Page
|
|||
Synopsis
|
1
|
||
What am I being asked to vote on?
|
1
|
||
What are the general tax consequences of the Reorganization?
|
4
|
||
What are the fees and expenses of each Fund and what are they expected to be after the Reorganization?
|
4
|
||
How do the investment objectives and policies of the Funds compare?
|
6
|
||
How do the Principal Risks of Investing in the Funds differ?
|
11
|
||
What are the capitalizations of the Funds and what would the capitalization be after the Reorganization?
|
22
|
||
How have the Funds performed?
|
22
|
||
How do the Account Features and Shareholder Services for the Funds Compare?
|
25
|
||
Purchases and Redemptions
|
25
|
||
Dividends and Distributions
|
26
|
||
Information About the Reorganization
|
26
|
||
How will the Reorganization be carried out?
|
26
|
||
Who will pay the expenses of the Reorganization?
|
28
|
||
What are the tax consequences of the Reorganization?
|
28
|
||
Reasons for the Reorganization
|
29
|
||
Board Considerations
|
29
|
||
Receipt of Non-Service shares of Balanced Fund/VA
|
31
|
||
What are the Fundamental Investment Restrictions of the Funds?
|
32
|
||
Other Comparisons Between the Funds
|
32
|
||
Management of the Funds
|
32
|
||
Investment Management and Fees
|
33
|
||
Payments to Financial Intermediaries and Service Providers
|
34
|
||
Transfer Agency and Custody Services
|
36
|
||
Shareholder Rights
|
36
|
||
Voting Information
|
39
|
||
How do I vote?
|
39
|
||
Who is Entitled to Vote and How are Votes Counted?
|
40
|
||
Quorum and Required Vote
|
41
|
||
Solicitation of Proxies
|
41
|
||
Revoking a Proxy
|
42
|
||
What other matters will be voted upon at the Meeting?
|
42
|
||
Additional Information About the Funds
|
44
|
||
Householding of Reports to Shareholders and Other Fund Documents
|
44
|
||
Principal Shareholders
|
44
|
||
Exhibit A: Principal Shareholders
|
A-1
|
Fee and Expense Comparison
|
Panorama Total Return
|
Balanced Fund/VA
|
Combined Pro Forma Balanced Fund/VA
|
Non-Service Shares
|
Non-Service Shares
|
Non-Service Shares
|
|
Management Fee
|
0.63%
|
0.75%
|
0.74%
|
12b-1
|
None
|
None
|
None
|
Acquired Fund Fees and Expenses
|
0.02%
|
0.02%
|
0.02%
|
Other Expenses
|
0.21%
|
0.16%
|
0.16%
|
Total Annual Operating Expenses
|
0.86%
|
0.93%
|
0.92%
|
Fee Waiver
|
(0.04)%
|
(0.24)%
|
(0.23)%
|
Total Annual Expenses After Waiver
|
0.82%
|
0.69%
|
0.69%
|
1 Year
|
3 Years
|
5 Years
|
10 Years
|
|||||||||||
$ | 84 | $ | 272 | $ | 475 | $ | 1,062 |
1 Year
|
3 Years
|
5 Years
|
10 Years
|
|||||||||||
$ | 71 | $ | 274 | $ | 493 | $ | 1,126 |
1 year
|
3 years
|
5 years
|
10 years
|
|||||||||||
$ | 71 | $ | 271 | $ | 489 | $ | 1,115 |
Panorama Total Return
|
Balanced Fund/VA
|
Investment Objectives
|
|
The Fund seeks to maximize total investment return (including capital appreciation and income).
|
The Fund seeks high total investment return, which includes current income and capital appreciation.
|
Investment Strategies
|
|
Principal Investment Strategies. The Fund mainly invests in common stocks, corporate bonds, U.S. Government securities, and short-term notes. Normally, at least 25% of the Fund’s total assets will be invested in fixed income securities. The Fund has no other requirements with respect to the portion of its investments that are allocated to a particular asset class. The Fund’s holdings will change over time and it might invest in some or all of the following asset classes.
The portfolio managers employ fundamental analysis of a company’s financial statements and management structure, operations and product development, as well as the industry of which the company is part. The portfolio managers also consider the effect of worldwide trends on the growth of particular business sectors and look for companies that may benefit from those trends. In seeking diversification of the Fund’s portfolio over asset classes, issuers, and economies, the portfolio managers consider overall and relative economic conditions in U.S. and foreign markets.
The Fund may sell securities that the portfolio managers believe are no longer favorable with regard to the above factors, but is not required to do so.
|
Principal Investment Strategies. The Fund buys a variety of different types of securities to seek its investment objective. The Fund may invest in equity securities and debt securities of both domestic and foreign issuers and in issuers in any capitalization range. Normally at least 25% of Balanced Fund/VA's total assets will be invested in fixed income senior securities and at least 25% of its total assets will be invested in stocks and other equity securities, primarily common stocks. There is no limit on the amount of the Fund's assets that can be invested in foreign securities in developed markets. However, the Fund does not normally expect to invest more than 35% of its total assets in foreign issuers and may not invest more than 10% of its net assets in the securities of governments and companies in emerging markets and it may not invest more than 20% of its net assets in foreign debt securities.
In seeking diversification of the Fund's portfolio over asset classes, issuers, and economies, the portfolio managers consider overall and relative economic conditions in U.S. and foreign markets. At times, the Fund may focus more on investing for capital appreciation with less emphasis on seeking income. At other times, perhaps when stock markets are less stable, the Fund might have a greater relative emphasis on income-seeking investments, such as government securities and money market instruments.
The Fund may buy foreign currencies but only in connection with the purchase and sale of foreign securities and not for speculation.
In selecting securities to buy, the portfolio managers use different investment styles to seek diversification across asset classes. They normally maintain a mix of stocks, debt securities and cash. The Fund's asset allocations will change over time as the portfolio managers seek relative opportunities but will generally include:
|
Equity Securities. The Fund can invest in domestic and foreign common stocks and other equity securities, including preferred stocks, warrants and convertible securities. The Fund can buy securities of companies of any market capitalization. Currently, the Fund invests primarily in the securities of domestic large-capitalization companies. While the process may change over time or vary in particular cases, in general in selecting equity securities the portfolio managers employ both “growth” and “value” styles. Growth investing seeks stocks that the portfolio managers believe have possibilities for increases in stock price because of strong earnings growth, the development of new products or services or other favorable economic factors. Value investing seeks stocks that are undervalued in the market by various measures such as the stock’s price/earnings ratio.
|
Equity securities: Equity securities are securities that represent an ownership interest in a company. They include common stock, preferred stock and securities convertible into common stock. The Fund will normally invest in stocks and other equity securities, primarily common stocks of U.S. and foreign companies. In selecting equity securities to buy, the portfolio managers mainly look for potential capital appreciation. The portfolio managers employ both "growth" and "value" styles in selecting stocks. Value investing uses fundamental analysis to seek companies whose intrinsic value is greater than the current price of their securities. Companies whose earnings and stock prices are expected to increase at a faster rate than the overall market are considered "growth companies."
|
Debt Securities. The Fund can invest in domestic and foreign corporate debt obligations and debt securities issued or guaranteed by the U.S. Government, its agencies and federally-chartered corporate entities referred to as “instrumentalities.” The Fund can buy mortgage-related securities and collateralized mortgage obligations (“CMOs”) issued or guaranteed by the U.S. Government or by private issuers and asset-backed securities. The Fund can invest up to 20% of its total assets in bonds rated below investment grade (commonly referred to as “junk bonds”), and can invest up to 10% of its total assets in unrated debt securities.
Money Market Instruments. The Fund can hold money market instruments, such as short-term U.S. government securities, commercial paper and bank instruments for investment purposes, for cash management or for defensive purposes.
In selecting fixed-income securities, the portfolio managers’ overall strategy is to build a broadly diversified portfolio of corporate and government bonds by focusing on business cycle analysis and the relative values between the corporate and government sectors. While the process may change over time or vary in particular cases, the portfolio managers generally seek the following characteristics in selecting debt securities:
Debt securities in market sectors that offer attractive relative value;
Investment-grade securities that offer more income than U.S. Treasury obligations;
High income potential from other types of corporate and government securities;
Broad portfolio diversification to seek to reduce the volatility of the Fund’s share prices.
Capital appreciation on fixed income investments would generally include appreciation caused by decreases in interest rates, improving credit fundamentals for a particular sector or security, and management of pre-payment risks associated with mortgage-related securities. The Fund can buy securities of companies and governments in any country, including countries with developed or emerging markets.
|
Debt securities: Debt securities are securities representing money borrowed by the issuer that must be repaid, specifying the amount of principal, the interest or discount rate, and the time or times at which payments are due. The Fund will normally invest in fixed-income senior securities, such as bonds and notes. The debt securities the Fund may buy include securities issued by U.S. and foreign companies, securities issued or guaranteed by the U.S. Government and its agencies and instrumentalities, mortgage-related securities (including private issuer mortgage-backed securities), debt obligations of foreign governments, and money market instruments. The Fund may invest without limit in lower-grade, high-yield debt securities, sometimes referred to as "junk bonds". In selecting debt securities to buy, the portfolio managers look for both income and for total return. The Fund has no requirements as to the maturity of the debt securities it can buy and the average maturity of the Fund's portfolio can be expected to change over time. The Fund may invest in debt securities that pay interest at fixed or floating rates.
|
Derivative Securities: The Fund also uses derivative instruments for investment purposes or hedging, including: options, futures, forward contracts, swaps including credit default swaps, mortgage-related securities including CMOs and “stripped” securities. The prices of derivative securities may be more volatile than the prices of other types of securities.
|
Derivative Securities: The Fund may also invest in derivative instruments. A derivative is an instrument whose value depends on (or is derived from) the value of an underlying asset or other measure. The derivative instruments in which the Fund may invest include: options, futures, forward contracts, swaps, "structured" notes and "zero-coupon" and "stripped" securities that pay only the interest or only the principal portion of a debt obligation. When interest rates change, the prices of those securities may go up or down more than the prices of other types of debt securities.
|
At least 25% of Panorama Total Return’s total assets will be invested in fixed income securities. That Fund has no other requirements with respect to the portion of its investments that are allocated to a particular asset class. Normally at least 25% of Balanced Fund/VA's total assets will be invested in fixed income senior securities and at least 25% of its total assets will be invested in stocks and other equity securities, primarily common stocks. Panorama Total Return can invest up to 20% of its total assets in bonds rated below investment grade (commonly referred to as “junk bonds”) and Balanced Fund/VA can invest in those securities without limit. The portfolio managers of both Funds employ both "growth" and "value" styles in selecting stocks. Each Fund can invest in securities of issuers of any capitalization, however, Panorama Total Return currently invests primarily in the securities of large-capitalization companies. There is no limit on the amount of the Balanced Fund/VA's assets that can be invested in foreign securities in developed markets, although it does not normally expect to invest more than 35% of its total assets in foreign issuers. Panorama Total Return can invest in both domestic and foreign issuers but currently invests primarily in the securities of domestic issuers. Both Funds can invest in "derivative" instruments to seek to increase their investment return or for hedging purposes. Options, futures, forward contracts, swaps and “stripped” securities are some of the types of derivatives that both Funds may use. The Funds may also use other types of derivatives that are consistent with their investment strategies or for hedging purposes.
|
|
Who is the Fund Designed For?
|
|
Panorama Total Return is designed primarily for investors seeking long-term total return from a flexible portfolio investing in different asset classes, including stocks, bonds and money market instruments. Because the Fund invests a portion of its assets in stocks, investors should be willing to assume the risks of short-term share price fluctuations that are typical for a fund that can have substantial stock investments. The Fund is not designed for investors needing assured current income.
|
Balanced Fund/VA is designed primarily for investors seeking high total return from their investment from a fund that allocates its assets among different types of securities. Those investors should be willing to assume the risks of short-term share price fluctuations that are typical for a fund that invests in stocks and foreign securities.
|
Manager
|
|
OppenheimerFunds, Inc.
|
OppenheimerFunds, Inc.
|
Portfolio Managers
|
|
Mitch Williams, Krishna Memani & Peter A. Strzalkowski
|
Mitch Williams, Krishna Memani & Peter A. Strzalkowski
|
Portfolio Allocation:
|
Panorama Total Return
|
Balanced Fund /VA
|
Common Stocks
|
43.2%
|
41.7%
|
Mortgage-Backed Obligations Discretionary
|
23.5%
|
24.5%
|
Non-Convertible Corporate Bonds and Notes
|
15.6%
|
15.8%
|
Money Market Fund
|
13.4%
|
13.8%
|
Asset-Backed Securities
|
3.7%
|
3.7%
|
U.S. Government Obligations
|
0.6%
|
0.5%
|
100%
|
100%
|
Risk
|
Panorama Total Return
|
Balance Fund/VA
|
Principal Risks
|
||
Risks of Investing in Stock & Other Equity Securities
|
X
|
X
|
Risks of Value Investing
|
X
|
X
|
Risks of Growth Investing
|
X
|
X
|
Risks of Small- and Mid-Sized Companies
|
X
|
X
|
Risks of Debt Securities
|
X
|
X
|
Fixed Income Market Risks
|
X
|
X
|
Special Risks of Lower-Grade Securities
|
X
|
X
|
Risks of Mortgage Related Securities
|
X
|
X
|
Risks of Asset Backed Securities
|
X
|
X
|
Risks of Foreign Investing
|
X
|
X
|
Special Risks of Developing and Emerging Markets
|
X
|
|
Risks of Derivative Investments
|
X
|
X
|
Asset Allocation Risk
|
X
|
X
|
Other Risks
|
||
Risks of Special Situations
|
X
|
X
|
Risks of Cyclical Opportunities
|
X
|
X
|
Risks of Passive Foreign Investment Companies
|
X
|
X
|
Risks of Repurchase Agreements
|
X
|
X
|
Risks of Participation Interests in Loans
|
X
|
|
Risks of Illiquid and Restricted Securities
|
X
|
X
|
Risks of Conflicts of Interest
|
X
|
X
|
Risks of Investments in Other Investment Companies
|
X
|
X
|
Time-Zone Arbitrage
|
X
|
X
|
Price Arbitrage
|
X
|
X
|
2011
|
2010
|
2009
|
2008
|
2007
|
|
Panorama Total Return
|
98%
|
181%
|
144%
|
121%
|
107%
|
Balanced Fund/VA
|
102%
|
54%
|
87%
|
67%
|
68%
|
Net Assets
|
Shares
Outstanding
|
Net Asset Value
Per Share
|
||||||||||
Panorama Total Return
|
$ | 101,001,794 | 82,852,109 | $ | 1.22 | |||||||
Balanced Fund/VA (Non-Service shares)
|
$ | 128,383,141 | 11,366,261 | $ | 11.30 | |||||||
Balanced Fund/VA(Non-Service shares)
(Pro Forma Surviving Fund)*
|
$ | 229,384,935 | 20,304,473 | $ | 11.30 |
Calendar Year Ended:
|
Annual Total Returns
|
12/31/11
|
0.23%
|
12/31/10
|
16.70%
|
12/31/09
|
19.78%
|
12/31/08
|
(38.65)%
|
12/31/07
|
5.82%
|
12/31/06
|
11.70%
|
12/31/05
|
4.78%
|
12/31/04
|
9.47%
|
12/31/03
|
21.10%
|
12/31/02
|
(14.45)%
|
Calendar Year Ended:
|
Annual Total Returns
|
12/31/11
|
0.72%
|
12/31/10
|
12.91%
|
12/31/09
|
21.89%
|
12/31/08
|
(43.47)%
|
12/31/07
|
3.79%
|
12/31/06
|
11.15%
|
12/31/05
|
3.89%
|
12/31/04
|
10.10%
|
12/31/03
|
24.96%
|
12/31/02
|
(10.40)%
|
Panorama Total Return
|
|||
Average Annual Total Returns for the periods ended December 31, 2011
|
1 Year
|
5 Years
|
10 Years
|
Panorama Total Return Non-Service shares (inception 9-30-82)
|
0.23%
|
(1.88)%
|
1.90%
|
S&P 500 Index (reflects no deduction for fees, expenses or taxes)
|
2.11%
|
(0.25)%
|
2.92%
|
BofA Merrill Lynch Corporate and Gov’t Master Index (reflects no deduction for fees, expenses or taxes)
|
8.61%
|
6.49%
|
5.82%
|
Balanced Fund/VA
|
|||
Average Annual Total Returns for the periods ended December 31, 2011
|
1 Year
|
5 Years
|
10 Years
|
Balanced Fund/VA Non-Service shares (inception 2-9-87)
|
0.72%
|
(4.05)%
|
1.47%
|
S&P 500 Index (reflects no deduction for fees, expenses or taxes)
|
2.11%
|
(0.25)%
|
2.92%
|
Barclays Capital U.S. Aggregate Bond Index (reflects no deduction for fees, expenses or taxes)
|
7.84%
|
6.50%
|
5.78%
|
Panorama Total Return
|
Balanced Fund/VA
|
||||||||
Net assets
|
Fee
|
Net Assets
|
Fee
|
||||||
Up to $600 million
|
0.625 | % |
Up to $200 million
|
0.750 | % | ||||
Over $600 million
|
0.450 | % |
Next $200 million
|
0.720 | % | ||||
Next $200 million
|
0.690 | % | |||||||
Next $200 million
|
0.660 | % | |||||||
Over $800 million
|
0.600 | % | |||||||
Effective Fee (based on net assets of $101.0 million as of 12-31-11)
|
0.625 | % |
Effective Fee (based on net assets of $205.9 million as of 12-31-11)
|
0.75 | % |
Panorama Total Return, a series of Panorama Series Fund, Inc. (the “Corporation”)
|
Balanced Fund/VA, a series of Oppenheimer Variable Account Funds (the “Trust”)
|
Shareholders have the power to elect and remove Directors.
|
Shareholders have the power to elect and remove Trustees.
|
The Corporation reserves the right from time to time to make any amendment to its charter now or thereafter authorized by law, including any amendment which changes charter terms or contract rights, as expressly set forth in the charter, by classification, reclassification, or otherwise.
|
The Declaration of Trust may be amended by the affirmative vote of the holders of not less than a majority of the shares. The Trustees generally may amend the Declaration of Trust without the vote or consent of shareholders; however, no amendment may be made, which would change any rights with respect to any shares of the Trust or any series or class thereof by reducing the amount payable thereon upon liquidation of the Trust or by diminishing or eliminating any voting rights pertaining thereto, except with the vote or consent of the holders of a majority of the Shares entitled to vote.
|
The Board of Directors may amend or repeal any provision of the Bylaws at any meeting of the Board. The Bylaws may be amended or repealed at any regular meeting of the stockholders or at any special meeting of the stockholders at which a quorum is present or represented, provided that notice of the proposed amendment, alteration, or repeal be contained in the notice of such special meeting.
|
The Bylaws may be altered, amended, added to or repealed by the Shareholders or by majority vote of the entire Board of Trustees, but any such alteration, amendment, addition or repeal of the Bylaws by action of the Board of Trustees may be altered or repealed by the Shareholders.
|
Under Maryland law, a voluntary dissolution of the Corporation requires approval by a majority of the entire Board of Directors and by the affirmative vote of two−thirds of all the shareholders’ votes entitled to be cast on the matter.
|
The liquidation of the Trust or any particular Series or Class thereof may be authorized at any time by vote of a majority of the Trustees or instrument executed by a majority of their number then in office, provided the Trustees find that it is in the best interest of the Shareholders of such Series or Class or as otherwise provided in this Declaration of Trust or the instrument establishing such Series or Class. The Trustees shall provide written notice to affected shareholders of such liquidation.
|
Meetings of the stockholders may be called for any purpose or purposes by a majority of the Board of Directors, by the President, or upon the written request of the holder of at least 25% of the outstanding capital stock of the Corporation entitled to vote at such meeting.
|
Meetings of the Shareholders for any purpose or purposes may be called by the Chairman of the Board of Trustees, if any, or by the President or by the Board of Trustees and shall be called by the Secretary upon receipt of the request in writing signed by Shareholders holding not less than one third in amount of the entire number of Shares issued and outstanding and entitled to vote thereat. Such request shall state the purpose or purposes of the proposed meeting. In addition, meetings of the Shareholders shall be called by the Board of Trustees upon receipt of the request in writing signed by Shareholders that hold not less than ten percent in amount of the entire number of Shares issued and outstanding and entitled to vote thereat, stating that the purpose of the proposed meeting is the removal of a Trustee.
|
PANORAMA SERIES FUND, INC., on behalf of
|
||
Growth Portfolio
|
||
By: ______________________
|
||
Arthur S. Gabinet
|
||
Secretary
|
||
OPPENHEIMER VARIABLE ACCOUNT FUNDS, on behalf of Oppenheimer Balanced Fund/VA
|
||
By: ______________________
|
||
Arthur S. Gabinet
|
||
Secretary
|
Shares
|
Value
|
|||||||
Common Stocks—49.8%
|
||||||||
Consumer Discretionary—6.0%
|
||||||||
Automobiles—0.9%
|
||||||||
Ford Motor Co.1
|
85,960
|
$
|
924,930
|
|||||
Household Durables—0.7%
|
||||||||
Mohawk Industries, Inc.1
|
12,810
|
766,674
|
||||||
Media—3.2%
|
||||||||
Comcast Corp., Cl. A
|
37,730
|
894,578
|
||||||
Jupiter Telecommunications Co. Ltd.
|
1,766
|
1,789,632
|
||||||
Viacom, Inc., Cl. B
|
11,270
|
511,771
|
||||||
3,195,981
|
||||||||
Multiline Retail—1.2%
|
||||||||
Target Corp.
|
23,270
|
1,191,889
|
||||||
Consumer Staples—3.6%
|
||||||||
Beverages—1.3%
|
||||||||
Coca-Cola Co. (The)
|
18,830
|
1,317,535
|
||||||
Food & Staples Retailing—1.3%
|
||||||||
Wal-Mart Stores, Inc.
|
22,340
|
1,335,038
|
||||||
Household Products—1.0%
|
||||||||
Church & Dwight Co., Inc.
|
20,930
|
957,757
|
||||||
Energy—7.2%
|
||||||||
Energy Equipment & Services—0.4%
|
||||||||
Nabors Industries Ltd.1
|
25,250
|
437,835
|
||||||
Oil, Gas & Consumable Fuels—6.8%
|
||||||||
Apache Corp.
|
3,920
|
355,074
|
||||||
Chevron Corp.
|
31,170
|
3,316,488
|
||||||
Exxon Mobil Corp.
|
17,990
|
1,524,832
|
||||||
Penn West Petroleum Ltd.
|
34,070
|
674,586
|
||||||
Royal Dutch Shell plc, ADR
|
13,220
|
966,250
|
||||||
6,837,230
|
||||||||
Financials—10.7%
|
||||||||
Capital Markets—1.6%
|
||||||||
Goldman Sachs Group, Inc. (The)
|
17,410
|
1,574,386
|
||||||
Commercial Banks—5.7%
|
||||||||
CIT Group, Inc.1
|
18,760
|
654,161
|
||||||
M&T Bank Corp.
|
14,090
|
1,075,631
|
||||||
U.S. Bancorp
|
77,450
|
2,095,023
|
||||||
Wells Fargo & Co.
|
70,350
|
1,938,846
|
||||||
5,763,661
|
||||||||
Diversified Financial Services—0.8%
|
||||||||
JPMorgan Chase & Co.
|
25,760
|
856,520
|
||||||
Insurance—2.6%
|
||||||||
ACE Ltd.
|
20,030
|
1,404,504
|
||||||
MetLife, Inc.
|
39,400
|
1,228,492
|
||||||
2,632,996
|
||||||||
Health Care—7.2%
|
||||||||
Biotechnology—1.4%
|
||||||||
Gilead Sciences, Inc.1
|
35,844
|
1,467,095
|
||||||
Health Care Equipment & Supplies—1.6%
|
||||||||
Medtronic, Inc.
|
41,580
|
1,590,435
|
||||||
Health Care Providers & Services—2.7%
|
||||||||
Humana, Inc.
|
14,230
|
1,246,690
|
||||||
UnitedHealth Group, Inc.
|
16,360
|
829,125
|
||||||
WellPoint, Inc.
|
9,980
|
661,175
|
||||||
2,736,990
|
||||||||
Pharmaceuticals—1.5%
|
||||||||
Pfizer, Inc.
|
70,400
|
1,523,456
|
||||||
Industrials—3.2%
|
||||||||
Electrical Equipment—1.3%
|
||||||||
Cooper Industries plc
|
24,610
|
1,332,632
|
||||||
Industrial Conglomerates—1.3%
|
||||||||
Tyco International Ltd.
|
26,760
|
1,249,960
|
||||||
Trading Companies & Distributors—0.6%
|
||||||||
AerCap Holdings NV1
|
52,720
|
595,209
|
||||||
Information Technology—4.4%
|
||||||||
Communications Equipment—1.0%
|
||||||||
Juniper Networks, Inc.1
|
50,000
|
1,020,500
|
||||||
Computers & Peripherals—0.4%
|
||||||||
Hewlett-Packard Co.
|
14,420
|
371,459
|
||||||
Internet Software & Services—0.4%
|
||||||||
VeriSign, Inc.
|
12,740
|
455,073
|
||||||
Semiconductors & Semiconductor Equipment—0.7%
|
||||||||
Xilinx, Inc.
|
22,360
|
716,862
|
||||||
Software—1.9%
|
||||||||
Microsoft Corp.
|
34,300
|
890,428
|
||||||
Oracle Corp.
|
39,320
|
1,008,558
|
||||||
1,898,986
|
||||||||
Materials—2.4%
|
||||||||
Chemicals—1.5%
|
||||||||
Celanese Corp., Series A
|
15,240
|
674,675
|
||||||
Mosaic Co. (The)
|
15,960
|
804,863
|
||||||
1,479,538
|
||||||||
Containers & Packaging—0.9%
|
||||||||
Rock-Tenn Co., Cl. A
|
15,950
|
920,315
|
||||||
Telecommunication Services—1.5%
|
||||||||
Diversified Telecommunication Services—0.5%
|
||||||||
AT&T, Inc.
|
16,380
|
495,331
|
||||||
Wireless Telecommunication Services—1.0%
|
||||||||
Vodafone Group plc, Sponsored ADR
|
35,700
|
1,000,671
|
Shares
|
Value
|
|||||||
Utilities—3.6%
|
||||||||
Electric Utilities—1.8%
|
||||||||
American Electric Power Co., Inc.
|
11,900
|
$
|
491,589
|
|||||
Edison International, Inc.
|
32,200
|
1,333,080
|
||||||
1,824,669
|
||||||||
Energy Traders—0.4%
|
||||||||
GenOn Energy, Inc.1
|
149,730
|
390,795
|
||||||
Multi-Utilities—1.4%
|
||||||||
Public Service Enterprise Group, Inc.
|
43,030
|
1,420,420
|
||||||
Total Common Stocks (Cost $49,867,325)
|
50,282,828
|
|||||||
Principal
|
||||||||
Amount
|
||||||||
Asset-Backed Securities—4.2%
|
||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/132
|
$
|
60,000
|
59,865
|
|||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14
|
55,000
|
55,065
|
||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/152
|
95,000
|
96,597
|
||||||
Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16
|
115,000
|
114,693
|
||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13
|
27,605
|
27,758
|
||||||
AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13
|
17,785
|
17,783
|
||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17
|
30,000
|
30,385
|
||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.:
|
||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15
|
35,000
|
35,152
|
||||||
Series 2011-2, Cl. D, 4%, 5/8/17
|
60,000
|
59,919
|
||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17
|
165,000
|
164,753
|
||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables Nts., Series 2011-5, Cl. D, 4.72%, 12/8/17
|
100,000
|
102,309
|
||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13
|
8,185
|
8,188
|
||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.254%, 5/25/343
|
141,560
|
$
|
119,329
|
|||||
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15
|
45,000
|
45,097
|
||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152
|
23,086
|
24,211
|
||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15
|
70,000
|
73,008
|
||||||
Citibank Omni Master Trust, Credit Card Receivables:
|
||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182
|
225,000
|
245,940
|
||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182
|
175,000
|
190,477
|
||||||
Series 2009-A8, Cl. A8, 2.378%, 5/16/162,3
|
155,000
|
155,966
|
||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.078%, 1/20/413
|
115,000
|
115,139
|
||||||
Countrywide Home Loans, Asset-Backed Certificates:
|
||||||||
Series 2002-4, Cl. A1, 1.034%, 2/25/333
|
3,568
|
3,427
|
||||||
Series 2005-16, Cl. 2AF2, 5.377%, 5/1/363
|
247,369
|
190,043
|
||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16
|
100,000
|
101,355
|
||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/152
|
49,260
|
49,501
|
||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152
|
140,000
|
140,268
|
||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/132
|
35,000
|
34,884
|
||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/414
|
98,000
|
97,805
|
||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15
|
76,162
|
75,811
|
||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.828%, 9/15/143
|
110,000
|
110,849
|
||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.928%, 12/15/142,3
|
115,000
|
116,262
|
||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16
|
125,000
|
126,736
|
||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
Asset-Backed Securities Continued
|
||||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.828%, 10/20/142,3
|
$
|
115,000
|
$
|
116,015
|
||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/232
|
110,000
|
109,992
|
||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/152
|
175,000
|
177,046
|
||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.628%, 3/15/163
|
120,000
|
120,338
|
||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13
|
105,000
|
105,270
|
||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.428%, 1/15/152,3
|
110,000
|
110,840
|
||||||
Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/162
|
85,000
|
84,848
|
||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13
|
41,234
|
41,232
|
||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17
|
115,000
|
115,007
|
||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/132
|
55,194
|
55,242
|
||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17
|
115,000
|
114,766
|
||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174
|
106,840
|
105,905
|
||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/172
|
86,952
|
85,648
|
||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13
|
105,000
|
105,171
|
||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/142
|
50,000
|
49,951
|
||||||
Total Asset-Backed Securities (Cost $4,352,939)
|
4,285,846
|
|||||||
Mortgage-Backed Obligations—27.1%
|
||||||||
Government Agency—23.1%
|
||||||||
FHLMC/FNMA/FHLB/Sponsored—22.5%
|
||||||||
Federal Home Loan Mortgage Corp.:
|
||||||||
4.50%, 10/15/18
|
157,873
|
168,403
|
||||||
4.50%, 1/1/425
|
780,000
|
826,678
|
||||||
5%, 12/15/34
|
11,625
|
12,517
|
||||||
5.50%, 9/1/39
|
307,304
|
334,107
|
||||||
6.50%, 4/15/18-4/1/34
|
105,574
|
118,426
|
||||||
7%, 10/1/31
|
82,644
|
95,982
|
||||||
8%, 4/1/16
|
35,401
|
38,369
|
||||||
9%, 8/1/22-5/1/25
|
14,232
|
16,412
|
||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
|
||||||||
Investment Conduit Multiclass Pass-Through Certificates:
|
||||||||
Series 2006-11, Cl. PS, 23.49%, 3/25/363
|
91,664
|
128,004
|
||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32
|
183,481
|
208,254
|
||||||
Series 2500, Cl. FD, 0.778%, 3/15/323
|
24,046
|
24,164
|
||||||
Series 2526, Cl. FE, 0.678%, 6/15/293
|
31,816
|
31,928
|
||||||
Series 2551, Cl. FD, 0.678%, 1/15/333
|
21,458
|
21,522
|
||||||
Series 2663, Cl. BA, 4%, 8/1/16
|
25,865
|
25,922
|
||||||
Series 2686, Cl. CD, 4.50%, 2/1/17
|
1,558
|
1,557
|
||||||
Series 3019, Cl. MD, 4.75%, 1/1/31
|
29,685
|
29,838
|
||||||
Series 3025, Cl. SJ, 23.73%, 8/15/353
|
16,169
|
23,122
|
||||||
Series 3094, Cl. HS, 23.363%, 6/15/343
|
51,084
|
69,165
|
||||||
Series 3242, Cl. QA, 5.50%, 3/1/30
|
29,030
|
29,156
|
||||||
Series 3822, Cl. JA, 5%, 6/1/40
|
192,669
|
208,650
|
||||||
Series 3848, Cl. WL, 4%, 4/1/40
|
139,625
|
147,583
|
||||||
Series R001, Cl. AE, 4.375%, 4/1/15
|
2,162
|
2,162
|
||||||
Federal Home Loan Mortgage Corp.,
|
||||||||
Interest-Only Stripped Mtg.-Backed Security:
|
||||||||
Series 183, Cl. IO, 15.226%, 4/1/276
|
76,632
|
12,505
|
||||||
Series 192, Cl. IO, 13.427%, 2/1/286
|
20,693
|
3,957
|
||||||
Series 2130, Cl. SC, 50.333%, 3/15/296
|
60,576
|
12,349
|
||||||
Series 243, Cl. 6, 0.377%, 12/15/326
|
61,011
|
11,082
|
||||||
Series 2527, Cl. SG, 10.321%, 2/15/326
|
2,065
|
22
|
||||||
Series 2531, Cl. ST, 56.618%, 2/15/306
|
6,239
|
192
|
||||||
Series 2796, Cl. SD, 62.144%, 7/15/266
|
90,570
|
17,786
|
||||||
Series 2802, Cl. AS, 60.971%, 4/15/336
|
51,960
|
3,724
|
||||||
Series 2920, Cl. S, 63.682%, 1/15/356
|
378,768
|
64,194
|
||||||
Series 3110, Cl. SL, 99.999%, 2/15/266
|
54,389
|
6,971
|
||||||
Series 3451, Cl. SB, 20.751%, 5/15/386
|
517,965
|
61,740
|
||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.821%, 6/1/267
|
20,847
|
19,097
|
||||||
Federal National Mortgage Assn.:
|
||||||||
3.50%, 1/1/275
|
1,225,000
|
1,281,273
|
||||||
4%, 1/1/425
|
2,095,000
|
2,201,387
|
||||||
4.50%, 1/1/27-1/1/425
|
3,547,000
|
3,776,598
|
||||||
5%, 1/1/425
|
2,760,000
|
2,982,094
|
||||||
5.50%, 1/1/27-1/1/425
|
1,499,000
|
1,631,830
|
||||||
6%, 11/25/17-3/1/37
|
418,405
|
459,013
|
||||||
6%, 1/1/425
|
1,000,000
|
1,101,250
|
||||||
6.50%, 5/25/17-10/25/19
|
229,251
|
250,603
|
||||||
6.50%, 1/1/425
|
499,000
|
555,294
|
||||||
7%, 10/25/35
|
18,922
|
21,619
|
||||||
8.50%, 7/1/32
|
3,152
|
3,854
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
FHLMC/FNMA/FHLB/Sponsored Continued
|
||||||||
Federal National Mortgage Assn., 15 yr.:
|
||||||||
3%, 1/1/275
|
$
|
2,280,000
|
$
|
2,355,169
|
||||
4%, 1/1/275
|
115,000
|
121,307
|
||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
|
||||||||
Conduit Multiclass Pass-Through Certificates:
|
||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28
|
54,697
|
61,573
|
||||||
Trust 2003-130, Cl. CS, 13.513%, 12/25/333
|
42,689
|
49,558
|
||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23
|
662,000
|
737,095
|
||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20
|
326,057
|
349,259
|
||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17
|
54,523
|
55,002
|
||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28
|
27,028
|
27,105
|
||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28
|
18,021
|
18,055
|
||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29
|
20,023
|
20,135
|
||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35
|
250,000
|
304,167
|
||||||
Trust 2006-46, Cl. SW, 23.123%, 6/25/363
|
69,120
|
96,509
|
||||||
Trust 2006-50, Cl. KS, 23.124%, 6/25/363
|
49,542
|
69,129
|
||||||
Trust 2007-42, Cl. A, 6%, 2/1/33
|
168,639
|
176,745
|
||||||
Trust 2009-36, Cl. FA, 1.234%, 6/25/373
|
174,419
|
176,597
|
||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41
|
89,607
|
94,849
|
||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40
|
137,035
|
148,515
|
||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
|
||||||||
Trust 2001-65, Cl. S, 36.947%, 11/25/316
|
151,986
|
27,544
|
||||||
Trust 2001-81, Cl. S, 31.823%, 1/25/326
|
38,164
|
7,547
|
||||||
Trust 2002-47, Cl. NS, 34.496%, 4/25/326
|
98,822
|
18,863
|
||||||
Trust 2002-51, Cl. S, 34.75%, 8/25/326
|
90,742
|
17,323
|
||||||
Trust 2002-52, Cl. SD, 41.24%, 9/25/326
|
116,437
|
23,287
|
||||||
Trust 2002-77, Cl. SH, 41.717%, 12/18/326
|
51,779
|
10,121
|
||||||
Trust 2002-84, Cl. SA, 40.33%, 12/25/326
|
141,467
|
24,450
|
||||||
Trust 2003-33, Cl. SP, 40.27%, 5/25/336
|
159,728
|
26,061
|
||||||
Trust 2003-4, Cl. S, 36.563%, 2/25/336
|
91,758
|
16,127
|
||||||
Trust 2003-89, Cl. XS, 40.735%, 11/25/326
|
14,820
|
745
|
||||||
Trust 2004-54, Cl. DS, 51.343%, 11/25/306
|
93,650
|
17,593
|
||||||
Trust 2004-56, Cl. SE, 16.111%, 10/25/336
|
88,670
|
12,452
|
||||||
Trust 2005-40, Cl. SA, 60.45%, 5/25/356
|
208,785
|
37,179
|
||||||
Trust 2005-71, Cl. SA, 61.197%, 8/25/256
|
240,150
|
33,670
|
||||||
Trust 2005-93, Cl. SI, 18.704%, 10/25/356
|
111,868
|
16,511
|
||||||
Trust 2006-129, Cl. SM, 28.813%, 1/25/376
|
430,135
|
61,627
|
||||||
Trust 2008-55, Cl. SA, 25.433%, 7/25/386
|
274,486
|
30,469
|
||||||
Trust 2008-67, Cl. KS, 48.433%, 8/25/346
|
184,515
|
13,448
|
||||||
Trust 222, Cl. 2, 25.073%, 6/1/236
|
164,360
|
30,934
|
||||||
Trust 252, Cl. 2, 36.675%, 11/1/236
|
140,553
|
25,828
|
||||||
Trust 319, Cl. 2, 6.073%, 2/1/326
|
34,942
|
6,325
|
||||||
Trust 320, Cl. 2, 11.724%, 4/1/326
|
30,819
|
5,379
|
||||||
Trust 321, Cl. 2, 1.47%, 4/1/326
|
374,769
|
67,753
|
||||||
Trust 331, Cl. 9, 13.163%, 2/1/336
|
107,940
|
21,224
|
||||||
Trust 334, Cl. 17, 20.772%, 2/1/336
|
71,306
|
15,730
|
||||||
Trust 339, Cl. 12, 2.516%, 7/1/336
|
104,774
|
19,994
|
||||||
Trust 339, Cl. 7, 4.929%, 7/1/336
|
288,863
|
41,184
|
||||||
Trust 343, Cl. 13, 10.169%, 9/1/336
|
100,844
|
18,759
|
||||||
Trust 345, Cl. 9, 0%, 1/1/346,8
|
133,807
|
17,316
|
||||||
Trust 351, Cl. 10, 0.79%, 4/1/346
|
13,778
|
2,010
|
||||||
Trust 351, Cl. 8, 1.45%, 4/1/346
|
47,243
|
6,964
|
||||||
Trust 356, Cl. 10, 1.267%, 6/1/356
|
38,875
|
5,665
|
||||||
Trust 356, Cl. 12, 1.975%, 2/1/356
|
23,093
|
3,366
|
||||||
Trust 362, Cl. 13, 3.439%, 8/1/356
|
114,126
|
18,303
|
||||||
Trust 364, Cl. 16, 0.173%, 9/1/356
|
101,337
|
16,914
|
||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.29%, 9/25/237
|
55,768
|
50,469
|
||||||
22,670,258
|
||||||||
GNMA/Guaranteed—0.4%
|
||||||||
Government National Mortgage Assn.:
|
||||||||
7%, 1/30/24
|
75,147
|
87,047
|
||||||
7.50%, 1/30/23-6/30/24
|
74,042
|
83,962
|
||||||
8%, 5/30/17
|
24,600
|
27,312
|
||||||
8.50%, 8/1/17-12/15/17
|
19,300
|
21,790
|
||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
|
||||||||
Series 2001-21, Cl. SB, 91.414%, 1/16/276
|
108,842
|
21,435
|
||||||
Series 2002-15, Cl. SM, 82.482%, 2/16/326
|
125,400
|
23,276
|
||||||
Series 2002-76, Cl. SY, 83.146%, 12/16/266
|
272,168
|
55,064
|
||||||
Series 2004-11, Cl. SM, 73.937%, 1/17/306
|
100,051
|
22,803
|
||||||
Series 2007-17, Cl. AI, 21.009%, 4/16/376
|
339,038
|
63,590
|
||||||
406,279
|
||||||||
Other Agency—0.2%
|
||||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.834%, 12/8/203
|
210,518
|
211,373
|
||||||
Non-Agency—4.0%
|
||||||||
Commercial—3.2%
|
||||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49
|
160,000
|
174,495
|
||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.622%, 6/1/493
|
90,000
|
96,888
|
||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/442
|
31,363
|
31,291
|
||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.072%, 12/1/493
|
160,000
|
178,444
|
||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49
|
135,000
|
143,737
|
||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36
|
102,372
|
56,080
|
||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/462
|
136,765
|
140,811
|
||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
Commercial Continued
|
||||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.858%, 9/1/202,6
|
$
|
1,072,068
|
$
|
80,572
|
||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35
|
106,458
|
103,862
|
||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37
|
95,158
|
62,428
|
||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.857%, 11/1/373
|
69,236
|
42,262
|
||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49
|
230,000
|
249,153
|
||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39
|
115,000
|
108,439
|
||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44
|
86,830
|
88,786
|
||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35
|
134,558
|
124,148
|
||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.834%, 5/25/353
|
123,339
|
83,984
|
||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates:
|
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462
|
102,362
|
102,810
|
||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/432
|
165,000
|
171,758
|
||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/494
|
50,110
|
50,591
|
||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49
|
165,000
|
170,495
|
||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49
|
20,000
|
21,705
|
||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40
|
205,000
|
225,475
|
||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34
|
203,824
|
209,224
|
||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.879%, 6/1/493
|
115,000
|
108,733
|
||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48
|
40,000
|
43,536
|
||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46
|
120,000
|
132,172
|
||||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/432
|
83,791
|
86,974
|
||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.719%, 2/1/353
|
67,325
|
59,363
|
||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.82%, 3/1/446
|
1,309,891
|
116,356
|
||||||
3,264,572
|
||||||||
Multifamily—0.2%
|
||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.689%, 3/25/363
|
226,883
|
181,426
|
||||||
Other—0.1%
|
||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39
|
145,000
|
157,542
|
||||||
Residential—0.5%
|
||||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.866%, 6/1/343
|
128,623
|
113,717
|
||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35
|
110,164
|
86,500
|
||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33
|
54,608
|
56,669
|
||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.625%, 9/1/343
|
107,311
|
102,294
|
||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35
|
107,303
|
103,212
|
||||||
462,392
|
||||||||
Total Mortgage-Backed Obligations
(Cost $26,567,738)
|
27,353,842
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
U.S. Government Obligations—0.7%
|
||||||||
Federal Home Loan Mortgage Corp. Nts.:
|
||||||||
2%, 8/25/16
|
$
|
40,000
|
$
|
41,659
|
||||
2.50%, 5/27/16
|
60,000
|
63,638
|
||||||
5%, 2/16/17
|
65,000
|
76,846
|
||||||
5.25%, 4/18/16
|
105,000
|
123,862
|
||||||
5.50%, 7/18/16
|
65,000
|
77,624
|
||||||
Federal National Mortgage Assn. Nts.:
|
||||||||
2.375%, 4/11/16
|
110,000
|
116,387
|
||||||
4.875%, 12/15/16
|
47,000
|
55,447
|
||||||
5%, 3/15/16
|
70,000
|
81,683
|
||||||
5.375%, 6/12/17
|
46,000
|
55,672
|
||||||
Total U.S. Government Obligations
(Cost $655,958)
|
692,818
|
|||||||
Non-Convertible Corporate Bonds and Notes—18.0%
|
||||||||
Consumer Discretionary—3.0%
|
||||||||
Automobiles—0.3%
|
||||||||
Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/142
|
74,000
|
73,657
|
||||||
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31
|
43,000
|
60,201
|
||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21
|
115,000
|
120,030
|
||||||
253,888
|
||||||||
Diversified Consumer Services—0.1%
|
||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15
|
110,000
|
118,800
|
||||||
Hotels, Restaurants & Leisure—0.3%
|
||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152
|
171,000
|
183,299
|
||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16
|
122,000
|
137,283
|
||||||
320,582
|
||||||||
Household Durables—0.4%
|
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22
|
98,000
|
100,695
|
||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13
|
107,000
|
112,241
|
||||||
Whirlpool Corp.:
|
||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13
|
44,000
|
45,744
|
||||||
8% Sr. Unsec. Nts., 5/1/12
|
85,000
|
86,906
|
||||||
345,586
|
||||||||
Leisure Equipment & Products—0.1%
|
||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13
|
110,000
|
115,620
|
||||||
Media—1.2%
|
||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22
|
67,000
|
95,612
|
||||||
Comcast Corp., 6.40% Sr. Unsec. Nts., 3/1/40
|
25,000
|
31,131
|
||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18
|
92,000
|
101,660
|
||||||
DIRECTV Holdings LLC/DIRECTV
|
||||||||
Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41
|
87,000
|
100,484
|
||||||
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21
|
99,000
|
107,168
|
||||||
Historic TW, Inc., 9.125% Debs., 1/15/13
|
37,000
|
39,907
|
||||||
Interpublic Group of Cos., Inc. (The):
|
||||||||
6.25% Sr. Unsec. Nts., 11/15/14
|
40,000
|
42,700
|
||||||
10% Sr. Unsec. Nts., 7/15/17
|
126,000
|
144,585
|
||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14
|
102,000
|
114,750
|
||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41
|
64,000
|
73,894
|
||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33
|
59,000
|
77,438
|
||||||
Time Warner, Inc., 4% Sr. Unsec.
|
||||||||
Unsub. Nts., 1/15/22
|
99,000
|
102,284
|
||||||
Virgin Media Secured Finance plc:
|
||||||||
5.25% Sr. Sec. Nts., 1/15/21
|
63,000
|
66,843
|
||||||
6.50% Sr. Sec. Nts., 1/15/18
|
135,000
|
144,113
|
||||||
1,242,569
|
||||||||
Multiline Retail—0.3%
|
||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21
|
62,000
|
63,900
|
||||||
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14
|
164,000
|
174,571
|
||||||
Target Corp., 7% Bonds, 1/15/38
|
23,000
|
32,204
|
||||||
270,675
|
||||||||
Specialty Retail—0.3%
|
||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21
|
98,000
|
104,370
|
||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20
|
115,000
|
116,438
|
||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/192
|
105,000
|
110,250
|
||||||
331,058
|
||||||||
Consumer Staples—1.2%
|
||||||||
Beverages—0.2%
|
||||||||
Anheuser-Busch Inbev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19
|
54,000
|
70,018
|
||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14
|
27,000
|
29,545
|
||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
Beverages Continued
|
||||||||
Pernod-Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/222
|
$
|
104,000
|
$
|
109,125
|
||||
208,688
|
||||||||
Food & Staples Retailing—0.2%
|
||||||||
CVS Caremark Corp., 6.125% Sr. Unsec. Unsub. Nts., 9/15/39
|
39,000
|
47,542
|
||||||
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40
|
31,000
|
31,878
|
||||||
Kroger Co. (The), 5% Sr. Nts., 4/15/13
|
97,000
|
101,518
|
||||||
180,938
|
||||||||
Food Products—0.4%
|
||||||||
Bunge Ltd. Finance Corp.:
|
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14
|
45,000
|
47,229
|
||||||
8.50% Sr. Unsec. Nts., 6/15/19
|
50,000
|
60,932
|
||||||
Kraft Foods, Inc.:
|
||||||||
6% Sr. Unsec. Nts., 2/11/13
|
99,000
|
104,337
|
||||||
6.50% Sr. Unsec. Unsub. Nts., 2/9/40
|
59,000
|
76,891
|
||||||
TreeHouse Foods, Inc., 7.75%
|
||||||||
Sr. Unsec. Nts., 3/1/18
|
113,000
|
122,605
|
||||||
411,994
|
||||||||
Household Products—0.1%
|
||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/212
|
113,000
|
119,101
|
||||||
Tobacco—0.3%
|
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39
|
85,000
|
132,463
|
||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41
|
72,000
|
75,796
|
||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13
|
105,000
|
112,664
|
||||||
320,923
|
||||||||
Energy—2.4%
|
||||||||
Energy Equipment & Services—0.6%
|
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21
|
115,000
|
119,940
|
||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18
|
139,000
|
155,435
|
||||||
Precision Drilling Corp.:
|
||||||||
6.50% Sr. Unsec. Nts., 12/15/212
|
50,000
|
51,250
|
||||||
6.625% Sr. Unsec. Nts., 11/15/20
|
48,000
|
49,320
|
||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17
|
119,000
|
125,225
|
||||||
Weatherford International Ltd.
|
||||||||
Bermuda, 5.125% Sr. Unsec.
|
||||||||
Unsub. Nts., 9/15/20
|
117,000
|
121,754
|
||||||
622,924
|
||||||||
Oil, Gas & Consumable Fuels—1.8%
|
||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40
|
70,000
|
78,033
|
||||||
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/212
|
75,000
|
77,433
|
||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19
|
98,000
|
102,900
|
||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/132
|
105,000
|
111,445
|
||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17
|
105,000
|
112,350
|
||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20
|
158,000
|
174,870
|
||||||
Energy Transfer Partners LP, 4.65% Sr. Unsec. Unsub. Nts., 6/1/21
|
84,000
|
82,410
|
||||||
EQT Corp., 4.875% Sr. Unsec. Unsub. Nts., 11/15/21
|
64,000
|
64,705
|
||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13
|
183,000
|
192,964
|
||||||
Marathon Petroleum Corp., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21
|
54,000
|
56,495
|
||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20
|
96,000
|
103,200
|
||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37
|
118,000
|
125,185
|
||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19
|
102,000
|
114,240
|
||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142
|
60,000
|
64,500
|
||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152
|
188,000
|
185,950
|
||||||
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12
|
104,000
|
104,678
|
||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/212
|
80,000
|
81,809
|
||||||
1,833,167
|
||||||||
Financials—5.5%
|
||||||||
Capital Markets—1.3%
|
||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192
|
195,000
|
206,581
|
||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34
|
108,000
|
91,532
|
||||||
Goldman Sachs Group, Inc. (The):
|
||||||||
5.25% Sr. Unsec. Nts., 7/27/21
|
160,000
|
156,318
|
||||||
6.25% Sr. Nts., 2/1/41
|
101,000
|
99,241
|
||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/212
|
152,000
|
140,325
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Capital Markets Continued
|
||||||||
Morgan Stanley, 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17
|
$
|
345,000
|
$
|
333,312
|
||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16
|
107,000
|
104,534
|
||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12
|
117,000
|
118,493
|
||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13
|
45,000
|
44,622
|
||||||
1,294,958
|
||||||||
Commercial Banks—1.0%
|
||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/122
|
124,000
|
126,175
|
||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37
|
208,000
|
204,880
|
||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353
|
250,000
|
208,750
|
||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202
|
84,000
|
70,376
|
||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13
|
71,000
|
74,017
|
||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12
|
110,000
|
112,704
|
||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K9
|
78,000
|
83,948
|
||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14
|
146,000
|
154,916
|
||||||
1,035,766
|
||||||||
Consumer Finance—0.5%
|
||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13
|
106,000
|
110,842
|
||||||
American Express Credit Corp., 2.80% Sr. Unsec. Unsub. Nts., 9/19/16
|
103,000
|
103,641
|
||||||
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21
|
100,000
|
103,069
|
||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16
|
150,000
|
146,026
|
||||||
463,578
|
||||||||
Diversified Financial Services—0.9%
|
||||||||
Bank of America Corp., 3.75% Sr. Unsec. Unsub. Nts., 7/12/16
|
115,000
|
106,611
|
||||||
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17
|
327,000
|
349,502
|
||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/673,4
|
147,000
|
104,738
|
||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132
|
50,000
|
44,230
|
||||||
JPMorgan Chase & Co.:
|
||||||||
5.40% Sr. Unsec. Nts., 1/6/42
|
30,000
|
31,364
|
||||||
7.90% Perpetual Bonds, Series 19
|
183,000
|
195,496
|
||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38
|
95,000
|
90,379
|
||||||
922,320
|
||||||||
Insurance—1.5%
|
||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40
|
29,000
|
34,759
|
||||||
CNA Financial Corp.:
|
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21
|
93,000
|
95,039
|
||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20
|
55,000
|
56,575
|
||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/122
|
105,000
|
107,331
|
||||||
Hartford Financial Services Group, Inc. (The), 6.625% Sr. Unsec. Unsub. Nts., 3/30/40
|
68,000
|
67,587
|
||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16
|
109,000
|
101,216
|
||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/212
|
164,000
|
160,943
|
||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67
|
222,000
|
186,480
|
||||||
Prudential Financial, Inc., 5.375% Sr. Unsec. Unsub. Nts., 6/21/20
|
189,000
|
202,550
|
||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,9
|
218,000
|
186,393
|
||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20
|
71,000
|
73,207
|
||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16
|
116,000
|
117,949
|
||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/373,4
|
122,000
|
110,410
|
||||||
1,500,439
|
||||||||
Real Estate Investment Trusts—0.3%
|
||||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12
|
57,000
|
57,368
|
||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12
|
26,000
|
26,000
|
||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13
|
106,000
|
110,902
|
||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12
|
43,000
|
43,032
|
||||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/122
|
108,000
|
110,677
|
||||||
347,979
|
||||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
Health Care—0.3%
|
||||||||
Biotechnology—0.1%
|
||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40
|
$
|
70,000
|
$
|
77,177
|
||||
Health Care Providers & Services—0.1%
|
||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41
|
59,000
|
75,552
|
||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40
|
70,000
|
75,627
|
||||||
151,179
|
||||||||
Pharmaceuticals—0.1%
|
||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182
|
120,000
|
124,050
|
||||||
Industrials—1.3%
|
||||||||
Aerospace & Defense—0.2%
|
||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16
|
110,000
|
113,300
|
||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18
|
100,000
|
110,000
|
||||||
223,300
|
||||||||
Commercial Services & Supplies—0.2%
|
||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17
|
109,000
|
118,810
|
||||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16
|
100,000
|
100,625
|
||||||
219,435
|
||||||||
Industrial Conglomerates—0.4%
|
||||||||
General Electric Capital Corp.:
|
||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12
|
105,000
|
106,285
|
||||||
4.65% Sr. Unsec. Nts., 10/17/21
|
99,000
|
103,486
|
||||||
5.25% Sr. Unsec. Nts., 10/19/12
|
15,000
|
15,528
|
||||||
6.375% Unsec. Sub. Bonds, 11/15/67
|
205,000
|
202,438
|
||||||
427,737
|
||||||||
Machinery—0.3%
|
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/162
|
105,000
|
108,675
|
||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21
|
47,000
|
50,248
|
||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/172
|
94,000
|
101,990
|
||||||
260,913
|
||||||||
Professional Services—0.0%
|
||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20
|
17,000
|
17,638
|
||||||
Road & Rail—0.2%
|
||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41
|
30,000
|
34,044
|
||||||
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18
|
90,000
|
99,450
|
||||||
133,494
|
||||||||
Information Technology—0.8%
|
||||||||
Communications Equipment—0.1%
|
||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40
|
34,000
|
38,516
|
||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41
|
45,000
|
49,302
|
||||||
87,818
|
||||||||
Computers & Peripherals—0.2%
|
||||||||
Hewlett-Packard Co.:
|
||||||||
2.35% Sr. Unsec. Unsub. Nts., 3/15/15
|
106,000
|
105,584
|
||||||
4.65% Sr. Unsec. Nts., 12/9/21
|
82,000
|
86,655
|
||||||
192,239
|
||||||||
Electronic Equipment & Instruments—0.2%
|
||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15
|
210,000
|
210,495
|
||||||
Office Electronics—0.1%
|
||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13
|
107,000
|
112,377
|
||||||
Semiconductors & Semiconductor Equipment—0.1%
|
||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18
|
76,000
|
87,731
|
||||||
Software—0.1%
|
||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20
|
127,000
|
127,887
|
||||||
Materials—1.3%
|
||||||||
Chemicals—0.5%
|
||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41
|
48,000
|
59,644
|
||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15
|
182,000
|
187,447
|
||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17
|
100,000
|
112,000
|
||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40
|
68,000
|
83,188
|
||||||
442,279
|
||||||||
Containers & Packaging—0.1%
|
||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17
|
87,000
|
91,847
|
||||||
Metals & Mining—0.6%
|
||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17
|
160,000
|
170,180
|
||||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19
|
151,000
|
166,855
|
||||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12
|
106,000
|
110,055
|
||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15
|
7,000
|
7,629
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Metals & Mining Continued
|
||||||||
Xstrata Canada Corp.:
|
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15
|
$
|
60,000
|
$
|
65,216
|
||||
6% Sr. Unsec. Unsub. Nts., 10/15/15
|
87,000
|
93,809
|
||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12
|
28,000
|
28,848
|
||||||
642,592
|
||||||||
Paper & Forest Products—0.1%
|
||||||||
International Paper Co., 4.75% Sr. Unsec. Unsub. Nts., 2/15/22
|
84,000
|
89,429
|
||||||
Telecommunication Services—1.0%
|
||||||||
Diversified Telecommunication Services—0.7%
|
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38
|
116,000
|
142,657
|
||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30
|
67,000
|
94,539
|
||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39
|
39,000
|
38,322
|
||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17
|
110,000
|
113,025
|
||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15
|
108,000
|
120,245
|
||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38
|
65,000
|
82,651
|
||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17
|
94,000
|
102,225
|
||||||
693,664
|
||||||||
Wireless Telecommunication Services—0.3%
|
||||||||
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16
|
170,000
|
170,414
|
||||||
American Tower Corp.:
|
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20
|
25,000
|
25,080
|
||||||
7% Sr. Unsec. Nts., 10/15/17
|
78,000
|
88,211
|
||||||
283,705
|
||||||||
Utilities—1.2%
|
||||||||
Electric Utilities—1.0%
|
||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/122
|
99,000
|
100,797
|
||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17
|
76,000
|
78,327
|
||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39
|
66,000
|
74,021
|
||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13
|
115,000
|
116,696
|
||||||
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41
|
59,000
|
63,621
|
||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12
|
110,000
|
111,566
|
||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22
|
96,000
|
123,169
|
||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/212
|
156,000
|
163,830
|
||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/192
|
115,000
|
150,995
|
||||||
983,022
|
||||||||
Energy Traders—0.1%
|
||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13
|
104,000
|
111,390
|
||||||
Multi-Utilities—0.1%
|
||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20
|
96,000
|
101,259
|
||||||
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41
|
26,000
|
26,639
|
||||||
127,898
|
||||||||
Total Non-Convertible Corporate
Bonds and Notes (Cost $17,816,794)
|
18,180,849
|
|||||||
Shares
|
||||||||
Investment Company—15.5%
|
||||||||
Oppenheimer Institutional Money
|
||||||||
Market Fund, Cl. E, 0.20%10,11
(Cost $15,675,118)
|
15,675,118
|
15,675,118
|
||||||
Total Investments, at Value
(Cost $114,935,872)
|
115.3
|
%
|
116,471,301
|
|||||
Liabilities in Excess of Other Assets
|
(15.3
|
)
|
(15,469,507
|
)
|
||||
Net Assets
|
100.0
|
%
|
$
|
101,001,794
|
||||
* |
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
||||||||||||||
1. |
Non-income producing security.
|
||||||||||||||
2. |
Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $5,588,956 or 5.53% of the Fund’s net assets as of December 30, 2011.
|
||||||||||||||
3. |
Represents the current interest rate for a variable or increasing rate security.
|
||||||||||||||
4. |
Restricted security. The aggregate value of restricted securities as of December 30, 2011 was $469,449, which represents 0.46% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows:
|
||||||||||||||
Unrealized
|
|||||||||||||||
Acquisition
|
Appreciation
|
||||||||||||||
Security
|
Dates
|
Cost
|
Value
|
(Depreciation)
|
|||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts.,
|
|||||||||||||||
Series 2011-3A, Cl. C, 4.03%, 12/15/41
|
11/2/11
|
$
|
97,992
|
$
|
97,805
|
$
|
(187
|
)
|
|||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67
|
1/5/11-10/11/11
|
122,783
|
104,738
|
(18,045
|
)
|
||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.,
|
|||||||||||||||
Commercial Mtg. Pass-Through Certificates,
|
|||||||||||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49
|
7/14/10
|
49,483
|
50,591
|
1,108
|
|||||||||||
Santander Drive Auto Receivables Trust 2011-S1A,
|
|||||||||||||||
Automobile Receivables Nts., Series 2011-S1A,
|
|||||||||||||||
Cl. D, 3.10%, 5/15/17
|
2/4/11-4/14/11
|
106,968
|
105,905
|
(1,063
|
)
|
||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37
|
2/24/11-7/26/11
|
123,010
|
110,410
|
(12,600
|
)
|
||||||||||
$
|
500,236
|
$
|
469,449
|
$
|
(30,787
|
)
|
|||||||||
5. |
When-issued security or delayed delivery to be delivered and settled after December 30, 2011. See Note 1 of the accompanying Notes.
|
|||||||||||||||||
6. |
Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $1,296,283 or 1.28% of the Fund’s net assets as of December 30, 2011.
|
|||||||||||||||||
7. |
Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $69,566 or 0.07% of the Fund’s net assets as of December 30, 2011.
|
|||||||||||||||||
8. |
The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
|
|||||||||||||||||
9. |
This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.
|
|||||||||||||||||
10. |
Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
|
|||||||||||||||||
Shares
|
Gross
|
Gross
|
Shares
|
|||||||||||||||
December 31, 2010
|
Additions
|
Reductions
|
December 30, 2011
|
|||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
17,175,856
|
50,534,844
|
52,035,582
|
15,675,118
|
||||||||||||||
Value
|
Income
|
|||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
$
|
15,675,118
|
$
|
32,755
|
||||||||||||||
11. Rate shown is the 7-day yield as of December 30, 2011.
|
1)
|
Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
|
||
2)
|
Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
|
||
3)
|
Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
|
Level 3—
|
||||||||||||||||
Level 1—
|
Level 2—
|
Significant
|
||||||||||||||
Unadjusted
|
Other Significant
|
Unobservable
|
||||||||||||||
Quoted Prices
|
Observable Inputs
|
Inputs
|
Value
|
|||||||||||||
Assets Table
|
||||||||||||||||
Investments, at Value:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
6,079,474
|
$
|
—
|
$
|
—
|
$
|
6,079,474
|
||||||||
Consumer Staples
|
3,610,330
|
—
|
—
|
3,610,330
|
||||||||||||
Energy
|
7,275,065
|
—
|
—
|
7,275,065
|
||||||||||||
Financials
|
10,827,563
|
—
|
—
|
10,827,563
|
||||||||||||
Health Care
|
7,317,976
|
—
|
—
|
7,317,976
|
||||||||||||
Industrials
|
3,177,801
|
—
|
—
|
3,177,801
|
||||||||||||
Information Technology
|
4,462,880
|
—
|
—
|
4,462,880
|
||||||||||||
Materials
|
2,399,853
|
—
|
—
|
2,399,853
|
||||||||||||
Telecommunication Services
|
1,496,002
|
—
|
—
|
1,496,002
|
||||||||||||
Utilities
|
3,635,884
|
—
|
—
|
3,635,884
|
||||||||||||
Asset-Backed Securities
|
—
|
4,285,846
|
—
|
4,285,846
|
||||||||||||
Mortgage-Backed Obligations
|
—
|
27,353,842
|
—
|
27,353,842
|
||||||||||||
U.S. Government Obligations
|
—
|
692,818
|
—
|
692,818
|
||||||||||||
Non-Convertible Corporate Bonds and Notes
|
—
|
18,180,849
|
—
|
18,180,849
|
||||||||||||
Investment Company
|
15,675,118
|
—
|
—
|
15,675,118
|
||||||||||||
Total Investments, at Value
|
65,957,946
|
50,513,355
|
—
|
116,471,301
|
||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
8,435
|
—
|
—
|
8,435
|
||||||||||||
Foreign currency exchange contracts
|
—
|
114
|
—
|
114
|
||||||||||||
Total Assets
|
$
|
65,966,381
|
$
|
50,513,469
|
$
|
—
|
$
|
116,479,850
|
||||||||
Liabilities Table
|
||||||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
$
|
(5,489
|
)
|
$
|
—
|
$
|
—
|
$
|
(5,489
|
)
|
||||||
Foreign currency exchange contracts
|
—
|
(4,775
|
)
|
—
|
(4,775
|
)
|
||||||||||
Total Liabilities
|
$
|
(5,489
|
)
|
$
|
(4,775
|
)
|
$
|
—
|
$
|
(10,264
|
)
|
|||||
Contract
|
||||||||||||||||||
Counterparty/
|
Amount
|
Expiration
|
Unrealized
|
Unrealized
|
||||||||||||||
Contract Description
|
Buy/Sell
|
(000’s)
|
Dates
|
Value
|
Appreciation
|
Depreciation
|
||||||||||||
Brown Brothers Harriman
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
20,008 JPY
|
1/6/12
|
$
|
259,944
|
$
|
114
|
$
|
—
|
|||||||||
Bank of America
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
33,665 JPY
|
1/4/12-1/5/12
|
437,415
|
—
|
4,775
|
||||||||||||
$
|
114
|
$
|
4,775
|
|||||||||||||||
Unrealized
|
|||||||||||||||||
Number of
|
Expiration
|
Appreciation
|
|||||||||||||||
Contract Description
|
Buy/Sell
|
Contracts
|
Date
|
Value
|
(Depreciation)
|
||||||||||||
U.S. Long Bonds
|
Buy
|
6
|
3/21/12
|
$
|
868,875
|
$
|
7,807
|
||||||||||
U.S. Treasury Nts., 2 yr.
|
Sell
|
26
|
3/30/12
|
5,734,219
|
(1,175
|
)
|
|||||||||||
U.S. Treasury Nts., 5 yr.
|
Sell
|
16
|
3/30/12
|
1,972,125
|
(7,834
|
)
|
|||||||||||
U.S. Treasury Nts., 10 yr.
|
Sell
|
1
|
3/21/12
|
131,125
|
(1,759
|
)
|
|||||||||||
U.S. Treasury Ultra Bonds
|
Buy
|
13
|
3/21/12
|
2,082,438
|
13,236
|
||||||||||||
$
|
10,275
|
||||||||||||||||
Assets
|
||||
Investments, at value—see accompanying statement of investments:
|
||||
Unaffiliated companies (cost $99,260,754)
|
$
|
100,796,183
|
||
Affiliated companies (cost $15,675,118)
|
15,675,118
|
|||
116,471,301
|
||||
Cash
|
12,614
|
|||
Cash used for collateral on futures
|
118,050
|
|||
Unrealized appreciation on foreign currency exchange contracts
|
114
|
|||
Receivables and other assets:
|
||||
Investments sold (including $411,797 sold on a when-issued or delayed delivery basis)
|
1,109,126
|
|||
Interest, dividends and principal paydowns
|
442,848
|
|||
Shares of capital stock sold
|
16,773
|
|||
Futures margins
|
8,435
|
|||
Other
|
41,224
|
|||
Total assets
|
118,220,485
|
|||
Liabilities
|
||||
Unrealized depreciation on foreign currency exchange contracts
|
4,775
|
|||
Payables and other liabilities:
|
||||
Investments purchased on a when-issued or delayed delivery basis
|
17,131,323
|
|||
Shareholder communications
|
12,805
|
|||
Shares of capital stock redeemed
|
11,817
|
|||
Directors’ compensation
|
9,559
|
|||
Transfer and shareholder servicing agent fees
|
8,617
|
|||
Futures margins
|
5,489
|
|||
Other
|
34,306
|
|||
Total liabilities
|
17,218,691
|
|||
Net Assets
|
$
|
101,001,794
|
||
Composition of Net Assets
|
||||
Par value of shares of capital stock
|
$
|
82,852
|
||
Additional paid-in capital
|
144,699,832
|
|||
Accumulated net investment income
|
1,819,427
|
|||
Accumulated net realized loss on investments and foreign currency transactions
|
(47,144,796
|
)
|
||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies
|
1,544,479
|
|||
Net Assets—applicable to 82,852,109 shares of capital stock outstanding
|
$
|
101,001,794
|
||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share
|
$
|
1.22
|
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
Investment Income
|
||||
Interest
|
$
|
1,675,164
|
||
Dividends:
|
||||
Unaffiliated companies (net of foreign withholding taxes of $24,283)
|
901,465
|
|||
Affiliated companies
|
32,755
|
|||
Total investment income
|
2,609,384
|
|||
Expenses
|
||||
Management fees
|
686,780
|
|||
Transfer and shareholder servicing agent fees
|
109,884
|
|||
Legal, auditing and other professional fees
|
36,998
|
|||
Shareholder communications
|
28,972
|
|||
Custodian fees and expenses
|
17,295
|
|||
Accounting service fees
|
15,000
|
|||
Directors’ compensation
|
12,430
|
|||
Administration service fees
|
1,500
|
|||
Other
|
8,605
|
|||
Total expenses
|
917,464
|
|||
Less waivers and reimbursements of expenses
|
(38,703
|
)
|
||
Net expenses
|
878,761
|
|||
Net Investment Income
|
1,730,623
|
|||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) on:
|
||||
Investments from unaffiliated companies
|
(870,398
|
)
|
||
Closing and expiration of futures contracts
|
639,044
|
|||
Foreign currency transactions
|
88,109
|
|||
Net realized loss
|
(143,245
|
)
|
||
Net change in unrealized appreciation/depreciation on:
|
||||
Investments
|
(860,922
|
)
|
||
Translation of assets and liabilities denominated in foreign currencies
|
(116,740
|
)
|
||
Futures contracts
|
(5,186
|
)
|
||
Net change in unrealized appreciation/depreciation
|
(982,848
|
)
|
||
Net Increase in Net Assets Resulting from Operations
|
$
|
604,530
|
||
1.
|
December 30, 2011 represents the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes.
|
Year Ended
|
Year Ended
|
|||||||
December 30,
|
December 31,
|
|||||||
20111
|
2010
|
|||||||
Operations
|
||||||||
Net investment income
|
$
|
1,730,623
|
$
|
2,928,622
|
||||
Net realized gain (loss)
|
(143,245
|
)
|
17,324,536
|
|||||
Net change in unrealized appreciation/depreciation
|
(982,848
|
)
|
(2,933,812
|
)
|
||||
Net increase in net assets resulting from operations
|
604,530
|
17,319,346
|
||||||
Dividends and/or Distributions to Shareholders
|
||||||||
Dividends from net investment income
|
(3,081,896
|
)
|
(1,974,658
|
)
|
||||
Capital Stock Transactions
|
||||||||
Net decrease in net assets resulting from capital stock transactions
|
(12,019,714
|
)
|
(12,312,911
|
)
|
||||
Net Assets
|
||||||||
Total increase (decrease)
|
(14,497,080
|
)
|
3,031,777
|
|||||
Beginning of period
|
115,498,874
|
112,467,097
|
||||||
End of period (including accumulated net investment income of $1,819,427 and $3,057,913, respectively)
|
$
|
101,001,794
|
$
|
115,498,874
|
||||
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
Year Ended
|
||||||||||||||||||||
December 30,
|
Year Ended December 31,
|
|||||||||||||||||||
20111
|
2010
|
2009
|
2008
|
2007
|
||||||||||||||||
Per Share Operating Data
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
1.25
|
$
|
1.09
|
$
|
0.91
|
$
|
1.53
|
$
|
1.49
|
||||||||||
Income (loss) from investment operations:
|
||||||||||||||||||||
Net investment income2
|
.02
|
.03
|
.03
|
.05
|
.04
|
|||||||||||||||
Net realized and unrealized gain (loss)
|
(.02
|
)
|
.15
|
.15
|
(.63
|
)
|
.04
|
|||||||||||||
Total from investment operations
|
—
|
.18
|
.18
|
(.58
|
)
|
.08
|
||||||||||||||
Dividends and/or distributions to shareholders:
|
||||||||||||||||||||
Dividends from net investment income
|
(.03
|
)
|
(.02
|
)
|
—
|
(.04
|
)
|
(.04
|
)
|
|||||||||||
Net asset value, end of period
|
$
|
1.22
|
$
|
1.25
|
$
|
1.09
|
$
|
0.91
|
$
|
1.53
|
||||||||||
Total Return, at Net Asset Value3
|
0.23
|
%
|
16.70
|
%
|
19.78
|
%
|
(38.65
|
)%
|
5.82
|
%
|
||||||||||
Ratios/Supplemental Data
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
101
|
$
|
115
|
$
|
112
|
$
|
110
|
$
|
216
|
||||||||||
Average net assets (in millions)
|
$
|
110
|
$
|
113
|
$
|
103
|
$
|
170
|
$
|
231
|
||||||||||
Ratios to average net assets:4
|
||||||||||||||||||||
Net investment income
|
1.58
|
%
|
2.59
|
%
|
3.67
|
%
|
3.82
|
%
|
2.84
|
%
|
||||||||||
Total expenses5
|
0.84
|
%
|
0.83
|
%
|
0.79
|
%
|
0.68
|
%
|
0.68
|
%
|
||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
0.80
|
%
|
0.78
|
%
|
0.70
|
%
|
0.68
|
%
|
0.68
|
%
|
||||||||||
Portfolio turnover rate6
|
98
|
%
|
181
|
%
|
144
|
%
|
121
|
%
|
107
|
%
|
1.
|
December 30, 2011 represents the last business day of the Fund’s respective 2011 fiscal year. See Note 1 of the accompanying Notes.
|
|
2.
|
Per share amounts calculated based on the average shares outstanding during the period.
|
|
3.
|
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
|
|
4.
|
Annualized for periods less than one full year.
|
|
5.
|
Total expenses including indirect expenses from affiliated fund were as follows:
|
Year Ended December 30, 2011
|
0.86%
|
|
Year Ended December 31, 2010
|
0.83%
|
|
Year Ended December 31, 2009
|
0.79%
|
|
Year Ended December 31, 2008
|
0.68%
|
|
Year Ended December 31, 2007
|
0.68%
|
6.
|
The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
|
Purchase Transactions
|
Sale Transactions
|
|||||||
Year Ended December 30, 2011
|
$
|
216,775,123
|
$
|
217,461,939
|
||||
Year Ended December 31, 2010
|
$
|
185,632,885
|
$
|
184,250,091
|
||||
Year Ended December 31, 2009
|
$
|
220,453,679
|
$
|
226,017,815
|
||||
Year Ended December 31, 2008
|
$
|
257,388,353
|
$
|
252,164,734
|
||||
Year Ended December 31, 2007
|
$
|
184,746,936
|
$
|
185,640,788
|
When-Issued or Delayed
|
||||
Delivery Basis Transactions
|
||||
Purchased securities
|
$
|
17,131,323
|
||
Sold securities
|
411,797
|
Net Unrealized
|
|||||||||
Appreciation
|
|||||||||
Based on
|
|||||||||
Cost of Securities and
|
|||||||||
Undistributed
|
Undistributed
|
Accumulated
|
Other Investments
|
||||||
Net Investment
|
Long-Term
|
Loss
|
for Federal Income
|
||||||
Income
|
Gain
|
Carryforward1,2,3,4
|
Tax Purposes
|
||||||
$1,824,214
|
$—
|
$
|
47,115,288
|
$
|
1,519,743
|
1. |
As of December 30, 2011, the Fund had $45,730,492 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.
|
|||||||
Expiring
|
||||||||
2016 |
$
|
12,872,283
|
||||||
2017 |
32,858,209
|
|||||||
Total
|
$
|
45,730,492
|
2. |
As of December 30, 2011, the Fund had $1,384,796 of post-October losses available to offset future realized capital gains, if any.
|
||
3. |
During the fiscal year ended December 30, 2011, the Fund utilized $1,106,135 of capital loss carryforward to offset capital gains realized in that fiscal year.
|
||
4. |
During the fiscal year ended December 31, 2010, the Fund utilized $15,703,539 of capital loss carryforward to offset capital gains realized in that fiscal year.
|
Increase to
|
Increase to
|
|||
Accumulated
|
Accumulated Net
|
|||
Net Investment
|
Realized Loss
|
|||
Income
|
on Investments
|
|||
$112,787
|
$
|
112,787
|
Year Ended
|
Year Ended
|
|||||||
December 30, 2011
|
December 31, 2010
|
|||||||
Distributions paid from:
|
||||||||
Ordinary income
|
$
|
3,081,896
|
$
|
1,974,658
|
Federal tax cost of securities
|
$
|
114,955,110
|
||
Federal tax cost of other investments
|
(5,323,573
|
)
|
||
Total federal tax cost
|
$
|
109,631,537
|
||
Gross unrealized appreciation
|
$
|
3,516,485
|
||
Gross unrealized depreciation
|
(1,996,742
|
)
|
||
Net unrealized appreciation
|
$
|
1,519,743
|
||
Year Ended December 30, 2011
|
Year Ended December 31, 2010
|
|||||||||||||||
Shares
|
Amount
|
Shares
|
Amount
|
|||||||||||||
Sold
|
1,446,145
|
$
|
1,784,597
|
2,280,073
|
$
|
2,603,517
|
||||||||||
Dividends and/or distributions reinvested
|
2,445,949
|
3,081,896
|
1,778,971
|
1,974,658
|
||||||||||||
Redeemed
|
(13,569,942
|
)
|
(16,886,207
|
)
|
(14,703,659
|
)
|
(16,891,086
|
)
|
||||||||
Net decrease
|
(9,677,848
|
)
|
$
|
(12,019,714
|
)
|
(10,644,615
|
)
|
$
|
(12,312,911
|
)
|
||||||
Purchases
|
Sales
|
|||||||
Investment securities
|
$
|
85,393,339
|
$
|
94,646,009
|
||||
U.S. government and government agency obligations
|
390,824
|
406,151
|
||||||
To Be Announced (TBA) mortgage-related securities
|
216,775,123
|
217,461,939
|
Fee Schedule
|
||||
Up to $600 million
|
0.625
|
%
|
||
Over $600 million
|
0.450
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||
Derivatives Not
|
Statement of Assets
|
Statement of Assets
|
||||||||
Accounted for as
|
and Liabilities
|
and Liabilities
|
||||||||
Hedging Instruments
|
Location
|
Value
|
Location
|
Value
|
||||||
Interest rate contracts
|
Futures margins
|
$
|
8,435
|
*
|
Futures margins
|
$
|
5,489
|
*
|
||
Foreign exchange contracts
|
Unrealized appreciation on foreign currency exchange contracts
|
114
|
Unrealized depreciation on foreign currency exchange contracts
|
4,775
|
||||||
Total
|
$
|
8,549
|
$
|
10,264
|
||||||
*
|
Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
|
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Derivatives Not
|
Closing and
|
|||||||||||
Accounted for as
|
expiration of
|
Foreign currency
|
||||||||||
Hedging Instruments
|
futures contracts
|
transactions
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(3,152
|
)
|
$
|
(3,152
|
)
|
||||
Interest rate contracts
|
639,044
|
—
|
639,044
|
|||||||||
Total
|
$
|
639,044
|
$
|
(3,152
|
)
|
$
|
635,892
|
|||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Translation of assets
|
||||||||||||
Derivatives Not
|
and liabilities
|
|||||||||||
Accounted for as
|
denominated in
|
|||||||||||
Hedging Instruments
|
Futures contracts
|
foreign currencies
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(4,661
|
)
|
$
|
(4,661
|
)
|
||||
Interest rate contracts
|
(5,186
|
)
|
—
|
(5,186
|
)
|
|||||||
Total
|
$
|
(5,186
|
)
|
$
|
(4,661
|
)
|
$
|
(9,847
|
)
|
|||
Shares
|
Value
|
|||||||
Common Stocks—48.1%
|
||||||||
Consumer Discretionary—6.5%
|
||||||||
Automobiles—0.9%
|
||||||||
Ford Motor Co.1
|
175,370
|
$
|
1,886,981
|
|||||
Household Durables—0.5%
|
||||||||
Mohawk Industries, Inc.1
|
17,780
|
1,064,133
|
||||||
Media—3.8%
|
||||||||
Comcast Corp., Cl. A
|
118,380
|
2,806,790
|
||||||
Jupiter Telecommunications Co. Ltd.
|
3,231
|
3,274,237
|
||||||
Viacom, Inc., Cl. B
|
35,080
|
1,592,983
|
||||||
7,674,010
|
||||||||
Multiline Retail—1.3%
|
||||||||
Target Corp.
|
53,080
|
2,718,758
|
||||||
Consumer Staples—4.0%
|
||||||||
Beverages—2.0%
|
||||||||
Coca-Cola Co. (The)
|
58,860
|
4,118,434
|
||||||
Food & Staples Retailing—1.3%
|
||||||||
Wal-Mart Stores, Inc.
|
45,590
|
2,724,458
|
||||||
Household Products—0.7%
|
||||||||
Church & Dwight Co., Inc.
|
29,050
|
1,329,328
|
||||||
Energy—7.3%
|
||||||||
Energy Equipment & Services—0.4%
|
||||||||
Nabors Industries Ltd.1
|
51,520
|
893,357
|
||||||
Oil, Gas & Consumable Fuels—6.9%
|
||||||||
Apache Corp.
|
12,290
|
1,113,228
|
||||||
Chevron Corp.
|
68,690
|
7,308,612
|
||||||
Exxon Mobil Corp.
|
37,000
|
3,136,120
|
||||||
Penn West Petroleum Ltd.
|
30,730
|
608,454
|
||||||
Royal Dutch Shell plc, ADR
|
26,970
|
1,971,237
|
||||||
14,137,651
|
||||||||
Financials—11.1%
|
||||||||
Capital Markets—1.6%
|
||||||||
Goldman Sachs Group, Inc. (The)
|
35,530
|
3,212,978
|
||||||
Commercial Banks—5.2%
|
||||||||
CIT Group, Inc.1
|
25,970
|
905,574
|
||||||
M&T Bank Corp.
|
20,750
|
1,584,055
|
||||||
U.S. Bancorp
|
158,000
|
4,273,900
|
||||||
Wells Fargo & Co.
|
143,530
|
3,955,687
|
||||||
10,719,216
|
||||||||
Diversified Financial Services—1.3%
|
||||||||
JPMorgan Chase & Co.
|
81,040
|
2,694,580
|
||||||
Insurance—3.0%
|
||||||||
ACE Ltd.
|
40,870
|
2,865,804
|
||||||
MetLife, Inc.
|
107,300
|
3,345,614
|
||||||
6,211,418
|
||||||||
Health Care—5.8%
|
||||||||
Biotechnology—1.0%
|
||||||||
Gilead Sciences, Inc.1
|
49,760
|
2,036,677
|
||||||
Health Care Equipment & Supplies—1.1%
|
||||||||
Medtronic, Inc.
|
57,750
|
2,208,938
|
||||||
Health Care Providers & Services—2.2%
|
||||||||
Humana, Inc.
|
18,400
|
1,612,024
|
||||||
UnitedHealth Group, Inc.
|
40,010
|
2,027,707
|
||||||
WellPoint, Inc.
|
13,700
|
907,625
|
||||||
4,547,356
|
||||||||
Pharmaceuticals—1.5%
|
||||||||
Pfizer, Inc.
|
143,630
|
3,108,153
|
||||||
Industrials—3.0%
|
||||||||
Electrical Equipment—1.3%
|
||||||||
Cooper Industries plc
|
50,210
|
2,718,872
|
||||||
Industrial Conglomerates—1.3%
|
||||||||
Tyco International Ltd.
|
54,600
|
2,550,366
|
||||||
Trading Companies & Distributors—0.4%
|
||||||||
AerCap Holdings NV1
|
73,620
|
831,170
|
||||||
Information Technology—4.7%
|
||||||||
Communications Equipment—1.0%
|
||||||||
Juniper Networks, Inc.1
|
102,000
|
2,081,820
|
||||||
Orbcomm, Inc.1
|
375
|
1,121
|
||||||
2,082,941
|
||||||||
Computers & Peripherals—0.3%
|
||||||||
Hewlett-Packard Co.
|
20,090
|
517,518
|
||||||
Internet Software & Services—0.3%
|
||||||||
VeriSign, Inc.
|
17,710
|
632,601
|
||||||
Semiconductors & Semiconductor Equipment—0.7%
|
||||||||
Xilinx, Inc.
|
45,620
|
1,462,577
|
||||||
Software—2.4%
|
||||||||
Microsoft Corp.
|
107,420
|
2,788,623
|
||||||
Oracle Corp.
|
86,240
|
2,212,056
|
||||||
5,000,679
|
||||||||
Materials—1.5%
|
||||||||
Chemicals—1.1%
|
||||||||
Celanese Corp., Series A
|
13,790
|
610,483
|
||||||
Mosaic Co. (The)
|
35,010
|
1,765,554
|
||||||
2,376,037
|
||||||||
Containers & Packaging—0.4%
|
||||||||
Rock-Tenn Co., Cl. A
|
14,350
|
827,995
|
||||||
Telecommunication Services—1.7%
|
||||||||
Diversified Telecommunication Services—0.7%
|
||||||||
AT&T, Inc.
|
51,330
|
1,552,219
|
Shares
|
Value
|
|||||||
Wireless Telecommunication Services—1.0%
|
||||||||
Vodafone Group plc, Sponsored ADR
|
72,840
|
$
|
2,041,705
|
|||||
Utilities—2.5%
|
||||||||
Electric Utilities—1.6%
|
||||||||
American Electric Power Co., Inc.
|
16,520
|
682,441
|
||||||
Edison International, Inc.
|
65,690
|
2,719,566
|
||||||
3,402,007
|
||||||||
Energy Traders—0.3%
|
||||||||
GenOn Energy, Inc.1
|
208,040
|
542,984
|
||||||
Multi-Utilities—0.6%
|
||||||||
Public Service Enterprise Group, Inc.
|
38,850
|
1,282,439
|
||||||
Total Common Stocks (Cost $95,567,248)
|
99,108,536
|
Principal
|
||||||||
Amount
|
||||||||
Asset-Backed Securities—4.3%
|
||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/132
|
$
|
125,000
|
124,718
|
|||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14
|
30,000
|
30,036
|
||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/152
|
200,000
|
203,361
|
||||||
Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16
|
240,000
|
239,359
|
||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13
|
63,097
|
63,447
|
||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17
|
60,000
|
60,771
|
||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.:
|
||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15
|
70,000
|
70,304
|
||||||
Series 2011-2, Cl. D, 4%, 5/8/17
|
120,000
|
119,838
|
||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17
|
335,000
|
334,498
|
||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables Nts., Series 2011-5, Cl. D, 4.72%, 12/8/17
|
205,000
|
209,733
|
||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13
|
18,188
|
18,197
|
||||||
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15
|
65,000
|
65,140
|
||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.404%, 7/25/363
|
177,363
|
163,486
|
||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152
|
52,768
|
55,340
|
||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15
|
180,000
|
187,736
|
||||||
Citibank Omni Master Trust, Credit Card Receivables:
|
||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182
|
475,000
|
519,207
|
||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182
|
370,000
|
402,724
|
||||||
Series 2009-A8, Cl. A8, 2.378%, 5/16/162,3
|
325,000
|
327,026
|
||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.078%, 1/20/413
|
240,000
|
240,290
|
||||||
Countrywide Home Loans, Asset-Backed Certificates:
|
||||||||
Series 2002-4, Cl. A1, 1.034%, 2/25/333
|
8,285
|
7,957
|
||||||
Series 2005-16, Cl. 2AF2, 5.377%, 5/1/363
|
222,632
|
171,039
|
||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.414%, 6/25/473
|
428,317
|
378,736
|
||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16
|
210,000
|
212,845
|
||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/152
|
104,466
|
104,976
|
||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152
|
290,000
|
290,555
|
||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/132
|
70,000
|
69,769
|
||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/414
|
201,000
|
200,600
|
||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15
|
155,498
|
154,780
|
||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.828%, 9/15/143
|
245,000
|
246,891
|
||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.928%, 12/15/142,3
|
250,000
|
252,743
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Commercial Continued
|
||||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.474%, 12/1/353
|
$
|
153,943
|
$
|
119,433
|
||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/432
|
176,891
|
183,613
|
||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.042%, 11/1/373
|
213,735
|
155,757
|
||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.82%, 3/1/446
|
2,833,135
|
251,663
|
||||||
7,714,702
|
||||||||
Multifamily—0.3%
|
||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.672%, 6/1/363
|
203,226
|
165,839
|
||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.259%, 5/1/373
|
42,477
|
34,372
|
||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.689%, 3/25/363
|
521,619
|
417,110
|
||||||
617,321
|
||||||||
Other—0.2%
|
||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39
|
320,000
|
347,679
|
||||||
Residential—1.0%
|
||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.544%, 5/1/363
|
80,000
|
70,893
|
||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.866%, 6/1/343
|
128,623
|
113,717
|
||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35
|
62,243
|
52,213
|
||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36
|
169,268
|
161,050
|
||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35
|
688,524
|
540,622
|
||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37
|
195,456
|
136,115
|
||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36
|
169,436
|
164,920
|
||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36
|
119,999
|
103,140
|
||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33
|
116,801
|
121,208
|
||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36
|
24,192
|
13,734
|
||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36
|
39,406
|
30,547
|
||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.467%, 5/1/373
|
204,503
|
170,770
|
||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37
|
174,937
|
136,051
|
||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.625%, 9/1/343
|
85,387
|
81,395
|
||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.667%, 10/1/363
|
198,909
|
167,167
|
||||||
2,063,542
|
||||||||
Total Mortgage-Backed Obligations
(Cost $56,907,510)
|
58,107,974
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
U.S. Government Obligations—0.6%
|
||||||||
Federal Home Loan Mortgage Corp. Nts.:
|
||||||||
2%, 8/25/16
|
$
|
65,000
|
$
|
67,696
|
||||
2.50%, 5/27/16
|
100,000
|
106,063
|
||||||
5%, 2/16/17
|
115,000
|
135,958
|
||||||
5.25%, 4/18/16
|
195,000
|
230,030
|
||||||
5.50%, 7/18/16
|
110,000
|
131,364
|
||||||
Federal National Mortgage Assn. Nts.:
|
||||||||
2.375%, 4/11/169
|
190,000
|
201,032
|
||||||
4.875%, 12/15/16
|
160,000
|
188,755
|
||||||
5%, 3/15/169
|
120,000
|
140,028
|
||||||
Total U.S. Government Obligations
(Cost $1,127,545)
|
1,200,926
|
|||||||
Non-Convertible Corporate Bonds and Notes—18.3%
|
||||||||
Consumer Discretionary—3.0%
|
||||||||
Automobiles—0.3%
|
||||||||
Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/142
|
153,000
|
152,291
|
||||||
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31
|
88,000
|
123,203
|
||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21
|
236,000
|
246,321
|
||||||
521,815
|
||||||||
Diversified Consumer Services—0.1%
|
||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15
|
230,000
|
248,400
|
||||||
Hotels, Restaurants & Leisure—0.3%
|
||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152
|
349,000
|
374,101
|
||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16
|
255,000
|
286,944
|
||||||
661,045
|
||||||||
Household Durables—0.3%
|
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22
|
201,000
|
206,528
|
||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13
|
223,000
|
233,922
|
||||||
Whirlpool Corp.:
|
||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13
|
90,000
|
93,567
|
||||||
8% Sr. Unsec. Nts., 5/1/12
|
180,000
|
184,037
|
||||||
718,054
|
||||||||
Leisure Equipment & Products—0.1%
|
||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13
|
215,000
|
225,985
|
||||||
Media—1.3%
|
||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22
|
138,000
|
196,932
|
||||||
Comcast Corp., 6.40% Sr. Unsec. Nts., 3/1/40
|
52,000
|
64,752
|
||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18
|
188,000
|
207,740
|
||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41
|
182,000
|
210,208
|
||||||
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21
|
201,000
|
217,583
|
||||||
Historic TW, Inc., 9.125% Debs., 1/15/13
|
78,000
|
84,128
|
||||||
Interpublic Group of Cos., Inc. (The):
|
||||||||
6.25% Sr. Unsec. Nts., 11/15/14
|
80,000
|
85,400
|
||||||
10% Sr. Unsec. Nts., 7/15/17
|
264,000
|
302,940
|
||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14
|
218,000
|
245,250
|
||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41
|
130,000
|
150,098
|
||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33
|
122,000
|
160,126
|
||||||
Time Warner, Inc., 4% Sr. Unsec. Unsub. Nts., 1/15/22
|
203,000
|
209,734
|
||||||
Virgin Media Secured Finance plc:
|
||||||||
5.25% Sr. Sec. Nts., 1/15/21
|
132,000
|
140,053
|
||||||
6.50% Sr. Sec. Nts., 1/15/18
|
282,000
|
301,035
|
||||||
2,575,979
|
||||||||
Multiline Retail—0.3%
|
||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21
|
127,000
|
130,891
|
||||||
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14
|
336,000
|
357,659
|
||||||
Target Corp., 7% Bonds, 1/15/38
|
46,000
|
64,408
|
||||||
552,958
|
||||||||
Specialty Retail—0.3%
|
||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21
|
198,000
|
210,870
|
||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20
|
240,000
|
243,000
|
||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/192
|
214,000
|
224,700
|
||||||
678,570
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Consumer Staples—1.2%
|
||||||||
Beverages—0.2%
|
||||||||
Anheuser-Busch Inbev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19
|
$
|
111,000
|
$
|
143,926
|
||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14
|
55,000
|
60,185
|
||||||
Pernod-Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/222
|
211,000
|
221,399
|
||||||
425,510
|
||||||||
Food & Staples Retailing—0.2%
|
||||||||
CVS Caremark Corp., 6.125% Sr. Unsec. Unsub. Nts., 9/15/39
|
80,000
|
97,521
|
||||||
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40
|
63,000
|
64,785
|
||||||
Kroger Co. (The), 5% Sr. Nts., 4/15/13
|
199,000
|
208,270
|
||||||
370,576
|
||||||||
Food Products—0.4%
|
||||||||
Bunge Ltd. Finance Corp.:
|
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14
|
29,000
|
30,436
|
||||||
8.50% Sr. Unsec. Nts., 6/15/19
|
155,000
|
188,888
|
||||||
Kraft Foods, Inc.:
|
||||||||
6% Sr. Unsec. Nts., 2/11/13
|
207,000
|
218,160
|
||||||
6.50% Sr. Unsec. Unsub. Nts., 2/9/40
|
120,000
|
156,388
|
||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18
|
240,000
|
260,400
|
||||||
854,272
|
||||||||
Household Products—0.1%
|
||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/212
|
233,000
|
245,581
|
||||||
Tobacco—0.3%
|
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39
|
177,000
|
275,834
|
||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41
|
149,000
|
156,856
|
||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13
|
214,000
|
229,619
|
||||||
662,309
|
||||||||
Energy—2.5%
|
||||||||
Energy Equipment & Services—0.6%
|
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21
|
235,000
|
245,096
|
||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18
|
286,000
|
319,817
|
||||||
Precision Drilling Corp.:
|
||||||||
6.50% Sr. Unsec. Nts., 12/15/212
|
102,000
|
104,550
|
||||||
6.625% Sr. Unsec. Nts., 11/15/20
|
97,000
|
99,668
|
||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17
|
244,000
|
256,764
|
||||||
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20
|
242,000
|
251,833
|
||||||
1,277,728
|
||||||||
Oil, Gas & Consumable Fuels—1.9%
|
||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40
|
145,000
|
161,640
|
||||||
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/212
|
152,000
|
156,930
|
||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19
|
199,000
|
208,950
|
||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/132
|
213,000
|
226,074
|
||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17
|
215,000
|
230,050
|
||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20
|
330,000
|
365,234
|
||||||
Encana Corp., 3.90% Sr. Unsec. Unsub. Nts., 11/15/21
|
79,000
|
79,493
|
||||||
Energy Transfer Partners LP, 4.65% Sr. Unsec. Unsub. Nts., 6/1/21
|
172,000
|
168,744
|
||||||
EQT Corp., 4.875% Sr. Unsec. Unsub. Nts., 11/15/21
|
130,000
|
131,432
|
||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13
|
383,000
|
403,854
|
||||||
Marathon Petroleum Corp., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21
|
110,000
|
115,082
|
||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20
|
195,000
|
209,625
|
||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37
|
245,000
|
259,918
|
||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19
|
212,000
|
237,440
|
||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142
|
140,000
|
150,500
|
||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152
|
393,000
|
388,715
|
||||||
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12
|
214,000
|
215,395
|
||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/212
|
165,000
|
168,731
|
||||||
3,877,807
|
||||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
Financials—5.6%
|
||||||||
Capital Markets—1.3%
|
||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192
|
$
|
405,000
|
$
|
429,052
|
||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34
|
232,000
|
196,624
|
||||||
Goldman Sachs Group, Inc. (The):
|
||||||||
5.25% Sr. Unsec. Nts., 7/27/21
|
326,000
|
318,497
|
||||||
6.25% Sr. Nts., 2/1/41
|
206,000
|
202,412
|
||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/212
|
314,000
|
289,883
|
||||||
Morgan Stanley:
|
||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/202
|
114,000
|
103,789
|
||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17
|
595,000
|
574,843
|
||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16
|
223,000
|
217,861
|
||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12
|
237,000
|
240,025
|
||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13
|
94,000
|
93,210
|
||||||
2,666,196
|
||||||||
Commercial Banks—1.0%
|
||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/122
|
258,000
|
262,526
|
||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37
|
433,000
|
426,505
|
||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353
|
510,000
|
425,850
|
||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202
|
174,000
|
145,779
|
||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13
|
147,000
|
153,246
|
||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12
|
227,000
|
232,579
|
||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10
|
162,000
|
174,353
|
||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14
|
306,000
|
324,687
|
||||||
2,145,525
|
||||||||
Consumer Finance—0.5%
|
||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13
|
223,000
|
233,187
|
||||||
American Express Credit Corp., 2.80% Sr. Unsec. Unsub. Nts., 9/19/16
|
209,000
|
210,301
|
||||||
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21
|
205,000
|
211,291
|
||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16
|
312,000
|
303,734
|
||||||
958,513
|
||||||||
Diversified Financial Services—0.9%
|
||||||||
Bank of America Corp., 3.75% Sr. Unsec. Unsub. Nts., 7/12/16
|
230,000
|
213,222
|
||||||
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17
|
669,000
|
715,037
|
||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/673,4
|
300,000
|
213,750
|
||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132
|
120,000
|
106,153
|
||||||
JPMorgan Chase & Co.:
|
||||||||
5.40% Sr. Unsec. Nts., 1/6/42
|
60,000
|
62,729
|
||||||
7.90% Perpetual Bonds, Series 110
|
379,000
|
404,879
|
||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38
|
193,000
|
183,612
|
||||||
1,899,382
|
||||||||
Insurance—1.5%
|
||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40
|
60,000
|
71,915
|
||||||
CNA Financial Corp.:
|
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21
|
197,000
|
201,319
|
||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20
|
114,000
|
117,264
|
||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/122
|
212,000
|
216,706
|
||||||
Hartford Financial Services Group, Inc. (The), 6.625% Sr. Unsec. Unsub. Nts., 3/30/40
|
139,000
|
138,155
|
||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16
|
228,000
|
211,718
|
||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/212
|
342,000
|
335,624
|
||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67
|
466,000
|
391,440
|
||||||
Prudential Financial, Inc., 5.375% Sr. Unsec. Unsub. Nts., 6/21/20
|
386,000
|
413,674
|
||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,10
|
455,000
|
389,030
|
||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20
|
146,000
|
150,538
|
||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16
|
241,000
|
245,050
|
||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/373,4
|
252,000
|
228,060
|
||||||
3,110,493
|
||||||||
Real Estate Investment Trusts—0.4%
|
||||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12
|
123,000
|
123,794
|
||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12
|
54,000
|
54,000
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Real Estate Investment Trusts Continued
|
||||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13
|
$
|
216,000
|
$
|
225,990
|
||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12
|
93,000
|
93,070
|
||||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/122
|
226,000
|
231,603
|
||||||
728,457
|
||||||||
Health Care—0.4%
|
||||||||
Biotechnology—0.1%
|
||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40
|
145,000
|
159,867
|
||||||
Health Care Providers & Services—0.2%
|
||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41
|
124,000
|
158,786
|
||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40
|
145,000
|
156,655
|
||||||
315,441
|
||||||||
Pharmaceuticals—0.1%
|
||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182
|
245,000
|
253,269
|
||||||
Industrials—1.3%
|
||||||||
Aerospace & Defense—0.2%
|
||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16
|
230,000
|
236,900
|
||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18
|
205,000
|
225,500
|
||||||
462,400
|
||||||||
Commercial Services & Supplies—0.2%
|
||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17
|
235,000
|
256,150
|
||||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16
|
203,000
|
204,269
|
||||||
460,419
|
||||||||
Industrial Conglomerates—0.4%
|
||||||||
General Electric Capital Corp.:
|
||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12
|
215,000
|
217,632
|
||||||
4.65% Sr. Unsec. Nts., 10/17/21
|
203,000
|
212,198
|
||||||
5.25% Sr. Unsec. Nts., 10/19/12
|
34,000
|
35,197
|
||||||
6.375% Unsec. Sub. Bonds, 11/15/67
|
428,000
|
422,650
|
||||||
887,677
|
||||||||
Machinery—0.3%
|
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/162
|
214,000
|
221,490
|
||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21
|
97,000
|
103,704
|
||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/172
|
192,000
|
208,320
|
||||||
533,514
|
||||||||
Professional Services—0.0%
|
||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20
|
35,000
|
36,313
|
||||||
Road & Rail—0.2%
|
||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41
|
62,000
|
70,357
|
||||||
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18
|
185,000
|
204,425
|
||||||
274,782
|
||||||||
Information Technology—0.8%
|
||||||||
Communications Equipment—0.1%
|
||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40
|
71,000
|
80,430
|
||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41
|
93,000
|
101,891
|
||||||
182,321
|
||||||||
Computers & Peripherals—0.2%
|
||||||||
Hewlett-Packard Co.:
|
||||||||
2.35% Sr. Unsec. Unsub. Nts., 3/15/15
|
216,000
|
215,152
|
||||||
4.65% Sr. Unsec. Nts., 12/9/21
|
167,000
|
176,479
|
||||||
391,631
|
||||||||
Electronic Equipment & Instruments—0.2%
|
||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15
|
430,000
|
431,014
|
||||||
Office Electronics—0.1%
|
||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13
|
223,000
|
234,207
|
||||||
Semiconductors & Semiconductor Equipment—0.1%
|
||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18
|
157,000
|
181,234
|
||||||
Software—0.1%
|
||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20
|
264,000
|
265,844
|
||||||
Materials—1.3%
|
||||||||
Chemicals—0.4%
|
||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41
|
101,000
|
125,502
|
||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15
|
374,000
|
385,194
|
||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17
|
210,000
|
235,200
|
||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40
|
140,000
|
171,269
|
||||||
917,165
|
||||||||
Containers & Packaging—0.1%
|
||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17
|
180,000
|
190,029
|
Principal
|
|||||||
Amount
|
Value
|
||||||
Metals & Mining—0.7%
|
|||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17
|
$
|
330,000
|
$
|
350,997
|
|||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19
|
307,000
|
339,235
|
|||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12
|
216,000
|
224,263
|
|||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15
|
14,000
|
15,258
|
|||||
Xstrata Canada Corp.:
|
|||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15
|
75,000
|
81,520
|
|||||
6% Sr. Unsec. Unsub. Nts., 10/15/15
|
177,000
|
190,853
|
|||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12
|
94,000
|
96,846
|
|||||
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/162
|
35,000
|
38,230
|
|||||
1,337,202
|
|||||||
Paper & Forest Products—0.1%
|
|||||||
International Paper Co., 4.75% Sr. Unsec. Unsub. Nts., 2/15/22
|
172,000
|
183,117
|
|||||
Telecommunication Services—1.0%
|
|||||||
Diversified Telecommunication Services—0.7%
|
|||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38
|
236,000
|
290,234
|
|||||
British Telecommunications plc, 9.875% Bonds, 12/15/30
|
142,000
|
200,367
|
|||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39
|
82,000
|
80,574
|
|||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17
|
230,000
|
236,325
|
|||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15
|
225,000
|
250,511
|
|||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38
|
134,000
|
170,389
|
|||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17
|
192,000
|
208,800
|
|||||
1,437,200
|
|||||||
Wireless Telecommunication Services—0.3%
|
|||||||
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16
|
349,000
|
349,849
|
|||||
American Tower Corp.:
|
|||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20
|
50,000
|
50,160
|
|||||
7% Sr. Unsec. Nts., 10/15/17
|
162,000
|
183,207
|
|||||
583,216
|
|||||||
Utilities—1.2%
|
|||||||
Electric Utilities—1.0%
|
|||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/122
|
205,000
|
208,721
|
|||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17
|
154,000
|
158,714
|
|||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39
|
138,000
|
154,772
|
|||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13
|
239,000
|
242,524
|
|||||
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41
|
120,000
|
129,399
|
|||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12
|
230,000
|
233,273
|
|||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22
|
198,000
|
254,036
|
|||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/212
|
322,000
|
338,161
|
|||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/192
|
235,000
|
308,556
|
|||||
2,028,156
|
|||||||
Energy Traders—0.1%
|
|||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13
|
212,000
|
227,064
|
|||||
Multi-Utilities—0.1%
|
|||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20
|
194,000
|
204,628
|
|||||
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41
|
53,000
|
54,303
|
|||||
258,931
|
|||||||
Total Non-Convertible Corporate Bonds and Notes
(Cost $36,798,681)
|
37,637,168
|
||||||
Shares
|
|||||||
Investment Companies—15.9%
|
|||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%11,12
(Cost $32,784,414)
|
32,784,414
|
32,784,414
|
|||||
Total Investments, at Value
(Cost $232,141,466)
|
115.4
|
%
|
237,714,032
|
||||
Liabilities in Excess of Other Assets
|
(15.4
|
)
|
(31,779,971
|
)
|
|||
Net Assets
|
100.0
|
%
|
$
|
205,934,061
|
|||
* |
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
||
1. |
Non-income producing security.
|
||
2. |
Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $11,723,347 or 5.69% of the Fund’s net assets as of December 30, 2011.
|
||
3. |
Represents the current interest rate for a variable or increasing rate security.
|
||
4. |
Restricted security. The aggregate value of restricted securities as of December 30, 2011 was $1,000,078, which represents 0.49% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows:
|
Unrealized
|
||||||||||||||||
Acquisition
|
Appreciation
|
|||||||||||||||
Security
|
Dates
|
Cost
|
Value
|
(Depreciation)
|
||||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41
|
11/2/11
|
$
|
200,984
|
$
|
200,600
|
$
|
(384
|
)
|
||||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67
|
1/5/11-10/11/11
|
251,672
|
213,750
|
(37,922
|
)
|
|||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49
|
7/14/10
|
125,957
|
128,776
|
2,819
|
||||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17
|
2/4/11-4/14/11
|
231,246
|
228,892
|
(2,354
|
)
|
|||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37
|
2/24/11-7/26/11
|
254,109
|
228,060
|
(26,049
|
)
|
|||||||||||
$
|
1,063,968
|
$
|
1,000,078
|
$
|
(63,890
|
)
|
||||||||||
5. |
When-issued security or delayed delivery to be delivered and settled after December 30, 2011. See Note 1 of the accompanying Notes.
|
||
6. |
Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $2,771,932 or 1.35% of the Fund’s net assets as of December 30, 2011.
|
||
7. |
Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $144,097 or 0.07% of the Fund’s net assets as of December 30, 2011.
|
||
8. |
The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
|
||
9. |
All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $212,701. See Note 5 of the accompanying Notes.
|
||
10. |
This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.
|
||
11. |
Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
|
Shares
|
Gross
|
Gross
|
Shares
|
|||||||||||||
December 31, 2010
|
Additions
|
Reductions
|
December 30, 2011
|
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
45,755,638
|
100,641,276
|
113,612,500
|
32,784,414
|
||||||||||||
Value
|
Income
|
|||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
$
|
32,784,414
|
$
|
80,528
|
12.
|
Rate shown is the 7-day yield as of December 30, 2011.
|
1)
|
Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
|
||
2)
|
Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
|
||
3)
|
Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
|
Level 3—
|
||||||||||||||||
Level 1—
|
Level 2—
|
Significant
|
||||||||||||||
Unadjusted
|
Other Significant
|
Unobservable
|
||||||||||||||
Quoted Prices
|
Observable Inputs
|
Inputs
|
Value
|
|||||||||||||
Assets Table
|
||||||||||||||||
Investments, at Value:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
13,343,882
|
$
|
—
|
$
|
—
|
$
|
13,343,882
|
||||||||
Consumer Staples
|
8,172,220
|
—
|
—
|
8,172,220
|
||||||||||||
Energy
|
15,031,008
|
—
|
—
|
15,031,008
|
||||||||||||
Financials
|
22,838,192
|
—
|
—
|
22,838,192
|
||||||||||||
Health Care
|
11,901,124
|
—
|
—
|
11,901,124
|
||||||||||||
Industrials
|
6,100,408
|
—
|
—
|
6,100,408
|
||||||||||||
Information Technology
|
9,696,316
|
—
|
—
|
9,696,316
|
||||||||||||
Materials
|
3,204,032
|
—
|
—
|
3,204,032
|
||||||||||||
Telecommunication Services
|
3,593,924
|
—
|
—
|
3,593,924
|
||||||||||||
Utilities
|
5,227,430
|
—
|
—
|
5,227,430
|
||||||||||||
Asset-Backed Securities
|
—
|
8,875,014
|
—
|
8,875,014
|
||||||||||||
Mortgage-Backed Obligations
|
—
|
58,107,974
|
—
|
58,107,974
|
||||||||||||
U.S. Government Obligations
|
—
|
1,200,926
|
—
|
1,200,926
|
||||||||||||
Non-Convertible Corporate Bonds and Notes
|
—
|
37,637,168
|
—
|
37,637,168
|
||||||||||||
Investment Company
|
32,784,414
|
—
|
—
|
32,784,414
|
||||||||||||
Total Investments, at Value
|
131,892,950
|
105,821,082
|
—
|
237,714,032
|
||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
18,316
|
—
|
—
|
18,316
|
||||||||||||
Foreign currency exchange contracts
|
—
|
28,920
|
—
|
28,920
|
||||||||||||
Total Assets
|
$
|
131,911,266
|
$
|
105,850,002
|
$
|
—
|
$
|
237,761,268
|
||||||||
Liabilities Table
|
||||||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
$
|
(11,188
|
)
|
$
|
—
|
$
|
—
|
$
|
(11,188
|
)
|
||||||
Foreign currency exchange contracts
|
—
|
(8,731
|
)
|
—
|
(8,731
|
)
|
||||||||||
Total Liabilities
|
$
|
(11,188
|
)
|
$
|
(8,731
|
)
|
$
|
—
|
$
|
(19,919
|
)
|
|||||
Counterparty/
|
Contract
|
Expiration
|
Unrealized
|
Unrealized
|
||||||||||||||
Contract Description
|
Buy/Sell
|
Amount (000’s)
|
Dates
|
Value
|
Appreciation
|
Depreciation
|
||||||||||||
Brown Brothers Harriman
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
36,617 JPY
|
1/6/12
|
$
|
475,728
|
$
|
208
|
$
|
—
|
|||||||||
Bank of America
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
61,566 JPY
|
1/4/12-1/5/12
|
799,924
|
—
|
8,731
|
||||||||||||
Chase Manhattan Bank
|
||||||||||||||||||
Swiss Franc (CHF)
|
Sell
|
4,647 CHF
|
1/3/12
|
4,947,229
|
28,712
|
—
|
||||||||||||
$
|
28,920
|
$
|
8,731
|
|||||||||||||||
Unrealized
|
|||||||||||||||||
Number of
|
Expiration
|
Appreciation
|
|||||||||||||||
Contract Description
|
Buy/Sell
|
Contracts
|
Date
|
Value
|
(Depreciation)
|
||||||||||||
U.S. Long Bonds
|
Buy
|
24
|
3/21/12
|
$
|
3,475,500
|
$
|
42,776
|
||||||||||
U.S. Treasury Nts., 10 yr.
|
Buy
|
1
|
3/21/12
|
131,125
|
6
|
||||||||||||
U.S. Treasury Nts., 2 yr.
|
Sell
|
54
|
3/30/12
|
11,909,531
|
(3,064
|
)
|
|||||||||||
U.S. Treasury Nts., 5 yr.
|
Sell
|
37
|
3/30/12
|
4,560,539
|
(17,547
|
)
|
|||||||||||
U.S. Treasury Ultra Bonds
|
Buy
|
21
|
3/21/12
|
3,363,938
|
20,631
|
||||||||||||
$
|
42,802
|
||||||||||||||||
Assets
|
||||
Investments, at value—see accompanying statement of investments:
|
||||
Unaffiliated companies (cost $199,357,052)
|
$
|
204,929,618
|
||
Affiliated companies (cost $32,784,414)
|
32,784,414
|
|||
237,714,032
|
||||
Cash
|
55,568
|
|||
Unrealized appreciation on foreign currency exchange contracts
|
28,920
|
|||
Receivables and other assets:
|
||||
Investments sold (including $834,575 sold on a when-issued or delayed delivery basis)
|
2,110,172
|
|||
Interest, dividends and principal paydowns
|
934,679
|
|||
Futures margins
|
18,316
|
|||
Other
|
15,397
|
|||
Total assets
|
240,877,084
|
|||
Liabilities
|
||||
Unrealized depreciation on foreign currency exchange contracts
|
8,731
|
|||
Payables and other liabilities:
|
||||
Investments purchased on a when-issued or delayed delivery basis
|
34,608,626
|
|||
Shares of beneficial interest redeemed
|
134,661
|
|||
Shareholder communications
|
45,714
|
|||
Transfer and shareholder servicing agent fees
|
17,606
|
|||
Distribution and service plan fees
|
15,095
|
|||
Trustees’ compensation
|
13,626
|
|||
Futures margins
|
11,188
|
|||
Other
|
87,776
|
|||
Total liabilities
|
34,943,023
|
|||
Net Assets
|
$
|
205,934,061
|
||
Composition of Net Assets
|
||||
Par value of shares of beneficial interest
|
$
|
18,310
|
||
Additional paid-in capital
|
261,404,840
|
|||
Accumulated net investment income
|
3,885,373
|
|||
Accumulated net realized loss on investments and foreign currency transactions
|
(64,994,840
|
)
|
||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies
|
5,620,378
|
|||
Net Assets
|
$
|
205,934,061
|
||
Net Asset Value Per Share
|
||||
Non-Service Shares:
|
||||
Net asset value, redemption price per share and offering price per share (based on net assets of $128,383,141 and 11,366,261 shares of beneficial interest outstanding)
|
$
|
11.30
|
||
Service Shares:
|
||||
Net asset value, redemption price per share and offering price per share (based on net assets of $77,550,920 and 6,943,916 shares of beneficial interest outstanding)
|
$
|
11.17
|
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
Investment Income
|
||||
Interest
|
$
|
3,740,550
|
||
Dividends:
|
||||
Unaffiliated companies (net of foreign withholding taxes of $41,729)
|
1,555,903
|
|||
Affiliated companies
|
80,528
|
|||
Total investment income
|
5,376,981
|
|||
Expenses
|
||||
Management fees
|
1,695,109
|
|||
Distribution and service plan fees—Service shares
|
212,975
|
|||
Transfer and shareholder servicing agent fees:
|
||||
Non-Service shares
|
141,905
|
|||
Service shares
|
85,192
|
|||
Shareholder communications:
|
||||
Non-Service shares
|
34,918
|
|||
Service shares
|
20,972
|
|||
Custodian fees and expenses
|
23,781
|
|||
Trustees’ compensation
|
11,530
|
|||
Administration service fees
|
1,500
|
|||
Other
|
51,445
|
|||
Total expenses
|
2,279,327
|
|||
Less waivers and reimbursements of expenses
|
(545,502
|
)
|
||
Net expenses
|
1,733,825
|
|||
Net Investment Income
|
3,643,156
|
|||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain on:
|
||||
Investments from unaffiliated companies
|
7,451,196
|
|||
Closing and expiration of futures contracts
|
1,402,952
|
|||
Foreign currency transactions
|
721,809
|
|||
Net realized gain
|
9,575,957
|
|||
Net change in unrealized appreciation/depreciation on:
|
||||
Investments
|
(10,948,759
|
)
|
||
Translation of assets and liabilities denominated in foreign currencies
|
(559,038
|
)
|
||
Futures contracts
|
50,474
|
|||
Net change in unrealized appreciation/depreciation
|
(11,457,323
|
)
|
||
Net Increase in Net Assets Resulting from Operations
|
$
|
1,761,790
|
||
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
Year Ended
|
Year Ended
|
|||||||
December 30,
|
December 31,
|
|||||||
20111
|
2010
|
|||||||
Operations
|
||||||||
Net investment income
|
$
|
3,643,156
|
$
|
4,859,704
|
||||
Net realized gain
|
9,575,957
|
16,046,665
|
||||||
Net change in unrealized appreciation/depreciation
|
(11,457,323
|
)
|
7,623,134
|
|||||
Net increase in net assets resulting from operations
|
1,761,790
|
28,529,503
|
||||||
Dividends and/or Distributions to Shareholders
|
||||||||
Dividends from net investment income:
|
||||||||
Non-Service shares
|
(3,355,682
|
)
|
(2,184,050
|
)
|
||||
Service shares
|
(1,802,307
|
)
|
(1,027,757
|
)
|
||||
(5,157,989
|
)
|
(3,211,807
|
)
|
|||||
Beneficial Interest Transactions
|
||||||||
Net decrease in net assets resulting from beneficial interest transactions:
|
||||||||
Non-Service shares
|
(20,174,392
|
)
|
(25,243,141
|
)
|
||||
Service shares
|
(10,697,145
|
)
|
(8,416,068
|
)
|
||||
(30,871,537
|
)
|
(33,659,209
|
)
|
|||||
Net Assets
|
||||||||
Total decrease
|
(34,267,736
|
)
|
(8,341,513
|
)
|
||||
Beginning of period
|
240,201,797
|
248,543,310
|
||||||
End of period (including accumulated net investment income of $3,885,373 and $5,128,069, respectively)
|
$
|
205,934,061
|
$
|
240,201,797
|
||||
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
Year Ended
|
||||||||||||||||||||
December 30,
|
Year Ended December 31,
|
|||||||||||||||||||
Non-Service Shares
|
20111
|
2010
|
2009
|
2008
|
2007
|
|||||||||||||||
Per Share Operating Data
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
11.47
|
$
|
10.30
|
$
|
8.45
|
$
|
16.41
|
$
|
17.69
|
||||||||||
Income (loss) from investment operations:
|
||||||||||||||||||||
Net investment income2
|
.20
|
.23
|
.25
|
.41
|
.43
|
|||||||||||||||
Net realized and unrealized gain (loss)
|
(.11
|
)
|
1.09
|
1.60
|
(7.03
|
)
|
.19
|
|||||||||||||
Total from investment operations
|
.09
|
1.32
|
1.85
|
(6.62
|
)
|
.62
|
||||||||||||||
Dividends and/or distributions to shareholders:
|
||||||||||||||||||||
Dividends from net investment income
|
(.26
|
)
|
(.15
|
)
|
—
|
(.39
|
)
|
(.46
|
)
|
|||||||||||
Distributions from net realized gain
|
—
|
—
|
—
|
(.95
|
)
|
(1.44
|
)
|
|||||||||||||
Total dividends and/or distributions to shareholders
|
(.26
|
)
|
(.15
|
)
|
—
|
(1.34
|
)
|
(1.90
|
)
|
|||||||||||
Net asset value, end of period
|
$
|
11.30
|
$
|
11.47
|
$
|
10.30
|
$
|
8.45
|
$
|
16.41
|
||||||||||
Total Return, at Net Asset Value3
|
0.72
|
%
|
12.91
|
%
|
21.89
|
%
|
(43.47
|
)%
|
3.79
|
%
|
||||||||||
Ratios/Supplemental Data
|
||||||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
128,383
|
$
|
150,622
|
$
|
159,797
|
$
|
169,621
|
$
|
385,948
|
||||||||||
Average net assets (in thousands)
|
$
|
141,848
|
$
|
151,620
|
$
|
159,013
|
$
|
295,669
|
$
|
418,103
|
||||||||||
Ratios to average net assets:4
|
||||||||||||||||||||
Net investment income
|
1.70
|
%
|
2.13
|
%
|
2.71
|
%
|
3.14
|
%
|
2.55
|
%
|
||||||||||
Total expenses5
|
0.91
|
%
|
0.91
|
%
|
0.89
|
%
|
0.76
|
%
|
0.75
|
%
|
||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
0.67
|
%
|
0.65
|
%
|
0.60
|
%
|
0.67
|
%
|
0.73
|
%
|
||||||||||
Portfolio turnover rate6
|
102
|
%
|
54
|
%
|
87
|
%
|
67
|
%
|
68
|
%
|
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
|
2.
|
Per share amounts calculated based on the average shares outstanding during the period.
|
|
3.
|
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
|
|
4.
|
Annualized for periods less than one full year.
|
|
5.
|
Total expenses including indirect expenses from affiliated fund were as follows:
|
Year Ended December 30, 2011
|
0.93
|
%
|
||
Year Ended December 31, 2010
|
0.92
|
%
|
||
Year Ended December 31, 2009
|
0.91
|
%
|
||
Year Ended December 31, 2008
|
0.76
|
%
|
||
Year Ended December 31, 2007
|
0.75
|
%
|
6.
|
The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
|
Purchase Transactions
|
Sale Transactions
|
|||||||
Year Ended December 30, 2011
|
$
|
450,804,195
|
$
|
453,759,282
|
||||
Year Ended December 31, 2010
|
$
|
412,930,431
|
$
|
414,511,903
|
||||
Year Ended December 31, 2009
|
$
|
504,698,365
|
$
|
520,212,670
|
||||
Year Ended December 31, 2008
|
$
|
474,582,075
|
$
|
434,587,487
|
||||
Year Ended December 31, 2007
|
$
|
296,201,319
|
$
|
315,527,720
|
Year Ended
|
||||||||||||||||||||
December 30,
|
Year Ended December 31,
|
|||||||||||||||||||
Service Shares
|
20111
|
2010
|
2009
|
2008
|
2007
|
|||||||||||||||
Per Share Operating Data
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
11.35
|
$
|
10.19
|
$
|
8.38
|
$
|
16.28
|
$
|
17.57
|
||||||||||
Income (loss) from investment operations:
|
||||||||||||||||||||
Net investment income2
|
.16
|
.20
|
.22
|
.37
|
.38
|
|||||||||||||||
Net realized and unrealized gain (loss)
|
(.11
|
)
|
1.08
|
1.59
|
(6.97
|
)
|
.19
|
|||||||||||||
Total from investment operations
|
.05
|
1.28
|
1.81
|
(6.60
|
)
|
.57
|
||||||||||||||
Dividends and/or distributions to shareholders:
|
||||||||||||||||||||
Dividends from net investment income
|
(.23
|
)
|
(.12
|
)
|
—
|
(.35
|
)
|
(.42
|
)
|
|||||||||||
Distributions from net realized gain
|
—
|
—
|
—
|
(.95
|
)
|
(1.44
|
)
|
|||||||||||||
Total dividends and/or distributions to shareholders
|
(.23
|
)
|
(.12
|
)
|
—
|
(1.30
|
)
|
(1.86
|
)
|
|||||||||||
Net asset value, end of period
|
$
|
11.17
|
$
|
11.35
|
$
|
10.19
|
$
|
8.38
|
$
|
16.28
|
||||||||||
Total Return, at Net Asset Value3
|
0.38
|
%
|
12.68
|
%
|
21.60
|
%
|
(43.62
|
)%
|
3.49
|
%
|
||||||||||
Ratios/Supplemental Data
|
||||||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
77,551
|
$
|
89,580
|
$
|
88,746
|
$
|
68,798
|
$
|
121,399
|
||||||||||
Average net assets (in thousands)
|
$
|
85,157
|
$
|
87,280
|
$
|
77,101
|
$
|
100,164
|
$
|
117,012
|
||||||||||
Ratios to average net assets:4
|
||||||||||||||||||||
Net investment income
|
1.45
|
%
|
1.87
|
%
|
2.42
|
%
|
2.90
|
%
|
2.30
|
%
|
||||||||||
Total expenses5
|
1.16
|
%
|
1.16
|
%
|
1.15
|
%
|
1.01
|
%
|
1.00
|
%
|
||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
0.92
|
%
|
0.90
|
%
|
0.85
|
%
|
0.92
|
%
|
0.98
|
%
|
||||||||||
Portfolio turnover rate6
|
102
|
%
|
54
|
%
|
87
|
%
|
67
|
%
|
68
|
%
|
1.
|
December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes.
|
|
2.
|
Per share amounts calculated based on the average shares outstanding during the period.
|
|
3.
|
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
|
|
4.
|
Annualized for periods less than one full year.
|
|
5.
|
Total expenses including indirect expenses from affiliated fund were as follows:
|
Year Ended December 30, 2011
|
1.18
|
%
|
||
Year Ended December 31, 2010
|
1.17
|
%
|
||
Year Ended December 31, 2009
|
1.17
|
%
|
||
Year Ended December 31, 2008
|
1.01
|
%
|
||
Year Ended December 31, 2007
|
1.00
|
%
|
6.
|
The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
|
Purchase Transactions
|
Sale Transactions
|
|||||||
Year Ended December 30, 2011
|
$
|
450,804,195
|
$
|
453,759,282
|
||||
Year Ended December 31, 2010
|
$
|
412,930,431
|
$
|
414,511,903
|
||||
Year Ended December 31, 2009
|
$
|
504,698,365
|
$
|
520,212,670
|
||||
Year Ended December 31, 2008
|
$
|
474,582,075
|
$
|
434,587,487
|
||||
Year Ended December 31, 2007
|
$
|
296,201,319
|
$
|
315,527,720
|
When-Issued or Delayed Delivery
|
||||
Basis Transactions
|
||||
Purchased securities
|
$ |
34,608,626
|
||
Sold securities
|
834,575
|
Net Unrealized
|
||||||||||||
Appreciation
|
||||||||||||
Based on Cost of
|
||||||||||||
Securities and
|
||||||||||||
Undistributed
|
Undistributed
|
Accumulated
|
Other Investments
|
|||||||||
Net Investment
|
Long-Term
|
Loss
|
for Federal Income
|
|||||||||
Income
|
Gain
|
Carryforward1,2,3,4
|
Tax Purposes
|
|||||||||
$3,890,265
|
$ |
—
|
$ |
64,721,622
|
$ |
5,355,887
|
1. |
As of December 30, 2011, the Fund had $58,137,466 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.
|
Expiring
|
||||
2016
|
$
|
13,408,759
|
||
2017
|
44,728,707
|
|||
Total
|
$
|
58,137,466
|
||
2. |
As of December 30, 2011, the Fund had $6,584,156 of post-October losses available to offset future realized capital gains, if any.
|
||
3. |
During the fiscal year ended December 30, 2011, the Fund utilized $15,143,099 of capital loss carryforward to offset capital gains realized in that fiscal year.
|
||
4. |
During the fiscal year ended December 31, 2010, the Fund utilized $15,850,248 of capital loss carryforward to offset capital gains realized in that fiscal year.
|
Increase to
|
Increase to
|
|||
Accumulated
|
Accumulated
|
|||
Net Investment
|
Net Realized Loss
|
|||
Income
|
on Investments
|
|||
$272,137
|
$ |
272,137
|
Year Ended
|
Year Ended
|
|||||||
December 30, 2011
|
December 31, 2010
|
|||||||
Distributions paid from:
|
||||||||
Ordinary income
|
$ |
5,157,989
|
$ |
3,211,807
|
Federal tax cost of securities
|
$
|
232,371,885
|
||
Federal tax cost of other investments
|
(5,355,361
|
)
|
||
Total federal tax cost
|
$
|
227,016,524
|
||
Gross unrealized appreciation
|
$
|
8,427,376
|
||
Gross unrealized depreciation
|
(3,071,489
|
)
|
||
Net unrealized appreciation
|
$
|
5,355,887
|
||
Year Ended December 30, 2011
|
Year Ended December 31, 2010
|
|||||||||||||||
Shares
|
Amount
|
Shares
|
Amount
|
|||||||||||||
Non-Service Shares
|
||||||||||||||||
Sold
|
252,001
|
$
|
2,909,335
|
272,126
|
$
|
2,909,287
|
||||||||||
Dividends and/or distributions reinvested
|
287,056
|
3,355,682
|
209,000
|
2,184,050
|
||||||||||||
Redeemed
|
(2,302,830
|
)
|
(26,439,409
|
)
|
(2,866,355
|
)
|
(30,336,478
|
)
|
||||||||
Net decrease
|
(1,763,773
|
)
|
$
|
(20,174,392
|
)
|
(2,385,229
|
)
|
$
|
(25,243,141
|
)
|
||||||
Service Shares
|
||||||||||||||||
Sold
|
423,625
|
$
|
4,837,026
|
627,983
|
$
|
6,716,376
|
||||||||||
Dividends and/or distributions reinvested
|
155,505
|
1,802,307
|
99,204
|
1,027,757
|
||||||||||||
Redeemed
|
(1,531,184
|
)
|
(17,336,478
|
)
|
(1,542,514
|
)
|
(16,160,201
|
)
|
||||||||
Net decrease
|
(952,054
|
)
|
$
|
(10,697,145
|
)
|
(815,327
|
)
|
$
|
(8,416,068
|
)
|
||||||
Purchases
|
Sales
|
|||||||
Investment securities
|
$
|
175,187,163
|
$
|
188,834,785
|
||||
U.S. government and government agency obligations
|
737,646
|
771,994
|
||||||
To Be Announced (TBA) mortgage-related securities
|
450,804,195
|
453,759,282
|
Fee Schedule
|
||||
Up to $200 million
|
0.75
|
%
|
||
Next $200 million
|
0.72
|
|||
Next $200 million
|
0.69
|
|||
Next $200 million
|
0.66
|
|||
Over $800 million
|
0.60
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||
Derivatives Not Accounted for
|
Statement of Assets and
|
Statement of Assets and
|
||||||||
as Hedging Instruments
|
Liabilities Location
|
Value
|
Liabilities Location
|
Value
|
||||||
Interest rate contracts
|
Futures margins
|
$
|
18,316
|
*
|
Futures margins
|
$
|
11,188
|
*
|
||
Foreign exchange contracts
|
Unrealized depreciation on foreign currency exchange contracts
|
28,920
|
Unrealized appreciation on foreign currency exchange contracts
|
8,731
|
||||||
Total
|
$
|
47,236
|
$
|
19,919
|
||||||
*
|
Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
|
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Derivatives Not
|
Closing and
|
|||||||||||
Accounted for as
|
expiration of futures
|
Foreign currency
|
||||||||||
Hedging Instruments
|
contracts
|
transactions
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(4,185
|
)
|
$
|
(4,185
|
)
|
||||
Interest rate contracts
|
1,402,952
|
—
|
1,402,952
|
|||||||||
Total
|
$
|
1,402,952
|
$
|
(4,185
|
)
|
$
|
1,398,767
|
|||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Derivatives Not
|
Translation of assets and
|
|||||||||||
Accounted for as
|
liabilities denominated in
|
|||||||||||
Hedging Instruments
|
Futures contracts
|
foreign currencies
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
20,189
|
$
|
20,189
|
||||||
Interest rate contracts
|
50,474
|
—
|
50,474
|
|||||||||
Total
|
$
|
50,474
|
$
|
20,189
|
$
|
70,663
|
||||||
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
|||||||||||||||||||
Balanced
|
Return
|
Combined
|
Balanced
|
Return
|
Combined
|
|||||||||||||||||||
Fund/VA
|
Portfolio
|
Pro Forma
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Shares
|
Shares
|
Shares
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Common Stocks—48.6%
|
||||||||||||||||||||||||
Consumer Discretionary—6.3%
|
||||||||||||||||||||||||
Automobiles—0.9%
|
||||||||||||||||||||||||
Ford Motor Co.1
|
175,370
|
85,960
|
261,330
|
$
|
1,886,981
|
$
|
924,930
|
$
|
2,811,911
|
|||||||||||||||
Household Durables—0.6%
|
||||||||||||||||||||||||
Mohawk Industries, Inc.1
|
17,780
|
12,810
|
30,590
|
1,064,133
|
766,674
|
1,830,807
|
||||||||||||||||||
Media—3.5%
|
||||||||||||||||||||||||
Comcast Corp., Cl. A
|
118,380
|
37,730
|
156,110
|
2,806,790
|
894,578
|
3,701,368
|
||||||||||||||||||
Jupiter Telecommunications Co. Ltd.
|
3,231
|
1,766
|
4,997
|
3,274,237
|
1,789,632
|
5,063,869
|
||||||||||||||||||
Viacom, Inc., Cl. B
|
35,080
|
11,270
|
46,350
|
1,592,983
|
511,771
|
2,104,754
|
||||||||||||||||||
7,674,010
|
3,195,981
|
10,869,991
|
||||||||||||||||||||||
Multiline Retail—1.3%
|
||||||||||||||||||||||||
Target Corp.
|
53,080
|
23,270
|
76,350
|
2,718,758
|
1,191,889
|
3,910,647
|
||||||||||||||||||
Consumer Staples—3.8%
|
||||||||||||||||||||||||
Beverages—1.8%
|
||||||||||||||||||||||||
Coca-Cola Co. (The)
|
58,860
|
18,830
|
77,690
|
4,118,434
|
1,317,535
|
5,435,969
|
||||||||||||||||||
Food & Staples Retailing—1.3%
|
||||||||||||||||||||||||
Wal-Mart Stores, Inc.
|
45,590
|
22,340
|
67,930
|
2,724,458
|
1,335,038
|
4,059,496
|
||||||||||||||||||
Household Products—0.7%
|
||||||||||||||||||||||||
Church & Dwight Co., Inc.
|
29,050
|
20,930
|
49,980
|
1,329,328
|
957,757
|
2,287,085
|
||||||||||||||||||
Energy—7.2%
|
||||||||||||||||||||||||
Energy Equipment & Services—0.4%
|
||||||||||||||||||||||||
Nabors Industries Ltd.1
|
51,520
|
25,250
|
76,770
|
893,357
|
437,835
|
1,331,192
|
||||||||||||||||||
Oil, Gas & Consumable Fuels—6.8%
|
||||||||||||||||||||||||
Apache Corp.
|
12,290
|
3,920
|
16,210
|
1,113,228
|
355,074
|
1,468,302
|
||||||||||||||||||
Chevron Corp.
|
68,690
|
31,170
|
99,860
|
7,308,612
|
3,316,488
|
10,625,100
|
||||||||||||||||||
Exxon Mobil Corp.
|
37,000
|
17,990
|
54,990
|
3,136,120
|
1,524,832
|
4,660,952
|
||||||||||||||||||
Penn West Petroleum Ltd.
|
30,730
|
34,070
|
64,800
|
608,454
|
674,586
|
1,283,040
|
||||||||||||||||||
Royal Dutch Shell plc, ADR
|
26,970
|
13,220
|
40,190
|
1,971,237
|
966,250
|
2,937,487
|
||||||||||||||||||
14,137,651
|
6,837,230
|
20,974,881
|
||||||||||||||||||||||
Financials—11.1%
|
||||||||||||||||||||||||
Capital Markets—1.6%
|
||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The)
|
35,530
|
17,410
|
52,940
|
3,212,978
|
1,574,386
|
4,787,364
|
||||||||||||||||||
Commercial Banks—5.4%
|
||||||||||||||||||||||||
CIT Group, Inc.1
|
25,970
|
18,760
|
44,730
|
905,574
|
654,161
|
1,559,735
|
||||||||||||||||||
M&T Bank Corp.
|
20,750
|
14,090
|
34,840
|
1,584,055
|
1,075,631
|
2,659,686
|
||||||||||||||||||
U.S. Bancorp
|
158,000
|
77,450
|
235,450
|
4,273,900
|
2,095,023
|
6,368,923
|
||||||||||||||||||
Wells Fargo & Co.
|
143,530
|
70,350
|
213,880
|
3,955,687
|
1,938,846
|
5,894,533
|
||||||||||||||||||
10,719,216
|
5,763,661
|
16,482,877
|
||||||||||||||||||||||
Diversified Financial Services—1.2%
|
||||||||||||||||||||||||
JPMorgan Chase & Co.
|
81,040
|
25,760
|
106,800
|
2,694,580
|
856,520
|
3,551,100
|
||||||||||||||||||
Insurance—2.9%
|
||||||||||||||||||||||||
ACE Ltd.
|
40,870
|
20,030
|
60,900
|
2,865,804
|
1,404,504
|
4,270,308
|
||||||||||||||||||
MetLife, Inc.
|
107,300
|
39,400
|
146,700
|
3,345,614
|
1,228,492
|
4,574,106
|
||||||||||||||||||
6,211,418
|
2,632,996
|
8,844,414
|
||||||||||||||||||||||
Health Care—6.2%
|
||||||||||||||||||||||||
Biotechnology—1.1%
|
||||||||||||||||||||||||
Gilead Sciences, Inc.1
|
49,760
|
35,844
|
85,604
|
2,036,677
|
1,467,095
|
3,503,772
|
||||||||||||||||||
Health Care Equipment & Supplies—1.2%
|
||||||||||||||||||||||||
Medtronic, Inc.
|
57,750
|
41,580
|
99,330
|
2,208,938
|
1,590,435
|
3,799,373
|
||||||||||||||||||
Health Care Providers & Services—2.4%
|
||||||||||||||||||||||||
Humana, Inc.
|
18,400
|
14,230
|
32,630
|
1,612,024
|
1,246,690
|
2,858,714
|
||||||||||||||||||
UnitedHealth Group, Inc.
|
40,010
|
16,360
|
56,370
|
2,027,707
|
829,125
|
2,856,832
|
||||||||||||||||||
WellPoint, Inc.
|
13,700
|
9,980
|
23,680
|
907,625
|
661,175
|
1,568,800
|
||||||||||||||||||
4,547,356
|
2,736,990
|
7,284,346
|
||||||||||||||||||||||
Pharmaceuticals—1.5%
|
||||||||||||||||||||||||
Pfizer, Inc.
|
143,630
|
70,400
|
214,030
|
3,108,153
|
1,523,456
|
4,631,609
|
||||||||||||||||||
Industrials—3.0%
|
||||||||||||||||||||||||
Electrical Equipment—1.3%
|
||||||||||||||||||||||||
Cooper Industries plc
|
50,210
|
24,610
|
74,820
|
2,718,872
|
1,332,632
|
4,051,504
|
||||||||||||||||||
Industrial Conglomerates—1.2%
|
||||||||||||||||||||||||
Tyco International Ltd.
|
54,600
|
26,760
|
81,360
|
2,550,366
|
1,249,960
|
3,800,326
|
||||||||||||||||||
Trading Companies & Distributors—0.5%
|
||||||||||||||||||||||||
AerCap Holdings NV1
|
73,620
|
52,720
|
126,340
|
831,170
|
595,209
|
1,426,379
|
||||||||||||||||||
Information Technology—4.6%
|
||||||||||||||||||||||||
Communications Equipment—1.0%
|
||||||||||||||||||||||||
Juniper Networks, Inc.1
|
102,000
|
50,000
|
152,000
|
2,081,820
|
1,020,500
|
3,102,320
|
||||||||||||||||||
Orbcomm, Inc.1
|
375
|
—
|
375
|
1,121
|
—
|
1,121
|
||||||||||||||||||
2,082,941
|
1,020,500
|
3,103,441
|
||||||||||||||||||||||
Computers & Peripherals—0.3%
|
||||||||||||||||||||||||
Hewlett-Packard Co.
|
20,090
|
14,420
|
34,510
|
517,518
|
371,459
|
888,977
|
||||||||||||||||||
Internet Software & Services—0.4%
|
||||||||||||||||||||||||
VeriSign, Inc.
|
17,710
|
12,740
|
30,450
|
632,601
|
455,073
|
1,087,674
|
||||||||||||||||||
Semiconductors & Semiconductor Equipment—0.7%
|
||||||||||||||||||||||||
Xilinx, Inc.
|
45,620
|
22,360
|
67,980
|
1,462,577
|
716,862
|
2,179,439
|
||||||||||||||||||
Software—2.2%
|
||||||||||||||||||||||||
Microsoft Corp.
|
107,420
|
34,300
|
141,720
|
2,788,623
|
890,428
|
3,679,051
|
||||||||||||||||||
Oracle Corp.
|
86,240
|
39,320
|
125,560
|
2,212,056
|
1,008,558
|
3,220,614
|
||||||||||||||||||
5,000,679
|
1,898,986
|
6,899,665
|
||||||||||||||||||||||
Materials—1.8%
|
||||||||||||||||||||||||
Chemicals—1.2%
|
||||||||||||||||||||||||
Celanese Corp., Series A
|
13,790
|
15,240
|
29,030
|
610,483
|
674,675
|
1,285,158
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
|||||||||||||||||||
Balanced
|
Return
|
Combined
|
Balanced
|
Return
|
Combined
|
|||||||||||||||||||
Fund/VA
|
Portfolio
|
Pro Forma
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Shares
|
Shares
|
Shares
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Mosaic Co. (The)
|
35,010
|
15,960
|
50,970
|
1,765,554
|
804,863
|
2,570,417
|
||||||||||||||||||
2,376,037
|
1,479,538
|
3,855,575
|
||||||||||||||||||||||
Containers & Packaging—0.6%
|
||||||||||||||||||||||||
Rock-Tenn Co., Cl. A
|
14,350
|
15,950
|
30,300
|
827,995
|
920,315
|
1,748,310
|
||||||||||||||||||
Telecommunication Services—1.7%
|
||||||||||||||||||||||||
Diversified Telecommunication Services—0.7%
|
||||||||||||||||||||||||
AT&T, Inc.
|
51,330
|
16,380
|
67,710
|
1,552,219
|
495,331
|
2,047,550
|
||||||||||||||||||
Wireless Telecommunication Services—1.0%
|
||||||||||||||||||||||||
Vodafone Group plc, Sponsored ADR
|
72,840
|
35,700
|
108,540
|
2,041,705
|
1,000,671
|
3,042,376
|
||||||||||||||||||
Utilities—2.9%
|
||||||||||||||||||||||||
Electric Utilities—1.7%
|
||||||||||||||||||||||||
American Electric Power Co., Inc.
|
16,520
|
11,900
|
28,420
|
682,441
|
491,589
|
1,174,030
|
||||||||||||||||||
Edison International, Inc.
|
65,690
|
32,200
|
97,890
|
2,719,566
|
1,333,080
|
4,052,646
|
||||||||||||||||||
3,402,007
|
1,824,669
|
5,226,676
|
||||||||||||||||||||||
Energy Traders—0.3%
|
||||||||||||||||||||||||
GenOn Energy, Inc.1
|
208,040
|
149,730
|
357,770
|
542,984
|
390,795
|
933,779
|
||||||||||||||||||
Multi-Utilities—0.9%
|
||||||||||||||||||||||||
Public Service Enterprise Group, Inc.
|
38,850
|
43,030
|
81,880
|
1,282,439
|
1,420,420
|
2,702,859
|
||||||||||||||||||
Total Common Stocks (Cost $95,567,248, Cost $49,867,325, Combined $145,434,573)
|
99,108,536
|
50,282,828
|
149,391,364
|
|||||||||||||||||||||
Principal
|
Principal
|
Principal
|
||||||||||||||||||||||
Amount
|
Amount
|
Amount
|
||||||||||||||||||||||
Asset-Backed Securities—4.3%
|
||||||||||||||||||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/132
|
$
|
125,000
|
$
|
60,000
|
$
|
185,000
|
124,718
|
59,865
|
184,583
|
|||||||||||||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14
|
30,000
|
55,000
|
85,000
|
30,036
|
55,065
|
85,101
|
||||||||||||||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/152
|
200,000
|
95,000
|
295,000
|
203,361
|
96,597
|
299,958
|
||||||||||||||||||
Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16
|
240,000
|
115,000
|
355,000
|
239,359
|
114,693
|
354,052
|
||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13
|
63,097
|
27,605
|
90,702
|
63,447
|
27,758
|
91,205
|
||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13
|
—
|
17,785
|
17,785
|
—
|
17,783
|
17,783
|
||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17
|
60,000
|
30,000
|
90,000
|
60,771
|
30,385
|
91,156
|
||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.:
|
||||||||||||||||||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15
|
70,000
|
35,000
|
105,000
|
70,304
|
35,152
|
105,456
|
||||||||||||||||||
Series 2011-2, Cl. D, 4%, 5/8/17
|
120,000
|
60,000
|
180,000
|
119,838
|
59,919
|
179,757
|
||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17
|
335,000
|
165,000
|
500,000
|
334,498
|
164,753
|
499,251
|
||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables Nts., Series 2011-5, Cl. D, 4.72%, 12/8/17
|
205,000
|
100,000
|
305,000
|
209,733
|
102,309
|
312,042
|
||||||||||||||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13
|
18,188
|
8,185
|
26,373
|
18,197
|
8,188
|
26,385
|
||||||||||||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.254%, 5/25/343
|
—
|
141,560
|
141,560
|
—
|
119,329
|
119,329
|
||||||||||||||||||
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15
|
65,000
|
45,000
|
110,000
|
65,140
|
45,097
|
110,237
|
||||||||||||||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.404%, 7/25/363
|
177,363
|
—
|
177,363
|
163,486
|
—
|
163,486
|
||||||||||||||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152
|
52,768
|
23,086
|
75,854
|
55,340
|
24,211
|
79,551
|
||||||||||||||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15
|
180,000
|
70,000
|
250,000
|
187,736
|
73,008
|
260,744
|
||||||||||||||||||
Citibank Omni Master Trust, Credit Card Receivables:
|
||||||||||||||||||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182
|
475,000
|
225,000
|
700,000
|
519,207
|
245,940
|
765,147
|
||||||||||||||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182
|
370,000
|
175,000
|
545,000
|
402,724
|
190,477
|
593,201
|
||||||||||||||||||
Series 2009-A8, Cl. A8, 2.378%, 5/16/162,3
|
325,000
|
155,000
|
480,000
|
327,026
|
155,966
|
482,992
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.078%, 1/20/413
|
240,000
|
115,000
|
355,000
|
240,290
|
115,139
|
355,429
|
||||||||||||||||||
Countrywide Home Loans, Asset-Backed Certificates:
|
||||||||||||||||||||||||
Series 2002-4, Cl. A1, 1.034%, 2/25/333
|
8,285
|
3,568
|
11,853
|
7,957
|
3,427
|
11,384
|
||||||||||||||||||
Series 2005-16, Cl. 2AF2, 5.377%, 5/1/363
|
222,632
|
247,369
|
470,001
|
171,039
|
190,043
|
361,082
|
||||||||||||||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.414%, 6/25/473
|
428,317
|
—
|
428,317
|
378,736
|
—
|
378,736
|
||||||||||||||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16
|
210,000
|
100,000
|
310,000
|
212,845
|
101,355
|
314,200
|
||||||||||||||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/152
|
104,466
|
49,260
|
153,726
|
104,976
|
49,501
|
154,477
|
||||||||||||||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152
|
290,000
|
140,000
|
430,000
|
290,555
|
140,268
|
430,823
|
||||||||||||||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/132
|
70,000
|
35,000
|
105,000
|
69,769
|
34,884
|
104,653
|
||||||||||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/414
|
201,000
|
98,000
|
299,000
|
200,600
|
97,805
|
298,405
|
||||||||||||||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15
|
155,498
|
76,162
|
231,660
|
154,780
|
75,811
|
230,591
|
||||||||||||||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.828%, 9/15/143
|
245,000
|
110,000
|
355,000
|
246,891
|
110,849
|
357,740
|
||||||||||||||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.928%, 12/15/142,3
|
250,000
|
115,000
|
365,000
|
252,743
|
116,262
|
369,005
|
||||||||||||||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16
|
255,000
|
125,000
|
380,000
|
258,540
|
126,736
|
385,276
|
||||||||||||||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.828%, 10/20/142,3
|
240,000
|
115,000
|
355,000
|
242,118
|
116,015
|
358,133
|
||||||||||||||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/232
|
230,000
|
110,000
|
340,000
|
229,983
|
109,992
|
339,975
|
||||||||||||||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/152
|
315,000
|
175,000
|
490,000
|
318,683
|
177,046
|
495,729
|
||||||||||||||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.628%, 3/15/163
|
255,000
|
120,000
|
375,000
|
255,717
|
120,338
|
376,055
|
||||||||||||||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13
|
220,000
|
105,000
|
325,000
|
220,565
|
105,270
|
325,835
|
||||||||||||||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.428%, 1/15/152,3
|
240,000
|
110,000
|
350,000
|
241,833
|
110,840
|
352,673
|
||||||||||||||||||
Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/162
|
180,000
|
85,000
|
265,000
|
179,678
|
84,848
|
264,526
|
||||||||||||||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13
|
84,342
|
41,234
|
125,576
|
84,339
|
41,232
|
125,571
|
||||||||||||||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17
|
235,000
|
115,000
|
350,000
|
235,014
|
115,007
|
350,021
|
||||||||||||||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/132
|
113,838
|
55,194
|
169,032
|
113,937
|
55,242
|
169,179
|
||||||||||||||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17
|
245,000
|
115,000
|
360,000
|
244,501
|
114,766
|
359,267
|
||||||||||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174
|
230,913
|
106,840
|
337,753
|
228,892
|
105,905
|
334,797
|
||||||||||||||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/172
|
177,527
|
86,952
|
264,479
|
174,865
|
85,648
|
260,513
|
||||||||||||||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13
|
215,000
|
105,000
|
320,000
|
215,349
|
105,171
|
320,520
|
||||||||||||||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/142
|
105,000
|
50,000
|
155,000
|
104,898
|
49,951
|
154,849
|
||||||||||||||||||
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Total Asset-Backed Securities (Cost $8,956,068, Cost $4,352,939, Combined $13,309,007)
|
8,875,014
|
4,285,846
|
13,160,860
|
|||||||||||||||||||||
Mortgage-Backed Obligations—27.8%
|
||||||||||||||||||||||||
Government Agency—23.0%
|
||||||||||||||||||||||||
FHLMC/FNMA/FHLB/Sponsored—22.5%
|
||||||||||||||||||||||||
Federal Home Loan Mortgage Corp.:
|
||||||||||||||||||||||||
4.50%, 10/15/18
|
—
|
157,873
|
157,873
|
—
|
168,403
|
168,403
|
||||||||||||||||||
4.50%, 1/1/425
|
1,595,000
|
780,000
|
2,375,000
|
1,690,451
|
826,678
|
2,517,129
|
||||||||||||||||||
5%, 12/15/34
|
—
|
11,625
|
11,625
|
—
|
12,517
|
12,517
|
||||||||||||||||||
5.50%, 9/1/39
|
1,038,003
|
307,304
|
1,345,307
|
1,128,541
|
334,107
|
1,462,648
|
||||||||||||||||||
6.50%, 4/15/18-4/1/34
|
—
|
105,574
|
105,574
|
—
|
118,426
|
118,426
|
||||||||||||||||||
7%, 10/1/31
|
—
|
82,644
|
82,644
|
—
|
95,982
|
95,982
|
||||||||||||||||||
7%, 10/1/37
|
756,180
|
—
|
756,180
|
862,947
|
—
|
862,947
|
||||||||||||||||||
8%, 4/1/16
|
—
|
35,401
|
35,401
|
—
|
38,369
|
38,369
|
||||||||||||||||||
9%, 8/1/22-5/1/25
|
—
|
14,232
|
14,232
|
—
|
16,412
|
16,412
|
||||||||||||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
|
||||||||||||||||||||||||
Series 2006-11, Cl. PS, 23.49%, 3/25/363
|
208,974
|
91,664
|
300,638
|
291,823
|
128,004
|
419,827
|
||||||||||||||||||
Series 2426, Cl. BG, 6%, 3/15/17
|
292,502
|
—
|
292,502
|
313,107
|
—
|
313,107
|
||||||||||||||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32
|
355,826
|
—
|
355,826
|
409,262
|
—
|
409,262
|
||||||||||||||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32
|
—
|
183,481
|
183,481
|
—
|
208,254
|
208,254
|
||||||||||||||||||
Series 2500, Cl. FD, 0.778%, 3/15/323
|
—
|
24,046
|
24,046
|
—
|
24,164
|
24,164
|
||||||||||||||||||
Series 2526, Cl. FE, 0.678%, 6/15/293
|
—
|
31,816
|
31,816
|
—
|
31,928
|
31,928
|
||||||||||||||||||
Series 2551, Cl. FD, 0.678%, 1/15/333
|
—
|
21,458
|
21,458
|
—
|
21,522
|
21,522
|
||||||||||||||||||
Series 2626, Cl. TB, 5%, 6/1/33
|
495,738
|
—
|
495,738
|
547,873
|
—
|
547,873
|
||||||||||||||||||
Series 2663, Cl. BA, 4%, 8/1/16
|
79,583
|
25,865
|
105,448
|
79,761
|
25,922
|
105,683
|
||||||||||||||||||
Series 2686, Cl. CD, 4.50%, 2/1/17
|
3,816
|
1,558
|
5,374
|
3,815
|
1,557
|
5,372
|
||||||||||||||||||
Series 3019, Cl. MD, 4.75%, 1/1/31
|
88,424
|
29,685
|
118,109
|
88,878
|
29,838
|
118,716
|
||||||||||||||||||
Series 3025, Cl. SJ, 23.73%, 8/15/353
|
60,634
|
16,169
|
76,803
|
86,707
|
23,122
|
109,829
|
||||||||||||||||||
Series 3094, Cl. HS, 23.363%, 6/15/343
|
120,743
|
51,084
|
171,827
|
163,480
|
69,165
|
232,645
|
||||||||||||||||||
Series 3242, Cl. QA, 5.50%, 3/1/30
|
41,838
|
29,030
|
70,868
|
42,019
|
29,156
|
71,175
|
||||||||||||||||||
Series 3822, Cl. JA, 5%, 6/1/40
|
398,780
|
192,669
|
591,449
|
431,858
|
208,650
|
640,508
|
||||||||||||||||||
Series 3848, Cl. WL, 4%, 4/1/40
|
288,558
|
139,625
|
428,183
|
305,005
|
147,583
|
452,588
|
||||||||||||||||||
Series R001, Cl. AE, 4.375%, 4/1/15
|
3,759
|
2,162
|
5,921
|
3,758
|
2,162
|
5,920
|
||||||||||||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
|
||||||||||||||||||||||||
Series 183, Cl. IO, 15.226%, 4/1/276
|
—
|
76,632
|
76,632
|
—
|
12,505
|
12,505
|
||||||||||||||||||
Series 183, Cl. IO, 15.233%, 4/1/276
|
143,551
|
—
|
143,551
|
23,425
|
—
|
23,425
|
||||||||||||||||||
Series 192, Cl. IO, 13.427%, 2/1/286
|
41,272
|
20,693
|
61,965
|
7,891
|
3,957
|
11,848
|
||||||||||||||||||
Series 2130, Cl. SC, 50.18%, 3/15/296
|
116,974
|
—
|
116,974
|
23,846
|
—
|
23,846
|
||||||||||||||||||
Series 2130, Cl. SC, 50.333%, 3/15/296
|
—
|
60,576
|
60,576
|
—
|
12,349
|
12,349
|
||||||||||||||||||
Series 243, Cl. 6, 0.377%, 12/15/326
|
138,077
|
61,011
|
199,088
|
25,081
|
11,082
|
36,163
|
||||||||||||||||||
Series 2527, Cl. SG, 10.321%, 2/15/326
|
—
|
2,065
|
2,065
|
—
|
22
|
22
|
||||||||||||||||||
Series 2527, Cl. SG, 10.403%, 2/15/326
|
12,469
|
—
|
12,469
|
133
|
—
|
133
|
||||||||||||||||||
Series 2531, Cl. ST, 56.618%, 2/15/306
|
—
|
6,239
|
6,239
|
—
|
192
|
192
|
||||||||||||||||||
Series 2531, Cl. ST, 58.412%, 2/15/306
|
368,946
|
—
|
368,946
|
11,344
|
—
|
11,344
|
||||||||||||||||||
Series 2796, Cl. SD, 61.829%, 7/15/266
|
169,644
|
—
|
169,644
|
33,314
|
—
|
33,314
|
||||||||||||||||||
Series 2796, Cl. SD, 62.144%, 7/15/266
|
—
|
90,570
|
90,570
|
—
|
17,786
|
17,786
|
||||||||||||||||||
Series 2802, Cl. AS, 60.97%, 4/15/336
|
118,293
|
—
|
118,293
|
8,478
|
—
|
8,478
|
||||||||||||||||||
Series 2802, Cl. AS, 60.971%, 4/15/336
|
—
|
51,960
|
51,960
|
—
|
3,724
|
3,724
|
||||||||||||||||||
Series 2920, Cl. S, 63.682%, 1/15/356
|
—
|
378,768
|
378,768
|
—
|
64,194
|
64,194
|
||||||||||||||||||
Series 2920, Cl. S, 63.683%, 1/15/356
|
932,789
|
—
|
932,789
|
158,091
|
—
|
158,091
|
||||||||||||||||||
Series 3110, Cl. SL, 99.999%, 2/15/266
|
123,887
|
54,389
|
178,276
|
15,878
|
6,971
|
22,849
|
||||||||||||||||||
Series 3451, Cl. SB, 20.751%, 5/15/386
|
725,978
|
517,965
|
1,243,943
|
86,535
|
61,740
|
148,275
|
||||||||||||||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.812%, 6/1/267
|
41,694
|
—
|
41,694
|
38,195
|
—
|
38,195
|
||||||||||||||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.821%, 6/1/267
|
—
|
20,847
|
20,847
|
—
|
19,097
|
19,097
|
||||||||||||||||||
Federal National Mortgage Assn.:
|
||||||||||||||||||||||||
3.50%, 1/1/275
|
2,500,000
|
1,225,000
|
3,725,000
|
2,614,844
|
1,281,273
|
3,896,117
|
||||||||||||||||||
4%, 1/1/425
|
4,285,000
|
2,095,000
|
6,380,000
|
4,502,598
|
2,201,387
|
6,703,985
|
||||||||||||||||||
4.50%, 1/1/27-1/1/425
|
7,687,000
|
3,547,000
|
11,234,000
|
8,185,248
|
3,776,598
|
11,961,846
|
||||||||||||||||||
5%, 1/1/425
|
5,657,000
|
2,760,000
|
8,417,000
|
6,112,213
|
2,982,094
|
9,094,307
|
||||||||||||||||||
5.50%, 9/25/20
|
9,370
|
—
|
9,370
|
10,265
|
—
|
10,265
|
||||||||||||||||||
5.50%, 1/1/27-1/1/425
|
2,644,000
|
1,499,000
|
4,143,000
|
2,878,069
|
1,631,830
|
4,509,899
|
||||||||||||||||||
6%, 11/25/17-3/1/37
|
—
|
418,405
|
418,405
|
—
|
459,013
|
459,013
|
||||||||||||||||||
6%, 3/1/37
|
644,704
|
—
|
644,704
|
711,313
|
—
|
711,313
|
||||||||||||||||||
6%, 1/1/425
|
2,025,000
|
1,000,000
|
3,025,000
|
2,230,032
|
1,101,250
|
3,331,282
|
||||||||||||||||||
6.50%, 5/25/17-10/25/19
|
—
|
229,251
|
229,251
|
—
|
250,603
|
250,603
|
||||||||||||||||||
6.50%, 1/1/425
|
680,000
|
499,000
|
1,179,000
|
756,713
|
555,294
|
1,312,007
|
||||||||||||||||||
7%, 11/1/17
|
119,583
|
—
|
119,583
|
127,915
|
—
|
127,915
|
||||||||||||||||||
7%, 10/25/35
|
—
|
18,922
|
18,922
|
—
|
21,619
|
21,619
|
||||||||||||||||||
7.50%, 1/1/33
|
176,098
|
—
|
176,098
|
209,822
|
—
|
209,822
|
||||||||||||||||||
8.50%, 7/1/32
|
5,673
|
3,152
|
8,825
|
6,937
|
3,854
|
10,791
|
||||||||||||||||||
Federal National Mortgage Assn., 15 yr.:
|
||||||||||||||||||||||||
3%, 1/1/275
|
4,630,000
|
2,280,000
|
6,910,000
|
4,782,645
|
2,355,169
|
7,137,814
|
||||||||||||||||||
4%, 1/1/275
|
235,000
|
115,000
|
350,000
|
247,888
|
121,307
|
369,195
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
|
||||||||||||||||||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28
|
121,285
|
54,697
|
175,982
|
136,532
|
61,573
|
198,105
|
||||||||||||||||||
Trust 2003-130, Cl. CS, 13.513%, 12/25/333
|
—
|
42,689
|
42,689
|
—
|
49,558
|
49,558
|
||||||||||||||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23
|
—
|
662,000
|
662,000
|
—
|
737,095
|
737,095
|
||||||||||||||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20
|
721,364
|
326,057
|
1,047,421
|
772,696
|
349,259
|
1,121,955
|
||||||||||||||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17
|
87,826
|
54,523
|
142,349
|
88,598
|
55,002
|
143,600
|
||||||||||||||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25
|
700,000
|
—
|
700,000
|
776,851
|
—
|
776,851
|
||||||||||||||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28
|
61,136
|
27,028
|
88,164
|
61,308
|
27,105
|
88,413
|
||||||||||||||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28
|
26,639
|
18,021
|
44,660
|
26,690
|
18,055
|
44,745
|
||||||||||||||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29
|
42,270
|
20,023
|
62,293
|
42,506
|
20,135
|
62,641
|
||||||||||||||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35
|
—
|
250,000
|
250,000
|
—
|
304,167
|
304,167
|
||||||||||||||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33
|
266,714
|
—
|
266,714
|
278,672
|
—
|
278,672
|
||||||||||||||||||
Trust 2006-46, Cl. SW, 23.123%, 6/25/363
|
151,290
|
69,120
|
220,410
|
211,240
|
96,509
|
307,749
|
||||||||||||||||||
Trust 2006-50, Cl. KS, 23.124%, 6/25/363
|
—
|
49,542
|
49,542
|
—
|
69,129
|
69,129
|
||||||||||||||||||
Trust 2007-42, Cl. A, 6%, 2/1/33
|
349,324
|
168,639
|
517,963
|
366,115
|
176,745
|
542,860
|
||||||||||||||||||
Trust 2009-36, Cl. FA, 1.234%, 6/25/373
|
358,304
|
174,419
|
532,723
|
362,778
|
176,597
|
539,375
|
||||||||||||||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19
|
433,702
|
433,702
|
457,191
|
—
|
457,191
|
|||||||||||||||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35
|
530,387
|
—
|
530,387
|
545,953
|
—
|
545,953
|
||||||||||||||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41
|
190,903
|
89,607
|
280,510
|
202,069
|
94,849
|
296,918
|
||||||||||||||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40
|
278,638
|
137,035
|
415,673
|
301,981
|
148,515
|
450,496
|
||||||||||||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
|
||||||||||||||||||||||||
Trust 2001-65, Cl. S, 36.887%, 11/25/316
|
328,819
|
—
|
328,819
|
59,590
|
—
|
59,590
|
||||||||||||||||||
Trust 2001-65, Cl. S, 36.947%, 11/25/316
|
—
|
151,986
|
151,986
|
—
|
27,544
|
27,544
|
||||||||||||||||||
Trust 2001-81, Cl. S, 31.648%, 1/25/326
|
77,633
|
—
|
77,633
|
15,352
|
—
|
15,352
|
||||||||||||||||||
Trust 2001-81, Cl. S, 31.823%, 1/25/326
|
—
|
38,164
|
38,164
|
7,547
|
7,547
|
|||||||||||||||||||
Trust 2002-47, Cl. NS, 34.45%, 4/25/326
|
185,860
|
—
|
185,860
|
35,476
|
—
|
35,476
|
||||||||||||||||||
Trust 2002-47, Cl. NS, 34.496%, 4/25/326
|
—
|
98,822
|
98,822
|
—
|
18,863
|
18,863
|
||||||||||||||||||
Trust 2002-51, Cl. S, 34.703%, 8/25/326
|
170,663
|
—
|
170,663
|
32,581
|
—
|
32,581
|
||||||||||||||||||
Trust 2002-51, Cl. S, 34.75%, 8/25/326
|
—
|
90,742
|
90,742
|
—
|
17,323
|
17,323
|
||||||||||||||||||
Trust 2002-52, Cl. SD, 41.209%, 9/25/326
|
214,578
|
—
|
214,578
|
42,915
|
—
|
42,915
|
||||||||||||||||||
Trust 2002-52, Cl. SD, 41.24%, 9/25/326
|
—
|
116,437
|
116,437
|
—
|
23,287
|
23,287
|
||||||||||||||||||
Trust 2002-77, Cl. SH, 41.713%, 12/18/326
|
113,096
|
—
|
113,096
|
22,106
|
—
|
22,106
|
||||||||||||||||||
Trust 2002-77, Cl. SH, 41.717%, 12/18/326
|
—
|
51,779
|
51,779
|
—
|
10,121
|
10,121
|
||||||||||||||||||
Trust 2002-84, Cl. SA, 40.239%, 12/25/326
|
304,774
|
—
|
304,774
|
52,674
|
—
|
52,674
|
||||||||||||||||||
Trust 2002-84, Cl. SA, 40.33%, 12/25/326
|
—
|
141,467
|
141,467
|
—
|
24,450
|
24,450
|
||||||||||||||||||
Trust 2002-9, Cl. MS, 33.177%, 3/25/326
|
121,884
|
—
|
121,884
|
23,634
|
—
|
23,634
|
||||||||||||||||||
Trust 2003-33, Cl. SP, 40.163%, 5/25/336
|
350,732
|
—
|
350,732
|
57,225
|
—
|
57,225
|
||||||||||||||||||
Trust 2003-33, Cl. SP, 40.27%, 5/25/336
|
—
|
159,728
|
159,728
|
—
|
26,061
|
26,061
|
||||||||||||||||||
Trust 2003-4, Cl. S, 36.497%, 2/25/336
|
194,987
|
—
|
194,987
|
34,270
|
—
|
34,270
|
||||||||||||||||||
Trust 2003-4, Cl. S, 36.563%, 2/25/336
|
—
|
91,758
|
91,758
|
—
|
16,127
|
16,127
|
||||||||||||||||||
Trust 2003-46, Cl. IH, 16.403%, 6/1/236
|
1,063,523
|
1,063,523
|
132,960
|
132,960
|
||||||||||||||||||||
Trust 2003-89, Cl. XS, 40.735%, 11/25/326
|
—
|
14,820
|
14,820
|
—
|
745
|
745
|
||||||||||||||||||
Trust 2003-89, Cl. XS, 40.943%, 11/25/326
|
87,834
|
—
|
87,834
|
4,413
|
—
|
4,413
|
||||||||||||||||||
Trust 2004-54, Cl. DS, 51.305%, 11/25/306
|
182,972
|
182,972
|
34,373
|
—
|
34,373
|
|||||||||||||||||||
Trust 2004-54, Cl. DS, 51.343%, 11/25/306
|
—
|
93,650
|
93,650
|
—
|
17,593
|
17,593
|
||||||||||||||||||
Trust 2004-56, Cl. SE, 16.111%, 10/25/336
|
—
|
88,670
|
88,670
|
—
|
12,452
|
12,452
|
||||||||||||||||||
Trust 2005-14, Cl. SE, 41.53%, 3/25/356
|
134,956
|
—
|
134,956
|
19,579
|
—
|
19,579
|
||||||||||||||||||
Trust 2005-40, Cl. SA, 60.391%, 5/25/356
|
505,274
|
—
|
505,274
|
89,975
|
—
|
89,975
|
||||||||||||||||||
Trust 2005-40, Cl. SA, 60.45%, 5/25/356
|
—
|
208,785
|
208,785
|
—
|
37,179
|
37,179
|
||||||||||||||||||
Trust 2005-71, Cl. SA, 61.101%, 8/25/256
|
515,615
|
—
|
515,615
|
72,292
|
—
|
72,292
|
||||||||||||||||||
Trust 2005-71, Cl. SA, 61.197%, 8/25/256
|
—
|
240,150
|
240,150
|
—
|
33,670
|
33,670
|
||||||||||||||||||
Trust 2005-93, Cl. SI, 18.704%, 10/25/356
|
96,809
|
111,868
|
208,677
|
14,289
|
16,511
|
30,800
|
||||||||||||||||||
Trust 2006-129, Cl. SM, 28.813%, 1/25/376
|
604,763
|
430,135
|
1,034,898
|
86,646
|
61,627
|
148,273
|
||||||||||||||||||
Trust 2006-60, Cl. DI, 38.798%, 4/25/356
|
81,947
|
—
|
81,947
|
11,823
|
—
|
11,823
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Trust 2007-88, Cl. XI, 35.148%, 6/25/376
|
550,091
|
—
|
550,091
|
78,478
|
—
|
78,478
|
||||||||||||||||||
Trust 2008-55, Cl. SA, 25.433%, 7/25/386
|
—
|
274,486
|
274,486
|
—
|
30,469
|
30,469
|
||||||||||||||||||
Trust 2008-55, Cl. SA, 25.574%, 7/25/386
|
381,957
|
—
|
381,957
|
42,398
|
—
|
42,398
|
||||||||||||||||||
Trust 2008-67, Cl. KS, 48.433%, 8/25/346
|
199,750
|
184,515
|
384,265
|
14,558
|
13,448
|
28,006
|
||||||||||||||||||
Trust 222, Cl. 2, 24.79%, 6/1/236
|
315,791
|
—
|
315,791
|
59,435
|
59,435
|
|||||||||||||||||||
Trust 222, Cl. 2, 25.073%, 6/1/236
|
—
|
164,360
|
164,360
|
—
|
30,934
|
30,934
|
||||||||||||||||||
Trust 233, Cl. 2, 43.257%, 8/1/236
|
307,466
|
—
|
307,466
|
59,505
|
—
|
59,505
|
||||||||||||||||||
Trust 252, Cl. 2, 36.675%, 11/1/236
|
—
|
140,553
|
140,553
|
—
|
25,828
|
25,828
|
||||||||||||||||||
Trust 252, Cl. 2, 36.731%, 11/1/236
|
263,105
|
—
|
263,105
|
48,348
|
—
|
48,348
|
||||||||||||||||||
Trust 319, Cl. 2, 6.059%, 2/1/326
|
81,417
|
—
|
81,417
|
14,738
|
—
|
14,738
|
||||||||||||||||||
Trust 319, Cl. 2, 6.073%, 2/1/326
|
—
|
34,942
|
34,942
|
—
|
6,325
|
6,325
|
||||||||||||||||||
Trust 320, Cl. 2, 11.724%, 4/1/326
|
—
|
30,819
|
30,819
|
—
|
5,379
|
5,379
|
||||||||||||||||||
Trust 321, Cl. 2, 1.47%, 4/1/326
|
—
|
374,769
|
374,769
|
—
|
67,753
|
67,753
|
||||||||||||||||||
Trust 331, Cl. 9, 13.163%, 2/1/336
|
255,461
|
107,940
|
363,401
|
50,232
|
21,224
|
71,456
|
||||||||||||||||||
Trust 334, Cl. 17, 20.772%, 2/1/336
|
148,926
|
71,306
|
220,232
|
32,853
|
15,730
|
48,583
|
||||||||||||||||||
Trust 339, Cl. 12, 2.509%, 7/1/336
|
249,514
|
—
|
249,514
|
47,615
|
—
|
47,615
|
||||||||||||||||||
Trust 339, Cl. 12, 2.516%, 7/1/336
|
—
|
104,774
|
104,774
|
—
|
19,994
|
19,994
|
||||||||||||||||||
Trust 339, Cl. 7, 4.929%, 7/1/336
|
—
|
288,863
|
288,863
|
—
|
41,184
|
41,184
|
||||||||||||||||||
Trust 339, Cl. 7, 6.752%, 7/1/336
|
836,751
|
—
|
836,751
|
119,298
|
—
|
119,298
|
||||||||||||||||||
Trust 343, Cl. 13, 10.169%, 9/1/336
|
—
|
100,844
|
100,844
|
—
|
18,759
|
18,759
|
||||||||||||||||||
Trust 343, Cl. 13, 10.17%, 9/1/336
|
239,504
|
—
|
239,504
|
44,553
|
—
|
44,553
|
||||||||||||||||||
Trust 345, Cl. 9, 0%, 1/1/346,8
|
310,390
|
133,807
|
444,197
|
40,167
|
17,316
|
57,483
|
||||||||||||||||||
Trust 351, Cl. 10, 0.79%, 4/1/346
|
35,430
|
13,778
|
49,208
|
5,170
|
2,010
|
7,180
|
||||||||||||||||||
Trust 351, Cl. 8, 1.45%, 4/1/346
|
111,218
|
47,243
|
158,461
|
16,394
|
6,964
|
23,358
|
||||||||||||||||||
Trust 356, Cl. 10, 1.267%, 6/1/356
|
87,783
|
38,875
|
126,658
|
12,792
|
5,665
|
18,457
|
||||||||||||||||||
Trust 356, Cl. 12, 1.968%, 2/1/356
|
46,186
|
—
|
46,186
|
6,733
|
—
|
6,733
|
||||||||||||||||||
Trust 356, Cl. 12, 1.975%, 2/1/356
|
—
|
23,093
|
23,093
|
—
|
3,366
|
3,366
|
||||||||||||||||||
Trust 362, Cl. 13, 3.439%, 8/1/356
|
337,362
|
114,126
|
451,488
|
54,105
|
18,303
|
72,408
|
||||||||||||||||||
Trust 364, Cl. 16, 0.173%, 9/1/356
|
—
|
101,337
|
101,337
|
—
|
16,914
|
16,914
|
||||||||||||||||||
Trust 364, Cl. 16, 0.174%, 9/1/356
|
242,082
|
—
|
242,082
|
40,407
|
—
|
40,407
|
||||||||||||||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.29%, 9/25/237
|
—
|
55,768
|
55,768
|
—
|
50,469
|
50,469
|
||||||||||||||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.309%, 9/25/237
|
117,021
|
—
|
117,021
|
105,902
|
—
|
105,902
|
||||||||||||||||||
46,625,032
|
22,670,258
|
69,295,290
|
||||||||||||||||||||||
GNMA/Guaranteed—0.3%
|
||||||||||||||||||||||||
Government National Mortgage Assn.:
|
||||||||||||||||||||||||
7%, 1/30/24
|
—
|
75,147
|
75,147
|
—
|
87,047
|
87,047
|
||||||||||||||||||
7.50%, 1/30/23-6/30/24
|
—
|
74,042
|
74,042
|
—
|
83,962
|
83,962
|
||||||||||||||||||
8%, 5/30/17
|
—
|
24,600
|
24,600
|
—
|
27,312
|
27,312
|
||||||||||||||||||
8%, 4/15/23
|
50,341
|
—
|
50,341
|
59,309
|
—
|
59,309
|
||||||||||||||||||
8.50%, 8/1/17-12/15/17
|
—
|
19,300
|
19,300
|
—
|
21,790
|
21,790
|
||||||||||||||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
|
||||||||||||||||||||||||
Series 2001-21, Cl. SB, 91.36%, 1/16/276
|
211,360
|
—
|
211,360
|
41,625
|
—
|
41,625
|
||||||||||||||||||
Series 2001-21, Cl. SB, 91.414%, 1/16/276
|
—
|
108,842
|
108,842
|
—
|
21,435
|
21,435
|
||||||||||||||||||
Series 2002-15, Cl. SM, 82.482%, 2/16/326
|
—
|
125,400
|
125,400
|
—
|
23,276
|
23,276
|
||||||||||||||||||
Series 2002-15, Cl. SM, 82.507%, 2/16/326
|
246,720
|
—
|
246,720
|
45,794
|
—
|
45,794
|
||||||||||||||||||
Series 2002-76, Cl. SY, 83.146%, 12/16/266
|
—
|
272,168
|
272,168
|
—
|
55,064
|
55,064
|
||||||||||||||||||
Series 2002-76, Cl. SY, 83.178%, 12/16/266
|
540,644
|
—
|
540,644
|
109,381
|
—
|
109,381
|
||||||||||||||||||
Series 2004-11, Cl. SM, 73.937%, 1/17/306
|
—
|
100,051
|
100,051
|
—
|
22,803
|
22,803
|
||||||||||||||||||
Series 2004-11, Cl. SM, 80.843%, 1/17/306
|
197,888
|
—
|
197,888
|
45,101
|
—
|
45,101
|
||||||||||||||||||
Series 2007-17, Cl. AI, 21.004%, 4/16/376
|
475,917
|
—
|
475,917
|
89,263
|
—
|
89,263
|
||||||||||||||||||
Series 2007-17, Cl. AI, 21.009%, 4/16/376
|
—
|
339,038
|
339,038
|
—
|
63,590
|
63,590
|
||||||||||||||||||
390,473
|
406,279
|
796,752
|
||||||||||||||||||||||
Other Agency—0.2%
|
||||||||||||||||||||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.834%, 12/8/203
|
347,813
|
210,518
|
558,331
|
349,225
|
211,373
|
560,598
|
||||||||||||||||||
Non-Agency—4.8%
|
||||||||||||||||||||||||
Commercial—3.6%
|
||||||||||||||||||||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49
|
355,000
|
160,000
|
515,000
|
387,161
|
174,495
|
561,656
|
||||||||||||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.622%, 6/1/493
|
180,000
|
90,000
|
270,000
|
193,776
|
96,888
|
290,664
|
||||||||||||||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.669%, 6/1/473
|
244,346
|
244,346
|
170,875
|
170,875
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/442
|
67,207
|
31,363
|
98,570
|
67,053
|
31,291
|
98,344
|
||||||||||||||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37
|
51,542
|
—
|
51,542
|
40,788
|
—
|
40,788
|
||||||||||||||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.072%, 12/1/493
|
300,000
|
160,000
|
460,000
|
334,582
|
178,444
|
513,026
|
||||||||||||||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49
|
290,000
|
135,000
|
425,000
|
308,768
|
143,737
|
452,505
|
||||||||||||||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36
|
238,868
|
102,372
|
341,240
|
130,853
|
56,080
|
186,933
|
||||||||||||||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/462
|
278,414
|
136,765
|
415,179
|
286,650
|
140,811
|
427,461
|
||||||||||||||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.858%, 9/1/202,6
|
—
|
1,072,068
|
1,072,068
|
—
|
80,572
|
80,572
|
||||||||||||||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.859%, 9/1/202,6
|
2,197,256
|
—
|
2,197,256
|
165,137
|
—
|
165,137
|
||||||||||||||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35
|
249,510
|
106,458
|
355,968
|
243,426
|
103,862
|
347,288
|
||||||||||||||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37
|
449,147
|
95,158
|
544,305
|
294,661
|
62,428
|
357,089
|
||||||||||||||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.857%, 11/1/373
|
—
|
69,236
|
69,236
|
—
|
42,262
|
42,262
|
||||||||||||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49
|
70,000
|
230,000
|
300,000
|
75,829
|
249,153
|
324,982
|
||||||||||||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39
|
235,000
|
115,000
|
350,000
|
221,593
|
108,439
|
330,032
|
||||||||||||||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44
|
182,343
|
86,830
|
269,173
|
186,451
|
88,786
|
275,237
|
||||||||||||||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35
|
—
|
134,558
|
134,558
|
—
|
124,148
|
124,148
|
||||||||||||||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.834%, 5/25/353
|
148,829
|
123,339
|
272,168
|
101,340
|
83,984
|
185,324
|
||||||||||||||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.11%, 11/1/353
|
315,769
|
—
|
315,769
|
215,229
|
—
|
215,229
|
||||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates:
|
||||||||||||||||||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462
|
209,174
|
102,362
|
311,536
|
210,091
|
102,810
|
312,901
|
||||||||||||||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/432
|
340,000
|
165,000
|
505,000
|
353,925
|
171,758
|
525,683
|
||||||||||||||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/494
|
127,552
|
50,110
|
177,662
|
128,776
|
50,591
|
179,367
|
||||||||||||||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49
|
355,000
|
165,000
|
520,000
|
366,823
|
170,495
|
537,318
|
||||||||||||||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49
|
40,000
|
20,000
|
60,000
|
43,409
|
21,705
|
65,114
|
||||||||||||||||||
Series 2007-LD11, Cl. A2, 5.802%, 6/15/493
|
268,798
|
—
|
268,798
|
271,887
|
—
|
271,887
|
||||||||||||||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37
|
332,593
|
—
|
332,593
|
279,692
|
—
|
279,692
|
||||||||||||||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40
|
107,611
|
—
|
107,611
|
107,690
|
—
|
107,690
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40
|
415,000
|
205,000
|
620,000
|
456,450
|
225,475
|
681,925
|
||||||||||||||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.664%, 4/1/343
|
198,378
|
—
|
198,378
|
191,352
|
—
|
191,352
|
||||||||||||||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34
|
470,261
|
203,824
|
674,085
|
482,720
|
209,224
|
691,944
|
||||||||||||||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.879%, 6/1/493
|
230,000
|
115,000
|
345,000
|
217,466
|
108,733
|
326,199
|
||||||||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.118%, 7/1/373
|
304,680
|
—
|
304,680
|
183,410
|
—
|
183,410
|
||||||||||||||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48
|
—
|
40,000
|
40,000
|
—
|
43,536
|
43,536
|
||||||||||||||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46
|
260,000
|
120,000
|
380,000
|
286,373
|
132,172
|
418,545
|
||||||||||||||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.474%, 12/1/353
|
153,943
|
—
|
153,943
|
119,433
|
—
|
119,433
|
||||||||||||||||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/432
|
176,891
|
83,791
|
260,682
|
183,613
|
86,974
|
270,587
|
||||||||||||||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.719%, 2/1/353
|
—
|
67,325
|
67,325
|
—
|
59,363
|
59,363
|
||||||||||||||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.042%, 11/1/373
|
213,735
|
—
|
213,735
|
155,757
|
—
|
155,757
|
||||||||||||||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.82%, 3/1/446
|
2,833,135
|
1,309,891
|
4,143,026
|
251,663
|
116,356
|
368,019
|
||||||||||||||||||
7,714,702
|
3,264,572
|
10,979,274
|
||||||||||||||||||||||
Multifamily—0.2%
|
||||||||||||||||||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.672%, 6/1/363
|
203,226
|
—
|
203,226
|
165,839
|
—
|
165,839
|
||||||||||||||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.259%, 5/1/373
|
42,477
|
—
|
42,477
|
34,372
|
—
|
34,372
|
||||||||||||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.689%, 3/25/363
|
521,619
|
226,883
|
748,502
|
417,110
|
181,426
|
598,536
|
||||||||||||||||||
617,321
|
181,426
|
798,747
|
||||||||||||||||||||||
Other—0.2%
|
||||||||||||||||||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39
|
320,000
|
145,000
|
465,000
|
347,679
|
157,542
|
505,221
|
||||||||||||||||||
Residential—0.8%
|
||||||||||||||||||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.544%, 5/1/363
|
80,000
|
—
|
80,000
|
70,893
|
—
|
70,893
|
||||||||||||||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.866%, 6/1/343
|
128,623
|
128,623
|
257,246
|
113,717
|
113,717
|
227,434
|
||||||||||||||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35
|
62,243
|
—
|
62,243
|
52,213
|
—
|
52,213
|
||||||||||||||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36
|
169,268
|
—
|
169,268
|
161,050
|
—
|
161,050
|
||||||||||||||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35
|
688,524
|
110,164
|
798,688
|
540,622
|
86,500
|
627,122
|
||||||||||||||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37
|
195,456
|
—
|
195,456
|
136,115
|
—
|
136,115
|
||||||||||||||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36
|
169,436
|
—
|
169,436
|
164,920
|
—
|
164,920
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36
|
119,999
|
—
|
119,999
|
103,140
|
—
|
103,140
|
||||||||||||||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33
|
116,801
|
54,608
|
171,409
|
121,208
|
56,669
|
177,877
|
||||||||||||||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36
|
24,192
|
—
|
24,192
|
13,734
|
—
|
13,734
|
||||||||||||||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36
|
39,406
|
—
|
39,406
|
30,547
|
—
|
30,547
|
||||||||||||||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.467%, 5/1/373
|
204,503
|
—
|
204,503
|
170,770
|
—
|
170,770
|
||||||||||||||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37
|
174,937
|
—
|
174,937
|
136,051
|
—
|
136,051
|
||||||||||||||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.625%, 9/1/343
|
85,387
|
107,311
|
192,698
|
81,395
|
102,294
|
183,689
|
||||||||||||||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35
|
—
|
107,303
|
107,303
|
—
|
103,212
|
103,212
|
||||||||||||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.667%, 10/1/363
|
198,909
|
—
|
198,909
|
167,167
|
—
|
167,167
|
||||||||||||||||||
2,063,542
|
462,392
|
2,525,934
|
||||||||||||||||||||||
Total Mortgage-Backed Obligations (Cost $56,907,510, Cost $26,567,738, Combined $83,475,248)
|
58,107,974
|
27,353,842
|
85,461,816
|
|||||||||||||||||||||
U.S. Government Obligations—0.6%
|
||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. Nts.:
|
||||||||||||||||||||||||
2%, 8/25/16
|
65,000
|
40,000
|
105,000
|
67,696
|
41,659
|
109,355
|
||||||||||||||||||
2.50%, 5/27/16
|
100,000
|
60,000
|
160,000
|
106,063
|
63,638
|
169,701
|
||||||||||||||||||
5%, 2/16/17
|
115,000
|
65,000
|
180,000
|
135,958
|
76,846
|
212,804
|
||||||||||||||||||
5.25%, 4/18/16
|
195,000
|
105,000
|
300,000
|
230,030
|
123,862
|
353,892
|
||||||||||||||||||
5.50%, 7/18/16
|
110,000
|
65,000
|
175,000
|
131,364
|
77,624
|
208,988
|
||||||||||||||||||
Federal National Mortgage Assn. Nts.:
|
||||||||||||||||||||||||
2.375%, 4/11/169
|
190,000
|
110,000
|
300,000
|
201,032
|
116,387
|
317,419
|
||||||||||||||||||
4.875%, 12/15/16
|
160,000
|
47,000
|
207,000
|
188,755
|
55,447
|
244,202
|
||||||||||||||||||
5%, 3/15/169
|
120,000
|
70,000
|
190,000
|
140,028
|
81,683
|
221,711
|
||||||||||||||||||
5.375%, 6/12/17
|
—
|
46,000
|
46,000
|
—
|
55,672
|
55,672
|
||||||||||||||||||
Total U.S. Government Obligations (Cost $1,127,545, Cost $655,958, Combined $1,783,503)
|
1,200,926
|
692,818
|
1,893,744
|
|||||||||||||||||||||
Non-Convertible Corporate Bonds and Notes—18.2%
|
||||||||||||||||||||||||
Consumer Discretionary—3.0%
|
||||||||||||||||||||||||
Automobiles—0.3%
|
||||||||||||||||||||||||
Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/142
|
153,000
|
74,000
|
227,000
|
152,291
|
73,657
|
225,948
|
||||||||||||||||||
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31
|
88,000
|
43,000
|
131,000
|
123,203
|
60,201
|
183,404
|
||||||||||||||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21
|
236,000
|
115,000
|
351,000
|
246,321
|
120,030
|
366,351
|
||||||||||||||||||
521,815
|
253,888
|
775,703
|
||||||||||||||||||||||
Diversified Consumer Services—0.1%
|
||||||||||||||||||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15
|
230,000
|
110,000
|
340,000
|
248,400
|
118,800
|
367,200
|
||||||||||||||||||
Hotels, Restaurants & Leisure—0.3%
|
||||||||||||||||||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152
|
349,000
|
171,000
|
520,000
|
374,101
|
183,299
|
557,400
|
||||||||||||||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16
|
255,000
|
122,000
|
377,000
|
286,944
|
137,283
|
424,227
|
||||||||||||||||||
661,045
|
320,582
|
981,627
|
||||||||||||||||||||||
Household Durables—0.4%
|
||||||||||||||||||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22
|
201,000
|
98,000
|
299,000
|
206,528
|
100,695
|
307,223
|
||||||||||||||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13
|
223,000
|
107,000
|
330,000
|
233,922
|
112,241
|
346,163
|
||||||||||||||||||
Whirlpool Corp.:
|
||||||||||||||||||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13
|
90,000
|
44,000
|
134,000
|
93,567
|
45,744
|
139,311
|
||||||||||||||||||
8% Sr. Unsec. Nts., 5/1/12
|
180,000
|
85,000
|
265,000
|
184,037
|
86,906
|
270,943
|
||||||||||||||||||
718,054
|
345,586
|
1,063,640
|
||||||||||||||||||||||
Leisure Equipment & Products—0.1%
|
||||||||||||||||||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13
|
215,000
|
110,000
|
325,000
|
225,985
|
115,620
|
341,605
|
||||||||||||||||||
Media—1.2%
|
||||||||||||||||||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22
|
138,000
|
67,000
|
205,000
|
196,932
|
95,612
|
292,544
|
||||||||||||||||||
Comcast Corp., 6.40% Sr. Unsec. Nts., 3/1/40
|
52,000
|
25,000
|
77,000
|
64,752
|
31,131
|
95,883
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18
|
188,000
|
92,000
|
280,000
|
207,740
|
101,660
|
309,400
|
||||||||||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41
|
182,000
|
87,000
|
269,000
|
210,208
|
100,484
|
310,692
|
||||||||||||||||||
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21
|
201,000
|
99,000
|
300,000
|
217,583
|
107,168
|
324,751
|
||||||||||||||||||
Historic TW, Inc., 9.125% Debs., 1/15/13
|
78,000
|
37,000
|
115,000
|
84,128
|
39,907
|
124,035
|
||||||||||||||||||
Interpublic Group of Cos., Inc. (The):
|
||||||||||||||||||||||||
6.25% Sr. Unsec. Nts., 11/15/14
|
80,000
|
40,000
|
120,000
|
85,400
|
42,700
|
128,100
|
||||||||||||||||||
10% Sr. Unsec. Nts., 7/15/17
|
264,000
|
126,000
|
390,000
|
302,940
|
144,585
|
447,525
|
||||||||||||||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14
|
218,000
|
102,000
|
320,000
|
245,250
|
114,750
|
360,000
|
||||||||||||||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41
|
130,000
|
64,000
|
194,000
|
150,098
|
73,894
|
223,992
|
||||||||||||||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33
|
122,000
|
59,000
|
181,000
|
160,126
|
77,438
|
237,564
|
||||||||||||||||||
Time Warner, Inc., 4% Sr. Unsec. Unsub. Nts., 1/15/22
|
203,000
|
99,000
|
302,000
|
209,734
|
102,284
|
312,018
|
||||||||||||||||||
Virgin Media Secured Finance plc:
|
132,000
|
63,000
|
195,000
|
140,053
|
66,843
|
206,896
|
||||||||||||||||||
5.25% Sr. Sec. Nts., 1/15/21
|
||||||||||||||||||||||||
6.50% Sr. Sec. Nts., 1/15/18
|
282,000
|
135,000
|
417,000
|
301,035
|
144,113
|
445,148
|
||||||||||||||||||
2,575,979
|
1,242,569
|
3,818,548
|
||||||||||||||||||||||
Multiline Retail—0.3%
|
||||||||||||||||||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21
|
127,000
|
62,000
|
189,000
|
130,891
|
63,900
|
194,791
|
||||||||||||||||||
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14
|
336,000
|
164,000
|
500,000
|
357,659
|
174,571
|
532,230
|
||||||||||||||||||
Target Corp., 7% Bonds, 1/15/38
|
46,000
|
23,000
|
69,000
|
64,408
|
32,204
|
96,612
|
||||||||||||||||||
552,958
|
270,675
|
823,633
|
||||||||||||||||||||||
Specialty Retail—0.3%
|
||||||||||||||||||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21
|
198,000
|
98,000
|
296,000
|
210,870
|
104,370
|
315,240
|
||||||||||||||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20
|
240,000
|
115,000
|
355,000
|
243,000
|
116,438
|
359,438
|
||||||||||||||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/192
|
214,000
|
105,000
|
319,000
|
224,700
|
110,250
|
334,950
|
||||||||||||||||||
678,570
|
331,058
|
1,009,628
|
||||||||||||||||||||||
Consumer Staples—1.2%
|
||||||||||||||||||||||||
Beverages—0.2%
|
||||||||||||||||||||||||
Anheuser-Busch Inbev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19
|
111,000
|
54,000
|
165,000
|
143,926
|
70,018
|
213,944
|
||||||||||||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14
|
55,000
|
27,000
|
82,000
|
60,185
|
29,545
|
89,730
|
||||||||||||||||||
Pernod-Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/222
|
211,000
|
104,000
|
315,000
|
221,399
|
109,125
|
330,524
|
||||||||||||||||||
425,510
|
208,688
|
634,198
|
||||||||||||||||||||||
Food & Staples Retailing—0.2%
|
||||||||||||||||||||||||
CVS Caremark Corp., 6.125% Sr. Unsec. Unsub. Nts., 9/15/39
|
80,000
|
39,000
|
119,000
|
97,521
|
47,542
|
145,063
|
||||||||||||||||||
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40
|
63,000
|
31,000
|
94,000
|
64,785
|
31,878
|
96,663
|
||||||||||||||||||
Kroger Co. (The), 5% Sr. Nts., 4/15/13
|
199,000
|
97,000
|
296,000
|
208,270
|
101,518
|
309,788
|
||||||||||||||||||
370,576
|
180,938
|
551,514
|
||||||||||||||||||||||
Food Products—0.4%
|
||||||||||||||||||||||||
Bunge Ltd. Finance Corp.:
|
||||||||||||||||||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14
|
29,000
|
45,000
|
74,000
|
30,436
|
47,229
|
77,665
|
||||||||||||||||||
8.50% Sr. Unsec. Nts., 6/15/19
|
155,000
|
50,000
|
205,000
|
188,888
|
60,932
|
249,820
|
||||||||||||||||||
Kraft Foods, Inc.:
|
207,000
|
99,000
|
306,000
|
218,160
|
104,337
|
322,497
|
||||||||||||||||||
6% Sr. Unsec. Nts., 2/11/13
|
||||||||||||||||||||||||
6.50% Sr. Unsec. Unsub. Nts., 2/9/40
|
120,000
|
59,000
|
179,000
|
156,388
|
76,891
|
233,279
|
||||||||||||||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18
|
240,000
|
113,000
|
353,000
|
260,400
|
122,605
|
383,005
|
||||||||||||||||||
854,272
|
411,994
|
1,266,266
|
||||||||||||||||||||||
Household Products—0.1%
|
||||||||||||||||||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/212
|
233,000
|
113,000
|
346,000
|
245,581
|
119,101
|
364,682
|
||||||||||||||||||
Tobacco—0.3%
|
||||||||||||||||||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39
|
177,000
|
85,000
|
262,000
|
275,834
|
132,463
|
408,297
|
||||||||||||||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41
|
149,000
|
72,000
|
221,000
|
156,856
|
75,796
|
232,652
|
||||||||||||||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13
|
214,000
|
105,000
|
319,000
|
229,619
|
112,664
|
342,283
|
||||||||||||||||||
662,309
|
320,923
|
983,232
|
||||||||||||||||||||||
Energy—2.5%
|
||||||||||||||||||||||||
Energy Equipment & Services—0.6%
|
||||||||||||||||||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21
|
235,000
|
115,000
|
350,000
|
245,096
|
119,940
|
365,036
|
||||||||||||||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18
|
286,000
|
139,000
|
425,000
|
319,817
|
155,435
|
475,252
|
||||||||||||||||||
Precision Drilling Corp.:
|
||||||||||||||||||||||||
6.50% Sr. Unsec. Nts., 12/15/212
|
102,000
|
50,000
|
152,000
|
104,550
|
51,250
|
155,800
|
||||||||||||||||||
6.625% Sr. Unsec. Nts., 11/15/20
|
97,000
|
48,000
|
145,000
|
99,668
|
49,320
|
148,988
|
||||||||||||||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17
|
244,000
|
119,000
|
363,000
|
256,764
|
125,225
|
381,989
|
||||||||||||||||||
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20
|
242,000
|
117,000
|
359,000
|
251,833
|
121,754
|
373,587
|
||||||||||||||||||
1,277,728
|
622,924
|
1,900,652
|
||||||||||||||||||||||
Oil, Gas & Consumable Fuels—1.9%
|
||||||||||||||||||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40
|
145,000
|
70,000
|
215,000
|
161,640
|
78,033
|
239,673
|
||||||||||||||||||
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/212
|
152,000
|
75,000
|
227,000
|
156,930
|
77,433
|
234,363
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19
|
199,000
|
98,000
|
297,000
|
208,950
|
102,900
|
311,850
|
||||||||||||||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/132
|
213,000
|
105,000
|
318,000
|
226,074
|
111,445
|
337,519
|
||||||||||||||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17
|
215,000
|
105,000
|
320,000
|
230,050
|
112,350
|
342,400
|
||||||||||||||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20
|
330,000
|
158,000
|
488,000
|
365,234
|
174,870
|
540,104
|
||||||||||||||||||
Encana Corp., 3.90% Sr. Unsec. Unsub. Nts., 11/15/21
|
79,000
|
—
|
79,000
|
79,493
|
—
|
79,493
|
||||||||||||||||||
Energy Transfer Partners LP, 4.65% Sr. Unsec. Unsub. Nts., 6/1/21
|
172,000
|
84,000
|
256,000
|
168,744
|
82,410
|
251,154
|
||||||||||||||||||
EQT Corp., 4.875% Sr. Unsec. Unsub. Nts., 11/15/21
|
130,000
|
64,000
|
194,000
|
131,432
|
64,705
|
196,137
|
||||||||||||||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13
|
383,000
|
183,000
|
566,000
|
403,854
|
192,964
|
596,818
|
||||||||||||||||||
Marathon Petroleum Corp., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21
|
110,000
|
54,000
|
164,000
|
115,082
|
56,495
|
171,577
|
||||||||||||||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20
|
195,000
|
96,000
|
291,000
|
209,625
|
103,200
|
312,825
|
||||||||||||||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37
|
245,000
|
118,000
|
363,000
|
259,918
|
125,185
|
385,103
|
||||||||||||||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19
|
212,000
|
102,000
|
314,000
|
237,440
|
114,240
|
351,680
|
||||||||||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142
|
140,000
|
60,000
|
200,000
|
150,500
|
64,500
|
215,000
|
||||||||||||||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152
|
393,000
|
188,000
|
581,000
|
388,715
|
185,950
|
574,665
|
||||||||||||||||||
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12
|
214,000
|
104,000
|
318,000
|
215,395
|
104,678
|
320,073
|
||||||||||||||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/212
|
165,000
|
80,000
|
245,000
|
168,731
|
81,809
|
250,540
|
||||||||||||||||||
3,877,807
|
1,833,167
|
5,710,974
|
||||||||||||||||||||||
Financials—5.6%
|
||||||||||||||||||||||||
Capital Markets—1.3%
|
||||||||||||||||||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192
|
405,000
|
195,000
|
600,000
|
429,052
|
206,581
|
635,633
|
||||||||||||||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34
|
232,000
|
108,000
|
340,000
|
196,624
|
91,532
|
288,156
|
||||||||||||||||||
Goldman Sachs Group, Inc. (The):
|
||||||||||||||||||||||||
5.25% Sr. Unsec. Nts., 7/27/21
|
326,000
|
160,000
|
486,000
|
318,497
|
156,318
|
474,815
|
||||||||||||||||||
6.25% Sr. Nts., 2/1/41
|
206,000
|
101,000
|
307,000
|
202,412
|
99,241
|
301,653
|
||||||||||||||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/212
|
314,000
|
152,000
|
466,000
|
289,883
|
140,325
|
430,208
|
||||||||||||||||||
Morgan Stanley:
|
||||||||||||||||||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/202
|
114,000
|
114,000
|
103,789
|
103,789
|
||||||||||||||||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17
|
595,000
|
345,000
|
940,000
|
574,843
|
333,312
|
908,155
|
||||||||||||||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16
|
223,000
|
107,000
|
330,000
|
217,861
|
104,534
|
322,395
|
||||||||||||||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12
|
237,000
|
117,000
|
354,000
|
240,025
|
118,493
|
358,518
|
||||||||||||||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13
|
94,000
|
45,000
|
139,000
|
93,210
|
44,622
|
137,832
|
||||||||||||||||||
2,666,196
|
1,294,958
|
3,961,154
|
||||||||||||||||||||||
Commercial Banks—1.0%
|
||||||||||||||||||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/122
|
258,000
|
124,000
|
382,000
|
262,526
|
126,175
|
388,701
|
||||||||||||||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37
|
433,000
|
208,000
|
641,000
|
426,505
|
204,880
|
631,385
|
||||||||||||||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353
|
510,000
|
250,000
|
760,000
|
425,850
|
208,750
|
634,600
|
||||||||||||||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202
|
174,000
|
84,000
|
258,000
|
145,779
|
70,376
|
216,155
|
||||||||||||||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13
|
147,000
|
71,000
|
218,000
|
153,246
|
74,017
|
227,263
|
||||||||||||||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12
|
227,000
|
110,000
|
337,000
|
232,579
|
112,704
|
345,283
|
||||||||||||||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10
|
162,000
|
78,000
|
240,000
|
174,353
|
83,948
|
258,301
|
||||||||||||||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14
|
306,000
|
146,000
|
452,000
|
324,687
|
154,916
|
479,603
|
||||||||||||||||||
2,145,525
|
1,035,766
|
3,181,291
|
||||||||||||||||||||||
Consumer Finance—0.5%
|
||||||||||||||||||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13
|
223,000
|
106,000
|
329,000
|
233,187
|
110,842
|
344,029
|
||||||||||||||||||
American Express Credit Corp., 2.80% Sr. Unsec. Unsub. Nts., 9/19/16
|
209,000
|
103,000
|
312,000
|
210,301
|
103,641
|
313,942
|
||||||||||||||||||
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21
|
205,000
|
100,000
|
305,000
|
211,291
|
103,069
|
314,360
|
||||||||||||||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16
|
312,000
|
150,000
|
462,000
|
303,734
|
146,026
|
449,760
|
||||||||||||||||||
958,513
|
463,578
|
1,422,091
|
||||||||||||||||||||||
Diversified Financial Services—0.9%
|
||||||||||||||||||||||||
Bank of America Corp., 3.75% Sr. Unsec. Unsub. Nts., 7/12/16
|
230,000
|
115,000
|
345,000
|
213,222
|
106,611
|
319,833
|
||||||||||||||||||
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17
|
669,000
|
327,000
|
996,000
|
715,037
|
349,502
|
1,064,539
|
||||||||||||||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/673,4
|
300,000
|
147,000
|
447,000
|
213,750
|
104,738
|
318,488
|
||||||||||||||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132
|
120,000
|
50,000
|
170,000
|
106,153
|
44,230
|
150,383
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
JPMorgan Chase & Co.:
|
||||||||||||||||||||||||
5.40% Sr. Unsec. Nts., 1/6/42
|
60,000
|
30,000
|
90,000
|
62,729
|
31,364
|
94,093
|
||||||||||||||||||
7.90% Perpetual Bonds, Series 110
|
379,000
|
183,000
|
562,000
|
404,879
|
195,496
|
600,375
|
||||||||||||||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38
|
193,000
|
95,000
|
288,000
|
183,612
|
90,379
|
273,991
|
||||||||||||||||||
1,899,382
|
922,320
|
2,821,702
|
||||||||||||||||||||||
Insurance—1.5%
|
||||||||||||||||||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40
|
60,000
|
29,000
|
89,000
|
71,915
|
34,759
|
106,674
|
||||||||||||||||||
CNA Financial Corp.:
|
||||||||||||||||||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21
|
197,000
|
93,000
|
290,000
|
201,319
|
95,039
|
296,358
|
||||||||||||||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20
|
114,000
|
55,000
|
169,000
|
117,264
|
56,575
|
173,839
|
||||||||||||||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/122
|
212,000
|
105,000
|
317,000
|
216,706
|
107,331
|
324,037
|
||||||||||||||||||
Hartford Financial Services Group, Inc. (The), 6.625% Sr. Unsec. Unsub. Nts., 3/30/40
|
139,000
|
68,000
|
207,000
|
138,155
|
67,587
|
205,742
|
||||||||||||||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16
|
228,000
|
109,000
|
337,000
|
211,718
|
101,216
|
312,934
|
||||||||||||||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/212
|
342,000
|
164,000
|
506,000
|
335,624
|
160,943
|
496,567
|
||||||||||||||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67
|
466,000
|
222,000
|
688,000
|
391,440
|
186,480
|
577,920
|
||||||||||||||||||
Prudential Financial, Inc., 5.375% Sr. Unsec. Unsub. Nts., 6/21/20
|
386,000
|
189,000
|
575,000
|
413,674
|
202,550
|
616,224
|
||||||||||||||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,10
|
455,000
|
218,000
|
673,000
|
389,030
|
186,393
|
575,423
|
||||||||||||||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20
|
146,000
|
71,000
|
217,000
|
150,538
|
73,207
|
223,745
|
||||||||||||||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16
|
241,000
|
116,000
|
357,000
|
245,050
|
117,949
|
362,999
|
||||||||||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/373,4
|
252,000
|
122,000
|
374,000
|
228,060
|
110,410
|
338,470
|
||||||||||||||||||
3,110,493
|
1,500,439
|
4,610,932
|
||||||||||||||||||||||
Real Estate Investment Trusts—0.4%
|
||||||||||||||||||||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12
|
123,000
|
57,000
|
180,000
|
123,794
|
57,368
|
181,162
|
||||||||||||||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12
|
54,000
|
26,000
|
80,000
|
54,000
|
26,000
|
80,000
|
||||||||||||||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13
|
216,000
|
106,000
|
322,000
|
225,990
|
110,902
|
336,892
|
||||||||||||||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12
|
93,000
|
43,000
|
136,000
|
93,070
|
43,032
|
136,102
|
||||||||||||||||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/122
|
226,000
|
108,000
|
334,000
|
231,603
|
110,677
|
342,280
|
||||||||||||||||||
728,457
|
347,979
|
1,076,436
|
||||||||||||||||||||||
Health Care—0.4%
|
||||||||||||||||||||||||
Biotechnology—0.1%
|
||||||||||||||||||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40
|
145,000
|
70,000
|
215,000
|
159,867
|
77,177
|
237,044
|
||||||||||||||||||
Health Care Providers & Services—0.2%
|
||||||||||||||||||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41
|
124,000
|
59,000
|
183,000
|
158,786
|
75,552
|
234,338
|
||||||||||||||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40
|
145,000
|
70,000
|
215,000
|
156,655
|
75,627
|
232,282
|
||||||||||||||||||
315,441
|
151,179
|
466,620
|
||||||||||||||||||||||
Pharmaceuticals—0.1%
|
||||||||||||||||||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182
|
245,000
|
120,000
|
365,000
|
253,269
|
124,050
|
377,319
|
||||||||||||||||||
Industrials—1.3%
|
||||||||||||||||||||||||
Aerospace & Defense—0.2%
|
||||||||||||||||||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16
|
230,000
|
110,000
|
340,000
|
236,900
|
113,300
|
350,200
|
||||||||||||||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18
|
205,000
|
100,000
|
305,000
|
225,500
|
110,000
|
335,500
|
||||||||||||||||||
462,400
|
223,300
|
685,700
|
||||||||||||||||||||||
Commercial Services & Supplies—0.2%
|
||||||||||||||||||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17
|
235,000
|
109,000
|
344,000
|
256,150
|
118,810
|
374,960
|
||||||||||||||||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16
|
203,000
|
100,000
|
303,000
|
204,269
|
100,625
|
304,894
|
||||||||||||||||||
460,419
|
219,435
|
679,854
|
||||||||||||||||||||||
Industrial Conglomerates—0.4%
|
||||||||||||||||||||||||
General Electric Capital Corp.:
|
||||||||||||||||||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12
|
215,000
|
105,000
|
320,000
|
217,632
|
106,285
|
323,917
|
||||||||||||||||||
4.65% Sr. Unsec. Nts., 10/17/21
|
203,000
|
99,000
|
302,000
|
212,198
|
103,486
|
315,684
|
||||||||||||||||||
5.25% Sr. Unsec. Nts., 10/19/12
|
34,000
|
15,000
|
49,000
|
35,197
|
15,528
|
50,725
|
||||||||||||||||||
6.375% Unsec. Sub. Bonds, 11/15/67
|
428,000
|
205,000
|
633,000
|
422,650
|
202,438
|
625,088
|
||||||||||||||||||
887,677
|
427,737
|
1,315,414
|
||||||||||||||||||||||
Machinery—0.3%
|
||||||||||||||||||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/162
|
214,000
|
105,000
|
319,000
|
221,490
|
108,675
|
330,165
|
||||||||||||||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21
|
97,000
|
47,000
|
144,000
|
103,704
|
50,248
|
153,952
|
||||||||||||||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/172
|
192,000
|
94,000
|
286,000
|
208,320
|
101,990
|
310,310
|
||||||||||||||||||
533,514
|
260,913
|
794,427
|
||||||||||||||||||||||
Professional Services—0.0%
|
||||||||||||||||||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20
|
35,000
|
17,000
|
52,000
|
36,313
|
17,638
|
53,951
|
||||||||||||||||||
Road & Rail—0.2%
|
||||||||||||||||||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41
|
62,000
|
30,000
|
92,000
|
70,357
|
34,044
|
104,401
|
||||||||||||||||||
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18
|
185,000
|
90,000
|
275,000
|
204,425
|
99,450
|
303,875
|
||||||||||||||||||
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
274,782
|
133,494
|
408,276
|
||||||||||||||||||||||
Information Technology—0.8%
|
||||||||||||||||||||||||
Communications Equipment—0.1%
|
||||||||||||||||||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40
|
71,000
|
34,000
|
105,000
|
80,430
|
38,516
|
118,946
|
||||||||||||||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41
|
93,000
|
45,000
|
138,000
|
101,891
|
49,302
|
151,193
|
||||||||||||||||||
182,321
|
87,818
|
270,139
|
||||||||||||||||||||||
Computers & Peripherals—0.2%
|
||||||||||||||||||||||||
Hewlett-Packard Co.:
|
||||||||||||||||||||||||
2.35% Sr. Unsec. Unsub. Nts., 3/15/15
|
216,000
|
106,000
|
322,000
|
215,152
|
105,584
|
320,736
|
||||||||||||||||||
4.65% Sr. Unsec. Nts., 12/9/21
|
167,000
|
82,000
|
249,000
|
176,479
|
86,655
|
263,134
|
||||||||||||||||||
391,631
|
192,239
|
583,870
|
||||||||||||||||||||||
Electronic Equipment & Instruments—0.2%
|
||||||||||||||||||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15
|
430,000
|
210,000
|
640,000
|
431,014
|
210,495
|
641,509
|
||||||||||||||||||
Office Electronics—0.1%
|
||||||||||||||||||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13
|
223,000
|
107,000
|
330,000
|
234,207
|
112,377
|
346,584
|
||||||||||||||||||
Semiconductors & Semiconductor Equipment—0.1%
|
||||||||||||||||||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18
|
157,000
|
76,000
|
233,000
|
181,234
|
87,731
|
268,965
|
||||||||||||||||||
Software—0.1%
|
||||||||||||||||||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20
|
264,000
|
127,000
|
391,000
|
265,844
|
127,887
|
393,731
|
||||||||||||||||||
Materials—1.2%
|
||||||||||||||||||||||||
Chemicals—0.4%
|
||||||||||||||||||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41
|
101,000
|
48,000
|
149,000
|
125,502
|
59,644
|
185,146
|
||||||||||||||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15
|
374,000
|
182,000
|
556,000
|
385,194
|
187,447
|
572,641
|
||||||||||||||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17
|
210,000
|
100,000
|
310,000
|
235,200
|
112,000
|
347,200
|
||||||||||||||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40
|
140,000
|
68,000
|
208,000
|
171,269
|
83,188
|
254,457
|
||||||||||||||||||
917,165
|
442,279
|
1,359,444
|
||||||||||||||||||||||
Containers & Packaging—0.1%
|
||||||||||||||||||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17
|
180,000
|
87,000
|
267,000
|
190,029
|
91,847
|
281,876
|
||||||||||||||||||
Metals & Mining—0.6%
|
||||||||||||||||||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17
|
330,000
|
160,000
|
490,000
|
350,997
|
170,180
|
521,177
|
||||||||||||||||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19
|
307,000
|
151,000
|
458,000
|
339,235
|
166,855
|
506,090
|
||||||||||||||||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12
|
216,000
|
106,000
|
322,000
|
224,263
|
110,055
|
334,318
|
||||||||||||||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15
|
14,000
|
7,000
|
21,000
|
15,258
|
7,629
|
22,887
|
||||||||||||||||||
Xstrata Canada Corp.:
|
||||||||||||||||||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15
|
75,000
|
60,000
|
135,000
|
81,520
|
65,216
|
146,736
|
||||||||||||||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15
|
177,000
|
87,000
|
264,000
|
190,853
|
93,809
|
284,662
|
||||||||||||||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12
|
94,000
|
28,000
|
122,000
|
96,846
|
28,848
|
125,694
|
||||||||||||||||||
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/162
|
35,000
|
—
|
35,000
|
38,230
|
—
|
38,230
|
||||||||||||||||||
1,337,202
|
642,592
|
1,979,794
|
||||||||||||||||||||||
Paper & Forest Products—0.1%
|
||||||||||||||||||||||||
International Paper Co., 4.75% Sr. Unsec. Unsub. Nts., 2/15/22
|
172,000
|
84,000
|
256,000
|
183,117
|
89,429
|
272,546
|
||||||||||||||||||
Telecommunication Services—1.0%
|
||||||||||||||||||||||||
Diversified Telecommunication Services—0.7%
|
||||||||||||||||||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38
|
236,000
|
116,000
|
352,000
|
290,234
|
142,657
|
432,891
|
||||||||||||||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30
|
142,000
|
67,000
|
209,000
|
200,367
|
94,539
|
294,906
|
||||||||||||||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39
|
82,000
|
39,000
|
121,000
|
80,574
|
38,322
|
118,896
|
||||||||||||||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17
|
230,000
|
110,000
|
340,000
|
236,325
|
113,025
|
349,350
|
||||||||||||||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15
|
225,000
|
108,000
|
333,000
|
250,511
|
120,245
|
370,756
|
||||||||||||||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38
|
134,000
|
65,000
|
199,000
|
170,389
|
82,651
|
253,040
|
||||||||||||||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17
|
192,000
|
94,000
|
286,000
|
208,800
|
102,225
|
311,025
|
||||||||||||||||||
1,437,200
|
693,664
|
2,130,864
|
||||||||||||||||||||||
Wireless Telecommunication Services—0.3%
|
||||||||||||||||||||||||
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16
|
349,000
|
170,000
|
519,000
|
349,849
|
170,414
|
520,263
|
||||||||||||||||||
American Tower Corp.:
|
||||||||||||||||||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20
|
50,000
|
25,000
|
75,000
|
50,160
|
25,080
|
75,240
|
||||||||||||||||||
7% Sr. Unsec. Nts., 10/15/17
|
162,000
|
78,000
|
240,000
|
183,207
|
88,211
|
271,418
|
||||||||||||||||||
583,216
|
283,705
|
866,921
|
||||||||||||||||||||||
Utilities—1.2%
|
||||||||||||||||||||||||
Electric Utilities—1.0%
|
||||||||||||||||||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/122
|
205,000
|
99,000
|
304,000
|
208,721
|
100,797
|
309,518
|
||||||||||||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17
|
154,000
|
76,000
|
230,000
|
158,714
|
78,327
|
237,041
|
||||||||||||||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39
|
138,000
|
66,000
|
204,000
|
154,772
|
74,021
|
228,793
|
||||||||||||||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13
|
239,000
|
115,000
|
354,000
|
242,524
|
116,696
|
359,220
|
||||||||||||||||||
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41
|
120,000
|
59,000
|
179,000
|
129,399
|
63,621
|
193,020
|
Oppenheimer
|
Total
|
Oppenheimer
Balanced
Fund/VA
|
||||||||||||||||||||||
Balanced
|
Return
|
Combined
|
||||||||||||||||||||||
Principal
|
Principal
|
Principal
|
Fund/VA
|
Portfolio
|
Pro Forma
|
|||||||||||||||||||
Amount
|
Amount
|
Amount
|
Value
|
Value
|
Value
|
|||||||||||||||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12
|
230,000
|
110,000
|
340,000
|
233,273
|
111,566
|
344,839
|
||||||||||||||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22
|
198,000
|
96,000
|
294,000
|
254,036
|
123,169
|
377,205
|
||||||||||||||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/212
|
322,000
|
156,000
|
478,000
|
338,161
|
163,830
|
501,991
|
||||||||||||||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/192
|
235,000
|
115,000
|
350,000
|
308,556
|
150,995
|
459,551
|
||||||||||||||||||
2,028,156
|
983,022
|
3,011,178
|
||||||||||||||||||||||
Energy Traders—0.1%
|
||||||||||||||||||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13
|
212,000
|
104,000
|
316,000
|
227,064
|
111,390
|
338,454
|
||||||||||||||||||
Multi-Utilities—0.1%
|
||||||||||||||||||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20
|
194,000
|
96,000
|
290,000
|
204,628
|
101,259
|
305,887
|
||||||||||||||||||
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41
|
53,000
|
26,000
|
79,000
|
54,303
|
26,639
|
80,942
|
||||||||||||||||||
258,931
|
127,898
|
386,829
|
||||||||||||||||||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $36,798,681, Cost $17,816,794, Combined $54,615,475)
|
37,637,168
|
18,180,849
|
55,818,017
|
Shares
|
Shares
|
Shares
|
||||||||||||||||||||||
Investment Company—15.8%
|
||||||||||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20% 11,12
(Cost $32,784,414, Cost $15,675,118, Combined $48,459,532)
|
32,784,414
|
15,675,118
|
15,675,118
|
32,784,414
|
15,675,118
|
48,459,532
|
||||||||||||||||||
Total Investments, at Value
(Cost $232,141,466, Cost $114,935,872, Combined $347,077,338)
|
115.4
|
%
|
115.3
|
%
|
115.3
|
%
|
237,714,032
|
116,471,301
|
354,185,333
|
|||||||||||||||
Liabilities in Excess of Other Assets
|
(15.4
|
)
|
(15.3
|
)
|
(15.3
|
)
|
(31,779,971
|
)
|
(15,469,507
|
)
|
(47,249,478
|
)
|
||||||||||||
Pro Forma Adjustment
|
0.0
|
126,090
|
||||||||||||||||||||||
Net Assets
|
100.0
|
%
|
100.0
|
%
|
100.0
|
%
|
205,934,061
|
101,001,794
|
307,061,945
|
|||||||||||||||
Market Value
|
% of Net Assets
|
|||||||
Oppenheimer Balanced Fund/VA
|
$
|
11,723,347
|
5.69
|
%
|
||||
Total Return Portfolio
|
$
|
5,588,956
|
5.53
|
%
|
||||
Oppenheimer Balanced Fund/VA Combined Pro Forma
|
$
|
17,312,303
|
5.64
|
%
|
Market Value
|
% of Net Assets
|
|||||||
Oppenheimer Balanced Fund/VA
|
$
|
1,000,078
|
0.49
|
%
|
||||
Total Return Portfolio
|
$
|
469,449
|
0.46
|
%
|
||||
Oppenheimer Balanced Fund/VA Combined Pro Forma
|
$
|
1,469,527
|
0.48
|
%
|
Unrealized
|
||||||||||||||||
Acquisition
|
Appreciation
|
|||||||||||||||
Security
|
Dates
|
Cost
|
Value
|
(Depreciation)
|
||||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41
|
11/2/11
|
$
|
200,984
|
$
|
200,600
|
$
|
(384
|
)
|
||||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67
|
1/5/11-10/11/11
|
251,672
|
213,750
|
(37,922
|
)
|
|||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49
|
7/14/10
|
125,957
|
128,776
|
2,819
|
||||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17
|
2/4/11-4/14/11
|
231,246
|
228,892
|
(2,354
|
)
|
|||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37
|
2/24/11-7/26/11
|
254,109
|
228,060
|
(26,049
|
)
|
|||||||||||
$
|
1,063,968
|
$
|
1,000,078
|
$
|
(63,890
|
)
|
||||||||||
Unrealized
|
||||||||||||||||
Acquisition
|
Appreciation
|
|||||||||||||||
Security
|
Dates
|
Cost
|
Value
|
(Depreciation)
|
||||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41
|
11/2/11
|
$
|
97,992
|
$
|
97,805
|
$
|
(187
|
)
|
||||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67
|
1/5/11-10/11/11
|
122,783
|
104,738
|
(18,045
|
)
|
|||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49
|
7/14/10
|
49,483
|
50,591
|
1,108
|
||||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17
|
2/4/11-4/14/11
|
106,968
|
105,905
|
(1,063
|
)
|
|||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37
|
2/24/11-7/26/11
|
123,010
|
110,410
|
(12,600
|
)
|
|||||||||||
$
|
500,236
|
$
|
469,449
|
$
|
(30,787
|
)
|
||||||||||
Market Value
|
% of Net Assets
|
|||||||
Oppenheimer Balanced Fund/VA
|
$
|
2,771,932
|
1.35
|
%
|
||||
Total Return Portfolio
|
$
|
1,296,283
|
1.28
|
%
|
||||
Oppenheimer Balanced Fund/VA Combined Pro Forma
|
$
|
4,068,215
|
1.32
|
%
|
Market Value
|
% of Net Assets
|
|||||||
Oppenheimer Balanced Fund/VA
|
$
|
144,097
|
0.07
|
%
|
||||
Total Return Portfolio
|
$
|
69,566
|
0.07
|
%
|
||||
Oppenheimer Balanced Fund/VA Combined Pro Forma
|
$
|
213,663
|
0.07
|
%
|
Shares
|
Gross
|
Gross
|
Shares
|
|||||||||||||
Oppenheimer Balanced Fund/VA
|
December 31, 2010
|
Additions
|
Reductions
|
December 31, 2011
|
||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
45,755,638
|
100,641,276
|
113,612,500
|
32,784,414
|
Value
|
Income
|
|||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
$
|
32,784,414
|
$
|
80,528
|
Shares
|
Gross
|
Gross
|
Shares
|
|||||||||||||
Total Return Portfolio
|
December 31, 2010
|
Additions
|
Reductions
|
December 31, 2011
|
||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
17,175,856
|
50,534,844
|
52,035,582
|
15,675,118
|
Value
|
Income
|
|||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
$
|
15,675,118
|
$
|
32,755
|
Shares
|
Gross
|
Gross
|
Shares
|
|||||||||||||
Oppenheimer Balanced Fund/VA Combined Pro Forma
|
December 31, 2010
|
Additions
|
Reductions
|
December 31, 2011
|
||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
62,931,494
|
151,176,120
|
165,648,082
|
48,459,532
|
Value
|
Income
|
|||||||
Oppenheimer Institutional Money Market Fund, Cl. E
|
$
|
48,459,532
|
$
|
113,283
|
Level 1—
|
Level 2—
|
Level 3—
|
||||||||||||||
Other Significant
|
||||||||||||||||
Unadjusted Quoted
|
Observable
|
Significant
|
||||||||||||||
Oppenheimer Balanced Fund/VA
|
Prices
|
Inputs
|
Unobservable Inputs
|
Value
|
||||||||||||
Assets Table
|
||||||||||||||||
Investments, at Value:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
13,343,882
|
$
|
—
|
$
|
—
|
$
|
13,343,882
|
||||||||
Consumer Staples
|
8,172,220
|
—
|
—
|
8,172,220
|
||||||||||||
Energy
|
15,031,008
|
—
|
—
|
15,031,008
|
||||||||||||
Financials
|
22,838,192
|
—
|
—
|
22,838,192
|
||||||||||||
Health Care
|
11,901,124
|
—
|
—
|
11,901,124
|
||||||||||||
Industrials
|
6,100,408
|
—
|
—
|
6,100,408
|
||||||||||||
Information Technology
|
9,696,316
|
—
|
—
|
9,696,316
|
||||||||||||
Materials
|
3,204,032
|
—
|
—
|
3,204,032
|
||||||||||||
Telecommunication Services
|
3,593,924
|
—
|
—
|
3,593,924
|
||||||||||||
Utilities
|
5,227,430
|
—
|
—
|
5,227,430
|
||||||||||||
Asset-Backed Securities
|
—
|
8,875,014
|
—
|
8,875,014
|
||||||||||||
Mortgage-Backed Obligations
|
—
|
58,107,974
|
—
|
58,107,974
|
||||||||||||
U.S. Government Obligations
|
—
|
1,200,926
|
—
|
1,200,926
|
||||||||||||
Non-Convertible Corporate Bonds and Notes
|
—
|
37,637,168
|
—
|
37,637,168
|
||||||||||||
Investment Company
|
32,784,414
|
—
|
—
|
32,784,414
|
||||||||||||
Total Investments, at Value
|
131,892,950
|
105,821,082
|
—
|
237,714,032
|
||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
18,316
|
—
|
—
|
18,316
|
||||||||||||
Total Assets
|
$
|
131,911,266
|
$
|
105,821,082
|
$
|
—
|
$
|
237,732,348
|
||||||||
Liabilities Table Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
$
|
(11,188
|
)
|
$
|
—
|
$
|
—
|
$
|
(11,188
|
)
|
||||||
Foreign currency exchange contracts
|
—
|
(8,731
|
)
|
—
|
(8,731
|
)
|
||||||||||
Total Liabilities
|
$
|
(11,188
|
)
|
$
|
(8,731
|
)
|
$
|
—
|
$
|
(19,919
|
)
|
|||||
Level 1—
|
Level 2—
|
Level 3—
|
||||||||||||||
Other Significant
|
||||||||||||||||
Unadjusted Quoted
|
Observable
|
Significant
|
||||||||||||||
Total Return Portfolio
|
Prices
|
Inputs
|
Unobservable Inputs
|
Value
|
||||||||||||
Assets Table
|
||||||||||||||||
Investments, at Value:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
6,079,474
|
$
|
—
|
$
|
—
|
$
|
6,079,474
|
||||||||
Consumer Staples
|
3,610,330
|
—
|
—
|
3,610,330
|
||||||||||||
Energy
|
7,275,065
|
—
|
—
|
7,275,065
|
||||||||||||
Financials
|
10,827,563
|
—
|
—
|
10,827,563
|
||||||||||||
Health Care
|
7,317,976
|
—
|
—
|
7,317,976
|
||||||||||||
Industrials
|
3,177,801
|
—
|
—
|
3,177,801
|
||||||||||||
Information Technology
|
4,462,880
|
—
|
—
|
4,462,880
|
||||||||||||
Materials
|
2,399,853
|
—
|
—
|
2,399,853
|
||||||||||||
Telecommunication Services
|
1,496,002
|
—
|
—
|
1,496,002
|
||||||||||||
Utilities
|
3,635,884
|
—
|
—
|
3,635,884
|
||||||||||||
Asset-Backed Securities
|
—
|
4,285,846
|
—
|
4,285,846
|
||||||||||||
Mortgage-Backed Obligations
|
—
|
27,353,842
|
—
|
27,353,842
|
||||||||||||
U.S. Government Obligations
|
—
|
692,818
|
—
|
692,818
|
||||||||||||
Non-Convertible Corporate Bonds and Notes
|
—
|
18,180,849
|
—
|
18,180,849
|
||||||||||||
Investment Company
|
15,675,118
|
—
|
—
|
15,675,118
|
||||||||||||
Total Investments, at Value
|
65,957,946
|
50,513,355
|
—
|
116,471,301
|
||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
8,435
|
—
|
—
|
8,435
|
||||||||||||
Foreign currency exchange contracts
|
—
|
114
|
—
|
114
|
||||||||||||
Total Assets
|
$
|
65,966,381
|
$
|
50,513,469
|
$
|
—
|
$
|
116,479,850
|
||||||||
Liabilities Table Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
$
|
(5,489
|
)
|
$
|
—
|
$
|
—
|
$
|
(5,489
|
)
|
||||||
Foreign currency exchange contracts
|
—
|
(4,775
|
)
|
—
|
(4,775
|
)
|
||||||||||
Total Liabilities
|
$
|
(5,489
|
)
|
$
|
(4,775
|
)
|
$
|
—
|
$
|
(10,264
|
)
|
|||||
Level 1—
|
Level 2—
|
Level 3—
|
||||||||||||||
Other Significant
|
||||||||||||||||
Unadjusted Quoted
|
Observable
|
Significant
|
||||||||||||||
Oppenheimer Balanced Fund/VA Combined Pro Forma
|
Prices
|
Inputs
|
Unobservable Inputs
|
Value
|
||||||||||||
Assets Table
|
||||||||||||||||
Investments, at Value:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
19,423,356
|
$
|
—
|
$
|
—
|
$
|
19,423,356
|
||||||||
Consumer Staples
|
11,782,550
|
—
|
—
|
11,782,550
|
||||||||||||
Energy
|
22,306,073
|
—
|
—
|
22,306,073
|
||||||||||||
Financials
|
33,665,755
|
—
|
—
|
33,665,755
|
||||||||||||
Health Care
|
19,219,100
|
—
|
—
|
19,219,100
|
||||||||||||
Industrials
|
9,278,209
|
—
|
—
|
9,278,209
|
||||||||||||
Information Technology
|
14,159,196
|
—
|
—
|
14,159,196
|
||||||||||||
Materials
|
5,603,885
|
—
|
—
|
5,603,885
|
||||||||||||
Telecommunication Services
|
5,089,926
|
—
|
—
|
5,089,926
|
||||||||||||
Utilities
|
8,863,314
|
—
|
—
|
8,863,314
|
||||||||||||
Asset-Backed Securities
|
—
|
13,160,860
|
—
|
13,160,860
|
||||||||||||
Mortgage-Backed Obligations
|
—
|
85,461,816
|
—
|
85,461,816
|
||||||||||||
U.S. Government Obligations
|
—
|
1,893,744
|
—
|
1,893,744
|
||||||||||||
Non-Convertible Corporate Bonds and Notes
|
—
|
55,818,017
|
—
|
55,818,017
|
||||||||||||
Investment Company
|
48,459,532
|
—
|
—
|
48,459,532
|
||||||||||||
Total Investments, at Value
|
197,850,896
|
156,334,437
|
—
|
354,185,333
|
||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
26,751
|
—
|
—
|
26,751
|
||||||||||||
Foreign currency exchange contracts
|
—
|
114
|
—
|
114
|
||||||||||||
Total Assets
|
$
|
197,877,647
|
$
|
156,334,551
|
$
|
—
|
$
|
354,212,198
|
||||||||
Liabilities Table
|
||||||||||||||||
Other Financial Instruments:
|
||||||||||||||||
Futures margins
|
$
|
(16,677
|
)
|
$
|
—
|
$
|
—
|
$
|
(16,677
|
)
|
||||||
Foreign currency exchange contracts
|
—
|
(13,506
|
)
|
—
|
(13,506
|
)
|
||||||||||
Total Liabilities
|
$
|
(16,677
|
)
|
$
|
(13,506
|
)
|
$
|
—
|
$
|
(30,183
|
)
|
|||||
Foreign Currency Exchange Contracts as of December 30, 2011 are as follows:
|
||||||||||||||||||
Contract Amount
|
Expiration
|
Unrealized
|
Unrealized
|
|||||||||||||||
Counterparty/Contract Description
|
Buy/Sell
|
(000’s)
|
Dates
|
Value
|
Appreciation
|
Depreciation
|
||||||||||||
Brown Brothers Harriman
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
36,617 JPY
|
1/6/12
|
$
|
475,728
|
$
|
208
|
—
|
||||||||||
Bank of America
|
Foreign Currency Exchange Contracts as of December 30, 2011 are as follows:
|
||||||||||||||||||
Contract Amount
|
Expiration
|
Unrealized
|
Unrealized
|
|||||||||||||||
Counterparty/Contract Description
|
Buy/Sell
|
(000’s)
|
Dates
|
Value
|
Appreciation
|
Depreciation
|
||||||||||||
Japanese Yen (JPY)
|
Sell
|
61,566 JPY
|
1/4/12-1/5/12
|
799,924
|
—
|
8,731
|
||||||||||||
Chase Manhattan Bank
|
||||||||||||||||||
Swiss Franc (CHF)
|
Sell
|
4,647 CHF
|
1/3/12
|
4,947,229
|
28,712
|
—
|
||||||||||||
$
|
28,920
|
$
|
8,731
|
|||||||||||||||
Foreign Currency Exchange Contracts as of December 30, 2011 are as follows:
|
||||||||||||||||||
Contract Amount
|
Expiration
|
Unrealized
|
Unrealized
|
|||||||||||||||
Counterparty/Contract Description
|
Buy/Sell
|
(000’s)
|
Dates
|
Value
|
Appreciation
|
Depreciation
|
||||||||||||
Brown Brothers Harriman
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
20,008 JPY
|
1/6/12
|
$
|
259,944
|
$
|
114
|
$
|
—
|
|||||||||
Bank of America
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
33,665 JPY
|
1/4/12-1/5/
|
437,415
|
—
|
4,775
|
||||||||||||
$
|
114
|
$
|
4,775
|
|||||||||||||||
Foreign Currency Exchange Contracts as of December 30, 2011 are as follows:
|
||||||||||||||||||
Contract Amount
|
Expiration
|
Unrealized
|
Unrealized
|
|||||||||||||||
Counterparty/Contract Description
|
Buy/Sell
|
(000’s)
|
Dates
|
Value
|
Appreciation
|
Depreciation
|
||||||||||||
Brown Brothers Harriman
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
56,625 JPY
|
1/6/12
|
$
|
735,672
|
$
|
322
|
—
|
||||||||||
Bank of America
|
||||||||||||||||||
Japanese Yen (JPY)
|
Sell
|
95,231 JPY
|
1/4/12-1/5/12
|
1,237,339
|
—
|
13,506
|
||||||||||||
Chase Manhattan Bank
|
||||||||||||||||||
Swiss Franc (CHF)
|
Sell
|
4,647 CHF
|
1/3/12
|
4,947,229
|
28,712
|
—
|
||||||||||||
$
|
29,034
|
$
|
13,506
|
|||||||||||||||
Futures Contracts as of December 30, 2011 are as follows:
|
|||||||||||||||||
Unrealized
|
|||||||||||||||||
Number of
|
Expiration
|
Appreciation
|
|||||||||||||||
Contract Description
|
Buy/Sell
|
Contracts
|
Date
|
Value
|
(Depreciation)
|
||||||||||||
U.S. Long Bond
|
Buy
|
24
|
3/21/12
|
$
|
3,475,500
|
$
|
42,776
|
||||||||||
U.S. Treasury Nts., 2 yr.
|
Sell
|
54
|
3/30/12
|
11,909,531
|
(3,064
|
)
|
|||||||||||
U.S. Treasury Nts., 5 yr.
|
Sell
|
37
|
3/30/12
|
4,560,539
|
(17,547
|
)
|
|||||||||||
U.S. Treasury Nts., 10 yr.
|
Buy
|
1
|
3/21/12
|
131,125
|
6
|
||||||||||||
U.S. Treasury Ultra Bonds
|
Buy
|
21
|
3/21/12
|
3,363,938
|
20,631
|
||||||||||||
$
|
42,802
|
||||||||||||||||
Futures Contracts as of December 30, 2011 are as follows:
|
|||||||||||||||||
Unrealized
|
|||||||||||||||||
Number of
|
Expiration
|
Appreciation
|
|||||||||||||||
Contract Description
|
Buy/Sell
|
Contracts
|
Date
|
Value
|
(Depreciation)
|
||||||||||||
U.S. Long Bond
|
Buy
|
6
|
3/21/12
|
$
|
868,875
|
$
|
7,807
|
||||||||||
U.S. Treasury Nts., 2 yr.
|
Sell
|
26
|
3/30/12
|
5,734,219
|
(1,175
|
)
|
|||||||||||
U.S. Treasury Nts., 5 yr.
|
Sell
|
16
|
3/30/12
|
1,972,125
|
(7,834
|
)
|
|||||||||||
U.S. Treasury Nts., 10 yr.
|
Sell
|
1
|
3/21/12
|
131,125
|
(1,759
|
)
|
|||||||||||
U.S. Treasury Ultra Bonds
|
Buy
|
13
|
3/21/12
|
2,082,438
|
13,236
|
||||||||||||
$
|
10,275
|
||||||||||||||||
Futures Contracts as of December 30, 2011 are as follows:
|
|||||||||||||||||
Unrealized
|
|||||||||||||||||
Number of
|
Expiration
|
Appreciation
|
|||||||||||||||
Contract Description
|
Buy/Sell
|
Contracts
|
Date
|
Value
|
(Depreciation)
|
||||||||||||
U.S. Long Bond
|
Buy
|
30
|
3/21/12
|
$
|
4,344,375
|
$
|
50,583
|
||||||||||
U.S. Treasury Nts., 2 yr.
|
Sell
|
80
|
3/30/12
|
17,643,750
|
(4,239
|
)
|
|||||||||||
U.S. Treasury Nts., 5 yr.
|
Sell
|
53
|
3/30/12
|
6,532,664
|
(25,381
|
)
|
|||||||||||
U.S. Treasury Nts., 10 yr.
|
Buy
|
1
|
3/21/12
|
131,125
|
6
|
||||||||||||
U.S. Treasury Nts., 10 yr.
|
Sell
|
1
|
3/21/12
|
131,125
|
(1,759
|
)
|
|||||||||||
U.S. Treasury Ultra Bonds
|
Buy
|
34
|
3/21/12
|
5,446,376
|
33,867
|
||||||||||||
$
|
53,077
|
||||||||||||||||
Pro Forma
|
||||||||||||||||
Combined
|
||||||||||||||||
Oppenheimer
|
Total Return
|
ProForma
|
Oppenheimer
|
|||||||||||||
Balanced Fund/VA
|
Portfolio
|
Adjustments
|
Balanced Fund/VA
|
|||||||||||||
ASSETS:
|
||||||||||||||||
Investments, at value — see accompanying statement of investments:
|
||||||||||||||||
Unaffiliated companies (cost $199,357,052, $99,260,754 and $298,617,806, respectively)
|
$
|
204,929,618
|
$
|
100,796,183
|
$
|
—
|
$
|
305,725,801
|
||||||||
Affiliated companies (cost $32,784,414, $15,675,118 and $48,459,532, respectively)
|
32,784,414
|
15,675,118
|
—
|
48,459,532
|
||||||||||||
Cash
|
55,568
|
12,614
|
—
|
68,182
|
||||||||||||
Cash used for collateral on futures
|
—
|
118,050
|
—
|
118,050
|
||||||||||||
Unrealized appreciation on foreign currency exchange contracts
|
28,920
|
114
|
—
|
29,034
|
||||||||||||
Receivables and other assets:
|
||||||||||||||||
Investments sold (including $834,575, $411,797 and $1,246,372 sold on a when-issued or delayed delivery basis, respectively)
|
2,110,172
|
1,109,126
|
—
|
3,219,298
|
||||||||||||
Shares of capital stock sold
|
—
|
16,773
|
—
|
16,773
|
||||||||||||
Interest, dividends and principal paydowns
|
934,679
|
442,848
|
—
|
1,377,527
|
||||||||||||
Due from Manager
|
—
|
—
|
285,220
|
(2)
|
285,220
|
|||||||||||
Futures margins
|
18,316
|
8,435
|
—
|
26,751
|
||||||||||||
Other
|
15,397
|
41,224
|
—
|
56,621
|
||||||||||||
Total assets
|
240,877,084
|
118,220,485
|
285,220
|
359,382,789
|
||||||||||||
LIABILITIES:
|
||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts
|
8,731
|
4,775
|
—
|
13,506
|
||||||||||||
Payables and other liabilities:
|
||||||||||||||||
Investments purchased on a when-issued or delayed delivery basis
|
34,608,626
|
17,131,323
|
—
|
51,739,949
|
||||||||||||
Due to Manager
|
—
|
—
|
103,430
|
(1)
|
103,430
|
|||||||||||
Shares of beneficial interest/capital stock redeemed
|
134,661
|
11,817
|
—
|
146,478
|
||||||||||||
Distributions and service plan fees
|
15,095
|
—
|
—
|
15,095
|
||||||||||||
Trustees’/Directors’ compensation
|
13,626
|
9,559
|
—
|
23,185
|
||||||||||||
Shareholder communications
|
45,714
|
12,805
|
—
|
58,519
|
||||||||||||
Transfer and shareholder servicing agent fees
|
17,606
|
8,617
|
—
|
26,223
|
||||||||||||
Futures margins
|
11,188
|
5,489
|
—
|
16,677
|
||||||||||||
Merger-related costs
|
—
|
—
|
55,700
|
55,700
|
||||||||||||
Other
|
87,776
|
34,306
|
—
|
122,082
|
||||||||||||
Total liabilities
|
34,943,023
|
17,218,691
|
159,130
|
52,320,844
|
||||||||||||
NET ASSETS
|
$
|
205,934,061
|
$
|
101,001,794
|
$
|
126,090
|
$
|
307,061,945
|
||||||||
COMPOSITION OF NET ASSETS:
|
||||||||||||||||
Par value of shares of beneficial interest/capital stock
|
$
|
18,310
|
$
|
82,852
|
$
|
(73,910
|
)
|
$
|
27,252
|
|||||||
Additional paid-in capital
|
261,404,840
|
144,699,832
|
73,910
|
406,178,582
|
||||||||||||
Accumulated net investment income
|
3,885,373
|
1,819,427
|
126,090
|
5,830,890
|
||||||||||||
Accumulated net realized loss from investments and foreign currency transactions
|
(64,994,840
|
)
|
(47,144,796
|
)
|
—
|
(112,139,636
|
)
|
|||||||||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies
|
5,620,378
|
1,544,479
|
—
|
7,164,857
|
||||||||||||
NET ASSETS
|
$
|
205,934,061
|
$
|
101,001,794
|
$
|
126,090
|
$
|
307,061,945
|
||||||||
Pro Forma
|
||||||||||||||||
Combined
|
||||||||||||||||
Oppenheimer
|
Total Return
|
ProForma
|
Oppenheimer
|
|||||||||||||
Balanced Fund/VA
|
Portfolio
|
Adjustments
|
Balanced Fund/VA
|
|||||||||||||
Net Asset Value Per Share
|
||||||||||||||||
Outstanding Shares
|
||||||||||||||||
Non-Service Shares
|
11,366,261
|
82,852,109
|
(73,913,897
|
)
|
20,304,473
|
(3)
|
||||||||||
Service Shares
|
6,943,916
|
—
|
—
|
6,943,916
|
(3)
|
|||||||||||
Net Assets
|
||||||||||||||||
Non-Service Shares
|
$
|
128,383,141
|
$
|
101,001,794
|
$
|
150,777
|
$
|
229,535,712
|
||||||||
Service Shares
|
$
|
77,550,920
|
$
|
—
|
$
|
(24,687
|
)
|
$
|
77,526,233
|
|||||||
Net Asset Value Per Share
|
||||||||||||||||
Non-Service Shares
|
$
|
11.30
|
$
|
1.22
|
$
|
0.00
|
$
|
11.30
|
||||||||
Service Shares
|
$
|
11.17
|
—
|
$
|
(0.01
|
)
|
$
|
11.16
|
(1)
|
Adjustment to reflect the management fees using Oppenheimer Balanced Fund/VA’s management fee schedule.
|
|
(2)
|
The Manager has voluntarily agreed to waive a portion of the advisory fee and/or reimburse certain expenses so that the total annual fund operating expenses will not exceed 0.67% of average annual net assets for Non-Service shares of Pro Forma Combined Oppenheimer Balanced Fund/VA. This voluntary waiver may not be amended or withdrawn until April 29, 2012.
|
|
(3)
|
Total Return Portfolio’s shares will be exchanged for Oppenheimer Balanced Fund/VA’s Non-Service shares.
|
Pro Forma
|
||||||||||||||||
Combined
|
||||||||||||||||
Oppenheimer
|
Total Return
|
ProForma
|
Oppenheimer
|
|||||||||||||
Balanced Fund/VA
|
Portfolio
|
Adjustments
|
Balanced Fund/VA
|
|||||||||||||
INVESTMENT INCOME:
|
||||||||||||||||
Dividends:
|
||||||||||||||||
Unaffiliated companies (net of foreign withholding taxes of $41,729, $24,283 and $66,012, respectively)
|
$
|
1,555,903
|
$
|
901,465
|
$
|
—
|
$
|
2,457,368
|
||||||||
Affiliated companies
|
80,528
|
32,755
|
—
|
113,283
|
||||||||||||
Interest
|
3,740,550
|
1,675,164
|
—
|
5,415,714
|
||||||||||||
Total investment income
|
5,376,981
|
2,609,384
|
—
|
7,986,365
|
||||||||||||
EXPENSES:
|
||||||||||||||||
Management fees
|
1,695,109
|
686,780
|
103,430
|
(1)
|
2,485,319
|
|||||||||||
Distribution and service plan fees:
|
||||||||||||||||
Service Shares
|
212,975
|
—
|
—
|
212,975
|
||||||||||||
Transfer and shareholder servicing agent fees:
|
||||||||||||||||
Non-Service Shares
|
141,905
|
109,884
|
—
|
251,789
|
||||||||||||
Service Shares
|
85,192
|
—
|
—
|
85,192
|
||||||||||||
Shareholder communications:
|
||||||||||||||||
Non-Service Shares
|
34,918
|
28,972
|
—
|
63,890
|
||||||||||||
Service Shares
|
20,972
|
—
|
—
|
20,972
|
||||||||||||
Trustees’/Directors’ compensation
|
11,530
|
12,430
|
—
|
23,960
|
||||||||||||
Custodian fees and expenses
|
23,781
|
17,295
|
—
|
41,076
|
||||||||||||
Administration service fees
|
1,500
|
1,500
|
—
|
3,000
|
||||||||||||
Accounting service fees
|
—
|
15,000
|
—
|
15,000
|
||||||||||||
Legal, auditing and other professional fees
|
—
|
36,998
|
—
|
36,998
|
||||||||||||
Merger-related costs
|
—
|
—
|
55,700
|
55,700
|
||||||||||||
Other
|
51,445
|
8,605
|
—
|
60,050
|
||||||||||||
Total Expenses
|
2,279,327
|
917,464
|
159,130
|
3,355,921
|
||||||||||||
Less waivers and reimbursements of expenses
|
(545,502
|
)
|
(38,703
|
)
|
(285,220
|
) (2)
|
(813,725
|
)
|
||||||||
Net Expenses
|
1,733,825
|
878,761
|
(126,090
|
)
|
2,486,496
|
|||||||||||
Pro Forma
|
||||||||||||||||
Combined
|
||||||||||||||||
Oppenheimer
|
Total Return
|
ProForma
|
Oppenheimer
|
|||||||||||||
Balanced Fund/VA
|
Portfolio
|
Adjustments
|
Balanced Fund/VA
|
|||||||||||||
NET INVESTMENT INCOME
|
$
|
3,643,156
|
$
|
1,730,623
|
$
|
126,090
|
$
|
5,499,869
|
||||||||
REALIZED AND UNREALIZED GAIN (LOSS):
|
||||||||||||||||
Net realized gain (loss) on:
|
||||||||||||||||
Investments from unaffiliated companies
|
7,451,196
|
(870,398
|
)
|
—
|
6,580,798
|
|||||||||||
Closing and expiration of futures contracts
|
1,402,952
|
639,044
|
—
|
2,041,996
|
||||||||||||
Foreign currency transactions
|
721,809
|
88,109
|
—
|
809,918
|
||||||||||||
Net realized gain (loss)
|
9,575,957
|
(143,245
|
)
|
—
|
9,432,712
|
|||||||||||
Net change in unrealized appreciation/depreciation on:
|
||||||||||||||||
Investments
|
(10,948,759
|
)
|
(860,922
|
)
|
—
|
(11,809,681
|
)
|
|||||||||
Translation of assets and liabilities denominated in foreign currencies
|
(559,038
|
)
|
(116,740
|
)
|
—
|
(675,778
|
)
|
|||||||||
Futures contracts
|
50,474
|
(5,186
|
)
|
—
|
45,288
|
|||||||||||
Net change in unrealized appreciation/depreciation
|
(11,457,323
|
)
|
(982,848
|
)
|
—
|
(12,440,171
|
)
|
|||||||||
NET INCREASE IN NET ASSETS
|
||||||||||||||||
RESULTING FROM OPERATIONS
|
$
|
1,761,790
|
$
|
604,530
|
$
|
126,090
|
$
|
2,492,410
|
||||||||
Pro Forma
|
||||||||||||||||
Combined
|
||||||||||||||||
Oppenheimer
|
Total Return
|
ProForma
|
Oppenheimer
|
|||||||||||||
Balanced Fund/VA
|
Portfolio
|
Adjustments
|
Balanced Fund/VA
|
|||||||||||||
OPERATIONS
|
||||||||||||||||
Net investment income
|
$
|
3,643,156
|
$
|
1,730,623
|
$
|
126,090
|
$
|
5,499,869
|
||||||||
Net realized gain (loss)
|
9,575,957
|
(143,245
|
)
|
—
|
9,432,712
|
|||||||||||
Net change in unrealized appreciation/depreciation
|
(11,457,323
|
)
|
(982,848
|
)
|
—
|
(12,440,171
|
)
|
|||||||||
Net increase in net assets resulting from operations
|
1,761,790
|
604,530
|
126,090
|
2,492,410
|
||||||||||||
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||||||||||
DIVIDENDS FROM NET INVESTMENT INCOME:
|
||||||||||||||||
Non-Service Shares
|
(3,355,682
|
)
|
(3,081,896
|
)
|
—
|
(6,437,578
|
)
|
|||||||||
Service Shares
|
(1,802,307
|
)
|
—
|
—
|
(1,802,307
|
)
|
||||||||||
(5,157,989
|
)
|
(3,081,896
|
)
|
—
|
(8,239,885
|
)
|
||||||||||
NET DECREASE IN NET ASSETS RESULTING
|
||||||||||||||||
FROM BENEFICIAL INTEREST/CAPITAL STOCK TRANSACTIONS:
|
||||||||||||||||
Non-Service Shares
|
(20,174,392
|
)
|
(12,019,714
|
)
|
—
|
(32,194,106
|
)
|
|||||||||
Service Shares
|
(10,697,145
|
)
|
—
|
—
|
(10,697,145
|
)
|
||||||||||
(30,871,537
|
)
|
(12,019,714
|
)
|
—
|
(42,891,251
|
)
|
||||||||||
Pro Forma
|
||||||||||||||||
Combined
|
||||||||||||||||
Oppenheimer
|
Total Return
|
ProForma
|
Oppenheimer
|
|||||||||||||
Balanced Fund/VA
|
Portfolio
|
Adjustments
|
Balanced Fund/VA
|
|||||||||||||
NET ASSETS
|
||||||||||||||||
Total increase (decrease)
|
(34,267,736
|
)
|
(14,497,080
|
)
|
126,090
|
(48,638,726
|
)
|
|||||||||
Beginning of period
|
240,201,797
|
115,498,874
|
—
|
355,700,671
|
||||||||||||
End of period
|
$
|
205,934,061
|
$
|
101,001,794
|
$
|
126,090
|
$
|
307,061,945
|
||||||||
(1)
|
Adjustment to reflect the management fees using Oppenheimer Balanced Fund/VA’s management fee schedule.
|
|
(2)
|
The Manager has voluntarily agreed to waive a portion of the advisory fee and/or reimburse certain expenses so that the “Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses” will not exceed 0.67% of average annual net assets for Non-Service shares of Pro Forma Combined Oppenheimer Balanced Fund/VA.
|
Panorama Total Return Fee Schedule
|
Balanced Fund /VA Fee Schedule
|
||||||||
Up to $600 million
|
0.625 | % |
Up to $200 million
|
0.75 | % | ||||
Over $600 million
|
0.450 |
Next $200 million
|
0.72 | ||||||
Next $200 million
|
0.69 | ||||||||
Next $200 million
|
0.66 | ||||||||
Over $800 million
|
0.60 |
Shares issued to
|
||||||||||||
Panorama Total Return
|
||||||||||||
Balanced Fund/VA
|
Shareholders in
|
Total Shares Outstanding
|
||||||||||
Class
|
Shares Outstanding
|
Reorganization
|
Post-Reorganization
|
|||||||||
Non-Service
|
11,366,261
|
8,938,212
|
20,304,473
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||
Derivatives Not
|
Statement of Assets
|
Statement of Assets
|
||||||||
Accounted for as Hedging
|
and Liabilities
|
and Liabilities
|
||||||||
Instruments
|
Location
|
Value
|
Location
|
Value
|
||||||
Interest rate contracts
|
Futures margins
|
$
|
8,435
|
*
|
Futures margins
|
$
|
5,489
|
*
|
||
Foreign exchange contracts
|
Unrealized appreciation on foreign currency exchange contracts
|
114
|
Unrealized depreciation on foreign currency exchange contracts
|
4,775
|
||||||
Total
|
$
|
8,549
|
$
|
10,264
|
||||||
*
|
Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||
Derivatives Not Accounted
|
Statement of Assets and
|
Statement of Assets
|
||||||||
for as Hedging Instruments
|
Liabilities Location
|
Value
|
and Liabilities Location
|
Value
|
||||||
Interest rate contracts
|
Futures margins
|
$
|
18,316
|
*
|
Futures margins
|
$
|
11,188
|
*
|
||
Foreign exchange contracts
|
Unrealized appreciation on foreign currency exchange contracts
|
28,920
|
Unrealized depreciation on foreign currency exchange contracts
|
8,731
|
||||||
Total
|
$
|
47,236
|
$
|
19,919
|
||||||
*
|
Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||
Derivatives Not Accounted
|
Statement of Assets and
|
Statement of Assets
|
||||||||
for as Hedging Instruments
|
Liabilities Location
|
Value
|
and Liabilities Location
|
Value
|
||||||
Interest rate contracts
|
Futures margins
|
$
|
26,751
|
*
|
Futures margins
|
$
|
16,677
|
*
|
||
Foreign exchange contracts
|
Unrealized appreciation on foreign currency exchange contracts
|
29,034
|
Unrealized depreciation on foreign currency exchange contracts
|
13,506
|
||||||
Total
|
$
|
55,785
|
$
|
30,183
|
||||||
*
|
Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
|
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Closing and
|
||||||||||||
expiration of
|
Foreign
|
|||||||||||
Derivatives Not Accounted
|
futures
|
currency
|
||||||||||
for as Hedging Instruments
|
contracts
|
transactions
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(3,152
|
)
|
$
|
(3,152
|
)
|
||||
Interest rate contracts
|
639,044
|
—
|
639,044
|
|||||||||
Total
|
$
|
639,044
|
$
|
(3,152
|
)
|
$
|
635,892
|
|||||
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Closing and
|
||||||||||||
expiration of
|
Foreign
|
|||||||||||
Derivatives Not Accounted
|
futures
|
currency
|
||||||||||
for as Hedging Instruments
|
contracts
|
transactions
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(4,185
|
)
|
$
|
(4,185
|
)
|
||||
Interest rate contracts
|
1,402,952
|
—
|
1,402,952
|
|||||||||
Total
|
$
|
1,402,952
|
$
|
(4,185
|
)
|
$
|
1,398,767
|
|||||
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Closing and
|
||||||||||||
expiration of
|
Foreign
|
|||||||||||
Derivatives Not Accounted
|
futures
|
currency
|
||||||||||
for as Hedging Instruments
|
contracts
|
transactions
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(7,337
|
)
|
$
|
(7,337
|
)
|
||||
Interest rate contracts
|
2,041,996
|
—
|
2,041,996
|
|||||||||
Total
|
$
|
2,041,996
|
$
|
(7,337
|
)
|
$
|
2,034,659
|
|||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Translation of
|
||||||||||||
assets and
|
||||||||||||
liabilities
|
||||||||||||
denominated in
|
||||||||||||
Derivatives Not Accounted for
|
Futures
|
foreign
|
||||||||||
as Hedging Instruments
|
contracts
|
currencies
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
(4,661
|
)
|
$
|
(4,661
|
)
|
||||
Interest rate contracts
|
(5,186
|
)
|
—
|
(5,186
|
)
|
|||||||
Total
|
$
|
(5,186
|
)
|
$
|
(4,661
|
)
|
$
|
(9,847
|
)
|
|||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Translation of
|
||||||||||||
assets and
|
||||||||||||
liabilities
|
||||||||||||
denominated in
|
||||||||||||
Derivatives Not Accounted for
|
Futures
|
foreign
|
||||||||||
as Hedging Instruments
|
contracts
|
currencies
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
20,189
|
$
|
20,189
|
||||||
Interest rate contracts
|
50,474
|
—
|
50,474
|
|||||||||
Total
|
$
|
50,474
|
$
|
20,189
|
$
|
70,663
|
||||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
||||||||||||
Translation of
|
||||||||||||
assets and
|
||||||||||||
liabilities
|
||||||||||||
denominated in
|
||||||||||||
Derivatives Not Accounted for
|
Futures
|
foreign
|
||||||||||
as Hedging Instruments
|
contracts
|
currencies
|
Total
|
|||||||||
Foreign exchange contracts
|
$
|
—
|
$
|
15,528
|
$
|
15,528
|
||||||
Interest rate contracts
|
45,288
|
—
|
45,288
|
|||||||||
Total
|
$
|
45,288
|
$
|
15,528
|
$
|
60,816
|
||||||