(c)

    1.01 %(g)      1.04     1.03     1.03     1.05     1.08     0.60 %(g)      0.61     0.61     0.61     0.62     0.63

Ratio of expense reductions to average net assets

    0.00 %(g)      0.00     0.00     0.01     0.01     0.01                                    

Ratio of net investment income (loss) to average net assets(b)

    1.36 %(g)      0.98     1.02     0.54     0.91     0.58     1.61 %(g)      1.47     1.35     1.29     1.56     1.39

Ratio of net investment income (loss) to average net assets(c)

    1.30 %(g)      0.89     0.95     0.46     0.81     0.46     1.57 %(g)      1.42     1.31     1.25     1.49     1.33

Portfolio turnover rate

    55     59     50     47     81     96     0     25     31     26     39     44

Number of shares outstanding at end of period (000’s)

    35,483       37,866       34,784       33,516       32,045       32,052       38,443       39,360       39,153       36,604       39,040       47,833  

Net assets at the end of period (000’s)

  $ 551,478     $ 513,783     $ 487,157     $ 558,170     $ 507,366     $ 406,471     $ 805,951     $ 756,821     $ 726,460     $ 679,235     $ 579,372     $ 599,500  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e) 

The Fund’s performance figure was decreased by less than 0.01% from losses realized on the disposal of investments in violation of investment restrictions.

(f)

Unaudited

(g)

Annualized

 

See Notes to Financial Statements

 

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VALIC Company II

FINANCIAL HIGHLIGHTS — (continued)


 

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

 

     Strategic Bond Fund

 
     Six Months
Ended
February  28,
2017
(e)


    Year Ended August 31,

 
       2016

     2015

     2014

     2013

    2012

 

PER SHARE DATA

                                                   

Net asset value at beginning of period

   $ 11.28     $ 11.00    $ 11.77      $ 11.23      $ 11.78     $ 11.31  
    


Income (loss) from investment operations:

                                                   

Net investment income (loss)(d)

     0.18       0.38        0.42        0.48        0.46       0.49  

Net realized and unrealized gain (loss) on investments and foreign currencies

     (0.06     0.39        (0.68      0.62        (0.44     0.58  

Net increase from payments by affiliates

                                       
    


Total income (loss) from investment operations

     0.12       0.77      (0.26      1.10        0.02       1.07  
    


Distributions from:

                                                   

Net investment income

           (0.45      (0.41      (0.44      (0.46     (0.60

Net realized gain on securities

           (0.04      (0.10      (0.12      (0.11      
    


Total distributions

           (0.49      (0.51      (0.56      (0.57     (0.60
    


Net asset value at end of period

   $ 11.40     $ 11.28    $ 11.00      $ 11.77      $ 11.23     $ 11.78  
    


TOTAL RETURN(a)

     1.06     7.15      (2.32 )%       9.89      0.03     9.97
    


RATIOS/SUPPLEMENTAL DATA

                                                   

Ratio of expenses to average net assets

     0.87 %(f)      0.88      0.87      0.88      0.89 %(b)      0.89 %(b) 

Ratio of expenses to average net assets

     0.87 %(f)      0.88      0.87      0.88      0.91 %(c)      0.93 %(c) 

Ratio of expense reductions to average net assets

                                       

Ratio of net investment income (loss) to average net assets

     3.30 %(f)      3.51      3.67      4.11      4.00 %(b)      4.39 %(b) 

Ratio of net investment income (loss) to average net assets

     3.30 %(f)      3.51      3.67      4.11      3.98 %(c)      4.35 %(c) 

Portfolio turnover rate

     79     162      132      150      164     191

Number of shares outstanding at end of period (000’s)

     72,500       72,983        71,428        64,149        61,398       53,061  

Net assets at the end of period (000’s)

   $ 826,804     $ 823,464      $ 785,635      $ 755,092      $ 689,403     $ 624,863  

 

(a) 

Total return is not annualized and includes, if any, expense reimbursements and expense reductions. The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. If such expenses had been included, the total return would have been lower for each period presented.

(b) 

Includes expense reimbursements, but excludes expense reductions.

(c) 

Excludes expense reimbursements and expense reductions.

(d) 

The per share amounts are calculated using the average share method.

(e)

Unaudited

(f)

Annualized

 

See Notes to Financial Statements

 

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VALIC Company II

SUPPLEMENTS TO PROSPECTUS (unaudited)


 

THE SUPPLEMENT IS NOT PART OF THE SEMI-ANNUAL REPORT

 

Filed under Rule 497(e)

Registration No. 333-53589

 

INTERNATIONAL OPPORTUNITIES FUND

(the “Fund”)

 

Supplement dated April 3, 2017, to the Fund’s Prospectus and

Statement of Additional Information dated January 1, 2017, as Supplemented and amended to date

 

Effective immediately, all reference to “Delaware Management Business Trust” is hereby deleted and replaced with “Macquarie Investment Management Business Trust”.

 

Capitalized terms used but not defined herein shall have the meanings assigned to them by the Prospectus and SAI, as applicable.

 

Please retain this supplement for future reference.

 

 

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VALIC Company II

SUPPLEMENTS TO PROSPECTUS (unaudited) — (continued)


 

THE SUPPLEMENT IS NOT PART OF THE SEMI-ANNUAL REPORT

 

Filed under Rule 497(e)

Registration No. 333-53589

 

SMALL CAP GROWTH FUND

(the “Fund”)

 

Supplement dated April 3, 2017, to the Fund’s Prospectus and

Statement of Additional Information (“SAI”) dated January 1, 2017, as supplemented and amended to date

 

Effective immediately, Felise Agranoff is on parental leave. During the time Ms. Agranoff is on leave, the Fund will continue to be managed by the remaining members of the portfolio management team. Ms. Agranoff is expected to return from her leave on or about April 24, 2017, at which point she will resume her full responsibilities as a member of the Fund’s portfolio management team.

 

Capitalized terms used but not defined herein shall have the meanings assigned to them by the Prospectus and SAI, as applicable.

 

Please retain this supplement for future reference.

 

 

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VALIC Company II

SUPPLEMENTS TO PROSPECTUS (unaudited) — (continued)


 

THE SUPPLEMENT IS NOT PART OF THE SEMI-ANNUAL REPORT

 

Filed under Rule 497(e)

Registration No. 333-53589

 

GOVERNMENT MONEY MARKET II FUND

SOCIALLY RESPONSIBLE FUND

(each, a “Fund,” and collectively, the “Funds”)

 

Supplement dated April 21, 2017, to the Funds’

Prospectus dated January 1, 2017, as supplemented and amended to date

 

In the section entitled Fund Summary: Socially Responsible Fund,” the table under the heading “Investment Adviser – Portfolio Managers” on page 45 of the Prospectus is deleted in its entirety and replaced with the following:

 

Name


   Portfolio Manager of
the Fund  Since

     Title

 

Timothy Campion

     2012        Lead Portfolio Manager  

Kara Murphy

     2013        Co-Portfolio Manager  

Jane Bayar Algieri

     2015        Co-Portfolio Manager  

 

In the section entitled Management – Investment Subadvisers,” the information on page 74 with respect to SunAmerica Asset Management, LLC is hereby deleted in its entirety and replaced with the following:

 

Government Money Market II Fund

Socially Responsible Fund

 

SunAmerica Asset Management, LLC (“SAAMCo”)

Harborside 5

185 Hudson Street, Suite 3300

Jersey City, New Jersey 07311

 

SAAMCo is organized as a Delaware limited liability company and is an indirect, wholly-owned subsidiary of AIG. SAAMCo’s primary focus has been on the management, in either an advisory or subadvisory capacity, of registered investment products. As of September 30, 2016, SAAMCo managed, advised and/or administered more than $80.34 billion in assets.

 

The Socially Responsible Fund is managed by a team consisting of Timothy Campion, Kara Murphy and Jane Bayar Algieri, with Mr. Campion serving as team leader. Mr. Campion is a Senior Vice President and Portfolio Manager at SAAMCo. He is responsible for the management and trading of a wide variety of social and domestic equity index funds. Mr. Campion joined SAAMCo in 2012. Prior to joining SAAMCo, he was Vice President and Portfolio Manager at PineBridge since 1999. Ms. Murphy is the Chief Investment Officer of SAAMCo. Previously, Ms. Murphy was the Director of Research and a senior research analyst covering the financial sector. Before joining SAAMCo, Ms. Murphy held research positions at Chilton Investment Company and Morgan Stanley Investment Management. Her investment experience dates from 2000. Ms. Algieri joined SAAMCo in 2004. She is a Portfolio Manager on index and social funds. Previously at SAAMCo, Ms. Algieri was an equity analyst and assistant portfolio manager on fixed income funds. Ms. Algieri received her B.A. from Baruch College and her M.B.A. from Rutgers School of Business.

 

The Government Money Market II Fund is managed by a team consisting of Timothy Campion and Jane Bayar Algieri. Please see above for the biographies of Mr. Campion and Ms. Algieri.

 

Capitalized terms used but not defined herein shall have the meanings assigned to them by the Prospectus.

 

Please retain this supplement for future reference.

 

 

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VALIC Company II

  


 

BOARD OF TRUSTEES

Thomas J. Brown

Judith L. Craven

William F. Devin

Timothy J. Ebner

Gustavo E. Gonzales, Jr.

Peter A. Harbeck

Kenneth J. Lavery

John E. Maupin, Jr.

 

CUSTODIAN

State Street Bank and Trust Company

One Lincoln Street

Boston, Massachusetts 02110

 

INVESTMENT ADVISER

The Variable Annuity

Life Insurance Company (VALIC)

2929 Allen Parkway

Houston, Texas 77019

 

INVESTMENT SUBADVISERS

Delaware Investments Fund Advisers

2005 Market Street

Philadelphia, PA 19103

 

J.P. Morgan Investment Management Inc.

270 Park Avenue

New York, New York 10017

 

Janus Capital Management, LLC

151 Detroit Street

Denver, Colorado 80206

 

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, MA 02199

 

PineBridge Investments, LLC

399 Park Avenue

New York, New York 10022

 

Robeco Investment Management, Inc. d/b/a Boston Partners

909 Third Avenue, 32nd Floor

New York, New York 10022

 

SunAmerica Asset Management, LLC

Haborside 5

185 Hudson Street, Suite 3300

Jersey City, New Jersey 07311

 

The Boston Company Asset Management, LLC

BNY Mellon Center

201 Washington St.

Boston, Massachusetts 02108

 

Wellington Management Company LLP

280 Congress Street

Boston, Massachusetts 02210

 

Wells Capital Management Incorporated

525 Market St.

10th Floor

San Francisco, CA 94105

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PricewaterhouseCoopers LLP

1201 Louisiana Street, Suite 2900

Houston, Texas 77002

 

TRANSFER AND SHAREHOLDER SERVICE AGENT

VALIC Retirement

Services Company (VRSCO)

2929 Allen Parkway

Houston, Texas 77019

OFFICERS

John T. Genoy,

President and Principal Executive Officer

John Packs,

Vice President and Senior Investment Officer

Gregory R. Kingston,

Treasurer and Principal Financial Officer

Kathleen Fuentes,

Vice President, Chief Legal Officer and Secretary

Gregory N. Bressler,

Vice President

Thomas M. Ward,

Vice President

Shawn Parry,

Vice President and Assistant Treasurer

Donna McManus,

Vice President and Assistant Treasurer

Christopher Joe,

Chief Compliance Officer

 

DISCLOSURE OF QUARTERLY FUND PORTFOLIO HOLDINGS

 

VC II is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for its first and third fiscal quarters on Form N-Q. VC II’s Forms N-Q are available on the U.S. Securities and Exchange Commission’s website at www.sec.gov. You can also review and obtain copies of Forms N-Q at the U.S. Securities and Exchange Commission’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330).

 

VOTING PROXIES ON VALIC COMPANY II PORTFOLIO SECURITIES

 

A description of the policies and procedures that VC II uses to determine how to vote proxies related to securities held in the Fund’s portfolios, which is available in VC II’s Statement of Additional Information, may be obtained without charge upon request, by calling 800-448-2542. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

 

PROXY VOTING RECORD ON VALIC COMPANY II PORTFOLIO SECURITIES

 

Information regarding how VC II voted proxies relating to securities held in the VC II Funds portfolios during the most recent twelve month period ended June 30, is available, once filed with the U.S. Securities and Exchange Commission without charge, upon request, by calling 800-448-2542 or on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

 

This report is for the information of the shareholders and variable contract owners investing in VC II. It is authorized for distribution to other persons only when preceded or accompanied by an effective prospectus which contains information on how to purchase shares and other pertinent information.

 

If you would like further information about this material or products issued by VALIC or American General Life Insurance Company, please contact your financial professional.

 

The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.

 

 

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VALIC Company II

P.O. Box 3206

Houston, TX 77253-3206

 

PRSRT STD

U.S. POSTAGE

PAID

LANCASTER, PA

PERMIT NO. 1765

VC 11387 (02/2017) J74498


Table of Contents
Item 2. Code of Ethics.

Not applicable.

 

Item 3. Audit Committee Financial Expert.

Not applicable.

 

Item 4. Principal Accountant Fees and Services.

Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Investments.

Included in Item 1 to the Form.

 

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.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.

 

Item 11. Controls and Procedures.

 

  (a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

 

  (b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.3a-3(d))) that occurred during the registrant’s the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.


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Item 12. Exhibits.

 

  (a) (1) Not applicable.

(2) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

(3) Not applicable.

 

  (b) Certification pursuant to Rule 30a-2 (b) under the Investment Company Act of 1940 (17 CFR 270.30a-2 (a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.


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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.

 

VALIC Company II
By:   /s/ John T. Genoy
  John T. Genoy
  President

Date: May 08, 2017

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:   /s/ John T. Genoy
  John T. Genoy
  President

Date: May 08, 2017

 

By:   /s/ Gregory R. Kingston
  Gregory R. Kingston
  Treasurer

Date: May 08, 2017


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-CSRS’ Filing    Date    Other Filings
12/31/17
Filed on / Effective on:5/8/17
4/24/17
4/21/17497,  497K
4/3/17497,  497K
For Period End:2/28/17N-MFP2,  NSAR-A
1/1/17
10/29/16
10/7/16N-MFP1
9/30/16N-MFP1
9/28/16485BPOS
9/1/16
8/31/1624F-2NT,  N-CSR,  N-MFP1,  NSAR-B
12/22/10
1/23/01
1/1/01
5/6/98
 List all Filings 
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